Advent Convertible and Income Fund : AVK Annual Report October 2023

C E F

October 31, 2023

AVK | ANNUAL REPORT

Advent Convertible and Income Fund

GUGGENHEIMINVESTMENTS.COM/AVK

...YOUR BRIDGE TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE ADVENT CONVERTIBLE AND INCOME FUND

The shareholder report you are reading right now is just the beginning of the story. Online at guggenheiminvestments.com/avk, you will find:

• Daily, weekly and monthly data on share prices, net asset values, dividends and more
• Portfolio overviews and performance analyses
• Announcements, press releases and special notices
• Fund and adviser contact information

Advent Capital Management and Guggenheim Investments are continually updating and expanding shareholder information services on the Fund's website in an ongoing effort to provide you with the most current information about how your Fund's assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Fund.

(Unaudited)

October 31, 2023

DEAR SHAREHOLDER

Tracy V. Maitland

President and Chief Executive Officer

We thank you for your investment in the Advent Convertible and Income Fund (the "Fund" or "AVK"). This report covers the Fund's performance for the annual fiscal period ended October 31, 2023 (the "Reporting Period").

Advent Capital Management, LLC ("Advent" or the "Investment Adviser") serves as the Fund's Investment Adviser. Based in New York, New York, with additional investment personnel in London, England, Advent is a credit-oriented firm specializing in the management of global convertible, high-yield and equity securities across three lines of business-long-only strategies, hedge funds and closed-end funds. As of October 31, 2023, Advent managed approximately $8.0 billion in assets.

Guggenheim Funds Distributors, LLC (the "Servicing Agent") serves as the servicing agent to the Fund. The Servicing Agent is an affiliate of Guggenheim Partners, LLC, a global diversified financial services firm.

The Fund's investment objective is to provide total return through a combination of capital appreciation and current income. Under normal market conditions, the Fund invests at least 80% of its managed assets in a diversified portfolio of convertible securities and non-convertible income securities. Under normal market conditions, the Fund will invest at least 30% of its managed assets in convertible securities and may invest up to 70% of its managed assets in non-convertible income securities. The Fund may invest without limitation in foreign securities. The Fund also uses a strategy of writing (selling) covered call options on up to 25% of the securities held in the portfolio, thus generating option writing premiums.

All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. For the Reporting Period, the Fund generated a total return based on market price of -8.50% and a total return of -2.42% based on NAV. As of October 31, 2023, the Fund's market price of $9.48 per share represented a discount of 12.22% to its NAV per share of $10.80. As of October 31, 2022, the Fund's market price of $11.71 per share represented a discount of 5.56% to its NAV per share of $12.40.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund's shares fluctuates from time to time, and may be higher or lower than the Fund's NAV per share.

During the Reporting Period, the Fund paid a monthly distribution of $0.1172 per share. The most recent distribution represents an annualized distribution rate of 14.84% based on the Fund's closing market price of $9.48 per share at the end of the Reporting Period.

The Fund's distribution rate is not constant and the amount of distributions, when declared by the Fund's Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see the Distributions to

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DEAR SHAREHOLDER (Unaudited) continued

October 31, 2023

Shareholders & Annualized Distribution Rate table on page 17, and Note 2(h) on page 48 for more information on distributions for the period.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Fund through the Dividend Reinvestment Plan ("DRIP"), which is described in detail on page 88 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Fund purchased in the market at a price less than NAV. Conversely, when the market price of the Fund's common shares is at a premium above NAV, the DRIP reinvests participants' dividends in newly issued common shares at the greater of NAV per share or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of compounding returns over time. The DRIP effectively provides an income averaging technique which causes shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.

The Fund is managed by a team of experienced and seasoned professionals led by myself in my capacity as Chief Investment Officer (as well as President and Founder) of Advent Capital Management, LLC. To learn more about the Fund's performance and investment strategy over the Reporting Period, we encourage you to read the Economic and Market Overview and the Management Discussion of Fund Performance, which begins on page 5.

We thank you for your investment in the Fund and we are honored that you have chosen the Advent Convertible and Income Fund as part of your investment portfolio. For the most up-to-date information regarding your investment, including related investment risks, please visit the Fund's website at guggenheiminvestments.com/avk.

