VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—17.6% | |||
Airlines—0.3% | |||
American Airlines Group, Inc. 6.500%, 7/1/25 | $ 815 | $ 913 | |
Southwest Airlines Co. 1.250%, 5/1/25 | 1,805 | 2,219 | |
3,132 | |||
Auto Manufacturers—0.2% | |||
Ford Motor Co. 0.000%, 3/15/26 | 1,515 | 1,523 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 935 | 582 | |
2,105 | |||
Banks—0.4% | |||
Barclays Bank plc 0.000%, 2/18/25 | 2,035 | 2,166 | |
BofA Finance LLC 0.600%, 5/25/27 | 2,755 | 2,966 | |
5,132 | |||
Biotechnology—1.6% | |||
Alnylam Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1) | 1,895 | 1,899 | |
BioMarin Pharmaceutical, Inc. | |||
0.599%, 8/1/24 | 910 | 910 | |
1.250%, 5/15/27 | 3,160 | 3,161 | |
Bridgebio Pharma, Inc. 2.250%, 2/1/29 | 1,970 | 830 | |
Cytokinetics, Inc. 144A 3.500%, 7/1/27(1) | 1,305 | 1,464 | |
Guardant Health, Inc. 0.000%, 11/15/27 | 1,570 | 1,110 | |
Halozyme Therapeutics, Inc. | |||
0.250%, 3/1/27 | 2,845 | 2,543 | |
144A 1.000%, 8/15/28(1) | 2,685 | 2,816 | |
Insmed, Inc. | |||
1.750%, 1/15/25 | 1,775 | 1,621 | |
0.750%, 6/1/28 | 665 | 524 | |
Sarepta Therapeutics, Inc. 144A 1.250%, 9/15/27(1) | 2,735 | 2,906 | |
19,784 | |||
Commercial Services—1.0% | |||
Block, Inc. | |||
0.125%, 3/1/25 | 2,460 | 2,280 | |
0.250%, 11/1/27 | 2,025 | 1,511 | |
Chegg, Inc. 0.125%, 3/15/25 | 1,500 | 1,298 | |
Shift4 Payments, Inc. | |||
0.000%, 12/15/25 | 2,210 | 1,993 | |
0.500%, 8/1/27 | 3,595 | 2,766 | |
Stride, Inc. 1.125%, 9/1/27 | 2,180 | 1,967 | |
11,815 | |||
Par Value | Value | ||
Computers—0.8% | |||
3D Systems Corp. 144A 0.000%, 11/15/26(1) | $ 1,850 | $ 1,286 | |
KBR, Inc. 2.500%, 11/1/23 | 1,570 | 3,127 | |
Lumentum Holdings, Inc. | |||
0.500%, 12/15/26 | 900 | 880 | |
144A 0.500%, 6/15/28(1) | 1,965 | 1,647 | |
Parsons Corp. 0.250%, 8/15/25 | 1,075 | 1,231 | |
Rapid7, Inc. 0.250%, 3/15/27 | 590 | 465 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,235 | 1,513 | |
10,149 | |||
Cosmetics & Personal Care—0.2% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 2,965 | 2,339 | |
Diversified Financial Services—0.4% | |||
Coinbase Global, Inc. 0.500%, 6/1/26 | 2,705 | 1,787 | |
JPMorgan Chase Financial Co., LLC 0.500%, 6/15/27 | 2,795 | 3,056 | |
4,843 | |||
Energy-Alternate Sources—0.7% | |||
Enphase Energy, Inc. | |||
0.000%, 3/1/26 | 1,150 | 1,409 | |
0.000%, 3/1/28 | 1,635 | 2,097 | |
Plug Power, Inc. 3.750%, 6/1/25 | 280 | 898 | |
Stem, Inc. 144A 0.500%, 12/1/28(1) | 2,995 | 2,228 | |
Sunnova Energy International, Inc. 144A 2.625%, 2/15/28(1) | 2,040 | 1,652 | |
8,284 | |||
Entertainment—0.7% | |||
DraftKings Holdings, Inc. 0.000%, 3/15/28 | 2,730 | 1,708 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 4,730 | 4,853 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 2,530 | 2,239 | |
8,800 | |||
Equity Real Estate Investment Trusts (REITs)—0.1% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 2,120 | 1,868 | |
Food & Beverage—0.2% | |||
