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: May 31, 2014

 

 

 

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Item 1. Schedule of Investments

AllianzGI Convertible & Income Fund Schedule of Investments

May 31, 2014 (unaudited)

 

 

Principal Amount (000s)						Value*
	CORPORATE BONDS & NOTES—42.2%
				Advertising—0.4%
	$5,650			Affinion Group, Inc., 7.875%, 12/15/18		$	5,198,000
				Aerospace & Defense—0.5%
	250			Bombardier, Inc., 6.00%, 10/15/22 (a)(b)			254,687
	5,570			Erickson, Inc., 8.25%, 5/1/20 (a)(b)			5,709,250
							5,963,937
				Auto Components—0.9%
	4,180			Chassix, Inc., 9.25%, 8/1/18 (a)(b)			4,545,750
	5,280			Goodyear Tire & Rubber Co., 8.25%, 8/15/20			5,860,800
							10,406,550
				Auto Manufacturers—0.7%
	7,410			Chrysler Group LLC, 8.25%, 6/15/21			8,484,450
				Commercial Services—3.1%
	4,000			Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.75%, 3/15/20			4,560,000
	11,500			Cenveo Corp., 11.50%, 5/15/17			11,557,500
	5,705			DynCorp International, Inc., 10.375%, 7/1/17			5,997,381
	7,375			Monitronics International, Inc., 9.125%, 4/1/20			7,891,250
	5,716			National Money Mart Co., 10.375%, 12/15/16			5,994,655
							36,000,786
				Commercial Services & Supplies—0.7%
	5,645			United Rentals North America, Inc., 8.375%, 9/15/20			6,265,950
	2,255			West Corp., 8.625%, 10/1/18			2,395,938
							8,661,888
				Construction Materials—0.6%
	6,810			US Concrete, Inc., 8.50%, 12/1/18 (a)(b)			7,405,875
				Consumer Finance—0.8%
	3,210			SLM Corp., 8.45%, 6/15/18			3,785,794
	4,935			Springleaf Finance Corp., 8.25%, 10/1/23			5,601,225
							9,387,019
				Distribution/Wholesale—0.8%
	8,170			HD Supply, Inc., 11.00%, 4/15/20			9,701,875
				Diversified Consumer Services—0.6%
	6,815			Cambium Learning Group, Inc., 9.75%, 2/15/17			6,985,375
				Diversified Financial Services—2.0%
	8,395			Affinion Investments LLC, 13.50%, 8/15/18 (a)(b)			8,856,303
				Community Choice Financial, Inc.,
	10,085			10.75%, 5/1/19			8,244,487
	7,130			12.75%, 5/1/20 (a)(b)			5,971,375
							23,072,165
				Diversified Telecommunications—0.9%
	10,275			Cincinnati Bell, Inc., 8.75%, 3/15/18			10,795,172
				Electrical Components & Equipment—1.2%
	13,585			WireCo WorldGroup, Inc., 9.50%, 5/15/17			13,958,588
				Electronic Equipment, Instruments & Components—1.4%
	7,725			Kemet Corp., 10.50%, 5/1/18			8,207,813
	7,500			Viasystems, Inc., 7.875%, 5/1/19 (a)(b)			7,968,750
							16,176,563
				Energy Equipment & Services—0.6%
	2,830			Hercules Offshore, Inc., 8.75%, 7/15/21 (a)(b)			3,042,250
	3,749			Pioneer Drilling Co., 9.875%, 3/15/18			3,950,696
							6,992,946
				Food & Staples Retailing—0.9%
	5,000			Rite Aid Corp., 10.25%, 10/15/19			5,443,750
	5,000			US Foods, Inc., 8.50%, 6/30/19			5,372,500
							10,816,250
				Health Care Providers & Services—0.8%
	8,875			ExamWorks Group, Inc., 9.00%, 7/15/19			9,695,938

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AllianzGI Convertible & Income Fund Schedule of Investments

May 31, 2014 (unaudited) (continued)

 

 

