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 811-23241
Virtus AllianzGI Convertible & Income 2024 Target Term 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: February 28
Date of reporting period: August 31, 2021
Item 1. | Reports to Stockholders. |
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund |
Virtus AllianzGI Convertible & Income 2024 Target Term Fund |
Virtus AllianzGI Convertible & Income Fund |
Virtus AllianzGI Convertible & Income Fund II |
1 | |
Manager’s Discussion of Fund Performance: | |
2 | |
5 | |
8 | |
11 | |
14 | |
16 | |
Schedules of Investments: | |
19 | |
25 | |
36 | |
50 | |
64 | |
68 | |
70 | |
74 | |
75 | |
82 | |
104 |
I am pleased to present this semiannual report, which reviews the performance of your Fund for the six months ended August 31, 2021. | ||
Continued strong monetary and fiscal support led global markets generally higher during the period, despite inflation fears and the resurgence of COVID-19, specifically the Delta variant. Many indices posted positive returns for the six months. U.S. large-capitalization stocks led the way, returning 19.52%, as measured by the S&P 500® Index, versus a more modest gain of 3.81% for small-cap stocks, as measured by the Russell 2000® Index. Within international equities, developed markets, as measured by the MSCI EAFE® Index (net), returned 10.31%, while emerging markets posted a slight loss of 0.98%, as measured by the MSCI Emerging Markets Index (net). | ||
In fixed income markets, the yield on the 10-year Treasury was 1.30% on August 31, 2021, down from 1.44% on February 28, 2021. The broader U.S. fixed income market, as represented by the Bloomberg U.S. Aggregate Bond Index, returned 1.49%. Non-investment grade bonds were up 3.82% for the period, as measured by the Bloomberg U.S. Corporate High Yield Bond Index. (Please note that effective August 24, the names of the indices were changed from the Bloomberg Barclays U.S. Aggregate Bond Index and Bloomberg Barclays U.S. Corporate High Yield Bond Index, respectively.) |
President and Chief Executive Officer, Virtus Closed-End Funds
Common Stocks | 50% | |
Semiconductors & Semiconductor Equipment | 9% | |
Software | 6 | |
Banks | 4 | |
All other Common Stocks | 31 | |
Convertible Bonds and Notes | 38 | |
Software | 10 | |
Internet | 7 | |
Semiconductors | 3 | |
All other Convertible Bonds and Notes | 18 | |
Convertible Preferred Stocks | 4 | |
Short-Term Investment | 4 | |
Corporate Bonds and Notes | 3 | |
Securities Lending Collateral | 1 | |
Total | 100% |
Convertible Bonds and Notes | 41% | |
Software | 12% | |
Biotechnology | 7 | |
Equity Real Estate Investment Trusts (REITs) | 4 | |
All other Convertible Bonds and Notes | 18 | |
Corporate Bonds and Notes | 32 | |
Telecommunications | 4 | |
Media | 4 | |
Oil, Gas & Consumable Fuels | 3 | |
All other Corporate Bonds and Notes | 21 | |
Leveraged Loans | 21 | |
Short-Term Investment | 5 | |
Securities Lending Collateral | 1 | |
Total | 100% |
Convertible Bonds and Notes | 48% | |
Internet | 12% | |
Software | 7 | |
Commercial Services | 3 | |
All other Convertible Bonds and Notes | 26 | |
Corporate Bonds and Notes | 29 | |
Oil, Gas & Consumable Fuels | 3 | |
Media | 3 | |
Telecommunications | 2 | |
All other Corporate Bonds and Notes | 21 | |
Convertible Preferred Stocks | 17 | |
Short-Term Investment | 3 | |
Preferred Stocks | 1 | |
Securities Lending Collateral | 1 | |
Common Stocks | 1 | |
Total | 100% |
Convertible Bonds and Notes | 48% | |
Internet | 12% | |
Software | 7 | |
Commercial Services | 3 | |
All other Convertible Bonds and Notes | 26 | |
Corporate Bonds and Notes | 29 | |
Oil, Gas & Consumable Fuels | 3 | |
Media | 3 | |
Telecommunications | 2 | |
All other Corporate Bonds and Notes | 21 | |
Convertible Preferred Stocks | 17 | |
Short-Term Investment | 3 | |
Preferred Stocks | 1 | |
Common Stocks | 1 | |
Leveraged Loans | 1 | |
Total | 100% |
August 31, 2021
August 31, 2021
Par Value | Value | ||
Corporate Bonds and Notes—2.9% | |||
Computers—0.3% | |||
Dell International LLC 144A 7.125%, 6/15/24(1) | $ 3,000 | $ 3,064 | |
Internet—1.0% | |||
Go Daddy Operating Co., LLC 144A 5.250%, 12/1/27(1)(2) | 3,000 | 3,163 | |
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1) | 3,000 | 3,155 | |
Netflix, Inc. 144A 5.375%, 11/15/29(1)(2) | 3,000 | 3,689 | |
10,007 | |||
Pharmaceuticals—0.4% | |||
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 4,000 | 4,240 | |
Software—0.4% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 4,000 | 4,126 | |
Telecommunications—0.8% | |||
CommScope, Inc. 144A 8.250%, 3/1/27(1)(2) | 4,000 | 4,217 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 4,000 | 4,150 | |
8,367 | |||
Total Corporate Bonds and Notes (Identified Cost $29,783) | 29,804 |
Shares | ||
Convertible Preferred Stocks—4.5% | ||
Communications Equipment—1.1% | ||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 9,330 | 11,111 |
Shares | Value | ||
Healthcare Equipment & Supplies—1.3% | |||
Danaher Corp. Series A, 4.750% | 6,200 | $ 13,460 | |
Life Sciences Tools & Services—0.8% | |||
Avantor, Inc. Series A, 6.250%(2) | 67,500 | 8,193 | |
Semiconductors & Semiconductor Equipment—1.3% | |||
Broadcom, Inc. Series A, 8.000% | 8,965 | 14,149 | |
Total Convertible Preferred Stocks (Identified Cost $32,574) | 46,913 | ||
Common Stocks—51.6% | |||
Air Freight & Logistics—2.0% | |||
FedEx Corp. | 9,145 | 2,430 | |
GXO Logistics, Inc.(3) | 87,975 | 7,195 | |
United Parcel Service, Inc. Class B | 28,210 | 5,519 | |
XPO Logistics, Inc.(3) | 60,400 | 5,249 | |
20,393 | |||
Auto Components—1.0% | |||
Aptiv plc(3) | 68,175 | 10,376 | |
Banks—3.7% | |||
Citigroup, Inc. | 116,560 | 8,382 | |
First Republic Bank | 55,935 | 11,128 | |
JPMorgan Chase & Co. | 69,285 | 11,082 | |
SVB Financial Group(3) | 13,850 | 7,749 | |
38,341 | |||
Capital Markets—2.1% | |||
Charles Schwab Corp. (The) | 83,065 | 6,051 |
Shares | Value | ||
Capital Markets—continued | |||
Morgan Stanley | 151,625 | $ 15,834 | |
21,885 | |||
Communications Equipment—1.0% | |||
Motorola Solutions, Inc. | 42,870 | 10,470 | |
Electrical Equipment—0.6% | |||
Rockwell Automation, Inc.(2) | 18,085 | 5,886 | |
Electronic Equipment, Instruments & Components—1.8% | |||
Flex Ltd.(3) | 656,100 | 12,190 | |
Keysight Technologies, Inc.(2)(3) | 36,445 | 6,538 | |
18,728 | |||
Energy Equipment & Services—0.7% | |||
Schlumberger N.V. | 267,385 | 7,497 | |
Entertainment—1.7% | |||
Roku, Inc. Class A (3) | 30,480 | 10,740 | |
Walt Disney Co. (The)(2)(3) | 34,090 | 6,181 | |
16,921 | |||
Equity Real Estate Investment—0.5% | |||
Equinix, Inc. | 6,270 | 5,288 | |
Healthcare Equipment & Supplies—1.2% | |||
Hologic, Inc.(3) | 62,865 | 4,976 | |
Intuitive Surgical, Inc.(3) | 6,665 | 7,022 | |
11,998 | |||
Healthcare Providers & Services—3.3% | |||
Anthem, Inc. | 30,730 | 11,528 | |
Laboratory Corp. of America Holdings(3) | 16,030 | 4,863 | |
UnitedHealth Group, Inc. | 42,465 | 17,677 | |
34,068 | |||
Hotels, Restaurants & Leisure—2.6% | |||
Caesars Entertainment, Inc.(3) | 59,960 | 6,094 |
Shares | Value | ||
Hotels, Restaurants & Leisure—continued | |||
Hilton Worldwide Holdings, Inc.(2)(3) | 84,400 | $ 10,538 | |
Starbucks Corp. | 83,670 | 9,830 | |
26,462 | |||
Industrial Conglomerates—0.6% | |||
Honeywell International, Inc. | 26,480 | 6,141 | |
Insurance—0.3% | |||
Progressive Corp. (The) | 27,250 | 2,625 | |
Interactive Media & Services—2.5% | |||
Alphabet, Inc. Class A(3) | 5,080 | 14,701 | |
Facebook, Inc. Class A(3) | 25,300 | 9,598 | |
ZoomInfo Technologies, Inc. Class A(2)(3) | 20,762 | 1,354 | |
25,653 | |||
Internet & Direct Marketing Retail—1.0% | |||
Amazon.com, Inc.(3) | 3,045 | 10,569 | |
IT Services—2.9% | |||
Mastercard, Inc. Class A | 36,810 | 12,745 | |
Twilio, Inc. Class A(3) | 11,485 | 4,099 | |
Visa, Inc. Class A(2) | 56,215 | 12,879 | |
29,723 | |||
Life Sciences Tools & Services—3.4% | |||
Charles River Laboratories International, Inc.(3) | 16,180 | 7,181 | |
ICON plc ADR(3) | 17,300 | 4,425 | |
IQVIA Holdings, Inc.(3) | 59,200 | 15,376 | |
Thermo Fisher Scientific, Inc. | 15,295 | 8,488 | |
35,470 | |||
Machinery—1.9% | |||
Deere & Co. | 52,220 | 19,741 | |
Metals & Mining—0.8% | |||
Freeport-McMoRan, Inc.(2) | 220,765 | 8,034 |
Shares | Value | ||
Semiconductors & Semiconductor Equipment—9.2% | |||
Analog Devices, Inc. | 50,775 | $ 8,274 | |
Applied Materials, Inc. | 78,365 | 10,589 | |
Lam Research Corp. | 16,630 | 10,058 | |
Marvell Technology, Inc. | 260,035 | 15,912 | |
Micron Technology, Inc.(3) | 18,510 | 1,364 | |
NXP Semiconductors N.V. | 89,260 | 19,202 | |
Qorvo, Inc.(3) | 26,665 | 5,014 | |
Semtech Corp.(3) | 94,090 | 6,579 | |
Skyworks Solutions, Inc. | 50,520 | 9,268 | |
Synaptics, Inc.(3) | 34,930 | 6,629 | |
Teradyne, Inc.(2) | 17,915 | 2,176 | |
95,065 | |||
Software—6.8% | |||
Cadence Design Systems, Inc.(3) | 45,490 | 7,437 | |
Crowdstrike Holdings, Inc. Class A(2)(3) | 37,365 | 10,500 | |
Intuit, Inc. | 17,525 | 9,921 | |
Microsoft Corp. | 72,305 | 21,827 | |
Oracle Corp. | 60,770 | 5,416 | |
salesforce.com, Inc.(3) | 31,875 | 8,455 | |
ServiceNow, Inc.(3) | 6,665 | 4,290 | |
Workday, Inc. Class A(3) | 9,115 | 2,490 | |
70,336 | |||
Total Common Stocks (Identified Cost $390,804) | 531,670 |
Par Value | ||
Convertible Bonds and Notes—40.0% | ||
Airlines—0.5% | ||
Southwest Airlines Co. 1.250%, 5/1/25 | $ 4,000 | 5,830 |
Auto Manufacturers—1.4% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1)(2) | 9,500 | 9,857 |
NIO, Inc. 144A 0.000%, 2/1/26(1) | 6,000 | 5,136 |
14,993 | ||
Par Value | Value | ||
Biotechnology—1.8% | |||
Guardant Health, Inc. 144A 0.000%, 11/15/27(1) | $ 7,000 | $ 8,152 | |
Illumina, Inc. 0.000%, 8/15/23(2) | 2,715 | 3,304 | |
NeoGenomics, Inc. 0.250%, 1/15/28 | 7,000 | 6,990 | |
18,446 | |||
Commercial Services—3.6% | |||
Chegg, Inc. 0.000%, 9/1/26 | 6,500 | 6,939 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 6,000 | 5,783 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 4,250 | 5,419 | |
144A 0.500%, 8/1/27(1) | 3,270 | 3,331 | |
Square, Inc. 144A 0.250%, 11/1/27(1)(2) | 12,500 | 15,441 | |
36,913 | |||
Computers—2.9% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 9,000 | 10,047 | |
Pure Storage, Inc. 0.125%, 4/15/23(2) | 8,500 | 9,907 | |
Zscaler, Inc. 0.125%, 7/1/25 | 5,000 | 9,602 | |
29,556 | |||
Diversified Financial Services—0.5% | |||
Upstart Holdings, Inc. 144A 0.250%, 8/15/26(1) | 4,440 | 5,001 | |
Electronics—0.6% | |||
II-VI, Inc. 0.250%, 9/1/22 | 4,500 | 6,268 | |
Energy-Alternate Sources—0.7% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | 3,500 | 3,400 |
Par Value | Value | ||
Energy-Alternate Sources—continued | |||
144A 0.000%, 3/1/28(1) | $ 4,500 | $ 4,378 | |
7,778 | |||
Entertainment—0.5% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 5,145 | 4,929 | |
Healthcare-Products—1.7% | |||
Insulet Corp. 0.375%, 9/1/26 | 5,850 | 8,421 | |
Natera, Inc. 2.250%, 5/1/27 | 1,150 | 3,611 | |
Novocure Ltd. 144A 0.000%, 11/1/25(1) | 5,000 | 5,543 | |
17,575 | |||
Healthcare-Services—1.2% | |||
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 7,000 | 6,462 | |
Teladoc Health, Inc. 1.250%, 6/1/27(2) | 5,420 | 5,740 | |
12,202 | |||
Internet—7.3% | |||
Etsy, Inc. 144A 0.125%, 9/1/27(1) | 6,310 | 8,353 | |
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) | 4,220 | 7,543 | |
Okta, Inc. 0.375%, 6/15/26 | 9,250 | 12,087 | |
Palo Alto Networks, Inc. 0.750%, 7/1/23 | 5,600 | 9,783 | |
Shopify, Inc. 0.125%, 11/1/25 | 6,000 | 7,925 | |
Snap, Inc. 144A 0.000%, 5/1/27(1)(2) | 12,425 | 14,509 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(1)(2) | 5,290 | 4,934 |
Par Value | Value | ||
Internet—continued | |||
Wayfair, Inc. 0.625%, 10/1/25 | $ 3,935 | $ 4,041 | |
Zendesk, Inc. 0.625%, 6/15/25 | 5,000 | 6,591 | |
75,766 | |||
Leisure Time—1.1% | |||
Royal Caribbean Cruises Ltd. 144A 2.875%, 11/15/23(1) | 9,000 | 11,210 | |
Media—0.5% | |||
Liberty Media Corp-Liberty Formula One 1.000%, 1/30/23 | 3,500 | 4,898 | |
Pharmaceuticals—1.1% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 9,740 | 11,201 | |
Real Estate—0.5% | |||
Redfin Corp. 144A 0.000%, 10/15/25(1) | 5,000 | 4,918 | |
Semiconductors—3.6% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 9,385 | 9,540 | |
Microchip Technology, Inc. 0.125%, 11/15/24(2) | 10,457 | 11,921 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1)(2) | 14,000 | 15,991 | |
37,452 | |||
Software—9.9% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 3,580 | 4,591 | |
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 3,485 | 3,644 | |
Bentley Systems, Inc. 144A 0.125%, 1/15/26(1) | 7,500 | 8,944 |
Par Value | Value | ||
Software—continued | |||
Bill.com Holdings, Inc. 144A 0.000%, 12/1/25(1) | $ 5,750 | $ 10,428 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 5,000 | 4,952 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 5,300 | 5,969 | |
Datadog, Inc. 0.125%, 6/15/25 | 5,000 | 8,083 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1)(2) | 8,800 | 9,531 | |
Five9, Inc. 0.500%, 6/1/25 | 4,335 | 5,890 | |
HubSpot, Inc. 0.375%, 6/1/25 | 2,525 | 6,234 | |
LivePerson, Inc. 144A 0.000%, 12/15/26(1) | 6,500 | 7,020 | |
MongoDB, Inc. 0.250%, 1/15/26 | 3,750 | 7,320 | |
RingCentral, Inc. 0.000%, 3/1/25 | 6,295 | 6,594 | |
Splunk, Inc. 1.125%, 6/15/27 | 5,500 | 5,483 | |
Zynga, Inc. 144A 0.000%, 12/15/26(1) | 7,500 | 7,494 | |
102,177 | |||
Telecommunications—0.6% | |||
Nice Ltd. 144A 0.000%, 9/15/25(1)(2) | 5,000 | 5,854 | |
Total Convertible Bonds and Notes (Identified Cost $364,807) | 412,967 |
Par Value | Value | ||
Total Long-Term Investments—99.0% (Identified Cost $817,968) | $ 1,021,354 |
Shares | ||
Short-Term Investment—4.2% | ||
Money Market Mutual Fund—4.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(4) | 42,874,753 | 42,875 |
Total Short-Term Investment (Identified Cost $42,875) | 42,875 | |
Securities Lending Collateral—1.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(4)(5) | 12,019,166 | 12,019 |
Total Securities Lending Collateral (Identified Cost $12,019) | 12,019 | |
TOTAL INVESTMENTS—104.4% (Identified Cost $872,862) | $1,076,248 | |
Other assets and liabilities, net—(4.4)% | (44,980) | |
NET ASSETS—100.0% | $1,031,268 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
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 August 31, 2021, these securities amounted to a value of $258,612 or 25.1% of net assets. |
(2) | All or a portion of security is on loan pursuant to the Liquidity Facility. |
(3) | Non-income producing. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(5) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 92% |
Netherlands | 2 |
Jersey | 1 |
Singapore | 1 |
Liberia | 1 |
Canada | 1 |
Curaçao | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of August 31, 2021. |
