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Form N-Q AllianzGI Diversified For: Apr 30

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June 22, 2018 10:30 AM EDT

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-23039

 

AllianzGI Diversified Income & Convertible Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Scott Whisten — 1633 Broadway New York, New York 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3367

 

 

Date of fiscal year end:

January 31

 

 

Date of reporting period:

April 30, 2018

 

 


 

Item 1. Schedule of Investments

 

Schedule of Investments

AllianzGI Diversified Income & Convertible Fund

April 30, 2018 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

CONVERTIBLE BONDS & NOTES - 68.0%

 

 

 

Aerospace & Defense - 0.3%

 

 

 

$475

 

Aerojet Rocketdyne Holdings, Inc., 2.25%, 12/15/23

 

$603,155

 

 

 

 

 

Apparel & Textiles - 0.3%

 

 

 

930

 

Iconix Brand Group, Inc., 5.75%, 8/15/23 (g) 

 

766,357

 

 

 

 

 

Auto Components - 1.2%

 

 

 

2,000

 

Horizon Global Corp., 2.75%, 7/1/22 (g) 

 

1,621,898

 

1,240

 

Meritor, Inc., 3.25%, 10/15/37 (a)(b) 

 

1,234,358

 

 

 

 

 

2,856,256

 

Auto Manufacturers - 1.7%

 

 

 

1,600

 

Navistar International Corp., 4.75%, 4/15/19

 

1,649,630

 

 

 

Tesla, Inc.,

 

 

 

1,700

 

0.25%, 3/1/19 (g)

 

1,752,583

 

460

 

2.375%, 3/15/22

 

507,299

 

 

 

 

 

3,909,512

 

Biotechnology - 4.0%

 

 

 

 

 

BioMarin Pharmaceutical, Inc. (g),

 

 

 

1,630

 

0.599%, 8/1/24

 

1,571,856

 

240

 

1.50%, 10/15/20

 

270,586

 

2,045

 

Exact Sciences Corp., 1.00%, 1/15/25 (g) 

 

1,998,987

 

1,975

 

Illumina, Inc., 0.50%, 6/15/21 (g) 

 

2,475,819

 

1,595

 

Insmed, Inc., 1.75%, 1/15/25 (g) 

 

1,494,965

 

1,345

 

Ionis Pharmaceuticals, Inc., 1.00%, 11/15/21 (g) 

 

1,345,163

 

325

 

Novavax, Inc., 3.75%, 2/1/23 (a)(g) 

 

210,860

 

 

 

 

 

9,368,236

 

Building Materials - 0.8%

 

 

 

1,990

 

Patrick Industries, Inc., 1.00%, 2/1/23 (a)(b) 

 

1,918,452

 

 

 

 

 

Commercial Services - 1.2%

 

 

 

970

 

Euronet Worldwide, Inc., 1.50%, 10/1/44 (g) 

 

1,153,225

 

405

 

LendingTree, Inc., 0.625%, 6/1/22 (a)(b)(g) 

 

532,098

 

525

 

Square, Inc., 0.375%, 3/1/22

 

1,113,577

 

 

 

 

 

2,798,900

 

Computers - 3.2%

 

 

 

1,405

 

Lumentum Holdings, Inc., 0.25%, 3/15/24 (g) 

 

1,568,682

 

1,415

 

Nutanix, Inc., zero coupon, 1/15/23 (a)(b) 

 

1,755,166

 

2,035

 

Pure Storage, Inc., 0.125%, 4/15/23 (a)(b) 

 

2,113,830

 

1,910

 

Western Digital Corp., 1.50%, 2/1/24 (a)(b) 

 

1,997,839

 

 

 

 

 

7,435,517

 

Diversified Financial Services - 1.1%

 

 

 

1,690

 

Encore Capital Group, Inc., 3.25%, 3/15/22 (g) 

 

1,948,570

 

675

 

PRA Group, Inc., 3.00%, 8/1/20 (g) 

 

649,266

 

 

 

 

 

2,597,836

 

Electrical Equipment - 0.8%

 

 

 

 

 

 

 

 

 

SunPower Corp. (g),

 

 

 

1,115

 

0.875%, 6/1/21

 

911,093

 

1,035

 

4.00%, 1/15/23

 

883,621

 

 

 

 

 

1,794,714

 

Electronics - 1.2%

 

 

 

1,600

 

II-VI, Inc., 0.25%, 9/1/22 (a)(b)(g) 

 

1,711,200

 

1,245

 

OSI Systems, Inc., 1.25%, 9/1/22

 

1,129,838

 

 

 

 

 

2,841,038

 

Energy-Alternate Sources - 0.8%

 

 

 

1,830

 

NextEra Energy Partners L.P., 1.50%, 9/15/20 (a)(b) 

 

1,823,127

 

3,615

 

SunEdison, Inc., 3.375%, 6/1/25 (d)(f) 

 

81,337

 

 

 

 

 

1,904,464

 

 


 

Engineering & Construction - 0.6%

 

 

 

1,100

 

Dycom Industries, Inc., 0.75%, 9/15/21 (g) 

 

1,357,822

 

 

 

 

 

Entertainment - 1.0%

 

 

 

1,420

 

Live Nation Entertainment, Inc., 2.50%, 3/15/23 (a)(b) 

 

1,405,104

 

910

 

Marriott Vacations Worldwide Corp., 1.50%, 9/15/22 (a)(b) 

 

960,694

 

 

 

 

 

2,365,798

 

Equity Real Estate Investment Trusts (REITs) - 0.7%

 

 

 

1,395

 

Extra Space Storage L.P., 3.125%, 10/1/35 (a)(b)(g) 

 

1,557,518

 

 

 

 

 

Healthcare-Products - 0.9%

 

 

 

1,860

 

Insulet Corp., 1.375%, 11/15/24 (a)(b)(g) 

 

2,108,775

 

 

 

 

 

Healthcare-Services - 2.6%

 

 

 

900

 

Anthem, Inc., 2.75%, 10/15/42 (g) 

 

2,916,562

 

695

 

Molina Healthcare, Inc., 1.125%, 1/15/20

 

1,451,249

 

1,395

 

Teladoc, Inc., 3.00%, 12/15/22 (a)(b) 

 

1,727,973

 

 

 

 

 

6,095,784

 

Insurance - 0.6%

 

 

 

1,510

 

AmTrust Financial Services, Inc., 2.75%, 12/15/44

 

1,387,850

 

 

 

 

 

Internet - 8.2%

 

 

 

1,220

 

Altaba, Inc., zero coupon, 12/1/18 (g) 

 

1,612,188

 

1,325

 

Booking Holdings, Inc., 0.90%, 9/15/21 (g) 

 

1,677,847

 

1,755

 

Chegg, Inc., 0.25%, 5/15/23 (a)(b) 

 

1,912,222

 

1,525

 

IAC FinanceCo., Inc., 0.875%, 10/1/22 (a)(b)(g) 

 

1,871,201

 

1,675

 

Okta, Inc., 0.25%, 2/15/23 (a)(b) 

 

1,924,619

 

1,240

 

