clay49140-ncsrs.htm
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment
Company Act file number
811-21309
Advent Claymore Convertible
Securities and Income Fund
(Exact
name of registrant as specified in charter)
1065
Avenue of the Americas, New York, NY 10018
(Address
of principal executive offices) (Zip code)
Robert
White, Treasurer
1065 Avenue of the Americas,
New York, NY 10018
(Name and
address of agent for service)
Registrant's
telephone number, including area code: (212)
479-0675
Date of
fiscal year end: October
31
Date of
reporting period: April 30,
2010
Form
N-CSR is to be used by management investment companies to file reports with the
Commission not later than 10 days after the transmission to stockholders of any
report that is required to be transmitted to stockholders under Rule 30e-1 under
the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use
the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A
registrant is required to disclose the information specified by Form N-CSR, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-CSR unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to
Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington,
DC 20549-0609. The OMB has reviewed this collection of information under the
clearance requirements of 44 U.S.C. § 3507.
Item
1. Reports to Stockholders.
The
registrant's semi-annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the “Investment
Company Act”), is as follows:
Semiannual
Report
April 30, 2010
(Unaudited)
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Advent Claymore
Convertible
Securities and Income
Fund
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AVK
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www.claymore.com/avk |
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... your bridge to the
LATEST,
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most up-to-date INFORMATION
about
the
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Advent Claymore Convertible
Securities and Income Fund
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The shareholder report you are reading
right now is just the beginning of the story. Online at www.claymore.com/avk, you will find:
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Daily,
weekly and monthly data on share prices, net asset values, dividends and
more
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Portfolio
overviews and performance
analyses
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Announcements,
press releases and special
notices
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Fund
and adviser contact
information
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Advent Capital Management and Claymore
are continually updating and expanding shareholder information services on the
Fund’s website in an ongoing effort to provide you with the most current
information about how your Fund’s assets are managed and the results of our
efforts. It is just one more small way we are working to keep you better
informed about your investment in the Fund.
2 |
Semiannual
Report |
April 30,
2010
AVK l
Advent Claymore Convertible
Securities and Income Fund
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Dear Shareholder
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Tracy V.
Maitland
President and Chief
Executive Officer
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We thank you for your investment
in the Advent Claymore Convertible Securities and Income Fund (the
“Fund”). This report covers the Fund’s performance for the semiannual
period ended April 30, 2010.
Advent Capital Management, LLC
serves as the Fund’s Investment Adviser. Based in New York, New York, with additional investment
personnel in London, England, Advent is a credit-oriented firm
specializing in the management of global convertible, high-yield and
equity securities across three lines of business—long-only strategies,
hedge funds and closed-end funds. As of April 30, 2010, Advent managed
approximately $5.25 billion in assets.
Claymore Securities, Inc.
(“Claymore”) serves as the Servicing Agent to the Fund. Claymore
Securities, Inc. is an affiliate of Claymore Advisors, LLC, the Fund’s
Administrator. Claymore and its associated entities are wholly-owned
subsidiaries of Guggenheim Partners, LLC (“Guggenheim Partners”), a global
diversified financial services firm with more than $100 billion in assets
under supervision. Claymore Securities, Inc. offers strategic investment
solutions for financial advisors and their clients. In total, Claymore
entities provide supervision, management, or servicing on approximately
$15.9 billion in assets as of March 31, 2010.
The Fund’s investment objective is
to provide total return through a combination of capital appreciation and
current income. Under normal market conditions, the Fund will invest at
least 80% of its managed assets in a diversified portfolio of convertible
securities and non-convertible income securities. Under normal market
conditions, the Fund will invest at least 60% of its managed assets in
convertible securities and up to 40% in lower grade, non-convertible
income securities.
All Fund returns cited—whether
based on net asset value (“NAV”) or market price—assume the reinvestment
of all distributions. For the six-month period ending April 30, 2010, the
Fund generated a total return based on market price of 28.27% and a return
of 22.56% based on NAV.
As of April 30, 2010, the Fund’s
market price of $17.64 represented a discount of 8.79% to NAV of $19.34.
As of October 31, 2009, the Fund’s market price of $14.24 represented a
discount of 12.53% to NAV of $16.28. The market value of the Fund’s shares
fluctuates from time to time, and it may be higher or lower than the
Fund’s NAV.
In each month from November 2009
through April 2010, the Fund paid a monthly distribution of $0.0939 per
common share. The current monthly distribution represents an annualized
distribution rate of 6.39% based upon the last closing market price of
$17.64 as of April 30, 2010. There is no guarantee of any future
distributions or that the current returns and distribution rate will be
maintained.
We encourage shareholders to
consider the opportunity to reinvest their distributions from the Fund
through the Dividend Reinvestment Plan (“DRIP”), which is described in
detail on page 28 of this report. When shares trade at a discount to NAV,
the DRIP takes advantage of the discount by reinvesting the monthly
dividend distribution in common shares of the Fund purchased in the market
at a price less than NAV. Conversely, when the market price of the Fund’s
common shares is at a premium above NAV, the DRIP reinvests participants’
dividends in newly-issued common shares at NAV, subject to an Internal
Revenue Service (“IRS”) limitation that the purchase price cannot be more
than 5% below the market price per share. The DRIP provides a
cost-effective means to accumulate additional shares and enjoy the
benefits of compounding returns over time. Since the Fund endeavors to
maintain a steady monthly distribution rate, the DRIP plan effectively
provides an income averaging technique, which
causes
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Semiannual Report |
April 30,
2010 |
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AVK |
Advent Claymore Convertible
Securities and Income Fund |
Dear
Shareholder continued
shareholders to accumulate a larger
number of Fund shares when the share price is depressed than when the price is
higher.
The following Questions &
Answers section provides
more information about the factors that affected the Fund’s
performance.
We are honored that you have chosen the
Advent Claymore Convertible Securities and Income Fund as part of your
investment portfolio. For the most up-to-date information on your investment,
please visit the Fund’s website at www.claymore.com/avk.
Sincerely,
Tracy V. Maitland
President and Chief Executive Officer of
the Advent Claymore Convertible Securities and Income Fund
May 31, 2010
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Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Questions &
Answers
Questions
&
Answers
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Advent Claymore Convertible Securities
and Income Fund (the “Fund”) is managed by a team of seasoned professionals at
Advent Capital Management, LLC, (“Advent”), led by Tracy V. Maitland, Advent’s
President and Chief Investment Officer. In the following interview, Mr. Maitland
discusses the convertible securities and high-yield markets and the performance
of the Fund during the six-month period ended April 30,
2010.
Will you remind us of this Fund’s
objective and how you seek to achieve it?
The Fund’s investment objective is to
provide total return through a combination of capital appreciation and current
income. An important goal of the Fund is to provide total returns comparable
with equities by using higher yielding and typically less volatile convertible
securities.
Under normal market conditions, the Fund
will invest at least 80% of its managed assets in a diversified portfolio of
convertible securities and non-convertible income securities. Under normal
market conditions, the Fund will invest at least 60% of its managed assets in
convertible securities and may invest up to 40% in lower grade, non-convertible
income securities, although the portion of the Fund’s assets invested in
convertible securities and non-convertible income securities will vary from time
to time consistent with the Fund’s investment objective, changes in equity
prices and changes in interest rates and other economic and market factors. The
Fund expects to invest approximately 70% of its assets in lower-grade
securities, however, from time to time, it is possible that all of the Fund’s
assets may be invested in lower-grade securities. During periods of very high
market volatility, the Fund may not be invested at these
levels.
More than half of the convertible market
and a large portion of the Fund’s convertible investments are in securities
issued by growth companies, particularly companies within the health care and
technology sectors. Growth companies generally issue convertible bonds or
convertible preferred stocks as a means of raising capital to build their
businesses. Convertibles represent something of a hybrid between equity and debt
as a way to raise capital; convertibles generally have lower interest rates than
non-convertible bonds, but entail less dilution than issuing common stock.
Convertible preferreds are often issued by financial companies in order to raise
capital while keeping their credit ratings higher than if they offered bonds.
This is because issuing bonds would increase the proportion of debt on an
issuer’s balance sheet, possibly triggering a downgrade in credit rating, while
preferred stock is classified as equity.
The Fund’s ability to allocate among
convertibles and high-yield bonds, also known as “junk” bonds, helps provide
diversification at an asset, sector and security level. Among the attractions of
convertible securities are that they generally offer a yield advantage over
common stocks; they have tended to capture much of the upside when equity prices
move up in stronger markets; and the yield advantage along with bond-like
characteristics has historically provided inherent downside protection in weaker
markets. However, there is no assurance
that convertible securities will participate significantly in any upward
movement of the underlying common stock or that they will provide protection
from downward movements.
Please tell us about the economic and
market environment over the last six months.
The economic recovery that began in 2009
appeared to solidify and strengthen in the first few months of 2010. The early
stages of the recovery were driven mainly by monetary and fiscal stimulus and an
upturn in the inventory cycle. More recently, activity appears to be more
sustainable, with improving conditions in the labor market, firming aggregate
demand and reviving confidence. In late April, the Bureau of Economic Analysis
made a preliminary announcement that real gross domestic product expanded at an
annual rate of 3.2% in the first quarter of 2010, and most estimates call for
growth in this same range for the remainder of the year. Corporate earnings have
been surprisingly strong.
Following the financial crisis of 2008,
in the first quarter of 2009 the credit markets began a dramatic recovery and
equities began to move up sharply. The bullish market conditions during most of
2009 and the early months of 2010 were almost a mirror image of the bearish
market conditions of 2008. In retrospect, the market plunge in 2008 set the
stage for the strong rebound in 2009, which has continued in 2010, and
convertible securities were among the best performing asset
classes.
The total return of the Merrill Lynch
All U.S. Convertibles Index for the six-month period ended April 30, 2010, was
16.28%. The Standard & Poor’s 500 Index, which is generally regarded as a
representation of the broad stock market, returned 15.66% for the same period.
The Barclays Capital US Aggregate Bond Index, which measures the return of the
high-quality U.S. bond market as a whole, returned 2.54%
for the six-month period. Return of the Merrill Lynch High Yield Master II
Index, which measures performance of the high-yield bond market, was 11.65% for
the six months ended April 30, 2010.
How did the Fund perform in this
environment?
Market conditions during the six months
ended April 30, 2010, were nearly ideal for the Fund, which seeks equity-like
returns with a focus on income by investing at least 60% of the Fund’s assets in
convertible securities, under normal conditions. Beginning in March 2009, as
equities rebounded and the credit markets staged a dramatic recovery,
convertibles enjoyed very high returns. During the first half of the Fund’s 2010
fiscal year, the Fund significantly outperformed convertibles, high-yield
securities and equities, as measured by the index returns cited above. The Fund
also performed better than most other closed-end convertible funds, in large
part because it was heavily invested in convertible securities, while some
competing funds had more emphasis on high-yield bonds, which performed well, but
not as well as convertibles. The Fund’s use of leverage contributed further to
higher income and a high total return during a period of very low short-term
interest rates and strong markets. Past
Semiannual Report |
April 30,
2010 |
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AVK |
Advent Claymore Convertible
Securities and Income Fund |
Questions &
Answers continued
performance is not a guarantee of future
results. The use of leverage, which contributed to performance during this
period, can impede performance when the cost of leverage is higher than the
returns generated by the Fund’s investments.
For the six-month period ending April
30, 2010, the Fund generated a total return based on market price of 28.27% and
a return of 22.56% based on NAV. As of April 30, 2010, the Fund’s market price
of $17.64 represented a discount of 8.79% to NAV of $19.34. As of October 31,
2009, the Fund’s market price of $14.24 represented a discount of 12.53% from
NAV of $16.28. The market value of the Fund’s shares fluctuates from time to
time and it may be higher or lower than the Fund’s NAV. All Fund returns
cited—whether based on net asset value (“NAV”) or market price—assume the
reinvestment of all distributions.
What were the major investment decisions
that affected the Fund’s performance?
An important reason for the Fund’s
strong performance was its heavy investment in convertible securities as opposed
to high-yield bonds and other more purely income vehicles. As the name of the
Fund suggests, it is primarily a convertible fund, although it is permitted to
invest up to 40% in various income-producing securities. During the six months
ended April 30, 2010, the Fund’s investment in high-yield securities was
maintained at approximately 14%, significantly lower than the permitted weight
in these securities. This was balanced by approximately 80% in convertible
securities. The decision to emphasize convertible securities contributed
meaningfully to return, since convertibles performed much better than high-yield
bonds during the six-month period.
Also positive for return over this
period was the Fund’s longstanding emphasis on the health care sector. A
particularly strong weight in health care over the past two years has been quite
beneficial because there really has been no recession in health care. The Fund’s
health care companies have generated strong cash flow and maintained strong
balance sheets, but their stocks and convertibles have often been undervalued
because of concerns about health care reform. Now that health care reform has
become a reality, higher health care expenditures in the United States are likely to contribute further to
what is already a growth business. Among the health care holdings that
contributed strongly to performance over the six-month period were a convertible
preferred of Mylan, Inc. (1.7% of long-term investments), a global
pharmaceutical company, and a convertible bond of Teva Pharmaceutical Industries
LLC (1.7% of long-term investments), the world’s largest generic drug
company.
Another sector in which the Fund has a
significant weight is financials. Securities of financial companies hurt the
Fund’s performance in 2008, when they were the biggest victims of the financial
panic. Since then, stocks of financial companies performed quite well based on
improving fundamentals as well as recovery from extremely low levels during the
worst of the financial crisis. The markets have recognized the turnaround in the
major banking companies and the Fund has participated very significantly. For
the first half of the 2010 fiscal year, the Fund’s largest returns came from
warrants of Bank of America Corporation (1.5% of long-term investments) and from
a Citigroup Inc. convertible preferred (1.7% of long-term investments). Both of
these companies are large U.S.-based banks. Some of the Fund’s positions in the
financial sector have been reduced recently, enabling the Fund to realize some
of the profits in these holdings.
Warrants such as the Bank of America
warrants held by the Fund are often used, in essence, like a synthetic
convertible in the sense that the portfolio’s position in warrants has been
balanced by some cash and also some positions in extremely defensive convertible
securities. Warrants typically have an asymmetry that is somewhat akin to
convertibles in that they tend to capture more of the upside than the downside,
especially when they have a few years to run and when the underlying stock is
volatile. Hence, holding warrants along with low-volatility, bond-like
investments, creates an asymmetric profile of potential investment returns that
is akin to that of a convertible security.
Another major contributor to the Fund’s
strong performance was a convertible bond of United States Steel Corp. (no
longer held in the portfolio at period end). Many industrial stocks such as U.S.
Steel have done very well during this period of recovery, and the steel business
is influenced by continued heavy demand in China. The Fund’s managers sold these bonds
at more than double their par value; the bonds soared in price because the stock
into which they are convertible moved up sharply. When a bond is selling far
above its face value, it is generally eliminated from the portfolio because
there is no longer sufficient downside protection. Such “in-the-money”
convertibles eventually behave much like stocks, with high volatility and
significant downside risk.
Also positive was auto manufacturer Ford
Motor Company (2.1% of long-term investments). This is a highly leveraged
company that is very sensitive to overall economic conditions, and its new
products have been surprisingly well received. Ford has benefited from a
combination of the company doing well and the sharp recovery in the
economy.
In the interest of balance, it is
essential to acknowledge holdings that detracted from performance, but actually
there were very few and the losses they generated were relatively small. The top
10 contributors to performance each added $2 million to $5 million to returns,
while the 10 greatest detractors each reduced return by less than $300,000. Of
course, this strong performance mainly reflects a very strong
market.
