Advent Convertible and Income Fund : AVK October 2022 Semiannual Report

C E F

October 31, 2022

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, 2022

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, 2022 (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, 2022, Advent managed approximately $8.5 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 assume the reinvestment of all distributions. For the Reporting Period, the Fund generated a total return based on market price of -27.59% and a total return of -27.04% based on net asset value ("NAV"). 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.

The Fund paid a distribution each month of the Reporting Period. The most recent monthly distribution of $0.1172 per share, paid on October 31, 2022, represents an annualized distribution rate of 12.01% based on the Fund's closing market price of $11.71 per share on October 31, 2022.

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 Shareholders & Annualized Distribution Rate table on page 16, and Note 2(h) on page 47 for more information on distributions for the period.

AVK l ADVENT CONVERTIBLE AND INCOME FUND ANNUAL REPORT l 3

DEAR SHAREHOLDER (Unaudited) continued

October 31, 2022

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 89 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's 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, 2022

4 l AVK l ADVENT CONVERTIBLE AND INCOME FUND ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)

October 31, 2022

ECONOMIC AND MARKET OVERVIEW

Capital markets ended the Reporting Period on a vastly different note than they began. At November 1, 2021, the S&P 500 equity index had advanced 23.9% for the calendar year, the 10-year U.S. Treasury bond yielded 1.44%, and general sentiment was positive with the global economy enjoying reopening from 2020's COVID-19 restrictions. As calendar year 2022 began, conditions shifted as inflation continued accelerating and the impact of supply chain shortages began having a more acute impact on prices. The Federal Reserve (the "Fed") began tightening monetary policy at a quick pace, raising the Federal Funds rate and reducing the size of its balance sheet. As the first calendar quarter of 2022 progressed, talk shifted from debating how many quarter-point raises the Fed would initiate during 2022 to how many quarter-point equivalents at each meeting.

Brewing hostilities between Russia and Ukraine exacerbated the inflation trajectory as shortages of numerous commodities, ranging from energy to food, arose due to falling supply and politically- related bans on purchases. The impact in Europe from rising electricity prices due to reliance on Russian-sourced natural gas could have an ongoing particularly acute negative impact on economic growth. The global economic recovery from COVID occurred mostly as hoped with demand strong for consumer services in Western nations and the new variants of the virus proving less deadly, therefore minimizing the impact on the rebound. The notable exception to this was in China, where a government commitment to stamping out the virus and a generally less vaccinated population led to continued restrictions and disruptions to consumer and manufacturing activity. Spending shifted to consumer services, causing weakening demand and negative sales comparisons for consumer goods, particularly segments which benefitted from greater home activity during the pandemic.

Inflationary impacts heightened as the Reporting Period progressed, further exacerbated by a labor shortage in the U.S., as job openings surged past ten million. The combination of tighter financial conditions, rising costs, and weakening demand affected both corporate earnings and the financial markets' valuation of those earnings. Equity markets fell, especially as selected sectors affected either by interest rates, pandemic-related shifts in demand, or higher input costs began to report earnings shortfalls. The Fed's tightening policy affected interest rates across the curve, and the 10- year Treasury bond yield ended the Reporting Period at 4.16%. Recession fears increased as U.S. gross domestic product ("GDP") was reported with negative growth in the first half of the year and the Treasury yield curve inverted at various comparison points.

Towards the end of the Reporting Period, anticipation of a peaking of inflation metrics, supported by declines in some input metrics such as home rental and used car prices, led both equity and bond markets to rally, especially with the Fed giving indications that the rate hike regime would slow down soon. With equity valuations, especially for growth equities that are common issuers of convertible bonds, moving opposite interest rates, the potential for declining rates gives optimism for many securities in the corporate markets. With the third calendar quarter of 2022 showing a meaningful recovery and early indications of a similar strength in the fourth quarter, the recession fears may abate over the short-term and allow investors and money flow to move back into equity, equity- linked, and longer-duration assets for increased valuations.

AVK l ADVENT CONVERTIBLE AND INCOME FUND ANNUAL REPORT l 5