UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23039
Virtus AllianzGI Diversified Income & Convertible Fund
(formerly known as: AllianzGI Diversified Income & Convertible Fund)
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301
(Address of principal executive offices) (Zip code)
Angela Borreggine
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
1540 Broadway
New York, NY 10036
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-254-5197
Date of fiscal year end: January 31
Date of reporting period: July 31, 2021
Item 1. | Reports to Stockholders. |
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Virtus AllianzGI Diversified Income & Convertible Fund |
Virtus AllianzGI Equity & Convertible Income Fund |
Virtus Dividend, Interest & Premium Strategy Fund |
1 | |
Manager’s Discussion of Fund Performance: | |
2 | |
5 | |
8 | |
11 | |
13 | |
Schedules of Investments: | |
16 | |
35 | |
45 | |
57 | |
59 | |
60 | |
63 | |
64 | |
68 | |
87 |
President and Chief Executive Officer, Virtus Closed-End Funds
Convertible Bonds and Notes | 50% | |
Internet | 11% | |
Software | 7 | |
Healthcare-Products | 4 | |
All other Convertible Bonds and Notes | 28 | |
Common Stocks | 24 | |
Software | 3 | |
Interactive Media & Services | 3 | |
Semiconductors & Semiconductor Equipment | 2 | |
All other Common Stocks | 16 | |
Corporate Bonds and Notes | 12 | |
Media | 1 | |
Oil, Gas & Consumable Fuels | 1 | |
Telecommunications | 1 | |
All other Corporate Bonds and Notes | 9 | |
Convertible Preferred Stocks | 10 | |
Short-Term Investment | 4 | |
Total | 100% |
Common Stocks | 66% | |
Software | 9% | |
Interactive Media & Services | 8 | |
Semiconductors & Semiconductor Equipment | 6 | |
All other Common Stocks | 43 | |
Convertible Bonds and Notes | 26 | |
Internet | 7 | |
Software | 4 | |
Commercial Services | 1 | |
All other Convertible Bonds and Notes | 14 | |
Convertible Preferred Stocks | 6 | |
Short-Term Investment | 2 | |
Total | 100% |
Common Stocks | 74% | |
Equity Real Estate Investment | 6% | |
Semiconductors & Semiconductor Equipment | 6 | |
Software | 6 | |
All other Common Stocks | 56 | |
Convertible Bonds and Notes | 19 | |
Internet | 5 | |
Software | 3 | |
Commercial Services | 1 | |
All other Convertible Bonds and Notes | 10 | |
Convertible Preferred Stocks | 5 | |
Short-Term Investment | 2 | |
Total | 100% |
Par Value | Value | ||
Corporate Bonds and Notes—14.7% | |||
Advertising—0.1% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1) | $155 | $ 162 | |
144A 7.500%, 6/1/29(1) | 275 | 285 | |
447 | |||
Aerospace & Defense—0.2% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26 | 140 | 145 | |
5.500%, 11/15/27 | 345 | 356 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1) | 151 | 167 | |
144A 6.250%, 9/15/24(1) | 175 | 176 | |
844 | |||
Airlines—0.2% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 300 | 375 | |
144A 5.750%, 4/20/29(1) | 140 | 151 | |
Delta Air Lines, Inc. 7.375%, 1/15/26 | 375 | 441 | |
967 | |||
Auto Components—0.6% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 590 | 619 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 645 | 697 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31 | 295 | 312 |
Par Value | Value | ||
Auto Components—continued | |||
144A 5.250%, 7/15/31(1) | $305 | $ 322 | |
Tenneco, Inc. 144A 7.875%, 1/15/29(1) | 315 | 356 | |
2,306 | |||
Auto Manufacturers—0.5% | |||
Ford Motor Co. | |||
9.000%, 4/22/25 | 530 | 653 | |
9.625%, 4/22/30 | 460 | 664 | |
7.450%, 7/16/31 | 250 | 331 | |
Ford Motor Credit Co. LLC 5.125%, 6/16/25 | 150 | 165 | |
1,813 | |||
Building Materials—0.3% | |||
Builders FirstSource, Inc. 144A 5.000%, 3/1/30(1) | 410 | 436 | |
Griffon Corp. 5.750%, 3/1/28 | 230 | 242 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 305 | 313 | |
991 | |||
Chemicals—0.1% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 300 | 305 | |
Commercial Services—0.8% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 295 | 297 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 455 | 473 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 285 | 312 |
Par Value | Value | ||
Commercial Services—continued | |||
Herc Holdings, Inc. 144A 5.500%, 7/15/27(1) | $290 | $ 304 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 445 | 459 | |
RR Donnelley & Sons Co. 6.000%, 4/1/24 | 915 | 958 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 310 | 339 | |
3,142 | |||
Computers—0.3% | |||
Booz Allen Hamilton, Inc. 144A 4.000%, 7/1/29(1) | 300 | 308 | |
Dell International LLC 144A 7.125%, 6/15/24(1) | 420 | 430 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 285 | 296 | |
1,034 | |||
Containers & Packaging—0.3% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 270 | 284 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 385 | 416 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1) | 355 | 381 | |
1,081 | |||
Cosmetics & Personal Care—0.1% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1) | 300 | 318 | |
Diversified Financial Services—0.5% | |||
Nationstar Mortgage Holdings, Inc. 144A 5.500%, 8/15/28(1) | 290 | 295 |
Par Value | Value | ||
Diversified Financial Services—continued | |||
Navient Corp. | |||
6.750%, 6/15/26 | $495 | $ 555 | |
5.000%, 3/15/27 | 285 | 296 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23 | 320 | 363 | |
6.625%, 1/15/28 | 270 | 312 | |
5.375%, 11/15/29 | 20 | 22 | |
1,843 | |||
Electronic Equipment, Instruments & Components—0.1% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 210 | 234 | |
Entertainment—0.8% | |||
AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | 885 | 558 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 430 | 454 | |
Cedar Fair LP | |||
5.375%, 6/1/24 | 250 | 251 | |
5.375%, 4/15/27 | 465 | 474 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 450 | 510 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 410 | 420 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1) | 430 | 456 | |
3,123 | |||
Environmental Services—0.1% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 405 | 419 |
Par Value | Value | ||
Equity Real Estate Investment Trusts (REITs)—0.3% | |||
Iron Mountain, Inc. 144A 5.250%, 7/15/30(1) | $425 | $ 453 | |
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 290 | 296 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 125 | 126 | |
4.500%, 3/15/25 | 300 | 299 | |
1,174 | |||
Food & Beverage—0.8% | |||
Kraft Heinz Foods Co. | |||
5.000%, 7/15/35 | 125 | 155 | |
6.500%, 2/9/40 | 440 | 628 | |
Performance Food Group, Inc. | |||
144A 5.500%, 10/15/27(1) | 305 | 318 | |
144A 4.250%, 8/1/29(1) | 300 | 305 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(1) | 445 | 450 | |
Simmons Foods, Inc. 144A 4.625%, 3/1/29(1) | 300 | 303 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 300 | 300 | |
US Foods, Inc. | |||
144A 6.250%, 4/15/25(1) | 230 | 242 | |
144A 4.750%, 2/15/29(1) | 180 | 184 | |
2,885 | |||
Food Service—0.1% | |||
Aramark Services, Inc. 144A 5.000%, 2/1/28(1) | 390 | 405 |
Par Value | Value | ||
Healthcare-Services—0.4% | |||
Centene Corp. 4.625%, 12/15/29 | $395 | $ 433 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 280 | 296 | |
Tenet Healthcare Corp. | |||
144A 6.250%, 2/1/27(1) | 210 | 219 | |
144A 6.125%, 10/1/28(1) | 435 | 463 | |
1,411 | |||
Home Builders—0.1% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 247 | 262 | |
Internet—0.4% | |||
Go Daddy Operating Co., LLC 144A 5.250%, 12/1/27(1) | 260 | 273 | |
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1) | 220 | 231 | |
Netflix, Inc. 144A 5.375%, 11/15/29(1) | 415 | 512 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 235 | 252 | |
144A 7.500%, 9/15/27(1) | 190 | 207 | |
1,475 | |||
Investment Companies—0.1% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 435 | 451 |
Par Value | Value | ||
Iron & Steel—0.2% | |||
Cleveland-Cliffs, Inc. | |||
5.875%, 6/1/27 | $455 | $ 480 | |
144A 9.875%, 10/17/25(1) | 250 | 292 | |
772 | |||
Leisure Time—0.4% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1) | 265 | 303 | |
144A 5.750%, 3/1/27(1) | 150 | 153 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 605 | 610 | |
Royal Caribbean Cruises Ltd. 144A 11.500%, 6/1/25(1) | 305 | 349 | |
1,415 | |||
Lodging—0.3% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | 370 | 404 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1) | 225 | 230 | |
MGM Resorts International 4.750%, 10/15/28 | 305 | 321 | |
Wynn Las Vegas LLC 144A 5.500%, 3/1/25(1) | 195 | 206 | |
1,161 | |||
Machinery-Construction & Mining—0.1% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 445 | 461 | |
Media—1.3% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32 | 380 | 398 | |
144A 5.375%, 6/1/29(1) | 275 | 299 |
Par Value | Value | ||
Media—continued | |||
CSC Holdings LLC | |||
144A 7.500%, 4/1/28(1) | $535 | $ 584 | |
144A 5.750%, 1/15/30(1) | 140 | 146 | |
144A 5.000%, 11/15/31(1) | 200 | 201 | |
DIRECTV Holdings LLC 144A 5.875%, 8/15/27(1) | 575 | 595 | |
DISH DBS Corp. 7.375%, 7/1/28 | 420 | 454 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 455 | 451 | |
Meredith Corp. 6.875%, 2/1/26 | 293 | 305 | |
Nexstar Broadcasting, Inc. 144A 5.625%, 7/15/27(1) | 445 | 470 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 450 | 464 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 230 | 234 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 225 | 240 | |
4,841 | |||
Metal Fabricate/Hardware—0.2% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27 | 670 | 681 | |
Mining—0.4% | |||
FMG Resources August 2006 Pty Ltd. 144A 4.375%, 4/1/31(1) | 305 | 332 | |
Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 475 | 524 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1) | 300 | 305 |
Par Value | Value | ||
Mining—continued | |||
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | $180 | $ 199 | |
1,360 | |||
Oil, Gas & Consumable Fuels—1.2% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1) | 300 | 329 | |
144A 5.375%, 3/1/30(1) | 150 | 153 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 300 | 282 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 135 | 138 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 295 | 314 | |
Comstock Resources, Inc. 144A 6.750%, 3/1/29(1) | 295 | 308 | |
Continental Resources, Inc. | |||
4.375%, 1/15/28 | 160 | 177 | |
144A 5.750%, 1/15/31(1) | 180 | 217 | |
EQT Corp. 7.500%, 2/1/30 | 265 | 348 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26 | 510 | 558 | |
6.625%, 9/1/30 | 220 | 269 | |
PBF Holding Co. LLC 6.000%, 2/15/28 | 425 | 222 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 435 | 449 | |
SM Energy Co. 6.500%, 7/15/28 | 305 | 304 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Sunoco LP 5.875%, 3/15/28 | $120 | $ 126 | |
USA Compression Partners LP 6.875%, 9/1/27 | 300 | 317 | |
4,511 | |||
Paper & Forest Products—0.1% | |||
Mercer International, Inc. 5.125%, 2/1/29 | 300 | 306 | |
Pharmaceuticals—0.6% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1) | 455 | 453 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 550 | 595 | |
Bausch Health Cos, Inc. 144A 7.250%, 5/30/29(1) | 450 | 466 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 285 | 302 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 305 | 318 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 295 | 304 | |
2,438 | |||
Pipelines—0.7% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 290 | 298 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | 280 | 291 |
Par Value | Value | ||
Pipelines—continued | |||
DCP Midstream Operating LP 5.125%, 5/15/29 | $370 | $ 412 | |
EQM Midstream Partners LP | |||
144A 6.500%, 7/1/27(1) | 290 | 326 | |
144A 4.750%, 1/15/31(1) | 155 | 158 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 290 | 298 | |
NuStar Logistics LP 6.375%, 10/1/30 | 305 | 338 | |
Targa Resources Partners LP 6.500%, 7/15/27 | 335 | 364 | |
2,485 | |||
Real Estate—0.1% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 395 | 405 | |
Retail—0.2% | |||
1011778 BC ULC 144A 4.000%, 10/15/30(1) | 300 | 299 | |
Asbury Automotive Group, Inc. 4.750%, 3/1/30 | 267 | 283 | |
L Brands, Inc. 144A 6.625%, 10/1/30(1) | 325 | 374 | |
956 | |||
Semiconductors—0.2% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 605 | 650 | |
Software—0.4% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 6/30/29(1) | 440 | 443 |
Par Value | Value | ||
Software—continued | |||
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(1) | $415 | $ 423 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 480 | 508 | |
1,374 | |||
Telecommunications—1.0% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1) | 420 | 449 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 330 | 337 | |
CommScope Technologies LLC 144A 5.000%, 3/15/27(1) | 290 | 293 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26 | 400 | 450 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 430 | 446 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1) | 305 | 299 | |
144A 5.375%, 6/15/29(1) | 300 | 308 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 315 | 307 | |
Sprint Corp. 7.625%, 3/1/26 | 465 | 568 | |
T-Mobile USA, Inc. 3.500%, 4/15/31 | 295 | 309 | |
3,766 | |||
Par Value | Value | ||
Transportation—0.1% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | $265 | $ 302 | |
144A 5.500%, 5/1/28(1) | 150 | 156 | |
458 | |||
Total Corporate Bonds and Notes (Identified Cost $53,393) | 54,970 | ||
Leveraged Loans—0.2% | |||
Entertainment—0.1% | |||
Music Technology Holdings LLC PIK 8.000%, 12/16/22(2)(3)(4)(5)(6) | 374 | 374 | |