The biggest detractor was a convertible
bond of GMX Resources, Inc. (0.4% of long-term investments), an oil and gas
drilling and exploration company. This is a highly leveraged company that has
been hurt by weak natural gas prices.
6 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Questions &
Answers continued
How has the Fund’s leverage strategy
affected performance?
The Fund utilizes leverage (borrowing)
as part of its investment strategy, to finance the purchase of additional
securities that provide increased income and potentially greater appreciation
potential to common shareholders than could be achieved from a portfolio that is
unleveraged. The Fund currently implements its leverage strategy through the
issuance of Auction Market Preferred Shares (“AMPSSM”). Since January 14, 2009, the Fund’s
leverage has been maintained at $262 million.
The Fund has six series of AMPS, three
that auction each week and three that auction every 28 days. The broad
auction-rate preferred securities market remains essentially frozen, as it has
been since February 2008. The auctions for nearly all auction-rate preferred
shares, including those issued by the Fund, continue to fail. Investors need to
be aware that a failed auction is not a default, nor does it require the
redemption of a fund’s auction-rate preferred shares. Provisions in the offering
documents of the Fund’s AMPS provide a mechanism to set a maximum rate in the
event of a failed auction, and, thus, investors will continue to be entitled to
receive interest payments for holding these AMPS. This maximum rate is
determined based upon a multiple of or a spread to LIBOR, whichever is greater.
During the six-month period ended April 30, 2010, established maximum rates were
based on a spread of 125 basis points over the applicable LIBOR rates, with the
maximum rates ranging from 1.46% to 1.51%.
The Fund will continue to evaluate the
benefits and effects of leverage on the Fund, as well as explore other types of
leverage. Given the very low interest rates that have been established for the
Fund’s AMPS over the last several months, the leverage has helped to create
capital appreciation in the Fund’s portfolio and has contributed to income
available for distributions to common shareholders, since the portfolio is
yielding more than the cost of leverage.
There is no guarantee that the Fund’s
leverage strategy will be successful, and the Fund’s use of leverage may cause
the Fund’s NAV and market price of common shares to be more volatile. Leverage
adds value only when the total return on securities purchased exceeds the cost
of leverage.
Please discuss the Fund’s distributions
during the last six months.
In each month from November 2009 through
April 2010, the Fund paid a monthly distribution of $0.0939 per common share.
The current monthly distribution represents an annualized distribution rate of
6.39% based upon the last closing market price of $17.64 as of April 30, 2010.
There is no guarantee of any future distributions or that the current returns
and distribution rate will be maintained.
What is the current outlook for the
markets and the Fund?
The Fund’s management team continues to
see opportunities in convertible securities. Although credit spreads have
narrowed dramatically from the panic in late 2008, credit spreads on high-yield
securities remain somewhat wider than the historical norm—which suggests
potential for further spread tightening, particularly in the event of continued
economic recovery while the Federal Reserve maintains record-low short-term
interest rates. Moreover, there is potential for credit spreads to become
tighter than the historical norms—which would tend to drive up the market prices
of convertibles and high-yield investments.
A key underpinning of convertibles—as
well as high-yield bonds and other corporate credits—is the reopening of the
capital markets last year. There has been much publicity about banks’ reluctance
to lend and banks’ tightened lending standards. But large public corporations
borrow from the public capital markets, and the public capital markets reopened
early in 2009. The markets have continued to accommodate new issues of
high-yield bonds and convertible securities. The open new issue market enhances
the creditworthiness of essentially all issuers because it provides refinancing
of existing credits at reasonable interest rates. (At the height of the credit
panic late in 2008, there were no new issues of convertibles or high-yield
bonds. Many corporate bond issuers were in the same situation as homeowners with
mortgages who were unable to refinance.)
There is also further potential in
equities, especially considering that key stock market indices have not yet
recovered to former highs. The interest-rate environment is propitious for
equities. Indeed, periods of low short-term interest rates (set by the Federal
Reserve) and periods of tightening corporate credit spreads have historically
been followed by periods of rewarding stock market returns. Continued strength
in equities is likely to lead to rewarding returns from convertible
securities.
Despite this optimism about market
prospects, the Fund’s investment approach is risk-averse. As the markets have
recovered, the Fund’s managers have begun to place greater emphasis on income
and on downside protection. Recent investments include convertible bonds that
are trading near “bond value” (i.e., are trading for little more than their
estimated value if they were “straight” nonconvertible bonds) and high-yield
bonds of companies considered to be sound. Recent purchases have also included
convertible preferred shares, which often provide a potentially rewarding
combination of relatively high yields, relatively strong sensitivity to the
underlying stocks, and relatively good quality. Historically, convertible
preferreds have often been issued by financial companies as a way to boost
capital. Many financial stocks appear undervalued, and an environment of low
short-term interest rates generally results in enhanced profitability of
financial companies.
History indicates that convertible
securities as an asset class represent a low-risk means of obtaining equity-like
returns. Convertible securities typically yield
more than common stocks and capture much of the upside when common stocks rise
but
Semiannual Report |
April 30,
2010 |
7
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Questions &
Answers continued
tend to lose less than common stocks
when equity markets are weak. A period of uncertainty such as the present
appears to be an ideal time to invest in convertible securities as a way to
maintain the potential for equity-like returns while entailing less downside
risk than outright ownership of common stocks. While past performance does not
guarantee future returns, key convertible indices have performed as well or
better than equity indices over the long term.
The conversion premium reflects
the market price of a convertible relative to the market value of the
common shares into which the convertible security can be
converted.
For example, a bond trading at a
par value of $1,000 that is convertible into 20 shares of common stock
trading at $40 would have a conversion premium of 25% over its conversion
value of $800. The lower the conversion premium, the more upside there is
for convertible investors. If the stock performs poorly, the convertible
normally provides downside protection based on its yield and its
fixed-income
value.
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Index Definitions
Indices are unmanaged and it is not
possible to invest directly in any index.
The Merrill Lynch All U.S. Convertibles
Index is comprised of more than 500 issues of convertible bonds and convertible
preferred shares of all qualities.
The Barclays Capital US Aggregate Bond
Index covers the U.S. dollar-denominated, investment-grade, fixed rate, taxable
bond market of SEC-registered securities. The Index includes bonds from the U.S.
Treasury, government-related, corporate, mortgage-backed securities (agency
fixed-rate and hybrid ARM passthroughs), asset-backed securities and
collateralized mortgage-backed securities sectors.
Merrill Lynch High Yield Master II Index
is a commonly used benchmark index for high yield corporate bonds. It is a
measure of the broad high yield market.
8 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Questions &
Answers continued
AVK Risks and Other
Considerations
The views expressed in this report
reflect those of the Portfolio Managers and Claymore only through the report
period as stated on the cover. These views are subject to change at any time,
based on market and other conditions and should not be construed as a
recommendation of any kind. The material may also contain forward-looking
statements that involve risk and uncertainty, and there is no guarantee they
will come to pass. There can be no assurance that the Fund will achieve its
investment objectives. The value of the Fund will fluctuate with the value of
the underlying securities. Historically, closed-end funds often trade at a
discount to their net asset value. The Fund is subject to investment risk,
including the possible loss of the entire amount that you invest. Past
performance does not guarantee future results.
Convertible
Securities. The Fund is not
limited in the percentage of its assets that may be invested in convertible
securities. Convertible securities generally offer lower interest or dividend
yields than non-convertible securities of similar quality. The market values of
convertible securities tend to decline as interest rates increase and,
conversely, to increase as interest rates decline. However, the convertible
security’s market value tends to reflect the market price of the common stock of
the issuing company when that stock price is greater than the convertible’s
‘‘conversion price,’’ which is the predetermined price at which the convertible
security could be exchanged for the associated stock.
Synthetic
Convertible Securities. The
value of a synthetic convertible security will respond differently to market
fluctuations than a convertible security because a synthetic convertible
security is composed of two or more separate securities, each with its own
market value. In addition, if the value of the underlying common stock or the
level of the index involved in the convertible component falls below the
exercise price of the warrant or option, the warrant or option may lose all
value.
Lower
Grade Securities. Investing
in lower grade securities (commonly known as “junk bonds”) involves additional
risks, including credit risk. Credit risk is the risk that one or more
securities in the Fund’s portfolio will decline in price, or fail to pay
interest or principal when due, because the issuer of the security experiences a
decline in its financial status.
Leverage
Risk. Certain risks are
associated with the leveraging of common stock. Both the net asset value and the
market value of shares of common stock may be subject to higher volatility and a
decline in value.
Interest
Rate Risk. In addition to
the risks discussed above, convertible securities and non-convertible income
securities are subject to certain risks, including:
• if interest rates go up, the value of
convertible securities and nonconvertible income securities in the Fund’s
portfolio generally will decline;
• during periods of declining interest
rates, the issuer of a security may exercise its option to prepay principal
earlier than scheduled, forcing the Fund to reinvest in lower yielding
securities. This is known as call or prepayment risk. Lower grade securities
have call features that allow the issuer to repurchase the security prior to its
stated maturity. An issuer may redeem a lower grade security if the issuer can
refinance the security at a lower cost due to declining interest rates or an
improvement in the credit standing of the issuer; and
• during periods of rising interest
rates, the average life of certain types of securities may be extended because
of slower than expected principal payments. This may lock in a below market
interest rate, increase the security’s duration (the estimated period until the
security is paid in full) and reduce the value of the security. This is known as
extension risk.
Illiquid
Investments. The Fund may
invest without limit in illiquid securities. The Fund may also invest without
limit in Rule 144A Securities. Although many of the Rule 144A Securities in
which the Fund invests may be, in the view of the investment Adviser, liquid, if
qualified institutional buyers are unwilling to purchase these Rule 144A
Securities, they may become illiquid. Illiquid securities may be difficult to
dispose of at a fair price at the times when the Fund believes it is desirable
to do so. The market price of illiquid securities generally is more volatile
than that of more liquid securities, which may adversely affect the price that
the Fund pays for or recovers upon the sale of illiquid
securities.
Foreign
Securities and Emerging Markets Risk. Investing in non-U.S. issuers may
involve unique risks, such as currency, political, economic and market risk. In
addition, investing in emerging markets entails additional risk including, but
not limited to (1) news and events unique to a country or region (2) smaller
market size, resulting in lack of liquidity and price volatility (3) certain
national policies which may restrict the Fund’s investment
opportunities.
Strategic
Transactions. The Fund may
use various other investment management techniques that also involve certain
risks and special considerations, including engaging in hedging and risk
management transactions, including interest rate and foreign currency
transactions, options, futures, swaps, caps, floors, and collars and other
derivatives transactions.
Auction
Market Preferred Shares (AMPS) Risk. There also risks associated with
investing in Auction Market Preferred Shares or AMPS. The AMPS are redeemable,
in whole or in part, at the option of the Fund on any dividend payment date for
AMPS, and will be subject to mandatory redemption in certain circumstances. The
AMPS will not be listed on an exchange. You may only buy or sell AMPS through an
order placed at an auction with or through a broker-dealer that has entered into
an agreement with the auction agent and the Fund or in a secondary market
maintained by certain broker dealers. These broker-dealers are not required to
maintain this market, and it may not provide you with liquidity. The AMPS market
continues to remain illiquid as auctions for nearly all AMPS continue to fail. A
failed auction is not a default, nor does it require the redemption of a fund’s
auction-rate preferred shares. Provisions in the Fund’s offering documents
provide a mechanism to set a maximum rate in the event of a failed auction, and,
thus, investors will continue to be entitled to receive payment for holding
these AMPS.
In addition to the risks described
above, the Fund is also subject to: Management Risk,
Market Disruption Risk, and Anti-Takeover Provisions. Please see www.claymore.com/avk for a
more detailed discussion about Fund risks and
considerations.
Semiannual Report |
April 30, 2010
|
9
AVK |
Advent Claymore Convertible
Securities and Income Fund
Fund
Summary
|
As of
April 30, 2010 (unaudited)
Fund
Statistics
|
|
|
|
|
Share Price
|
|
|
$17.64
|
Common Share Net Asset
Value
|
|
|
$19.34
|
Premium/Discount to
NAV
|
|
|
-8.79% |
Net Assets Applicable to Common
Shares ($000)
|
|
|
$456,137
|
Total
Returns
|
|
|
|
|
|
|
(Inception
4/30/03)
|
|
Market
|
|
NAV
|
Six Month
|
|
|
28.27
|
% |
|
|
22.56
|
% |
One Year
|
|
|
67.05
|
% |
|
|
60.62
|
% |
Three Year - average
annual
|
|
|
-5.61
|
% |
|
|
-3.52
|
% |
Five Year - average
annual
|
|
|
4.43
|
% |
|
|
4.23
|
% |
Since Inception -average
annual
|
|
|
4.66
|
% |
|
|
6.15
|
% |
Top Ten
Industries
|
|
% of Long-Term
Investments
|
Banks
|
|
|
8.8
|
% |
Telecommunications
|
|
|
8.7
|
% |
Pharmaceuticals
|
|
|
8.0
|
% |
Insurance
|
|
|
7.2
|
% |
Healthcare
Products
|
|
|
6.3
|
% |
Real Estate Investment
Trusts
|
|
|
4.7
|
% |
Healthcare
Services
|
|
|
4.7
|
% |
Diversified Financial
Services
|
|
|
4.0
|
% |
Computers
|
|
|
3.9
|
% |
Biotechnology
|
|
|
3.5
|
% |
Top Ten
Issuers
|
|
% of Long-Term
Investments
|
Medtronic,
Inc.
|
|
|
2.5
|
% |
EMC Corp.
|
|
|
2.2
|
% |
Transocean,
Inc.
|
|
|
2.2
|
% |
Bank of America
Corp.
|
|
|
2.2
|
% |
Ford Motor
Co.
|
|
|
2.1
|
% |
XL Capital
Ltd.
|
|
|
1.9
|
% |
Omnicare,
Inc.
|
|
|
1.8
|
% |
FPL Group,
Inc.
|
|
|
1.8
|
% |
Teva Pharmaceutical Industries
LLC
|
|
|
1.7
|
% |
Citigroup,
Inc.
|
|
|
1.7
|
% |
Past performance does not guarantee
future results. All portfolio data is subject to change daily. For more current
information, please visit www.claymore.com/avk. The above summaries are provided
for informational purposes only and should not be viewed as
recommendations.
Share
Price & NAV Performance
Monthly
Dividends Per Share
Portfolio Composition (% of Total
Investments)
10 |
Semiannual
Report |
April 30,
2010
AVK | Advent Claymore Convertible Securities
and Income Fund
Portfolio
of Investments | April 30, 2010
(unaudited)
Number
of Shares
|
|
|
|
Value
|
|
|
Long-Term
Investments – 145.0%
|
|
|
|
|
Convertible
Preferred Stocks – 37.7%
|
|
|
|
|
Agriculture
– 1.0%
|
|
|
109,100
|
|
Archer-Daniels-Midland
Co., 6.25%, 2011
|
$
|
4,320,360
|
|
|
|
|
|
|
|
Auto
Manufacturers – 1.7%
|
|
|
160,000
|
|
Ford Motor Co.
