NPORT-EX 2 NCV_F1XH_NPORT.htm HTML

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2019 (unaudited)

 

Principal
Amount
(000s)
        Value^  

CORPORATE BONDS & NOTES—36.1%

  

Advertising—0.2%

  

    $1,530

   National CineMedia LLC, 5.875%, 4/15/28 (a)(b)    $ 1,599,382  
     

 

 

 

Aerospace & Defense—1.2%

  
   TransDigm, Inc.,   

3,240

   5.50%, 11/15/27 (a)(b)      3,248,100  

5,620

   6.50%, 5/15/25      5,851,825  

955

   Triumph Group, Inc., 6.25%, 9/15/24 (a)(b)      1,005,128  
     

 

 

 
        10,105,053  
     

 

 

 

Auto Components—0.9%

  

2,955

   Adient U.S. LLC, 7.00%, 5/15/26 (a)(b)      3,164,586  

2,215

   Goodyear Tire & Rubber Co., 5.00%, 5/31/26 (n)      2,283,433  

2,315

   Panther BF Aggregator 2 L.P., 8.50%, 5/15/27 (a)(b)      2,370,039  
     

 

 

 
        7,818,058  
     

 

 

 

Auto Manufacturers—1.2%

  

6,135

   Navistar International Corp., 6.625%, 11/1/25 (a)(b)      6,334,387  

4,215

   Tesla, Inc., 5.30%, 8/15/25 (a)(b)      4,051,627  
     

 

 

 
        10,386,014  
     

 

 

 

Chemicals—1.4%

  

2,695

   Chemours Co., 6.625%, 5/15/23      2,661,313  

3,145

   Kraton Polymers LLC, 7.00%, 4/15/25 (a)(b)      3,216,737  

1,550

   Olin Corp., 5.00%, 2/1/30      1,542,289  

4,690

   Tronox, Inc., 6.50%, 4/15/26 (a)(b)(n)      4,737,017  
     

 

 

 
        12,157,356  
     

 

 

 

Commercial Services—1.8%

  

8,050

   Cenveo Corp., 6.00%, 5/15/24 (cost-$9,872,376; purchased 3/22/12) (a)(b)(c)(d)(f)(j)      442,750  

2,170

   Herc Holdings, Inc., 5.50%, 7/15/27 (a)(b)      2,275,842  
   Hertz Corp. (a)(b),   

3,675

   7.125%, 8/1/26      3,920,765  

391

   7.625%, 6/1/22      407,617  

3,465

   Laureate Education, Inc., 8.25%, 5/1/25 (a)(b)      3,750,828  
   United Rentals North America, Inc.,   

2,395

   5.25%, 1/15/30      2,550,735  

1,655

   5.50%, 7/15/25      1,727,390  
     

 

 

 
        15,075,927  
     

 

 

 

Computers—0.5%

  

5,050

   Harland Clarke Holdings Corp., 9.25%, 3/1/21 (a)(b)(n)      4,698,520  
     

 

 

 

Containers & Packaging—0.5%

  

2,195

   Berry Global, Inc., 5.625%, 7/15/27 (a)(b)      2,343,217  

1,805

   Trivium Packaging Finance BV, 8.50%, 8/15/27 (a)(b)      1,967,495  
     

 

 

 
        4,310,712  
     

 

 

 

Distribution/Wholesale—0.7%

  

5,380

   H&E Equipment Services, Inc., 5.625%, 9/1/25      5,671,408  
     

 

 

 

Diversified Financial Services—3.2%

  

19,469

   CCF Holdings LLC, 10.75%, 12/15/23, PIK 10.75% (a)(b)(d)(f)      9,462,007  

6,000

   Community Choice Financial Issuer LLC, 9.00%, 6/15/23 (cost—$6,000,000; purchased 9/6/18) (a)(b)(j)      6,007,500  
   Navient Corp.,   

2,365

   6.75%, 6/15/26      2,536,711  

1,175

   7.25%, 9/25/23      1,307,176  
   Springleaf Finance Corp.,   

2,165

   6.625%, 1/15/28      2,397,353  

4,935

   8.25%, 10/1/23      5,775,998  
     

 