Sincerely,

Tracy V. Maitland

President and Chief Executive Officer of the

Advent Convertible and Income Fund

November 30, 2023

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ECONOMIC AND MARKET OVERVIEW (Unaudited)

October 31, 2023

The global economic environment decelerated over the Reporting Period, as central bank tightening of monetary policy to combat inflation had continued impact on growth and investment levels. U.S. gross domestic product ("GDP") growth was between 2.0-2.5% annualized for the fourth calendar quarter of 2022 and the first and second calendar quarters of 2023 (although growth was 5.2% annualized for the third quarter of 2023). Some European nations reported negative GDP growth in recent quarters, and various central banks have raised interest rates to restrain stubborn inflation. Growth in China disappointed after the post-pandemic reopening raised expectations for a delayed recovery similar to Western economies.

The impact on global capital markets was not always intuitive. Treasury interest rates generally rose, particularly later in the Reporting Period as growth picked up over the summer. The U.S. Federal Reserve (the "Fed") shifted its monetary policy from making active increases in the Federal Funds rate to observing and assessing the impact of past hikes and the extent to which falling inflation was sufficient to achieve the goal of price stability. Inflation fell, with the Consumer Price Index declining from 7.7% (core 6.3%) growth year-over-year at the start of the Reporting Period to 3.2% (core 4.0%) at the end of the Reporting Period. Facing falling commodity prices, lower levels of job openings and quit rates, and declining wage growth, investors' expectations of an economic soft landing rose. In this situation, growth remains positive, and the impact of interest rate hikes appears to be not so large as to cause an economic recession.

Equity prices rose as corporate earnings held up well during the Reporting Period, with growth not decelerating as much as feared. Price appreciation was concentrated in large capitalization companies and those less impacted by higher interest costs. Economic outlooks varied during the Reporting Period, and concern about banking sector stability in the spring and rising interest rates in the summer caused meaningful equity market corrections in the U.S. European equity markets rose, although less so than those in the U.S., and Asian markets also rose even though Chinese-related shares corrected notably after a run early in the Reporting Period.

Although the Fed raised the Federal Funds rate only once after May, the prior raises dragged the Treasury yield curve higher and, depending on the tenor, risk-free rates were higher by 0.5-1.5% between the beginning and end of the Reporting Period. As a result, longer duration fixed income indices had their interest returns offset by price declines. Corporate fixed-income markets benefited from higher coupons and a decline in spreads to Treasuries with the stability in corporate profits, leading to some price appreciation.

Markets appear to have moved on from the disruptions of the COVID-19 pandemic, but uncertainty remains regarding economic growth worldwide in 2024 amid ongoing geopolitical disruptions. The Russia-Ukraine conflict is continuing, and violence in the Middle East flared again late in the Reporting Period. The U.S. has a Presidential election in late 2024 with party control of the houses of Congress difficult to predict.

AVK l ADVENT CONVERTIBLE AND INCOME FUND ANNUAL REPORT l 5

ECONOMIC AND MARKET OVERVIEW (Unaudited) continued

October 31, 2023

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

6 l AVK l ADVENT CONVERTIBLE AND INCOME FUND ANNUAL REPORT

MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)

MANAGEMENT TEAM

October 31, 2023

Advent Capital Management, LLC ("Advent" or the "Investment Adviser") serves as the Investment Adviser of Advent Convertible and Income Fund (the "Fund" or "AVK"). The individuals who are primarily responsible for the day-to-day management of the portfolio (the "Portfolio Managers") of the Fund include Tracy Maitland (President and Chief Investment Officer of Advent), Paul Latronica (Managing Director of Advent) and Tony Huang (Director of Advent). Mr. Maitland and Mr. Latronica are portfolio managers and Mr. Huang is an associate portfolio manager. The Portfolio Managers are supported by teams of investment professionals who make investment decisions for the Fund's core portfolios of convertible bonds, the Fund's high yield securities investments and the Fund's leverage allocation, respectively. In the following interview, the management team discusses Fund performance for the Reporting Period.

How did the Fund perform during the Reporting Period?

All Fund returns cited - whether based on Net Asset Value ("NAV") or market price - assume the reinvestment of all distributions. For the Reporting Period, the Fund generated a total return based on market price of -8.50% and a total return of -2.42% based on NAV. As of October 31, 2023, the Fund's market price of $9.48 per share represented a discount of 12.22% to its NAV per share of $10.80. As of October 31, 2022, the Fund's market price of $11.71 per share represented a discount of 5.56% to its NAV per share of $12.40.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund's shares fluctuates from time to time, and may be higher or lower than the Fund's NAV per share.

