VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2023
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—17.9% | |||
Auto Manufacturers—0.1% | |||
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | $ 1,470 | $ 794 | |
Rivian Automotive, Inc. 144A 4.625%, 3/15/29(1) | 660 | 610 | |
1,404 | |||
Automobile Components—0.2% | |||
indie Semiconductor, Inc. 144A 4.500%, 11/15/27(1) | 905 | 1,062 | |
Luminar Technologies, Inc. 144A 1.250%, 12/15/26(1) | 1,790 | 1,158 | |
2,220 | |||
Banks—0.4% | |||
Barclays Bank plc 0.000%, 2/18/25 | 2,955 | 3,034 | |
BofA Finance LLC 0.600%, 5/25/27 | 1,515 | 1,746 | |
4,780 | |||
Biotechnology—0.7% | |||
Alnylam Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1) | 2,405 | 2,387 | |
Apellis Pharmaceuticals, Inc. 3.500%, 9/15/26 | 210 | 461 | |
Bridgebio Pharma, Inc. 2.250%, 2/1/29 | 1,970 | 1,186 | |
Insmed, Inc. | |||
1.750%, 1/15/25 | 1,775 | 1,645 | |
0.750%, 6/1/28 | 980 | 809 | |
Sarepta Therapeutics, Inc. 144A 1.250%, 9/15/27(1) | 2,960 | 3,337 | |
9,825 | |||
Commercial Services—1.0% | |||
Affirm Holdings, Inc. 0.000%, 11/15/26 | 1,575 | 994 | |
Block, Inc. 0.125%, 3/1/25 | 2,540 | 2,366 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 2,650 | 1,985 | |
Shift4 Payments, Inc. | |||
0.000%, 12/15/25 | 1,320 | 1,439 | |
0.500%, 8/1/27 | 3,455 | 3,075 | |
Stride, Inc. 1.125%, 9/1/27 | 2,995 | 3,130 | |
12,989 | |||
Computers—0.6% | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | 1,260 | 1,309 | |
KBR, Inc. 2.500%, 11/1/23 | 880 | 1,968 | |
Parsons Corp. 0.250%, 8/15/25 | 2,360 | 2,551 |
Par Value | Value | ||
Computers—continued | |||
Rapid7, Inc. 0.250%, 3/15/27 | $ 1,765 | $ 1,577 | |
7,405 | |||
Electric Utilities—0.5% | |||
Alliant Energy Corp. 144A 3.875%, 3/15/26(1) | 565 | 585 | |
PPL Capital Funding, Inc. 144A 2.875%, 3/15/28(1) | 1,590 | 1,595 | |
Southern Co. (The) 144A 3.875%, 12/15/25(1) | 3,975 | 4,096 | |
6,276 | |||
Energy-Alternate Sources—0.3% | |||
Enphase Energy, Inc. 0.000%, 3/1/26 | 1,210 | 1,153 | |
Sunnova Energy International, Inc. 144A 2.625%, 2/15/28(1) | 4,030 | 3,244 | |
4,397 | |||
Entertainment—0.7% | |||
DraftKings Holdings, Inc. 0.000%, 3/15/28 | 2,920 | 2,091 | |
IMAX Corp. 0.500%, 4/1/26 | 2,780 | 2,784 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 2,135 | 2,069 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 2,750 | 2,487 | |
9,431 | |||
Financial Services—1.0% | |||
Coinbase Global, Inc. 0.500%, 6/1/26 | 2,085 | 1,343 | |
Encore Capital Group, Inc. 144A 4.000%, 3/15/29(1) | 3,685 | 3,783 | |
Goldman Sachs Finance Corp. 0.500%, 12/29/27 | 4,235 | 4,315 | |
JPMorgan Chase Financial Co., LLC 0.500%, 6/15/27 | 2,620 | 3,174 | |
12,615 | |||
Food & Beverage—0.1% | |||
Post Holdings, Inc. 144A 2.500%, 8/15/27(1) | 1,340 | 1,403 | |
Healthcare-Products—1.7% | |||
Alphatec Holdings, Inc. 0.750%, 8/1/26 | 2,030 | 2,085 | |
CONMED Corp. 144A 2.250%, 6/15/27(1) | 3,680 | 3,980 | |
Envista Holdings Corp. 2.375%, 6/1/25 | 595 | 1,130 | |
Exact Sciences Corp. | |||
0.375%, 3/15/27 | 3,940 | 3,589 | |
0.375%, 3/1/28 | 350 | 303 | |
Insulet Corp. 0.375%, 9/1/26 | 2,215 | 3,306 |
See Notes to Schedule of Investments
1
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2023
($ reported in thousands)
Par Value | Value | ||
Healthcare-Products—continued | |||
Integer Holdings Corp. 144A 2.125%, 2/15/28(1) | $ 1,225 | $ 1,390 | |
