gug54350-ncsr.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)

 1271 Avenue of the Americas, 45th Floor New York, NY 10020
(Address of principal executive offices) (Zip code)
 
Robert White, Treasurer
1271 Avenue of the Americas, 45th Floor New York, NY 10020
(Name and address of agent for service)
 
Registrant's telephone number, including area code: (212) 482-1600
 
Date of fiscal year end:  October 31
 
Date of reporting period:  April 30, 2012
 

 
 

 
 
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: 
 
 

 
 
 

 

 
WWW.GUGGENHEIMFUNDS.COM/AVK
 
 
. . .YOUR BRIDGE TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE ADVENT
CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND
 
 
The shareholder report you are reading right now is just the beginning of the story. Online at www.guggenheimfunds.com/avk, you will find:
 
·  
Daily, weekly and monthly data on share prices, net asset values, dividends and more
 
·  
Portfolio overviews and performance analyses
 
·  
Announcements, press releases and special notices
 
·  
Fund and advisor contact information
 
Advent Capital Management and Guggenheim Investments 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.
 
 
 

 
 

   
 
April 30, 2012 
 
 
 
Tracy V. Maitland
President and Chief Executive Officer
 
 
 
DEAR SHAREHOLDER
 
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 fiscal period ended April 30, 2012. 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, 2012, Advent managed approximately $5.9 billion in assets.
 
Guggenheim Funds Distributors, LLC (the “Servicing Agent”) serves as the Servicing Agent to the Fund. The Servicing Agent is an affiliate of Guggenheim Partners, LLC, a global diversified financial services firm with more than $130 billion in assets under management and supervision.
 
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.
 
For the six-month period ended April 30, 2012, the Fund generated a total return based on market price of 5.04% and a return of 3.73% based on net asset value (“NAV”). As of April 30, 2012, the Fund’s market price of $15.86 represented a discount of 8.64% to NAV of $17.36. As of October 31, 2011, the Fund’s market price of $15.87 represented a discount of 9.42% to NAV of $17.52. All Fund returns cited—whether based on NAV or market price—assume the reinvestment of all distributions. 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 2011 through April 2012, the Fund paid a monthly distribution of $0.0939 per common share. In addition, the Fund paid a supplemental distribution of $0.221 per common share on December 31, 2011. The current monthly distribution represents an annualized distribution rate of 7.10% based upon the last closing market price of $15.86 as of April 30, 2012. 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 37 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
 
 

 
AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 3
 
 
 

 
 
 

   
DEAR SHAREHOLDER continued 
April 30, 2012 
 
 
distribution rate, the DRIP effectively provides an income averaging technique, which causes shareholders to accumulate a larger number of Fund shares when the share price is lower than when the price is higher.
 
The Fund is managed by a team of experienced and seasoned professionals led by myself in my capacity as Chief Investment Officer (as well as President and Founder) of Advent Capital Management, LLC. We encourage you to read the following Questions & Answers section, which provides additional information regarding the factors that influenced 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 regarding your investment, please visit the Fund’s website at www.guggenheimfunds.com/avk.
 
Sincerely,
 
 
Tracy V. Maitland
President and Chief Executive Officer of the Advent Claymore Convertible Securities and Income Fund
 
May 31, 2012
 

4 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT
 
 
 

 
 
   
QUESTIONS & ANSWERS 
April 30, 2012 
 
 
Advent Claymore Convertible Securities and Income Fund (the “Fund”) is managed by a team of seasoned professionals at Advent Capital Management, LLC, (“Advent” or the “Investment Adviser”), led by Tracy V. Maitland, Advent’s Founder, 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, 2012.
 
Please describe Fund’s objective and management strategies.
 
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 percentage of the Fund's assets invested in convertible securities and non-convertible income securities may vary from time to time, subject to the foregoing parameters and consistent with the Fund’s investment objective, due to changes in equity prices and changes in interest rates and other economic and market factors. The Fund expects to invest in non-investment-grade securities, including non-investment-grade convertible securities; indeed, from time to time, it is possible that all of the Fund’s assets may be invested in non-investment-grade securities. During periods of very high market volatility, the Fund may not be invested at these levels.
 
Investing in below investment grade securities may increase the level of risk in the portfolio, as these securities are issued by companies that are considered less financially strong than issuers of investment-grade securities. This risk is addressed through rigorous credit research. Each issuer’s financial statements are carefully scrutinized, and every effort is made to avoid securities of weaker companies that may be likely to default.
 
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 offer 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 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 convertibles’ yield advantage and bond-like characteristics have 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.
 
In November 2011, the Fund’s Trustees approved a change to eliminate a previous guideline that the Fund may invest up to 25% of its Managed Assets in securities of foreign issuers. As a result, the Fund may, but is not required to, invest above 25% of its Managed Assets in foreign securities. This change took effect February 28, 2012.
 
Please discuss the economic and market environment over the first half of the fiscal year.
 
The U.S. economy finally seems to be in a sustainable recovery, as evidenced by improvement in non-farm payrolls, falling unemployment rates and a reduction in consumers’ debt service obligations as a percentage of income. A better employment environment has contributed to improved consumer sentiment and positive trends in retail sales. Industrial production has been showing year-to-year gains, and there have even been some signs of acceleration in housing starts, which marks the first sustained good news in the housing market in several years. In late April 2012, the Department of Commerce reported real growth in gross domestic product (GDP) at an annual rate of 2.2% for the first quarter of 2012, and that followed an even stronger growth rate of 3.0% in the fourth quarter of 2011. Some near-term caution is warranted, as recent economic news has been somewhat less positive, indicating a lack of upside potential to published expectations for growth in 2012. The consensus among business economists seems to be that real growth for the full year 2012 will be in the range of 2.5% and 3.0%.
 
News from international markets has included positive developments. Many of the concerns about sovereign debt of European nations that gripped investors in the summer of 2011 seemed to dissipate early in 2012 as European nations agreed on a plan to disburse further funds to Greece,
 

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 5
 
 
 

 

 
   
QUESTIONS & ANSWERS continued 
April 30, 2012 
 
 
and the European central bank agreed to provide longer-term loans to banks to reduce the potential of a liquidity squeeze and a market panic. Recent political turmoil in Greece may also dissipate. Central banks of several key emerging markets, including China and Brazil, reversed earlier moves to tighten monetary policy to combat inflation by taking easing measures in recent months. These changes have positive implications for demand for exports from developed nations.
 
Most U.S. market indices, both equity and fixed-income, posted strong returns for the six-month period ended April 30, 2012. The S&P 500 Index, which is generally regarded as a good indicator of the return from larger-capitalization U.S. stocks, returned 12.77% for this six-month period. Most international markets had positive returns, but were not nearly as strong as the U.S. market. Return of the Morgan Stanley Capital International Europe-Australasia-Far East Index (the “MSCI EAFE”) Index, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, was 2.69% for the six months ended April 30, 2012.
 
Return of the Merrill Lynch All U.S. Convertibles Index was 6.52%, and return of the Merrill Lynch Global 300 Convertibles Index was 5.21% for the six months ended April 30, 2012. In 2011, convertible securities underperformed most other asset classes, largely because the equity securities underlying the convertible issues did not generally perform as well as larger-capitalization stocks. Performance of convertibles began to improve in December 2011, and convertibles continued to perform well through the first quarter of 2012, as both credit and equity markets advanced.
 
Most bond investments also delivered positive returns during the six months ended April 30, 2012. Return of the Barclays U.S. Aggregate Bond Index (the “Barclays Aggregate”), which measures return of the U.S. investment-grade and government bond market as a whole, was 2.44% for the six months ended April 30, 2012. Return of the Merrill Lynch High Yield Master II Index, which measures performance of the U.S. high-yield bond market, was 6.45% for the same period.
 
