NPORT-EX 2 AGI-Divers-Income.htm

 

Schedule of Investments

AllianzGI Diversified Income & Convertible Fund

October 31, 2019 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value^

 

CONVERTIBLE BONDS & NOTES - 61.7%

 

 

 

Aerospace & Defense - 0.5%

 

 

 

 

$650

 

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

 

 

$1,127,290

 

 

 

 

 

Apparel & Textiles - 0.1%

 

 

 

280

 

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

 

137,200

 

 

 

 

 

Auto Components - 0.4%

 

 

 

1,040

 

Meritor, Inc., 3.25%, 10/15/37 (g)

 

1,070,766

 

 

 

 

 

Auto Manufacturers - 1.2%

 

 

 

 

 

Tesla, Inc.,

 

 

 

310

 

2.00%, 5/15/24

 

380,160

 

2,115

 

2.375%, 3/15/22 (g)

 

2,482,555

 

 

 

 

 

2,862,715

 

Biotechnology - 4.2%

 

 

 

1,260

 

Apellis Pharmaceuticals, Inc., 3.50%, 9/15/26 (a)(b)

 

1,300,959

 

990

 

BioMarin Pharmaceutical, Inc., 0.599%, 8/1/24 (g)

 

992,649

 

1,770

 

Exact Sciences Corp., 0.375%, 3/15/27 (g)

 

1,905,723

 

 

 

Illumina, Inc.,

 

 

 

1,170

 

zero coupon, 8/15/23

 

1,270,565

 

320

 

0.50%, 6/15/21

 

417,615

 

910

 

Insmed, Inc., 1.75%, 1/15/25

 

781,420

 

1,420

 

Medicines Co., 2.75%, 7/15/23 (g)

 

1,781,213

 

 

 

PTC Therapeutics, Inc.,

 

 

 

635

 

1.50%, 9/15/26 (a)(b)

 

662,860

 

850

 

3.00%, 8/15/22 (g)

 

921,870

 

 

 

 

 

10,034,874

 

Commercial Services - 2.0%

 

 

 

1,045

 

Chegg, Inc., 0.125%, 3/15/25 (a)(b)(g)

 

980,524

 

1,095

 

Euronet Worldwide, Inc., 0.75%, 3/15/49 (a)(b)(g)

 

1,248,012

 

1,160

 

FTI Consulting, Inc., 2.00%, 8/15/23

 

1,454,250

 

935

 

Square, Inc., 0.50%, 5/15/23 (g)

 

1,034,795

 

 

 

 

 

4,717,581

 

Computers - 1.3%

 

 

 

1,270

 

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

 

1,608,948

 

745

 

Pure Storage, Inc., 0.125%, 4/15/23

 

785,088

 

460

 

Rapid7, Inc., 1.25%, 8/1/23 (g)

 

637,941

 

 

 

 

 

3,031,977

 

Diversified Financial Services - 0.4%

 

 

 

485

 

LendingTree, Inc., 0.625%, 6/1/22 (g)

 

875,266

 

 

 

 

 

Electronics - 0.4%

 

 

 

980

 

OSI Systems, Inc., 1.25%, 9/1/22 (g)

 

1,084,125

 

 

 

 

 

Energy-Alternate Sources - 0.0%

 

 

 

3,615

 

SunEdison, Inc., 3.375%, 6/1/25 (a)(b)(c)

 

81,338

 

 

 

 

 

Engineering & Construction - 0.8%

 

 

 

1,635

 

KBR, Inc., 2.50%, 11/1/23 (a)(b)(g)

 

2,053,269

 

 

 

 

 

Entertainment - 0.7%

 

 

 

1,425

 

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

 

1,746,892

 

 

 

 

 

Equity Real Estate Investment Trusts (REITs) - 1.2%

 

 

 

1,880

 

Blackstone Mortgage Trust, Inc., 4.375%, 5/5/22 (g)

 

1,986,925

 

740

 

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

 

910,270

 

 

 

 

 

2,897,195

 

Healthcare-Products - 2.7%

 

 

 

1,600

 

CONMED Corp., 2.625%, 2/1/24 (a)(b)(g)

 

2,203,645

 

2,145

 

Insulet Corp., 0.375%, 9/1/26 (a)(b)

 

2,060,541

 

1,635

 

Repligen Corp., 0.375%, 7/15/24 (g)

 

1,642,996

 

714

 

Wright Medical Group, Inc., 1.625%, 6/15/23 (g)

 

683,789

 

 

 

 

 

6,590,971

 

 

 

Healthcare-Services - 2.2%

 

 

 

765

 

Anthem, Inc., 2.75%, 10/15/42 (g)

 

2,895,016

 

525

 

Invitae Corp., 2.00%, 9/1/24 (a)(b)

 

478,078

 

1,145

 

Teladoc Health, Inc., 1.375%, 5/15/25 (g)

 

1,861,313

 

 

 

 

 

5,234,407

 

Home Builders - 0.6%

 

 

 

1,435

 

Winnebago Industries, Inc., 1.50%, 4/1/25

 

1,479,376

 

 

 

 

 

Internet - 9.1%

 

 

 

1,390

 

Booking Holdings, Inc., 0.35%, 6/15/20 (g)

 

2,167,632

 

1,790

 

Etsy, Inc., 0.125%, 10/1/26 (a)(b)

 

1,625,617

 

2,650

 

IAC FinanceCo 2, Inc., 0.875%, 6/15/26 (a)(b)(g)

 

2,863,927

 

320

 

MercadoLibre, Inc., 2.00%, 8/15/28

 

453,819

 

2,035

 

Okta, Inc., 0.125%, 9/1/25 (a)(b)

 

1,935,904

 

1,935

 

Palo Alto Networks, Inc., 0.75%, 7/1/23 (g)