Lantheus Holdings, Inc. 144A 2.625%, 12/15/27(1) | 1,460 | 1,934 | |
Natera, Inc. 2.250%, 5/1/27 | 1,650 | 2,472 | |
Novocure Ltd. 0.000%, 11/1/25 | 2,220 | 1,979 | |
Repligen Corp. 0.375%, 7/15/24 | 445 | 621 | |
22,789 | |||
Internet—1.9% | |||
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,285 | 1,915 | |
Etsy, Inc. 0.125%, 9/1/27 | 1,290 | 1,131 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 2,115 | 1,860 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 1,375 | 2,814 | |
0.375%, 6/1/25 | 2,370 | 4,377 | |
Snap, Inc. 0.750%, 8/1/26 | 1,610 | 1,388 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 1,985 | 1,727 | |
Wayfair, Inc. | |||
1.125%, 11/1/24 | 1,755 | 1,567 | |
1.000%, 8/15/26 | 980 | 636 | |
144A 3.250%, 9/15/27(1) | 970 | 815 | |
Zillow Group, Inc. | |||
2.750%, 5/15/25 | 5,215 | 5,293 | |
1.375%, 9/1/26 | 1,200 | 1,400 | |
24,923 | |||
Leisure Time—0.7% | |||
NCL Corp., Ltd. | |||
5.375%, 8/1/25 | 570 | 608 | |
1.125%, 2/15/27 | 4,955 | 3,593 | |
Royal Caribbean Cruises Ltd. | |||
2.875%, 11/15/23 | 2,030 | 2,064 | |
144A 6.000%, 8/15/25(1) | 815 | 1,243 | |
Topgolf Callaway Brands Corp. 2.750%, 5/1/26 | 1,620 | 2,253 | |
9,761 | |||
Machinery-Diversified—0.2% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 1,685 | 2,040 | |
Media—0.7% | |||
DISH Network Corp. 0.000%, 12/15/25 | 1,585 | 773 | |
Liberty Broadband Corp. 144A 3.125%, 3/31/53(1) | 4,950 | 4,891 |
Par Value | Value | ||
Media—continued | |||
Liberty Media Corp.-Liberty Formula One 144A 2.250%, 8/15/27(1) | $ 2,725 | $ 2,887 | |
8,551 | |||
Mining—0.1% | |||
Lithium Americas Corp. 1.750%, 1/15/27 | 2,135 | 1,652 | |
Miscellaneous Manufacturing—0.3% | |||
Axon Enterprise, Inc. 144A 0.500%, 12/15/27(1) | 3,525 | 3,966 | |
Oil, Gas & Consumable Fuels—0.6% | |||
Northern Oil & Gas, Inc. 144A 3.625%, 4/15/29(1) | 2,280 | 2,572 | |
Permian Resources Operating LLC 3.250%, 4/1/28 | 1,090 | 2,003 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 1,180 | 2,688 | |
7,263 | |||
Passenger Airlines—0.1% | |||
American Airlines Group, Inc. 6.500%, 7/1/25 | 1,225 | 1,358 | |
Personal Care Product—0.2% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 2,600 | 2,125 | |
Pharmaceuticals—1.0% | |||
Dexcom, Inc. | |||
0.750%, 12/1/23 | 465 | 1,371 | |
0.250%, 11/15/25 | 7,430 | 8,108 | |
Mirum Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) | 940 | 1,071 | |
Revance Therapeutics, Inc. 1.750%, 2/15/27 | 1,735 | 2,108 | |
12,658 | |||
Retail—0.8% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 2,860 | 3,207 | |
Freshpet, Inc. 144A 3.000%, 4/1/28(1) | 2,450 | 2,945 | |
Guess, Inc. 144A 3.750%, 4/15/28(1) | 1,970 | 1,976 | |
Shake Shack, Inc. 0.000%, 3/1/28 | 3,925 | 2,911 | |
11,039 | |||
Semiconductors—0.7% | |||
Impinj, Inc. 1.125%, 5/15/27 | 220 | 237 | |
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26 | 1,580 | 1,517 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 1,260 | 1,335 |
See Notes to Schedule of Investments
2
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2023
($ reported in thousands)
Par Value | Value | ||
Semiconductors—continued | |||
ON Semiconductor Corp. 144A 0.500%, 3/1/29(1) | $ 3,705 | $ 3,568 | |
Silicon Laboratories, Inc. 0.625%, 6/15/25 | 600 | 719 | |
Wolfspeed, Inc. 0.250%, 2/15/28 | 2,905 | 2,105 | |
9,481 | |||
