UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-21417 | |||||||
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AllianzGI NFJ Dividend, Interest & Premium Strategy Fund | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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1633 Broadway, New York, New York |
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10019 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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Lawrence G. Altadonna — 1633 Broadway, New York, New York 10019 | ||||||||
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(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
January 31, 2017 |
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Date of reporting period: |
April 30, 2016 |
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Item 1. Schedule of Investments
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited)
|
Shares |
|
|
|
Value* |
|
|
COMMON STOCK—68.6% |
|
|
| ||
|
|
|
Aerospace & Defense—1.5% |
|
|
|
|
200,000 |
|
United Technologies Corp. (a) |
|
$20,874,000 |
|
|
|
|
|
|
|
|
|
|
|
Automobiles—2.9% |
|
|
|
|
1,479,700 |
|
Ford Motor Co. (a) |
|
20,064,732 |
|
|
614,000 |
|
General Motors Co. (a) |
|
19,525,200 |
|
|
|
|
|
|
39,589,932 |
|
|
|
|
Banks—9.6% |
|
|
|
|
489,300 |
|
Citigroup, Inc. (a) |
|
22,644,804 |
|
|
967,900 |
|
Fifth Third Bancorp (a) |
|
17,722,249 |
|
|
580,500 |
|
JPMorgan Chase & Co. (a) |
|
36,687,600 |
|
|
195,000 |
|
PNC Financial Services Group, Inc. (a) |
|
17,117,100 |
|
|
717,000 |
|
Wells Fargo & Co. (a) |
|
35,835,660 |
|
|
|
|
|
|
130,007,413 |
|
|
|
|
Biotechnology—2.8% |
|
|
|
|
335,000 |
|
AbbVie, Inc. (a) |
|
20,435,000 |
|
|
195,000 |
|
Gilead Sciences, Inc. (a) |
|
17,200,950 |
|
|
|
|
|
|
37,635,950 |
|
|
|
|
Capital Markets—1.1% |
|
|
|
|
150,000 |
|
Ameriprise Financial, Inc. (a) |
|
14,385,000 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals—1.5% |
|
|
|
|
290,900 |
|
Celanese Corp., Class A (a) |
|
20,566,630 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment—1.1% |
|
|
|
|
546,900 |
|
Cisco Systems, Inc. (a) |
|
15,034,281 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance—1.4% |
|
|
|
|
264,300 |
|
Capital One Financial Corp. (a) |
|
19,132,677 |
|
|
|
|
|
|
|
|
|
|
|
Containers/Packaging—1.4% |
|
|
|
|
429,400 |
|
International Paper Co. (a) |
|
18,580,138 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunications Services—4.0% |
|
|
|
|
910,000 |
|
AT&T, Inc. (a) |
|
35,326,200 |
|
|
365,000 |
|
Verizon Communications, Inc. (a) |
|
18,593,100 |
|
|
|
|
|
|
53,919,300 |
|
|
|
|
Electric Utilities—1.2% |
|
|
|
|
250,100 |
|
American Electric Power Co., Inc. (a) |
|
15,881,350 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment—1.7% |
|
|
|
|
362,900 |
|
Eaton Corp. PLC (a) |
|
22,960,683 |
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing—2.6% |
|
|
|
|
526,000 |
|
Wal-Mart Stores, Inc. |
|
35,173,620 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services—1.6% |
|
|
|
|
297,000 |
