Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Shares

Value

COMMON STOCKS^† - 16.2%

Consumer, Non-cyclical - 6.6%

Biogen, Inc.^*,1

6,800

$

1,885,232

Bristol-Myers Squibb Co.

38,300

1,882,828

Gilead Sciences, Inc.¹

24,100

1,746,045

RELX N.V.¹

90,000

1,519,734

Cigna Corp.¹

9,600

1,403,712

Imperial Brands plc¹

30,000

1,386,490

Merck & Company, Inc.¹

20,000

1,239,800

Olympus Corp.¹

30,000

1,037,975

Macquarie Infrastructure Corp.

13,700

1,027,363

Roche Holding AG

4,000

944,658

Total Consumer, Non-cyclical

14,073,837

Financial - 2.8%

Wells Fargo & Co.

47,200

2,658,776

Lazard Ltd. — Class A¹

50,200

2,132,496

Unibail-Rodamco SE REIT¹

5,580

1,284,154

Total Financial

6,075,426

Communications - 2.2%

Verizon Communications, Inc.¹

39,000

1,911,390

CenturyLink, Inc.

61,200

1,582,632

Alphabet, Inc. — Class C^*

1,500

1,195,185

Total Communications

4,689,207

Industrial - 2.1%

Lockheed Martin Corp.

8,100

2,035,773

BAE Systems plc¹

240,000

1,757,315

Koninklijke Philips N.V.¹

28,512

836,109

Total Industrial

4,629,197

Consumer, Cyclical - 1.5%

General Motors Co.¹

61,400

2,247,854

Target Corp.¹

7,700

496,496

L Brands, Inc.¹

7,600

457,596

Total Consumer, Cyclical

3,201,946

Technology - 0.7%

KLA-Tencor Corp.¹

17,500

1,489,425

–

–

Basic Materials - 0.3%

LyondellBasell Industries N.V. — Class A

8,000

746,160

–

–

Total Common Stocks

(Cost $34,809,495)

34,905,198

CONVERTIBLE PREFERRED STOCKS^† - 9.4%

Consumer, Non-cyclical - 3.8%

Teva Pharmaceutical Industries Ltd.

7.00% due 12/15/18

5,794

3,572,581

Allergan plc

5.50% due 03/01/18¹

3,732

2,953,841

Anthem, Inc.

5.25% due 05/01/18¹

34,409

1,666,772

Total Consumer, Non-cyclical

8,193,194

Industrial - 2.3%

Stericycle, Inc.

5.25% due 09/15/18¹

31,200

2,037,983

Arconic, Inc.

5.38% due 10/01/17¹

48,350

1,772,995

Belden, Inc.

6.75% due 07/15/19¹

11,161

1,194,897

Total Industrial

5,005,875

Shares

Value

CONVERTIBLE PREFERRED STOCKS^† - 9.4% (continued)

Communications - 1.3%

Frontier Communications Corp.

11.13% due 06/29/18¹

36,828

$

2,692,495

Financial - 1.1%

Mandatory Exchangeable Trust

5.75% due 06/03/19²

9,261

1,144,335

AMG Capital Trust II

5.15% due 10/15/37¹

10,996

628,147

Wells Fargo & Co.

7.50%^1,3

427

513,307

Total Financial

2,285,789

Energy – 0.9%

Hess Corp.

8.00% due 02/01/19¹

31,600

2,045,784

–

Total Convertible Preferred Stocks

(Cost $22,626,058)

20,223,137

Value

SHORT TERM INVESTMENTS^† - 11.1%

Morgan Stanley Institutional Liquidity Government Portfolio

0.47%⁴

23,739,268

23,739,268

Total Short Term Investments

(Cost $23,739,268)

23,739,268

Face

Amount~

Value

CONVERTIBLE BONDS^†† - 67.9%

Technology -  14.5%

STMicroelectronics N.V.

0.00% due 07/03/19⁵

 1,800,000

 2,139,750

Kingsoft Corp. Ltd.

1.25% due 04/11/19

 16,000,000 HKD

 2,050,687

NVIDIA Corp.

1.00% due 12/01/18¹

 360,000

 1,949,850

Intel Corp.

3.48% due 12/15/35¹

 1,412,000

 1,929,145

Microchip Technology, Inc.

1.63% due 02/15/25¹

 1,339,000

 1,820,203

ON Semiconductor Corp.

1.00% due 12/01/20¹

 1,650,000

 1,743,844

Lam Research Corp.

1.25% due 05/15/18¹

 901,000

 1,707,395

Micron Technology, Inc.

3.00% due 11/15/43¹

 1,599,000

 1,643,972

Allscripts Healthcare Solutions, Inc.

1.25% due 07/01/20¹

 1,500,000

 1,469,063

United Microelectronics Corp.

0.00% due 05/18/20^1,5

 1,400,000

 1,331,750

Brocade Communications Systems, Inc.

