Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Shares | Value | ||
COMMON STOCKS† - 19.6% | |||
Consumer, Cyclical - 6.4% | |||
Caesars Entertainment, Inc.*,2 | 60,000 | $ 4,568,400 | |
Marriott International, Inc. — Class A* | 25,000 | 4,028,000 | |
International Game Technology plc | 150,000 | 4,015,500 | |
General Motors Co.* | 75,000 | 3,954,750 | |
Live Nation Entertainment, Inc.*,2 | 30,000 | 3,285,300 | |
Hanesbrands, Inc. | 200,000 | 3,220,000 | |
Brunswick Corp. | 35,000 | 3,177,650 | |
Cracker Barrel Old Country Store, Inc. | 25,000 | 2,978,500 | |
RH* | 7,000 | 2,819,740 | |
Target Corp.2 | 12,000 | 2,645,160 | |
Thor Industries, Inc.2 | 25,000 | 2,364,750 | |
Total Consumer, Cyclical | 37,057,750 | ||
Financial - 3.8% | |||
Gaming and Leisure Properties, Inc. REIT | 76,735 | 3,466,887 | |
Fifth Third Bancorp | 75,000 | 3,347,250 | |
KeyCorp | 125,000 | 3,132,500 | |
PNC Financial Services Group, Inc. | 15,000 | 3,089,850 | |
Citigroup, Inc.2 | 46,000 | 2,995,520 | |
Simon Property Group, Inc. REIT | 20,000 | 2,944,000 | |
Lamar Advertising Co. — Class A REIT2 | 15,000 | 1,661,400 | |
EJF Acquisition Corp*,1 | 150,000 | 1,485,000 | |
Total Financial | 22,122,407 | ||
Communications - 2.5% | |||
Walt Disney Co.* | 25,000 | 3,574,250 | |
Meta Platforms, Inc. — Class A* | 10,000 | 3,132,600 | |
Airbnb, Inc. — Class A*,2 | 20,000 | 3,079,400 | |
Cisco Systems, Inc. | 50,000 | 2,783,500 | |
Shopify, Inc. — Class A* | 2,200 | 2,121,328 | |
Total Communications | 14,691,078 | ||
Energy - 2.5% | |||
ConocoPhillips | 70,000 | 6,203,400 | |
Enphase Energy, Inc.* | 30,000 | 4,214,100 | |
Valero Energy Corp. | 50,000 | 4,148,500 | |
Total Energy | 14,566,000 | ||
Consumer, Non-cyclical - 2.4% | |||
AbbVie, Inc. | 40,000 | 5,475,600 | |
Amgen, Inc. | 15,000 | 3,407,100 | |
Eli Lilly & Co. | 10,000 | 2,453,900 | |
Bristol-Myers Squibb Co. | 35,000 | 2,271,150 | |
Total Consumer, Non-cyclical | 13,607,750 | ||
Technology - 1.4% | |||
Microsoft Corp.2 | 10,000 | 3,109,800 | |
International Business Machines Corp. | 21,000 | 2,804,970 | |
Advanced Micro Devices, Inc.*,2 | 20,000 | 2,285,000 | |
Total Technology | 8,199,770 | ||
Industrial - 0.4% | |||
Colfax Corp.*,2 | 50,000 | 2,056,000 | |
Basic Materials - 0.2% | |||
Alcoa Corp.7 | 25,000 | 1,417,750 | |
Total Common Stocks | |||
(Cost $99,988,859) | 113,718,505 | ||
CONVERTIBLE PREFERRED STOCKS† - 16.6% | |||
Technology - 3.1% | |||
Broadcom, Inc. | |||
8.00% due 09/30/222 | 6,502 | 11,909,193 | |
Change Healthcare, Inc. | |||
6.00% due 06/30/222 | 70,000 | 4,593,400 | |
Clarivate plc | |||
5.25% due 06/01/24 | 17,516 | 1,207,937 | |
Total Technology | 17,710,531 | ||
Consumer, Non-cyclical - 3.0% | |||
Boston Scientific Corp. | |||
5.50% due 06/01/232 | 53,553 | 6,241,067 | |
Elanco Animal Health, Inc. | |||
5.00% due 02/01/232 | 118,687 | 4,906,520 | |
Danaher Corp. | |||
5.00% due 04/15/232 | 2,635 | 4,068,967 | |
Avantor, Inc. | |||
6.25% due 05/15/222 | 13,170 | 1,504,014 | |
Becton Dickinson and Co. | |||
6.00% due 06/01/232 | 16,957 | 892,956 | |
Total Consumer, Non-Cyclical | 17,613,524 | ||
Financial - 3.0% | |||
KKR & Company, Inc. | |||
6.00% due 09/15/232 | 89,723 | 7,963,813 | |
Bank of America Corp. | |||
7.25%2 | 3,430 | 4,829,440 | |
Wells Fargo & Co. | |||
7.50%2 | 3,000 | 4,267,590 | |
2020 Mandatory Exchangeable Trust | |||
6.50% due 05/16/23*,2,3 | 472 | 537,193 | |
Total Financial | 17,598,036 | ||
Utilities - 2.1% | |||
NextEra Energy, Inc. | |||
5.28% due 03/01/232 | 105,823 | 5,395,915 | |
6.22% due 09/01/232 | 66,420 | 3,413,324 | |
American Electric Power Company, Inc.2 | |||
6.13% due 08/15/23 | 34,716 | 1,842,725 | |
AES Corp. | |||
6.88% due 02/15/242 | 15,109 | 1,375,674 | |
Total Utilities | 12,009,638 | ||
Industrial - 2.1% | |||
RBC Bearings, Inc. | |||
5.00% due 10/15/242 | 52,540 | 5,032,807 | |
Fluor Corp. | |||
6.50%2,3 | 3,554 | 4,199,923 | |
Stanley Black & Decker, Inc. | |||
5.25% due 11/15/222 | 26,351 | 2,750,254 | |
Total Industrial | 11,982,984 | ||
Communications - 1.6% | |||
2020 Cash Mandatory Exchangeable Trust | |||
5.25% due 06/01/23*,2,3 | 7,601 | 7,578,920 | |
ViacomCBS, Inc. | |||
5.75% due 04/01/242 | 23,673 | 1,382,030 | |
Total Communications | 8,960,950 | ||
Consumer, Cyclical - 1.3% | |||
Aptiv plc | |||
5.50% due 06/15/23 | 48,872 | 7,574,521 | |
Basic Materials - 0.4% | |||
ArcelorMittal S.A. | |||
5.50% due 05/18/232 | 34,872 | 2,439,297 | |
Total Convertible Preferred Stocks | |||
(Cost $79,180,402) | 95,907,480 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Shares | Value | ||
MONEY MARKET FUND† - 7.1% | |||
Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class, 0.03%4 | 41,042,902 | $ 41,042,902 | |
Total Money Market Fund | |||
(Cost $41,042,902) | 41,042,902 | ||
Face Amount~ | |||
CONVERTIBLE BONDS†† - 68.7% | |||
Technology - 16.1% | |||
Splunk, Inc. | |||
1.13% due 09/15/252 | 5,502,000 | 6,183,744 | |
Confluent, Inc. | |||