|
Quest Diagnostics, Inc. (a) |
|
22,325,490 |
|
|
|
|
|
|
|
|
|
|
|
Household Products—1.3% |
|
|
|
|
229,305 |
|
Procter & Gamble Co. (a) |
|
18,371,917 |
|
|
|
|
|
|
|
|
|
|
|
Insurance—6.7% |
|
|
|
|
355,000 |
|
Hartford Financial Services Group, Inc. |
|
15,754,900 |
|
|
865,100 |
|
MetLife, Inc. (a) |
|
39,016,010 |
|
|
323,700 |
|
The Travelers Cos, Inc. (a) |
|
35,574,630 |
|
|
|
|
|
|
90,345,540 |
|
|
|
|
IT Services—2.2% |
|
|
|
|
206,140 |
|
International Business Machines Corp. (a) |
|
30,084,071 |
|
|
|
|
|
|
|
|
|
|
|
Leisure Products—1.6% |
|
|
|
|
696,900 |
|
Mattel, Inc. (a) |
|
21,666,621 |
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining—0.3% |
|
|
|
|
613,335 |
|
ArcelorMittal |
|
3,453,076 |
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail—1.3% |
|
|
|
|
440,900 |
|
Macy’s, Inc. (a) |
|
17,455,231 |
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities—1.4% |
|
|
|
|
410,000 |
|
Public Service Enterprise Group, Inc. (a) |
|
18,913,300 |
|
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
|
Shares |
|
|
|
Value* |
|
|
|
|
Oil, Gas & Consumable Fuels—10.4% |
|
|
|
|
207,000 |
|
Chevron Corp. (a) |
|
$21,151,260 |
|
|
220,000 |
|
Exxon Mobil Corp. (a) |
|
19,448,000 |
|
|
813,700 |
|
Royal Dutch Shell PLC, Class A, ADR (a) |
|
43,036,593 |
|
|
573,400 |
|
Sasol Ltd., ADR (a) |
|
18,801,786 |
|
|
424,600 |
|
Total SA, ADR (a) |
|
21,548,450 |
|
|
301,600 |
|
Valero Energy Corp. (a) |
|
17,755,192 |
|
|
|
|
|
|
141,741,281 |
|
|
|
|
Pharmaceuticals—3.9% |
|
|
|
|
170,000 |
|
Johnson & Johnson (a) |
|
19,053,600 |
|
|
526,100 |
|
Pfizer, Inc. (a) |
|
17,208,731 |
|
|
311,400 |
|
Teva Pharmaceutical Industries Ltd., ADR (a) |
|
16,955,730 |
|
|
|
|
|
|
53,218,061 |
|
|
|
|
Road & Rail—1.6% |
|
|
|
|
318,700 |
|
Ryder System, Inc. (a) |
|
21,964,804 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment—0.9% |
|
|
|
|
400,000 |
|
Intel Corp. (a) |
|
12,112,000 |
|
|
|
|
|
|
|
|
|
|
|
Software—1.6% |
|
|
|
|
711,200 |
|
CA, Inc. (a) |
|
21,094,192 |
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware, Storage & Peripherals—1.0% |
|
|
|
|
152,200 |
|
Apple, Inc. |
|
14,267,228 |
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock (cost-$911,871,105) |
|
930,753,786 |
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
CONVERTIBLE BONDS & NOTES—17.3% |
|
|
| ||
|
|
|
Automobiles—0.9% |
|
|
|
|
$65,000 |
|
Fiat Chrysler, 7.875%, 12/15/16 |
|
4,732,813 |
|
|
7,500 |
|
Tesla Motors, Inc., 0.25%, 3/1/19 |
|
7,082,812 |
|
|
|
|
|
|
11,815,625 |
|
|
|
|
Biotechnology—0.7% |
|
|
|
|
3,500 |
|
Anacor Pharmaceuticals, Inc., 2.00%, 4/15/23 (c)(d) |
|
4,029,375 |
|
|
2,150 |
|
Cepheid, 1.25%, 2/1/21 |
|
1,854,375 |
|
|
745 |
|
Gilead Sciences, Inc., 1.625%, 5/1/16 |
|
2,943,942 |
|
|
|
|
|
|
8,827,692 |
|
|
|
|
Capital Markets—0.3% |
|
|
|
|
6,615 |
|
Walter Investment Management Corp., 4.50%, 11/1/19 |
|
4,039,284 |
|
|
|
|
|
|
|
|
|
|
|
Commercial Services—0.1% |
|
|
|
|
1,640 |
|
Cenveo Corp., 7.00%, 5/15/17 |
|