Principal Amount (000s)						Value*
				Healthcare-Products—0.9%
	$8,885			Kinetic Concepts, Inc./KCI USA, Inc., 10.50%, 11/1/18		$	10,103,045
				Hotels, Restaurants & Leisure—1.8%
	9,120			DineEquity, Inc., 9.50%, 10/30/18			9,883,800
	8,405			MGM Resorts International, 11.375%, 3/1/18			10,884,475
							20,768,275
				Household Durables—1.1%
				Beazer Homes USA, Inc.,
	2,945			7.25%, 2/1/23			3,055,438
	5,045			9.125%, 5/15/19			5,435,987
	3,950			Jarden Corp., 7.50%, 5/1/17			4,512,875
							13,004,300
				Household Products/Wares—0.7%
	7,610			Reynolds Group Issuer, Inc., 9.875%, 8/15/19			8,418,563
				Internet Software & Services—1.1%
				EarthLink, Inc.,
	2,800			7.375%, 6/1/20			2,943,500
	10,060			8.875%, 5/15/19			10,034,850
							12,978,350
				Iron/Steel—0.7%
	7,305			AK Steel Corp., 8.375%, 4/1/22			7,615,462
				Leisure Time—0.8%
	8,855			Travelport LLC, 11.875%, 9/1/16			9,021,031
				Lodging—0.5%
	12,385			Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18			6,130,575
				Machinery—0.6%
	6,755			Navistar International Corp., 8.25%, 11/1/21			7,033,644
				Media—2.8%
	5,500			AMC Entertainment, Inc., 9.75%, 12/1/20			6,325,000
	8,355			McClatchy Co., 9.00%, 12/15/22			9,597,806
	8,220			McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 10.00%, 4/1/21 (a)(b)			9,432,450
	3,745			Mood Media Corp., 9.25%, 10/15/20 (a)(b)			3,445,400
	3,871			SFX Entertainment, Inc., 9.625%, 2/1/19 (a)(b)			4,064,550
							32,865,206
				Metals & Mining—1.7%
	6,590			ArcelorMittal, 10.35%, 6/1/19			8,385,775
				Thompson Creek Metals Co., Inc.,
	8,295			7.375%, 6/1/18			8,108,362
	2,830			12.50%, 5/1/19			3,190,825
							19,684,962
				Miscellaneous Manufacturing—0.4%
	5,100			Harland Clarke Holdings Corp., 9.25%, 3/1/21 (a)(b)			5,253,000
				Oil & Gas—1.4%
	9,050			Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17			9,785,312
	6,038			United Refining Co., 10.50%, 2/28/18			6,671,990
							16,457,302
				Oil, Gas & Consumable Fuels—1.9%
	2,840			Arch Coal, Inc., 9.875%, 6/15/19			2,442,400
	9,890			Endeavour International Corp., 12.00%, 3/1/18			9,593,300
	5,050			EP Energy LLC/EP Energy Finance, Inc., 9.375%, 5/1/20			5,826,437
	4,500			Laredo Petroleum, Inc., 9.50%, 2/15/19			4,972,500
							22,834,637
				Packaging & Containers—0.6%
	6,692			Tekni-Plex, Inc., 9.75%, 6/1/19 (a)(b)			7,511,770
				Paper & Forest Products—0.3%
	3,000			Louisiana-Pacific Corp., 7.50%, 6/1/20			3,330,000

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AllianzGI Convertible & Income Fund Schedule of Investments

May 31, 2014 (unaudited) (continued)

 

 

