VIRTUS Stone Harbor Local Markets Fund
SCHEDULE OF INVESTMENTS (Unaudited)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Foreign Government Securities—80.8% | |||
Brazil—12.4% | |||
Brazil Notas do Tesouro Nacional | |||
Series F 10.000%, 1/1/25 | 2,120BRL | $ 426 | |
Series F 10.000%, 1/1/31 | 5,030BRL | 981 | |
1,407 | |||
Chile—0.8% | |||
Bonos Tesoreria Pesos | |||
5.000%, 3/1/35 | 50,000CLP | 49 | |
144A, RegS 5.000%, 10/1/28(2)(3) | 35,000CLP | 36 | |
85 | |||
China—4.8% | |||
China Government Bond | |||
3.130%, 11/21/29 | 1,210CNY | 176 | |
2.890%, 11/18/31 | 1,550CNY | 223 | |
3.720%, 4/12/51 | 870CNY | 147 | |
546 | |||
Colombia—6.3% | |||
Bogota Distrio Capital RegS 9.750%, 7/26/28(3) | 1,891,000COP | 463 | |
Titulos De Tesoreria | |||
9.250%, 5/28/42 | 160,000COP | 36 | |
7.250%, 10/26/50 | 1,200,000COP | 216 | |
715 | |||
Czech Republic—4.7% | |||
Czech Republic | |||
0.250%, 2/10/27 | 1,500CZK | 58 | |
2.750%, 7/23/29 | 720CZK | 29 | |
RegS 0.950%, 5/15/30(3) | 7,380CZK | 268 | |
RegS 4.200%, 12/4/36(3) | 4,120CZK | 181 | |
536 | |||
Hungary—1.2% | |||
Hungary Government Bond 4.750%, 11/24/32 | 54,800HUF | 136 | |
Indonesia—9.7% | |||
Indonesia Government Bond | |||
8.375%, 3/15/24 | 4,200,000IDR | 268 | |
9.000%, 3/15/29 | 1,400,000IDR | 98 | |
7.500%, 8/15/32 | 200,000IDR | 13 | |
8.375%, 3/15/34 | 2,938,000IDR | 211 | |
8.250%, 5/15/36 | 2,880,000IDR | 206 | |
7.500%, 5/15/38 | 3,278,000IDR | 221 | |
8.375%, 4/15/39 | 1,090,000IDR | 79 | |
1,096 | |||
Par Value(1) | Value | ||
Malaysia—9.6% | |||
Malaysia Government Bond | |||
4.059%, 9/30/24 | 67MYR | $ 14 | |
3.906%, 7/15/26 | 1,631MYR | 347 | |
2.632%, 4/15/31 | 1,320MYR | 258 | |
3.582%, 7/15/32 | 1,860MYR | 384 | |
4.893%, 6/8/38 | 220MYR | 51 | |
4.696%, 10/15/42 | 145MYR | 33 | |
1,087 | |||
Mexico—7.8% | |||
Mex Bonos Desarr | |||
8.500%, 11/18/38 | 1,440MXN | 80 | |
7.750%, 11/13/42 | 5,110MXN | 258 | |
8.000%, 11/7/47 | 10,640MXN | 545 | |
883 | |||
Peru—2.0% | |||
Bonos De Tesoreria | |||
6.150%, 8/12/32 | 710PEN | 181 | |
5.400%, 8/12/34 | 104PEN | 24 | |
5.350%, 8/12/40 | 90PEN | 20 | |
225 | |||
Poland—4.3% | |||
Poland Government Bond | |||
2.750%, 10/25/29 | 190PLN | 42 | |
1.750%, 4/25/32 | 2,330PLN | 449 | |
491 | |||
Romania—3.3% | |||
Romania Government Bond | |||
8.000%, 4/29/30 | 760RON | 178 | |
4.750%, 10/11/34 | 1,050RON | 197 | |
375 | |||
South Africa—8.9% | |||
Republic of South Africa | |||
8.500%, 1/31/37 | 11,400ZAR | 455 | |
6.500%, 2/28/41 | 7,380ZAR | 228 | |
8.750%, 1/31/44 | 8,580ZAR | 325 | |
1,008 | |||
Thailand—4.8% | |||
Thailand Government Bond | |||
2.875%, 12/17/28 | 420THB | 12 | |
3.775%, 6/25/32 | 6,330THB | 193 | |
1.585%, 12/17/35 | 6,260THB | 155 | |
3.300%, 6/17/38 | 3,610THB | 106 | |
4.675%, 6/29/44 | 2,180THB | 76 | |
542 | |||
See Notes to Schedule of Investments
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VIRTUS Stone Harbor Local Markets Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Uruguay—0.2% | |||
Republica Orient Uruguay 8.250%, 5/21/31 | 950UYU | $ 23 | |
Total Foreign Government Securities (Identified Cost $9,242) | 9,155 | ||
Corporate Bonds and Notes—4.1% | |||
Poland—4.1% | |||
Kreditanstalt fuer Wiederaufbau 0.625%, 7/25/25 | 2,000PLN | 466 | |
Total Corporate Bonds and Notes (Identified Cost $499) | 466 | ||
Total Long-Term Investments—84.9% (Identified Cost $9,741) | 9,621 | ||
Short-Term Investment—0.1% | |||
Foreign Government Security—0.1% | |||
Kazakhstan—0.1% | |||
National Bank of Kazakhstan Note 0.000%, 3/6/24(4) | 5,604KZT | 12 | |
Total Short-Term Investment (Identified Cost $12) | 12 | ||
