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)


888 Seventh Ave, 31st Floor, New York, NY 10019
(Address of principal executive offices) (Zip code)

Robert White, Treasurer
888 Seventh Ave, 31st Floor, New York, NY 10019
(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: November 1, 2016 - October 31, 2017


Item 1.  Reports to Stockholders.
The registrant's 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: 
 
 


GUGGENHEIMINVESTMENTS.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 guggenheiminvestments.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 adviser 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.


   
(Unaudited) 
October 31, 2017 
 
DEAR SHAREHOLDER
Tracy V. Maitland
President and Chief Executive Officer
We thank you for your investment in the Advent Claymore Convertible Securities and Income Fund (the “Fund” or “AVK”). This report covers the Fund’s performance for the 12 months ended October 31, 2017.
Advent Capital Management, LLC (“Advent” or the “Investment Adviser”) 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 October 31, 2017, Advent managed approximately $9.2 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.
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 invests 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 30% of its managed assets in convertible securities and may invest up to 70% of its managed assets in non-convertible income securities. The Fund may invest without limitation in foreign securities. The Fund also uses a strategy of writing (selling) covered call options on up to 25% of the securities held in the portfolio, thus generating option writing premiums.
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the 12-month period ended October 31, 2017, the Fund generated a total return based on market price of 24.20% and a total return of 16.55% based on NAV. As of October 31, 2017, the Fund’s market price of $16.09 represented a discount of 8.74% to NAV of $17.63.
Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s shares fluctuates from time to time, and may be higher or lower than the Fund’s NAV.
The monthly distribution for the Fund rose over the period. The most recent monthly distribution, $0.1146, represents an annualized distribution of 8.55% based upon the last closing market price of $16.09 on October 31, 2017. Please see the Q&A for more information on the expected distribution rate for the next 24 months.

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


   
DEAR SHAREHOLDER (Unaudited) continued 
October 31, 2017 
 
There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change based on the performance of the Fund. Please see Note 2(n) on page 45 for more information on distributions for the period.
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 63 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 the greater of NAV per share or 95% of 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.
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 thank you for your investment in the Fund and 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, including related investment risks, please visit the Fund’s website at guggenheiminvestments.com/avk.
Sincerely,
Tracy V. Maitland
President and Chief Executive Officer of the
Advent Claymore Convertible Securities and Income Fund

November 30, 2017

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


   
QUESTIONS & ANSWERS (Unaudited) 
October 31, 2017 
 
The portfolio managers of Advent Claymore Convertible Securities and Income Fund (the “Fund”) are Tracy Maitland, Chief Investment Officer of Advent Capital Management, LLC (“Advent” or the “Investment Manager”) and Paul Latronica, Managing Director of Advent. They are primarily responsible for the day-to-day management of the Fund’s portfolio. Mr. Maitland and Mr. Latronica are supported by teams of investment professionals who make investment decisions for the Fund’s core portfolio of convertible bonds, the Fund’s high yield securities investments and the Fund’s leverage allocation, respectively. In the following interview, the management team discusses the convertible securities and high-yield markets and Fund performance for the 12-month period ended October 31, 2017.
Please describe the 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. Under normal market conditions, the Fund invests at least 80% of its managed assets in a diversified portfolio of convertible securities and non-convertible income producing securities. Under normal market conditions, the Fund must invest at least 30% of its managed assets in convertible securities and may invest up to 70% of its managed assets in nonconvertible income securities. The Fund may invest without limitation in foreign securities.
The Fund also uses a strategy of writing (selling) covered call options on up to 25% of the securities held in the portfolio. The objective of this strategy is to generate current gains from option premiums to enhance distributions payable to the holders of common shares. In addition, the Fund may invest in other derivatives, such as put options, forward exchange currency contracts, futures contracts, and swaps.
The Fund uses financial leverage to finance the purchase of additional securities. Although financial leverage may create an opportunity for increased return for shareholders, it also results in additional risks and can magnify the effect of any losses. There is no assurance that the strategy will be successful. If income and gains earned on securities purchased with the financial leverage proceeds are greater than the cost of the financial leverage, shareholders’ return will be greater than if financial leverage had not been used. Conversely, if the income or gains from the securities purchased with the proceeds of financial leverage are less than the cost of the financial leverage, shareholders’ return will be less than if financial leverage had not been used.
Discuss Advent’s investment approach.
Advent’s approach involves a core portfolio of convertible bonds that is managed, subject to the Fund’s investment policies and restrictions, in a manner similar to that of Advent’s Balanced Convertible Strategy, which seeks a high total return by investing in a portfolio of U.S. dollar convertible securities that provide equity-like returns while seeking to limit downside risk.
This core portfolio is supplemented by investments in high yield securities selected in a manner similar to that of Advent’s High Yield Strategy, which seeks income and total return by investing primarily in high yielding corporate credit using fundamental and relative value analysis to identify undervalued securities.

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


   
QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
Advent uses a separate portion of the Fund’s portfolio to increase or decrease relative overall exposure to convertible securities, high yield securities, and equities. This portion of the Fund’s portfolio incorporates leverage and operates as an asset-allocation tool reflecting Advent’s conservative management philosophy and its views on the relative value of these three asset classes under changing market conditions.
Please describe the economic and market environment over the last 12 months.
Fiscal 2017 was fruitful for investors in the U.S. equity and corporate bond markets. The fiscal year began with an outcome in the U.S. federal elections that led investors to bid up prices in anticipation of faster economic growth and more business-friendly fiscal and regulatory policies. The U.S. economy continued a pace of relatively modest growth as U.S. Gross Domestic Product (“GDP”) rose below 2.0% for the fourth calendar quarter of 2016 and the first calendar quarter of 2017, before accelerating to roughly 3.0% in the second quarter 2017 as headwinds in inventory reduction and net exports faded. Housing, employment, and business confidence surveys in particular helped both actual economic production and perceptions that the U.S. economy is in a steady growth scenario.
Further helping U.S. corporate financial health, particularly exporters, was a new story in 2017 of stronger economic growth in many foreign countries, with many economic indicators in Europe showing buoyancy for the first time in years, proving the benefits of the European Central Bank’s bond buying program, the impact of the end of previous fiscal austerity initiatives, and the economy’s resilience against the uncertainty of the upcoming exit of the United Kingdom from the European Union. The fall in the U.S. dollar as the European economy showed more upside surprise also boosted U.S. exports as the U.S. Dollar Index, an index of the U.S. dollar against a trade-weighted basket of foreign currencies, fell from 98.4 to 94.6 during the year.
Outcomes in the bond markets were divergent depending on product, but favorable for the Fund’s primary bond asset class of corporate straight or convertible bonds. The 10-year U.S. Treasury bond began the year at 1.83%, leapt dramatically to a peak of 2.63% in March in the aftermath of the election and Federal Reserve signals of continued monetary policy tightening, then fell back to 2.04% in September after expected inflation failed to materialize, before ending the year at 2.37% after commodity price rising and more Federal Reserve commentary reversed sentiment again. While investors in the most common bond index, the Bloomberg Barclays U.S. Aggregate Bond Index, received barely a positive return of 0.9% on the year, investors in high-yield bonds did considerably better at 9.1% for the ICE Bank of America Merrill Lynch High-Yield Master II Index, as positive corporate earnings and a healthy financing environment compressed spreads to add onto the favorable coupon bases in this market.
How did the Fund perform in this environment?
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the 12-month period ended October 31, 2017, the Fund generated a total return based on market price of 24.20% and a total return of 16.55% based on NAV. As of October 31, 2017, the Fund’s market price of $16.09 represented a discount of 8.74% to NAV of

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


   
QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
$17.63. As of October 31, 2016, the Fund’s market price of $14.01 represented a discount of 13.84% to NAV of $16.26.
Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s shares fluctuates from time to time, and may be higher or lower than the Fund’s NAV.
What contributed to performance?
The Fund’s largest asset class, U.S. convertible bonds, had strong performance in the period as the ICE Bank of America Merrill Lynch All Convertibles Index (VXA0) rose 18.1% for the fiscal year 2017. The U.S. equity market, illustrated by the S&P 500 Index, advanced 23.6% with dividends reinvested in the year. The ratio of convertible returns to equity returns of 0.77 is higher than the convertible index delta would predict and reflects the mix of the convertible bond universe more tilted toward issues in the technology industry and small-capitalization issuers, both of which had returns higher than the S&P 500.
The U.S. high-yield corporate bond market also had satisfactory returns as the ICE Bank of America Merrill Lynch High Yield Master II Index rose 9.1% with the coupon return being augmented by a drop in the average option-adjusted spread (OAS) of 140 basis points during year, helped by improving corporate profits and a rebound in commodity prices, which have a high factor in the high-yield corporate bond issuance market.
Please discuss the tender offer that occurred during the period.
On August 9, 2017, the Fund commenced a tender offer (the “Tender Offer”) to purchase for cash up to 3,537,132 (approximately 15%) of the Fund’s outstanding common shares of beneficial interest (the “Shares”) at a price per Share equal to 98% of the Fund’s NAV as of the business day immediately following the expiration of the Tender Offer. The Tender Offer expired on September 7, 2017.
A total of 8,775,224 Shares were duly tendered and not withdrawn. Because the number of Shares tendered exceeded 3,537,132 Shares, the Tender Offer was oversubscribed. Therefore, in accordance with the terms and conditions specified in the Tender Offer, the Fund purchased Shares from all tendering shareholders on a pro rata basis, disregarding fractions.
Accordingly, on a pro rata basis, approximately 37% of Shares for each shareholder who properly tendered Shares were accepted for payment. The purchase price of properly tendered Shares was $16.9540 per Share. Shares that were tendered but not accepted for purchase and Shares that were not tendered remain outstanding. The Fund accepted 3,537,132 shares for payment. Final payment was made on September 13, 2017 in the aggregate amount equal to $59,968,535.
Explain the Fund’s agreement with Saba Capital Management.
In April 2017, the Fund entered into an agreement (the “Agreement”) with Saba Capital Management, LP (“Saba”), pursuant to which Saba agreed to (1) tender all Shares of the Fund owned by it in the Tender Offer, (2) be bound by certain “standstill” covenants through the Fund’s 2019 annual meeting of shareholders, and (3) vote its Shares on all proposals submitted to shareholders in accordance with the recommendation of management through April 25, 2019.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 7


   
QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
Also, pursuant to the Agreement, the Fund agreed to declare and pay monthly distributions for 24 months following the date of the Agreement, representing an annualized distribution rate of not less than 8% of the Fund’s net asset value per Share, based on average month-end net asset value per Share over the prior 12 months, effective beginning with the May 2017 distribution.
Please discuss the Fund’s distributions.
Each month from November 2016 through April 2017, the Fund paid a monthly distribution of $0.0939 per share. Beginning in May 2017, the Fund began to declare and pay monthly distributions under the Agreement consistent with an annualized distribution rate of not less than 8% of NAV. The May 2017 distribution rose to $0.1116 per share and subsequent distributions have reflected levels consistent with the Agreement.
The most recent monthly distribution, $0.1146, represents an annualized distribution of 8.55% based upon the last closing market price of $16.09 on October 31, 2017.
Payable Date 
Amount 
November 30, 2016 
$0.0939 
December 30, 2016 
$0.0939 
January 31, 2017 
$0.0939 
February 28, 2017 
$0.0939 
March 31, 2017 
$0.0939 
April 28, 2017 
$0.0939 
May 31, 2017 
$0.1116 
June 30, 2017 
$0.1124 
July 31, 2017 
$0.1132 
August 31, 2017 
$0.1138 
September 29, 2017 
$0.1140 
October 31, 2017 
$0.1146 
Total 
$1.2430 
 