due 01/15/272,3,5 | 5,530,000 | 5,446,217 | |
Rapid7, Inc. | |||
0.25% due 03/15/272,3 | 4,500,000 | 5,130,948 | |
Zscaler, Inc. | |||
0.13% due 07/01/252 | 2,456,000 | 4,448,518 | |
Zynga, Inc. | |||
0.25% due 06/01/242 | 3,651,000 | 4,421,465 | |
Workday, Inc. | |||
0.25% due 10/01/222 | 2,047,000 | 3,547,660 | |
CyberArk Software Ltd. | |||
due 11/15/242,5 | 2,978,000 | 3,322,124 | |
Akamai Technologies, Inc. | |||
0.38% due 09/01/272 | 2,831,000 | 3,249,988 | |
Bill.com Holdings, Inc. | |||
due 04/01/272,3,5 | 2,933,000 | 2,656,612 | |
due 12/01/252,5 | 305,000 | 427,305 | |
ON Semiconductor Corp. | |||
due 05/01/272,3,5 | 2,071,000 | 2,775,392 | |
Blackline, Inc. | |||
due 03/15/262,3,5 | 3,080,000 | 2,737,972 | |
STMicroelectronics N.V. | |||
due 08/04/275 | 1,600,000 | 1,988,439 | |
due 08/04/255 | 600,000 | 745,457 | |
Tyler Technologies, Inc. | |||
0.25% due 03/15/262,3 | 2,332,000 | 2,667,063 | |
Five9, Inc. | |||
0.50% due 06/01/252 | 2,244,000 | 2,628,673 | |
LivePerson, Inc. | |||
due 12/15/262,5 | 2,243,000 | 1,767,736 | |
0.75% due 03/01/242 | 750,000 | 805,600 | |
RingCentral, Inc. | |||
due 03/01/252,5 | 1,384,000 | 1,272,399 | |
due 03/15/262,5 | 1,258,000 | 1,085,927 | |
Lumentum Holdings, Inc. | |||
0.50% due 12/15/262 | 1,936,000 | 2,333,375 | |
Avalara, Inc. | |||
0.25% due 08/01/262,3 | 2,597,000 | 2,315,559 | |
DigitalOcean Holdings, Inc. | |||
��due 12/01/262,3,5 | 2,763,000 | 2,241,315 | |
Bentley Systems, Inc. | |||
0.13% due 01/15/262,3 | 2,218,000 | 2,104,882 | |
Jamf Holding Corp. | |||
0.13% due 09/01/262,3 | 2,121,000 | 2,072,987 | |
Pegasystems, Inc. | |||
0.75% due 03/01/252 | 2,000,000 | 2,026,521 | |
Microchip Technology, Inc. | |||
0.13% due 11/15/242 | 1,368,000 | 1,629,715 | |
1.63% due 02/15/272 | 176,000 | 396,220 | |
MongoDB, Inc. | |||
0.25% due 01/15/262 | 1,009,000 | 2,022,793 | |
Atos SE | |||
due 11/06/245 | EUR1,700,000 | 1,940,650 | |
Dropbox, Inc. | |||
due 03/01/282,3,5 | 1,769,000 | 1,740,696 | |
Datadog, Inc. | |||
0.13% due 06/15/252 | 1,000,000 | 1,717,520 | |
Unity Software, Inc. | |||
due 11/15/262,3,5 | 1,980,000 | 1,663,695 | |
Pure Storage, Inc. | |||
0.13% due 04/15/232 | 1,166,000 | 1,373,548 | |
HubSpot, Inc. | |||
0.38% due 06/01/252 | 561,000 | 1,022,703 | |
Cloudflare, Inc. | |||
due 08/15/262,3,5 | 1,001,000 | 934,285 | |
Bilibili, Inc. | |||
0.50% due 12/01/262,3 | 1,192,000 | 926,171 | |
Kingsoft Corporation Ltd. | |||
0.63% due 04/29/25 | HKD6,000,000 | 918,242 | |
MACOM Technology Solutions Holdings, Inc. | |||
0.25% due 03/15/262,3 | 821,000 | 851,994 | |
Health Catalyst, Inc. | |||
2.50% due 04/15/25 | 690,000 | 842,869 | |
Globalwafers Company Ltd. | |||
due 06/01/265 | 800,000 | 835,936 | |
Rohm Company Ltd. | |||
due 12/05/245 | JPY90,000,000 | 826,774 | |
KBR, Inc. | |||
2.50% due 11/01/232 | 431,000 | 754,034 | |
New Relic, Inc. | |||
0.50% due 05/01/232 | 637,000 | 750,079 | |
Lenovo Group Ltd. | |||
3.38% due 01/24/24 | 425,000 | 577,787 | |
Xero Investments Ltd. | |||
due 12/02/255 | 609,000 | 542,923 | |
United Microelectronics Corp. | |||
due 07/07/265 | 400,000 | 403,276 | |
Total Technology | 93,075,788 | ||
Communications - 15.1% | |||
Palo Alto Networks, Inc. | |||
0.38% due 06/01/252 | 5,626,000 | 9,974,410 | |
Booking Holdings, Inc. | |||
0.75% due 05/01/252 | 4,392,000 | 6,579,790 | |
Etsy, Inc. | |||
0.13% due 09/01/27 | 3,425,000 | 3,833,876 | |
0.25% due 06/15/282,3 | 2,611,000 | 2,591,418 | |
Viavi Solutions, Inc. | |||
1.75% due 06/01/23 | 3,000,000 | 3,867,000 | |
1.00% due 03/01/242 | 1,778,000 | 2,360,295 | |
Liberty Media Corp. | |||
1.38% due 10/15/23 | 2,458,000 | 3,379,750 | |
0.50% due 12/01/502,3 | 1,328,000 | 1,787,388 | |
DISH Network Corp. | |||
3.38% due 08/15/262 | 2,403,000 | 2,242,695 | |
due 12/15/252,5 | 1,379,000 | 1,351,653 | |
2.38% due 03/15/242 | 978,000 | 940,284 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Face Amount~ | Value | ||
CONVERTIBLE BONDS†† - 68.7% (continued) | |||
Communications - 15.1% (continued) | |||
Okta, Inc. | |||
0.38% due 06/15/262 | 3,887,000 | $4,346,761 | |
Snap, Inc. | |||
0.75% due 08/01/262 | 1,532,000 | 2,490,561 | |
due 05/01/272,3,5 | 2,109,000 | 1,820,207 | |
Match Group Financeco 3, Inc. | |||
2.00% due 01/15/302,3 | 2,500,000 | 3,916,250 | |
Twitter, Inc. | |||
0.25% due 06/15/242 | 3,488,000 | 3,676,242 | |
Uber Technologies, Inc. | |||
due 12/15/252,5 | 3,423,000 | 3,222,572 | |
Match Group Financeco 2, Inc. | |||
0.88% due 06/15/262,3 | 2,220,000 | 3,201,851 | |
Zendesk, Inc. | |||
0.63% due 06/15/252 | 2,539,000 | 2,942,701 | |
Delivery Hero SE | |||
0.25% due 01/23/24 | EUR1,400,000 | 1,523,829 | |
0.88% due 07/15/25 | EUR1,100,000 | 1,050,490 | |
Lyft, Inc. | |||
1.50% due 05/15/252 | 1,947,000 | 2,452,891 | |
Upwork, Inc. | |||
0.25% due 08/15/262,3 | 2,363,000 | 2,049,487 | |
Expedia Group, Inc. | |||
due 02/15/262,3,5 | 1,592,000 | 1,867,902 | |
Meituan | |||