How did the Fund perform in this environment?
 
For the six-month period ended April 30, 2012, the Fund generated a total return based on market price of 5.04% and a return of 3.73% based on net asset value (“NAV”). As of April 30, 2012, the Fund’s market price of $15.86 represented a discount of 8.64% to NAV of $17.36. As of October 31, 2011, the Fund’s market price of $15.87 represented a discount of 9.42% to NAV of $17.52. All Fund returns cited—whether based on NAV or market price—assume the reinvestment of all distributions.
 
The market price of the Fund’s shares fluctuates from time to time and it may be higher or lower than the Fund’s NAV.
 
Please discuss the Fund’s distributions.
 
In each month from November 2011 through April 2012, the Fund paid a monthly distribution of $0.0939 per common share. In addition, the Fund paid a supplemental distribution of $0.221 per common share on December 31, 2011. The current monthly distribution represents an annualized distribution rate of 7.10% based upon the last closing market price of $15.86 as of April 30, 2012. There is no guarantee of any future distributions or that the current returns and distribution rate will be maintained.
 
How was the Fund’s portfolio allocated among asset classes and geographically during the six months ended April 30, 2012?
 
Changes in the asset mix during the six months ended April 30, 2012, reflected ongoing actions to reduce the Fund’s risk profile. At the end of the prior fiscal year, October 31, 2011, convertible bonds represented 44.8% of total investments, and convertible preferred stocks represented 24.7%, so that the total exposure to convertibles was 69.5%. Corporate bonds represented 26.0%, equities 3.6%, and other investments 0.9%. These allocations were adjusted as stronger capital markets provided opportunities to reduce risk.
 
As of April 30, 2012, convertible securities had been reduced to 60.9% of the Fund’s portfolio, with the vast majority of the convertible investment in bonds, which were increased to 57.0% of total investments. Convertible preferred stocks represented only 3.8% of total investments. Corporate bonds were increased to 31.4%, while equities decreased to 2.6%, and other investments were 5.1%.
 
The major change over the last six months was a reduction in the portion of the portfolio invested in convertible preferred shares. The reason is that convertible preferreds tend to exhibit less of the asymmetry that is a desirable feature of convertible securities than convertible bonds. The asymmetry means that the securities capture much of the upside if the underlying stocks go up but do not go down as much as equities in a falling market. The purpose of this shift was to reduce risk. In order to maintain the same level of income, most of the allocation to convertible preferreds was replaced with convertible bonds and high-yielding straight debt.
 
Also, the Fund’s global allocation was increased in order to take advantage of opportunities to invest in attractive securities of companies headquartered outside North America. As of April 30, 2012, 83.6% of the Fund’s investments were in North America, 11.9% in Europe, with the remaining 4.5% in other parts of the world. Six months earlier, 93.4% of the Fund’s investments were in North America, 5.7% in Europe, with the remaining 0.9% elsewhere.
 

6 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT
 
 
 

 
 
   
QUESTIONS & ANSWERS continued 
April 30, 2012 
 
 
What were the major securities holdings that affected the Fund’s performance?
 
Among the top performing holdings were Gilead Sciences, Inc., a research-based biopharmaceutical company (1.9% of long-term investments at period end); Cable & Wireless Worldwide PLC, a global telecommunications company headquartered in London (1.0% of long-term investments at period end); Illumina, Inc., a U.S.-based biotechnology research systems company (1.9% of long-term investments at period end); and MGM Resorts International, a hospitality and gaming company (convertible bonds 1.2%, non-convertible bonds 0.2% of long-term investments at period end).
 
In 2011 Gilead acquired Pharmasset, Inc., a clinical-stage pharmaceutical company that had interesting vaccines for Hepatitis C. Gilead stock was penalized at the time because investors felt that Gilead had paid too much for Pharmasset. Early in 2012, Gilead stock rose on positive news about one of Pharmasset’s new drugs; the stock subsequently corrected on negative news. The Fund was able to benefit from moving in and out of Gilead bonds, as the stock was quite volatile over this period.
 
Cable & Wireless Worldwide PLC is a company that is more than 100 years old; they laid the first transatlantic cable. The company split itself into two pieces last year; the Fund’s holdings are in the portion that holds mainly broadband assets in the U.K. The company experienced some operating problems in 2011, mainly because of government austerity measures in the U.K. The Investment Adviser felt that Cable & Wireless was a potential acquisition candidate, however, and the company subsequently agreed to be acquired by Vodafone Group PLC. But the outcome of this deal remains uncertain in the face of shareholder objections and other potential impediments.
 
Illumina makes gene sequencing technology systems that are sold to universities and pharmaceutical companies as they research ways to use DNA to create new drugs. The stock performed very well in 2011, as it had one of the highest growth rates in the industry. In January 2012, after the stock dropped, the company was approached with an offer by Roche Holding AG, a Swiss pharmaceutical company. Convertible bonds often feature a change of control put that allows investors to sell the convertibles at par to the acquiring company in the event of a change of control. A portion of the Fund’s position in Illumina was sold after the bonds rebounded to a price near par after the Roche bid was announced. Then, a little later after Illumina shareholders rejected Roche’s offer, the bonds traded down and the Fund again purchased them.
 
MGM is a levered company that felt market pressure in 2011, with weakness in both the equity and the bonds. Part of the attraction of MGM was that they were making plans for an initial public offering of their Macau property, which would result in improved liquidity for the parent company. The Fund was able to buy MGM bonds at a discount, and then the position was reduced when the bonds rose to about 110% of par value.
 
The stock has recently pulled back on concerns about consumer spending and growth in the company’s Asian markets, creating a new buying opportunity for the Fund.
 
Among the positions that detracted from performance were auto manufacturer General Motors Company (1.3% of long-term investments at period end); a mandatory convertible preferred of Citigroup, Inc., a diversified financial services company (0.2% of long-term investments at period end); and convertible bonds of Goldcorp, Inc., a gold mining company based in Canada (1.6% of long-term investments at period end).
 
General Motors has been hurt by overall macro trends, including high gasoline prices. There is also concern about the need to restructure their European business, since it is very difficult to close plants in Europe. The company also has a huge unfunded pension liability. On the positive side, the aging of the U.S. car population should support demand for GM’s products.
 
Citigroup experienced no dramatic event other than general weakness in financial stocks. The company’s return on equity continues to be challenged by a combination of the need to reduce leverage and competitive pressures that are keeping fees low for many of their businesses.
 
Goldcorp stock performed poorly, as did most commodity stocks when commodity prices moved lower; additionally Goldcorp reported disappointing earnings. A modest rise in interest rates and strength in the dollar put pressure on the price of gold, which of course offers investors no interest income.
 
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 not leveraged. The Fund currently implements its leverage strategy through Auction Market Preferred Shares (“AMPSSM”) which are floating rate securities. During the period the Fund entered into certain transactions in an effort to lock in these low rates. As interest rates fell further, the Fund experienced a loss on these transactions and exited the position. See Note 6(e) Summary of Derivatives Information on page 33 of the Notes to Financial Statements. The Fund’s leverage outstanding as of April 30, 2012, was $262 million, approximately 39% of the Fund’s total managed assets. Since the Fund’s portfolio returned more than the cost of the AMPS during this period, leverage contributed to the performance of the common shares.
 
The Investment Adviser continually evaluates the effectiveness of the Fund’s leverage program and explores possible new ways to utilize 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
 

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QUESTIONS & ANSWERS continued 
April 30, 2012 
 
 
common shares to be more volatile. Leverage adds value only when the return on securities purchased exceeds the cost of leverage.
 
What is the current outlook for the markets and the Fund?
 