There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change. The Fund currently anticipates that some of the 2017 distributions will consist of income and some will be a return of capital. A final determination of the tax character of distributions paid by the Fund in 2017 will be reported to shareholders in January 2018 on Form 1099-DIV.
While the Fund generally seeks to pay distributions that will consist primarily of investment company taxable income and net capital gain, because of the nature of the Fund’s investments and changes in market conditions from time to time, or in order to maintain a more stable distribution level over time, the distributions paid by the Fund for any particular period may be more or less than the amount of net investment income from that period. If the Fund’s total distributions in any year exceed the amount of its investment company taxable income and net capital gain for the year, any such excess would generally be characterized as a return of capital for U.S. federal income tax

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


   
QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
purposes. A return of capital distribution is in effect a partial return of the amount a shareholder invested in the Fund. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.” A return of capital distribution decreases the Fund’s total assets and, therefore, could have the effect of increasing the Fund’s expense ratio.
Please see Note 2(n) on page 45 for more information on distributions for the period.
How has the Fund’s leverage strategy affected performance?
As part of its investment strategy, the Fund utilizes leverage 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’s leverage outstanding as of October 31, 2017 consisted of $227 million in borrowings with a related average interest rate of 1.949%, and was approximately 39% of the Fund’s total managed assets.
There is no guarantee that the Fund’s leverage strategy will be successful, and the Fund’s use of leverage may cause the Fund’s NAV and market price of common shares to be more volatile.
The NAV return for the Fund was above the cost of leverage for the 12 months. Although Advent looks at funds deployed from borrowings differently than funds which use the shareholder equity base, on this simple metric, the Fund’s leverage was beneficial to shareholders for the fiscal period. Advent continues to seek attractive and relatively lower-risk opportunities to invest borrowings that have very low cost compared to history and plans to continue taking advantage of the yield curve and interest rate environment for the benefit of shareholders.
What was the impact of the Fund’s covered call strategy?
During the year, call option activity was limited due to the low levels of premium available in the options market. Volatility pricing averaged for the fiscal year 2017 the lowest since the CBOE SPX Volatility Index, or “VIX” for its ticker, began tracking in 1990. The average was 11.6 well below the average of 16-17 for the two previous years. Spikes in volatility that occur with bouts of market nervousness peaked at only 16 during 2017, well below prior peaks that often rise above 20 in the index. When volatility pricing and the VIX are lower, the income from writing call options on equities or equity indices is also lower, and the Fund found the tradeoff of capping upside in the equity holdings unfavorable and limited its usage in the fiscal year.
The Fund’s small position in equities in fiscal 2017 also created less opportunities to realize call option income on stock holdings. For fiscal 2017, the percentage of average assets devoted to equities was approximately 6.8% versus 9.6% for fiscal 2016.
How were the Fund’s total investments allocated among asset classes during the 12 months ended October 31, 2017, and what did this mean for performance?
On October 31, 2017, the Fund’s total investments were invested approximately 47.8% in convertible bonds, convertible preferred securities, and mandatory convertibles; 39.5% in corporate bonds; 7.7% in equities; 3.9% in cash and cash equivalents; and 1.1% in senior floating rate interests.

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


   
QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
On October 31, 2016, the Fund’s total investments were invested approximately 52.0% in convertible bonds, convertible preferred securities, and mandatory convertibles; 37.5% in corporate bonds; 5.5% in cash and cash equivalents; 4.5% in equities; and 0.5% in senior floating rate interests.
The change in asset allocation during the year reflects the Investment Adviser’s appraisal of the increased risks in the capital markets following a strong year after the U.S. election. Valuations of both corporate bonds and equities rose during the period with prices of equities rising faster than corporate profits. While much of this reflects anticipation of more friendly U.S. tax policies, the outcome of the current debate remains unknown. Thus, as the year progressed and markets continued to express little fear, the Fund reduced its holdings of convertible bonds in favor of high-yield bonds, which have lower price susceptibility when equities fall. At the same time, the Adviser also found more opportunities, particularly late in the fiscal year, in sectors that would benefit from tax reform such as industrials and telecommunications and made select more equity investments in companies that do not have convertibles issued. Floating rate interests rose off a low base as Federal Reserve rate hikes began to reprice corporate loan coupon payments above the LIBOR floors common in many loans.
International investments fell slightly from 13.7% in October 2016 to 12.5% ending October 2017. Markets in Europe actually rose more aggressively than in the U.S. in the first half of the fiscal year as economic improvement in many continental countries and continued monetary policy support helped raise valuations and start a catch-up valuation effect relative to U.S. stocks. In the second half of the calendar year, Asian developed markets began outperforming as investors become more comfortable with stable economic growth in China and renewed growth in Japan. After reducing international investments in the first half of the fiscal year based on yield differences between the two markets, the Fund slightly increased the international percentage from the mid-year point as economic resilience abroad became more apparent.
Which investment decisions had the greatest effect on the Fund’s performance?
As discussed in the semiannual report, a large contributor to Fund returns for the year came from the technology sector through convertibles, in particular from the semiconductor industry. This subsector of technology enjoyed steady gains all fiscal year, as previous years’ lack of capital spending led to favorable supply/demand dynamics in some niches and the effects of consolidation and expense savings helped some acquirers in particular.
Convertibles in semiconductor equipment supplier Lam Research Corp. (0.7% of long-term investments at period end) had sharp gains, as the company enjoyed higher demand as production by semiconductor manufacturer customers became more capital intensive in its niches. Analog and microcontroller semiconductor supplier Microchip Technology, Inc. (1.3% of long-term investments at period end) gained market share in its core segments and enjoyed powerful accretion from past acquisition of less efficient suppliers, driving tremendous earnings growth and price appreciation of its convertible bonds. Convertibles in test equipment supplier Teradyne, Inc. (0.3% of long-term investments at period end) advanced as the company realized sharp growth in an industrial robotics acquisition and had customers in a core semiconductor test order heavily in advance of new mobile communications processor product cycles.

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QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
Of note outside of semiconductors in technology were holdings that benefitted from growth at Alibaba Group Holding Ltd., the Chinese internet conglomerate that includes businesses in online retailing, mobile payments, messaging, and cloud computing (not held in the portfolio at period end). Alibaba’s own-issued mandatory convertibles rose as the company continued to grow during the fiscal year, and convertible bonds in the old Yahoo!, renamed Altaba, Inc. during the year after selling the Yahoo! Internet business (0.8% of long-term investments at period end), rose as much of the residual Altaba holding value is in Alibaba shares.
In other sectors, equity in automaker General Motors Co. (0.7% of long-term investments at period end) gained nicely as the company consistently outperformed Wall Street earnings expectations amidst growth in its international operations and expansion of GM Financial, its lease business. High-yield bonds in rural hospital company Quorum Health Corp. (0.2% of long-term investments at period end) rebounded after difficulties in 2016; the company executed on plans to divest hospitals to reduce leverage, and experienced higher core demand for admissions and specialty procedures than expected. A lack of repeal of the Affordable Care Act, which could have limited hospital demand by the public, also helped take away downside potential.
Among detractors, mandatory convertibles and straight high-yield bonds of telephone and data provider Frontier Communications Corp. (0.4% of long-term investments at period end) fell after the company struggled with properties acquired from Verizon in 2016, experiencing line losses both in these regions and continuing core Frontier properties. The company has made admirable progress with cost reductions and liquidity enhancement but the reduction in profits has hurt the credit and equity of the shares. At period end, the Fund held a small straight bond position in the issuer.
Mandatory convertibles held in health care device and drug maker Allergan plc (1.4% of long-term investments at period end) fell after the company lost a court ruling on the profitable dry-eye drug Restatsis, bringing forward generic competition, and experienced setbacks on other trial data on drugs such as Cenicriviroc (CVC) for liver fibrosis. The company’s debt levels magnified the extent of the stock decline, also hurting the mandatories’ valuation. Mandatory convertibles in generic drug maker Teva Pharmaceuticals Industries Ltd. (0.2% of long-term investments at period end) declined as the company experienced pricing headwinds and faster generic competition in its portfolio of products, notably the multiple sclerosis drug Copaxone. The company’s acquisition of Allergan’s generic business raised leverage and created an overhang on potential sales of Allergan’s stock holdings of Teva, both hurting the equity as profit estimates fell.
Convertible bonds in oilfield services provider Nabors Industries, Inc. (not held at period end) declined as the company incurred margin headwinds to activate some projects as oil prices rebounded and the level of debt maturities due over the intermediate-term kept pressure on credit prices.
Index Definitions
It is not possible to invest directly in an index. These indices are intended as measures of broad market returns. The Fund’s mandate differs materially from each of the individual indices. The Fund also maintains leverage and incurs transaction costs, advisory fees, and other expenses, while these indices do not.

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


   
QUESTIONS & ANSWERS (Unaudited) continued 
October 31, 2017 
 
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
ICE Bank of America Merrill Lynch All Convertibles Index is comprised of approximately 500 issues of convertible bonds and preferred stock of all qualities.
ICE Bank of America Merrill Lynch High Yield Master II Index is a commonly used benchmark index for high yield corporate bonds. It is a measure of the broad high yield market.
S&P 500® Index is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
VIX is the ticker symbol for the Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options. It is a weighted blend of prices for a range of options on the S&P 500 index.
AVK Risks and Other Considerations
The views expressed in this report reflect those of the Investment Manager 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.
Please see guggenheiminvestments.com/avk for a detailed discussion of the Fund’s risks and considerations.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

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


 
   
FUND SUMMARY (Unaudited) 
October 31, 2017 
 
   
Fund Statistics 
 
Share Price 
$16.09 
Net Asset Value 
$17.63 
Discount to NAV 
-8.74% 
Net Assets ($000) 
$353,389 
 
         
AVERAGE ANNUAL TOTAL RETURNS 
 
 
 
 
FOR THE PERIOD ENDED OCTOBER 31, 2017 
 
 
 
 
 
One 
Three 
Five 
Ten 
 
Year 
Year 
Year 
Year 
Advent Claymore 
 
 
 
 
Convertible Securities & 
 
 
 
 
Income Fund 
 
 
 
 
NAV 
16.55% 
4.41% 
7.17% 
2.66% 
Market 
24.20% 
5.32% 
6.42% 
3.66% 
 
   
Portfolio Breakdown 
% of Net Assets 
Investments: 
 
Convertible Bonds 
67.5% 
Corporate Bonds 
64.4% 
Common Stocks 
12.6% 
Convertible Preferred Stocks 
10.7% 
Money Market Fund 
6.4% 
Senior Floating Rate Interests 
1.7% 
Total Investments 
163.3% 
Other Assets & Liabilities, net 
(63.3%) 
Net Assets 
100.0% 
 
Past performance does not guarantee future results and does not reflect the deductions of taxes that a shareholder would pay on fund distributions. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. All portfolio data is subject to change daily. For more current information, please visit guggenheiminvestments.com/avk.
The above summaries are provided for informational purposes only and should not be viewed as recommendations.