1.38% due 01/01/20¹

 1,300,000

 1,309,750

Synchronoss Technologies, Inc.

0.75% due 08/15/19¹

 1,227,000

 1,286,049

Cypress Semiconductor Corp.

4.50% due 01/15/22^1,2

 1,082,000

 1,249,710

ServiceNow, Inc.

0.00% due 11/01/18^1,5

 908,000

 1,209,343

Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Face
Amount~

Value

CONVERTIBLE BONDS^†† - 67.9% (continued)

Technology -  14.5% (continued)

BroadSoft, Inc.

1.00% due 09/01/22

870,000

1,071,731

Electronics For Imaging, Inc.

0.75% due 09/01/19¹

 1,021,000

 1,071,412

Advanced Micro Devices, Inc.

2.13% due 09/01/26

 709,000

 1,062,614

Cornerstone OnDemand, Inc.

1.50% due 07/01/18¹

 1,005,000

 1,044,572

Advanced Semiconductor Engineering, Inc.

0.00% due 09/05/18⁵

 800,000

 942,600

Nanya Technology Corp.

0.00% due 01/24/22⁵

 800,000

 847,000

Red Hat, Inc.

0.25% due 10/01/19¹

 635,000

 768,350

Citrix Systems, Inc.

0.50% due 04/15/19¹

 629,000

 730,426

Salesforce.com, Inc.

0.25% due 04/01/18

 553,000

 700,236

Total Technology

 31,079,452

Consumer, Non-cyclical -  11.9%

Wright Medical Group, Inc.

2.00% due 02/15/20¹

 2,558,000

 2,789,818

Element Fleet Management Corp.

5.13% due 06/30/19^1,2

 2,696,000 CAD

 2,318,612

Element Financial Corp.

4.25% due 06/30/20²

 2,767,000 CAD

 2,196,622

Hologic, Inc.

0.00% due 12/15/43^1,5,6,7

 900,000

 1,104,750

2.00% due 03/01/42^6,8

 723,000

 989,606

Euronet Worldwide, Inc.

1.50% due 10/01/44¹

 1,420,000

 1,624,125

Molina Healthcare, Inc.

1.63% due 08/15/44¹

 1,272,000

 1,481,880

BioMarin Pharmaceutical, Inc.

1.50% due 10/15/20¹

 1,214,000

 1,468,940

Qiagen N.V.

0.88% due 03/19/21¹

 1,000,000

 1,181,250

HealthSouth Corp.

2.00% due 12/01/43¹

 922,000

 1,051,656

Horizon Pharma Investment Ltd.

2.50% due 03/15/22¹

 1,035,000

 996,835

Invacare Corp.

5.00% due 02/15/21²

 1,000,000

 994,375

Ablynx N.V.

3.25% due 05/27/20¹

 800,000 EUR

 980,844

NuVasive, Inc.

2.25% due 03/15/21²

 729,000

 963,191

Ionis Pharmaceuticals, Inc.

1.00% due 11/15/21¹

 942,000

 949,065

J Sainsbury plc

1.25% due 11/21/19

 700,000 GBP

 921,181

Nevro Corp.

1.75% due 06/01/21¹

 615,000

 727,238

Face
Amount~

Value

CONVERTIBLE BONDS^†† - 67.9% (continued)

Consumer, Non-cyclical -  11.9% (continued)

Medicines Co.

2.75% due 07/15/23²

606,000

611,681

Jazz Investments I Ltd.

1.88% due 08/15/21¹

 580,000

 585,437

Terumo Corp.

0.00% due 12/06/21⁵

 50,000,000 JPY

 542,971

Herbalife Ltd.

2.00% due 08/15/19¹

 548,000

 527,795

Clovis Oncology, Inc.

2.50% due 09/15/21

 372,000

 486,855

Total Consumer, Non-cyclical

 25,494,727

Financial -  9.1%

British Land White 2015 Ltd.

0.00% due 06/09/20⁵

 1,400,000 GBP

 1,630,120

Aurelius SE

1.00% due 12/01/20¹

 1,200,000 EUR

 1,602,246

AYC Finance Ltd.

0.50% due 05/02/19¹

 1,300,000

 1,347,125

BUWOG AG

0.00% due 09/09/21⁵

 1,200,000 EUR

 1,309,809

Haitong International Securities Group, Ltd.

0.00% due 10/25/21⁵

 10,000,000 HKD

 1,298,434

Magyar Nemzeti Vagyonkezelo Zrt

3.38% due 04/02/19¹

 1,000,000 EUR

 1,273,875

Air Lease Corp.

3.88% due 12/01/18¹

 832,000

 1,160,640

Hansteen Jersey Securities Ltd.

4.00% due 07/15/18

 800,000 EUR

 1,057,357

Azimut Holding SpA

2.13% due 11/25/20¹

 900,000 EUR

 1,035,851

Beni Stabili SpA

2.63% due 04/17/19¹

 900,000 EUR

 1,023,693

Starwood Property Trust, Inc.

