VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Foreign Government Securities—66.4% | |||
Angola —2.2% | |||
Republic of Angola | |||
144A 8.000%, 11/26/29(2) | $ 709 | $ 631 | |
144A 8.750%, 4/14/32(2) | 1,374 | 1,207 | |
144A 9.375%, 5/8/48(2) | 2,105 | 1,723 | |
Republic of Angola Via Avenir Issuer II Ireland DAC RegS 6.927%, 2/19/27(3)(4) | 2,983 | 2,799 | |
6,360 | |||
Argentina—1.6% | |||
Provincia De Buenos Aires RegS 6.375%, 9/1/37(4)(5) | 2,422 | 942 | |
Republic of Argentina | |||
0.750%, 7/9/30(5) | 4,057 | 1,871 | |
3.625%, 7/9/35(5) | 4,817 | 1,789 | |
4,602 | |||
Armenia—0.7% | |||
Republic of Armenia RegS 3.600%, 2/2/31(4) | 2,382 | 1,927 | |
Bahrain—2.9% | |||
Kingdom of Bahrain | |||
144A 5.625%, 9/30/31(2) | 368 | 342 | |
144A 5.250%, 1/25/33(2) | 3,099 | 2,720 | |
144A 5.625%, 5/18/34(2) | 3,067 | 2,726 | |
144A 7.500%, 2/12/36(2) | 1,655 | 1,680 | |
RegS 5.625%, 9/30/31(4) | 1,000 | 930 | |
8,398 | |||
Bolivia—0.2% | |||
Bolivia Government RegS 7.500%, 3/2/30(4) | 850 | 507 | |
Brazil—2.3% | |||
Federative Republic of Brazil | |||
6.250%, 3/18/31 | 349 | 354 | |
6.000%, 10/20/33 | 1,016 | 1,007 | |
5.000%, 1/27/45 | 2,532 | 2,018 | |
5.625%, 2/21/47 | 59 | 50 | |
4.750%, 1/14/50 | 4,709 | 3,482 | |
6,911 | |||
Chile—0.5% | |||
Republic of Chile | |||
4.950%, 1/5/36 | 1,040 | 1,007 | |
3.860%, 6/21/47 | 649 | 508 | |
1,515 | |||
Par Value(1) | Value | ||
Colombia—3.7% | |||
Republic of Colombia | |||
4.500%, 3/15/29 | $ 2,314 | $ 2,112 | |
3.000%, 1/30/30 | 387 | 317 | |
3.250%, 4/22/32 | 3 | 2 | |
7.500%, 2/2/34 | 1,194 | 1,208 | |
8.000%, 11/14/35 | 1,848 | 1,921 | |
6.125%, 1/18/41 | 3,578 | 3,048 | |
4.125%, 2/22/42 | 153 | 102 | |
5.200%, 5/15/49 | 2,277 | 1,654 | |
3.875%, 2/15/61 | 896 | 513 | |
10,877 | |||
Costa Rica—0.6% | |||
Costa Rica Government | |||
144A 6.550%, 4/3/34(2) | 860 | 887 | |
RegS 6.550%, 4/3/34(4) | 804 | 830 | |
1,717 | |||
Dominican Republic—1.9% | |||
Dominican Republic | |||
144A 4.875%, 9/23/32(2) | 1,214 | 1,081 | |
RegS 4.875%, 9/23/32(4) | 2,087 | 1,858 | |
RegS 5.300%, 1/21/41(4) | 2,721 | 2,284 | |
RegS 6.500%, 2/15/48(4) | 259 | 246 | |
5,469 | |||
Ecuador—1.1% | |||
Republic of Ecuador | |||
144A 0.000%, 7/31/30(2)(6) | 2,327 | 943 | |
144A 6.000%, 7/31/30(2)(5) | 1,131 | 691 | |
RegS 6.000%, 7/31/30(4)(5) | 1,142 | 698 | |
RegS 3.500%, 7/31/35(4)(5) | 544 | 260 | |
RegS 2.500%, 7/31/40(4)(5) | 1,588 | 694 | |
3,286 | |||
Egypt—2.7% | |||
Arab Republic of Egypt | |||
144A 3.875%, 2/16/26(2) | 482 | 444 | |
144A 4.750%, 4/16/26(2) | 950EUR | 966 | |
144A 5.875%, 2/16/31(2) | 1 | 1 | |
144A 6.375%, 4/11/31(2) | 2,770EUR | 2,440 | |
144A 8.500%, 1/31/47(2) | 1,305 | 1,012 |
See Notes to Schedule of Investments
1
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Egypt—continued | |||
144A 7.903%, 2/21/48(2) | $ 24 | $ 18 | |
144A 8.875%, 5/29/50(2) | 469 | 375 | |
144A 7.500%, 2/16/61(2) | 626 | 444 | |