762,600 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment—0.3% |
|
|
|
|
2,500 |
|
Brocade Communications Systems, Inc., 1.375%, 1/1/20 |
|
2,432,812 |
|
|
|
|
Ciena Corp., |
|
|
|
|
1,000 |
|
0.875%, 6/15/17 |
|
986,250 |
|
|
500 |
|
3.75%, 10/15/18 (c)(d) |
|
563,750 |
|
|
|
|
|
|
3,982,812 |
|
|
|
|
Consumer Finance—0.7% |
|
|
|
|
5,000 |
|
Encore Capital Group, Inc., 2.875%, 3/15/21 |
|
3,843,750 |
|
|
7,130 |
|
PRA Group, Inc., 3.00%, 8/1/20 |
|
6,158,538 |
|
|
|
|
|
|
10,002,288 |
|
|
|
|
Electronic Equipment, Instruments & Components—0.2% |
|
|
|
|
2,840 |
|
TTM Technologies, Inc., 1.75%, 12/15/20 |
|
2,548,900 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment—0.2% |
|
|
|
|
4,975 |
|
SolarCity Corp., 1.625%, 11/1/19 |
|
3,261,734 |
|
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
|
Principal |
|
|
|
Value* |
|
|
|
|
Energy Equipment & Services—0.1% |
|
|
|
|
$2,000 |
|
Hornbeck Offshore Services, Inc., 1.50%, 9/1/19 |
|
$1,245,000 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies—0.5% |
|
|
|
|
|
|
Hologic, Inc. (e), |
|
|
|
|
3,750 |
|
zero coupon, 12/15/43 |
|
4,633,594 |
|
|
55 |
|
2.00%, 3/1/42 |
|
69,678 |
|
|
2,000 |
|
Wright Medical Group, Inc., 2.00%, 2/15/20 |
|
1,911,250 |
|
|
|
|
|
|
6,614,522 |
|
|
|
|
Health Care Technology—0.3% |
|
|
|
|
4,250 |
|
Allscripts Healthcare Solutions, Inc., 1.25%, 7/1/20 |
|
4,393,438 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables—0.9% |
|
|
|
|
6,500 |
|
CalAtlantic Group, Inc., 0.25%, 6/1/19 |
|
5,882,500 |
|
|
2,000 |
|
KB Home, 1.375%, 2/1/19 |
|
1,928,750 |
|
|
2,400 |
|
Lennar Corp., 3.25%, 11/15/21 |
|
4,650,000 |
|
|
|
|
|
|
12,461,250 |
|
|
|
|
Independent Power & Renewable Electricity Producers—0.5% |
|
|
|
|
|
|
NRG Yield, Inc. (c)(d), |
|
|
|
|
4,300 |
|
3.25%, 6/1/20 |
|
3,913,000 |
|
|
2,500 |
|
3.50%, 2/1/19 |
|
2,414,063 |
|
|
|
|
|
|
6,327,063 |
|
|
|
|
Insurance—0.1% |
|
|
|
|
2,530 |
|
AmTrust Financial Services, Inc., 2.75%, 12/15/44 |
|
1,924,381 |
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail—0.9% |
|
|
|
|
2,230 |
|
Ctrip.com International Ltd., 1.00%, 7/1/20 (c)(d) |
|
2,447,425 |
|
|
|
|
Priceline Group, Inc., |
|
|
|
|
4,000 |
|
0.35%, 6/15/20 |
|
4,905,000 |
|
|
5,000 |
|
0.90%, 9/15/21 |
|
5,175,000 |
|
|
|
|
|
|
12,527,425 |
|
|
|
|
Internet Software & Services—2.1% |
|
|
|
|
4,000 |
|
Akamai Technologies, Inc., zero coupon, 2/15/19 |
|
3,870,020 |
|
|
1,500 |
|
Cornerstone OnDemand, Inc., 1.50%, 7/1/18 |
|
1,505,625 |
|
|
5,000 |
|
Gogo, Inc., 3.75%, 3/1/20 |
|
3,853,150 |
|
|
3,950 |
|
LinkedIn Corp., 0.50%, 11/1/19 |
|
3,708,063 |
|
|
12,530 |
|
Twitter, Inc., 0.25%, 9/15/19 |
|
10,948,087 |
|
|
5,000 |
|
Web.com Group, Inc., 1.00%, 8/15/18 |
|
4,862,500 |
|
|
|
|
|
|
28,747,445 |
|
|
|
|
IT Services—0.3% |
|
|
|
|
4,300 |
|
Cardtronics, Inc., 1.00%, 12/1/20 |
|
4,321,500 |
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services—0.2% |
|
|
|
|
400 |
|
Fluidigm Corp., 2.75%, 2/1/34 |
|
253,750 |
|
|
2,500 |
|
Illumina, Inc., 0.50%, 6/15/21 |
|
2,587,500 |
|
|
|
|
|
|