Software—3.2% | |||
Alteryx, Inc. 0.500%, 8/1/24 | 2,170 | 1,996 | |
Bentley Systems, Inc. 0.125%, 1/15/26 | 3,860 | 3,631 | |
BILL Holdings, Inc. 0.000%, 12/1/25 | 2,455 | 2,242 | |
Cerence, Inc. 3.000%, 6/1/25 | 1,295 | 1,330 | |
Cloudflare, Inc. 0.000%, 8/15/26 | 2,285 | 1,885 | |
Confluent, Inc. 0.000%, 1/15/27 | 1,935 | 1,532 | |
Datadog, Inc. 0.125%, 6/15/25 | 1,585 | 1,652 | |
DigitalOcean Holdings, Inc. 0.000%, 12/1/26 | 600 | 469 | |
Envestnet, Inc. 144A 2.625%, 12/1/27(1) | 2,970 | 3,240 | |
Evolent Health, Inc. 1.500%, 10/15/25 | 2,860 | 3,653 | |
Five9, Inc. 0.500%, 6/1/25 | 1,795 | 1,652 | |
HubSpot, Inc. 0.375%, 6/1/25 | 1,305 | 2,027 | |
MicroStrategy, Inc. 0.750%, 12/15/25 | 1,090 | 1,129 | |
Model N, Inc. 144A 1.875%, 3/15/28(1) | 400 | 389 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,220 | 1,606 | |
Nutanix, Inc. 0.250%, 10/1/27 | 1,765 | 1,455 | |
PagerDuty, Inc. 1.250%, 7/1/25 | 2,500 | 2,643 | |
Splunk, Inc. | |||
1.125%, 9/15/25 | 1,890 | 1,783 | |
1.125%, 6/15/27 | 2,860 | 2,445 | |
Tyler Technologies, Inc. 0.250%, 3/15/26 | 3,815 | 3,829 | |
Workiva, Inc. 1.125%, 8/15/26 | 1,475 | 1,948 | |
42,536 | |||
Telecommunications—0.1% | |||
Viavi Solutions, Inc. 144A 1.625%, 3/15/26(1) | 1,975 | 1,915 | |
Total Convertible Bonds and Notes (Identified Cost $246,395) | 234,802 |
Shares | Value | ||
Convertible Preferred Stocks—1.8% | |||
Automobile Components—0.1% | |||
Aptiv plc Series A, 5.500% | 14,525 | $ 1,644 | |
Banks—0.5% | |||
Wells Fargo & Co. Series L, 7.500% | 6,040 | 7,055 | |
Capital Markets—0.2% | |||
KKR & Co., Inc. Series C, 6.000% | 30,470 | 1,946 | |
Electric Utilities—0.3% | |||
NextEra Energy, Inc., 6.926% | 46,490 | 2,201 | |
PG&E Corp., 5.500% | 13,995 | 2,097 | |
4,298 | |||
Healthcare Equipment & Supplies—0.3% | |||
Boston Scientific Corp. Series A, 5.500% | 24,910 | 3,132 | |
Machinery—0.3% | |||
Chart Industries, Inc. Series B, 6.750% | 30,225 | 1,695 | |
RBC Bearings, Inc. Series A, 5.000% | 15,740 | 1,739 | |
3,434 | |||
Telecommunications—0.1% | |||
T-Mobile U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 1,555 | 1,811 | |
Total Convertible Preferred Stocks (Identified Cost $24,172) | 23,320 | ||
Common Stocks—77.7% | |||
Air Freight & Logistics—0.8% | |||
United Parcel Service, Inc. Class B | 55,497 | 9,979 | |
Automobiles—0.5% | |||
Ferrari N.V. | 24,357 | 6,787 | |
Banks—6.8% | |||
Bank of America Corp. | 889,735 | 26,051 | |
JPMorgan Chase & Co.(2) | 220,682 | 30,507 | |
PNC Financial Services Group, Inc. (The) | 170,120 | 22,158 | |
Truist Financial Corp. | 316,748 | 10,320 | |
89,036 | |||
Broadline Retail—0.9% | |||
Amazon.com, Inc.(2)(3) | 115,712 | 12,202 | |
Building Products—1.1% | |||
Lennox International, Inc. | 52,914 | 14,917 | |
Capital Markets—3.6% | |||
Intercontinental Exchange, Inc. | 104,716 | 11,407 | |
MarketAxess Holdings, Inc. | 38,824 | 12,360 | |
Morgan Stanley | 127,824 | 11,500 | |
MSCI, Inc. Class A | 23,256 | 11,220 | |
46,487 | |||
See Notes to Schedule of Investments
3
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2023
($ reported in thousands)
Shares | Value | ||
Chemicals—1.5% | |||
Celanese Corp. Class A | 184,807 | $ 19,634 | |
Commercial Services & Supplies—0.1% | |||
GFL Environmental, Inc. | 21,875 | 794 | |
Consumer Finance—0.8% | |||
Capital One Financial Corp. | 105,528 | 10,268 | |
