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 811-21284

 

 

AllianzGI Convertible & Income Fund

(Exact name of registrant as specified in charter)

 

 

1633 Broadway, New York, NY 10019

(Address of principal executive offices) (Zip code)

Lawrence G. Altadonna

1633 Broadway,

New York, NY 10019

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 212-739-3371

Date of fiscal year end: February 28, 2015

Date of reporting period: November 30, 2014

 

 

 

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Item 1. Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited)

 

 

Shares						Value*
	CONVERTIBLE PREFERRED STOCK—42.9%
				Aerospace & Defense—1.3%
	239,625			United Technologies Corp., 7.50%, 8/1/15		$	14,379,896
				Automobiles—1.3%
	495,375			The Goldman Sachs Group, Inc., 8.50%, 12/16/14 (General Motors) (a)			14,875,120
				Banks—5.9%
	9,695			Huntington Bancshares, Inc., 8.50% (b)			12,991,300
	1,064,500			JPMorgan Chase & Co., 8.00%, 9/18/15 (Bank of America) (a)			17,553,605
	364,075			The Goldman Sachs Group, Inc., 8.00%, 1/14/15 (Citigroup Inc.) (a)			17,872,442
	13,990			Wells Fargo & Co., 7.50%, Ser. L (b)			17,173,075
							65,590,422
				Diversified Financial Services—1.4%
	13,220			Bank of America Corp., 7.25%, Ser. L (b)			15,710,648
				Electric Utilities—0.4%
	85,390			Exelon Corp., 6.50%, 6/1/17			4,456,504
				Energy Equipment & Services—1.5%
	313,380			Credit Suisse, 8.00%, 3/5/15 (Baker Hughes) (a)			16,850,443
				Food Products—1.5%
	326,360			Wells Fargo & Co., 8.00%, 8/28/15 (Archer-Daniels-Midland Co.) (a)			16,471,389
				Health Care Equipment & Supplies—1.7%
	273,890			Credit Suisse AG, 8.00%, 6/23/15 (Medtronic, Inc.) (a)			18,769,682
				Health Care Providers & Services—1.8%
	339,700			JPMorgan Chase & Co., 8.00%, 5/5/15 (HCA Holdings, Inc.) (a)			20,280,090
				Household Durables—1.8%
	171,185			Stanley Black & Decker, Inc., 6.25%, 11/17/16			19,753,037
				Independent Power & Renewable Electricity Producers—0.9%
	91,960			Dynegy, Inc., 5.375%, 11/1/17			9,889,378
				Internet Software & Services—1.4%
	349,200			Barclays Bank PLC, 8.00%, 10/28/15 (Twitter, Inc.) (a)			16,010,820
				Metals & Mining—1.5%
	25,615			Alcoa, Inc., 5.375%, 10/1/17			1,365,280
	792,720			ArcelorMittal, 6.00%, 1/15/16			15,668,586
							17,033,866
				Multiline Retail—1.6%
	317,620			The Goldman Sachs Group, Inc., 8.00%, 1/12/15 (Macy’s) (a)			17,957,917
				Multi-Utilities—1.7%
	239,645			AES Trust III, 6.75%, 10/15/29			12,188,345
	128,500			Dominion Resources, Inc., 6.375%, 7/1/17			6,649,875
							18,838,220
				Oil, Gas & Consumable Fuels—2.1%
	191,170			Credit Suisse, 8.00%, 3/5/15 (Occidental Petroleum Corp.) (a)			14,853,909
	14,100			Energy XXI Bermuda Ltd., 5.625% (b)			1,513,548
	124,235			PetroQuest Energy, Inc., 6.875% (b)			5,062,576
	34,155			Sanchez Energy Corp., 6.50%, 4/6/18 (b)			1,439,223
							22,869,256
				Pharmaceuticals—3.6%
	143,430			Bank of America Corp., 8.00%, 2/10/15 (Allergan, Inc.) (a)			23,674,556
	333,295			JPMorgan Chase & Co., 8.00%, 4/30/15 (Mylan, Inc.) (a)			16,931,386
							40,605,942
				Real Estate Investment Trust—4.2%
	439,700			Alexandria Real Estate Equities, Inc., 7.00% (b)			12,157,705
	798,310			FelCor Lodging Trust, Inc., 1.95%, Ser. A (b)			21,235,046
	208,680			Health Care REIT, Inc., 6.50%, 4/20/18, Ser. I (b)			13,633,064
							47,025,815
				Semiconductors & Semiconductor Equipment—3.4%
	246,000			Barclays Bank PLC, 8.00%, 11/9/15 (Lam Research Corp.) (a)			19,756,260
	530,000			Wells Fargo & Co., 8.00%, 6/18/15 (Micron Technology, Inc.) (a)			17,521,800
							37,278,060