2,841,250 |
|
|
|
|
Machinery—0.6% |
|
|
|
|
4,020 |
|
Meritor, Inc., 7.875%, 3/1/26 (e) |
|
4,808,925 |
|
|
4,500 |
|
Navistar International Corp., 4.75%, 4/15/19 |
|
3,048,750 |
|
|
|
|
|
|
7,857,675 |
|
|
|
|
Media—0.3% |
|
|
|
|
1,500 |
|
Liberty Media Corp., 1.375%, 10/15/23 |
|
1,515,000 |
|
|
2,000 |
|
Live Nation Entertainment, Inc., 2.50%, 5/15/19 |
|
2,001,250 |
|
|
|
|
|
|
3,516,250 |
|
|
|
|
Oil, Gas & Consumable Fuels—0.4% |
|
|
|
|
5,315 |
|
Cheniere Energy, Inc., 4.25%, 3/15/45 |
|
3,089,344 |
|
|
5,500 |
|
Cobalt International Energy, Inc., 2.625%, 12/1/19 |
|
2,794,687 |
|
|
1,000 |
|
Energy XXI Ltd., 3.00%, 12/15/18 (f) |
|
5,500 |
|
|
|
|
|
|
5,889,531 |
|
|
|
|
Personal Products—0.3% |
|
|
|
|
4,030 |
|
Herbalife Ltd., 2.00%, 8/15/19 |
|
3,841,114 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals—0.8% |
|
|
|
|
4,425 |
|
Impax Laboratories, Inc., 2.00%, 6/15/22 (c)(d) |
|
4,118,016 |
|
|
1,600 |
|
Jazz Investments I Ltd., 1.875%, 8/15/21 |
|
1,788,000 |
|
|
3,800 |
|
Teligent, Inc., 3.75%, 12/15/19 |
|
3,146,875 |
|
|
885 |
|
Teva Pharmaceutical Finance Co. LLC, 0.25%, 2/1/26 |
|
1,168,753 |
|
|
|
|
|
|
10,221,644 |
|
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
|
Principal |
|
|
|
Value* |
|
|
|
|
Real Estate Investment Trust—0.2% |
|
|
|
|
$2,000 |
|
Extra Space Storage LP, 3.125%, 10/1/35 (c)(d) |
|
$2,207,500 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment—3.2% |
|
|
|
|
4,900 |
|
Inphi Corp., 1.125%, 12/1/20 (c)(d) |
|
5,086,813 |
|
|
2,500 |
|
Integrated Device Technology, Inc., 0.875%, 11/15/22 (c)(d) |
|
2,342,188 |
|
|
1,610 |
|
Intel Corp., 3.25%, 8/1/39 |
|
2,451,233 |
|
|
2,400 |
|
Lam Research Corp., 1.25%, 5/15/18 |
|
3,351,000 |
|
|
6,150 |
|
Microchip Technology, Inc., 1.625%, 2/15/25 |
|
6,407,531 |
|
|
7,345 |
|
Micron Technology, Inc., 3.00%, 11/15/43 |
|
5,237,903 |
|
|
20 |
|
NVIDIA Corp., 1.00%, 12/1/18 |
|
35,737 |
|
|
5,000 |
|
NXP Semiconductors NV, 1.00%, 12/1/19 |
|
5,687,500 |
|
|
|
|
ON Semiconductor Corp., |
|
|
|
|
5,000 |
|
1.00%, 12/1/20 (c)(d) |
|
4,559,375 |
|
|
2,000 |
|
2.625%, 12/15/26 |
|
2,133,750 |
|
|
|
|
SunEdison, Inc. (c)(d)(f), |
|
|
|
|
2,915 |
|
2.625%, 6/1/23 |
|
116,600 |
|
|
3,820 |
|
3.375%, 6/1/25 |
|
152,800 |
|
|
|
|
SunPower Corp., |
|
|
|
|
5,000 |
|
0.875%, 6/1/21 |
|
4,009,375 |
|
|
2,365 |
|
4.00%, 1/15/23 (c)(d) |
|
2,297,006 |
|
|
|
|
|
|
43,868,811 |
|
|
|
|
Software—1.5% |
|
|
|
|
|
|
FireEye, Inc. (c)(d), |
|
|
|
|
1,000 |
|
1.00%, 6/1/35 |
|
869,375 |
|
|
4,500 |
|
1.625%, 6/1/35 |
|
3,735,000 |
|
|
1,000 |
|
NetSuite, Inc., 0.25%, 6/1/18 |
|
1,001,250 |
|
|
2,950 |
|
Nuance Communications, Inc., 1.00%, 12/15/35 (c)(d) |
|
2,680,813 |
|
|
1,500 |
|
Proofpoint, Inc., 0.75%, 6/15/20 (c)(d) |
|
1,539,375 |
|
|
2,500 |
|
Red Hat, Inc., 0.25%, 10/1/19 |
|
3,092,188 |
|
|
450 |
|
Salesforce.com, Inc, 0.25%, 4/1/18 |
|
568,687 |
|
|
1,700 |
|
Take-Two Interactive Software, Inc., 1.00%, 7/1/18 |
|
2,791,187 |
|
|
4,500 |
|
Verint Systems, Inc., 1.50%, 6/1/21 |
|
4,066,875 |
|
|
|
|
|
|
