VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—17.3% | |||
Auto Manufacturers—0.5% | |||
Ford Motor Co. 0.000%, 3/15/26 | $ 2,400 | $ 2,190 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 1,470 | 803 | |
Rivian Automotive, Inc. | |||
144A 4.625%, 3/15/29(1) | 1,765 | 1,856 | |
144A 3.625%, 10/15/30(1) | 1,070 | 972 | |
5,821 | |||
Automotive Parts & Equipment—0.1% | |||
Luminar Technologies, Inc. 144A 1.250%, 12/15/26(1) | 2,170 | 1,258 | |
Banks—0.4% | |||
Barclays Bank plc 0.000%, 2/18/25 | 2,945 | 3,035 | |
BofA Finance LLC 0.600%, 5/25/27 | 2,385 | 2,459 | |
5,494 | |||
Biotechnology—0.5% | |||
Bridgebio Pharma, Inc. | |||
2.500%, 3/15/27 | 1,210 | 1,144 | |
2.250%, 2/1/29 | 1,010 | 739 | |
Insmed, Inc. | |||
1.750%, 1/15/25 | 1,775 | 1,750 | |
0.750%, 6/1/28 | 980 | 943 | |
Sarepta Therapeutics, Inc. 1.250%, 9/15/27 | 1,270 | 1,081 | |
5,657 | |||
Commercial Services—1.1% | |||
Affirm Holdings, Inc. 0.000%, 11/15/26(2) | 5,420 | 3,865 | |
Block, Inc. 0.125%, 3/1/25 | 4,300 | 3,960 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1)(2) | 2,940 | 2,334 | |
Shift4 Payments, Inc. 0.500%, 8/1/27 | 2,785 | 2,175 | |
Stride, Inc. 1.125%, 9/1/27 | 835 | 987 | |
13,321 | |||
Computers—1.3% | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | 685 | 783 | |
Lumentum Holdings, Inc. | |||
0.250%, 3/15/24 | 1,355 | 1,323 | |
144A 1.500%, 12/15/29(1) | 1,525 | 1,263 | |
Parsons Corp. 0.250%, 8/15/25 | 2,200 | 2,869 | |
Seagate HDD Cayman 144A 3.500%, 6/1/28(1) | 4,300 | 4,457 | |
Varonis Systems, Inc. 1.250%, 8/15/25 | 1,840 | 2,278 |
Par Value | Value | ||
Computers—continued | |||
Zscaler, Inc. 0.125%, 7/1/25 | $ 2,340 | $ 2,850 | |
15,823 | |||
Electric Utilities—0.7% | |||
FirstEnergy Corp. 144A 4.000%, 5/1/26(1) | 3,530 | 3,428 | |
Southern Co. (The) 144A 3.875%, 12/15/25(1) | 5,710 | 5,601 | |
9,029 | |||
Electronics—0.3% | |||
Advanced Energy Industries, Inc. 144A 2.500%, 9/15/28(1) | 2,295 | �� 2,120 | |
Vishay Intertechnology, Inc. 144A 2.250%, 9/15/30(1) | 1,075 | 984 | |
3,104 | |||
Energy-Alternate Sources—0.3% | |||
Array Technologies, Inc. 1.000%, 12/1/28 | 1,640 | 1,577 | |
Sunnova Energy International, Inc. 2.625%, 2/15/28 | 4,980 | 2,395 | |
3,972 | |||
Engineering & Construction—0.5% | |||
Fluor Corp. 144A 1.125%, 8/15/29(1) | 3,860 | 3,710 | |
Granite Construction, Inc. 144A 3.750%, 5/15/28(1) | 2,045 | 2,186 | |
5,896 | |||
Entertainment—1.3% | |||
DraftKings Holdings, Inc. 0.000%, 3/15/28(2) | 4,760 | 3,537 | |
IMAX Corp. 0.500%, 4/1/26 | 3,545 | 3,210 | |
Live Nation Entertainment, Inc. | |||
2.000%, 2/15/25 | 3,670 | 3,688 | |
144A 3.125%, 1/15/29(1) | 1,535 | 1,541 | |
Penn Entertainment, Inc. 2.750%, 5/15/26 | 695 | 762 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 3,090 | 2,686 | |
15,424 | |||
Environmental Services—0.2% | |||
Tetra Tech, Inc. 144A 2.250%, 8/15/28(1) | 2,675 | 2,588 | |
Financial Services—0.4% | |||
Encore Capital Group, Inc. 144A 4.000%, 3/15/29(1) | 3,155 | 2,664 |
See Notes to Schedule of Investments
1
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Financial Services—continued | |||