Palo Alto Networks, Inc., zero coupon, 7/1/19 (g) 

 

2,177,258

 

1,310

 

Pandora Media, Inc., 1.75%, 12/1/20 (g) 

 

1,211,644

 

1,810

 

Q2 Holdings, Inc., 0.75%, 2/15/23 (a)(b) 

 

1,931,270

 

1,280

 

RingCentral, Inc., zero coupon, 3/15/23 (a)(b) 

 

1,338,880

 

1,045

 

Weibo Corp., 1.25%, 11/15/22 (a)(b) 

 

1,185,866

 

2,040

 

Zendesk, Inc., 0.25%, 3/15/23 (a)(b) 

 

2,117,316

 

 

 

 

 

18,960,311

 

Iron/Steel - 0.6%

 

 

 

685

 

Allegheny Technologies, Inc., 4.75%, 7/1/22 (g) 

 

1,373,298

 

 

 

 

 

Lodging - 0.8%

 

 

 

1,075

 

Caesars Entertainment Corp., 5.00%, 10/1/24 (g) 

 

1,890,710

 

 

 

 

 

Machinery-Diversified - 0.7%

 

 

 

1,485

 

Chart Industries, Inc., 1.00%, 11/15/24 (a)(b)(g) 

 

1,716,638

 

 

 

 

 

Media - 2.2%

 

 

 

 

 

DISH Network Corp.,

 

 

 

315

 

2.375%, 3/15/24

 

273,376

 

1,665

 

3.375%, 8/15/26 (g)

 

1,515,185

 

1,140

 

Liberty Interactive LLC, 1.75%, 9/30/46 (a)(b)(g) 

 

1,198,140

 

2,010

 

Liberty Media Corp., 2.125%, 3/31/48 (a)(b)(g) 

 

1,991,156

 

 

 

 

 

4,977,857

 

Miscellaneous Manufacturing - 0.4%

 

 

 

700

 

Trinity Industries, Inc., 3.875%, 6/1/36

 

930,649

 

 

 

 

 

Oil, Gas & Consumable Fuels - 4.4%

 

 

 

1,820

 

Ensco Jersey Finance Ltd., 3.00%, 1/31/24 (g) 

 

1,552,000

 

2,620

 

Nabors Industries, Inc., 0.75%, 1/15/24

 

2,059,975

 

910

 

Oasis Petroleum, Inc., 2.625%, 9/15/23 (g) 

 

1,073,982

 

1,620

 

Oil States International, Inc., 1.50%, 2/15/23 (a)(b) 

 

1,802,250

 

765

 

PDC Energy, Inc., 1.125%, 9/15/21

 

769,513

 

1,690

 

SM Energy Co., 1.50%, 7/1/21 (g) 

 

1,737,097

 

900

 

Transocean, Inc., 0.50%, 1/30/23

 

1,228,500

 

 

 

 

 

10,223,317

 

Pharmaceuticals - 4.8%

 

 

 

475

 

Clovis Oncology, Inc., 1.25%, 5/1/25

 

430,240

 

650

 

Depomed, Inc., 2.50%, 9/1/21 (g) 

 

526,714

 

935

 

DexCom, Inc., 0.75%, 5/15/22 (a)(b) 

 

961,189

 

1,045

 

Flexion Therapeutics, Inc., 3.375%, 5/1/24 (a)(b) 

 

1,281,749

 

1,360

 

Horizon Pharma Investment Ltd., 2.50%, 3/15/22 (g) 

 

1,228,862

 

1,190

 

Jazz Investments I Ltd., 1.50%, 8/15/24 (a)(b) 

 

1,178,302

 

 


 

1,340

 

Neurocrine Biosciences, Inc., 2.25%, 5/15/24 (a)(b) 

 

1,735,962

 

725

 

Sarepta Therapeutics, Inc., 1.50%, 11/15/24 (a)(b) 

 

930,567

 

1,720

 

Supernus Pharmaceuticals, Inc., 0.625%, 4/1/23 (a)(b) 

 

1,874,363

 

185

 

Synergy Pharmaceuticals, Inc., 7.50%, 11/1/19 (a)(b) 

 

165,470

 

960

 

Teva Pharmaceutical Finance Co. LLC, 0.25%, 2/1/26, Ser. C (g) 

 

847,199

 

 

 

 

 

11,160,617

 

Pipelines - 0.9%

 

 

 

2,640

 

Cheniere Energy, Inc., 4.25%, 3/15/45 (g) 

 

2,071,975

 

 

 

 

 

Retail - 0.6%

 

 

 

1,295

 

RH, zero coupon, 6/15/19 (a)(b) 

 

1,350,910

 

 

 

 

 

Semiconductors - 6.2%

 

 

 

440

 

Advanced Micro Devices, Inc., 2.125%, 9/1/26

 

683,898

 

1,265

 

Cypress Semiconductor Corp., 2.00%, 2/1/23 (a)(b)(g) 

 

1,309,737

 

1,560

 

Intel Corp., 3.25%, 8/1/39 (g) 

 

3,878,199

 

2,885

 

Microchip Technology, Inc., 1.625%, 2/15/27

 

3,260,915

 

1,745

 

Micron Technology, Inc., 3.00%, 11/15/43, Ser. G (g) 

 

2,771,177

 

345

 

Novellus Systems, Inc., 2.625%, 5/15/41

 

1,906,917

 

465

 

Teradyne, Inc., 1.25%, 12/15/23

 

568,446

 

 

 

 

 

14,379,289

 

Software - 9.8%

 

 

 

1,005

 

Atlassian, Inc., 0.625%, 5/1/23 (a)(b) 

 

1,009,020

 

1,835

 

Citrix Systems, Inc., 0.50%, 4/15/19 (g) 

 

2,638,715

 

1,125

 

Coupa Software, Inc., 0.375%, 1/15/23 (a)(b)(g) 

 

1,372,311

 

1,565

 

Envestnet, Inc., 1.75%, 12/15/19 (g) 

 

1,680,419

 

910

 

Everbridge, Inc., 1.50%, 11/1/22 (g) 

 

1,173,900

 

1,865

 

Guidewire Software, Inc., 1.25%, 3/15/25 (g) 

 

1,896,293

 

1,595

 

Nice Systems, Inc., 1.25%, 1/15/24

 

2,003,790

 

2,060

 

Nuance Communications, Inc., 1.25%, 4/1/25

 

2,034,454

 

1,085

 

Proofpoint, Inc., 0.75%, 6/15/20

 

1,642,458

 

1,950

 

PROS Holdings, Inc., 2.00%, 6/1/47 (a)(b) 

 

1,816,909

 

1,370

 

RealPage, Inc., 1.50%, 11/15/22 (a)(b) 

 

1,919,712

 

1,375

 

ServiceNow, Inc., zero coupon, 6/1/22 (a)(b) 

 

1,848,275

 

1,680

 

Workday, Inc., 0.25%, 10/1/22 (a)(b) 

 

1,816,920

 

 

 

 

 

22,853,176

 

Telecommunications - 1.5%

 

 

 

1,350

 

CalAmp Corp., 1.625%, 5/15/20

 