 

2,138,103

 

335

 

Pinduoduo, Inc., zero coupon, 10/1/24 (a)(b)

 

390,532

 

1,745

 

Proofpoint, Inc., 0.25%, 8/15/24 (a)(b)(g)

 

1,810,437

 

1,385

 

Q2 Holdings, Inc., 0.75%, 6/1/26 (a)(b)(g)

 

1,469,168

 

750

 

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

 

1,519,687

 

2,060

 

Snap, Inc., 0.75%, 8/1/26 (a)(b)(g)

 

2,087,254

 

1,255

 

Twitter, Inc., 0.25%, 6/15/24 (g)

 

1,201,351

 

 

 

Wayfair, Inc. (a)(b),

 

 

 

1,380

 

1.00%, 8/15/26 (g)

 

1,233,959

 

245

 

1.125%, 11/1/24

 

250,771

 

685

 

Wix.com Ltd., zero coupon, 7/1/23 (g)

 

784,668

 

 

 

 

 

21,932,829

 

Iron/Steel - 0.3%

 

 

 

585

 

Cleveland-Cliffs, Inc., 1.50%, 1/15/25

 

643,261

 

 

 

 

 

Lodging - 0.6%

 

 

 

850

 

Caesars Entertainment Corp., 5.00%, 10/1/24

 

1,506,839

 

 

 

 

 

Media - 4.4%

 

 

 

 

 

DISH Network Corp. (g),

 

 

 

1,330

 

2.375%, 3/15/24

 

1,197,203

 

2,760

 

3.375%, 8/15/26

 

2,587,669

 

 

 

Liberty Media Corp. (g),

 

 

 

1,400

 

1.00%, 1/30/23

 

1,775,755

 

1,525

 

1.375%, 10/15/23

 

1,928,119

 

1,705

 

2.125%, 3/31/48 (a)(b)

 

1,780,020

 

625

 

2.25%, 12/1/48 (a)(b)

 

740,830

 

215

 

World Wrestling Entertainment, Inc., 3.375%, 12/15/23 (g)

 

503,640

 

 

 

 

 

10,513,236

 

Mining - 0.6%

 

 

 

1,180

 

SSR Mining, Inc., 2.50%, 4/1/39 (a)(b)(g)

 

1,346,675

 

 

 

 

 

Oil, Gas & Consumable Fuels - 1.7%

 

 

 

960

 

Helix Energy Solutions Group, Inc., 4.125%, 9/15/23

 

1,163,400

 

2,620

 

Nabors Industries, Inc., 0.75%, 1/15/24 (g)

 

1,670,741

 

1,620

 

Transocean, Inc., 0.50%, 1/30/23 (g)

 

1,334,744

 

 

 

 

 

4,168,885

 

Pharmaceuticals - 2.8%

 

 

 

1,570

 

DexCom, Inc., 0.75%, 12/1/23 (a)(b)(g)

 

1,880,139

 

1,645

 

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

 

1,977,590

 

725

 

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

 

1,059,895

 

595

 

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

 

840,520

 

960

 

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

 

905,108

 

 

 

 

 

6,663,252

 

Pipelines - 0.9%

 

 

 

2,820

 

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

 

2,224,275

 

 

 

 

 

Retail - 0.8%

 

 

 

 

 

RH,

 

 

 

625

 

zero coupon, 6/15/23

 

707,038

 

1,120

 

zero coupon, 9/15/24 (a)(b)

 

1,172,997

 

 

 

 

 

1,880,035

 

 

 

Semiconductors - 8.5%

 

 

 

520

 

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

 

2,258,567

 

865

 

Cree, Inc., 0.875%, 9/1/23

 

937,195

 

1,260

 

Inphi Corp., 0.75%, 9/1/21 (g)

 

1,741,972

 

585

 

Intel Corp., 3.25%, 8/1/39 (g)

 

1,630,775

 

3,345

 

Microchip Technology, Inc., 1.625%, 2/15/27 (g)

 

4,387,248

 

365

 

Micron Technology, Inc., 3.125%, 5/1/32, Ser. D (g)

 

1,736,799

 

170

 

Novellus Systems, Inc., 2.625%, 5/15/41 (g)

 

1,429,575

 

1,490

 

NXP Semiconductors NV, 1.00%, 12/1/19

 

1,638,139

 

1,640

 

ON Semiconductor Corp., 1.625%, 10/15/23 (g)

 

2,046,641

 

1,060

 

Silicon Laboratories, Inc., 1.375%, 3/1/22 (g)

 

1,343,461

 

665

 

Teradyne, Inc., 1.25%, 12/15/23 (g)

 

1,323,447

 

 

 

 

 

20,473,819

 

Software - 9.9%

 

 

 

2,575

 

Akamai Technologies, Inc., 0.125%, 5/1/25 (g)

 

2,896,875

 

 

 

Alteryx, Inc. (a)(b),

 

 

 

745

 

0.50%, 8/1/24

 

690,803

 

1,265

 

1.00%, 8/1/26

 

1,146,733

 

750

 

Atlassian, Inc., 0.625%, 5/1/23 (g)

 

1,193,332

 

2,070

 

Coupa Software, Inc., 0.125%, 6/15/25 (a)(b)(g)

 

2,350,928

 

910

 

DocuSign, Inc., 0.50%, 9/15/23

 

1,073,183

 

830

 

Envestnet, Inc., 1.75%, 6/1/23 (g)

 

940,716

 

880

 

Five9, Inc., 0.125%, 5/1/23 (g)

 

1,305,700

 

485

 

HubSpot, Inc., 0.25%, 6/1/22

 

830,768

 

1,180

 

j2 Global, Inc., 3.25%, 6/15/29

 

1,743,598

 

1,010

 