Capital Trust II, 6.50%, 2032
|
|
7,824,000
|
|
|
|
|
|
|
|
Banks
– 8.4%
|
|
|
4,550
|
|
Bank of America
Corp., Ser. L, 7.25%, 2049
|
|
4,468,054
|
85,479
|
|
Citigroup, Inc.,
7.50%, 2012
|
|
11,267,842
|
72,176
|
|
Keycorp, Ser. A,
7.75%, 2049
|
|
7,578,480
|
6,000
|
|
Webster Financial
Corp., Ser. A, 8.50%, 2049
|
|
6,255,000
|
8,602
|
|
Wells Fargo &
Co., Ser. L, 7.50%, 2049
|
|
8,481,572
|
|
|
|
|
38,050,948
|
|
|
|
|
|
|
|
Electric
– 4.3%
|
|
|
223,904
|
|
FPL Group, Inc.,
8.375%, 2012
|
|
11,698,984
|
123,400
|
|
Great Plains
Energy, Inc., 12.00%, 2012
|
|
8,088,870
|
|
|
|
|
19,787,854
|
|
|
|
|
|
|
|
Food
Products – 1.6%
|
|
|
623,200
|
|
Dole Food 2009
Automatic Common Exchange Security Trust,
|
|
|
|
|
7.00%, 2012
(a)
|
|
7,332,322
|
|
|
|
|
|
|
|
Healthcare
Services – 3.0%
|
|
|
4,500
|
|
HealthSouth
Corp., Ser. A, 6.50%, 2049
|
|
4,090,500
|
231,000
|
|
Omnicare Capital
Trust II, Ser. B, 4.00%, 2033
|
|
9,429,420
|
|
|
|
|
13,519,920
|
|
|
|
|
|
|
|
Insurance
– 5.0%
|
|
|
210,513
|
|
Hartford Financial
Services Group, 7.25%, 2013
|
|
5,584,910
|
70,000
|
|
Reinsurance Group
of America, Equity Security
Unit, 5.75%, 2051
|
|
4,690,000
|
470,667
|
|
XL Capital Ltd.,
10.75%, 2011 (Cayman
Islands)
|
|
12,618,582
|
|
|
|
|
22,893,492
|
|
|
|
|
|
|
|
Pharmaceuticals
– 2.4%
|
|
|
8,685
|
|
Mylan, Inc.,
6.50%, 2010
|
|
11,118,103
|
|
|
|
|
|
|
|
Pipelines
– 1.5%
|
|
|
6,600
|
|
El Paso Corp.,
4.99%, 2049
|
|
6,931,650
|
|
|
|
|
|
|
|
Real
Estate – 0.9%
|
|
|
65,000
|
|
Forest City
Enterprises, Inc., Ser. A, 7.00%, 2049
|
|
4,042,188
|
|
|
|
|
|
|
|
Real
Estate Investment Trusts – 1.8%
|
|
|
353,307
|
|
Alexandria Real
Estate Equities, Inc., Ser. D, 7.00%, 2049
|
|
8,171,991
|
|
|
|
|
|
|
|
Savings
& Loans – 2.1%
|
|
|
192,788
|
|
New
York
Community Capital Trust V, 6.00%, 2051
|
|
9,581,564
|
|
|
|
|
|
|
|
Telecommunications
– 4.0%
|
|
|
128,095
|
|
Crown Castle
International Corp., 6.25%, 2012
|
|
7,246,334
|
13,155
|
|
Lucent
Technologies Capital Trust I, 7.75%, 2017 (France)
|
|
10,912,072
|
|
|
|
|
18,158,406
|
|
|
|
|
|
Principal |
|
|
|
|
Amount |
|
|
|
|
|
|
Total
Convertible Preferred Stocks – 37.7%
|
|
|
|
|
(Cost
$145,005,208)
|
|
171,732,798
|
|
|
|
Convertible
Bonds – 81.7%
|
|
|
|
|
|
Aerospace
& Defense – 1.9%
|
|
|
|
$
5,445,000
|
|
Alliant
Techsystems, Inc., BB-, 2.75%, 9/15/11
|
|
5,608,350
|
|
3,000,000
|
|
L-3
Communications Holdings, Inc., BB+, 3.00%, 8/01/35
|
|
3,161,250
|
|
|
|
|
|
8,769,600
|
|
|
|
|
|
|
|
|
|
Agriculture
– 0.5%
|
|
|
|
2,500,000
|
|
Archer-Daniels-Midland
Co., A, 0.875%, 2/15/14
|
|
2,468,750
|
|
|
|
|
|
|
|
|
|
Airlines
– 2.5%
|
|
|
|
2,000,000
|
|
Continental
Airlines, Inc., CCC+, 5.00%, 6/15/23
|
|
2,330,000
|
|
9,008,000
|
|
UAL Corp., CCC,
4.50%, 6/30/21
|
|
9,108,890
|
|
|
|
|
|
11,438,890
|
|
|
|
|
|
|
|
|
|
Auto
Manufacturers – 1.3%
|
|
|
|
3,700,000
|
|
Ford Motor Co.,
CCC, 4.25%, 11/15/16
|
|
5,776,625
|
|
|
|
|
|
|
|
|
|
Biotechnology
– 5.1%
|
|
|
|
8,500,000
|
|
Amgen, Inc., A+,
0.375%, 2/01/13
|
|
8,595,625
|
|
6,250,000
|
|
Amylin
Pharmaceuticals, Inc., NR, 3.00%, 6/15/14
|
|
5,531,250
|
|
5,000,000
|
|
Gilead Sciences,
Inc., NR, 0.50%, 5/01/11
|
|
5,543,750
|
|
3,000,000
|
|
Life Technologies
Corp., BBB-, 3.25%, 6/15/25
|
|
3,637,500
|
|
|
|
|
|
23,308,125
|
|
|
|
|
|
|
|
|
|
Building
Materials – 1.9%
|
|
|
|
6,324,000
|
|
Cemex SAB de CV,
NR, 4.875%, 3/15/15 (Mexico)
(a)
|
|
7,288,410
|
|
2,500,000
|
|
Masco Corp., Ser.
B, NR, 0.00%, 7/20/31 (b)
|
|
1,275,000
|
|
|
|
|
|
8,563,410
|
|
|
|
|
|
|
|
|
|
Coal
– 1.5%
|
|
|
|
8,000,000
|
|
Massey Energy
Co., BB-, 3.25%, 8/01/15
|
|
6,770,000
|
|
|
|
|
|
|
|
|
|
Computers
– 5.7%
|
|
|
|
4,150,000
|
|
DST Systems,
Inc., Ser. C, NR, 4.125%, 8/15/23 (d)
|
|
4,305,625
|
|
9,416,000
|
|
EMC Corp., A-,
1.75%, 12/01/11
|
|
11,923,010
|
|
2,000,000
|
|
EMC Corp., A-,
1.75%, 12/01/13
|
|
2,615,000
|
|
3,750,000
|
|
Maxtor Corp., B,
2.375%, 8/15/12 (Cayman
Islands)
|
|
4,387,500
|
|
3,000,000
|
|
Radisys Corp.,
NR, 2.75%, 2/15/13
|
|
2,981,250
|
|
|
|
|
|
26,212,385
|
|
|
|
|
|
|
|
|
|
Diversified
Financial Services – 2.7%
|
|
|
|
5,000,000
|
|
Affiliated
Managers Group, Inc., BBB-, 3.95%, 8/15/38
|
|
5,131,250
|
|
4,320,000
|
|
Jefferies Group,
Inc., BBB, 3.875%, 11/01/29
|
|
4,503,600
|
|
2,681,000
|
|
Nasdaq OMX Group,
Inc., BBB, 2.50%, 8/15/13
|
|
2,627,380
|
|
|
|
|
|
12,262,230
|
|
|
|
|
|
|
|
|
|
Electrical
Components & Equipment – 1.0%
|
|
|
|
5,000,000
|
|
Suntech Power
Holdings Co. Ltd., NR, 3.00%, 3/15/13 (Cayman
Islands)
|
|
4,362,500
|
|
|
|
|
|
|
|
|
|
Energy
– Alternate Sources – 0.9%
|
|
|
|
3,500,000
|
|
Covanta Holding
Corp., B, 3.25%, 6/01/14 (a)
|
|
3,906,875
|
|
|
|
|
|
|
|
|
|
Entertainment
– 2.0%
|
|
|
|
7,000,000
|
|
International
Game Technology, BBB, 3.25%, 5/01/14 (a)
|
|
8,951,250
|
|
|
|
|
|
|
|
|
|
Healthcare
Products – 9.2%
|
|
|
|
7,460,000
|
|
Beckman Coulter,
Inc., BBB, 2.50%, 12/15/36
|
|
8,373,850
|
|
10,569,000
|
|
Hologic, Inc.,
BB-, 2.00%, 12/15/37 (e)
|
|
9,564,945
|
|
3,000,000
|
|
Integra
LifeSciences Holdings Corp., NR, 2.375%, 6/01/12
(a)
|
|
2,981,250
|
|
15,600,000
|
|
Medtronic, Inc.,
AA-, 1.625%, 4/15/13
|
|
16,594,500
|
|
3,950,000
|
|
NuVasive, Inc.,
NR, 2.25%, 3/15/13
|
|
4,458,562
|
|
|
|
|
|
41,973,107
|
See notes to financial
statements.
Semiannual Report |
April 30,
2010 |
11
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Portfolio of
Investments (unaudited)
continued
Principal
|
|
|
|
Amount
|
|
|
Value
|
|
|
|
Healthcare
Services – 1.9%
|
|
|
$
|
8,265,000
|
|
LifePoint
Hospitals, Inc., B, 3.50%, 5/15/14
|
$
|
8,616,263
|
|
|
|
|
|
|
|
|
|
Insurance
– 2.0%
|
|
|
|
6,760,000
|
|
Old Republic
International Corp., BBB+, 8.00%, 5/15/12
|
|
9,362,600
|
|
|
|
|
|
|
|
|
|
Internet
– 1.3%
|
|
|
|
5,600,000
|
|
Symantec Corp.,
NR, 1.00%, 6/15/13
|
|
6,020,000
|
|
|
|
|
|
|
|
|
|
Iron/Steel
– 0.6%
|
|
|
|
2,333,000
|
|
Steel Dynamics,
Inc., BB+, 5.125%, 6/15/14
|
|
2,691,699
|
|
|
|
|
|
|
|
|
|
Lodging
– 2.4%
|
|
|
|
6,973,000
|
|
MGM Mirage, Inc.
, CCC+, 4.25%, 4/15/15 (a)
|
|
7,626,719
|
|
4,250,000
|
|
Morgans Hotel
Group Co., NR, 2.375%, 10/15/14
|
|
3,219,375
|
|
|
|
|
|
10,846,094
|
|
|
|
|
|
|
|
|
|
Media
– 1.0%
|
|
|
€
|
1,250,000
|
|
UnitedGlobalCom,
Inc., B-, 1.75%, 4/15/24
|
|
1,749,985
|
$
|
2,750,000
|
|
XM Satellite
Radio, Inc., CCC+, 7.00%, 12/01/14 (a)
|
|
2,945,938
|
|
|
|
|
|
4,695,923
|
|
|
|
|
|
|
|
|
|
Mining
– 1.0%
|
|
|
|
3,250,000
|
|
Newmont Mining
Corp., BBB+, 1.625%, 7/15/17
|
|
4,460,625
|
|
|
|
|
|
|
|
|
|
Miscellaneous
Manufacturing – 0.9%
|
|
|
|
4,850,000
|
|
Trinity
Industries, Inc., BB-, 3.875%, 6/01/36
|
|
4,171,000
|
|
|
|
|
|
|
|
|
|
Oil
& Gas – 4.6%
|
|
|
|
5,900,000
|
|
Carrizo Oil &
Gas, Inc., NR, 4.375%, 6/01/28
|
|
5,310,000
|
|
3,250,000
|
|
Chesapeake Energy
Corp., BB, 2.75%, 11/15/35
|
|
3,026,563
|
|
4,850,000
|
|
Chesapeake Energy
Corp., BB, 2.25%, 12/15/38
|
|
3,607,187
|
|
3,000,000
|
|
GMX Resources,
Inc., NR, 5.00%, 2/01/13
|
|
2,471,250
|
|
2,750,000
|
|
Goodrich
Petroleum Corp., NR, 3.25%, 12/01/26
|
|
2,591,875
|
|
4,000,000
|
|
Nabors
Industries, Inc., BBB+, 0.94%, 5/15/11 (Bermuda)
|
|
3,980,000
|
|
|
|
|
|
20,986,875
|
|
|
|
|
|
|
|
|
|
Oil
& Gas Services – 3.7%
|
|
|
|
2,500,000
|
|
SESI LLC, BB+,
1.50%, 12/15/26 (c)
|
|
2,406,250
|
|
6,000,000
|
|
Transocean, Inc.,
Ser. B, BBB+, 1.50%, 12/15/37 (Cayman
Islands)
|
|
5,820,000
|
|
9,049,000
|
|
Transocean, Inc.,
Ser. C, BBB+, 1.50%, 12/15/37 (Cayman
Islands)
|
|
8,562,616
|
|
|
|
|
|
16,788,866
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
– 8.2%
|
|
|
|
7,500,000
|
|
Allergan, Inc.,
NR, 1.50%, 4/01/26
|
|
8,531,250
|
|
7,282,000
|
|
King
Pharmaceuticals, Inc., BB, 1.25%, 4/01/26
|
|
6,553,800
|
|
4,000,000
|
|
Medicis
Pharmaceutical Corp., NR, 2.50%, 6/04/32
|
|
4,160,000
|
|
3,000,000
|
|
Omnicare, Inc.,
Ser. OCR, B+, 3.25%, 12/15/35
|
|
2,583,750
|
|
4,000,000
|
|
Shire PLC, Ser.
