Advent Capital Balanced Strategy Update
BALANCED STRATEGY CHARACTERISTICS
Portfolio Characteristics
As of July 31, 2020
Balanced Representative Portfolio
ICE BofA All U.S. Convertibles Index (VXAO)
Credit
Quality
BB
BB
Current
Yield
2.2%
2.2%
Delta
61.7%
62.9%
ADVENT
CAPITAL MANAGEMENT, LLC
Conversion
Premium
27.4%
32.4%
Source: ICE Data Services. Characteristics for indexes are calculated by Advent using the holdings and weightings reported by the index provider as of the referenced date. Advent corrects erroneous Delta values reported by the index provider (e.g., a Delta reported as
less than zero is set at zero, and a Delta reported as greater than 100 is set at 100). Advent's calculation of Conversion Premium excludes index holdings that have a conversion premium greater than 500, and re-weights the remaining holdings proportionately. Credit
quality is a simple average based on S&P, Moody's, and Fitch ratings. Each security's available agency ratings are assigned a numerical value from 1 (AAA/Aaa) to 22 (D). The numerical values are averaged and rounded to the nearest whole integer before being converted
into S&P rating nomenclature.
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