JPMorgan Chase Financial Co., LLC 0.500%, 6/15/27 | $ 1,685 | $ 1,857 | |
4,521 | |||
Health Care REITs—0.5% | |||
Welltower OP LLC 144A 2.750%, 5/15/28(1) | 6,210 | 6,365 | |
Healthcare-Products—0.6% | |||
Alphatec Holdings, Inc. 0.750%, 8/1/26 | 1,915 | 1,626 | |
Exact Sciences Corp. 0.375%, 3/15/27 | 3,115 | 2,706 | |
Integer Holdings Corp. 144A 2.125%, 2/15/28(1) | 1,185 | 1,300 | |
Lantheus Holdings, Inc. 144A 2.625%, 12/15/27(1) | 635 | 704 | |
Natera, Inc. 2.250%, 5/1/27 | 560 | 681 | |
7,017 | |||
Internet—1.9% | |||
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,200 | 1,829 | |
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) | 1,575 | 1,273 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 2,825 | 6,899 | |
Uber Technologies, Inc. 0.000%, 12/15/25(2) | 6,270 | 5,698 | |
Wayfair, Inc. | |||
1.125%, 11/1/24 | 2,045 | 1,906 | |
1.000%, 8/15/26 | 2,630 | 1,975 | |
3.250%, 9/15/27 | 650 | 622 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 2,460 | 2,382 | |
22,584 | |||
Leisure Time—0.5% | |||
NCL Corp., Ltd. 1.125%, 2/15/27 | 4,125 | 3,196 | |
Royal Caribbean Cruises Ltd. | |||
2.875%, 11/15/23 | 1,115 | 1,136 | |
6.000%, 8/15/25 | 690 | 1,260 | |
5,592 | |||
Media—1.1% | |||
DISH Network Corp. 0.000%, 12/15/25 | 1,410 | 860 | |
Liberty Broadband Corp. 144A 3.125%, 3/31/53(1) | 6,975 | 6,919 | |
Liberty Media Corp. 144A 3.750%, 3/15/28(1) | 2,070 | 2,250 | |
Liberty Media Corp.-Liberty Formula One 2.250%, 8/15/27 | 3,255 | 3,262 | |
13,291 | |||
Par Value | Value | ||
Mining—0.1% | |||
SSR Mining, Inc. 2.500%, 4/1/39 | $ 910 | $ 935 | |
Miscellaneous Manufacturing—0.3% | |||
Axon Enterprise, Inc. 144A 0.500%, 12/15/27(1) | 3,615 | 3,881 | |
Oil, Gas & Consumable Fuels—0.5% | |||
EQT Corp. 1.750%, 5/1/26 | 570 | 1,651 | |
Northern Oil & Gas, Inc. 3.625%, 4/15/29 | 1,385 | 1,632 | |
Permian Resources Operating LLC 3.250%, 4/1/28 | 295 | 724 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 715 | 1,823 | |
5,830 | |||
Passenger Airlines—0.1% | |||
American Airlines Group, Inc. 6.500%, 7/1/25 | 1,330 | 1,347 | |
Pharmaceuticals—0.4% | |||
Amphastar Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1) | 1,905 | 1,854 | |
Dexcom, Inc. 144A 0.375%, 5/15/28(1) | 1,075 | 945 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 1,070 | 1,081 | |
Mirum Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) | 1,080 | 1,256 | |
5,136 | |||
Retail—0.1% | |||
Freshpet, Inc. 144A 3.000%, 4/1/28(1) | 635 | 678 | |
Shake Shack, Inc. 0.000%, 3/1/28(2) | 1,340 | 975 | |
1,653 | |||
Semiconductors—0.6% | |||
Impinj, Inc. 1.125%, 5/15/27 | 335 | 309 | |
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26 | 1,645 | 1,707 | |
ON Semiconductor Corp. 144A 0.500%, 3/1/29(1) | 3,220 | 2,817 | |
SMART Global Holdings, Inc. 2.000%, 2/1/29 | 320 | 279 | |
Veeco Instruments, Inc. 144A 2.875%, 6/1/29(1) | 875 | 930 | |
Wolfspeed, Inc. 0.250%, 2/15/28 | 2,250 | 1,394 | |
7,436 | |||
Software—2.8% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 4,380 | 5,069 |
See Notes to Schedule of Investments
2