REGs, NR, 2.75%, 5/09/14 (Channel
Islands)
|
|
4,022,548
|
|
9,066,000
|
|
Teva
Pharmaceutical Industries LLC, Ser. C, A-, 0.25%, 2/01/26 (Israel)
|
|
11,457,157
|
|
|
|
|
|
37,308,505
|
|
|
|
|
|
|
|
|
|
Real
Estate – 1.1%
|
|
|
|
4,231,000
|
|
Forest City
Enterprises, Inc., NR, 3.625%, 10/15/14
|
|
5,063,978
|
|
|
|
|
|
|
|
|
|
Real
Estate Investment Trusts – 5.1%
|
|
|
|
2,030,000
|
|
Annaly Capital
Management, Inc., NR, 4.00%, 2/15/15
|
|
2,095,975
|
|
4,200,000
|
|
BRE Properties,
Inc., BBB, 4.125%, 8/15/26
|
|
4,257,750
|
|
2,700,000
|
|
Home Properties
LP, NR, 4.125%, 11/01/26 (a)
|
|
2,669,625
|
|
7,005,000
|
|
Host Hotels &
Resorts LP, BB+, 2.625%, 4/15/27 (a)
|
|
6,803,606
|
|
4,465,000
|
|
Macerich Co., NR,
3.25%, 3/15/12 (a)
|
|
4,425,931
|
|
3,000,000
|
|
UDR, Inc., BBB,
4.00%, 12/15/35
|
|
3,075,000
|
|
|
|
|
|
23,327,887
|
|
|
|
Retail –
0.3%
|
|
|
|
1,500,000
|
|
Asbury Automotive Group, Inc., B-,
3.00%, 9/15/12
|
|
1,402,500
|
|
|
|
|
|
|
|
|
|
Semiconductors –
5.0%
|
|
|
|
10,000,000
|
|
Intel Corp., A-, 2.95%,
12/15/35
|
|
10,175,000
|
|
7,840,000
|
|
Linear Technology Corp., Ser. A,
NR, 3.00%, 5/01/27
|
|
7,859,600
|
|
5,209,000
|
|
Micron Technology, Inc., B,
1.875%, 6/01/14
|
|
4,844,370
|
|
|
|
|
|
22,878,970
|
|
|
|
|
|
|
|
|
|
Telecommunications –
6.4%
|
|
|
|
5,000,000
|
|
ADC Telecommunications, Inc., NR,
0.83075%, 6/15/13 (d)
|
|
4,450,000
|
|
3,000,000
|
|
ADC Telecommunications, Inc., NR,
3.50%, 7/15/15
|
|
2,520,000
|
|
6,200,000
|
|
Anixter International, Inc., BB-,
1.00%, 2/15/13
|
|
6,269,750
|
|
5,850,000
|
|
Ciena Corp., B, 0.25%,
5/01/13
|
|
5,074,875
|
|
11,600,000
|
|
NII Holdings, Inc., B-, 3.125%,
6/15/12
|
|
11,078,000
|
|
|
|
|
|
29,392,625
|
|
|
|
|
|
|
|
|
|
Total Convertible Bonds –
81.7%
|
|
|
|
|
|
(Cost
$327,189,902)
|
|
372,778,157
|
|
|
|
|
|
|
|
|
|
Corporate Bonds –
21.1%
|
|
|
|
|
|
Chemicals –
0.8%
|
|
|
|
3,500,000
|
|
LBI Escrow Corp., NR, 8.00%,
11/01/17 (a)
|
|
3,635,625
|
|
|
|
|
|
|
|
|
|
Distribution/Wholesale –
0.7%
|
|
|
|
3,000,000
|
|
McJunkin Red Man Corp., B, 9.50%,
12/15/16 (a)
|
|
3,138,750
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services –
3.2%
|
|
|
|
5,400,000
|
|
Capital One Capital V, BB, 10.25%,
8/15/39
|
|
6,513,750
|
|
5,000,000
|
|
CIT Group Funding Co. of Delaware
LLC, B+, 10.25%, 5/01/14
|
|
5,212,500
|
|
3,000,000
|
|
Icahn Enterprises LP, BBB-, 7.75%,
1/15/16 (a)
|
|
2,932,500
|
|
|
|
|
|
14,658,750
|
|
|
|
|
|
|
|
|
|
Food – 1.7%
|
|
|
|
2,700,000
|
|
Smithfield Foods, Inc., B-, 7.00%,
8/01/11
|
|
2,781,000
|
|
2,500,000
|
|
Smithfield Foods, Inc., B+,
10.00%, 7/15/14 (a)
|
|
2,818,750
|
|
2,175,000
|
|
Smithfield Foods, Inc., B-, 7.75%,
7/01/17
|
|
2,161,406
|
|
|
|
|
|
7,761,156
|
|
|
|
|
|
|
|
|
|
Healthcare Services –
2.0%
|
|
|
|
5,500,000
|
|
Apria Healthcare Group, Inc., BB+,
11.25%, 11/01/14 (a)
|
|
6,070,625
|
|
3,000,000
|
|
HCA, Inc., BB-, 9.25%,
11/15/16
|
|
3,251,250
|
|
|
|
|
|
9,321,875
|
|
|
|
|
|
|
|
|
|
Holding Companies – Diversified –
1.6%
|
|
|
|
6,800,000
|
|
Leucadia National Corp., BB+,
8.125%, 9/15/15
|
|
7,157,000
|
|
|
|
|
|
|
|
|
|
Insurance –
3.4%
|
|
|
|
7,200,000
|
|
Liberty Mutual Group, Inc., BB,
10.75%, 6/15/58 (a) (d)
|
|
8,460,000
|
|
5,500,000
|
|
MetLife, Inc., BBB, 10.75%,
8/01/39
|
|
7,103,899
|
|
|
|
|
|
15,563,899
|
|
|
|
|
|
|
|
|
|
Media –
1.9%
|
|
|
|
5,344,000
|
|
Clear Channel Worldwide Holdings,
Inc., B, 9.25%, 12/15/17 (a)
|
|
5,751,480
|
|
2,500,000
|
|
Univision Communication, Inc., B-,
12.00%, 7/01/14 (a)
|
|
2,775,000
|
|
|
|
|
|
8,526,480
|
|
|
|
|
|
|
|
|
|
Office/Business Equipment –
0.8%
|
|
|
|
3,500,000
|
|
Xerox Capital Trust I, BB, 8.00%,
2/01/27
|
|
3,530,545
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals –
1.1%
|
|
|
|
4,760,000
|
|
Axcan Intermediate Holdings, Inc.,
B, 12.75%, 3/01/16
|
|
5,021,800
|
|
|
|
|
|
|
|
|
|
Pipelines –
0.4%
|
|
|
|
2,000,000
|
|
Crosstex Energy LP, B+, 8.875%,
2/15/18 (a)
|
|
2,090,000
|
See notes to financial
statements.
12 |
Semiannual
Report |
April 30, 2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Portfolio of
Investments (unaudited)
continued
Principal |
|
|
|
|
|
Amount |
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
Retail –
1.3%
|
|
|
|
$
|
5,550,000
|
|
Toys R Us Property Co. LLC, B+,
8.50%, 12/01/17 (a)
|
$
|
5,896,875
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications –
2.2%
|
|
|
|
|
7,272,000
|
|
iPCS, Inc., BB-, 2.37375%, 5/01/13
(d)
|
|
6,908,400
|
|
|
3,000,000
|
|
Virgin Media Finance PLC, B,
8.375%, 10/15/19 (United Kingdom)
|
|
3,157,500
|
|
|
|
|
|
|
10,065,900
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds –
21.1%
|
|
|
|
|
|
|
(Cost
$88,577,486)
|
|
96,368,655
|
|
|
|
|
|
|
|
|
Number |
|
|
|
|
|
of Shares |
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Warrants –
2.9%
|
|
|
|
|
|
|
Banks –
2.9%
|
|
|
|
|
2,586,896
|
|
Bank of America Corp., expiring
10/28/18 (f)
|
|
9,778,467
|
|
|
251,542
|
|
JP Morgan Chase & Co.,
expiring 10/28/18 (f)
|
|
3,493,918
|
|
|
|
|
(Cost
$9,388,036)
|
|
13,272,385
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks –
1.6%
|
|
|
|
|
|
|
Banks –
1.6%
|
|
|
|
|
8,800
|
|
GMAC, Inc., Ser. 144A, 7.00%, 2011
(a)
|
|
|
|
|
|
|
(Cost
$7,711,000)
|
|
7,474,225
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
Amount |
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
Term Loans (Unfunded) –
0.9%
|
|
|
|
|
|
|
Chemicals –
0.9%
|
|
|
|
$
|
3,500,000
|
|
Lyondell Chemical
Co.,
|
|
|
|
|
|
|
B, 7.69%, 6/03/10
(d)
|
|
|
|
|
|
|
(Cost
$3,841,250)
|
|
3,841,250
|
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments –
145.9%
|
|
|
|
|
|
|
(Cost
$581,712,882)
|
|
665,467,470
|
|
Number
|
|
|
|
|
|
of Shares
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
Short-Term
Investments – 4.7%
|
|
|
|
|
|
Money
Market Funds – 4.7%
|
|
|
|
21,381,873
|
|
Goldman Sachs
Financial Prime Obligations
|
|
|
|
|
|
(Cost
$21,381,873)
|
$
|
21,381,873
|
|
|
|
|
|
|
|
|
|
Total
Investments – 150.6%
|
|
|
|
|
|
(Cost
$603,094,755)
|
|
686,849,343
|
|
|
|
Other assets in
excess of liabilities – 6.8%
|
|
31,287,837
|
|
|
|
Preferred Stock,
at redemption value – (-57.4% of Net Assets
|
|
|
|
|
|
Applicable to
Common Shareholders or -38.1% of Total Investments)
|
|
(262,000,000
|
)
|
|
|
|
|
|
|
|
|
Net
Assets Applicable to Common Shareholders – 100.0%
|
$
|
456,137,180
|
|
LLC - Limited Liability
Corp.
LP - Limited
Partnership
PLC - Public Limited
Company
SAB de CV - Publicly Traded
Company
(a)
|
Securities are
exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At April 30, 2010, these
securities amounted to 23.2% of net assets applicable to common
shareholders.
|
(c)
|
Security is
a“step down” bond where the coupon decreases or steps down at a
predetermined date.
|
(d)
|
Floating rate
security.The rate shown is as of April 30,
2010.
|
(e)
|
Security becomes
an accreting bond after December 15, 2013 with a 2.0% principal accretion
rate.
|
(f)
|
Non-income
producing security.
|
Ratings shown are per Standard &
Poor’s. Securities classified as NR are not rated by Standard &
Poor’s.
All percentages shown in the Portfolio
of Investments are based on Net Assets Applicable to Common Shareholders unless
otherwise noted.
See notes to financial
statements.
Semiannual Report |
April 30,
2010 |
13
AVK | Advent Claymore Convertible Securities
and Income Fund
Statement
of Assets and Liabilities | April
30, 2010 (unaudited)
Assets
|
|
|
|
Investments in
securities, at value (cost $603,094,755)
|
|
$ |
686,849,343 |
|
Cash
|
|
|
97,944 |
|
Receivable for
securities sold
|
|
|
31,151,930 |
|
Interest
receivable
|
|
|
5,221,934 |
|
Dividends
receivable
|
|
|
859,470 |
|
Other
assets
|
|
|
2,915 |
|
Total
assets
|
|
|
724,183,536 |
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Payable for
securities purchased
|
|
|
5,285,000 |
|
Advisory fee
payable
|
|
|
301,939 |
|
Servicing fee
payable
|
|
|
100,646 |
|
Dividends payable
- preferred shares
|
|
|
100,509 |
|
Administration
fee payable
|
|
|
12,027 |
|
Accrued expenses
and other liabilities
|
|
|
246,235 |
|
Total
liabilities
|
|
|
6,046,356 |
|
|
|
|
|
|
Preferred Stock, at redemption
value
|
|
|
|
|
Auction Market
Preferred Shares
|
|
|
|
|
$0.001 par value per share; 10,480
authorized, issued and outstanding at $25,000 per share liquidation
preference
|
|
|
262,000,000 |
|
|
|
|
|
|
Net Assets Applicable to Common
Shareholders
|
|
$ |
456,137,180 |
|
|
|
|
|
|
Composition of Net Assets
Applicable to Common Shareholders
|
|
|
|
|
Common Stock,
$0.001 par value per share; unlimited number of shares authorized,
23,580,877 shares issued and outstanding
|
|
$ |
23,581 |
|
Additional
paid-in capital
|
|
|
557,792,246 |
|
Net unrealized
appreciation on investments, swaps and foreign currency
translation
|
|
|
83,754,575 |
|
Accumulated net
realized gain (loss) on investments, swaps, options and foreign currency
transactions
|
|
|
(181,516,232
|
) |
Distributions in
excess of net investment income
|
|
|
(3,916,990
|
) |
|
|
|
|
|
Net Assets Applicable to Common
Shareholders
|
|
$ |
456,137,180 |
|
|
|
|
|
|
Net Asset Value Applicable to
Common Shareholders
|
|
|
|
|
(based on
23,580,877 common shares outstanding)
|
|
$ |
19.34 |
|
See notes to financial
statements.
14 |
Semiannual
Report |
April 30,
2010
AVK | Advent Claymore Convertible Securities
and Income Fund
Statement
of Operations | April 30, 2010
(unaudited)
Investment
Income
|
|
|
|
|
|
|
Interest
|
|
$ |
11,739,329 |
|
|
|
|
Dividends
|
|
|
5,913,624 |
|
|
|
|
Total
income
|
|
|
|
|
|
$ |
17,652,953 |
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
Advisory
fee
|
|
|
1,838,146 |
|
|
|
|
|
Servicing agent
fee
|
|
|
714,834 |
|
|
|
|
|
Preferred share
maintenance
|
|
|
256,752 |
|
|
|
|
|
Professional
fees
|
|
|
118,415 |
|
|
|
|
|
Trustees’ fees
and expenses
|
|
|
79,258 |
|
|
|
|
|
Fund
accounting
|
|
|
71,118 |
|
|
|
|
|
Administration
fee
|
|
|
70,895 |
|
|
|
|
|
Printing
|
|
|
50,736 |
|
|
|
|
|
Custodian
|
|
|
45,532 |
|
|
|
|
|
Insurance
|
|
|
43,783 |
|
|
|
|
|
ICI
dues
|
|
|
15,749 |
|
|
|
|
|
Rating agency
fee
|
|
|
11,496 |
|
|
|
|
|
NYSE listing
fee
|
|
|
10,591 |
|
|
|
|
|
Transfer
agent
|
|
|
10,128 |
|
|
|
|
|
Miscellaneous
|
|
|
7,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
|
|
|
|
|
|
3,344,598 |
|
|
|
|
|
|
|
|
|
|
Advisory and
Servicing agent fees waived
|
|
|
|
|
|
|
(238,278
|
) |
|
|
|
|
|
|
|
|
|
Net
expenses
|
|
|
|
|
|
|
3,106,320 |
|
|
|
|
|
|
|
|
|
|
Net
investment income
|
|
|
|
|
|
|
14,546,633 |
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain
(Loss) on Investments,
|
|
|
|
|
|
|
|
|
Swaps,
Options and Foreign Currency Transactions:
|
|
|
|
|
|
|
|
|
Net realized gain
(loss) on:
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
43,470,602 |
|
Swaps
|
|
|
|
|
|
|
(100,625
|
) |
Foreign currency
transactions
|
|
|
|
|
|
|
(664
|
) |
Net change in
unrealized appreciation (depreciation) on:
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
29,586,349 |
|
Swaps
|
|
|
|
|
|
|
97,273 |
|
Foreign currency
translation
|
|
|
|
|
|
|
(155,066
|
) |
|
|
|
|
|
|
|
|
|
Net
realized and unrealized gain on investments, swaps and foreign currency
transactions
|
|
|
|
|
|
|
72,897,869 |
|
|
|
|
|
|
|
|
|
|
Distributions to Preferred
Shareholders from net investment income
|
|
|
|
|
|
|
(1,946,443
|
) |
|
|
|
|
|
|
|
|
|
Net Increase in Net Assets
Applicable to Common Shareholders Resulting from
Operations
|
|
|
|
|
|
$ |
85,498,059 |
|
See notes to financial
statements.
Semiannual Report |
April 30,
2010 |
15
AVK |
Advent Claymore Convertible
Securities and Income Fund
Statement
of Changes in Net Assets
Applicable to Common Shareholders
|
|
For the
Six Months
Ended
April 30, 2010
(unaudited)
|
|
|
For the
Year Ended
October 31,
2009
|
|
|
|
|
|
|
|
|
Change in Net Assets Applicable to
Common Shareholders Resulting from Operations:
|
|
|
|
|
|
|
Net investment
income
|
|
$ |
14,546,633 |
|
|
$ |
25,148,799 |
|
Net realized gain
(loss) on investments, swaps, options and foreign currency
transactions
|
|
|
43,369,313 |
|
|
|
(114,591,738
|
) |
Net change in
unrealized appreciation (depreciation) on
investments,
|
|
|
|
|
|
|
|
|
swaps and foreign
currency translation
|
|
|
29,528,556 |
|
|
|
211,224,383 |
|
|
|
|
|
|
|
|
|
|
Distributions to Preferred
Shareholders:
|
|
|
|
|
|
|
|
|
From net
investment income
|
|
|
(1,946,443
|
) |
|
|
(4,771,917
|
) |
|
|
|
|
|
|
|
|
|
Net increase in
net assets applicable to Common Shareholders resulting from
operations
|
|
|
85,498,059 |
|
|
|
117,009,527 |
|
|
|
|
|
|
|
|
|
|
Dividends and Distributions to
Common Shareholders:
|
|
|
|
|
|
|
|
|
From and in
excess of net investment income
|
|
|
(13,285,466
|
) |
|
|
(28,249,227
|
) |
Return of
capital
|
|
|
– |
|
|
|
(152,176
|
) |
|
|
|
|
|
|
|
|
|
Total dividends
and distributions to common shareholders
|
|
|
(13,285,466
|
) |
|
|
(28,401,403
|
) |
|
|
|
|
|
|
|
|
|
Capital Share
Transactions:
|
|
|
|
|
|
|
|
|
Reinvestment of
dividends
|
|
|
– |
|
|
|
214,968 |
|
|
|
|
|
|
|
|
|
|
Total increase in
net assets
|
|
|
72,212,593 |
|
|
|
88,823,092 |
|
|
|
|
|
|
|
|
|
|
Net Assets Applicable to Common
Shareholders
|
|
|
|
|
|
|
|
|
Beginning of
period
|
|
|
383,924,587 |
|
|
|
295,101,495 |
|
|
|
|
|
|
|
|
|
|
End of period
(including distributions in excess of net investment
income
|
|
|
|
|
|
|
|
|
of $3,916,990 and
$3,231,714, respectively)
|
|
$ |
456,137,180 |
|
|
$ |
383,924,587 |
|
See notes to financial
statements.