Total Value at August 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Corporate Bonds and Notes | $ 29,804 | $ — | $ 29,804 | ||
Convertible Bonds and Notes | 412,967 | — | 412,967 | ||
Equity Securities: | |||||
Common Stocks | 531,670 | 531,670 | — | ||
Convertible Preferred Stocks | 46,913 | 35,802 | 11,111 | ||
Securities Lending Collateral | 12,019 | 12,019 | — | ||
Money Market Mutual Fund | 42,875 | 42,875 | — | ||
Total Investments | $1,076,248 | $622,366 | $453,882 |
Par Value | Value | ||
Corporate Bonds and Notes—44.4% | |||
Aerospace & Defense—1.2% | |||
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1)(2) | $ 1,796 | $ 1,978 | |
144A 6.250%, 9/15/24(1)(2) | 350 | 354 | |
2,332 | |||
Airlines—1.6% | |||
Delta Air Lines, Inc. 2.900%, 10/28/24(2)(3) | 3,000 | 3,057 | |
Auto Manufacturers—2.0% | |||
Ford Motor Co. 8.500%, 4/21/23(2) | 3,500 | 3,870 | |
Building Materials—1.9% | |||
Koppers, Inc. 144A 6.000%, 2/15/25(1)(2)(3) | 3,500 | 3,587 | |
Commercial Services—3.0% | |||
ADT Security Corp. (The) 4.125%, 6/15/23(2)(3) | 3,000 | 3,154 | |
RR Donnelley & Sons Co. 7.000%, 2/15/22(2) | 2,500 | 2,537 | |
5,691 | |||
Computers—0.8% | |||
Dell International LLC 144A 7.125%, 6/15/24(1)(2) | 1,500 | 1,532 | |
Diversified Financial Services—3.5% | |||
Navient Corp. 7.250%, 9/25/23(2) | 3,000 | 3,296 | |
OneMain Finance Corp. 8.250%, 10/1/23(2) | 3,000 | 3,371 | |
6,667 | |||
Entertainment—2.8% | |||
Cedar Fair LP 5.375%, 6/1/24(2)(3) | 3,000 | 3,022 | |
Netflix, Inc. 5.875%, 2/15/25 | 2,000 | 2,295 | |
5,317 | |||
Par Value | Value | ||
Equity Real Estate Investment Trusts (REITs)—1.2% | |||
Service Properties Trust 4.350%, 10/1/24(2) | $ 2,170 | $ 2,200 | |
Food & Beverage—1.6% | |||
Albertsons Cos., Inc. 144A 3.500%, 2/15/23(1)(2) | 3,000 | 3,087 | |
Healthcare-Services—3.3% | |||
HCA, Inc. 5.375%, 2/1/25(2) | 3,000 | 3,379 | |
Tenet Healthcare Corp. 4.625%, 7/15/24(2)(3) | 3,000 | 3,041 | |
6,420 | |||
Leisure Time—3.5% | |||
Carnival Corp. 144A 11.500%, 4/1/23(1)(2) | 3,000 | 3,369 | |
Royal Caribbean Cruises Ltd. 144A 10.875%, 6/1/23(1)(2)(3) | 3,000 | 3,376 | |
6,745 | |||
Lodging—1.9% | |||
Wynn Las Vegas LLC 144A 5.500%, 3/1/25(1)(2)(3) | 3,500 | 3,710 | |
Media—5.1% | |||
CCO Holdings LLC 144A 4.000%, 3/1/23(1)(2) | 3,000 | 3,018 | |
CSC Holdings LLC 5.250%, 6/1/24(2)(3) | 3,000 | 3,236 | |
DISH DBS Corp. 5.875%, 11/15/24(2)(3) | 3,285 | 3,532 | |
9,786 | |||
Oil, Gas & Consumable Fuels—3.9% | |||
Antero Resources Corp. 5.000%, 3/1/25(2)(3) | 3,000 | 3,060 | |
Occidental Petroleum Corp. 6.950%, 7/1/24(2) | 4,000 | 4,506 | |
7,566 | |||
Par Value | Value | ||
Telecommunications—5.7% | |||
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1)(3) | $ 4,000 | $ 4,075 | |
Lumen Technologies, Inc. 7.500%, 4/1/24(2)(3) | 3,000 | 3,337 | |
Sprint Corp. 7.125%, 6/15/24(2) | 3,000 | 3,450 | |
10,862 | |||
Transportation—1.4% | |||
XPO Logistics, Inc. 144A 6.125%, 9/1/23(1) | 2,750 | 2,750 | |
Total Corporate Bonds and Notes (Identified Cost $84,737) | 85,179 | ||
Leveraged Loans—29.4% | |||
Advertising—0.5% | |||
Advantage Sales & Marketing, Inc. First lien (3 month LIBOR + 5.250%) 6.000%, 10/28/27 (4) | 995 | 1,000 | |
Aerospace & Defense—0.8% | |||
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 2.335%, 12/9/25 (4) | 1,459 | 1,435 | |
Airlines—0.3% | |||
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/20/27 (4) | 500 | 530 | |
Auto Components—1.0% | |||
Adient US LLC Tranche B-1 (1 month LIBOR + 3.500%) 3.585%, 4/10/28 (4) | 1,000 | 997 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.085%, 10/1/25 (4) | 995 | 984 | |
1,981 | |||
Chemicals—0.5% | |||
PQ Corp. (3 month LIBOR + 2.750%) 0.000%, 6/9/28 (4)(5) | 1,000 | 998 |
Par Value | Value | ||
Commercial Services—1.7% | |||
Allied Universal Holdco LLC (3 month LIBOR + 3.75%) 4.250%, 5/12/28 (4) | $ 1,000 | $ 999 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.500%) 4.000%, 6/30/28 (4) | 421 | 419 | |
Tranche C (1 month LIBOR + 3.500%) 4.000%, 6/30/28 (4) | 79 | 79 | |
Travelport Finance (Luxembourg) S.a.r.l. First Lien (3 month LIBOR + 5.000%) 5.147%, 5/29/26 (4) | 983 | 818 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.335%, 3/31/28 (4) | 997 | 988 | |
3,303 | |||
Computers—1.6% | |||
Dell International LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.000%, 9/19/25 (4) | 660 | 660 | |
KBR, Inc. Tranche B (1 month LIBOR + 2.750%) 2.835%, 2/5/27 (4) | 1,014 | 1,008 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.630%, 8/28/26 (4) | 1,470 | 1,450 | |
3,118 | |||
Diversified Financial Services—0.4% | |||
Blucora, Inc. (3 month LIBOR + 4.000%) 5.000%, 5/22/24 (4) | 742 | 743 | |
Entertainment—3.4% | |||
AMC Entertainment Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 3.089%, 4/22/26 (4) | 978 | 870 |
Par Value | Value | ||
Entertainment—continued | |||
Lions Gate Capital Holdings LLC Tranche B (1 month LIBOR + 2.250%) 2.335%, 3/24/25 (4) | $ 1,224 | $ 1,209 | |
Music Technology Holdings LLC PIK 8.000%, 12/16/22 (6)(7)(8)(9)(10) | 339 | 339 | |
Penn National Gaming, Inc . First Lien (3 month LIBOR + 2.250%) 0.000%, 10/15/25 (4)(5) | 1,500 | 1,494 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.835%, 8/14/24 (4) | 965 | 956 | |
Stars Group Holdings BV (3 month LIBOR + 2.250%) 0.000%, 7/21/26 (4)(5) | 1,630 | 1,621 | |
6,489 | |||
Food & Beverage—0.4% | |||
US Foods, Inc. (1 month LIBOR + 1.750%) 1.835%, 6/27/23 (4) | 845 | 835 | |
Healthcare-Products—0.8% | |||
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.000%) 3.091%, 6/30/25 (4) | 1,556 | 1,554 | |
Healthcare-Services—0.1% | |||
Aveanna Healthcare LLC | |||
0.000%, 6/30/28 (4)(5) | 50 | 50 | |
2021, First Lien (3 month LIBOR + 3.750%) 0.000%, 7/17/28 (4)(5) | 219 | 218 | |
268 | |||
Internet—1.1% | |||
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.835%, 2/15/24 (4) | 1,213 | 1,202 |
Par Value | Value | ||
Internet—continued | |||
Match Group, Inc. Tranche B-1 (3 month LIBOR + 1.750%) 1.874%, 2/13/27 (4) | $ 1,000 | $ 990 | |
2,192 | |||
Leisure Time—0.5% | |||
Callaway Golf Co. (1 month LIBOR + 4.500%) 4.589%, 1/2/26 (4) | 917 | 920 | |
Lodging—1.9% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 2.835%, 12/23/24 (4) | 1,462 | 1,449 | |
Hilton Grand Vacations Borrower LLC (1 month LIBOR + 3.000%) 3.500%, 8/2/28 (4) | 1,250 | 1,247 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 (4) | 936 | 899 | |
3,595 | |||
Machinery-Diversified—0.8% | |||
Gardner Denver, Inc. Tranche B-1 (1 month LIBOR + 1.750%) 1.835%, 3/1/27 (4) | 1,606 | 1,576 | |
Media—5.9% | |||
Charter Communications Operating LLC Tranche B2 (3 month LIBOR + 1.750%) 0.000%, 2/1/27 (4)(5) | 1,000 | 989 | |
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.345%, 1/15/26 (4) | 1,231 | 1,211 | |
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 5.750%, 8/2/27 (4) | 1,000 | 999 |
Par Value | Value | ||
Media—continued | |||
Gray Television, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.346%, 2/7/24 (4) | $ 1,432 | $ 1,427 | |
Meredith Corp. Tranche B-2 (1 month LIBOR + 2.500%) 2.585%, 1/31/25 (4) | 1,247 | 1,239 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.596%, 9/18/26 (4) | 1,312 | 1,305 | |
Sinclair Television Group, Inc. Tranche B-3 (1 month LIBOR + 3.000%) 3.090%, 4/1/28 (4) | 1,249 | 1,237 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 2.596%, 1/31/28 (4) | 1,500 | 1,483 | |
WideOpenWest Finance LLC Tranche B (1 month LIBOR + 3.250%) 4.250%, 8/18/23 (4) | 1,461 | 1,458 | |
11,348 | |||
Metal Fabricate/Hardware—0.3% | |||
Advanced Drainage Systems, Inc. (1 month LIBOR + 2.250%) 2.375%, 7/31/26 (4) | 625 | 625 | |
Oil, Gas & Consumable Fuels—0.0% | |||
Lealand Finance Co. B.V. (1 month LIBOR + 4.000%) 4.085%, 6/30/25 (4) | 167 | 73 | |
Pharmaceuticals—1.4% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.085%, 6/2/25 (4) | 729 | 726 |
Par Value | Value | ||
Pharmaceuticals—continued | |||
HLF Financing S.a.r.l. LLC Tranche B (1 month LIBOR + 2.50%) 2.585%, 8/18/25 (4) | $ 893 | $ 885 | |
Horizon Therapeutics USA, Inc Tranche B-2 (1 month LIBOR + 2.000%) 2.500%, 3/15/28 (4) | 997 | 993 | |
2,604 | |||
Retail—1.6% | |||
Burlington Coat Factory Warehouse Corp. Tranche B-6 (1 month LIBOR + 2.000%) 2.090%, 6/26/28 (4) | 861 | 854 | |
CWGS Group LLC Tranche B (1 month LIBOR + 2.50%) 3.250%, 6/23/28 (4) | 995 | 985 | |
Petco Health and Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (4) | 1,177 | 1,174 | |
3,013 | |||
Semiconductors—0.3% | |||
Cohu, Inc. (6 month LIBOR + 3.000%) 3.172%, 10/1/25 (4) | 502 | 497 | |
Software—2.3% | |||
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.835%, 10/2/25 (4) | 880 | 874 | |
Camelot US Acquisition I Co. (1 month LIBOR + 3.000%) 3.085%, 10/30/26 (4) | 1,203 | 1,197 |
Par Value | Value | ||
Software—continued | |||
Rackspace Technology Global, Inc. Tranche B (3 month LIBOR + 2.750%) 3.500%, 2/15/28 (4) | $ 896 | $ 886 | |
Upland Software, Inc. (1 month LIBOR + 3.75%) 3.835%, 8/6/26 (4) | 1,474 | 1,468 | |
4,425 | |||
Telecommunications—1.8% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.335%, 3/15/27 (4) | 985 | 972 | |
Ciena Corp. 2020 (3 month LIBOR + 1.750%) 0.000%, 9/26/25 (4)(5) | 998 | 997 | |
CommScope, Inc. (1 month LIBOR + 3.250%) 3.335%, 4/6/26 (4) | 1,477 | 1,459 | |
3,428 | |||
Total Leveraged Loans (Identified Cost $56,969) | 56,550 |
Shares | ||
Common Stocks—0.6% | ||
Banks—0.6% | ||
CCF Holdings LLC(7)(8)(11) | 1,369,231 | 931 |
CCF Holdings LLC Class M(7)(8)(11) | 293,320 | 200 |
1,131 | ||
Construction & Engineering—0.0% | ||
McDermott International Ltd.(11) | 71,796 | 32 |
Total Common Stocks (Identified Cost $3,273) | 1,163 | |
Shares | Value | ||
Warrant—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(8)(11) | 485,227 | $ 214 | |
Total Warrant (Identified Cost $—) | 214 |
Par Value | ||
Convertible Bonds and Notes—56.5% | ||
Auto Manufacturers—4.6% | ||
NIO, Inc. | ||
144A 0.000%, 2/1/26(1) | $ 4,000 | 3,424 |
144A 0.500%, 2/1/27(1) | 6,500 | 5,395 |
8,819 | ||
Biotechnology—9.4% | ||
Insmed, Inc. 1.750%, 1/15/25(2)(3) | 5,500 | 5,679 |
Ionis Pharmaceuticals, Inc. 0.125%, 12/15/24(2) | 8,000 | 7,429 |
Ligand Pharmaceuticals, Inc. 0.750%, 5/15/23(2) | 5,000 | 4,950 |
18,058 | ||
Computers—1.3% | ||
CyberArk Software Ltd. 0.000%, 11/15/24(2) | 2,000 | 2,468 |
Entertainment—1.8% | ||
Live Nation Entertainment, Inc. 2.000%, 2/15/25(2)(3) | 3,000 | 3,377 |
Equity Real Estate Investment Trusts (REITs)—6.1% | ||
Blackstone Mortgage Trust, Inc. 4.375%, 5/5/22(2) | 2,000 | 2,035 |
Redwood Trust, Inc. 5.625%, 7/15/24 | 5,000 | 5,150 |
Par Value | Value | ||
Equity Real Estate Investment Trusts (REITs)—continued | |||
Two Harbors Investment Corp. 6.250%, 1/15/22 | $ 4,495 | $ 4,515 | |
11,700 | |||
Healthcare-Products—2.1% | |||
NuVasive, Inc. 1.000%, 6/1/23 | 4,000 | 4,104 | |
Internet—4.1% | |||
21Vianet Group, Inc. 144A 0.000%, 2/1/26(1) | 7,000 | 5,897 | |
Pinduoduo, Inc. 0.000%, 12/1/25 | 2,000 | 1,914 | |
7,811 | |||
Media—5.2% | |||
DISH Network Corp. 2.375%, 3/15/24(2) | 7,500 | 7,275 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(1)(2) | 2,500 | 2,773 | |
10,048 | |||
Oil, Gas & Consumable Fuels—2.5% | |||
Helix Energy Solutions Group, Inc. 4.250%, 5/1/22 | 3,500 | 3,415 | |
Oil States International, Inc. 1.500%, 2/15/23 | 1,500 | 1,388 | |
4,803 | |||
Pharmaceuticals—3.4% | |||
Flexion Therapeutics, Inc. 3.375%, 5/1/24 | 3,000 | 2,599 | |
Jazz Investments I Ltd. 1.500%, 8/15/24(2)(3) | 3,855 | 3,891 | |
6,490 | |||
Software—16.0% | |||
Alteryx, Inc. 0.500%, 8/1/24(2) | 7,000 | 6,558 |
Par Value | Value | ||
Software—continued | |||
Benefitfocus, Inc. 1.250%, 12/15/23(3) | $ 3,000 | $ 2,829 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1)(2)(3) | 4,000 | 4,332 | |
i3 Verticals LLC 1.000%, 2/15/25 | 5,000 | 4,913 | |
New Relic, Inc. 0.500%, 5/1/23(2) | 4,000 | 4,108 | |
Nutanix, Inc. 0.000%, 1/15/23(2) | 2,835 | 2,986 | |
PROS Holdings, Inc. 1.000%, 5/15/24 | 4,000 | 3,981 | |
RingCentral, Inc. 0.000%, 3/1/25(2) | 1,055 | 1,105 | |
30,812 | |||
Total Convertible Bonds and Notes (Identified Cost $106,842) | 108,490 | ||
Total Long-Term Investments—131.0% (Identified Cost $251,821) | 251,596 |
Shares | ||
Short-Term Investment—7.3% | ||
Money Market Mutual Fund—7.3% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(12) | 14,031,556 | 14,031 |
Total Short-Term Investment (Identified Cost $14,031) | 14,031 | |
Shares | Value | ||
Securities Lending Collateral—0.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(12)(13) | 1,441,244 | $ 1,441 | |
Total Securities Lending Collateral (Identified Cost $1,441) | 1,441 | ||
TOTAL INVESTMENTS—139.1% (Identified Cost $267,293) | $267,068 | ||
Other assets and liabilities, net—(39.1)% | (75,038) | ||
NET ASSETS—100.0% | $192,030 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
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 August 31, 2021, these securities amounted to a value of $52,657 or 27.4% of net assets. |
(2) | All or a portion of securities is segregated as collateral for borrowings. |
(3) | All or a portion of security is on loan pursuant to the Liquidity Facility. |
(4) | Variable rate security. Rate disclosed is as of August 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. |
(5) | This loan will settle after August 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(6) | 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 0.18% of net assets. |
(7) | Affiliated company. See Note 3G in Notes to Financial Statements. |
(8) | 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. |
(9) | Security is fixed rate. |
(10) | 100% of the income received was in cash. |
(11) | Non-income producing. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(13) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 87% |
Cayman Islands | 6 |
Bermuda | 2 |
Luxembourg | 1 |
Liberia | 1 |
Panama | 1 |
Netherlands | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of August 31, 2021. |
Total Value at August 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 85,179 | $ — | $ 85,179 | $ — | |||
Leveraged Loans | 56,550 | — | 56,211 | 339 | |||
Convertible Bonds and Notes | 108,490 | — | 108,490 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,163 | 32 | — | 1,131 | |||
Warrant | 214 | — | — | 214 | |||
Securities Lending Collateral | 1,441 | 1,441 | — | — | |||
Money Market Mutual Fund | 14,031 | 14,031 | — | — | |||
Total Investments | $267,068 | $15,504 | $249,880 | $1,684 |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Warrants | |||||
Investments in Securities | |||||||||
Balance as of February 28, 2021: | $ 2,880 | $ 2,554 | $ 326 | $ —{a} | $ — | ||||
Accrued discount/(premium) | 3 | 3 | — | — | — | ||||
Realized gain (loss) | — | — | — | — | — | ||||
Change in unrealized appreciation (depreciation)(b) | 705 | 1,974 | — | (1,483) | 214 | ||||
Purchases | 2,627 | — | 13 | 2,614 (c) | — | ||||
