·
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Daily, weekly and monthly data on share prices, net asset values, dividends and more
|
·
|
Portfolio overviews and performance analyses
|
·
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Announcements, press releases and special notices
|
·
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Fund and adviser contact information
|
(Unaudited)
|
April 30, 2017
|
DEAR SHAREHOLDER (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited)
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
QUESTIONS & ANSWERS (Unaudited) continued
|
April 30, 2017
|
FUND SUMMARY (Unaudited)
|
April 30, 2017
|
Fund Statistics
|
|
Share Price
|
$8.71
|
Net Asset Value
|
$9.44
|
Discount to NAV
|
-7.73%
|
Net Assets ($000)
|
$128,476
|
AVERAGE ANNUAL TOTAL RETURNS
|
|
|
|
|
|
FOR THE PERIOD ENDED APRIL 30, 2017
|
|
|
|
|
|
|
Six-month
|
|
|
|
|
|
(non-
|
One
|
Three
|
Five
|
Ten
|
|
annualized)
|
Year
|
Year
|
Year
|
Year
|
Advent/Claymore Enhanced
|
|
|
|
|
|
Growth & Income Fund
|
|
|
|
|
|
NAV
|
7.79%
|
11.77%
|
2.20%
|
5.45%
|
1.00%
|
Market
|
12.20%
|
14.03%
|
4.94%
|
6.94%
|
1.50%
|
Portfolio Breakdown
|
% of Net Assets
|
Investments:
|
|
Convertible Bonds
|
72.4%
|
Corporate Bonds
|
40.3%
|
Short Term Investments
|
9.0%
|
Common Stocks
|
8.6%
|
Convertible Preferred Stocks
|
8.2%
|
Senior Floating Rate Interests
|
0.6%
|
Total Investments
|
139.1%
|
Other Assets & Liabilities, net
|
-39.1%
|
Net Assets
|
100.0%
|
FUND SUMMARY (Unaudited) continued
|
April 30, 2017
|
FUND SUMMARY (Unaudited) continued
|
April 30, 2017
|
Country Breakdown
|
% of Long-Term Investments
|
United States
|
66.7%
|
Japan
|
5.1%
|
Bermuda
|
3.6%
|
Canada
|
3.0%
|
Cayman Islands
|
2.8%
|
Netherlands
|
2.7%
|
Germany
|
2.1%
|
France
|
1.9%
|
Jersey
|
1.6%
|
United Kingdom
|
1.6%
|
Austria
|
1.3%
|
Ireland
|
1.2%
|
Taiwan
|
1.0%
|
China
|
1.0%
|
Hungary
|
0.6%
|
Switzerland
|
0.5%
|
Norway
|
0.5%
|
Spain
|
0.5%
|
Israel
|
0.5%
|
Mexico
|
0.4%
|
Belgium
|
0.4%
|
India
|
0.3%
|
Luxembourg
|
0.3%
|
Australia
|
0.2%
|
Marshall Islands
|
0.1%
|
Liberia
|
0.1%
|
Subject to change daily.
|
|
PORTFOLIO OF INVESTMENTS (Unaudited)
|
April 30, 2017
|
|
Shares
|
Value
|
COMMON STOCKS† – 8.6%
|
|
|
Consumer, Non-cyclical – 2.5%
|
|
|
Bristol-Myers Squibb Co.1,2
|
15,900
|
$ 891,195
|
Macquarie Infrastructure Corp.1,2
|
9,433
|
767,563
|
Biogen, Inc.2,11
|
2,700
|
732,267
|
Merck & Company, Inc.1
|
8,000
|
498,640
|
Gilead Sciences, Inc.1
|
4,200
|
287,910
|
Total Consumer, Non-cyclical
|
|
3,177,575
|
|
||
Consumer, Cyclical – 2.1%
|
|
|
General Motors Co.1,2
|
26,000
|
900,640
|
L Brands, Inc.1,2
|
12,200
|
644,282
|
Ford Motor Co.1
|
49,297
|
565,437
|
American Airlines Group, Inc.1,2
|
12,700
|
541,274
|
Total Consumer, Cyclical
|
|
2,651,633
|
|
||
Industrial – 1.9%
|
|
|
United Parcel Service, Inc. — Class B1,2
|
9,000
|
967,140
|
Lockheed Martin Corp.1,2
|
3,300
|
889,185
|
Koninklijke Philips N.V.1
|
17,107
|
592,764
|
Total Industrial
|
|
2,449,089
|
|
||
Communications – 1.6%
|
|
|
Alphabet, Inc. — Class C11
|
900
|
815,364
|
Verizon Communications, Inc.1,2
|
15,800
|
725,378
|
CenturyLink, Inc.1,2
|
21,000
|
539,070
|
Total Communications
|
|
2,079,812
|
|
||
Basic Materials – 0.5%
|
|
|
LyondellBasell Industries N.V. — Class A1,2
|
7,500
|
635,700
|
Total Common Stocks
|
|
|
(Cost $10,803,597)
|
|
10,993,809
|
|
||
CONVERTIBLE PREFERRED STOCKS† – 8.2%
|
|
|
Consumer, Non-cyclical – 3.2%
|
|
|
Allergan plc
|
|
|
5.50% due 03/01/181
|
2,347
|
2,031,986
|
Anthem, Inc.
|
|
|
5.25% due 05/01/181,2
|
23,898
|
1,227,879
|
Teva Pharmaceutical Industries Ltd.
|
|
|
7.00% due 12/15/18
|
1,048
|
598,408
|
7.00% due 12/15/18
|
409
|
233,539
|
Total Consumer, Non-cyclical
|
|
4,091,812
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Shares
|
Value
|
CONVERTIBLE PREFERRED STOCKS† – 8.2% (continued)
|
|
|
Industrial – 2.2%
|
|
|
Belden, Inc.
|
|
|
6.75% due 07/15/191
|
10,269
|
$ 1,011,188
|
Stericycle, Inc.
|
|
|
5.25% due 09/15/181,2
|
12,600
|
932,526
|
Arconic, Inc.
|
|
|
5.38% due 10/01/171
|
20,725
|
879,984
|
Total Industrial
|
|
2,823,698
|
|
||
Financial – 1.3%
|
|
|
Mandatory Exchangeable Trust
|
|
|
5.75% due 06/03/193
|
6,993
|
962,341
|
AMG Capital Trust II
|
|
|
5.15% due 10/15/371
|
8,607
|
492,751
|
Wells Fargo & Co.
|
|
|
7.50%1,4
|
208
|
263,952
|
Total Financial
|
|
1,719,044
|
|
||
Energy – 0.7%
|
|
|
Hess Corp.
|
|
|
8.00% due 02/01/191
|
13,550
|
820,317
|
|
||
Utilities – 0.5%
|
|
|
Great Plains Energy, Inc.
|
|
|
7.00% due 09/15/19
|
12,000
|
649,200
|
|
||
Communications – 0.3%
|
|
|
Frontier Communications Corp.
|
|
|
11.13% due 06/29/181,2
|
8,328
|
369,264
|
Total Convertible Preferred Stocks
|
|
|
(Cost $10,883,014)
|
|
10,473,335
|
|
||
SHORT TERM INVESTMENTS† – 9.0%
|
|
|
Morgan Stanley Institutional Liquidity Government Portfolio
|
|
|
0.47%5
|
11,592,729
|
11,592,729
|
Total Short Term Investments
|
|
|
(Cost $11,592,729)
|
|
11,592,729
|
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
CONVERTIBLE BONDS†† – 72.4%
|
|
|
Technology – 14.4%
|
|
|
Micron Technology, Inc.
|
|
|
3.00% due 11/15/431,2
|
1,904,000
|
$ 2,065,838
|
Lam Research Corp.
|
|
|
1.25% due 05/15/181,2
|
612,000
|
1,463,445
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CONVERTIBLE BONDS†† – 72.4% (continued)
|
|
|
Technology – 14.4% (continued)
|
|
|
Microchip Technology, Inc.
|
|
|
1.63% due 02/15/271,2,3
|
1,396,000
|
$ 1,436,134
|
ON Semiconductor Corp.
|
|
|
1.00% due 12/01/201,2
|
700,000
|
741,563
|
1.63% due 10/15/233
|
638,000
|
640,393
|
Intel Corp.
|
|
|
3.48% due 12/15/351,2
|
980,000
|
1,337,087
|
Cypress Semiconductor Corp.
|
|
|
4.50% due 01/15/221,3
|
762,000
|
941,546
|
BroadSoft, Inc.
|
|
|
1.00% due 09/01/22
|
785,000
|
916,978
|
ServiceNow, Inc.
|
|
|
0.00% due 11/01/181,6
|
589,000
|
795,149
|
Electronics For Imaging, Inc.
|
|
|
0.75% due 09/01/19
|
720,000
|
766,800
|
Nanya Technology Corp.
|
|
|
0.00% due 01/24/226
|
600,000
|
651,750
|
ASM Pacific Technology Ltd.
|
|
|
2.00% due 03/28/19
|
4,000,000 HKD
|
651,233
|
United Microelectronics Corp.
|
|
|
0.00% due 05/18/206
|
600,000
|
602,250
|
Salesforce.com, Inc.
|
|
|
0.25% due 04/01/18
|
453,000
|
601,924
|
Red Hat, Inc.
|
|
|
0.25% due 10/01/191,2
|
448,000
|
591,080
|
Citrix Systems, Inc.
|
|
|
0.50% due 04/15/191,2
|
471,000
|
579,036
|
Lumentum Holdings, Inc.
|
|
|
0.25% due 03/15/243
|
549,000
|
549,686
|
Advanced Semiconductor Engineering, Inc.
|
|
|
0.00% due 09/05/186
|
400,000
|
518,000
|
NVIDIA Corp.
|
|
|
1.00% due 12/01/181
|
98,000
|
507,395
|
Silicon Laboratories, Inc.
|
|
|
1.38% due 03/01/223
|
470,000
|
495,557
|
Verint Systems, Inc.
|
|
|
1.50% due 06/01/21
|
500,000
|
484,063
|
Advanced Micro Devices, Inc.
|
|
|
2.13% due 09/01/26
|
260,000
|
479,376
|
Cornerstone OnDemand, Inc.