4.00% due 01/15/19¹

 884,000

 998,920

Colony Starwood Homes

3.00% due 07/01/19¹

 828,000

 936,675

Colony NorthStar, Inc.

3.88% due 01/15/21¹

 894,000

 896,794

Fidelity National Financial, Inc.

4.25% due 08/15/18¹

 357,000

 711,992

Extra Space Storage, LP

3.13% due 10/01/35^1,2

 628,000

 647,625

Unite Jersey Issuer Ltd.

2.50% due 10/10/18¹

 400,000 GBP

 623,389

Nexity S.A.

0.13% due 01/01/23

 547,707 EUR

 587,883

Deutsche Wohnen AG

0.88% due 09/08/21¹

 300,000 EUR

 498,878

Swiss Life Holding AG

0.00% due 12/02/20^1,5

 375,000 CHF

 498,587

Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Face
Amount~

Value

CONVERTIBLE BONDS^†† - 67.9% (continued)

Financial -  9.1% (continued)

LEG Immobilien AG

0.50% due 07/01/21

300,000 EUR

461,708

Total Financial

 19,601,601

Communications -  9.1%

DISH Network Corp.

3.38% due 08/15/26^1,2

 3,215,000

 3,771,596

Twitter, Inc.

0.25% due 09/15/19¹

 1,900,000

 1,789,562

1.00% due 09/15/21¹

 935,000

 857,279

Priceline Group, Inc.

0.35% due 06/15/20¹

 1,723,000

 2,303,435

Proofpoint, Inc.

0.75% due 06/15/20¹

 1,260,000

 1,512,788

FireEye, Inc.

1.00% due 06/01/35¹

 1,600,000

 1,478,000

Ctrip.com International Ltd.

1.25% due 10/15/18

 613,000

 744,412

1.00% due 07/01/20¹

 672,000

 711,060

Ciena Corp.

3.75% due 10/15/18^1,2

 1,000,000

 1,350,625

Telenor East Holding II AS

0.25% due 09/20/19¹

 1,000,000

 1,128,000

Liberty Media Corp.

1.38% due 10/15/23¹

 902,000

 979,798

WebMD Health Corp.

2.63% due 06/15/23^1,2

 970,000

 919,075

American Movil BV

5.50% due 09/17/18¹

 800,000 EUR

 725,798

Vodafone Group PLC

1.50% due 08/25/17¹

 500,000 GBP

 598,856

Liberty Interactive LLC

1.75% due 09/30/46^1,2

 528,000

 594,990

Total Communications

 19,465,274

Consumer, Cyclical -  8.4%

Suzuki Motor Corp.

0.00% due 03/31/23⁵

 210,000,000 JPY

 2,315,456

Sonae Investments B.V.

1.63% due 06/11/19

 2,100,000 EUR

 2,132,394

International Consolidated Airlines Group S.A.

0.25% due 11/17/20

 1,700,000 EUR

 1,722,366

CalAtlantic Group, Inc.

0.25% due 06/01/19¹

 1,625,000

 1,519,375

RH

0.00% due 06/15/19^1,2,5

 1,702,000

 1,443,509

HIS Co. Ltd.

0.00% due 08/30/19⁵

 150,000,000 JPY

 1,392,405

Steinhoff Finance Holdings GmbH

1.25% due 08/11/22¹

 900,000 EUR

 959,500

4.00% due 01/30/21

 300,000 EUR

 432,367

Iida Group Holdings Co. Ltd

0.00% due 06/18/20⁵

 120,000,000 JPY

 1,154,430

Valeo S.A.

0.00% due 06/16/21⁵

 1,000,000

 1,075,000

Face
Amount

~

Value

CONVERTIBLE BONDS^†† - 67.9% (continued)

Consumer, Cyclical -  8.4% (continued)

NHK Spring Co. Ltd.

0.00% due 09/20/19^1,5

800,000

864,000

LVMH Moet Hennessy Louis Vuitton SE

0.00% due 02/16/21^1,5

 3,236

 861,585

Sony Corp.

0.00% due 09/30/22⁵

 78,000,000 JPY

 751,765

Shenzhou International Group Holdings Ltd.

0.50% due 06/18/19¹

 4,000,000 HKD

 681,114

Asics Corp.

0.00% due 03/01/19⁵

 70,000,000 JPY

 673,729

Total Consumer, Cyclical

 17,978,995

Industrial -  6.7%

Cemex SAB de CV

3.72% due 03/15/20

 2,611,000

 3,002,416

Dycom Industries, Inc.

0.75% due 09/15/21¹

 1,545,000

 1,687,913

China Railway Construction Corporation Ltd.

0.00% due 01/29/21⁵

 1,250,000

 1,512,500

Makino Milling Machine Co., Ltd.

0.00% due 03/19/18⁵

 90,000,000 JPY

 991,338

BW Group Ltd.

1.75% due 09/10/19

 1,000,000

 939,500

Safran S.A.

