Edgar Filing: AllianzGI Convertible & Income Fund

AllianzGI Convertible & Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21284

AllianzGI Convertible & Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices) (Zip code)

Lawrence G. Altadonna

1633 Broadway,

New York, NY 10019

(Name and address of agent for service)

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

Date of fiscal year end: February 28

Date of reporting period: November 30, 2017

Item 1. Schedule of Investments

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2017 (unaudited)


Principal Amount (000s)			Value*
	CORPORATE BONDS & NOTES—40.3%
		Aerospace & Defense—1.7%
	$6,636	Kratos Defense & Security Solutions, Inc., 7.00%, 5/15/19	$	6,838,398
	7,540	TransDigm, Inc., 6.50%, 5/15/25		7,714,174
	1,420	Triumph Group, Inc., 7.75%, 8/15/25 (a)(b)		1,533,600

				16,086,172

		Auto Manufacturers—0.5%
	4,660	Navistar International Corp., 6.625%, 11/1/25 (a)(b)		4,837,686

		Building Materials—0.6%
	5,665	U.S. Concrete, Inc., 6.375%, 6/1/24		6,104,038

		Chemicals—2.7%
	7,500	Chemours Co., 6.625%, 5/15/23		7,968,750
	4,790	Kraton Polymers LLC, 7.00%, 4/15/25 (a)(b)		5,185,175
	5,670	Platform Specialty Products Corp., 6.50%, 2/1/22 (a)(b)		5,875,537
	6,720	Tronox Finance LLC, 7.50%, 3/15/22 (a)(b)		7,072,800

				26,102,262

		Commercial Services—1.8%
	8,050	Cenveo Corp., 6.00%, 5/15/24 (a)(b)		7,084,000
	7,375	Monitronics International, Inc., 9.125%, 4/1/20		6,250,312
	3,500	United Rentals North America, Inc., 5.50%, 7/15/25		3,736,250

				17,070,562

		Computers—1.9%
	5,203	DynCorp International, Inc., PIK 1.50%, 11.875%, 11/30/20		5,527,894
	7,350	Harland Clarke Holdings Corp., 9.25%, 3/1/21 (a)(b)		7,487,813
	3,935	Western Digital Corp., 10.50%, 4/1/24		4,576,897

				17,592,604

		Distribution/Wholesale—0.6%
	5,380	H&E Equipment Services, Inc., 5.625%, 9/1/25 (a)(b)		5,649,000

		Diversified Financial Services—3.5%
		Community Choice Financial, Inc.,
	10,085	10.75%, 5/1/19		8,925,225
	7,130	12.75%, 5/1/20 (a)(b)		5,739,650
		Nationstar Mortgage LLC,
	2,500	7.875%, 10/1/20		2,554,062
	5,300	9.625%, 5/1/19		5,460,325
		Navient Corp.,
	1,575	7.25%, 9/25/23		1,704,938
	3,210	8.45%, 6/15/18		3,317,535
	4,935	Springleaf Finance Corp., 8.25%, 10/1/23		5,477,850

				33,179,585

		Electric Utilities—0.6%
	5,585	NRG Energy, Inc., 6.25%, 5/1/24		5,948,025

		Engineering & Construction—0.6%
	5,100	Tutor Perini Corp., 6.875%, 5/1/25 (a)(b)		5,433,540

		Entertainment—0.7%
	2,695	AMC Entertainment Holdings, Inc., 6.125%, 5/15/27		2,684,894
	4,000	Cedar Fair L.P., 5.375%, 6/1/24		4,210,000

				6,894,894

		Healthcare-Services—2.9%
	2,835	Community Health Systems, Inc., 6.25%, 3/31/23		2,664,900
	5,430	DaVita, Inc., 5.125%, 7/15/24		5,535,206
	3,860	Envision Healthcare Corp., 6.25%, 12/1/24 (a)(b)		4,086,775
	3,800	HCA, Inc., 7.50%, 2/15/22		4,299,320
	7,955	Kindred Healthcare, Inc., 8.75%, 1/15/23		7,994,775
	3,500	Tenet Healthcare Corp., 7.00%, 8/1/25 (a)(b)		3,189,375

				27,770,351

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2017 (unaudited) (continued)


Principal Amount (000s)			Value*
		Home Builders—0.5%
$	4,395	Beazer Homes USA, Inc., 8.75%, 3/15/22	$	4,829,006