1,369,980

 

960

 

Ciena Corp., 3.75%, 10/15/18 (g) 

 

1,256,040

 

660

 

InterDigital, Inc., 1.50%, 3/1/20 (g) 

 

771,870

 

 

 

 

 

3,397,890

 

Transportation - 3.9%

 

 

 

1,950

 

Air Transport Services Group, Inc., 1.125%, 10/15/24 (a)(b)(g) 

 

1,852,211

 

1,370

 

Atlas Air Worldwide Holdings, Inc., 1.875%, 6/1/24 (g) 

 

1,692,912

 

1,925

 

Echo Global Logistics, Inc., 2.50%, 5/1/20 (g) 

 

1,966,451

 

1,755

 

Greenbrier Cos., Inc., 2.875%, 2/1/24 (g) 

 

1,898,266

 

1,550

 

Teekay Corp., 5.00%, 1/15/23 (a)(b) 

 

1,561,005

 

 

 

 

 

8,970,845

 

Total Convertible Bonds & Notes (cost-$157,301,927)

 

157,925,466

 

 

Shares

 

 

 

 

 

COMMON STOCK - 35.8%

 

 

 

Aerospace & Defense - 0.8%

 

 

 

3,900

 

Boeing Co. (g) 

 

1,300,884

 

2,600

 

Raytheon Co. (g) 

 

532,844

 

 

 

 

 

1,833,728

 

Automobiles - 0.5%

 

 

 

104,700

 

Ford Motor Co. (g) 

 

1,176,828

 

 

 

 

 

Banks - 1.6%

 

 

 

58,200

 

Bank of America Corp. (g) 

 

1,741,344

 

18,400

 

JPMorgan Chase & Co. (g) 

 

2,001,552

 

 

 

 

 

3,742,896

 

Beverages - 0.4%

 

 

 

9,000

 

PepsiCo, Inc.

 

908,460

 

 


 

Biotechnology - 2.4%

 

 

 

15,000

 

AbbVie, Inc.

 

1,448,250

 

4,200

 

Biogen, Inc. (g)(i) 

 

1,149,120

 

18,600

 

Gilead Sciences, Inc. (g) 

 

1,343,478

 

1,843

 

Regeneron Pharmaceuticals, Inc. (g)(i) 

 

559,682

 

7,300

 

Vertex Pharmaceuticals, Inc. (g)(i) 

 

1,118,068

 

 

 

 

 

5,618,598

 

Building Products - 0.4%

 

 

 

30,252

 

Johnson Controls International PLC (g) 

 

1,024,635

 

 

 

 

 

Chemicals - 0.7%

 

 

 

16,600

 

Chemours Co.

 

803,606

 

11,400

 

DowDuPont, Inc.

 

720,936

 

 

 

 

 

1,524,542

 

Construction & Engineering - 0.4%

 

 

 

15,300

 

Fluor Corp. (g) 

 

901,935

 

 

 

 

 

Diversified Telecommunication Services - 0.3%

 

 

 

12,700

 

Verizon Communications, Inc. (g) 

 

626,745

 

 

 

 

 

Electronic Equipment, Instruments & Components - 0.3%

 

 

 

9,600

 

Amphenol Corp., Class A

 

803,616

 

 

 

 

 

Energy Equipment & Services - 0.4%

 

 

 

15,000

 

Schlumberger Ltd. (g) 

 

1,028,400

 

 

 

 

 

Food & Staples Retailing - 1.6%

 

 

 

6,800

 

Costco Wholesale Corp. (g) 

 

1,340,688

 

37,600

 

Kroger Co. (g) 

 

947,144

 

22,400

 

Walgreens Boots Alliance, Inc. (g) 

 

1,488,480

 

 

 

 

 

3,776,312

 

Healthcare Equipment & Supplies - 0.9%

 

 

 

21,400

 

Baxter International, Inc. (g) 

 

1,487,300

 

1,500

 

Intuitive Surgical, Inc. (g)(i) 

 

661,170

 

 

 

 

 

2,148,470

 

Healthcare Providers & Services - 1.8%

 

 

 

20,825

 

Envision Healthcare Corp. (g)(i) 

 

774,065

 

9,300

 

McKesson Corp. (g) 

 

1,452,753

 

8,600

 

UnitedHealth Group, Inc. (g) 

 

2,033,040

 

 

 

 

 

4,259,858

 

Hotels, Restaurants & Leisure - 1.2%

 

 

 

8,100

 

McDonald’s Corp. (g) 

 

1,356,264

 

25,700

 

Starbucks Corp.

 

1,479,549

 

 

 

 

 

2,835,813

 

Household Durables - 0.4%

 

 

 

21,700

 

DR Horton, Inc. (g) 

 

957,838

 

 

 

 

 

Industrial Conglomerates - 0.8%

 

 

 

3,500

 

3M Co. (g) 

 

680,365

 

35,500

 

General Electric Co. (g) 

 

499,485

 

4,100

 

Honeywell International, Inc.

 

593,188

 

 

 

 

 

1,773,038

 

Internet & Catalog Retail - 1.5%

 

 

 

1,800

 

Amazon.com, Inc. (g)(i) 

 

2,819,034

 

2,200

 

Netflix, Inc. (g)(i) 

 

687,412

 

 

 

 

 

3,506,446

 

Internet Software & Services - 2.4%

 

 

 

8,500

 

Alibaba Group Holding Ltd., ADR (g)(i) 

 

1,517,590

 

2,200

 

Alphabet, Inc., Class A (g)(i) 

 

2,240,876

 

10,000

 

Facebook, Inc., Class A (g)(i) 

 

1,720,000

 

 

 

 

 

5,478,466

 

 


 

IT Services - 1.9%

 

 

 

7,400

 

International Business Machines Corp. (g) 

 

1,072,704

 

14,100

 

Square, Inc., Class A (i) 

 

667,494

 

20,700

 

Visa, Inc., Class A (g) 

 

2,626,416

 

 

 

 

 

4,366,614

 

Machinery - 1.4%

 

 

 

13,300

 

Caterpillar, Inc. (g) 

 

1,919,988

 

9,500

 

Deere & Co. (g) 

 

1,285,635

 

 

 

 

 

3,205,623

 

Media - 1.2%

 

 

 

31,500

 

Comcast Corp., Class A

 

988,785

 

13,573

 

LiveStyle, Inc. (d)(f)(i)(k) 

 

1

 

18,700

 

Walt Disney Co. (g) 

 

1,876,171

 

 

 

 

 

2,864,957

 

Multi-Line Retail - 0.8%

 

 

 

25,100

 

Target Corp. (g) 

 

1,822,260

 

 

 

 

 

Oil, Gas & Consumable Fuels - 0.8%

 

 

 

8,100

 

Occidental Petroleum Corp. (g) 

 

625,806

 

60,184

 

Southwestern Energy Co. (i) 

 

246,755

 

7,900

 

Valero Energy Corp. (g) 

 

876,347

 

 

 

 

 

1,748,908

 

Pharmaceuticals - 1.4%

 

 

 

13,761

 

Allergan PLC

 

2,114,378

 

20,300

 

Bristol-Myers Squibb Co.