0.00% due 12/31/20⁵

 899,700 EUR

 916,252

Siemens Financieringsmaatschappij N.V.

1.65% due 08/16/19¹

 750,000

 900,896

CRRC Corporation Ltd.

0.00% due 02/05/21⁵

 750,000

 785,625

Shimizu Corp.

0.00% due 10/16/20⁵

 80,000,000 JPY

 784,366

Implenia AG

0.50% due 06/30/22¹

 620,000 CHF

 704,774

Larsen & Toubro Ltd.

0.68% due 10/22/19

 700,000

 679,088

OSG Corp.

0.00% due 04/04/22^1,5

 50,000,000 JPY

 651,899

MTU Aero Engines AG

0.13% due 05/17/23

 500,000 EUR

 615,324

Vishay Intertechnology, Inc.

2.25% due 05/15/41¹

 253,000

 249,047

Total Industrial

 14,420,938

Energy -  5.0%

Chesapeake Energy Corp.

5.50% due 09/15/26^1,2

 4,343,000

 4,649,724

Weatherford International Ltd.

5.88% due 07/01/21¹

 3,306,000

 3,708,919

PDC Energy, Inc.

1.13% due 09/15/21¹

 713,000

 806,581

RAG-Stiftung

0.00% due 02/18/21⁵

 500,000 EUR

 594,250

Technip S.A.

0.88% due 01/25/21

 400,000 EUR

 566,179

Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Face
Amount

~

Value

CONVERTIBLE BONDS^†† - 67.9% (continued)

Energy -  5.0% (continued)

Oasis Petroleum, Inc.

2.63% due 09/15/23¹

398,000

532,325

Total Energy

 10,857,978

Basic Materials -  2.4%

OCI NV

3.88% due 09/25/18

 3,000,000 EUR

 3,210,491

Kansai Paint Co., Ltd.

0.00% due 06/17/19⁵

 110,000,000 JPY

 1,036,975

Toray Industries, Inc.

0.00% due 08/30/19^1,5

 90,000,000 JPY

 953,364

Total Basic Materials

 5,200,830

Utilities -  0.8%

CenterPoint Energy, Inc.

4.18% due 09/15/29^1,6

 19,024

 1,328,113

NRG Yield, Inc.

3.25% due 06/01/20²

 500,000

 489,688

Total Utilities

 1,817,801

Total Convertible Bonds

(Cost $138,046,948)

145,917,596

CORPORATE BONDS^†† - 64.6%

Consumer, Non-cyclical -  13.6%

HCA, Inc.

7.50% due 02/15/22¹

 1,050,000

 1,197,000

5.38% due 02/01/25¹

 910,000

 929,338

5.00% due 03/15/24¹

 791,000

 825,606

Tenet Healthcare Corp.

6.00% due 10/01/20¹

 1,750,000

 1,850,626

8.13% due 04/01/22

 605,000

 614,075

4.50% due 04/01/21¹

 474,000

 478,740

United Rentals North America, Inc.

6.13% due 06/15/23¹

 1,500,000

 1,590,000

5.50% due 07/15/25¹

 1,085,000

 1,129,756

Valeant Pharmaceuticals International, Inc.

6.13% due 04/15/25^1,2

 3,133,000

 2,357,583

HealthSouth Corp.

5.75% due 09/15/25¹

 1,628,000

 1,640,210

CHS/Community Health Systems, Inc.

6.88% due 02/01/22¹

 1,394,000

 1,021,105

5.13% due 08/01/21¹

 550,000

 519,750

Revlon Consumer Products Corp.

6.25% due 08/01/24¹

 1,212,000

 1,257,450

Quorum Health Corp.

11.63% due 04/15/23²

 1,250,000

 1,181,250

Land O'Lakes Capital Trust I

7.45% due 03/15/28^1,2

 1,000,000

 1,127,500

Horizon Pharma, Inc.

6.63% due 05/01/23¹

 1,162,000

 1,124,235

BioMarin Pharmaceutical, Inc.

0.75% due 10/15/18

 970,000

 1,122,775

Sotheby's

5.25% due 10/01/22^1,2

 1,033,000

 1,043,330

Face
Amount~

Value

CORPORATE BONDS^†† - 64.6% (continued)

Consumer, Non-cyclical -  13.6% (continued)

Greatbatch Ltd.

9.13% due 11/01/23²

909,000

951,041

Cenveo Corp.

8.50% due 09/15/22²

 1,240,000

 874,200

Ritchie Bros Auctioneers, Inc.

5.38% due 01/15/25^1,2

 834,000

 853,808

Cott Corp.

5.50% due 07/01/24^1,2

 676,000 EUR

 776,125

Ahern Rentals, Inc.

7.38% due 05/15/23^1,2

 808,000

 759,520

Molina Healthcare, Inc.

5.38% due 11/15/22¹

 620,000

 643,250

Concordia International Corp.

