UNITED STATES
 SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number
     811-22022
 
Advent Claymore Convertible Securities and Income Fund II
(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: May 1, 2018 – July 31, 2018




Item 1.    Schedule of Investments.
Attached hereto.

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
 
Shares
 
Value
 
COMMON STOCKS - 17.7%
     
Consumer, Non-cyclical - 5.1%
     
Merck & Company, Inc.1
34,800
 
$2,292,276
 
United Rentals, Inc.*,1
13,000
 
1,934,400
 
Gilead Sciences, Inc.1
21,500
 
1,673,345
 
Olympus Corp.1
30,000
 
1,212,703
 
Roche Holding AG
4,000
 
982,020
 
Bunge Ltd.1
9,900
 
684,387
 
Total Consumer, Non-cyclical
 
8,779,131
 
Consumer, Cyclical - 4.2%
     
Walmart, Inc.
19,800
 
1,766,754
 
Royal Caribbean Cruises Ltd.1
15,200
 
1,713,952
 
Ford Motor Co.1
153,200
 
1,538,128
 
Lowe's Companies, Inc.1
14,000
 
1,390,760
 
General Motors Co.
22,800
 
864,348
 
Total Consumer, Cyclical
 
7,273,942
 
Financial - 3.0%
       
Lazard Ltd. Class A1
35,100
 
1,905,930
 
U.S. Bancorp1
30,000
 
1,590,300
 
Goldman Sachs Group, Inc.1
4,500
 
1,068,435
 
Synchrony Financial
23,000
 
665,620
 
Total Financial
   
5,230,285
 
Industrial - 2.9%
       
United Parcel Service, Inc. Class B1
16,400
 
1,966,196
 
Caterpillar, Inc.1
11,100
 
1,596,180
 
BAE Systems plc1
180,000
 
1,542,304
 
Total Industrial
   
5,104,680
 
Communications - 1.0%
       
Verizon Communications, Inc.1
30,500
 
1,575,020
 
AT&T, Inc.1
5,000
 
159,850
 
Total Communications
   
1,734,870
 
Technology - 0.8%
       
Texas Instruments, Inc.
12,200
 
1,358,104
 
Energy - 0.7%
       
TPG Pace Energy Holdings Corp.*
92,700
 
1,242,180
 
Total Common Stocks
       
(Cost $30,535,598)
   
30,723,192
 
CONVERTIBLE PREFERRED STOCKS - 6.6%
     
Industrial - 2.7%
       
Belden, Inc.
30,550
 
2,687,789
 
    6.75% due 07/15/191
     
Stanley Black & Decker, Inc.
18,200
 
2,029,300
 
5.38% due 05/15/201
       
Total Industrial
   
4,717,089
 
Consumer, Non-cyclical - 2.0%
     
Becton Dickinson and Co.
34,503
 
2,189,905
 
6.13% due 05/01/201
       
Bunge Ltd. 4.88%1,7
10,965
 
1,193,714
 
Total Consumer, Non-cyclical
 
3,383,619
 
Energy - 1.0%
       
Hess Corp.
   
    8.00% due 02/01/191
16,539
 
1,208,960
 
Nabors Industries Ltd.
   
    6.00% due 05/01/21
12,817
 
556,031
 
Total Energy
   
1,764,991
 
Utilities - 0.5%
       
South Jersey Industries, Inc.        
7.25% due 04/15/211
16,750
 
926,861
 
 
 
Shares
 
Value
 
CONVERTIBLE PREFERRED STOCKS - 6.6% (continued)
 
Financial - 0.4%
       
Crown Castle International Corp.        
6.88% due 08/01/201
616
 
$657,284
 
Total Convertible Preferred Stocks
       
(Cost $11,239,346)
   
11,449,844
 
MONEY MARKET FUND - 5.2%
     
Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class 1.81%1,2
9,034,023
 
9,034,023
 
Total Money Market Fund
     
(Cost $9,034,023)
   
9,034,023
 
 
 
Face
     
 
Amount~
 
Value
 
CORPORATE BONDS†† - 69.8%
     
Consumer, Cyclical -  17.1%
     
GameStop Corp.
       
6.75% due 03/15/211,3
  2,690,000
 
 2,753,888
 
Vista Outdoor, Inc.
       
5.88% due 10/01/231
  1,649,000
 
 1,628,387
 
Staples, Inc.
       
8.50% due 09/15/251,3
  1,639,000
 
 1,544,757
 
Scientific Games International, Inc.
     
10.00% due 12/01/221
  1,209,000
 
 1,295,141
 
Dana Financing Luxembourg Sarl
     
6.50% due 06/01/261,3
  1,267,000
 
 1,286,005
 
Downstream Development Authority of the Quapaw Tribe of Oklahoma
 
10.50% due 02/15/231,3
  1,221,000
 
 1,226,751
 
William Carter Co.
       
5.25% due 08/15/211
  1,182,000
 
 1,199,405
 
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC
 
7.50% due 05/01/253
  1,200,000
 
 1,197,000
 
Hanesbrands, Inc.
       
4.63% due 05/15/241,3
  1,193,000
 
 1,166,157
 
Mattamy Group Corp.
       
6.88% due 12/15/231,3
  709,000
 
 728,356
 
6.50% due 10/01/251,3
  443,000
 
 434,140
 
Scotts Miracle-Gro Co.
       
6.00% due 10/15/231
  560,000
 
 579,600
 
5.25% due 12/15/26
  590,000
 
 564,925
 
Six Flags Entertainment Corp.
     