 

1,058,239

 

 

 

 

 

3,172,617

 

Road & Rail - 0.7%

 

 

 

11,800

 

Union Pacific Corp. (g) 

 

1,576,834

 

Semiconductors & Semiconductor Equipment - 3.7%

 

 

 

6,200

 

Broadcom, Inc. (g) 

 

1,422,404

 

37,300

 

Intel Corp. (g) 

 

1,925,426

 

18,400

 

Micron Technology, Inc. (i) 

 

846,032

 

8,800

 

NVIDIA Corp. (g) 

 

1,979,120

 

17,200

 

QUALCOMM, Inc. (g) 

 

877,372

 

15,900

 

Texas Instruments, Inc.

 

1,612,737

 

 

 

 

 

8,663,091

 

Software - 3.2%

 

 

 

9,100

 

Adobe Systems, Inc. (g)(i) 

 

2,016,560

 

28,700

 

Microsoft Corp. (g) 

 

2,684,024

 

13,400

 

Oracle Corp.

 

611,978

 

3,300

 

Salesforce.com, Inc. (g)(i) 

 

399,267

 

3,300

 

ServiceNow, Inc. (g)(i) 

 

548,262

 

11,800

 

Take-Two Interactive Software, Inc. (g)(i) 

 

1,176,578

 

 

 

 

 

7,436,669

 

Specialty Retail - 0.9%

 

 

 

11,600

 

Home Depot, Inc. (g) 

 

2,143,680

 

 

 

 

 

Technology Hardware, Storage & Peripherals - 1.0%

 

 

 

14,400

 

Apple, Inc.

 

2,379,744

 

Total Common Stock (cost-$97,484,625)

 

83,307,621

 

 

Principal
Amount
(000s)

 

 

 

 

 

CORPORATE BONDS & NOTES - 29.4%

 

 

 

Aerospace & Defense - 0.9%

 

 

 

$1,000

 

KLX, Inc., 5.875%, 12/1/22 (a)(b)(g) 

 

1,047,500

 

1,000

 

TransDigm, Inc., 6.50%, 5/15/25 (g) 

 

1,020,000

 

 

 

 

 

2,067,500

 

Auto Manufacturers - 0.2%

 

 

 

435

 

Navistar International Corp., 6.625%, 11/1/25 (a)(b) 

 

453,488

 

 


 

Banks - 0.3%

 

 

 

680

 

Royal Bank of Scotland Group PLC, 5.125%, 5/28/24

 

691,244

 

 

 

 

 

Building Materials - 0.2%

 

 

 

565

 

Builders FirstSource, Inc., 5.625%, 9/1/24 (a)(b)(g) 

 

561,469

 

 

 

 

 

Chemicals - 1.4%

 

 

 

1,000

 

Chemours Co., 7.00%, 5/15/25 (g) 

 

1,081,250

 

305

 

Kraton Polymers LLC, 7.00%, 4/15/25 (a)(b)(g) 

 

316,437

 

1,000

 

Platform Specialty Products Corp., 6.50%, 2/1/22 (a)(b)(g) 

 

1,027,500

 

85

 

Trinseo Materials Operating SCA, 5.375%, 9/1/25 (a)(b) 

 

83,938

 

720

 

Tronox, Inc., 6.50%, 4/15/26 (a)(b) 

 

718,200

 

 

 

 

 

3,227,325

 

Commercial Services - 1.7%

 

 

 

 

 

Cardtronics, Inc. (g),

 

 

 

1,000

 

5.125%, 8/1/22

 

975,000

 

190

 

5.50%, 5/1/25 (a)(b)

 

176,700

 

350

 

Cenveo Corp., 6.00%, 5/15/24 (a)(b)(c)(g)(h) (acquisition cost-$460,572; purchased 14/12/15)

 

19,250

 

300

 

Gartner, Inc., 5.125%, 4/1/25 (a)(b)(g) 

 

301,410

 

365

 

KAR Auction Services, Inc., 5.125%, 6/1/25 (a)(b)(g) 

 

354,963

 

915

 

RR Donnelley & Sons Co., 6.00%, 4/1/24 (g) 

 

900,131

 

 

 

United Rentals North America, Inc.,

 

 

 

185

 

4.625%, 10/15/25

 

179,914

 

1,000

 

5.50%, 7/15/25 (g)

 

1,026,250

 

 

 

 

 

3,933,618

 

Computers - 0.5%

 

 

 

520

 

Dell International LLC, 7.125%, 6/15/24 (a)(b)(g) 

 

554,294

 

500

 

Harland Clarke Holdings Corp., 9.25%, 3/1/21 (a)(b)(g) 

 

518,125

 

 

 

 

 

1,072,419

 

Distribution/Wholesale - 0.4%

 

 

 

495

 

H&E Equipment Services, Inc., 5.625%, 9/1/25

 

498,712

 

365

 

Univar USA, Inc., 6.75%, 7/15/23 (a)(b)(g) 

 

376,863

 

 

 

 

 

875,575

 

Diversified Financial Services - 1.7%

 

 

 

1,500

 

Community Choice Financial, Inc., 10.75%, 5/1/19 (g) 

 

1,042,500

 

1,000

 

International Lease Finance Corp., 8.25%, 12/15/20 (g) 

 

1,114,391

 

1,000

 

Nationstar Mortgage LLC, 7.875%, 10/1/20 (g) 

 

1,018,750

 

700

 

Travelport Corporate Finance PLC, 6.00%, 3/15/26 (a)(b) 

 

717,500

 

 

 

 

 

3,893,141

 

Electric Utilities - 0.8%

 

 

 

1,000

 

NRG Energy, Inc., 6.25%, 5/1/24 (g) 

 

1,038,750

 

1,000

 

Talen Energy Supply LLC, 6.50%, 6/1/25 (g) 

 

735,000

 

 

 

 

 

1,773,750

 

Engineering & Construction - 0.4%

 

 

 

500

 

AECOM, 5.875%, 10/15/24 (g) 

 

523,175

 

435

 

Tutor Perini Corp., 6.875%, 5/1/25 (a)(b) 

 

446,832

 

 

 

 

 

970,007

 

Entertainment - 1.2%

 

 

 

885

 

AMC Entertainment Holdings, Inc., 6.125%, 5/15/27 (g) 

 

860,662

 

 

 

Cedar Fair L.P. (g),

 

 

 

750

 

5.375%, 6/1/24

 

763,133

 

190

 

5.375%, 4/15/27 (a)(b)

 

189,525

 

1,000

 

International Game Technology PLC, 6.25%, 2/15/22 (a)(b)(g) 

 

1,054,375

 

 

 

 

 

2,867,695

 

Equity Real Estate Investment Trusts (REITs) - 0.1%

 

 

 

 

 

CyrusOne L.P. (g),

 

 

 

210

 

5.00%, 3/15/24

 

211,050

 

60

 

5.375%, 3/15/27

 

60,150

 

 

 

 

 

271,200

 

Food & Beverage - 0.6%

 

 

 

495

 