RegS 4.750%, 4/16/26(4) | 257EUR | 261 | |
RegS 5.625%, 4/16/30(4) | 1,422EUR | 1,251 | |
RegS 8.700%, 3/1/49(4) | 847 | 668 | |
7,880 | |||
El Salvador—1.7% | |||
Republic of El Salvador | |||
RegS 8.625%, 2/28/29(4) | 1 | 1 | |
RegS 8.250%, 4/10/32(4) | 2,202 | 1,820 | |
RegS 7.650%, 6/15/35(4) | 824 | 618 | |
RegS 9.500%, 7/15/52(4) | 3,046 | 2,545 | |
4,984 | |||
Ethiopia—0.4% | |||
Federal Republic of Ethiopia 144A 6.625%, 12/11/24(2)(7) | 1,785 | 1,234 | |
Gabon—0.5% | |||
Republic of Gabon | |||
144A 6.950%, 6/16/25(2) | 546 | 526 | |
144A 7.000%, 11/24/31(2) | 1,168 | 952 | |
1,478 | |||
Ghana—0.8% | |||
Republic of Ghana | |||
144A 10.750%, 10/14/30(2) | 1,232 | 771 | |
RegS 10.750%, 10/14/30(4) | 2,042 | 1,279 | |
RegS 8.625%, 4/7/34(4)(7) | 1,032 | 443 | |
2,493 | |||
Guatemala—1.3% | |||
Republic of Guatemala | |||
144A 3.700%, 10/7/33(2) | 3,286 | 2,692 | |
144A 6.600%, 6/13/36(2) | 1,040 | 1,051 | |
3,743 | |||
Par Value(1) | Value | ||
Honduras—0.4% | |||
Honduras Government | |||
RegS 6.250%, 1/19/27(4) | $ 834 | $ 800 | |
RegS 5.625%, 6/24/30(4) | 292 | 255 | |
1,055 | |||
Hungary—2.8% | |||
Hungary Government International Bond | |||
144A 6.125%, 5/22/28(2) | 663 | 677 | |
144A 2.125%, 9/22/31(2) | 1,151 | 900 | |
144A 5.500%, 3/26/36(2) | 2,569 | 2,474 | |
RegS 2.125%, 9/22/31(4) | 1,409 | 1,101 | |
RegS 1.750%, 6/5/35(4) | 1,739EUR | 1,398 | |
RegS 1.500%, 11/17/50(4) | 1,169EUR | 712 | |
Magyar Export-Import Bank Zrt 144A 6.125%, 12/4/27(2) | 943 | 947 | |
8,209 | |||
India—0.1% | |||
Export-Import Bank India RegS 5.500%, 1/18/33(4) | 416 | 420 | |
Indonesia—1.1% | |||
Republic of Indonesia | |||
4.850%, 1/11/33 | 301 | 295 | |
144A 5.250%, 1/8/47(2) | 425 | 419 | |
RegS 6.750%, 1/15/44(4) | 898 | 1,041 | |
RegS 5.125%, 1/15/45(4) | 1,673 | 1,633 | |
3,388 | |||
Iraq—0.2% | |||
Republic of Iraq RegS 5.800%, 1/15/28(4) | 625 | 583 | |
Ivory Coast—0.5% | |||
Republic of Ivory Coast | |||
144A 6.125%, 6/15/33(2) | 669 | 587 | |
RegS 5.750%, 12/31/32(4)(5) | 184 | 172 | |
RegS 6.625%, 3/22/48(4) | 868EUR | 732 | |
1,491 | |||
Jordan—0.3% | |||
Kingdom of Jordan | |||
144A 7.500%, 1/13/29(2) | 300 | 296 |
See Notes to Schedule of Investments
2
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Jordan—continued | |||
RegS 7.375%, 10/10/47(4) | $ 641 | $ 552 | |
848 | |||
Kenya—0.6% | |||
Republic of Kenya | |||
144A 8.000%, 5/22/32(2) | 1,431 | 1,292 | |
RegS 7.250%, 2/28/28(4) | 471 | 436 | |
1,728 | |||
Lebanon—0.3% | |||
Lebanese Republic | |||
6.375%, 3/9/20(7) | 2,023 | 116 | |
6.250%, 5/27/22(7) | 6,514 | 375 | |
RegS 5.800%, 4/14/20(4)(7) | 1,561 | 90 | |
RegS 8.250%, 4/12/21(4)(7) | 3,735 | 215 | |
RegS 6.400%, 5/26/23(4)(7) | 1,325 | 76 | |
872 | |||
Mexico—2.1% | |||
United Mexican States | |||
3.500%, 2/12/34 | 750 | 621 | |
6.350%, 2/9/35 | 1,248 | 1,277 | |
6.000%, 5/7/36 | 793 | 791 | |
2.250%, 8/12/36 | 1,405EUR | 1,179 | |
4.750%, 3/8/44 | 924 | 762 | |
5.000%, 4/27/51 | 686 | 571 | |