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Software—continued | |||
Bentley Systems, Inc. 0.125%, 1/15/26 | $ 3,925 | $ 3,719 | |
BILL Holdings, Inc. | |||
0.000%, 12/1/25 | 3,340 | 3,169 | |
0.000%, 4/1/27(2) | 700 | 556 | |
Confluent, Inc. 0.000%, 1/15/27(2) | 2,415 | 1,943 | |
CSG Systems International, Inc. 144A 3.875%, 9/15/28(1) | 650 | 603 | |
Datadog, Inc. 0.125%, 6/15/25 | 720 | 793 | |
HubSpot, Inc. 0.375%, 6/1/25 | 595 | 929 | |
MicroStrategy, Inc. 0.750%, 12/15/25 | 1,960 | 2,442 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,420 | 2,419 | |
Nutanix, Inc. 0.250%, 10/1/27 | 1,765 | 1,578 | |
Splunk, Inc. | |||
1.125%, 9/15/25 | 1,890 | 2,030 | |
1.125%, 6/15/27 | 2,355 | 2,225 | |
Tyler Technologies, Inc. 0.250%, 3/15/26 | 3,985 | 3,782 | |
Workiva, Inc. 144A 1.250%, 8/15/28(1) | 3,425 | 3,098 | |
34,355 | |||
Transportation—0.2% | |||
Air Transport Services Group, Inc. 144A 3.875%, 8/15/29(1) | 2,380 | 2,197 | |
Total Convertible Bonds and Notes (Identified Cost $225,880) | 209,527 |
Shares | ||
Convertible Preferred Stocks—1.3% | ||
Banks—0.6% | ||
Wells Fargo & Co. Series L, 7.500% | 7,260 | 7,669 |
Electric Utilities—0.2% | ||
NextEra Energy, Inc., 6.926% | 46,260 | 1,737 |
Financial Services—0.2% | ||
Apollo Global Management, Inc., 6.750% | 49,580 | 2,385 |
Machinery—0.3% | ||
Chart Industries, Inc. Series B, 6.750% | 26,845 | 1,319 |
RBC Bearings, Inc. Series A, 5.000% | 20,370 | 2,143 |
3,462 | ||
Total Convertible Preferred Stocks (Identified Cost $17,503) | 15,253 | |
Common Stocks—76.6% | ||
Aerospace & Defense—0.8% | ||
L3Harris Technologies, Inc. | 55,293 | 9,920 |
Shares | Value | ||
Banks—9.2% | |||
Bank of America Corp. | 1,455,756 | $ 38,345 | |
Commerce Bancshares, Inc. | 229,829 | 10,080 | |
JPMorgan Chase & Co.(3) | 68,241 | 9,490 | |
PNC Financial Services Group, Inc. (The) | 242,463 | 27,755 | |
Truist Financial Corp. | 549,726 | 15,590 | |
U.S. Bancorp | 307,154 | 9,792 | |
111,052 | |||
Building Products—0.8% | |||
Allegion plc | 92,519 | 9,100 | |
Capital Markets—4.8% | |||
Intercontinental Exchange, Inc. | 89,218 | 9,586 | |
MarketAxess Holdings, Inc. | 46,945 | 10,035 | |
Morgan Stanley | 120,702 | 8,548 | |
MSCI, Inc. Class A | 40,107 | 18,912 | |
Nasdaq, Inc. | 219,338 | 10,879 | |
57,960 | |||
Chemicals—1.4% | |||
Celanese Corp. Class A | 84,607 | 9,688 | |
FMC Corp. | 144,299 | 7,677 | |
17,365 | |||
Commercial Services & Supplies—0.8% | |||
RB Global, Inc. | 154,386 | 10,097 | |
Consumer Finance—0.8% | |||
Capital One Financial Corp. | 96,379 | 9,762 | |
Consumer Staples Distribution & Retail—1.5% | |||
Costco Wholesale Corp. | 17,144 | 9,471 | |
Target Corp. | 83,112 | 9,208 | |
18,679 | |||
Containers & Packaging—1.5% | |||
Ball Corp. | 193,452 | 9,315 | |
Sealed Air Corp. | 305,823 | 9,416 | |
18,731 | |||
Electric Utilities—5.7% | |||
Eversource Energy | 529,745 | 28,495 | |
NextEra Energy, Inc. | 499,217 | 29,104 | |
Xcel Energy, Inc. | 190,416 | 11,286 | |
68,885 | |||
Financial Services—2.5% | |||
Jack Henry & Associates, Inc. | 68,745 | 9,692 | |
Mastercard, Inc. Class A | 25,790 | 9,706 | |
Visa, Inc. Class A | 44,257 | 10,405 | |
