Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | July 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 14.2% | |||
Industrial - 4.2% | |||
United Parcel Service, Inc. — Class B1 | 25,000 | $ 4,678,250 | |
Johnson Controls International plc1 | 60,000 | 4,173,000 | |
Honeywell International, Inc.1 | 20,000 | 3,882,600 | |
General Dynamics Corp.1 | 15,000 | 3,353,700 | |
RTX Corp.1 | 30,000 | 2,637,900 | |
Total Industrial | 18,725,450 | ||
Consumer, Non-cyclical - 2.5% | |||
Humana, Inc.1 | 7,500 | 3,426,225 | |
Merck & Company, Inc.1 | 30,000 | 3,199,500 | |
AbbVie, Inc.1 | 20,000 | 2,991,600 | |
Amgen, Inc.1 | 7,000 | 1,639,050 | |
Total Consumer, Non-cyclical | 11,256,375 | ||
Energy - 2.0% | |||
Halliburton Co.1 | 100,000 | 3,908,000 | |
Valero Energy Corp.1 | 20,000 | 2,578,200 | |
Equities Corp. | 60,000 | 2,530,800 | |
Total Energy | 9,017,000 | ||
Financial - 1.7% | |||
Bank of America Corp.1 | 100,000 | 3,200,000 | |
Morgan Stanley1 | 25,000 | 2,289,000 | |
PNC Financial Services Group, Inc.1 | 13,000 | 1,779,570 | |
Total Financial | 7,268,570 | ||
Consumer, Cyclical - 1.6% | |||
Home Depot, Inc.1 | 13,000 | 4,339,920 | |
Target Corp.1 | 20,000 | 2,729,400 | |
Total Consumer, Cyclical | 7,069,320 | ||
Technology - 1.3% | |||
International Business Machines Corp. | 30,000 | 4,325,400 | |
Snowflake, Inc. — Class A*,1 | 9,000 | 1,599,390 | |
Total Technology | 5,924,790 | ||
Communications - 0.6% | |||
Verizon Communications, Inc.1 | 75,000 | 2,556,000 | |
Basic Materials - 0.3% | |||
ArcelorMittal S.A.1 | 50,000 | 1,443,000 | |
Total Common Stocks | |||
(Cost $59,898,790) | 63,260,505 | ||
CONVERTIBLE PREFERRED STOCKS† - 5.3% | |||
Financial - 3.9% | |||
Bank of America Corp. | |||
7.25%1 | 8,125 | 9,896,250 | |
Wells Fargo & Co. | |||
7.50%1 | 5,403 | 6,370,083 | |
KKR & Company, Inc. | |||
6.00% due 09/15/231 | 16,364 | 1,143,189 | |
Total Financial | 17,409,522 | ||
Utilities - 0.8% | |||
NextEra Energy, Inc. | |||
6.93% due 09/01/251 | 53,185 | 2,432,150 | |
6.22% due 09/01/231 | 8,424 | 416,988 | |
AES Corp. | |||
6.88% due 02/15/241 | 10,249 | 877,212 | |
Total Utilities | 3,726,350 | ||
Industrial - 0.5% | |||
Chart Industries, Inc. | |||
6.75% due 12/15/251 | 27,433 | 1,980,388 | |
Communications - 0.1% | |||
Paramount Global | |||
5.75% due 04/01/241 | 28,082 | 641,674 | |
Total Convertible Preferred Stocks | |||
(Cost $23,738,030) | 23,757,934 | ||
CLOSED-END FUNDS† - 1.0% | |||
PGIM Global High Yield Fund, Inc.1 | 200,000 | 2,276,000 | |
First Trust High Yield Opportunities 2027 Term Fund1 | 150,000 | 2,100,000 | |
Total Closed-End Funds | |||
(Cost $4,442,878) | 4,376,000 | ||
MONEY MARKET FUND† - 3.8% | |||
Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class, 5.25%1,2 | 16,785,624 | 16,785,624 | |
Total Money Market Fund | |||
(Cost $16,785,624) | 16,785,624 | ||
Face Amount~ |
Value | ||
CONVERTIBLE BONDS†† - 77.0% | |||
Consumer, Cyclical - 15.9% | |||
NCL Corporation Ltd. | |||
1.13% due 02/15/271 | 5,676,000 | 5,333,075 | |
5.38% due 08/01/251 | 3,090,000 | 4,313,640 | |
Marriott Vacations Worldwide Corp. | |||
3.25% due 12/15/271,3 | 7,830,000 | 7,536,375 | |
Southwest Airlines Co. | |||
1.25% due 05/01/251 | 6,521,000 | 7,191,033 | |
Pirelli & C SpA | |||
due 12/22/251,4 | EUR 4,300,000 | 4,663,070 | |
Wynn Macau Ltd. | |||
4.50% due 03/07/291,3 | 3,209,000 | 3,557,177 | |
Rivian Automotive, Inc. | |||
4.63% due 03/15/291,3 | 2,045,000 | 3,305,743 | |
Ford Motor Co. | |||
due 03/15/261,4 | 2,897,000 | 2,969,425 | |
Burlington Stores, Inc. | |||
2.25% due 04/15/251 | 2,528,000 | 2,747,620 | |
Live Nation Entertainment, Inc. | |||
3.13% due 01/15/291,3 | 2,460,000 | 2,692,470 | |
ANLLIAN Capital Ltd. | |||
due 02/05/251,4 | EUR 1,900,000 | 2,237,814 | |
Sail Vantage Ltd. | |||
due 01/13/271,4 | HKD 18,000,000 | 2,044,956 | |
Carnival Corp. | |||
5.75% due 12/01/271,3 | 1,219,000 | 2,031,463 | |
Spirit Airlines, Inc. | |||
1.00% due 05/15/261 | 2,000,000 | 1,770,374 | |
DraftKings Holdings, Inc. | |||
due 03/15/281,4 | 2,100,000 | 1,635,900 | |
Royal Caribbean Cruises Ltd. | |||
6.00% due 08/15/251,3 | 688,000 | 1,581,712 | |
ANA Holdings, Inc. | |||
due 12/10/311,4 | JPY 180,000,000 | 1,549,408 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | July 31, 2023 |
Face Amount~ |
Value | ||
CONVERTIBLE BONDS†† - 77.0% (continued) | |||
Consumer, Cyclical - 15.9% (continued) | |||
American Airlines Group, Inc. | |||
6.50% due 07/01/251 | 1,153,000 | $1,417,037 | |
Peloton Interactive, Inc. | |||
due 02/15/261,4 | 1,845,000 | 1,416,273 | |
Zhongsheng Group Holdings Ltd. | |||
due 05/21/251,4 | HKD 10,000,000 | 1,353,751 | |
H World Group Ltd. | |||
3.00% due 05/01/261 | 923,000 | 1,186,516 | |
JetBlue Airways Corp. | |||