9.50% due 10/21/22²

 1,085,000

 466,550

7.00% due 04/15/23²

 452,000

 166,958

Sucampo Pharmaceuticals, Inc.

3.25% due 12/15/21²

 554,000

 541,881

Spectrum Brands, Inc.

5.75% due 07/15/25¹

 469,000

 492,450

Endo Limited / Endo Finance LLC / Endo Finco, Inc.

6.00% due 02/01/25^1,2

 600,000

 491,250

Cott Beverages, Inc.

5.38% due 07/01/22¹

 448,000

 460,432

IASIS Healthcare LLC / IASIS Capital Corp.

8.38% due 05/15/19

 370,000

 354,275

FAGE International S.A./ FAGE USA Dairy Industry, Inc.

5.63% due 08/15/26^1,2

 320,000

 324,998

Total Consumer, Non-cyclical

 29,167,067

Communications -  10.5%

Frontier Communications Corp.

11.00% due 09/15/25¹

 3,399,000

 3,449,984

DISH DBS Corp.

6.75% due 06/01/21¹

 1,200,000

 1,292,256

5.88% due 11/15/24¹

 924,000

 937,860

CCO Holdings LLC / CCO Holdings Capital Corp.

5.25% due 09/30/22¹

 1,492,000

 1,548,277

5.88% due 04/01/24^1,2

 605,000

 650,756

SFR Group S.A.

6.25% due 05/15/24^1,2

 1,121,000

 1,132,210

7.38% due 05/01/26^1,2

 569,000

 586,070

CenturyLink, Inc.

6.75% due 12/01/23¹

 1,543,000

 1,593,148

West Corp.

5.38% due 07/15/22^1,2

 1,395,000

 1,347,919

Sprint Corp.

7.88% due 09/15/23¹

 1,212,000

 1,327,140

CBS Radio, Inc.

7.25% due 11/01/24^1,2

 1,061,000

 1,108,077

Sirius XM Radio, Inc.

5.75% due 08/01/21^1,2

 1,050,000

 1,095,242

AMC Networks, Inc.

4.75% due 12/15/22¹

 1,000,000

 1,023,750

GCI, Inc.

6.88% due 04/15/25¹

 970,000

 1,013,650

Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Face
Amount~

Value

CORPORATE BONDS^†† - 64.6% (continued)

Communications -  10.5% (continued)

Tribune Media Co.

5.88% due 07/15/22¹

946,000

960,190

Sinclair Television Group, Inc.

5.88% due 03/15/26^1,2

 909,000

 914,681

Radio One, Inc.

7.38% due 04/15/22^1,2

 680,000

 700,400

ViaSat, Inc.

6.88% due 06/15/20¹

 662,000

 680,619

Finisar Corp.

0.50% due 12/15/36²

 596,000

 601,588

Windstream Services LLC

7.50% due 06/01/22¹

 605,000

 588,363

Total Communications

 22,552,180

Consumer, Cyclical -  8.9%

Air France KLM S.A.

6.25%^3,9

 3,000,000 EUR

 3,295,594

GameStop Corp.

6.75% due 03/15/21^1,2

 2,360,000

 2,407,199

L Brands, Inc.

5.63% due 02/15/22¹

 1,313,000

 1,380,751

5.63% due 10/15/23¹

 915,000

 956,175

VWR Funding, Inc.

4.63% due 04/15/22^1,2

 1,100,000 EUR

 1,231,685

FirstCash, Inc.

6.75% due 04/01/21¹

 1,076,000

 1,132,490

Scotts Miracle-Gro Co.

5.25% due 12/15/26^1,2

 1,076,000

 1,086,093

Levi Strauss & Co.

5.00% due 05/01/25¹

 1,060,000

 1,069,938

Allegiant Travel Co.

5.50% due 07/15/19¹

 950,000

 980,875

Scientific Games International, Inc.

10.00% due 12/01/22

 926,000

 953,428

Hanesbrands, Inc.

4.63% due 05/15/24^1,2

 909,000

 904,455

Brinker International, Inc.

3.88% due 05/15/23¹

 909,000

 856,733

Global Partners Limited Partnership / GLP Finance Corp.

6.25% due 07/15/22¹

 825,000

 798,188

MGM Resorts International

7.75% due 03/15/22¹

 518,000

 604,610

4.63% due 09/01/26

 152,000

 148,010

Speedway Motorsports, Inc.

5.13% due 02/01/23¹

 660,000

 668,329

Travelex Financing plc

8.00% due 08/01/18^1,2

 375,000 GBP

 474,798

Wolverine World Wide, Inc.

5.00% due 09/01/26^1,2

 304,000

 289,560

Total Consumer, Cyclical

 19,238,911

Energy -  8.4%

CONSOL Energy, Inc.

8.00% due 04/01/23

 1,472,000

 1,516,160

PDC Energy, Inc.