16 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore
Convertible Securities and Income Fund
|
Financial Highlights |
|
Per share operating
performance
for a share of common stock
outstanding throughout the period
|
|
For the
Six Months
Ended
April 30, 2010
(unaudited)
|
|
|
For the
Year Ended
October 31,
2009
|
|
|
For the
Year Ended
October 31,
2008
|
|
|
For the
Year Ended
October 31,
2007
|
|
|
For the
Year Ended
October 31,
2006
|
|
|
For the
Year Ended
October 31,
2005
|
|
Net asset value, beginning of
period
|
|
$
|
16.28
|
|
|
$
|
12.52
|
|
|
$
|
28.23
|
|
|
$
|
26.82
|
|
|
$
|
25.69
|
|
|
$
|
26.10
|
|
Income from investment
operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (a)
|
|
|
0.62
|
|
|
|
1.06
|
|
|
|
1.66
|
|
|
|
1.94
|
|
|
|
1.99
|
|
|
|
2.33
|
|
Net realized and unrealized
gain/loss on investments, swaps, options and foreign currency
transactions
|
|
|
3.08
|
|
|
|
4.10
|
|
|
|
(14.66
|
)
|
|
|
2.68
|
|
|
|
2.28
|
|
|
|
0.10
|
|
Distributions to preferred
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income (common
share equivalent
basis)
|
|
|
(0.08
|
)
|
|
|
(0.20
|
)
|
|
|
(0.49
|
)
|
|
|
(0.52
|
)
|
|
|
(0.56
|
)
|
|
|
(0.35
|
)
|
From net realized gains (common
share equivalent basis)
|
|
|
–
|
|
|
|
–
|
|
|
|
(0.03
|
)
|
|
|
(0.11
|
)
|
|
|
–
|
|
|
|
–
|
|
Total preferred distributions
(common share equivalent basis)
|
|
|
(0.08
|
)
|
|
|
(0.20
|
)
|
|
|
(0.52
|
)
|
|
|
(0.63
|
)
|
|
|
(0.56
|
)
|
|
|
(0.35
|
)
|
Total from investment
operations
|
|
|
3.62
|
|
|
|
4.96
|
|
|
|
(13.52
|
)
|
|
|
3.99
|
|
|
|
3.71
|
|
|
|
2.08
|
|
Common and preferred
shares’ offering expenses charged to
paid-in-capital in excess of par value
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
*
|
|
|
–
|
|
Distributions to Common
Shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From and in excess of net investment
income
|
|
|
(0.56
|
)
|
|
|
(1.19
|
)
|
|
|
(2.05
|
)
|
|
|
(2.08
|
)
|
|
|
(2.58
|
)
|
|
|
(2.49
|
)
|
From net realized
gain
|
|
|
–
|
|
|
|
–
|
|
|
|
(0.13
|
)
|
|
|
(0.50
|
)
|
|
|
–
|
|
|
|
–
|
|
Return of
capital
|
|
|
–
|
|
|
|
(0.01
|
)
|
|
|
(0.01
|
)
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
Total distributions to Common
Shareholders
|
|
|
(0.56
|
)
|
|
|
(1.20
|
)
|
|
|
(2.19
|
)
|
|
|
(2.58
|
)
|
|
|
(2.58
|
)
|
|
|
(2.49
|
)
|
Net asset value, end of
period
|
|
$
|
19.34
|
|
|
$
|
16.28
|
|
|
$
|
12.52
|
|
|
$
|
28.23
|
|
|
$
|
26.82
|
|
|
$
|
25.69
|
|
Market value, end of
period
|
|
$
|
17.64
|
|
|
$
|
14.24
|
|
|
$
|
13.11
|
|
|
$
|
25.15
|
|
|
$
|
27.03
|
|
|
$
|
23.62
|
|
Total investment return
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset
value
|
|
|
22.56
|
%
|
|
|
42.52
|
%
|
|
|
-51.06
|
%
|
|
|
15.63
|
%
|
|
|
15.15
|
%
|
|
|
8.14
|
%
|
Market
value
|
|
|
28.27
|
%
|
|
|
20.34
|
%
|
|
|
-41.96
|
%
|
|
|
2.48
|
%
|
|
|
26.86
|
%
|
|
|
2.52
|
%
|
Ratios and supplemental
data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, applicable to Common
Shareholders, end of
period (thousands)
|
|
$
|
456,137
|
|
|
$
|
383,925
|
|
|
$
|
295,101
|
|
|
$
|
664,306
|
|
|
$
|
627,383
|
|
|
$
|
599,998
|
|
Preferred shares, at redemption
value ($25,000 per share liquidation preference) (thousands)
|
|
$
|
262,000
|
|
|
$
|
262,000
|
|
|
$
|
275,000
|
|
|
$
|
275,000
|
|
|
$
|
275,000
|
|
|
$
|
275,000
|
|
Preferred shares asset coverage
per share
|
|
$
|
68,525
|
|
|
$
|
61,634
|
|
|
$
|
51,827
|
|
|
$
|
85,391
|
|
|
$
|
82,035
|
|
|
$
|
79,545
|
|
Ratios to Average Net Assets
applicable to Common Shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Expenses, after fee
waiver
|
|
|
1.48
|
%(c)
|
|
|
1.77
|
%
|
|
|
1.22
|
%
|
|
|
1.08
|
%
|
|
|
1.12
|
%
|
|
|
1.12
|
%
|
Net Expenses, before fee
waiver
|
|
|
1.59
|
%(c)
|
|
|
1.95
|
%
|
|
|
1.47
|
%
|
|
|
1.37
|
%
|
|
|
1.41
|
%
|
|
|
1.41
|
%
|
Net Investment Income, after fee
waiver, prior to effect of dividends to preferred
shares
|
|
|
6.91
|
%(c)
|
|
|
7.98
|
%
|
|
|
7.14
|
%
|
|
|
7.09
|
%
|
|
|
7.62
|
%
|
|
|
8.90
|
%
|
Net Investment Income, before fee
waiver, prior to effect of dividends to preferred
shares
|
|
|
6.80
|
%(c)
|
|
|
7.80
|
%
|
|
|
6.89
|
%
|
|
|
6.80
|
%
|
|
|
7.33
|
%
|
|
|
8.61
|
%
|
Net Investment Income, after fee
waiver, after effect of dividends to preferred
shares
|
|
|
5.98
|
%(c)
|
|
|
6.47
|
%
|
|
|
4.92
|
%
|
|
|
4.80
|
%
|
|
|
5.49
|
%
|
|
|
7.56
|
%
|
Net Investment Income, before fee
waiver, after effect of dividends to preferred
shares
|
|
|
5.87
|
%(c)
|
|
|
6.29
|
%
|
|
|
4.67
|
%
|
|
|
4.51
|
%
|
|
|
5.20
|
%
|
|
|
7.27
|
%
|
Portfolio turnover rate
|
|
|
35
|
%
|
|
|
121
|
%
|
|
|
87
|
%
|
|
|
76
|
%
|
|
|
81
|
%
|
|
|
64
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Amount less than
$0.01.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Based on average
shares outstanding during the period.
|
(b)
|
Total investment
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
distribu- tions 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 investment return does not reflect brokerage
commissions. A return calculated for a period of less than one year is not
annualized.
|
See notes to financial
statements.
Semiannual Report |
April 30,
2010 |
17
AVK |
Advent Claymore Convertible
Securities and Income Fund
Notes to Financial Statements | April
30, 2010 (unaudited)
Note 1 – Organization:
Advent Claymore Convertible Securities
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.
Note 2 –Accounting
Policies:
The preparation of the financial
statements in accordance with U.S. generally accepted accounting
principles (“GAAP”) requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from these estimates.
The following is a summary of
significant accounting policies followed by the Fund.
(a) Valuation of
Investments
Securities listed on an exchange are
valued at the last reported sale price on the primary exchange on which they are
traded. Equity securities for which there are no transactions on a given day are
valued at the mean of the closing bid and asked prices. Securities traded on
NASDAQ are valued at the NASDAQ Official Closing Price. Equity securities not
listed on a securities exchange or NASDAQ are valued at the mean of the closing
bid and asked prices. Debt securities are valued by independent pricing services
or 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. Exchange-traded options are valued at the
closing price, if traded that day. If not traded, they are valued at the mean of
the bid and asked prices on the primary exchange on which they are traded.
Futures contracts are valued using the settlement price established each day on
the exchange on which they are traded. Short-term securities with remaining
maturities of 60 days or less at the time of purchase are valued at amortized
cost, which approximates market value.
For those securities where quotations or
prices are not available, the valuations are determined in accordance with
procedures established in good faith by the Board of Trustees. Valuations in
accordance with these procedures are intended to reflect each security’s (or
asset’s) “fair value”. Such “fair value” is the amount that the Fund might
reasonably expect to receive for the security (or asset) upon its current sale.
Each such determination should be 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: (i) the type of security,
(ii) the initial cost of the security, (iii) the existence of any contractual
restrictions on the security’s disposition, (iv) the price and extent of public
trading in similar securities of the issuer or of comparable companies, (v)
quotations or evaluated prices from broker-dealers and/or pricing services, (vi)
information obtained from the issuer, analysts, and/or the appropriate stock
exchange (for exchange traded securities), (vii) an analysis of the company’s
financial statements, and (viii) an evaluation of the forces that influence the
issuer and the market(s) in which the security is purchased and sold (e.g. the
existence of pending merger activity, public offerings or tender offers that
might affect the value of the security). There were no securities fair valued in
accordance with such procedures established by the Board of Trustees at April
30, 2010.
GAAP requires disclosure of fair
valuation measurements as of each measurement date. In compliance with GAAP, the
Fund follows a fair value hierarchy that distinguishes between market data
obtained from independent sources (observable inputs) and the Fund’s own market
assumptions (unobservable inputs). These inputs are used in determining the
value of the Fund’s investments and summarized in the following fair value
hierarchy:
Level 1 – quoted prices in active
markets for identical securities
Level 2 – quoted prices in inactive
markets or other significant observable inputs (e.g. quoted prices for similar
securities; interest rates; prepayment speed; credit risk; yield
curves)
Level 3 – significant unobservable
inputs (e.g. discounted cash flow analysis; non-market based methods used to
determine fair value)
Observable inputs are those based upon
market data obtained from independent sources, and unobservable inputs reflect
the Fund’s own assumptions based on the best information available. The various
input levels are not an indication of the risk associated with investing in
those securities.
18 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
The following table represents the
Fund’s investments carried on the Statement of Assets and Liabilities by caption
and by level within the fair value hierarchy as of April 30,
2010:
Value in
$000s)
|
|
Quoted Prices
in
Active Markets
for
Identical
Assets
(Level 1)
|
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
|
Total
|
|
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Convertible Preferred
Stocks:
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
|
$ |
4,320 |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
4,320 |
|
Auto
Manufacturers
|
|
|
7,824 |
|
|
|
– |
|
|
|
– |
|
|
|
7,824 |
|
Banks
|
|
|
31,796 |
|
|
|
6,255 |
|
|
|
– |
|
|
|
38,051 |
|
Electric
|
|
|
8,089 |
|
|
|
11,699 |
|
|
|
– |
|
|
|
19,788 |
|
Food
Products
|
|
|
– |
|
|
|
7,332 |
|
|
|
– |
|
|
|
7,332 |
|
Healthcare
Services
|
|
|
9,429 |
|
|
|
4,091 |
|
|
|
– |
|
|
|
13,520 |
|
Insurance
|
|
|
22,894 |
|
|
|
– |
|
|
|
– |
|
|
|
22,894 |
|
Pharmaceuticals
|
|
|
11,118 |
|
|
|
– |
|
|
|
– |
|
|
|
11,118 |
|
Pipelines
|
|
|
– |
|
|
|
6,932 |
|
|
|
– |
|
|
|
6,932 |
|
Real
Estate
|
|
|
– |
|
|
|
4,042 |
|
|
|
– |
|
|
|
4,042 |
|
Real Estate
Investment Trusts
|
|
|
– |
|
|
|
8,172 |
|
|
|
– |
|
|
|
8,172 |
|
Savings &
Loans
|
|
|
9,582 |
|
|
|
– |
|
|
|
– |
|
|
|
9,582 |
|
Telecommunications
|
|
|
– |
|
|
|
18,158 |
|
|
|
– |
|
|
|
18,158 |
|
Convertible
Bonds
|
|
|
– |
|
|
|
372,778 |
|
|
|
– |
|
|
|
372,778 |
|
Corporate
Bonds
|
|
|
– |
|
|
|
96,369 |
|
|
|
– |
|
|
|
96,369 |
|
Warrants
|
|
|
13,272 |
|
|
|
– |
|
|
|
– |
|
|
|
13,272 |
|
Preferred
Stocks
|
|
|
– |
|
|
|
7,474 |
|
|
|
– |
|
|
|
7,474 |
|
Term Loans
|
|
|
– |
|
|
|
3,841 |
|
|
|
– |
|
|
|
3,841 |
|
Money Market
Funds
|
|
|
21,382 |
|
|
|
– |
|
|
|
– |
|
|
|
21,382 |
|
Total
|
|
$ |
139,706 |
|
|
$ |
547,143 |
|
|
$ |
– |
|
|
$ |
686,849 |
|
(b) Investment Transactions and
Investment Income
Investment transactions are accounted
for on the trade date. Realized gains and losses on investments are determined
on the identified cost basis. Dividend income is recorded net of applicable
withholding taxes on the ex-dividend date and interest income is recorded on an
accrual basis. Discounts or premiums on debt securities purchased are accreted
or amortized to interest income over the lives of the respective securities
using the effective interest method.
(c) Currency
Translation
Assets and liabilities denominated in
foreign currencies are translated into U.S. dollars at the mean of the bid and
asked price of respective exchange rates on the last day of the period.
Purchases and sales of investments denominated in foreign currencies are
translated at the exchange rate on the date of the
transaction.
The Fund does not isolate that portion
of the results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
Foreign exchange realized gain or loss
resulting from the holding of a foreign currency, expiration of a currency
exchange contract, difference in exchange rates between the trade date and
settlement date of an investment purchased or sold, and the difference between
dividends or interest actually received compared to the amount shown in the
Fund’s accounting records on the date of receipt are included as net realized
gains or losses on foreign currency transactions in the Fund’s Statement of
Operations.
Foreign exchange gain or loss on assets
and liabilities, other than investments, are included in unrealized appreciation
(depreciation) on foreign currency translations in the Fund’s Statement of
Operations.