 

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AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

 

Shares						Value*
				Specialty Retail—2.1%
	16,000			Barnes & Noble, Inc., 7.75%, 8/18/21 (c)(d)		$	23,385,000
				Technology Hardware, Storage & Peripherals—1.8%
	27,900			Bank of America Corp., 8.00%, 5/12/15 (Apple, Inc.) (a)			20,280,231
				Total Convertible Preferred Stock (cost-$448,969,051)			478,311,736
Principal Amount (000s)
	CORPORATE BONDS & NOTES—40.4%
				Advertising—0.4%
	$5,650			Affinion Group, Inc., 7.875%, 12/15/18			4,308,125
				Aerospace & Defense—0.5%
	250			Bombardier, Inc., 6.00%, 10/15/22 (c)(d)			254,425
	5,570			Erickson, Inc., 8.25%, 5/1/20			5,263,650
							5,518,075
				Air Freight & Logistics—0.7%
	6,820			XPO Logistics, Inc., 7.875%, 9/1/19 (c)(d)			7,280,350
				Auto Components—0.8%
	4,180			Chassix, Inc., 9.25%, 8/1/18 (c)(d)			2,831,950
	5,280			Goodyear Tire & Rubber Co., 8.25%, 8/15/20			5,689,200
							8,521,150
				Auto Manufacturers—0.7%
	7,410			Chrysler Group LLC, 8.25%, 6/15/21			8,299,200
				Commercial Services—2.5%
	4,000			Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.75%, 3/15/20			4,400,000
	11,500			Cenveo Corp., 11.50%, 5/15/17			10,867,500
	5,705			DynCorp International, Inc., 10.375%, 7/1/17			4,880,627
	7,375			Monitronics International, Inc., 9.125%, 4/1/20			7,338,125
							27,486,252
				Commercial Services & Supplies—0.6%
	5,645			United Rentals North America, Inc., 8.375%, 9/15/20			6,096,600
				Construction Materials—0.7%
	7,310			US Concrete, Inc., 8.50%, 12/1/18			7,858,250
				Consumer Finance—0.8%
	3,210			Navient Corp., 8.45%, 6/15/18			3,635,325
	4,935			Springleaf Finance Corp., 8.25%, 10/1/23			5,650,575
							9,285,900
				Distribution/Wholesale—0.8%
	8,170			HD Supply, Inc., 11.00%, 4/15/20			9,395,500
				Diversified Consumer Services—0.6%
	6,815			Cambium Learning Group, Inc., 9.75%, 2/15/17			6,746,850
				Diversified Financial Services—1.9%
	8,395			Affinion Investments LLC, 13.50%, 8/15/18 (c)(d)			6,799,626
				Community Choice Financial, Inc.,
	10,085			10.75%, 5/1/19			7,160,350
	7,130			12.75%, 5/1/20 (c)(d)			5,097,950
	2,500			Nationstar Mortgage LLC / Nationstar Capital Corp., 7.875%, 10/1/20			2,418,750
							21,476,676
				Diversified Telecommunications—0.5%
	4,923			Cincinnati Bell, Inc., 8.75%, 3/15/18			5,102,689
				Electrical Components & Equipment—1.2%
	13,585			WireCo WorldGroup, Inc., 9.50%, 5/15/17			13,890,663
				Electronic Equipment, Instruments & Components—1.4%
	7,725			Kemet Corp., 10.50%, 5/1/18			7,995,375
	7,500			Viasystems, Inc., 7.875%, 5/1/19 (c)(d)			7,950,000
							15,945,375