6.13% due 09/15/24^1,2

 1,316,000

 1,381,799

Face
Amount~

Value

CORPORATE BONDS^†† - 64.6% (continued)

Energy -  8.4% (continued)

PBF Holding Company LLC / PBF Finance Corp.

7.00% due 11/15/23¹

1,212,000

1,239,270

Parsley Energy LLC / Parsley Finance Corp.

6.25% due 06/01/24^1,2

 1,059,000

 1,143,720

5.38% due 01/15/25²

 76,000

 78,280

Genesis Energy Limited Partnership / Genesis Energy Finance Corp.

6.00% due 05/15/23¹

 1,157,000

 1,194,602

Sabine Pass Liquefaction LLC

5.75% due 05/15/24¹

 1,078,000

 1,179,063

Nabors Industries, Inc.

0.75% due 01/15/24^1,2

 1,158,000

 1,173,923

Tesoro Corp.

5.13% due 12/15/26^1,2

 1,114,000

 1,165,523

Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp.

12.00% due 11/01/21

 1,015,000

 1,083,513

Tesoro Logistics Limited Partnership / Tesoro Logistics Finance Corp.

6.38% due 05/01/24¹

 605,000

 660,206

5.25% due 01/15/25¹

 305,000

 319,106

Sunoco Limited Partnership / Sunoco Finance Corp.

6.38% due 04/01/23¹

 930,000

 959,295

Ensco Jersey Finance Ltd.

3.00% due 01/31/24^1,2

 749,000

 820,155

Western Refining Logistics Limited Partnership / WNRL Finance Corp.

7.50% due 02/15/23¹

 726,000

 791,340

Tullow Oil plc

6.25% due 04/15/22²

 814,000

 757,020

Continental Resources, Inc.

5.00% due 09/15/22¹

 629,000

 643,939

Diamondback Energy, Inc.

4.75% due 11/01/24^1,2

 546,000

 548,048

Murphy Oil Corp.

4.70% due 12/01/22¹

 393,000

 386,859

6.88% due 08/15/24

 76,000

 81,700

Oasis Petroleum, Inc.

6.88% due 01/15/23¹

 420,000

 432,075

Kerr-McGee Corp.

6.95% due 07/01/24¹

 334,000

 400,709

Targa Resources Partners, LP / Targa Resources Partners Finance Corp.

5.13% due 02/01/25^1,2

 76,000

 78,945

Total Energy

 18,035,250

Industrial -  6.5%

MasTec, Inc.

4.88% due 03/15/23¹

 1,620,000

 1,609,875

Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Face
Amount~

Value

CORPORATE BONDS^†† - 64.6% (continued)

Industrial -  6.5% (continued)

Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.

8.13% due 11/15/21^1,2

1,586,000

1,447,225

Energizer Holdings, Inc.

5.50% due 06/15/25^1,2

 1,155,000

 1,178,100

KLX, Inc.

5.88% due 12/01/22^1,2

 1,075,000

 1,130,093

Eletson Holdings, Inc.

9.63% due 01/15/22²

 1,189,000

 966,062

Shape Technologies Group, Inc.

7.63% due 02/01/20^1,2

 910,000

 937,300

Boise Cascade Co.

5.63% due 09/01/24^1,2

 911,000

 931,498

Ball Corp.

5.25% due 07/01/25¹

 829,000

 874,595

Navios Maritime Holdings Incorporated / Navios Maritime Finance II US Inc.

7.38% due 01/15/22²

 1,230,000

 849,468

Builders FirstSource, Inc.

5.63% due 09/01/24^1,2

 734,000

 756,938

Triumph Group, Inc.

4.88% due 04/01/21¹

 770,000

 737,275

TransDigm, Inc.

6.50% due 07/15/24

 703,000

 707,394

Masco Corp.

4.45% due 04/01/25¹

 629,000

 649,694

Xerium Technologies, Inc.

9.50% due 08/15/21¹

 605,000

 611,050

Bombardier, Inc.

6.13% due 01/15/23^1,2

 333,000

 327,173

Louisiana-Pacific Corp.

4.88% due 09/15/24

 152,000

 152,000

Total Industrial

 13,865,740

Financial -  6.2%

Synovus Financial Corp.

7.88% due 02/15/19¹

 2,102,000

 2,322,710

Ally Financial, Inc.

8.00% due 03/15/20¹

 1,300,000

 1,481,597

5.13% due 09/30/24

 510,000

 525,147

Forest City Realty Trust, Inc.

4.25% due 08/15/18

 1,564,000

 1,778,073

Dana Financing Luxembourg Sarl

6.50% due 06/01/26^1,2

 1,561,000

 1,654,940

E*TRADE Financial Corp.

4.63% due 09/15/23¹

 1,344,000

 1,380,566

Credit Acceptance Corp.

7.38% due 03/15/23¹

 1,321,000

 1,362,030

CoreCivic, Inc.

4.63% due 05/01/23¹

 1,297,000

 1,297,000

CIT Group, Inc.

5.00% due 05/15/18^1,2

 836,000

 849,602

Radian Group, Inc.