Healthcare-Services—0.1% | |||
Aveanna Healthcare LLC | |||
0.000%, 6/30/28(7) | 225 | 223 | |
0.000%, 6/30/28(7) | 55 | 55 | |
278 | |||
Retail—0.0% | |||
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 9/30/21(8) | 234 | 233 | |
Total Leveraged Loans (Identified Cost $887) | 885 |
Shares | ||
Convertible Preferred Stocks—13.2% | ||
Auto Components—0.8% | ||
Aptiv plc Series A, 5.500% | 16,010 | 3,006 |
Capital Markets—0.8% | ||
KKR & Co., Inc. Series C, 6.000% | 37,580 | 3,121 |
Shares | Value | ||
Commercial Services & Supplies—0.5% | |||
GFL Environmental, Inc., 6.000% | 23,020 | $ 1,870 | |
Communications Equipment—1.0% | |||
T-Mobile US, 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 3,010 | 3,773 | |
Diversified Financial Services—0.6% | |||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 1,100 | 2,065 | |
Electric Utilities—1.9% | |||
AES Corp. (The), 6.875% | 17,055 | 1,729 | |
NextEra Energy, Inc., 5.279% | 66,060 | 3,392 | |
NextEra Energy, Inc., 6.219% | 39,025 | 2,025 | |
7,146 | |||
Healthcare Equipment & Supplies—2.6% | |||
Boston Scientific Corp. Series A, 5.500% | 27,220 | 3,344 | |
Danaher Corp. Series A, 4.750% | 3,175 | 6,327 | |
9,671 | |||
Industrial Machinery—0.8% | |||
Stanley Black & Decker, Inc., 5.250% | 24,690 | 2,913 | |
Life Sciences Tools & Services—0.8% | |||
Avantor, Inc. Series A, 6.250% | 26,445 | 3,058 | |
Machinery—0.4% | |||
Colfax Corp., 5.750% | 9,000 | 1,668 | |
Media—0.5% | |||
ViacomCBS, Inc. Series A, 5.750% | 23,190 | 1,685 |
Shares | Value | ||
Pharmaceuticals—0.7% | |||
Elanco Animal Health, Inc., 5.000% | 45,925 | $ 2,536 | |
Professional Services—0.4% | |||
Clarivate plc Series A, 5.250% | 15,725 | 1,429 | |
Semiconductors & Semiconductor Equipment—1.4% | |||
Broadcom, Inc. Series A, 8.000% | 3,505 | 5,413 | |
Total Convertible Preferred Stocks (Identified Cost $40,268) | 49,354 | ||
Preferred Stocks—0.3% | |||
Entertainment—0.3% | |||
LiveStyle, Inc. Series A(2)(3)(4)(9)(10) | 532 | 84 | |
LiveStyle, Inc. Series B(2)(3)(4)(9)(10) | 11,500 | 1,150 | |
LiveStyle, Inc. Series B(2)(4)(9) | 1,250 | — | |
1,234 | |||
Total Preferred Stocks (Identified Cost $2,430) | 1,234 | ||
Common Stocks—31.4% | |||
Air Freight & Logistics—0.3% | |||
FedEx Corp. | 3,670 | 1,028 | |
Automobiles—1.0% | |||
Ford Motor Co.(9) | 54,620 | 762 | |
Tesla, Inc.(9)(11) | 4,550 | 3,127 | |
3,889 | |||
Banks—1.0% | |||
CCF Holdings LLC(3)(4)(9) | 1,026,972 | 708 | |
CCF Holdings LLC Class M(3)(4)(9) | 219,990 | 152 |
Shares | Value | ||
Banks—continued | |||
JPMorgan Chase & Co. | 10,910 | $ 1,656 | |
Wells Fargo & Co. | 31,435 | 1,444 | |
3,960 | |||
Biotechnology—0.6% | |||
AbbVie, Inc. | 10,225 | 1,189 | |
Horizon Therapeutics plc(9) | 9,000 | 900 | |
2,089 | |||
Capital Markets—0.6% | |||
Charles Schwab Corp. (The)(11) | 13,235 | 899 | |
S&P Global, Inc. | 2,855 | 1,224 | |
2,123 | |||
Chemicals—0.2% | |||
Chemours Co. (The) | 16,600 | 552 | |
Dow, Inc.(11) | 4,055 | 252 | |
804 | |||
Energy Equipment & Services—0.2% | |||
Schlumberger N.V. | 33,240 | 958 | |
Entertainment—0.5% | |||
LiveStyle, Inc.(2)(3)(4)(9)(10) | 13,574 | — (12) | |
Netflix, Inc.(9)(11) | 1,100 | 570 | |
Roku, Inc. Class A (9) | 3,500 | 1,499 | |
2,069 | |||
Equity Real Estate Investment—0.4% | |||
Crown Castle International Corp. | 7,700 | 1,487 | |
Food & Staples Retailing—0.4% | |||
Costco Wholesale Corp. | 3,170 | 1,362 | |
Healthcare Equipment & Supplies—1.2% | |||
Abbott Laboratories | 5,070 | 613 | |
Align Technology, Inc.(9) | 1,430 | 995 | |
Dexcom, Inc.(9) | 2,650 | 1,366 |
Shares | Value | ||
Healthcare Equipment & Supplies—continued | |||
Intuitive Surgical, Inc.(9) | 1,450 | $ 1,438 | |
4,412 | |||
Healthcare Providers & Services—0.4% | |||
UnitedHealth Group, Inc. | 3,840 | 1,583 | |
Hotels, Restaurants & Leisure—1.5% | |||
Booking Holdings, Inc.(9) | 745 | 1,623 | |
Chipotle Mexican Grill, Inc. Class A(9) | 325 | 606 | |
Darden Restaurants, Inc. | 6,035 | 880 | |
MGM Resorts International | 26,275 | 986 | |
Starbucks Corp.(11) | 13,203 | 1,603 | |
5,698 | |||
Household Durables—0.4% | |||
DR Horton, Inc. | 14,260 | 1,361 | |
Industrial Conglomerates—0.3% | |||
Honeywell International, Inc. | 4,800 | 1,122 | |
Insurance—0.2% | |||
Aon plc Class A | 3,555 | 924 | |
Interactive Media & Services—3.7% | |||
Alphabet, Inc. Class A(9) | 2,515 | 6,776 | |
Facebook, Inc. Class A(9)(11) | 16,825 | 5,995 | |
Match Group, Inc.(9) | 6,284 | 1,001 | |
13,772 | |||
Internet & Direct Marketing Retail—1.4% | |||
Amazon.com, Inc.(9) | 1,550 | 5,158 | |
IT Services—2.9% | |||
Accenture plc Class A | 4,400 | 1,398 | |
Mastercard, Inc. Class A(11) | 6,905 | 2,665 | |
PayPal Holdings, Inc.(9) | 8,610 | 2,372 | |
Square, Inc. Class A(9) | 2,415 | 597 | |
Twilio, Inc. Class A(9) | 2,125 | 794 |
Shares | Value | ||
IT Services—continued | |||
Visa, Inc. Class A | 11,810 | $ 2,910 | |
10,736 | |||
Life Sciences Tools & Services—1.1% | |||
Agilent Technologies, Inc. | 8,722 | 1,336 | |
Illumina, Inc.(9) | 835 | 414 | |
IQVIA Holdings, Inc.(9) | 5,910 | 1,464 | |
Thermo Fisher Scientific, Inc. | 1,550 | 837 | |
4,051 | |||
Machinery—0.4% | |||
Caterpillar, Inc.(11) | 2,830 | 585 | |
Deere & Co.(11) | 2,130 | 770 | |
1,355 | |||
Metals & Mining—0.1% | |||
Freeport-McMoRan, Inc. | 15,405 | 587 | |
Multiline Retail—0.4% | |||
Target Corp. | 5,350 | 1,397 | |
Oil, Gas & Consumable Fuels—0.7% | |||
Exxon Mobil Corp.(11) | 22,295 | 1,284 | |
Occidental Petroleum Corp. | 8,170 | 213 | |
Southwestern Energy Co.(9) | 60,184 | 283 | |
Valero Energy Corp. | 12,680 | 849 | |
2,629 | |||
Pharmaceuticals—0.8% | |||
Eli Lilly & Co. | 8,695 | 2,118 | |
Zoetis, Inc. | 4,895 | 992 | |
3,110 | |||
Road & Rail—0.2% | |||
Union Pacific Corp. | 3,725 | 815 | |
Semiconductors & Semiconductor Equipment—3.0% | |||
Advanced Micro Devices, Inc.(9)(11) | 13,120 | 1,393 | |
Broadcom, Inc. | 1,550 | 753 |
Shares | Value | ||
Semiconductors & Semiconductor Equipment—continued | |||
Enphase Energy, Inc.(9) | 5,575 | $ 1,057 | |
Lam Research Corp. | 2,750 | 1,753 | |
Marvell Technology, Inc. | 21,750 | 1,316 | |
Micron Technology, Inc.(9)(11) | 15,675 | 1,216 | |
NVIDIA Corp. | 13,380 | 2,609 | |
QUALCOMM, Inc. | 7,905 | 1,184 | |
11,281 | |||
Software—4.3% | |||
Adobe, Inc.(9) | 3,915 | 2,434 | |
Atlassian Corp. plc Class A(9) | 3,385 | 1,101 | |
Crowdstrike Holdings, Inc. Class A(9) | 4,220 | 1,070 | |
Intuit, Inc. | 3,650 | 1,934 | |
Microsoft Corp. | 22,480 | 6,405 | |
salesforce.com, Inc.(9) | 3,800 | 919 | |
ServiceNow, Inc.(9) | 1,985 | 1,167 | |
Zoom Video Communications, Inc. Class A(9) | 2,830 | 1,070 | |
16,100 | |||
Specialty Retail—1.2% | |||
Carvana Co. Class A(9) | 2,075 | 700 | |
Home Depot, Inc. (The) | 8,800 | 2,888 | |
TJX Cos., Inc. (The) | 11,170 | 769 | |
4,357 | |||
Technology Hardware, Storage & Peripherals—1.5% | |||
Apple, Inc. | 39,859 | 5,814 | |
Textiles, Apparel & Luxury Goods—0.5% | |||
NIKE, Inc. Class B | 11,180 | 1,873 | |
Total Common Stocks (Identified Cost $91,407) | 117,904 | ||
Warrants—0.0% | |||
Banks—0.0% | |||
CCF Holdings LLC(4)(9) | 363,920 | 164 |
Shares | Value | ||
Entertainment—0.0% | |||
LiveStyle, Inc. Series C(2)(4)(9) | 3,000 | $ —(12) | |
Total Warrants (Identified Cost $—) | 164 |
Par Value | ||
Convertible Bonds and Notes—64.7% | ||
Airlines—1.7% | ||
Air Canada 4.000%, 7/1/25 | $1,060 | 1,617 |
JetBlue Airways Corp. 144A 0.500%, 4/1/26(1) | 2,190 | 2,148 |
Southwest Airlines Co. 1.250%, 5/1/25 | 1,750 | 2,565 |
6,330 | ||
Auto Manufacturers—2.2% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1) | 3,645 | 3,900 |
NIO, Inc. 144A 0.500%, 2/1/27(1) | 1,735 | 1,501 |
Tesla, Inc. 2.000%, 5/15/24 | 255 | 2,819 |
8,220 | ||
Biotechnology—2.9% | ||
Apellis Pharmaceuticals, Inc. 3.500%, 9/15/26 | 1,035 | 1,945 |
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | 1,845 | 1,680 |
Exact Sciences Corp. 0.375%, 3/15/27 | 1,130 | 1,367 |
Guardant Health, Inc. 144A 0.000%, 11/15/27(1) | 1,150 | 1,238 |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(1) | 2,020 | 1,841 |
Insmed, Inc. 0.750%, 6/1/28 | 1,165 | 1,182 |
Par Value | Value | ||
Biotechnology—continued | |||
NeoGenomics, Inc. 0.250%, 1/15/28 | $1,590 | $ 1,561 | |
10,814 | |||
Commercial Services—3.5% | |||
Chegg, Inc. 144A 0.000%, 9/1/26(1) | 1,900 | 2,051 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 2,065 | 2,057 | |
Sabre GLBL, Inc. 4.000%, 4/15/25 | 655 | 1,135 | |
Shift4 Payments, Inc. 144A 0.000%, 12/15/25(1) | 2,240 | 2,906 | |
Square, Inc. | |||
0.500%, 5/15/23 | 480 | 1,523 | |
0.125%, 3/1/25 | 180 | 376 | |
144A 0.000%, 5/1/26(1) | 850 | 965 | |
144A 0.250%, 11/1/27(1) | 1,705 | 2,008 | |
13,021 | |||
Computers—1.5% | |||
Pure Storage, Inc. 0.125%, 4/15/23 | 2,245 | 2,358 | |
Western Digital Corp. 1.500%, 2/1/24 | 580 | 599 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,570 | 2,619 | |
5,576 | |||
Diversified Financial Services—1.0% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 2,095 | 2,114 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 | 1,260 | 1,559 | |
3,673 | |||
Par Value | Value | ||
Electronics—0.7% | |||
II-VI, Inc. 0.250%, 9/1/22 | $ 865 | $ 1,314 | |
Itron, Inc. 144A 0.000%, 3/15/26(1) | 1,390 | 1,425 | |
2,739 | |||
Energy-Alternate Sources—1.7% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | 1,665 | 1,671 | |
144A 0.000%, 3/1/28(1) | 2,245 | 2,270 | |
Plug Power, Inc. 3.750%, 6/1/25 | 180 | 978 | |
Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(1) | 1,320 | 1,671 | |
6,590 | |||
Entertainment—2.6% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 2,060 | 1,806 | |
IMAX Corp. 144A 0.500%, 4/1/26(1) | 1,685 | 1,561 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 3,520 | 3,770 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(1) | 2,475 | 2,484 | |
9,621 | |||
Equity Real Estate Investment Trusts (REITs)—0.6% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 1,885 | 2,101 | |
Healthcare-Products—4.5% | |||
CONMED Corp. 2.625%, 2/1/24 | 1,180 | 1,901 | |
Envista Holdings Corp. 2.375%, 6/1/25 | 1,270 | 2,698 | |
Insulet Corp. 0.375%, 9/1/26 | 1,540 | 2,126 |
Par Value | Value | ||
Healthcare-Products—continued | |||
Natera, Inc. 2.250%, 5/1/27 | $ 875 | $ 2,667 | |
Nevro Corp. 2.750%, 4/1/25 | 690 | 1,135 | |
Novocure Ltd. 144A 0.000%, 11/1/25(1) | 1,560 | 1,851 | |
Omnicell, Inc. 144A 0.250%, 9/15/25(1) | 1,390 | 2,187 | |
Repligen Corp. 0.375%, 7/15/24 | 1,090 | 2,352 | |
16,917 | |||
Healthcare-Services—1.8% | |||
Accolade, Inc. 144A 0.500%, 4/1/26(1) | 1,715 | 2,000 | |
Anthem, Inc. 2.750%, 10/15/42 | 230 | 1,248 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 2,330 | 2,468 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 1,135 | 1,210 | |
6,926 | |||
Internet—13.7% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 1,930 | 1,808 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 2,360 | 3,333 | |
Etsy, Inc. | |||
144A 0.125%, 9/1/27(1) | 2,380 | 2,856 | |
144A 0.250%, 6/15/28(1) | 550 | 575 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1) | 3,230 | 3,446 | |
FireEye, Inc. 0.875%, 6/1/24 | 1,430 | 1,612 | |
Magnite, Inc. 144A 0.250%, 3/15/26(1) | 1,940 | 1,668 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 2,515 | 4,775 |
Par Value | Value | ||
Internet—continued | |||
NortonLifeLock, Inc. 144A 2.000%, 8/15/22(1) | $ 910 | $ 1,151 | |
Okta, Inc. 0.375%, 6/15/26 | 1,615 | 2,031 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 905 | 1,398 | |
0.375%, 6/1/25 | 2,965 | 4,255 | |
Shopify, Inc. 0.125%, 11/1/25 | 2,050 | 2,695 | |
Snap, Inc. | |||
0.750%, 8/1/26 | 550 | 1,805 | |
144A 0.000%, 5/1/27(1) | 3,650 | 4,190 | |
TechTarget, Inc. 144A 0.125%, 12/15/25(1) | 1,175 | 1,426 | |
Twitter, Inc. | |||
0.250%, 6/15/24 | 1,125 | 1,552 | |
144A 0.000%, 3/15/26(1) | 1,070 | 1,028 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(1) | 3,430 | 3,346 | |
Wayfair, Inc. | |||
1.000%, 8/15/26 | 425 | 744 | |
144A 0.625%, 10/1/25(1) | 1,165 | 1,130 | |
Zendesk, Inc. 0.625%, 6/15/25 | 1,165 | 1,588 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,640 | 2,924 | |
51,336 | |||
Iron & Steel—0.5% | |||
Cleveland-Cliffs, Inc. 1.500%, 1/15/25 | 600 | 1,938 | |
Leisure Time—1.9% | |||
Callaway Golf Co. 2.750%, 5/1/26 | 1,075 | 2,087 | |
NCL Corp., Ltd. 144A 5.375%, 8/1/25(1) | 1,135 | 1,798 |
Par Value | Value | ||
Leisure Time—continued | |||
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | $ 865 | $ 1,109 | |
144A 2.875%, 11/15/23(1) | 1,850 | 2,201 | |
7,195 | |||
Machinery-Diversified—1.0% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1) | 610 | 1,636 | |
Middleby Corp. (The) 144A 1.000%, 9/1/25(1) | 1,335 | 2,082 | |
3,718 | |||
Media—2.5% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 1,210 | 1,240 | |
144A 0.000%, 12/15/25(1) | 2,435 | 2,848 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(1) | 2,825 | 3,033 | |
Liberty Media Corp. 1.375%, 10/15/23 | 1,605 | 2,132 | |
9,253 | |||
Mining—0.7% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(1) | 1,070 | 1,157 | |
SSR Mining, Inc. 2.500%, 4/1/39 | 1,285 | 1,584 | |
2,741 | |||
Oil, Gas & Consumable Fuels—1.7% | |||
EQT Corp. 1.750%, 5/1/26 | 1,980 | 2,924 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 2,360 | 3,467 | |
6,391 | |||
Par Value | Value | ||
Pharmaceuticals—1.9% | |||
Dexcom, Inc. | |||
0.750%, 12/1/23 | $1,005 | $ 3,144 | |
0.250%, 11/15/25 | 1,145 | 1,298 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 2,175 | 2,817 | |
7,259 | |||
Private Equity—0.7% | |||
Colony Capital Operating Co. LLC 144A 5.750%, 7/15/25(1) | 795 | 2,490 | |