3.771%, 5/24/61 | 922 | 593 | |
3.750%, 4/19/71 | 700 | 441 | |
6,235 | |||
Morocco—0.4% | |||
Kingdom of Morocco 144A 4.000%, 12/15/50(2) | 1,732 | 1,169 | |
Mozambique—0.1% | |||
Republic of Mozambique 144A 9.000%, 9/15/31(2)(5) | 490 | 411 | |
Nigeria—2.8% | |||
Republic of Nigeria | |||
144A 6.500%, 11/28/27(2) | 1,430 | 1,300 | |
144A 6.125%, 9/28/28(2) | 1,272 | 1,117 | |
144A 8.375%, 3/24/29(2) | 844 | 800 | |
144A 7.875%, 2/16/32(2) | 1,999 | 1,757 | |
RegS 8.747%, 1/21/31(4) | 1,145 | 1,078 | |
RegS 7.375%, 9/28/33(4) | 1,129 | 946 |
Par Value(1) | Value | ||
Nigeria—continued | |||
RegS 7.696%, 2/23/38(4) | $ 1,401 | $ 1,125 | |
8,123 | |||
Oman —2.0% | |||
Oman Government International Bond | |||
144A 5.625%, 1/17/28(2) | 1,951 | 1,951 | |
144A 6.000%, 8/1/29(2) | 1,133 | 1,149 | |
144A 7.375%, 10/28/32(2) | 1,222 | 1,343 | |
144A 6.500%, 3/8/47(2) | 1,516 | 1,495 | |
5,938 | |||
Pakistan—0.7% | |||
Islamic Republic of Pakistan | |||
144A 6.000%, 4/8/26(2) | 2,350 | 1,869 | |
144A 6.875%, 12/5/27(2) | 450 | 342 | |
2,211 | |||
Panama—3.0% | |||
Panama Bonos del Tesoro 3.362%, 6/30/31 | 2,575 | 1,989 | |
Republic of Panama | |||
3.875%, 3/17/28 | 822 | 746 | |
3.160%, 1/23/30 | 696 | 572 | |
7.500%, 3/1/31 | 1,884 | 1,931 | |
6.700%, 1/26/36 | 263 | 248 | |
8.000%, 3/1/38 | 1,156 | 1,182 | |
6.853%, 3/28/54 | 1,531 | 1,349 | |
3.870%, 7/23/60 | 1,585 | 887 | |
8,904 | |||
Papua New Guinea —0.1% | |||
Papua New Guinea Government International Bond 144A 8.375%, 10/4/28(2) | 435 | 408 | |
Peru—1.7% | |||
Republic of Peru | |||
2.844%, 6/20/30 | 340 | 297 | |
2.783%, 1/23/31 | 1,705 | 1,451 | |
8.750%, 11/21/33 | 710 | 871 | |
3.000%, 1/15/34 | 416 | 339 | |
2.780%, 12/1/60 | 3,726 | 2,137 | |
5,095 | |||
Philippines—0.5% | |||
Republic of Philippines 5.000%, 7/17/33 | 1,442 | 1,438 | |
Poland—0.5% | |||
Republic of Poland | |||
4.875%, 10/4/33 | 794 | 779 |
See Notes to Schedule of Investments
3
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Poland—continued | |||
5.500%, 4/4/53 | $ 669 | $ 668 | |
1,447 | |||
Qatar—3.3% | |||
State of Qatar | |||
144A 3.750%, 4/16/30(2) | 3,279 | 3,135 | |
144A 5.750%, 1/20/42(2) | 1,530 | 1,626 | |
144A 5.103%, 4/23/48(2) | 1,089 | 1,049 | |
144A 4.400%, 4/16/50(2) | 3,841 | 3,353 | |
RegS 4.400%, 4/16/50(4) | 687 | 600 | |
9,763 | |||
Romania—3.4% | |||
Romania Government International Bond | |||
144A 5.500%, 9/18/28(2) | 593EUR | 654 | |
144A 5.875%, 1/30/29(2) | 1,822 | 1,808 | |
144A 5.375%, 3/22/31(2) | 562EUR | 604 | |
144A 7.125%, 1/17/33(2) | 1,244 | 1,311 | |
144A 6.375%, 1/30/34(2) | 2,201 | 2,190 | |
144A 3.375%, 2/8/38(2) | 807EUR | 679 | |
144A 2.750%, 4/14/41(2) | 1,134EUR | 812 | |
144A 2.875%, 4/13/42(2) | 821EUR | 590 | |
RegS 4.125%, 3/11/39(4) | 627EUR | 563 | |
RegS 5.125%, 6/15/48(4) | 648 | 537 | |
RegS 4.000%, 2/14/51(4) | 446 | 309 | |
10,057 | |||
Russia—0.0% | |||