|
|
|
1.50% due 07/01/181,2
|
435,000
|
447,506
|
Synchronoss Technologies, Inc.
|
|
|
0.75% due 08/15/19
|
249,000
|
213,518
|
Total Technology
|
|
18,477,307
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CONVERTIBLE BONDS†† – 72.4% (continued)
|
|
|
Consumer, Non-cyclical – 13.0%
|
|
|
Wright Medical Group, Inc.
|
|
|
2.00% due 02/15/201,2
|
1,335,000
|
$ 1,570,294
|
Ionis Pharmaceuticals, Inc.
|
|
|
1.00% due 11/15/211,2
|
1,401,000
|
1,464,045
|
Element Financial Corp.
|
|
|
5.13% due 06/30/193
|
1,725,000 CAD
|
1,375,155
|
4.25% due 06/30/201,3
|
1,073,000 CAD
|
793,627
|
Hologic, Inc.
|
|
|
2.00% due 03/01/421,2,7,8
|
469,000
|
685,619
|
0.00% due 12/15/431,2,6,7,9
|
400,000
|
505,750
|
BioMarin Pharmaceutical, Inc.
|
|
|
1.50% due 10/15/201,2
|
852,000
|
1,060,208
|
Molina Healthcare, Inc.
|
|
|
1.63% due 08/15/441,2
|
960,000
|
1,053,600
|
Euronet Worldwide, Inc.
|
|
|
1.50% due 10/01/441,2
|
731,000
|
909,181
|
Herbalife Ltd.
|
|
|
2.00% due 08/15/191
|
814,000
|
806,882
|
NuVasive, Inc.
|
|
|
2.25% due 03/15/211
|
562,000
|
750,621
|
Horizon Pharma Investment Ltd.
|
|
|
2.50% due 03/15/22
|
793,000
|
743,932
|
Qiagen N.V.
|
|
|
0.88% due 03/19/21
|
600,000
|
718,951
|
Nevro Corp.
|
|
|
1.75% due 06/01/21
|
518,000
|
632,607
|
Ablynx N.V.
|
|
|
3.25% due 05/27/20
|
500,000 EUR
|
597,289
|
Pacira Pharmaceuticals, Inc.
|
|
|
2.38% due 04/01/223
|
475,000
|
507,063
|
HealthSouth Corp.
|
|
|
2.00% due 12/01/431,2
|
343,000
|
451,259
|
Jazz Investments I Ltd.
|
|
|
1.88% due 08/15/211,2
|
400,000
|
445,000
|
Neurocrine Biosciences, Inc.
|
|
|
2.25% due 05/15/243
|
419,000
|
435,760
|
Terumo Corp.
|
|
|
0.00% due 12/06/216
|
40,000,000 JPY
|
426,572
|
J Sainsbury plc
|
|
|
1.25% due 11/21/19
|
300,000 GBP
|
411,412
|
Clovis Oncology, Inc.
|
|
|
2.50% due 09/15/21
|
289,000
|
353,664
|
Total Consumer, Non-cyclical
|
|
16,698,491
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CONVERTIBLE BONDS†† – 72.4% (continued)
|
|
|
Communications – 10.4%
|
|
|
DISH Network Corp.
|
|
|
3.38% due 08/15/261,2,3
|
1,571,000
|
$ 1,930,366
|
2.38% due 03/15/241,3
|
608,000
|
634,220
|
Priceline Group, Inc.
|
|
|
0.35% due 06/15/201,2
|
1,297,000
|
1,897,673
|
Ctrip.com International Ltd.
|
|
|
1.00% due 07/01/20
|
869,000
|
973,280
|
1.25% due 10/15/181
|
273,000
|
365,138
|
Twitter, Inc.
|
|
|
0.25% due 09/15/191
|
850,000
|
809,094
|
1.00% due 09/15/211,2
|
396,000
|
365,805
|
Proofpoint, Inc.
|
|
|
0.75% due 06/15/201,2
|
926,000
|
1,062,006
|
Telenor East Holding II AS
|
|
|
0.25% due 09/20/19
|
800,000
|
909,800
|
Liberty Media Corp.
|
|
|
1.38% due 10/15/231,2
|
727,000
|
822,873
|
Finisar Corp.
|
|
|
0.50% due 12/15/33
|
741,000
|
782,218
|
Inmarsat plc
|
|
|
3.88% due 09/09/23
|
600,000
|
690,870
|
FireEye, Inc.
|
|
|
1.00% due 06/01/35
|
700,000
|
664,125
|
American Movil BV
|
|
|
5.50% due 09/17/181
|
600,000 EUR
|
550,137
|
Liberty Interactive LLC
|
|
|
1.75% due 09/30/461,3
|
437,000
|
515,387
|
Vodafone Group PLC
|
|
|
1.50% due 08/25/17
|
300,000 GBP
|
375,511
|
Total Communications
|
|
13,348,503
|
|
||
Financial – 9.9%
|
|
|
AYC Finance Ltd.
|
|
|
0.50% due 05/02/19
|
1,070,000
|
1,110,126
|
Colony NorthStar, Inc.
|
|
|
3.88% due 01/15/211,2
|
1,046,000
|
1,059,729
|
Haitong International Securities Group, Ltd.
|
|
|
0.00% due 10/25/216
|
8,000,000 HKD
|
1,032,459
|
BUWOG AG
|
|
|
0.00% due 09/09/216
|
900,000 EUR
|
1,012,152
|
Aurelius SE
|
|
|
1.00% due 12/01/20
|
900,000 EUR
|
1,011,416
|
Magyar Nemzeti Vagyonkezelo Zrt
|
|
|
3.38% due 04/02/19
|
700,000 EUR
|
947,114
|
Air Lease Corp.
|
|
|
3.88% due 12/01/181
|
623,000
|
890,111
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CONVERTIBLE BONDS†† – 72.4% (continued)
|
|
|
Financial – 9.9% (continued)
|
|
|
Starwood Property Trust, Inc.
|
|
|
4.00% due 01/15/191,2
|
693,000
|
$ 794,351
|
Hansteen Jersey Securities Ltd.
|
|
|
4.00% due 07/15/18
|
500,000 EUR
|
770,160
|
British Land White 2015 Ltd.
|
|
|
0.00% due 06/09/206
|
600,000 GBP
|
745,200
|
Colony Starwood Homes
|
|
|
3.00% due 07/01/19
|
503,000
|
602,971
|
Deutsche Wohnen AG
|
|
|
0.88% due 09/08/21
|
300,000 EUR
|
516,064
|
Unite Jersey Issuer Ltd.
|
|
|
2.50% due 10/10/18
|
300,000 GBP
|
515,585
|
Extra Space Storage, LP
|
|
|
3.13% due 10/01/353
|
477,000
|
498,763
|
Nexity S.A.
|
|
|
0.13% due 01/01/23
|
416,278 EUR
|
480,550
|
Fidelity National Financial, Inc.
|
|
|
4.25% due 08/15/181
|
192,000
|
440,040
|
LEG Immobilien AG
|
|
|
0.50% due 07/01/21
|
200,000 EUR
|
327,839
|
Total Financial
|
|
12,754,630
|
|
||
Industrial – 8.1%
|
|
|
Dycom Industries, Inc.
|
|
|
0.75% due 09/15/211,2
|
1,106,000
|
1,402,546
|
China Railway Construction Corporation Ltd.
|
|
|
0.00% due 01/29/216
|
1,000,000
|
1,190,500
|
Siemens Financieringsmaatschappij N.V.
|
|
|
1.65% due 08/16/19
|
750,000
|
986,048
|
Implenia AG
|
|
|
0.50% due 06/30/22
|
785,000 CHF
|
910,622
|
Makino Milling Machine Co., Ltd.
|
|
|
0.00% due 03/19/186
|
70,000,000 JPY
|
770,050
|
Golar LNG Ltd.
|
|
|
2.75% due 02/15/223
|
700,000
|
684,250
|
Cemex SAB de CV
|
|
|
3.72% due 03/15/20
|
538,000
|
615,001
|
MTU Aero Engines AG
|
|
|
0.13% due 05/17/23
|
400,000 EUR
|
547,524
|
CRRC Corporation Ltd.
|
|
|
0.00% due 02/05/216
|
500,000
|
533,625
|
OSG Corp.
|
|
|
0.00% due 04/04/226
|
40,000,000 JPY
|
518,256
|
Larsen & Toubro Ltd.
|
|
|
0.68% due 10/22/19
|
500,000
|
509,938
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CONVERTIBLE BONDS†† – 72.4% (continued)
|
|
|
Industrial – 8.1% (continued)
|
|
|
Shimizu Corp.
|
|
|
0.00% due 10/16/206
|
50,000,000 JPY
|
$ 490,827
|
Safran S.A.
|
|
|
0.00% due 12/31/206
|
447,100 EUR
|
469,659
|
Vinci S.A.
|
|
|
0.38% due 02/16/22
|
400,000
|
442,000
|
BW Group Ltd.
|
|
|
1.75% due 09/10/19
|
400,000
|
377,500
|
Total Industrial
|
|
10,448,346
|
|
||
Consumer, Cyclical – 7.9%
|
|
|
Suzuki Motor Corp.
|
|
|
0.00% due 03/31/236
|
160,000,000 JPY
|
1,813,941
|
Steinhoff Finance Holdings GmbH
|
|
|
1.25% due 08/11/22
|
700,000 EUR
|
756,929
|
4.00% due 01/30/21
|
300,000 EUR
|
443,377
|
Sonae Investments B.V.
|
|
|
1.63% due 06/11/19
|
900,000 EUR
|
960,453
|
Iida Group Holdings Co. Ltd
|
|
|
0.00% due 06/18/201,6
|
100,000,000 JPY
|
921,773
|
International Consolidated Airlines Group S.A.
|
|
|
0.25% due 11/17/20
|
800,000 EUR
|
837,185
|
Sony Corp.
|
|
|
0.00% due 09/30/226
|
76,000,000 JPY
|
750,148
|
Valeo S.A.
|
|
|
0.00% due 06/16/216
|
600,000
|
688,050
|
CalAtlantic Group, Inc.