LivePerson, Inc., 0.75%, 3/1/24 (a)(b)(g)

 

1,280,175

 

260

 

MongoDB, Inc., 0.75%, 6/15/24

 

512,447

 

775

 

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

 

1,453,726

 

2,110

 

Splunk, Inc., 1.125%, 9/15/25

 

2,346,299

 

995

 

Tabula Rasa HealthCare, Inc., 1.75%, 2/15/26 (a)(b)(g)

 

1,035,422

 

485

 

Twilio, Inc., 0.25%, 6/1/23

 

738,278

 

330

 

Workday, Inc., 0.25%, 10/1/22

 

421,342

 

1,865

 

Zynga, Inc., 0.25%, 6/1/24 (a)(b)(g)

 

1,911,364

 

 

 

 

 

23,871,689

 

Telecommunications - 2.8%

 

 

 

1,555

 

GCI Liberty, Inc., 1.75%, 9/30/46 (a)(b)(g)

 

2,098,550

 

450

 

Intelsat S.A., 4.50%, 6/15/25

 

725,063

 

1,715

 

Viavi Solutions, Inc., 1.00%, 3/1/24 (g)

 

2,304,531

 

1,545

 

Vonage Holdings Corp., 1.75%, 6/1/24 (a)(b)(g)

 

1,501,794

 

 

 

 

 

6,629,938

 

Transportation - 0.6%

 

 

 

1,610

 

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

 

1,479,952

 

 

 

Total Convertible Bonds & Notes (cost-$145,791,178)

 

148,359,927

 

 

Shares

 

 

 

 

 

COMMON STOCK - 33.8%

 

 

 

Aerospace & Defense - 0.7%

 

 

 

3,400

 

Boeing Co. (g)

 

1,155,694

 

2,600

 

Raytheon Co. (g)

 

551,746

 

 

 

 

 

1,707,440

 

Automobiles - 0.3%

 

 

 

72,600

 

Ford Motor Co. (g)

 

623,634

 

 

 

 

 

Banks - 0.3%

 

 

 

4,911

 

CCF Holdings LLC, Class A (cost—$0; purchased 12/18/18) (d)(f)(h)(i)

 

—

†

5,357

 

CCF Holdings LLC, Class B (cost—$0; purchased 12/12/18) (d)(f)(h)(i)

 

1

 

6,400

 

JPMorgan Chase & Co.

 

799,488

 

 

 

 

 

799,489

 

Beverages - 0.5%

 

 

 

9,000

 

PepsiCo, Inc.

 

1,234,530

 

 

 

 

 

Biotechnology - 1.5%

 

 

 

13,200

 

AbbVie, Inc.

 

1,050,060

 

1,900

 

Biogen, Inc. (i)

 

567,549

 

15,200

 

Gilead Sciences, Inc. (g)

 

968,392

 

5,300

 

Vertex Pharmaceuticals, Inc. (g)(i)

 

1,036,044

 

 

 

 

 

3,622,045

 

 

 

Building Products - 0.3%

 

 

 

17,452

 

Johnson Controls International PLC

 

756,195

 

 

 

 

 

Capital Markets - 0.4%

 

 

 

3,300

 

S&P Global, Inc.

 

851,367

 

 

 

 

 

Chemicals - 0.3%

 

 

 

16,600

 

Chemours Co.

 

272,406

 

3,800

 

Corteva, Inc. (i)

 

100,244

 

3,800

 

DOW, Inc. (i)

 

191,862

 

3,800

 

DuPont de Nemours, Inc.

 

250,458

 

 

 

 

 

814,970

 

Communications Equipment - 0.5%

 

 

 

25,100

 

Cisco Systems, Inc.

 

1,192,501

 

 

 

 

 

Diversified Telecommunication Services - 0.0%

 

 

 

32,499

 

Frontier Communications Corp. (i)

 

29,574

 

 

 

 

 

Energy Equipment & Services - 0.3%

 

 

 

9,200

 

National Oilwell Varco, Inc.

 

208,104

 

12,800

 

Schlumberger Ltd. (g)

 

418,432

 

 

 

 

 

626,536

 

Entertainment - 0.9%

 

 

 

4,600

 

Netflix, Inc. (i)

 

1,322,086

 

5,900

 

Walt Disney Co.

 

766,528

 

 

 

 

 

2,088,614

 

Equity Real Estate Investment Trusts (REITs) - 0.2%

 

 

 

4,300

 

Crown Castle International Corp.

 

596,797

 

 

 

 

 

Food & Staples Retailing - 1.2%

 

 

 

4,100

 

Costco Wholesale Corp.

 

1,218,151

 

32,900

 

Kroger Co. (g)

 

810,656

 

16,700

 

Walgreens Boots Alliance, Inc. (g)

 

914,826

 

 

 

 

 

2,943,633

 

Healthcare Equipment & Supplies - 1.3%

 

 

 

4,000

 

Align Technology, Inc. (i)

 

1,009,160

 

22,500

 

Boston Scientific Corp. (i)

 

938,250

 

2,300

 

Intuitive Surgical, Inc. (i)

 

1,271,785

 

 

 

 

 

3,219,195

 

Healthcare Providers & Services - 1.2%

 

 

 

3,500

 

Laboratory Corp. of America Holdings (i)

 

576,695

 

5,100

 

McKesson Corp.

 

678,300

 

6,600

 

UnitedHealth Group, Inc.

 

1,667,820

 

 

 

 

 

2,922,815

 

Hotels, Restaurants & Leisure - 1.1%

 

 

 

5,900

 

McDonald’s Corp.

 

1,160,530

 

11,500

 

Starbucks Corp. (g)

 

972,440

 

4,200

 

Wynn Resorts Ltd.