Retail—2.7% | |||
American Eagle Outfitters, Inc. 3.750%, 4/15/25 | 395 | 1,596 | |
Burlington Stores, Inc. 2.250%, 4/15/25 | 1,810 | 2,957 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 565 | 1,735 | |
RH 0.000%, 9/15/24 | 645 | 2,020 | |
Vroom, Inc. 144A 0.750%, 7/1/26(1) | 1,715 | 1,666 | |
9,974 | |||
Semiconductors—3.1% | |||
Cree, Inc. | |||
0.875%, 9/1/23 | 330 | 524 | |
1.750%, 5/1/26 | 335 | 694 | |
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 2,220 | 2,295 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 3,815 | 4,175 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1) | 2,100 | 2,227 |
Par Value | Value | ||
Semiconductors—continued | |||
Teradyne, Inc. 1.250%, 12/15/23 | $ 460 | $ 1,834 | |
11,749 | |||
Software—9.0% | |||
Atlassian, Inc. 0.625%, 5/1/23 | 585 | 2,330 | |
Bentley Systems, Inc. 144A 0.125%, 1/15/26(1) | 1,555 | 1,788 | |
Bill.com Holdings, Inc. 144A 0.000%, 12/1/25(1) | 2,055 | 2,982 | |
Blackline, Inc. 144A 0.000%, 3/15/26(1) | 1,895 | 1,849 | |
Cardlytics, Inc. 144A 1.000%, 9/15/25(1) | 935 | 1,537 | |
Cerence, Inc. 3.000%, 6/1/25 | 350 | 1,037 | |
Cloudflare, Inc. 0.750%, 5/15/25 | 630 | 2,003 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 1,130 | 1,207 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1) | 1,480 | 1,577 | |
Five9, Inc. 0.500%, 6/1/25 | 1,410 | 2,271 | |
HubSpot, Inc. 0.375%, 6/1/25 | 1,470 | 3,156 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,045 | 1,882 | |
Nutanix, Inc. 0.000%, 1/15/23 | 1,030 | 1,074 | |
RingCentral, Inc. 0.000%, 3/1/25 | 1,145 | 1,208 | |
Splunk, Inc. 1.125%, 9/15/25 | 1,200 | 1,451 | |
Tyler Technologies, Inc. 144A 0.250%, 3/15/26(1) | 2,295 | 2,620 |
Par Value | Value | ||
Software—continued | |||
Workday, Inc. 0.250%, 10/1/22 | $ 850 | $ 1,375 | |
Zynga, Inc. | |||
0.250%, 6/1/24 | 850 | 1,129 | |
144A 0.000%, 12/15/26(1) | 1,245 | 1,302 | |
33,778 | |||
Telecommunications—0.6% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | 1,745 | 2,355 | |
Total Convertible Bonds and Notes (Identified Cost $215,783) | 242,705 | ||
Total Long-Term Investments—124.5% (Identified Cost $404,168) | 467,216 |
Shares | ||
Short-Term Investment—4.6% | ||
Money Market Mutual Fund—4.6% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(13) | 17,163,671 | 17,164 |
Total Short-Term Investment (Identified Cost $17,164) | 17,164 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—129.1% (Identified Cost $421,332) | 484,380 | |
Value | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $56) | $ (68) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—129.1% (Identified Cost $421,276) | $ 484,312 | |
Other assets and liabilities, net—(29.1)% | (109,143) | |
NET ASSETS—100.0% | $ 375,169 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, these securities amounted to a value of $152,033 or 40.5% of net assets. |
(2) | 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. and its subsidiary Music Technology Holdings LLC represents 0.43% of net assets. |
(3) | Affiliated company. See Note 4G in Notes to Financial Statements. |
(4) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(5) | Security is fixed rate. |
(6) | 100% of the income received was in PIK. |
(7) | This loan will settle after July 31, 2021, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(8) | Variable rate security. Rate disclosed is as of July 31, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(9) | Non-income producing. |
(10) | Security is restricted from resale. |
(11) | All or a portion of the security is segregated as collateral for written options. |
(12) | Amount is less than $500. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Canada | 2 |
Jersey | 1 |
Bermuda | 1 |
Liberia | 1 |
Ireland | 1 |
United Kingdom | 1 |
Total | 100% |
† % of total investments, net of written options, as of July 31, 2021. |
Open Written Options Contracts as of July 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Advanced Micro Device, Inc. | 52 | $ 546 | $105.00 | 08/20/21 | $(24) |
Align Technology, Inc. | 8 | 600 | 750.00 | 08/20/21 | (4) |
Atlassian Corp. plc | 20 | 780 | 390.00 | 08/20/21 | (2) |
Caterpillar, Inc. | 15 | 353 | 235.00 | 08/20/21 | (—) (3) |
Charles Schwab Corp. (The) | 65 | 520 | 80.00 | 08/20/21 | (—) (3) |
Deere & Co. | 10 | 390 | 390.00 | 08/20/21 | (2) |
Dexcom, Inc. | 5 | 275 | 550.00 | 08/20/21 | (3) |
Dow, Inc. | 13 | 91 | 70.00 | 08/20/21 | (—) (3) |
Enphase Energy, Inc. | 30 | 660 | 220.00 | 08/20/21 | (5) |
Exxon Mobil Corp. | 110 | 704 | 64.00 | 08/20/21 | (1) |
Facebook, Inc. | 43 | 1,806 | 420.00 | 08/20/21 | (1) |
Mastercard, Inc. | 18 | 756 | 420.00 | 08/20/21 | (1) |
Micron Technology, Inc. | 80 | 780 | 97.50 | 08/20/21 | (1) |
Netflix, Inc. | 5 | 300 | 600.00 | 08/20/21 | (—) (3) |
Paypal Holdings, Inc. | 20 | 600 | 300.00 | 08/20/21 | (2) |
Servicenow, Inc. | 5 | 315 | 630.00 | 08/20/21 | (1) |
Starbucks Corp. | 30 | 360 | 120.00 | 08/20/21 | (8) |
Tesla, Inc. | 25 | 1,950 | 780.00 | 08/20/21 | (12) |
Twilio, Inc. | 10 | 440 | 440.00 | 08/20/21 | (1) |
Total Written Options | $(68) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Exchange-traded options |
(3) | Amount is less than $500. |
Total Value at July 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 54,970 | $ — | $ 54,970 | $ — | |||
Leveraged Loans | 885 | — | 511 | 374 | |||
Convertible Bonds and Notes | 242,705 | — | 242,705 | — | |||
Equity Securities: | |||||||
Common Stocks | 117,904 | 117,044 | — | 860 (1) | |||
Convertible Preferred Stocks | 49,354 | 43,516 | 5,838 | — | |||
Preferred Stocks | 1,234 | — | — | 1,234 (1) | |||
Warrants | 164 | — | — | 164 | |||
Money Market Mutual Fund | 17,164 | 17,164 | — | — | |||
Total Investments, before Written Options | 484,380 | 177,724 | 304,024 | 2,632 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (68) | (50) | (18) | — | |||
Total Investments, Net of Written Options | $484,312 | $177,674 | $304,006 | $2,632 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Preferred Stocks | Leveraged Loans | Common Stocks | Warrants | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2021: | $ 2,951 | $ 1,108 | $ — | $ 1,843 | $ —(a) | ||||
Accrued discount/(premium) | 6 | — | — | 6 | — | ||||
Change in unrealized appreciation (depreciation)(b) | 739 | 126 | — | 449 | 164 | ||||
Transfers into Level 3(c) | 374 | — | 374 | — | — | ||||
Purchases | 1,919 | — | — | 1,919 | — | ||||
Sales | (3,357) | — | — | (3,357) | — | ||||
Balance as of July 31, 2021 | $ 2,632 | $ 1,234 (d) | $ 374 | $ 860(d) | $ 164 |
Investments in Securities – Assets | Ending Balance at July 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $ 709 | Market and Company Comparables | EV Multiples | 1.08x (0.33x - 2.08x) 0.53x (0.21x - 0.82x) | ||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $ 152 | Market and Company Comparables | EV Multiples | 1.08x (0.33x - 2.08x) 0.53x (0.21x - 0.82x) | ||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $ —(1) | Market and Company Comparables | EV Multiples | 3.04x (0.33x - 11.58x) | ||||
Illiquidity Discount | (30% - 85%) | |||||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series A | $ 84 | Market and Company Comparables | EV Multiples | 3.04x (0.33x - 11.58x) | ||||
Illiquidity Discount | (30% - 85%) |
Investments in Securities – Assets | Ending Balance at July 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
LiveStyle, Inc. Series B | $1,150 | Market and Company Comparables | EV Multiples | 3.04x (0.33x - 11.58x) | ||||
Illiquidity Discount | (30% - 85%) | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $ 164 | Market and Company Comparables | EV Multiples | 1.08x (0.33x - 2.08x) 0.53x (0.21x - 0.82x) | ||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 55% | ||||||
LiveStyle, Inc. Series C | $ —(1) | Market and Company Comparables | EV Multiples | 3.04x (0.33x - 11.58x) | ||||
Illiquidity Discount | (30% - 85%) | |||||||
Par Value | Value | ||
Corporate Bonds and Notes—0.1% | |||
Oil, Gas & Consumable Fuels—0.1% | |||
Cobalt International Energy, Inc. 7.750%, 12/1/23(1)(2) | $2,509 | $ 37 | |
Nabors Industries, Inc. 144A 9.000%, 2/1/25(3) | 409 | 421 | |
458 | |||
Total Corporate Bonds and Notes (Identified Cost $1,705) | 458 |
Shares | ||
Convertible Preferred Stocks—6.4% | ||
Auto Components—0.3% | ||
Aptiv plc Series A, 5.500% | 16,660 | 3,128 |
Banks—0.8% | ||
Bank of America Corp. Series L, 7.250% | 1,755 | 2,597 |
Wells Fargo & Co. Series L, 7.500% | 3,405 | 5,150 |
7,747 | ||
Capital Markets—0.3% | ||
KKR & Co., Inc. Series C, 6.000% | 34,290 | 2,848 |
Commercial Services & Supplies—0.2% | ||
GFL Environmental, Inc., 6.000% | 25,870 | 2,101 |
Communications Equipment—0.4% | ||
T-Mobile US, 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(3) | 3,225 | 4,042 |
Shares | Value | ||
Diversified Financial Services—0.4% | |||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(3) | 1,680 | $ 3,153 | |
Electric Utilities—0.9% | |||
AES Corp. (The), 6.875% | 25,000 | 2,535 | |
NextEra Energy, Inc., 5.279% | 39,700 | 2,038 | |
NextEra Energy, Inc., 6.219% | 69,490 | 3,606 | |
8,179 | |||
Electronic Components—0.1% | |||
II-VI, Inc. Series A, 6.000% | 3,415 | 997 | |
Healthcare Equipment & Supplies—1.1% | |||
Boston Scientific Corp. Series A, 5.500% | 26,695 | 3,280 | |
Danaher Corp. Series B, 5.000% | 4,410 | 7,067 | |
10,347 | |||
Industrial Machinery—0.1% | |||
Stanley Black & Decker, Inc., 5.250% | 10,170 | 1,200 | |
Life Sciences Tools & Services—0.3% | |||
Avantor, Inc. Series A, 6.250% | 24,085 | 2,785 | |
Media—0.2% | |||
ViacomCBS, Inc. Series A, 5.750% | 24,075 | 1,750 | |
Pharmaceuticals—0.2% | |||
Elanco Animal Health, Inc., 5.000% | 31,335 | 1,730 |
Shares | Value | ||
Professional Services—0.3% | |||
Clarivate plc Series A, 5.250% | 24,895 | $ 2,263 | |
Semiconductors & Semiconductor Equipment—0.8% | |||
Broadcom, Inc. Series A, 8.000% | 4,725 | 7,297 | |
Total Convertible Preferred Stocks (Identified Cost $48,296) | 59,567 | ||
Common Stocks—66.0% | |||
Air Freight & Logistics—0.6% | |||
FedEx Corp. | 19,070 | 5,339 | |
Automobiles—2.2% | |||
Ford Motor Co.(4) | 285,980 | 3,989 | |
Tesla, Inc.(4)(5) | 24,125 | 16,579 | |
20,568 | |||
Banks—1.7% | |||
JPMorgan Chase & Co. | 57,120 | 8,670 | |
Wells Fargo & Co. | 164,595 | 7,561 | |
16,231 | |||
Biotechnology—1.2% | |||
AbbVie, Inc. | 53,390 | 6,209 | |
Horizon Therapeutics plc(4) | 47,200 | 4,721 | |
10,930 | |||
Capital Markets—1.2% | |||
Charles Schwab Corp. (The)(5) | 69,290 | 4,708 | |
S&P Global, Inc. | 14,935 | 6,403 | |
11,111 | |||
Chemicals—0.4% | |||
Chemours Co. (The) | 83,425 | 2,774 | |
Dow, Inc.(5) | 21,498 | 1,336 | |
4,110 | |||
Shares | Value | ||
Energy Equipment & Services—0.5% | |||
Schlumberger N.V. | 174,930 | $ 5,043 | |
Entertainment—1.2% | |||
Netflix, Inc.(4)(5) | 5,745 | 2,973 | |
Roku, Inc. Class A (4) | 18,440 | 7,898 | |
10,871 | |||
Equity Real Estate Investment—0.7% | |||
Crown Castle International Corp. | 32,586 | 6,292 | |
Food & Staples Retailing—0.8% | |||
Costco Wholesale Corp. | 16,785 | 7,213 | |
Healthcare Equipment & Supplies—2.5% | |||
Abbott Laboratories | 26,560 | 3,213 | |
Align Technology, Inc.(4) | 7,475 | 5,201 | |
Dexcom, Inc.(4) | 14,200 | 7,321 | |
Intuitive Surgical, Inc.(4) | 7,590 | 7,525 | |
23,260 | |||
Healthcare Providers & Services—0.9% | |||
UnitedHealth Group, Inc. | 20,145 | 8,304 | |
Hotels, Restaurants & Leisure—3.2% | |||
Booking Holdings, Inc.(4) | 3,960 | 8,626 | |
Chipotle Mexican Grill, Inc. Class A(4) | 1,710 | 3,187 | |
Darden Restaurants, Inc. | 31,965 | 4,663 | |
MGM Resorts International | 137,555 | 5,162 | |
Starbucks Corp.(5) | 69,963 | 8,496 | |
30,134 | |||
Household Durables—0.8% | |||
DR Horton, Inc. | 74,670 | 7,126 | |
Industrial Conglomerates—0.6% | |||
Honeywell International, Inc. | 25,180 | 5,887 | |
Insurance—0.5% | |||
Aon plc Class A | 19,160 | 4,982 |
Shares | Value | ||
Interactive Media & Services—7.8% | |||
Alphabet, Inc. Class A(4) | 13,240 | $ 35,676 | |
Facebook, Inc. Class A(4)(5) | 88,120 | 31,397 | |
Match Group, Inc.(4) | 32,744 | 5,215 | |
72,288 | |||
Internet & Direct Marketing Retail—2.9% | |||
Amazon.com, Inc.(4) | 8,120 | 27,020 | |
IT Services—6.1% | |||
Accenture plc Class A | 23,165 | 7,359 | |
Mastercard, Inc. Class A(5) | 36,485 | 14,081 | |
PayPal Holdings, Inc.(4) | 45,530 | 12,545 | |
Square, Inc. Class A(4) | 12,630 | 3,123 | |
Twilio, Inc. Class A(4) | 11,100 | 4,147 | |
Visa, Inc. Class A | 62,610 | 15,426 | |
56,681 | |||
Life Sciences Tools & Services—2.3% | |||
Agilent Technologies, Inc. | 45,901 | 7,033 | |
Illumina, Inc.(4) | 4,340 | 2,152 | |
IQVIA Holdings, Inc.(4) | 31,170 | 7,721 | |
Thermo Fisher Scientific, Inc. | 8,110 | 4,379 | |
21,285 | |||
Machinery—0.8% | |||
Caterpillar, Inc.(5) | 14,805 | 3,061 | |
Deere & Co.(5) | 11,190 | 4,046 | |
7,107 | |||
Metals & Mining—0.3% | |||
Freeport-McMoRan, Inc. | 81,065 | 3,089 | |
Multiline Retail—0.8% | |||
Target Corp. | 27,960 | 7,299 | |
Oil, Gas & Consumable Fuels—1.3% | |||
Exxon Mobil Corp.(5) | 117,330 | 6,755 | |
Nabors Industries Ltd.(4) | 1,215 | 106 |
Shares | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Occidental Petroleum Corp. | 43,290 | $ 1,130 | |
Valero Energy Corp. | 66,770 | 4,471 | |
12,462 | |||
Pharmaceuticals—1.8% | |||
Eli Lilly & Co. | 45,800 | 11,153 | |
Zoetis, Inc. | 25,655 | 5,200 | |
16,353 | |||
Road & Rail—0.5% | |||
Union Pacific Corp. | 19,700 | 4,310 | |
Semiconductors & Semiconductor Equipment—6.4% | |||
Advanced Micro Devices, Inc.(4)(5) | 68,775 | 7,303 | |