 

 
        27,486,745  
     

 

 

 

Electronic Equipment, Instruments & Components—0.3%

  

2,260

   Energizer Holdings, Inc., 7.75%, 1/15/27 (a)(b)      2,530,799  
     

 

 

 

Engineering & Construction—0.6%

  

5,100

   Tutor Perini Corp., 6.875%, 5/1/25 (a)(b)      4,991,625  
     

 

 

 


Entertainment—1.4%

  

    4,990

   AMC Entertainment Holdings, Inc., 6.125%, 5/15/27 (n)      4,503,600  

2,365

   International Game Technology PLC, 6.25%, 1/15/27 (a)(b)      2,660,205  

3,115

   Lions Gate Capital Holdings LLC, 6.375%, 2/1/24 (a)(b)      3,037,094  

1,855

   Stars Group Holdings BV, 7.00%, 7/15/26 (a)(b)      2,007,708  
     

 

 

 
        12,208,607  
     

 

 

 

Food & Beverage—0.2%

  

1,525

   Albertsons Cos. LLC, 7.50%, 3/15/26 (a)(b)      1,691,795  
     

 

 

 

Healthcare-Products—0.4%

  

2,980

   Avantor, Inc., 9.00%, 10/1/25 (a)(b)      3,322,700  
     

 

 

 

Healthcare-Services—3.0%

  

2,460

   Centene Corp., 5.375%, 6/1/26 (a)(b)      2,617,566  

2,835

   CHS/Community Health Systems, Inc., 6.25%, 3/31/23      2,806,650  

5,430

   DaVita, Inc., 5.125%, 7/15/24      5,586,058  

1,009

   Encompass Health Corp., 5.75%, 11/1/24      1,025,386  

3,550

   HCA, Inc., 7.50%, 2/15/22      3,940,475  

2,270

   Select Medical Corp., 6.25%, 8/15/26 (a)(b)      2,438,829  
   Tenet Healthcare Corp.,   

3,075

   6.25%, 2/1/27 (a)(b)      3,294,094  

3,500

   7.00%, 8/1/25 (n)      3,688,090  
     

 

 

 
        25,397,148  
     

 

 

 

Insurance—0.6%

  

4,390

   Prudential Financial, Inc., 5.70%, 9/15/48 (converts to FRN on 9/15/28)      5,034,342  
     

 

 

 

Internet—0.5%

  

2,220

   Go Daddy Operating Co. LLC, 5.25%, 12/1/27 (a)(b)      2,336,156  

2,290

   Netflix, Inc., 5.375%, 11/15/29 (a)(b)      2,416,236  
     

 

 

 
        4,752,392  
     

 

 

 

Iron/Steel—0.2%

  

1,745

   United States Steel Corp., 6.875%, 8/15/25 (n)      1,640,300  
     

 

 

 

Lodging—0.7%

  

1,720

   MGM Resorts International, 5.50%, 4/15/27      1,894,193  

1,300

   Wyndham Hotels & Resorts, Inc., 5.375%, 4/15/26 (a)(b)(g)      1,374,519  

2,975

   Wynn Las Vegas LLC, 5.50%, 3/1/25 (a)(b)      3,179,502  
     

 

 

 
        6,448,214  
     

 

 

 

Machinery-Construction & Mining—0.4%

  

3,645

   Terex Corp., 5.625%, 2/1/25 (a)(b)      3,701,352  
     

 

 

 

Media—3.2%

  

1,360

   Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 (a)(b)      1,501,508  
   CSC Holdings LLC (a)(b),   

2,230

   7.50%, 4/1/28      2,516,717  

2,310

   7.75%, 7/15/25      2,483,250  
   Diamond Sports Group LLC (a)(b),   

795

   5.375%, 8/15/26      808,415  

4,720

   6.625%, 8/15/27 (n)      4,612,549  

4,825

   DISH DBS Corp., 5.875%, 11/15/24      4,831,031  

3,740

   Gray Television, Inc., 5.875%, 7/15/26 (a)(b)      3,974,414  

4,671

   LiveStyle, Inc., 9.625%, 2/1/19 (cost—$4,667,935; purchased 5/7/14-2/26/15) (a)(b)(c)(d)(f)(j)(l)      5  