		Internet & Catalog Retail—0.3%
	2,800	Netflix, Inc., 5.875%, 2/15/25		3,003,000

		Iron/Steel—1.1%
		AK Steel Corp.,
	2,025	7.00%, 3/15/27		2,015,280
	1,315	7.50%, 7/15/23		1,433,350
	5,975	United States Steel Corp., 8.375%, 7/1/21 (a)(b)		6,535,156

				9,983,786

		Machinery-Construction & Mining—0.5%
	4,245	Terex Corp., 5.625%, 2/1/25 (a)(b)		4,486,434

		Media—2.2%
	7,370	Cablevision Systems Corp., 8.00%, 4/15/20		7,904,325
	3,740	Gray Television, Inc., 5.875%, 7/15/26 (a)(b)		3,805,450
	4,671	LiveStyle, Inc., 9.625%, 2/1/19 (a)(b)(c)(h)(j) (acquisition cost-$4,879,905; purchased 5/7/14-2/26/15)		93
	8,355	McClatchy Co., 9.00%, 12/15/22		8,736,197

				20,446,065

		Metal Fabricate/Hardware—0.4%
	3,830	Park-Ohio Industries, Inc., 6.625%, 4/15/27		4,131,613

		Mining—1.8%
	5,100	Alcoa Nederland Holding BV, 7.00%, 9/30/26 (a)(b)		5,788,500
	3,555	Constellium NV, 6.625%, 3/1/25 (a)(b)		3,786,075
	2,775	Hudbay Minerals, Inc., 7.625%, 1/15/25 (a)(b)		3,076,781
	3,950	Joseph T. Ryerson & Son, Inc., 11.00%, 5/15/22 (a)(b)		4,461,525

				17,112,881

		Oil, Gas & Consumable Fuels—4.6%
	2,700	Calumet Specialty Products Partners L.P., 6.50%, 4/15/21		2,703,375
	1,900	Carrizo Oil & Gas, Inc., 6.25%, 4/15/23		1,954,625
	16,950	Cobalt International Energy, Inc., 10.75%, 12/1/21 (a)(b)		18,009,375
	590	Ensco PLC, 5.20%, 3/15/25		486,750
	7,225	EP Energy LLC, 9.375%, 5/1/20		5,382,625
	2,835	NGL Energy Partners L.P., 7.50%, 11/1/23		2,927,137
	975	Noble Holding International Ltd., 7.75%, 1/15/24		848,250
	4,895	Oasis Petroleum, Inc., 6.875%, 3/15/22		4,999,019
	4,530	Sanchez Energy Corp., 6.125%, 1/15/23		3,844,837
	1,670	Transocean, Inc., 7.50%, 1/15/26 (a)(b)		1,720,100
	820	Weatherford International Ltd., 8.25%, 6/15/23		815,388

				43,691,481

		Pharmaceuticals—1.2%
	2,290	Endo Finance LLC, 5.375%, 1/15/23 (a)(b)		1,797,650
	5,865	Horizon Pharma, Inc., 6.625%, 5/1/23		5,747,700
	4,000	Valeant Pharmaceuticals International, Inc., 7.50%, 7/15/21 (a)(b)		3,970,000

				11,515,350

		Pipelines—0.4%
	3,550	Energy Transfer Equity L.P., 5.50%, 6/1/27		3,718,625

		Real Estate—0.9%
	3,085	Kennedy-Wilson, Inc., 5.875%, 4/1/24		3,185,263
	5,365	Uniti Group L.P., 8.25%, 10/15/23		5,163,812

				8,349,075

		Retail—1.9%
	3,500	Claire’s Stores, Inc., 9.00%, 3/15/19 (a)(b)		2,196,250
	5,980	Conn’s, Inc., 7.25%, 7/15/22		5,994,950
	2,835	Dollar Tree, Inc., 5.75%, 3/1/23		2,980,294
	1,530	L Brands, Inc., 6.875%, 11/1/35		1,552,950
	9,465	Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21 (a)(b)		5,442,375

				18,166,819

		Semiconductors—1.1%
	5,355	Advanced Micro Devices, Inc., 7.00%, 7/1/24		5,622,750
	4,645	Amkor Technology, Inc., 6.375%, 10/1/22		4,807,575

				10,430,325

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2017 (unaudited) (continued)


Principal Amount (000s)			Value*
		Software—0.7%
	$5,035	Camelot Finance S.A., 7.875%, 10/15/24 (a)(b)	$	5,400,038
	1,480	Rackspace Hosting, Inc., 8.625%, 11/15/24 (a)(b)		1,591,000