4.88% due 07/31/241,3
  899,000
 
 879,896
 
5.50% due 04/15/271,3
  266,000
 
 261,013
 
Delphi Technologies plc
       
5.00% due 10/01/251,3
  1,107,000
 
 1,046,680
 
Wolverine World Wide, Inc.
     
5.00% due 09/01/261,3
  1,034,000
 
 984,885
 
Churchill Downs, Inc.
       
4.75% due 01/15/281,3
  1,037,000
 
 977,372
 
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
TRI Pointe Group Inc. / TRI Pointe Homes Inc.
     
4.38% due 06/15/191
  954,000
 
 959,686
 
Navistar International Corp.
     
6.63% due 11/01/251,3
  900,000
 
 944,145
 
Speedway Motorsports, Inc.
     
5.13% due 02/01/231
  954,000
 
 942,075
 
 
 
Face
     
 
Amount~
 
Value
 
CORPORATE BONDS†† - 69.8% (continued)
 
Consumer, Cyclical -  17.1% (continued)
 
Goodyear Tire & Rubber Co.
     
5.13% due 11/15/231
946,000
 
$934,175
 
National CineMedia LLC
     
6.00% due 04/15/221
  915,000
 
 933,300
 
American Greetings Corp.
     
8.75% due 04/15/251,3
  953,000
 
 900,585
 
Enterprise Development Authority
     
12.00% due 07/15/243
  887,000
 
 864,825
 
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
 
5.50% due 06/01/241
  539,000
 
 525,525
 
5.88% due 03/01/27
  344,000
 
 322,500
 
Carlson Travel, Inc.
       
9.50% due 12/15/241,3
  895,000
 
 824,519
 
American Axle & Manufacturing, Inc.
     
6.25% due 03/15/261
  680,000
 
 654,500
 
Ferrellgas Partners Limited Partnership / Ferrellgas Partners Finance Corp.
 
8.63% due 06/15/20
  591,000
 
 576,225
 
Beacon Escrow Corp.
       
4.88% due 11/01/251,3
  591,000
 
 553,501
 
Stars Group Holdings BV / Stars Group US Company-Borrower LLC
 
7.00% due 07/15/263
  74,000
 
 76,405
 
Total Consumer, Cyclical
 
 29,766,324
 
Consumer, Non-cyclical -  11.8%
     
Bausch Health Companies, Inc.
     
9.00% due 12/15/253
  1,329,000
 
 1,412,661
 
6.13% due 04/15/251,3
  1,500,000
 
 1,411,875
 
7.00% due 03/15/243
  590,000
 
 627,760
 
HCA, Inc.
       
5.25% due 04/15/251
  2,114,000
 
 2,165,529
 
6.50% due 02/15/201
  886,000
 
 924,364
 
Tenet Healthcare Corp.
       
4.63% due 07/15/241
  1,477,000
 
 1,434,536
 
4.38% due 10/01/211
  700,000
 
 700,875
 
Spectrum Brands, Inc.
       
5.75% due 07/15/251
  1,481,000
 
 1,484,702
 
Encompass Health Corp.
     
5.75% due 09/15/251
  1,302,000
 
 1,315,020
 
United Rentals North America, Inc.
     
5.50% due 05/15/271
  667,000
 
 662,598
 
5.75% due 11/15/24
  593,000
 
 608,566
 
Cardtronics Incorporated / Cardtronics USA Inc
     
5.50% due 05/01/251,3
  1,401,000
 
 1,253,895
 
Land O'Lakes Capital Trust I
     
7.45% due 03/15/281,3
  1,000,000
 
 1,110,000
 
Ritchie Bros Auctioneers, Inc.
     
5.38% due 01/15/251,3
  1,118,000
 
 1,101,230
 
Pilgrim's Pride Corp.
       
5.75% due 03/15/251,3
  886,000
 
 849,452
 
 
 
Face
     
 
Amount~
 
Value
 
CORPORATE BONDS†† - 69.8% (continued)
 
Consumer, Non-cyclical -  11.8% (continued)
 
DaVita, Inc.
       
5.00% due 05/01/251
711,000
 
$671,895
 
Molina Healthcare, Inc.
       
5.38% due 11/15/221
  620,000
 
 635,500
 
Nielsen Company Luxembourg SARL
     
5.00% due 02/01/253
  591,000
 
 540,765
 
Sotheby's
       
4.88% due 12/15/251,3
  542,000
 
 521,467
 
Central Garden & Pet Co.
     
6.13% due 11/15/231
  488,000
 
 503,860
 
Simmons Foods, Inc.
       
5.75% due 11/01/243
  389,000
 
 323,843
 
7.75% due 01/15/243
  149,000
 
 153,843
 
Total Consumer, Non-cyclical
 
 20,414,236
 
Energy -  9.7%
       
PDC Energy, Inc.
       
5.75% due 05/15/261
  1,033,000
 
 1,025,252
 
6.13% due 09/15/241
  421,000
 
 424,684
 
PBF Holding Company LLC / PBF Finance Corp.
     
7.25% due 06/15/251
  1,328,000
 
 1,392,740
 
Parsley Energy LLC / Parsley Finance Corp.
     
5.63% due 10/15/271,3
  1,328,000
 
 1,321,360
 
SESI LLC
       
7.75% due 09/15/241
  1,182,000
 
 1,220,415
 
Diamondback Energy, Inc.
     
5.38% due 05/31/251
  1,181,000
 
 1,185,429
 
WPX Energy, Inc.
       
5.25% due 09/15/241
  1,182,000
 
 1,180,523
 
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.
 
6.25% due 05/15/261
  1,181,000
 
 1,113,093
 
Oasis Petroleum, Inc.
       