2,810

   Meredith Corp., 6.875%, 2/1/26      2,895,276  

2,265

   Nexstar Broadcasting, Inc., 5.625%, 7/15/27 (a)(b)      2,391,166  

1,495

   Virgin Media Secured Finance PLC, 5.50%, 5/15/29 (a)(b)      1,573,525  
     

 

 

 
        27,587,856  
     

 

 

 

Metal Fabricate/Hardware—0.4%

  

3,830

   Park-Ohio Industries, Inc., 6.625%, 4/15/27      3,764,306  
     

 

 

 

Mining—1.3%

  

4,405

   Constellium SE, 6.625%, 3/1/25 (a)(b)      4,592,257  

1,990

   Hudbay Minerals, Inc., 7.625%, 1/15/25 (a)(b)      1,999,930  

3,950

   Joseph T. Ryerson & Son, Inc., 11.00%, 5/15/22 (a)(b)      4,184,997  
     

 

 

 
        10,777,184  
     

 

 

 

Miscellaneous Manufacturing—0.2%

  

1,725

   Koppers, Inc., 6.00%, 2/15/25 (a)(b)      1,750,858  
     

 

 

 


Oil, Gas & Consumable Fuels—1.3%

  

    1,900

   Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 (n)      1,833,481  

4,480

   Oasis Petroleum, Inc., 6.875%, 3/15/22      4,197,200  

3,220

   Transocean, Inc., 7.50%, 1/15/26 (a)(b)      2,898,571  

2,285

   USA Compression Partners L.P., 6.875%, 9/1/27 (a)(b)      2,342,868  
     

 

 

 
        11,272,120  
     

 

 

 

Paper & Forest Products—0.3%

  

2,335

   Mercer International, Inc., 7.375%, 1/15/25      2,487,277  
     

 

 

 

Pharmaceuticals—1.1%

  

1,610

   Bausch Health Americas, Inc., 8.50%, 1/31/27 (a)(b)      1,827,390  
   Bausch Health Cos., Inc. (a)(b),   

1,565

   6.125%, 4/15/25      1,631,465  

2,140

   7.25%, 5/30/29      2,402,530  

1,570

   Endo Finance LLC, 5.375%, 1/15/23 (a)(b)      985,827  

2,235

   Horizon Pharma USA, Inc., 5.50%, 8/1/27 (a)(b)      2,358,992  
     

 

 

 
        9,206,204  
     

 

 

 

Pipelines—1.0%

  

1,665

   DCP Midstream Operating L.P., 5.125%, 5/15/29      1,693,842  

3,240

   NGL Energy Partners L.P., 7.50%, 4/15/26 (a)(b)      2,907,487  
   Targa Resources Partners L.P. (a)(b),   

980

   6.50%, 7/15/27      1,047,706  

2,900

   6.875%, 1/15/29      3,138,735  
     

 

 

 
        8,787,770  
     

 

 

 

Real Estate—0.7%

  

5,505

   Kennedy-Wilson, Inc., 5.875%, 4/1/24      5,667,618  
     

 

 

 

Retail—1.1%

  

6,480

   Conn’s, Inc., 7.25%, 7/15/22      6,563,022  

1,530

   L Brands, Inc., 6.875%, 11/1/35      1,346,553  

1,935

   Party City Holdings, Inc., 6.625%, 8/1/26 (a)(b)(n)      1,165,494  
     

 

 

 
        9,075,069  
     

 

 

 

Semiconductors—0.4%

  

3,455

   Amkor Technology, Inc., 6.625%, 9/15/27 (a)(b)      3,783,311  
     

 

 

 

Software—0.7%

  

2,330

   IQVIA, Inc., 5.00%, 5/15/27 (a)(b)      2,451,911  

895

   Rackspace Hosting, Inc., 8.625%, 11/15/24 (a)(b)(n)      868,150  

2,310

   SS&C Technologies, Inc., 5.50%, 9/30/27 (a)(b)      2,475,916  
     

 