 

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AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

 

Principal Amount (000s)						Value*
				Energy Equipment & Services—0.1%
	$2,830			Hercules Offshore, Inc., 8.75%, 7/15/21 (c)(d)		$	1,315,950
				Food & Staples Retailing—0.5%
	5,000			US Foods, Inc., 8.50%, 6/30/19			5,317,500
				Health Care Providers & Services—1.6%
	8,875			ExamWorks Group, Inc., 9.00%, 7/15/19			9,496,250
				Tenet Healthcare Corp.,
	3,500			5.00%, 3/1/19 (c)(d)			3,456,250
	4,530			8.125%, 4/1/22			5,073,600
							18,026,100
				Healthcare-Products—0.9%
	8,885			Kinetic Concepts, Inc./KCI USA, Inc., 10.50%, 11/1/18			9,862,350
				Hotels, Restaurants & Leisure—0.9%
	8,405			MGM Resorts International, 11.375%, 3/1/18			10,128,025
				Household Durables—1.1%
				Beazer Homes USA, Inc.,
	2,945			7.25%, 2/1/23			2,937,638
	5,045			9.125%, 5/15/19			5,284,637
	3,950			Jarden Corp., 7.50%, 5/1/17			4,354,875
							12,577,150
				Household Products/Wares—0.7%
	7,610			Reynolds Group Issuer, Inc., 9.875%, 8/15/19			8,237,825
				Internet Software & Services—1.2%
				EarthLink, Inc.,
	2,800			7.375%, 6/1/20			2,926,000
	10,060			8.875%, 5/15/19			10,298,925
							13,224,925
				Iron/Steel—0.6%
	7,305			AK Steel Corp., 8.375%, 4/1/22			7,049,325
				Lodging—0.2%
	12,385			Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18			1,733,900
				Machinery—1.1%
	5,250			BlueLine Rental Finance Corp., 7.00%, 2/1/19 (c)(d)			5,460,000
	6,755			Navistar International Corp., 8.25%, 11/1/21			6,982,981
							12,442,981
				Media—2.8%
	5,500			AMC Entertainment, Inc., 9.75%, 12/1/20			6,118,750
	8,355			McClatchy Co., 9.00%, 12/15/22			9,305,381
	8,220			McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance, 9.75%, 4/1/21			9,268,050
	3,745			Mood Media Corp., 9.25%, 10/15/20 (c)(d)			3,164,525
	3,871			SFX Entertainment, Inc., 9.625%, 2/1/19 (c)(d)			3,532,288
							31,388,994
				Metals & Mining—2.0%
	6,590			ArcelorMittal, 10.35%, 6/1/19			8,048,037
	3,680			HudBay Minerals, Inc., 9.50%, 10/1/20			3,827,200
				Thompson Creek Metals Co., Inc.,
	8,295			7.375%, 6/1/18			7,610,663
	2,830			12.50%, 5/1/19			3,013,950
							22,499,850
				Miscellaneous Manufacturing—0.7%
	7,350			Harland Clarke Holdings Corp., 9.25%, 3/1/21 (c)(d)			7,377,563
				Oil & Gas—1.3%
	9,050			Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17			8,145,000
	6,038			United Refining Co., 10.50%, 2/28/18			6,460,660
							14,605,660

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AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

 