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

 
   
FUND SUMMARY (Unaudited) continued 
October 31, 2017 
 
 
 
All or a portion of the above distributions may be characterized as a return of capital. For the year ended October 31, 2017, 39% of the distributions were estimated to be characterized as return of capital. The final determination of the tax character of the distributions paid by the Fund in 2017 will be reported to shareholders in January 2018.
Country Breakdown 
(% of Total Investments) 
United States 
87.0% 
Canada 
3.1% 
Ireland 
2.5% 
Bermuda 
2.0% 
Cayman Islands 
1.1% 
United Kingdom 
0.6% 
Mexico 
0.6% 
France 
0.5% 
Australia 
0.5% 
Greece 
0.4% 
Luxembourg 
0.4% 
Netherlands 
0.3% 
Marshall Islands 
0.2% 
China 
0.2% 
Israel 
0.2% 
Liberia 
0.2% 
Jersey 
0.2% 
Subject to change daily. 
 
 

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


   
PORTFOLIO OF INVESTMENTS 
October 31, 2017 
 
     
 
Shares 
Value 
COMMON STOCKS– 12.6% 
 
 
Consumer, Cyclical – 4.7% 
 
 
American Airlines Group, Inc.1 
90,012 
$ 4,214,362 
General Motors Co.1 
93,500 
4,018,630 
Wal-Mart Stores, Inc.1 
30,000 
2,619,300 
Lowe’s Companies, Inc.1 
25,000 
1,998,750 
Spirit Airlines, Inc.*,1 
50,000 
1,854,500 
Ford Motor Co.1 
150,300 
1,844,181 
Total Consumer, Cyclical 
 
16,549,723 
 
Consumer, Non-cyclical – 2.7% 
 
 
Merck & Company, Inc.1 
49,100 
2,704,919 
Incyte Corp.*,1 
22,500 
2,548,125 
Celgene Corp.*,1 
24,100 
2,433,377 
Flexion Therapeutics, Inc.*,1 
88,300 
1,943,483 
Total Consumer, Non-cyclical 
 
9,629,904 
 
Communications – 2.2% 
 
 
Verizon Communications, Inc.1 
69,100 
3,307,817 
Walt Disney Co.1 
33,000 
3,227,730 
AT&T, Inc.1 
33,200 
1,117,180 
Total Communications 
 
7,652,727 
 
Industrial – 2.0% 
 
 
United Parcel Service, Inc. — Class B1 
23,900 
2,808,967 
Eaton Corporation plc 
29,700 
2,376,594 
General Dynamics Corp.1 
9,206 
1,868,634 
Total Industrial 
 
7,054,195 
 
Financial – 0.5% 
 
 
Lazard Ltd. — Class A1 
42,000 
1,996,680 
 
Diversified – 0.5% 
 
 
TPG Pace Energy Holdings Corp.* 
170,500 
1,739,100 
Total Common Stocks 
 
 
(Cost $43,915,192) 
 
44,622,329 
 
CONVERTIBLE PREFERRED STOCKS– 10.7% 
 
 
Consumer, Non-cyclical – 3.7% 
 
 
Allergan plc 
 
 
5.50% due 03/01/181 
12,342 
7,944,421 
Becton Dickinson and Co. 
 
 
6.13% due 05/01/201 
52,220 
2,964,529 
Teva Pharmaceutical Industries Ltd. 
 
 
7.00% due 12/15/18 
3,750 
1,066,875 
 
See notes to financial statements.

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


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Shares 
Value 
 
CONVERTIBLE PREFERRED STOCKS– 10.7% (continued) 
 
 
Consumer, Non-cyclical – 3.7% (continued) 
 
 
Bunge Ltd. 
 
 
4.88%5 
9,454 
$ 985,107 
Total Consumer, Non-cyclical 
 
12,960,932 
 
Financial – 2.5% 
 
 
Crown Castle International Corp. 
 
 
6.88% due 08/01/201 
5,865 
6,432,733 
American Tower Corp. 
 
 
5.50% due 02/15/181 
12,614 
1,591,508 
Mandatory Exchangeable Trust 
 
 
5.75% due 06/03/192 
4,739 
993,839 
Total Financial 
 
9,018,080 
 
Energy – 2.4% 
 
 
Hess Corp. 
 
 
8.00% due 02/01/191 
122,494 
6,829,041 
WPX Energy, Inc. 
 
 
6.25% due 07/31/181 
18,938 
974,360 
Anadarko Petroleum Corp. 
 
 
7.50% due 06/07/18 
13,658 
519,004 
Total Energy 
 
8,322,405 
 
Industrial – 1.0% 
 
 
Belden, Inc. 
 
 
6.75% due 07/15/191 
20,699 
2,224,521 
Stanley Black & Decker, Inc. 
 
 
5.38% due 05/15/201 
12,576 
1,487,364 
Total Industrial 
 
3,711,885 
 
Utilities – 0.7% 
 
 
NextEra Energy, Inc. 
 
 
6.12% due 09/01/19 
40,349 
2,299,893 
 
Communications – 0.4% 
 
 
T-Mobile US, Inc. 
 
 
5.50% due 12/15/171 
15,356 
1,486,461 
Total Convertible Preferred Stocks 
 
 
(Cost $39,472,571) 
 
37,799,656 
 
MONEY MARKET FUND– 6.4% 
 
 
Morgan Stanley Institutional Liquidity Government Portfolio 0.92%3 
22,455,584 
22,455,584 
Total Money Market Fund 
 
 
(Cost $22,455,584) 
 
22,455,584 
 
See notes to financial statements.

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

 
   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CONVERTIBLE BONDS†† – 67.5% 
 
 
Technology – 19.6% 
 
 
Microchip Technology, Inc. 
 
 
1.63% due 02/15/272 
5,730,000 
$ 7,244,868 
Micron Technology, Inc. 
 
 
3.00% due 11/15/431 
4,111,000 
6,392,604 
ON Semiconductor Corp. 
 
 
1.00% due 12/01/201 
2,900,000 
3,753,688 
1.63% due 10/15/231,2 
1,193,000 
1,492,741 
Intel Corp. 
 
 
3.49% due 12/15/351 
2,527,000 
4,245,359 
3.25% due 08/01/391 
260,000 
565,989 
Carbonite, Inc. 
 
 
2.50% due 04/01/222 
3,578,000 
4,150,479 
Lam Research Corp. 
 
 
1.25% due 05/15/181 
1,043,000 
3,609,432 
Integrated Device Technology, Inc. 
 
 
0.88% due 11/15/22 
3,033,000 
3,499,324 
Evolent Health, Inc. 
 
 
2.00% due 12/01/212 
3,196,000 
3,425,713 
Verint Systems, Inc. 
 
 
1.50% due 06/01/211 
3,385,000 
3,332,109 
ServiceNow, Inc. 
 
 
due 06/01/222,4 
2,820,000 
3,176,025 
Teradyne, Inc. 
 
 
1.25% due 12/15/231,2 
1,850,000 
2,674,407 
Citrix Systems, Inc. 
 
 
0.50% due 04/15/191 
1,816,000 
2,231,409 
Inphi Corp. 
 
 
0.75% due 09/01/21 
1,900,000 
1,981,938 
Cypress Semiconductor Corp. 
 
 
4.50% due 01/15/221 
1,464,000 
1,972,740 
Allscripts Healthcare Solutions, Inc. 
 
 
1.25% due 07/01/201 
1,825,000 
1,898,000 
Salesforce.com, Inc. 
 
 
0.25% due 04/01/181 
1,170,000 
1,800,338 
Lumentum Holdings, Inc. 
 
 
0.25% due 03/15/242 
1,243,000 
1,581,718 
CSG Systems International, Inc. 
 
 
4.25% due 03/15/361 
1,410,000 
1,535,138 
Synaptics, Inc. 
 
 
0.50% due 06/15/222 
1,629,000 
1,468,137 
Advanced Micro Devices, Inc. 
 
 
2.13% due 09/01/26 
855,000 
1,349,832 
HubSpot, Inc. 
 
 
0.25% due 06/01/222 
1,163,000 
1,314,190 
 
See notes to financial statements.

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


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CONVERTIBLE BONDS†† – 67.5% (continued) 
 
 
Technology – 19.6% (continued) 
 
 
Veeco Instruments, Inc. 
 
 
2.70% due 01/15/23 
1,375,000 
$ 1,263,281 
Red Hat, Inc. 
 
 
0.25% due 10/01/191 
732,000 
1,217,408 
Silicon Laboratories, Inc. 
 
 
1.38% due 03/01/222 
681,000 
819,754 
Electronics For Imaging, Inc. 
 
 
0.75% due 09/01/191 
753,000 
736,058 
Workday, Inc. 
 
 
0.25% due 10/01/222 
451,000 
456,919 
Total Technology 
 
69,189,598 
 
Communications – 11.4% 
 
 
Finisar Corp. 
 
 
0.50% due 12/15/331 
4,418,000 
4,677,558 
0.50% due 12/15/362 
2,000,000 
1,915,000 
Priceline Group, Inc. 
 
 
0.35% due 06/15/201 
3,731,000 
5,559,190 
DISH Network Corp. 
 
 
3.38% due 08/15/261 
4,267,000 
4,611,027 
2.38% due 03/15/241,2 
961,000 
925,563 
Twitter, Inc. 
 
 
0.25% due 09/15/191 
3,400,000 
3,230,000 
1.00% due 09/15/211 
560,000 
517,650 
FireEye, Inc. 
 
 
1.00% due 06/01/351 
2,700,000 
2,565,000 
Ctrip.com International Ltd. 
 
 
1.00% due 07/01/201 
2,347,000 
2,556,763 
Liberty Media Corp. 
 
 
1.38% due 10/15/23 
1,769,000 
2,129,699 
Proofpoint, Inc. 
 
 
0.75% due 06/15/201 
1,551,000 
2,005,637 
Inmarsat plc 
 
 
3.88% due 09/09/23 
1,800,000 
1,930,500 
Ciena Corp. 
 
 
4.00% due 12/15/201 
1,041,000 
1,368,264 
Liberty Interactive LLC 
 
 
1.75% due 09/30/461,2 
1,096,000 
1,243,275 
Weibo Corp. 
 
 
1.25% due 11/15/222 
1,081,000 
1,129,645 
IAC FinanceCo, Inc. 
 
 
0.88% due 10/01/222 
1,013,000 
1,095,940 
Liberty Expedia Holdings, Inc. 
 
 
1.00% due 06/30/472 
1,031,000 
1,056,775 
 
See notes to financial statements.

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


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CONVERTIBLE BONDS†† – 67.5% (continued) 
 
 
Communications – 11.4% (continued) 
 
 
Wayfair, Inc. 
 
 
0.38% due 09/01/222 
965,000 
$ 945,097 
World Wrestling Entertainment, Inc. 
 
 
3.38% due 12/15/231,2 
628,000 
774,795 
Total Communications 
 
40,237,378 
 
Consumer, Non-cyclical – 10.5% 
 
 
Wright Medical Group, Inc. 
 
 
2.00% due 02/15/201 
3,852,000 
4,189,049 
Ionis Pharmaceuticals, Inc. 
 
 
1.00% due 11/15/211 
2,433,000 
2,744,728 
BioMarin Pharmaceutical, Inc. 
 
 
1.50% due 10/15/201 
2,067,000 
2,355,088 
NuVasive, Inc. 
 
 
2.25% due 03/15/211 
1,928,000 
2,241,300 
Nevro Corp. 
 
 
1.75% due 06/01/211 
1,853,000 
2,156,429 
Cardtronics, Inc. 
 
 
1.00% due 12/01/201 
2,050,000 
1,901,375 
Molina Healthcare, Inc. 
 