 

 
        5,795,977  
     

 

 

 

Telecommunications—4.1%

  

2,265

   CenturyLink, Inc., 7.50%, 4/1/24, Ser. Y (n)      2,553,788  

4,645

   Cincinnati Bell, Inc., 7.00%, 7/15/24 (a)(b)(n)      4,360,447  

4,115

   CommScope Technologies LLC, 6.00%, 6/15/25 (a)(b)      3,981,263  

9,370

   Consolidated Communications, Inc., 6.50%, 10/1/22      8,058,200  
   Hughes Satellite Systems Corp.,   

1,460

   6.625%, 8/1/26      1,606,507  

4,250

   7.625%, 6/15/21      4,567,688  

7,205

   Sprint Communications, Inc., 11.50%, 11/15/21      8,337,986  

1,865

   Sprint Corp., 7.625%, 3/1/26      2,039,797  
     

 

 

 
        35,505,676  
     

 

 

 

Toys/Games/Hobbies—0.1%

  

425

   Mattel, Inc., 5.875%, 12/15/27 (a)(b)      431,417  
     

 

 

 

Transportation—0.3%

  

2,688

   XPO Logistics, Inc., 6.50%, 6/15/22 (a)(b)      2,757,493  
     

 

 

 
   Total Corporate Bonds & Notes (cost-$327,514,953)      309,678,585  
     

 

 

 

CONVERTIBLE BONDS & NOTES—31.9%

  

Agriculture—0.7%

  

5,665

   Vector Group Ltd., 3 mo. Cash Dividends on Common Stock + 1.75%, 1.75%, 4/15/20 (i)      5,888,059  
     

 

 

 

Apparel & Textiles—0.9%

  

14,740

   Iconix Brand Group, Inc., 5.75%, 8/15/23      7,443,700  
     

 

 

 

Biotechnology—1.2%

  

9,625

   Intercept Pharmaceuticals, Inc., 3.25%, 7/1/23      9,258,827  

1,785

   Verastem, Inc., 5.00%, 11/1/48      857,656  
     

 

 

 
        10,116,483  
     

 

 

 


Building Materials—1.5%

  

    4,275

   Cemex S.A.B de C.V., 3.72%, 3/15/20      4,291,108  

8,820

   Patrick Industries, Inc., 1.00%, 2/1/23 (g)      8,345,925  
     

 

 

 
        12,637,033  
     

 

 

 

Commercial Services—1.0%

  

8,825

   Macquarie Infrastructure Corp., 2.00%, 10/1/23      8,360,930  
     

 

 

 

Computers—1.5%

  

1,150

   Lumentum Holdings, Inc., 0.25%, 3/15/24      1,613,981  

11,735

   Western Digital Corp., 1.50%, 2/1/24      11,082,832  
     

 

 

 
        12,696,813  
     

 

 

 

Diversified Financial Services—2.5%

  

9,320

   Encore Capital Group, Inc., 3.00%, 7/1/20      9,499,531  

12,165

   PRA Group, Inc., 3.00%, 8/1/20      12,173,201  
     

 

 

 
        21,672,732  
     

 

 

 

Electronics—1.2%

  

5,565

   OSI Systems, Inc., 1.25%, 9/1/22      6,076,909  

4,270

   Vishay Intertechnology, Inc., 2.25%, 6/15/25      4,181,522  
     

 

 

 
        10,258,431  
     

 

 

 

Energy-Alternate Sources—2.0%

  

6,840

   Pattern Energy Group, Inc., 4.00%, 7/15/20      6,988,409  
   SunPower Corp.,   

3,135

   0.875%, 6/1/21      2,893,997  

9,405

   4.00%, 1/15/23      7,665,020  
     

 

 

 
        17,547,426  
     

 

 

 

Engineering & Construction—0.6%

  

5,455

   Tutor Perini Corp., 2.875%, 6/15/21      5,267,484  
     

 

 

 