Principal Amount (000s)						Value*
				Oil, Gas & Consumable Fuels—1.6%
	$2,840			Arch Coal, Inc., 9.875%, 6/15/19		$	1,263,800
	5,050			EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, 5/1/20			5,542,375
	4,500			Laredo Petroleum, Inc., 9.50%, 2/15/19			4,702,500
	5,615			Linn Energy LLC / Linn Energy Finance Corp., 6.50%, 5/15/19			5,074,556
	730			Ultra Petroleum Corp., 6.125%, 10/1/24 (c)(d)			667,950
							17,251,181
				Packaging & Containers—0.7%
	6,692			Tekni-Plex, Inc., 9.75%, 6/1/19 (c)(d)			7,361,200
				Paper & Forest Products—0.3%
	3,000			Louisiana-Pacific Corp., 7.50%, 6/1/20			3,240,000
				Pharmaceuticals—0.2%
	2,290			Endo Finance LLC & Endo Finco, Inc., 5.375%, 1/15/23 (c)(d)			2,242,757
				Real Estate Investment Trust—0.3%
	3,085			Kennedy-Wilson, Inc., 5.875%, 4/1/24			3,100,425
				Retail—0.9%
	9,465			Neiman Marcus Group LTD LLC, 8.00%, 10/15/21 (c)(d)			10,127,550
				Semiconductors & Semiconductor Equipment—1.0%
	3,745			Amkor Technology, Inc., 6.375%, 10/1/22			3,707,550
	7,160			Freescale Semiconductor, Inc., 10.75%, 8/1/20			7,893,900
							11,601,450
				Software—1.7%
				First Data Corp.,
	5,645			8.25%, 1/15/21 (c)(d)			6,068,375
	1,834			10.625%, 6/15/21			2,099,930
	9,045			12.625%, 1/15/21			10,786,163
							18,954,468
				Specialty Retail—1.1%
	4,160			Brown Shoe Co., Inc., 7.125%, 5/15/19			4,357,600
	3,500			Claire’s Stores, Inc., 9.00%, 3/15/19 (c)(d)			3,561,250
	5,500			Conn’s, Inc., 7.25%, 7/15/22 (c)(d)			4,798,750
							12,717,600
				Telecommunications—1.3%
	7,415			Consolidated Communications, Inc., 10.875%, 6/1/20			8,443,831
	5,660			Windstream Corp., 7.50%, 4/1/23			5,787,350
							14,231,181
				Transportation—0.7%
	7,239			Quality Distribution LLC, 9.875%, 11/1/18			7,655,242
				Wireless Telecommunication Services—0.8%
	7,205			Sprint Communications, Inc., 11.50%, 11/15/21			8,988,238
				Total Corporate Bonds & Notes (cost-$463,701,610)			450,471,045
	CONVERTIBLE BONDS & NOTES—14.8%
				Capital Markets—2.6%
	7,740			Ares Capital Corp., 5.75%, 2/1/16			8,059,275
	13,195			BGC Partners, Inc., 4.50%, 7/15/16			14,143,391
	8,460			Walter Investment Management Corp., 4.50%, 11/1/19			6,604,087
							28,806,753
				Commercial Services—1.8%
	20,305			Cenveo Corp., 7.00%, 5/15/17			19,733,922

 

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AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

 

Principal Amount (000s)						Value*
				Construction Materials—0.8%
	$7,645			Cemex S.A.B. de C.V., 4.875%, 3/15/15		$	8,763,081
				Diversified Consumer Services—0.4%
	5,875			Ascent Capital Group, Inc., 4.00%, 7/15/20			4,894,610
				Hotels, Restaurants & Leisure—0.5%
	4,270			MGM Resorts International, 4.25%, 4/15/15			5,372,194
				Insurance—0.3%
	3,965			HCI Group, Inc., 3.875%, 3/15/19 (c)(d)			3,756,838
				Life Sciences Tools & Services—0.4%
	4,420			Sequenom, Inc., 5.00%, 10/1/17			4,182,425
				Machinery—2.0%
				Meritor, Inc.,
	12,480			4.625%, 3/1/26 (e)			12,542,400
	6,225			7.875%, 3/1/26			10,041,703
							22,584,103
				Oil, Gas & Consumable Fuels—0.6%
	9,960			Goodrich Petroleum Corp., 5.00%, 10/1/32			6,747,900
				Personal Products—1.1%
	15,310			Herbalife Ltd., 2.00%, 8/15/19 (c)(d)			12,027,995
				Real Estate Investment Trust—0.6%
	7,070			IAS Operating Partnership LP, 5.00%, 3/15/18 (c)(d)			6,751,850
				Software—0.9%
	10,320			TeleCommunication Systems, Inc., 7.75%, 6/30/18			9,804,000
				Thrifts & Mortgage Finance—0.7%
	6,535			MGIC Investment Corp., 5.00%, 5/1/17			7,392,719
				Tobacco—2.0%
				Vector Group Ltd., (f)
	5,665			1.75%, 4/15/20			6,043,847
	11,865			2.50%, 1/15/19			16,836,494
							22,880,341
				Trading Companies & Distribution—0.1%
	1,190			Titan Machinery, Inc., 3.75%, 5/1/19			915,556
				Total Convertible Bonds & Notes (cost-$151,984,965)			164,614,287
	SHORT-TERM INVESTMENT—1.9%
				Time Deposit—1.9%
	20,980			JPMorgan Chase & Co.-Nassau, 0.03%, 12/1/14 (cost-$20,979,754)			20,979,754
				Total Investments (cost-$1,085,635,380) (g)—100.0%		$	1,114,376,822