0.50% due 04/01/261 | 1,357,000 | 1,107,034 | |
Fisker, Inc. | |||
2.50% due 09/15/261,3 | 2,000,000 | 1,077,182 | |
Vinpearl JSC | |||
3.25% due 09/21/261 | 1,200,000 | 924,000 | |
Topgolf Callaway Brands Corp. | |||
2.75% due 05/01/261 | 684,000 | 890,226 | |
Lucid Group, Inc. | |||
1.25% due 12/15/261,3 | 1,148,000 | 771,169 | |
National Vision Holdings, Inc. | |||
2.50% due 05/15/251 | 758,000 | 758,379 | |
Deutsche Lufthansa AG | |||
2.00% due 11/17/251 | EUR 600,000 | 754,931 | |
WH Smith plc | |||
1.63% due 05/07/261 | GBP 600,000 | 684,112 | |
Penn Entertainment, Inc. | |||
2.75% due 05/15/261 | 518,000 | 681,688 | |
Takashimaya Company Ltd. | |||
due 12/06/281,4 | JPY 80,000,000 | 630,349 | |
Total Consumer, Cyclical | 70,813,902 | ||
Technology - 14.1% | |||
Tyler Technologies, Inc. | |||
0.25% due 03/15/261 | 4,440,000 | 4,464,420 | |
CyberArk Software Ltd. | |||
due 11/15/241,4 | 3,566,000 | 4,192,189 | |
Five9, Inc. | |||
0.50% due 06/01/251 | 4,097,000 | 4,070,370 | |
Wolfspeed, Inc. | |||
1.88% due 12/01/291,3 | 3,624,000 | 3,138,384 | |
0.25% due 02/15/281 | 815,000 | 682,155 | |
Splunk, Inc. | |||
1.13% due 09/15/251 | 3,350,000 | 3,356,281 | |
BILL Holdings, Inc. | |||
due 12/01/251,4 | 2,986,000 | 3,215,922 | |
Zscaler, Inc. | |||
0.13% due 07/01/251 | 2,455,000 | 3,026,816 | |
Health Catalyst, Inc. | |||
2.50% due 04/15/251 | 3,000,000 | 2,947,901 | |
Lumentum Holdings, Inc. | |||
1.50% due 12/15/291,3 | 1,608,000 | 1,586,292 | |
0.50% due 12/15/261 | 1,382,000 | 1,201,085 | |
Akamai Technologies, Inc. | |||
0.38% due 09/01/271 | 2,120,000 | 2,093,500 | |
Datadog, Inc. | |||
0.13% due 06/15/251 | 1,464,000 | 2,014,134 | |
Dropbox, Inc. | |||
due 03/01/281,4 | 2,054,000 | 1,989,299 | |
Rapid7, Inc. | |||
0.25% due 03/15/271 | 2,202,000 | 1,928,126 | |
ON Semiconductor Corp. | |||
0.50% due 03/01/291,3 | 1,544,000 | 1,887,813 | |
SK Hynix, Inc. | |||
1.75% due 04/11/301 | 1,400,000 | 1,851,533 | |
RingCentral, Inc. | |||
due 03/01/251,4 | 2,000,000 | 1,850,000 | |
Bentley Systems, Inc. | |||
0.13% due 01/15/261 | 1,649,000 | 1,690,452 | |
MicroStrategy, Inc. | |||
due 02/15/271,4 | 2,288,000 | 1,657,545 | |
STMicroelectronics N.V. | |||
due 08/04/271,4 | 1,200,000 | 1,536,490 | |
DigitalOcean Holdings, Inc. | |||
due 12/01/261,4 | 1,744,000 | 1,388,647 | |
Lenovo | |||
2.50% due 08/26/291 | 1,031,000 | 1,259,109 | |
Box, Inc. | |||
due 01/15/261,4 | 877,000 | 1,138,346 | |
Unity Software, Inc. | |||
due 11/15/261,4 | 1,378,000 | 1,109,290 | |
Evolent Health, Inc. | |||
1.50% due 10/15/251 | 951,000 | 1,084,519 | |
MongoDB, Inc. | |||
0.25% due 01/15/261 | 525,000 | 1,073,756 | |
Nutanix, Inc. | |||
0.25% due 10/01/271 | 1,119,000 | 972,131 | |
PagerDuty, Inc. | |||
1.25% due 07/01/251 | 829,000 | 818,643 | |
BigCommerce Holdings, Inc. | |||
0.25% due 10/01/261 | 1,024,000 | 810,496 | |
Rohm Company Ltd. | |||
due 12/05/241,4 | JPY 100,000,000 | 785,649 | |
Xero Investments Ltd. | |||
due 12/02/251,4 | 865,000 | 780,663 | |
Ferrotec Holdings Corp. | |||
due 06/23/281,4 | JPY 90,000,000 | 724,504 | |
Cloudflare, Inc. | |||
due 08/15/261,4 | 822,000 | 708,564 | |
Total Technology | 63,035,024 | ||
Consumer, Non-cyclical - 13.9% | |||
Dexcom, Inc. | |||
0.38% due 05/15/281,3 | 4,100,000 | 4,141,000 | |
0.25% due 11/15/251 | 1,982,000 | 2,095,007 | |
Sarepta Therapeutics, Inc. | |||
1.25% due 09/15/271,3 | 5,714,000 | 6,074,774 | |
QIAGEN N.V. | |||
1.00% due 11/13/241 | 4,400,000 | 4,809,119 | |
Affirm Holdings, Inc. | |||
due 11/15/261,4 | 6,040,000 | 4,507,350 | |
Shift4 Payments, Inc. | |||
due 12/15/251,4 | 3,867,000 | 4,218,897 | |
Halozyme Therapeutics, Inc. | |||
1.00% due 08/15/281,3 | 3,945,000 | 3,958,808 | |
Exact Sciences Corp. | |||
0.38% due 03/15/271 | 1,770,000 | 1,948,106 | |
0.38% due 03/01/281 | 1,344,000 | 1,400,948 | |
Jazz Investments I Ltd. | |||
2.00% due 06/15/261 | 2,980,000 | 3,099,200 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
Face Amount~ |
Value | ||
CONVERTIBLE BONDS†† - 77.0% (continued) | |||
Consumer, Non-cyclical - 13.9% (continued) | |||
Block, Inc. | |||
0.13% due 03/01/251 | 2,774,000 | $2,754,582 | |
Alnylam Pharmaceuticals, Inc. | |||
1.00% due 09/15/271,3 | 2,281,000 | 2,237,215 | |
Omnicell, Inc. | |||
0.25% due 09/15/251 | 2,328,000 | 2,236,044 | |
Amadeus IT Group S.A. | |||
1.50% due 04/09/251 | EUR 1,100,000 | 1,515,693 | |
Haemonetics Corp. | |||
due 03/01/261,4 | 1,682,000 | 1,463,418 | |
Elis S.A. | |||
2.25% due 09/22/291 | EUR 1,000,000 | 1,410,555 | |
Post Holdings, Inc. | |||
2.50% due 08/15/271,3 | 1,293,000 | 1,291,707 | |
Cytokinetics, Inc. | |||
3.50% due 07/01/271 | 1,325,000 | 1,232,899 | |
Lantheus Holdings, Inc. | |||
2.63% due 12/15/271,3 | 859,000 | 1,146,142 | |