Equity Real Estate Investment Trusts (REITs)—1.4%

  

3,975

   Two Harbors Investment Corp., 6.25%, 1/15/22      4,143,097  

7,690

   Western Asset Mortgage Capital Corp., 6.75%, 10/1/22      7,886,004  
     

 

 

 
        12,029,101  
     

 

 

 

Insurance—2.8%

  

11,390

   AXA S.A., 7.25%, 5/15/21 (a)(b)      13,178,914  

7,945

   MGIC Investment Corp., 9.00%, 4/1/63 (a)(b)      10,687,886  
     

 

 

 
        23,866,800  
     

 

 

 

Internet—0.3%

  

3,415

   Boingo Wireless, Inc., 1.00%, 10/1/23      3,009,874  
     

 

 

 

Investment Companies—1.2%

  

9,525

   Prospect Capital Corp., 6.375%, 3/1/25      10,144,141  
     

 

 

 

Oil, Gas & Consumable Fuels—1.8%

  

6,540

   Chesapeake Energy Corp., 5.50%, 9/15/26      2,891,477  

2,670

   Ensco Jersey Finance Ltd., 3.00%, 1/31/24      1,688,775  

2,280

   Nabors Industries, Inc., 0.75%, 1/15/24      1,493,217  

9,980

   Whiting Petroleum Corp., 1.25%, 4/1/20      9,546,574  
     

 

 

 
        15,620,043  
     

 

 

 

Pharmaceuticals—1.8%

  

12,190

   Dermira, Inc., 3.00%, 5/15/22      10,239,600  

9,855

   Tilray, Inc., 5.00%, 10/1/23      5,444,888  
     

 

 

 
        15,684,488  
     

 

 

 

Pipelines—2.3%

  

24,750

   Cheniere Energy, Inc., 4.25%, 3/15/45      19,553,104  
     

 

 

 

Semiconductors—0.6%

  

1,420

   Synaptics, Inc., 0.50%, 6/15/22      1,478,771  

3,935

   Veeco Instruments, Inc., 2.70%, 1/15/23      3,675,268  
     

 

 

 
        5,154,039  
     

 

 

 


Software—3.7%

  

    5,800

   Avaya Holdings Corp., 2.25%, 6/15/23      5,090,904  

15,785

   Avid Technology, Inc., 2.00%, 6/15/20      15,210,561  

6,160

   Benefitfocus, Inc., 1.25%, 12/15/23 (a)(b)      5,424,397  
   Evolent Health, Inc.,   

1,140

   1.50%, 10/15/25      735,848  

6,345

   2.00%, 12/1/21      5,543,465  
     

 

 

 
        32,005,175  
     

 

 

 

Telecommunications—1.9%

  

7,715

   GDS Holdings Ltd., 2.00%, 6/1/25      8,766,017  

7,915

   Infinera Corp., 2.125%, 9/1/24      7,411,619  
     

 

 

 
        16,177,636  
     

 

 

 

Transportation—1.0%

  

4,560

   Echo Global Logistics, Inc., 2.50%, 5/1/20      4,535,013  

4,725

   Teekay Corp., 5.00%, 1/15/23      4,048,676  
     

 

 

 
        8,583,689  
     

 

 

 
   Total Convertible Bonds & Notes (cost—$277,830,218)      273,717,181  
     

 

 

 

Shares

      

CONVERTIBLE PREFERRED STOCK—28.5%

  

Banks—5.0%

  

12,080

   Bank of America Corp., 7.25%, Ser. L (e)      17,878,400  

16,980

   Wells Fargo & Co., 7.50%, Ser. L (e)      24,790,800  
     

 

 

 
        42,669,200  
     

 

 

 

Chemicals—0.8%

  

141,075

   International Flavors & Fragrances, Inc., 6.00%, 9/15/21      7,300,631  
     

 

 

 

Diversified Financial Services—0.9%

  

154,835

   AMG Capital Trust II, 5.15%, 10/15/37      7,516,283  
     

 

 

 

Electric Utilities—4.3%

  