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AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

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, and has delegated primary responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (the “Investment Manager”) and Allianz Global Investors U.S. LLC (the “Sub-Adviser”), affiliate of 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 by the Board. The Sub-Adviser monitors the continued appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected or the 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 Valuation Committee.

Synthetic convertible securities are valued based on quotations obtained from unaffiliated brokers who are the principal market-makers in such securities. Such valuations are derived by the brokers from proprietary models which are generally based on readily available market information including valuations of the common stock underlying the synthetic security.

Short-term debt instruments maturing in 60 days or less are value at amortized cost, if their original term to maturity was 60 days or less, or by amortizing premium or discount 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 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.

 

(a)	Securities exchangeable or convertible into securities of an entity different than the issuer or structured by the issuer to provide exposure to securities of an entity different than the issuer (synthetic convertible securities). Such entity is identified in the parenthetical.

 

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

 

(c)	Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $135,270,392, representing 12.1% of total investments.

 

(d)	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. Unless otherwise indicated, these securities are not considered to be illiquid.

 

(e)	Step Bond—Coupon is a fixed rate for an initial period then resets at a specific date and rate.

 

(f)	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.

 

(g)

At November 30, 2014, the cost basis of portfolio securities for federal income tax purposes was $1,092,555,585. Gross unrealized appreciation was $77,700,027 gross unrealized depreciation was $55,878,790 and net unrealized appreciation was $21,821,237. Differences between book and tax cost basis were attributable to wash sale loss deferrals and the differing treatment of bond premium amortization.

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AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

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 Sub-Adviser’s or Valuation Committee’s own assumptions and single broker’s quote)

The valuation techniques used by the Fund to measure fair value during the nine months ended November 30, 2014 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 of input, individually or in aggregate, that is significant to 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. Assets 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 for Level 2 and Level 3, in accordance with U.S. Generally Accepted Accounting Principles.

Equity Securities (Common and Preferred Stock)—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 using 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 bond. 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 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 are unobservable, the values are categorized as Level 3.

 

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Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

A summary of the inputs used at November 30, 2014 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 11/30/14
Investments in Securities—Assets
Convertible Preferred Stock:
Automobiles		$	—			$	—			$	14,875,120			$	14,875,120
Banks			30,164,375				—				35,426,047				65,590,422
Energy Equipment & Services			—				—				16,850,443				16,850,443
Food Products			—				—				16,471,389				16,471,389
Health Care Equipment & Supplies			—				—				18,769,682				18,769,682
Health Care Providers & Services			—				—				20,280,090				20,280,090
Internet Software & Services			—				—				16,010,820				16,010,820
Metals & Mining			1,365,280				15,668,586				—				17,033,866
Multiline Retail			—				—				17,957,917				17,957,917
Oil, Gas & Consumable Fuels			—				8,015,347				14,853,909				22,869,256
Pharmaceuticals			—				—				40,605,942				40,605,942
Semiconductors & Semiconductor Equipment			—				—				37,278,060				37,278,060
Technology Hardware, Storage & Peripherals			—				—				20,280,231				20,280,231
All Other			153,438,498				—				—				153,438,498
Corporate Bonds & Notes			—				450,471,045				—				450,471,045
Convertible Bonds & Notes			—				164,614,287				—				164,614,287
Short-Term Investment			—				20,979,754				—				20,979,754
Totals		$	184,968,153			$	659,749,019			$	269,659,650			$	1,114,376,822

At November 30, 2014, the Fund had no transfers between Levels 1 and 2.