Russian Federation - Eurobond RegS 5.100%, 3/28/35(4)(7)(8)(9) | 100 | 55 | |
Saudi Arabia—4.0% | |||
Saudi International Bond | |||
144A 4.375%, 4/16/29(2) | 1,762 | 1,712 | |
144A 4.500%, 4/17/30(2) | 1,237 | 1,201 | |
144A 5.500%, 10/25/32(2) | 1,495 | 1,534 | |
144A 2.250%, 2/2/33(2) | 1,644 | 1,307 | |
144A 5.000%, 1/16/34(2) | 4,206 | 4,111 |
Par Value(1) | Value | ||
Saudi Arabia—continued | |||
144A 4.500%, 10/26/46(2) | $ 1,403 | $ 1,177 | |
RegS 3.750%, 1/21/55(4) | 902 | 639 | |
11,681 | |||
Serbia—0.2% | |||
Republic of Serbia | |||
RegS 2.125%, 12/1/30(4) | 419 | 330 | |
RegS 6.500%, 9/26/33(4) | 386 | 393 | |
723 | |||
South Africa—2.0% | |||
Republic of South Africa | |||
4.300%, 10/12/28 | 366 | 330 | |
5.875%, 4/20/32 | 4,295 | 3,875 | |
7.300%, 4/20/52 | 1,923 | 1,670 | |
5,875 | |||
Sri Lanka—1.0% | |||
Republic of Sri Lanka | |||
RegS 6.350%, 6/28/24(4)(7) | 1,156 | 627 | |
RegS 6.200%, 5/11/27(4)(7) | 2,475 | 1,330 | |
RegS 7.550%, 3/28/30(4)(7) | 1,801 | 960 | |
2,917 | |||
Tunisia—0.2% | |||
Tunisian Republic 144A 6.375%, 7/15/26(2) | 763EUR | 674 | |
Turkey—4.3% | |||
Hazine Mustesarligi Varl | |||
144A 8.509%, 1/14/29(2) | 1,387 | 1,448 | |
RegS 9.758%, 11/13/25(4) | 276 | 291 | |
Republic of Turkiye | |||
9.875%, 1/15/28 | 303 | 332 | |
9.375%, 3/14/29 | 1,688 | 1,833 | |
7.625%, 5/15/34 | 2,423 | 2,414 | |
5.750%, 5/11/47 | 8,289 | 6,214 | |
12,532 | |||
Ukraine—0.7% | |||
Ukraine Government Bond | |||
144A 7.750%, 9/1/27(2)(7) | 423 | 122 | |
144A 7.750%, 9/1/28(2)(7) | 518 | 148 | |
144A 9.750%, 11/1/30(2)(7) | 2,137 | 635 | |
144A 6.876%, 5/21/31(2)(7) | 1,160 | 291 |
See Notes to Schedule of Investments
4
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Ukraine—continued | |||
RegS 7.750%, 9/1/29(4)(7) | $ 3,155 | $ 891 | |
RegS 9.750%, 11/1/30(4)(7) | 272 | 81 | |
2,168 | |||
United Arab Emirates—0.9% | |||
Abu Dhabi Government International Bond 144A 3.125%, 4/16/30(2) | 1,036 | 949 | |
Finance Department Government of Sharjah 144A 4.000%, 7/28/50(2) | 2,697 | 1,710 | |
2,659 | |||
Uruguay—0.1% | |||
Republica Orient Uruguay 5.100%, 6/18/50 | 242 | 232 | |
Uzbekistan—0.1% | |||
Republic of Uzbekistan 144A 3.900%, 10/19/31(2) | 388 | 319 | |
Venezuela—0.6% | |||
Republic of Venezuela RegS 7.750%, 10/13/19(4)(7) | 11,904 | 1,667 | |
Zambia—0.3% | |||
Republic of Zambia | |||
144A 5.375%, 9/20/24(2)(7) | 679 | 414 | |
RegS 8.500%, 4/14/24(4)(7) | 509 | 346 | |
760 | |||
Total Foreign Government Securities (Identified Cost $199,318) | 195,436 | ||
Corporate Bonds and Notes—26.5% | |||
Argentina—0.6% | |||
MSU Energy S.A. 144A 6.875%, 2/1/25(2) | 176 | 143 | |
YPF S.A. | |||
144A 8.750%, 4/4/24(2) | 376 | 374 | |
144A 9.500%, 1/17/31(2) | 1,225 | 1,232 | |
1,749 | |||
Azerbaijan—0.6% | |||
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(4) | 1,565 | 1,605 | |
Brazil—1.0% | |||
3R Lux S.a.r.l. 144A 9.750%, 2/5/31(2) | 493 | 510 | |
Ambipar Lux S.a.r.l. 144A 9.875%, 2/6/31(2) | 257 | 254 | |