76,860

   Dominion Energy, Inc., 7.25%, 6/1/22, Ser. A      8,112,573  

107,510

   NextEra Energy, Inc., 4.872%, 9/1/22      5,337,872  

160,380

   Sempra Energy, 6.00%, 1/15/21, Ser. A      18,910,406  

91,925

   Southern Co., 6.75%, 8/1/22, Ser. 2019      4,842,609  
     

 

 

 
        37,203,460  
     

 

 

 

Electronic Equipment, Instruments & Components—0.7%

  

54,230

   Energizer Holdings, Inc., 7.50%, 1/15/22, Ser. A      5,676,254  
     

 

 

 

Electronics—1.1%

  

10,110

   Fortive Corp., 5.00%, 7/1/21, Ser. A      9,467,105  
     

 

 

 

Equity Real Estate Investment Trusts (REITs)—5.3%

  

7,465

   Crown Castle International Corp., 6.875%, 8/1/20, Ser. A      9,011,823  

56,955

   QTS Realty Trust, Inc., 6.50%, Ser. B (e)      7,189,430  

410,065

   Ready Capital Corp., 7.00%, 8/15/23      10,985,641  

631,070

   RLJ Lodging Trust, 1.95%, Ser. A (e)      17,979,184  
     

 

 

 
        45,166,078  
     

 

 

 

Hand/Machine Tools—1.8%

  

24,170

   Colfax Corp., 5.75%, 1/15/22      3,552,749  

113,405

   Stanley Black & Decker, Inc., 5.375%, 5/15/20      11,935,876  
     

 

 

 
        15,488,625  
     

 

 

 

Healthcare-Products—4.1%

  

84,600

   Avantor, Inc., 6.25%, 5/15/22, Ser. A      5,087,844  

283,925

   Becton Dickinson and Co., 6.125%, 5/1/20, Ser. A      17,677,170  

10,970

   Danaher Corp., 4.75%, 4/15/22, Ser. A      12,513,918  
     

 

 

 
        35,278,932  
     

 

 

 

Insurance—2.2%

  

147,270

   Assurant, Inc., 6.50%, 3/15/21, Ser. D      19,125,955  
     

 

 

 


Oil, Gas & Consumable Fuels—0.1%

  

67,960

   Nabors Industries Ltd., 6.00%, 1/1/21, Ser. A      1,143,087  
     

 

 

 

Semiconductors—2.2%

  

16,190

   Broadcom, Inc., 8.00%, 9/30/22, Ser. A      18,731,830  
     

 

 

 
  

Total Convertible Preferred Stock (cost—$214,474,402)

     244,767,440  
     

 

 

 

PREFERRED STOCK (a)(d)(f)(k)(l)—1.0%

  

Media—1.0%

  

3,554

   LiveStyle, Inc., Ser. A      519,062  

    76,572

   LiveStyle, Inc., Ser. B (h)      7,657,200  

6,750

   LiveStyle, Inc., Ser. B      67  
     

 

 

 
  

Total Preferred Stock (cost—$14,596,967)

     8,176,329  
     

 

 

 

COMMON STOCK (d)(f)(k)—0.0%

  

Aerospace & Defense—0.0%

  

8,295

   Erickson, Inc. (a)      178,591  
     

 

 

 

Banks—0.0%

  

56,642

   CCF Holdings LLC Class A (cost—$0; purchased 12/18/18) (h)(j)      6  

21,429

   CCF Holdings LLC Class B (cost—$0; purchased 12/12/18) (h)(j)      2  
     

 

 

 
     8  
     

 

 

 

Media—0.0%

  

90,407

   LiveStyle, Inc. (a)(h)(l)      9  
     

 

 

 
  

Total Common Stock (cost—$7,106,997)

     178,608  
     

 

 

 

Units

 

WARRANTS (d)(f)(k)—0.0%

  

Advertising—0.0%

  

15,602

   Affinion Group Holdings, Inc., expires 4/1/24 (cost—$3,080,312; purchased 4/10/19) (j)      139,166  
     

 

 

 

Media—0.0%

  