 

509,628

 

 

 

 

 

2,642,598

 

Household Durables - 0.3%

 

 

 

15,000

 

DR Horton, Inc. (g)

 

785,550

 

 

 

 

 

Industrial Conglomerates - 0.8%

 

 

 

3,500

 

3M Co.

 

577,465

 

7,300

 

Honeywell International, Inc.

 

1,260,929

 

 

 

 

 

1,838,394

 

Insurance - 0.4%

 

 

 

12,500

 

Progressive Corp.

 

871,250

 

 

 

 

 

Interactive Media & Services - 2.1%

 

 

 

2,000

 

Alphabet, Inc., Class A (g)(i)

 

2,517,600

 

12,700

 

Facebook, Inc., Class A (g)(i)

 

2,433,955

 

 

 

 

 

4,951,555

 

 

 

Internet & Direct Marketing Retail - 1.5%

 

 

 

6,800

 

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

 

1,201,356

 

1,400

 

Amazon.com, Inc. (g)(i)

 

2,487,324

 

 

 

 

 

3,688,680

 

IT Services - 3.0%

 

 

 

12,000

 

Fiserv, Inc. (i)

 

1,273,680

 

6,000

 

International Business Machines Corp. (g)

 

802,380

 

5,100

 

Mastercard, Inc., Class A (g)

 

1,411,731

 

10,700

 

PayPal Holdings, Inc. (g)(i)

 

1,113,870

 

14,200

 

Visa, Inc. (g)

 

2,539,812

 

 

 

 

 

7,141,473

 

Life Sciences Tools & Services - 0.5%

 

 

 

4,100

 

Thermo Fisher Scientific, Inc. (g)

 

1,238,118

 

 

 

 

 

Machinery - 1.1%

 

 

 

13,300

 

Caterpillar, Inc.

 

1,832,740

 

5,000

 

Deere & Co.

 

870,700

 

 

 

 

 

2,703,440

 

Media - 0.5%

 

 

 

24,200

 

Comcast Corp., Class A

 

1,084,644

 

13,574

 

LiveStyle, Inc. (d)(f)(i)(j)

 

1

 

 

 

 

 

1,084,645

 

Multi-Line Retail - 0.7%

 

 

 

6,300

 

Dollar General Corp.

 

1,010,142

 

5,600

 

Target Corp.

 

598,696

 

 

 

 

 

1,608,838

 

Oil, Gas & Consumable Fuels - 0.7%

 

 

 

14,900

 

Occidental Petroleum Corp.

 

603,450

 

60,184

 

Southwestern Energy Co. (i)

 

123,377

 

9,500

 

Valero Energy Corp. (g)

 

921,310

 

 

 

 

 

1,648,137

 

Pharmaceuticals - 1.8%

 

 

 

10,000

 

Allergan PLC

 

1,761,100

 

16,200

 

Bristol-Myers Squibb Co.

 

929,394

 

14,700

 

Merck & Co., Inc. (g)

 

1,273,902

 

43,950

 

Teva Pharmaceutical Industries Ltd., ADR (i)

 

358,193

 

 

 

 

 

4,322,589

 

Road & Rail - 0.3%

 

 

 

4,800

 

Union Pacific Corp.

 

794,208

 

 

 

 

 

Semiconductors & Semiconductor Equipment - 3.1%

 

 

 

12,600

 

Advanced Micro Devices, Inc. (g)(i)

 

427,518

 

4,100

 

Broadcom, Inc. (g)

 

1,200,685

 

2,200

 

Lam Research Corp.

 

596,288

 

35,500

 

Marvell Technology Group Ltd.

 

865,845

 

25,300

 

Micron Technology, Inc. (i)

 

1,203,015

 

6,400

 

NVIDIA Corp.

 

1,286,528

 

9,700

 

QUALCOMM, Inc. (g)

 

780,268

 

9,100

 

Texas Instruments, Inc. (g)

 

1,073,709

 

 

 

 

 

7,433,856

 

Software - 3.7%

 

 

 

7,200

 

Adobe, Inc. (i)

 

2,001,096

 

3,000

 

Atlassian Corp. PLC, Class A (i)

 

362,370

 

3,200

 

Intuit, Inc.

 

824,000

 

20,200

 

Microsoft Corp.

 

2,896,074

 

8,000

 

Salesforce.com, Inc. (i)

 

1,251,920

 

4,700

 

ServiceNow, Inc. (g)(i)

 

1,162,122

 

3,100

 

Workday, Inc., Class A (i)

 

502,696

 

 

 

 

 

9,000,278

 

Specialty Retail - 0.7%

 

 

 

7,000

 

Home Depot, Inc.

 

1,642,060

 

 

 

 

 

Technology Hardware, Storage & Peripherals - 1.3%

 

 

 

10,100

 

Apple, Inc. (g)

 

2,512,476

 

 

 

12,700

 

NetApp, Inc.

 

709,676

 

 

 

 

 

3,222,152

 

Textiles, Apparel & Luxury Goods - 0.3%

 

 

 

8,300

 

NIKE, Inc., Class B

 

743,265

 

 

 

Total Common Stock (cost-$96,588,407)

 

81,390,421

 

 

Principal
Amount
(000s)

 

 

 

 

 

CORPORATE BONDS & NOTES - 26.9%

 

 

 

Advertising - 0.1%

 

 

 

 

$320

 

National CineMedia LLC, 5.875%, 4/15/28 (a)(b)

 

337,152

 

 

 

 

 

Aerospace & Defense - 0.8%

 

 

 

 

 

TransDigm, Inc.,

 

 

 

680

 

5.50%, 11/15/27 (a)(b)

 

679,449

 

1,000

 

6.50%, 5/15/25 (g)

 

1,041,250

 

200

 

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

 

210,500

 

 

 

 

 

1,931,199

 