Post Holdings, Inc. 144A 2.500%, 8/15/27(1) | 2,095 | 2,177 | |
Healthcare-Products—0.6% | |||
CONMED Corp. 144A 2.250%, 6/15/27(1) | 240 | 210 |
See Notes to Schedule of Investments
1
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Healthcare-Products—continued | |||
Exact Sciences Corp. 0.375%, 3/15/27 | $ 1,285 | $ 907 | |
Insulet Corp. 0.375%, 9/1/26 | 2,070 | 2,645 | |
Natera, Inc. 2.250%, 5/1/27 | 755 | 1,066 | |
Novocure Ltd. 0.000%, 11/1/25 | 1,580 | 1,342 | |
Repligen Corp. 0.375%, 7/15/24 | 465 | 784 | |
6,954 | |||
Healthcare-Services—0.4% | |||
Elevance Health, Inc. 2.750%, 10/15/42 | 340 | 2,649 | |
Oak Street Health, Inc. 0.000%, 3/15/26 | 2,675 | 2,015 | |
4,664 | |||
Internet—2.5% | |||
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,130 | 1,462 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 2,790 | 2,408 | |
0.250%, 6/15/28 | 2,935 | 2,264 | |
Farfetch Ltd. 3.750%, 5/1/27 | 1,360 | 1,290 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 1,730 | 3,351 | |
0.375%, 6/1/25 | 1,885 | 3,317 | |
Snap, Inc. | |||
0.750%, 8/1/26 | 1,870 | 1,606 | |
144A 0.125%, 3/1/28(1) | 3,085 | 2,025 | |
Spotify U.S.A., Inc. 0.000%, 3/15/26 | 1,735 | 1,378 | |
TechTarget, Inc. 144A 0.000%, 12/15/26(1) | 2,585 | 2,049 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 4,625 | 3,820 | |
Wayfair, Inc. | |||
1.125%, 11/1/24 | 2,315 | 2,014 | |
144A 3.250%, 9/15/27(1) | 1,450 | 1,248 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 2,805 | 2,628 | |
30,860 | |||
Leisure Time—0.6% | |||
NCL Corp., Ltd. 144A 1.125%, 2/15/27(1) | 4,470 | 3,408 | |
Royal Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(1) | 2,085 | 2,714 | |
Topgolf Callaway Brands Corp. 2.750%, 5/1/26 | 930 | 1,168 | |
7,290 | |||
Machinery-Diversified—0.1% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 1,095 | 1,323 |
Par Value | Value | ||
Media—1.0% | |||
DISH Network Corp. | |||
0.000%, 12/15/25 | $ 2,230 | $ 1,501 | |
3.375%, 8/15/26 | 2,785 | 1,926 | |
Liberty Broadband Corp. | |||
144A 1.250%, 9/30/50(1) | 290 | 276 | |
144A 2.750%, 9/30/50(1) | 1,900 | 1,838 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 2,250 | 2,880 | |
144A 2.250%, 8/15/27(1) | 2,740 | 2,520 | |
World Wrestling Entertainment, Inc. 3.375%, 12/15/23 | 535 | 1,696 | |
12,637 | |||
Metal Fabricate/Hardware—0.1% | |||
Xometry, Inc. 144A 1.000%, 2/1/27(1) | 1,275 | 1,543 | |
Mining—0.4% | |||
Lithium Americas Corp. 144A 1.750%, 1/15/27(1) | 2,465 | 2,112 | |
MP Materials Corp. 144A 0.250%, 4/1/26(1) | 2,840 | 2,704 | |
4,816 | |||
Oil, Gas & Consumable Fuels—0.4% | |||
Northern Oil and Gas, Inc. 144A 3.625%, 4/15/29(1) | 1,075 | 1,205 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 1,555 | 3,989 | |
5,194 | |||
Pharmaceuticals—1.1% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 8,045 | 8,845 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 3,770 | 4,211 | |
Revance Therapeutics, Inc. 1.750%, 2/15/27 | 1,085 | 1,061 | |