|
|
|
0.25% due 06/01/191
|
700,000
|
657,563
|
NHK Spring Co. Ltd.
|
|
|
0.00% due 09/20/196
|
450,000
|
514,125
|
LVMH Moet Hennessy Louis Vuitton SE
|
|
|
0.00% due 02/16/216
|
1,695
|
498,300
|
Asics Corp.
|
|
|
0.00% due 03/01/196
|
50,000,000 JPY
|
467,615
|
HIS Co. Ltd.
|
|
|
0.00% due 08/30/196
|
50,000,000 JPY
|
452,476
|
Shenzhou International Group Holdings Ltd.
|
|
|
0.50% due 06/18/19
|
2,000,000 HKD
|
352,617
|
Total Consumer, Cyclical
|
|
10,114,552
|
|
||
Energy – 6.0%
|
|
|
Weatherford International Ltd.
|
|
|
5.88% due 07/01/211,2
|
2,235,000
|
2,662,444
|
Chesapeake Energy Corp.
|
|
|
5.50% due 09/15/263
|
2,059,000
|
2,035,836
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CONVERTIBLE BONDS†† – 72.4% (continued)
|
|
|
Energy – 6.0% (continued)
|
|
|
RAG-Stiftung
|
|
|
0.00% due 03/16/236
|
600,000 EUR
|
$ 688,488
|
0.00% due 02/18/216
|
300,000 EUR
|
353,228
|
Technip S.A.
|
|
|
0.88% due 01/25/21
|
700,000 EUR
|
954,737
|
PDC Energy, Inc.
|
|
|
1.13% due 09/15/211
|
631,000
|
612,464
|
Oasis Petroleum, Inc.
|
|
|
2.63% due 09/15/231,2
|
330,000
|
402,188
|
Total Energy
|
|
7,709,385
|
|
||
Utilities – 1.4%
|
|
|
CenterPoint Energy, Inc.
|
|
|
4.18% due 09/15/291,7
|
15,045
|
1,084,180
|
NRG Yield, Inc.
|
|
|
3.25% due 06/01/203
|
700,000
|
691,688
|
Total Utilities
|
|
1,775,868
|
|
||
Basic Materials – 1.3%
|
|
|
Kansai Paint Co., Ltd.
|
|
|
0.00% due 06/17/196
|
80,000,000 JPY
|
781,377
|
Toray Industries, Inc.
|
|
|
0.00% due 08/30/196
|
60,000,000 JPY
|
635,148
|
OCI NV
|
|
|
3.88% due 09/25/18
|
300,000 EUR
|
328,645
|
Total Basic Materials
|
|
1,745,170
|
Total Convertible Bonds
|
|
|
(Cost $87,221,191)
|
|
93,072,252
|
|
||
CORPORATE BONDS†† – 40.3%
|
|
|
Consumer, Non-cyclical – 9.7%
|
|
|
Tenet Healthcare Corp.
|
|
|
6.00% due 10/01/201,2
|
1,900,000
|
2,004,499
|
8.13% due 04/01/22
|
196,000
|
199,920
|
4.50% due 04/01/211,2
|
190,000
|
190,713
|
Valeant Pharmaceuticals International, Inc.
|
|
|
6.13% due 04/15/253
|
1,671,000
|
1,239,882
|
United Rentals North America, Inc.
|
|
|
6.13% due 06/15/231
|
700,000
|
733,250
|
5.88% due 09/15/261
|
404,000
|
427,735
|
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
|
|
|
6.00% due 02/01/251,2,3
|
1,200,000
|
1,019,400
|
HCA Holdings, Inc.
|
|
|
6.25% due 02/15/211
|
713,000
|
775,387
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CORPORATE BONDS†† – 40.3% (continued)
|
|
|
Consumer, Non-cyclical – 9.7% (continued)
|
|
|
Molina Healthcare, Inc.
|
|
|
5.38% due 11/15/221
|
580,000
|
$ 609,000
|
HealthSouth Corp.
|
|
|
5.75% due 09/15/251,2
|
525,000
|
533,531
|
Sotheby’s
|
|
|
5.25% due 10/01/221,3
|
500,000
|
513,750
|
BioMarin Pharmaceutical, Inc.
|
|
|
0.75% due 10/15/18
|
417,000
|
493,363
|
Revlon Consumer Products Corp.
|
|
|
6.25% due 08/01/241,2
|
392,000
|
383,180
|
Cott Beverages, Inc.
|
|
|
5.38% due 07/01/22
|
368,000
|
382,720
|
CHS/Community Health Systems, Inc.
|
|
|
6.88% due 02/01/22
|
451,000
|
374,894
|
Horizon Pharma, Inc.
|
|
|
6.63% due 05/01/231,2
|
375,000
|
372,656
|
Post Holdings, Inc.
|
|
|
5.50% due 03/01/253
|
329,000
|
345,450
|
Greatbatch Ltd.
|
|
|
9.13% due 11/01/233
|
294,000
|
309,435
|
Land O’Lakes Capital Trust I
|
|
|
7.45% due 03/15/281,3
|
250,000
|
280,000
|
Ritchie Bros Auctioneers, Inc.
|
|
|
5.38% due 01/15/251,3
|
269,000
|
278,415
|
Quorum Health Corp.
|
|
|
11.63% due 04/15/233
|
309,000
|
275,783
|
Ahern Rentals, Inc.
|
|
|
7.38% due 05/15/231,3
|
294,000
|
254,310
|
Cenveo Corp.
|
|
|
8.50% due 09/15/223
|
400,000
|
226,000
|
Spectrum Brands, Inc.
|
|
|
5.75% due 07/15/251
|
190,000
|
204,613
|
Land O’ Lakes, Inc.
|
|
|
6.00% due 11/15/223
|
26,000
|
28,860
|
Total Consumer, Non-cyclical
|
|
12,456,746
|
|
||
Energy – 6.2%
|
|
|
PBF Holding Company LLC / PBF Finance Corp.
|
|
|
8.25% due 02/15/201,2
|
925,000
|
948,125
|
7.00% due 11/15/231,2
|
297,000
|
302,940
|
Rowan Companies, Inc.
|
|
|
7.88% due 08/01/191,2
|
1,000,000
|
1,075,000
|
Nabors Industries, Inc.
|
|
|
0.75% due 01/15/241,2,3
|
867,000
|
750,497
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CORPORATE BONDS†† – 40.3% (continued)
|
|
|
Energy – 6.2% (continued)
|
|
|
Ensco Jersey Finance Ltd.
|
|
|
3.00% due 01/31/243
|
658,000
|
$ 610,706
|
PDC Energy, Inc.
|
|
|
6.13% due 09/15/241,3
|
425,000
|
437,749
|
Oasis Petroleum, Inc.
|
|
|
6.88% due 01/15/23
|
427,000
|
433,405
|
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.
|
|
|
6.00% due 05/15/231
|
400,000
|
402,000
|
CONSOL Energy, Inc.
|
|
|
8.00% due 04/01/23
|
374,000
|
391,531
|
Parsley Energy LLC / Parsley Finance Corp.
|
|
|
5.25% due 08/15/253
|
285,000
|
288,563
|
6.25% due 06/01/241,3
|
95,000
|
100,938
|
Sabine Pass Liquefaction LLC
|
|
|
5.75% due 05/15/241
|
348,000
|
385,223
|
Continental Resources, Inc.
|
|
|
4.50% due 04/15/23
|
332,000
|
328,680
|
Sunoco Limited Partnership / Sunoco Finance Corp.
|
|
|
6.38% due 04/01/231,2
|
300,000
|
321,000
|
Tesoro Logistics, LP / Tesoro Logistics Finance Corp.
|
|
|
6.38% due 05/01/241
|
195,000
|
214,013
|
6.25% due 10/15/22
|
96,000
|
103,440
|
Murphy Oil Corp.
|
|
|
4.70% due 12/01/22
|
313,000
|
306,740
|
Diamondback Energy, Inc.
|
|
|
4.75% due 11/01/243
|
285,000
|
287,138
|
Western Refining Logistics Limited Partnership / WNRL Finance Corp.
|
|
|
7.50% due 02/15/231
|
264,000
|
286,440
|
Total Energy
|
|
7,974,128
|
|
||
Communications – 5.8%
|
|
|
Frontier Communications Corp.
|
|
|
11.00% due 09/15/251,2
|
1,444,000
|
1,398,875
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
|
|
5.25% due 09/30/221
|
550,000
|
572,000
|
5.75% due 01/15/241
|
380,000
|
400,900
|
DISH DBS Corp.
|
|
|
6.75% due 06/01/211,2
|
500,000
|
545,000
|
5.88% due 11/15/241,2
|
299,000
|
315,071
|
SFR Group S.A.
|
|
|
7.38% due 05/01/261,2,3
|
530,000
|
559,150
|
CenturyLink, Inc.
|
|
|
6.75% due 12/01/231
|
499,000
|
536,425
|
Sprint Communications, Inc.
|
|
|
9.00% due 11/15/181,3
|
379,000
|
415,479
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CORPORATE BONDS†† – 40.3% (continued)
|
|
|
Communications – 5.8% (continued)
|
|
|
Hughes Satellite Systems Corp.
|
|
|
6.50% due 06/15/191
|
364,000
|
$ 394,940
|
CBS Radio, Inc.
|
|
|
7.25% due 11/01/241,3
|
348,000
|
379,320
|
GCI, Inc.
|
|
|
6.88% due 04/15/251
|
313,000
|
338,040
|
Tribune Media Co.
|
|
|
5.88% due 07/15/22
|
306,000
|
322,989
|
Sinclair Television Group, Inc.
|
|
|
5.88% due 03/15/261,3
|
294,000
|
307,230
|
Radio One, Inc.
|
|
|
7.38% due 04/15/221,3
|
220,000
|
231,000
|
Sprint Corp.
|
|
|
7.88% due 09/15/231
|
202,000
|
227,250
|
Finisar Corp.
|
|
|
0.50% due 12/15/363
|
215,000
|
200,756
|
Windstream Services LLC
|
|
|
6.38% due 08/01/23
|
199,000
|
176,613
|
NetFlix, Inc.