 
1.63% due 08/15/441 
1,500,000 
1,859,063 
Euronet Worldwide, Inc. 
 
 
1.50% due 10/01/441 
1,351,000 
1,849,181 
Flexion Therapeutics, Inc. 
 
 
3.38% due 05/01/242 
1,542,000 
1,752,089 
Hologic, Inc. 
 
 
2.00% due 03/01/421,6,8 
1,340,000 
1,668,300 
Insulet Corp. 
 
 
1.25% due 09/15/21 
1,342,000 
1,598,658 
Anthem, Inc. 
 
 
2.75% due 10/15/42 
493,000 
1,412,445 
Pacira Pharmaceuticals, Inc. 
 
 
2.38% due 04/01/221,2 
1,478,000 
1,375,463 
Medicines Co. 
 
 
2.75% due 07/15/23 
1,306,000 
1,230,089 
Teladoc, Inc. 
 
 
3.00% due 12/15/222 
1,105,000 
1,194,090 
Jazz Investments I Ltd. 
 
 
1.88% due 08/15/211 
1,048,000 
1,082,061 
LendingTree, Inc. 
 
 
0.63% due 06/01/222 
744,000 
1,056,480 
Neurocrine Biosciences, Inc. 
 
 
2.25% due 05/15/242 
872,000 
1,001,165 
Clovis Oncology, Inc. 
 
 
2.50% due 09/15/21 
663,000 
963,008 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 19


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CONVERTIBLE BONDS†† – 67.5% (continued) 
 
 
Consumer, Non-cyclical – 10.5% (continued) 
 
 
J Sainsbury plc 
 
 
1.25% due 11/21/191 
GBP 700,000 
$ 948,436 
Horizon Pharma Investment Ltd. 
 
 
2.50% due 03/15/221 
891,000 
818,606 
Innoviva, Inc. 
 
 
2.50% due 08/15/252 
811,000 
787,177 
Element Fleet Management Corp. 
 
 
4.25% due 06/30/202 
CAD 875,000 
682,162 
Emergent BioSolutions, Inc. 
 
 
2.88% due 01/15/21 
288,000 
418,500 
Total Consumer, Non-cyclical 
 
37,284,942 
 
Financial – 8.1% 
 
 
Altaba, Inc. 
 
 
due 12/01/184 
3,066,000 
4,223,415 
Colony NorthStar, Inc. 
 
 
3.88% due 01/15/21 
3,625,000 
3,663,515 
PRA Group, Inc. 
 
 
3.00% due 08/01/20 
1,950,000 
1,787,906 
3.50% due 06/01/231,2 
1,774,000 
1,608,796 
Forest City Realty Trust, Inc. 
 
 
4.25% due 08/15/18 
2,820,000 
3,334,649 
Starwood Property Trust, Inc. 
 
 
4.00% due 01/15/191 
1,939,000 
2,147,443 
HCI Group, Inc. 
 
 
4.25% due 03/01/372 
2,250,000 
2,037,657 
Starwood Waypoint Homes 
 
 
3.00% due 07/01/191 
1,501,000 
1,859,364 
Air Lease Corp. 
 
 
3.88% due 12/01/181 
1,069,000 
1,634,902 
Fidelity National Financial, Inc. 
 
 
4.25% due 08/15/181 
528,000 
1,531,854 
Empire State Realty OP, LP 
 
 
2.63% due 08/15/192 
1,170,000 
1,282,613 
Extra Space Storage, LP 
 
 
3.13% due 10/01/351 
937,000 
1,023,087 
iStar, Inc. 
 
 
3.13% due 09/15/222 
960,000 
976,800 
Blackhawk Network Holdings, Inc. 
 
 
1.50% due 01/15/22 
847,000 
850,706 
Blackstone Mortgage Trust, Inc. 
 
 
4.38% due 05/05/22 
502,000 
510,471 
Total Financial 
 
28,473,178 
 
See notes to financial statements.

20 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CONVERTIBLE BONDS†† – 67.5% (continued) 
 
 
Industrial – 6.4% 
 
 
Dycom Industries, Inc. 
 
 
0.75% due 09/15/211 
5,857,000 
$ 6,830,726 
Greenbrier Companies, Inc. 
 
 
2.88% due 02/01/242 
3,808,000 
4,472,020 
Cemex SAB de CV 
 
 
3.72% due 03/15/20 
2,893,000 
3,082,867 
Kaman Corp. 
 
 
3.25% due 05/01/242 
1,803,000 
1,957,382 
Atlas Air Worldwide Holdings, Inc. 
 
 
1.88% due 06/01/24 
1,469,000 
1,790,343 
RTI International Metals, Inc. 
 
 
1.63% due 10/15/19 
1,572,000 
1,743,938 
OSI Systems, Inc. 
 
 
1.25% due 09/01/221,2 
1,248,000 
1,316,640 
Air Transport Services Group, Inc. 
 
 
1.13% due 10/15/242 
749,000 
785,046 
BW Group Ltd. 
 
 
1.75% due 09/10/19 
600,000 
575,400 
Total Industrial 
 
22,554,362 
 
Energy – 4.9% 
 
 
Chesapeake Energy Corp. 
 
 
5.50% due 09/15/262 
6,506,000 
5,794,405 
Weatherford International Ltd. 
 
 
5.88% due 07/01/21 
5,549,000 
5,611,426 
PDC Energy, Inc. 
 
 
1.13% due 09/15/211 
1,628,000 
1,597,475 
Oasis Petroleum, Inc. 
 
 
2.63% due 09/15/231 
1,250,000 
1,379,688 
Green Plains, Inc. 
 
 
4.13% due 09/01/22 
1,043,000 
1,031,266 
Ensco Jersey Finance Ltd. 
 
 
3.00% due 01/31/242 
1,126,000 
954,286 
SEACOR Holdings, Inc. 
 
 
3.00% due 11/15/28 
964,000 
888,085 
Total Energy 
 
17,256,631 
 
Consumer, Cyclical – 4.1% 
 
 
Tesla, Inc. 
 
 
1.25% due 03/01/211 
2,033,000 
2,271,877 
2.38% due 03/15/22 
1,222,000 
1,486,257 
CalAtlantic Group, Inc. 
 
 
0.25% due 06/01/191 
2,050,000 
2,058,200 
1.63% due 05/15/181 
876,000 
1,381,890 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 21

 
   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CONVERTIBLE BONDS†† – 67.5% (continued) 
 
 
Consumer, Cyclical – 4.1% (continued) 
 
 
Restoration Hardware Holdings, Inc. 
 
 
due 06/15/191,2,4 
2,608,000 
$ 2,539,540 
Caesars Entertainment Corp. 
 
 
5.00% due 10/01/24 
1,080,000 
2,124,900 
Horizon Global Corp. 
 
 
2.75% due 07/01/22 
1,006,000 
1,008,515 
China Lodging Group Ltd. 
 
 
0.38% due 11/01/222 
975,000 
1,002,310 
Meritor, Inc. 
 
 
3.25% due 10/15/372 
567,000 
608,108 
Total Consumer, Cyclical 
 
14,481,597 
 
Utilities – 1.5% 
 
 
CenterPoint Energy, Inc. 
 
 
4.18% due 09/15/291,6 
41,326 
2,928,980 
NRG Yield, Inc. 
 
 
3.25% due 06/01/201,2 
2,300,000 
2,305,750 
Total Utilities 
 
5,234,730 
 
Basic Materials – 1.0% 
 
 
AK Steel Corp. 
 
 
5.00% due 11/15/19 
1,151,000 
1,374,726 
Pretium Resources, Inc. 
 
 
2.25% due 03/15/222 
1,134,000 
1,165,893 
B2Gold Corp. 
 
 
3.25% due 10/01/18 
919,000 
936,232 
Total Basic Materials 
 
3,476,851 
Total Convertible Bonds 
 
 
(Cost $214,212,360) 
 
238,189,267 
 
CORPORATE BONDS†† – 64.4% 
 
 
Consumer, Non-cyclical – 15.8% 
 
 
HCA, Inc. 
 
 
5.25% due 04/15/251 
3,211,000 
3,427,742 
7.50% due 02/15/221 
1,950,000 
2,218,125 
Tenet Healthcare Corp. 
 
 
4.38% due 10/01/211 
2,500,000 
2,503,749 
8.13% due 04/01/22 
1,688,000 
1,702,770 
6.00% due 10/01/201 
1,300,000 
1,369,875 
HealthSouth Corp. 
 
 
5.75% due 11/01/241 
3,000,000 
3,076,874 
5.75% due 09/15/251 
2,126,000 
2,203,068 
Valeant Pharmaceuticals International, Inc. 
 
 
6.13% due 04/15/252 
5,725,000 
4,830,469 
 
See notes to financial statements.

22 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 64.4% (continued) 
 
 
Consumer, Non-cyclical – 15.8% (continued) 
 
 
United Rentals North America, Inc. 
 
 
5.50% due 05/15/271 
2,052,000 
$ 2,200,770 
5.50% due 07/15/251 
1,950,000 
2,099,906 
Endo Dac / Endo Finance LLC / Endo Finco, Inc. 
 
 
6.00% due 02/01/251,2 
4,620,000 
3,696,000 
CHS/Community Health Systems, Inc. 
 
 
6.88% due 02/01/221 
2,277,000 
1,656,518 
5.13% due 08/01/211 
950,000 
926,250 
Cardtronics, Inc. 
 
 
5.13% due 08/01/221 
2,500,000 
2,562,500 
Post Holdings, Inc. 
 
 
5.50% due 03/01/251,2 
1,663,000 
1,737,835 
5.75% due 03/01/271,2 
727,000 
758,806 
DaVita, Inc. 
 
 
5.00% due 05/01/251 
2,433,000 
2,402,588 
Molina Healthcare, Inc. 
 
 
5.38% due 11/15/221 
2,200,000 
2,300,100 
Spectrum Brands, Inc. 
 
 
5.75% due 07/15/251 
2,004,000 
2,138,629 
Ahern Rentals, Inc. 
 
 
7.38% due 05/15/231,2 
1,959,000 
1,802,280 
Land O’Lakes Capital Trust I 
 
 
7.45% due 03/15/281,2 
1,500,000 
1,762,501 
Pilgrim’s Pride Corp. 
 
 
5.88% due 09/30/272 
1,688,000 
1,759,740 
Greatbatch Ltd. 
 
 
9.13% due 11/01/232 
1,485,000 
1,611,225 
Ritchie Bros Auctioneers, Inc. 
 
 
5.38% due 01/15/251,2 
1,361,000 
1,435,855 
Great Lakes Dredge & Dock Corp. 
 
 
8.00% due 05/15/22 
1,191,000 
1,256,505 
Revlon Consumer Products Corp. 
 
 
6.25% due 08/01/241 
1,520,000 
1,128,600 
Quorum Health Corp. 
 
 
11.63% due 04/15/23 
970,000 
892,400 
Sotheby’s 
 
 
5.25% due 10/01/221,2 
435,000 
448,594 
Land O’ Lakes, Inc. 
 
 
6.00% due 11/15/222 
19,000 
21,446 
Total Consumer, Non-cyclical 
 
55,931,720 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 23

 
   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 64.4% (continued) 
 
 
Consumer, Cyclical – 12.7% 
 
 
GameStop Corp. 
 
 
6.75% due 03/15/211,2 
4,134,000 
$ 4,345,867 
L Brands, Inc. 
 