				6,991,038

		Telecommunications—4.1%
	3,500	Cincinnati Bell, Inc., 7.00%, 7/15/24 (a)(b)		3,403,750
	9,370	Consolidated Communications, Inc., 6.50%, 10/1/22		8,585,262
	5,290	Frontier Communications Corp., 10.50%, 9/15/22		4,205,550
	2,685	GTT Communications, Inc., 7.875%, 12/31/24 (a)(b)		2,837,347
		Hughes Satellite Systems Corp.,
	1,460	6.625%, 8/1/26		1,531,175
	4,250	7.625%, 6/15/21		4,717,500
	7,205	Sprint Communications, Inc., 11.50%, 11/15/21		8,790,100
	8,229	Windstream Services LLC, 6.375%, 8/1/23 (a)(b)		5,389,995

				39,460,679

		Transportation—0.5%
	4,830	XPO Logistics, Inc., 6.50%, 6/15/22 (a)(b)		5,065,463

		Total Corporate Bonds & Notes (cost-$395,851,167)		384,050,359

	CONVERTIBLE BONDS & NOTES—31.8%
		Apparel & Textiles—1.3%
	14,580	Iconix Brand Group, Inc., 1.50%, 3/15/18		12,320,100

		Auto Components—0.6%
	6,155	Horizon Global Corp., 2.75%, 7/1/22		5,881,872

		Auto Manufacturers—1.0%
	6,225	Navistar International Corp., 4.75%, 4/15/19		6,750,234
	2,850	Tesla, Inc., 1.25%, 3/1/21		3,063,750

				9,813,984

		Biotechnology—0.8%
	9,625	Intercept Pharmaceuticals, Inc., 3.25%, 7/1/23		7,736,094

		Building Materials—0.5%
	4,275	Cemex S.A.B de C.V., 3.72%, 3/15/20		4,456,688

		Commercial Services—2.6%
	13,510	Ascent Capital Group, Inc., 4.00%, 7/15/20		10,774,225
	10,530	Huron Consulting Group, Inc., 1.25%, 10/1/19		10,016,662
	3,705	ServiceSource International, Inc., 1.50%, 8/1/18		3,633,216

				24,424,103

		Distribution/Wholesale—0.7%
	6,600	Titan Machinery, Inc., 3.75%, 5/1/19		6,608,250

		Diversified Financial Services—2.4%
	9,320	Encore Capital Group, Inc., 3.00%, 7/1/20		10,956,825
	12,165	PRA Group, Inc., 3.00%, 8/1/20		11,731,622

				22,688,447

		Electric Utilities—1.0%
	9,230	NRG Yield, Inc., 3.25%, 6/1/20 (a)(b)		9,224,231

		Electrical Equipment—1.1%
		SunPower Corp.,
	3,135	0.875%, 6/1/21		2,451,178
	9,405	4.00%, 1/15/23		8,100,056

				10,551,234

		Energy-Alternate Sources—1.6%
	16,800	SolarCity Corp., 1.625%, 11/1/19		15,550,500

		Engineering & Construction—0.3%
	3,230	Layne Christensen Co., 4.25%, 11/15/18		3,169,438

		Equity Real Estate Investment Trusts (REITs)—1.4%
	5,400	Two Harbors Investment Corp., 6.25%, 1/15/22		5,636,250
	7,690	Western Asset Mortgage Capital Corp., 6.75%, 10/1/22		7,622,712

				13,258,962

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2017 (unaudited) (continued)


Principal Amount (000s)			Value*
		Healthcare/Healthcare Distributors—1.1%
	$11,415	Aceto Corp., 2.00%, 11/1/20	$	10,287,769

		Insurance—1.0%
	12,780	AmTrust Financial Services, Inc., 2.75%, 12/15/44		9,257,513

		Iron/Steel—0.1%
	910	AK Steel Corp., 5.00%, 11/15/19		1,122,144

		Oil, Gas & Consumable Fuels—2.8%
	18,235	Helix Energy Solutions Group, Inc., 3.25%, 3/15/32		18,178,016
	9,980	Whiting Petroleum Corp., 1.25%, 4/1/20		9,031,900

				27,209,916

		Pharmaceuticals—3.2%
	16,145	Herbalife Ltd., 2.00%, 8/15/19		16,427,537
	3,260	Horizon Pharma Investment Ltd., 2.50%, 3/15/22		3,029,763
	7,800	Impax Laboratories, Inc., 2.00%, 6/15/22		7,668,375
	3,415	Jazz Investments I Ltd., 1.50%, 8/15/24 (a)(b)		3,250,653