6.88% due 03/15/221
  1,033,000
 
 1,054,951
 
Continental Resources, Inc.
     
5.00% due 09/15/221
  1,034,000
 
 1,050,412
 
Parkland Fuel Corp.
       
6.00% due 04/01/261,3
  886,000
 
 876,032
 
Gulfport Energy Corp.
       
6.00% due 10/15/24
  886,000
 
 859,420
 
Nabors Industries, Inc.
       
5.75% due 02/01/251,3
  895,000
 
 850,250
 
Alliance Resource Operating Partners Limited Partnership / Alliance Resource Finance Corp.
7.50% due 05/01/251,3
  753,000
 
 798,180
 
 
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
 
5.75% due 04/15/25
  684,000
 
 660,060
 
5.50% due 08/15/22
  52,000
 
 51,740
 
Ascent Resources Utica Holdings LLC / ARU Finance Corp.
 
10.00% due 04/01/223
  591,000
 
 656,010
 
 
 
Face
     
 
Amount~
 
Value
 
CORPORATE BONDS†† - 69.8% (continued)
 
Energy -  9.7% (continued)
     
PBF Logistics LP / PBF Logistics Finance Corp.
 
6.88% due 05/15/231
539,000
 
$549,780
 
CNX Resources Corp.
       
8.00% due 04/01/231
  464,000
 
 489,520
 
Total Energy
   
 16,759,851
 
Communications -  8.6%
     
Sprint Corp.
       
7.88% due 09/15/231
  1,225,000
 
 1,310,750
 
7.63% due 02/15/251
  1,198,000
 
 1,255,660
 
DISH DBS Corp.
       
6.75% due 06/01/211
  700,000
 
 705,460
 
5.13% due 05/01/20
  591,000
 
 588,784
 
7.75% due 07/01/261
  548,000
 
 480,870
 
Charter Communications Operating LLC / Charter Communications Operating Capital
4.91% due 07/23/251
  1,607,000
 
 1,637,232
 
CBS Radio, Inc.
       
7.25% due 11/01/241,3
  1,378,000
 
 1,301,521
 
CenturyLink, Inc.
       
7.50% due 04/01/241
  1,181,000
 
 1,237,109
 
Sirius XM Radio, Inc.
       
5.38% due 07/15/261,3
  1,208,000
 
 1,185,350
 
Hughes Satellite Systems Corp.
     
6.50% due 06/15/191
  1,052,000
 
 1,076,985
 
Frontier Communications Corp.
     
7.63% due 04/15/24
  1,034,000
 
 703,120
 
8.50% due 04/01/263
  295,000
 
 284,306
 
Inmarsat Finance plc
       
6.50% due 10/01/241,3
  804,000
 
 810,030
 
Altice France S.A.
       
7.38% due 05/01/261,3
  634,000
 
 629,245
 
Match Group, Inc.
       
6.38% due 06/01/24
  591,000
 
 627,199
 
Tribune Media Co.
       
5.88% due 07/15/221
  573,000
 
 578,730
 
Cincinnati Bell, Inc.
       
8.00% due 10/15/251,3
  589,000
 
 540,408
 
Total Communications
   
 14,952,759
 
Basic Materials -  7.6%
       
NOVA Chemicals Corp.
     
5.00% due 05/01/251,3
  1,435,000
 
 1,370,425
 
First Quantum Minerals Ltd.
     
6.88% due 03/01/261,3
  1,055,000
 
 1,031,263
 
7.50% due 04/01/253
  304,000
 
 307,040
 
Big River Steel LLC / BRS Finance Corp.
     
7.25% due 09/01/251,3
  1,134,000
 
 1,182,195
 
FMG Resources August 2006 Pty Ltd.
     
4.75% due 05/15/221,3
  1,180,000
 
 1,151,975
 
Alcoa Nederland Holding BV
     
6.13% due 05/15/283
  1,060,000
 
 1,094,450
 
TPC Group, Inc.
       
8.75% due 12/15/201,3
  1,068,000
 
 1,068,000
 
 
 
Face
     
 
Amount~
 
Value
 
CORPORATE BONDS†† - 69.8% (continued)
 
Basic Materials -  7.6% (continued)
     
Compass Minerals International, Inc.
     
4.88% due 07/15/241,3
1,129,000
 
$1,049,970
 
Kaiser Aluminum Corp.
       
5.88% due 05/15/241
  976,000
 
 1,000,400
 
Commercial Metals Co.
       
4.88% due 05/15/231
  1,011,000
 
 990,780
 
Rayonier AM Products, Inc.
     
5.50% due 06/01/243
  681,000
 
 642,496
 
Tronox Finance plc
       
5.75% due 10/01/251,3
  664,000
 
 641,590
 
Tronox, Inc.
       
6.50% due 04/15/261,3
  615,000
 
 611,925
 
New Gold, Inc.
       
6.25% due 11/15/223
  591,000
 
 558,495
 
AK Steel Corp.
       
7.50% due 07/15/231
  500,000
 
 518,750
 
Total Basic Materials
   
 13,219,754
 
Industrial -  7.4%
       
Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.
8.13% due 11/15/211,3
  1,599,000
 
 1,319,175
 
7.38% due 01/15/223
  1,215,000
 
 965,925
 
MasTec, Inc.
       
4.88% due 03/15/231
  1,620,000
 
 1,583,550
 
Cleaver-Brooks, Inc.
       
7.88% due 03/01/231,3
  1,362,000
 
 1,411,372
 
TransDigm, Inc.
       