Mirum Pharmaceuticals, Inc. | |||
4.00% due 05/01/291,3 | 953,000 | 1,072,721 | |
Insulet Corp. | |||
0.38% due 09/01/261 | 735,000 | 977,183 | |
TransMedics Group, Inc. | |||
1.50% due 06/01/281,3 | 741,000 | 907,112 | |
Bridgebio Pharma, Inc. | |||
2.50% due 03/15/271 | 730,000 | 813,897 | |
Envista Holdings Corp. | |||
2.38% due 06/01/251 | 468,000 | 793,573 | |
Natera, Inc. | |||
2.25% due 05/01/271 | 563,000 | 772,157 | |
Guardant Health, Inc. | |||
due 11/15/271,4 | 1,041,000 | 766,351 | |
Herbalife Ltd. | |||
2.63% due 03/15/241 | 791,000 | 766,084 | |
Chefs' Warehouse, Inc. | |||
2.38% due 12/15/281,3 | 720,000 | 762,120 | |
Cutera, Inc. | |||
4.00% due 06/01/291,3 | 1,040,000 | 753,480 | |
BioMarin Pharmaceutical, Inc. | |||
1.25% due 05/15/271 | 738,000 | 744,814 | |
Cerevel Therapeutics Holdings, Inc. | |||
2.50% due 08/15/271,3 | 770,000 | 736,505 | |
Ionis Pharmaceuticals, Inc. | |||
1.75% due 06/15/281,3 | 679,000 | 682,395 | |
Total Consumer, Non-cyclical | 62,089,856 | ||
Communications - 11.0% | |||
Zillow Group, Inc. | |||
1.38% due 09/01/261 | 4,918,000 | 6,548,317 | |
Liberty Media Corp. | |||
3.75% due 03/15/281,3 | 4,586,000 | 5,007,912 | |
Match Group Financeco 3, Inc. | |||
2.00% due 01/15/301,3 | 4,736,000 | 4,434,867 | |
Palo Alto Networks, Inc. | |||
0.38% due 06/01/251 | 1,328,000 | 3,344,568 | |
Farfetch Ltd. | |||
3.75% due 05/01/271 | 3,303,000 | 2,660,981 | |
Etsy, Inc. | |||
0.13% due 10/01/261 | 1,503,000 | 1,993,729 | |
0.13% due 09/01/271 | 465,000 | 410,412 | |
Lyft, Inc. | |||
1.50% due 05/15/251 | 2,595,000 | 2,375,722 | |
Snap, Inc. | |||
0.75% due 08/01/261 | 2,474,000 | 2,301,439 | |
DISH Network Corp. | |||
due 12/15/251,4 | 3,709,000 | 2,278,926 | |
Wayfair, Inc. | |||
3.25% due 09/15/271,3 | 1,233,000 | 1,772,438 | |
1.00% due 08/15/261 | 545,000 | 475,329 | |
Delivery Hero SE | |||
3.25% due 02/21/301 | EUR 1,800,000 | 2,013,907 | |
America Movil BV | |||
due 03/02/241,4 | EUR 1,600,000 | 1,904,066 | |
Sea Ltd. | |||
2.38% due 12/01/251 | 1,020,000 | 1,101,600 | |
0.25% due 09/15/261 | 852,000 | 690,120 | |
Viavi Solutions, Inc. | |||
1.63% due 03/15/261,3 | 1,501,000 | 1,534,773 | |
Nice Ltd. | |||
due 09/15/251,4 | 1,483,000 | 1,459,661 | |
Meituan | |||
due 04/27/281,4 | 1,700,000 | 1,412,700 | |
Uber Technologies, Inc. | |||
due 12/15/251,4 | 1,335,000 | 1,288,791 | |
Cable One, Inc. | |||
1.13% due 03/15/281 | 1,387,000 | 1,064,522 | |
Bharti Airtel Ltd. | |||
1.50% due 02/17/251 | 650,000 | 947,263 | |
Ziff Davis, Inc. | |||
1.75% due 11/01/261,3 | 862,000 | 823,210 | |
MakeMyTrip Ltd. | |||
due 02/15/281,4 | 711,000 | 721,076 | |
Booking Holdings, Inc. | |||
0.75% due 05/01/251 | 272,000 | 441,320 | |
Total Communications | 49,007,649 | ||
Financial - 7.3% | |||
Citigroup Global Markets Holdings Incorporated/United States | |||
0.25% due 03/22/281 | 2,702,000 | 3,034,095 | |
0.25% due 01/13/281 | 2,227,000 | 2,049,301 | |
Pebblebrook Hotel Trust | |||
1.75% due 12/15/261 | 5,596,000 | 4,907,739 | |
Realogy Group LLC / Realogy Company-Issuer Corp. | |||
0.25% due 06/15/261 | 4,858,000 | 3,746,975 | |
SoFi Technologies, Inc. | |||
due 10/15/261,3,4 | 4,000,000 | 3,424,000 | |
Morgan Stanley Finance LLC | |||
0.25% due 01/27/281 | 2,882,000 | 2,710,953 | |
JPMorgan Chase Financial Company LLC | |||
0.50% due 06/15/271 | 2,091,000 | 2,697,390 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
Face Amount~ |
Value | ||
CONVERTIBLE BONDS†† - 77.0% (continued) | |||
Financial - 7.3% (continued) | |||
JPMorgan Chase Bank North America | |||
due 06/10/241,4 | EUR 1,200,000 | $1,476,818 | |
due 02/18/241,4 | EUR 600,000 | 704,776 | |
Barclays Bank plc | |||
due 01/24/251,4 | EUR 1,600,000 | 1,852,883 | |
Eve Battery Investment Ltd. | |||
0.75% due 11/22/261 | 1,451,000 | 1,290,665 | |
Vingroup JSC | |||
3.00% due 04/20/261 | 1,400,000 | 1,217,720 | |
Bread Financial Holdings, Inc. | |||
4.25% due 06/15/281,3 | 797,000 | 991,468 | |
SBI Holdings, Inc. | |||
due 07/25/251,4 | JPY 120,000,000 | 957,762 | |
BNP Paribas SA/New York NY | |||
due 05/13/251,4 | EUR 700,000 | 908,775 | |
Redfin Corp. | |||
due 10/15/251,4 | 726,000 | 603,306 | |
Total Financial | 32,574,626 | ||
Energy - 5.6% | |||
Nabors Industries, Inc. | |||
1.75% due 06/15/291,3 | 6,336,000 | 5,515,488 | |
Enphase Energy, Inc. | |||
due 03/01/281,4 | 4,398,000 | 3,984,780 | |
NextEra Energy Partners, LP | |||
due 11/15/251,3,4 | 3,475,000 | 3,144,875 | |
Array Technologies, Inc. | |||
1.00% due 12/01/281 | 2,602,000 | 2,682,662 | |
RAG-Stiftung | |||
1.88% due 11/16/291 | EUR 1,300,000 | 1,511,294 | |
due 06/17/261,4 | EUR 800,000 | 820,649 | |
SolarEdge Technologies, Inc. | |||
due 09/15/251,4 | 1,967,000 | 2,224,677 | |
Pioneer Natural Resources Co. | |||