20,344,750 |
|
|
|
|
Specialty Retail—0.3% |
|
|
|
|
5,950 |
|
Restoration Hardware Holdings, Inc., zero coupon, 7/15/20 (c)(d) |
|
4,503,406 |
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware, Storage & Peripherals—0.4% |
|
|
|
|
5,345 |
|
Electronics For Imaging, Inc., 0.75%, 9/1/19 |
|
5,488,647 |
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Bonds & Notes (cost-$267,963,462) |
|
234,383,537 |
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCK—9.2% |
|
|
| ||
|
|
|
Banks—0.6% |
|
|
|
|
3,525 |
|
Huntington Bancshares, Inc., 8.50% (g) |
|
4,827,470 |
|
|
2,790 |
|
Wells Fargo & Co., Ser. L, 7.50% (g) |
|
3,476,340 |
|
|
|
|
|
|
8,303,810 |
|
|
|
|
Commercial Services & Supplies—0.3% |
|
|
|
|
45,000 |
|
Stericycle, Inc., 5.25%, 9/15/18 |
|
3,494,700 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services—0.7% |
|
|
|
|
7,665 |
|
Bank of America Corp., Ser. L, 7.25% (g) |
|
9,031,669 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunications Services—0.9% |
|
|
|
|
110,050 |
|
Frontier Communications Corp., Ser. A, 11.125%, 6/29/18 |
|
11,478,215 |
|
|
50,000 |
|
Intelsat SA, 5.75%, 5/1/16 |
|
533,500 |
|
|
|
|
|
|
12,011,715 |
|
|
|
|
Food Products—1.1% |
|
|
|
|
78,830 |
|
Bunge Ltd., 4.875% (g) |
|
7,252,360 |
|
|
15,500 |
|
Post Holdings, Inc., 2.50% (g) |
|
2,135,125 |
|
|
72,485 |
|
Tyson Foods, Inc., 4.75%, 7/15/17 |
|
5,287,056 |
|
|
|
|
|
|
14,674,541 |
|
|
|
|
Health Care Providers & Services—0.7% |
|
|
|
|
200,000 |
|
Anthem, Inc., 5.25%, 5/1/18 |
|
9,270,000 |
|
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
|
Shares |
|
|
|
Value* |
|
|
|
|
Independent Power & Renewable Electricity Producers—0.3% |
|
|
|
|
57,635 |
|
Dynegy, Inc., 5.375%, 11/1/17 |
|
$3,742,817 |
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining—0.2% |
|
|
|
|
86,935 |
|
Alcoa, Inc., 5.375%, 10/1/17 |
|
3,310,485 |
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities—1.2% |
|
|
|
|
204,100 |
|
AES Trust III, 6.75%, 10/15/29 |
|
10,429,510 |
|
|
121,500 |
|
Dominion Resources, Inc., 6.375%, 7/1/17 |
|
5,993,595 |
|
|
|
|
|
|
16,423,105 |
|
|
|
|
Oil, Gas & Consumable Fuels—1.1% |
|
|
|
|
45,100 |
|
ATP Oil & Gas Corp., 8.00% (b)(c)(d)(f)(g) |
|
5 |
|
|
99,950 |
|
Chesapeake Energy Corp., 5.00% (g) |
|
2,748,625 |
|
|
16,265 |
|
Energy XXI Ltd., 5.625% (g) |
|
15,777 |
|
|
56,750 |
|
Kinder Morgan, Inc., 9.75%, 10/26/18 |
|
2,506,080 |
|
|
224,530 |
|
Sanchez Energy Corp., 6.50% (g) |
|
4,575,921 |
|
|
54,980 |
|
Southwestern Energy Co., Ser. B, 6.25%, 1/15/18 |
|
1,742,316 |
|
|
66,625 |
|
WPX Energy, Inc., 6.25%, 7/31/18 |
|
3,149,364 |
|
|
|
|
|
|
14,738,088 |
|
|
|
|
Pharmaceuticals—0.9% |
|
|
|
|
8,900 |
|
Allergan PLC, Ser. A, 5.50%, 3/1/18 |
|
7,222,261 |
|
|
6,225 |
|
Teva Pharmaceutical Industries Ltd., 7.00%, 12/15/18 |
|
5,578,720 |
|
|
|
|
|
|
12,800,981 |
|
|
|
|
Real Estate Investment Trust—0.8% |
|
|
|
|
176,800 |
|
Alexandria Real Estate Equities, Inc., 7.00% (g) |
|
5,418,920 |
|
|
|
|
American Tower Corp., |
|
|
|
|
27,000 |
|
5.25%, 5/15/17 |