6.38% due 06/15/261
  1,097,000
 
 1,105,228
 
6.00% due 07/15/22
  296,000
 
 301,979
 
Louisiana-Pacific Corp.
       
4.88% due 09/15/24
  1,317,000
 
 1,307,123
 
Ball Corp.
       
4.38% due 12/15/201
  1,182,000
 
 1,198,252
 
CNH Industrial Capital LLC
     
3.38% due 07/15/191
  1,164,000
 
 1,169,820
 
Xerium Technologies, Inc.
     
9.50% due 08/15/211
  665,000
 
 700,744
 
Mueller Water Products, Inc.
     
5.50% due 06/15/263
  655,000
 
 662,369
 
Energizer Holdings, Inc.
       
5.50% due 06/15/251,3
  591,000
 
 582,873
 
WESCO Distribution, Inc.
     
5.38% due 06/15/24
  591,000
 
 582,874
 
Total Industrial
   
 12,891,284
 
Technology -  3.8%
       
Seagate HDD Cayman
     
4.75% due 01/01/251
  1,468,000
 
 1,426,044
 
West Corp.
       
8.50% due 10/15/251,3
  1,546,000
 
 1,352,750
 
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
NCR Corp.
       
5.00% due 07/15/221
  1,000,000
 
 991,250
 
First Data Corp.
       
5.38% due 08/15/231,3
  959,000
 
 974,584
 
 
 
Face
     
 
Amount~
 
Value
 
CORPORATE BONDS†† - 69.8% (continued)
 
Technology -  3.8% (continued)
     
Dell, Inc.
       
5.88% due 06/15/191
906,000
 
$924,120
 
Nuance Communications, Inc.
     
6.00% due 07/01/24
  850,000
 
 869,125
 
Total Technology
   
 6,537,873
 
Financial -  3.3%
       
Credit Acceptance Corp.
     
7.38% due 03/15/231
  1,321,000
 
 1,393,655
 
Navient Corp.
       
5.50% due 01/15/191
  1,026,000
 
 1,037,029
 
Radian Group, Inc.
       
7.00% due 03/15/211
  886,000
 
 949,128
 
CIT Group, Inc.
       
5.38% due 05/15/20
  886,000
 
 914,795
 
Alliance Data Systems Corp.
     
5.38% due 08/01/223
  900,000
 
 908,100
 
Fidelity & Guaranty Life Holdings, Inc.
     
5.50% due 05/01/251,3
  598,000
 
 582,302
 
Total Financial
   
 5,785,009
 
Utilities -  0.5%
       
AmeriGas Partners, LP / AmeriGas Finance Corp.
 
5.75% due 05/20/271
  869,000
 
 835,326
 
Total Corporate Bonds
       
(Cost $122,138,275)
   
121,162,416
 
CONVERTIBLE BONDS†† - 68.0%
     
Industrial -  11.1%
     
Cemex SAB de CV
       
3.72% due 03/15/201
  2,658,000
 
 2,706,440
 
Siemens Financieringsmaatschappij N.V.
     
1.65% due 08/16/191
  1,250,000
 
 1,499,350
 
Dycom Industries, Inc.
       
0.75% due 09/15/211
  1,102,000
 
 1,230,532
 
Implenia AG
       
0.50% due 06/30/22
CHF  1,035,000
 
 1,166,777
 
Larsen & Toubro Ltd.
       
0.68% due 10/22/19
  1,100,000
 
 1,136,850
 
Vinci S.A.
       
0.38% due 02/16/221
  1,000,000
 
 1,091,470
 
China Railway Construction Corporation Ltd.
     
due 01/29/214
  1,000,000
 
 1,078,500
 
Greenbrier Companies, Inc.
     
2.88% due 02/01/241
  900,000
 
 1,070,438
 
Sika A.G.
       
0.15% due 06/05/25
CHF  900,000
 
 947,691
 
Golar LNG Ltd.
       
2.75% due 02/15/22
  900,000
 
 919,226
 
MTU Aero Engines AG
       
0.13% due 05/17/23
EUR  500,000
 
 890,315
 
MINEBEA MITSUMI, Inc.
     
due 08/03/224
JPY  70,000,000
 
 752,747
 
Buzzi Unicem SpA
       
1.38% due 07/17/191
EUR  500,000
 
 709,179
 
 
 
Face
     
 
Amount~
 
Value
 
CONVERTIBLE BONDS†† - 68.0% (continued)
 
Industrial -  11.1% (continued)
     
Shimizu Corp.
       
due 10/16/204
JPY 70,000,000
 
$676,144
 
Air Transport Services Group, Inc.
     
1.13% due 10/15/243
  650,000
 
 635,303
 
Safran S.A.
       
due 12/31/204
EUR  391,800
 
 501,513
 
CRRC Corporation Ltd.
       
due 02/05/214
  500,000
 
 498,750
 
Dainippon Screen Mfg. Co., Ltd.
     
due 06/11/254
JPY  50,000,000
 
 472,128
 
Arconic, Inc.
       
1.63% due 10/15/191
  443,000
 
 457,299
 
Airbus SE
       
due 07/01/221,4
EUR  300,000
 
 434,908
 
OSG Corp.
       
due 04/04/224
JPY  30,000,000
 
 409,706
 
Total Industrial
   
 19,285,266
 
Technology -  10.7%
       
Evolent Health, Inc.
       
2.00% due 12/01/21
  1,500,000
 
 1,669,854
 
Microchip Technology, Inc.
     
1.63% due 02/15/271
  1,170,000
 
 1,398,514
 
STMicroelectronics N.V.
     
0.25% due 07/03/241
  1,000,000
 
 1,196,670
 
Teradyne, Inc.
       