Braskem Netherlands Finance B.V. 144A 4.500%, 1/10/28(2) | 291 | 257 |
Par Value(1) | Value | ||
Brazil—continued | |||
Guara Norte S.a.r.l. 144A 5.198%, 6/15/34(2) | $ 360 | $ 324 | |
Iochpe-Maxion Austria GmbH 144A 5.000%, 5/7/28(2) | 295 | 265 | |
MC Brazil Downstream Trading S.a.r.l. 144A 7.250%, 6/30/31(2) | 447 | 405 | |
MV24 Capital B.V. 144A 6.748%, 6/1/34(2) | 677 | 636 | |
Samarco Mineracao S.A. 144A 9.500%, 6/30/31(2) | 419 | 385 | |
3,036 | |||
Chile—2.2% | |||
ATP Tower Holdings LLC 144A 4.050%, 4/27/26(2) | 558 | 517 | |
Corp. Nacional del Cobre de Chile | |||
144A 5.950%, 1/8/34(2) | 1,974 | 1,951 | |
144A 6.440%, 1/26/36(2) | 2,890 | 2,944 | |
Empresa Nacional del Petroleo RegS 5.250%, 11/6/29(4) | 1,138 | 1,102 | |
6,514 | |||
China—0.2% | |||
Huarong Finance II Co., Ltd. | |||
RegS 4.625%, 6/3/26(4) | 200 | 193 | |
RegS 4.875%, 11/22/26(4) | 200 | 192 | |
Longfor Group Holdings Ltd. RegS 3.950%, 9/16/29(4) | 500 | 213 | |
598 | |||
Colombia—0.9% | |||
AI Candelaria Spain S.A. RegS 5.750%, 6/15/33(4) | 1,011 | 797 | |
Banco Davivienda S.A. | |||
144A 6.650%(2)(10) | 147 | 97 | |
RegS 6.650%(4)(10) | 225 | 148 | |
Geopark Ltd. 144A 5.500%, 1/17/27(2) | 445 | 403 | |
Gran Tierra Energy, Inc. 144A 9.500%, 10/15/29(2) | 495 | 458 | |
SierraCol Energy Andina LLC 144A 6.000%, 6/15/28(2) | 893 | 776 | |
2,679 | |||
Georgia—0.1% | |||
Georgian Railway JSC 144A 4.000%, 6/17/28(2) | 314 | 285 | |
Ghana—0.6% | |||
Kosmos Energy Ltd. RegS 7.750%, 5/1/27(4) | 773 | 733 | |
Tullow Oil plc RegS 7.000%, 3/1/25(4) | 1,103 | 1,031 | |
1,764 | |||
India—0.7% | |||
Adani Electricity Mumbai Ltd. RegS 3.949%, 2/12/30(4) | 294 | 252 |
See Notes to Schedule of Investments
5
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
India—continued | |||
Adani Green Energy Ltd. RegS 4.375%, 9/8/24(4) | $ 500 | $ 493 | |
Adani Renewable Energy RJ Ltd. 144A 4.625%, 10/15/39(2) | 285 | 238 | |
Adani Transmission Step-One Ltd. 144A 4.000%, 8/3/26(2) | 397 | 372 | |
Clean Renewable Power Mauritius Pte Ltd. 144A 4.250%, 3/25/27(2) | 146 | 135 | |
Greenko Dutch B.V. | |||
144A 3.850%, 3/29/26(2) | 195 | 184 | |
RegS 3.850%, 3/29/26(4) | 208 | 196 | |
Network i2i Ltd. RegS 5.650% (4)(10) | 48 | 48 | |
Vedanta Resources Finance II plc RegS 13.875%, 12/9/28(4) | 139 | 128 | |
2,046 | |||
Indonesia—2.4% | |||
Freeport Indonesia PT RegS 5.315%, 4/14/32(4) | 206 | 199 | |
Indonesia Asahan Aluminium PT 144A 5.800%, 5/15/50(2) | 3,389 | 3,133 | |
Medco Maple Tree Pte Ltd. 144A 8.960%, 4/27/29(2) | 533 | 555 | |
Minejesa Capital B.V. 144A 5.625%, 8/10/37(2) | 1,025 | 894 | |
Pertamina Persero PT RegS 6.000%, 5/3/42(4) | 815 | 812 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | |||
RegS 5.250%, 10/24/42(4) | 783 | 705 | |
RegS 4.875%, 7/17/49(4) | 1,015 | 833 | |
7,131 | |||
Israel—0.2% | |||
Energean Israel Finance Ltd. 144A, RegS 4.875%, 3/30/26(2)(4) | 310 | 291 | |