Consumer Staples Distribution & Retail—0.8% | |||
Costco Wholesale Corp. | 21,458 | 10,798 | |
Containers & Packaging—0.8% | |||
Ball Corp. | 186,336 | 9,909 | |
Distributors—0.8% | |||
Pool Corp. | 29,192 | 10,256 | |
Diversified Telecommunication Services—0.7% | |||
Verizon Communications, Inc. | 242,552 | 9,418 | |
Financial Services—1.7% | |||
Jack Henry & Associates, Inc. | 66,218 | 10,816 | |
Visa, Inc. Class A | 51,287 | 11,936 | |
22,752 | |||
Food Products—0.8% | |||
Tyson Foods, Inc. Class A | 174,249 | 10,889 | |
Ground Transportation—0.8% | |||
Union Pacific Corp. | 53,978 | 10,563 | |
Health Care REITs—0.7% | |||
Medical Properties Trust, Inc. | 988,429 | 8,669 | |
Healthcare Equipment & Supplies—3.2% | |||
IDEXX Laboratories, Inc.(3) | 20,075 | 9,880 | |
Medtronic plc | 116,256 | 10,574 | |
Teleflex, Inc. | 76,366 | 20,811 | |
41,265 | |||
Healthcare Technology—0.8% | |||
Veeva Systems, Inc. Class A(3) | 57,348 | 10,270 | |
Hotels, Restaurants & Leisure—2.3% | |||
Domino’s Pizza, Inc. | 58,994 | 18,729 | |
Starbucks Corp. | 101,276 | 11,575 | |
30,304 | |||
Industrial Conglomerates—0.6% | |||
Honeywell International, Inc. | 41,788 | 8,351 | |
Insurance—0.8% | |||
Willis Towers Watson plc | 44,320 | 10,265 | |
Interactive Media & Services—2.9% | |||
Alphabet, Inc. Class A(3) | 112,000 | 12,022 | |
Alphabet, Inc. Class C(3) | 111,752 | 12,094 |
Shares | Value | ||
Interactive Media & Services—continued | |||
Meta Platforms, Inc. Class A(3) | 59,652 | $ 14,335 | |
38,451 | |||
Life Sciences Tools & Services—2.3% | |||
Bio-Techne Corp. | 134,390 | 10,735 | |
Danaher Corp. | 38,458 | 9,111 | |
Thermo Fisher Scientific, Inc.(2) | 18,977 | 10,530 | |
30,376 | |||
Machinery—2.3% | |||
Stanley Black & Decker, Inc. | 248,127 | 21,423 | |
Toro Co. (The) | 83,427 | 8,698 | |
30,121 | |||
Metals & Mining—1.2% | |||
Kinross Gold Corp. | 3,038,664 | 15,345 | |
Office REITs—2.4% | |||
Alexandria Real Estate Equities, Inc. | 250,353 | 31,089 | |
Oil & Gas Exploration & Production—0.8% | |||
Pioneer Natural Resources Co. | 49,526 | 10,774 | |
Oil, Gas & Consumable Fuels—0.7% | |||
Phillips 66 | 98,902 | 9,791 | |
Personal Care Products—0.8% | |||
Estee Lauder Cos., Inc. (The) Class A | 44,802 | 11,054 | |
Pharmaceuticals—2.9% | |||
Zoetis, Inc. Class A | 215,060 | 37,803 | |
Professional Services—1.6% | |||
TransUnion | 304,832 | 20,975 | |
Residential REITs—1.6% | |||
Invitation Homes, Inc. | 326,677 | 10,901 | |
Sun Communities, Inc. | 69,734 | 9,688 | |
20,589 | |||
Semiconductors & Semiconductor Equipment—3.0% | |||
Advanced Micro Devices, Inc.(3) | 101,819 | 9,099 | |
Broadcom, Inc. | 15,666 | 9,815 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR | 124,218 | 10,472 | |
Texas Instruments, Inc. | 55,489 | 9,278 | |
38,664 | |||
Software—9.7% | |||
Adobe, Inc. (3) | 121,678 | 45,940 | |
Intuit, Inc. | 71,978 | 31,955 | |
Microsoft Corp.(2) | 120,202 | 36,933 | |
ServiceNow, Inc.(3) | 26,223 | 12,048 | |
126,876 | |||
See Notes to Schedule of Investments
4
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2023
($ reported in thousands)
Shares | Value | ||
Specialized REITs—3.7% | |||
American Tower Corp. | 75,096 | $ 15,349 | |
Crown Castle, Inc. | 115,940 | 14,271 | |
Digital Realty Trust, Inc. | 196,473 | 19,480 | |
49,100 | |||
Specialty Retail—3.9% | |||