1.25% due 12/15/231
  730,000
 
 1,063,312
 
NXP Semiconductors N.V.
     
1.00% due 12/01/191
  930,000
 
 1,031,725
 
ServiceNow, Inc.
       
due 06/01/224
  694,000
 
 957,005
 
Advanced Micro Devices, Inc.
     
2.13% due 09/01/261
  399,000
 
 951,973
 
Lumentum Holdings, Inc.
     
0.25% due 03/15/241
  847,000
 
 951,695
 
Cypress Semiconductor Corp.
     
4.50% due 01/15/221
  607,000
 
 878,669
 
Citrix Systems, Inc.
       
0.50% due 04/15/191
  563,000
 
 857,753
 
Nutanix, Inc.
       
due 01/15/231,3,4
  711,000
 
 850,236
 
Allscripts Healthcare Solutions, Inc.
     
1.25% due 07/01/20
  750,000
 
 770,809
 
Verint Systems, Inc.
       
1.50% due 06/01/211
  775,000
 
 768,974
 
Akamai Technologies, Inc.
     
0.13% due 05/01/253
  744,000
 
 748,974
 
Western Digital Corp.
       
1.50% due 02/01/241,3
  718,000
 
 704,471
 
ON Semiconductor Corp.
     
1.63% due 10/15/231
  536,000
 
 673,363
 
Integrated Device Technology, Inc.
     
0.88% due 11/15/221
  533,000
 
 636,332
 
ams AG
       
0.88% due 09/28/22
  600,000
 
 612,000
 
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
ASM Pacific Technology Ltd.
     
2.00% due 03/28/19
HKD  4,000,000
 
 555,616
 
 
 
Face
     
 
Amount~
 
Value
 
CONVERTIBLE BONDS†† - 68.0% (continued)
 
Technology -  10.7% (continued)
     
Synaptics, Inc.
       
0.50% due 06/15/22
$508,000
 
$503,756
 
Micron Technology, Inc.
       
3.00% due 11/15/431
  257,000
 
 464,636
 
Guidewire Software, Inc.
     
1.25% due 03/15/251
  367,000
 
 366,569
 
Total Technology
   
 18,612,906
 
Consumer, Non-cyclical -  9.8%
     
Exact Sciences Corp.
     
1.00% due 01/15/251
  2,393,000
 
 2,490,790
 
Wright Medical Group, Inc.
     
1.63% due 06/15/233
  2,511,000
 
 2,484,100
 
Jazz Investments I Ltd.
       
1.50% due 08/15/241,3
  913,000
 
 951,136
 
1.88% due 08/15/211
  580,000
 
 628,246
 
BioMarin Pharmaceutical, Inc.
     
1.50% due 10/15/201
  819,000
 
 1,005,126
 
Euronet Worldwide, Inc.
     
1.50% due 10/01/441
  744,000
 
 964,288
 
Ionis Pharmaceuticals, Inc.
     
1.00% due 11/15/211
  907,000
 
 902,871
 
NuVasive, Inc.
       
2.25% due 03/15/211
  781,000
 
 888,257
 
Bayer AG
       
0.05% due 06/15/201
EUR  600,000
 
 824,393
 
Qiagen N.V.
       
0.88% due 03/19/21
  600,000
 
 783,471
 
Bayer Capital Corporation BV
     
5.63% due 11/22/191
EUR  600,000
 
 751,678
 
Cardtronics, Inc.
       
1.00% due 12/01/201
  700,000
 
 659,677
 
Theravance Biopharma, Inc.
     
3.25% due 11/01/23
  600,000
 
 603,192
 
Nipro Corp.
       
due 01/29/214
JPY  60,000,000
 
 585,581
 
Neurocrine Biosciences, Inc.
     
2.25% due 05/15/24
  323,000
 
 474,165
 
Teladoc, Inc.
       
1.38% due 05/15/253
  347,000
 
 449,232
 
Nevro Corp.
       
1.75% due 06/01/21
  460,000
 
 445,261
 
Terumo Corp.
       
due 12/06/214
JPY  30,000,000
 
 426,456
 
Clovis Oncology, Inc.
       
2.50% due 09/15/211
  385,000
 
 408,694
 
Insulet Corp.
       
1.38% due 11/15/243
  295,000
 
 321,774
 
Total Consumer, Non-cyclical
 
 17,048,388
 
Communications -  9.7%
     
Liberty Media Corp.
       
1.38% due 10/15/23
  1,015,000
 
 1,286,817
 
2.25% due 09/30/461
  577,000
 
 316,629
 
Booking Holdings, Inc.
       
0.90% due 09/15/211
  824,000
 
 979,220
 
0.35% due 06/15/201
  290,000
 
 449,769
 
Finisar Corp.
       
0.50% due 12/15/36
  1,500,000
 
 1,354,643
 
 
 
Face
     
 
Amount~
 
Value
 
CONVERTIBLE BONDS†† - 68.0% (continued)
 
Communications -  9.7% (continued)
     
Liberty Expedia Holdings, Inc.
     
1.00% due 06/30/471,3
$1,254,000
 
$1,275,193
 
DISH Network Corp.
       
3.38% due 08/15/261
  1,185,000
 
 1,079,481
 
Viavi Solutions, Inc.
       
1.75% due 06/01/233
  1,000,000
 
 1,026,250
 
Ctrip.com International Ltd.
     
1.00% due 07/01/20
  1,013,000
 
 1,005,209
 
Weibo Corp.
       
1.25% due 11/15/221,3
  903,000
 
 886,482
 
SBI Holdings, Inc.
       
due 09/14/221,4
JPY  50,000,000
 
 805,388
 
Palo Alto Networks, Inc.
     