14,117 | |||
Retail—0.2% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 1,830 | 1,853 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 320 | 1,132 | |
2,985 | |||
Semiconductors—0.6% | |||
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26 | 1,100 | 1,049 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 1,405 | 1,413 | |
ON Semiconductor Corp. 0.000%, 5/1/27 | 1,635 | 2,141 |
See Notes to Schedule of Investments
2
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Semiconductors—continued | |||
Wolfspeed, Inc. 144A 0.250%, 2/15/28(1) | $ 2,555 | $ 2,335 | |
6,938 | |||
Software—2.8% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 1,220 | 1,308 | |
Alteryx, Inc. 0.500%, 8/1/24 | 2,170 | 1,961 | |
Bentley Systems, Inc. 0.125%, 1/15/26 | 1,995 | 1,747 | |
Bill.com Holdings, Inc. | |||
0.000%, 12/1/25 | 895 | 992 | |
0.000%, 4/1/27 | 3,030 | 2,388 | |
Box, Inc. 0.000%, 1/15/26 | 1,610 | 2,000 | |
Cloudflare, Inc. 0.000%, 8/15/26 | 5,395 | 4,340 | |
Confluent, Inc. 144A 0.000%, 1/15/27(1) | 2,665 | 1,999 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 715 | 566 | |
Datadog, Inc. 0.125%, 6/15/25 | 290 | 330 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(1) | 3,010 | 2,201 | |
Five9, Inc. 0.500%, 6/1/25 | 1,655 | 1,467 | |
Model N, Inc. 2.625%, 6/1/25 | 1,145 | 1,492 | |
MongoDB, Inc. 0.250%, 1/15/26 | 620 | 697 | |
Nutanix, Inc. 0.250%, 10/1/27 | 1,765 | 1,533 | |
Splunk, Inc. | |||
1.125%, 9/15/25 | 1,515 | 1,403 | |
1.125%, 6/15/27 | 2,860 | 2,431 | |
Tyler Technologies, Inc. 0.250%, 3/15/26 | 2,660 | 2,491 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1) | 2,815 | 2,046 | |
Workiva, Inc. 1.125%, 8/15/26 | 770 | 901 | |
34,293 | |||
Transportation—0.2% | |||
Air Transport Services Group, Inc. 1.125%, 10/15/24 | 2,045 | 2,227 | |
Total Convertible Bonds and Notes (Identified Cost $241,015) | 216,269 |
Shares | ||
Convertible Preferred Stocks—3.2% | ||
Auto Components—0.1% | ||
Aptiv plc Series A, 5.500% | 13,495 | 1,442 |
Banks—0.8% | ||
Bank of America Corp. Series L, 7.250% | 3,285 | 3,812 |
Shares | Value | ||
Banks—continued | |||
Wells Fargo & Co. Series L, 7.500% | 5,650 | $ 6,586 | |
10,398 | |||
Capital Markets—0.1% | |||
KKR & Co., Inc. Series C, 6.000% | 22,070 | 1,340 | |
Commercial Services & Supplies—0.1% | |||
GFL Environmental, Inc., 6.000% | 23,770 | 1,450 | |
Electric Utilities—1.1% | |||
NextEra Energy, Inc. | |||
5.279% | 121,795 | 6,022 | |
6.219% | 59,815 | 2,886 | |
6.926% | 41,060 | 1,909 | |
PG&E Corp., 5.500% | 18,575 | 2,491 | |
13,308 | |||
Healthcare Equipment & Supplies—0.3% | |||
Boston Scientific Corp. Series A, 5.500% | 33,080 | 3,640 | |
Life Sciences Tools & Services—0.3% | |||
Danaher Corp. Series B, 5.000% | 2,830 | 3,703 | |
Telecommunications—0.4% | |||
T-Mobile U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 3,695 | 4,589 | |
Total Convertible Preferred Stocks (Identified Cost $41,395) | 39,870 | ||