|
2,865,780 |
|
|
10,000 |
|
5.50%, 2/15/18 |
|
1,036,800 |
|
|
35,385 |
|
Welltower, Inc., 6.50% (g) |
|
2,184,316 |
|
|
|
|
|
|
11,505,816 |
|
|
|
|
Wireless Telecommunication Services—0.4% |
|
|
|
|
75,000 |
|
T-Mobile US, Inc., 5.50%, 12/15/17 |
|
5,085,750 |
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Preferred Stock (cost-$150,524,605) |
|
124,393,477 |
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
SHORT-TERM INVESTMENT—5.3% |
|
|
| ||
|
|
|
Time Deposit—5.3% |
|
|
|
|
$72,484 |
|
JPMorgan Chase & Co. — New York, 0.15%, 5/2/16 (cost-$72,484,301) |
|
72,484,301 |
|
|
|
|
|
|
|
|
|
|
|
Total Investments, before call options written |
|
1,362,015,101 |
|
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
|
Contracts |
|
|
|
Value* |
|
|
CALL OPTIONS WRITTEN (b)—(0.8)% |
|
|
| ||
|
|
|
Consumer Discretionary Select Sector SPDR Index, (ASE), |
|
|
|
|
4,500 |
|
strike price $79.50, expires 5/6/16 |
|
$(236,250 |
) |
|
2,300 |
|
strike price $80.50, expires 5/27/16 |
|
(165,600 |
) |
|
3,000 |
|
strike price $80.50, expires 6/10/16 |
|
(292,500 |
) |
|
2,200 |
|
strike price $81, expires 6/3/16 |
|
(145,200 |
) |
|
|
|
KBW Bank Index, (CBOE), |
|
|
|
|
4,000 |
|
strike price $67.50, expires 5/20/16 |
|
(950,000 |
) |
|
|
|
NASDAQ 100 Index, (CBOE), |
|
|
|
|
30 |
|
strike price $4525, expires 5/27/16 |
|
(32,850 |
) |
|
30 |
|
strike price $4550, expires 6/3/16 |
|
(33,900 |
) |
|
50 |
|
strike price $4625, expires 5/20/16 |
|
(6,125 |
) |
|
|
|
Philadelphia Oil Services Sector Index, (PHL), |
|
|
|
|
2,000 |
|
strike price $175, expires 5/20/16 |
|
(1,730,000 |
) |
|
1,700 |
|
strike price $195, expires 6/17/16 |
|
(510,000 |
) |
|
|
|
Philadelphia Stock Exchange KBW Bank Flex Index, (CBOE), |
|
|
|
|
4,000 |
|
strike price $67, expires 5/13/16 |
|
(1,126,328 |
) |
|
6,000 |
|
strike price $68, expires 5/6/16 |
|
(1,041,533 |
) |
|
6,000 |
|
strike price $69, expires 5/27/16 |
|
(1,281,952 |
) |
|
4,000 |
|
strike price $71.50, expires 6/10/16 |
|
(566,854 |
) |
|
|
|
Standard & Poor’s 500 Index, (CBOE), |
|
|
|
|
200 |
|
strike price $2060, expires 5/6/16 |
|
(360,000 |
) |
|
200 |
|
strike price $2065, expires 5/6/16 |
|
(300,000 |
) |
|
200 |
|
strike price $2070, expires 5/13/16 |
|
(355,000 |
) |
|
200 |
|
strike price $2075, expires 5/6/16 |
|
(197,000 |
) |
|
200 |
|
strike price $2080, expires 5/20/16 |
|
(337,000 |
) |
|
200 |
|
strike price $2090, expires 5/13/16 |
|
(176,000 |
) |
|
200 |
|
strike price $2095, expires 5/27/16 |
|
(280,000 |
) |
|
200 |
|
strike price $2100, expires 5/20/16 |
|
(176,000 |
) |
|
100 |
|
strike price $2100, expires 5/27/16 |
|
(120,000 |
) |
|
150 |
|
strike price $2110, expires 6/3/16 |
|
(165,750 |
) |
|
150 |
|
strike price $2115, expires 6/3/16 |
|
(141,750 |
) |
|
|
|
Total Call Options Written (premiums received-$8,494,691) |
|
(10,727,592 |
) |
|
|
|
|
|
|
|
|
|
|
Total Investments, net of call options written |
|
1,351,287,509 |
|
|
|
|
Other assets less other liabilities—0.4% |
|
5,922,432 |
|
|
|
|