Post Holdings, Inc., 5.75%, 3/1/27 (a)(b) 

 

484,407

 

 


 

1,000

 

SUPERVALU, Inc., 6.75%, 6/1/21

 

1,005,000

 

 

 

 

 

1,489,407

 

Food Service - 0.2%

 

 

 

390

 

Aramark Services, Inc., 5.00%, 2/1/28 (a)(b)(g) 

 

380,410

 

 

 

 

 

Healthcare-Products - 0.1%

 

 

 

260

 

Hill-Rom Holdings, Inc., 5.00%, 2/15/25 (a)(b)(g) 

 

259,488

 

 

 

 

 

Healthcare-Services - 2.1%

 

 

 

1,000

 

Community Health Systems, Inc., 6.875%, 2/1/22 (g) 

 

552,500

 

800

 

DaVita, Inc., 5.125%, 7/15/24 (g) 

 

776,500

 

145

 

Encompass Health Corp., 5.75%, 11/1/24 (g) 

 

148,081

 

185

 

Envision Healthcare Corp., 6.25%, 12/1/24 (a)(b)(g) 

 

193,325

 

1,000

 

HCA, Inc., 7.50%, 2/15/22 (g) 

 

1,102,500

 

1,000

 

Kindred Healthcare, Inc., 8.75%, 1/15/23 (g) 

 

1,072,500

 

1,000

 

Tenet Healthcare Corp., 8.125%, 4/1/22 (g) 

 

1,045,000

 

 

 

 

 

4,890,406

 

Home Builders - 0.8%

 

 

 

375

 

Beazer Homes USA, Inc., 8.75%, 3/15/22 (g) 

 

405,938

 

365

 

Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)(b)(g) 

 

370,475

 

1,000

 

KB Home, 8.00%, 3/15/20 (g) 

 

1,077,500

 

 

 

 

 

1,853,913

 

Internet - 0.2%

 

 

 

305

 

Symantec Corp., 5.00%, 4/15/25 (a)(b) 

 

307,003

 

90

 

Zayo Group LLC, 5.75%, 1/15/27 (a)(b) 

 

89,550

 

 

 

 

 

396,553

 

Iron/Steel - 0.2%

 

 

 

 

 

AK Steel Corp. (g),

 

 

 

205

 

7.00%, 3/15/27

 

199,875

 

265

 

7.50%, 7/15/23

 

279,575

 

 

 

 

 

479,450

 

Lodging - 0.9%

 

 

 

1,000

 

MGM Resorts International, 6.625%, 12/15/21 (g) 

 

1,072,500

 

1,000

 

Wynn Las Vegas LLC, 5.50%, 3/1/25 (a)(b)(g) 

 

997,900

 

 

 

 

 

2,070,400

 

Machinery-Construction & Mining - 0.2%

 

 

 

360

 

Terex Corp., 5.625%, 2/1/25 (a)(b) 

 

358,650

 

 

 

 

 

Machinery-Diversified - 0.1%

 

 

 

250

 

Tennant Co., 5.625%, 5/1/25

 

255,983

 

 

 

 

 

Media - 2.3%

 

 

 

1,000

 

Cablevision Systems Corp., 8.00%, 4/15/20 (g) 

 

1,062,500

 

 

 

CCO Holdings LLC (g),

 

 

 

125

 

5.125%, 5/1/27 (a)(b)

 

117,434

 

500

 

5.75%, 1/15/24

 

505,950

 

1,000

 

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22, Ser. B (g) 

 

1,028,750

 

425

 

CSC Holdings LLC, 6.75%, 11/15/21 (g) 

 

448,375

 

750

 

DISH DBS Corp., 5.875%, 7/15/22 (g) 

 

690,937

 

500

 

LIN Television Corp., 5.875%, 11/15/22 (g) 

 

516,250

 

415

 

McClatchy Co., 9.00%, 12/15/22

 

436,788

 

440

 

Meredith Corp., 6.875%, 2/1/26 (a)(b) 

 

446,600

 

 

 

 

 

5,253,584

 

Metal Fabricate/Hardware - 0.1%

 

 

 

270

 

Park-Ohio Industries, Inc., 6.625%, 4/15/27

 

281,475

 

 

 

 

 

Mining - 0.8%

 

 

 

305

 

Alcoa Nederland Holding BV, 6.75%, 9/30/24 (a)(b)(g) 

 

328,640

 

695

 

Constellium NV, 6.625%, 3/1/25 (a)(b)(g) 

 

706,294

 

560

 

Freeport-McMoRan, Inc., 3.55%, 3/1/22 (g) 

 

543,200

 

 

 

Hudbay Minerals, Inc. (a)(b)(g),

 

 

 

80

 

7.25%, 1/15/23

 

83,800

 

270

 

7.625%, 1/15/25

 

287,296

 

 

 

 

 

1,949,230

 

Miscellaneous Manufacturing - 0.1%

 

 

 

285

 

Koppers, Inc., 6.00%, 2/15/25 (a)(b)(g) 

 

290,700

 

 


 

Oil, Gas & Consumable Fuels - 2.5%

 

 

 

235

 

AmeriGas Partners L.P., 5.875%, 8/20/26 (g) 

 

234,412

 

250

 

Callon Petroleum Co., 6.125%, 10/1/24 (g) 

 

256,250

 

560

 

Calumet Specialty Products Partners L.P., 6.50%, 4/15/21 (g) 

 

555,800

 

1,000

 

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 (g) 

 

1,031,970

 

1,000

 

Chesapeake Energy Corp., 6.625%, 8/15/20 (g) 

 

1,030,000

 

1,000

 

CVR Refining LLC, 6.50%, 11/1/22 (g) 

 

1,025,000

 

45

 

Noble Holding International Ltd., 7.75%, 1/15/24

 

42,413

 

1,000

 

Sanchez Energy Corp., 6.125%, 1/15/23 (g) 

 

727,200

 

 

 

Sunoco L.P. (a)(b),

 

 

 

300

 

5.50%, 2/15/26

 

290,250

 

170

 

5.875%, 3/15/28

 

165,537

 

320

 

Transocean, Inc., 7.50%, 1/15/26 (a)(b) 

 

324,000

 

165

 

Weatherford International Ltd., 8.25%, 6/15/23

 

155,513

 

 

 

 

 

5,838,345

 

Pharmaceuticals - 1.0%

 

 

 

615

 

Endo Finance LLC, 5.375%, 1/15/23 (a)(b)(g) 

 

448,181

 

1,000

 

Horizon Pharma, Inc., 6.625%, 5/1/23 (g) 

 

1,005,000

 

1,000

 

Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25 (a)(b)(g) 

 

905,720

 

 

 

 

 

2,358,901

 

Pipelines - 0.9%

 

 

 

1,000

 

Energy Transfer Equity L.P., 5.875%, 1/15/24 (g) 

 

1,023,750

 

1,000

 

Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 (g) 

 

1,075,087

 

 

 

 

 

2,098,837

 

Real Estate - 0.8%

 

 

 

500

 

Equinix, Inc., 5.375%, 1/1/22 (g) 

 

516,875

 

1,000

 