|
|
|
3.63% due 05/15/273
|
110,000 EUR
|
121,581
|
Total Communications
|
|
7,442,619
|
|
||
Consumer, Cyclical – 5.5%
|
|
|
L Brands, Inc.
|
|
|
5.63% due 02/15/221,2
|
400,000
|
424,500
|
5.63% due 10/15/231
|
302,000
|
318,550
|
GameStop Corp.
|
|
|
6.75% due 03/15/211,2,3
|
694,000
|
713,085
|
FirstCash, Inc.
|
|
|
6.75% due 04/01/211
|
423,000
|
444,150
|
Dana Financing Luxembourg Sarl
|
|
|
6.50% due 06/01/261,2,3
|
409,000
|
429,450
|
Allegiant Travel Co.
|
|
|
5.50% due 07/15/191
|
400,000
|
414,000
|
Scotts Miracle-Gro Co.
|
|
|
6.00% due 10/15/231
|
376,000
|
403,730
|
Chester Downs & Marina LLC / Chester Downs Finance Corp.
|
|
|
9.25% due 02/01/203
|
350,000
|
360,063
|
Levi Strauss & Co.
|
|
|
5.00% due 05/01/251,2
|
341,000
|
353,361
|
VWR Funding, Inc.
|
|
|
4.63% due 04/15/221,3
|
300,000 EUR
|
342,261
|
Scientific Games International, Inc.
|
|
|
10.00% due 12/01/22
|
299,000
|
325,536
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CORPORATE BONDS†† – 40.3% (continued)
|
|
|
Consumer, Cyclical – 5.5% (continued)
|
|
|
Global Partners Limited Partnership / GLP Finance Corp.
|
|
|
6.25% due 07/15/221
|
300,000
|
$ 298,500
|
Hanesbrands, Inc.
|
|
|
4.63% due 05/15/241,2,3
|
294,000
|
293,265
|
Cedar Fair Limited Partnership / Canada’s Wonderland Company /
|
|
|
Magnum Management Corporation / Millennium Op
|
|
|
5.38% due 04/15/273
|
283,000
|
293,230
|
Vista Outdoor, Inc.
|
|
|
5.88% due 10/01/23
|
284,000
|
284,000
|
Brinker International, Inc.
|
|
|
3.88% due 05/15/231
|
294,000
|
278,565
|
Speedway Motorsports, Inc.
|
|
|
5.13% due 02/01/231
|
240,000
|
243,600
|
MGM Resorts International
|
|
|
6.00% due 03/15/231
|
218,000
|
238,710
|
Wolverine World Wide, Inc.
|
|
|
5.00% due 09/01/263
|
237,000
|
230,483
|
Six Flags Entertainment Corp.
|
|
|
4.88% due 07/31/243
|
200,000
|
202,250
|
Cumberland Farms, Inc.
|
|
|
6.75% due 05/01/253
|
141,000
|
146,661
|
Total Consumer, Cyclical
|
|
7,037,950
|
|
||
Technology – 3.8%
|
|
|
Teradyne, Inc.
|
|
|
1.25% due 12/15/233
|
962,000
|
1,208,512
|
Qorvo, Inc.
|
|
|
7.00% due 12/01/251,2
|
875,000
|
975,625
|
Integrated Device Technology, Inc.
|
|
|
0.88% due 11/15/22
|
885,000
|
902,147
|
Veeco Instruments, Inc.
|
|
|
2.70% due 01/15/23
|
600,000
|
662,250
|
Western Digital Corp.
|
|
|
10.50% due 04/01/241,2
|
313,000
|
369,340
|
Seagate HDD Cayman
|
|
|
4.75% due 01/01/25
|
376,000
|
365,004
|
First Data Corp.
|
|
|
5.38% due 08/15/231,3
|
267,000
|
278,348
|
Nuance Communications, Inc.
|
|
|
5.38% due 08/15/201,3
|
158,000
|
161,456
|
Total Technology
|
|
4,922,682
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CORPORATE BONDS†† – 40.3% (continued)
|
|
|
Basic Materials – 3.5%
|
|
|
NOVA Chemicals Corp.
|
|
|
5.00% due 05/01/251,3
|
411,000
|
$ 421,788
|
5.25% due 08/01/231,3
|
400,000
|
412,500
|
WR Grace & Co.
|
|
|
5.13% due 10/01/211,3
|
600,000
|
645,749
|
FMG Resources August 2006 Pty Ltd.
|
|
|
9.75% due 03/01/221,3
|
364,000
|
420,648
|
First Quantum Minerals Ltd.
|
|
|
7.25% due 04/01/233
|
200,000
|
204,125
|
7.00% due 02/15/213
|
174,000
|
180,960
|
Commercial Metals Co.
|
|
|
4.88% due 05/15/231
|
371,000
|
374,710
|
Alcoa Nederland Holding B.V.
|
|
|
7.00% due 09/30/263
|
289,000
|
320,790
|
Blue Cube Spinco, Inc.
|
|
|
10.00% due 10/15/251
|
252,000
|
311,850
|
Tronox Finance LLC
|
|
|
7.50% due 03/15/223
|
284,000
|
298,200
|
TPC Group, Inc.
|
|
|
8.75% due 12/15/203
|
293,000
|
273,955
|
Kaiser Aluminum Corp.
|
|
|
5.88% due 05/15/24
|
230,000
|
243,225
|
Compass Minerals International, Inc.
|
|
|
4.88% due 07/15/241,3
|
237,000
|
232,853
|
Kraton Polymers LLC / Kraton Polymers Capital Corp.
|
|
|
10.50% due 04/15/233
|
95,000
|
109,963
|
Total Basic Materials
|
|
4,451,316
|
|
||
Industrial – 3.4%
|
|
|
MasTec, Inc.
|
|
|
4.88% due 03/15/231
|
523,000
|
525,615
|
Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.
|
|
|
8.13% due 11/15/211,3
|
576,000
|
516,240
|
Energizer Holdings, Inc.
|
|
|
5.50% due 06/15/251,2,3
|
420,000
|
438,900
|
Park-Ohio Industries, Inc.
|
|
|
6.63% due 04/15/273
|
376,000
|
386,105
|
Louisiana-Pacific Corp.
|
|
|
4.88% due 09/15/241
|
332,000
|
336,980
|
TransDigm, Inc.
|
|
|
6.50% due 07/15/24
|
320,000
|
329,600
|
Shape Technologies Group, Inc.
|
|
|
7.63% due 02/01/201,3
|
300,000
|
309,000
|
Navios Maritime Holdings Incorporated / Navios Maritime Finance II US Inc.
|
|
|
7.38% due 01/15/223
|
301,000
|
260,365
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
CORPORATE BONDS†† – 40.3% (continued)
|
|
|
Industrial – 3.4% (continued)
|
|
|
Builders FirstSource, Inc.
|
|
|
5.63% due 09/01/241,3
|
238,000
|
$ 247,818
|
Xerium Technologies, Inc.
|
|
|
9.50% due 08/15/21
|
237,000
|
246,480
|
Triumph Group, Inc.
|
|
|
4.88% due 04/01/211
|
249,000
|
245,265
|
Eletson Holdings, Inc.
|
|
|
9.63% due 01/15/221,3
|
277,000
|
235,450
|
CNH Industrial Capital LLC
|
|
|
3.38% due 07/15/19
|
188,000
|
191,525
|
Bombardier, Inc.
|
|
|
6.13% due 01/15/231,3
|
166,000
|
166,000
|
Total Industrial
|
|
4,435,343
|
|
||
Financial – 2.1%
|
|
|
Alliance Data Systems Corp.
|
|
|
6.38% due 04/01/201,2,3
|
750,000
|
764,999
|
Forest City Realty Trust, Inc.
|
|
|
4.25% due 08/15/18
|
616,000
|
701,855
|
Credit Acceptance Corp.
|
|
|
7.38% due 03/15/231
|
427,000
|
429,135
|
CoreCivic, Inc.
|
|
|
4.63% due 05/01/231
|
405,000
|
408,038
|
Travelex Financing plc
|
|
|
8.00% due 08/01/183
|
150,000 GBP
|
197,968
|
Ally Financial, Inc.
|
|
|
5.13% due 09/30/241,2
|
165,000
|
168,919
|
Total Financial
|
|
2,670,914
|
|
||
Utilities – 0.3%
|
|
|
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
|
|
|
5.75% due 05/20/27
|
285,000
|
287,138
|
Dynegy, Inc.
|
|
|
8.00% due 01/15/253
|
122,000
|
112,545
|
Total Utilities
|
|
399,683
|
Total Corporate Bonds
|
|
|
(Cost $50,513,421)
|
|
51,791,381
|
|
||
SENIOR FLOATING RATE INTERESTS††,10 – 0.6%
|
|
|
Consumer, Cyclical – 0.3%
|
|
|
PetSmart, Inc.
|
|
|
4.16% due 03/11/22
|
435,891
|
402,382
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
|
Face
|
|
|
Amount~
|
Value
|
SENIOR FLOATING RATE INTERESTS††,10 – 0.6% (continued)
|
|
|
Communications – 0.3%
|
|
|
Sprint Communications, Inc.
|
|
|
3.31% due 02/29/24
|
328,000
|
$ 328,649
|
|
||
Basic Materials – 0.0%**
|
|
|
Fortescue Resources August 2006 Pty Ltd.
|
|
|
3.75% due 06/30/19
|
68,250
|
68,753
|
Total Senior Floating Rate Interests
|
|
|
(Cost $829,338)
|
|
799,784
|
Total Investments – 139.1%
|
|
|
(Cost $171,843,290)
|
|
$ 178,723,290
|
|
||
|
Contracts
|
|
|
(100 shares
|
|
|
per contract)
|
Value
|
|
||
CALL OPTIONS WRITTEN†,* – 0.0%**
|
|
|
Biogen, Inc. Expiring June 2017 with strike price of $300.00
|
27
|
$ (3,186)
|
Alphabet, Inc. Expiring May 2017 with strike price of $850.00
|
9
|
(53,901)
|
Total Call Options Written
|
|
|
(Premiums received $28,689)
|
|
(57,087)
|
Other Assets & Liabilities, net – (39.1)%
|
|
(50,189,933)
|
Total Net Assets – 100.0%
|
|
$ 128,476,270
|
~
|
The face amount is denominated in U.S. Dollars, unless otherwise noted.
|
*
|
Non-income producing security.
|
**
|
Less than 0.1%
|
†
|
Value determined based on Level 1 inputs — See Note 2.
|
††
|
Value determined based on Level 2 inputs — See Note 2.
|
1
|
All or a portion of these securities have been physically segregated or earmarked in connection with borrowings. As of April 30, 2017, the total value of the positions segregated was $86,189,072.
|
2
|
A portion of the security has been rehypothecated in connection with the Fund’s revolving credit agreement. $48,246,572 in aggregate has been rehypothecated.
|
3
|
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) liquid securities is $36,494,449 (cost $36,040,631), or 28.4% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
|
4
|
Perpetual maturity.
|
5
|
Rate indicated is the 7-day yield as of April 30, 2017.
|
6
|
Zero coupon rate security.
|
7
|
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
|
8
|
Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.
|
9
|
Security is an accreting bond until December 15, 2017, with a 4.00% principal accretion rate, and then accretes at a 2.00% principal accretion rate until maturity.
|
10
|
Variable rate security. Rate indicated is rate effective at April 30, 2017.
|
11
|
All or a portion of this security represents cover for outstanding written option. As of April 30, 2017, the total value of the positions segregated was $1,547,631.