Broadcom, Inc. | 8,060 | 3,912 | |
Enphase Energy, Inc.(4) | 29,475 | 5,589 | |
Lam Research Corp. | 14,475 | 9,227 | |
Marvell Technology, Inc. | 114,530 | 6,930 | |
Micron Technology, Inc.(4)(5) | 82,500 | 6,400 | |
NVIDIA Corp. | 70,180 | 13,685 | |
QUALCOMM, Inc. | 41,390 | 6,200 | |
59,246 | |||
Software—9.1% | |||
Adobe, Inc.(4) | 21,560 | 13,402 | |
Atlassian Corp. plc Class A(4) | 17,900 | 5,820 | |
Crowdstrike Holdings, Inc. Class A(4) | 22,125 | 5,611 | |
Intuit, Inc. | 19,135 | 10,141 | |
Microsoft Corp. | 115,705 | 32,966 | |
salesforce.com, Inc.(4) | 19,371 | 4,686 | |
ServiceNow, Inc.(4) | 10,400 | 6,114 |
Shares | Value | ||
Software—continued | |||
Zoom Video Communications, Inc. Class A(4) | 14,905 | $ 5,636 | |
84,376 | |||
Specialty Retail—2.5% | |||
Carvana Co. Class A(4) | 10,910 | 3,683 | |
Home Depot, Inc. (The) | 46,300 | 15,195 | |
TJX Cos., Inc. (The) | 58,590 | 4,032 | |
22,910 | |||
Technology Hardware, Storage & Peripherals—3.4% | |||
Apple, Inc. | 219,200 | 31,972 | |
Textiles, Apparel & Luxury Goods—1.0% | |||
NIKE, Inc. Class B | 58,590 | 9,814 | |
Total Common Stocks (Identified Cost $459,169) | 613,613 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd.(4) | 486 | 3 | |
Total Warrant (Identified Cost $—) | 3 |
Par Value | ||
Convertible Bonds and Notes—26.3% | ||
Airlines—0.7% | ||
JetBlue Airways Corp. 144A 0.500%, 4/1/26(3) | $2,725 | 2,673 |
Southwest Airlines Co. 1.250%, 5/1/25 | 2,360 | 3,459 |
6,132 | ||
Auto Manufacturers—1.1% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(3) | 3,450 | 3,691 |
Par Value | Value | ||
Auto Manufacturers—continued | |||
NIO, Inc. | |||
144A 0.000%, 2/1/26(3) | $1,015 | $ 885 | |
144A 0.500%, 2/1/27(3) | 1,565 | 1,354 | |
Tesla, Inc. 2.000%, 5/15/24 | 380 | 4,201 | |
10,131 | |||
Banks—0.3% | |||
BofA Finance LLC 0.125%, 9/1/22 | 1,275 | 1,578 | |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(3) | 1,215 | 1,291 | |
2,869 | |||
Biotechnology—1.2% | |||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(3) | 1,895 | 1,726 | |
Exact Sciences Corp. | |||
0.375%, 3/15/27 | 1,760 | 2,130 | |
0.375%, 3/1/28 | 495 | 565 | |
Guardant Health, Inc. 144A 0.000%, 11/15/27(3) | 2,285 | 2,459 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(3) | 2,330 | 2,123 | |
Illumina, Inc. 0.000%, 8/15/23 | 860 | 1,087 | |
Insmed, Inc. 0.750%, 6/1/28 | 895 | 908 | |
10,998 | |||
Commercial Services—1.5% | |||
Alarm.com Holdings, Inc. 144A 0.000%, 1/15/26(3) | 1,715 | 1,562 | |
Chegg, Inc. | |||
0.125%, 3/15/25 | 365 | 651 |
Par Value | Value | ||
Commercial Services—continued | |||
144A 0.000%, 9/1/26(3) | $2,920 | $ 3,152 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(3) | 1,120 | 1,453 | |
144A 0.500%, 8/1/27(3) | 1,415 | 1,465 | |
Square, Inc. | |||
144A 0.000%, 5/1/26(3) | 1,665 | 1,891 | |
144A 0.250%, 11/1/27(3) | 3,190 | 3,756 | |
13,930 | |||
Computers—0.6% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,275 | 2,497 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,550 | 2,585 | |
5,082 | |||
Diversified Financial Services—0.3% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(3) | 1,720 | 1,736 | |
LendingTree, Inc. 0.500%, 7/15/25 | 1,580 | 1,423 | |
3,159 | |||
Energy-Alternate Sources—0.6% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(3) | 1,355 | 1,360 | |
144A 0.000%, 3/1/28(3) | 2,035 | 2,058 | |
SolarEdge Technologies, Inc. 144A 0.000%, 9/15/25(3) | 1,165 | 1,392 | |
Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(3) | 505 | 639 | |
5,449 | |||
Par Value | Value | ||
Entertainment—0.6% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(3) | $2,750 | $ 2,410 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 1,245 | 1,333 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(3) | 2,045 | 2,053 | |
5,796 | |||
Equity Real Estate Investment Trusts (REITs)—0.2% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 1,830 | 2,040 | |
Healthcare-Products—1.2% | |||
Envista Holdings Corp. 2.375%, 6/1/25 | 1,045 | 2,220 | |
Insulet Corp. 0.375%, 9/1/26 | 2,100 | 2,899 | |
Novocure Ltd. 144A 0.000%, 11/1/25(3) | 1,295 | 1,536 | |
Omnicell, Inc. 144A 0.250%, 9/15/25(3) | 1,040 | 1,637 | |
Repligen Corp. 0.375%, 7/15/24 | 1,120 | 2,417 | |
10,709 | |||
Healthcare-Services—0.8% | |||
Anthem, Inc. 2.750%, 10/15/42 | 405 | 2,198 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(3) | 2,435 | 2,579 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 2,730 | 2,911 | |
7,688 | |||
Internet—6.6% | |||
21Vianet Group, Inc. 144A 0.000%, 2/1/26(3) | 1,555 | 1,252 | |
Airbnb, Inc. 144A 0.000%, 3/15/26(3) | 4,015 | 3,762 |
Par Value | Value | ||
Internet—continued | |||
Booking Holdings, Inc. 0.750%, 5/1/25 | $1,095 | $ 1,546 | |
Etsy, Inc. 144A 0.125%, 9/1/27(3) | 2,805 | 3,366 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(3) | 2,970 | 3,169 | |
FireEye, Inc. 0.875%, 6/1/24 | 1,505 | 1,696 | |
Magnite, Inc. 144A 0.250%, 3/15/26(3) | 1,755 | 1,509 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(3) | 2,860 | 5,430 | |
Okta, Inc. 0.375%, 6/15/26 | 2,255 | 2,836 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 4,025 | 5,776 | |
Pinduoduo, Inc. 0.000%, 12/1/25 | 1,425 | 1,315 | |
RealReal, Inc. (The) 144A 1.000%, 3/1/28(3) | 3,225 | 2,825 | |
Shopify, Inc. 0.125%, 11/1/25 | 1,930 | 2,537 | |
Snap, Inc. 144A 0.000%, 5/1/27(3) | 4,395 | 5,046 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(3) | 2,355 | 2,122 | |
Twitter, Inc. 144A 0.000%, 3/15/26(3) | 4,060 | 3,900 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(3) | 3,330 | 3,248 | |
Wayfair, Inc. 144A 0.625%, 10/1/25(3) | 2,560 | 2,483 | |
Wix.com Ltd. 144A 0.000%, 8/15/25(3) | 2,205 | 2,402 | |
Zendesk, Inc. 0.625%, 6/15/25 | 2,010 | 2,740 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,170 | 2,086 | |
61,046 | |||
Par Value | Value | ||
Leisure Time—0.9% | |||
NCL Corp., Ltd. | |||
6.000%, 5/15/24 | $ 495 | $ 967 | |
144A 5.375%, 8/1/25(3) | 865 | 1,370 | |
Peloton Interactive, Inc. 144A 0.000%, 2/15/26(3) | 1,795 | 1,703 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 2,015 | 2,584 | |
144A 2.875%, 11/15/23(3) | 1,330 | 1,582 | |
8,206 | |||
Media—1.2% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 1,620 | 1,660 | |
144A 0.000%, 12/15/25(3) | 1,970 | 2,304 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(3) | 1,490 | 1,600 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 1,890 | 2,511 | |
144A 0.500%, 12/1/50(3) | 1,695 | 1,860 | |
Liberty Media Corp-Liberty Formula One 1.000%, 1/30/23 | 545 | 719 | |
10,654 | |||
Mining—0.1% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(3) | 1,230 | 1,331 | |
Oil, Gas & Consumable Fuels—0.7% | |||
EQT Corp. 1.750%, 5/1/26 | 1,720 | 2,540 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Pioneer Natural Resources Co. 0.250%, 5/15/25 | $2,620 | $ 3,849 | |
6,389 | |||
Pharmaceuticals—0.8% | |||
Dexcom, Inc. | |||
0.750%, 12/1/23 | 375 | 1,173 | |
0.250%, 11/15/25 | 2,485 | 2,818 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 2,465 | 3,192 | |
7,183 | |||
Pipelines—0.4% | |||
Cheniere Energy, Inc. 4.250%, 3/15/45 | 4,200 | 3,478 | |
Real Estate—0.1% | |||
Redfin Corp. 144A 0.000%, 10/15/25(3) | 1,245 | 1,343 | |
Retail—0.8% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 1,935 | 3,161 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 835 | 2,564 | |
RH 0.000%, 6/15/23 | 590 | 2,015 | |
7,740 | |||
Semiconductors—0.9% | |||
Cree, Inc. 0.875%, 9/1/23 | 1,015 | 1,611 | |
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(3) | 710 | 734 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 5,725 | 6,265 | |
8,610 | |||
Par Value | Value | ||
Software—4.5% | |||
Akamai Technologies, Inc. | |||
0.125%, 5/1/25 | $1,900 | $ 2,537 | |
0.375%, 9/1/27 | 490 | 577 | |
Alteryx, Inc. 0.500%, 8/1/24 | 2,425 | 2,293 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(3) | 1,955 | 2,248 | |
144A 0.375%, 7/1/27(3) | 530 | 531 | |
Bill.com Holdings, Inc. 144A 0.000%, 12/1/25(3) | 2,035 | 2,953 | |
Cloudflare, Inc. 0.750%, 5/15/25 | 720 | 2,289 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 2,780 | 2,970 | |
Datadog, Inc. 0.125%, 6/15/25 | 1,710 | 2,368 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(3) | 1,970 | 2,099 | |
Fastly, Inc. 144A 0.000%, 3/15/26(3) | 1,830 | 1,604 | |
Five9, Inc. 0.500%, 6/1/25 | 1,280 | 2,062 | |
HubSpot, Inc. 0.375%, 6/1/25 | 1,185 | 2,544 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(3) | 1,850 | 1,371 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,520 | 2,738 | |
RingCentral, Inc. | |||
0.000%, 3/1/25 | 2,300 | 2,426 | |
144A 0.000%, 3/15/26(3) | 520 | 508 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 625 | 720 | |
1.125%, 6/15/27 | 2,700 | 2,626 | |
Workday, Inc. 0.250%, 10/1/22 | 935 | 1,513 | |
Zynga, Inc. | |||
0.250%, 6/1/24 | 1,620 | 2,152 |
Par Value | Value | ||
Software—continued | |||
144A 0.000%, 12/15/26(3) | $ 800 | $ 836 | |
41,965 | |||
Telecommunications—0.2% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | 1,655 | 2,233 | |
Total Convertible Bonds and Notes (Identified Cost $225,319) | 244,161 | ||
Total Long-Term Investments—98.8% (Identified Cost $734,489) | 917,802 |
Shares | ||
Short-Term Investment—2.2% | ||
Money Market Mutual Fund—2.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(6) | 20,293,474 | 20,293 |
Total Short-Term Investment (Identified Cost $20,293) | 20,293 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—101.0% (Identified Cost $754,782) | 938,095 | |
Written Options—(0.1)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $285) | (351) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—100.9% (Identified Cost $754,497) | $937,744 | |
Other assets and liabilities, net—(0.9)% | (8,442) | |
NET ASSETS—100.0% | $929,302 |
Abbreviations: | |
LLC | Limited Liability Company |
NA | National Association |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, these securities amounted to a value of $120,988 or 13.0% of net assets. |
(4) | Non-income producing. |
(5) | All or a portion of the security is segregated as collateral for written options. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 94% |
Ireland | 2 |
Jersey | 1 |
Australia | 1 |
Bermuda | 1 |
Curaçao | 1 |
Total | 100% |
† % of total investments, net of written options, as of July 31, 2021. |
Open Written Options Contracts as of July 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Advanced Micro Device, Inc. | 275 | $ 2,887 | $105.00 | 08/20/21 | $(128) |
Align Technology, Inc. | 35 | 2,625 | 750.00 | 08/20/21 | (17) |
Atlassian Corp. plc | 90 | 3,510 | 390.00 | 08/20/21 | (7) |
Caterpillar, Inc. | 75 | 1,763 | 235.00 | 08/20/21 | (2) |
Charles Schwab Corp. (The) | 305 | 2,440 | 80.00 | 08/20/21 | (1) |
Deere & Co. | 55 | 2,145 | 390.00 | 08/20/21 | (12) |
Dexcom, Inc. | 25 | 1,375 | 550.00 | 08/20/21 | (16) |
Dow, Inc. | 70 | 490 | 70.00 | 08/20/21 | (—) (3) |
Enphase Energy, Inc. | 145 | 3,190 | 220.00 | 08/20/21 | (24) |
Exxon Mobil Corp. | 585 | 3,744 | 64.00 | 08/20/21 | (5) |
Facebook, Inc. | 225 | 9,450 | 420.00 | 08/20/21 | (4) |
Mastercard, Inc. | 90 | 3,780 | 420.00 | 08/20/21 | (5) |
Micron Technology, Inc. | 405 | 3,949 | 97.50 | 08/20/21 | (2) |
Netflix, Inc. | 30 | 1,800 | 600.00 | 08/20/21 | (1) |
Paypal Holdings, Inc. | 110 | 3,300 | 300.00 | 08/20/21 | (10) |
Servicenow, Inc. | 15 | 945 | 630.00 | 08/20/21 | (3) |
Starbucks Corp. | 170 | 2,040 | 120.00 | 08/20/21 | (47) |
Tesla, Inc. | 130 | 10,140 | 780.00 | 08/20/21 | (61) |
Twilio, Inc. | 50 | 2,200 | 440.00 | 08/20/21 | (6) |
Total Written Options | $(351) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Exchange-traded options |
(3) | Amount is less than $500. |
Total Value at July 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 458 | $ — | $ 421 | $37 | |||
Convertible Bonds and Notes | 244,161 | — | 244,161 | — | |||
Equity Securities: | |||||||
Common Stocks | 613,613 | 613,613 | — | — | |||
Convertible Preferred Stocks | 59,567 | 52,372 | 7,195 | — | |||
Warrant | 3 | 3 | — | — | |||
Money Market Mutual Fund | 20,293 | 20,293 | — | — | |||
Total Investments, before Written Options | 938,095 | 686,281 | 251,777 | 37 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (351) | (268) | (83) | — | |||
Total Investments, Net of Written Options | $937,744 | $686,013 | $251,694 | $37 |
Par Value | Value | ||
Corporate Bonds and Notes—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Chesapeake Energy Corp. 5.500%, 9/15/26(1) | $4,240 | $— | |
Cobalt International Energy, Inc. 7.750%, 12/1/23(1)(2) | 4,647 | 67 | |
67 | |||
Total Corporate Bonds and Notes (Identified Cost $3,881) | 67 |
Shares | ||
Convertible Preferred Stocks—4.5% | ||
Auto Components—0.2% | ||
Aptiv plc Series A, 5.500% | 20,315 | 3,814 |
Banks—0.6% | ||
Bank of America Corp. Series L, 7.250% | 2,170 | 3,211 |
Wells Fargo & Co. Series L, 7.500% | 4,205 | 6,360 |
9,571 | ||
Capital Markets—0.2% | ||
KKR & Co., Inc. Series C, 6.000% | 41,800 | 3,471 |
Commercial Services & Supplies—0.2% | ||
GFL Environmental, Inc., 6.000% | 31,540 | 2,562 |
Communications Equipment—0.3% | ||
T-Mobile US, 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(3) | 3,935 | 4,932 |
Diversified Financial Services—0.2% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(3) | 2,050 | 3,848 |
Shares | Value | ||
Electric Utilities—0.6% | |||
AES Corp. (The), 6.875% | 30,470 | $ 3,089 | |
NextEra Energy, Inc., 5.279% | 48,980 | 2,515 | |
NextEra Energy, Inc., 6.219% | 85,730 | 4,448 | |
10,052 | |||
Electronic Components—0.1% | |||