Best Buy Co., Inc. | 143,033 | 10,659 | |
Home Depot, Inc. (The)(2) | 104,852 | 31,512 | |
Ross Stores, Inc. | 82,859 | 8,844 | |
51,015 | |||
Technology Hardware, Storage & Peripherals—2.7% | |||
Apple, Inc.(2) | 208,016 | 35,296 | |
Textiles, Apparel & Luxury Goods—3.5% | |||
Lululemon Athletica, Inc.(3) | 91,779 | 34,870 | |
NIKE, Inc. Class B(2) | 82,578 | 10,464 | |
45,334 | |||
Water Utilities—0.8% | |||
American Water Works Co., Inc. | 67,451 | 10,000 | |
Total Common Stocks (Identified Cost $970,584) | 1,016,466 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd., 6/11/26(3) | 876 | 13 | |
Total Warrant (Identified Cost $—) | 13 | ||
Total Long-Term Investments—97.4% (Identified Cost $1,241,151) | 1,274,601 | ||
Short-Term Investment—2.6% | |||
Money Market Mutual Fund—2.6% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 4.745%)(4) | 33,453,673 | 33,454 | |
Total Short-Term Investment (Identified Cost $33,454) | 33,454 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—100.0% (Identified Cost $1,274,605) | 1,308,055 |
Value | ||
Written Options—(0.1)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $597) | $ (884) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.9% (Identified Cost $1,274,008) | $1,307,171 | |
Other assets and liabilities, net—0.1% | 1,633 | |
NET ASSETS—100.0% | $1,308,804 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
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 April 30, 2023, these securities amounted to a value of $70,617 or 5.4% 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 $65,025. |
(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 | 92% |
Canada | 4 |
Ireland | 2 |
Taiwan | 1 |
Netherlands | 1 |
Total | 100% |
† % of total investments, net of written options, as of April 30, 2023. |
Open written options contracts as of April 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Adobe, Inc. | (182) | $(7,553) | $415.00 | 05/19/23 | $(7) |
Adobe, Inc. | (243) | (10,571) | 435.00 | 05/19/23 | (1) |
Advanced Micro Devices, Inc. | (356) | (3,738) | 105.00 | 05/19/23 | (16) |
See Notes to Schedule of Investments
5
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2023
($ reported in thousands)
Open written options contracts as of April 30, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) (continued) | |||||
Alexandria Real Estate Equities, Inc. | (500) | $(6,750) | $135.00 | 05/19/23 | $(12) |
Alphabet, Inc. | (335) | (4,020) | 120.00 | 05/19/23 | (5) |
Alphabet, Inc. | (392) | (4,900) | 125.00 | 05/19/23 | (2) |
Amazon.com, Inc. | (347) | (4,338) | 125.00 | 05/19/23 | (3) |
American Water Works Co., Inc. | (134) | (2,144) | 160.00 | 05/19/23 | (3) |
Apple, Inc. | (416) | (7,488) | 180.00 | 05/19/23 | (32) |
Apple, Inc. | (315) | (5,985) | 190.00 | 06/16/23 | (14) |
Bank of America Corp. | (2,669) | (8,808) | 33.00 | 05/19/23 | (8) |
Best Buy Co., Inc. | (357) | (2,856) | 80.00 | 05/19/23 | (9) |
Broadcom, Inc. | (54) | (3,726) | 690.00 | 05/19/23 | (2) |
Capital One Financial Corp. | (316) | (3,476) | 110.00 | 05/19/23 | (5) |
Celanese Corp. | (462) | (5,313) | 115.00 | 05/19/23 | (51) |
Costco Wholesale Corp. | (64) | (3,552) | 555.00 | 05/19/23 | (1) |
Digital Realty Trust, Inc. | (392) | (4,116) | 105.00 | 05/19/23 | (43) |
Estee Lauder Cos., Inc. (The) | (134) | (3,886) | 290.00 | 05/19/23 | (4) |