Common Stocks—74.7% | |||
Air Freight & Logistics—0.8% | |||
United Parcel Service, Inc. Class B | 55,497 | 9,311 | |
Automobiles—0.4% | |||
Ferrari N.V. | 24,357 | 4,793 | |
Banks—7.1% | |||
Bank of America Corp. | 889,735 | 32,066 | |
First Republic Bank | 71,628 | 8,602 | |
JPMorgan Chase & Co.(2) | 374,537 | 47,147 | |
87,815 | |||
Building Products—1.0% | |||
Lennox International, Inc. | 52,914 | 12,359 | |
Capital Markets—3.4% | |||
Intercontinental Exchange, Inc. | 104,716 | 10,008 | |
MarketAxess Holdings, Inc. | 42,573 | 10,389 | |
Morgan Stanley | 127,824 | 10,503 | |
MSCI, Inc. Class A | 23,256 | 10,904 | |
41,804 | |||
Chemicals—2.3% | |||
Air Products & Chemicals, Inc. | 43,013 | 10,770 |
See Notes to Schedule of Investments
3
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Shares | Value | ||
Chemicals—continued | |||
Celanese Corp. | 184,807 | $ 17,764 | |
28,534 | |||
Consumer Finance—0.8% | |||
Capital One Financial Corp. | 97,387 | 10,325 | |
Containers & Packaging—0.7% | |||
Ball Corp. | 178,905 | 8,836 | |
Distributors—0.7% | |||
Pool Corp. | 29,192 | 8,881 | |
Diversified Telecommunication Services—0.7% | |||
Verizon Communications, Inc. | 242,552 | 9,064 | |
Electrical Equipment—0.9% | |||
AMETEK, Inc. | 86,021 | 11,153 | |
Equity Real Estate Investment—3.8% | |||
Alexandria Real Estate Equities, Inc. | 73,336 | 10,656 | |
Digital Realty Trust, Inc. | 196,473 | 19,696 | |
Medical Properties Trust, Inc. | 713,584 | 8,171 | |
Sun Communities, Inc. | 58,042 | 7,827 | |
46,350 | |||
Food & Staples Retailing—1.3% | |||
Costco Wholesale Corp. | 10,226 | 5,128 | |
Walmart, Inc. | 80,239 | 11,421 | |
16,549 | |||
Healthcare Equipment & Supplies—3.7% | |||
IDEXX Laboratories, Inc.(3) | 26,879 | 9,668 | |
Medtronic plc | 116,256 | 10,154 | |
Stryker Corp. | 36,880 | 8,454 | |
Teleflex, Inc. | 81,046 | 17,389 | |
45,665 | |||
Healthcare Providers & Services—0.8% | |||
Chemed Corp. | 19,865 | 9,274 | |
Healthcare Technology—0.6% | |||
Veeva Systems, Inc. Class A(3) | 47,806 | 8,029 | |
Hotels, Restaurants & Leisure—1.7% | |||
Domino’s Pizza, Inc. | 26,524 | 8,812 | |
Starbucks Corp. | 137,088 | 11,871 | |
20,683 | |||
Household Durables—0.9% | |||
DR Horton, Inc. | 149,261 | 11,475 | |
Industrial Conglomerates—0.7% | |||
Honeywell International, Inc. | 41,788 | 8,526 | |
Insurance—0.8% | |||
Willis Towers Watson plc | 44,320 | 9,671 |
Shares | Value | ||
Interactive Media & Services—2.3% | |||
Alphabet, Inc. Class A(3) | 93,094 | $ 8,798 | |
Alphabet, Inc. Class C(3) | 87,540 | 8,287 | |
Meta Platforms, Inc. Class A(3) | 124,143 | 11,565 | |
28,650 | |||
Internet & Direct Marketing Retail—0.7% | |||
Amazon.com, Inc.(2)(3) | 79,432 | 8,137 | |
IT Services—0.9% | |||
Visa, Inc. Class A | 51,287 | 10,625 | |
Life Sciences Tools & Services—3.9% | |||
Agilent Technologies, Inc. | 86,156 | 11,920 | |
Danaher Corp. | 38,458 | 9,679 | |
Repligen Corp.(3) | 23,514 | 4,291 | |