29,803 | |||
Food Products—0.8% | |||
Tyson Foods, Inc. Class A | 206,477 | 9,570 |
See Notes to Schedule of Investments
3
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Shares | Value | ||
Gas Utilities—0.8% | |||
UGI Corp. | 442,769 | $ 9,210 | |
Healthcare Equipment & Supplies—3.2% | |||
Edwards Lifesciences Corp.(4) | 340,506 | 21,697 | |
Medtronic plc | 116,256 | 8,203 | |
Teleflex, Inc. | 48,311 | 8,926 | |
38,826 | |||
Healthcare Providers & Services—1.0% | |||
Humana, Inc. | 22,636 | 11,854 | |
Healthcare Technology—0.8% | |||
Veeva Systems, Inc. Class A(4) | 49,373 | 9,515 | |
Hotels, Restaurants & Leisure—1.6% | |||
Domino’s Pizza, Inc. | 27,145 | 9,202 | |
Planet Fitness, Inc. Class A(4) | 180,700 | 9,987 | |
19,189 | |||
Industrial REITs—2.9% | |||
Rexford Industrial Realty, Inc. | 802,890 | 34,717 | |
Interactive Media & Services—0.8% | |||
Alphabet, Inc. Class A(4) | 78,270 | 9,712 | |
IT Services—0.7% | |||
Globant S.A.(4) | 53,204 | 9,060 | |
Life Sciences Tools & Services—3.1% | |||
Agilent Technologies, Inc. | 181,958 | 18,809 | |
Thermo Fisher Scientific, Inc.(3)(4) | 41,253 | 18,348 | |
37,157 | |||
Machinery—2.5% | |||
Stanley Black & Decker, Inc. | 225,715 | 19,197 | |
Toro Co. (The) | 130,794 | 10,573 | |
29,770 | |||
Office REITs—3.0% | |||
Alexandria Real Estate Equities, Inc. | 383,944 | 35,757 | |
Oil, Gas & Consumable Fuels—4.8% | |||
EOG Resources, Inc. | 80,325 | 10,141 | |
Ovintiv, Inc. | 447,256 | 21,468 | |
Pioneer Natural Resources Co. | 68,070 | 16,269 | |
TC Energy Corp. | 285,697 | 9,842 | |
57,720 | |||
Personal Care Products—0.7% | |||
Estee Lauder Cos., Inc. (The) Class A | 68,926 | 8,882 | |
Pharmaceuticals—0.7% | |||
Zoetis, Inc. Class A | 56,756 | 8,911 | |
Professional Services—1.8% | |||
Paycom Software, Inc. | 63,479 | 15,550 |
Shares | Value | ||
Professional Services—continued | |||
TransUnion | 133,626 | $ 5,864 | |
21,414 | |||
Residential REITs—2.2% | |||
Invitation Homes, Inc. | 300,613 | 8,925 | |
Mid-America Apartment Communities, Inc. | 77,622 | 9,171 | |
Sun Communities, Inc. | 79,632 | 8,858 | |
26,954 | |||
Software—4.0% | |||
Intuit, Inc. | 75,772 | 37,504 | |
Microsoft Corp.(3) | 30,745 | 10,395 | |
47,899 | |||
Specialized REITs—3.4% | |||
American Tower Corp. | 59,200 | 10,549 | |
Crown Castle, Inc. | 219,671 | 20,425 | |
SBA Communications Corp. Class A | 49,079 | 10,239 | |
41,213 | |||
Specialty Retail—1.5% | |||
Best Buy Co., Inc. | 135,137 | 9,030 | |
Home Depot, Inc. (The)(3) | 33,028 | 9,403 | |
18,433 | |||
Technology Hardware, Storage & Peripherals—0.8% | |||
Apple, Inc.(3) | 56,001 | 9,563 | |
Textiles, Apparel & Luxury Goods—3.6% | |||
Lululemon Athletica, Inc.(4) | 80,387 | 31,631 | |
NIKE, Inc. Class B(3) | 111,400 | 11,448 | |
43,079 | |||
Trading Companies & Distributors—1.3% | |||
MonotaRO Co., Ltd. Unsponsored ADR | 1,991,287 | 15,811 | |
Water Utilities—0.8% | |||
American Water Works Co., Inc. | 78,002 | 9,177 | |
Total Common Stocks (Identified Cost $1,032,580) | 924,747 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd., 6/11/26(4) | 876 | 11 | |