Principal Amount (000s)						Value*
				Retail—1.3%
	$9,465			Neiman Marcus Group Ltd., Inc., 8.00%, 10/15/21 (a)(b)		$	10,458,825
	6110			Toys "R" Us, Inc., 10.375%, 8/15/17			4,949,100
							15,407,925
				Semiconductors & Semiconductor Equipment—0.9%
	2,580			Advanced Micro Devices, Inc., 8.125%, 12/15/17			2,712,225
	7,160			Freescale Semiconductor, Inc., 10.75%, 8/1/20			8,171,350
							10,883,575
				Software—1.7%
				First Data Corp.,
	5,645			8.25%, 1/15/21 (a)(b)			6,153,050
	2,825			10.625%, 6/15/21			3,252,281
	9,045			12.625%, 1/15/21			10,899,225
							20,304,556
				Specialty Retail—0.7%
	4,160			Brown Shoe Co., Inc., 7.125%, 5/15/19			4,404,483
	3,500			Claire's Stores, Inc., 9.00%, 3/15/19 (a)(b)			3,622,500
							8,026,983
				Telecommunications—1.1%
	7,415			Consolidated Communications Finance Co., 10.875%, 6/1/20			8,647,744
	4,520			NII International Telecom SCA, 11.375%, 8/15/19 (a)(b)			3,864,600
							12,512,344
				Transportation—1.5%
	8,144			Quality Distribution LLC, 9.875%, 11/1/18			8,775,160
	8,610			Swift Services Holdings, Inc., 10.00%, 11/15/18			9,374,138
							18,149,298
				Wireless Telecommunication Services—0.8%
	7,205			Sprint Communications, Inc., 11.50%, 11/15/21			9,834,825
				Total Corporate Bonds & Notes (cost-$482,234,598)			497,833,005
Shares
	CONVERTIBLE PREFERRED STOCK—38.8%
				Aerospace & Defense—1.5%
	270,095			United Technologies Corp., 7.50%, 8/1/15			17,772,251
				Airlines—1.5%
	361,355			Continental Airlines Finance Trust II, 6.00%, 11/15/30			18,225,843
				Automobiles—1.5%
	495,375			The Goldman Sachs Group, Inc., 8.50%, 12/16/14 (General Motors) (c)			17,136,012
				Commercial Banks—4.5%
	9,695			Huntington Bancshares, Inc., 8.50% (d)			12,821,637
	364,075			The Goldman Sachs Group, Inc., 8.00%, 1/14/15 (Citigroup Inc.) (c)			17,362,737
	19,020			Wells Fargo & Co., 7.50%, Ser. L (d)			23,432,640
							53,617,014
				Diversified Financial Services—1.4%
	13,790			Bank of America Corp., 7.25%, Ser. L (d)			16,410,927
				Diversified Telecommunication Services—0.1%
	25,335			Intelsat SA, 5.75%, 5/1/16			1,329,327
				Electric Utilities—0.9%
	179,015			NextEra Energy, Inc., 5.799%, 9/1/16			10,128,669
				Energy Equipment & Services—3.6%
	313,380			Credit Suisse, 8.00%, 3/5/15 (Baker Hughes)(c)			20,717,552
	395,170			Wells Fargo & Co., 8.00%, 8/6/14 (Halliburton)(c)			21,611,847
							42,329,399
				Health Care Providers & Services—1.5%
	339,700			JPMorgan Chase & Co., 8.00%, 5/5/15 (HCA Holdings, Inc.)(c)			17,586,269
				Household Durables—2.8%
	171,185			Stanley Black & Decker, Inc., 6.25%, 11/17/16			19,477,429
	374,000			Wells Fargo & Co., 8.00%, 6/20/14 (Lennar Corp.)(c)			13,531,320
							33,008,749
				Insurance—0.9%
	344,050			MetLife, Inc., 5.00%, 10/8/14			10,166,678

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AllianzGI Convertible & Income Fund Schedule of Investments

May 31, 2014 (unaudited) (continued)

 

 