Thermo Fisher Scientific, Inc.(2) | 18,977 | 9,753 | |
West Pharmaceutical Services, Inc. | 51,920 | 11,947 | |
47,590 | |||
Machinery—3.6% | |||
Cummins, Inc. | 50,049 | 12,237 | |
Stanley Black & Decker, Inc. | 232,100 | 18,218 | |
Toro Co. (The) | 126,755 | 13,364 | |
43,819 | |||
Metals & Mining—0.9% | |||
Kinross Gold Corp. | 3,038,664 | 11,030 | |
Oil, Gas & Consumable Fuels—1.1% | |||
Phillips 66 | 133,368 | 13,909 | |
Personal Products—0.7% | |||
Estee Lauder Cos., Inc. (The) Class A | 40,969 | 8,214 | |
Pharmaceuticals—1.6% | |||
Zoetis, Inc. Class A | 130,938 | 19,743 | |
Professional Services—1.5% | |||
TransUnion | 317,332 | 18,808 | |
Road & Rail—0.8% | |||
Norfolk Southern Corp. | 42,876 | 9,779 | |
Semiconductors & Semiconductor Equipment—6.1% | |||
Advanced Micro Devices, Inc.(3) | 111,060 | 6,670 | |
Broadcom, Inc. | 17,502 | 8,228 | |
KLA Corp. | 34,388 | 10,882 | |
Lam Research Corp. | 54,080 | 21,891 | |
NVIDIA Corp. | 79,940 | 10,790 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR | 109,428 | 6,735 | |
Texas Instruments, Inc. | 65,470 | 10,516 | |
75,712 | |||
Software—7.8% | |||
Adobe, Inc. (3) | 124,131 | 39,536 | |
Intuit, Inc. | 24,605 | 10,519 |
See Notes to Schedule of Investments
4
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Shares | Value | ||
Software—continued | |||
Microsoft Corp.(2) | 156,910 | $ 36,423 | |
ServiceNow, Inc.(3) | 23,381 | 9,837 | |
96,315 | |||
Specialty Retail—4.4% | |||
Best Buy Co., Inc. | 143,133 | 9,792 | |
Home Depot, Inc. (The)(2) | 104,852 | 31,050 | |
Ross Stores, Inc. | 133,736 | 12,797 | |
53,639 | |||
Technology Hardware, Storage & Peripherals—3.3% | |||
Apple, Inc.(2) | 264,633 | 40,579 | |
Textiles, Apparel & Luxury Goods—1.2% | |||
Lululemon Athletica, Inc.(3) | 20,439 | 6,725 | |
NIKE, Inc. Class B(2) | 87,066 | 8,070 | |
14,795 | |||
Water Utilities—0.8% | |||
American Water Works Co., Inc. | 67,451 | 9,803 | |
Total Common Stocks (Identified Cost $943,527) | 920,244 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd.(3) | 876 | 24 | |
Total Warrant (Identified Cost $—) | 24 | ||
Total Long-Term Investments—95.5% (Identified Cost $1,225,937) | 1,176,407 | ||
Short-Term Investment—3.8% | |||
Money Market Mutual Fund—3.8% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 2.872%)(4) | 46,557,410 | 46,557 | |
Total Short-Term Investment (Identified Cost $46,557) | 46,557 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.3% (Identified Cost $1,272,494) | 1,222,964 |
Value | ||
Written Options—(0.3)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $1,759) | $ (3,446) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.0% (Identified Cost $1,270,735) | $1,219,518 | |
Other assets and liabilities, net—1.0% | 12,045 | |
NET ASSETS—100.0% | $1,231,563 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2022, these securities amounted to a value of $58,018 or 4.7% of net assets. |