II-VI, Inc. Series A, 6.000% | 4,235 | 1,236 | |
Healthcare Equipment & Supplies—0.8% | |||
Boston Scientific Corp. Series A, 5.500% | 32,530 | 3,997 | |
Danaher Corp. Series B, 5.000% | 5,380 | 8,622 | |
12,619 | |||
Industrial Machinery—0.1% | |||
Stanley Black & Decker, Inc., 5.250% | 12,395 | 1,463 | |
Life Sciences Tools & Services—0.2% | |||
Avantor, Inc. Series A, 6.250% | 29,350 | 3,394 | |
Media—0.1% | |||
ViacomCBS, Inc. Series A, 5.750% | 29,345 | 2,133 | |
Oil, Gas & Consumable Fuels—0.0% | |||
Mesquite Energy, Inc., 6.500%(1) | 213,230 | — | |
Pharmaceuticals—0.1% | |||
Elanco Animal Health, Inc., 5.000% | 38,480 | 2,124 | |
Professional Services—0.2% | |||
Clarivate plc Series A, 5.250% | 30,380 | 2,762 |
Shares | Value | ||
Semiconductors & Semiconductor Equipment—0.6% | |||
Broadcom, Inc. Series A, 8.000% | 5,840 | $ 9,019 | |
Total Convertible Preferred Stocks (Identified Cost $66,611) | 73,000 | ||
Common Stocks—74.4% | |||
Aerospace & Defense—2.4% | |||
Lockheed Martin Corp. | 102,646 | 38,150 | |
Automobiles—0.4% | |||
Ferrari NV | 27,119 | 5,920 | |
Banks—3.4% | |||
Bank of America Corp. | 405,163 | 15,542 | |
Citigroup, Inc. | 128,786 | 8,709 | |
First Republic Bank | 31,476 | 6,138 | |
JPMorgan Chase & Co.(4) | 160,672 | 24,387 | |
54,776 | |||
Beverages—0.6% | |||
Coca-Cola Co. (The) | 83,578 | 4,766 | |
Monster Beverage Corp.(5) | 51,981 | 4,903 | |
9,669 | |||
Biotechnology—0.5% | |||
Amgen, Inc. | 33,982 | 8,208 | |
Capital Markets—4.0% | |||
Broadridge Financial Solutions, Inc. | 30,622 | 5,313 | |
Intercontinental Exchange, Inc. | 59,063 | 7,077 | |
MarketAxess Holdings, Inc. | 50,430 | 23,963 | |
Morgan Stanley | 96,832 | 9,294 | |
MSCI, Inc. Class A | 20,655 | 12,310 | |
Nasdaq, Inc. | 32,615 | 6,090 | |
64,047 | |||
Chemicals—2.0% | |||
Linde plc | 32,049 | 9,851 |
Shares | Value | ||
Chemicals—continued | |||
RPM International, Inc. | 64,345 | $ 5,572 | |
Scotts Miracle-Gro Co. (The) | 49,988 | 8,846 | |
Sherwin-Williams Co. (The) | 26,367 | 7,674 | |
31,943 | |||
Commercial Services & Supplies—0.8% | |||
Cintas Corp. | 14,828 | 5,845 | |
Waste Management, Inc. | 41,801 | 6,197 | |
12,042 | |||
Communications Equipment—0.4% | |||
Cisco Systems, Inc. | 102,088 | 5,653 | |
Consumer Finance—0.4% | |||
American Express Co. | 35,427 | 6,041 | |
Distributors—0.9% | |||
Pool Corp. | 29,645 | 14,165 | |
Diversified Telecommunication Services—0.3% | |||
Verizon Communications, Inc. | 95,847 | 5,346 | |
Electric Utilities—1.8% | |||
NextEra Energy, Inc.(4) | 362,478 | 28,237 | |
Electrical Equipment—0.7% | |||
AMETEK, Inc. | 86,021 | 11,961 | |
Entertainment—0.5% | |||
Activision Blizzard, Inc. | 103,168 | 8,627 | |
Equity Real Estate Investment—6.4% | |||
Alexandria Real Estate Equities, Inc. | 24,725 | 4,978 | |
American Tower Corp. | 169,153 | 47,836 | |
CoreSite Realty Corp. | 47,620 | 6,582 | |
Crown Castle International Corp. | 24,022 | 4,638 | |
CyrusOne, Inc. | 71,696 | 5,110 | |
Equinix, Inc. | 14,596 | 11,975 | |
Prologis, Inc. | 70,622 | 9,042 |
Shares | Value | ||
Equity Real Estate Investment—continued | |||
Sun Communities, Inc. | 62,845 | $ 12,325 | |
102,486 | |||
Food & Staples Retailing—1.1% | |||
Costco Wholesale Corp. | 28,877 | 12,409 | |
Walmart, Inc. | 41,092 | 5,858 | |
18,267 | |||
Food Products—0.4% | |||
McCormick & Co., Inc. | 85,643 | 7,208 | |
Gas Utilities—1.4% | |||
Atmos Energy Corp. | 233,521 | 23,023 | |
Healthcare Equipment & Supplies—1.8% | |||
ResMed, Inc. | 23,551 | 6,401 | |
Stryker Corp. | 36,880 | 9,992 | |
West Pharmaceutical Services, Inc. | 28,731 | 11,830 | |
28,223 | |||
Healthcare Providers & Services—1.8% | |||
Amedisys, Inc.(5) | 46,357 | 12,081 | |
Anthem, Inc. | 15,786 | 6,062 | |
UnitedHealth Group, Inc. | 26,560 | 10,949 | |
29,092 | |||
Healthcare Technology—0.3% | |||
Veeva Systems, Inc. Class A(5) | 15,658 | 5,210 | |
Hotels, Restaurants & Leisure—2.3% | |||
Chipotle Mexican Grill, Inc. Class A(5) | 3,209 | 5,980 | |
Domino’s Pizza, Inc. | 15,526 | 8,159 | |
McDonald’s Corp. | 47,907 | 11,627 | |
Starbucks Corp. | 43,176 | 5,243 | |
Wingstop, Inc. | 37,905 | 6,493 | |
37,502 | |||
Shares | Value | ||
Household Durables—0.4% | |||
Garmin Ltd. | 40,602 | $ 6,383 | |
Household Products—0.9% | |||
Church & Dwight Co., Inc. | 133,525 | 11,560 | |
WD-40 Co. | 13,172 | 3,201 | |
14,761 | |||
Industrial Conglomerates—1.1% | |||
Honeywell International, Inc. | 26,685 | 6,239 | |
Roper Technologies, Inc. | 24,474 | 12,025 | |
18,264 | |||
Insurance—1.7% | |||
Allstate Corp. (The) | 63,969 | 8,319 | |
Kinsale Capital Group, Inc. | 55,445 | 9,905 | |
Willis Towers Watson plc | 44,320 | 9,134 | |
27,358 | |||
Interactive Media & Services—2.0% | |||
Alphabet, Inc. Class A(5) | 9,468 | 25,512 | |
Alphabet, Inc. Class C(5) | 2,648 | 7,161 | |
32,673 | |||
Internet & Direct Marketing Retail—2.1% | |||
Amazon.com, Inc.(4)(5) | 10,044 | 33,422 | |
IT Services—3.4% | |||
Global Payments, Inc. | 123,584 | 23,902 | |
Jack Henry & Associates, Inc. | 70,329 | 12,244 | |
Mastercard, Inc. Class A | 23,852 | 9,205 | |
Visa, Inc. Class A | 39,383 | 9,704 | |
55,055 | |||
Life Sciences Tools & Services—1.9% | |||
Agilent Technologies, Inc. | 40,176 | 6,156 |
Shares | Value | ||
Life Sciences Tools & Services—continued | |||
Thermo Fisher Scientific, Inc.(4) | 45,036 | $ 24,320 | |
30,476 | |||
Machinery—0.4% | |||
Toro Co. (The) | 55,592 | 6,323 | |
Media—0.6% | |||
Cable One, Inc. | 4,819 | 9,098 | |
Multiline Retail—0.4% | |||
Dollar General Corp. | 28,480 | 6,626 | |
Oil, Gas & Consumable Fuels—1.1% | |||
Chesapeake Energy Corp. | 1,658 | 89 | |
LUKOIL PJSC Sponsored ADR | 128,208 | 11,012 | |
Marathon Petroleum Corp. | 104,360 | 5,763 | |
Nabors Industries Ltd.(5) | 2,191 | 192 | |
17,056 | |||
Personal Products—0.4% | |||
Estee Lauder Cos., Inc. (The) Class A | 18,178 | 6,068 | |
Pharmaceuticals—2.9% | |||
Johnson & Johnson(4) | 69,014 | 11,884 | |
Merck & Co., Inc. | 292,827 | 22,510 | |
Zoetis, Inc. | 58,905 | 11,940 | |
46,334 | |||
Professional Services—0.8% | |||
TransUnion | 103,142 | 12,383 | |
Road & Rail—1.2% | |||
Norfolk Southern Corp. | 40,120 | 10,344 | |
Union Pacific Corp. | 41,693 | 9,121 | |
19,465 | |||
Semiconductors & Semiconductor Equipment—6.1% | |||
Advanced Micro Devices, Inc.(5) | 218,222 | 23,173 | |
Broadcom, Inc. | 47,433 | 23,024 |
Shares | Value | ||
Semiconductors & Semiconductor Equipment—continued | |||
KLA Corp. | 26,344 | $ 9,172 | |
NVIDIA Corp. | 124,144 | 24,207 | |
Teradyne, Inc. | 95,409 | 12,117 | |
Texas Instruments, Inc. | 30,139 | 5,745 | |
97,438 | |||
Software—5.9% | |||
Adobe, Inc.(5) | 28,223 | 17,544 | |
Cadence Design Systems, Inc.(5) | 54,837 | 8,097 | |
Intuit, Inc. | 11,593 | 6,144 | |
Microsoft Corp.(4) | 175,968 | 50,135 | |
salesforce.com, Inc.(5) | 36,974 | 8,945 | |
Synopsys, Inc.(5) | 14,227 | 4,097 | |
94,962 | |||
Specialty Retail—2.6% | |||
Best Buy Co., Inc. | 81,027 | 9,103 | |
Home Depot, Inc. (The)(4) | 100,639 | 33,029 | |
42,132 | |||
Technology Hardware, Storage & Peripherals—2.4% | |||
Apple, Inc.(4) | 259,649 | 37,872 | |
Textiles, Apparel & Luxury Goods—0.7% | |||
Lululemon Athletica, Inc.(5) | 12,965 | 5,188 | |
NIKE, Inc. Class B(4) | 37,451 | 6,274 | |
11,462 | |||
Water Utilities—0.8% | |||
American Water Works Co., Inc.(4) | 75,632 | 12,866 | |
Total Common Stocks (Identified Cost $939,743) | 1,194,273 | ||
Warrants—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Chesapeake Energy Corp.(5) | 3,129 | 67 |
Shares | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Nabors Industries Ltd.(5) | 876 | $ 6 | |
73 | |||
Total Warrants (Identified Cost $899) | 73 |
Par Value | ||
Convertible Bonds and Notes—18.6% | ||
Airlines—0.5% | ||
JetBlue Airways Corp. 144A 0.500%, 4/1/26(3) | $3,320 | 3,257 |
Southwest Airlines Co. 1.250%, 5/1/25 | 2,915 | 4,272 |
7,529 | ||
Auto Manufacturers—0.8% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(3) | 4,200 | 4,494 |
NIO, Inc. | ||
144A 0.000%, 2/1/26(3) | 1,730 | 1,509 |
144A 0.500%, 2/1/27(3) | 2,025 | 1,752 |
Tesla, Inc. 2.000%, 5/15/24 | 460 | 5,085 |
12,840 | ||
Banks—0.2% | ||
BofA Finance LLC 0.125%, 9/1/22 | 1,550 | 1,918 |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(3) | 1,875 | 1,992 |
3,910 | ||
Biotechnology—0.8% | ||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(3) | 2,320 | 2,113 |
Exact Sciences Corp. | ||
0.375%, 3/15/27 | 2,145 | 2,595 |
Par Value | Value | ||
Biotechnology—continued | |||
0.375%, 3/1/28 | $ 605 | $ 690 | |
Guardant Health, Inc. 144A 0.000%, 11/15/27(3) | 2,790 | 3,003 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(3) | 2,845 | 2,593 | |
Illumina, Inc. 0.000%, 8/15/23 | 1,070 | 1,352 | |
Insmed, Inc. 0.750%, 6/1/28 | 1,090 | 1,106 | |
13,452 | |||
Commercial Services—1.1% | |||
Alarm.com Holdings, Inc. 144A 0.000%, 1/15/26(3) | 2,700 | 2,458 | |
Chegg, Inc. | |||
0.125%, 3/15/25 | 395 | 704 | |
144A 0.000%, 9/1/26(3) | 3,560 | 3,843 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(3) | 1,365 | 1,771 | |
144A 0.500%, 8/1/27(3) | 1,730 | 1,792 | |
Square, Inc. | |||
144A 0.000%, 5/1/26(3) | 2,035 | 2,311 | |
144A 0.250%, 11/1/27(3) | 3,990 | 4,698 | |
17,577 | |||
Computers—0.4% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,770 | 3,040 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,890 | 3,153 | |
6,193 | |||
Diversified Financial Services—0.2% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(3) | 2,100 | 2,119 |
Par Value | Value | ||
Diversified Financial Services—continued | |||
LendingTree, Inc. 0.500%, 7/15/25 | $1,925 | $ 1,734 | |
3,853 | |||
Energy-Alternate Sources—0.4% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(3) | 1,655 | 1,661 | |
144A 0.000%, 3/1/28(3) | 2,485 | 2,512 | |
SolarEdge Technologies, Inc. 144A 0.000%, 9/15/25(3) | 1,595 | 1,906 | |
Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(3) | 595 | 753 | |
6,832 | |||
Entertainment—0.4% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(3) | 3,345 | 2,932 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 1,520 | 1,628 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(3) | 2,540 | 2,549 | |
7,109 | |||
Equity Real Estate Investment Trusts (REITs)—0.2% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 2,255 | 2,513 | |
Healthcare-Products—0.8% | |||
Envista Holdings Corp. 2.375%, 6/1/25 | 1,270 | 2,698 | |
Insulet Corp. 0.375%, 9/1/26 | 2,560 | 3,535 | |
Novocure Ltd. 144A 0.000%, 11/1/25(3) | 1,580 | 1,874 | |
Omnicell, Inc. 144A 0.250%, 9/15/25(3) | 1,270 | 1,999 |
Par Value | Value | ||
Healthcare-Products—continued | |||
Repligen Corp. 0.375%, 7/15/24 | $1,380 | $ 2,978 | |
13,084 | |||
Healthcare-Services—0.6% | |||
Anthem, Inc. 2.750%, 10/15/42 | 490 | 2,659 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(3) | 2,970 | 3,146 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 3,320 | 3,540 | |
9,345 | |||
Internet—4.7% | |||
21Vianet Group, Inc. 144A 0.000%, 2/1/26(3) | 2,090 | 1,682 | |
Airbnb, Inc. 144A 0.000%, 3/15/26(3) | 4,890 | 4,582 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,375 | 1,942 | |
Etsy, Inc. 144A 0.125%, 9/1/27(3) | 3,420 | 4,104 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(3) | 3,620 | 3,863 | |
FireEye, Inc. 0.875%, 6/1/24 | 1,830 | 2,062 | |
Magnite, Inc. 144A 0.250%, 3/15/26(3) | 2,140 | 1,840 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(3) | 3,490 | 6,627 | |
Okta, Inc. 0.375%, 6/15/26 | 2,750 | 3,458 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 4,905 | 7,039 | |
Pinduoduo, Inc. 0.000%, 12/1/25 | 1,760 | 1,624 | |
RealReal, Inc. (The) 144A 1.000%, 3/1/28(3) | 3,935 | 3,447 | |
Shopify, Inc. 0.125%, 11/1/25 | 2,355 | 3,096 |
Par Value | Value | ||
Internet—continued | |||
Snap, Inc. 144A 0.000%, 5/1/27(3) | $5,355 | $ 6,147 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(3) | 2,875 | 2,590 | |
Twitter, Inc. 144A 0.000%, 3/15/26(3) | 4,950 | 4,755 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(3) | 4,060 | 3,960 | |
Wayfair, Inc. 144A 0.625%, 10/1/25(3) | 3,115 | 3,022 | |
Wix.com Ltd. 144A 0.000%, 8/15/25(3) | 2,730 | 2,974 | |
Zendesk, Inc. 0.625%, 6/15/25 | 2,440 | 3,326 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,425 | 2,541 | |
74,681 | |||
Leisure Time—0.5% | |||
NCL Corp., Ltd. | |||
6.000%, 5/15/24 | 605 | 1,182 | |
144A 5.375%, 8/1/25(3) | 1,055 | 1,671 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 2,490 | 3,193 | |
144A 2.875%, 11/15/23(3) | 1,625 | 1,933 | |
7,979 | |||
Media—0.8% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 1,975 | 2,024 | |
144A 0.000%, 12/15/25(3) | 2,405 | 2,813 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(3) | 1,835 | 1,970 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 1,935 | 2,571 | |
144A 0.500%, 12/1/50(3) | 2,060 | 2,261 |
Par Value | Value | ||
Media—continued | |||
Liberty Media Corp-Liberty Formula One 1.000%, 1/30/23 | $ 660 | $ 870 | |
12,509 | |||
Mining—0.1% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(3) | 1,505 | 1,628 | |
Oil, Gas & Consumable Fuels—0.5% | |||
EQT Corp. 1.750%, 5/1/26 | 2,100 | 3,102 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 3,195 | 4,693 | |
7,795 | |||
Pharmaceuticals—0.5% | |||
Dexcom, Inc. | |||
0.750%, 12/1/23 | 455 | 1,423 | |
0.250%, 11/15/25 | 3,035 | 3,441 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 3,010 | 3,898 | |
8,762 | |||
Pipelines—0.3% | |||
Cheniere Energy, Inc. 4.250%, 3/15/45 | 5,160 | 4,274 | |
Real Estate—0.1% | |||
Redfin Corp. 144A 0.000%, 10/15/25(3) | 1,520 | 1,640 | |