0.75% due 07/01/233
  739,000
 
 729,422
 
Ciena Corp.
       
4.00% due 12/15/20
  522,000
 
 723,599
 
Inmarsat plc
       
3.88% due 09/09/231
  600,000
 
 703,500
 
Twitter, Inc.
       
0.25% due 06/15/243
  764,000
 
 696,830
 
GCI Liberty, Inc.
       
1.75% due 09/30/463
  657,000
 
 689,813
 
IAC FinanceCo, Inc.
       
0.88% due 10/01/221,3
  597,000
 
 675,369
 
CyberAgent, Inc.
       
due 02/19/251,4
JPY  60,000,000
 
 634,492
 
Zendesk, Inc.
       
0.25% due 03/15/231,3
  502,000
 
 543,065
 
Wix.com Ltd.
       
due 07/01/233,4
  482,000
 
 462,210
 
Etsy, Inc.
       
due 03/01/231,3,4
  278,000
 
 354,595
 
Okta, Inc.
       
0.25% due 02/15/231,3
  177,000
 
 215,875
 
Total Communications
   
 16,893,851
 
Financial -  8.9%
       
AXA S.A.
       
7.25% due 05/15/213
  1,743,000
 
 1,909,170
 
Altaba, Inc.
       
due 12/01/181,4
  1,144,000
 
 1,560,748
 
Poseidon Finance 1 Ltd.
     
due 02/01/251,4
  1,293,000
 
 1,335,023
 
IMMOFINANZ AG
       
2.00% due 01/24/241
EUR  800,000
 
 1,096,338
 
IH Merger Sub LLC
       
3.50% due 01/15/221
  921,000
 
 1,019,000
 
Aurelius SE
       
1.00% due 12/01/201
EUR  700,000
 
 970,557
 
Goldman Sachs BDC, Inc.
     
4.50% due 04/01/22
  900,000
 
 899,851
 
Blackstone Mortgage Trust, Inc.
     
4.38% due 05/05/22
  850,000
 
 842,195
 
Air Lease Corp.
       
3.88% due 12/01/18
  553,000
 
 832,799
 
AYC Finance Ltd.
       
0.50% due 05/02/191
  800,000
 
 809,500
 
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
 
Face
     
 
Amount~
 
Value
 
CONVERTIBLE BONDS†† - 68.0% (continued)
 
Financial -  8.9% (continued)
     
Haitong International Securities Group, Ltd.
 
due 10/25/214
HKD 6,000,000
 
$733,069
 
Magyar Nemzeti Vagyonkezelo Zrt
     
3.38% due 04/02/191
EUR  600,000
 
 718,479
 
Credit Agricole S.A.
       
due 10/03/194
EUR  8,000
 
 716,890
 
LEG Immobilien AG
       
0.50% due 07/01/21
EUR  300,000
 
 635,337
 
PRA Group, Inc.
       
3.00% due 08/01/201
  650,000
 
 627,734
 
BofA Finance LLC
       
0.25% due 05/01/231
  437,000
 
 419,520
 
Starwood Property Trust, Inc.
     
4.00% due 01/15/191
  227,000
 
 261,885
 
Total Financial
   
 15,388,095
 
Consumer, Cyclical -  8.7%
     
Zhongsheng Group Holdings Ltd.
     
due 05/23/234
HKD  14,000,000
 
 1,625,750
 
Navistar International Corp.
     
4.75% due 04/15/191
  1,521,000
 
 1,575,589
 
HIS Co. Ltd.
       
due 08/30/194
JPY  150,000,000
 
 1,351,729
 
Harvest International Co.
     
due 11/21/221,4
HKD  10,000,000
 
 1,277,534
 
Suzuki Motor Corp.
       
due 03/31/231,4
JPY  80,000,000
 
 1,145,256
 
Sony Corp.
       
due 09/30/224
JPY  91,000,000
 
 1,078,156
 
Meritor, Inc.
       
3.25% due 10/15/371,3
  920,000
 
 915,649
 
Valeo S.A.
       
due 06/16/211,4
  800,000
 
 763,304
 
LVMH Moet Hennessy Louis Vuitton SE
     
due 02/16/214
  2,036
 
 735,676
 
LGI Homes, Inc.
       
4.25% due 11/15/19
  291,000
 
 699,255
 
Tesla, Inc.
       
0.25% due 03/01/191
  606,000
 
 625,725
 
Vinpearl JSC
       
3.50% due 06/14/23
  600,000
 
 606,000
 
Cie Generale des Etablissements Michelin SCA
     
due 01/10/221,4
  600,000
 
 585,180
 
ANA Holdings, Inc.
       
due 09/19/241,4
JPY  60,000,000
 
 549,401
 
Huazhu Group Ltd.
       
0.38% due 11/01/221,3
  471,000
 
 519,113
 
Caesars Entertainment Corp.
     
5.00% due 10/01/24
  276,000
 
 496,499
 
Live Nation Entertainment, Inc.
     
2.50% due 03/15/231,3
  463,000
 
 487,529
 
Total Consumer, Cyclical
 
 15,037,345
 
Energy -  5.0%
       
Weatherford International Ltd.
     
5.88% due 07/01/211
  1,900,000
 
 1,885,283
 
 
 
Face
     
 
Amount~
 
Value
 
CONVERTIBLE BONDS†† - 68.0% (continued)
 
Energy -  5.0% (continued)
     
Kunlun Energy Company Ltd.
     
1.63% due 07/25/191
CNY 8,000,000
 
1,272,453
 
Technip S.A.
       