Advent is cautiously optimistic about the direction of the economy and securities markets and continues to see opportunities in convertible securities and high-yield bonds. A valuable feature of convertible securities is the asymmetry they offer investors, meaning that the securities capture much of the upside if the underlying stocks go up but do not go down as much as equities in a falling market.
 
In an atmosphere of considerable uncertainly, the Investment Adviser has taken action to create more cushion against the possibility of a down market than in the past. This was accomplished by having a greater portion of the Fund invested in straight fixed income corporate bonds and, in the convertible portion, by favoring convertible bonds while reducing the exposure to convertible preferreds, which have the highest volatility among convertible issues.
 
A distinguishing feature of this Fund is its solid emphasis on convertible securities. While there are many funds that are designated as convertible securities funds, most competing funds place more emphasis on high yield bonds. Advent believes that this Fund offers the dual advantages of yield from convertible securities and equity participation. As world equity markets rise, the equity sensitivity of a portfolio of convertible securities increases. When the equity markets are weak, convertibles’ declining sensitivity and interest income mitigate the downside risk.
 
Advent believes that, over the long term, careful security selection and asset allocation will help the Fund’s performance by providing favorable returns in rising markets and muted exposure to equity price declines during weak markets.
 
Index Definitions
 
Indices are unmanaged and it is not possible to invest directly in any index.
 
S&P 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
 
The MSCI EAFE Index is a free float-adjusted market capitalization weighted index designed to reflect the movements of stock markets in developed countries of Europe and the Pacific Basin. The index is calculated in U.S. dollars and is constructed to represent about 60% of market capitalization in each country.
 
The Barclays Capital U.S. 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 Treasury, government-related, corporate, mortgage-backed securities (agency fixed-rate and hybrid ARM passthroughs), asset-backed securities and collateralized mortgage-backed securities sectors.
 
The Merrill Lynch All U.S. Convertibles Index is comprised of approximately 500 issues of convertible bonds and preferred stock of all qualities.
 
The Merrill Lynch Global 300 Convertibles Index measures performance of the global market for convertible securities.
 
Merrill Lynch High Yield Master II Index is a commonly used benchmark index for high yield corporate bonds.
 
AVK Risks and Other Considerations
 
The views expressed in this report reflect those of the Portfolio Managers 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
 

8 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT
 
 
 

 
 
   
QUESTIONS & ANSWERS continued 
April 30, 2012 
 
 
component falls below the exercise price of the warrant or option, the warrant or option may lose all value.
 
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. The Fund’s investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Fund’s net asset value or dividends.
 
Equity Securities Risk. Equity risk is the risk that securities held by the Fund will fall due to general market or economic conditions, perceptions regarding the industries in which the issuers of securities held by the Fund participate, and the particular circumstances and performance of particular companies whose securities the Fund holds.
 
Preferred Securities Risks. There are special risks associated with investing in preferred securities, including risks related to deferral, noncumulative dividends, subordination, liquidity, limited voting rights and special redemption rights.
 
Smaller Company Risk. The general risks associated with corporate income-producing and equity securities are particularly pronounced for securities issued by companies with smaller market capitalizations. These companies may have limited product lines, markets or financial resources, or they may depend on a few key employees. As a result, they may be subject to greater levels of credit, market and issuer risk. Securities of smaller companies may trade less frequently and in lesser volume than more widely held securities and their values may fluctuate more sharply than other securities. Companies with medium-sized market capitalizations may have risks similar to those of smaller companies.
 
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 nonconvertible income securities are subject to certain risks, including:
 
• if interest rates go up, the value of convertible securities and noncon-vertible 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. (4) less uniformity in accounting and reporting requirements (5) unreliable securities valuation and (6) custody risk.
 
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. The AMPS are redeemable, in whole or in part, at the option of the Fund on any dividend payment date for AMPS, and are subject to mandatory redemption in certain circumstances. The AMPS are not 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, Derivatives Risk, Foreign Currency Risk, and Anti-Takeover Provisions. Please see www.guggenheimfunds.com/avk for a more detailed discussion about Fund risks and considerations.
 
 

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 9
 
 
 

 
 

   
FUND SUMMARY (Unaudited) 
April 30, 2012 
 
     
Fund Statistics 
   
Share Price 
 
$15.86 
Common Share Net Asset Value 
 
$17.36 
Premium/Discount to NAV 
 
-8.64% 
Net Assets Applicable to Common Shares ($000) 
$409,263 
     
Total Returns 
   
(Inception 4/30/03) 
Market 
NAV 
Six Month 
5.04% 
3.73% 
One Year 
-10.11% 
-9.62% 
Three Year - average annual 
21.20% 
19.08% 
Five Year - average annual 
-2.17% 
-1.14% 
Since Inception - average annual 
4.34% 
5.34% 
     
   
% of Long-Term 
Top Ten Industries 
 
Investments 
Telecommunications 
 
7.2% 
Biotechnology 
 
7.1% 
Oil & Gas 
 
6.8% 
Semiconductors 
 
6.0% 
Pharmaceuticals 
 
5.5% 
Mining 
 
5.1% 
Computers 
 
4.4% 
Coal 
 
4.0% 
Auto Manufacturers 
 
4.0% 
Real Estate Investment Trusts 
 
3.2% 
     
   
% of Long-Term 
Top Ten Issuers 
 
Investments 
Amgen, Inc. 
 
3.0% 
Alcatel-Lucent 
 
2.8% 
L-3 Communications Holdings, Inc. 
 
2.5% 
Electronic Arts, Inc. 
 
1.9% 
Gilead Sciences, Inc. 
 
1.9% 
Alpha Appalachia Holdings, Inc. 
 
1.9% 
Omnicare, Inc. 
 
1.9% 
Illumina, Inc. 
 
1.9% 
SanDisk Corp. 
 
1.6% 
Goldcorp, Inc. 
 
1.6% 
 
Past performance does not guarantee future results. All portfolio data is subject to change daily. For more current information, please visit www.guggenheim-funds.com/avk. The above summaries are provided for informational purposes only and should not be viewed as recommendations.
 
 
 
 

10 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT
 
 
 

 
 

   
PORTFOLIO OF INVESTMENTS (Unaudited) 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Long-Term Investments – 159.0% 
         
   
Convertible Bonds – 95.1% 
         
   
Aerospace & Defense – 4.4% 
         
2,000,000 
 
AAR Corp. 
B+ 
1.63% 
03/01/2014 
N/A 
$  1,897,500 
16,150,000 
 
L-3 Communications Holdings, Inc. 
BB+ 
3.00% 
08/01/2035 
N/A 
15,948,125 
             
17,845,625 
   
Agriculture – 0.4% 
         
1,300,000 
 
Wilmar International Ltd., Series WIL (Singapore)(a) 
NR 
0.00% 
12/18/2012 
N/A 
1,545,050 
   
Apparel – 0.9% 
         
3,750,000 
 
Iconix Brand Group, Inc.(b) 
NR 
2.50% 
06/01/2016 
N/A 
3,525,000 
   
Auto Manufacturers – 1.5% 
         
5,900,000 
 
Navistar International Corp. 
B
3.00% 
10/15/2014 
N/A 
6,113,875 
   
Biotechnology – 11.2% 
         
19,000,000 
 
Amgen, Inc., Series B 
A+ 
0.38% 
02/01/2013 
N/A 
19,617,500 
1,777,000 
 
Dendreon Corp. 
NR 
2.88% 
01/15/2016 
N/A 
1,434,927 
9,880,000 
 
Gilead Sciences, Inc. 
A– 
1.00% 
05/01/2014 
N/A 
12,547,600 
13,445,000 
 
Illumina, Inc.(b) 
NR 
0.25% 
03/15/2016 
N/A 
12,352,594 
             
45,952,621 
   
Coal – 3.4% 
         
13,516,000 
 
Alpha Appalachia Holdings, Inc. 
BB– 
3.25% 
08/01/2015 
N/A 
12,434,720 
1,545,000 
 