7.00% due 03/15/21¹

 531,000

 590,074

Face
Amount~

Value

CORPORATE BONDS^†† - 64.6% (continued)

Financial -  6.2% (continued)

Starwood Property Trust, Inc.

5.00% due 12/15/21^1,2

152,000

154,850

Total Financial

 13,396,589

Basic Materials -  5.9%

NOVA Chemicals Corp.

5.00% due 05/01/25²

 1,273,000

 1,279,365

5.25% due 08/01/23^1,2

 1,000,000

 1,038,750

Celanese US Holdings LLC

5.88% due 06/15/21¹

 1,516,000

 1,683,884

Commercial Metals Co.

4.88% due 05/15/23¹

 1,156,000

 1,184,900

First Quantum Minerals Ltd.

7.00% due 02/15/21²

 1,009,000

 1,039,270

FMG Resources August 2006 Pty Ltd.

9.75% due 03/01/22^1,2

 837,000

 975,105

Blue Cube Spinco, Inc.

10.00% due 10/15/25¹

 773,000

 939,195

INEOS Group Holdings S.A.

5.88% due 02/15/19^1,2

 900,000

 914,850

Tronox Finance LLC

7.50% due 03/15/22²

 852,000

 834,960

TPC Group, Inc.

8.75% due 12/15/20²

 908,000

 821,740

Compass Minerals International, Inc.

4.88% due 07/15/24^1,2

 705,000

 690,900

Sappi Papier Holding GmbH

4.00% due 04/01/23^1,2

 507,000 EUR

 580,447

St. Barbara Ltd.

8.88% due 04/15/18²

 298,000

 307,126

Steel Dynamics, Inc.

5.00% due 12/15/26^1,2

 244,000

 248,880

Kaiser Aluminum Corp.

5.88% due 05/15/24

 152,000

 159,600

Total Basic Materials

 12,698,972

Technology -  4.4%

Qorvo, Inc.

7.00% due 12/01/25¹

 2,409,000

 2,673,989

Integrated Device Technology, Inc.

0.88% due 11/15/22¹

 1,813,000

 1,935,378

Teradyne, Inc.

1.25% due 12/15/23²

 1,089,000

 1,234,654

Western Digital Corp.

10.50% due 04/01/24^1,2

 971,000

 1,145,780

Seagate HDD Cayman

4.88% due 06/01/27¹

 1,061,000

 998,846

Veeco Instruments, Inc.

2.70% due 01/15/23

 864,000

 848,880

First Data Corp.

5.38% due 08/15/23^1,2

 660,000

 681,450

Total Technology

 9,518,977

Utilities -  0.2%

Dynegy, Inc.

8.00% due 01/15/25^1,2

 379,000

 365,735

Total Corporate Bonds

(Cost $136,210,065)

138,839,421

Advent Claymore Convertible Securities and Income Fund II

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

Face
Amount~

 

Value

SENIOR FLOATING RATE INTERESTS^††,9 - 1.5%

Communications -  0.8%

CSC Holdings LLC

3.77% due 10/11/24

1,686,773

1,708,120

Consumer, Non-cyclical -  0.5%

Sprint Industrial Holdings LLC

11.25% due 05/14/19

 1,000,000

 530,000

Caraustar Industries, Inc.

8.00% due 05/01/19

 510,325

 521,170

Total Consumer, Non-cyclical

 1,051,170

Basic Materials -  0.2%

Fortescue Resources August 2006 Pty Ltd.

3.75% due 06/30/19

 398,227

 401,047

Total Senior Floating Rate Interests

(Cost $3,532,199)

3,160,337

Contracts

Value

PUT OPTIONS PURCHASED^†,* - 0.0%**

February 2017 Macquarie Infrastructure Corp. Expiring  with strike price of $75.00

122

$

20,435

Total Put Options Purchased

(Cost $6,580)

20,435

Total Investments - 170.7%

(Cost $358,970,613)

$

366,805,392

Contracts

Value

CALL OPTIONS WRITTEN^†,* - 0.0%**

LyondellBasell Industries N.V. Expiring March 2017 with strike price of $97.50

80

(11,000)

Total Call Options Written

(Premiums received $16,669)

(11,000)

Other Assets & Liabilities, net - (70.7)%

(151,896,268)

Total Net Assets - 100.0%

$

214,898,124

*

Non-income producing security.

**

Less than 0.1%.

~

The face amount is denominated in U.S. Dollars, unless otherwise noted.

†

Value determined based on Level 1 inputs — See Note 1.

††

Value determined based on Level 2 inputs — See Note 1.

1

All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of January 31, 2017, the total value of the positions segregated was $227,327,957.

2

Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) liquid securities is $80,281,758 (cost $79,513,214), or 37.4% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.

3

Perpetual maturity.

4

Rate indicated is the 7-day yield as of January 31, 2017.

5

Zero coupon rate security.