Sales (d) | (4,531) | (4,531) (c) | — | — | — | ||||
Balance as of August 31, 2021 | $ 1,684 | $ — | $ 339 | $ 1,131 | $ 214 |
Investments in Securities – Assets | Ending Balance at August 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $931 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.21x - 0.82x) | ||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $200 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $214 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
Par Value | Value | ||
Corporate Bonds and Notes—46.8% | |||
Advertising—0.4% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1)(2) | $ 760 | $ 792 | |
144A 7.500%, 6/1/29(1) | 1,445 | 1,496 | |
2,288 | |||
Aerospace & Defense—0.9% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26(2) | 1,400 | 1,454 | |
5.500%, 11/15/27 | 2,240 | 2,291 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1) | 701 | 772 | |
144A 6.250%, 9/15/24(1) | 825 | 834 | |
5,351 | |||
Airlines—1.4% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 1,955 | 2,427 | |
144A 5.750%, 4/20/29(1) | 1,515 | 1,636 | |
Delta Air Lines, Inc. 7.375%, 1/15/26(2) | 3,595 | 4,232 | |
8,295 | |||
Auto Components—2.1% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(2) | 2,760 | 2,898 | |
Clarios Global LP 144A 8.500%, 5/15/27(1)(2) | 3,010 | 3,213 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31(2) | 1,465 | 1,566 | |
144A 5.250%, 7/15/31(1)(2) | 1,495 | 1,599 | |
Tenneco, Inc. | |||
5.000%, 7/15/26(2) | 1,080 | 1,079 | |
144A 7.875%, 1/15/29(1) | 1,715 | 1,930 | |
12,285 | |||
Auto Manufacturers—1.4% | |||
Ford Motor Co. | |||
9.000%, 4/22/25 | 2,545 | 3,109 | |
9.625%, 4/22/30 | 2,205 | 3,142 |
Par Value | Value | ||
Auto Manufacturers—continued | |||
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | $ 735 | $ 807 | |
4.000%, 11/13/30 | 745 | 786 | |
7,844 | |||
Building Materials—0.6% | |||
Griffon Corp. 5.750%, 3/1/28 | 1,165 | 1,236 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 2,095 | 2,148 | |
3,384 | |||
Chemicals—0.5% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 1,485 | 1,506 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 1,415 | 1,473 | |
2,979 | |||
Commercial Services—1.9% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 1,475 | 1,473 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1)(2) | 2,060 | 2,163 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 1,430 | 1,531 | |
Herc Holdings, Inc. 144A 5.500%, 7/15/27(1) | 1,425 | 1,502 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 1,405 | 1,457 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 2,395 | 2,626 | |
10,752 | |||
Computers—0.8% | |||
Booz Allen Hamilton, Inc. 144A 4.000%, 7/1/29(1) | 1,495 | 1,549 | |
Dell International LLC 144A 7.125%, 6/15/24(1) | 1,405 | 1,435 |
Par Value | Value | ||
Computers—continued | |||
NCR Corp. 144A 5.125%, 4/15/29(1) | $ 1,415 | $ 1,467 | |
4,451 | |||
Containers & Packaging—0.8% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1)(2) | 1,330 | 1,400 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) | 3,020 | 3,257 | |
4,657 | |||
Cosmetics & Personal Care—0.3% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1)(2) | 1,430 | 1,514 | |
Diversified Financial Services—1.7% | |||
Nationstar Mortgage Holdings, Inc. 144A 5.500%, 8/15/28(1) | 1,400 | 1,454 | |
Navient Corp. | |||
6.750%, 6/15/26(2) | 1,965 | 2,218 | |
5.000%, 3/15/27 | 1,585 | 1,664 | |
4.875%, 3/15/28 | 280 | 285 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23 | 1,565 | 1,759 | |
6.625%, 1/15/28 | 1,810 | 2,089 | |
5.375%, 11/15/29(2) | 90 | 99 | |
9,568 | |||
Electronic Equipment, Instruments & Components—0.3% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 1,810 | 2,013 | |
Entertainment—2.5% | |||
AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | 4,990 | 3,268 |
Par Value | Value | ||
Entertainment—continued | |||
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | $ 2,065 | $ 2,183 | |
144A 8.125%, 7/1/27(1)(2) | 1,325 | 1,465 | |
International Game Technology plc 144A 6.250%, 1/15/27(1)(2) | 2,890 | 3,295 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) | 2,010 | 2,052 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1)(2) | 2,080 | 2,212 | |
14,475 | |||
Environmental Services—0.4% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) | 2,170 | 2,230 | |
Equity Real Estate Investment Trusts (REITs)—0.5% | |||
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 1,450 | 1,494 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 595 | 603 | |
4.500%, 3/15/25 | 880 | 884 | |
2,981 | |||
Food & Beverage—1.9% | |||
Kraft Heinz Foods Co. 6.500%, 2/9/40 | 2,255 | 3,268 | |
Performance Food Group, Inc. | |||
144A 5.500%, 10/15/27(1)(2) | 2,750 | 2,863 | |
144A 4.250%, 8/1/29(1) | 1,495 | 1,500 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 1,490 | 1,475 |
Par Value | Value | ||
Food & Beverage—continued | |||
US Foods, Inc. 144A 4.750%, 2/15/29(1)(2) | $ 1,990 | $ 2,037 | |
11,143 | |||
Healthcare-Services—0.9% | |||
ModivCare Escrow Issuer, Inc. 144A 5.000%, 10/1/29(1) | 865 | 888 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 1,380 | 1,459 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1) | 2,760 | 2,914 | |
5,261 | |||
Home Builders—0.2% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 1,199 | 1,268 | |
Internet—0.7% | |||
Netflix, Inc. 144A 5.375%, 11/15/29(1) | 1,730 | 2,128 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 1,125 | 1,198 | |
144A 7.500%, 9/15/27(1) | 925 | 1,008 | |
4,334 | |||
Investment Companies—0.4% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 2,140 | 2,240 | |
Iron & Steel—0.8% | |||
Cleveland-Cliffs, Inc. 5.875%, 6/1/27(2) | 2,195 | 2,294 | |
United States Steel Corp. 6.875%, 3/1/29(2) | 2,010 | 2,196 | |
4,490 | |||
Leisure Time—1.3% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1) | 1,290 | 1,488 | |
144A 5.750%, 3/1/27(1) | 760 | 777 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1)(2) | 3,010 | 3,018 |
Par Value | Value | ||
Leisure Time—continued | |||
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1) | $ 866 | $ 997 | |
144A 5.500%, 4/1/28(1)(2) | 1,520 | 1,531 | |
7,811 | |||
Lodging—0.9% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | 1,360 | 1,476 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1)(2) | 1,085 | 1,119 | |
MGM Resorts International 4.750%, 10/15/28 | 1,480 | 1,554 | |
Wynn Las Vegas LLC 144A 5.500%, 3/1/25(1)(2) | 955 | 1,012 | |
5,161 | |||
Machinery-Construction & Mining—0.4% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 2,215 | 2,328 | |
Media—4.0% | |||
CCO Holdings LLC 4.500%, 5/1/32 | 2,610 | 2,727 | |
CSC Holdings LLC | |||
144A 7.500%, 4/1/28(1) | 2,230 | 2,442 | |
144A 5.750%, 1/15/30(1)(2) | 685 | 724 | |
144A 5.000%, 11/15/31(1) | 750 | 746 | |
DIRECTV Holdings LLC 144A 5.875%, 8/15/27(1) | 2,160 | 2,257 | |
DISH DBS Corp. 7.375%, 7/1/28(2) | 3,025 | 3,255 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 2,280 | 2,254 | |
Meredith Corp. 6.875%, 2/1/26 | 1,717 | 1,779 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 2,120 | 2,251 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 2,240 | 2,287 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1)(2) | 960 | 994 |
Par Value | Value | ||
Media—continued | |||
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | $ 1,115 | $ 1,195 | |
22,911 | |||
Metal Fabricate/Hardware—0.7% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27(2) | 3,830 | 3,799 | |
Mining—0.9% | |||
Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 2,265 | 2,506 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1)(2) | 1,495 | 1,503 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | 904 | 1,008 | |
5,017 | |||
Oil, Gas & Consumable Fuels—5.0% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1)(2) | 1,455 | 1,601 | |
144A 5.375%, 3/1/30(1)(2) | 750 | 763 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1)(2) | 1,485 | 1,429 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 680 | 690 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 2,430 | 2,576 | |
Comstock Resources, Inc. 144A 6.750%, 3/1/29(1) | 1,480 | 1,553 | |
Continental Resources, Inc. | |||
4.375%, 1/15/28(2) | 905 | 1,016 | |
144A 5.750%, 1/15/31(1)(2) | 865 | 1,054 | |
EQT Corp. 7.500%, 2/1/30 | 1,275 | 1,657 | |
Hess Midstream Operations LP 144A 4.250%, 2/15/30(1) | 745 | 754 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26 | 2,510 | 2,799 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
6.625%, 9/1/30(2) | $ 2,510 | $ 3,131 | |
PBF Holding Co. LLC 6.000%, 2/15/28 | 2,495 | 1,634 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 2,150 | 2,232 | |
SM Energy Co. 6.500%, 7/15/28(2) | 1,535 | 1,543 | |
Southwestern Energy Co. 5.375%, 3/15/30 | 1,405 | 1,462 | |
Transocean, Inc. 144A 8.000%, 2/1/27(1) | 570 | 419 | |
USA Compression Partners LP 6.875%, 9/1/27(2) | 2,285 | 2,393 | |
28,706 | |||
Paper & Forest Products—0.3% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 1,470 | 1,481 | |
Pharmaceuticals—2.0% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1)(2) | 1,490 | 1,494 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 2,585 | 2,780 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | 1,940 | 1,998 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 2,235 | 2,369 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 1,480 | 1,534 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 1,455 | 1,526 | |
11,701 | |||
Pipelines—2.2% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 1,405 | 1,438 |
Par Value | Value | ||
Pipelines—continued | |||
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | $ 1,400 | $ 1,428 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 1,665 | 1,848 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1) | 1,415 | 1,578 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 1,425 | 1,446 | |
NuStar Logistics LP 6.375%, 10/1/30(2) | 1,445 | 1,598 | |
Targa Resources Partners LP | |||
6.500%, 7/15/27 | 980 | 1,061 | |
6.875%, 1/15/29(2) | 2,300 | 2,586 | |
12,983 | |||
Real Estate—0.4% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 1,990 | 2,070 | |
Retail—0.9% | |||
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | 1,945 | 2,242 | |
Carvana Co. 144A 4.875%, 9/1/29(1) | 1,460 | 1,445 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 1,475 | 1,467 | |
5,154 | |||
Semiconductors—0.7% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 3,750 | 4,039 | |
Software—1.5% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1)(2) | 2,195 | 2,264 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(1)(2) | 4,265 | 4,221 |
Par Value | Value | ||
Software—continued | |||
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) | $ 2,310 | $ 2,446 | |
8,931 | |||
Telecommunications—3.8% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1) | 2,040 | 2,152 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 1,585 | 1,615 | |
CommScope Technologies LLC 144A 5.000%, 3/15/27(1)(2) | 1,435 | 1,413 | |
Frontier Communications Holdings LLC 144A 5.000%, 5/1/28(1)(2) | 1,065 | 1,113 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26(2) | 1,460 | 1,659 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 1,590 | 1,650 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1) | 1,480 | 1,447 | |
144A 5.375%, 6/15/29(1)(2) | 1,485 | 1,525 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1)(2) | 1,560 | 1,493 | |
Sprint Communications, Inc. 11.500%, 11/15/21(2) | 3,370 | 3,439 | |
Sprint Corp. 7.625%, 3/1/26 | 2,415 | 2,977 | |
T-Mobile USA, Inc. 3.500%, 4/15/31 | 1,465 | 1,560 | |
22,043 | |||
Transportation—0.4% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | 1,500 | 1,693 | |
144A 5.500%, 5/1/28(1)(2) | 750 | 762 | |
2,455 | |||
Total Corporate Bonds and Notes (Identified Cost $260,790) | 270,393 |
Par Value | Value | ||
Leveraged Loans—0.8% | |||
Entertainment—0.3% | |||
Music Technology Holdings LLC PIK 8.000%, 12/16/22 (3)(4)(5)(6)(7) | $ 1,848 | $ 1,848 | |
Healthcare-Services—0.3% | |||
Aveanna Healthcare LLC | |||
0.000%, 6/30/28 (8)(9) | 260 | 259 | |
2021, First Lien (3 month LIBOR + 3.750%) 0.000%, 7/17/28 (8)(9) | 1,120 | 1,118 | |
1,377 | |||
Retail—0.2% | |||
Petco Health and Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (9) | 1,177 | 1,174 | |
Total Leveraged Loans (Identified Cost $4,399) | 4,399 |
Shares | ||
Convertible Preferred Stocks—28.3% | ||
Auto Components—1.7% | ||
Aptiv plc Series A, 5.500% | 56,155 | 9,659 |
Banks—7.4% | ||
Bank of America Corp. Series L, 7.250% | 12,080 | 17,734 |
Wells Fargo & Co. Series L, 7.500% | 16,980 | 25,316 |
43,050 | ||
Chemicals—0.6% | ||
International Flavors & Fragrances, Inc., 6.000% | 66,540 | 3,363 |
Shares | Value | ||
Commercial Services & Supplies—0.8% | |||
GFL Environmental, Inc., 6.000% | 54,980 | $ 4,444 | |
Communications Equipment—1.1% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 5,345 | 6,365 | |
Diversified Financial Services—0.7% | |||
Chewy, Inc.2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 2,105 | 4,114 | |
Electric Utilities—4.4% | |||
AES Corp. (The), 6.875%(2) | 74,515 | 7,398 | |
NextEra Energy, Inc., 5.279% | 78,590 | 4,188 | |
NextEra Energy, Inc., 6.219% | 254,310 | 13,700 | |
25,286 | |||
Healthcare Equipment & Supplies—4.8% | |||
Boston Scientific Corp. Series A, 5.500% | 71,510 | 8,592 | |
Danaher Corp. Series A, 4.750% | 8,695 | 18,877 | |
27,469 | |||
Life Sciences Tools & Services—1.8% | |||
Avantor, Inc. Series A, 6.250%(2) | 84,600 | 10,269 | |
Media—0.6% | |||
ViacomCBS, Inc. Series A, 5.750%(2) | 47,965 | 3,233 | |
Pharmaceuticals—0.4% | |||
Elanco Animal Health, Inc., 5.000%(2) | 50,815 | 2,635 |
Shares | Value | ||
Professional Services—0.5% | |||
Clarivate plc Series A, 5.250% | 33,115 | $ 3,165 | |
Semiconductors & Semiconductor Equipment—3.5% | |||
Broadcom, Inc. Series A, 8.000% | 12,835 | 20,257 | |
Total Convertible Preferred Stocks (Identified Cost $113,611) | 163,309 | ||
Preferred Stocks—1.4% | |||
Entertainment—1.4% | |||
LiveStyle, Inc. Series A(3)(4)(5)(10)(11) | 3,554 | 571 | |
LiveStyle, Inc. Series B(3)(4)(5)(10)(11) | 76,572 | 7,657 | |
LiveStyle, Inc. Series B(3)(5)(10) | 6,750 | — | |
8,228 | |||
Total Preferred Stocks (Identified Cost $14,597) | 8,228 | ||
Common Stocks—1.1% | |||
Banks—1.0% | |||
CCF Holdings LLC(4)(5)(10) | 7,808,320 | 5,310 | |
CCF Holdings LLC Class M(4)(5)(10) | 879,959 | 598 | |
5,908 | |||
Consumer Finance—0.1% | |||
Erickson, Inc.(5)(10) | 8,295 | 233 | |
Entertainment—0.0% | |||
LiveStyle, Inc.(3)(4)(5)(10)(11) | 90,407 | — (12) | |
Professional Services—0.0% | |||
Clarivate plc(10) | 1,531 | 39 | |
Total Common Stocks (Identified Cost $30,208) | 6,180 |
Shares | Value | ||
Warrants—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(5)(10) | 1,455,681 | $ 640 | |
Entertainment—0.0% | |||