Leviathan Bond Ltd. 144A, RegS 6.125%, 6/30/25(2)(4) | 333 | 326 | |
617 | |||
Kazakhstan—1.3% | |||
KazMunayGas National Co. JSC | |||
144A 3.500%, 4/14/33(2) | 1,144 | 930 | |
144A 5.750%, 4/19/47(2) | 1,816 | 1,546 | |
RegS 3.500%, 4/14/33(4) | 300 | 244 | |
QazaqGaz NC JSC 144A 4.375%, 9/26/27(2) | 1,277 | 1,193 | |
3,913 | |||
Macau—0.3% | |||
Sands China Ltd. | |||
4.625%, 6/18/30 | 10 | 9 | |
3.250%, 8/8/31 | 148 | 122 | |
Studio City Finance Ltd. 144A 5.000%, 1/15/29(2) | 935 | 816 | |
947 | |||
Par Value(1) | Value | ||
Mexico—6.8% | |||
Banco Mercantil del Norte S.A. 144A 5.875% (2)(10) | $ 794 | $ 756 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(2) | 598 | 546 | |
Cemex SAB de C.V. 144A 9.125% (2)(10) | 628 | 669 | |
Comision Federal de Electricidad RegS 3.875%, 7/26/33(4) | 3,316 | 2,707 | |
Grupo Aeromexico SAB de C.V. 144A 8.500%, 3/17/27(2) | 670 | 654 | |
Petroleos Mexicanos | |||
6.500%, 1/23/29 | 2,702 | 2,367 | |
8.750%, 6/2/29 | 2,057 | 1,966 | |
6.750%, 9/21/47 | 3,390 | 2,153 | |
7.690%, 1/23/50 | 995 | 685 | |
6.950%, 1/28/60 | 1,783 | 1,131 | |
Poinsettia Finance Ltd. RegS 6.625%, 6/17/31(4) | 6,918 | 5,841 | |
Sixsigma Networks Mexico S.A. de C.V. 144A 7.500%, 5/2/25(2) | 661 | 635 | |
20,110 | |||
Nigeria—0.2% | |||
Access Bank plc 144A 6.125%, 9/21/26(2) | 297 | 271 | |
IHS Netherlands Holdco B.V. 144A 8.000%, 9/18/27(2) | 387 | 347 | |
618 | |||
Peru—1.0% | |||
Peru Payroll Deduction Finance Ltd. RegS 0.000%, 11/1/29(4)(6) | 1,325 | 1,093 | |
Petroleos del Peru S.A. | |||
144A 5.625%, 6/19/47(2) | 1,156 | 792 | |
RegS 4.750%, 6/19/32(4) | 265 | 208 | |
RegS 5.625%, 6/19/47(4) | 968 | 663 | |
2,756 | |||
Saudi Arabia—1.8% | |||
Gaci First Investment Co. RegS 4.875%, 2/14/35(4) | 5,691 | 5,394 | |
South Africa—1.0% | |||
Eskom Holdings SOC Ltd. | |||
144A 7.125%, 2/11/25(2) | 528 | 525 | |
144A 8.450%, 8/10/28(2) | 1,304 | 1,296 | |
RegS 7.125%, 2/11/25(4) | 200 | 199 | |
Prosus N.V. 144A 3.061%, 7/13/31(2) | 290 | 233 | |
Sasol Financing USA LLC 4.375%, 9/18/26 | 612 | 571 | |
2,824 | |||
Tanzania—0.2% | |||
HTA Group Ltd. 144A 7.000%, 12/18/25(2) | 521 | 516 |
See Notes to Schedule of Investments
6
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Turkey—0.3% | |||
Aydem Yenilenebilir Enerji AS 144A 7.750%, 2/2/27(2) | $ 661 | $ 634 | |
WE Soda Investments Holding plc 144A 9.500%, 10/6/28(2) | 134 | 139 | |
773 | |||
Ukraine—0.2% | |||
Metinvest B.V. 144A 8.500%, 4/23/26(2) | 200 | 162 | |
NPC Ukrenergo 144A 6.875%, 11/9/28(2)(7) | 502 | 163 | |
State Savings Bank of Ukraine Via SSB #1 plc RegS 9.625%, 3/20/25(3)(4)(5) | 105 | 98 | |
423 | |||
United Arab Emirates—2.0% | |||
Abu Dhabi Crude Oil Pipeline LLC 144A 4.600%, 11/2/47(2) | 727 | 648 | |
DAE Funding LLC 144A 3.375%, 3/20/28(2) | 593 | 545 | |
DP World Ltd. | |||
144A 6.850%, 7/2/37(2) | 491 | 531 | |
144A 4.700%, 9/30/49(2) | 436 | 355 | |
RegS 4.700%, 9/30/49(4) | 500 | 407 | |
DP World Salaam RegS 6.000% (4)(10) | 2,145 | 2,137 | |