19,500

   LiveStyle, Inc., Ser. C, expires 11/30/21 (a)(l)      2  
     

 

 

 
  

Total Warrants (cost—$3,080,312)

     139,168  
     

 

 

 
Principal
Amount
(000s)
      

Repurchase Agreements—2.5%

 

    $21,677

  

State Street Bank and Trust Co., dated 11/29/19, 0.25%, due 12/2/19, proceeds $21,677,452; collateralized by U.S. Treasury Notes, 2.625%, due 2/15/29, valued at $22,115,235 including accrued interest (cost—$21,677,000)

     21,677,000  
     

 

 

 
  

Total Investments (cost—$866,280,849) (m)—100.0%

   $ 858,334,311  
     

 

 

 
  

Other liabilities in excess of assets

     (26,140,418
  

Preferred Shares

     (323,275,000
     

 

 

 
  

Net Assets Applicable to Common Shareholders

   $ 508,918,893  
     

 

 

 

 

Notes to Schedule of Investments:

^

Portfolio securities and other financial instruments for which market quotations are readily available are valued at market value. Market values for various types of securities and other instruments are determined on the basis of closing prices or last sales prices on an exchange or other market, or based on quotes or other market information obtained from quotation reporting systems, established market makers or 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 of the Fund (the “Board”) has adopted procedures for valuing portfolio securities and other financial derivative instruments in circumstances where market quotes are not readily available (including in cases where available market quotes are deemed to be unreliable), and has delegated 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 instructed. 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 set forth 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 investments having a remaining maturity of 60 days or less are valued at amortized cost unless the Board or its Valuation Committee determines that particular circumstances dictate otherwise.

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

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 NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern Time) on the 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.

The prices of certain portfolio securities or financial instruments may be determined at a time prior to the close of regular trading on the NYSE. In considering whether fair value pricing is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the time the NAV of the Fund is calculated. With respect to certain foreign securities, the Fund may fair-value securities using modeling tools provided by third- party vendors, where appropriate. The Fund has retained a statistical research service to assist in determining the fair value of foreign securities. This service utilizes statistics and programs based on historical performance of markets and other economic data to assist in making fair value estimates. Fair value estimates used by the Fund for foreign securities may differ from the value realized from the sale of those securities and the difference could be material to the financial statements. Fair value pricing may require subjective determinations about the value of a security or other assets, and fair values used to determine the NAV of the Fund may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities or other assets held by the Fund.

 

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $220,456,416, representing 25.7% of total investments.

 

(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 $212,101,485, representing 24.7% of total investments.

 

(c)

In default.

 

(d)

Fair-Valued—Securities with an aggregate value of $18,398,867, representing 2.1% of total investments.

 

(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 liquidity facility.

 

(h)

Affiliated security.

 

(i)

In addition to the coupon rate shown, the issuer is expected to pay additional interest based on the actual dividends paid on its common stock.

 

(j)

Restricted. The aggregate cost of such securities is $23,620,623. The aggregate value is $6,589,429, representing 0.8% of total investments.

 

(k)

Non-income producing.

 

(l)

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 1.0% of total investments.

 

(m)

At November 30, 2019, the cost basis of portfolio securities for federal income tax purposes was $871,810,750. Gross unrealized appreciation was $58,147,969; gross unrealized depreciation was $71,624,408; and net unrealized depreciation was $13,476,439. The difference between book and tax cost was attributable to wash sale loss deferrals and differing treatment of bond premium amortization.

 

(n)

All or a portion of this security is on loan pursuant to the Liquidity Facility. The aggregate value of securities on loan is $23,915,321.


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 the 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 nine months ended November 30, 2019 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

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.

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.

An asset or liability for which market values cannot be measured using the methodologies described above is valued by methods deemed reasonable in good faith by the Valuation Committee, following the procedures established by the Board, to represent fair value. Under these procedures, the Fund generally uses a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information. Fair value determinations involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances and the exercise of judgment. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Fund valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Fund valuation procedures are designed to value a security at the price the Fund may reasonably expect to receive upon the security’s sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that the Fund would actually realize upon the sale of the security or the price at which the security would trade if a reliable market price were readily available.