0.25% due 05/15/251 | 785,000 | 1,886,691 | |
Northern Oil and Gas, Inc. | |||
3.63% due 04/15/291,3 | 1,201,000 | 1,469,325 | |
Equities Corp. | |||
1.75% due 05/01/261 | 435,000 | 1,256,613 | |
CIMC Enric Holdings Ltd. | |||
due 11/30/261,4 | HKD 5,000,000 | 621,257 | |
Total Energy | 25,118,311 | ||
Industrial - 4.7% | |||
Rheinmetall AG | |||
2.25% due 02/07/301 | EUR 2,300,000 | 2,719,492 | |
1.88% due 02/07/281 | EUR 1,000,000 | 1,172,395 | |
Bloom Energy Corp. | |||
3.00% due 06/01/281,3 | 2,203,000 | 2,653,220 | |
2.50% due 08/15/251 | 641,000 | 828,492 | |
Safran S.A. | |||
0.88% due 05/15/271 | 13,679** | 2,354,241 | |
Cellnex Telecom S.A. | |||
0.50% due 07/05/281 | EUR 1,500,000 | 1,732,464 | |
0.75% due 11/20/311 | EUR 700,000 | 599,950 | |
Duerr AG | |||
0.75% due 01/15/261 | EUR 1,200,000 | 1,368,297 | |
SPIE SA | |||
2.00% due 01/17/281 | EUR 1,200,000 | 1,362,540 | |
ZTO Express Cayman, Inc. | |||
1.50% due 09/01/271,3 | 1,265,000 | 1,335,208 | |
DHL Group | |||
0.05% due 06/30/251 | EUR 1,200,000 | 1,306,061 | |
Schneider Electric SE | |||
due 06/15/264 | 4,935** | 1,000,656 | |
World Kinect Corp. | |||
3.25% due 07/01/281,3 | 831,000 | 840,141 | |
Prysmian SpA | |||
due 02/02/261,4 | EUR 700,000 | 796,689 | |
Sika A.G. | |||
0.15% due 06/05/251 | CHF 380,000 | 633,994 | |
Total Industrial | 20,703,840 | ||
Basic Materials - 3.3% | |||
LG Chem Ltd. | |||
1.25% due 07/18/281 | 3,300,000 | 3,504,821 | |
Nippon Steel Corp. | |||
due 10/04/241,4 | JPY 130,000,000 | 1,222,867 | |
due 10/05/261,4 | JPY 130,000,000 | 1,218,064 | |
Glencore Funding LLC | |||
due 03/27/251,4 | 1,800,000 | 1,934,408 | |
due 03/27/254 | 200,000 | 214,934 | |
Ivanhoe Mines Ltd. | |||
2.50% due 04/15/261,3 | 1,083,000 | 1,657,435 | |
SGL Carbon SE | |||
5.75% due 06/28/281 | EUR 1,300,000 | 1,445,891 | |
MP Materials Corp. | |||
0.25% due 04/01/261,3 | 1,359,000 | 1,240,864 | |
Lithium Americas Corp. | |||
1.75% due 01/15/271 | 1,366,000 | 1,058,650 | |
POSCO Holdings Inc. | |||
due 09/01/261,4 | EUR 600,000 | 954,947 | |
Total Basic Materials | 14,452,881 | ||
Utilities - 1.2% | |||
Veolia Environnement S.A. | |||
due 01/01/251,4 | 58,552** | 2,090,418 | |
Duke Energy Corp. | |||
4.13% due 04/15/261,3 | 1,131,000 | 1,116,297 | |
CenterPoint Energy, Inc. | |||
3.37% due 09/15/291 | 26,551** | 1,009,071 | |
CMS Energy Corp. | |||
3.38% due 05/01/281,3 | 652,000 | 652,000 | |
NRG Energy, Inc. | |||
2.75% due 06/01/481 | 608,000 | 649,040 | |
Total Utilities | 5,516,826 | ||
Total Convertible Bonds | |||
(Cost $335,512,906) | 343,312,915 | ||
CORPORATE BONDS†† - 65.0% | |||
Consumer, Cyclical - 20.0% | |||
Ford Motor Credit Company LLC | |||
6.95% due 03/06/261 | 3,073,000 | 3,106,124 | |
2.30% due 02/10/251 | 3,062,000 | 2,873,875 | |
5.58% due 03/18/241 | 2,000,000 | 1,987,512 | |
International Game Technology plc | |||
6.50% due 02/15/251,3 | 3,000,000 | 3,007,200 | |
4.13% due 04/15/261,3 | 2,792,000 | 2,650,341 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
Face Amount~ |
Value | ||
CORPORATE BONDS†† - 65.0% (continued) | |||
Consumer, Cyclical - 20.0% (continued) | |||
Victoria's Secret & Co. | |||
4.63% due 07/15/291,3 | 5,546,000 | $4,168,001 | |
Macy's Retail Holdings LLC | |||
6.13% due 03/15/321,3 | 3,000,000 | 2,680,079 | |
5.88% due 04/01/291,3 | 1,522,000 | 1,415,422 | |
Sands China Ltd. | |||
5.63% due 08/08/251 | 1,676,000 | 1,642,386 | |
5.90% due 08/08/281 | 1,676,000 | 1,632,447 | |
Evergreen Acqco 1 Limited Partnership / TVI, Inc. | |||
9.75% due 04/26/281,3 | 3,041,000 | 3,173,131 | |
American Airlines Incorporated/AAdvantage Loyalty IP Ltd. | |||
5.75% due 04/20/291,3 | 3,251,000 | 3,149,817 | |
Spirit Loyalty Cayman Limited / Spirit IP Cayman Ltd | |||
8.00% due 09/20/251,3 | 2,750,000 | 2,776,067 | |
LSF9 Atlantis Holdings LLC / Victra Finance Corp. | |||
7.75% due 02/15/261,3 | 2,943,000 | 2,762,597 | |
Caesars Entertainment, Inc. | |||
6.25% due 07/01/251,3 | 2,742,000 | 2,729,690 | |
Dave & Buster's, Inc. | |||
7.63% due 11/01/251,3 | 2,578,000 | 2,607,074 | |
SeaWorld Parks & Entertainment, Inc. | |||
5.25% due 08/15/291,3 | 2,812,000 | 2,533,331 | |
Nissan Motor Acceptance Company LLC | |||
2.00% due 03/09/261,3 | 2,793,000 | 2,497,472 | |
Hilton Domestic Operating Company, Inc. | |||
4.00% due 05/01/311,3 | 2,850,000 | 2,488,303 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | |||
5.50% due 03/01/251,3 | 2,311,000 | 2,269,572 | |
Abercrombie & Fitch Management Co. | |||
8.75% due 07/15/251,3 | 2,235,000 | 2,268,931 | |
MGM Resorts International | |||
6.75% due 05/01/251 | 2,221,000 | 2,232,667 | |
Ferrellgas Limited Partnership / Ferrellgas Finance Corp. | |||
5.88% due 04/01/291,3 | 2,355,000 | 2,028,211 | |