MAF Global Securities Ltd. RegS 6.375% (4)(10) | 517 | 513 | |
MDGH GMTN RSC Ltd. 144A 5.875%, 5/1/34(2) | 723 | 772 | |
5,908 | |||
Uzbekistan—1.0% | |||
Uzauto Motors AJ | |||
144A 4.850%, 5/4/26(2) | 2,484 | 2,259 | |
RegS 4.850%, 5/4/26(4) | 697 | 634 | |
2,893 | |||
Venezuela—0.6% | |||
Petroleos de Venezuela S.A. | |||
RegS 6.000%, 5/16/24(4)(7) | 12,221 | 1,204 | |
RegS 6.000%, 11/15/26(4)(7) | 6,345 | 631 | |
1,835 | |||
Vietnam—0.3% | |||
Mong Duong Finance Holdings B.V. 144A 5.125%, 5/7/29(2) | 988 | 938 | |
Total Corporate Bonds and Notes (Identified Cost $82,744) | 77,872 |
Shares | ||
Affiliated Mutual Funds—3.9% | ||
Fixed Income Funds—3.9% | ||
Virtus Stone Harbor Emerging Markets Bond Fund Class I(11)(12) | 621,932 | 4,907 |
Shares | Value | ||
Fixed Income Funds—continued | |||
Virtus Stone Harbor Local Markets Fund Class I(11)(12)(13) | 788,382 | $ 6,465 | |
Total Affiliated Mutual Funds (Identified Cost $11,316) | 11,372 |
Par Value(1) | ||
Credit Linked Notes—1.3% | ||
Iraq—1.3% | ||
Republic of Iraq | ||
(Counterparty: BOA) 2.536%, 1/1/28(5)(8) | 259,086JPY | 1,579 |
(Counterparty: BOA) 3.304%, 1/1/28(5)(8) | 118,068JPY | 718 |
(Counterparty: BOA) 3.399%, 1/6/28(5)(8) | 254,413JPY | 1,549 |
Total Credit Linked Notes (Identified Cost $6,061) | 3,846 | |
Total Long-Term Investments—98.1% (Identified Cost $299,439) | 288,526 | |
TOTAL INVESTMENTS—98.1% (Identified Cost $299,439) | $288,526 | |
Other assets and liabilities, net—1.9% | 5,616 | |
NET ASSETS—100.0% | $294,142 |
Abbreviations: | |
DAC | Designated Activity Company |
GMTN | Global Medium Term Note |
JSC | Joint Stock Company |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Par Value disclosed in foreign currency is reported in thousands. |
(2) | 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 February 29, 2024, these securities amounted to a value of $123,038 or 41.8% of net assets. |
(3) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(4) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | Variable rate security. Rate disclosed is as of February 29, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(6) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(7) | Security in default; no interest payments are being received. |
See Notes to Schedule of Investments
7
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
(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) | The Fund is unable to trade and repatriate proceeds due to U.S. sanctions related to the Russia/Ukraine war. |
(10) | No contractual maturity date. |
(11) | Affiliated investment. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(13) | Non-income producing. |
Counterparties: | |
BCLY | Barclays |
BOA | Bank of America |
CITI | Citigroup Global Markets |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
EUR | Euro |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings† | |
Mexico | 9% |