Net Assets—100.0% |
|
$1,357,209,941 |
|
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
Notes to Schedule of Investments:
*Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of official closing prices, last reported sales prices, or if no sales or closing prices are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Fund’s investments are valued daily using prices supplied by an independent pricing service or broker/dealer quotations, or by using the last sale or settlement price on the exchange that is the primary market for such securities, or the mean between the last bid and ask quotations. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics.
The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial instruments in circumstances where market quotations are not readily available (including in cases where available market quotations are deemed to be unreliable), and has delegated primary responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (the “Investment Manager”) and to NFJ Investment Group LLC and Allianz Global Investors U.S. LLC (the “Sub-Advisers”), affiliates of the Investment Manager. The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as instructed by the Board. Each Sub-Adviser monitors the continued appropriateness of methods applied and identifies to the Investment Manager circumstances and events that may require fair valuation. The Investmrnt Manager, in turn, determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Investment Manager (in consultation with the Sub-Advisers) determines that a valuation method may no longer be appropriate, another valuation method may be selected or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review and ratify the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.
Short-term debt instruments maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing premiums or discounts based on their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.
The prices used by the Fund to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material. The Fund’s net asset value (“NAV”) is normally determined at the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business.
(a) All or partial amount segregated for the benefit of the counterparty as collateral for call options written.
(b) Non-income producing.
(c) Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $47,575,885, representing 3.5% of net assets.
(d) 144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.
(e) Step Bond—Coupon is a fixed rate for an initial period then resets at a specific date and rate.
(f) In default.
(g) Perpetual maturity. The date shown, if any, is the next call date.
(h) At April 30, 2016, the cost basis of portfolio securities (before call options written) for federal tax income purposes was $1,404,456,486. Gross unrealized appreciation was $103,370,148, gross unrealized depreciation was $145,811,533 and net unrealized depreciation was $42,441,385. The difference between book and tax cost basis was attributable to wash sale loss deferrals.