Total Warrant (Identified Cost $—) | 11 | ||
See Notes to Schedule of Investments
4
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Shares | Value | ||
Equity-Linked Note—0.1% | |||
Financial Services—0.1% | |||
Goldman Sachs Finance Corp.(5) | 1,570,000 | $ 1,392 | |
Total Equity-Linked Note (Identified Cost $1,609) | 1,392 | ||
Total Long-Term Investments—95.3% (Identified Cost $1,277,572) | 1,150,930 | ||
Short-Term Investment—4.2% | |||
Money Market Mutual Fund—4.2% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.242%)(6) | 51,026,958 | 51,027 | |
Total Short-Term Investment (Identified Cost $51,027) | 51,027 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.5% (Identified Cost $1,328,599) | 1,201,957 |
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $976) | (687) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.5% (Identified Cost $1,327,623) | $1,201,270 | |
Other assets and liabilities, net—0.5% | 6,022 | |
NET ASSETS—100.0% | $1,207,292 |
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 October 31, 2023, these securities amounted to a value of $74,835 or 6.2% of net assets. |
(2) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(3) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $41,876. |
(4) | Non-income producing. |
(5) | 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. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 91% |
Canada | 5 |
Japan | 1 |
Luxembourg | 1 |
Ireland | 1 |
Cayman Islands | 1 |
Total | 100% |
† % of total investments, net of written options, as of October 31, 2023. |
Open written options contracts as of October 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Agilent Technologies, Inc. | (545) | $(6,540) | $120.00 | 11/17/23 | $(3) |
Alexandria Real Estate Equities, Inc. | (1,151) | (12,085) | 105.00 | 11/17/23 | (13) |
Alphabet, Inc. | (237) | (3,674) | 155.00 | 11/17/23 | (—) (3) |
American Tower Corp. | (177) | (3,098) | 175.00 | 11/17/23 | (115) |
Apple, Inc. | (196) | (3,822) | 195.00 | 11/17/23 | (1) |
Bank of America Corp. | (2,910) | (8,439) | 29.00 | 11/17/23 | (15) |
Bank of America Corp. | (1,455) | (4,511) | 31.00 | 12/15/23 | (7) |
Best Buy Co., Inc. | (405) | (3,138) | 77.50 | 11/17/23 | (2) |
Capital One Financial Corp. | (289) | (3,034) | 105.00 | 11/17/23 | (36) |
Celanese Corp. | (253) | (3,416) | 135.00 | 11/17/23 | (61) |
Costco Wholesale Corp. | (51) | (3,188) | 625.00 | 11/17/23 | (—) (3) |
Crown Castle, Inc. | (219) | (2,190) | 100.00 | 11/17/23 | (6) |
Crown Castle, Inc. | (329) | (3,455) | 105.00 | 11/17/23 | (2) |
Domino’s Pizza, Inc. | (81) | (3,159) | 390.00 | 11/17/23 | (1) |
Estee Lauder Cos., Inc. (The) | (206) | (3,296) | 160.00 | 11/17/23 | (8) |
FMC Corp. | (216) | (1,620) | 75.00 | 11/17/23 | (—) (3) |
Globant S.A. | (159) | (3,339) | 210.00 | 11/17/23 | (4) |
Home Depot, Inc. (The) | (115) | (3,680) | 320.00 | 11/17/23 | (4) |
Humana, Inc. | (67) | (3,853) | 575.00 | 11/17/23 | (7) |
See Notes to Schedule of Investments
5
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Open written options contracts as of October 31, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) (continued) | |||||