Patriot Coal Corp. 
NR 
3.25% 
05/31/2013 
N/A 
1,452,300 
             
13,887,020 
   
Computers – 5.5% 
         
1,705,000 
 
EMC Corp., Series B 
A– 
1.75% 
12/01/2013 
N/A 
3,039,163 
EUR 4,508,000 
 
Ingenico, Series ING (France) 
NR 
2.75% 
01/01/2017 
N/A 
2,880,411 
4,500,000 
 
Netapp, Inc. 
NR 
1.75% 
06/01/2013 
N/A 
5,844,375 
10,298,000 
 
SanDisk Corp. 
BB 
1.50% 
08/15/2017 
N/A 
10,722,792 
             
22,486,741 
   
Diversified Financial Services – 1.1% 
         
7,350,000 
 
QBE Funding Trust (Australia)(a) 
A
0.00% 
05/12/2030 
05/12/13 @ 100 
4,652,550 
   
Entertainment – 0.7% 
         
2,500,000 
 
International Game Technology 
BBB 
3.25% 
05/01/2014 
N/A 
2,765,625 
   
Environmental Control – 1.0% 
         
3,500,000 
 
Covanta Holding Corp. 
B+ 
3.25% 
06/01/2014 
N/A 
3,976,875 
   
Health Care Products – 2.4% 
         
10,387,000 
 
Hologic, Inc., Series 2012(c) (d) 
BB 
2.00% 
03/01/2042 
03/06/18 @ 100 
9,867,650 
   
Health Care Services – 2.3% 
         
4,640,000 
 
LifePoint Hospitals, Inc. 
B
3.50% 
05/15/2014 
N/A 
4,843,000 
4,025,000 
 
Molina Healthcare, Inc., Series MOH 
NR 
3.75% 
10/01/2014 
N/A 
4,548,250 
             
9,391,250 
   
Insurance – 1.7% 
         
EUR 632,500 
 
AXA SA, Series CS (France) 
BBB+ 
3.75% 
01/01/2017 
N/A 
2,046,929 
4,760,000 
 
Old Republic International Corp. 
BBB+ 
8.00% 
05/15/2012 
N/A 
4,789,750 
             
6,836,679 
 
 
See notes to financial statements.
 
 

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 11

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) continued 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Internet – 3.7% 
         
3,963,000 
 
Digital River, Inc. 
NR 
2.00% 
11/01/2030 
11/01/15 @ 100 
$ 3,794,572 
1,340,000 
 
TIBCO Software, Inc.(b) 
NR 
2.25% 
05/01/2032 
05/05/17 @ 100 
1,366,800 
11,300,000 
 
WebMD Health Corp. 
NR 
2.50% 
01/31/2018 
N/A 
9,816,875 
             
14,978,247 
   
Investment Companies – 2.0% 
         
5,898,000 
 
Ares Capital Corp.(b) 
BBB 
4.88% 
03/15/2017 
N/A 
5,809,530 
2,400,000 
 
Billion Express Investments Ltd. (China) 
NR 
0.75% 
10/18/2015 
N/A 
2,600,400 
             
8,409,930 
   
Iron & Steel – 0.6% 
         
2,500,000 
 
ArcelorMittal (Luxembourg) 
BBB– 
5.00% 
05/15/2014 
N/A 
2,650,000 
   
Lodging – 1.9% 
         
7,368,000 
 
MGM Resorts International 
B– 
4.25% 
04/15/2015 
N/A 
7,819,290 
   
Mining – 5.2% 
         
1,000,000 
 
African Minerals Ltd. (Bermuda) 
NR 
8.50% 
02/10/2017 
02/24/15 @ 110 
1,135,900 
5,800,000 
 
AngloGold Ashanti Holdings Finance PLC (South Africa)(b) 
NR 
3.50% 
05/22/2014 
N/A 
6,198,750 
9,100,000 
 
Goldcorp, Inc. (Canada) 
BBB+ 
2.00% 
08/01/2014 
N/A 
10,499,125 
2,800,000 
 
Newmont Mining Corp., Series A 
BBB+ 
1.25% 
07/15/2014 
N/A 
3,440,500 
             
21,274,275 
   
Miscellaneous Manufacturing – 1.0% 
         
3,975,000 
 
Trinity Industries, Inc. 
BB– 
3.88% 
06/01/2036 
06/01/18 @ 100 
4,203,563 
   
Oil & Gas – 5.5% 
         
5,835,000 
 
Chesapeake Energy Corp. 
BB 
2.50% 
05/15/2037 
05/15/17 @ 100 
5,091,038 
4,300,000 
 
Goodrich Petroleum Corp. 
CCC+ 
5.00% 
10/01/2029 
10/01/14 @ 100 
4,171,000 
7,300,000 
 
Lukoil International Finance BV (Russia) 
BBB– 
2.63% 
06/16/2015 
N/A 
7,840,200 
5,598,000 
 
Stone Energy Corp.(b) 
NR 
1.75% 
03/01/2017 
N/A 
5,416,065 
             
22,518,303 
   
Oil & Gas Services – 2.9% 
         
525,000 
 
Helix Energy Solutions Group, Inc. 
NR 
3.25% 
03/15/2032 
03/20/18 @ 100 
601,781 
5,000,000 
 
Subsea 7 SA, Series ACY (Luxembourg) 
NR 
2.25% 
10/11/2013 
N/A 
6,130,000 
EUR 4,126,000 
 
Technip SA, Series TEC (France) 
BBB+ 
0.50% 
01/01/2016 
N/A 
5,359,605 
             
12,091,386 
   
Packaging & Containers – 2.3% 
         
9,650,000 
 
Owens-Brockway Glass Container, Inc.(b) 
BB 
3.00% 
06/01/2015 
N/A 
9,469,062 
   
Pharmaceuticals – 7.7% 
         
2,700,000 
 
ENDO Pharmaceuticals Holdings, Inc. 
NR 
1.75% 
04/15/2015 
N/A 
3,570,750 
2,500,000 
 
Isis Pharmaceuticals, Inc. 
NR 
2.63% 
02/15/2027 
02/15/13 @ 100 
2,421,875 
12,918,000 
 
Omnicare, Inc., Series OCR 
B+ 
3.25% 
12/15/2035 
12/15/15 @ 100 
12,401,280 
1,950,000 
 
Onyx Pharmaceuticals, Inc. 
NR 
4.00% 
08/15/2016 
N/A 
2,695,875 
5,450,000 
 
Salix Pharmaceuticals Ltd.(b) 
NR 
1.50% 
03/15/2019 
N/A 
5,565,812 
4,000,000 
 
Shire PLC, Series SHP (Channel Islands) 
NR 
2.75% 
05/09/2014 
N/A 
4,724,000 
             
31,379,592 
   
Real Estate – 0.6% 
         
2,435,000 
 
Forest City Enterprises, Inc.(b) 
B– 
4.25% 
08/15/2018 
N/A 
2,517,181 
 
 
See notes to financial statements.
 