LiveStyle, Inc. Series C(3)(5)(10) | 19,500 | — (12) | |
Media—0.0% | |||
Affinion Group Holdings(5)(10)(11) | 15,602 | — | |
Total Warrants (Identified Cost $3,080) | 640 |
Par Value | ||
Convertible Bonds and Notes—77.5% | ||
Airlines—2.0% | ||
JetBlue Airways Corp. 144A 0.500%, 4/1/26(1)(2) | $ 5,440 | 5,348 |
Southwest Airlines Co. 1.250%, 5/1/25 | 4,140 | 6,034 |
11,382 | ||
Auto Manufacturers—3.6% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1)(2) | 6,870 | 7,128 |
NIO, Inc. | ||
144A 0.000%, 2/1/26(1) | 2,010 | 1,720 |
144A 0.500%, 2/1/27(1) | 3,355 | 2,785 |
Tesla, Inc. 2.000%, 5/15/24(2) | 765 | 9,056 |
20,689 | ||
Banks—2.3% | ||
BofA Finance LLC 0.125%, 9/1/22 | 5,970 | 7,895 |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(1)(2) | 5,220 | 5,370 |
13,265 | ||
Par Value | Value | ||
Biotechnology—1.8% | |||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | $ 3,125 | $ 2,767 | |
Exact Sciences Corp. 0.375%, 3/1/28 | 5,125 | 5,791 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(1) | 2,435 | 2,216 | |
10,774 | |||
Building Materials—1.7% | |||
Patrick Industries, Inc. 1.000%, 2/1/23 | 8,820 | 9,838 | |
Commercial Services—4.3% | |||
Alarm.com Holdings, Inc. 144A 0.000%, 1/15/26(1) | 3,150 | 2,893 | |
Chegg, Inc. 0.000%, 9/1/26 | 4,915 | 5,247 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 2,235 | 2,849 | |
144A 0.500%, 8/1/27(1) | 3,495 | 3,561 | |
Square, Inc. 144A 0.000%, 5/1/26(1)(2) | 8,545 | 10,233 | |
24,783 | |||
Computers—2.0% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,175 | 2,428 | |
Vocera Communications, Inc. 144A 0.500%, 9/15/26(1) | 3,415 | 3,534 | |
Zscaler, Inc. 0.125%, 7/1/25 | 2,930 | 5,627 | |
11,589 | |||
Diversified Financial Services—1.4% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 4,870 | 5,145 | |
LendingTree, Inc. 0.500%, 7/15/25 | 3,290 | 2,890 | |
8,035 | |||
Par Value | Value | ||
Electronics—1.3% | |||
II-VI, Inc. 0.250%, 9/1/22 | $ 3,630 | $ 5,057 | |
Itron, Inc. 144A 0.000%, 3/15/26(1) | 2,400 | 2,290 | |
7,347 | |||
Energy-Alternate Sources—1.9% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | 2,665 | 2,589 | |
144A 0.000%, 3/1/28(1) | 3,785 | 3,682 | |
Sunrun, Inc. 144A 0.000%, 2/1/26(1) | 5,830 | 4,979 | |
11,250 | |||
Entertainment—2.2% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 5,875 | 5,628 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(1)(2) | 6,875 | 7,003 | |
12,631 | |||
Equity Real Estate Investment Trusts (REITs)—1.4% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 3,620 | 4,001 | |
Two Harbors Investment Corp. 6.250%, 1/15/22 | 3,975 | 3,993 | |
7,994 | |||
Healthcare-Products—1.5% | |||
Insulet Corp. 0.375%, 9/1/26 | 3,970 | 5,715 | |
Natera, Inc. 2.250%, 5/1/27 | 1,055 | 3,312 | |
9,027 | |||
Healthcare-Services—1.8% | |||
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 4,955 | 4,574 |
Par Value | Value | ||
Healthcare-Services—continued | |||
Teladoc Health, Inc. 1.250%, 6/1/27(2) | $ 5,415 | $ 5,735 | |
10,309 | |||
Internet—18.9% | |||
21Vianet Group, Inc. 144A 0.000%, 2/1/26(1) | 3,075 | 2,591 | |
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 8,685 | 8,347 | |
Booking Holdings, Inc. 0.750%, 5/1/25(2) | 3,120 | 4,539 | |
Etsy, Inc. | |||
144A 0.125%, 9/1/27(1) | 2,595 | 3,435 | |
144A 0.250%, 6/15/28(1) | 2,355 | 2,687 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1)(2) | 5,005 | 5,229 | |
FireEye, Inc. 0.875%, 6/1/24 | 1,225 | 1,307 | |
fuboTV, Inc. 144A 3.250%, 2/15/26(1) | 7,405 | 7,116 | |
Magnite, Inc. 144A 0.250%, 3/15/26(1) | 4,905 | 4,163 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 4,175 | 6,980 | |
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) | 280 | 500 | |
Okta, Inc. 0.375%, 6/15/26 | 3,300 | 4,312 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 575 | 1,005 | |
0.375%, 6/1/25 | 4,450 | 7,139 | |
Pinduoduo, Inc. 0.000%, 12/1/25 | 3,115 | 2,980 | |
RealReal, Inc. (The) 144A 1.000%, 3/1/28(1) | 6,395 | 5,161 | |
Snap, Inc. 144A 0.000%, 5/1/27(1) | 8,750 | 10,218 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(1) | 4,645 | 4,195 | |
Twitter, Inc. 144A 0.000%, 3/15/26(1) | 7,985 | 7,546 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(1)(2) | 6,395 | 5,965 |
Par Value | Value | ||
Internet—continued | |||
Wayfair, Inc. 0.625%, 10/1/25 | $ 5,045 | $ 5,180 | |
Zendesk, Inc. 0.625%, 6/15/25 | 3,995 | 5,266 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,885 | 3,096 | |
108,957 | |||
Leisure Time—2.1% | |||
NCL Corp. Ltd. | |||
6.000%, 5/15/24 | 920 | 1,908 | |
5.375%, 8/1/25 | 1,710 | 2,812 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 1,710 | 2,302 | |
144A 2.875%, 11/15/23(1) | 4,080 | 5,082 | |
12,104 | |||
Machinery-Diversified—1.2% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1) | 1,700 | 5,444 | |
Middleby Corp. (The) 144A 1.000%, 9/1/25(1) | 1,205 | 1,818 | |
7,262 | |||
Media—2.3% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 3,510 | 3,661 | |
144A 0.000%, 12/15/25(1) | 3,890 | 4,648 | |
Liberty Media Corp. 1.375%, 10/15/23 | 3,765 | 5,244 | |
13,553 | |||
Oil, Gas & Consumable Fuels—2.5% | |||
EQT Corp. 1.750%, 5/1/26 | 4,560 | 6,693 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25(2) | 5,080 | 7,578 | |
14,271 | |||
Pharmaceuticals—1.6% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 3,830 | 4,405 |
Par Value | Value | ||
Pharmaceuticals—continued | |||
Jazz Investments I Ltd. 2.000%, 6/15/26 | $ 4,060 | $ 4,664 | |
9,069 | |||
Pipelines—3.6% | |||
Cheniere Energy, Inc. 4.250%, 3/15/45 | 24,750 | 20,693 | |
Retail—1.8% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 3,820 | 5,741 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 1,110 | 4,548 | |
10,289 | |||
Semiconductors—1.5% | |||
Cree, Inc. 1.750%, 5/1/26 | 755 | 1,448 | |
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 1,395 | 1,418 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1)(2) | 3,020 | 3,450 | |
Teradyne, Inc. 1.250%, 12/15/23 | 575 | 2,188 | |
8,504 | |||
Software—11.5% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 2,850 | 3,655 | |
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 2,920 | 3,054 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(1) | 3,870 | 4,615 | |
144A 0.375%, 7/1/27(1) | 1,060 | 1,095 | |
Bill.com Holdings, Inc. 144A 0.000%, 12/1/25(1) | 3,865 | 7,009 |
Par Value | Value | ||
Software—continued | |||
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | $ 6,445 | $ 6,383 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 3,410 | 3,841 | |
Datadog, Inc. 0.125%, 6/15/25 | 2,680 | 4,333 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1)(2) | 3,910 | 4,235 | |
Fastly, Inc. 144A 0.000%, 3/15/26(1) | 3,710 | 3,144 | |
Five9, Inc. 0.500%, 6/1/25 | 1,180 | 1,603 | |
i3 Verticals LLC 1.000%, 2/15/25 | 2,435 | 2,393 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(1) | 3,665 | 2,905 | |
RingCentral, Inc. 0.000%, 3/1/25(2) | 4,345 | 4,551 | |
Splunk, Inc. 1.125%, 6/15/27 | 6,015 | 5,996 | |
Workday, Inc. 0.250%, 10/1/22 | 3,275 | 6,124 | |
Zynga, Inc. 144A 0.000%, 12/15/26(1) | 1,585 | 1,584 | |
66,520 | |||
Telecommunications—1.3% | |||
Infinera Corp. 2.125%, 9/1/24 | 1,575 | 1,756 | |
Nice Ltd. 144A 0.000%, 9/15/25(1) | 1,710 | 2,002 | |
Viavi Solutions, Inc. 1.000%, 3/1/24 | 2,850 | 3,776 | |
7,534 | |||
Total Convertible Bonds and Notes (Identified Cost $402,059) | 447,669 |
Par Value | Value | ||
Total Long-Term Investments—156.0% (Identified Cost $828,744) | $ 900,818 |
Shares | ||
Short-Term Investment—5.0% | ||
Money Market Mutual Fund—5.0% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(13) | 28,715,859 | 28,716 |
Total Short-Term Investment (Identified Cost $28,716) | 28,716 | |
Securities Lending Collateral—1.4% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(13)(14) | 7,971,891 | 7,972 |
Total Securities Lending Collateral (Identified Cost $7,972) | 7,972 | |
TOTAL INVESTMENTS—162.4% (Identified Cost $865,432) | $ 937,506 | |
Other assets and liabilities, net—(6.4)% | (36,968) | |
Preferred Shares—(56.0)% | (323,275) | |
NET ASSETS—100.0% | $ 577,263 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
NA | National Association |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
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 August 31, 2021, these securities amounted to a value of $401,047 or 69.5% of net assets. |
(2) | All or a portion of security is on loan pursuant to the Liquidity Facility. |
(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 1.08% of net assets. |
(4) | Affiliated company. See Note 3G in Notes to Financial Statements. |
(5) | 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. |
(6) | Security is fixed rate. |
(7) | 100% of the income received was in cash. |
(8) | This loan will settle after August 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Variable rate security. Rate disclosed is as of August 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. |
(10) | Non-income producing. |
(11) | Security is restricted from resale. |
(12) | Amount is less than $500. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(14) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 93% |
Jersey | 2 |
Bermuda | 1 |
Canada | 1 |
Cayman Islands | 1 |
Liberia | 1 |
United Kingdom | 1 |
Total | 100% |
† % of total investments as of August 31, 2021. |
Total Value at August 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $270,393 | $ — | $270,393 | $ — | |||
Leveraged Loans | 4,399 | — | 2,551 | 1,848 | |||
Convertible Bonds and Notes | 447,669 | — | 447,669 | — | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 163,309 | 152,830 | 10,479 | — | |||
Common Stocks | 6,180 | 39 | — | 6,141 | |||
Preferred Stocks | 8,228 | — | — | 8,228 (1) | |||
Warrants | 640 | — | — | 640 (1) | |||
Securities Lending Collateral | 7,972 | 7,972 | — | — | |||
Money Market Mutual Fund | 28,716 | 28,716 | — | — | |||
Total Investments | $937,506 | $189,557 | $731,092 | $16,857 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Warrants | Preferred Stocks | ||||||
Investments in Securities | |||||||||||
Balance as of February 28, 2021: | $ 21,123 | $ 10,793 | $ 1,776 | $ 213 | $ 147 | $ 8,194 | |||||
Accrued discount/(premium) | 11 | 11 | — | — | — | — | |||||
Realized gain (loss) | (4,881) | (4,881) | — | — (a) | — | — | |||||
Change in unrealized appreciation (depreciation)(b) | 5,818 | 22,429 | — | (17,138) | 493 | 34 | |||||
Purchases | 23,138 | — | 72 | 23,066 (c) | — | — | |||||
Sales (d) | (28,352) | (28,352) (c) | — | — | — | — | |||||
Balance as of August 31, 2021 | $ 16,857 | $ — | $ 1,848 | $ 6,141 | $ 640 (e) | $ 8,228 (e) |
Investments in Securities – Assets | Ending Balance at August 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stocks: | ||||||||
LiveStyle, Inc. Series A | $ 571 | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) | |||||||
LiveStyle, Inc. Series B | $7,657 | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) | |||||||
Common Stocks: | ||||||||
CCF Holdings LLC | $5,310 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $ 598 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
Erickson, Inc. | $ 233 | Market and Company Comparables | EV Multiples | 1.32x (0.74x - 2.32x) 11.73x (8.16x - 47.06x) 1.01x (0.59x - 1.39x) | ||||
M&A Transaction Multiples | 0.96x (0.41x - 1.96x) | |||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $ —(1) | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | 20% | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $ 640 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 54% | ||||||
LiveStyle, Inc. Series C | $ —(1) | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) | |||||||
Par Value | Value | ||
Corporate Bonds and Notes—47.8% | |||
Advertising—0.4% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1) | $ 585 | $ 610 | |
144A 7.500%, 6/1/29(1) | 1,125 | 1,164 | |
1,774 | |||
Aerospace & Defense—0.9% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26 | 1,085 | 1,127 | |
5.500%, 11/15/27 | 1,735 | 1,775 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1) | 537 | 591 | |
144A 6.250%, 9/15/24(1) | 640 | 647 | |
4,140 | |||
Airlines—1.5% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 1,475 | 1,831 | |
144A 5.750%, 4/20/29(1) | 1,170 | 1,264 | |
Delta Air Lines, Inc. 7.375%, 1/15/26 | 2,805 | 3,302 | |
6,397 | |||
Auto Components—2.2% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 2,120 | 2,226 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 2,325 | 2,482 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31 | 1,135 | 1,213 | |
144A 5.250%, 7/15/31(1) | 1,160 | 1,241 | |
Tenneco, Inc. | |||
5.000%, 7/15/26 | 835 | 834 | |
144A 7.875%, 1/15/29(1) | 1,325 | 1,491 | |
9,487 | |||
Auto Manufacturers—1.4% | |||
Ford Motor Co. | |||
9.000%, 4/22/25 | 1,970 | 2,407 | |
9.625%, 4/22/30 | 1,705 | 2,430 |
Par Value | Value | ||
Auto Manufacturers—continued | |||
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | $ 570 | $ 625 | |
4.000%, 11/13/30 | 575 | 607 | |
6,069 | |||
Building Materials—0.6% | |||
Griffon Corp. 5.750%, 3/1/28 | 895 | 950 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 1,650 | 1,691 | |
2,641 | |||
Chemicals—0.5% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 1,150 | 1,166 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 1,095 | 1,140 | |
2,306 | |||
Commercial Services—1.9% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 1,140 | 1,138 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 1,595 | 1,675 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 1,105 | 1,183 | |
Herc Holdings, Inc. 144A 5.500%, 7/15/27(1) | 1,100 | 1,160 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 1,090 | 1,131 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 1,830 | 2,006 | |
8,293 | |||
Computers—0.8% | |||
Booz Allen Hamilton, Inc. 144A 4.000%, 7/1/29(1) | 1,155 | 1,197 |
Par Value | Value | ||
Computers—continued | |||
Dell International LLC 144A 7.125%, 6/15/24(1) | $ 1,090 | $ 1,113 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 1,095 | 1,135 | |
3,445 | |||
Containers & Packaging—0.8% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 1,030 | 1,084 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 2,315 | 2,497 | |
3,581 | |||
Cosmetics & Personal Care—0.3% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1) | 1,105 | 1,170 | |
Diversified Financial Services—1.7% | |||
Nationstar Mortgage Holdings, Inc. 144A 5.500%, 8/15/28(1) | 1,080 | 1,122 | |
Navient Corp. | |||
6.750%, 6/15/26 | 1,510 | 1,704 | |
5.000%, 3/15/27 | 1,230 | 1,292 | |
4.875%, 3/15/28 | 215 | 219 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23 | 1,215 | 1,365 | |
6.625%, 1/15/28 | 1,305 | 1,506 | |
5.375%, 11/15/29 | 70 | 77 | |
7,285 | |||
Electronic Equipment, Instruments & Components—0.3% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 1,380 | 1,535 | |