due 04/27/285 | 1,900,000 | 1,745,625 | |
Sea Ltd. | |||
0.25% due 09/15/262 | 2,003,000 | 1,685,944 | |
Wayfair, Inc. | |||
0.63% due 10/01/252 | 944,000 | 831,984 | |
1.00% due 08/15/262 | 611,000 | 778,080 | |
Nice Ltd. | |||
due 09/15/252,5 | 1,164,000 | 1,288,731 | |
Kakao Corp. | |||
due 04/28/235 | 1,100,000 | 1,157,750 | |
Just Eat Takeaway.com N.V. | |||
2.25% due 01/25/24 | EUR1,000,000 | 1,131,485 | |
RealReal, Inc. | |||
3.00% due 06/15/252 | 1,102,000 | 1,069,274 | |
Q2 Holdings, Inc. | |||
0.75% due 06/01/262 | 1,022,000 | 1,057,135 | |
Yandex N.V. | |||
0.75% due 03/03/25 | 1,000,000 | 1,011,700 | |
Bharti Airtel Ltd. | |||
1.50% due 02/17/25 | 650,000 | 878,611 | |
MakeMyTrip Ltd. | |||
due 02/15/283,5 | 782,000 | 786,126 | |
Shopify, Inc. | |||
0.13% due 11/01/252 | 487,000 | 520,847 | |
Total Communications | 87,413,595 | ||
Consumer, Cyclical - 13.2% | |||
Ford Motor Co. | |||
due 03/15/262,3,5 | 8,462,000 | 11,521,806 | |
Southwest Airlines Co. | |||
1.25% due 05/01/252 | 8,312,000 | 11,356,476 | |
Royal Caribbean Cruises Ltd. | |||
4.25% due 06/15/232 | 3,375,000 | 4,305,558 | |
2.88% due 11/15/232 | 3,545,000 | 4,222,002 | |
NCL Corporation Ltd. | |||
1.13% due 02/15/272,3 | 5,845,000 | 5,586,929 | |
5.38% due 08/01/252 | 1,066,000 | 1,527,646 | |
JetBlue Airways Corp. | |||
0.50% due 04/01/262,3 | 4,029,000 | 3,874,765 | |
Marriott Vacations Worldwide Corp. | |||
due 01/15/262,3,5 | 1,990,000 | 2,240,152 | |
1.50% due 09/15/222 | 920,000 | 1,081,233 | |
Cinemark Holdings, Inc. | |||
4.50% due 08/15/252 | 2,355,000 | 3,239,734 | |
Copa Holdings S.A. | |||
4.50% due 04/15/25 | 1,500,000 | 2,659,798 | |
Burlington Stores, Inc. | |||
2.25% due 04/15/252 | 2,000,000 | 2,616,681 | |
Live Nation Entertainment, Inc. | |||
2.00% due 02/15/252 | 2,000,000 | 2,501,414 | |
IMAX Corp. | |||
0.50% due 04/01/262,3 | 2,500,000 | 2,373,750 | |
Zhongsheng Group Holdings Ltd. | |||
due 05/21/255 | HKD11,000,000 | 1,990,497 | |
Kering S.A. | |||
due 09/30/225 | EUR1,200,000 | 1,474,302 | |
Penn National Gaming, Inc. | |||
2.75% due 05/15/262 | 567,000 | 1,220,700 | |
Sail Vantage Ltd. | |||
due 01/13/275 | HKD9,000,000 | 1,200,954 | |
Vinpearl JSC | |||
3.25% due 09/21/26 | 1,200,000 | 1,179,464 | |
ANLLIAN Capital Ltd. | |||
due 02/05/255 | EUR800,000 | 1,129,519 | |
LCI Industries | |||
1.13% due 05/15/262 | 1,110,000 | 1,090,607 | |
Tesla, Inc. | |||
2.00% due 05/15/24 | 69,000 | 1,040,471 | |
NIO, Inc. | |||
due 02/01/263,5 | 1,000,000 | 860,000 | |
Zalando SE | |||
0.05% due 08/06/25 | EUR700,000 | 842,872 | |
Dufry One BV | |||
0.75% due 03/30/26 | CHF800,000 | 834,246 | |
WH Smith plc | |||
1.63% due 05/07/26 | GBP600,000 | 793,800 | |
ANA Holdings, Inc. | |||
due 12/10/315 | JPY90,000,000 | 782,252 | |
International Consolidated Airlines Group S.A. | |||
1.13% due 05/18/28 | EUR600,000 | 645,418 | |
American Eagle Outfitters, Inc. | |||
3.75% due 04/15/252 | 224,000 | 617,680 | |
Cheesecake Factory, Inc. | |||
0.38% due 06/15/262 | 635,000 | 562,549 | |
RH | |||
due 09/15/242,5 | 287,000 | 556,565 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Face Amount~ | Value | ||
CONVERTIBLE BONDS†† - 68.7% (continued) | |||
Consumer, Cyclical - 13.2% (continued) | |||
Singapore Airlines Ltd. | |||
1.63% due 12/03/25 | SGD 500,000 | $396,868 | |
Total Consumer, Cyclical | 76,326,708 | ||
Consumer, Non-cyclical - 10.2% | |||
Exact Sciences Corp. | |||
1.00% due 01/15/252 | 2,000,000 | 2,571,730 | |
0.38% due 03/15/272 | 2,336,000 | 2,345,950 | |
0.38% due 03/01/282 | 2,273,000 | 2,194,234 | |
Block, Inc. | |||
0.13% due 03/01/252 | 3,024,000 | 3,810,931 | |
0.25% due 11/01/272 | 2,628,000 | 2,460,631 | |
Jazz Investments I Ltd. | |||
2.00% due 06/15/262 | 5,240,000 | 6,152,060 | |
Dexcom, Inc. | |||
0.25% due 11/15/252 | 3,801,000 | 4,060,632 | |
0.75% due 12/01/232 | 145,000 | 379,851 | |
Insulet Corp. | |||
0.38% due 09/01/262 | 3,373,000 | 4,302,262 | |
Shift4 Payments, Inc. | |||
due 12/15/252,3,5 | 3,655,000 | 3,687,326 | |
MGP Ingredients, Inc. | |||
1.88% due 11/15/412,3 | 2,500,000 | 2,712,580 | |
Herbalife Nutrition Ltd. | |||
2.63% due 03/15/242 | 2,643,000 | 2,685,112 | |
Guardant Health, Inc. | |||
due 11/15/272,5 | 2,130,000 | 1,820,937 | |
Nexi SpA | |||
1.75% due 04/24/27 | EUR800,000 | 983,768 | |
due 02/24/285 | EUR700,000 | 704,533 | |
Sabre GLBL, Inc. | |||
4.00% due 04/15/252 | 1,092,000 | 1,565,217 | |
Amadeus IT Group S.A. | |||
1.50% due 04/09/25 | EUR1,000,000 | 1,498,627 | |
Affirm Holdings, Inc. | |||
due 11/15/262,3,5 | 1,875,000 | 1,476,688 | |
Haemonetics Corp. | |||
due 03/01/262,3,5 | 1,682,000 | 1,409,229 | |
QIAGEN N.V. | |||
1.00% due 11/13/24 | 1,000,000 | 1,199,400 | |
China Conch Venture | |||
due 09/05/235 | HKD8,000,000 | 1,182,936 | |
Shanghai Port Group BVI Holding Company Ltd. | |||
due 08/09/225 | 928,000 | 1,142,368 | |
Fine Perfection Investment Ltd. | |||
due 04/17/225 | 1,130,000 | 1,128,023 | |
Omnicell, Inc. | |||