Kennedy-Wilson, Inc., 5.875%, 4/1/24 (g) 

 

990,000

 

360

 

Uniti Group L.P., 8.25%, 10/15/23 (g) 

 

346,500

 

 

 

 

 

1,853,375

 

Retail - 1.1%

 

 

 

1,000

 

Conn’s, Inc., 7.25%, 7/15/22

 

994,700

 

500

 

Dollar Tree, Inc., 5.75%, 3/1/23 (g) 

 

521,912

 

300

 

L Brands, Inc., 6.875%, 11/1/35 (g) 

 

285,000

 

100

 

Men’s Wearhouse, Inc., 7.00%, 7/1/22

 

103,125

 

1,000

 

Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21 (a)(b)(g) 

 

685,000

 

 

 

 

 

2,589,737

 

Semiconductors - 0.9%

 

 

 

1,000

 

Amkor Technology, Inc., 6.375%, 10/1/22 (g) 

 

1,030,000

 

500

 

Qorvo, Inc., 7.00%, 12/1/25

 

545,000

 

400

 

Sensata Technologies BV, 5.625%, 11/1/24 (a)(b)(g) 

 

416,000

 

 

 

 

 

1,991,000

 

Software - 0.2%

 

 

 

340

 

Camelot Finance S.A., 7.875%, 10/15/24 (a)(b)(g) 

 

355,300

 

230

 

Rackspace Hosting, Inc., 8.625%, 11/15/24 (a)(b) 

 

233,738

 

 

 

 

 

589,038

 

Telecommunications - 3.4%

 

 

 

700

 

CenturyLink, Inc., 7.50%, 4/1/24, Ser. Y (g) 

 

715,750

 

800

 

Cincinnati Bell, Inc., 7.00%, 7/15/24 (a)(b)(g) 

 

737,920

 

1,000

 

Consolidated Communications, Inc., 6.50%, 10/1/22 (g) 

 

925,000

 

700

 

Frontier Communications Corp., 10.50%, 9/15/22 (g) 

 

618,835

 

355

 

GTT Communications, Inc., 7.875%, 12/31/24 (a)(b)(g) 

 

363,875

 

1,000

 

Hughes Satellite Systems Corp., 7.625%, 6/15/21 (g) 

 

1,076,250

 

500

 

Level 3 Financing, Inc., 5.375%, 5/1/25 (g) 

 

493,600

 

915

 

Sprint Communications, Inc., 6.00%, 11/15/22

 

936,731

 

365

 

Sprint Corp., 7.625%, 3/1/26

 

385,075

 

1,000

 

T-Mobile USA, Inc., 4.75%, 2/1/28

 

963,550

 

1,080

 

Windstream Services LLC, 6.375%, 8/1/23 (a)(b) 

 

618,300

 

 

 

 

 

7,834,886

 

Transportation - 0.1%

 

 

 

200

 

XPO Logistics, Inc., 6.50%, 6/15/22 (a)(b)(g) 

 

207,250

 

Total Corporate Bonds & Notes (cost-$70,827,083)

 

68,229,449

 

 


 

Shares

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK - 8.6%

 

 

 

Banks - 2.0%

 

 

 

2,000

 

Bank of America Corp., 7.25%, Ser. L (e) 

 

2,546,000

 

1,585

 

Wells Fargo & Co., 7.50%, Ser. L (e)(g) 

 

2,029,767

 

 

 

 

 

4,575,767

 

Commercial Services & Supplies - 0.5%

 

 

 

23,485

 

Stericycle, Inc., 5.25%, 9/15/18 (g) 

 

1,066,689

 

 

 

 

 

Diversified Financial Services - 1.1%

 

 

 

8,095

 

2017 Mandatory Exchangeable Trust, 5.188%, 12/1/20 (a)(b)(g) 

 

986,964

 

25,265

 

AMG Capital Trust II, 5.15%, 10/15/37 (g) 

 

1,524,220

 

 

 

 

 

2,511,184

 

Diversified Telecommunication Services - 0.1%

 

 

 

24,375

 

Frontier Communications Corp., 11.125%, 6/29/18, Ser. A (g) 

 

322,481

 

 

 

 

 

Electric Utilities - 0.9%

 

 

 

34,450

 

NextEra Energy, Inc., 6.123%, 9/1/19 (g) 

 

1,991,210

 

 

 

 

 

Equity Real Estate Investment Trusts (REITs) - 0.7%

 

 

 

1,700

 

Crown Castle International Corp., 6.875%, 8/1/20, Ser. A (g) 

 

1,743,677

 

 

 

 

 

Hand/Machine Tools - 0.6%

 

 

 

12,725

 

Stanley Black & Decker, Inc., 5.375%, 5/15/20 (g) 

 

1,369,495

 

 

 

 

 

Healthcare-Products - 1.1%

 

 

 

43,760

 

Becton Dickinson and Co., 6.125%, 5/1/20, Ser. A (g) 

 

2,641,791

 

 

 

 

 

Metal Fabricate/Hardware - 0.6%

 

 

 

22,895

 

Rexnord Corp., 5.75%, 11/15/19, Ser. A

 

1,371,525

 

 

 

 

 

Oil, Gas & Consumable Fuels - 0.7%

 

 

 

23,355

 

Hess Corp., 8.00%, 2/1/19 (g) 

 

1,518,542

 

 

 

 

 

Pharmaceuticals - 0.3%

 

 

 

2,310

 

Teva Pharmaceutical Industries Ltd., 7.00%, 12/15/18 (g) 

 

795,680

 

Total Convertible Preferred Stock (cost-$25,062,942)

 

19,908,041

 

PREFERRED STOCK (a)(d)(f)(i)(k)- 0.5%

 

 

 

Media - 0.5%

 

 

 

1,248

 

LiveStyle, Inc., Ser. A

 

124,800

 

11,496

 

LiveStyle, Inc., Ser. B

 

1,149,600

 

1,250

 

LiveStyle, Inc., Ser. B

 

12

 

Total Preferred Stock (cost-$2,499,840)

 

1,274,412

 

 

Units

 

 

 

 

 

WARRANTS (a)(d)(f)(i) - 0.0%

 

 

 

Commercial Services - 0.0%

 

 

 

37,000

 

Cenveo, Inc., strike price $12.00, expires 6/10/24

 

2

 

 

 

 

 

Media - 0.0%

 

 

 

3,000

 

LiveStyle, Inc., expires 11/30/21, Ser. C (k) 

 

—

 

Total Warrants (cost-$10,114)

 

2

 

 

Principal
Amount
(000s)

 

 

 

 

 

Repurchase Agreements - 3.9%

 

 

 

$9,140

 

State Street Bank and Trust Co.,
dated 4/30/18, 0.28%, due 5/1/18, proceeds $9,140,071; collateralized by U.S. Treasury Bonds, 1.625%, due 2/15/26, valued at $9,324,515 including accrued interest (cost-$9,140,000)

 

9,140,000

 

 


 

Total Investments, before options written (cost-$362,326,531)-146.2%

 

339,784,991

 

 

 

 

 

 

 

Total Options Written —(0.0)% (premiums received-$96,222) (i)(j)(l)

 

(59,687

)

 

 

 

 

Total Investments, net of options written (cost-$362,230,309) (m)-146.2%

 

339,725,304

 

 

 

 

 

Other liabilities in excess of other assets-(46.2)%

 

(107,331,066

)

Net Assets-100.0%

 

$232,394,238

 

 


 

Notes to Schedule of Investments:

 

* Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of official closing prices, last reported sales prices, or if no sales or closing prices are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Fund’s investments are valued daily using prices supplied by an independent pricing service or broker/dealer quotations, or by using the last sale or settlement price on the exchange that is the primary market for such securities, or the mean between the last bid and ask quotations. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics.