Entertainment—2.6% | |||
AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | 3,810 | 2,496 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 1,600 | 1,691 |
Par Value | Value | ||
Entertainment—continued | |||
144A 8.125%, 7/1/27(1) | $ 1,025 | $ 1,133 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 2,260 | 2,576 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 1,555 | 1,588 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1) | 1,610 | 1,712 | |
11,196 | |||
Environmental Services—0.4% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 1,680 | 1,726 | |
Equity Real Estate Investment Trusts (REITs)—0.5% | |||
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 1,125 | 1,159 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 465 | 471 | |
4.500%, 3/15/25 | 680 | 684 | |
2,314 | |||
Food & Beverage—2.0% | |||
Kraft Heinz Foods Co. 6.500%, 2/9/40 | 1,745 | 2,528 | |
Performance Food Group, Inc. | |||
144A 5.500%, 10/15/27(1) | 2,135 | 2,223 | |
144A 4.250%, 8/1/29(1) | 1,155 | 1,159 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 1,155 | 1,143 | |
US Foods, Inc. 144A 4.750%, 2/15/29(1) | 1,540 | 1,577 | |
8,630 | |||
Par Value | Value | ||
Healthcare-Services—0.9% | |||
ModivCare Escrow Issuer, Inc. 144A 5.000%, 10/1/29(1) | $ 670 | $ 688 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 1,070 | 1,131 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1) | 2,140 | 2,259 | |
4,078 | |||
Home Builders—0.2% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 928 | 981 | |
Internet—0.8% | |||
Netflix, Inc. 144A 5.375%, 11/15/29(1) | 1,335 | 1,642 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 865 | 921 | |
144A 7.500%, 9/15/27(1) | 715 | 779 | |
3,342 | |||
Investment Companies—0.4% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 1,655 | 1,733 | |
Iron & Steel—0.8% | |||
Cleveland-Cliffs, Inc. 5.875%, 6/1/27 | 1,695 | 1,771 | |
United States Steel Corp. 6.875%, 3/1/29 | 1,555 | 1,699 | |
3,470 | |||
Leisure Time—1.4% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1) | 1,000 | 1,154 | |
144A 5.750%, 3/1/27(1) | 585 | 598 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 2,330 | 2,336 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1) | 671 | 772 |
Par Value | Value | ||
Leisure Time—continued | |||
144A 5.500%, 4/1/28(1) | $ 1,175 | $ 1,184 | |
6,044 | |||
Lodging—0.9% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | 1,050 | 1,139 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1) | 840 | 866 | |
MGM Resorts International 4.750%, 10/15/28 | 1,145 | 1,202 | |
Wynn Las Vegas LLC 144A 5.500%, 3/1/25(1) | 740 | 785 | |
3,992 | |||
Machinery-Construction & Mining—0.4% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 1,715 | 1,803 | |
Media—4.0% | |||
CCO Holdings LLC 4.500%, 5/1/32 | 1,985 | 2,074 | |
CSC Holdings LLC | |||
144A 7.500%, 4/1/28(1) | 1,705 | 1,867 | |
144A 5.750%, 1/15/30(1) | 530 | 560 | |
144A 5.000%, 11/15/31(1) | 580 | 577 | |
DIRECTV Holdings LLC 144A 5.875%, 8/15/27(1) | 1,670 | 1,745 | |
DISH DBS Corp. 7.375%, 7/1/28 | 2,320 | 2,497 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 1,770 | 1,749 | |
Meredith Corp. 6.875%, 2/1/26 | 1,085 | 1,124 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 1,640 | 1,741 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 1,735 | 1,772 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 760 | 787 |
Par Value | Value | ||
Media—continued | |||
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | $ 865 | $ 927 | |
17,420 | |||
Metal Fabricate/Hardware—0.7% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27 | 2,920 | 2,896 | |
Mining—0.9% | |||
Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 1,750 | 1,936 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1) | 1,155 | 1,161 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | 702 | 783 | |
3,880 | |||
Oil, Gas & Consumable Fuels—5.1% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1) | 1,130 | 1,243 | |
144A 5.375%, 3/1/30(1) | 580 | 590 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 1,150 | 1,107 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 530 | 538 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 1,885 | 1,998 | |
Comstock Resources, Inc. 144A 6.750%, 3/1/29(1) | 1,145 | 1,202 | |
Continental Resources, Inc. | |||
4.375%, 1/15/28 | 705 | 791 | |
144A 5.750%, 1/15/31(1) | 670 | 817 | |
EQT Corp. 7.500%, 2/1/30 | 980 | 1,273 | |
Hess Midstream Operations LP 144A 4.250%, 2/15/30(1) | 575 | 582 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26 | 1,940 | 2,163 | |
6.625%, 9/1/30 | 1,930 | 2,408 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
PBF Holding Co. LLC 6.000%, 2/15/28 | $ 1,935 | $ 1,267 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 1,675 | 1,739 | |
SM Energy Co. 6.500%, 7/15/28 | 1,185 | 1,191 | |
Southwestern Energy Co. 5.375%, 3/15/30 | 1,085 | 1,129 | |
Transocean, Inc. 144A 8.000%, 2/1/27(1) | 440 | 323 | |
USA Compression Partners LP 6.875%, 9/1/27 | 1,750 | 1,833 | |
22,194 | |||
Paper & Forest Products—0.2% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 1,135 | 1,144 | |
Pharmaceuticals—2.1% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1) | 1,155 | 1,158 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 2,000 | 2,151 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | 1,490 | 1,535 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 1,710 | 1,813 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 1,150 | 1,192 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 1,130 | 1,185 | |
9,034 | |||
Pipelines—2.3% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 1,090 | 1,116 |
Par Value | Value | ||
Pipelines—continued | |||
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | $ 1,085 | $ 1,107 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 1,280 | 1,421 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1) | 1,100 | 1,227 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 1,080 | 1,096 | |
NuStar Logistics LP 6.375%, 10/1/30 | 1,120 | 1,238 | |
Targa Resources Partners LP | |||
6.500%, 7/15/27 | 750 | 812 | |
6.875%, 1/15/29 | 1,750 | 1,967 | |
9,984 | |||
Real Estate—0.4% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 1,545 | 1,607 | |
Retail—0.9% | |||
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | 1,505 | 1,734 | |
Carvana Co. 144A 4.875%, 9/1/29(1) | 1,130 | 1,119 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 1,140 | 1,134 | |
3,987 | |||
Semiconductors—0.7% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 2,925 | 3,150 | |
Software—1.6% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 1,700 | 1,754 |
Par Value | Value | ||
Software—continued | |||
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(1) | $ 3,300 | $ 3,266 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 1,770 | 1,874 | |
6,894 | |||
Telecommunications—3.9% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1) | 1,580 | 1,667 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 1,220 | 1,243 | |
CommScope Technologies LLC 144A 5.000%, 3/15/27(1) | 1,110 | 1,093 | |
Frontier Communications Holdings LLC 144A 5.000%, 5/1/28(1) | 830 | 867 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26 | 1,130 | 1,284 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 1,230 | 1,276 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1) | 1,145 | 1,119 | |
144A 5.375%, 6/15/29(1) | 1,150 | 1,181 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 1,205 | 1,154 | |
Sprint Communications, Inc. 11.500%, 11/15/21 | 2,580 | 2,633 | |
Sprint Corp. 7.625%, 3/1/26 | 1,900 | 2,343 | |
T-Mobile USA, Inc. 3.500%, 4/15/31 | 1,135 | 1,208 | |
17,068 | |||
Transportation—0.4% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | 1,160 | 1,309 |
Par Value | Value | ||
Transportation—continued | |||
144A 5.500%, 5/1/28(1) | $ 580 | $ 589 | |
1,898 | |||
Total Corporate Bonds and Notes (Identified Cost $201,148) | 208,588 | ||
Leveraged Loans—0.8% | |||
Entertainment—0.3% | |||
Music Technology Holdings LLC PIK 8.000%, 12/16/22 (2)(3)(4)(5)(6) | 1,420 | 1,420 | |
Healthcare-Services—0.3% | |||
Aveanna Healthcare LLC | |||
0.000%, 6/30/28 (7)(8) | 201 | 201 | |
2021, First Lien (3 month LIBOR + 3.750%) 0.000%, 7/17/28 (7)(8) | 870 | 868 | |
1,069 | |||
Retail—0.2% | |||
Petco Health and Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (8) | 913 | 910 | |
Total Leveraged Loans (Identified Cost $3,399) | 3,399 |
Shares | ||
Convertible Preferred Stocks—28.3% | ||
Auto Components—1.7% | ||
Aptiv plc Series A, 5.500% | 42,465 | 7,304 |
Banks—7.5% | ||
Bank of America Corp. Series L, 7.250% | 9,140 | 13,418 |
Wells Fargo & Co. Series L, 7.500% | 12,835 | 19,137 |
32,555 | ||
Shares | Value | ||
Chemicals—0.6% | |||
International Flavors & Fragrances, Inc., 6.000% | 50,255 | $ 2,540 | |
Commercial Services & Supplies—0.8% | |||
GFL Environmental, Inc., 6.000% | 41,510 | 3,355 | |
Communications Equipment—1.1% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 4,040 | 4,811 | |
Diversified Financial Services—0.7% | |||
Chewy, Inc.2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 1,590 | 3,107 | |
Electric Utilities—4.4% | |||
AES Corp. (The), 6.875% | 56,285 | 5,589 | |
NextEra Energy, Inc., 5.279% | 59,355 | 3,163 | |
NextEra Energy, Inc., 6.219% | 192,150 | 10,351 | |
19,103 | |||
Healthcare Equipment & Supplies—4.8% | |||
Boston Scientific Corp. Series A, 5.500% | 54,045 | 6,494 | |
Danaher Corp. Series A, 4.750% | 6,575 | 14,274 | |
20,768 | |||
Life Sciences Tools & Services—1.8% | |||
Avantor, Inc. Series A, 6.250% | 63,980 | 7,766 | |
Media—0.5% | |||
ViacomCBS, Inc. Series A, 5.750% | 36,210 | 2,441 | |
Pharmaceuticals—0.4% | |||
Elanco Animal Health, Inc., 5.000% | 38,425 | 1,993 |
Shares | Value | ||
Professional Services—0.5% | |||
Clarivate plc Series A, 5.250% | 25,005 | $ 2,390 | |
Semiconductors & Semiconductor Equipment—3.5% | |||
Broadcom, Inc. Series A, 8.000% | 9,690 | 15,293 | |
Total Convertible Preferred Stocks (Identified Cost $85,000) | 123,426 | ||
Preferred Stocks—1.9% | |||
Entertainment—1.9% | |||
LiveStyle, Inc. Series A(2)(3)(4)(9)(10) | 3,554 | 571 | |
LiveStyle, Inc. Series B(2)(3)(4)(9)(10) | 76,572 | 7,657 | |
LiveStyle, Inc. Series B(2)(4)(9) | 5,000 | — | |
8,228 | |||
Total Preferred Stocks (Identified Cost $12,855) | 8,228 | ||
Common Stocks—1.2% | |||
Banks—1.1% | |||
CCF Holdings LLC(3)(4)(9) | 6,367,079 | 4,330 | |
CCF Holdings LLC Class M(3)(4)(9) | 879,959 | 598 | |
4,928 | |||
Consumer Finance—0.1% | |||
Erickson, Inc.(4)(9) | 6,354 | 179 | |
Entertainment—0.0% | |||
LiveStyle, Inc.(2)(3)(4)(9)(10) | 90,407 | — (11) | |
Professional Services—0.0% | |||
Clarivate plc(9) | 1,156 | 29 | |
Total Common Stocks (Identified Cost $22,695) | 5,136 |
Shares | Value | ||
Warrants—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(4)(9) | 1,455,681 | $ 640 | |
Entertainment—0.0% | |||
LiveStyle, Inc. Series C(2)(4)(9) | 19,500 | — (11) | |
Media—0.0% | |||
Affinion Group Holdings(4)(9)(10) | 12,009 | — | |
Total Warrants (Identified Cost $2,371) | 640 |
Par Value | ||
Convertible Bonds and Notes—77.5% | ||
Airlines—2.0% | ||
JetBlue Airways Corp. 144A 0.500%, 4/1/26(1) | $ 4,105 | 4,035 |
Southwest Airlines Co. 1.250%, 5/1/25 | 3,130 | 4,562 |
8,597 | ||
Auto Manufacturers—3.6% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1) | 5,185 | 5,380 |
NIO, Inc. | ||
144A 0.000%, 2/1/26(1) | 1,515 | 1,297 |
144A 0.500%, 2/1/27(1) | 2,535 | 2,104 |
Tesla, Inc. 2.000%, 5/15/24 | 580 | 6,865 |
15,646 | ||
Banks—2.3% | ||
BofA Finance LLC 0.125%, 9/1/22 | 4,515 | 5,971 |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(1) | 3,945 | 4,058 |
10,029 | ||
Par Value | Value | ||
Biotechnology—1.9% | |||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | $ 2,350 | $ 2,081 | |
Exact Sciences Corp. 0.375%, 3/1/28 | 3,875 | 4,378 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(1) | 1,835 | 1,670 | |
8,129 | |||
Building Materials—1.7% | |||
Patrick Industries, Inc. 1.000%, 2/1/23 | 6,680 | 7,451 | |
Commercial Services—4.3% | |||
Alarm.com Holdings, Inc. 144A 0.000%, 1/15/26(1) | 2,380 | 2,186 | |
Chegg, Inc. 0.000%, 9/1/26 | 3,715 | 3,966 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 1,690 | 2,155 | |
144A 0.500%, 8/1/27(1) | 2,635 | 2,684 | |
Square, Inc. 144A 0.000%, 5/1/26(1) | 6,460 | 7,736 | |
18,727 | |||
Computers—2.0% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 1,645 | 1,836 | |
Vocera Communications, Inc. 144A 0.500%, 9/15/26(1) | 2,585 | 2,676 | |
Zscaler, Inc. 0.125%, 7/1/25 | 2,215 | 4,254 | |
8,766 | |||
Diversified Financial Services—1.4% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 3,675 | 3,883 | |
LendingTree, Inc. 0.500%, 7/15/25 | 2,480 | 2,178 | |
6,061 | |||
Par Value | Value | ||
Electronics—1.3% | |||
II-VI, Inc. 0.250%, 9/1/22 | $ 2,725 | $ 3,796 | |
Itron, Inc. 144A 0.000%, 3/15/26(1) | 1,800 | 1,718 | |
5,514 | |||
Energy-Alternate Sources—1.9% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | 2,010 | 1,953 | |
144A 0.000%, 3/1/28(1) | 2,860 | 2,782 | |
Sunrun, Inc. 144A 0.000%, 2/1/26(1) | 4,370 | 3,732 | |
8,467 | |||
Entertainment—2.2% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 4,435 | 4,248 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(1) | 5,185 | 5,282 | |
9,530 | |||
Equity Real Estate Investment Trusts (REITs)—1.4% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 2,730 | 3,018 | |
Two Harbors Investment Corp. 6.250%, 1/15/22 | 3,025 | 3,038 | |
6,056 | |||
Healthcare-Products—1.6% | |||
Insulet Corp. 0.375%, 9/1/26 | 3,005 | 4,326 | |
Natera, Inc. 2.250%, 5/1/27 | 795 | 2,496 | |
6,822 | |||
Healthcare-Services—1.8% | |||
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 3,740 | 3,453 |
Par Value | Value | ||
Healthcare-Services—continued | |||
Teladoc Health, Inc. 1.250%, 6/1/27 | $ 4,095 | $ 4,336 | |
7,789 | |||
Internet—18.8% | |||
21Vianet Group, Inc. 144A 0.000%, 2/1/26(1) | 2,320 | 1,955 | |
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 6,555 | 6,300 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 2,360 | 3,433 | |
Etsy, Inc. | |||
144A 0.125%, 9/1/27(1) | 1,960 | 2,595 | |
144A 0.250%, 6/15/28(1) | 1,785 | 2,036 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1) | 3,780 | 3,950 | |
FireEye, Inc. 0.875%, 6/1/24 | 925 | 987 | |
fuboTV, Inc. 144A 3.250%, 2/15/26(1) | 5,595 | 5,377 | |
Magnite, Inc. 144A 0.250%, 3/15/26(1) | 3,700 | 3,140 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 3,150 | 5,266 | |
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) | 210 | 375 | |
Okta, Inc. 0.375%, 6/15/26 | 2,490 | 3,254 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 425 | 743 | |
0.375%, 6/1/25 | 3,350 | 5,374 | |
Pinduoduo, Inc. 0.000%, 12/1/25 | 2,350 | 2,248 | |
RealReal, Inc. (The) 144A 1.000%, 3/1/28(1) | 4,825 | 3,894 | |