Saudi Arabia | 6 |
Colombia | 5 |
Turkey | 5 |
United States | 4 |
Indonesia | 4 |
Romania | 4 |
Other | 63 |
Total | 100% |
† % of total investments as of February 29, 2024. |
Forward foreign currency exchange contracts as of February 29, 2024 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
EUR | 1,577 | USD | 1,712 | CITI | 04/19/24 | $— | $(4) | |
EUR | 1,388 | USD | 1,508 | JPM | 04/19/24 | — | (5) | |
USD | 221 | EUR | 204 | BCLY | 04/19/24 | — | — (1) | |
USD | 13,105 | EUR | 12,002 | CITI | 04/19/24 | 107 | — | |
USD | 242 | EUR | 223 | GS | 04/19/24 | 1 | — | |
USD | 3,664 | EUR | 3,381 | JPM | 04/19/24 | 2 | — | |
Total | $110 | $(9) |
Footnote Legend: | |
(1) | Amount is less than $500 (not in thousands). |
The following table summarizes the value of the Fund’s investments as of February 29, 2024, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at February 29, 2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Foreign Government Securities | $195,436 | $— | $195,381 | $55 | |||
Corporate Bonds and Notes | 77,872 | — | 77,872 | — | |||
Credit Linked Notes | 3,846 | — | — | 3,846 | |||
Affiliated Mutual Funds | 11,372 | 11,372 | — | — | |||
Other Financial Instruments: | |||||||
Forward Foreign Currency Exchange Contracts | 110 | — | 110 | — | |||
Total Assets | 288,636 | 11,372 | 273,363 | 3,901 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Forward Foreign Currency Exchange Contracts | (9) | — | (9) | — | |||
Total Liabilities | (9) | — | (9) | — | |||
Total Investments | $288,627 | $11,372 | $273,354 | $3,901 |
There were no transfers into or out of Level 3 related to securities held at February 29, 2024.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
8
VIRTUS Stone Harbor Emerging Markets Debt Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Corporate Bonds And Notes | Credit Linked Notes | Foreign Government Securities | ||||
Investments in Securities | |||||||
Balance as of May 31, 2023: | $ 5,059 | $ 12 | $ 5,042 | $ 5 | |||
Accrued discount/(premium) | 78 | — | 78 | — | |||
Net realized gain (loss) | (425) | (23) | (402) | — | |||
Net change in unrealized appreciation (depreciation)(a) | 369 | 86 | 233 | 50 | |||
Sales(b) | (1,180) | (75) | (1,105) | — | |||
Balance as of February 29, 2024 | $ 3,901 | $ — | $ 3,846 | $ 55 |
(a) The net change in unrealized appreciation (depreciation) on investments still held at February 29, 2024, was $283.
(b) Includes paydowns on securities.
See Notes to Schedule of Investments
9
VIRTUS STONE HARBOR EMERGING MARKETS DEBT INCOME FUND NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 29, 2024
Note 1. Security Valuation
The Fund’s Board of Trustees has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the investment adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the investment adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the investment adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
10