				30,376,328

		Pipelines—1.0%
	13,370	Cheniere Energy, Inc., 4.25%, 3/15/45		9,375,713

		Retail—1.1%
	10,425	RH, zero coupon, 6/15/19 (a)(b)		11,024,437

		Semiconductors—0.8%
	2,850	Cypress Semiconductor Corp., 4.50%, 1/15/22		3,856,406
	2,455	Micron Technology, Inc., 3.00%, 11/15/43, Ser. G		3,653,347

				7,509,753

		Software—1.8%
	15,785	Avid Technology, Inc., 2.00%, 6/15/20		13,693,487
	3,985	Synchronoss Technologies, Inc., 0.75%, 8/15/19		3,693,597

				17,387,084

		Telecommunications—1.1%
	11,065	Gogo, Inc., 3.75%, 3/1/20		10,207,462

		Tobacco—1.7%
		Vector Group Ltd. (g),
	5,665	3 mo. Cash Dividends on Common Stock + 1.75%, 1.75%, 4/15/20		6,521,831
	6,215	3 mo. Cash Dividends on Common Stock + 2.50%, 2.50%, 1/15/19		9,757,550

				16,279,381

		Transportation—0.8%
	3,990	Aegean Marine Petroleum Network, Inc., 4.25%, 12/15/21 (a)(b)		2,698,238
	4,560	Echo Global Logistics, Inc., 2.50%, 5/1/20		4,636,950

				7,335,188

		Total Convertible Bonds & Notes (cost-$282,400,528)		303,056,591

Shares
	CONVERTIBLE PREFERRED STOCK—22.9%
		Agriculture—0.9%
	82,645	Bunge Ltd., 4.875% (e)		8,527,931

		Banks—4.5%
	12,080	Bank of America Corp., 7.25%, Ser. L (e)		15,921,440
	9,695	Huntington Bancshares, Inc., 8.50%, Ser. A (e)		13,720,849
	9,880	Wells Fargo & Co., 7.50%, Ser. L (e)		13,249,080

				42,891,369

		Chemicals—0.9%
	68,495	Rayonier Advanced Materials, Inc., 8.00%, 8/15/19, Ser. A		9,220,112

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2017 (unaudited) (continued)


Shares			Value*
		Commercial Services & Supplies—0.8%
	145,890	Stericycle, Inc., 5.25%, 9/15/18	$	7,624,211

		Diversified Financial Services—0.5%
	5,700	Cowen, Inc., 5.625%, Ser. A (e)		4,778,139

		Diversified Telecommunication Services—0.2%
	155,900	Frontier Communications Corp., 11.125%, 6/29/18, Ser. A		2,282,376

		Electric Utilities—2.1%
	302,350	Dominion Energy, Inc., 6.75%, 8/15/19, Ser. A		15,991,291
	66,215	NextEra Energy, Inc., 6.123%, 9/1/19		3,734,526

				19,725,817

		Equity Real Estate Investment Trusts (REITs)—4.4%
	4,625	Crown Castle International Corp., 6.875%, 8/1/20, Ser. A		5,350,154
	631,070	RLJ Lodging Trust, 1.95%, Ser. A (e)		17,278,697
	410,065	Sutherland Asset Management Corp., 7.00%, 8/15/23		10,436,154
	141,135	Welltower, Inc., 6.50%, Ser. I (e)		8,780,008

				41,845,013

		Hand/Machine Tools—1.8%
	139,055	Stanley Black & Decker, Inc., 5.375%, 5/15/20		17,034,238

		Healthcare Providers & Services—2.4%
	401,015	Anthem, Inc., 5.25%, 5/1/18		23,150,596

		Healthcare-Products—1.3%
	199,155	Becton Dickinson and Co., 6.125%, 5/1/20, Ser. A		12,098,666

		Oil, Gas & Consumable Fuels—2.2%
	159,375	Anadarko Petroleum Corp., 7.50%, 6/7/18		5,197,219
	173,410	Kinder Morgan, Inc., 9.75%, 10/26/18, Ser. A		6,180,332
	230,425	Sanchez Energy Corp., 6.50%, Ser. B (e)		4,686,844
	12,485	Southwestern Energy Co., 6.25%, 1/15/18, Ser. B		180,908
	82,895	WPX Energy, Inc., 6.25%, 7/31/18, Ser. A		4,710,094