Auto Components - 0.6%

 

 

 

360

 

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

 

380,250

 

465

 

Goodyear Tire & Rubber Co., 5.00%, 5/31/26 (g)

 

482,437

 

475

 

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

 

478,563

 

 

 

 

 

1,341,250

 

Auto Manufacturers - 0.4%

 

 

 

535

 

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

 

548,375

 

535

 

Tesla, Inc., 5.30%, 8/15/25 (a)(b)(g)

 

507,581

 

 

 

 

 

1,055,956

 

Building Materials - 0.1%

 

 

 

161

 

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

 

167,843

 

 

 

 

 

Chemicals - 0.4%

 

 

 

875

 

Tronox, Inc., 6.50%, 4/15/26 (a)(b)(g)

 

843,281

 

 

 

 

 

Commercial Services - 1.8%

 

 

 

350

 

Cenveo Corp., 6.00%, 5/15/24 (cost—$415,109; purchased 12/14/15) (a)(b)(c)(d)(f)(h)

 

19,250

 

475

 

Herc Holdings, Inc., 5.50%, 7/15/27 (a)(b)

 

494,000

 

 

 

Hertz Corp. (a)(b),

 

 

 

660

 

7.125%, 8/1/26

 

682,688

 

295

 

7.625%, 6/1/22

 

306,800

 

475

 

Laureate Education, Inc., 8.25%, 5/1/25 (a)(b)(g)

 

517,750

 

915

 

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

 

949,312

 

 

 

United Rentals North America, Inc. (g),

 

 

 

310

 

5.25%, 1/15/30

 

327,050

 

1,000

 

5.50%, 7/15/25

 

1,042,450

 

 

 

 

 

4,339,300

 

Computers - 0.4%

 

 

 

520

 

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

 

551,980

 

345

 

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

 

322,144

 

 

 

 

 

874,124

 

Containers & Packaging - 0.4%

 

 

 

455

 

Berry Global, Inc., 5.625%, 7/15/27 (a)(b)(g)

 

484,006

 

450

 

Trivium Packaging Finance BV, 8.50%, 8/15/27 (a)(b)(g)

 

479,250

 

 

 

 

 

963,256

 

Distribution/Wholesale - 0.2%

 

 

 

 

 

 

 

 

 

495

 

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

 

522,225

 

 

 

 

 

Diversified Financial Services - 1.9%

 

 

 

1,688

 

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

 

828,427

 

1,500

 

Community Choice Financial Issuer LLC, 9.00%, 6/15/23 (cost—$1,500,000; purchased 9/6/18) (a)(b)(g)(h)

 

1,503,750

 

495

 

Navient Corp., 6.75%, 6/15/26 (g)

 

518,512

 

 

 

Springleaf Finance Corp. (g),

 

 

 

460

 

6.625%, 1/15/28

 

510,600

 

 

 

1,000

 

8.25%, 10/1/23

 

1,170,000

 

 

 

 

 

4,531,289

 

Electric Utilities - 0.3%

 

 

 

1,000

 

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

 

755,020

 

 

 

 

 

Electronic Equipment, Instruments & Components - 0.3%

 

 

 

750

 

Energizer Holdings, Inc., 7.75%, 1/15/27 (a)(b)(g)

 

832,500

 

 

 

 

 

Engineering & Construction - 0.4%

 

 

 

500

 

AECOM, 5.875%, 10/15/24 (g)

 

541,250

 

435

 

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

 

434,935

 

 

 

 

 

976,185

 

Entertainment - 1.0%

 

 

 

885

 

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

 

804,797

 

250

 

Cedar Fair L.P., 5.375%, 6/1/24 (g)

 

257,500

 

1,000

 

Scientific Games International, Inc., 5.00%, 10/15/25 (a)(b)(g)

 

1,032,500

 

390

 

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

 

421,687

 

 

 

 

 

2,516,484

 

Equity Real Estate Investment Trusts (REITs) - 0.0%

 

 

 

60

 

CyrusOne L.P., 5.375%, 3/15/27

 

64,106

 

 

 

 

 

Food & Beverage - 0.4%

 

 

 

310

 

Albertsons Cos., Inc., 7.50%, 3/15/26 (a)(b)(g)

 

346,037

 

495

 

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

 

529,467

 

 

 

 

 

875,504

 

Food Service - 0.2%

 

 

 

390

 

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

 

409,013

 

 

 

 

 

Healthcare-Products - 0.4%

 

 

 

590

 

Avantor, Inc., 9.00%, 10/1/25 (a)(b)(g)

 

660,623

 

260

 

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

 

270,725

 

 

 

 

 

931,348

 

Healthcare-Services - 1.6%

 

 

 

1,000

 

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

 

777,500

 

800

 

DaVita, Inc., 5.125%, 7/15/24 (g)

 

818,616

 

413

 

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

 

418,421

 

500

 

HCA, Inc., 7.50%, 2/15/22

 

556,000

 

475

 

Select Medical Corp., 6.25%, 8/15/26 (a)(b)(g)

 

507,062

 

 

 

Tenet Healthcare Corp.,

 

 

 

490

 

6.25%, 2/1/27 (a)(b)(g)

 

518,175

 

245

 

8.125%, 4/1/22

 

266,131

 

 

 

 

 

3,861,905

 

Home Builders - 0.4%

 

 

 

1,000

 

KB Home, 8.00%, 3/15/20 (g)

 

1,022,800

 

 

 

 

 

Internet - 0.7%

 

 

 

460

 

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

 

489,325

 

505

 

Netflix, Inc., 5.375%, 11/15/29 (a)(b)(g)

 

533,406

 

305

 

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

 

312,804

 

350

 

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

 

356,608

 

 

 

 

 

1,692,143

 

Lodging - 0.6%

 

 