Live Nation Entertainment, Inc. | |||
3.75% due 01/15/281,3 | 2,235,000 | 2,007,611 | |
Kontoor Brands, Inc. | |||
4.13% due 11/15/291,3 | 2,108,000 | 1,804,332 | |
Windsor Holdings III LLC | |||
8.50% due 06/15/301,3 | 1,788,000 | 1,799,175 | |
Dealer Tire LLC / DT Issuer LLC | |||
8.00% due 02/01/281,3 | 1,931,000 | 1,778,158 | |
VistaJet Malta Finance plc / Vista Management Holding, Inc. | |||
6.38% due 02/01/301,3 | 2,032,000 | 1,722,557 | |
Aston Martin Capital Holdings Ltd. | |||
10.50% due 11/30/251,3 | 1,676,000 | 1,696,298 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | |||
6.75% due 01/15/301,3 | 1,955,000 | 1,682,803 | |
Nordstrom, Inc. | |||
2.30% due 04/08/241 | 1,708,000 | 1,655,752 | |
American Airlines, Inc. | |||
11.75% due 07/15/251,3 | 1,476,000 | 1,623,997 | |
Jacobs Entertainment, Inc. | |||
6.75% due 02/15/291,3 | 1,762,000 | 1,603,517 | |
Carnival Corp. | |||
4.00% due 08/01/281,3 | 1,751,000 | 1,558,683 | |
Carnival Holdings Bermuda Ltd. | |||
10.38% due 05/01/281,3 | 1,397,000 | 1,525,956 | |
Vista Outdoor, Inc. | |||
4.50% due 03/15/291,3 | 1,763,000 | 1,500,339 | |
NCL Corporation Ltd. | |||
7.75% due 02/15/291,3 | 1,416,000 | 1,357,523 | |
Bath & Body Works, Inc. | |||
6.88% due 11/01/351 | 1,396,000 | 1,296,698 | |
Staples, Inc. | |||
7.50% due 04/15/261,3 | 1,397,000 | 1,155,704 | |
American Greetings Corp. | |||
8.75% due 04/15/251,3 | 1,111,000 | 1,076,241 | |
Hanesbrands, Inc. | |||
9.00% due 02/15/311,3 | 1,000,000 | 1,019,735 | |
Michaels Companies, Inc. | |||
7.88% due 05/01/291,3 | 1,399,000 | 995,025 | |
Michael Kors USA, Inc. | |||
4.25% due 11/01/241,3 | 975,000 | 943,805 | |
Ford Motor Co. | |||
6.10% due 08/19/321 | 951,000 | 920,540 | |
Total Consumer, Cyclical | 89,404,699 | ||
Communications - 10.9% | |||
CCO Holdings LLC / CCO Holdings Capital Corp. | |||
5.00% due 02/01/281,3 | 2,729,000 | 2,524,518 | |
4.25% due 01/15/341,3 | 2,752,000 | 2,119,243 | |
Sirius XM Radio, Inc. | |||
4.00% due 07/15/281,3 | 3,212,000 | 2,797,711 | |
3.13% due 09/01/261,3 | 2,000,000 | 1,808,880 | |
Urban One, Inc. | |||
7.38% due 02/01/281,3 | 5,159,000 | 4,560,556 | |
News Corp. | |||
5.13% due 02/15/321,3 | 3,391,000 | 3,105,817 | |
Match Group Holdings II LLC | |||
4.13% due 08/01/301,3 | 3,104,000 | 2,681,390 | |
Ciena Corp. | |||
4.00% due 01/31/301,3 | 2,831,000 | 2,479,956 | |
Directv Financing LLC / Directv Financing Company-Obligor, Inc. | |||
5.88% due 08/15/271,3 | 2,708,000 | 2,445,400 | |
Nexstar Media, Inc. | |||
4.75% due 11/01/281,3 | 2,562,000 | 2,260,478 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
Face Amount~ |
Value | ||
CORPORATE BONDS†† - 65.0% (continued) | |||
Communications - 10.9% (continued) | |||
Stagwell Global LLC | |||
5.63% due 08/15/291,3 | 2,648,000 | $2,256,096 | |
Rakuten Group, Inc. | |||
10.25% due 11/30/241,3 | 2,221,000 | 2,220,048 | |
Acuris Finance US Incorporated / Acuris Finance SARL | |||
5.00% due 05/01/281,3 | 2,729,000 | 2,170,687 | |
McGraw-Hill Education, Inc. | |||
8.00% due 08/01/291,3 | 2,508,000 | 2,159,526 | |
Level 3 Financing, Inc. | |||
3.75% due 07/15/291,3 | 1,676,000 | 1,101,129 | |
3.40% due 03/01/271,3 | 1,117,000 | 981,967 | |
CSC Holdings LLC | |||
5.25% due 06/01/241 | 2,220,000 | 2,072,456 | |
Cable One, Inc. | |||
4.00% due 11/15/301,3 | 2,233,000 | 1,767,643 | |
Cablevision Lightpath LLC | |||
5.63% due 09/15/281,3 | 1,991,000 | 1,518,239 | |
DISH Network Corp. | |||
11.75% due 11/15/271,3 | 1,392,000 | 1,404,481 | |
CommScope, Inc. | |||
8.25% due 03/01/271,3 | 1,675,000 | 1,269,769 | |
DISH DBS Corp. | |||
5.25% due 12/01/261,3 | 1,392,000 | 1,144,898 | |
Intelsat Jackson Holdings S.A. | |||
6.50% due 03/15/301,3 | 1,117,000 | 1,023,146 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | |||
3.50% due 06/01/411 | 1,106,000 | 745,500 | |
Total Communications | 48,619,534 | ||
Consumer, Non-cyclical - 10.6% | |||
Primo Water Holdings, Inc. | |||
4.38% due 04/30/291,3 | 3,749,000 | 3,265,540 | |
Land O'Lakes Capital Trust I | |||
7.45% due 03/15/281,3 | 3,212,000 | 3,035,340 | |
TriNet Group, Inc. | |||
3.50% due 03/01/291,3 | 3,222,000 | 2,818,058 | |
Encompass Health Corp. | |||
4.63% due 04/01/311 | 2,987,000 | 2,656,808 | |
Adtalem Global Education, Inc. | |||
5.50% due 03/01/281,3 | 2,794,000 | 2,601,963 | |
Pediatrix Medical Group, Inc. | |||
5.38% due 02/15/301,3 | 2,716,000 | 2,453,643 | |
Prestige Brands, Inc. | |||
3.75% due 04/01/311,3 | 2,793,000 | 2,341,225 | |
Teva Pharmaceutical Finance Netherlands III BV | |||
6.75% due 03/01/281 | 2,235,000 | 2,213,639 | |
Varex Imaging Corp. | |||
7.88% due 10/15/271,3 | 2,183,000 | 2,193,053 | |
ASGN, Inc. | |||
4.63% due 05/15/281,3 | 2,272,000 | 2,085,425 | |
Edgewell Personal Care Co. | |||