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
April 30, 2017
|
A.G.
|
Stock Corporation
|
B.V.
|
Limited Liability Company
|
CAD
|
Canadian Dollar
|
CHF
|
Swiss Franc
|
EUR
|
Euro
|
GBP
|
British Pound
|
GmbH
|
Limited Liability
|
HKD
|
Hong Kong Dollar
|
JPY
|
Japanese Yen
|
N.V.
|
Publicly Traded Company
|
plc
|
Public Limited Company
|
Pty
|
Proprietary
|
S.A.
|
Corporation
|
SAB de CV
|
Publicly Traded Company
|
|
Level 2
|
Level 3
|
||||||||||||||
|
Significant
|
Significant
|
||||||||||||||
|
Level 1
|
Observable
|
Unobservable
|
|||||||||||||
|
Quoted Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Common Stocks
|
$
|
10,993,809
|
$
|
—
|
$
|
—
|
$
|
10,993,809
|
||||||||
Convertible Preferred Stocks
|
10,473,335
|
—
|
—
|
10,473,335
|
||||||||||||
Short Term Investments
|
11,592,729
|
—
|
—
|
11,592,729
|
||||||||||||
Convertible Bonds
|
—
|
93,072,252
|
—
|
93,072,252
|
||||||||||||
Corporate Bonds
|
—
|
51,791,381
|
—
|
51,791,381
|
||||||||||||
Senior Floating Rate Interests
|
—
|
799,784
|
—
|
799,784
|
||||||||||||
Forward Foreign Currency
|
||||||||||||||||
Exchange Contracts*
|
—
|
63,665
|
—
|
63,665
|
||||||||||||
Total
|
$
|
33,059,873
|
$
|
145,727,082
|
$
|
—
|
$
|
178,786,955
|
||||||||
Liabilities
|
||||||||||||||||
Forward Foreign Currency
|
||||||||||||||||
Exchange Contracts*
|
$
|
—
|
$
|
769,434
|
$
|
—
|
$
|
769,434
|
||||||||
Call Options Written
|
57,087
|
—
|
—
|
57,087
|
||||||||||||
Total
|
$
|
57,087
|
$
|
769,434
|
$
|
—
|
$
|
826,521
|
*
|
These amounts are reported as unrealized gain/(loss) as of April 30, 2017.
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
|
April 30, 2017
|
ASSETS:
|
||||
Investments, at value (cost $171,843,290)
|
$
|
178,723,290
|
||
Unrealized appreciation on forward foreign currency exchange contracts
|
63,665
|
|||
Receivables:
|
||||
Investments sold
|
1,821,724
|
|||
Interest
|
1,088,424
|
|||
Dividends
|
56,034
|
|||
Tax reclaims
|
18,918
|
|||
Other assets
|
10,701
|
|||
Total assets
|
181,782,756
|
|||
LIABILITIES:
|
||||
Borrowings
|
50,000,000
|
|||
Options written, at value (premiums received $28,689)
|
57,087
|
|||
Unrealized depreciation on forward foreign currency exchange contracts
|
769,434
|
|||
Interest due on borrowings
|
94,285
|
|||
Payable for:
|
||||
Investments purchased
|
2,068,994
|
|||
Investment management fees
|
74,231
|
|||
Investment advisory fees
|
71,320
|
|||
Administration fees
|
3,930
|
|||
Other liabilities
|
167,205
|
|||
Total liabilities
|
53,306,486
|
|||
NET ASSETS
|
$
|
128,476,270
|
||
NET ASSETS CONSIST OF:
|
||||
Common Stock, $0.001 par value per share; unlimited number of shares authorized,
|
||||
13,603,025 shares issued and outstanding
|
$
|
13,603
|
||
Additional paid-in capital
|
188,735,323
|
|||
Distributions in excess of net investment income
|
(5,989,311
|
)
|
||
Accumulated net realized loss on investments, written options, swap agreements
|
||||
and foreign currency transactions
|
(60,428,693
|
)
|
||
Net unrealized appreciation on investments, written options, swap agreements and
|
||||
foreign currency translations
|
6,145,348
|
|||
NET ASSETS
|
$
|
128,476,270
|
||
Shares outstanding ($0.001 par value with unlimited amount authorized)
|
13,603,025
|
|||
Net asset value, offering price and redemption price per share
|
$
|
9.44
|
STATEMENT OF OPERATIONS (Unaudited)
|
April 30, 2017
|
For the Period Ended April 30, 2017
|
|
INVESTMENT INCOME:
|
||||
Interest
|
$
|
2,538,088
|
||
Dividends, net of foreign taxes withheld $21,278
|
503,365
|
|||
Total investment income
|
3,041,453
|
|||
EXPENSES:
|
||||
Investment management fees
|
446,551
|
|||
Investment advisory fees
|
429,039
|
|||
Interest expense
|
490,708
|
|||
Professional fees
|
176,373
|
|||
Trustees’ fees and expenses*
|
85,441
|
|||
Administration fees
|
24,079
|
|||
Printing fees
|
22,287
|
|||
Fund accounting fees
|
20,960
|
|||
Insurance
|
14,565
|
|||
NYSE listing fees
|
11,765
|
|||
Transfer agent fees
|
9,169
|
|||
Custodian fees
|
5,170
|
|||
Other expenses
|
1,526
|
|||
Total expenses
|
1,737,633
|
|||
Net investment income
|
1,303,820
|
|||
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
||||
Net realized gain (loss) on:
|
||||
Investments
|
202,846
|
|||
Foreign currency transactions
|
2,203,903
|
|||
Written options
|
124,082
|
|||
Swap agreements
|
(72,235
|
)
|
||
Net realized gain
|
2,458,596
|
|||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments
|
7,359,658
|
|||
Foreign currency translations
|
(1,676,814
|
)
|
||
Written options
|
(28,398
|
)
|
||
Swap agreements
|
104,124
|
|||
Net change in unrealized appreciation (depreciation)
|
5,758,570
|
|||
Net realized and unrealized gain
|
8,217,166
|
|||
Net increase in net assets resulting from operations
|
$
|
9,520,986
|
STATEMENTS OF CHANGES IN NET ASSETS
|
April 30, 2017
|
|
Period Ended
|
Year Ended
|
||||||
|
April 30, 2017
|
October 31, | ||||||
|
(Unaudited)
|
2016
|
||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
Net investment income
|
$
|
1,303,820
|
$
|
3,573,393
|
||||
Net realized gain (loss) on investments, written options, swap
|
||||||||
agreements and foreign currency transactions
|
2,458,596
|
(5,360,986
|
)
|
|||||
Net change in unrealized appreciation (depreciation) on
|
||||||||
investments, written options, swap agreements and
|
||||||||
foreign currency translations
|
5,758,570
|
1,099,893
|
||||||
Net increase (decrease) in net assets resulting from operations
|
9,520,986
|
(687,700
|
)
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS FROM:
|
||||||||
Net investment income
|
(5,713,270
|
)
|
(3,126,736
|
)
|
||||
Return of capital
|
—
|
(8,299,805
|
)
|
|||||
Total distributions
|
(5,713,270
|
)
|
(11,426,541
|
)
|
||||
Net increase (decrease) in net assets
|
3,807,716
|
(12,114,241
|
)
|
|||||
NET ASSETS:
|
||||||||
Beginning of year
|
124,668,554
|
136,782,795
|
||||||
End of year
|
$
|
128,476,270
|
$
|
124,668,554
|
||||
Distributions in excess of net investment income at end of year
|
$
|
(5,989,311
|
)
|
$
|
(1,579,861
|
)
|
STATEMENT OF CASH FLOWS (Unaudited)
|
April 30, 2017
|
For the Period Ended April 30, 2017
|
|
Cash Flows from Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$
|
9,520,986
|
||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Provided by Operating and Investing Activities:
|
||||
Net change in unrealized (appreciation) depreciation on investments
|
(7,359,658
|
)
|
||
Net change in unrealized (appreciation) depreciation on written options
|
28,398
|
|||
Net change in unrealized (appreciation) depreciation on swap agreements
|
(104,124
|
)
|
||
Net change in unrealized (appreciation) depreciation on foreign currency translations
|
1,676,814
|
|||
Net realized gain on investments
|
(202,846
|
)
|
||
Net realized gain on written options
|
(124,082
|
)
|
||
Purchase of long-term investments
|
(78,046,717
|
)
|
||
Proceeds from sale of long-term investments
|
82,765,145
|
|||
Net proceeds (purchases) of short term investments
|
(3,459,432
|
)
|
||
Net change in premiums received on swap agreements
|
(159,324
|
)
|
||
Net amortization/(accretion) of premium/discount
|
(190,011
|
)
|
||
Premiums received on written options
|
227,484
|
|||
Cost of closing written options
|
(74,713
|
)
|
||
Decrease in restricted cash
|
480,378
|
|||
Increase in dividends receivable
|
(13,284
|
)
|
||
Decrease in interest receivable
|
100,162
|
|||
Increase in investments sold receivable
|
(284,875
|
)
|
||
Decrease in tax reclaims receivable
|
2,830
|
|||
Increase in other assets
|
(422
|
)
|
||
Increase in investments purchased payable
|
291,637
|
|||
Increase in interest due on borrowings
|
83,419
|
|||
Decrease in investment management fees payable
|
(1,830
|
)
|
||
Decrease in investment advisory fees payable
|
(1,758
|
)
|
||
Decrease in administration fees payable
|
(98
|
)
|
||
Decrease in other liabilities
|
(12,689
|
)
|
||
Net Cash Provided by Operating and Investing Activities
|
5,141,390
|
|||
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
(5,713,270
|
)
|
||
Net Cash Used in Financing Activities
|
(5,713,270
|
)
|
||
Net decrease in cash
|
(571,880
|
)
|
||