 
5.63% due 02/15/221 
2,600,000 
2,793,699 
Scientific Games International, Inc. 
 
 
10.00% due 12/01/22 
1,976,000 
2,193,221 
5.00% due 10/15/252 
363,000 
369,353 
Vista Outdoor, Inc. 
 
 
5.88% due 10/01/231 
2,463,000 
2,555,363 
Dana Financing Luxembourg Sarl 
 
 
6.50% due 06/01/261,2 
2,070,000 
2,256,300 
Tempur Sealy International, Inc. 
 
 
5.63% due 10/15/231 
2,000,000 
2,120,000 
Scotts Miracle-Gro Co. 
 
 
6.00% due 10/15/231 
1,901,000 
2,043,575 
Dollar Tree, Inc. 
 
 
5.75% due 03/01/231 
1,901,000 
2,003,179 
Mattamy Group Corp. 
 
 
6.88% due 12/15/232 
1,157,000 
1,220,635 
6.50% due 10/01/252 
723,000 
757,343 
Staples, Inc. 
 
 
8.50% due 09/15/252 
2,171,000 
1,921,335 
Delphi Technologies plc 
 
 
5.00% due 10/01/252 
1,810,000 
1,828,100 
Levi Strauss & Co. 
 
 
5.00% due 05/01/251 
1,724,000 
1,820,889 
Allegiant Travel Co. 
 
 
5.50% due 07/15/191 
1,750,000 
1,815,625 
Chester Downs & Marina LLC / Chester Downs Finance Corp. 
 
 
9.25% due 02/01/202 
1,771,000 
1,815,275 
United Continental Holdings, Inc. 
 
 
6.00% due 12/01/201 
1,500,000 
1,635,000 
TRI Pointe Group Inc. / TRI Pointe Homes Inc. 
 
 
4.38% due 06/15/191 
1,558,000 
1,606,687 
Goodyear Tire & Rubber Co. 
 
 
5.13% due 11/15/23 
1,546,000 
1,596,245 
Hanesbrands, Inc. 
 
 
4.63% due 05/15/241,2 
1,486,000 
1,534,295 
Six Flags Entertainment Corp. 
 
 
4.88% due 07/31/241,2 
1,469,000 
1,514,906 
Brinker International, Inc. 
 
 
5.00% due 10/01/242 
1,447,000 
1,450,618 
Wolverine World Wide, Inc. 
 
 
5.00% due 09/01/261,2 
1,200,000 
1,201,500 
 
See notes to financial statements.

24 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT

 

   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 64.4% (continued) 
 
 
Consumer, Cyclical – 12.7% (continued) 
 
 
Speedway Motorsports, Inc. 
 
 
5.13% due 02/01/231 
1,100,000 
$ 1,144,000 
Beacon Escrow Corp. 
 
 
4.88% due 11/01/252 
964,000 
980,581 
CRC Escrow Issuer LLC / CRC Finco, Inc. 
 
 
5.25% due 10/15/252 
484,000 
488,380 
Total Consumer, Cyclical 
 
45,011,971 
 
Communications – 8.4% 
 
 
Sprint Corp. 
 
 
7.88% due 09/15/231 
2,000,000 
2,239,999 
7.63% due 02/15/251 
965,000 
1,060,294 
SFR Group S.A. 
 
 
7.38% due 05/01/261,2 
2,678,000 
2,888,892 
Charter Communications Operating LLC / Charter Communications Operating Capital 
 
 
4.91% due 07/23/251 
2,617,000 
2,788,379 
CBS Radio, Inc. 
 
 
7.25% due 11/01/241,2 
2,249,000 
2,364,261 
Frontier Communications Corp. 
 
 
11.00% due 09/15/251 
2,769,000 
2,364,034 
DISH DBS Corp. 
 
 
5.88% due 11/15/241 
1,509,000 
1,512,773 
6.75% due 06/01/211 
800,000 
842,000 
CenturyLink, Inc. 
 
 
6.75% due 12/01/231 
2,011,000 
2,099,484 
AMC Networks, Inc. 
 
 
4.75% due 12/15/221 
2,040,000 
2,098,650 
Hughes Satellite Systems Corp. 
 
 
6.50% due 06/15/191 
1,718,000 
1,825,375 
CommScope, Inc. 
 
 
5.50% due 06/15/241,2 
1,500,000 
1,567,500 
Sinclair Television Group, Inc. 
 
 
5.88% due 03/15/261,2 
1,485,000 
1,505,419 
CCO Holdings LLC / CCO Holdings Capital Corp. 
 
 
5.25% due 09/30/221 
1,400,000 
1,444,625 
Urban One, Inc. 
 
 
7.38% due 04/15/221,2 
1,100,000 
1,109,625 
CB Escrow Corp. 
 
 
8.00% due 10/15/252 
965,000 
1,001,188 
Tribune Media Co. 
 
 
5.88% due 07/15/221 
935,000 
974,738 
Total Communications 
 
29,687,236 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 25

 

   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 64.4% (continued) 
 
 
Energy – 7.4% 
 
 
PDC Energy, Inc.1 
 
 
6.13% due 09/15/24 
2,150,000 
$ 2,254,812 
Murphy Oil Corp. 
 
 
5.75% due 08/15/251 
2,174,000 
2,250,089 
Parsley Energy LLC / Parsley Finance Corp. 
 
 
5.63% due 10/15/272 
2,170,000 
2,244,605 
Oasis Petroleum, Inc. 
 
 
6.88% due 01/15/231 
2,158,000 
2,206,555 
CONSOL Energy, Inc. 
 
 
8.00% due 04/01/231 
1,891,000 
2,032,825 
Andeavor Logistics Limited Partnership / Tesoro Logistics Finance Corp. 
 
 
6.13% due 10/15/211 
1,929,000 
1,994,104 
Genesis Energy, LP / Genesis Energy Finance Corp. 
 
 
6.00% due 05/15/231 
1,896,000 
1,910,220 
PBF Holding Company LLC / PBF Finance Corp. 
 
 
7.25% due 06/15/251 
1,686,000 
1,747,118 
Cheniere Corpus Christi Holdings LLC 
 
 
5.13% due 06/30/271,2 
1,664,000 
1,720,160 
Continental Resources, Inc. 
 
 
4.50% due 04/15/231 
1,676,000 
1,701,140 
SESI LLC 
 
 
7.75% due 09/15/242 
1,456,000 
1,510,600 
Whiting Petroleum Corp. 
 
 
5.00% due 03/15/191 
1,474,000 
1,494,268 
Diamondback Energy, Inc. 
 
 
4.75% due 11/01/241 
1,440,000 
1,472,400 
CONSOL Mining Corp. 
 
 
11.00% due 11/15/252 
1,302,000 
1,337,805 
Alliance Resource Operating Partners Limited Partnership / Alliance Resource Finance Corp. 
 
 
7.50% due 05/01/252 
261,000 
276,660 
Total Energy 
 
26,153,361 
 
Basic Materials – 6.8% 
 
 
NOVA Chemicals Corp. 
 
 
5.00% due 05/01/251,2 
2,345,000 
2,391,899 
5.25% due 08/01/231,2 
1,600,000 
1,656,000 
FMG Resources August 2006 Pty Ltd. 
 
 
9.75% due 03/01/221,2 
1,853,000 
2,075,359 
5.13% due 05/15/242 
477,000 
492,503 
4.75% due 05/15/222 
238,000 
243,653 
First Quantum Minerals Ltd. 
 
 
7.25% due 04/01/231,2 
2,044,000 
2,166,639 
Commercial Metals Co. 
 
 
4.88% due 05/15/231 
1,889,000 
1,969,282 
 
See notes to financial statements.

26 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 64.4% (continued) 
 
 
Basic Materials – 6.8% (continued) 
 
 
Alcoa Nederland Holding B.V. 
 
 
6.75% due 09/30/242 
1,480,000 
$ 1,652,450 
Tronox Finance LLC 
 
 
7.50% due 03/15/221,2 
1,437,000 
1,514,239 
TPC Group, Inc. 
 
 
8.75% due 12/15/202 
1,483,000 
1,457,048 
Freeport-McMoRan, Inc. 
 
 
2.38% due 03/15/181 
1,381,000 
1,384,453 
Kaiser Aluminum Corp. 
 
 
5.88% due 05/15/241 
1,162,000 
1,253,508 
Compass Minerals International, Inc. 
 
 
4.88% due 07/15/241,2 
1,197,000 
1,186,526 
United States Steel Corp. 
 
 
6.88% due 08/15/25 
964,000 
982,678 
AK Steel Corp. 
 
 
7.50% due 07/15/23 
900,000 
977,625 
Cornerstone Chemical Co. 
 
 
6.75% due 08/15/242 
868,000 
879,935 
Big River Steel LLC / BRS Finance Corp. 
 
 
7.25% due 09/01/252 
727,000 
781,525 
Kraton Polymers LLC / Kraton Polymers Capital Corp. 
 
 
10.50% due 04/15/232 
480,000 
547,200 
Tronox Finance plc 
 
 
5.75% due 10/01/252 
364,000 
380,835 
Total Basic Materials 
 
23,993,357 
 
Industrial – 6.1% 
 
 
MasTec, Inc. 
 
 
4.88% due 03/15/231 
2,612,000 
2,690,360 
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US, Inc. 
 
 
8.13% due 11/15/211,2 
2,584,000 
2,286,840 
Louisiana-Pacific Corp. 
 
 
4.88% due 09/15/241 
2,151,000 
2,223,596 
Energizer Holdings, Inc. 
 
 
5.50% due 06/15/251,2 
1,925,000 
2,026,063 
Xerium Technologies, Inc. 
 
 
9.50% due 08/15/211 
1,930,000 
1,987,320 
CNH Industrial Capital LLC 
 
 
3.38% due 07/15/191 
1,902,000 
1,937,663 
Ball Corp. 
 
 
4.38% due 12/15/20 
1,808,000 
1,905,180 
TransDigm, Inc. 
 
 
6.38% due 06/15/261 
1,618,000 
1,650,360 
Shape Technologies Group, Inc. 
 
 
7.63% due 02/01/201,2 
1,472,000 
1,520,753 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 27

 

   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 64.4% (continued) 
 
 
Industrial – 6.1% (continued) 
 
 
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. 
 
 
7.38% due 01/15/222 
1,520,000 
$ 1,254,000 
KLX, Inc. 
 
 
5.88% due 12/01/221,2 
1,000,000 
1,050,000 
Eletson Holdings, Inc. 
 
 
9.63% due 01/15/221,2 
1,400,000 
997,500 
Total Industrial 
 
21,529,635 
 
Technology – 3.7% 
 
 
Qorvo, Inc. 
 
 
6.75% due 12/01/231 
1,898,000 
2,061,703 
7.00% due 12/01/251 
1,000,000 
1,144,050 
Seagate HDD Cayman 
 
 
4.75% due 01/01/251,2 
2,397,000 
2,379,063 
Western Digital Corp. 
 
 
10.50% due 04/01/241 
1,587,000 
1,866,312 
West Corp. 
 
 
8.50% due 10/15/252 
1,635,000 
1,596,169 
Entegris, Inc. 
 
 
6.00% due 04/01/221,2 
1,500,000 
1,569,375 
First Data Corp. 
 
 
5.38% due 08/15/231,2 
1,348,000 
1,406,975 
ACI Worldwide, Inc. 
 
 
6.38% due 08/15/201,2 
1,000,000 
1,019,875 
Total Technology 
 
13,043,522 
 
Financial – 2.9% 
 
 
Alliance Data Systems Corp. 
 