Retail—0.7% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 2,355 | 3,848 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 1,030 | 3,163 | |
RH 0.000%, 6/15/23 | 725 | 2,475 |
Par Value | Value | ||
Retail—continued | |||
Vroom, Inc. 144A 0.750%, 7/1/26(3) | $2,175 | $ 2,113 | |
11,599 | |||
Semiconductors—0.7% | |||
Cree, Inc. 0.875%, 9/1/23 | 1,235 | 1,960 | |
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(3) | 865 | 894 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 7,081 | 7,749 | |
10,603 | |||
Software—3.1% | |||
Akamai Technologies, Inc. | |||
0.125%, 5/1/25 | 2,355 | 3,145 | |
0.375%, 9/1/27 | 595 | 700 | |
Alteryx, Inc. 0.500%, 8/1/24 | 2,995 | 2,832 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(3) | 2,415 | 2,777 | |
144A 0.375%, 7/1/27(3) | 645 | 646 | |
Bill.com Holdings, Inc. 144A 0.000%, 12/1/25(3) | 2,480 | 3,599 | |
Cloudflare, Inc. 0.750%, 5/15/25 | 875 | 2,781 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 2,455 | 2,623 | |
Datadog, Inc. 0.125%, 6/15/25 | 2,085 | 2,888 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(3) | 2,325 | 2,477 | |
Fastly, Inc. 144A 0.000%, 3/15/26(3) | 2,235 | 1,959 | |
Five9, Inc. 0.500%, 6/1/25 | 1,560 | 2,513 |
Par Value | Value | ||
Software—continued | |||
HubSpot, Inc. 0.375%, 6/1/25 | $1,450 | $ 3,113 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(3) | 2,285 | 1,693 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,850 | 3,332 | |
RingCentral, Inc. | |||
0.000%, 3/1/25 | 2,805 | 2,959 | |
144A 0.000%, 3/15/26(3) | 630 | 615 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 770 | 888 | |
1.125%, 6/15/27 | 3,620 | 3,521 | |
Workday, Inc. 0.250%, 10/1/22 | 1,140 | 1,845 | |
Zynga, Inc. | |||
0.250%, 6/1/24 | 2,000 | 2,656 | |
144A 0.000%, 12/15/26(3) | 975 | 1,020 | |
50,582 | |||
Telecommunications—0.2% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | 2,040 | 2,753 | |
Total Convertible Bonds and Notes (Identified Cost $277,108) | 299,042 | ||
Total Long-Term Investments—97.5% (Identified Cost $1,288,242) | 1,566,455 |
Shares | Value | ||
Short-Term Investment—2.4% | |||
Money Market Mutual Fund—2.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(6) | 38,234,219 | $ 38,234 | |
Total Short-Term Investment (Identified Cost $38,234) | 38,234 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.9% (Identified Cost $1,326,476) | 1,604,689 | ||
Written Options—(0.0)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $442) | (590) | ||
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.9% (Identified Cost $1,326,034) | $1,604,099 | ||
Other assets and liabilities, net—0.1% | 2,065 | ||
NET ASSETS—100.0% | $1,606,164 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
NA | National Association |
PJSC | Public Joint Stock Company |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, these securities amounted to a value of $149,119 or 9.3% of net assets. |
(4) | All or a portion of the security is segregated as collateral for written options. |
(5) | Non-income producing. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Open Written Options Contracts as of July 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Activision Blizzard, Inc. | 100 | $ 1,000 | $ 100.00 | 08/20/21 | $ (2) |
Activision Blizzard, Inc. | 200 | 2,200 | 110.00 | 08/20/21 | (1) |
Adobe, Inc. | 56 | 3,752 | 670.00 | 08/20/21 | (4) |
Advanced Micro Devices, Inc. | 110 | 1,100 | 100.00 | 08/20/21 | (85) |
Advanced Micro Devices, Inc. | 545 | 5,995 | 110.00 | 08/20/21 | (140) |
Alphabet, Inc. | 9 | 2,520 | 2,800.00 | 08/20/21 | (10) |
Alphabet, Inc. | 15 | 4,425 | 2,950.00 | 08/20/21 | (3) |
Amazon.com, Inc. | 10 | 4,000 | 4,000.00 | 08/20/21 | (2) |
Open Written Options Contracts as of July 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Amazon.com, Inc. | 20 | $ 8,400 | $4,200.00 | 08/20/21 | $ (3) |
American Tower Corp. | 170 | 5,270 | 310.00 | 08/20/21 | (2) |
Apple, Inc. | 250 | 4,125 | 165.00 | 08/20/21 | (3) |
Apple, Inc. | 250 | 4,000 | 160.00 | 08/27/21 | (9) |
Bank of America Corp. | 810 | 3,402 | 42.00 | 08/20/21 | (7) |
Broadcom, Inc. | 47 | 2,444 | 520.00 | 08/20/21 | (4) |
Broadcom, Inc. | 118 | 6,490 | 550.00 | 08/20/21 | (2) |
Cadence Design Systems, Inc. | 109 | 1,799 | 165.00 | 08/20/21 | (1) |
Chipotle Mexican Grill, Inc. | 6 | 1,050 | 1,750.00 | 08/20/21 | (72) |
Citigroup, Inc. | 257 | 1,863 | 72.50 | 08/20/21 | (7) |
Global Payments, Inc. | 250 | 5,250 | 210.00 | 08/20/21 | (52) |
Home Depot, Inc. (The) | 100 | 3,500 | 350.00 | 08/20/21 | (9) |
Home Depot, Inc. (The) | 200 | 7,300 | 365.00 | 08/20/21 | (6) |
JPMorgan Chase & Co. | 282 | 4,794 | 170.00 | 08/20/21 | (2) |
Lockheed Martin Corp. | 100 | 4,150 | 415.00 | 08/20/21 | (3) |
Lockheed Martin Corp. | 160 | 6,880 | 430.00 | 08/20/21 | (—) (3) |
Lululemon Athletica, Inc. | 32 | 1,344 | 420.00 | 08/20/21 | (10) |
Mastercard, Inc. | 47 | 2,021 | 430.00 | 08/20/21 | (2) |
Mcdonald’s Corp. | 95 | 2,470 | 260.00 | 08/20/21 | (2) |
Merck & Co., Inc. | 585 | 4,972 | 85.00 | 08/20/21 | (1) |
Microsoft Corp. | 178 | 5,340 | 300.00 | 08/20/21 | (8) |
Microsoft Corp. | 178 | 5,785 | 325.00 | 08/20/21 | (2) |
Microsoft Corp. | 178 | 5,785 | 325.00 | 09/17/21 | (6) |
Monster Beverage Corp. | 51 | 510 | 100.00 | 08/20/21 | (4) |
Morgan Stanley. | 193 | 1,930 | 100.00 | 08/20/21 | (15) |
Nasdaq, Inc. | 150 | 2,925 | 195.00 | 08/20/21 | (11) |
Nextera Energy, Inc. | 724 | 6,154 | 85.00 | 08/20/21 | (5) |
Nike, Inc. | 93 | 1,674 | 180.00 | 08/20/21 | (2) |
Nvidia Corp. | 312 | 26,988 | 865.00 | 08/20/21 | (57) |
Starbucks Corp. | 86 | 1,118 | 130.00 | 08/20/21 | (2) |
Synopsys, Inc. | 28 | 868 | 310.00 | 08/20/21 | (1) |
Teradyne, Inc. | 95 | 1,330 | 140.00 | 08/20/21 | (5) |
Teradyne, Inc. | 190 | 2,850 | 150.00 | 08/20/21 | (5) |
Thermo Fisher Scientific, Inc. | 93 | 5,394 | 580.00 | 08/20/21 | (10) |
Veeva Systems, Inc. | 31 | 1,085 | 350.00 | 08/20/21 | (9) |
Open Written Options Contracts as of July 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Visa, Inc. | 98 | $ 2,597 | $ 265.00 | 08/20/21 | $ (4) |
Total Written Options | $(590) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Exchange-traded options |
(3) | Amount is less than $500. |
Total Value at July 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 67 | $ — | $ — | $67 (1) | |||
Convertible Bonds and Notes | 299,042 | — | 299,042 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,194,273 | 1,194,273 | — | — | |||
Convertible Preferred Stocks | 73,000 | 64,220 | 8,780 | — (1) | |||
Warrants | 73 | 73 | — | — | |||
Money Market Mutual Fund | 38,234 | 38,234 | — | — | |||
Total Investments, before Written Options | 1,604,689 | 1,296,800 | 307,822 | 67 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (590) | (586) | (4) | — | |||
Total Investments, Net of Written Options | $1,604,099 | $1,296,214 | $307,818 | $67 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
AllianzGI Diversified Income & Convertible Fund | AllianzGI Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 481,912 | $ 938,095 | $ 1,604,689 | ||
Investment in affiliates at value(2) | 2,468 | — | — | ||
Cash | 539 | 113 | 512 | ||
Deposits with prime broker | — | 11 | — | ||
Receivables | |||||
Investment securities sold | 3,084 | 1,995 | 2,951 | ||
Dividends and interest | 1,373 | 673 | 942 | ||
Tax reclaims | — | — | 187 | ||
Prepaid Trustees’ retainer | 14 | 34 | 59 | ||
Prepaid expenses and other assets (Note 4) | 61 | 150 | 327 | ||
Total assets | 489,451 | 941,071 | 1,609,667 | ||
Liabilities | |||||
Loan Payable (Note 8 and 9) | 75,000 | — | — | ||
Mandatory redeemable preferred shares (Note 8) | 30,000 | — | — | ||
Written options at value (Note 3)(3) | 68 | 351 | 590 | ||
Payables | |||||
Investment securities purchased | 5,883 | 10,311 | 1,117 | ||
Dividend distributions | 1,729 | — | — | ||
Loan interest payable | 840 | — | — | ||
Investment advisory fees (Note 4) | 391 | 717 | 1,093 | ||
Dividend on mandatory redeemable preferred shares (Note 8) | 110 | — | — | ||
Administration, accounting and custody fees | 109 | 160 | 252 | ||
Professional fees | 64 | 44 | 60 | ||
Trustee deferred compensation plan (Note 4) | 60 | 150 | 327 | ||
Other accrued expenses | 28 | 36 | 64 | ||
Total liabilities | 114,282 | 11,769 | 3,503 | ||
Net Assets Applicable to Common Shareholders | $ 375,169 | $ 929,302 | $ 1,606,164 |
AllianzGI Diversified Income & Convertible Fund | AllianzGI Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Net Assets Applicable to Common Shareholders: | |||||
Common shares ($0.00001 par value, unlimited authorization) | $ —(a) | $ —(a) | $ 1 | ||
Capital paid in on shares of beneficial interest | 252,170 | 671,080 | 1,276,956 | ||
Total distributable earnings (accumulated losses) | 122,999 | 258,222 | 329,207 | ||
Net Assets Applicable to Common Shareholders | $ 375,169 | $ 929,302 | $ 1,606,164 | ||
Common Shares Issued and Outstanding | 10,353,920 | 27,708,965 | 94,801,581 | ||
Net Asset Value Per Common Share(b) | $ 36.23 | $ 33.54 | $ 16.94 | ||
(1)Investment in securities at cost | $ 417,860 | $ 754,782 | $ 1,326,476 | ||
(2) Investment in affiliates at cost | $ 3,472 | $ — | $ — | ||
(3)Written options premiums received | $ 56 | $ 285 | $ 442 |
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
AllianzGI Diversified Income & Convertible Fund | AllianzGI Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Investment Income | |||||
Interest | $ 2,428 | $ 170 | $ 580 | ||
Dividends | 1,258 | 3,292 | 9,062 | ||
Foreign taxes withheld | (2) | (3) | (30) | ||
Total investment income | 3,684 | 3,459 | 9,612 | ||
Expenses | |||||
Investment advisory fees | 2,348 | 4,405 | 6,791 | ||
Administration, accounting and custody fees | 303 | 524 | 883 | ||
Professional fees | 74 | 59 | 83 | ||
Trustees’ fees and expenses | 42 | 99 | 167 | ||
Printing fees and expenses | 22 | 39 | 75 | ||
Transfer agent fees and expenses | 16 | 13 | 12 | ||
Miscellaneous expenses | 22 | 20 | 33 | ||
Total expenses before interest expense | 2,827 | 5,159 | 8,044 | ||
Dividends on mandatory redeemable preferred shares (Note 8) | 644 | — | — | ||
Loan interest (Note 8 and 9) | 1,112 | — | — | ||
Total expenses after interest expense | 4,583 | 5,159 | 8,044 | ||
Less expenses reimbursed and/or waived by investment adviser | (156) | (445) | (798) | ||
Net expenses | 4,427 | 4,714 | 7,246 | ||
Net investment income (loss) | (743) | (1,255) | 2,366 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 37,464 | 71,626 | 95,391 | ||
Written options | 226 | 1,146 | (415) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (14,337) | 22,567 | 110,037 | ||
Investment in affiliates | (933) | — | — | ||
Written options | (32) | (172) | (220) | ||
Net realized and unrealized gain (loss) on investments | 22,388 | 95,167 | 204,793 | ||
Net increase (decrease) in net assets resulting from operations | $ 21,645 | $93,912 | $207,159 |
Six Months Ended July 31, 2021 (Unaudited) | Year Ended January 31, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ (743) | $ 142 | |
Net realized gain (loss) | 37,690 | 51,971 | |
Net change in unrealized appreciation (depreciation) | (15,302) | 79,571 | |
Increase (decrease) in net assets resulting from operations | 21,645 | 131,684 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (10,375) (1) | (24,644) | |
Dividends and Distributions to Shareholders | (10,375) | (24,644) | |
From Capital Share Transactions | |||
Reinvestment of distributions resulting in the issuance of common stock ( 0 and 5,358 shares, respectively) | — | 135 | |
Increase (decrease) in net assets from capital transactions | — | 135 | |
Net increase (decrease) in net assets | 11,270 | 107,175 | |
Net Assets | |||
Beginning of period | 363,899 | 256,724 | |
End of period | $375,169 | $363,899 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
Six Months Ended July 31, 2021 (Unaudited) | Year Ended January 31, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ (1,255) | $ 1,732 | |
Net realized gain (loss) | 72,772 | 52,200 | |
Net change in unrealized appreciation (depreciation) | 22,395 | 154,985 | |
Increase (decrease) in net assets resulting from operations | 93,912 | 208,917 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (21,059) (1) | (42,118) | |
Dividends and Distributions to Shareholders | (21,059) | (42,118) | |
Net increase (decrease) in net assets | 72,853 | 166,799 | |
Net Assets | |||
Beginning of period | 856,449 | 689,650 | |
End of period | $929,302 | $856,449 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
Six Months Ended July 31, 2021 (Unaudited) | Year Ended January 31, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ 2,366 | $ 12,211 | |
Net realized gain (loss) | 94,976 | 44,609 | |
Net change in unrealized appreciation (depreciation) | 109,817 | 110,352 | |
Increase (decrease) in net assets resulting from operations | 207,159 | 167,172 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (42,661) (1) | (58,345) | |
Return of capital | — | (26,976) | |
Dividends and Distributions to Shareholders | (42,661) | (85,321) | |
Net increase (decrease) in net assets | 164,498 | 81,851 | |
Net Assets | |||
Beginning of period | 1,441,666 | 1,359,815 | |
End of period | $1,606,164 | $1,441,666 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
Increase (Decrease) in cash | |
Cash flows provided by (used for) operating activities: | |
Net increase (decrease) in net assets resulting from operations | $ 21,645 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |
Proceeds from sales and paydowns of long-term investments | 312,149 |