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Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2014 (unaudited) (continued)

 

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended November 30, 2014, was as follows:

 

		Beginning Balance 2/28/14				Purchases				Sales				Accrued Discounts (Premiums)				Net Realized Gain (Loss)				Net Change in Unrealized Appreciation/ Depreciation				Transfers into Level 3				Transfers out of Level 3				Ending Balance 11/30/14
Investments in Securities—Assets
Convertible Preferred Stock:
Automobiles		$	13,802,523			$	4,474,514			$	—			$	—			$	—			$	(3,401,917	)		$	—			$	—			$	14,875,120
Banks			15,935,338				20,061,560				—				—				—				(570,851	)			—				—				35,426,047
Computers & Peripherals			12,985,586				—				(13,019,681	)†			—				—				34,095				—				—				—
Energy Equipment & Services			39,698,096				—				(22,376,924	)			—				3,560,974				(4,031,703	)			—				—				16,850,443
Food Products			—				16,381,771				—				—				—				89,618				—				—				16,471,389
Health Care Equipment & Supplies			—				17,767,244				—				—				—				1,002,438				—				—				18,769,682
Health Care Providers & Services			—				18,043,098				—				—				—				2,236,992				—				—				20,280,090
Household Durables			14,324,200				—				(13,840,543	)†			—				—				(483,657	)			—				—				—
Insurance			14,641,250				—				(14,915,891	)			—				1,319,888				(1,045,247	)			—				—				—
Internet & Catalog Retail			14,992,436				—				(13,224,046	)			—				2,121,459				(3,889,849	)			—				—				—
Internet Software & Services			—				18,022,212				—				—				—				(2,011,392	)			—				—				16,010,820
Multiline Retail			17,715,255				—				—				—				—				242,662				—				—				17,957,917
Oil, Gas & Consumable Fuels			18,189,826				—				—				—				—				(3,335,917	)			—				—				14,853,909
Pharmaceuticals			17,363,636				16,702,079				—				—				—				6,540,227				—				—				40,605,942
Semiconductors & Semiconductor Equipment			—				36,882,342				—				—				—				395,718				—				—				37,278,060
Technology Hardware, Storage & Peripherals			—				16,735,165				—				—				—				3,545,066				—				—				20,280,231
Totals		$	179,648,146			$	165,069,985			$	(77,377,085	)		$	—			$	7,002,321			$	(4,683,717	)		$	—			$	—			$	269,659,650

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, 2014:

 

Ending Balance at 11/30/14

Valuation Technique Used

Unobservable Inputs

Input Values

Investments in Securities—Assets

Convertible Preferred Stock

$

269,659,650

Third-Party Pricing Vendor

Single Broker Quote

$

16.49-$726.89

 

†	Conversion

The net change in unrealized appreciation/depreciation of Level 3 investments held at November 30, 2014 was $2,018,191.

Glossary :

REIT—Real Estate Investment Trust

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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 Act (17 CFR 270.30a-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 Act (17 CFR 270.30a-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

(a) Exhibit 99.302 Cert.—Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

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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 Convertible & Income Fund
By		/s/ Julian Sluyters
		Julian Sluyters,
		President & Chief Executive Officer
Date:		January 26, 2015

 

By		/s/ Lawrence G. Altadonna
		Lawrence G. Altadonna
		Treasurer, Principal Financial & Accounting Officer
Date:		January 26, 2015

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/ Julian Sluyters
		Julian Sluyters,
		President & Chief Executive Officer
Date:		January 26, 2015

 

By		/s/ Lawrence G. Altadonna
		Lawrence G. Altadonna
		Treasurer, Principal Financial & Accounting Officer
Date:		January 26, 2015