6

Security is a step up/step down bond.  The coupon increases or decreases at regular intervals until the bond reaches full maturity.

7

Security is an accreting bond until December 15, 2017, with a 4.00% principal accretion rate, and then accretes at a 2.00% principal accretion rate until maturity.

8

Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.

9

Variable rate security. Rate indicated is rate effective at January 31, 2017.

plc

Public Limited Company

REIT

Real Estate Investment Trust

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at January 31, 2017 (See Note 1 in the Notes to Schedule of Investments):

Level 1 Quoted
Prices

Level 2
Significant
Observable
Inputs

Level 3
Significant
Unobservable
Inputs

Total

Assets

Common Stocks

$

34,905,198

$

—

$

—

$

34,905,198

Convertible Preferred Stocks

20,223,137

—

—

20,223,137

Short Term Investments

23,739,268

—

—

23,739,268

Convertible Bonds

—

145,917,596

—

145,917,596

Corporate Bonds

—

138,839,421

—

138,839,421

Senior Floating Rate Interests

—

3,160,337

—

3,160,337

Put Options Purchased

20,435

—

—

20,435

Forward Foreign Currency

—

181,530

—

181,530

Other Information (Unaudited)

January 31, 2017

Liabilities

Call Options Written

$

11,000

$

—

$

—

$

11,000

Forward Foreign Currency

—

1,010,027

—

1,010,027

Exchange Contracts*

Total

$

11,000

$

1,010,027

$

—

$

1,021,027

* These amounts are reported as unrealized gain/(loss) as of January 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 period ended January 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 period ended January 31, 2017, there were no transfers between levels.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2017

For information on the Advent Claymore Convertible Securities and Income Fund II’s (the “Fund”) policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

Note 1 – 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.

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 other 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. The value of 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 daily at current exchange rates. Futures contracts are valued using the settlement price established each day on the exchange on which they are 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. 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 January 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.

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, 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. Over-the-counter (OTC) derivative contracts including forward foreign currency exchange 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.

Note 2 – Federal Income Taxes:

As of January 31, 2017, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes excluding written options, forward foreign currency exchange contracts and foreign currency translations are as follows:

Cost of Investments for
Tax Purposes

Gross Tax

Unrealized Appreciation

Gross Tax Unrealized
Depreciation

Net Tax Unrealized
Appreciation on
Investments

Net Tax
Unrealized
Depreciation on
Derivatives and
Foreign Currency

 $              359,928,550

 $   18,302,477

 $                (11,425,635)

 $         6,876,842

 $         (822,828)

Note 3 – Forward Foreign Currency Exchange Contracts:

As of January 31, 2017, the following forward foreign currency exchange contracts were outstanding:

Contracts to Sell

Counterparty

Settlement Date 

Net Unrealized

Settlement Value

1/31/2017 

CAD

           4,926,000

for USD

           3,754,859

The Bank of New York Mellon

3/14/2017

 $          3,754,859

 $    3,779,891

 $               (25,032)

CAD

           1,836,000

for USD

           1,399,497

The Bank of New York Mellon

3/14/2017

             1,399,497

       1,408,827

                    (9,330)

CHF

           2,171,000

for USD

           2,148,654

The Bank of New York Mellon

3/14/2017

             2,148,654

       2,205,492

                  (56,838)

CHF

              980,000

for USD

              969,913

The Bank of New York Mellon

3/14/2017

                969,913

          995,570

                  (25,657)

EUR

           2,211,000

for USD

           2,356,926

The Bank of New York Mellon

3/14/2017

             2,356,926

       2,393,616

                  (36,690)

EUR

         16,216,000

for USD

         17,286,256

The Bank of New York Mellon

3/14/2017

           17,286,256

     17,555,353

                (269,097)

EUR

         12,991,000

for USD

         13,848,406

The Bank of New York Mellon

3/14/2017

           13,848,406

     14,063,985

                (215,579)

EUR

              433,000

for USD

              461,063

The Bank of New York Mellon

3/14/2017

                461,063

          468,764

                    (7,701)

 GBP

              368,854

 for USD

              467,652

The Bank of New York Mellon

3/14/2017

                467,652

          464,466

                      3,186

 GBP

           1,593,250

 for USD

           2,020,002

The Bank of New York Mellon

3/14/2017

             2,020,002

       2,006,241

                    13,761

 GBP

           4,459,000

 for USD

           5,653,343

The Bank of New York Mellon

3/14/2017

             5,653,343

       5,614,831

                    38,512

 JPY

       887,517,000

 for USD

           7,715,660

The Bank of New York Mellon

3/14/2017

             7,715,660

       7,895,045

                (179,385)

 JPY

         57,000,000

 for USD

              497,122

The Bank of New York Mellon

3/14/2017

                497,122

          507,052

                    (9,930)

 JPY

         34,000,000

 for USD

              289,591

The Bank of New York Mellon

3/14/2017

                289,591

          302,452

                  (12,861)

 JPY

         42,000,000