Shares						Value*
				Metals & Mining—2.2%
	633,320			ArcelorMittal, 6.00%, 1/15/16		$	14,863,260
	662,000			Cliffs Natural Resources, Inc., 7.00%, 2/1/16			11,419,500
							26,282,760
				Multiline Retail—1.5%
	317,620			The Goldman Sachs Group, Inc., 8.00%, 1/12/15 (Macy's) (c)			17,578,997
				Multi-Utilities—1.0%
	239,645			AES Trust III, 6.75%, 10/15/29			12,344,114
				Oil, Gas & Consumable Fuels—2.3%
	191,170			Credit Suisse, 8.00%, 3/5/15 (Occidental Petroleum Corp.) (c)			18,356,143
	14,100			Energy XXI Bermuda Ltd., 5.625% (d)			3,663,798
	124,235			PetroQuest Energy, Inc., 6.875% (d)			5,493,523
							27,513,464
				Pharmaceuticals—3.0%
	143,430			Bank of America Corp., 8.00%, 2/10/15 (Allergan, Inc.) (c)			19,431,896
	333,295			JPMorgan Chase & Co., 8.00%, 4/30/15 (Mylan, Inc.) (c)			16,098,149
							35,530,045
				Real Estate Investment Trust—5.3%
	439,700			Alexandria Real Estate Equities, Inc., 7.00% (d)			12,483,083
	798,310			FelCor Lodging Trust, Inc., 1.95%, Ser. A (d)			20,029,598
	208,680			Health Care REIT, Inc., 6.50%, 4/20/18, Ser. I (d)			12,364,290
	290,055			Weyerhaeuser Co., 6.375%, 7/1/16			17,008,825
							61,885,796
				Real Estate Management & Development—0.1%
	51,005			Forestar Group, Inc., 6.00%, 12/15/16			1,219,530
				Specialty Retail—1.7%
	16,000			Barnes & Noble, Inc., 7.75%, 8/18/21 (a)(b)			19,979,000
				Technology Hardware, Storage & Peripherals—1.5%
	27,900			Bank of America Corp., 8.00%, 5/12/15 (Apple, Inc.)(c)			17,278,191
				Total Convertible Preferred Stock (cost-$421,810,441)			457,323,035
Principal Amount (000s)
	CONVERTIBLE BONDS & NOTES—17.2%
				Biotechnology—0.4%
	$5,385			Dendreon Corp., 2.875%, 1/15/16			4,011,825
				Capital Markets—2.6%
	7,740			Ares Capital Corp., 5.75%, 2/1/16			8,310,825
	13,195			BGC Partners, Inc., 4.50%, 7/15/16			14,143,391
	8,460			Walter Investment Management Corp., 4.50%, 11/1/19			7,688,025
							30,142,241
				Commercial Services—1.8%
	20,305			Cenveo Corp., 7.00%, 5/15/17			21,650,206
				Construction Materials—0.8%
	7,645			Cemex S.A.B. de C.V., 4.875%, 3/15/15			9,656,591
				Hotels, Restaurants & Leisure—2.1%
	9,075			MGM Resorts International, 4.25%, 4/15/15			13,198,453
	11,940			Morgans Hotel Group Co., 2.375%, 10/15/14			11,850,450
							25,048,903
				Insurance—0.3%
	3,965			HCI Group, Inc., 3.875%, 3/15/19 (a)(b)			3,637,887
				Life Sciences Tools & Services—0.7%
	8,125			Sequenom, Inc., 5.00%, 10/1/17			7,774,609
				Machinery—3.0%
				Meritor, Inc.,
	12,480			4.625%, 3/1/26 (e)			13,501,800
	5,655			7.875%, 3/1/26			9,362,560
	11,335			Navistar International Corp., 3.00%, 10/15/14			11,412,928
	1,100			Wabash National Corp., 3.375%, 5/1/18			1,526,250
							35,803,538

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AllianzGI Convertible & Income Fund Schedule of Investments

May 31, 2014 (unaudited) (continued)

 

 

Principal Amount (000s)						Value*
				Oil, Gas & Consumable Fuels—0.5%
	$9,625			Endeavour International Corp., 5.50%, 7/15/16		$	5,775,000
				Personal Products—0.4%
	5,385			Herbalife Ltd., 2.00%, 8/15/19 (a)(b)			5,092,218
				Real Estate Investment Trust—0.6%
	7,070			IAS Operating Partnership LP, 5.00%, 3/15/18 (a)(b)			6,924,181
				Software—1.4%
	6,335			Nuance Communications, Inc., 2.75%, 8/15/27			6,540,887
	10,320			TeleCommunication Systems, Inc., 7.75%, 6/30/18			10,165,200
							16,706,087
				Thrifts & Mortgage Finance—0.6%
	6,535			MGIC Investment Corp., 5.00%, 5/1/17			7,535,672
				Tobacco—1.9%
				Vector Group Ltd., (f)
	5,665			1.75%, 4/15/20			5,880,978
	11,865			2.50%, 1/15/19			15,841,911
							21,722,889
				Trading Companies & Distribution—0.1%
	1,190			Titan Machinery, Inc., 3.75%, 5/1/19			1,047,944
				Total Convertible Bonds & Notes (cost-$180,803,185)			202,529,791
	SHORT-TERM INVESTMENT—1.8%
				Time Deposit—1.8%
	21,046			JP Morgan Chase & Co.-Nassau, 0.03%, 6/2/14 (cost-$21,045,560)			21,045,560
				Total Investments (cost-$1,105,893,784) (g)—100.0%		$	1,178,731,391

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 last reported sales prices, or if no sales are reported, on the basis of quotes obtained from are valued daily a quotation reporting system, established market makers, or independent pricing services. The Fund's investments are valued using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. 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 quotes are not readily available, and has delegated the 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"), an 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. 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 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 securities 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.