0.25% due 09/15/252 | 681,000 | 1,097,387 | |
Sarepta Therapeutics, Inc. | |||
1.50% due 11/15/242 | 858,000 | 1,089,797 | |
Insmed, Inc. | |||
0.75% due 06/01/282 | 1,081,000 | 1,052,353 | |
ADM Ag Holding Ltd. | |||
due 08/26/235 | 1,000,000 | 1,032,500 | |
Livongo Health, Inc. | |||
0.88% due 06/01/252 | 779,000 | 828,856 | |
NeoGenomics, Inc. | |||
0.25% due 01/15/282 | 1,077,000 | 804,408 | |
Pharmaron Beijing Company Ltd. | |||
due 06/18/265 | 800,000 | 698,400 | |
Nipro Corp. | |||
due 09/25/265 | JPY70,000,000 | 616,012 | |
Orpea S.A. | |||
0.38% due 05/17/27 | 681** | 90,231 | |
Total Consumer, Non-cyclical | 58,784,969 | ||
Financial - 4.2% | |||
Pebblebrook Hotel Trust | |||
1.75% due 12/15/262 | 3,365,000 | 3,675,433 | |
JPMorgan Chase Bank North America | |||
due 09/18/225 | EUR700,000 | 1,334,754 | |
due 02/18/245 | EUR800,000 | 993,030 | |
due 08/07/225 | 400,000 | 457,700 | |
Coinbase Global, Inc. | |||
0.50% due 06/01/262,3 | 2,330,000 | 2,187,569 | |
SBI Holdings, Inc. | |||
due 07/25/255 | JPY220,000,000 | 2,182,339 | |
Kite Realty Group, LP | |||
0.75% due 04/01/273 | 2,000,000 | 2,023,181 | |
Eve Battery Investment Ltd. | |||
0.75% due 11/22/26 | 1,670,000 | 1,768,263 | |
LendingTree, Inc. | |||
0.50% due 07/15/252 | 1,992,000 | 1,676,470 | |
Vingroup JSC | |||
3.00% due 04/20/26 | 1,600,000 | 1,588,800 | |
SoFi Technologies, Inc. | |||
due 10/15/262,3,5 | 1,608,000 | 1,498,041 | |
Summit Hotel Properties, Inc. | |||
1.50% due 02/15/262 | 1,100,000 | 1,125,737 | |
Realogy Group LLC / Realogy Company-Issuer Corp. | |||
0.25% due 06/15/262,3 | 1,150,000 | 1,113,027 | |
Redfin Corp. | |||
due 10/15/252,5 | 1,284,000 | 1,061,968 | |
Citigroup Global Markets Funding Luxembourg SCA | |||
due 05/28/245 | HKD8,000,000 | 1,054,177 | |
LEG Immobilien AG | |||
0.88% due 09/01/25 | EUR600,000 | 796,523 | |
Total Financial | 24,537,012 | ||
Energy - 3.6% | |||
Pioneer Natural Resources Co. | |||
0.25% due 05/15/252 | 3,800,000 | 7,896,875 | |
CNX Resources Corp. | |||
2.25% due 05/01/262 | 2,000,000 | 2,735,099 | |
NextEra Energy Partners, LP | |||
due 11/15/252,3,5 | 2,567,000 | 2,672,356 | |
Centennial Resource Production LLC | |||
3.25% due 04/01/28 | 1,500,000 | 2,227,254 | |
CIMC Enric Holdings Ltd. | |||
due 11/30/265 | HKD13,000,000 | 1,797,231 | |
SolarEdge Technologies, Inc. | |||
due 09/15/252,5 | 1,288,000 | 1,507,154 | |
RAG-Stiftung | |||
due 06/17/265 | EUR600,000 | 768,413 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Face Amount~ | Value | ||
CONVERTIBLE BONDS†† - 68.7% (continued) | |||
Energy - 3.6% (continued) | |||
MBT Systems GmbH | |||
3.50% due 07/08/27 | EUR 700,000 | $730,712 | |
Equities Corp. | |||
1.75% due 05/01/262 | 350,000 | 570,323 | |
Total Energy | 20,905,417 | ||
Industrial - 3.2% | |||
Greenbrier Companies, Inc. | |||
2.88% due 04/15/282,3 | 2,500,000 | 2,564,065 | |
Cellnex Telecom S.A. | |||
0.50% due 07/05/28 | EUR1,500,000 | 2,017,628 | |
Vertex Energy, Inc. | |||
6.25% due 10/01/273 | 1,900,000 | 1,991,562 | |
Deutsche Post AG | |||
0.05% due 06/30/25 | EUR1,400,000 | 1,814,977 | |
Safran S.A. | |||
0.88% due 05/15/27 | 10,870** | 1,650,359 | |
Itron, Inc. | |||
due 03/15/262,3,5 | 1,701,000 | 1,527,498 | |
Middleby Corp. | |||
1.00% due 09/01/252 | 906,000 | 1,382,605 | |
Scorpio Tankers, Inc. | |||
3.00% due 05/15/253 | 1,157,000 | 1,157,674 | |
Chart Industries, Inc. | |||
1.00% due 11/15/242,3 | 399,000 | 854,658 | |
MINEBEA MITSUMI, Inc. | |||
due 08/03/225 | JPY70,000,000 | 819,375 | |
DMG Mori Company Ltd. | |||
due 07/16/245 | JPY90,000,000 | 806,895 | |
Bloom Energy Corp. | |||
2.50% due 08/15/252 | 618,000 | 754,554 | |
Sika A.G. | |||
0.15% due 06/05/25 | CHF380,000 | 691,312 | |
Prysmian SpA | |||
due 02/02/265 | EUR400,000 | 462,593 | |
Total Industrial | 18,495,755 | ||
Utilities - 1.8% | |||
NRG Energy, Inc. | |||
2.75% due 06/01/482 | 3,211,000 | 3,653,357 | |
Electricite de France S.A. | |||
due 09/14/245 | 169,500** | 2,332,938 | |
Veolia Environnement S.A. | |||
due 01/01/255 | 50,190** | 2,078,936 | |
CenterPoint Energy, Inc. | |||
4.57% due 09/15/29 | 23,210** | 1,280,960 | |
Iberdrola International BV | |||
due 11/11/225 | EUR700,000 | 972,502 | |
Total Utilities | 10,318,693 | ||
Basic Materials - 1.3% | |||
Ivanhoe Mines Ltd. | |||
2.50% due 04/15/262,3 | 1,582,000 | 2,152,311 | |
Nippon Steel Corp. | |||
due 10/04/245 | JPY150,000,000 | 1,336,299 | |
due 10/05/265 | JPY90,000,000 | 813,495 | |
Mitsubishi Chemical Holdings Corp. | |||
due 03/29/245 | JPY120,000,000 | 1,075,808 | |
Osisko Gold Royalties Ltd. | |||
4.00% due 12/31/22 | CAD1,300,000 | 1,033,570 | |
Brenntag Finance BV | |||
1.88% due 12/02/22 | 750,000 | 842,293 | |
Allegheny Technologies, Inc. | |||
3.50% due 06/15/252 | 403,000 | 571,756 | |
Total Basic Materials | 7,825,532 | ||
Total Convertible Bonds | |||
(Cost $381,704,252) | 397,683,469 | ||
CORPORATE BONDS†† - 47.1% | |||
Consumer, Non-cyclical - 9.1% | |||