4.13% due 04/01/291,3 | 2,345,000 | 2,053,575 | |
Sotheby's | |||
7.38% due 10/15/271,3 | 2,234,000 | 1,981,659 | |
Kedrion SpA | |||
6.50% due 09/01/291,3 | 2,236,000 | 1,934,140 | |
Central Garden & Pet Co. | |||
4.13% due 04/30/311,3 | 2,286,000 | 1,910,133 | |
Service Corporation International | |||
3.38% due 08/15/301 | 2,271,000 | 1,895,575 | |
Tenet Healthcare Corp. | |||
4.38% due 01/15/301 | 2,115,000 | 1,888,256 | |
HLF Financing SARL LLC / Herbalife International, Inc. | |||
4.88% due 06/01/291,3 | 2,326,000 | 1,770,551 | |
Mobius Merger Sub, Inc. | |||
9.00% due 06/01/301,3 | 1,955,000 | 1,764,272 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | |||
7.00% due 12/31/271,3 | 1,955,000 | 1,715,683 | |
LifePoint Health, Inc. | |||
9.88% due 08/15/303 | 1,676,000 | 1,676,699 | |
MPH Acquisition Holdings LLC | |||
5.50% due 09/01/281,3 | 1,759,000 | 1,530,738 | |
CHS/Community Health Systems, Inc. | |||
5.25% due 05/15/301,3 | 1,675,000 | 1,341,868 | |
Total Consumer, Non-cyclical | 47,127,843 | ||
Energy - 10.0% | |||
Venture Global LNG, Inc. | |||
8.38% due 06/01/311,3 | 3,072,000 | 3,120,517 | |
Permian Resources Operating LLC | |||
5.88% due 07/01/291,3 | 3,135,000 | 2,989,580 | |
Genesis Energy Limited Partnership / Genesis Energy Finance Corp. | |||
8.88% due 04/15/301 | 2,794,000 | 2,790,160 | |
Nabors Industries, Inc. | |||
7.38% due 05/15/271,3 | 2,652,000 | 2,596,281 | |
Tallgrass Energy Partners Limited Partnership / Tallgrass Energy Finance Corp. | |||
6.00% due 03/01/271,3 | 2,672,000 | 2,534,541 | |
Hilcorp Energy I Limited Partnership / Hilcorp Finance Co. | |||
6.25% due 04/15/321,3 | 2,651,000 | 2,412,133 | |
Civitas Resources, Inc. | |||
8.75% due 07/01/311,3 | 2,236,000 | 2,317,055 | |
Transocean, Inc. | |||
8.75% due 02/15/301,3 | 2,233,000 | 2,313,836 | |
Parkland Corp. | |||
4.63% due 05/01/301,3 | 2,632,000 | 2,312,301 | |
Calumet Specialty Products Partners Limited Partnership / Calumet Finance Corp. | |||
9.75% due 07/15/281,3 | 2,235,000 | 2,232,131 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
Face Amount~ |
Value | ||
CORPORATE BONDS†† - 65.0% (continued) | |||
Energy - 10.0% (continued) | |||
Martin Midstream Partners Limited Partnership / Martin Midstream Finance Corp. | |||
11.50% due 02/15/281,3 | 2,235,000 | $2,209,555 | |
Harvest Midstream I, LP | |||
7.50% due 09/01/281,3 | 2,202,000 | 2,166,072 | |
Alliance Resource Operating Partners Limited Partnership / Alliance Resource Finance Corp. | |||
7.50% due 05/01/251,3 | 1,985,000 | 1,983,335 | |
CNX Resources Corp. | |||
7.38% due 01/15/311,3 | 1,988,000 | 1,972,962 | |
Aethon United BR Limited Partnership / Aethon United Finance Corp. | |||
8.25% due 02/15/261,3 | 1,956,000 | 1,942,870 | |
Vermilion Energy, Inc. | |||
6.88% due 05/01/301,3 | 2,047,000 | 1,900,098 | |
Southwestern Energy Co. | |||
5.38% due 03/15/301 | 2,009,000 | 1,881,768 | |
EnLink Midstream Partners, LP | |||
5.60% due 04/01/441 | 2,218,000 | 1,827,311 | |
Northern Oil and Gas, Inc. | |||
8.75% due 06/15/311,3 | 1,676,000 | 1,690,874 | |
New Fortress Energy, Inc. | |||
6.50% due 09/30/261,3 | 1,640,000 | 1,506,791 | |
Total Energy | 44,700,171 | ||
Technology - 4.6% | |||
Open Text Corp. | |||
3.88% due 12/01/291,3 | 2,793,000 | 2,365,287 | |
Synaptics, Inc. | |||
4.00% due 06/15/291,3 | 2,681,000 | 2,317,167 | |
Consensus Cloud Solutions, Inc. | |||
6.50% due 10/15/281,3 | 2,622,000 | 2,269,053 | |
Seagate HDD Cayman | |||
5.75% due 12/01/341 | 1,644,000 | 1,459,521 | |
8.50% due 07/15/311,3 | 559,000 | 584,230 | |
Playtika Holding Corp. | |||
4.25% due 03/15/291,3 | 2,068,000 | 1,826,949 | |
McAfee Corp. | |||
7.38% due 02/15/301,3 | 1,985,000 | 1,717,409 | |
Kyndryl Holdings, Inc. | |||
4.10% due 10/15/411 | 2,528,000 | 1,670,312 | |
NCR Corp. | |||
5.13% due 04/15/291,3 | 1,704,000 | 1,525,323 | |
MSCI, Inc. | |||
3.88% due 02/15/311,3 | 1,676,000 | 1,488,824 | |
CA Magnum Holdings | |||
5.38% due 10/31/261,3 | 1,586,000 | 1,478,945 | |
Ahead DB Holdings LLC | |||
6.63% due 05/01/281,3 | 1,393,000 | 1,203,364 | |
Alteryx, Inc. | |||
1.00% due 08/01/261 | 928,000 | 789,960 | |
Total Technology | 20,696,344 | ||
Financial - 3.3% | |||
Iron Mountain, Inc. | |||
4.50% due 02/15/311,3 | 2,644,000 | 2,280,463 | |
7.00% due 02/15/291,3 | 559,000 | 561,478 | |
PRA Group, Inc. | |||
5.00% due 10/01/291,3 | 3,536,000 | 2,700,443 | |
Realogy Group LLC / Realogy Company-Issuer Corp. | |||
5.75% due 01/15/291,3 | 2,514,000 | 1,862,862 | |
Aretec Escrow Issuer, Inc. | |||
7.50% due 04/01/291,3 | 1,940,000 | 1,755,185 | |
Radian Group, Inc. | |||
4.88% due 03/15/271 | 1,647,000 | 1,567,335 | |
NMI Holdings, Inc. | |||
7.38% due 06/01/251,3 | 1,546,000 | 1,562,677 | |
Acrisure LLC / Acrisure Finance, Inc. | |||