Semiannual Report |
April 30,
2010 |
19
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
(d) Covered Call
Options
The Fund may employ an option strategy
of writing (selling) covered call options on securities held in the portfolio of
the Fund. The Fund uses options as part of a portfolio management or hedging
technique to seek to protect against possible adverse changes in the market
value of securities held in or to be purchased for the Fund’s portfolio, or to
protect the value of the Fund’s portfolio.
When an option is written, the premium
received is recorded as an asset with an equal liability and is subsequently
marked to market to reflect the current market value of the option written.
These liabilities are reflected as options written in the Statement of Assets
and Liabilities. Premiums received from writing options which expire unexercised
are recorded on the expiration date as a realized gain. The difference between
the premium received and the amount paid on effecting a closing purchase
transaction, including brokerage commissions, is also treated as a realized
gain, or if the premium is less than the amount paid for the closing purchase
transactions, as a realized loss. If a call option is exercised, the premium is
added to the proceeds from the sale of the underlying security in determining
whether there has been a realized gain or loss.
(e) Swaps
A swap is an agreement to exchange the
return generated by one instrument for the return generated by another
instrument. The Fund may enter into swap agreements to manage its exposure to
interest rates and/or credit risk or to generate income. The swaps are valued
daily at current market value and any unrealized gain or loss is included in the
Statement of Assets and Liabilities. Gain or loss is realized upon periodic
payments and ultimately upon the termination of the swap and is equal to the
difference between the Fund’s basis in the swap and the proceeds of the closing
transaction, including any fees. During the period that the swap agreement is
open, the Fund may be subject to risk from the potential inability of the
counterparty to meet the terms of the agreement. The swaps involve elements of
both market and credit risk in excess of the amounts reflected on the Statement
of Assets and Liabilities. Upon termination of a swap agreement, a payable to or
receivable from swap counterparty is established on the Statement of Assets and
Liabilities to reflect the net gain/loss, including interest income/expense, on
terminated swap positions of such amounts with the counterparty upon settlement
according to the terms of the swap agreement.
Realized gain (loss) upon termination of
swap contracts is recorded on the Statement of Operations. Fluctuations in the
value of swap contracts are recorded as a component of net change in unrealized
appreciation (depreciation) of swap contracts. Net periodic payments received by
the Fund are included as part of realized gains (losses) and, in the case of
accruals for periodic payments, are included as part of unrealized appreciation
(depreciation) on the Statement of Operations.
(f) Securities
Lending
The Fund may lend its securities to
broker-dealers and financial institutions. The loans are collateralized by cash
or securities at least equal at all times to the market value of the securities
loaned. The Fund may bear the risk of delay in recovery of, or loss of rights
in, the securities loaned should the borrower of the securities experience
financial difficulty. The Fund receives compensation for lending its securities
in the form of fees or it retains a portion of interest on the investment of any
cash received as collateral. The Fund also continues to receive interest and
dividends on the securities loaned, and any gain or loss in the market price of
the securities loaned that may occur during the term of the loan will be for the
account of the Fund. As of April 30, 2010, the Fund had no securities on
loan.
(g) Concentration of
Risk
It is the Fund’s policy to invest a
significant portion of its assets in convertible securities. Although
convertible securities do derive part of their value from that of the securities
into which they are convertible, they are not considered derivative financial
instruments. However, certain of the Fund’s investments include features which
render them more sensitive to price changes in their underlying securities.
Consequently, this exposes the Fund to greater downside risk than traditional
convertible securities, but still less than that of the underlying common
stock.
(h) Distributions to
Shareholders
The Fund declares and pays monthly
dividends to common shareholders. These dividends consist of investment company
taxable income, which generally includes qualified dividend income, ordinary
income and short-term capital gains. Any net realized long-term gains are
distributed annually to common shareholders. Dividends and distributions to
preferred shareholders are accrued and determined as described in Note
7.
Distributions to shareholders are
recorded on the ex-dividend date. The amount and timing of distributions are
determined in accordance with federal income tax regulations, which may differ
from U.S. generally accepted accounting
principles.
20 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
Note 3 – Investment Management
Agreement, Servicing Agreement and Other Agreements:
Pursuant to the Investment Management
Agreement (the “Agreement”) between the Fund and Advent Capital Management, LLC,
the Fund’s investment adviser (the “Advisor”), the Advisor is responsible for
the daily management for the Fund’s portfolio of investments, which includes
buying and selling securities for the Fund, as well as investment research. The
Advisor will receive an annual fee from the Fund based on the average value of
the Fund’s Managed Assets, which includes the amount from the issuance of the
Preferred Shares. In addition, subject to the approval of the Fund’s Board of
Trustees, a pro rata portion of the salaries, bonuses, health insurance,
retirement benefits and similar employment costs for the time spent on Fund
operations (other than the provision of services required under the Agreement)
of all personnel employed by the Advisor who devote substantial time to Fund
operations may be reimbursed by the Fund to the Advisor. For the six months
ended April 30, 2010, the Advisor was not reimbursed by the Fund for these
items. The annual fee will be determined as follows:
(a)
|
If the average value of the Fund’s
Managed Assets (calculated monthly) is greater than $250 million, the fee
will be a maximum amount equal to 0.54% of the average value of the Fund’s
Managed Assets. At the inception of the Fund, the Advisor agreed to waive
a portion of the management fee from the Fund during the first five years
of the Fund’s operations ending April 30, 2008. Thereafter, the Advisor
agreed to waive fees at a declining rate. Effective May 1, 2009, the
advisory fee waiver was 0.03% of the average Managed Assets. For the six
months ended April 30, 2010, the Advisor waived advisory fees of $102,119.
Effective May 1,
2010, the advisory fee waiver was reduced to 0.01% of the average Managed
Assets.
|
Pursuant to a Servicing Agreement
between the Fund and Claymore Securities, Inc., the Fund’s servicing agent (the
“Servicing Agent”), the Servicing Agent will act as servicing agent to the Fund.
The Servicing Agent will receive an annual fee from the Fund, which will be
based on the average value of the Fund’s Managed Assets. The fee will be
determined as follows:
(a)
|
If the average
value of the Fund’s Managed Assets (calculated monthly) is greater than
$250 million, the fee will be a maximum amount equal to 0.21% of the
average value of the Fund’s Managed Assets. At the inception of the Fund,
the Servicing Agent agreed to waive a portion of the servicing fee from
the Fund during the first five years of the Fund’s operations ending April
30, 2008. Thereafter, the Servicing Agent agreed to waive fees at a
declining rate. Effective May 1, 2009, the servicing fee waiver was 0.04%
of the average Managed Assets. For the six months ended April 30, 2010,
the Servicing Agent waived fees of $136,159. Effective May 1, 2010, the
servicing fee waiver was reduced to 0.01% of the average Managed
Assets.
|
The fee waivers of the Advisor and the
Servicing Agent are contractual commitments of more than one year and are not
subject to recoupment.
On October 15, 2009, Guggenheim Partners
LLC, (“Guggenheim”), a global, diversified financial services firm, and Claymore
Group Inc., parent of the Servicing Agent, announced the completion of a
previously announced merger. The closing of this transaction took place on
October 14, 2009. This transaction resulted in a change-of-control whereby
Claymore Group Inc. and its subsidiaries, including the Servicing Agent, became
indirect, wholly-owned subsidiaries of Guggenheim. The transaction has not
affected the daily operations of the Fund or the Servicing
Agent.
The Bank of New York Mellon (“BNY”) acts
as the Fund’s custodian, accounting agent, auction agent and transfer agent. As
custodian, BNY is responsible for the custody of the Fund’s assets. As
accounting agent, BNY is responsible for maintaining the books and records of
the Fund’s securities and cash. As auction agent, BNY is responsible for
conducting the auction of the preferred shares. As transfer agent, BNY is
responsible for performing transfer agency services for the
Fund.
Claymore Advisors, LLC provides fund
administration services to the Fund. As compensation for its services performed
under the Administration Agreement, Claymore Advisors, LLC receives an
administration fee payable monthly at the annual rate set forth below as a
percentage of the average daily managed assets of the Fund:
Managed
Assets
|
|
Rate
|
First
$200,000,000
|
|
|
0.0275
|
% |
Next
$300,000,000
|
|
|
0.0200
|
% |
Next
$500,000,000
|
|
|
0.0150
|
% |
Over
$1,000,000,000
|
|
|
0.0100
|
% |
Certain officers and trustees of the
Fund are also officers and directors of the Advisor or Servicing Agent. The Fund
does not compensate its officers or trustees who are officers of the
aforementioned firms.
Semiannual Report |
April 30,
2010 |
21
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
Note 4 – Federal Income
Taxes:
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 can avoid a 4%
federal excise tax that is assessed on the amount of the under-distribution.
At April 30, 2010, the cost and related
gross unrealized appreciation and depreciation on investments for tax purposes
are as follows:
|
Cost of
Investments
for Tax
Purposes
|
|
|
Gross Tax
Unrealized
Appreciation
|
|
|
Gross Tax
Unrealized
Depreciation
|
|
|
Net Tax
Unrealized
Appreciation
on
Investments
|
|
|
Net Tax
Unrealized
Depreciation
on Derivatives
and
Foreign
Currency
|
|
$ |
607,492,428 |
|
|
$ |
84,935,329 |
|
|
$ |
(5,578,414 |
) |
|
$ |
79,356,915 |
|
|
$ |
(– |
) |
As of October 31, 2009, the components
of accumulated earnings/(losses) (excluding paid-in capital) on a tax basis were
as follows:
Undistributed
|
Undistributed
|
Ordinary
|
Long-Term
|
Income/
|
Gains/
|
(Accumulated
|
(Accumulated
|
Ordinary
Loss)
|
Capital
Loss)
|
$
– |
$(223,595,020) |
The differences between book basis and
tax basis unrealized appreciation/(depreciation) are attributable to the tax
deferral of losses on wash sales and income adjustments for tax purposes on
certain convertible securities.
At October 31, 2009, for federal income
tax purposes, the Fund had a capital loss carryforward of $223,595,020 available
to offset possible future capital gains. Of the capital loss carryforward,
$96,628,168 is set to expire on October 31, 2016, and $126,966,852 is set to
expire on October 31, 2017.
For the year ended October 31, 2009, the
tax character of distributions paid of $33,021,144 was ordinary income and
$152,176 was return of capital.
For all open tax years and all major
jurisdictions, management of the Fund has concluded that there are no
significant uncertain tax positions that would require recognition in the
financial statements. Open tax years are those that are open for examination by
taxing authorities (i.e. generally the last four tax year ends and the interim
tax period since then). Furthermore, management of the Fund is also not aware of
any tax positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next twelve
months.
Note 5 – Investments in
Securities:
For the six months ended April 30, 2010,
purchases and sales of investments, excluding short-term securities, were
$238,034,779 and $224,869,832, respectively.
Note 6 – Derivatives:
(a) Accounting Pronouncement for
Derivatives
The Fund is required by GAAP to improve
financial reporting about derivative instruments by requiring enhanced
disclosures to enable investors to better understand: a) how and why a fund uses
derivative instruments, b) how derivative instruments and related hedge fund
items are accounted for, and c) how derivative instruments and related hedge
items affect a fund’s financial position, results of operations and cash
flows.
(b) Covered Call
Option
The Fund may employ an option strategy
of writing (selling) covered call options on securities held in the portfolio of
the Fund. The Fund uses options as part of a portfolio management or hedging
technique to seek to protect against possible adverse changes in the market
value of securities held in or to be purchased for the Fund’s portfolio, or to
protect the value of the Fund’s portfolio.
An option on a security is a contract
that gives the holder of the option, in return for a premium, the right to buy
from (in the case of a call) or sell to (in the case of a put) the writer of the
option the security underlying the option at a specified exercise or “strike”
price. The writer of an option on a security has the obligation upon exercise of
the option to deliver the underlying security upon payment of the exercise price
(in the case of a call) or to pay the exercise price upon delivery of the
underlying security (in the case of a put).
22 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
There are several risks associated with
transactions in options on securities. As the writer of a covered call option,
the Fund forgoes, during the option’s life, the opportunity to profit from
increases in the market value of the security covering the call option above the
sum of the premium and the strike price of the call, but has retained the risk
of loss should the price of the underlying security decline. The writer of an
option has no control over the time when it may be required to fulfill its
obligation as writer of the option. Once an option writer has received an
exercise notice, it cannot effect a closing purchase transaction in order to
terminate its obligation under the option and must deliver the underlying
security at the exercise price.
During the six months ended April 30,
2010, there were no written option contracts outstanding.
(c) Swaps
Swap agreements are contracts between
parties in which one party agrees to make periodic payments to the other party
(the “Counterparty”) based on the change in market value or level of a specified
rate, index or asset. In return, the Counterparty agrees to make periodic
payments to the first party based on the return of a different specified rate,
index or asset. Swap agreements will usually be done on a net basis, the Fund
receiving or paying only the net amount of the two payments. The net amount of
the excess, if any, of each Fund’s obligations over its entitlements with
respect to each swap is accrued on a daily basis and an amount of cash or highly
liquid securities having an aggregate value at least equal to the accrued excess
is maintained in an account at the Fund’s custodian bank.
Interest rate swap agreements involve
the exchange by the Fund with another party of their respective commitments to
pay or receive interest. Total return swap agreements involve commitments to
receive (and pay) interest over a floating rate (LIBOR) based on a notional
amount. To the extent the total return of the security (price changes, interest
paid/received, rebate earned on collateral posted by the Fund) is positive, the
Fund will receive a payment from the counterparty (or if negative, make a
payment to the counterparty).
Credit default swap transactions involve
the Fund’s agreement to exchange the credit risk of an issuer. A buyer of a
credit default swap is said to buy protection by paying periodic fees in return
for a contingent payment from the seller if the issuer has a credit event such
as bankruptcy, a failure to pay outstanding obligations or deteriorating credit
while the swap is outstanding. A seller of a credit default swap is said to sell
protection and thus collects the periodic fees and profits if the credit of the
issuer remains stable or improves while the swap is outstanding but the seller
in a credit default swap contract would be required to pay an agreed-upon
amount, which approximates the notional amount of the swap, to the buyer in the
event of an adverse credit event of the issuer.
The Fund decreased the volume of
activity in swaps during the period ended April 30, 2010, with an average
notional balance of approximately $586,000 during the period ended April 30,
2010.
As of April 30, 2010 there were no swap
agreements outstanding.
The following table presents the effect
of Derivatives Instruments on the Statement of Operations for the six months
ended April 30, 2010.
Effect of Derivative Instruments
on the Statement of Operations (amounts in
thousands)
|
|
Amount of Realized Gain/(Loss) on
Derivatives
|
|
|
|
|
|
|
Derivatives not accounted for as
hedging instruments
|
|
Swaps
|
|
Total
|
Credit default
contracts
|
|
|
$(101)
|
|
$(101)
|
|
|
|
|
|
|
|
|
|
|
|
Change in Unrealized
(Appreciation)/Depreciation on Derivatives
|
|
|
|
|
|
|
|
|
Derivatives not accounted for as
hedging instruments
|
|
Swaps
|
|
Total
|
Credit default
contracts
|
|
|
$
97
|
|
$97
|
Note 7 –
Capital:
Common Shares
The Fund has an unlimited amount of
common shares, $0.001 par value, authorized and 23,580,877 issued and
outstanding. In connection with the Fund’s dividend reinvestment plan, the Fund
issued no shares during the six month ended April 30, 2010 and 18,019 shares
during the year ended October 31, 2009. At April 30, 2010, Advent Capital
Management LLC, the Fund’s investment adviser, owned 7,943 shares of the
Fund.