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.

A summary of the inputs used at November 30, 2019 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
11/30/19
 

Investments in Securities—Assets

 

Corporate Bonds & Notes:

 

Commercial Services

     —        $ 14,633,177      $ 442,750      $ 15,075,927  

Diversified Financial Services

     —          18,024,738        9,462,007        27,486,745  

Media

     —          27,587,851        5        27,587,856  

All Other

     —          239,528,057        —          239,528,057  

Convertible Bonds & Notes

     —          273,717,181        —          273,717,181  

Convertible Preferred Stock:

 

Diversified Financial Services

     —          7,516,283        —          7,516,283  

All Other

   $ 237,251,157        —          —          237,251,157  

Preferred Stock

     —          —          8,176,329        8,176,329  

Common Stock

     —          —          178,608        178,608  

Warrants

     —          —          139,168        139,168  

Repurchase Agreements

     —          21,677,000        —          21,677,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 237,251,157      $ 602,684,287      $ 18,398,867      $ 858,334,311  
  

 

 

    

 

 

    

 

 

    

 

 

 


A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended November 30, 2019, was as follows:

 

      Beginning
Balance
2/28/19
     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
11/30/19
 

Investments in Securities—Assets

                       

Corporate Bonds & Notes:

                       

Commercial Services

   $ 442,750      $ —       $ —       $ —        $ —        $ —       $ —        $ —        $ 442,750  

Diversified Financial Services

     8,995,841        1,013,930 ††      —         83,165        —          (630,929     —          —          9,462,007  

Media

     5        —         —         —          —          —         —          —          5  

Preferred Stock:

                       

Media

     8,140,789        —         —         —          —          35,540       —          —          8,176,329  

Common Stock:

                       

Advertising

     913,767        —         (3,080,312 )†      —          —          2,166,545       —          —          —    

Aerospace & Defense

     214,509        —         —         —          —          (35,918     —          —          178,591  

Banks

     8        —         —         —          —          —         —          —          8  

Media

     9        —         —         —          —          —         —          —          9  

Warrants:

                       

Advertising

     —          3,080,312 †      —         —          —          (2,941,146     —          —          139,166  

Media

     2        —         —         —          —          —         —          —          2  
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Totals

   $ 18,707,680      $ 4,094,242     $ (3,080,312   $ 83,165      $ —        $ (1,405,908   $ —        $ —        $ 18,398,867  
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

The table above may include Level 3 investments that are valued by brokers or independent pricing services.

 

Issued or removed via corporate action.

††

Payment-in-Kind

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 November 30, 2019:

 

      Ending Balance
at 11/30/19
     Valuation
Technique Used
   Unobservable
Inputs
  

Input Values (Range)

Investments in Securities—Assets

           

Corporate Bonds & Notes:

           

Diversified Financial Services

   $ 9,462,007      Market and Company Comparables    EV Multiples
Illiquidity Discount
  

1.76x (0.38x - 5.40x)

20%

Preferred Stock

   $ 8,176,262      Market and Company Comparables    EV Multiples
Illiquidity Discount
  

0.89x (0.31x - 1.50x)

25%

Common Stock:

           

Aerospace & Defense

   $ 178,591      Market and Company Comparables    EV Multiples
M&A Transaction Multiples
Illiquidity Discount
  

0.72x (0.35x - 0.93x)

0.91x (0.38x - 2.12x)

40%

Warrants:

           

Advertising

   $ 139,166      Market and Company Comparables    EV Multiples    6.39x (1.26x - 19.85x) 6.47x (1.19x - 27.04x)
              Black-Scholes Model    Expected Volatility Implied
Price
  

26.77%

$53.86

The table above does not include Level 3 investments that are valued by brokers or independent pricing services. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Fair Value Measurements Note.

The net change in unrealized appreciation/depreciation of Level 3 investments held at November 30, 2019 was $(2,969,589).

Glossary:

FRN—Floating Rate Note

PIK—Payment-in-Kind

REIT—Real Estate Investment Trust