10.13% due 08/01/261,3 | 1,397,000 | 1,431,408 | |
OneMain Finance Corp. | |||
7.13% due 03/15/261 | 1,117,000 | 1,107,329 | |
Total Financial | 14,829,180 | ||
Industrial - 3.1% | |||
Sealed Air Corp. | |||
6.88% due 07/15/331,3 | 2,291,000 | 2,397,852 | |
Bombardier, Inc. | |||
7.13% due 06/15/261,3 | 2,318,000 | 2,292,272 | |
Energizer Holdings, Inc. | |||
4.38% due 03/31/291,3 | 2,513,000 | 2,180,744 | |
VM Consolidated, Inc. | |||
5.50% due 04/15/291,3 | 2,090,000 | 1,919,883 | |
Clydesdale Acquisition Holdings, Inc. | |||
8.75% due 04/15/301,3 | 2,035,000 | 1,847,142 | |
Embraer Netherlands Finance BV | |||
7.00% due 07/28/301,3 | 1,676,000 | 1,698,626 | |
Rand Parent LLC | |||
8.50% due 02/15/301,3 | 1,398,000 | 1,316,415 | |
Total Industrial | 13,652,934 | ||
Basic Materials - 1.7% | |||
First Quantum Minerals Ltd. | |||
8.63% due 06/01/311,3 | 2,235,000 | 2,290,875 | |
FMG Resources August 2006 Pty Ltd. | |||
4.38% due 04/01/311,3 | 2,536,000 | 2,183,927 | |
Ingevity Corp. | |||
3.88% due 11/01/281,3 | 2,223,000 | 1,918,868 | |
Chemours Co. | |||
4.63% due 11/15/291,3 | 1,376,000 | 1,162,176 | |
Total Basic Materials | 7,555,846 | ||
Utilities - 0.8% | |||
NRG Energy, Inc. | |||
5.25% due 06/15/291,3 | 3,968,000 | 3,584,726 | |
Total Corporate Bonds | |||
(Cost $299,668,896) | 290,171,277 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
ASSET-BACKED SECURITIES††,◊ - 9.2% | |||
Collateralized Loan Obligations - 9.2% | |||
720 East CLO Ltd. | |||
2023-IA, 10.73% (3 Month Term SOFR + 5.85%, Rate Floor: 5.85%) due 04/15/361,3 | 4,000,000 | $3,963,468 | |
Dryden 49 Senior Loan Fund | |||
2021-49A, 8.97% (3 Month Term SOFR + 3.66%, Rate Floor: 3.40%) due 07/18/301,3 | 4,000,000 | 3,683,228 | |
Sound Point CLO III-R Ltd. | |||
2018-2RA, 8.52% (3 Month Term SOFR + 3.21%, Rate Floor: 3.21%) due 04/15/291,3 | 3,500,000 | 3,388,959 | |
Galaxy 31 CLO Ltd. | |||
2023-31A, 10.03% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 04/15/361,3 | 3,400,000 | 3,387,658 | |
Park Blue CLO Ltd. | |||
2023-3A, 10.36% (3 Month Term SOFR + 5.40%, Rate Floor: 5.40%) due 04/20/361,3 | 3,400,000 | 3,380,566 | |
1988 CLO 2 Ltd. | |||
2023-2A, 11.22% (3 Month Term SOFR + 6.40%, Rate Floor: 6.40%) due 04/15/381,3 | 3,000,000 | 3,017,073 | |
Barrow Hanley CLO I Ltd. | |||
2023-1A, 11.03% (3 Month Term SOFR + 6.16%, Rate Floor: 6.16%) due 04/20/351,3 | 3,000,000 | 3,011,715 | |
Crown City CLO V | |||
2023-5A, 10.59% (3 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 04/20/341,3 | 3,000,000 | 3,002,169 | |
Fortress Credit BSL Ltd. | |||
2023-1A, 11.22% (3 Month Term SOFR + 6.17%, Rate Floor: 6.17%) due 04/23/361,3 | 3,000,000 | 2,989,419 | |
Invesco US CLO Ltd. | |||
2023-2A, 9.81% (3 Month Term SOFR + 4.95%, Rate Floor: 4.95%) due 04/21/361,3 | 2,750,000 | 2,664,398 | |
Parallel Ltd. | |||
2023-1A, 11.43% (3 Month Term SOFR + 6.17%, Rate Floor: 6.17%) due 07/20/361,3 | 2,500,000 | 2,515,175 | |
OZLM XXIV Ltd. | |||
2021-24A, 8.99% (3 Month Term SOFR + 3.66%, Rate Floor: 3.66%) due 07/20/321,3 | 2,500,000 | 2,307,047 | |
Sound Point CLO XXVII Ltd. | |||
2021-2A, 8.96% (3 Month Term SOFR + 3.61%, Rate Floor: 3.35%) due 10/25/341,3 | 2,500,000 | 2,207,323 | |
Empower CLO Ltd. | |||
2023-2A, 10.74% (3 Month Term SOFR + 5.40%, Rate Floor: 5.40%) due 07/15/363 | 1,500,000 | 1,500,000 | |
Total Collateralized Loan Obligations | 41,018,198 | ||
Total Asset-Backed Securities | |||
(Cost $41,162,722) | 41,018,198 | ||
SENIOR FLOATING RATE INTERESTS††,◊ - 1.6% | |||
Industrial - 1.1% | |||
TransDigm, Inc. | |||
8.57% (1 Month Term SOFR +3.25%, Rate Floor : 3.25%) due 08/24/28 | 2,761,635 | 2,762,721 | |
Emerald Debt Merger Sub LLC | |||
8.32% (1 Month Term SOFR +3.00%, Ratle Floor: 3.00%) due 05/05/30 | 2,295,872 | 2,295,155 | |
Total Industrial | 5,057,876 | ||
Consumer, Cyclical - 0.5% | |||
Alterra Mountain Co. | |||
8.93% (1 Month USD LIBOR +3.50%, Rate Floor: 4.00%) due 08/17/28 | 2,316,285 | 2,311,074 | |
Total Senior Floating Rate Interests | |||
(Cost $7,321,931) | 7,368,950 | ||
Total Investments - 177.1% | |||
(Cost $788,531,777) | $ 790,051,403 | ||
Other Assets & Liabilities, net - (77.1)% | (344,017,604) | ||
Total Net Assets - 100.0% | $ 446,033,799 |
Forward Foreign Currency Exchange Contracts†† | ||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation (Depreciation) |
Bank of New York Mellon | JPY | Sell | 992,158,000 | 7,186,690 USD | 09/13/23 | $152,869 |
Bank of New York Mellon | EUR | Buy | 1,410,898 | 1,554,861 USD | 09/13/23 | 4,254 |
Bank of New York Mellon | HKD | Buy | 2,107,000 | 269,995 USD | 09/13/23 | 274 |
Bank of New York Mellon | HKD | Sell | 33,384,640 | 4,269,802 USD | 09/13/23 | (12,514) |
Bank of New York Mellon | GBP | Sell | 542,350 | 681,623 USD | 09/13/23 | (16,332) |