 

The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial instruments in circumstances where market quotations are not readily available (including in cases where available market quotations are deemed to be unreliable), and has delegated primary responsibility for applying the valuation methods to the investment manager, Allianz Global Investors U.S. LLC (the “Investment Manager”). The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as necessary. The Investment Manager monitors the continued appropriateness of methods applied and identifies circumstances and events that may require fair valuation. The Investment Manager determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Investment Manager determines that a valuation method may no longer be appropriate, another valuation method previously approved by the Fund’s Valuation Committee may be selected or the Fund’s Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures adopted by the Board. The Board shall review and ratify the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Fund’s Valuation Committee.

 

Short-term debt instruments maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing premiums or discounts based on their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.

 

The prices used by the Fund to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material. The Fund’s net asset value (“NAV”) is normally determined at the close of regular trading (normally, 4:00 p.m. Eastern Time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business. In unusual circumstances, the Board or the Valuation Committee may in good faith determine the NAV as of 4:00 p.m., Eastern Time, notwithstanding an earlier, unscheduled close or halt of trading on the NYSE.

 

(a)              Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $86,663,954, representing 37.3% of net assets.

 

(b)              144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Securities with an aggregate value of $85,178,680, representing 36.7% of net assets.

 

(c)               In default.

 

(d)              Fair-Valued—Securities with an aggregate value of $1,355,752, representing 0.6% of net assets.

 

(e)               Perpetual maturity. The date shown, if any, is the next call date.

 

(f)                Level 3 security.

 

(g)               All or partial amount segregated for the benefit of the counterparty as collateral for options written and long-term and short-term loan financing.

 

(h)              Restricted. The acquisition cost of such security is $460,572. The value is $19,250, representing less than 0.05% of net assets.

 

(i)                  Non-income producing.

 

(j)                 Exchange traded-Chicago Board Options Exchange.

 

(k)              A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.5% of net assets.

 

(l)                  Exchange traded option contracts outstanding at April 30, 2018:

 

Options written contracts outstanding at April 30, 2018:

 

Description

 

Exercise Price

 

Expiration
Date

 

Number of
Contracts

 

Notional
Amount

 

Market
Value

 

Premiums
Received

 

Unrealized
Appreciation
(Depreciation)

 

Call options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3M Co.

 

232.50 USD

 

5/18/18

 

(17

)

$(1,700

)

$(102

)

$(1,548

)

$1,446

 

Adobe Systems, Inc.

 

245.00 USD

 

5/18/18

 

(40

)

(4,000

)

(1,060

)

(2,830

)

1,770

 

Alibaba Group Holding Ltd.

 

190.00 USD

 

5/18/18

 

(65

)

(6,500

)

(15,632

)

(14,368

)

(1,264

)

Alphabet, Inc.

 

1,160.00 USD

 

5/18/18

 

(12

)

(1,200

)

(390

)

(9,789

)

9,399

 

Amazon.com, Inc.

 

1,650.00 USD

 

5/4/18

 

(10

)

(1,000

)

(8,200

)

(9,295

)

1,095

 

Bank of America Corp.

 

32.00 USD

 

5/18/18

 

(140

)

(14,000

)

(490

)

(1,421

)

931

 

Boeing Co.

 

365.00 USD

 

5/18/18

 

(25

)

(2,500

)

(888

)

(5,733

)

4,845

 

Broadcom Ltd.

 

260.00 USD

 

5/18/18

 

(40

)

(4,000

)

(400

)

(1,389

)

989

 

Caterpillar, Inc.

 

170.00 USD

 

5/18/18

 

(32

)

(3,200

)

(96

)

(1,996

)

1,900

 

Costco Wholesale Corp.

 

205.00 USD

 

5/18/18

 

(50

)

(5,000

)

(2,625

)

(2,193

)

(432

)

DR Horton, Inc.

 

48.00 USD

 

5/18/18

 

(150

)

(15,000

)

(900

)

(2,714

)

1,814

 

Facebook, Inc.

 

185.00 USD

 

5/18/18

 

(50

)

(5,000

)

(2,125

)

(4,418

)

2,293

 

Home Depot, Inc.

 

200.00 USD

 

5/18/18

 

(60

)

(6,000

)

(1,200

)

(1,633

)

433

 

Intel Corp.

 

56.50 USD

 

5/18/18

 

(180

)

(18,000

)

(2,160

)

(5,976

)

3,816

 

Intuitive Surgical, Inc.

 

482.50 USD

 

5/18/18

 

(8

)

(800

)

(480

)

(1,615

)

1,135

 

JPMorgan Chase & Co.

 

119.00 USD

 

5/18/18

 

(110

)

(11,000

)

(495

)

(2,215

)

1,720

 

McDonald’s Corp.

 

170.00 USD

 

5/18/18

 

(40

)

(4,000

)

(5,220

)

(1,401

)

(3,819

)

Microsoft Corp.

 

102.00 USD

 

5/18/18

 

(145

)

(14,500

)

(1,087

)

(2,645

)

1,558

 

Netflix, Inc.

 

350.00 USD

 

5/18/18

 

(13

)

(1,300

)

(936

)

(1,353

)

417

 

NVIDIA Corp.

 

257.50 USD

 

5/18/18

 

(50

)

(5,000

)

(5,550

)

(6,282

)

732

 

Raytheon Co.

 

230.00 USD

 

5/18/18

 

(10

)

(1,000

)

(90

)

(947

)

857

 

Salesforce.com, Inc.

 

130.00 USD

 

5/18/18

 

(20

)

(2,000

)

(870

)

(1,139

)

269

 

ServiceNow, Inc.

 

185.00 USD

 

5/18/18

 

(17

)

(1,700

)

(383

)

(1,456

)

1,073

 

Union Pacific Corp.

 

145.00 USD

 

5/18/18

 

(70

)

(7,000

)

(665

)

(5,520

)

4,855

 

UnitedHealth Group, Inc.

 

250.00 USD

 

5/18/18

 

(43

)

(4,300

)

(1,440

)

(1,369

)

(71

)

Valero Energy Corp.

 

115.00 USD

 

5/18/18

 

(40

)

(4,000

)

(3,700

)

(2,384

)

(1,316

)

Vertex Pharmaceuticals, Inc.

 

180.00 USD

 

5/18/18

 

(37

)

(3,700

)

(1,203

)

(1,274

)

71

 

Visa, Inc.