Snap, Inc. 144A 0.000%, 5/1/27(1) | 6,605 | 7,713 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(1) | 3,505 | 3,166 | |
Twitter, Inc. 144A 0.000%, 3/15/26(1) | 6,025 | 5,694 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(1) | 4,825 | 4,500 |
Par Value | Value | ||
Internet—continued | |||
Wayfair, Inc. 0.625%, 10/1/25 | $ 3,805 | $ 3,907 | |
Zendesk, Inc. 0.625%, 6/15/25 | 3,015 | 3,974 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,420 | 2,332 | |
82,213 | |||
Leisure Time—2.1% | |||
NCL Corp. Ltd. | |||
6.000%, 5/15/24 | 695 | 1,441 | |
5.375%, 8/1/25 | 1,290 | 2,121 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 1,290 | 1,737 | |
144A 2.875%, 11/15/23(1) | 3,070 | 3,824 | |
9,123 | |||
Machinery-Diversified—1.2% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1) | 1,285 | 4,115 | |
Middleby Corp. (The) 144A 1.000%, 9/1/25(1) | 910 | 1,373 | |
5,488 | |||
Media—2.3% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 2,650 | 2,764 | |
144A 0.000%, 12/15/25(1) | 2,935 | 3,507 | |
Liberty Media Corp. 1.375%, 10/15/23 | 2,840 | 3,955 | |
10,226 | |||
Oil, Gas & Consumable Fuels—2.5% | |||
EQT Corp. 1.750%, 5/1/26 | 3,440 | 5,049 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 3,835 | 5,721 | |
10,770 | |||
Pharmaceuticals—1.6% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 2,890 | 3,324 |
Par Value | Value | ||
Pharmaceuticals—continued | |||
Jazz Investments I Ltd. 2.000%, 6/15/26 | $ 3,065 | $ 3,521 | |
6,845 | |||
Pipelines—3.6% | |||
Cheniere Energy, Inc. 4.250%, 3/15/45 | 18,700 | 15,635 | |
Retail—1.8% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 2,880 | 4,329 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 840 | 3,441 | |
7,770 | |||
Semiconductors—1.4% | |||
Cree, Inc. 1.750%, 5/1/26 | 565 | 1,083 | |
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 1,050 | 1,067 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1) | 2,280 | 2,604 | |
Teradyne, Inc. 1.250%, 12/15/23 | 425 | 1,618 | |
6,372 | |||
Software—11.5% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 2,150 | 2,757 | |
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 2,205 | 2,306 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(1) | 2,925 | 3,488 | |
144A 0.375%, 7/1/27(1) | 800 | 826 | |
Bill.com Holdings, Inc. 144A 0.000%, 12/1/25(1) | 2,920 | 5,296 |
Par Value | Value | ||
Software—continued | |||
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | $ 4,860 | $ 4,813 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 2,580 | 2,906 | |
Datadog, Inc. 0.125%, 6/15/25 | 2,035 | 3,290 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1) | 2,955 | 3,201 | |
Fastly, Inc. 144A 0.000%, 3/15/26(1) | 2,805 | 2,377 | |
Five9, Inc. 0.500%, 6/1/25 | 890 | 1,209 | |
i3 Verticals LLC 1.000%, 2/15/25 | 1,840 | 1,808 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(1) | 2,770 | 2,196 | |
RingCentral, Inc. 0.000%, 3/1/25 | 3,280 | 3,436 | |
Splunk, Inc. 1.125%, 6/15/27 | 4,550 | 4,536 | |
Workday, Inc. 0.250%, 10/1/22 | 2,470 | 4,619 | |
Zynga, Inc. 144A 0.000%, 12/15/26(1) | 1,200 | 1,199 | |
50,263 | |||
Telecommunications—1.3% | |||
Infinera Corp. 2.125%, 9/1/24 | 1,195 | 1,332 | |
Nice Ltd. 144A 0.000%, 9/15/25(1) | 1,290 | 1,510 | |
Viavi Solutions, Inc. 1.000%, 3/1/24 | 2,150 | 2,849 | |
5,691 | |||
Total Convertible Bonds and Notes (Identified Cost $303,500) | 337,980 |
Par Value | Value | ||
Total Long-Term Investments—157.6% (Identified Cost $630,968) | $ 687,397 |
Shares | ||
Short-Term Investment—4.7% | ||
Money Market Mutual Fund—4.7% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(12) | 20,587,971 | 20,588 |
Total Short-Term Investment (Identified Cost $20,588) | 20,588 | |
TOTAL INVESTMENTS—162.3% (Identified Cost $651,556) | $ 707,985 | |
Other assets and liabilities, net—(0.1)% | (268) | |
Preferred Shares—(62.2)% | (271,525) | |
NET ASSETS—100.0% | $ 436,192 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
NA | National Association |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
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 August 31, 2021, these securities amounted to a value of $305,932 or 70.1% 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 2.21% of net assets. |
(3) | Affiliated company. See Note 3G 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 cash. |
(7) | This loan will settle after August 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Variable rate security. Rate disclosed is as of August 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) | Amount is less than $500. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Jersey | 2 |
Bermuda | 1 |
Canada | 1 |
Cayman Islands | 1 |
Liberia | 1 |
United Kingdom | 1 |
Total | 100% |
† % of total investments as of August 31, 2021. |
Total Value at August 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $208,588 | $ — | $208,588 | $ — | |||
Leveraged Loans | 3,399 | — | 1,979 | 1,420 | |||
Convertible Bonds and Notes | 337,980 | — | 337,980 | — | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 123,426 | 115,508 | 7,918 | — | |||
Common Stocks | 5,136 | 29 | — | 5,107 | |||
Preferred Stocks | 8,228 | — | — | 8,228 (1) | |||
Warrants | 640 | — | — | 640 (1) | |||
Money Market Mutual Fund | 20,588 | 20,588 | — | — | |||
Total Investments | $707,985 | $136,125 | $556,465 | $15,395 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Preferred Stocks | Warrants | ||||||
Investments in Securities | |||||||||||
Balance as of February 28, 2021: | $ 19,409 | $ 9,574 | $ 1,365 | $ 163 | $ 8,194 | $ 113 | |||||
Accrued discount/(premium) | 8 | 8 | — | — | — | — | |||||
Realized gain (loss) | (3,751) | (3,751) | — | — (a) | — | — | |||||
Change in unrealized appreciation (depreciation)(b) | 5,141 | 16,833 | — | (12,253) | 34 | 527 | |||||
Purchases | 17,252 | — | 55 | 17,197 (c) | — | — | |||||
Sales (d) | (22,664) | (22,664) (c) | — | — | — | — | |||||
Balance as of August 31, 2021 | $ 15,395 | $ — | $ 1,420 | $ 5,107 | $ 8,228 (e) | $ 640 (e) |
Investments in Securities – Assets | Ending Balance at August 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stocks: | ||||||||
LiveStyle, Inc. Series A | $ 571 | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) | |||||||
LiveStyle, Inc. Series B | $7,657 | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) | |||||||
Common Stocks: | ||||||||
CCF Holdings | $4,330 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
CCF Holdings Series M | $ 598 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
Erickson | $ 179 | Market and Company Comparables | EV Multiples | 1.32x (0.74x - 2.32x) 11.73x (8.16x - 47.06x) 1.01x (0.59x - 1.39x) | ||||
M&A Transaction Multiples | 0.96x (0.41x - 1.96x) | |||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $—(1) | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $ 640 | Market and Company Comparables | EV Multiples | 1.07x (0.33x - 1.85x) 0.53x (0.20x - 0.76x) | ||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 54% | ||||||
LiveStyle, Inc. Series C | $—(1) | Market and Company Comparables | EV Multiples | 4.12x (0.41x - 16.67x) | ||||
Illiquidity Discount | (25% - 30%) |
AllianzGI Artificial Intelligence & Technology Opportunities Fund | AllianzGI Convertible & Income 2024 Target Term Fund | ||
Assets | |||
Investment in securities at value(1)(2) | $ 1,076,248 | $ 265,598 | |
Investment in affiliates at value(3) | — | 1,470 | |
Cash | 100 | 107 | |
Receivables | |||
Investment securities sold | 1,425 | 4 | |
Dividends and interest | 1,141 | 1,940 | |
Securities lending income | 6 | 1 | |
Prepaid Trustees’ retainer | 39 | 8 | |
Prepaid expenses and other assets (Note 3) | 11 | 28 | |
Total assets | 1,078,970 | 269,156 | |
Liabilities | |||
Loan Payable (Note 8) | 30,000 | 69,700 | |
Payables | |||
Collateral on securities loaned | 12,019 | 1,441 | |
Dividend distributions | 4,292 | 840 | |
Investment advisory fees (Note 3) | 1,065 | 164 | |
Administration, accounting and custody fees | 152 | 72 | |
Professional fees | 127 | 64 | |
Loan interest payable (Note 8) | 27 | 41 | |
Trustee deferred compensation plan (Note 3) | 11 | 28 | |
Investment securities purchased | — | 4,750 | |
Other accrued expenses | 9 | 26 | |
Total liabilities | 47,702 | 77,126 | |
Net Assets Applicable to Common Shareholders | $1,031,268 | $192,030 | |
AllianzGI Artificial Intelligence & Technology Opportunities Fund | AllianzGI Convertible & Income 2024 Target Term Fund | ||
Net Assets Applicable to Common Shareholders Consist of: | |||
Common shares par value ($0.00001 per share) | $ —(a) | $ —(a) | |
Capital paid in on shares of beneficial interest | 686,912 | 178,895 | |
Total distributable earnings (accumulated losses) | 344,356 | 13,135 | |
Net Assets Applicable to Common Shareholders | $ 1,031,268 | $ 192,030 | |
Common Shares Issued and Outstanding | 34,338,682 | 18,258,516 | |
Net Asset Value Per Common Share(b) | $ 30.03 | $ 10.52 | |
(1)Investment in securities at cost | $ 872,862 | $ 264,340 | |
(2) Market value of securities on loan | $ 40,835 | $ 19,409 | |
(3) Investment in affiliates at cost | $ — | $ 2,953 |
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
AllianzGI Convertible & Income Fund | AllianzGI Convertible & Income Fund II | ||
Assets | |||
Investment in securities at value(1)(2) | $ 921,522 | $ 693,409 | |
Investment in affiliates at value(3) | 15,984 | 14,576 | |
Cash | 100 | 503 | |
Receivables | |||
Investment securities sold | 968 | 745 | |
Dividends and interest | 6,399 | 4,901 | |
Securities lending income | 19 | — | |
Deferred offering costs (Note 9) | 214 | 202 | |
Prepaid Trustees’ retainer | 22 | 17 | |
Prepaid expenses and other assets (Note 3) | 213 | 163 | |
Total assets | 945,441 | 714,516 | |
Liabilities | |||
Loan Payable (Note 8) | 28,852 | — | |
Payables | |||
Collateral on securities loaned | 7,972 | — | |
Dividend distributions | 4,800 | 3,876 | |
Investment securities purchased | 2,236 | 2,126 | |
Investment advisory fees (Note 3) | 537 | 404 | |
Trustee deferred compensation plan (Note 3) | 213 | 162 | |
Administration, accounting and custody fees | 134 | 109 | |
Professional fees | 83 | 70 | |
Loan interest payable (Note 8) | 18 | — | |
Other accrued expenses | 58 | 52 | |
Total liabilities | 44,903 | 6,799 | |
Auction-Rate Preferred Shares ($25,000 liquidation preference per share applicable to an aggregate of 8,931 and 6,501 shares issued and outstanding, respectively) | 223,275 | 162,525 | |
Cumulative Preferred Shares ($25.00 liquidation preference per share applicable to an aggregate of 4,000,000 and 4,360,000 shares issued and outstanding, respectively) | 100,000 | 109,000 | |
Net Assets Applicable to Common Shareholders | $577,263 | $436,192 | |
AllianzGI Convertible & Income Fund | AllianzGI Convertible & Income Fund II | ||
Net Assets Applicable to Common Shareholders Consist of: | |||
Common shares par value ($0.00001 per share) | $ 1 | $ 1 | |
Capital paid in on shares of beneficial interest | 759,682 | 582,307 | |
Total distributable earnings (accumulated losses) | (182,420) | (146,116) | |
Net Assets Applicable to Common Shareholders | $ 577,263 | $ 436,192 | |
Common Shares Issued and Outstanding | 90,373,569 | 76,115,749 | |
Net Asset Value Per Common Share(a) | $ 6.39 | $ 5.73 | |
(1)Investment in securities at cost | $ 832,671 | $ 625,084 | |
(2) Market value of securities on loan | $ 35,567 | $ — | |
(3) Investment in affiliates at cost | $ 32,761 | $ 26,472 |
(a) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
AllianzGI Artificial Intelligence & Technology Opportunities Fund | AllianzGI Convertible & Income 2024 Target Term Fund | ||
Investment Income | |||
Dividends (net of foreign withholding taxes of $16 and $0, respectively) | $ 2,773 | $ 1 | |
Interest | 1,285 | 4,111 | |
Security lending, net of fees | 14 | 2 | |
Total investment income | 4,072 | 4,114 | |
Expenses | |||
Investment advisory fees | 6,448 | 991 | |
Administration, accounting and custody fees | 609 | 194 | |
Professional fees | 110 | 46 | |
Trustees’ fees and expenses | 93 | 18 | |
Printing fees and expenses | 34 | 16 | |
Transfer agent fees and expenses | 13 | 13 | |
Miscellaneous expenses | 22 | 9 | |
Total expenses before interest expense | 7,329 | 1,287 | |
Loan interest (Note 8) | 171 | 243 | |
Total expenses after interest expense | 7,500 | �� | 1,530 |
Less expenses reimbursed and/or waived by investment adviser | (430) | (112) | |
Net expenses | 7,070 | 1,418 | |
Net investment income (loss) | (2,998) | 2,696 | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Investments | 66,299 | 3,181 | |
Investment in affiliates | — | — (1) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | (9,117) | (2,931) | |
Investment in affiliates | — | (1,483) | |
Net realized and unrealized gain (loss) on investments | 57,182 | (1,233) | |
Net increase (decrease) in net assets applicable to common shareholders resulting from operations | $54,184 | $ 1,463 |
(1) | Amount is less than $500. |
AllianzGI Convertible & Income Fund | AllianzGI Convertible & Income Fund II | ||
Investment Income | |||
Interest | $ 11,305 | $ 8,670 | |
Dividends (net of foreign withholding taxes of $5 and $4, respectively) | 3,896 | 2,945 | |
Security lending, net of fees | 42 | — | |
Total investment income | 15,243 | 11,615 | |
Expenses | |||
Investment advisory fees | 3,243 | 2,469 | |
Administration, accounting and custody fees | 548 | 425 | |
Auction agent and commissions | 104 | 86 | |
Professional fees | 93 | 84 | |
Trustees’ fees and expenses | 54 | 41 | |
Printing fees and expenses | 46 | 40 | |
Transfer agent fees and expenses | 15 | 15 | |
Miscellaneous expenses | 52 | 43 | |
Total expenses before interest expense | 4,155 | 3,203 | |
Loan interest (Note 8) | 103 | — | |
Total expenses after interest expense | 4,258 | 3,203 | |
Less expenses reimbursed and/or waived by investment adviser | (397) | (294) | |
Net expenses | 3,861 | 2,909 | |
Net investment income (loss) | 11,382 | 8,706 | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Investments | 19,143 | 14,301 | |
Investment in affiliates | — (1) | — (1) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 5,932 | 4,670 | |
Investment in affiliates | (17,124) | (12,235) | |
Net realized and unrealized gain (loss) on investments | 7,951 | 6,736 | |
Dividends on preferred shares from net investment income | (2,830) | (3,017) | |
Net increase (decrease) in net assets applicable to common shareholders resulting from operations | $ 16,503 | $ 12,425 |
(1) | Amount is less than $500. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ (2,998) | $ (2,703) | |
Net realized gain (loss) | 66,299 | 171,687 | |
Net change in unrealized appreciation (depreciation) | (9,117) | 236,027 | |
Increase (decrease) in net assets resulting from operations | 54,184 | 405,011 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (25,754) (1) | (85,439) | |