Land O'Lakes Capital Trust I | |||
7.45% due 03/15/282,3 | 3,151,000 | 3,637,562 | |
Tenet Healthcare Corp. | |||
4.38% due 01/15/303 | 3,290,000 | 3,176,047 | |
Nielsen Finance LLC / Nielsen Finance Co. | |||
5.63% due 10/01/282,3 | 2,750,000 | 2,764,712 | |
Brink's Co. | |||
4.63% due 10/15/272,3 | 2,665,000 | 2,702,323 | |
MEDNAX, Inc. | |||
6.25% due 01/15/272,3 | 2,573,000 | 2,689,956 | |
Organon & Company / Organon Foreign Debt Co-Issuer BV | |||
5.13% due 04/30/312,3 | 1,336,000 | 1,337,042 | |
4.13% due 04/30/282,3 | 1,341,000 | 1,327,811 | |
ASGN, Inc. | |||
4.63% due 05/15/283 | 2,608,000 | 2,608,496 | |
Edgewell Personal Care Co. | |||
4.13% due 04/01/292,3 | 2,650,000 | 2,588,520 | |
Primo Water Holdings, Inc. | |||
4.38% due 04/30/292,3 | 2,682,000 | 2,583,732 | |
Teva Pharmaceutical Finance Netherlands III BV | |||
2.80% due 07/21/23 | 2,628,000 | 2,578,804 | |
HLF Financing SARL LLC / Herbalife International, Inc. | |||
4.88% due 06/01/292,3 | 2,683,000 | 2,545,952 | |
Horizon Therapeutics USA, Inc. | |||
5.50% due 08/01/272,3 | 2,223,000 | 2,306,196 | |
HCA, Inc. | |||
5.88% due 02/01/292 | 2,036,000 | 2,303,734 | |
ModivCare Escrow Issuer, Inc. | |||
5.00% due 10/01/292,3 | 2,351,000 | 2,281,140 | |
Bausch Health Companies, Inc. | |||
4.88% due 06/01/282,3 | 2,329,000 | 2,212,946 | |
MPH Acquisition Holdings LLC | |||
5.50% due 09/01/282,3 | 2,300,000 | 2,211,726 | |
Korn Ferry | |||
4.63% due 12/15/272,3 | 2,109,000 | 2,140,751 | |
Jazz Securities DAC | |||
4.38% due 01/15/292,3 | 2,011,000 | 2,000,241 | |
Emergent BioSolutions, Inc. | |||
3.88% due 08/15/282,3 | 2,142,000 | 1,973,949 | |
Varex Imaging Corp. | |||
7.88% due 10/15/272,3 | 1,774,000 | 1,944,455 | |
United Rentals North America, Inc. | |||
4.00% due 07/15/302 | 1,742,000 | 1,717,821 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 47.1% (continued) | |||
Consumer, Non-cyclical - 9.1% (continued) | |||
TriNet Group, Inc. | |||
3.50% due 03/01/292,3 | 1,354,000 | $1,278,095 | |
Total Consumer, Non-cyclical | 52,912,011 | ||
Consumer, Cyclical - 8.9% | |||
American Airlines Incorporated/AAdvantage Loyalty IP Ltd. | |||
5.75% due 04/20/293 | 3,306,000 | 3,390,171 | |
Everi Holdings, Inc. | |||
5.00% due 07/15/292,3 | 2,859,000 | 2,849,036 | |
LSF9 Atlantis Holdings LLC / Victra Finance Corp. | |||
7.75% due 02/15/262,3 | 2,943,000 | 2,838,538 | |
Hilton Domestic Operating Company, Inc. | |||
4.88% due 01/15/302 | 2,761,000 | 2,837,493 | |
Caesars Entertainment, Inc. | |||
6.25% due 07/01/25 | 2,742,000 | 2,834,858 | |
Hanesbrands, Inc. | |||
4.63% due 05/15/242,3 | 2,719,000 | 2,773,380 | |
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc | |||
5.00% due 06/01/292,3 | 2,696,000 | 2,687,224 | |
Wolverine World Wide, Inc. | |||
4.00% due 08/15/292,3 | 2,366,000 | 2,276,518 | |
QVC, Inc. | |||
4.38% due 09/01/282 | 2,387,000 | 2,203,046 | |
Tenneco, Inc. | |||
5.13% due 04/15/292,3 | 2,359,000 | 2,188,102 | |
Ferrellgas Limited Partnership / Ferrellgas Finance Corp. | |||
5.88% due 04/01/292,3 | 2,355,000 | 2,170,403 | |
Scientific Games International, Inc. | |||
8.63% due 07/01/252,3 | 2,039,000 | 2,160,147 | |
TRI Pointe Group Inc. / TRI Pointe Homes Inc. | |||
5.88% due 06/15/24 | 2,056,000 | 2,158,512 | |
Ford Motor Co. | |||
4.35% due 12/08/26 | 2,056,000 | 2,137,171 | |
American Greetings Corp. | |||
8.75% due 04/15/252,3 | 1,931,000 | 1,970,875 | |
Bloomin' Brands Incorporated / OSI Restaurant Partners LLC | |||
5.13% due 04/15/292,3 | 1,974,000 | 1,957,567 | |
NCL Finance Ltd. | |||
6.13% due 03/15/282,3 | 2,037,000 | 1,930,679 | |
Kontoor Brands, Inc. | |||
4.13% due 11/15/292,3 | 1,974,000 | 1,895,731 | |
Carnival Corp. | |||
4.00% due 08/01/282,3 | 1,695,000 | 1,615,165 | |
Jacobs Entertainment, Inc. | |||
6.75% due 02/15/293 | 1,542,000 | 1,558,469 | |
Churchill Downs, Inc. | |||
4.75% due 01/15/282,3 | 1,479,000 | 1,489,649 | |
Michaels Companies, Inc. | |||
7.88% due 05/01/292,3 | 1,619,000 | 1,484,121 | |
Dave & Buster's, Inc. | |||
7.63% due 11/01/253 | 1,359,000 | 1,438,753 | |
Staples, Inc. | |||
10.75% due 04/15/272,3 | 678,000 | 633,164 | |
Total Consumer, Cyclical | 51,478,772 | ||
Energy - 7.8% | |||
Occidental Petroleum Corp. | |||
6.13% due 01/01/312 | 3,306,000 | 3,821,323 | |
3.40% due 04/15/262 | 2,636,000 | 2,607,268 | |
New Fortress Energy, Inc. | |||
6.50% due 09/30/262,3 | 3,200,000 | 2,997,680 | |
DCP Midstream Operating, LP | |||
5.63% due 07/15/272 | 2,615,000 | 2,829,652 | |
Tallgrass Energy Partners Limited Partnership / Tallgrass Energy Finance Corp. | |||
6.00% due 03/01/273 | 2,672,000 | 2,722,100 | |
Nabors Industries, Inc. | |||
7.38% due 05/15/272,3 | 2,632,000 | 2,694,365 | |
Genesis Energy Limited Partnership / Genesis Energy Finance Corp. | |||
8.00% due 01/15/272 | 2,510,000 | 2,532,615 | |
Parkland Corp. | |||
4.63% due 05/01/302,3 | 2,632,000 | 2,531,181 | |
Calumet Specialty Products Partners Limited Partnership / Calumet Finance Corp. | |||