 

355

 

MGM Resorts International, 5.50%, 4/15/27 (g)

 

391,388

 

1,000

 

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

 

1,065,000

 

 

 

 

 

1,456,388

 

Machinery-Construction & Mining - 0.1%

 

 

 

330

 

Terex Corp., 5.625%, 2/1/25 (a)(b)(g)

 

332,888

 

 

 

 

 

Media - 2.9%

 

 

 

1,000

 

Cablevision Systems Corp., 8.00%, 4/15/20

 

1,027,500

 

 

 

CCO Holdings LLC (a)(b)(g),

 

 

 

470

 

5.125%, 5/1/27

 

496,437

 

300

 

5.50%, 5/1/26

 

316,875

 

417

 

Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 (a)(b)

 

459,482

 

 

 

CSC Holdings LLC (a)(b)(g),

 

 

 

460

 

7.50%, 4/1/28

 

519,800

 

750

 

7.75%, 7/15/25

 

806,250

 

 

 

 

 

Diamond Sports Group LLC (a)(b),

 

 

 

170

 

5.375%, 8/15/26

 

177,863

 

455

 

6.625%, 8/15/27

 

469,787

 

 

 

DISH DBS Corp.,

 

 

 

165

 

5.875%, 7/15/22

 

173,177

 

355

 

5.875%, 11/15/24

 

357,219

 

1,000

 

Gray Television, Inc., 5.875%, 7/15/26 (a)(b)(g)

 

1,053,770

 

330

 

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

 

341,791

 

475

 

Nexstar Broadcasting, Inc., 5.625%, 7/15/27 (a)(b)(g)

 

502,170

 

310

 

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

 

330,150

 

 

 

 

 

7,032,271

 

Metal Fabricate/Hardware - 0.2%

 

 

 

470

 

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

 

453,550

 

 

 

 

 

Mining - 0.8%

 

 

 

480

 

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

 

507,000

 

695

 

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

 

729,090

 

170

 

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

 

173,931

 

500

 

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

 

531,250

 

 

 

 

 

1,941,271

 

Miscellaneous Manufacturing - 0.1%

 

 

 

285

 

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

 

285,559

 

 

 

 

 

Oil, Gas & Consumable Fuels - 2.0%

 

 

 

140

 

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

 

155,750

 

250

 

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

 

238,750

 

1,000

 

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

 

935,000

 

1,040

 

Chesapeake Energy Corp., 8.00%, 3/15/26 (a)(b)(g)

 

665,600

 

1,000

 

CVR Refining LLC, 6.50%, 11/1/22 (g)

 

1,012,500

 

345

 

Oasis Petroleum, Inc., 6.875%, 3/15/22 (g)

 

307,913

 

 

 

Sunoco L.P. (g),

 

 

 

300

 

5.50%, 2/15/26

 

310,905

 

170

 

5.875%, 3/15/28

 

178,928

 

495

 

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

 

443,025

 

465

 

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

 

467,325

 

 

 

 

 

4,715,696

 

Paper & Forest Products - 0.2%

 

 

 

365

 

Mercer International, Inc., 7.375%, 1/15/25 (g)

 

379,600

 

 

 

 

 

Pharmaceuticals - 0.8%

 

 

 

295

 

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

 

332,613

 

 

 

Bausch Health Cos., Inc. (a)(b)(g),

 

 

 

330

 

6.125%, 4/15/25

 

343,406

 

450

 

7.25%, 5/30/29

 

496,687

 

330

 

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

 

209,550

 

465

 

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

 

485,925

 

 

 

 

 

1,868,181

 

Pipelines - 1.0%

 

 

 

1,000

 

Crestwood Midstream Partners L.P., 5.75%, 4/1/25

 

1,037,500

 

370

 

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

 

376,938

 

450

 

NGL Energy Partners L.P., 7.50%, 4/15/26 (a)(b)(g)

 

431,869

 

 

 

Targa Resources Partners L.P. (a)(b)(g),

 

 

 

335

 

6.50%, 7/15/27

 

359,294

 

230

 

6.875%, 1/15/29

 

249,263

 

 

 

 

 

2,454,864

 

Real Estate - 0.3%

 

 

 

700

 

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

 

728,000

 

 

 

 

 

Retail - 1.0%

 

 

 

1,000

 

Conn’s, Inc., 7.25%, 7/15/22 (g)

 

1,017,500

 

300

 

L Brands, Inc., 6.875%, 11/1/35 (g)

 

256,500

 

1,000

 

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

 

695,000

 

480

 

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

 

465,600

 

 

 

 

 

2,434,600

 

Semiconductors - 0.2%

 

 

 

475

 

Amkor Technology, Inc., 6.625%, 9/15/27 (a)(b)(g)

 

522,500

 

 

 

Software - 1.0%

 

 

 

480

 

IQVIA, Inc., 5.00%, 5/15/27 (a)(b)(g)

 

510,000

 

1,000

 

j2 Cloud Services LLC, 6.00%, 7/15/25 (a)(b)

 

1,066,250

 

230

 

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

 

211,600

 

480

 

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

 

513,000

 

 

 

 

 

2,300,850

 

Telecommunications - 2.6%

 

 

 

600

 

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

 

682,500

 

800

 

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

 

726,000

 

315

 

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

 

283,579

 

1,000

 

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

 

907,500

 

1,000

 

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

 

1,080,000

 

500

 

Intelsat Jackson Holdings S.A., 5.50%, 8/1/23 (g)

 

470,000

 

500

 

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

 

518,125

 

365

 

Sprint Corp., 7.625%, 3/1/26 (g)

 

404,694

 

1,000

 

T-Mobile USA, Inc., 4.75%, 2/1/28 (g)

 

1,057,500

 

 

 

 

 

6,129,898

 