Semiannual Report |
April 30,
2010 |
23
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
Preferred Shares
On June 19, 2003, the Fund’s Board of
Trustees authorized the issuance of Auction Market Preferred Shares (“AMPS”), as
part of the Fund’s leverage strategy. AMPS issued by the Fund have seniority
over the common shares.
On July 24, 2003, the Fund issued 2,150
shares of Series M7, 2,150 shares of Series T28, 2,150 shares of Series W7 and
2,150 shares of Series TH28, each with a liquidation value of $25,000 per share
plus accrued dividends. In addition, on March 16, 2004, the Fund issued 1,200
shares of Series F7 and 1,200 shares of Series W28 each with a liquidation value
of $25,000 per share plus accrued dividends.
The preferred shares redemptions during
the year ended October 31, 2009 and the number of preferred shares outstanding
at April 30, 2010 are as follows:
|
|
|
Number of
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
|
Shares
|
|
|
|
|
Redeemed
|
|
|
Amount
|
|
|
Outstanding
|
|
Series
|
|
|
October 31,
2009
|
|
|
Redeemed
|
|
|
April 30,
2010
|
|
M7 |
|
|
|
102 |
|
|
$2,550,000
|
|
|
|
2,048 |
|
T28 |
|
|
|
102 |
|
|
$2,550,000
|
|
|
|
2,048 |
|
W7 |
|
|
|
102 |
|
|
$2,550,000
|
|
|
|
2,048 |
|
W28 |
|
|
|
56 |
|
|
$1,400,000
|
|
|
|
1,144 |
|
TH28
|
|
|
|
102 |
|
|
$2,550,000
|
|
|
|
2,048 |
|
F7 |
|
|
|
56 |
|
|
$1,400,000
|
|
|
|
1,144 |
|
Dividends are accumulated daily at a
rate set through an auction process. The broad auction-rate preferred securities
market, including the Fund’s AMPS, has experienced considerable disruption since
mid-February 2008. The result has been failed auctions on nearly all
auction-rate preferred shares, including the Fund’s AMPS. A failed auction is
not a default, nor does it require the redemption of the Fund’s
AMPS.
Provisions in the AMPS offering
documents establish a maximum rate in the event of a failed auction. The AMPS
reference rate is the seven-day LIBOR Rate for a dividend period of 7 to 21
days, and the one-month LIBOR Rate for a dividend period of more than 21 days
but fewer than 49 days. The maximum rate, for auctions for which the Fund has
not given notice that the auction will consist of net capital gains or other
taxable income, is the higher of the reference rate times 125% or the reference
rate plus 1.25%. Distributions of net realized gains, if any, are made
annually.
Management will continue to monitor
events in the marketplace and continue to evaluate the Fund’s leverage as well
as any alternative that may be available.
For the six months ended April 30, 2010,
the annualized dividend rates ranged from:
|
|
High
|
|
|
Low
|
|
|
At April 30,
2010
|
|
Series M7
|
|
|
1.51
|
% |
|
|
1.46
|
% |
|
|
1.51
|
% |
Series T28
|
|
|
1.50 |
|
|
|
1.48 |
|
|
|
1.50 |
|
Series W7
|
|
|
1.51 |
|
|
|
1.46 |
|
|
|
1.51 |
|
Series W28
|
|
|
1.51 |
|
|
|
1.48 |
|
|
|
1.51 |
|
Series TH28
|
|
|
1.51 |
|
|
|
1.48 |
|
|
|
1.51 |
|
Series F7
|
|
|
1.51 |
|
|
|
1.46 |
|
|
|
1.51 |
|
The Fund is subject to certain
limitations and restrictions while Preferred Shares are outstanding. Failure to
comply with these limitations and restrictions could preclude the Fund from
declaring any dividends or distributions to common shareholders or repurchasing
common shares and/or could trigger the mandatory redemption of Preferred Shares
at their liquidation value.
Preferred Shares, which are entitled to
one vote per share, generally vote with the common stock but vote separately as
a class to elect two Trustees and on any matters affecting the rights of the
Preferred Shares.
24 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Notes to
Financial Statements (unaudited)
continued
Note 8 – Indemnifications:
In the normal course of business, the
Fund enters into contracts that contain a variety of representations, which
provide general indemnifications. The Fund’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the Fund that have not yet occurred. However, the Fund expects the risk
of loss to be remote.
Note 9 – Recent Accounting
Pronouncements:
On January 21, 2010, the FASB issued an
Accounting Standard Update, Fair Value
Measurements and Disclosures (Topic 820): Improving Disclosures about Fair Value
Measurements which provides
guidance on how investment assets and liabilities are to be valued and
disclosed. Specifically, the amendment requires reporting entities to disclose
i) the input and valuation techniques used to measure fair value for both
recurring and nonrecurring fair value measurements, for Level 2 or Level 3
positions ii) transfers between all levels (including Level 1 and Level 2) will
be required to be disclosed on a gross basis (i.e. transfers out must be
disclosed separately from transfers in) as well as the reason(s) for the
transfer and iii) purchases, sales, issuances and settlements must be shown on a
gross basis in the Level 3 rollforward rather than as one net number. The
effective date of the amendment is for interim and annual periods beginning
after December 15, 2009 however, the requirement to provide the Level 3 activity
for purchases, sales, issuances and settlements on a gross basis will be
effective for interim and annual periods beginning after December 15, 2010. At
this time the Fund is evaluating the implications of the amendment to ASC 820
and the impact to the financial statements.
Note 10 – Subsequent
Events:
On May 3, 2010, the Fund declared a
monthly dividend to common shareholders of $0.0939 per common share. This
dividend is payable on May 28, 2010 to shareholders of record on May 14, 2010.
On June 1, 2010, the Fund declared a monthly dividend to common shareholders of
$0.0939 per common share. This dividend is payable on June 30, 2010 to
shareholders of record on June 15, 2010.
Semiannual Report |
April 30,
2010 |
25
AVK |
Advent Claymore Convertible
Securities and Income Fund
Supplemental
Information |
(unaudited)
Federal Income Tax
Information
In January 2011, 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 2010.
Trustees
|
The Trustees of the Advent
Claymore Convertible Securities and Income Fund and their principal
occupations during the past five
years:
|
Name, Address, Year of
Birth and Position(s)
Held with
Registrant
|
|
Term of Office*
and Length of
Time Served
|
|
Principal Occupations
During
the Past Five Years
and
Other
Affiliations
|
|
Number of
Funds
in Fund
Complex**
Overseen by
Trustee
|
|
Other
Directorships
Held by
Trustee
|
Independent
Trustees:
|
|
|
|
|
|
|
|
|
Daniel Black+
Year of birth:
1960
Trustee
|
|
Since 2005
|
|
Partner, the Wicks Group of Cos.,
LLC (2003-present). Formerly, Managing Director and Co-head of the Merchant Banking
Group at BNY Capital Markets, a division of The Bank of
New York Co., Inc.
(1998-2003).
|
|
3
|
|
Director of Penn
Foster
Education Group,
Inc.
|
Randall C.
Barnes++
Year of birth:
1951
Trustee
|
|
Since 2005
|
|
Private Investor (2001-present).
Formerly, Senior Vice President & Treasurer PepsiCo, Inc.
(1993-1997), President, Pizza Hut
International (1991-1993) and Senior Vice President, Strategic Planning and New
Business Development (1987-1990) of PepsiCo, Inc.
(1987-1997).
|
|
44
|
|
None.
|
Derek Medina+
Year of birth:
1966
Trustee
|
|
Since 2003
|
|
Senior Vice President, Business
Affairs at ABC News (2008-present). Vice President, Business
Affairs and News Planning at ABC
News (2003-2008). Formerly, Executive Director, Office of the President at ABC
News (2000-2003). Former Associate at Cleary Gottlieb Steen & Hamilton (law firm)
(1995-1998). Former associate in Corporate Finance at J.P. Morgan/ Morgan Guaranty
(1988-1990).
|
|
3
|
|
Director of Young Scholar’s
Institute.
|
Ronald A.
Nyberg++
Year of birth:
1953
Trustee
|
|
Since 2003
|
|
Partner of Nyberg & Cassioppi,
LLC., a law firm specializing in corporate law, estate planning and business transactions
(2000-present). Formerly, Executive Vice President, General Counsel and Corporate
Secretary of Van Kampen Investments (1982-1999).
|
|
47
|
|
None.
|
Gerald L. Seizert,
CFP+
Year of birth:
1952
Trustee
|
|
Since 2003
|
|
Chief Executive Officer of Seizert
Capital Partners, LLC, where he directs the equity disciplines of the firm and serves
as a co-manager of the firm’s hedge fund, Proper Associates, LLC (2000-present).
Formerly, Co-Chief Executive (1998-1999) and a Managing
Partner and Chief Investment
Officer-Equities of Munder Capital Management, LLC (1995-1999).
Former Vice President and
Portfolio Manager of Loomis, Sayles & Co., L.P. (asset manager)
(1984-1995). Former Vice President and Portfolio Manager at First of
America Bank (1978-1984).
|
|
3
|
|
Former Director of
Loomis,
Sayles and Co.,
L.P.
|
Michael A.
Smart+
Year of birth:
1960
Trustee
|
|
Since 2003
|
|
Managing Partner, Cordova, Smart
& Williams, LLC, Advisor First Atlantic Capital Ltd.,
(2001-present). Formerly, a
Managing Director in Investment Banking-The Private Equity
Group (1995-2001) and a Vice
President in Investment Banking-Corporate Finance (1992-1995) at Merrill
Lynch & Co. Founding Partner of The Carpediem Group, (1991-1992).
Associate at Dillon, Read and Co. (investment bank)
(1988-1990).
|
|
3
|
|
Director, Country Pure Foods.
Chairman,
Board of Directors, Berkshire Blanket,
Inc. President and Chairman, Board
of Directors, Sqwincher Holdings. Director,
Sprint Industrial Holdings.
Co-chairman,
Board of Directors, H2O
Plus.
|
Interested
Trustees:
|
|
|
|
|
|
|
|
|
Tracy V. Maitland+φ
Year of birth:
1960
Trustee, President
and
Chief Executive
Officer
|
|
Since 2003
|
|
President of Advent Capital
Management, LLC, which he founded in 1995. Prior to June,
2001,
President of Advent Capital
Management, a division of Utendahl Capital.
|
|
3
|
|
None.
|
+
|
Address
for all Trustees noted: 1065 Avenue of the Americas, 31st Floor, New York, NY 10018. |
++
|
Address
for all Trustees noted: 2455
Corporate West Drive,
Lisle, IL 60532. |
*
|
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:
-Messrs. Seizert,
Medina and Barnes, as
Class I Trustees, are expected to stand for re-election at the Fund’s 2010
annual meeting of
shareholders.
|
|
-Messrs. Smart
and Black, as Class II Trustees, are expected to stand for re-election at
the Fund’s 2011 annual meeting of
shareholders.
|
|
-Messrs. Maitland
and Nyberg as Class III Trustees, are expected to stand for re-election at
the Fund’s 2012 annual meeting of
shareholders.
|
**
|
The Claymore Fund
Complex consists of U.S. registered
investment companies advised or serviced by Claymore Advisors, LLC or
Claymore Securities, Inc. The Claymore Fund Complex is overseen by
multiple Boards of Trustees.
|
|
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 Management, LLC,
the Fund’s Advisor.
|
26 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund |
Supplemental
Information (unaudited)
continued
Officers
The Officers of the Advent Claymore
Convertible Securities and Income Fund and their principal occupations during
the past five years:
Name, Address*, Year of Birth
and
|
|
Term of Office**
and
|
|
Principal Occupations During the
Past Five Years and
|
Position(s) Held with
Registrant
|
|
Length of Time
Served
|
|
Other
Affiliations
|
|
|
|
|
|
Officers:
|
|
|
|
|
F. Barry
Nelson
Year of birth:
1943
Vice President
and
Assistant
Secretary
|
|
Since 2003
|
|
Co-Portfolio Manager at Advent
Capital Management, LLC (June 2001- present). Prior to June 2001, Mr.
Nelson held the same position at Advent Capital Management, a division of
Utendahl Capital.
|
Robert White
Year of birth:
1965
Treasurer and
Chief Financial
Officer
|
|
Since 2005
|
|
Chief Financial Officer, Advent
Capital Management, LLC (July 2005-present). Previously, Vice President,
Client Service Manager, Goldman Sachs Prime Brokerage
(1997-2005).
|
Rodd Baxter
Year of birth:
1950
Secretary and
Chief Compliance
Officer
|
|
Since 2003
|
|
General Counsel, Advent Capital
Management, LLC
(2002-present).
|
*
|
Address for all
Officers: 1065 Avenue of the Americas, 31st Floor,
New
York, NY 10018
|
**
|
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.
|
Semiannual Report |
April 30,
2010 |
27
AVK |
Advent Claymore Convertible
Securities and Income Fund
Dividend Reinvestment Plan |
(unaudited)
Unless the registered owner of common
shares elects to receive cash by contacting the Plan Administrator, all
dividends declared on common shares of the Fund will be automatically reinvested
by The Bank of New York Mellon (the “Plan Administrator”), Administrator for
shareholders in the Fund’s Dividend Reinvestment Plan (the “Plan”), in
additional common shares of the Fund. Participation in the Plan is completely
voluntary and may be terminated or resumed at any time without penalty by notice
if received and processed by the Plan Administrator prior to the dividend record
date; otherwise such termination or resumption will be effective with respect to
any subsequently declared dividend or other distribution. Some brokers may
automatically elect to receive cash on your behalf and may re-invest that cash
in additional common shares of the Fund for you. If you wish for all dividends
declared on your common shares of the Fund to be automatically reinvested
pursuant to the Plan, please contact your broker.
The Plan Administrator will open an
account for each common shareholder under the Plan in the same name in which
such common shareholder’s common shares are registered. Whenever the Fund
declares a dividend or other distribution (together, a “Dividend”) payable in
cash, non-participants in the Plan will receive cash and participants in the
Plan will receive the equivalent in common shares. The common shares will be
acquired by the Plan Administrator for the participants’ accounts, depending
upon the circumstances described below, either (i) through receipt of additional
unissued but authorized common shares from the Fund (“Newly Issued Common
Shares”) or (ii) by purchase of outstanding common shares on the open market
(“Open-Market Purchases”) on the New York Stock Exchange or elsewhere. If, on
the payment date for any Dividend, the closing market price plus estimated
brokerage commission per common share is equal to or greater than the net asset
value per common share, the Plan Administrator will invest the Dividend amount
in Newly Issued Common Shares on behalf of the participants. The number of Newly
Issued Common Shares to be credited to each participant’s account will be
determined by dividing the dollar amount of the Dividend by the net asset value
per common share on the payment date; provided that, if the net asset value is
less than or equal to 95% of the closing market value on the payment date, the
dollar amount of the Dividend will be divided by 95% of the closing market price
per common share on the payment date. If, on the payment date for any Dividend,
the net asset value per common share is greater than the closing market value
plus estimated brokerage commission, the Plan Administrator will invest the
Dividend amount in common shares acquired on behalf of the participants in
Open-Market Purchases.
If, before the Plan Administrator has
completed its Open-Market Purchases, the market price per common share exceeds
the net asset value per common share, the average per common share purchase
price paid by the Plan Administrator may exceed the net asset value of the
common shares, resulting in the acquisition of fewer common shares than if the
Dividend had been paid in Newly Issued Common Shares on the Dividend payment
date. Because of the foregoing difficulty with respect to Open-Market Purchases,
the Plan provides that if the Plan Administrator is unable to invest the full
Dividend amount in Open-Market Purchases during the purchase period or if the
market discount shifts to a market premium during the purchase period, the Plan
Administrator may cease making Open-Market Purchases and may invest the
uninvested portion of the Dividend amount in Newly Issued Common Shares at net
asset value per common share at the close of business on the Last Purchase Date
provided that, if the net asset value is less than or equal to 95% of the then
current market price per common share; the dollar amount of the Dividend will be
divided by 95% of the market price on the payment date.