Cash and cash equivalents at Beginning of Period
|
571,880
|
|||
Cash at End of Period
|
$
|
—
|
||
Supplemental Disclosure of Cash Flow Information:
|
||||
Cash paid during the period for interest
|
$
|
407,289
|
FINANCIAL HIGHLIGHTS
|
April 30, 2017
|
|
Period Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
||||||||||||||||||
|
April 30, 2017
|
October 31,
|
October 31,
|
October 31,
|
October 31,
|
October 31,
|
||||||||||||||||||
|
(Unaudited)
|
2016
|
2015
|
2014
|
2013
|
2012
|
||||||||||||||||||
Per Share Data:
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$
|
9.16
|
$
|
10.06
|
$
|
10.87
|
$
|
11.50
|
$
|
10.60
|
$
|
10.63
|
||||||||||||
Income from investment operations:
|
||||||||||||||||||||||||
Net investment income(a)
|
0.10
|
0.26
|
0.21
|
0.21
|
0.23
|
0.41
|
||||||||||||||||||
Net gain (loss) on investments (realized and unrealized)
|
0.60
|
(0.32
|
)
|
(0.18
|
)
|
—
|
*
|
1.51
|
0.45
|
|||||||||||||||
Total from investment operations
|
0.70
|
(0.06
|
)
|
0.03
|
0.21
|
1.74
|
0.86
|
|||||||||||||||||
Less distributions from:
|
||||||||||||||||||||||||
Net investment income
|
(0.42
|
)
|
(0.23
|
)
|
(0.41
|
)
|
(0.84
|
)
|
(0.84
|
)
|
(0.86
|
)
|
||||||||||||
Return of capital
|
—
|
(0.61
|
)
|
(0.43
|
)
|
—
|
*
|
—
|
(0.03
|
)
|
||||||||||||||
Total distributions to shareholders
|
(0.42
|
)
|
(0.84
|
)
|
(0.84
|
)
|
(0.84
|
)
|
(0.84
|
)
|
(0.89
|
)
|
||||||||||||
Net asset value, end of period
|
$
|
9.44
|
$
|
9.16
|
$
|
10.06
|
$
|
10.87
|
$
|
11.50
|
$
|
10.60
|
||||||||||||
Market value, end of period
|
$
|
8.71
|
$
|
8.16
|
$
|
8.85
|
$
|
9.51
|
$
|
10.03
|
$
|
9.46
|
||||||||||||
Total Return(b)
|
||||||||||||||||||||||||
Net asset value
|
7.79
|
%
|
-0.37
|
%
|
0.13
|
%
|
1.58
|
%
|
17.10
|
%
|
8.59
|
%
|
||||||||||||
Market value
|
12.20
|
%
|
1.95
|
%
|
1.97
|
%
|
2.90
|
%
|
15.56
|
%
|
6.78
|
%
|
||||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
128,476
|
$
|
124,669
|
$
|
136,783
|
$
|
147,821
|
$
|
156,387
|
$
|
144,222
|
||||||||||||
Ratio to average net assets of:
|
||||||||||||||||||||||||
Net investment income
|
2.08
|
%(d)
|
2.85
|
%
|
1.95
|
%
|
1.86
|
%
|
2.05
|
%
|
3.85
|
%
|
||||||||||||
Total expenses(c)
|
2.77
|
%(d)
|
2.62
|
%
|
2.17
|
%
|
2.10
|
%(e)
|
2.18
|
%(e)
|
2.32
|
%(e)
|
||||||||||||
Portfolio turnover rate
|
47
|
%
|
93
|
%
|
138
|
%
|
344
|
%
|
321
|
%
|
141
|
%
|
||||||||||||
Senior Indebtedness
|
||||||||||||||||||||||||
Total Borrowings outstanding (in thousands)
|
$
|
50,000
|
$
|
50,000
|
$
|
50,000
|
$
|
50,000
|
$
|
50,000
|
$
|
50,000
|
||||||||||||
Asset Coverage per $1,000 of indebtedness(f)
|
$
|
3,570
|
$
|
3,493
|
$
|
3,736
|
$
|
3,956
|
$
|
4,128
|
$
|
3,884
|
FINANCIAL HIGHLIGHTS continued
|
April 30, 2017
|
(a)
|
Based on average shares outstanding.
|
|||
(b)
|
Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
|||
(c)
|
Excluding interest expense, the operating expense ratio for the period ended April 30, 2017 and the years ended October 31, would be:
|
Period ended
|
|
|
|
|
|
April 30,
|
|
Year ended October 31,
|
|
||
2017
|
2016
|
2015
|
2014
|
2013
|
2012
|
1.99%
|
1.98%
|
1.74%
|
1.71%
|
1.76%
|
1.82%
|
(d)
|
Annualized.
|
(e)
|
The expense ratio does not reflect fees and expenses incurred by the Fund as a result of its investment in shares of business development companies. If these fees were included in the expense ratio, the increase to the expense ratio would be approximately 0.05%, 0.03% and 0.07% for the years ended October 31, 2014, 2013 and 2012, respectively.
|
(f)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the total borrowings.
|
*
|
Less than $0.01.
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
|
|
|
Net Tax
|
Net Tax
|
Cost of
|
|
|
Unrealized
|
Unrealized
|
Investments
|
Gross Tax
|
Gross Tax
|
Appreciation
|
Depreciation
|
for Tax
|
Unrealized
|
Unrealized
|
on
|
on Derivatives and
|
Purposes
|
Appreciation
|
Depreciation
|
Investments
|
Foreign Currency
|
$172,552,943
|
$10,503,363
|
$(4,333,016)
|
$6,170,347
|
$(28,882)
|
Undistributed
|
Undistributed
|
|
Ordinary
|
Long-Term
|
|
Income/
|
Gains/
|
|
(Accumulated
|
(Accumulated
|
|
Ordinary Loss)
|
Capital Loss)
|
|
$—
|
$(62,568,377)
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
|
|
|
Total
|
Expires in
|
Unlimited
|
Unlimited
|
Capital Loss
|
2017
|
Short-Term
|
Long-Term
|
Carryforward
|
$52,418,720
|
$7,426,886
|
$2,722,771
|
$62,568,377
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
|
Number of
|
Premiums
|
||||||
|
Contracts
|
Received
|
||||||
Options outstanding, beginning of period
|
—
|
$
|
—
|
|||||
Options written during the period
|
1,327
|
227,484
|
||||||
Options expired during the period
|
(669
|
)
|
(81,284
|
)
|
||||
Options closed during the period
|
(622
|
)
|
(117,511
|
)
|
||||
Options assigned during the period
|
—
|
—
|
||||||
Options outstanding, end of period
|
36
|
$
|
28,689
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
|
|
|
Net Unrealized
|
|||||||||||||||
|
|
Settlement
|
Settlement
|
Value as of
|
Appreciation
|
|||||||||||||
Contracts to Sell
|
Counterparty
|
Date
|
Value
|
4/30/2017
|
(Depreciation)
|
|||||||||||||
CAD
|
3,184,235
|
|
|
|||||||||||||||
for USD
|
2,360,266
|
The Bank of New York Mellon
|
6/14/17
|
$
|
2,360,266
|
$
|
2,330,443
|
$
|
29,823
|
|||||||||
CAD
|
835,000
|
|
|
|||||||||||||||
for USD
|
618,931
|
The Bank of New York Mellon
|
6/14/17
|
618,931
|
611,110
|
7,821
|
||||||||||||
CHF
|
550,000
|
|
|
|||||||||||||||
for USD
|
545,808
|
The Bank of New York Mellon
|
6/14/17
|
545,808
|
554,123
|
(8,315
|
)
|
|||||||||||
CHF
|
365,000
|
|
|
|||||||||||||||
for USD
|
368,501
|
The Bank of New York Mellon
|
6/14/17
|
368,501
|
367,736
|
765
|
||||||||||||
EUR
|
538,000
|
|
|
|||||||||||||||
for USD
|
573,094
|
The Bank of New York Mellon
|
6/14/17
|
573,094
|
587,230
|
(14,136
|
)
|
|||||||||||
EUR
|
13,000
|
|
|
|||||||||||||||
for USD
|
13,892
|
The Bank of New York Mellon
|
6/14/17
|
13,892
|
14,190
|
(298
|
)
|
|||||||||||
EUR
|
115,000
|
|
|
|||||||||||||||
for USD
|
125,154
|
The Bank of New York Mellon
|
6/14/17
|
125,154
|
125,523
|
(369
|
)
|
|||||||||||
EUR
|
9,739,000
|
|
|
|||||||||||||||
for USD 10,374,275
|
The Bank of New York Mellon
|
6/14/17
|
10,374,275
|
10,630,170
|
(255,895
|
)
|
||||||||||||
EUR
|
594,000
|
|
|
|||||||||||||||
for USD
|
636,061
|
The Bank of New York Mellon
|
6/14/17
|
636,061
|
648,354
|
(12,293
|
)
|
|||||||||||
EUR
|
130,000
|
|
|
|||||||||||||||
for USD
|
139,456
|
The Bank of New York Mellon
|
6/14/17
|
139,456
|
141,896
|
(2,440
|
)
|
|||||||||||
EUR
|
185,000
|
|
|
|||||||||||||||
for USD
|
201,335
|
The Bank of New York Mellon
|
6/14/17
|
201,335
|
201,928
|
(593
|
)
|
|||||||||||
EUR
|
2,442,000
|
|
|
|||||||||||||||
for USD
|
2,601,292
|
The Bank of New York Mellon
|
6/14/17
|
2,601,292
|
2,665,456
|
(64,164
|
)
|
|||||||||||
EUR
|
20,000
|
|
|
|||||||||||||||
for USD
|
21,416
|
The Bank of New York Mellon
|
6/14/17
|
21,416
|
21,830
|
(414
|
)
|
|||||||||||
EUR
|
40,000
|
|
|
|||||||||||||||
for USD
|
43,532
|
The Bank of New York Mellon
|
6/14/17
|
43,532
|
43,660
|
(128
|
)
|
|||||||||||
GBP
|
147,542
|
|
|
|||||||||||||||
for USD
|
179,662
|
The Bank of New York Mellon
|
6/14/17
|
179,662
|
191,137
|
(11,475
|
)
|
|||||||||||
GBP
|
686,750
|
|
|
|||||||||||||||
for USD
|
836,255
|
The Bank of New York Mellon
|
6/14/17
|
836,255
|
889,667
|
(53,412
|
)
|
|||||||||||
GBP
|
872,000
|
|
|
|||||||||||||||
for USD
|
1,061,834
|
The Bank of New York Mellon
|
6/14/17
|
1,061,834
|
1,129,654
|
(67,820
|
)
|
|||||||||||
JPY 853,473,000
|
|
|||||||||||||||||
for USD
|
7,422,021
|
The Bank of New York Mellon
|
6/14/17
|
7,422,021
|
7,670,458
|
(248,437
|
)
|
|||||||||||
JPY
|
51,575,000
|
|
|
|||||||||||||||
for USD
|
448,509
|
The Bank of New York Mellon
|
6/14/17
|
448,509
|
463,522
|
(15,013
|
)
|
|||||||||||
|
|
|
$
|
(716,793
|
)
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
|
|
|
Net Unrealized
|
|||||||||||||||
|
|
Settlement
|
Settlement
|
Value as of
|
Appreciation
|
|||||||||||||
Contracts to Buy
|
Counterparty
|
Date
|
Value
|
4/30/2017
|
(Depreciation)
|
|||||||||||||
CAD
|
930,000
|
|
|
|||||||||||||||