Dividends and Distributions to Shareholders | (25,754) | (85,439) | |
From Capital Share Transactions | |||
Reinvestment of distributions resulting in the issuance of common stock (0 and 16 shares, respectively) | — | 450 | |
Increase (decrease) in net assets from capital transactions | — | 450 | |
Net increase (decrease) in net assets | 28,430 | 320,022 | |
Net Assets | |||
Beginning of period | 1,002,838 | 682,816 | |
End of period | $1,031,268 | $1,002,838 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ 2,696 | $ 7,409 | |
Net realized gain (loss) | 3,181 | 11,108 | |
Net change in unrealized appreciation (depreciation) | (4,414) | 7,246 | |
Increase (decrease) in net assets resulting from operations | 1,463 | 25,763 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (5,039) (1) | (10,078) | |
Dividends and Distributions to Shareholders | (5,039) | (10,078) | |
From Capital Share Transactions | |||
Reinvestment of distributions resulting in the issuance of common stock (0 and 2 shares, respectively) | — | 14 | |
Increase (decrease) in net assets from capital transactions | — | 14 | |
Net increase (decrease) in net assets | (3,576) | 15,699 | |
Net Assets | |||
Beginning of period | 195,606 | 179,907 | |
End of period | $192,030 | $195,606 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ 11,382 | $ 33,510 | |
Net realized gain (loss) | 19,143 | 3,663 | |
Net change in unrealized appreciation (depreciation) | (11,192) | 118,355 | |
Increase (decrease) in net assets resulting from operations | 19,333 | 155,528 | |
Dividends on Preferred Shares from Net Investment Income | (2,830) | (6,245) | |
From Dividends and Distributions to Common Shareholders | |||
Net investment income and net realized gains | (23,184) (1) | (28,244) | |
Return of capital | — | (18,750) | |
Dividends and Distributions to Common Shareholders | (23,184) | (46,994) | |
From Capital Share Transactions | |||
Reinvestment of distributions resulting in the issuance of common stock (0 and 4 shares, respectively) | — | 22 | |
Increase (decrease) in net assets from capital transactions | — | 22 | |
Net increase (decrease) in net assets | (6,681) | 102,311 | |
Net Assets | |||
Beginning of period | 583,944 | 481,633 | |
End of period | $577,263 | $583,944 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ 8,706 | $ 25,827 | |
Net realized gain (loss) | 14,301 | 2,875 | |
Net change in unrealized appreciation (depreciation) | (7,565) | 89,181 | |
Increase (decrease) in net assets resulting from operations | 15,442 | 117,883 | |
Dividends on Preferred Shares from Net Investment Income | (3,017) | (6,448) | |
From Dividends and Distributions to Common Shareholders | |||
Net investment income and net realized gains | (17,227) (1) | (20,132) | |
Return of capital | — | (14,691) | |
Dividends and Distributions to Common Shareholders | (17,227) | (34,823) | |
Net increase (decrease) in net assets | (4,802) | 76,612 | |
Net Assets | |||
Beginning of period | 440,994 | 364,382 | |
End of period | $436,192 | $440,994 |
(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 | $ 1,463 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |
Proceeds from sales of long-term investments | 69,307 |
(Increase) Decrease in investment securities sold receivable | (4) |
Purchases of long-term investments | (84,814) |
Increase (Decrease) in investment securities purchased payable | 1,737 |
Net (purchases) or sales of short-term investments | 16,015 |
Net change in unrealized (appreciation)/depreciation on investments | 4,414 |
Net realized (gain)/loss on investments | (3,181) |
Amortization of premium and accretion of discounts on investments | 179 |
(Increase) Decrease in dividends and interest receivable | (3) |
(Increase) Decrease in security lending receivable | (1) |
(Increase) Decrease in prepaid expenses and other assets | 4 |
(Increase) Decrease in prepaid Trustees’ retainer | (8) |
Increase (Decrease) in loan interest payable | (6) |
Increase (Decrease) in affiliated expenses payable | 37 |
Increase (Decrease) in non-affiliated expenses payable | (146) |
Cash provided by (used for) operating activities | 4,993 |
Cash provided by (used for) financing activities: | |
Cash distributions paid to shareholders | (5,039) |
Cash provided by (used for) financing activities | (5,039) |
Net increase (decrease) in cash | (46) |
Cash at beginning of period | 153 |
Cash at end of period | $ 107 |
Supplemental cash flow information: | |
Cash paid during the period for interest expense on loan payable | $ 249 |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | From Inception October 31, 2019(1) to February 29 2020 | |||
PER SHARE DATA: | |||||
Net asset value, beginning of period | $ 29.20 | $ 19.89 | $ 20.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss)(2) | (0.09) | (0.08) | (0.01) | ||
Net realized and unrealized gain (loss) | 1.67 | 11.88 | 0.23 | ||
Total from investment operations | 1.58 | 11.80 | 0.22 | ||
Dividends and Distributions to Shareholders: | |||||
Net investment income | (0.75) | — | — | ||
Net realized gains | — | (2.49) | (0.33) | ||
Total dividends and distributions to shareholders | (0.75) | (2.49) | (0.33) | ||
Net asset value, end of period | $ 30.03 | $ 29.20 | $ 19.89 | ||
Market value, end of period | $ 27.97 | $ 27.41 | $ 17.72 | ||
Total return, net asset value(3), (4) | 5.52% | 61.85% | 0.99% | ||
Total return, market value(3), (4) | 4.85% | 71.09% | (9.92)% | ||
RATIOS/SUPPLEMENTAL DATA: | |||||
Ratio of net expenses to average net assets(5), (6), (7) | 1.41% | 1.42% (8) | 1.34% (9) | ||
Ratio of total expenses after interest expense to average net assets(5), (7) | 1.50% | 1.43% (8) | 1.34% (9) | ||
Ratio of net investment income (loss) to average net assets(5) | (0.60)% | (0.33)% (8) | (0.15)% (9) | ||
Portfolio turnover rate(3) | 31% | 103% | 56% | ||
Net assets, end of period (000’s) | $1,031,268 | $1,002,838 | $682,816 | ||
Loan payable, end of period (000’s) | $ 30,000 | $ 30,000 | $ 30,000 | ||
Asset coverage, per $1,000 principal amount of loan payable | $ 35,376 | $ 34,428 | $ 23,761 |
(1) | Commencement of operations. |
(2) | Calculated using average shares outstanding. |
(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 and ending values. |
(5) | Annualized for periods less than one year. |
(6) | Ratio of net expenses, before interest expense, was 1.38%, 1.40% and 1.34% for the period ended August 31, 2021, year ended February 28, 2021 and period ended February 29, 2020 respectively. |
(7) | Interest expense relates to participation in the debt financing (See Note 8). |
(8) | Inclusive of excise tax expense of 0.05% for the year ended February 28, 2021. |
(9) | Certain expenses incurred by the Fund were not annualized. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29 | From Inception June 30, 2017(1) to February 28, 2018 | ||||||||
2021 | 2020 | 2019 | ||||||||
PER SHARE DATA: | ||||||||||
Net asset value, beginning of period | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | $ 9.84(2) | |||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(3) | 0.15 | 0.41 | 0.43 | 0.48 | 0.35 | |||||
Net realized and unrealized gain (loss) | (0.06) | 1.00 | 0.26 | (0.01) | (0.06) | |||||
Total from investment operations | 0.09 | 1.41 | 0.69 | 0.47 | 0.29 | |||||
Dividends and Distributions to Shareholders: | ||||||||||
Net investment income | (0.28) | (0.39) | (0.44) | (0.50) | (0.32) | |||||
Net realized gains | — | (0.16) | (0.11) | (0.05) | — | |||||
Total dividends and distributions to shareholders | (0.28) | (0.55) | (0.55) | (0.55) | (0.32) | |||||
Net asset value, end of period | $ 10.52 | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | |||||
Market value, end of period | $ 10.33 | $ 10.04 | $ 9.14 | $ 9.00 | $ 9.22 | |||||
Total return, net asset value(4), (5) | 0.83% | 15.18% | 7.30% | 4.97% | 2.87% | |||||
Total return, market value(4), (5) | 5.64% | 16.68% | 7.63% | 3.72% | (4.59)% | |||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||
Ratio of net expenses to average net assets(6), (7), (8), (9) | 1.46% | 1.72% | 2.38% | 2.60% | 2.14% (10) | |||||
Ratio of total expenses after interest expense to average net assets(6), (7), (9) | 1.58% | 1.73% | 2.38% | 2.60% | 2.14% (10) | |||||
Ratio of net investment income (loss) to average net assets(6), (7) | 2.78% | 4.24% | 4.34% | 4.94% | 5.47% (10) | |||||
Portfolio turnover rate(4) | 28% | 101% | 86% | 116% | 66% | |||||
Net assets, end of period (000’s) | $192,030 | $195,606 | $179,907 | $177,319 | $178,760 | |||||
Loan payable, end of period (000’s) | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | |||||
Asset coverage, per $1,000 principal amount of loan payable | $ 3,755 | $ 3,806 | $ 3,581 | $ 3,544 | $ 3,565 |
(1) | Commencement of operations. |
(2) | Initial public offering price of $10.00 per share less sales load of $1.65% of the offering price. |
(3) | Calculated using average shares outstanding. |
(4) | Not annualized for periods less than one year. |
(5) | 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 and ending values. |
(6) | Annualized for periods less than one year. |
(7) | Inclusive of excise tax expense of 0.08%, 0.07%, 0.08% and 0.02% (not annualized) for the years ended February 28, 2021, February 29, 2020, February 28, 2019 and the period ended February 28, 2018, respectively. |
(8) | Ratio of net expenses, before interest expense, was 1.21%, 1.33%, 1.31%, 1.36% and 1.23% for the period ended August 31, 2021, years ended 2021, 2020 and 2019 and period ended 2018 respectively. |
(9) | Interest expense relates to participation in the debt financing (See Note 8). |
(10) | Certain expenses incurred by the Fund were not annualized. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | $ 6.86 | $ 5.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | 0.13 | 0.37 | 0.52 | 0.56 | 0.69 | 0.73 | |||||
Net realized and unrealized gain (loss) | 0.09 | 1.35 | (0.02) | (0.64) | (0.16) | 1.44 | |||||
Total from investment operations | 0.22 | 1.72 | 0.50 | (0.08) | 0.53 | 2.17 | |||||
Dividends on Preferred Shares from Net Investment Income: | (0.03) | (0.07) | (0.14) | (0.12) | (0.07) | (0.03) | |||||
Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations | 0.19 | 1.65 | 0.36 | (0.20) | 0.46 | 2.14 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.26) | (0.31) | (0.42) | (0.50) | (0.77) | (0.78) | |||||
Return of capital | — | (0.21) | (0.22) | (0.28) | (0.01) | — | |||||
Total dividends and distributions to shareholders | (0.26) | (0.52) | (0.64) | (0.78) | (0.78) | (0.78) | |||||
Preferred Shares Transactions: | |||||||||||
Accretion to net asset value, resulting from tender offer of Auction-Rate Preferred shares | — | — | — | 0.09 | — | — | |||||
Capital change resulting from issuance of Cumulative Preferred Shares and related offering costs | — | — | — | (0.04) | — | — | |||||
Net asset value, end of period | $ 6.39 | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | $ 6.86 | |||||
Market value, end of period | $ 6.17 | $ 5.68 | $ 5.10 | $ 6.24 | $ 6.93 | $ 6.93 | |||||
Total return, net asset value(2), (3) | 3.03% | 33.90% | 6.52% | (2.42)% | 7.04% | 41.09% | |||||
Total return, market value(2), (3) | 13.34% | 24.29% | (8.51)% | 2.00% | 12.22% | 59.15% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses to average net assets(4), (5), (6), (7) | 1.35% | 1.45% | 1.53% | 1.56% (8) | 1.28% | 1.36% (9) | |||||
Ratio of total expenses after interest expense to average net assets(4), (5), (7) | 1.49% | 1.48% | 1.53% | 1.56% (8) | 1.28% | 1.36% (9) | |||||
Ratio of net investment income (loss) to average net assets(4), (5) | 3.98% | 7.04% | 9.30% | 9.22% | 10.32% | 11.33% | |||||
Portfolio turnover rate(2) | 30% | 73% | 35% | 41% | 34% | 28% | |||||
Net assets, end of period (000’s) | $577,263 | $583,944 | $481,633 | $502,648 | $580,867 | $456,985 | |||||
Loan payable, end of period (000’s) | $ 28,852 | $ 28,852 | $ 28,852 | $ 28,852 | $ — | $ — |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Asset coverage, per $1,000 principal amount of loan payable | $ 32,212 | $ 32,444 | $ 28,898 | $ 29,627 | $ — | $ — | |||||
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares | $ 70 | $ 70 | $ 62 | $ 64 | $ — | $ — | |||||
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred shares | 65,984 | 70,027 | 62,132 | 63,572 | 65,668 | 67,376 | |||||
Cumulative Preferred shares average market value(10) | $ 26.40 | $ 25.91 | $ 25.81 | $ 24.46 | $ — | $ — |
(1) | Calculated using average common 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 and ending values. |
(4) | Calculated on the basis of income and expenses applicable to both common and preferred shares relative to average net assets of common shareholders. |
(5) | Annualized for periods less than one year. |
(6) | Ratio of net expenses, before interest expense and auction agent fees and commissions, was 1.26%, 1.35%, 1.33%, 1.34%, 1.21% and 1.28% for the period ended August 31, 2021, years ended 2021, 2020, 2019, 2018 and 2017, respectively. |
(7) | Interest expense relates to participation in the debt financing (See Note 8). |
(8) | Inclusive of tender offer expenses of 0.03%. |
(9) | Inclusive of excise tax expense of 0.03% for the year ended February 28, 2017. |
(10) | Based on daily closing market prices. |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | $ 6.14 | $ 4.89 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | 0.11 | 0.34 | 0.48 | 0.50 | 0.62 | 0.66 | |||||
Net realized and unrealized gain (loss) | 0.10 | 1.20 | (0.03) | (0.57) | (0.14) | 1.30 | |||||
Total from investment operations | 0.21 | 1.54 | 0.45 | (0.07) | 0.48 | 1.96 | |||||
Dividends on Preferred Shares from Net Investment Income: | (0.04) | (0.08) | (0.14) | (0.12) | (0.06) | (0.02) | |||||
Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations | 0.17 | 1.46 | 0.31 | (0.19) | 0.42 | 1.94 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.23) | (0.27) | (0.36) | (0.45) | (0.61) | (0.69) | |||||
Return of capital | — | (0.19) | (0.19) | (0.24) | (0.08) | — | |||||
Total dividends and distributions to shareholders | (0.23) | (0.46) | (0.55) | (0.69) | (0.69) | (0.69) | |||||
Preferred Shares Transactions: | |||||||||||
Accretion to net asset value, resulting from tender offer of Auction-Rate Preferred shares | — | — | — | 0.09 | — | — | |||||
Capital change resulting from issuance of Cumulative Preferred Shares and related offering costs | — | — | — | (0.05) | — | — | |||||
Anti-dilutive impact of tender offers | — | — | — | 0.09 | — | — | |||||
Accretion to net asset value from share repurchases | — | — | — | (0.05) | — | — | |||||
Net asset value, end of period | $ 5.73 | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | $ 6.14 | |||||
Market value, end of period | $ 5.38 | $ 5.01 | $ 4.54 | $ 5.44 | $ 6.10 | $ 6.17 | |||||