 
6.38% due 04/01/201,2 
1,500,000 
1,520,625 
5.88% due 11/01/211,2 
1,200,000 
1,245,000 
Starwood Property Trust, Inc. 
 
 
5.00% due 12/15/211 
2,279,000 
2,392,950 
Credit Acceptance Corp. 
 
 
7.38% due 03/15/231 
2,158,000 
2,276,690 
Navient Corp. 
 
 
5.50% due 01/15/191 
1,674,000 
1,730,498 
Ally Financial, Inc. 
 
 
8.00% due 03/15/201 
1,100,000 
1,238,875 
Total Financial 
 
10,404,638 
 
Utilities – 0.6% 
 
 
AmeriGas Partners, LP / AmeriGas Finance Corp. 
 
 
5.75% due 05/20/27 
1,929,000 
1,979,636 
Total Corporate Bonds 
 
 
(Cost $223,281,269) 
 
227,735,076 
 
See notes to financial statements.

28 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 1.7% 
 
 
Consumer, Cyclical – 0.8% 
 
 
PetSmart, Inc. 
 
 
4.35% (3 Month USD LIBOR + 300 bps) due 03/10/22 
2,187,563 
$ 1,885,065 
Intrawest Resorts Holdings, Inc. 
 
 
4.63% (3 Month USD LIBOR + 325 bps) due 07/31/24 
1,074,900 
1,078,931 
Total Consumer, Cyclical 
 
2,963,996 
 
Communications – 0.5% 
 
 
Sprint Communications, Inc. 
 
 
3.75% (3 Month USD LIBOR + 250 bps) due 02/02/24 
1,648,715 
1,655,486 
 
Consumer, Non-cyclical – 0.4% 
 
 
SUPERVALU, Inc. 
 
 
4.83% (3 Month USD LIBOR + 350 bps) due 06/08/24 
1,542,250 
1,488,271 
Total Senior Floating Rate Interests 
 
 
(Cost $6,461,678) 
 
6,107,753 
Total Investments – 163.3% 
 
 
(Cost $549,798,654) 
 
$ 576,909,665 
Other Assets & Liabilities, net – (63.3)% 
 
(223,520,630) 
Total Net Assets – 100.0% 
 
$ 353,389,035 
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† 
 
 
 
Contracts to Buy 
 
Settlement 
Settlement 
Value at 
Net Unrealized 
Counterparty 
(Sell) 
Currency 
Date 
Value 
October 31, 2017 
Appreciation 
Bank of New York Mellon 
(849,000) 
CAD 
12/14/17 
$699,889 
$658,887 
$41,002 
Bank of New York Mellon 
(746,000) 
GBP 
12/14/17 
992,292 
992,040 
252 
 
 
 
 
 
Total Appreciation 
$41,254 
 
~
 
The face amount is denominated in U.S. dollars unless otherwise indicated.
*  
Non-income producing security.
 
Value determined based on Level 1 inputs — See Note 2.
††  
Value determined based on Level 2 inputs — See Note 2.
1  
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of October 31, 2017, the total value of securities segregated was $348,760,250.
2  
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 $171,305,897 (cost $164,311,664), or 48.5% of total net assets.
3  
Rate indicated is the 7 day yield as of October 31, 2017.
4  
Zero coupon rate security.
5  
Perpetual maturity.
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 29


   
PORTFOLIO OF INVESTMENTS continued 
October 31, 2017 
 
6
 
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
7
 
Variable rate security. Rate indicated is rate effective at October 31, 2017.
8
 
Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.
     
plc 
 
Public Limited Company 
LIBOR 
 
London Interbank Offered Rate 
CAD 
 
Canadian Dollar 
GBP 
 
Great Britain Pound 
 
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 2 in the Notes to Financial Statements):
 
       
Level 2
   
Level 3
       
  
 
Level 1
   
Significant
   
Significant
       
  
 
Quoted
   
Observable
   
Unobservable
       
Investments in Securities (Assets) 
 
Prices
   
Inputs
   
Inputs
   
Total
 
Common Stocks 
 
$
44,622,329
   
$
   
$
   
$
44,622,329
 
Convertible Preferred Stocks 
   
37,799,656
     
     
     
37,799,656
 
Money Market Fund 
   
22,455,584
     
     
     
22,455,584
 
Convertible Bonds 
   
     
238,189,267
     
     
238,189,267
 
Corporate Bonds 
   
     
227,735,076
     
     
227,735,076
 
Senior Floating Rate Interests 
   
     
6,107,753
     
     
6,107,753
 
Forward Foreign Currency 
                               
Exchange Contracts* 
   
     
41,254
     
     
41,254
 
Total Assets 
 
$
104,877,569
   
$
472,073,350
   
$
   
$
576,950,919
 
 
* 
This amount is reported as unrealized gain as of October 31, 2017. 
 
 
 
Please refer to the detailed portfolio for the breakdown of investment type by industry category.
The Fund did not hold any Level 3 securities during the year ended October 31, 2017.
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
See notes to financial statements.

30 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
STATEMENT OF ASSETS AND LIABILITIES 
October 31, 2017 
 
ASSETS: 
     
Investments, at value (cost $549,798,654) 
 
$
576,909,665
 
Cash 
   
6,491
 
Unrealized appreciation on forward foreign currency exchange contracts 
   
41,254
 
Receivables: 
       
Interest 
   
4,636,285
 
Investments sold 
   
1,651,433
 
Dividends 
   
392,506
 
Tax reclaims 
   
1,690
 
Other assets 
   
20,920
 
Total assets 
   
583,660,244
 
LIABILITIES: 
       
Margin loan 
   
150,000,000
 
Reverse repurchase agreements 
   
77,000,000
 
Interest due on borrowings 
   
12,255
 
Payable for: 
       
Investments purchased 
   
2,539,776
 
Investment advisory fees 
   
266,732
 
Professional fees 
   
203,540
 
Servicing fees 
   
103,729
 
Other fees 
   
145,177
 
Total liabilities 
   
230,271,209
 
NET ASSETS 
 
$
353,389,035
 
NET ASSETS CONSIST OF: 
       
Common stock, $0.001 par value per share; unlimited number of shares authorized, 
       
20,043,745 shares issued and outstanding 
 
$
20,044
 
Additional paid-in capital 
   
360,576,088
 
Distributions in excess of net investment income 
   
(995,941
)
Accumulated net realized loss on investments, written options, foreign currency 
       
transactions, forward foreign currency exchange contracts and swap agreements 
   
(33,362,973
)
Net unrealized appreciation on investments, written options, foreign currency 
       
translations, forward foreign currency exchange contracts and swap agreements 
   
27,151,817
 
NET ASSETS 
 
$
353,389,035
 
Shares outstanding ($0.001 par value with unlimited amount authorized) 
   
20,043,745
 
Net asset value, offering price and redemption price per share 
 
$
17.63
 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 31


   
STATEMENT OF OPERATIONS 
October 31, 2017 
For the Year Ended October 31, 2017 
 
 
INVESTMENT INCOME: 
     
Interest 
 
$
21,985,130
 
Dividends, net of foreign taxes withheld of $88,994 
   
4,804,613
 
Total investment income 
   
26,789,743
 
EXPENSES: 
       
Interest expense 
   
4,861,042
 
Investment advisory fees 
   
3,493,570
 
Servicing fees 
   
1,369,002
 
Professional fees 
   
272,252
 
Trustees’ fees and expenses* 
   
163,935
 
Printing fees 
   
156,241
 
Administration fees 
   
137,786
 
Fund accounting fees 
   
123,207
 
Insurance 
   
84,320
 
Custodian fees 
   
27,087
 
NYSE listing fees 
   
23,725
 
Transfer agent fees 
   
19,556
 
Other fees 
   
40,266
 
Total expenses 
   
10,771,989
 
Net investment income 
   
16,017,754
 
NET REALIZED AND UNREALIZED GAIN (LOSS): 
       
Net realized gain (loss) on: 
       
Investments 
   
20,935,854
 
Foreign currency transactions 
   
78,197
 
Forward foreign currency exchange contracts 
   
111,133
 
Written options 
   
113,911
 
Purchased options 
   
(39,249
)
Swap agreements 
   
(532,767
)
Net realized gain 
   
20,667,079
 
Net change in unrealized appreciation (depreciation) on: 
       
Investments 
   
21,533,669
 
Foreign currency translations 
   
2,052
 
Forward foreign currency exchange contracts 
   
(318,424
)
Swap agreements 
   
444,479
 
Net change in unrealized appreciation (depreciation) 
   
21,661,776
 
Net realized and unrealized gain 
   
42,328,855
 
Net increase in net assets resulting from operations 
 
$
58,346,609
 
 
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.

32 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


     
STATEMENTS OF CHANGES IN NET ASSETS 
 
October 31, 2017 
 
 
 
Year Ended
   
Year Ended
 
 
 
October 31, 2017
   
October 31, 2016
 
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: 
           
Net investment income 
 
$
16,017,754
   
$
17,594,006
 
Net realized gain (loss) on investments, written options, 
               
purchased options, foreign currency transactions, forward 
               
foreign currency exchange contracts and swap agreements 
   
20,667,079
     
(23,133,711
)
Net change in unrealized appreciation (depreciation) on 
               
investments, written options, foreign currency 
               
translations, forward foreign currency exchange contracts 
               
and swap agreements 
   
21,661,776
     
12,069,092
 
Net increase in net assets resulting from operations 
   
58,346,609
     
6,529,387
 
DISTRIBUTIONS TO SHAREHOLDERS FROM: 
               
Net investment income 
   
(17,334,952
)
   
(17,294,523
)
Return of capital 
   
(11,167,493
)
   
(9,276,409
)
Total distributions 
   
(28,502,445
)
   
(26,570,932
)
SHAREHOLDER TRANSACTIONS: 
               
Cost of shares redeemed through tender offer 
   
(59,968,535
)
   
 
Net decrease in net assets 
   
(30,124,371
)
   
(20,041,545
)
NET ASSETS: 
               
Beginning of year 
   
383,513,406
     
403,554,951
 
End of year 
 
$
353,389,035
   
$
383,513,406
 
Distributions in excess of net investment income at end of year 
 
$
(995,941
)
 
$
(1,531,151
)
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 33


   
STATEMENT OF CASH FLOWS 
October 31, 2017 
For the Year Ended October 31, 2017 
 
 
Cash Flows from Operating Activities: 
     
Net increase in net assets resulting from operations 
 
$
58,346,609
 
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to 
       
Net Cash Provided by Operating and Investing Activities: 
       
Net change in unrealized (appreciation) depreciation on investments 
   
(21,533,669
)
Net change in unrealized (appreciation) depreciation on swap agreements 
   
(444,479
)
Net change in unrealized (appreciation) depreciation on foreign currency translations 
   
(2,052
)
Net change in unrealized (appreciation) depreciation on forward foreign 
       
       currency exchange contracts 
   
318,424
 
Net realized gain on investments 
   
(20,935,854
)
Net realized gain on written options 
   
(113,911
)
Net realized loss on purchased options 
   
39,249
 
Purchase of long-term investments 
   
(668,975,073
)
Proceeds from sale of long-term investments 
   
761,677,641
 
Net proceeds (purchases) from sale of short-term investments 
   
12,931,606
 
Net amortization/(accretion) of premium/discount 
   
(957,693
)
Premiums received on written options 
   
1,252,813
 
Net change in premiums received on swap agreements 
   
(636,708
)
Cost of closing written options 
   
(997,614
)
Decrease in restricted cash 
   
2,475,828
 
Increase in dividends receivable 
   
(189,343
)
Decrease in interest receivable 
   
586,635
 
Decrease in investments sold receivable 
   
3,821,099
 
Increase in tax reclaims receivable 
   
(100
)
Decrease in other assets 
   
11,710
 
Decrease in investments purchased payable 
   
(4,227,796
)
Decrease in interest due on borrowings 
   
(246,252
)
Increase in investment advisory fees payable 
   
78,413
 
Increase in professional fees payable 
   
32,917
 
Decrease in servicing fees payable 
   
(122,415
)
Decrease in administrative fees payable 
   
(11,536
)
Decrease in other fees payable 
   
(41,702
)
Net Cash Provided by Operating and Investing Activities 
   
122,136,747
 
Cash Flows From Financing Activities: 
       
Distributions to common shareholders 
   
(28,502,445
)
Payment on margin loan 
   
(20,000,000
)
Payment on reverse repurchase agreements 
   
(15,000,000
)
Payment for common shares redeemed through tender offer 
   
(59,968,535
)
       Net Cash Used in Financing Activities 
   
(123,470,980
)
Net Decrease in Cash 
   
(1,334,233
)
Cash at Beginning of Period 
   
1,340,724
 
Cash at End of Period 
   
6,491
 
Supplemental Disclosure of Cash Flow Information: 
       
Cash paid during the period for interest 
 
$
5,107,294
 
 
See notes to financial statements.