Please refer to the graphs and tables included within the Fund Summary, beginning on page 14 for additional information about the Fund's performance.

How did comparative indices perform for the Reporting Period?

For the Reporting Period, indices underlying numerous asset classes related to the corporate bond and equity markets, domestic and worldwide, had mixed performance. Certain factors such as index concentration, coupon differences, and duration had larger effects on some asset classes versus others. The returns of indices tracking performance of the asset classes to which the Fund allocates the largest of its investments were:

Index*	Return for Reporting Period
Bloomberg U.S. Aggregate Bond Index	0.36%
ICE Bank of America ("BofA") U.S. Convertible Index	-0.48%
ICE BofA U.S. High Yield Index	5.83%
MSCI World 100% Hedged to USD Index	10.49%
Refinitiv Global Focus Convertible U.S. Dollar Hedged Index	2.13%
Standard & Poor's 500 ("S&P 500") Index	10.12%

* Please see Page 13 for Index definitions.

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MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) continued

October 31, 2023

What were the Fund's distributions for the Reporting Period?

During the Reporting Period, the Fund paid a monthly distribution of $0.1172 per share. The most recent distribution represents an annualized distribution rate of 14.84% based upon the Fund's closing market price of $9.48 per share at the end of the Reporting Period.

Payable Date	Amount
November 30, 2022	$0.1172
December 30, 2022	$0.1172
January 31, 2023	$0.1172
February 28, 2023	$0.1172
March 31, 2023	$0.1172
April 28, 2023	$0.1172
May 31, 2023	$0.1172
June 30, 2023	$0.1172
July 31, 2023	$0.1172
August 31, 2023	$0.1172
September 29, 2023	$0.1172
October 31, 2023	$0.1172
Total	$1.4064

The Fund's distribution rate is not constant and the amount of distributions, when declared by the Fund's Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained.

Distributions may be paid from sources of income other than ordinary income, such as short-term capital gains, long-term capital gains or return of capital. The final determination of the source and tax characteristics of all distributions in a particular year will be reported to shareholders in January following that year on form 1099-DIV.

While the Fund generally seeks to pay distributions that will consist primarily of investment company taxable income and net capital gain, because of the nature of the Fund's investments and changes in market conditions from time to time, or in order to maintain a more stable distribution level over time, the distributions paid by the Fund for any particular period may be more or less than the amount of net investment income from that period. If the Fund's total distributions in any year exceed the amount of its investment company taxable income and net capital gain for the year, any such excess would generally be characterized as a return of capital for U.S. federal income tax purposes.

A return of capital distribution is in effect a partial return of the amount a shareholder invested in the Fund. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with "yield" or "income." A return of capital distribution decreases the Fund's total assets and, therefore, could have the effect of increasing the Fund's expense ratio. Please see Note 2(h) on page 48 for more information on distributions for the Reporting Period.

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MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) continued

October 31, 2023

What factors contributed or detracted from the Fund's performance during the Reporting Period?

The Fund's NAV returns were below those of the asset class indices above. Unlike asset class indices, the Fund's returns are also affected by the Fund's operating expenses, transaction costs, and cost of leverage. Compared to broader fixed-income indices, the Fund's exposure to convertible securities was beneficial in limiting duration exposure in a rising interest rate environment. However, the Fund did not benefit as much from the equity exposure suggested in broader equity indices due to lower gains from issuers outside of the large-capitalization universe.

During the Reporting Period, the Fund began investing in collateralized loan obligation ("CLO") debt securities. These securities pay interest off a spread tied to short-term interest rates. With short-term interest rates high, and higher than that of the rest of the yield curve, along with solid corporate earnings, the returns from CLO debt securities were positive and additive to the Fund's NAV.

The Fund's international exposure, expressed mostly through holdings of foreign convertible securities, was slightly additive compared to domestic convertible securities, given slightly higher returns. Foreign convertible issuers tend be larger-capitalization companies compared to the domestic universe and suffered less from the stark differences in larger- versus smaller- capitalization equity returns in the Reporting Period.

How did the Fund use derivatives during the Reporting Period?