Bank of New York Mellon | CHF | Sell | 514,708 | 576,152 USD | 09/13/23 | (20,562) |
Bank of New York Mellon | EUR | Sell | 39,288,209 | 42,136,100 USD | 09/13/23 | (831,105) |
$(723,116) | ||||||
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
~ | 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. |
◊ | Variable rate security. Rate indicated is the rate effective at July 31, 2023. 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. |
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, 2023, the total value of securities segregated was $768,384,934. |
2 | Rate indicated is the 7-day yield as of July 31, 2023. |
3 | 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 $379,818,824 (cost $384,044,385), or 85.2% of total net assets. |
4 | Zero coupon rate security. |
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 | |
SARL — Société à Responsabilité Limitée | |
SOFR — Secured Overnight Financing Rate | |
See Sector Classification in Other Information section. | |
The following table summarizes the inputs used to value the Fund's investments at July 31, 2023 (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 | $ 63,260,505 | $ — | $ — | $ 63,260,505 | |
Convertible Preferred Stocks | 23,757,934 | — | — | 23,757,934 | |
Closed-End Funds | 4,376,000 | — | — | 4,376,000 | |
Money Market Fund | 16,785,624 | — | — | 16,785,624 | |
Convertible Bonds | — | 343,312,915 | — | 343,312,915 | |
Corporate Bonds | — | 290,171,277 | — | 290,171,277 | |
Asset-Backed Securities | — | 41,018,198 | 41,018,198 | ||
Senior Floating Rate Interests | — | 7,368,950 | — | 7,368,950 | |
Forward Foreign Currency Exchange Contracts** | — | 157,397 | — | 157,397 | |
Total Assets | $ 108,180,063 | $ 682,028,737 | $— | $ 790,208,800 | |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |
Forward Foreign Currency Exchange Contracts** | $ — | $ 880,513 | $ — | $ 880,513 | |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
** 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 $176,022,143 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, 2023.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | July 31, 2023 |
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”) adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated Advent Capital Management, LLC (“Advent” or the “Adviser”) as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes a valuation committee (the “Valuation Committee”), in the fair value of the Fund's securities and 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 Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed 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 Adviser.
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. Closed-end investment companies are valued at the last quoted sale price.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
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, 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.
Commercial paper and discount notes are valued based on prices provided by independent pricing services or, if not available or if the 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. Commercial paper and discount notes with remaining maturities of 60 days or less at the time of valuation are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service. Commercial paper and discount notes 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.
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 Adviser.
Exchange-traded options are valued at the closing price, or if not traded that day at the mean of the bid and ask prices on the principal exchange on which they are traded.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. 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 a variety of 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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) continued | July 31, 2023 |
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.
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 between market participants at the measurement date. 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 — unadjusted 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) continued | July 31, 2023 |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
Note 4 – Federal Income Tax Information
The Fund intends to continue to comply with the requirements 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, 2023, 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) |
$ 792,538,208 | $ 26,086,874 | $ (29,296,795) | $ (3,209,921) |
Note 5 - Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Other Information (Unaudited) | July 31, 2023 |
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.