Home Depot, Inc. (The) | (209) | (6,897) | 330.00 | 05/19/23 | (13) |
Home Depot, Inc. (The) | (209) | (7,106) | 340.00 | 05/19/23 | (4) |
Intuit, Inc. | (71) | (3,550) | 500.00 | 05/19/23 | (7) |
Intuit, Inc. | (143) | (7,436) | 520.00 | 05/19/23 | (6) |
JPMorgan Chase & Co. | (440) | (6,820) | 155.00 | 05/19/23 | (—) (3) |
Lululemon Athletica, Inc. | (229) | (9,618) | 420.00 | 05/19/23 | (7) |
Meta Platforms, Inc. | (208) | (5,096) | 245.00 | 05/19/23 | (107) |
Microsoft Corp. | (240) | (7,560) | 315.00 | 05/19/23 | (68) |
Microsoft Corp. | (240) | (7,920) | 330.00 | 06/16/23 | (53) |
Morgan Stanley | (319) | (3,110) | 97.50 | 05/19/23 | (5) |
NIKE, Inc. | (165) | (2,227) | 135.00 | 05/19/23 | (5) |
PNC Financial Services Group, Inc. (The) | (85) | (1,148) | 135.00 | 05/19/23 | (26) |
PNC Financial Services Group, Inc. (The) | (425) | (5,950) | 140.00 | 05/19/23 | (68) |
Ross Stores, Inc. | (248) | (2,852) | 115.00 | 05/19/23 | (11) |
ServiceNow, Inc. | (78) | (4,290) | 550.00 | 05/19/23 | (2) |
Stanley Black & Decker, Inc. | (496) | (4,464) | 90.00 | 05/19/23 | (97) |
Stanley Black & Decker, Inc. | (248) | (2,356) | 95.00 | 05/19/23 | (16) |
Starbucks Corp. | (303) | (3,484) | 115.00 | 05/19/23 | (88) |
Taiwan Semiconductor Manufacturing Co. Ltd. | (370) | (3,515) | 95.00 | 05/19/23 | (4) |
Texas Instruments, Inc. | (194) | (3,783) | 195.00 | 05/19/23 | (—) (3) |
Thermo Fisher Scientific, Inc. | (56) | (3,472) | 620.00 | 05/19/23 | (—) (3) |
Truist Financial Corp. | (950) | (3,325) | 35.00 | 05/19/23 | (55) |
United Parcel Service, Inc. | (138) | (2,898) | 210.00 | 05/19/23 | (—) (3) |
Veeva Systems, Inc. | (172) | (3,612) | 210.00 | 05/19/23 | (1) |
Visa, Inc. | (153) | (3,902) | 255.00 | 05/19/23 | (1) |
Zoetis, Inc. | (322) | (6,118) | 190.00 | 05/19/23 | (22) |
Total Written Options | $(884) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500. |
See Notes to Schedule of Investments
6
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2023
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of April 30, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at April 30, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $234,802 | $— | $230,487 | $4,315 | |||
Equity Securities: | |||||||
Common Stocks | 1,016,466 | 1,016,466 | — | — | |||
Convertible Preferred Stocks | 23,320 | 21,509 | 1,811 | — | |||
Warrant | 13 | 13 | — | — | |||
Money Market Mutual Fund | 33,454 | 33,454 | — | — | |||
Total Assets | 1,308,055 | 1,071,442 | 232,298 | 4,315 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (884) | (877) | (7) | — | |||
Total Liabilities | (884) | (877) | (7) | — | |||
Total Investments, Net of Written Options | $1,307,171 | $1,070,565 | $232,291 | $4,315 |
There were no transfers into or out of Level 3 related to securities held at April 30, 2023.
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.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended April 30, 2023.
See Notes to Schedule of Investments
7
VIRTUS Dividend, Interest & Premium Strategy Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2023
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 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 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 Adviser’s 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 (“OTC”) 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