0.88% due 01/25/211
EUR  800,000
 
 1,140,799
 
Oasis Petroleum, Inc.
       
2.63% due 09/15/231
  773,000
 
 970,951
 
Chesapeake Energy Corp.
     
5.50% due 09/15/26
  839,000
 
 836,340
 
PDC Energy, Inc.
       
1.13% due 09/15/211
  730,000
 
 767,997
 
TOTAL S.A.
       
0.50% due 12/02/22
  600,000
 
 686,250
 
Whiting Petroleum Corp.
     
1.25% due 04/01/201
  591,000
 
 565,398
 
BP Capital Markets plc
       
1.00% due 04/28/23
GBP  300,000
 
 511,386
 
Total Energy
   
 8,636,857
 
Basic Materials -  3.0%
       
Osisko Gold Royalties Ltd.
     
4.00% due 12/31/22
CAD  1,900,000
 
 1,462,942
 
Toray Industries, Inc.
       
due 08/30/191,4
JPY  90,000,000
 
 856,865
 
Kansai Paint Co., Ltd.
       
due 06/17/191,4
JPY  90,000,000
 
 850,232
 
Mitsubishi Chemical Holdings Corp.
     
due 03/29/241,4
JPY  80,000,000
 
 753,082
 
APERAM S.A.
       
0.63% due 07/08/211
  600,000
 
 733,080
 
Glencore Funding LLC
       
due 03/27/254
  600,000
 
 542,250
 
Total Basic Materials
   
 5,198,451
 
Utilities -  1.1%
       
CenterPoint Energy, Inc.
     
3.40% due 09/15/295
  20,638
 
 902,912
 
China Yangtze Power International BVI 1 Ltd.
     
due 11/09/211,4
  600,000
 
 651,750
 
China Yangtze Power International BVI 2 Ltd.
     
due 11/09/211,4
EUR  350,000
 
 442,791
 
Total Utilities
   
 1,997,453
 
Total Convertible Bonds
       
(Cost $113,801,638)
   
118,098,612
 
SENIOR FLOATING RATE INTERESTS††,6 - 2.1%
 
Consumer, Cyclical -  1.0%
     
PetSmart, Inc.
       
5.34% (3 Month USD LIBOR + 3.00%) due 03/11/22
  1,328,962
 
 1,107,746
 
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
Face
     
 
Amount~
 
Value
 
SENIOR FLOATING RATE INTERESTS††,6 - 2.1% (continued)
 
Alterra Mountain Co.
       
5.33% (3 Month USD LIBOR + 3.00%) due 07/31/24
  655,108
 
 655,108
 
Total Consumer, Cyclical
 
 1,762,854
 
Communications -  0.6%
     
Sprint Communications, Inc.
     
4.50% (3 Month USD LIBOR + 2.50%) due 02/02/24
  1,002,313
 
 1,003,691
 
Consumer, Non-cyclical -  0.5%
     
SUPERVALU, Inc.
       
5.84% (3 Month USD LIBOR + 3.50%) due 06/08/24
789,405
 
$790,391
 
Total Senior Floating Rate Interests
     
(Cost $3,780,173)
   
3,556,936
 
Total Investments - 169.4%
     
(Cost $290,529,053)
 
$294,025,023
 
Other Assets & Liabilities, net - (69.4)%
 
(120,453,661
)
Total Net Assets - 100.0%
 
$173,571,362
 
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
 
Counterparty
 
Contracts to
Sell
 
Currency
Settlement
Date
 
Settlement
Value
   
Value at
July 31, 2018
   
Net Unrealized
 Appreciation
 
Bank of New York Mellon
   
1,575,000,000
 
JPY
09/14/18
 
$
14,363,256
   
$
14,114,078
   
$
249,178
 
Bank of New York Mellon
   
9,267,000
 
EUR
09/14/18
   
10,986,346
     
10,880,342
     
106,004
 
Bank of New York Mellon
   
2,492,000
 
GBP
09/14/18
   
3,342,845
     
3,275,264
     
67,581
 
Bank of New York Mellon
   
3,013,000
 
CHF
09/14/18
   
3,077,847
     
3,055,352
     
22,495
 
Bank of New York Mellon
   
1,934,000
 
CAD
09/14/18
   
1,488,952
     
1,486,600
     
2,352
 
                               
$
447,610
 
Counterparty
 
Contracts to
Buy
 
Currency
Settlement
Date
 
Settlement
Value
   
Value at
July 31, 2018
   
Net Unrealized
 Appreciation/
(Depreciation)
 
Bank of New York Mellon
   
987,000
 
EUR
09/14/18
 
$
1,158,188
   
$
1,158,832
   
$
644
 
Bank of New York Mellon
   
51,000
 
CAD
09/14/18
   
38,854
     
39,202
     
348
 
Bank of New York Mellon
   
14,500
 
CHF
09/14/18
   
14,616
     
14,704
     
88
 
Bank of New York Mellon
   
859,000
 
GBP
09/14/18
   
1,130,186
     
1,128,993
     
(1,193
)
Bank of New York Mellon
   
66,179,000
 
JPY
09/14/18
   
596,363
     
593,051
     
(3,312
)
                               
$
(3,425
)
~
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 3.
††
Value determined based on Level 2 inputs — See Note 3.
 