for USD
|
693,125
|
The Bank of New York Mellon
|
6/14/17
|
$
|
693,125
|
$
|
680,638
|
$
|
(12,487
|
)
|
||||||||
CAD
|
40,000
|
|
|
|||||||||||||||
for USD
|
30,043
|
The Bank of New York Mellon
|
6/14/17
|
30,043
|
29,274
|
(769
|
)
|
|||||||||||
CAD
|
8,000
|
|
|
|||||||||||||||
for USD
|
5,962
|
The Bank of New York Mellon
|
6/14/17
|
5,962
|
5,855
|
(107
|
)
|
|||||||||||
EUR
|
13,000
|
|
|
|||||||||||||||
for USD
|
13,921
|
The Bank of New York Mellon
|
6/14/17
|
13,921
|
14,190
|
269
|
||||||||||||
EUR
|
12,000
|
|
|
|||||||||||||||
for USD
|
12,992
|
The Bank of New York Mellon
|
6/14/17
|
12,992
|
13,098
|
106
|
||||||||||||
EUR
|
227,000
|
|
|
|||||||||||||||
for USD
|
242,799
|
The Bank of New York Mellon
|
6/14/17
|
242,799
|
247,772
|
4,973
|
||||||||||||
EUR
|
154,000
|
|
|
|||||||||||||||
for USD
|
164,567
|
The Bank of New York Mellon
|
6/14/17
|
164,567
|
168,091
|
3,524
|
||||||||||||
EUR
|
143,000
|
|
|
|||||||||||||||
for USD
|
155,774
|
The Bank of New York Mellon
|
6/14/17
|
155,774
|
156,085
|
311
|
||||||||||||
EUR
|
94,000
|
|
|
|||||||||||||||
for USD
|
100,541
|
The Bank of New York Mellon
|
6/14/17
|
100,541
|
102,602
|
2,061
|
||||||||||||
EUR
|
624,000
|
|
|
|||||||||||||||
for USD
|
667,087
|
The Bank of New York Mellon
|
6/14/17
|
667,087
|
681,099
|
14,012
|
||||||||||||
JPY
|
17,000,000
|
|
|
|||||||||||||||
for USD
|
153,654
|
The Bank of New York Mellon
|
6/14/17
|
153,654
|
152,785
|
(869
|
)
|
|||||||||||
|
|
|
$
|
11,024
|
||||||||||||||
Total unrealized depreciation on forward foreign currency exchange contracts
|
$
|
(705,769
|
)
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
Statement of Asset and Liability Presentation of Fair Values of Derivative Instruments:
|
|||||
(amounts in thousands)
|
|||||
|
Asset Derivatives
|
|
Liability Derivatives
|
|
|
|
Statement of Assets
|
|
Statement of Assets
|
|
|
Primary Risk Exposure
|
and Liabilities Location
|
Fair Value
|
and Liabilities Location
|
Fair Value
|
|
Foreign exchange risk
|
Unrealized appreciation on
|
|
Unrealized depreciation on
|
|
|
|
forward foreign currency
|
|
forward foreign currency
|
|
|
|
exchange contracts
|
$64
|
exchange contracts
|
$769
|
|
Equity risk
|
|
|
Options written
|
57
|
|
Total
|
|
$64
|
|
$826
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
Effect of Derivative Instruments on the Statement of Operations: (amounts in thousands)
|
||||
Amount of Realized Gain (Loss) on Derivatives
|
||||
Derivatives not
|
|
|
Foreign
|
|
accounted for as
|
Written
|
Swap
|
Currency
|
|
hedging instruments
|
Options
|
Agreements
|
Transactions
|
Total
|
Equity risk
|
$ 124
|
$ —
|
$ —
|
$ 124
|
Credit risk
|
—
|
(72)
|
—
|
(72)
|
Foreign exchange risk
|
—
|
—
|
2,204
|
2,204
|
Total
|
$ 124
|
$ (72)
|
$ 2,204
|
$ 2,256
|
|
||||
Change in Unrealized Appreciation (Depreciation) on Derivatives
|
||||
Derivatives not
|
|
|
Foreign
|
|
accounted for as
|
Written
|
Swap
|
Currency
|
|
hedging instruments
|
Options
|
Agreements
|
Translations
|
Total
|
Equity risk
|
$ (28)
|
$ —
|
$ —
|
$ (28)
|
Credit risk
|
—
|
104
|
—
|
104
|
Foreign exchange risk
|
—
|
—
|
(1,682)
|
(1,682)
|
Total
|
$ (28)
|
$ 104
|
$ (1,682)
|
$ (1,606)
|
Derivative Volume
|
|
Options Contracts:
|
|
Quarterly Average Number of Outstanding Contracts Written
|
35
|
Quarterly Average Number of Outstanding Contracts Purchased
|
26
|
Forward Foreign Currency Exchange Contracts:
|
|
Quarterly Average Outstanding Settlement Value Purchased
|
$ 3,004,580
|
Quarterly Average Outstanding Settlement Value Sold
|
$30,563,513
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
April 30, 2017
|
|
|
|
Gross
|
Net Amounts
|
|
|
|
|
|
|
|
Amounts
|
of Assets
|
|
|
|
|
|
|
Gross
|
Offset in the
|
Presented in
|
|
|
|
|
|
|
Amounts
|
Statement
|
the Statement
|
Derivatives
|
|
|
|
|
Investment
|
of Recognized
|
of Assets &
|
of Assets &
|
Available for
|
Financial
|
Collateral
|
Net
|
Counterparty
|
Type
|
Assets
|
Liabilities
|
Liabilities
|
Offset
|
Instruments
|
Received
|
Amount
|
Bank of New
|
Forward
|
$ 63,665
|
$ —
|
$ 63,665
|
$ (63,665)
|
$ —
|
$ —
|
$ —
|
York Mellon
|
Foreign Currency
|
|
|
|
|
|
|
|
|
Exchange Contract
|
|
|
|
|
|
|
|
|
|
|
Gross
|
Net Amounts
|
|
|
|
|
|
|
|
Amounts
|
of Liabilities
|
|
|
|
|
|
|
Gross
|
Offset in the
|
Presented in
|
|
|
|
|
|
|
Amounts of
|
Statement
|
the Statement
|
Derivatives
|
|
|
|
|
Investment
|
Recognized
|
of Assets &
|
of Assets &
|
Available for
|
Financial
|
Collateral
|
Net
|
Counterparty
|
Type
|
Liabilities
|
Liabilities
|
Liabilities
|
Offset
|
Instruments
|
Pledged
|
Amount
|
Bank of New
|
Forward
|
$ 769,434
|
$ —
|
$ 769,434
|
$ (63,665)
|
$ —
|
$ —
|
$ 705,769
|
York Mellon
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Foreign Currency
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Exchange Contract
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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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April 30, 2017
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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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April 30, 2017
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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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April 30, 2017
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SUPPLEMENTAL INFORMATION (Unaudited)
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April 30, 2017
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Federal Income Tax Information
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In January 2018, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by you in the calendar year 2017.
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Sector Classification
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Information in the “Portfolio of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify 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.
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Trustees
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The Trustees of the Advent/Claymore Enhanced Growth & Income Fund and their principal occupations during the past five years:
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Name, Address,
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Number of | |||
Year of Birth
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Funds in
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and
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Term of
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Fund |
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Position(s)
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Office* and
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Complex**
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Held with
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Length of
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Principal Occupation(s) During the Past Five Years and
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Overseen
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Other Directorships
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Registrant
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Time Served
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Other Affiliations
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by Trustee
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Held by Trustee
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Independent Trustees:
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Randall C. Barnes++
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Since 2005
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Current: Private Investor (2001-present).
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98
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Current: Trustee, Purpose Investments
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Year of birth: 1951
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Funds (2014-present).