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
(i) Transactions in call options written for the three months ended April 30, 2016:
|
|
|
Contracts |
|
Premiums |
|
|
Options outstanding, January 31, 2016 |
|
36,590 |
|
$7,877,431 |
|
|
Options written |
|
68,785 |
|
15,432,839 |
|
|
Options terminated in closing transactions |
|
(19,725 |
) |
(9,062,077 |
) |
|
Options expired |
|
(34,840 |
) |
(5,132,516 |
) |
|
Options exercised |
|
(9,000 |
) |
(620,986 |
) |
|
Options outstanding, April 30, 2016 |
|
41,810 |
|
$8,494,691 |
|
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly
transaction between market participants. The three levels of the fair value hierarchy are described below:
· Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access
· Level 2 — valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs
· Level 3 — valuations based on significant unobservable inputs (including the Sub-Advisers’ or Valuation Committee’s own
assumptions and securities whose price was determined by using a single broker’s quote)
The valuation techniques used by the Fund to measure fair value during the three months ended April 30, 2016 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.
The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level of input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Assets categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with U.S. Generally Accepted Accounting Principles.
Equity Securities (Common and Preferred Stock)—Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Convertible Bonds & Notes—Convertible bonds & notes are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of convertible bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Option Contracts—Option contracts traded over-the-counter (“OTC”) and FLexible EXchange (“FLEX”) are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC and FLEX option contracts are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.
Schedule of Investments
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
April 30, 2016 (unaudited) (continued)
A summary of the inputs used at April 30, 2016 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments for more detailed information on Investments in Securities):
|
|
|
|
|
Level 2 - |
|
Level 3 - |
|
|
|
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
|
|
|
Level 1 - |
|
Observable |
|
Unobservable |
|
Value at |
|
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
4/30/16 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
$930,753,786 |
|
$— |
|
$— |
|
$930,753,786 |
|
|
Convertible Bonds & Notes |
|
— |
|
234,383,537 |
|
— |
|
234,383,537 |
|
|
Convertible Preferred Stock: |
|
|
|
|
|
|
|
|
|
|
Food Products |
|
5,287,056 |
|
9,387,485 |
|
— |
|
14,674,541 |
|
|
Oil, Gas & Consumable Fuels |
|
7,397,760 |
|
7,340,328 |
|
— |
|
14,738,088 |
|
|
Pharmaceuticals |
|
7,222,261 |
|
5,578,720 |
|
— |
|
12,800,981 |
|
|
All Other |
|
82,179,867 |
|
— |
|
— |
|
82,179,867 |
|
|
Short-Term Investment |
|
— |
|
72,484,301 |
|
— |
|
72,484,301 |
|
|
|
|
1,032,840,730 |
|
329,174,371 |
|
— |
|
1,362,015,101 |
|
|
Investments in Securities - Liabilities |
|
|
|
|
|
|
|
|
|
|
Call Options Written, at value: |
|
|
|
|
|
|
|
|
|
|
Market price |
|
$(6,710,925 |
) |
$(4,016,667 |
) |
$— |
|
$(10,727,592 |
) |
|
Totals |
|
$1,026,129,805 |
|
$325,157,704 |
|
$— |
|
$1,351,287,509 |
|
At April 30, 2016, the Fund had no transfers between levels.
Glossary:
ADR — American Depositary Receipt
ASE — American Stock Exchange
CBOE — Chicago Board Options Exchange
PHL — Philadelphia Stock Exchange
SPDR — Standard & Poor’s Depository Receipt
Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
|
By: |
/s/ Thomas J. Fuccillo |
|
|
Thomas J. Fuccillo, |
| |
|
President & Chief Executive Officer |
| |
|
|
| |
|
Date: June 21, 2016 |
| |
|
|
| |
|
By: |
/s/ Lawrence G. Altadonna |
|
|
Lawrence G. Altadonna, |
| |
|
Treasurer, Principal Financial & Accounting Officer |
| |
|
|
| |
|
Date: June 21, 2016 |
| |
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/ Thomas J. Fuccillo |
|
|
Thomas J. Fuccillo, |
| |
|
President & Chief Executive Officer |
| |
|
|
| |
|
Date: June 21, 2016 |
| |
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By: |
/s/ Lawrence G. Altadonna |
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Lawrence G. Altadonna, |
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Treasurer, Principal Financial & Accounting Officer |
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Date: June 21, 2016 |
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