12 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) continued 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Real Estate Investment Trusts – 4.8% 
         
2,100,000 
 
Annaly Capital Management, Inc. 
NR 
4.00% 
02/15/2015 
N/A 
$ 2,509,500 
7,600,000 
 
Health Care REIT, Inc. 
BBB– 
3.00% 
12/01/2029 
12/01/14 @ 100 
8,806,500 
1,300,000 
 
Host Hotels & Resorts, LP(b) 
BB+ 
2.50% 
10/15/2029 
10/20/15 @ 100 
1,758,250 
5,500,000 
 
SL Green Operating Partnership, LP(b) 
BB+ 
3.00% 
10/15/2017 
N/A 
6,455,625 
             
19,529,875 
   
Retail – 2.3% 
         
9,902,000 
 
RadioShack Corp.(b) 
B2 
2.50% 
08/01/2013 
N/A 
9,419,278 
   
Semiconductors – 9.5% 
         
9,739,000 
 
Advanced Micro Devices, Inc. 
BB– 
6.00% 
05/01/2015 
N/A 
10,079,865 
6,550,000 
 
Lam Research Corp.(b) 
BBB– 
0.50% 
05/15/2016 
N/A 
6,525,437 
6,264,000 
 
Linear Technology Corp., Series A 
NR 
3.00% 
05/01/2027 
05/01/14 @ 100 
6,608,520 
7,738,000 
 
Micron Technology, Inc., Series A(b) 
NR 
1.50% 
08/01/2031 
08/05/15 @ 100 
7,128,633 
624,000 
 
Micron Technology, Inc., Series C(b) 
BB– 
2.38% 
05/01/2032 
05/04/19 @ 100 
599,820 
5,500,000 
 
ON Semiconductor Corp. 
BB 
2.63% 
12/15/2026 
12/20/13 @ 100 
5,960,625 
2,000,000 
 
Photronics, Inc.(b) 
NR 
3.25% 
04/01/2016 
N/A 
1,985,000 
             
38,887,900 
   
Software – 3.1% 
         
13,700,000 
 
Electronic Arts, Inc.(b) 
NR 
0.75% 
07/15/2016 
N/A 
12,672,500 
   
Telecommunications – 5.5% 
         
9,325,000 
 
Alcatel-Lucent USA, Inc., Series B (France) 
B
2.88% 
06/15/2025 
06/20/13 @ 100 
9,255,063 
GBP 3,900,000 
 
Cable & Wireless Worldwide PLC (United Kingdom) 
NR 
5.75% 
11/24/2014 
N/A 
6,728,833 
5,000,000 
 
Ciena Corp.(b) 
NR 
4.00% 
03/15/2015 
N/A 
5,462,500 
700,000 
 
SBA Communications Corp. 
NR 
1.88% 
05/01/2013 
N/A 
922,250 
             
22,368,646 
   
Total Convertible Bonds – 95.1% 
         
   
(Cost $376,497,403) 
       
389,035,589 
   
Corporate Bonds – 52.4% 
         
   
Advertising – 1.0% 
         
3,850,000 
 
Lamar Media Corp. 
BB– 
7.88% 
04/15/2018 
04/15/14 @ 104 
4,230,187 
   
Agriculture – 0.2% 
         
750,000 
 
North Atlantic Trading Co.(b) 
B2 
11.50% 
07/15/2016 
07/15/13 @ 109 
765,937 
   
Auto Manufacturers – 2.7% 
         
500,000 
 
DaimlerChrysler Group, LLC/CG Co.-Issuer, Inc. 
B
8.25% 
06/15/2021 
06/15/16 @ 104 
520,000 
35,000 
 
Ford Motor Co. 
BB+ 
6.50% 
08/01/2018 
N/A 
39,550 
610,000 
 
Ford Motor Co. 
BB+ 
7.13% 
11/15/2025 
N/A 
677,100 
1,679,000 
 
Ford Motor Co. 
BB+ 
6.63% 
02/15/2028 
N/A 
1,911,713 
6,024,000 
 
Ford Motor Co. 
BB+ 
6.63% 
10/01/2028 
N/A 
6,879,366 
523,000 
 
Ford Motor Co. 
BB+ 
6.38% 
02/01/2029 
N/A 
583,813 
250,000 
 
Jaguar Land Rover PLC (United Kingdom)(b) 
B+ 
7.75% 
05/15/2018 
05/15/14 @ 106 
261,875 
250,000 
 
Jaguar Land Rover PLC (United Kingdom)(b) 
B+ 
8.13% 
05/15/2021 
05/15/16 @ 104 
262,500 
             
11,135,917 
   
Auto Parts & Equipment – 2.4% 
         
500,000 
 
Cooper Tire & Rubber Co. 
BB– 
8.00% 
12/15/2019 
N/A 
543,750 
2,250,000 
 
Dana Holding Corp. 
BB 
6.50% 
02/15/2019 
02/15/15 @ 103 
2,407,500 
1,650,000 
 
Dana Holding Corp. 
BB 
6.75% 
02/15/2021 
02/15/16 @ 103 
1,784,063 
 
 
See notes to financial statements.
 

 AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 13

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Auto Parts & Equipment continued 
         
1,120,000 
 
Goodyear Tire & Rubber Co. 
B+ 
8.25% 
08/15/2020 
08/15/15 @ 104 
$ 1,190,000 
3,300,000 
 
Lear Corp. 
BB 
7.88% 
03/15/2018 
03/15/14 @ 104 
3,630,000 
500,000 
 
Pittsburgh Glass Works, LLC(b) 
B+ 
8.50% 
04/15/2016 
04/15/13 @ 104 
495,000 
             
10,050,313 
   
Banks – 0.7% 
         
1,750,000 
 
Ally Financial, Inc. 
B+ 
8.30% 
02/12/2015 
N/A 
1,925,000 
1,000,000 
 
Synovus Financial Corp. 
B– 
5.13% 
06/15/2017 
N/A 
935,000 
             
2,860,000 
   
Chemicals – 3.4% 
         
7,563,000 
 
CF Industries, Inc. 
BB+ 
6.88% 
05/01/2018 
N/A 
8,810,895 
1,000,000 
 
CF Industries, Inc. 
BB+ 
7.13% 
05/01/2020 
N/A 
1,197,500 
1,000,000 
 
Chevron Phillips Chemical Co., LLC/LP(b) 
BBB 
4.75% 
02/01/2021 
11/01/20 @ 100 
1,126,306 
EUR 650,000 
 
Ineos Group Holdings Ltd. (United Kingdom)(b) 
CCC+ 
7.88% 
02/15/2016 
02/15/13 @ 101 
795,784 
EUR 600,000 
 
Ineos Group Holdings Ltd., Series REGS (United Kingdom) 
CCC+ 
7.88% 
02/15/2016 
02/15/13 @ 101 
734,570 
1,375,000 
 
Vertellus Specialties, Inc.(b) 
B– 
9.38% 
10/01/2015 
04/01/13 @ 105 
1,182,500 
             
13,847,555 
   
Coal – 3.0% 
         
1,575,000 
 
Alpha Natural Resources, Inc. 
BB 
6.25% 
06/01/2021 
06/01/16 @ 103 
1,476,562 
8,318,000 
 
Peabody Energy Corp.(b) 
BB+ 
6.00% 
11/15/2018 
N/A 
8,484,360 
1,250,000 
 
Peabody Energy Corp. 
BB+ 
6.50% 
09/15/2020 
N/A 
1,290,625 
100,000 
 
Peabody Energy Corp.(b) 
BB+ 
6.25% 
11/15/2021 
N/A 
101,750 
751,000 
 
SunCoke Energy, Inc. 
B+ 
7.63% 
08/01/2019 
08/01/14 @ 106 
769,775 
             
12,123,072 
   
Commercial Services – 0.6% 
         
1,000,000 
 
Avis Budget Car Rental, LLC 
B
8.25% 
01/15/2019 
10/15/14 @ 104 
1,052,500 
1,000,000 
 
Emergency Medical Services Corp. 
B– 
8.13% 
06/01/2019 
06/01/14 @ 106 
1,030,000 
500,000 
 