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Trustee
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Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997),
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President, Pizza Hut International (1991-1993); Senior Vice President,
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Strategic Planning and New Business Development of PepsiCo, Inc. (1987-1990).
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Daniel L. Black+
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Since 2005
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Current: Managing Partner, the Wicks Group of Cos., LLC (2003-present).
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3
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Current: Little Sprouts, LLC (2015-
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present); Harlem Lacrosse & Leadership,
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Year of birth: 1960
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Former: Managing Director and Co-head of the Merchant Banking Group at
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Inc. (2014-present); Bendon, Inc. (2012-
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Trustee
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BNY Capital Markets, a division of BNY Mellon (1998-2003); and Co-Head of
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2015); Antenna International, Inc.
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U.S. Corporate Banking at BNY Mellon (1995-1998).
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(2010-present); Bonded Services, Ltd.
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(2011- present).
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Former: Penn Foster Education Group,
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Inc. (2007-2009).
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SUPPLEMENTAL INFORMATION (Unaudited) continued
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April 30, 2017
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Number of
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Name, Address,
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Term of
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Funds in
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Year of Birth and
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Office* and
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Fund Complex**
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Position(s) Held
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Length of
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Principal Occupation(s) During the Past Five Years and
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Overseen
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Other Directorships
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with Registrant
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Time Served
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Other Affiliations
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by Trustee
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Held by Trustee
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Independent Trustees continued:
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Derek Medina+
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Since 2004
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Current: Senior Vice President, Business Affairs at ABC News (2008-present).
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3
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Current: Young Scholar’s Institute.
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Year of birth: 1966
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(2005-present); Oliver Scholars
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Trustee
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Former: Vice President, Business Affairs and News Planning at ABC News
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(2011-present)
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(2003-2008); Executive Director, Office of the President at ABC News (2000-2003);
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Associate at Cleary Gottlieb Steen & Hamilton (law firm) (1995-1998);
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Associate in Corporate Finance at J.P. Morgan/Morgan Guaranty (1988-1990).
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Ronald A. Nyberg++
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Since 2004
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Current: Partner, Momkus McCluskey Roberts, LLC (2016-present).
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100
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Current: Edward-Elmhurst Healthcare
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Year of birth: 1953
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System (2012-present).
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Trustee and Chairman
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Former: Partner, Nyberg & Cassioppi, LLC (200-2016); Executive Vice President,
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of the Nominating and
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General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999).
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Governance Committee
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Gerald L.
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Since 2004
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Current: Managing Partner of Seizert Capital Partners, LLC, where he directs
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3
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Current: Beaumont Hospital
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Seizert, CFA, CIC+
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the equity disciplines of the firm.
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(2012-present); University of Toledo
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Year of birth: 1952
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Foundation (2013-present).
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Trustee
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Former: Co-Chief Executive (1998-1999) and a Managing Partner and Chief
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Investment Officer-Equities of Munder Capital Management, LLC (1995-1999).
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Vice President and Portfolio Manager of Loomis, Sayles & Co., L.P. (asset manager)
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(1984-1995). Former Vice President and Portfolio Manager at First of America
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Bank (1978-1984).
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Michael A. Smart+
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Since 2004
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Current: Managing Partner, Herndon Equity Partners (2014-present),
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3
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Current: President & Chairman, Board of
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Year of birth: 1960
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Managing Partner, Cordova, Smart & Williams, LLC (2003-present).
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Directors, Berkshire Blanket Holdings,
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Trustee
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Inc. (2006- present); President and
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Former: Managing Director in Investment Banking-the Private Equity
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Chairman, Board of Directors, Sqwincher
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Group (1995-2001) and a Vice President in Investment Banking-Corporate
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Holdings (2006-present); Board of
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Finance (1992-1995) at Merrill Lynch & Co.; Founding Partner of The Carpediem
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Directors, Sprint Industrial Holdings
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Group, a private placement firm (1991-1992); Associate at Dillon, Read and
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(2007-present); Vice Chairman, Board of
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Co. (investment bank) (1988-1990).
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Directors, National Association of
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Investment Companies (“NAIC”) (2010-
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present). Trustee, The Mead School
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(2014-Present).
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SUPPLEMENTAL INFORMATION (Unaudited) continued
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April 30, 2017
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Number of
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Name, Address,
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Term of
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Funds in
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Year of Birth and
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Office* and
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Fund Complex**
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Position(s) Held
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Length of
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Principal Occupation(s) During the Past Five Years and
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Overseen
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Other Directorships
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with Registrant
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Time Served
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Other Affiliations
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by Trustee
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Held by Trustee
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Interested Trustees:
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Tracy V. Maitland+ø
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Since 2004
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Current: President of Advent Capital Management, LLC (2001-present).
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3
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None.
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Year of birth: 1960
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Trustee, Chairman,
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Former: Prior to June 2001, President of Advent Capital Management,
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President and Chief
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a division of Utendahl Capital.
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Executive Officer
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+ |
Address for all Trustees noted: 1271 Avenue of the Americas, 45th Floor, New York, NY 10020.
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Address for all Trustees noted: 227 West Monroe Street, Chicago, IL 60606.
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* |
After a Trustee’s initial term, each Trustee is expected to serve a three-year term concurrent with the class of Trustees for which he serves:
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Mr. Michael A. Smart and Mr. Daniel L. Black are the Class I Trustees. The term of the Class I Trustees will continue until the 2017 annual meeting of or until successors shall have been elected and qualified.
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Mr. Tracy V. Maitland and Mr. Ronald A. Nyberg are Class II Trustees. The term of the Class II Trustees will continue until the 2018 annual meeting of or until successors shall have been elected and qualified.
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Mr. Gerald L. Seizert, Mr. Derek Medina and Mr. Randall C. Barnes are the Class III Trustees. The term of the Class III Trustees will continue until the 2019 meeting of shareholders or until successors shall have been elected and qualified.
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**
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As of period end. The Guggenheim Investments Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Advisors, LLC and/or Guggenheim Funds Distributors, LLC and/or affiliates of such entities. The Guggenheim Investments Fund Complex is by multiple Boards of Trustees.
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Mr. Maitland is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) of the Fund because of his position as an officer of Advent Capital LLC, the Fund’s Investment Adviser.
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SUPPLEMENTAL INFORMATION (Unaudited) continued
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April 30, 2017
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Term of Office
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Name, Address* and
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Position(s) held
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and Length of
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Principal Occupations
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Year of Birth
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with the Trust
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Time Served**
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During Past Five Years
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Officers:
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Edward C. Delk
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Secretary and
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Since 2012
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Current: General Counsel and Chief Compliance Officer, Advent Capital Management, LLC (2012-present).
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(1968)
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Chief Compliance
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Officer
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Former: Assistant General Counsel and Chief Compliance Officer, Insight Venture Management, LLC (2009-2012); Associate General
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Counsel, TIAA-CREF (2008-2009); Principal, Legal Department, The Vanguard Group, Inc. (2000-2008).
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Tony Huang
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Vice President
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Since 2014
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Current: Vice-President, Co-Portfolio Manager and Analyst, Advent Capital Management, LLC (2007-present).
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(1976)
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and Assistant
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Secretary
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Former: Senior Vice President, Portfolio Manager and Analyst, Essex Investment Management (2001-2006); Vice President, Analyst,
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Abacus Investments (2001); Vice President, Portfolio Manager, M/C Venture Partners (2000-2001); Associate, Fidelity Investments
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(1996-2000).
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Robert White
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Treasurer and
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Since 2005
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Current: Chief Financial Officer, Advent Capital Management, LLC (2005-present).
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(1965)
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Chief Financial
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Officer
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Former: Vice President, Client Service Manager, Goldman Sachs Prime Brokerage (1997-2005).
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*
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Address for all: 1271 Avenue of the Americas, 45th Floor, New York, NY 10020.
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**
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Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal.
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DIVIDEND REINVESTMENT PLAN (Unaudited)
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April 30, 2017
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DIVIDEND REINVESTMENT PLAN (Unaudited) continued
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April 30, 2017
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FUND INFORMATION
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April 30, 2017
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Board of Trustees
Randall C. Barnes
Daniel L. Black
Tracy V. Maitland*
Chairman
Derek Medina
Gerald L. Seizert
Michael A. Smart
* Trustee is an “interested person” of the Fund
as defined in the Investment Company Act
of 1940, as amended
Officers
Secretary and Chief Compliance Officer
Tony Huang
Vice President and Assistant Secretary
Tracy V. Maitland
President and Chief Executive Officer
Treasurer and Chief Financial Officer
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Investment Manager
Advent Capital Management, LLCNew York, NY Investment Adviser Guggenheim Funds Investment Advisors, LLC Chicago, IL Accounting Agent and Custodian
The Bank of New York Mellon New York, NY MUFG Investor Services (US), LLC
Rockville, MD
Transfer Agent
Computershare Trust Company, N.A.
Jersey City, NJ
Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY
Independent Registered
Public Accounting Firm
PricewaterhouseCoopers LLP
New York, NY
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FUND INFORMATION continued
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April 30, 2017
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·
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If your shares are held in a Brokerage Account, contact your Broker.
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·
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If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
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Computershare Trust Company, N.A., P.O. Box 30170, College Station, TX 77842-3170; (866) 488-3559 or online at www.computershare.com/investor.
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ABOUT THE FUND MANAGER
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1
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Screen the convertible and high-yield markets for securities with attractive risk/reward characteristics and favorable cash flows;
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2
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Analyze the quality of issues to help manage downside risk;
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3
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Analyze fundamentals to identify catalysts for favorable performance; and
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4
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Continually monitor the portfolio for improving or deteriorating trends in the financials of each investment.
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Advent Capital Management, LLC
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Guggenheim Funds Distributors, LLC
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1271 Avenue of the Americas, 45th Floor
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227 West Monroe Street
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New York, NY 10020
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Chicago, IL 60606
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Member FINRA/SIPC
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(06/17)
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Date: July 7, 2017
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/s/ Tracy V. Maitland
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Tracy V. Maitland
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President and Chief Executive Officer
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Date: July 7, 2017
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/s/ Robert White
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Robert White
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Treasurer and Chief Financial Officer
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(1)
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the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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(2)
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the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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8