The Fund may use covered call options on individual equity holdings as a means of generating income. During the Reporting Period, the Fund made limited use of covered call options but ended the fiscal year with no positions subjected to covered call overwriting. Use of covered call options occurred exclusively in the first half of the Reporting Period, as volatility was higher after calendar year 2022's rise in interest rates and declines in the equity markets. The Chicago Board Options Exchange Market Volatility Index ("VIX") began the fiscal year at 25.9 but fell to 15.8 at mid-year after a strong response to bank-related turmoil by the U.S. Federal Reserve (the "Fed") in aggressively extending liquidity lines. The second half of the fiscal year generally saw the VIX in a range of 13-20, ending the Reporting Period at 18.1. The Fund refrained from using covered call options in the second half of the Reporting Period, seeing as unfavorable the upside from the income generated relative to the potential upside of equity gains written away.

The Fund continues to use reverse repurchase agreements as a tool for leverage to increase the Fund's positions in income-generating securities in pursuit of its investment objective. The Fund has elected to treat these reverse repurchase agreements as derivatives for purposes of complying with the Securities Exchange Commission's (the "SEC") Rule 18f-4 concerning the use of derivatives by registered investment companies. The Fund adopted policies and procedures pursuant to Rule 18f-4 during fiscal year 2022 and has continued to maintain compliance with its Derivatives Risk Management Program.

Finally, the Fund continues to use forward foreign currency contracts to hedge the impact of investment positions denominated in foreign currencies. Foreign currencies rose against the U.S. dollar in the Reporting Period, with the ICE U.S. Dollar Index falling from 111.5 to 106.7 during the

AVK l ADVENT CONVERTIBLE AND INCOME FUND ANNUAL REPORT l 9

MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) continued

October 31, 2023

Reporting Period. Thus, these contracts detracted from Fund performance and offset what in an unhedged portfolio would have been gains from the increases in foreign currency valuations. However, the foreign currency hedging program reduces the uncertainty of foreign currency returns and does much to equalize the yield differences inherent in foreign currency securities with differing risk-free interest rates, allowing the Fund to focus on other security differences.

How was the Fund positioned at the end of the Reporting Period?

On October 31, 2023, the Fund's total investments were allocated approximately 44.2% in convertible bonds, convertible preferred securities, and mandatory convertibles; 38.2% in corporate bonds; 7.4% in equities; 6.4% in asset-backed securities, 2.6% in cash and cash equivalents; and 1.2% in senior floating rate interests.

Changes in asset allocation for the Reporting Period were highlighted by the increase in asset-backed securities ("ABS"), as discussed below. This new allocation was sourced primarily from convertible securities, and the allocation to both convertible bonds and convertible preferred stocks fell. Last year, the Fund discussed being positioned more conservatively exiting fiscal year 2022. With the correction in equity and bond prices in mid-2023, convertible indices ended the Reporting Period with mild returns. Returns in the Fund's straight bond high-yield holdings and ABS consisting of CLO debt securities were higher, as higher coupons combined with stable corporate earnings. That said, in the Fund's core convertible securities market, rising yields and a rebound in convertible issuance have allowed the Fund to reinvest in securities with higher coupons, which raises the relative attractiveness of convertibles compared to equities. The Fund expects to continue a meaningful allocation to convertible securities.

International investments rose from 19.0% to 22.9% of the Fund's portfolio over the Reporting Period. Although interest rates are currently lower in most foreign currencies than the U.S. dollar, the Fund's hedging program takes fluctuations of foreign currencies versus the U.S. dollar out of the equation and recoups the interest rate difference through forward pricing. This allows the Fund to be indifferent to foreign currency rate differences and to consider other merits of individual securities. Greater issuance of convertible securities in Europe and Asia, attractive bond spreads entering the Reporting Period, and greater upside in equity valuation multiples made for a larger allocation to international investments during the Reporting Period.

During 2022, Advent hired personnel to manage CLO structures. CLOs are structured investment entities that invest in corporate loans and issue their own floating-rate debt securities. As part of this initiative, Advent now has expertise in the various securities issued by CLOs and believes CLO debt tranches may help the Fund achieve its investment objective of providing a total return through a combination of capital appreciation and current income. Fed monetary policy has led to floating interest rates rising to their highest level in over fifteen years. CLO debt tranches pay interest based on formulas tied to short-term floating interest rates and have yields that Advent has deemed attractive. The historical default rates for CLO debt tranches are low and reflect the corrective actions that operators of CLOs can take when individual loans default to maximize the ability of the CLO debt tranches to remain solvent.

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