TOTAL INVESTMENTS—85.0% (Identified Cost $9,753) | $9,633 | ||
Other assets and liabilities, net—15.0% | 1,706 | ||
NET ASSETS—100.0% | $11,339 |
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 $36 or 0.3% of net assets. |
(3) | 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. |
(4) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
Counterparties: | |
CITI | Citigroup Global Markets |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNH | Chinese Yuan Offshore |
CNY | Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Koruna |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PLN | Polish Zloty |
RON | Romania New Leu |
RUB | Russian Ruble |
THB | Thailand Baht |
TRY | Turkish Lira |
USD | United States Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Country Weightings† | |
Brazil | 15% |
Indonesia | 11 |
South Africa | 11 |
Malaysia | 11 |
Poland | 10 |
Mexico | 9 |
Colombia | 7 |
Other | 26 |
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 |
BRL | 1,210 | USD | 244 | JPM | 03/04/24 | $— | $(1) |
CLP | 54,000 | USD | 56 | JPM | 03/19/24 | —(1) | — |
CNH | 3,390 | USD | 472 | JPM | 03/28/24 | — | (1) |
CZK | 3,900 | USD | 167 | JPM | 04/09/24 | — | — (1) |
HUF | 76,200 | USD | 214 | GS | 04/09/24 | — | (5) |
IDR | 895,000 | USD | 57 | JPM | 04/03/24 | —(1) | — |
See Notes to Schedule of Investments
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VIRTUS Stone Harbor Local Markets Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
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 | |
INR | 9,500 | USD | 114 | JPM | 04/12/24 | $—(1) | $— | |
MXN | 11,560 | USD | 675 | JPM | 03/15/24 | 2 | — | |
THB | 19,400 | USD | 546 | GS | 04/10/24 | — | (3) | |
THB | 2,050 | USD | 58 | JPM | 04/10/24 | — | (1) | |
TRY | 3,700 | USD | 116 | JPM | 03/12/24 | 1 | — | |
USD | 242 | BRL | 1,210 | JPM | 03/04/24 | — | (2) | |
USD | 13 | RON | 60 | JPM | 03/11/24 | —(1) | — | |
USD | 30 | RUB | 2,700 | GS | 03/12/24 | —(1) | — | |
USD | 14 | TRY | 450 | JPM | 03/12/24 | — | — (1) | |
USD | 170 | COP | 676,000 | CITI | 03/14/24 | — | (2) | |
USD | 374 | MXN | 6,430 | JPM | 03/15/24 | — | (2) | |
USD | 260 | ZAR | 4,930 | JPM | 03/18/24 | 3 | — | |
USD | 25 | PLN | 100 | JPM | 03/25/24 | — | — (1) | |
USD | 117 | CNH | 840 | JPM | 03/28/24 | —(1) | — | |
USD | 67 | CZK | 1,550 | JPM | 04/09/24 | 1 | — | |
USD | 15 | THB | 540 | GS | 04/10/24 | — | — (1) | |
USD | 57 | THB | 2,050 | JPM | 04/10/24 | — | — (1) | |
USD | 64 | BRL | 320 | JPM | 05/03/24 | 1 | — | |
ZAR | 3,450 | USD | 179 | JPM | 03/18/24 | 1 | — | |
Total | $9 | $(17) |
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 2 Significant Observable Inputs | ||
Assets: | |||
Debt Instruments: | |||
Foreign Government Securities | $9,167 | $9,167 | |
Corporate Bonds and Notes | 466 | 466 | |
Other Financial Instruments: | |||
Forward Foreign Currency Exchange Contracts | 9 | 9 | |
Total Assets | 9,642 | 9,642 | |
Liabilities: | |||
Other Financial Instruments: | |||
Forward Foreign Currency Exchange Contracts | (17) | (17) | |
Total Liabilities | (17) | (17) | |
Total Investments | $9,625 | $9,625 |
There were no securities valued using quoted prices (Level 1) or significant unobservable inputs (Level 3) at February 29, 2024.
There were no transfers into or out of Level 3 related to securities held at February 29, 2024.
See Notes to Schedule of Investments
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VIRTUS STONE HARBOR LOCAL MARKETS 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.
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