(Increase) Decrease in investment securities sold receivable | (194) |
Purchases of long-term investments | (298,499) |
Increase (Decrease) in investment securities purchased payable | (215) |
Net (purchases) or sales of short-term investments | (1,962) |
Net purchases or (sales) in written options | 190 |
Net change in unrealized (appreciation)/depreciation on investments | 14,369 |
Net change in unrealized (appreciation)/depreciation on investment in affiliates | 933 |
Net realized (gain)/loss on investments | (37,690) |
Amortization of premium and accretion of discounts on investments | 52 |
Proceeds from litigation settlements | 24 |
(Increase) Decrease in dividends and interest receivable | 71 |
(Increase) Decrease in prepaid expenses and other assets | 17 |
(Increase) Decrease in prepaid Trustees’ retainer | (14) |
Increase (Decrease) in loan interest payable | (30) |
Increase (Decrease) in affiliated expenses payable | 133 |
Increase (Decrease) in non-affiliated expenses payable | (207) |
Increase (Decrease) in dividend payable on mandatory redeemable preferred shares | 14 |
Cash provided by (used for) operating activities | 10,786 |
Cash provided by (used for) financing activities: | |
Cash distributions paid to shareholders | (10,375) |
Cash provided by (used for) financing activities | (10,375) |
Net increase (decrease) in cash | 411 |
Cash at beginning of period | 128 |
Cash at end of period | $ 539 |
Supplemental cash flow information: | |
Cash paid during the period for interest expense on loan payable | $ 1,142 |
Cash paid during the period for dividends to mandatory redeemable preferred shares | 630 |
Six Months Ended July 31, 2021 (Unaudited) | Year Ended January 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 35.15 | $ 24.81 | $ 22.05 | $ 23.88 | $ 21.59 | $ 18.91 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | (0.07) | 0.01 | 0.11 | 0.16 | 0.29 | 0.39 | |||||
Net realized and unrealized gain (loss) | 2.15 | 12.71 | 4.65 | 0.01 | 4.00 | 4.21 | |||||
Total from investment operations | 2.08 | 12.72 | 4.76 | 0.17 | 4.29 | 4.60 | |||||
Dividends and Distributions to Common Shareholders: | |||||||||||
Net investment income | (1.00) | (1.19) | (0.42) | (0.95) | (0.44) | (0.51) | |||||
Net realized gains | — | (1.19) | (1.58) | (1.05) | (1.56) | (1.49) | |||||
Total dividends and distributions to common shareholders | (1.00) | (2.38) | (2.00) | (2.00) | (2.00) | (2.00) | |||||
Common Share Transactions: | |||||||||||
Accretion to net asset value from share repurchases | — | — | — | — | — | 0.08 | |||||
Net asset value, end of period | $ 36.23 | $ 35.15 | $ 24.81(2) | $ 22.05 | $ 23.88 | $ 21.59 | |||||
Market value, end of period | $ 34.23 | $ 32.25 | $ 25.22 | $ 21.29 | $ 22.40 | $ 19.49 | |||||
Total return, net asset value(3), (4) | 6.05% | 54.28% | 22.65% | 0.77% | 21.03% | 26.02% | |||||
Total return, market value(3), (4) | 9.32% | 40.11% | 29.04% | 3.89% | 26.13% | 32.56% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses before interest expense to average net assets(5) | 1.81% | 2.03% (6) | 2.14% | 2.20% (6) | 2.26% (6) | 2.34% (6) | |||||
Ratio of total expenses after interest expense to average net assets(5) | 2.51% | 2.84% (6) | 3.32% | 3.40% (6) | 3.36% (6) | 3.48% (6) | |||||
Ratio of net investment income (loss) to average net assets(5) | (0.41)% | 0.05% (6) | 0.47% | 0.72% (6) | 1.30% (6) | 1.90% (6) | |||||
Portfolio turnover rate(3) | 89% | 128% | 120% | 105% | 154% | 196% | |||||
Net assets, end of period (000’s) | $375,169 | $363,899 | $256,724 | $227,320 | $245,382 | $221,849 | |||||
Loan payable, end of period (000’s) | $ 75,000 | $ 75,000 | $ 75,000 | $ 75,000 | $ 75,000 | $ 75,000 | |||||
Mandatory redeemable preferred shares, end of period (000’s) | $ 30,000 | $ 30,000 | $ 30,000 | $ 30,000 | $ 30,000 | $ 30,000 | |||||
Asset coverage, per $1,000 principal amount of loan payable(7) | $ 6,402 | $ 6,252 | $ 4,823 | $ 4,431 | $ 4,672 | $ 4,358 | |||||
Asset coverage ratio on total leverage (loan payable and mandatory redeemable preferred shares)(8) | 457% | 447% | 344% | 316% | 334% | 311% | |||||
Asset coverage, per $25 liquidation preference per share of mandatory redeemable preferred shares(9) | $ 114 | $ 112 | $ 86 | $ 79 | $ 83 | $ 78 | |||||
(1) | Calculated using average shares outstanding. |
(2) | Payment from affiliate increased the net asset value by less than $0.01. |
(3) | Not annualized for periods less than one year. |
(4) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(5) | Annualized for periods less than one year. |
(6) | Inclusive of excise tax expense of 0.05%, 0.06%, 0.07% and 0.01% for the years ended January 31, 2021, January 31, 2019, January 31, 2018 and January 31, 2017, respectively. |
(7) | Represents value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable at the end of the period multiplied by $1,000. |
(8) | Represents value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable and mandatory redeemable preferred shares at the end of the period. |
(9) | Represents value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable and mandatory redeemable preferred shares at the end of the period multiplied by $25. |
Six Months Ended July 31, 2021 (Unaudited) | Year Ended January 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 30.91 | $ 24.89 | $ 22.53 | $ 24.51 | $ 21.54 | $ 19.90 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | (0.05) | 0.06 | 0.18 | 0.19 | 0.40 | 0.41 | |||||
Net realized and unrealized gain (loss) | 3.44 | 7.48 | 3.70 | (0.65) | 4.09 | 2.75 | |||||
Total from investment operations | 3.39 | 7.54 | 3.88 | (0.46) | 4.49 | 3.16 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.76) | (0.09) | (0.20) | (0.93) | (0.43) | (0.54) | |||||
Net realized gains | — | (1.43) | (1.32) | (0.59) | (1.09) | (0.98) | |||||
Total dividends and distributions to shareholders | (0.76) | (1.52) | (1.52) | (1.52) | (1.52) | (1.52) | |||||
Net asset value, end of period | $ 33.54 | $ 30.91 | $ 24.89(2) | $ 22.53 | $ 24.51 | $ 21.54 | |||||
Market value, end of period | $ 30.18 | $ 27.78 | $ 23.14 | $ 20.52 | $ 22.08 | $ 19.03 | |||||
Total return, net asset value(3), (4) | 11.13% | 31.78% | 17.85% | (1.87)% | 21.81% | 16.35% | |||||
Total return, market value(3), (4) | 11.52% | 28.21% | 20.83% | (0.25)% | 24.96% | 21.69% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses to average net assets(5) | 1.07% | 1.07% | 1.07% | 1.13% (6) | 1.07% | 1.08% | |||||
Ratio of total expenses to average net assets(5) | 1.17% | 1.07% | 1.07% | 1.13% (6) | 1.07% | 1.08% | |||||
Ratio of net investment income (loss) to average net assets(5) | (0.28)% | 0.24% | 0.74% | 0.83% (6) | 1.80% | 1.94% | |||||
Portfolio turnover rate(3) | 34% | 85% | 50% | 81% | 99% | 90% | |||||
Net assets, end of period (000’s) | $929,302 | $856,449 | $689,650 | $624,315 | $679,241 | $596,911 |
(1) | Calculated using average shares outstanding. |
(2) | Payment from affiliate increased the net asset value by less than $0.01. |
(3) | Not annualized for periods less than one year. |
(4) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(5) | Annualized for periods less than one year. |
(6) | Inclusive of excise tax expense of 0.07% for the year ended January 31, 2019. |
Six Months Ended July 31, 2021 (Unaudited) | Year Ended January 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 15.21 | $ 14.34 | $ 13.52 | $ 15.32 | $ 14.72 | $ 13.59 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | 0.02 | 0.13 | 0.24 | 0.27 | 0.30 | 0.35 | |||||
Net realized and unrealized gain (loss) | 2.16 | 1.64 | 1.48 | (1.17) | 1.43 | 1.98 | |||||
Total from investment operations | 2.18 | 1.77 | 1.72 | (0.90) | 1.73 | 2.33 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.45) | (0.13) | (0.26) | (0.71) | (0.30) | (0.37) | |||||
Net realized gains | — | (0.48) | (0.64) | — | — | — | |||||
Return of capital | — | (0.29) | — | (0.19) | (0.83) | (0.83) | |||||
Total dividends and distributions to shareholders | (0.45) | (0.90) | (0.90) | (0.90) | (1.13) | (1.20) | |||||
Net asset value, end of period | $ 16.94 | $ 15.21 | $ 14.34 | $ 13.52 | $ 15.32 | $ 14.72 | |||||
Market value, end of period | $ 15.21 | $ 13.28 | $ 13.09 | $ 11.90 | $ 13.52 | $ 13.03 | |||||
Total return, net asset value(2), (3) | 14.57% | 13.51% | 13.13% | (5.97)% | 12.45% | 17.62% | |||||
Total return, market value(2), (3) | 18.13% | 9.71% | 18.17% | (5.42)% | 12.92% | 24.60% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses to average net assets(4) | 0.96% | 0.96% | 0.96% | 0.95% | 0.97% | 1.01% | |||||
Ratio of total expenses to average net assets(4) | 1.07% | 0.96% | 0.96% | 0.95% | 0.97% | 1.01% | |||||
Ratio of net investment income (loss) to average net assets(4) | 0.31% | 0.94% | 1.73% | 1.87% | 2.03% | 2.42% | |||||
Portfolio turnover rate(2) | 31% | 104% | 76% | 50% | 85% | 39% | |||||
Net assets, end of period (000’s) | $1,606,164 | $1,441,666 | $1,359,815 | $1,281,712 | $1,452,585 | $1,395,116 |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(4) | Annualized for periods less than one year. |
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. |
Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Conversion premium is not amortized. | |
Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from Real Estate Investment Trusts (“REITs”) and Master Limited Partnerships (“MLPs”) investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. The Funds may be subject to excise tax based on distributions to shareholders. | |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
D. | Distributions to Shareholders |
AllianzGI Diversified Income & Convertible Fund declares distributions on a monthly basis. AllianzGI Equity & Convertible Income Fund and Dividend, Interest & Premium Strategy Fund declare distributions on a quarterly basis. Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. |
F. | Convertible Securities |
Certain Funds may invest a portion of their assets in convertible securities. Although convertible securities derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Funds’ investments in convertible securities include features which render them sensitive to price changes in their underlying securities. The value of structured/synthetic convertible securities can be affected by interest rate changes and credit risks of the issuer. Such securities may be structured in ways that limit their potential for capital appreciation, and the entire value of the security may be at risk of loss depending on the performance of the underlying equity security. Consequently, the Funds are exposed to greater downside risk than traditional convertible securities, but typically still less than that of the underlying stock. | |
G. | Payment In-Kind Securities |
The Funds may invest in payment in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment in-kind securities allow the issuer to avoid or delay the need to generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. | |
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Funds may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Funds to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Fund records when-issued and forward commitment securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
I. | Leveraged Loans |
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of |
both the borrower and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
J. | Repurchase Agreements |
Certain Funds are parties to Master Repurchase Agreements (“Master Repo Agreements”) with select counterparties. The Master Repo Agreements include provisions for initiation of repurchase transactions, income payments, events of default, and maintenance of collateral. | |
The Funds enter into transactions, under the Master Repo Agreements, with their custodian bank or securities brokerage firms whereby they purchase securities under agreements (i.e., repurchase agreements) to resell such securities at an agreed upon price and date. The Funds, through their custodian, take possession of securities collateralizing the repurchase agreement. Such agreements are carried at the contract amount in the financial statements, which is considered to represent fair value. The collateral that is pledged (i.e., the securities received by the Funds), which consists primarily of U.S. government obligations and asset-backed securities, is held by the custodian bank for the benefit of the Funds until the maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Funds require that the market value of the collateral, including accrued interest thereon, be sufficient in the event of default by the counterparty. If the counterparty defaults under the Master Repo Agreements and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. As of July 31, 2021, the Funds did not hold any repurchase agreements. | |
K. | Warrants |
The Funds may receive warrants. Warrants are securities that are usually issued together with a debt security or preferred stock and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants may be freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. |
Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. |
A. | Options Contracts |
The Funds may write (sell) put and call options on securities and indices to earn premiums, for hedging purposes, risk management purposes or otherwise as part of their investment strategies. An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. | |