 

Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
1
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of July 31, 2018, the total value of securities segregated was $219,360,957.
2
Rate indicated is the 7 day yield as of July 31, 2018.
3
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) liquid securities is $75,211,428 (cost $75,454,994), or 43.3% of total net assets.
4
Zero coupon rate security.
5
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
6
Variable rate security.  Rate indicated is the rate effective at July 31, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated.
7
Perpetual maturity.
   
plc
Public Limited Company
LIBOR
London Interbank Offered Rate
CAD
Canadian Dollar
CHF
Swiss Franc
CNY
Chinese Yuan
EUR
Euro
GBP
British Pound
HKD
Hong Kong Dollar
JPY
Japanese Yen
   
See Sector Classification in Other Information section.
 
The following table summarizes the inputs used to value the Fund's investments at July 31, 2018 (See Note 3 in the Notes to Schedule of Investments):
 
Investments in Securities (Assets)
 
Level 1
Quoted
Prices
   
Level 2
Significant
Observable
Inputs
   
Level 3
Significant
Unobservable
Inputs
   
Total
 
Common Stocks
 
$
30,723,192
   
$
   
$
   
$
30,723,192
 
Convertible Preferred Stocks
   
11,449,844
     
     
     
11,449,844
 
Money Market Fund
   
9,034,023
     
     
     
9,034,023
 
Corporate Bonds
   
     
121,162,416
     
     
121,162,416
 
Convertible Bonds
   
     
118,098,612
     
     
118,098,612
 
Senior Floating Rate Interests
   
     
3,556,936
     
     
3,556,936
 
Forward Foreign Currency Exchange Contracts*
   
     
448,690
     
     
448,690
 
Total Assets
 
$
51,207,059
   
$
243,266,654
   
$
   
$
294,473,713
 
                                 
Investments in Securities (Liabilities)
 
Level 1
Quoted
Prices
   
Level 2
Significant
Observable
Inputs
   
Level 3
Significant
Unobservable
Inputs
   
Total
 
Forward Foreign Currency Exchange Contracts*
 
$
   
$
4,505
   
$
   
$
4,505
 
* This derivative is reported as unrealized appreciation/depreciation at period end.
 
Please refer to the detailed portfolio for the breakdown of investment type by industry category.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $55,005,294 are categorized as Level 2 within the disclosure hierarchy.
 
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 July 31, 2018, there were no transfers between levels.


Advent Claymore Convertible Securities and Income Fund II
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
July 31, 2018
   
 
 
The Fund did not hold any Level 3 securities during the period ended July 31, 2018.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 

Note 1 — Organization and Significant Accounting Policies

Organization
Advent Claymore Convertible Securities and Income Fund II (the “Fund”) was organized as a Delaware statutory trust on February 26, 2007. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended.

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.

Significant Accounting Policies
The Fund operates as an investment company and accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 
 
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities 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 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. 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. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market. There were no securities fair valued in accordance with such procedures established by the Board of Trustees as of July 31, 2018.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   

  
Senior loans in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at July 31, 2018.
 
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. The change in value of the contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
  
Note 2 — Financial Instruments and Derivatives
As part of its investment strategy, the Fund may utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
 
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund may utilize derivatives for the following purposes:
 
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Higher Investment Returns: the use of an instrument to seek to obtain increased investment returns.
 
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
 
Speculation: the use of an instrument to express macro-economic and other investment views.

Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
 
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or the repurchase agreements allocated to the Fund.

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   
 
contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
 
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends or interest from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund. 
 
The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
 
Note 3 — Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
 
Level 1 — quoted prices in active markets for identical assets or liabilities.
 
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

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 U.S. 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
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   
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 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.
 
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
 
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change. 
 
Note 4 — Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
 
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
 
At July 31, 2018, the cost of securities for federal income tax purposes, the aggregate gross unrealized appreciation for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all securities for which there was an excess of tax cost over value were as follows:
 
Tax Cost
Tax Unrealized
Appreciation
Tax Unrealized
Depreciation
Net Unrealized
Appreciation
 
$290,977,761
$11,480,173
($7,988,727)
$3,491,446
 
Note 5 — Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund's obligation to repurchase the securities, and the Fund's use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the period ended July 31, 2018, the Fund entered into reverse repurchase agreements:

Counterparty
Range of Interest Rates
Maturity Dates
Face Value
Societe Generale
3.20% - 3.83%*
11/29/18 - 12/15/22
 $55,005,294
*The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at July 31, 2018. 

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of July 31, 2018, aggregated by asset class of the related collateral pledged by the Fund:

 
   
Overnight and Continuous
   
Up to 30 days
   
31-90 days
   
Greater than
90 days
   
Total
 
Common Stocks
 
$
-
   
$
-
   
$
-
   
$
1,542,452
   
$
1,542,452
 
Convertible Preferred Stocks
   
-
     
-
     
-
                 
Convertible Bonds
   
-
     
-
     
-
     
21,594,475
     
21,594,475
 
Corporate Bonds
   
-
     
-
     
-
     
31,868,367
     
31,868,367
 
Total Reverse Repurchase Agreements
 
$
-
   
$
-
   
$
-
   
$
55,005,294
   
$
55,005,294
 
Gross amount of recognized liabilities for reverse repurchase agreements
                         
$
55,005,294
   
$
55,005,294
 


OTHER INFORMATION (Unaudited)
 
   
 
 
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme. 

 
Item 2. Controls and Procedures.

(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)), is attached hereto.


SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Advent Claymore Convertible Securities and Income Fund II

By:
/s/ Tracy V. Maitland
Tracy V. Maitland
President and Chief Executive Officer

Date:
September 28, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:
/s/ Tracy V. Maitland
Tracy V. Maitland
President and Chief Executive Officer

Date:
September 28, 2018

By:
/s/ Robert White
Robert White
Treasurer and Chief Financial Officer

Date:
September 28, 2018