8.13% due 01/15/272,3 | 2,380,000 | 2,393,507 | |
Harvest Midstream I, LP | |||
7.50% due 09/01/282,3 | 2,202,000 | 2,294,451 | |
Aethon United BR Limited Partnership / Aethon United Finance Corp. | |||
8.25% due 02/15/262,3 | 1,956,000 | 2,062,856 | |
Endeavor Energy Resources Limited Partnership / EER Finance, Inc. | |||
5.75% due 01/30/282,3 | 1,979,000 | 2,050,016 | |
Hilcorp Energy I Limited Partnership / Hilcorp Finance Co. | |||
6.00% due 02/01/312,3 | 1,990,000 | 2,040,347 | |
Range Resources Corp. | |||
4.75% due 02/15/303 | 2,039,000 | 2,040,315 | |
Apache Corp. | |||
4.88% due 11/15/272 | 1,931,000 | 2,007,468 | |
Southwestern Energy Co. | |||
4.75% due 02/01/322 | 1,979,000 | 1,979,000 | |
Civitas Resources, Inc. | |||
5.00% due 10/15/262,3 | 1,967,000 | 1,963,578 | |
Alliance Resource Operating Partners Limited Partnership / Alliance Resource Finance Corp. | |||
7.50% due 05/01/253 | 1,757,000 | 1,781,677 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 47.1% (continued) | |||
Energy - 7.8% (continued) | |||
Comstock Resources, Inc. | |||
6.75% due 03/01/292,3 | 1,511,000 | $1,556,972 | |
Total Energy | 44,906,371 | ||
Communications - 7.6% | |||
Twitter, Inc. | |||
3.88% due 12/15/272,3 | 4,000,000 | 3,997,500 | |
CSC Holdings LLC | |||
6.50% due 02/01/292,3 | 3,367,000 | 3,511,949 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | |||
5.13% due 05/01/273 | 2,741,000 | 2,813,225 | |
Directv Financing LLC / Directv Financing Company-Obligor, Inc. | |||
5.88% due 08/15/272,3 | 2,708,000 | 2,724,519 | |
Midas OpCo Holdings LLC | |||
5.63% due 08/15/292,3 | 2,686,000 | 2,637,236 | |
Beasley Mezzanine Holdings LLC | |||
8.63% due 02/01/262,3 | 2,608,000 | 2,579,038 | |
Nexstar Media, Inc. | |||
4.75% due 11/01/282,3 | 2,586,000 | 2,559,235 | |
News Corp. | |||
3.88% due 05/15/292,3 | 2,668,000 | 2,553,409 | |
Lumen Technologies, Inc. | |||
4.00% due 02/15/272,3 | 2,634,000 | 2,540,980 | |
Audacy Capital Corp. | |||
6.75% due 03/31/292,3 | 2,700,000 | 2,515,658 | |
Sprint Capital Corp. | |||
6.88% due 11/15/282 | 1,955,000 | 2,338,239 | |
DISH DBS Corp. | |||
5.75% due 12/01/282,3 | 2,379,000 | 2,291,893 | |
Scripps Escrow, Inc. | |||
5.88% due 07/15/272,3 | 1,984,000 | 2,026,180 | |
Ciena Corp. | |||
4.00% due 01/31/302,3 | 2,040,000 | 2,022,823 | |
Urban One, Inc. | |||
7.38% due 02/01/282,3 | 1,956,000 | 1,991,433 | |
Sirius XM Radio, Inc. | |||
4.00% due 07/15/282,3 | 2,038,000 | 1,975,097 | |
McGraw-Hill Education, Inc. | |||
5.75% due 08/01/282,3 | 2,031,000 | 1,932,172 | |
CommScope, Inc. | |||
8.25% due 03/01/272,3 | 925,000 | 906,500 | |
Total Communications | 43,917,086 | ||
Technology - 3.8% | |||
Amkor Technology, Inc. | |||
6.63% due 09/15/272,3 | 3,000,000 | 3,156,000 | |
Unisys Corp. | |||
6.88% due 11/01/273 | 2,625,000 | 2,798,919 | |
Consensus Cloud Solutions, Inc. | |||
6.50% due 10/15/282,3 | 2,622,000 | 2,693,318 | |
Ahead DB Holdings LLC | |||
6.63% due 05/01/282,3 | 2,680,000 | 2,605,416 | |
CA Magnum Holdings | |||
5.38% due 10/31/263 | 2,502,000 | 2,554,417 | |
Playtika Holding Corp. | |||
4.25% due 03/15/292,3 | 2,327,000 | 2,228,603 | |
NCR Corp. | |||
5.13% due 04/15/292,3 | 1,983,000 | 1,983,218 | |
Synaptics, Inc. | |||
4.00% due 06/15/292,3 | 1,993,000 | 1,958,571 | |
Alteryx, Inc. | |||
1.00% due 08/01/262 | 1,316,000 | 1,159,054 | |
Seagate HDD Cayman | |||
5.75% due 12/01/342 | 1,018,000 | 1,105,574 | |
Total Technology | 22,243,090 | ||
Basic Materials - 3.8% | |||
First Quantum Minerals Ltd. | |||
6.88% due 10/15/273 | 2,831,000 | 3,012,071 | |
FMG Resources August 2006 Pty Ltd. | |||
4.38% due 04/01/312,3 | 2,705,000 | 2,726,897 | |
Valvoline, Inc. | |||
4.25% due 02/15/303 | 2,818,000 | 2,726,429 | |
Compass Minerals International, Inc. | |||
6.75% due 12/01/272,3 | 2,141,000 | 2,245,320 | |
Ingevity Corp. | |||
3.88% due 11/01/282,3 | 2,223,000 | 2,098,734 | |
Alcoa Nederland Holding BV | |||
5.50% due 12/15/272,3 | 1,976,000 | 2,082,081 | |
New Gold, Inc. | |||
7.50% due 07/15/272,3 | 1,963,000 | 2,064,085 | |
Century Aluminum Co. | |||
7.50% due 04/01/282,3 | 1,674,000 | 1,778,240 | |
Chemours Co. | |||
4.63% due 11/15/292,3 | 1,639,000 | 1,559,755 | |
Commercial Metals Co. | |||
4.88% due 05/15/232 | 1,500,000 | 1,539,000 | |
Total Basic Materials | 21,832,612 | ||
Industrial - 2.8% | |||
VM Consolidated, Inc. | |||
5.50% due 04/15/293 | 2,988,000 | 2,976,750 | |
IEA Energy Services LLC | |||
6.63% due 08/15/292,3 | 2,685,000 | 2,628,132 | |
GFL Environmental, Inc. | |||
3.50% due 09/01/282,3 | 2,598,000 | 2,449,511 | |
Dycom Industries, Inc. | |||
4.50% due 04/15/292,3 | 2,328,000 | 2,283,570 | |
Western Global Airlines LLC | |||
10.38% due 08/15/253 | 2,048,000 | 2,263,409 | |
Intertape Polymer Group, Inc. | |||
4.38% due 06/15/292,3 | 2,022,000 | 1,999,798 | |
Graphic Packaging International LLC | |||
3.75% due 02/01/302,3 | 1,974,000 | 1,898,179 | |