(2) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $56,534. |
(3) | Non-income producing. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 94% |
Canada | 2 |
Ireland | 2 |
Bermuda | 1 |
Taiwan | 1 |
Total | 100% |
† % of total investments, net of written options, as of October 31, 2022. |
Open written options contracts as of October 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Adobe, Inc. | (99) | $(3,168) | $320.00 | 11/04/22 | $(54) |
Adobe, Inc. | (199) | (6,666) | 335.00 | 11/18/22 | (98) |
Advanced Micro Devices, Inc. | (222) | (1,443) | 65.00 | 11/18/22 | (40) |
Advanced Micro Devices, Inc. | (222) | (1,554) | 70.00 | 11/18/22 | (16) |
See Notes to Schedule of Investments
5
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Open written options contracts as of October 31, 2022 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) (continued) | |||||
Agilent Technologies, Inc. | (258) | $(3,741) | $145.00 | 11/18/22 | $(40) |
Alexandria Real Estate Equities, Inc. | (220) | (3,300) | 150.00 | 11/18/22 | (54) |
Alphabet, Inc. | (93) | (1,000) | 107.50 | 11/18/22 | (2) |
Alphabet, Inc. | (232) | (2,668) | 115.00 | 11/18/22 | (2) |
Alphabet, Inc. | (262) | (2,948) | 112.50 | 11/18/22 | (3) |
Amazon.com, Inc. | (158) | (2,101) | 133.00 | 11/04/22 | (—)(3) |
Amazon.com, Inc. | (158) | (1,943) | 123.00 | 11/18/22 | (3) |
American Water Works Co., Inc. | (168) | (2,436) | 145.00 | 11/18/22 | (73) |
Apple, Inc. | (396) | (6,237) | 157.50 | 11/04/22 | (36) |
Apple, Inc. | (529) | (8,464) | 160.00 | 11/18/22 | (101) |
Best Buy Co., Inc. | (429) | (3,218) | 75.00 | 11/18/22 | (30) |
Broadcom, Inc. | (52) | (2,496) | 480.00 | 11/18/22 | (56) |
Celanese Corp. | (277) | (2,909) | 105.00 | 11/18/22 | (33) |
Costco Wholesale Corp. | (40) | (2,060) | 515.00 | 11/18/22 | (30) |
Cummins, Inc. | (150) | (3,750) | 250.00 | 11/18/22 | (73) |
Danaher Corp. | (76) | (2,052) | 270.00 | 11/18/22 | (8) |
Digital Realty Trust, Inc. | (589) | (6,184) | 105.00 | 11/18/22 | (77) |
DR Horton, Inc. | (373) | (2,891) | 77.50 | 11/18/22 | (123) |
Home Depot, Inc. (The) | (209) | (6,374) | 305.00 | 11/18/22 | (129) |
Home Depot, Inc. (The) | (209) | (6,688) | 320.00 | 11/18/22 | (39) |
Intuit, Inc. | (86) | (4,042) | 470.00 | 11/18/22 | (32) |
JPMorgan Chase & Co. | (561) | (7,012) | 125.00 | 11/18/22 | (224) |
JPMorgan Chase & Co. | (561) | (7,573) | 135.00 | 11/18/22 | (29) |
KLA Corp. | (34) | (1,020) | 300.00 | 11/18/22 | (80) |
KLA Corp. | (85) | (2,635) | 310.00 | 11/18/22 | (148) |
Lam Research Corp. | (54) | (1,998) | 370.00 | 11/18/22 | (230) |
Lam Research Corp. | (135) | (5,198) | 385.00 | 11/18/22 | (422) |
Lululemon Athletica, Inc. | (51) | (1,683) | 330.00 | 11/18/22 | (67) |
Medtronic plc | (348) | (3,219) | 92.50 | 11/18/22 | (18) |
Meta Platforms, Inc. | (248) | (3,596) | 145.00 | 11/18/22 | (2) |
Meta Platforms, Inc. | (248) | (3,720) | 150.00 | 11/18/22 | (2) |