When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Written options are reported as a liability within “Written options at value.” Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Fund realizes a gain to the extent of the premium received. If a written call option is exercised, the premium received is recorded as an adjustment to the proceeds from the sale. If a written put option is exercised, the premium reduces the cost basis of the security. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or loss. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the referenced security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the referenced security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. | |
During the six months ended July 31, 2021, the AllianzGI Diversified Income & Convertible Fund, AllianzGI Equity & Convertible Income Fund, and Dividend, Interest & Premium Strategy Fund invested in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. | |
The following is a summary of derivative instruments categorized by primary risk exposure, presented in the financial statements as of July 31, 2021: | |
The effect of derivatives on the Statements of Assets and Liabilities at July 31, 2021: |
Primary Risk | AllianzGI Diversified Income & Convertible Fund | AllianzGI Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Liability Derivatives | ||||||
Equity contracts | Written options at value | $(68) | $(351) | $(590) | ||
Total | $(68) | $(351) | $(590) |
Primary Risk | AllianzGI Diversified Income & Convertible Fund | AllianzGI Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||||||
Net Realized Gain (Loss) From | ||||||||||
Equity contracts | Written options | $ 226 | $1,146 | $ (415) | ||||||
Total | $ 226 | $1,146 | $ (415) | |||||||
Net Change in Unrealized Appreciation/Depreciation on | ||||||||||
Equity contracts | Written options | $ (32) | $ (172) | $ (220) | ||||||
Total | $ (32) | $ (172) | $ (220) |
AllianzGI Diversified Income & Convertible Fund | AllianzGI Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Written Options | $60 | $312 | $446 |
A. | Investment Adviser |
Effective February 1, 2021, following shareholder approval of new investment advisory agreements, Virtus Investment Advisers, Inc. (the “VIA” or “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners (“Virtus”), became the Funds’ investment adviser. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. Prior to February 1, 2021, AllianzGI served as the investment adviser to the Funds. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily total managed assets of each Fund: |
Fund | Advisory Fee | |||
AllianzGI Diversified Income & Convertible Fund | 1.00% | |||
AllianzGI Equity & Convertible Income Fund | 1.00 | |||
Dividend, Interest & Premium Strategy Fund | 0.90 |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the period is as follows: |
Fund | Subadviser | |
AllianzGI Diversified Income & Convertible Fund | AllianzGI U.S. | |
AllianzGI Equity & Convertible Income Fund | AllianzGI U.S. | |
Dividend, Interest & Premium Strategy Fund (Equity and Options Portfolios) | NFJ * | |
Dividend, Interest & Premium Strategy Fund (Fixed Income Portfolio) | AllianzGI U.S. |
* | NFJ Investment Group, LLC (“NFJ”), which is a newly formed indirect, wholly-owned subsidiary of Virtus, the portfolio management team of which was previously employed by AllianzGI U.S. |
C. | Expense Limitations |
Effective February 1, 2021, concurrent with VIA becoming investment adviser of the Funds, the Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exclusions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through February 1, 2023. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The reimbursements are accrued daily and received monthly. |
Fund | Expense Limitation | |
AllianzGI Diversified Income & Convertible Fund | 0.17 % | |
AllianzGI Equity & Convertible Income Fund | 0.07 | |
Dividend, Interest & Premium Strategy Fund | 0.06 |
D. | Expense Recapture |
Effective February 1, 2021, Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending January 31: |
Expiration | ||
Fund | 2024 | |
AllianzGI Diversified Income & Convertible Fund | $ 156 | |
AllianzGI Equity & Convertible Income Fund | 445 | |
Dividend, Interest & Premium Strategy Fund | 798 |
E. | Administration Services |
Effective February 1, 2021, Virtus Fund Services, LLC (“VFS”), an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds. For the services provided by the administrator under the Administration Agreement, the Funds pay the administrator an asset-based fee calculated on each Fund’s average daily Managed Assets. This fee is calculated daily and paid monthly. | |
For the six months (“period”) ended July 31, 2021, the Funds incurred administration fees totaling $1,430 which are included in the Statements of Operations within the line item “Administration, accounting and custody fees.” | |
F. | Trustees’ Fees |
For the period ended July 31, 2021, the Funds incurred Trustees’ fees totaling $308 which are included in the Statements of Operations within the line item “Trustees’ fees and expenses” | |
G. | Investments with Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended July 31, 2021, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
Outside of Rule 17a-7 transactions, other investments with affiliated issuers are separately reported in this footnote. An affiliated issuer includes any company in which the Fund held 5% or more of a company’s outstanding voting shares at any point during the period, as well as other circumstances where an investment adviser or subadviser to the Fund is deemed to exercise, directly or indirectly, a certain level of control over the company. A summary of the AllianzGI Diversified Income & Convertible Fund’s total |
long-term and short-term purchases and sales of the securities of affiliated issuers during the period ended July 31, 2021, is as follows: |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities | Value, end of period | Shares | ||||||||||||||
AllianzGI Diversified Income & Convertible Fund | ||||||||||||||||||||
Common Stocks—0.3% | ||||||||||||||||||||
CCF Holdings LLC(1),(2) | $ — | $1,919 | $— | $— | $ (1,211) | $ 708 | 1,026,972 | |||||||||||||
CCF Holdings LLC(1),(2) | — | — | — | — | 152 | 152 | 219,990 | |||||||||||||
LiveStyle, Inc.(1),(2),(3),(4) | — (5) | — | — | — | — (5) | — (5) | 13,574 | |||||||||||||
$ —(5) | $ — | $— | $— | $ (1,059) | $ 860 | |||||||||||||||
Preferred Stocks—0.3% | ||||||||||||||||||||
LiveStyle, Inc. Series A(1),(2),(3),(4) | $ 79 | $ — | $— | $— | $ 5 | $ 84 | 532 | |||||||||||||
LiveStyle, Inc. Series B(1),(2),(3),(4) | 1,029 | — | — | — | 121 | 1,150 | 11,500 | |||||||||||||
$1,108 | $ — | $— | $— | $ 126 | $1,234 | |||||||||||||||
Leveraged Loans—0.1% | ||||||||||||||||||||
Music Technology Holdings LLC PIK(1),(3),(6),(7) | $ 368 | $ 6(7) | $— | $— | $ — | $ 374 | 374 (8) | |||||||||||||
Total | $1,476 | $1,925 | $— | $— | $ (933) | $2,468 |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | 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. and its subsidiary Music Technology Holdings LLC represents 0.43% of net assets. |
(4) | Security is restricted from resale. |
(5) | Amount is less than $500. |
(6) | Security is fixed rate. |
(7) | 100% of the income received was in PIK. |
(8) | Value shown as par value. |
H. | Trustee Deferred Compensation Plan |
The Trustees do not currently receive any pension or retirement benefits from the Funds. In calendar year 2018 and certain prior periods, the Funds maintained a deferred compensation plan pursuant to which each Independent Trustee had the opportunity to elect not to receive all or a portion of his or her fees from the Fund on a current basis, but instead to receive in a subsequent period chosen by the Independent Trustee an amount equal to the value of such compensation if such compensation had been invested in one or more series of Virtus Investment Trust (formerly known as Allianz Funds) and Virtus Strategy Trust (formerly known as Allianz Funds Multi-Strategy Trust) selected by the Independent Trustees from and after the normal payment dates for such compensation. The deferred compensation program was closed to new deferrals effective January 1, 2019, and all Trustee fees earned with respect to service in calendar years 2019 and 2020 were paid in cash, on a current basis. The Funds still have obligations with respect to Independent Trustee fees deferred in 2018 and in prior periods, and will continue to have such obligations until all deferred Trustee fees are paid out pursuant to the terms of the deferred compensation plan. | |
Effective March 2021, each Fund provides a new deferred compensation plan (“New Plan”) for its Trustees who receive compensation from the Funds. Under the New Plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Funds, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Prepaid Expenses and Other Assets” in the Statements of Assets and Liabilities for the period ended July 31, 2021. |
Purchases | Sales | ||
AllianzGI Diversified Income & Convertible Fund | $298,499 | $312,149 | |
AllianzGI Equity & Convertible Income Fund | 301,252 | 291,226 | |
Dividend, Interest & Premium Strategy Fund | 450,919 | 463,484 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
AllianzGI Diversified Income & Convertible Fund | $ 422,009 | $ 71,435 | $ (9,064) | $ 62,371 | ||||
AllianzGI Diversified Income & Convertible Fund (Written Options) | (56) | 23 | (35) | (12) | ||||
AllianzGI Equity & Convertible Income Fund | 755,373 | 197,787 | (15,065) | 182,722 | ||||
AllianzGI Equity & Convertible Income Fund (Written Options) | (285) | 120 | (186) | (66) | ||||
Dividend, Interest & Premium Strategy Fund | 1,326,332 | 305,610 | (27,253) | 278,357 | ||||
Dividend, Interest & Premium Strategy Fund (Written Options) | (442) | 181 | (329) | (148) |
Fund | Short-Term | Long-Term | |||
AllianzGI Equity & Convertible Income Fund | $— | $5,841 |
Mandatory Redemption Date | Annual Dividend Rate | Aggregate Liquidation Preference | Estimated Fair Value | ||||
October 2, 2025 | 4.34% | $30,000 | $30,000 |
Maturity Date | Interest Rate | Notional/ Carrying Amount | Estimated Fair Value | ||||
November 22, 2029 | 3.94% | $50,000 | $50,000 |
Outstanding Borrowings | Interest Rate | |
$25,000 | 1.05% |
Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | ||||
LiveStyle, Inc. | 5/1/2016—11/30/2016 | $ — | $ —(1) | 0.0% | ||||
LiveStyle, Inc. Series A | 2/3/2016—11/30/2016 | 52 | 84 | 0.0 | ||||
LiveStyle, Inc. Series B | 2/16/2016—12/1/2016 | 1,128 | 1,150 | 0.3 |
Virtus Dividend, Interest & Premium Strategy Fund
Virtus AllianzGI Equity & Convertible Income Fund
Election of Trustee | Votes For | Votes Withheld | ||
Debora A. DeCotis | 9,752,224 | 305,773 | ||
George R. Aylward* | 9,674,803 | 383,194 | ||
Philip R. McLoughlin | 9,622,728 | 435,269 | ||
Sarah E. Cogan | 1,200,000 | 0 |
Election of Trustees | Votes For | Votes Withheld | ||
Hans W. Kertess | 72,853,318 | 13,553,344 | ||
James S. MacLeod | 73,034,223 | 13,372,439 | ||
William B. Ogden, IV | 72,909,839 | 13,496,823 | ||
George R. Aylward* | 83,688,283 | 2,718,379 | ||
Philip R. McLoughlin | 83,660,170 | 2,746,492 |
Election of Trustees | Votes For | Votes Withheld | ||
F. Ford Drummond | 22,325,145 | 1,842,399 | ||
James S. MacLeod | 22,336,585 | 1,830,959 | ||
Philip R. McLoughlin | 22,314,731 | 1,852,813 | ||
George R. Aylward* | 22,361,743 | 1,805,801 |
Shareholder Services | 1-800-254-5197 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-254-5197.
please contact us at 1-800-254-5197 or closedendfunds@virtus.com, or visit Virtus.com.
8073 | 07-21 |
Item 2. | Code of Ethics. |
Response not required for semiannual report.
Item 3. | Audit Committee Financial Expert. |
Response not required for semiannual report.
Item 4. | Principal Accountant Fees and Services. |
Response not required for semiannual report.
Item 5. | Audit Committee of Listed Registrants. |
Response not required for semiannual report.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Response not required for semiannual report.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
(a) | Response not required for semiannual report. |
(b) | There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR. |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, 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))), as amended are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
(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 most recent six months of the period covered by this report that materially affected, or is reasonably likely to affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Exhibit 99.302 Cert.—Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Exhibit 99.906 Cert.—Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
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.
Virtus AllianzGI Diversified Income & Convertible Fund (formerly known as AllianzGI Diversified Income & Convertible Fund)
By: | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer (principal executive officer) |
Date: 10/6/21
By: | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer (principal financial officer) |
Date: 10/6/21
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/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer (principal executive officer) |
Date: 10/6/21
By: | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer (principal financial officer) |
Date: 10/6/21
* | Print the name and title of each signing officer under his or her signature. |