Transportation - 0.3%

 

 

 

XPO Logistics, Inc. (a)(b),

 

 

 

600

 

6.125%, 9/1/23

 

619,500

 

150

 

6.50%, 6/15/22 (g)

 

153,188

 

 

 

 

 

772,688

 

Total Corporate Bonds & Notes (cost-$65,744,893)

 

64,652,687

 

 

Shares

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK - 14.0%

 

 

 

Banks - 4.0%

 

 

 

3,445

 

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

 

5,224,653

 

2,945

 

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

 

4,445,477

 

 

 

 

 

9,670,130

 

Electric Utilities - 2.3%

 

 

 

19,360

 

American Electric Power Co., Inc., 6.125%, 3/15/22 (g) 

 

1,064,606

 

16,815

 

NextEra Energy, Inc., 4.872%, 9/1/22

 

855,211

 

14,395

 

Sempra Energy, 6.00%, 1/15/21, Ser. A (g) 

 

1,670,252

 

36,970

 

Southern Co., 6.75%, 8/1/22 (g) 

 

1,965,325

 

 

 

 

 

5,555,394

 

Electronics - 0.3%

 

 

 

725

 

Fortive Corp., 5.00%, 7/1/21, Ser. A (g) 

 

652,899

 

 

 

 

 

Equity Real Estate Investment Trusts (REITs) - 1.2%

 

 

 

2,360

 

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

 

2,939,828

 

 

 

 

 

Hand/Machine Tools - 1.3%

 

 

 

11,015

 

Colfax Corp., 5.75%, 1/15/22 (g) 

 

1,614,909

 

14,425

 

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

 

1,470,485

 

 

 

 

 

3,085,394

 

Healthcare-Products - 2.3%

 

 

 

20,895

 

Avantor, Inc., 6.25%, 5/15/22, Ser. A (g) 

 

1,086,749

 

34,585

 

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

 

2,133,203

 

2,090

 

Danaher Corp., 4.75%, 4/15/22, Ser. A (g) 

 

2,320,569

 

 

 

 

 

5,540,521

 

Insurance - 0.7%

 

 

 

13,870

 

Assurant, Inc., 6.50%, 3/15/21, Ser. D (g) 

 

1,733,334

 

 

 

 

 

Semiconductors - 1.9%

 

 

 

4,205

 

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

 

4,554,099

 

 

 

Total Convertible Preferred Stock (cost-$31,196,457)

 

33,731,599

 

 

 

 

 

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

 

 

 

 

 

 

 

Media - 0.5%

 

 

 

532

 

LiveStyle, Inc., Ser. A

 

77,699

 

11,500

 

LiveStyle, Inc., Ser. B

 

1,150,000

 

1,250

 

LiveStyle, Inc., Ser. B

 

12

 

Total Preferred Stock (cost-$2,429,842)

 

1,227,711

 

 

 

Units

 

 

 

 

 

WARRANTS (a)(d)(f)(i)(j) - 0.0%

 

 

 

Media - 0.0%

 

 

 

3,000

 

LiveStyle, Inc., expires 11/30/21, Ser. C (cost-$0)

 

—

†

 

Principal
Amount
(000s)

 

 

 

 

 

Repurchase Agreements - 8.8%

 

 

 

$21,171

 

State Street Bank and Trust Co., dated 10/31/19, 0.25%, due 11/1/19, proceeds $21,171,147; collateralized by U.S. Treasury Notes, 2.375%, due 2/29/24, valued at $21,598,898 including accrued interest (cost-$21,171,000)

 

21,171,000

 

 

 

 

 

 

 

Total Investments, before options written (cost-$362,921,777)-145.7%

 

350,533,345

 

 

 

 

 

Total Options Written —(0.0)% (premiums received-$43,314) (i)(k)(l)

 

(41,239

)

 

 

 

 

Total Investments, net of options written (cost-$362,878,463) (m)-145.7%

 

350,492,106

 

Other liabilities in excess of other assets-(45.7)%

 

(109,975,739

)

Net Assets-100.0%

 

$240,516,367

 

 

 

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. Investments in mutual funds are valued at the net asset value (“NAV”) as reported on each business day. 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 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 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. 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.

 

†

 

Actual amount rounds to less than $1.

(a)

 

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $82,817,188, representing 34.4% 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 $81,589,477, representing 33.9% of net assets.

(c)

 

In default.

(d)

 

Fair-Valued—Securities with an aggregate value of $2,075,390, representing 0.9% 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 aggregate cost of such securities is $1,915,109. The aggregate value is $1,523,001, representing 0.6% of net assets.

(i)

 

Non-income producing.

(j)

 

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.

(k)

 

Exchange traded-Chicago Board Options Exchange.

(l)

 

Exchange traded option contracts outstanding at October 31, 2019:

 

Options written contracts outstanding at October 31, 2019:

 

Description

 

Exercise Price

 

Expiration
Date

 

Number of
Contracts

 

Notional
Amount

 

Market
Value

 

Premiums Received

 

Unrealized
Appreciation
(Depreciation)

 

Call options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.

 

36.00 USD

 

11/15/19

 

(30

)

$(3,000

)

 

$(1,125

)

 

$(1,633

)

 

$508

 

Alibaba Group Holding Ltd.

 

200.00 USD

 

11/15/19

 

(50

)

(5,000

)

(1,625

)

(702

)

(923

)

Alphabet, Inc.

 

1,400.00 USD

 

12/20/19

 

(5

)

(500

)

(575

)

(3,834

)

3,259

 

Amazon.com, Inc.

 

2,000.00 USD

 

11/15/19

 

(6

)

(600

)

(204

)

(1,440

)

1,236

 

Apple, Inc.