Neff Rental, LLC(b) 
B– 
9.63% 
05/15/2016 
05/15/13 @ 107 
500,000 
             
2,582,500 
   
Computers – 1.5% 
         
5,493,000 
 
Seagate HDD Cayman (Ireland) 
BB+ 
7.75% 
12/15/2018 
12/15/14 @ 104 
6,083,498 
   
Distribution & Wholesale – 0.3% 
         
1,250,000 
 
Marfrig Overseas Ltd. (Brazil)(b) 
B+ 
9.50% 
05/04/2020 
05/04/15 @ 105 
1,096,875 
   
Diversified Financial Services – 1.5% 
         
570,000 
 
Air Lease Corp.(b) 
NR 
5.63% 
04/01/2017 
N/A 
558,600 
500,000 
 
Ford Motor Credit Co., LLC 
BB+ 
12.00% 
05/15/2015 
N/A 
633,750 
1,500,000 
 
International Lease Finance Corp. 
BBB– 
8.25% 
12/15/2020 
N/A 
1,683,750 
GBP 1,940,000 
 
Thames Water Kemble Finance PLC, Series EMTN (United Kingdom) 
B1 
7.75% 
04/01/2019 
N/A 
3,229,028 
             
6,105,128 
   
Electric – 0.4% 
         
250,000 
 
AES Corp. 
BB– 
8.00% 
06/01/2020 
N/A 
288,750 
750,000 
 
AES Corp.(b) 
BB– 
7.38% 
07/01/2021 
N/A 
838,125 
750,000 
 
Texas Competitive Electric Holdings Co., LLC(b) 
CCC 
11.50% 
10/01/2020 
04/01/16 @ 106 
468,750 
             
1,595,625 
 
 
See notes to financial statements.
 

 14 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) continued 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Entertainment – 0.2% 
         
650,000 
 
Mohegan Tribal Gaming Authority 
CCC 
6.13% 
02/15/2013 
N/A 
$   614,250 
200,000 
 
Production Resource Group, Inc.(b) 
B– 
8.88% 
05/01/2019 
05/01/14 @ 107 
165,500 
             
779,750 
   
Food – 1.1% 
         
1,000,000 
 
Bumble Bee Acquisition Corp.(b) 
B
9.00% 
12/15/2017 
12/15/14 @ 105 
1,022,500 
750,000 
 
Del Monte Corp. 
CCC+ 
7.63% 
02/15/2019 
02/15/14 @ 104 
761,250 
1,500,000 
 
Land O’Lakes Capital Trust I(b) 
BB 
7.45% 
03/15/2028 
N/A 
1,453,125 
250,000 
 
Minerva Luxembourg SA (Brazil)(b) 
B+ 
12.25% 
02/10/2022 
02/10/17 @ 106 
267,500 
EUR 750,000 
 
R&R Ice Cream PLC (United Kingdom)(b) 
B+ 
8.38% 
11/15/2017 
11/15/13 @ 106 
1,002,589 
             
4,506,964 
   
Forest Products & Paper – 0.5% 
         
1,254,000 
 
AbitibiBowater, Inc. 
BB– 
10.25% 
10/15/2018 
10/15/14 @ 105 
1,460,910 
575,000 
 
Verso Paper Holdings, LLC / Verso Paper, Inc.(b) 
BB– 
11.75% 
01/15/2019 
01/15/15 @ 109 
618,844 
             
2,079,754 
   
Hand & Machine Tools – 0.0%+ 
         
70,000 
 
Mcron Finance Sub, LLC / Mcron Finance Corp.(b) 
B+ 
8.38% 
05/15/2019 
05/15/15 @ 106 
71,925 
   
Health Care Products – 0.7% 
         
1,550,000 
 
DJO Finance, LLC / DJO Finance Corp. 
CCC+ 
9.75% 
10/15/2017 
10/15/13 @ 107 
1,158,625 
650,000 
 
Kinetic Concepts, Inc. / KCI USA, Inc.(b) 
CCC+ 
12.50% 
11/01/2019 
11/01/15 @ 106 
604,500 
1,500,000 
 
Rotech Healthcare, Inc. 
B
10.50% 
03/15/2018 
03/15/15 @ 105 
982,500 
             
2,745,625 
   
Health Care Services – 2.5% 
         
1,250,000 
 
Apria Healthcare Group, Inc. 
BB 
11.25% 
11/01/2014 
11/01/12 @ 103 
1,306,250 
1,750,000 
 
Capella Healthcare, Inc. 
B
9.25% 
07/01/2017 
07/01/13 @ 107 
1,780,625 
850,000 
 
Radiation Therapy Services, Inc.(b) 
B+ 
8.88% 
01/15/2017 
05/15/14 @ 104 
845,750 
650,000 
 
Radiation Therapy Services, Inc. 
CCC+ 
9.88% 
04/15/2017 
04/15/14 @ 105 
524,875 
1,300,000 
 
Select Medical Holdings Corp.(e) 
B– 
6.49% 
09/15/2015 
N/A 
1,238,250 
2,800,000 
 
Tenet Healthcare Corp. 
BB– 
8.88% 
07/01/2019 
07/01/14 @ 104 
3,153,500 
1,200,000 
 
Tenet Healthcare Corp. 
CCC+ 
8.00% 
08/01/2020 
08/01/15 @ 104 
1,254,000 
             
10,103,250 
   
Home Builders – 0.2% 
         
1,050,000 
 
Beazer Homes USA, Inc. 
CCC 
8.13% 
06/15/2016 
N/A 
960,750 
   
Household Products & Housewares – 1.9% 
         
4,700,000 
 
Reynolds Group Issuer, Inc.(b) 
B– 
9.25% 
05/15/2018 
05/15/14 @ 104 
4,770,500 
500,000 
 
Reynolds Group Issuer, Inc.(b) 
BB– 
7.13% 
04/15/2019 
10/15/14 @ 104 
525,000 
200,000 
 
Reynolds Group Issuer, Inc.(b) 
B– 
9.88% 
08/15/2019 
08/15/15 @ 105 
208,750 
150,000 
 
Spectrum Brands Holdings, Inc.(b) 
B
9.50% 
06/15/2018 
06/15/14 @ 105 
170,625 
1,000,000 
 
Spectrum Brands Holdings, Inc. 
B
9.50% 
06/15/2018 
06/15/14 @ 105 
1,137,500 
800,000 
 
Yankee Candle Co., Inc., Series B 
CCC+ 
9.75% 
02/15/2017 
02/15/13 @ 103 
840,000 
             
7,652,375 
   
Insurance – 0.7% 
         
1,000,000 
 
Liberty Mutual Group, Inc.(b) (e) 
BB 
10.75% 
06/15/2088 
06/15/38 @ 100 
1,370,000 
1,000,000 
 
MetLife, Inc. 
BBB 
10.75% 
08/01/2039 
08/01/34 @ 100 
1,395,000 
             
2,765,000 
   
Investment Companies – 0.1% 
         
500,000 
 
Offshore Group Investments Ltd. (Cayman Islands) 
B– 
11.50% 
08/01/2015 
02/01/13 @ 109 
549,375 
 
 
See notes to financial statements.
 