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(a)	Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $133,193,671, representing 11.3% 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. Unless otherwise indicated, these securities are not considered to be illiquid.

 

(c)	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.

 

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

 

(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 May 31, 2014, the cost basis of portfolio securities for federal income tax purposes was $1,112,566,199. Gross unrealized appreciation was $95,807,316, gross unrealized depreciation was $29,642,124 and net unrealized appreciation was $66,165,192. Differences between book and tax cost basis were attributable to wash sale loss deferrals and the 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 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 three months ended May 31, 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 if the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with 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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A summary of the inputs used at May 31, 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 5/31/14
Investments in Securities—Assets
Corporate Bonds & Notes		$	—			$	497,833,005			$	—			$	497,833,005
Convertible Preferred Stock:
Airlines			—				18,225,843				—				18,225,843
Automobiles			—				—				17,136,012				17,136,012
Commercial Banks			36,254,277				—				17,362,737				53,617,014
Diversified Telecommunication Services			—				1,329,327				—				1,329,327
Energy Equipment & Services			—				—				42,329,399				42,329,399
Health Care Providers & Services			—				—				17,586,269				17,586,269
Household Durables			19,477,429				—				13,531,320				33,008,749
Metals & Mining			11,419,500				14,863,260				—				26,282,760
Multiline Retail			—				—				17,578,997				17,578,997
Oil, Gas & Consumable Fuels			—				9,157,321				18,356,143				27,513,464
Pharmaceuticals			—				—				35,530,045				35,530,045
Technology Hardware, Storage & Peripherals			—				—				17,278,191				17,278,191
All Other			149,906,965				—				—				149,906,965
Convertible Bonds & Notes			—				202,529,791				—				202,529,791
Short-Term Investment			—				21,045,560				—				21,045,560
Totals		$	217,058,171			$	764,984,107			$	196,689,113			$	1,178,731,391

At May 31, 2014, there were no transfers between Levels 1 and 2.

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A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended May 31, 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 5/31/14
Investments in Securities—Assets
Convertible Preferred Stock:
Automobiles		$	13,802,523			$	4,474,514			$	—			$	—			$	—			$	(1,141,025	)		$	—			$	—			$	17,136,012
Commercial Banks			15,935,338				2,428,330				—				—				—				(1,000,931	)			—				—				17,362,737
Computers & Peripherals			12,985,586				—				(13,019,681	)†			—				—				34,095				—				—				—
Energy Equipment & Services			39,698,096				—				—				—				—				2,631,303				—				—				42,329,399
Health Care Providers & Services			—				18,043,098				—				—				—				(456,829	)			—				—				17,586,269
Household Durables			14,324,200				—				—				—				—				(792,880	)			—				—				13,531,320
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	)			—				—				—
Multiline Retail			17,715,255				—				—				—				—				(136,258	)			—				—				17,578,997
Oil, Gas & Consumable Fuels			18,189,826				—				—				—				—				166,317				—				—				18,356,143
Pharmaceuticals			17,363,636				16,702,079				—				—				—				1,464,330				—				—				35,530,045
Technology Hardware, Storage & Peripherals			—				16,735,165				—				—				—				543,026				—				—				17,278,191
Totals		$	179,648,146			$	58,383,186			$	(41,159,618	)		$	—			$	3,441,347			$	(3,623,948	)		$	—			$	—			$	196,689,113

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 May 31, 2014:

 

Ending Balance at 5/31/14

Valuation Technique Used

Unobservable Inputs

Input Values

Investments in Securities—Assets

Convertible Preferred Stock

$

196,689,113

Third-Party Pricing Vendor

Single Broker Quote

$

34.592-$619.29

The net change in unrealized appreciation/depreciation of Level 3 investments held at May 31, 2014 was $1,201,258.

 

†	Stock Conversion.

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 (17CFR 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: July 21, 2014

 

By		/s/ Lawrence G. Altadonna
		Lawrence G. Altadonna,
		Treasurer, Principal Financial & Accounting Officer
Date: July 21, 2014

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: July 21, 2014

 

By		/s/ Lawrence G. Altadonna
		Lawrence G. Altadonna,
		Treasurer, Principal Financial & Accounting Officer
Date: July 21, 2014