The Plan Administrator maintains all
shareholders’ accounts in the Plan and furnishes written confirmation of all
transactions in the accounts, including information needed by shareholders for
tax records. Common shares in the account of each Plan participant will be held
by the Plan Administrator on behalf of the Plan participant, and each
shareholder proxy will include those shares purchased or received pursuant to
the Plan. The Plan Administrator will forward all proxy solicitation materials
to participants and vote proxies for shares held under the Plan in accordance
with the instruction of the participants.
There will be no brokerage charges with
respect to common shares issued directly by the Fund. However, each participant
will pay a pro rata share of brokerage commission incurred in connection with
Open-Market Purchases. The automatic reinvestment of Dividends will not relieve
participants of any Federal, state or local income tax that may be payable (or
required to be withheld) on such Dividends.
The Fund reserves the right to amend or
terminate the Plan. There is no direct service charge to participants with
regard to purchases in the Plan; however, the Fund reserves the right to amend
the Plan to include a service charge payable by the
participants.
All correspondence or questions
concerning the Plan should be directed to the Plan Administrator, BNY Mellon
Shareowner Services, PO Box
358015, Pittsburgh, PA 15252-8015, Phone Number: (866)
488-3559.
28 |
Semiannual
Report |
April 30,
2010
AVK |
Advent Claymore Convertible
Securities and Income Fund
Investment Management Agreement Re-Approval |
(unaudited)
Investment Management
Agreement Re-Approval
Section 15(c) of the Investment Company
Act of 1940, as amended (the “1940 Act”) contemplates that the Board of Trustees
(the “Board”) of Advent Claymore Convertible Securities and Income Fund (the
“Fund”), including a majority of the Trustees who have no direct or indirect
interest in the investment management agreement and are not “interested persons”
of the Fund, as defined in the 1940 Act (the “Independent Trustees”), are
required to annually review and re-approve the terms of the Fund’s existing
investment management agreement and approve any newly proposed terms therein. In
this regard, the Board reviewed and re-approved, during the most recent six
month period covered by this report, the investment management agreement (the
“Management Agreement”) with Advent Capital Management, LLC (“Advent”) for the
Fund.
More specifically, at a meeting held on
March 23, 2010, the Board, including the Independent Trustees advised by their
independent legal counsel, considered the factors and reached the conclusions
described below relating to the selection of Advent and the re-approval of the
Management Agreement.
Nature, Extent and Quality
of Services
The Board received and considered
various data and information regarding the nature, extent and quality of
services provided to the Fund by Advent under the Management Agreement. The
Board reviewed and analyzed the responses of Advent to a detailed series of
requests submitted by the Independent Trustees’ independent legal counsel on
behalf of such Trustees which included, among other things, information about
the background and experience of the senior management and the expertise of, and
amount of attention devoted to the Fund by personnel of Advent. In this regard,
the Board specifically reviewed the qualifications, background and
responsibilities of the officers primarily responsible for day-to-day portfolio
management services for the Fund.
The Board evaluated the ability of
Advent, including its resources, reputation and other attributes, to attract and
retain highly qualified investment professionals, including research, advisory
and supervisory personnel. Accordingly, the Board considered information
regarding the compensation structures for the personnel of Advent involved in
the management of the Fund.
Based on the above factors, together
with those referenced below, the Board concluded that it was satisfied with the
nature, extent and quality of the investment management services provided to the
Fund by Advent.
Fund Performance and
Expenses
The Board considered the performance
results for the Fund on a market price and net asset value basis over various
time periods. It also considered these results in comparison to the performance
results of a group of other closed-end funds that were respectively determined
to be similar to the Fund in terms of investment strategy (the "Peer Group").
The Board recognized that the number of other funds in the Peer Group was low
and that for a variety of reasons Peer Group comparisons may have limited
usefulness. Performance was also compared against various indices. The Board
also reviewed information about the discount at which the Fund’s shares have
traded as compared with its peers.
The Board received and considered
statistical information regarding the Fund’s total expense ratio (based on net
assets applicable to common shares) and its various components. The Board also
considered comparisons of these expenses to the expense information for the Peer
Group. The Board recognized that the expense ratio of the Fund (expressed as a
percentage of net assets attributable to common shares) was higher than expense
ratios of certain Peer Group funds because of the Fund's leverage, and because
certain funds in the Peer Group had no leverage or lower leverage and therefore
reported lower expense ratios. The Board also noted that the expense ratio of
the Fund, while at the higher end in relation to the Peer Group
presented, had declined from the
previous year. The Board considered that the Fund benefited from the use of
leverage despite the costs.
Based on the above-referenced
considerations and other factors, the Board concluded that the overall
performance results and expense comparison supported the re-approval of the
Investment Management Agreement.
Investment Management Fee
Rate
The Board reviewed and considered the
contractual investment management fee rate for the Fund (the “Management
Agreement Rate”) payable by the Fund to Advent. In addition, the Board reviewed
and considered all fee waiver arrangements applicable to the Management
Agreement Rate and considered the Management Agreement Rate after taking all
applicable waivers into account (the “Net Management Rate”).
Additionally, the Board received and
considered information comparing the Management Agreement Rate (on a stand-alone
basis exclusive of service fee/administrative fee rates) with those of the other
funds in the Peer Group. For the Fund, the advisory fee paid on managed assets
was below the median of the Peer Group due to fee waivers in effect. The expense
ratio on net assets attributable to common shares for the Fund (excluding
interest expenses) was below the median on a gross basis and on a net basis.
These comparisons may also have been affected by the extent of leverage of peer
funds. The Board also took note of the fact that the expense ratios of the Peer
Group funds may have increased since the date as of which the information was
presented, given the level of market declines in the fourth quarter of 2008 and
the first quarter of 2009. The Board concluded that the fees were fair and
equitable based on relevant factors, including the Fund’s performance results
and total expenses relative to the Peer Group.
Profitability
The Board received and considered an
estimated profitability analysis of Advent based on the Net Management Rate. The
Board concluded that, in light of the costs of providing investment management
and other services to the Fund, the profits and other ancillary benefits that
Advent received with regard to providing these services to the Fund were not
unreasonable.
Economies of
Scale
The Board received and considered
information regarding whether there have been economies of scale with respect to
the management of the Fund, whether the Fund has appropriately benefited from
any economies of scale, and whether there is potential for realization of any
further economies of scale. The Board concluded that the opportunity to benefit
from economies of scale was diminished in the context of closed-end
funds.
Information about Services
to Other Clients
The Board also received and considered
information about the nature, extent and quality of services and fee rates
offered by Advent to their other clients. In particular, Advent explained that
its hedge fund clients pay higher fees than the Fund. Advent also confirmed that
the Fund differs from certain other accounts advised by Advent in that it is
more complex to manage, require greater resources from Advent and differs in
terms of investment strategy and use of leverage. The Board also noted the
differing services provided to the Fund in relation to those typically provided
to hedge funds and separate accounts.
After considering the above-described
factors and based on the deliberations and their evaluation of the information
provided to them, the Board concluded that re-approval of the Investment
Management Agreement was in the best interest of the Fund and its
shareholders.
Semiannual Report |
April 30,
2010 |
29
This Page Intentionally Left
Blank.
AVK |
Advent Claymore Convertible
Securities and Income Fund
Board of
Trustees
Randall C.
Barnes
Daniel Black
Tracy V.
Maitland*
Chairman
Derek Medina
Ronald A.
Nyberg
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, because of his position as an officer of
the Advisor.
|
Officers
Tracy V.
Maitland
President and Chief Executive
Officer
F. Barry
Nelson
Vice President and Assistant
Secretary
Robert White
Treasurer and Chief Financial
Officer
Rodd Baxter
Secretary and Chief Compliance
Officer
|
Investment
Adviser
Advent Capital Management,
LLC
NewYork,
NewYork
Servicing
Agent
Claymore Securities,
Inc.
Lisle,
Illinois
Custodian and Transfer
Agent
The Bank of New York Mellon
New York, New
York
Administrator
Claymore Advisors,
LLC
Lisle,
Illinois
Preferred Stock-
Dividend Paying
Agent
The Bank of New York
Mellon
New York, New
York
Legal Counsel
Skadden, Arps,
Slate,
Meagher & Flom
LLP
New York, New
York
Independent
Registered
Public Accounting
Firm
PricewaterhouseCoopers
LLP
New York, New
York
|
Privacy Principles of the
Fund
The Fund is committed to maintaining the
privacy of its shareholders and to safeguarding their non-public personal
information. The following information is provided to help you understand what
personal information the Fund collects, how the Fund protects that information
and why, in certain cases, the Fund may share information with select other
parties.
Generally, the Fund does not receive any
non-public personal information relating to its shareholders, although certain
non-public personal information of its shareholders may become available to the
Fund. The Fund does not disclose any non-public personal information about its
shareholders or former shareholders to anyone, except as permitted by law or as
is necessary in order to service shareholder accounts (for example, to a
transfer agent or third party administrator).
The Fund restricts access to non-public
personal information about its shareholders to employees of the Fund’s
investment advisor, its affiliates and the Fund’s Administrator with a
legitimate business need for the information. The Fund maintains physical,
electronic and procedural safeguards designed to protect the non-public personal
information of its shareholders.
Questions concerning your shares of
Advent Claymore Convertible Securities and Income Fund?
•
|
If your shares
are held in a Brokerage Account, contact your
Broker.
|
•
|
If you have
physical possession of your shares in certificate form, contact the Fund’s
Custodian and Transfer
Agent:
|
|
The Bank of
New
York
Mellon, 101 Barclay 11E, New
York, NY 10286; (866)
488-3559.
|
This report is sent to shareholders of
Advent Claymore Convertible Securities and Income Fund for their information. It
is not a Prospectus, circular or representation intended for use in the purchase
or sale of shares of the Fund or of any securities mentioned in this
report.
A description of the Fund’s proxy voting
policies and procedures related to portfolio securities is available without
charge, upon request, by calling the Fund at (866) 274-2227. Information
regarding how the Fund voted proxies for portfolio securities, if applicable,
during the most recent 12-month period ended June 30, is also available, without
charge and upon request by calling the Fund at (866) 274-2227, by visiting
Claymore’s website at www.claymore.com/avk or by accessing the Fund’s Form N-PX
on the U.S. Securities & Exchange Commission’s (“SEC”) website at
www.sec.gov.
The Fund files its complete schedule of
portfolio holdings with the SEC for the first and third quarters of each fiscal
year on Form N-Q. The Fund’s Form N-Q is available on the SEC website at
www.sec.gov or by visiting Claymore’s website at www.claymore.com/avk. The
Fund’s Form N-Q may also be viewed and copied at the SEC’s Public Reference Room
in Washington, DC; information on the operation of the Public Reference Room may
be obtained by calling (800) SEC-0330.
Notice to
Shareholders
Notice is hereby given in accordance
with Section 23(c) of the Investment Company Act of 1940, that the Fund from
time to time may purchase shares of its common and preferred stock in the open
market or in private transactions.
Semiannual Report |
April 30,
2010 |
31
AVK |
Advent Claymore Convertible
Securities and Income Fund
Advent Capital Management,
LLC
Advent Capital Management, LLC
(“Advent”) is a registered investment adviser, based in New York, which specializes in convertible and
high-yield securities for institutional and individual investors. The firm was
established by Tracy V. Maitland, a former Director in the Convertible
Securities sales and trading division of Merrill Lynch. Advent’s investment
discipline emphasizes capital structure research, encompassing equity
fundamentals as well as credit research, with a focus on cash flow and asset
values while seeking to maximize total return.
Investment
Philosophy
Advent believes that superior returns
can be achieved while reducing risk by investing in a diversified portfolio of
global equity, convertible and high-yield securities. The Fund Manager seeks
securities with attractive risk/reward characteristics. Advent employs a
bottom-up security selection process across all of the strategies it manages.
Securities are chosen from those that the Fund Manager believes have
stable-to-improving fundamentals and attractive valuations.
Investment Process
Advent manages securities by using a
strict four-step process:
1
|
Screen the
convertible and high-yield markets for securities with attractive
risk/reward characteristics and favorable cash
flows;
|
2
|
Analyze the
quality of issues to help manage downside
risk;
|
3
|
Analyze
fundamentals to identify catalysts for favorable performance;
and
|
4
|
Continually
monitor the portfolio for improving or deteriorating trends in the
financials of each
investment.
|
Advent Capital Management,
LLC
1065 Avenue of the
Americas
New York, New York 10018
|
|
Item
2. Code of Ethics.
Not
applicable for a semi-annual reporting period.
Item
3. Audit Committee Financial Expert.
Not
applicable for a semi-annual reporting period.
Item
4. Principal Accountant Fees and Services.
Not
applicable for a semi-annual reporting period.
Item
5. Audit Committee of Listed Registrants.
Not
applicable for a semi-annual reporting period.
Item
6. Schedule of Investments.
The
Schedule of Investments is included as part of Item 1.
Item
7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not
applicable for a semi-annual reporting period.
Item
8. Portfolio Managers of Closed-End Management Investment
Companies.
(a)
Not applicable for a semi-annual reporting period.
(b) There has been no change, as of the date of the
filing, in the Portfolio Manager identified in response to paragraph (a)(1)
of this Item in the registrant's most recent annual report on Form N-CSR.
Item
9. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
None.
Item
10. Submission of Matters to a Vote of Security Holders.
The
registrant has not made any material changes to the procedures by which
shareholders may recommend nominees to the registrant’s Board of
Trustees.
Item
11. Controls and Procedures.
(a) The
registrant's principal executive officer and principal financial officer have
evaluated the registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of
this filing and have concluded based on such evaluation that the registrant's
disclosure controls and procedures were effective, as of that date, in ensuring
that information required to be disclosed by the registrant in this Form N-CSR
was recorded, processed,
summarized,
and reported within the time periods specified in the Securities and Exchange
Commission’s rules and forms.
(b) There
were no changes in the registrant's internal control over financial reporting
(as defined in Rule 30a-3(d) under the Investment Company Act) that occurred
during the registrant's second fiscal quarter of the period covered by this
report that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
Item
12. Exhibits.
(a)(1) Not
applicable.
(a)(2) Certifications
of principal executive officer and principal financial officer pursuant to Rule
30a-2(a) of the Investment Company Act.
(a)(3) Not
applicable.
(b) Certifications
of principal executive officer and principal financial officer pursuant to Rule
30a-2(b) of the Investment Company Act and Section 906 of the Sarbanes-Oxley Act
of 2002.
SIGNATURES
Pursuant to the requirements of the
Securities Exchange Act of 1934 and the Investment Company Act of 1940, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
(Registrant) Advent Claymore Convertible
Securities and Income Fund
By: /s/
Tracy V. Maitland
_____________________________________________________________________
Name: Tracy
V. Maitland
Title: President
and Chief Executive Officer
Date:
July 6, 2010
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, this report has been signed by the following persons on behalf of
the registrant and in the capacities and on the dates indicated.
By: /s/
Tracy V. Maitland
_____________________________________________________________________
Name: Tracy
V. Maitland
Title: President
and Chief Executive Officer
By: /s/
Robert White
_____________________________________________________________________
Name: Robert
White
Title: Treasurer
and Chief Financial Officer