				20,955,397

		Pharmaceuticals—0.9%
	30,895	Teva Pharmaceutical Industries Ltd., 7.00%, 12/15/18		8,874,589

		Total Convertible Preferred Stock (cost-$226,111,595)		219,008,454

	PREFERRED STOCK (a)(d)(f)(i)(j)—0.9%
		Media—0.9%
	8,339	LiveStyle, Inc., Ser. A		833,900
	76,572	LiveStyle, Inc., Ser. B		7,657,200
	6,750	LiveStyle, Inc., Ser. B		68

		Total Preferred Stock (cost-$15,074,564)		8,491,168

	COMMON STOCK (a)(d)(f)(i)—0.2%
		Advertising—0.2%
	173,720	Affinion Group Holdings, Inc., Class A (h)(acquisition cost-$3,080,312; purchased 11/9/15-11/12/15)		1,773,681

		Aerospace & Defense—0.0%
	8,295	Erickson, Inc.		266,436

		Media—0.0%
	90,407	LiveStyle, Inc. (j)		9

		Total Common Stock (cost-$10,187,309)		2,040,126

Units
	WARRANTS (a)(d)(f)(i)—0.0%
		Commercial Services—0.0%
	2,062,338	Cenveo, Inc., strike price $12.00, expires 6/10/24		46,196

		Media—0.0%
	19,500	LiveStyle, Inc., expires 11/30/21, Ser. C. (j)		2

		Total Warrants (cost-$246,984)		46,198

Schedule of Investments

AllianzGI Convertible & Income Fund

November 30, 2017 (unaudited) (continued)


Principal Amount (000s)		Value*
	Repurchase Agreements—3.9%
$36,893	State Street Bank and Trust Co., dated 11/30/17, 0.12%, due 12/1/17, proceeds $36,893,123; collateralized by U.S. Treasury Notes, 1.625%, due 2/15/26, valued at $37,635,050 including accrued interest (cost-$36,893,000)	$	36,893,000

	Total Investments (cost-$966,765,147) (k)—100.0%	$	953,585,896

* 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 the investment manager, Allianz Global Investors U.S. LLC (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 necessary. The Investment Manager monitors the continued appropriateness of methods applied and identifies circumstances and events that may require fair valuation. The Investment Manager determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Investment Manager determines that a valuation method may no longer be appropriate, another valuation method previously approved by the Fund’s Valuation Committee may be selected or the Fund’s Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures adopted 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 Fund’s 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)	Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $188,713,359, representing 19.8% of total investments.

(b)	144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Securities with an aggregate value of $178,135,867, representing 18.7% of total investments.

(c)	In default.

(d)	Fair-Valued—Securities with an aggregate value of $10,577,492, representing 1.1% of total investments.

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

(f)	Level 3 security.

(g)	In addition to the coupon rate shown, the issuer is expected to pay additional interest based on the actual dividends paid on its common stock.

(h)	Restricted. The aggregate acquisition cost of such securities is $7,960,217. The aggregate value is $1,773,774, representing 0.2% of total investments.

(i)	Non-income producing.

(j)	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. represents 0.9% of total investments.

(k)

At November 30, 2017, the cost basis of portfolio securities for federal income tax purposes was $973,059,693. Gross unrealized appreciation was $69,456,658; gross unrealized depreciation was $88,930,455; and net unrealized depreciation was $19,473,797. The difference between book and tax cost was attributable to wash sale loss deferrals and the differing treatment of bond amortization.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

• Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access

• Level 2 – valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs

• Level 3 – valuations based on significant unobservable inputs (including the Investment Manager’s or Fund’s 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 nine months ended November 30, 2017 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 input, individually or in aggregate, that is significant to the 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. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities within Level 2 and Level 3, in accordance with accounting principles generally accepted in the United States of America.