Total Industrial | 16,499,349 | ||
Financial - 2.8% | |||
NMI Holdings, Inc. | |||
7.38% due 06/01/252,3 | 2,972,000 | 3,301,357 | |
Iron Mountain, Inc. | |||
4.88% due 09/15/272,3 | 2,970,000 | 2,983,009 | |
PRA Group, Inc. | |||
5.00% due 10/01/292,3 | 2,957,000 | 2,923,778 |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 47.1% (continued) | |||
Financial - 2.8% (continued) | |||
VistaJet Malta Finance plc / XO Management Holding, Inc. | |||
6.38% due 02/01/302,3 | 2,720,000 | $2,707,651 | |
Advisor Group Holdings, Inc. | |||
10.75% due 08/01/272,3 | 2,088,000 | 2,303,096 | |
Radian Group, Inc. | |||
4.88% due 03/15/272 | 1,647,000 | 1,707,782 | |
Total Financial | 15,926,673 | ||
Utilities - 0.5% | |||
NRG Energy, Inc. | |||
5.25% due 06/15/292,3 | 2,598,000 | 2,676,667 | |
Total Corporate Bonds | |||
(Cost $275,061,391) | 272,392,631 | ||
SENIOR FLOATING RATE INTERESTS††,6 - 1.9% | |||
Consumer, Cyclical - 1.3% | |||
Golden Nugget | |||
due 01/13/29 | 2,720,000 | 2,730,200 | |
SeaWorld Parks & Entertainment, Inc. | |||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 08/25/28 | 1,320,000 | 1,318,114 | |
due 08/25/28 | 1,316,700 | 1,314,818 | |
Alterra Mountain Co. | |||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/28 | 2,351,742 | 2,347,822 | |
Total Consumer, Cyclical | 7,710,954 | ||
Industrial - 0.6% | |||
TransDigm, Inc. | |||
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 3,268,325 | 3,231,929 | |
Total Senior Floating Rate Interests | |||
(Cost $10,946,597) | 10,942,883 | ||
Total Investments - 161.0% | |||
(Cost $887,924,403) | $ 931,687,870 | ||
Contracts | |||
LISTED OPTIONS WRITTEN† - (0.0)% | |||
Call Options on: | |||
Equity Options | |||
Alcoa Corp. Expiring February 2022 with strike price of $65.00 (Notional Value $1,625,000) | 250 | (12,750) | |
Total Listed Options Written | |||
(Premiums received $74,541) | (12,750) | ||
Other Assets & Liabilities, net - (61.0)% | (353,064,750) | ||
Total Net Assets - 100.0% | $ 578,610,370 |
Forward Foreign Currency Exchange Contracts†† | ||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation (Depreciation) |
Bank of New York Mellon | EUR | Sell | 28,852,387 | 32,711,563 USD | 03/11/22 | $341,509 |
Bank of New York Mellon | JPY | Sell | 1,176,439,900 | 10,371,792 USD | 03/11/22 | 158,310 |
Bank of New York Mellon | CHF | Sell | 4,352,504 | 4,730,366 USD | 03/11/22 | 50,698 |
Bank of New York Mellon | AUD | Sell | 1,053,052 | 752,185 USD | 03/11/22 | 10,133 |
Bank of New York Mellon | CAD | Sell | 1,347,380 | 1,062,199 USD | 03/11/22 | 2,816 |
Bank of New York Mellon | HKD | Sell | 68,145,056 | 8,741,268 USD | 03/11/22 | 1,931 |
Bank of New York Mellon | HKD | Buy | 3,561,600 | 456,759 USD | 03/11/22 | 2 |
Bank of New York Mellon | SGD | Sell | 540,789 | 395,773 USD | 03/11/22 | (4,114) |
Bank of New York Mellon | JPY | Buy | 95,582,300 | 837,205 USD | 03/11/22 | (7,389) |
Bank of New York Mellon | AUD | Buy | 1,053,052 | 751,993 USD | 03/11/22 | (9,942) |
Bank of New York Mellon | GBP | Sell | 569,067 | 750,514 USD | 03/11/22 | (12,793) |
Bank of New York Mellon | EUR | Buy | 3,000,010 | 3,403,860 USD | 03/11/22 | (38,088) |
Bank of New York Mellon | CHF | Buy | 2,844,352 | 3,099,351 USD | 03/11/22 | (41,199) |
$451,874 |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Represents Shares |
Advent Convertible and Income Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | All or a portion of these securities have been physically segregated in connection with the borrowings and reverse repurchase agreements. As of January 31, 2022, the total value of securities segregated was $612,172,732. |
3 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $352,081,837 (cost $355,259,027), or 60.8% of total net assets. |
4 | Rate indicated is the 7-day yield as of January 31, 2022. |
5 | Zero coupon rate security. |
6 | Variable rate security. Rate indicated is the rate effective at January 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
7 | Security represents cover for outstanding options written. |
AUD — Australian Dollar | |
CAD — Canadian Dollar | |
CHF — Swiss Franc | |
EUR — Euro | |
GBP — British Pound | |
HKD — Hong Kong Dollar | |
JPY — Japanese Yen | |
LIBOR — London Interbank Offered Rate | |
LLC — Limited Liability Company | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
SGD — Singapore Dollar |
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at January 31, 2022 (See Note 3 in the Notes to Schedule of Investments):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 113,718,505 | $ | — | $ | — | $ | 113,718,505 | ||||||||
Convertible Preferred Stocks | 95,907,480 | — | — | 95,907,480 | ||||||||||||
Money Market Fund | 41,042,902 | — | — | 41,042,902 | ||||||||||||
Convertible Bonds | — | 397,683,469 | — | 397,683,469 | ||||||||||||
Corporate Bonds | — | 272,392,631 | — | 272,392,631 | ||||||||||||