 

132.00 USD

 

5/18/18

 

(40

)

(4,000

)

(1,300

)

(1,319

)

19

 

Total options written contracts

 

 

 

 

 

 

 

 

 

$(59,687

)

$(96,222

)

$36,535

 

 


 

(m)          At April 30, 2018, the aggregate cost basis of portfolio securities for federal income tax purposes was $363,250,364. Gross unrealized appreciation was $11,355,024; gross unrealized depreciation was $34,880,084; and net unrealized depreciation was $23,525,060. The difference between book and tax cost was attributable to wash sale loss deferrals and differing treatment of bond premium amortization.

 

Fair Value Measurements

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

 

·                  Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access

·                  Level 2 — valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs

·                  Level 3 — valuations based on significant unobservable inputs (including the Investment Manager’s or Fund’s Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote)

 

The valuation techniques used by the Fund to measure fair value during the three months ended April 30, 2018 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

 

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 the Fund generally uses to evaluate how to classify each major category of assets and liabilities within Level 2 and Level 3, in accordance with accounting principles generally accepted in the United States of America.

 

Equity Securities (Common and Preferred Stock and Warrants) —Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Convertible Bonds & Notes — Convertible bonds & notes are valued by independent pricing services based on various inputs and techniques, which include broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of convertible bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Corporate Bonds & Notes—Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Option Contracts — Option contracts traded over-the-counter (“OTC”) and FLexible EXchange (“FLEX”) options are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC and FLEX option contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

A summary of the inputs used at April 30, 2018 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments for more detailed information on Investments in Securities):

 


 

 

 

Level 1 -
Quoted Prices

 

Level 2 -
Other Significant
Observable
Inputs

 

Level 3 -
Significant
Unobservable
Inputs

 

Value at
4/30/18

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Convertible Bonds & Notes:

 

 

 

 

 

 

 

 

 

Energy-Alternate Sources

 

$—

 

$1,823,127

 

$81,337

 

$1,904,464

 

All Other

 

—

 

156,021,002

 

—

 

156,021,002

 

Common Stock:

 

 

 

 

 

 

 

 

 

Media

 

2,864,956

 

—

 

1

 

2,864,957

 

All Other

 

80,442,664

 

—

 

—

 

80,442,664

 

Corporate Bonds & Notes

 

—

 

68,229,449

 

—

 

68,229,449

 

Convertible Preferred Stock:

 

 

 

 

 

 

 

 

 

Diversified Financial Services

 

—

 

2,511,184

 

—

 

2,511,184

 

Healthcare-Products

 

—

 

2,641,791

 

—

 

2,641,791

 

Pharmaceuticals

 

—

 

795,680

 

—

 

795,680

 

All Other

 

13,959,386

 

—

 

—

 

13,959,386

 

Preferred Stock

 

—

 

—

 

1,274,412

 

1,274,412

 

Warrants

 

—

 

—

 

2

 

2

 

Repurchase Agreements

 

—

 

9,140,000

 

—

 

9,140,000

 

 

 

97,267,006

 

241,162,233

 

1,355,752

 

339,784,991

 

Investments in Securities - Liabilities

 

 

 

 

 

 

 

 

 

Options Written:

 

 

 

 

 

 

 

 

 

Market Price

 

(59,687

)

—

 

—

 

(59,687

)

Totals

 

$97,207,319

 

$241,162,233

 

$1,355,752

 

$339,725,304

 

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended April 30, 2018, was as follows:

 

 

 

Beginning
Balance
1/31/18

 

Purchases

 

Sales

 

Accrued
Discount
(Premiums)

 

Net
Realized
Gain (Loss)

 

Net Change
in Unrealized
Appreciation/
Depreciation

 

Transfers
into
Level 3

 

Transfers
out of
Level 3*

 

Ending
Balance
4/30/18

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Convertible Bonds & Notes:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy-Alternate Sources

 

$81,337

 

—

 

$(2,486

)+

$237

 

—

 

$2,249

 

—

 

—

 

$81,337

 

Common Stock:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Media

 

1

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

1

 

Convertible Preferred Stock:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity Real Estate Investment Trusts (REITs)

 

1,911,225

 

—

 

—

 

—

 

—

 

(167,548

)

—

 

(1,743,677

)

—

 

Preferred Stock

 

1,274,413

 

—

 

—

 

—

 

—

 

(1

)

—

 

—

 

1,274,412

 

Warrants

 

1,643

 

—

 

—

 

—

 

—

 

(1,641

)

—

 

—

 

2

 

Totals

 

$3,268,619

 

—

 

$(2,486

)

$237

 

—

 

$(166,941

)

—

 

$(1,743,677

)

$1,355,752

 

 

* Transferred out of Level 3 and into Level 1. This transfer was a result of a security with an exchange-traded closing price at April 30, 2018, which was not available on January 31,   2018.

+ Issued or removed via corporate action.

 

The table above includes Level 3 investments that are valued by brokers and pricing services. The inputs of these investments are not readily available or cannot be reasonably estimated.

 

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at April 30, 2018:

 

 

 

Ending
Balance
at 4/30/18

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values

 

Investments in Securities - Assets

 

 

 

 

 

 

 

Preferred Stock

 

$1,274,400

 

Market and Company Comparables

 

EV Multiples
Illiquidity Discount

 

0.69(0.24x - 1.10x) 30%

 

 

The net change in unrealized appreciation/depreciation of Level 3 investments held at April 30, 2018 was $607.

 

Glossary:

 

ADR - American Depositary Receipt

 

REIT - Real Estate Investment Trust

 


 

Item 2. Controls and Procedures

 

(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) (17 CFR270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) 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

 

Certifications pursuant to Rule 30a-2(a) under the 1940 Act are filed and attached hereto as Exhibit 99_CERT.

 


 

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.

 

Registrant: AllianzGI Diversified Income & Convertible Fund

 

By:

/s/ Thomas J. Fuccillo

 

Thomas J. Fuccillo

 

President & Chief Executive Officer

 

 

 

Date: June 22, 2018

 

 

 

By:

/s/ Scott Whisten

 

Scott Whisten

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: June 22, 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/ Thomas J. Fuccillo

 

Thomas J. Fuccillo

 

President & Chief Executive Officer

 

 

 

Date: June 22, 2018

 

 

 

By:

/s/ Scott Whisten

 

Scott Whisten

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: June 22, 2018

 

 

Exhibit 99_CERT

 

CERTIFICATIONS

 

I, Thomas J. Fuccillo, certify that:

 

1. I have reviewed this report on Form N-Q of AllianzGI Diversified Income & Convertible Fund;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by the report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: June 22, 2018

 

 

 

Signature & Title:

/s/ Thomas J. Fuccillo

 

Thomas J. Fuccillo

 

President & Chief Executive Officer

 

 


 

I, Scott Whisten, certify that:

 

1. I have reviewed this report on Form N-Q of AllianzGI Diversified Income & Convertible Fund;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by the report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: June 22, 2018

 

 

 

Signature & Title:

/s/ Scott Whisten

 

Scott Whisten

 

Treasurer, Principal Financial & Accounting Officer

 

 

 


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