Equity Securities (Common and Preferred Stock and Warrants) —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 based on various inputs and techniques, which include broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of convertible bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Corporate Bonds & Notes—Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently 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 corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

A summary of the inputs used at November 30, 2017 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments for more detailed information on Investments in Securities):


	Level 1— Quoted Prices		Level 2— Other Significant Observable Inputs		Level 3— Significant Unobservable Inputs		Value at 11/30/17
Investments in Securities—Assets
Corporate Bonds & Notes	$	—	$	384,050,359	$	—	$	384,050,359
Convertible Bonds & Notes		—		303,056,591		—		303,056,591
Convertible Preferred Stock:
Agriculture		—		8,527,931		—		8,527,931
Banks		29,170,520		13,720,849		—		42,891,369
Diversified Financial Services		—		4,778,139		—		4,778,139
Healthcare-Products		—		12,098,666		—		12,098,666
Oil, Gas & Consumable Fuels		16,268,553		4,686,844		—		20,955,397
Pharmaceuticals		—		8,874,589		—		8,874,589
All Other		120,882,363		—		—		120,882,363
Preferred Stock		—		—		8,491,168		8,491,168
Common Stock		—		—		2,040,126		2,040,126
Warrants		—		—		46,198		46,198
Repurchase Agreements		—		36,893,000		—		36,893,000

Totals	$	166,321,436	$	776,686,968	$	10,577,492	$	953,585,896

At November 30, 2017, a security valued at $13,720,849 was transferred from Level 1 to Level 2. The transfer was a result of the security having used an exchange-traded closing price at February 28, 2017, and having used an evaluated price from a third-party independent pricing vendor on November 30, 2017.

At November 30, 2017, a security valued $9,220,112 was transferred from Level 2 to Level 1. The transfer was a result of the security having used an evaluated price from a third-party independent pricing vendor at February 28, 2017, and having used an exchange-traded closing price on November 30, 2017.

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended November 30, 2017, was as follows:


	Beginning Balance 2/28/17		Purchases			Sales		Accrued Discount (Premiums)			Net Realized Gain (Loss)		Net Change in Unrealized Appreciation/ Depreciation			Transfers into Level 3		Transfers out of Level 3*			Ending Balance 11/30/17
Investments in Securities—Assets
Corporate Bonds & Notes:
Commercial Services	$	7,224,875		—			—	$	(11,474	)		—	$	(129,401	)		—	$	(7,084,000	)		—
Preferred Stock		7,759,048		—			—		—			—		732,120			—		—		$	8,491,168
Common Stock:
Advertising		2,581,479		—			—		—			—		(807,798	)		—		—			1,773,681
Aerospace & Defense		—	$	7,106,998	†		—		—			—		(6,840,562	)		—		—			266,436
Media		9		—			—		—			—		—			—		—			9
Warrants:
Commercial Services		449,705		—			—		—			—		(403,509	)		—		—			46,196
Media		2		—			—		—			—		—			—		—			2

Totals	$	18,015,118	$	7,106,998			—	$	(11,474	)		—	$	(7,449,150	)	$	—	$	(7,084,000	)	$	10,577,492

†	Issued via reorganization

*	Transferred out of Level 3 into Level 2 because an evaluated price from a third-party independent pricing vendor was used on November 30, 2017.

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at November 30, 2017:

Ending Balance
at 11/30/17

Valuation
Technique Used

Unobservable
Inputs

Input Values

Investments in Securities—Assets

Preferred Stock

8,491,100

Market and Company Comparables

EV Multiples

Illiquidity Discount

0.77x (0.29x - 1.17x)

20%

Common Stock

1,773,681

Market and Company Comparables

Broker quotes

EV Multiples

Illiquidity Discount

$11.50 ($11.00 - $12.00)

1.04x (0.24x - 1.51x)

30%

266,436

Market and Company Comparables

EV Multiples

Illiquidity Discount

0.90x (0.74x - 1.13x)

40%

Warrants

46,196

Black Scholes Model

Volatility

71%

The net change in unrealized appreciation/depreciation of Level 3 investments held at November 30, 2017 was $(7,319,749).

Glossary:

PIK—Payment-in-Kind

REIT—Real Estate Investment Trust

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 Investment Company Act of 1940 (the “1940 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 1940 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

Certifications pursuant to Rule 30a-2(a) under the 1940 Act are filed and attached hereto as Exhibit 99_CERT:

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: AllianzGI Convertible & Income Fund


By		/s/ Thomas J. Fuccillo
		Thomas J. Fuccillo
		President & Chief Executive Officer

Date:		January 18, 2018

By		/s/ Lawrence G. Altadonna
		Lawrence G. Altadonna
		Treasurer, Principal Financial & Accounting Officer

Date:		January 18, 2018

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:		January 18, 2018

By		/s/ Lawrence G. Altadonna
		Lawrence G. Altadonna
		Treasurer, Principal Financial & Accounting Officer

Date:		January 18, 2018