Microsoft Corp. | (156) | (4,212) | 270.00 | 11/04/22 | (—)(3) |
Microsoft Corp. | (313) | (8,138) | 260.00 | 11/18/22 | (14) |
Microsoft Corp. | (156) | (4,446) | 285.00 | 11/18/22 | (1) |
Morgan Stanley | (447) | (3,800) | 85.00 | 11/18/22 | (58) |
NIKE, Inc. | (304) | (2,949) | 97.00 | 11/04/22 | (10) |
Norfolk Southern Corp. | (150) | (3,600) | 240.00 | 11/18/22 | (25) |
NVIDIA Corp. | (199) | (2,627) | 132.00 | 11/04/22 | (116) |
NVIDIA Corp. | (119) | (1,547) | 130.00 | 11/18/22 | (136) |
Ross Stores, Inc. | (267) | (2,537) | 95.00 | 11/18/22 | (136) |
ServiceNow, Inc. | (35) | (1,365) | 390.00 | 11/18/22 | (137) |
ServiceNow, Inc. | (46) | (1,932) | 420.00 | 11/18/22 | (91) |
Stanley Black & Decker, Inc. | (580) | (5,220) | 90.00 | 11/18/22 | (12) |
Starbucks Corp. | (411) | (4,007) | 97.50 | 11/18/22 | (14) |
Taiwan Semiconductor Manufacturing Co. Ltd. | (382) | (2,674) | 70.00 | 11/18/22 | (6) |
Texas Instruments, Inc. | (196) | (3,332) | 170.00 | 11/18/22 | (28) |
Thermo Fisher Scientific, Inc. | (56) | (3,136) | 560.00 | 11/18/22 | (5) |
TransUnion | (949) | (6,168) | 65.00 | 11/18/22 | (36) |
United Parcel Service, Inc. | (166) | (3,071) | 185.00 | 11/18/22 | (5) |
Veeva Systems, Inc. | (119) | (2,142) | 180.00 | 11/18/22 | (27) |
Visa, Inc. | (153) | (3,060) | 200.00 | 11/18/22 | (155) |
Walmart, Inc. | (200) | (2,900) | 145.00 | 11/18/22 | (60) |
Total Written Options | $(3,446) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500. |
See Notes to Schedule of Investments
6
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of October 31, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at October 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Convertible Bonds and Notes | $216,269 | $— | $216,269 | ||
Equity Securities: | |||||
Common Stocks | 920,244 | 920,244 | — | ||
Convertible Preferred Stocks | 39,870 | 35,281 | 4,589 | ||
Warrant | 24 | 24 | — | ||
Money Market Mutual Fund | 46,557 | 46,557 | — | ||
Total Investments, Before Written Options | 1,222,964 | 1,002,106 | 220,858 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Written Options | (3,446) | (3,193) | (253) | ||
Total Investments, Net of Written Options | $1,219,518 | $998,913 | $220,605 |
There were no securities valued using significant unobservable inputs (Level 3) at October 31, 2022.
There were no transfers into or out of Level 3 related to securities held at October 31, 2022.
See Notes to Schedule of Investments
7
VIRTUS Dividend, Interest & Premium Strategy Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2022
Note 1. Security Valuation
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 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 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 Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, 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 and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in 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.
8