 

 AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 15

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Iron & Steel – 0.6% 
         
35,000 
 
AK Steel Corp. 
BB– 
8.38% 
04/01/2022 
04/01/17 @ 104 
$ 33,950 
825,000 
 
Algoma Acquisition Corp. (Canada)(b) 
CCC 
9.88% 
06/15/2015 
06/15/12 @ 102 
763,125 
750,000 
 
Edgen Murray Corp. 
B– 
12.25% 
01/15/2015 
01/15/13 @ 106 
802,500 
650,000 
 
Optima Specialty Steel, Inc.(b) 
B
12.50% 
12/15/2016 
12/15/14 @ 106 
679,250 
CAD 90,000 
 
Russel Metals, Inc. (Canada)(b) 
Ba1 
6.00% 
04/19/2022 
04/19/17 @ 103 
91,553 
             
2,370,378 
   
Leisure Time – 0.2% 
         
750,000 
 
Brunswick Corp. 
BB– 
7.13% 
08/01/2027 
N/A 
712,500 
   
Lodging – 1.3% 
         
1,000,000 
 
Caesars Entertainment Operating Co., Inc. 
CCC 
10.00% 
12/15/2018 
12/15/13 @ 105 
758,750 
900,000 
 
Caesars Entertainment Operating Co., Inc.(b) 
B
8.50% 
02/15/2020 
02/15/16 @ 104 
929,250 
1,000,000 
 
Marina District Finance Co., Inc. 
BB– 
9.88% 
08/15/2018 
08/15/14 @ 105 
965,000 
1,250,000 
 
MGM Resorts International 
B– 
7.63% 
01/15/2017 
N/A 
1,303,125 
1,153,250 
 
MTR Gaming Group, Inc. 
B– 
11.50% 
08/01/2019 
08/01/15 @ 106 
1,159,016 
380,000 
 
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp.(b) 
BBB– 
5.38% 
03/15/2022 
03/15/17 @ 103 
373,350 
             
5,488,491 
   
Machinery-Diversified – 0.4% 
         
1,500,000 
 
Case New Holland, Inc. 
BB+ 
7.88% 
12/01/2017 
N/A 
1,755,000 
   
Media – 3.9% 
         
1,500,000 
 
CCO Holdings, LLC 
BB– 
6.50% 
04/30/2021 
04/30/15 @ 105 
1,575,000 
188,000 
 
Clear Channel Worldwide Holdings, Inc.(b) 
B
7.63% 
03/15/2020 
03/15/15 @ 106 
183,770 
6,863,000 
 
Clear Channel Worldwide Holdings, Inc.(b) 
B
7.63% 
03/15/2020 
03/15/15 @ 106 
6,828,685 
1,000,000 
 
Gray Television, Inc. 
CCC+ 
10.50% 
06/29/2015 
11/01/12 @ 108 
1,055,000 
625,000 
 
Univision Communications, Inc.(b) 
CCC+ 
8.50% 
05/15/2021 
11/15/15 @ 104 
620,313 
5,100,000 
 
XM Satellite Radio, Inc.(b) 
BB 
7.63% 
11/01/2018 
11/01/14 @ 104 
5,584,500 
             
15,847,268 
   
Mining – 2.2% 
         
1,125,000 
 
FMG Resources August 2006 Pty Ltd. (Australia)(b) 
BB– 
6.88% 
02/01/2018 
02/01/14 @ 105 
1,161,563 
6,708,000 
 
FMG Resources August 2006 Pty Ltd. (Australia)(b) 
BB– 
8.25% 
11/01/2019 
11/01/15 @ 104 
7,294,950 
700,000 
 
FMG Resources August 2006 Pty Ltd. (Australia)(b) 
BB– 
6.88% 
04/01/2022 
04/01/17 @ 103 
712,250 
             
9,168,763 
   
Oil & Gas – 4.4% 
         
2,500,000 
 
Alta Mesa Holdings, LP/Alta Mesa Finance Services Corp. 
B
9.63% 
10/15/2018 
10/15/14 @ 105 
2,525,000 
1,100,000 
 
Bill Barrett Corp. 
BB– 
7.63% 
10/01/2019 
10/01/15 @ 104 
1,116,500 
380,000 
 
Bill Barrett Corp. 
BB– 
7.00% 
10/15/2022 
10/15/17 @ 104 
367,650 
500,000 
 
Carrizo Oil & Gas, Inc. 
B
8.63% 
10/15/2018 
10/15/14 @ 104 
532,500 
1,250,000 
 
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc.(b) 
BB 
6.63% 
11/15/2019 
11/15/15 @ 103 
1,181,250 
1,000,000 
 
Clayton Williams Energy, Inc. 
B
7.75% 
04/01/2019 
04/01/15 @ 104 
997,500 
1,250,000 
 
Energy XXI Gulf Coast, Inc. 
B
9.25% 
12/15/2017 
12/15/14 @ 105 
1,378,125 
715,000 
 
Hercules Offshore, Inc.(b) 
B+ 
7.13% 
04/01/2017 
04/01/14 @ 105 
715,894 
925,000 
 
Hercules Offshore, Inc.(b) 
B– 
10.25% 
04/01/2019 
04/01/15 @ 108 
922,687 
1,000,000 
 
OGX Austria GmbH (Austria)(b) 
B
8.38% 
04/01/2022 
04/01/17 @ 104 
1,022,500 
350,000 
 
Parker Drilling Co.(b) 
B1 
9.13% 
04/01/2018 
04/01/14 @ 105 
372,750 
725,000 
 
Plains Exploration & Production Co. 
BB– 
6.13% 
06/15/2019 
06/15/16 @ 103 
735,875 
500,000 
 
Plains Exploration & Production Co. 
BB– 
6.75% 
02/01/2022 
02/01/17 @ 103 
522,500 
 
 
See notes to financial statements.
 

 16 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) continued 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Oil & Gas (continued) 
         
500,000 
 
Range Resources Corp. 
BB 
8.00% 
05/15/2019 
05/15/14 @ 104 
$ 552,500 
180,000 
 
Range Resources Corp. 
BB 
5.00% 
08/15/2022 
02/15/17 @ 103 
179,775 
1,250,000 
 
Samson Investment Co.(b) 
B
9.75% 
02/15/2020 
02/15/16 @ 105 
1,306,250 
900,000 
 
SandRidge Energy, Inc.(b) 
B
8.13% 
10/15/2022 
04/15/17 @ 104 
934,875 
1,500,000 
 
Tesoro Corp. 
BB+ 
9.75% 
06/01/2019 
06/01/14 @ 105 
1,713,750 
250,000 
 
Unit Corp. 
BB– 
6.63% 
05/15/2021 
05/15/16 @ 103 
255,000 
500,000 
 
W&T Offshore, Inc. 
B
8.50% 
06/15/2019 
06/15/15 @ 104 
530,000 
             
17,862,881 
   
Oil & Gas Services – 1.1% 
         
500,000 
 
Forbes Energy Services Ltd. 
B
9.00% 
06/15/2019 
06/15/15 @ 105 
487,500 
650,000 
 
Green Field Energy Services, Inc.(b) 
CCC+ 
13.00% 
11/15/2016 
11/15/14 @ 110 
640,250 
1,500,000 
 
SESI, LLC 
BB+ 
6.38% 
05/01/2019 
05/01/15 @ 103 
1,567,500 
1,518,000 
 
Stallion Oilfield Holdings Ltd. 
B
10.50% 
02/15/2015 
02/15/13 @ 105 
1,635,645 
             
4,330,895 
   
Packaging & Containers – 0.0%+ 
         
125,000 
 
Sealed Air Corp.(b) 
BB 
8.38% 
09/15/2021 
09/15/16 @ 104 
142,500 
   
Pharmaceuticals – 1.1% 
         
EUR 2,000,000 
 
Capsugel FinanceCo SCA (Luxembourg)(b) 
B
9.88% 
08/01/2019 
08/01/14 @ 107 
2,931,662 
500,000 
 
ENDO Pharmaceuticals Holdings, Inc. 
BB– 
7.25% 
01/15/2022 
07/15/16 @ 104 
538,750 
1,000,000 
 
Valeant Pharmaceuticals International(b) 
BB– 
7.00% 
10/01/2020 
10/01/15 @ 104 
1,018,750 
             
4,489,162 
   
Pipelines – 0.4% 
         
500,000 
 
Crosstex Energy, LP 
B+ 
8.88% 
02/15/2018 
02/15/14 @ 104 
538,750 
750,000 
 
Eagle Rock Energy Partners, LP 
B– 
8.38% 
06/01/2019 
06/01/15 @ 104 
780,000 
175,000 
 