34 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


           
FINANCIAL HIGHLIGHTS 
 
 
 
October 31, 2017 
 
 
 
Year Ended 
Year Ended 
Year Ended 
Year Ended 
Year Ended 
 
October 31, 
October 31, 
October 31, 
October 31, 
October 31, 
 
2017 
2016 
2015 
2014 
2013 
 
Per Share Data: 
 
 
 
 
 
Net asset value, beginning of period 
$ 16.26 
$ 17.11 
$ 19.00 
$ 19.76 
$ 17.19 
Income from investment operations: 
 
 
 
 
 
Net investment income(a) 
0.69 
0.75 
0.65 
0.71 
0.74 
Net gain (loss) on investments (realized and unrealized) 
1.86 
(0.47) 
(1.41) 
(0.34) 
2.87 
Distributions to preferred shareholders from net investment 
 
 
 
 
 
income (common share equivalent basis) 
 
 
 
 
(0.02) 
Total from investment operations 
2.55 
0.28 
(0.76) 
0.37 
3.59 
Less distributions from: 
 
 
 
 
 
Net investment income 
(0.75) 
(0.74) 
(0.76) 
(1.13) 
(1.13) 
Return of capital 
(0.49) 
(0.39) 
(0.37) 
 
 
Total distributions to shareholders 
(1.24) 
(1.13) 
(1.13) 
(1.13) 
(1.13) 
Increase resulting from tender and repurchase of Auction 
 
 
 
 
 
Market Preferred Shares (Note 8) 
 
 
 
 
0.11 
Increase resulting from tender offer and repurchase of Common Shares (Note 8) 
0.06 
 
 
 
 
Net asset value, end of period 
$ 17.63 
$ 16.26 
$ 17.11 
$ 19.00 
$ 19.76 
Market value, end of period 
$ 16.09 
$ 14.01 
$ 14.13 
$ 17.34 
$ 17.81 
Total Return(b) 
 
 
 
 
 
Net asset value 
16.55% 
1.94% 
(4.20%) 
1.73% 
22.09%(c) 
Market value 
24.20% 
7.57% 
(12.57%) 
3.49% 
12.90% 
Ratios/Supplemental Data: 
 
 
 
 
 
Net assets, end of period (in thousands) 
$ 353,389 
$ 383,513 
$ 403,555 
$ 448,033 
$ 466,031 
 
See notes to financial statements.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 35

 
FINANCIAL HIGHLIGHTS continued 
 
 
 
October 31, 2017 
 
 
 
Year Ended 
Year Ended 
Year Ended 
Year Ended 
Year Ended 
 
October 31, 
October 31, 
October 31, 
October 31, 
October 31, 
 
2017 
2016 
2015 
2014 
2013 
Ratio to average net assets of: 
 
 
 
 
 
Net investment income, prior to the effect of dividends to 
 
 
 
 
 
preferred shares, including interest expense 
4.04% 
4.66% 
3.56% 
3.58% 
3.96% 
Net Investment Income, after the effect of dividends to preferred 
 
 
 
 
 
shares, including interest expense 
4.04% 
4.66% 
3.56% 
3.58% 
3.85% 
Total expenses(d)(e) 
2.72% 
2.92% 
2.48% 
2.32% 
2.37% 
Portfolio turnover rate 
110% 
98% 
117% 
264% 
240% 
Senior Indebtness 
 
 
 
 
 
Total Borrowings outstanding (in thousands) 
$ 227,000 
$ 262,000 
$ 262,000 
$ 262,000 
$ 262,000 
Asset Coverage per $1,000 of indebtedness(f) 
$ 2,557 
$ 2,464 
$ 2,540 
$ 2,710 
$ 2,779 
 
(a)   Based on average shares outstanding.
(b)   Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total return does not reflect brokerage commissions.
(c)   Included in the total return at net asset value is the impact of the tender and repurchase by the Fund of a portion of its Auction Market Preferred Shares (“AMPS”) at 99% of the AMPS’ per share liquidation preference. Had this transaction not occurred, the total return at net asset value would have been lowered by 0.67%.
(d)   Expense ratio does not reflect the fees and expenses incurred directly by the Fund as a result of its investment in shares of business development companies. If these fees were included in the expense ratio, the increase to the expense ratio would be approximately 0.00%, 0.01%, 0.01%, 0.08% and 0.02% for the years ended October 31, 2017, 2016, 2015, 2014 and 2013.
(e)   Excluding interest expense, the operating expense ratio for the years ended October 31 would be:
2017 
2016 
2015 
2014 
2013 
1.49% 
1.52% 
1.42% 
1.37% 
1.47% 
 
(f)    Calculated by subtracting the Fund’s total liabilities (not including borrowings) from the Fund’s total assets and dividing by the total borrowings.
See notes to financial statements.

36 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT

 
   
NOTES TO FINANCIAL STATEMENTS 
October 31, 2017 
 
Note 1 – Organization:
Advent Claymore Convertible Securities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on February 19, 2003. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended.
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.
Note 2 – 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 (“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 and disclosure of 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.
The following is a summary of significant accounting policies followed by the Fund.
(a) Valuation of Investments
Equity securities listed on an exchange are valued at the last reported sale price on the primary exchange on which they are traded. Equity securities traded on an exchange or on the over-the-counter market and for which there are no transactions on a given day are valued at the mean of the closing bid and ask prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Equity securities not listed on a securities exchange or NASDAQ are valued at the mean of the closing bid and ask prices. Debt securities are valued by independent pricing services or dealers using the mean of the closing bid and ask 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 providers or broker-dealers may utilize proprietary valuation models which 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. Exchange-traded funds and listed closed-end funds are valued at the last sale price or official closing price on the exchange where the security is principally traded. Exchange-traded options are valued at the closing price, if traded that day. If not traded, they are valued at the mean of the bid and ask prices on the primary exchange on which they are traded. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. The value of over-the-counter (“OTC”) swap agreements entered into by the Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value provided by an independent pricing service. Forward foreign currency exchange contracts are valued

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 37


   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
daily at current exchange rates. Swaps are valued daily by independent pricing services or dealers using the mid price. Short-term securities with remaining maturities of 60 days or less are valued at market price, or if a market price is not available, at amortized cost, provided such amount approximates market value. The Fund values money market funds at net asset value.
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Board of Trustees.
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one security 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 Treasuries, and other information analysis. There were no securities fair valued in accordance with such procedures established by the Board of Trustees as of October 31, 2017.
GAAP requires disclosure of fair valuation measurements as of each measurement date. In compliance with GAAP, the Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s investments and summarized in the following fair value hierarchy:
Level 1 – quoted prices in active markets for identical securities
Level 2 – quoted prices in inactive markets or other significant observable inputs (e.g., quoted prices for similar securities; interest rates; prepayment speed; credit risk; yield curves)
Level 3 – significant unobservable inputs (e.g., discounted cash flow analysis; non-market based methods used to determine fair value)
Observable inputs are those based upon market data obtained from independent sources, and unobservable inputs reflect the Fund’s own assumptions based on the best information available. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following are certain inputs and techniques that are generally utilized to evaluate how to classify each major type of investment in accordance with GAAP.

38 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
Equity Securities (Common and Preferred Stock) – Equity securities traded in active markets where market quotations are readily available are categorized as Level 1. Equity securities traded in inactive markets and certain foreign equities are valued using inputs which include broker quotes, prices of securities closely related where the security held is not trading but the related security is trading, and evaluated price quotes received from independent pricing providers. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
Convertible Bonds & Notes – Convertible bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, prices of securities with comparable maturities and qualities, and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
Corporate Bonds & Notes – Corporate bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, and prices of securities with comparable maturities and qualities, and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and categorized in Level 1 of the fair value hierarchy. OTC derivative contracts including forward currency contracts, swap contracts and option contracts derive their value from underlying asset prices, indices, reference rates, and other inputs. Depending on the product and terms of the transaction, the fair value of the OTC derivative products can be modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments, and the pricing inputs are observed from actively quoted markets. These OTC derivatives are categorized within Level 2 of the fair value hierarchy.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts on debt securities purchased are accreted to interest income over the lives of the respective securities using the effective interest method. Premiums on debt securities purchased are amortized to interest income up to the next call date of the respective securities using the effective interest method.
(c) Cash and Cash Equivalents
The Fund considers all demand deposits to be cash equivalents. Cash and cash equivalents are held at the Bank of New York Mellon.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 39

 
   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
(d) Due from Broker
Amounts due from broker, if any, may include cash due to the Fund as proceeds from investments sold, but not yet purchased as well as pending investment and financing transactions, which may be restricted until the termination of the financing transactions.
(e) Restricted Cash
A portion of cash on hand is pledged with a broker for current or potential holdings, which includes options, swaps, forward foreign currency exchange contracts and securities purchased on a when issued or delayed delivery basis.
On October 31, 2017, there was no restricted cash.
(f) Convertible Securities
The Fund invests in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. Traditionally, convertible securities have paid dividends or interest greater than on the related common stocks, but less than fixed income non-convertible securities. By investing in a convertible security, the Fund may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if it had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock.
(g) Currency Translation
Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the bid and ask price of the respective exchange rates on the last day of the period. Purchases and sales of investments denominated in foreign currencies are translated at the mean of the bid and ask price of respective exchange rates on the date of the transaction.
The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Foreign exchange realized gain or loss resulting from the holding of a foreign currency, difference in the exchange rates between the trade date and settlement date of an investment purchased or sold, and the difference between dividends actually received compared to the amount shown in a Fund’s accounting records on the date of receipt are included as net realized gains or losses on foreign currency transactions in the Fund’s Statement of Operations.
Foreign exchange gain or loss on assets and liabilities, other than investments, are included in unrealized appreciation (depreciation) on foreign currency translations in the Fund’s Statement of Operations.
(h) Covered Call and Put Options
The Fund will pursue its objective by employing an option strategy of writing (selling) covered call options or put options on up to 25% of the securities held in the portfolio of the Fund. The Fund

40 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
seeks to generate current gains from option premiums as a means to enhance distributions payable to shareholders.
The Fund may purchase and sell (“write”) put and call options to manage and hedge risk within its portfolio and to gain long or short exposure to the underlying instrument. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
When an option is purchased, the premium paid by the Fund for options purchased is included on the Statement of Assets and Liabilities as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on Purchased options on the Statement of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the security.
When an option is written, the premium received is recorded as an asset with an equal liability and is subsequently marked to market to reflect the current market value of the option written. These liabilities are reflected as Written options, at value, in the Statement of Assets and Liabilities. Premiums received from writing options which expire unexercised are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transactions, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss.
The Fund is not subject to credit risk in options written as the counterparty has already performed its obligations by paying the premium at the inception of the contract.
(i) Swap Agreements
The Fund may engage in various swap transactions, including interest rate and credit default swaps to manage interest rate (e.g., duration, yield curve) and credit risk. The Fund may also use swaps as alternatives to direct investments. Swap transactions are negotiated contracts (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows or assets at specified, future intervals.
Upfront payments made and/or received by the Fund is recognized as a realized gain or loss when the contract matures or is terminated. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statement of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statement of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statement of Assets and Liabilities.