Intuit, Inc. | (189) | $(10,962) | $580.00 | 11/17/23 | $(13) |
Intuit, Inc. | (75) | (4,650) | 620.00 | 12/15/23 | (7) |
JPMorgan Chase & Co. | (204) | (3,264) | 160.00 | 11/17/23 | (—) (3) |
Lululemon Athletica, Inc. | (200) | (9,200) | 460.00 | 11/17/23 | (3) |
Lululemon Athletica, Inc. | (80) | (3,840) | 480.00 | 11/17/23 | (—) (3) |
Mastercard, Inc. | (90) | (3,870) | 430.00 | 11/17/23 | (—) (3) |
Microsoft Corp. | (122) | (4,514) | 370.00 | 11/17/23 | (3) |
Morgan Stanley | (362) | (2,896) | 80.00 | 11/17/23 | (1) |
MSCI, Inc. | (120) | (6,480) | 540.00 | 11/17/23 | (4) |
Nasdaq, Inc. | (658) | (3,619) | 55.00 | 11/17/23 | (3) |
NextEra Energy, Inc. | (1,500) | (9,000) | 60.00 | 11/17/23 | (113) |
NIKE, Inc. | (334) | (3,841) | 115.00 | 11/17/23 | (2) |
Ovintiv, Inc. | (894) | (4,917) | 55.00 | 11/17/23 | (16) |
Paycom Software, Inc. | (190) | (5,890) | 310.00 | 11/17/23 | (13) |
Planet Fitness, Inc. | (632) | (3,792) | 60.00 | 11/17/23 | (61) |
PNC Financial Services Group, Inc. (The) | (363) | (4,538) | 125.00 | 11/17/23 | (9) |
PNC Financial Services Group, Inc. (The) | (363) | (4,719) | 130.00 | 11/17/23 | (3) |
Sealed Air Corp. | (1,070) | (3,745) | 35.00 | 11/17/23 | (30) |
Stanley Black & Decker, Inc. | (677) | (6,093) | 90.00 | 11/17/23 | (54) |
Target Corp. | (290) | (3,770) | 130.00 | 11/17/23 | (12) |
Thermo Fisher Scientific, Inc. | (123) | (6,396) | 520.00 | 11/17/23 | (10) |
TransUnion | (330) | (2,475) | 75.00 | 11/17/23 | — |
Truist Financial Corp. | (1,649) | (4,947) | 30.00 | 11/17/23 | (38) |
Veeva Systems, Inc. | (148) | (3,256) | 220.00 | 11/17/23 | (4) |
Visa, Inc. | (154) | (4,004) | 260.00 | 11/17/23 | (—) (3) |
Zoetis, Inc. | (170) | (3,230) | 190.00 | 11/17/23 | (3) |
Total Written Options | $(687) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500 (not in thousands). |
See Notes to Schedule of Investments
6
VIRTUS Dividend, Interest & Premium Strategy Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of October 31, 2023, 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, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $209,527 | $— | $209,527 | $— | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 15,253 | 15,253 | — | — | |||
Common Stocks | 924,747 | 924,747 | — | — | |||
Warrant | 11 | 11 | — | — | |||
Equity-Linked Note | 1,392 | — | — | 1,392 | |||
Money Market Mutual Fund | 51,027 | 51,027 | — | — | |||
Total Assets | 1,201,957 | 991,038 | 209,527 | 1,392 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (687) | (581) | (106) | — | |||
Total Investments, Net of Written Options | $1,201,270 | $990,457 | $209,421 | $1,392 |
There were no transfers into or out of Level 3 related to securities held at October 31, 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 October 31, 2023.
See Notes to Schedule of Investments
7
VIRTUS Dividend, Interest & Premium Strategy Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2023
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, 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