Everest Acquisition, LLC / Everest Acquisition Finance, Inc.(b) 
B2 
9.38% 
05/01/2020 
05/01/16 @ 105 
186,594 
             
1,505,344 
   
Real Estate – 0.2% 
         
750,000 
 
Kennedy-Wilson, Inc. 
BB– 
8.75% 
04/01/2019 
04/01/15 @ 104 
785,625 
   
Real Estate Investment Trusts – 0.3% 
         
570,000 
 
OMEGA Healthcare Investors, Inc.(b) 
BBB– 
5.88% 
03/15/2024 
03/15/17 @ 103 
561,450 
750,000 
 
Rouse Co., LP 
BB+ 
6.75% 
11/09/2015 
05/09/13 @ 103 
797,813 
             
1,359,263 
   
Retail – 2.3% 
         
300,000 
 
Bon-Ton Department Stores, Inc. 
CCC+ 
10.25% 
03/15/2014 
N/A 
248,250 
1,250,000 
 
Burlington Coat Factory Warehouse Corp. 
Caa1 
10.00% 
02/15/2019 
02/15/15 @ 105 
1,343,750 
1,000,000 
 
Dave & Buster’s, Inc. 
CCC+ 
11.00% 
06/01/2018 
06/01/14 @ 106 
1,085,000 
1,000,000 
 
Fiesta Restaurant Group(b) 
B
8.88% 
08/15/2016 
02/15/14 @ 104 
1,060,000 
1,500,000 
 
HOA Restaurant Group, LLC(b) 
B
11.25% 
04/01/2017 
04/01/14 @ 106 
1,473,750 
1,000,000 
 
Jo-Ann Stores, Inc.(b) 
CCC+ 
8.13% 
03/15/2019 
03/15/14 @ 104 
1,005,000 
1,000,000 
 
Rite AID Corp. 
CCC 
9.50% 
06/15/2017 
06/15/13 @ 103 
1,007,500 
450,000 
 
Rite AID Corp.(b) 
CCC 
9.25% 
03/15/2020 
03/15/16 @ 105 
457,875 
1,875,000 
 
Toys “R” US, Inc. 
CCC+ 
7.38% 
10/15/2018 
N/A 
1,640,625 
             
9,321,750 
 
 
See notes to financial statements.
 

 AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT l 17

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) 
April 30, 2012 
 
               
Principal 
         
Optional Call 
 
Amount^ 
 
Description 
Rating *
Coupon 
Maturity 
Provisions** 
Value 
   
Software – 0.2% 
         
250,000 
 
Emdeon, Inc.(b) 
CCC+ 
11.00% 
12/31/2019 
12/31/15 @ 106 
$   283,750 
625,000 
 
Lawson Software, Inc.(b) 
B– 
11.50% 
07/15/2018 
07/15/15 @ 106 
703,125 
             
986,875 
   
Storage & Warehousing – 1.5% 
         
6,520,000 
 
Niska Gas Storage US, LLC 
B+ 
8.88% 
03/15/2018 
03/15/14 @ 104 
6,177,700 
   
Telecommunications – 5.9% 
         
EUR 6,550,000 
 
Alcatel-Lucent (France) 
B
8.50% 
01/15/2016 
N/A 
8,669,250 
300,000 
 
Hughes Satellite Systems Corp. 
B+ 
6.50% 
06/15/2019 
N/A 
322,500 
150,000 
 
Hughes Satellite Systems Corp. 
B– 
7.63% 
06/15/2021 
N/A 
163,312 
1,000,000 
 
Intelsat Luxembourg SA (Luxembourg) 
CCC+ 
11.25% 
02/04/2017 
02/15/13 @ 106 
1,040,000 
1,000,000 
 
Level 3 Communications, Inc. 
CCC 
11.88% 
02/01/2019 
02/01/15 @ 106 
1,140,000 
3,725,000 
 
NII Capital Corp. 
B+ 
8.88% 
12/15/2019 
12/15/14 @ 104 
3,771,563 
1,500,000 
 
NII Capital Corp. 
B+ 
7.63% 
04/01/2021 
04/01/16 @ 104 
1,402,500 
1,500,000 
 
Sorenson Communications, Inc.(b) 
NR 
10.50% 
02/01/2015 
02/01/13 @ 103 
1,267,500 
CAD 65,000 
 
Telesat Canada / Telesat LLC (Canada)(b) 
B– 
6.00% 
05/15/2017 
05/15/14 @ 103 
650,000 
500,000 
 
Virgin Media Finance PLC (United Kingdom) 
BB– 
8.38% 
10/15/2019 
10/15/14 @ 104 
563,750 
EUR 500,000 
 
Wind Acquisition Finance SA (Luxembourg)(b) 
BB– 
11.75% 
07/15/2017 
07/15/13 @ 106 
620,414 
3,100,000 
 
Windstream Corp. 
B+ 
8.13% 
09/01/2018 
09/01/14 @ 104 
3,348,000 
500,000 
 
Windstream Corp. 
B+ 
7.75% 
10/01/2021 
10/01/16 @ 104 
538,750 
650,000 
 
Windstream Corp. 
B+ 
7.50% 
06/01/2022 
06/01/17 @ 104 
684,125 
             
24,181,664 
   
Transportation – 0.8% 
         
190,000 
 
Gulfmark Offshore, Inc.(b) 
BB– 
6.38% 
03/15/2022 
03/15/17 @ 103 
194,275 
625,000 
 
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. 
         
   
(Marshall Island) 
B+ 
8.13% 
02/15/2019 
02/15/15 @ 104 
557,813 
950,000 
 
Navios Maritime Holdings, Inc. / Navios Maritime Finance US, Inc. 
         
   
(Marshall Island) 
BB– 
8.88% 
11/01/2017 
11/01/13 @ 104 
980,875 
1,250,000 
 
Ship Finance International Ltd. (Bermuda) 
B+ 
8.50% 
12/15/2013 
N/A 
1,253,125 
400,000 
 
Swift Services Holdings, Inc. 
B+ 
10.00% 
11/15/2018 
11/15/14 @ 105 
439,000 
             
3,425,088 
   
Total Corporate Bonds – 52.4% 
         
   
(Cost $211,297,042) 
       
214,602,522 
   
Term Loans – 0.8%(f) 
         
992,500 
 
Chrysler Group LLC/CG Co-Isser, Inc., Tranche B 
Ba2 
6.00% 
04/27/2017 
N/A 
1,012,482 
1,249,897 
 
Media General, Inc. 
NR 
8.50% 
03/29/2013 
N/A 
1,199,901 
1,000,000 
 
Revel Entertainment 
NR 
9.00% 
02/17/2017 
N/A 
972,857 
   
(Cost $3,006,687) 
       
3,185,240 
Number 
             
of Shares 
 
Description 
Rating *
Coupon 
Maturity 
 
Value 
   
Convertible Preferred Stocks – 6.4% 
         
   
Banks – 2.4% 
         
8,409 
 
Bank of America Corp., Series L(g) 
BB+ 
7.25% 
 
8,181,957 
15,500 
 
Citigroup, Inc. 
NR 
7.50% 
12/15/2012 
 
1,510,785 
             
9,692,742 
   
Electric – 0.4% 
         
30,000 
 
PPL Corp. 
NR 
8.75% 
05/01/2014 
 
1,544,400 
 
 
See notes to financial statements. 
 

 18 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND SEMIANNUAL REPORT

 
 

 
   
PORTFOLIO OF INVESTMENTS (Unaudited) continued 
April 30, 2012 
 
             
Number 
           
of Shares 
 
Description 
Rating * 
Coupon 
Maturity 
Value 
   
Hand & Machine Tools – 0.4% 
       
12,663