Senior Floating Rate Interests | — | 10,942,883 | — | 10,942,883 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 565,399 | — | 565,399 | ||||||||||||
Total Assets | $ | 250,668,887 | $ | 681,584,382 | $ | — | $ | 932,253,269 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Options Written | $ | 12,750 | $ | — | $ | — | $ | 12,750 | ||||||||
Forward Foreign Currency Exchange Contracts** | — | 113,525 | — | 113,525 | ||||||||||||
Total Liabilities | $ | 12,750 | $ | 113,525 | $ | — | $ | 126,275 |
** This derivative is reported as unrealized appreciation/depreciation at period end.
Please refer to the detailed portfolio for the breakdown of investment type by industry category.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $156,010,115 are categorized as Level 2 within the disclosure hierarchy — See Note 2.
The Fund did not hold any Level 3 securities during the period ended January 31, 2022.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Note 1 – Organization and Significant Accounting Policies
Organization
Advent Convertible and Income Fund (the “Fund”) was organized as a Delaware statutory trust on February 19, 2003. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. The Fund pursues its investment objective by investing at least 80% of its managed assets in a diversified portfolio of convertible securities and non-convertible income producing securities.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund's securities and/or other assets.
Valuations of the Fund's securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Securities listed on an exchange or on an over-the-counter market will be valued at the last reported sale price on the primary exchange or market on which they are traded; provided, however, that securities listed on the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market system will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price.
Equity securities that are traded on an exchange or on the over-the-counter (“OTC”) market and for which there are no transactions on a given day are valued at the mean of the closing bid and asked prices.
Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Debt securities are valued based on prices provided by independent pricing services or, if not available or if Advent Capital Management, LLC (“Advent” or the “Investment Adviser”) considers that price to not represent fair value, by dealers using the mean of the closing bid and asked prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing services or dealers may utilize proprietary valuation models which may, for example, consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term debt securities with remaining maturities of 60 days or less at the time of valuation are valued at amortized cost, which approximates market value. Short-term debt securities which have a term-to-maturity greater than 60 days from the date of purchase are valued at their current market quotations until maturity or disposition. Convertible securities are valued in the same manner as debt securities. Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. OTC options are valued using a price provided by an independent pricing service.
Forward foreign currency exchange contracts are valued by pricing services or, if not available or if Advent considers that price to not represent fair value, by dealers using the mid price. Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by Advent, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
Special Purpose Acquisition Companies
The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be Profitable.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.
The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets. As a result, such transactions may increase fluctuations in the market value of the Fund's assets.
Note 3 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | January 31, 2022 |
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 4 – Federal Income Tax Information
The Fund intends to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year, the Fund avoids a 4% federal excise tax that is assessed on the amount of the under distribution.
At January 31, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Tax Cost | Tax Unrealized Appreciation | Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) |
$ 891,820,043 | $ 68,103,291 | $ (27,796,340) | $ 40,306,951 |
Note 5 – COVID-19
The outbreak of COVID-19 and the recovery response causes at times disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded to this situation with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. Recently, the U.S. and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. These actions also contribute to a risk that asset prices have a higher degree of correlation than historically seen across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
OTHER INFORMATION (Unaudited) | January 31, 2022 |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.