Total return, net asset value(2), (3) | 2.83% | 33.51% | 6.26% | (2.69)% | 7.33% | 41.68% | |||||
Total return, market value(2), (3) | 12.05% | 22.81% | (6.98)% | 1.14% | 10.84% | 56.31% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses to average net assets(4), (5), (6), (7) | 1.35% | 1.44% | 1.41% | 1.53% (8) | 1.32% | 1.37% (9) | |||||
Ratio of total expenses after interest expense to average net assets(4), (5), (7) | 1.48% | 1.47% | 1.41% | 1.53% (8) | 1.32% | 1.37% (9) | |||||
Ratio of net investment income (loss) to average net assets(4), (5) | 4.03% | 7.18% | 9.48% | 9.28% | 10.31% | 11.46% | |||||
Portfolio turnover rate(2) | 31% | 73% | 35% | 41% | 33% | 28% |
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net assets, end of period (000’s) | $436,192 | $440,994 | $364,382 | $379,901 | $440,106 | $456,985 | |||||
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares | $ 65 | $ 65 | $ 58 | $ 60 | $ — | $ — | |||||
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred shares | 65,161 | 65,454 | 58,421 | 59,845 | 65,147 | 66,691 | |||||
Cumulative Preferred shares average market value(10) | $ 26.13 | $ 25.64 | $ 25.39 | $ 24.04 | $ — | $ — |
(1) | Calculated using average common 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 and ending values. |
(4) | Calculated on the basis of income and expenses applicable to both common and preferred shares relative to average net assets of common shareholders. |
(5) | Annualized for periods less than one year. |
(6) | Ratio of net expenses, before interest expense and auction agent fees and commissions, was 1.31%, 1.39%, 1.36%, 1.39%, 1.24% and 1.30% for the period ended August 31, 2021, years ended 2021, 2020, 2019, 2018 and 2017 respectively. |
(7) | Interest expense relates to participation in the debt financing (See Note 8). |
(8) | Inclusive of tender offer expenses of 0.03%. |
(9) | Inclusive of excise tax expense of 0.03% for the year ended February 28, 2017. |
(10) | Based on daily closing market prices. |
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 Common Shareholders |
The Funds declare distributions to common shareholders monthly. 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. The gross values are included in each Funds’ Schedule of Investments. As of August 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. | Investment Adviser |
Virtus Investment Advisers, Inc. (“VIA” or the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners (“Virtus”), became the Funds’ investment adviser effective February 1, 2021 (except for AllianzGI Artificial Intelligence & Technology Opportunities Fund which was effective February 26, 2021). The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser. | |
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 Artificial Intelligence & Technology Opportunities Fund | 1.25% | |||
AllianzGI Convertible & Income 2024 Target Term Fund | 0.75% | |||
AllianzGI Convertible & Income Fund | 0.70% | |||
AllianzGI Convertible & Income Fund II | 0.70% |
B. | Subadvisers |
Allianz Global Investors U.S. LLC (the “Subadviser”) is the subadviser to the Funds effective February 1, 2021 (except for AllianzGI Artificial Intelligence & Technology |
Opportunities Fund which was effective February 26, 2021). The Subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. | |
C. | Expense Limitations |
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 Artificial Intelligence & Technology Opportunities Fund | 0.09 % | |
AllianzGI Convertible & Income 2024 Target Term Fund | 0.19 | |
AllianzGI Convertible & Income Fund | 0.13 | |
AllianzGI Convertible & Income Fund II | 0.15 |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed under these arrangements within three years after the date on which such amounts were incurred. A Fund must pay its ordinary 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 reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending February 28/29: |
Expiration | ||||||
Fund | 2024 | 2025 | Total | |||
AllianzGI Artificial Intelligence & Technology Opportunities Fund | $ 22 | $ 430 | $ 452 | |||
AllianzGI Convertible & Income 2024 Target Term Fund | 25 | 112 | 137 | |||
AllianzGI Convertible & Income Fund | 107 | 397 | 504 | |||
AllianzGI Convertible & Income Fund II | 97 | 294 | 391 |
E. | Administration Services |
Virtus Fund Services, LLC (“VFS”), an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds effective February 1, 2021 (except for AllianzGI Artificial Intelligence & Technology Opportunities Fund which was effective February 26, 2021). |
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 August 31, 2021, the Funds incurred administration fees totaling $1,464 which are included in the Statements of Operations within the line item “Administration, accounting and custody fees.” | |
F. | Trustees’ Fees |
For the period ended August 31, 2021, the Funds incurred Trustees’ fees totaling $206 which are included in the Statements of Operations within the line item “Trustees’ fees and expenses” | |
G. | Investments in 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 August 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 Fund’s total long-term and short-term purchases and sales of the securities of affiliated issuers during the period ended August 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 Convertible & Income 2024 Target Term Fund | ||||||||||||||||||||
Common Stocks—0.6% | ||||||||||||||||||||
CCF Holdings LLC(1),(2) | $ — | $2,614 | $(—) (3) | $— (3) | $(1,683) | $ 931 | 1,369,231 | |||||||||||||
CCF Holdings LLC(1),(2) | 7 | — | — | — | 200 | 200 | 293,320 | |||||||||||||
$ 7(3) | $2,614 | $(—) (3) | $— (3) | $(1,483) | $1,131 |
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 Convertible & Income 2024 Target Term Fund | ||||||||||||||||||||
Leveraged Loans—0.2% | ||||||||||||||||||||
Music Technology Holdings LLC PIK(1),(4),(5),(6) | $326 | $ 13 | $ — | $— | $ — | $ 339 | 339,331 | |||||||||||||
Total | $333 | $2,627 | $(—) | $— | $(1,483) | $1,470 |
(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) | Amount is less than $500. |
(4) | 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 0.18% of net assets. |
(5) | Security is fixed rate. |
(6) | 100% of the income received was in cash. |
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 Convertible & Income Fund | ||||||||||||||||||||
Common Stocks—1.0% | ||||||||||||||||||||
CCF Holdings LLC(1),(2) | $ —(3) | $23,066 | $(—) (3) | $(—) (3) | $(17,756) | $ 5,310 | 7,808,320 | |||||||||||||
CCF Holdings LLC(1),(2) | — | — | — | — | 598 | 598 | 879,959 | |||||||||||||
CCF Holdings LLC, Class B | — (3) | — | — | — | (—) (3) | — | — | |||||||||||||
LiveStyle, Inc.(1),(2),(4),(5) | — (3) | — | — | — | — | — (3) | 90,407 | |||||||||||||
$ —(3) | $23,066 | $(—) (3) | $(—) (3) | $(17,158) | $ 5,908 | |||||||||||||||
Preferred Stocks—1.5% | ||||||||||||||||||||
LiveStyle, Inc. Series A(1),(2),(4),(5) | 537 | — | — | — | 34 | 571 | 3,554 |
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 Convertible & Income Fund | ||||||||||||||||||||
LiveStyle, Inc. Series B(1),(2),(4),(5) | $7,657 | $ — | $ — | $ — | $ — | $ 7,657 | 76,572 | |||||||||||||
$8,194 | $ — | $ — | $ — | $ 34 | $ 8,228 | |||||||||||||||
Leveraged Loans—0.3% | ||||||||||||||||||||
Music Technology Holdings LLC PIK(1),(4),(6),(7) | $1,776 | $ 72 | $ — | $ — | $ — | $ 1,848 | 1,848,049 | |||||||||||||
Total | $9,970 | $23,138 | $(—) | $(—) | $(17,124) | $15,984 |
(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) | Amount is less than $500. |
(4) | 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 1.08% of net assets. |
(5) | Security is restricted from resale. |
(6) | Security is fixed rate. |
(7) | 100% of the income received was in cash. |
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 Convertible & Income Fund II | ||||||||||||||||||||
Common Stocks—1.1% | ||||||||||||||||||||
CCF Holdings LLC(1),(2) | $ —(3) | $17,197 | $(—) (3) | $(—) (3) | $(12,867) | $ 4,330 | 6,367,079 | |||||||||||||
CCF Holdings LLC(1),(2) | — | — | — | — | 598 | 598 | 879,959 | |||||||||||||
CCF Holdings LLC, Class B | — (3) | — | — | — | (—) (3) | — | — | |||||||||||||
LiveStyle, Inc.(1),(2),(4),(5) | — (3) | — | — | — | — | — (3) | 90,407 | |||||||||||||
$ —(3) | $17,197 | $(—) (3) | $(—) (3) | $(12,269) | $ 4,928 |
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 Convertible & Income Fund II | ||||||||||||||||||||
Preferred Stocks—1.9% | ||||||||||||||||||||
LiveStyle, Inc. Series A(1),(2),(4),(5) | $ 537 | $ — | $ — | $ — | $ 34 | $ 571 | 3,554 | |||||||||||||
LiveStyle, Inc. Series B(1),(2),(4),(5) | 7,657 | — | — | — | — | 7,657 | 76,572 | |||||||||||||
$8,194 | $ — | $ — | $ — | $ 34 | $ 8,228 | |||||||||||||||
Leveraged Loans—0.3% | ||||||||||||||||||||
Music Technology Holdings LLC PIK(1),(4),(6),(7) | $1,365 | $ 55 | $ — | $ — | $ — | $ 1,420 | 1,419,970 | |||||||||||||
Total | $9,559 | $17,252 | $(—) | $(—) | $(12,235) | $14,576 |
(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) | Amount is less than $500. |
(4) | 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 2.21% of net assets. |
(5) | Security is restricted from resale. |
(6) | Security is fixed rate. |
(7) | 100% of the income received was in cash. |
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 respective 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 at August 31, 2021. |
Purchases | Sales | ||
AllianzGI Artificial Intelligence & Technology Opportunities Fund | $312,710 | $364,189 | |
AllianzGI Convertible & Income 2024 Target Term Fund | 84,814 | 69,307 | |
AllianzGI Convertible & Income Fund | 296,816 | 269,055 | |
AllianzGI Convertible & Income Fund II | 227,550 | 206,876 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund | $ 873,529 | $ 210,817 | $ (8,098) | $ 202,719 | ||||
AllianzGI Convertible & Income 2024 Target Term Fund | 267,385 | 6,817 | (7,134) | (317) | ||||
AllianzGI Convertible & Income Fund | 864,413 | 123,927 | (50,834) | 73,093 | ||||
AllianzGI Convertible & Income Fund II | 650,789 | 95,128 | (37,932) | 57,196 |
Fund | Short-Term | Long-Term | |||
AllianzGI Convertible & Income Fund | $47,379 | $186,285 | |||
AllianzGI Convertible & Income Fund II | 36,331 | 149,200 |
Late Year Ordinary Losses Deferred | Capital Loss Deferred | ||
AllianzGI Artificial Intelligence & Technology Opportunities Fund | $ 258 | $ — | |
AllianzGI Convertible & Income Fund | — | 200 |
High | Low | At August 31, 2021 | |||
Series A | 0.16% | 0.06% | 0.12% | ||
Series B | 0.16 | 0.08 | 0.12 | ||
Series C | 0.16 | 0.08 | 0.14 | ||
Series D | 0.16 | 0.08 | 0.10 | ||
Series E | 0.16 | 0.08 | 0.12 |
Fund | Average Borrowings | Weighted Average Interest Rate | Loan Interest Expense | Commitment Fees | ||||
AIO | $30,000 | 0.83 % | $ 72 | $42 | ||||
CBH | 69,700 | 0.83 | 168 | — | ||||
NCV | 28,852 | 0.83 | 70 | — |
Fund | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
AIO | $ 40,835 | $ 40,835 | $ — | |||
CBH | 19,409 | 19,409 | — | |||
NCV | 35,567 | 35,567 | — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Fund’s Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Fund | Outstanding Borrowings | Average Borrowings | Weighted Average Interest Rate | Loan Interest Expense | ||||
AIO | $ 30,000 | $30,000 | 0.86% | $57 | ||||
CBH | 69,700 | 69,700 | 0.49 | 75 | ||||
NCV | 28,852 | 28,852 | 0.53 | 33 |
Fund | Securities Lending Transactions | Overnight and Continuous | ||
AIO | Money Market Mutual Fund | $12,019 | ||
CBH | Money Market Mutual Fund | 18,750 | ||
NCV | Money Market Mutual Fund | 7,972 |
Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | ||||
AllianzGI Convertible & Income Fund | ||||||||
LiveStyle, Inc. | 2/2/16—11/30/16 | $ — | $ — | 0.0% | ||||
LiveStyle, Inc. Series A | 2/3/16—10/31/16 | 340 | 571 | 0.1 | ||||
LiveStyle, Inc. Series B | 2/3/16—11/30/16 | 7,507 | 7,657 | 1.3 | ||||
Affinion Group Holdings | 11/9/15—11/12/15 | 3,080 | — | 0.0 |
Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | ||||
AllianzGI Convertible & Income Fund II | ||||||||
LiveStyle, Inc. | 2/3/16—11/30/16 | $ — | $ — | 0.0% | ||||
LiveStyle, Inc. Series A | 2/3/16—11/1/16 | 348 | 571 | 0.1 | ||||
LiveStyle, Inc. Series B | 2/3/16—11/30/16 | 7,507 | 7,657 | 1.8 | ||||
Affinion Group Holdings | 11/9/15—11/12/15 | 2,371 | — | 0.0 |
AllianzGI Convertible & Income 2024 Target Term Fund $0.0460 per share
AllianzGI Convertible & Income Fund $0.04250 per share
AllianzGI Convertible & Income Fund II $0.03750 per share
AllianzGI Convertible & Income Fund II $0.34375 per share
AllianzGI Convertible & Income 2024 Target Term Fund $0.0460 per share
AllianzGI Convertible & Income Fund $0.04250 per share
AllianzGI Convertible & Income Fund II $0.03750 per share
Virtus AllianzGI Convertible & Income 2024 Target Term Fund
Virtus AllianzGI Convertible & Income Fund
Virtus AllianzGI Convertible & Income Fund II
Election of Trustees | Votes For | Votes Withheld | ||
F. Ford Drummond | 27,446,376 | 2,699,742 | ||
James S. MacLeod | 28,050,812 | 2,095,306 | ||
Philip R. McLoughlin | 27,465,169 | 2,680,949 | ||
George R. Aylward* | 28,093,521 | 2,052,597 |
Election of Trustees | Votes For | Votes Withheld | ||
Hans W. Kertess | 15,840,083 | 131,351 | ||
William B. Ogden, IV | 15,836,130 | 135,304 | ||
Alan Rappaport | 15,859,150 | 112,284 | ||
Davey S. Scoon | 15,846,616 | 124,818 | ||
George R. Aylward* | 15,841,607 | 129,827 |
Election of Trustees | Votes For | Votes Withheld | ||
Deborah A. DeCotis | 67,357,305 | 2,309,445 | ||
James S. MacLeod | 67,691,801 | 1,974,949 | ||
George R. Aylward* | 67,834,256 | 1,832,494 | ||
F. Ford Drummond | 3,351,462 | 67,483 |
Election of Trustees | Votes For | Votes Withheld | ||
Hans W. Kertess | 53,199,995 | 5,983,185 | ||
James S. MacLeod | 53,308,828 | 5,874,352 | ||
George R. Aylward* | 55,509,280 | 3,673,900 | ||
Philip R. McLoughlin | 55,457,229 | 3,725,951 | ||
F. Ford Drummond | 2,564,931 | 320,274 |
Shareholder Services | 1-800-254-5197 or closedendfunds@virtus.com |
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 1-800-243-1574.
please contact us at 1-800-254-5197 or closedendfunds@virtus.com, or visit Virtus.com.
8065 | 2Q-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. |
Response not required for semiannual report.
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 Convertible & Income 2024 Target Term Fund
By: | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer | ||
(principal executive officer) | ||
Date: 11/5/21 | ||
By: | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) | ||
Date: 11/5/21 |
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: 11/5/21 | ||
By: | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) | ||
Date: 11/5/21 |
* | Print the name and title of each signing officer under his or her signature. |