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 41


   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on swap agreements on the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Cash collateral posted by the Fund is included on the Statement of Assets and Liabilities as Restricted Cash. Collateral received by the Fund is held in escrow in segregated accounts maintained by the custodian.
(j) Forward Foreign Currency Exchange Contracts
The Fund enters into forward foreign currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchases and sales commitments denominated in foreign currencies and for investment purposes. Forward foreign currency exchange contracts are agreements between two parties to buy and sell currencies at a set price on a future date. Fluctuations in the value of open forward foreign currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and depreciation by the Fund until the contracts are closed. When the contracts are closed, realized gains and losses are recorded, and included in realized gain (loss) on forward foreign currency exchange contracts on the Statement of Operations.
Forward foreign currency exchange contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.
(k) Senior Floating Rate Interests
Senior floating rate interests, or term loans, in which the Fund typically invests are not listed on a securities exchange or board of trade. Term loans are typically bought and sold by institutional investors in individually negotiated transactions. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. The term loan market generally has fewer trades and less liquidity than the secondary market for other types of securities. Due to the nature of the term loan market, the actual settlement date may not be certain at the time of purchase or sale. Interest income on term loans is not accrued until settlement date. Typically, term loans are valued by independent pricing services using broker quotes.
(l) Reverse Repurchase Agreements
In a reverse repurchase agreement, the Fund delivers to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are valued based on the amount of cash received, which represents fair value. Reverse repurchase agreements are reflected as a liability on the Statement of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the

42 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
Statement of Operations. The Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the life of the agreement, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited.
(m) Risks and Other Considerations
In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to, among other things, changes in the market (market risk) or the potential inability of a counterparty to meet the terms of an agreement (counterparty risk). The Fund is also exposed to other risks such as, but not limited to, concentration, interest rate, credit and financial leverage risks.
Concentration of Risk. It is the Fund’s policy to invest a significant portion of its assets in convertible securities. Although convertible securities do derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Fund’s investments include features which render them more sensitive to price changes in their underlying securities. Consequently, this exposes the Fund to greater downside risk than traditional convertible securities, but still less than that of the underlying common stock.
Credit Risk. Credit risk is the risk that one or more income securities in the Fund’s portfolio will decline in price, or fail to pay interest and principal when due, because the issuer of the security experiences a decline in its financial status. The Fund’s investments in income securities involve credit risk. However, in general, lower rated, lower grade and non-investment grade 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.
Interest Rate Risk. Convertible and nonconvertible income-producing securities including preferred stock and debt securities (collectively, “income securities”) are subject to certain interest rate risks. If interest rates go up, the value of income securities in the Fund’s portfolio generally will decline. These risks may be greater in the current market environment because interest rates are near historically low levels. During periods of rising interest rates, the average life of certain types of income 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. 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.
Lower Grade Securities Risk. Investing in lower grade and non-investment grade securities involves additional risks. Securities of below investment grade quality are commonly referred to as “junk bonds” or “high yield securities.” Investment in securities of below investment grade quality involves substantial risk of loss. Securities of below investment grade quality are predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal when due and therefore

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 43

 
   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
involve a greater risk of default or decline in market value due to adverse economic and issuer specific developments. Issuers of below investment grade securities are not perceived to be as strong financially as those with higher credit ratings. Issuers of lower grade securities may be highly leveraged and may not have available to them more traditional methods of financing. Therefore, the risks associated with acquiring the securities of such issuers generally are greater than is the case with higher rated securities. These issuers are more vulnerable to financial setbacks and recession than more creditworthy issuers, which may impair their ability to make interest and principal payments. The issuer’s ability to service its debt obligations also may be adversely affected by specific issuer developments, the issuer’s inability to meet specific projected business forecasts or the unavailability of additional financing. Therefore, there can be no assurance that in the future there will not exist a higher default rate relative to the rates currently existing in the market for lower grade securities. The risk of loss due to default by the issuer is significantly greater for the holders of lower grade securities because such securities may be unsecured and may be subordinate to other creditors of the issuer. Securities of below investment grade quality display increased price sensitivity to changing interest rates and to a deteriorating economic environment. The market values for securities of below investment grade quality tend to be more volatile and such securities tend to be less liquid than investment grade debt securities. To the extent that a secondary market does exist for certain below investment grade securities, the market for them may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods.
Structured and Synthetic Convertible Securities Risk. The value of structured convertible securities can be affected by interest rate changes and credit risks of the issuer. Such securities may be structured in ways that limit their potential for capital appreciation and the entire value of the security may be at a risk of loss depending on the performance of the underlying equity security. Structured convertible securities may be less liquid than other convertible securities. The value of a synthetic convertible security will respond differently to market fluctuations than a convertible security because a synthetic convertible security is composed of two or more separate securities, each with its own market value. In addition, if the value of the underlying common stock or the level of the index involved in the convertible component falls below the exercise price of the warrant or option, the warrant or option may lose all value.
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: news and events unique to a country or region; smaller market size, resulting in lack of liquidity and price volatility; certain national policies which may restrict the Fund’s investment opportunities; less uniformity in accounting and reporting requirements; unreliable securities valuation; and custody risk.
Financial Leverage Risk. Certain risks are associated with the leveraging of common stock, including the risk that 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.
Counterparty Risk. The Fund is subject to counterparty credit risk, which is the risk that the counterparty fails to perform on agreements with the Fund such as swap and option contracts, and reverse repurchase agreements.

44 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
(n) Distributions to Shareholders
The Fund declares and pays monthly distributions to common shareholders. These distributions consist of investment company taxable income, which generally includes qualified dividend income, ordinary income and short-term capital gains. Any net realized long-term gains are distributed annually to common shareholders. If the Fund’s total distributions in any year exceed the amount of its investment company taxable income and net capital gain for the year, any such excess would generally be characterized as a return of capital for U.S. federal income tax purposes.
Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
(o) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 3 – Investment Management Agreement, Servicing Agreement and Other Agreements:
Pursuant to the Investment Management Agreement (the “Agreement”) between the Fund and Advent Capital Management, LLC (“Advent” or the “Investment Adviser”), the Investment Adviser is responsible for the daily management for the Fund’s portfolio of investments, which includes buying and selling securities for the Fund, as well as investment research. The Investment Adviser will receive an annual fee from the Fund based on the average value of the Fund’s Managed Assets. Managed Assets means the total of assets of the Fund (including any assets attributable to borrowings in the use of financial leverage, if any) less the sum of accrued liabilities (other than debt representing financial leverage, if any). In addition, subject to the approval of the Fund’s Board of Trustees, a pro rata portion of the salaries, bonuses, health insurance, retirement benefits and similar employment costs for the time spent on Fund operations (other than the provision of services required under the Agreement) of all personnel employed by the Investment Adviser who devote substantial time to Fund operations may be reimbursed by the Fund to the Investment Adviser. For the year ended October 31, 2017, the Investment Adviser was not reimbursed by the Fund for these items. The annual fee will be determined as follows:
(a) If the average value of the Fund’s Managed Assets (calculated monthly) is greater than $250 million, the fee will be a maximum amount equal to 0.54% of the average value of the Fund’s Managed Assets.
(b) If the average value of the Fund’s Managed Assets (calculated monthly) is $250 million or less, the fee will be a maximum amount equal to 0.55% of the average value of the Fund’s Managed Assets.
Pursuant to a Servicing Agreement between the Fund and Guggenheim Funds Distributors, LLC, the Fund’s servicing agent (the “Servicing Agent”), the Servicing Agent will act as servicing agent to the

AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT l 45

 

   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
Fund. The Servicing Agent will receive an annual fee from the Fund, which will be based on the average value of the Fund’s Managed Assets. The fee will be determined as follows:
(a) If the average value of the Fund’s Managed Assets (calculated monthly) is greater than $250 million, the fee will be a maximum amount equal to 0.21% of the average value of the Fund’s Managed Assets.
(b) If the average value of the Fund’s Managed Assets (calculated monthly) is $250 million or less, the fee will be a maximum amount equal to 0.20% of the average value of the Fund’s Managed Assets.
The Bank of New York Mellon (“BNY”) acts as the Fund’s custodian and accounting agent. As custodian, BNY is responsible for the custody of the Fund’s assets. As accounting agent, BNY is responsible for maintaining the books and records of the Fund’s securities and cash.
MUFG Investor Services (US), LLC (“MUIS”) provides fund administration services to the Fund. For providing the aforementioned services, MUIS and BNY are entitled to receive a monthly fee equal to an annual percentage of the Fund’s average daily managed assets.
Certain officers and trustees of the Fund are also officers and directors of the Investment Adviser or Servicing Agent. The Fund does not compensate its officers or trustees who are officers of the aforementioned firms.
Note 4 – Federal Income Taxes:
The Fund intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year, the Fund avoids a 4% federal excise tax that is assessed on the amount of the under distribution.
In order to present paid-in capital in excess of par, distributions in excess of net investment income and accumulated net realized gains or losses on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to distributions in excess of net investment income, accumulated net realized gains or losses and paid-in capital. For the year ended October 31, 2017, the adjustments were to decrease paid-in capital by $93,255,062, decrease accumulated net realized loss by $91,402,654 and decrease distributions in excess of net investment income by $1,852,408 due to the difference in the treatment for book and tax purposes of distributions to shareholders, contingent payment debt instruments, real estate investment trusts, foreign currency, and capital loss carryforward expiration.
As of October 31, 2017, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized less for all securities for which there was an excess of tax cost over value, were as follows:
 
Gross Tax 
Gross Tax 
Net Tax 
 
Unrealized 
Unrealized 
Unrealized 
Tax Cost 
Appreciation 
Depreciation 
Appreciation 
$ 552,077,576 
$ 39,912,088 
$ (15,079,999) 
$ 24,832,089 
 

46 l AVK l ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND ANNUAL REPORT

 

   
NOTES TO FINANCIAL STATEMENTS continued 
October 31, 2017 
 
The differences between book basis and tax basis unrealized appreciation/(depreciation) are primarily attributable to the tax deferral of losses on wash sales and additional income adjustments for tax purposes on certain convertible securities.
As of October 31, 2017, tax components of accumulated earnings/ losses (excluding paid-in capital) were as follows:
Undistributed 
Undistributed