 

260.00 USD

 

11/15/19

 

(49

)

(4,900

)

(3,430

)

(2,900

)

(530

)

Boeing Co.

 

415.00 USD

 

12/20/19

 

(20

)

(2,000

)

(430

)

(945

)

515

 

DR Horton, Inc.

 

55.00 USD

 

11/15/19

 

(75

)

(7,500

)

(5,175

)

(2,322

)

(2,853

)

Facebook, Inc.

 

210.00 USD

 

12/20/19

 

(60

)

(6,000

)

(9,240

)

(11,450

)

2,210

 

Mastercard, Inc.

 

292.50 USD

 

11/15/19

 

(30

)

(3,000

)

(1,260

)

(2,451

)

1,191

 

Merck & Co., Inc.

 

86.50 USD

 

11/15/19

 

(60

)

(6,000

)

(7,590

)

(1,217

)

(6,373

)

PayPal Holdings, Inc.

 

112.00 USD

 

11/15/19

 

(75

)

(7,500

)

(937

)

(1,667

)

730

 

Raytheon Co.

 

220.00 USD

 

11/15/19

 

(10

)

(1,000

)

(880

)

(391

)

(489

)

 

 

ServiceNow, Inc.

 

290.00 USD

 

11/15/19

 

(31

)

(3,100

)

(1,240

)

(2,431

)

1,191

 

Starbucks Corp.

 

92.50 USD

 

12/20/19

 

(70

)

(7,000

)

(1,435

)

(3,151

)

1,716

 

Texas Instruments, Inc.

 

140.00 USD

 

11/15/19

 

(45

)

(4,500

)

(22

)

(2,133

)

2,111

 

Thermo Fisher Scientific, Inc.

 

310.00 USD

 

11/15/19

 

(23

)

(2,300

)

(3,048

)

(862

)

(2,186

)

Vertex Pharmaceuticals, Inc.

 

220.00 USD

 

12/20/19

 

(15

)

(1,500

)

(2,513

)

(2,416

)

(97

)

Visa, Inc.

 

187.50 USD

 

11/15/19

 

(30

)

(3,000

)

(510

)

(1,369

)

859

 

Total options written contracts

 

 

 

 

 

 

 

 

 

$(41,239

)

$(43,314

)

$2,075

 

 

(m)

 

At October 31, 2019, the cost basis of portfolio securities for federal income tax purposes was $363,693,378. Gross unrealized appreciation was $16,364,900; gross unrealized depreciation was $29,566,172; and net unrealized depreciation was $13,201,272. The difference between book and tax cost basis 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 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 October 31, 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 acceptable 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’s valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Fund’s 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.

 

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 October 31, 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 2 -

 

Level 3 -

 

 

 

 

 

 

 

Other Significant

 

Significant

 

 

 

 

 

Level 1 -

 

Observable

 

Unobservable

 

Value at

 

 

 

Quoted Prices

 

Inputs

 

Inputs

 

10/31/19

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Convertible Bonds & Notes

 

—

 

 

$148,359,927

 

—

 

 

$148,359,927

 

Common Stock:

 

 

 

 

 

 

 

 

 

Banks

 

 

$799,488

 

—

 

 

$1

 

799,489

 

Media

 

1,084,644

 

—

 

1

 

1,084,645

 

All Other

 

79,506,287

 

—

 

—

 

79,506,287

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

Commercial Services

 

—

 

4,320,050

 

19,250

 

4,339,300

 

Diversified Financial Services

 

—

 

3,702,862

 

828,427

 

4,531,289

 

All Other

 

—

 

55,782,098

 

—

 

55,782,098

 

Convertible Preferred Stock

 

33,731,599

 

—

 

—

 

33,731,599

 

Preferred Stock

 

—

 

—

 

1,227,711

 

1,227,711

 

Repurchase Agreements

 

—

 

21,171,000

 

—

 

21,171,000

 

 

 

115,122,018

 

233,335,937

 

2,075,390

 

350,533,345

 

Investments in Securities - Liabilities

 

 

 

 

 

 

 

 

 

Options Written:

 

 

 

 

 

 

 

 

 

Market Price

 

(41,239

)

—

 

—

 

(41,239

)

Totals

 

 

$115,080,779

 

 

$233,335,937

 

 

$2,075,390

 

 

$350,492,106

 

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended October 31, 2019, was as follows:

 

 

 

Beginning
Balance
1/31/19

 

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
10/31/19

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stock:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banks

 

 

$1

 

 

$—

 

 

$—

 

$—

 

$—

 

$—

 

$—

 

$—

 

$1

 

Media

 

1

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

1

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial Services

 

19,250

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

19,250

 

Diversified Financial Services

 

780,069

 

87,922

 

—

 

21,324

 

—

 

(60,888

)

—

 

—

 

828,427

 

Preferred Stock

 

1,173,631

 

—

 

—

 

—

 

—

 

54,080

 

—

 

—

 

1,227,711

 

Totals

 

$1,972,952

 

$87,922

 

$—

 

$21,324

 

$—

 

$(6,808

)

$—

 

$—

 

$2,075,390

 

 

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

 

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 October 31, 2019:

 

 

 

Ending
Balance
at 10/31/19

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values (Ranges)

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

Diversified Financial Services

 

$828,427

 

Market and Company Comparables

 

EV Multiples Illiquidity Discount

 

1.80x (0.38x - 5.47x) 20%

 

Preferred Stock

 

$1,227,699

 

Market and Company Comparables

 

EV Multiples Illiquidity Discount

 

0.82x (0.25x - 1.47x) 25%

 

 

The table above does not include Level 3 investments that are valued by brokers and 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 October 31, 2019 was $(6,808).

 

Glossary:

 

ADR - American Depositary Receipt

 

PIK - Payment-in-Kind

 

REIT - Real Estate Investment Trust