VIRTUS Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2024
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—28.6% | |||
Aerospace & Defense—0.1% | |||
Spirit AeroSystems, Inc. 144A 3.250%, 11/1/28(1) | $ 555 | $ 715 | |
Auto Manufacturers—0.4% | |||
Ford Motor Co. 0.000%, 3/15/26 | 1,155 | 1,150 | |
Rivian Automotive, Inc. | |||
4.625%, 3/15/29 | 620 | 421 | |
144A 3.625%, 10/15/30(1) | 1,530 | 890 | |
2,461 | |||
Banks—3.1% | |||
Barclays Bank plc 1.000%, 2/16/29(2) | 4,470 | 4,447 | |
BofA Finance LLC | |||
1.000%, 3/25/27(2) | 4,455 | 4,787 | |
1.200%, 4/22/27(2) | 5,355 | 5,367 | |
0.600%, 5/25/27 | 2,885 | 3,628 | |
Morgan Stanley Finance LLC 1.500%, 1/28/27(2) | 2,185 | 2,375 | |
20,604 | |||
Biotechnology—0.9% | |||
Bridgebio Pharma, Inc. 2.500%, 3/15/27 | 1,225 | 1,212 | |
Cytokinetics, Inc. 3.500%, 7/1/27 | 500 | 714 | |
Immunocore Holdings plc 144A 2.500%, 2/1/30(1) | 885 | 873 | |
Insmed, Inc. 1.750%, 1/15/25 | 1,405 | 1,545 | |
Sarepta Therapeutics, Inc. 1.250%, 9/15/27 | 1,240 | 1,418 | |
5,762 | |||
Commercial Services—3.3% | |||
Affirm Holdings, Inc. 0.000%, 11/15/26(3) | 5,425 | 4,491 | |
Block, Inc. 0.125%, 3/1/25 | 4,620 | 4,570 | |
Global Payments, Inc. 144A 1.500%, 3/1/31(1) | 6,520 | 6,481 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1)(3) | 2,885 | 2,611 | |
Shift4 Payments, Inc. 0.500%, 8/1/27 | 2,640 | 2,342 | |
Stride, Inc. 1.125%, 9/1/27 | 975 | 1,339 | |
21,834 | |||
Computers—1.2% | |||
Parsons Corp. 144A 2.625%, 3/1/29(1) | 2,630 | 2,747 | |
Varonis Systems, Inc. 1.250%, 8/15/25 | 620 | 922 | |
Western Digital Corp. 144A 3.000%, 11/15/28(1) | 2,095 | 3,165 |
Par Value | Value | ||
Computers—continued | |||
Zscaler, Inc. 0.125%, 7/1/25 | $ 725 | $ 918 | |
7,752 | |||
Electric Utilities—1.8% | |||
NextEra Energy Capital Holdings, Inc. 144A 3.000%, 3/1/27(1) | 2,770 | 3,019 | |
NRG Energy, Inc. 2.750%, 6/1/48 | 630 | 1,128 | |
PG&E Corp. 144A 4.250%, 12/1/27(1) | 4,055 | 4,061 | |
Southern Co. (The) 3.875%, 12/15/25 | 4,085 | 4,081 | |
12,289 | |||
Electronics—0.2% | |||
Itron, Inc. 0.000%, 3/15/26(3) | 1,210 | 1,216 | |
Energy-Alternate Sources—0.2% | |||
Plug Power, Inc. 3.750%, 6/1/25 | 520 | 457 | |
Sunnova Energy International, Inc. 2.625%, 2/15/28 | 2,950 | 952 | |
1,409 | |||
Engineering & Construction—0.8% | |||
Fluor Corp. 144A 1.125%, 8/15/29(1) | 2,805 | 3,051 | |
Granite Construction, Inc. 144A 3.750%, 5/15/28(1) | 1,545 | 2,063 | |
5,114 | |||
Entertainment—1.4% | |||
DraftKings Holdings, Inc. 0.000%, 3/15/28(3) | 4,100 | 3,393 | |
IMAX Corp. 0.500%, 4/1/26 | 965 | 896 | |
Live Nation Entertainment, Inc. | |||
2.000%, 2/15/25 | 3,495 | 3,576 | |
3.125%, 1/15/29 | 1,420 | 1,538 | |
9,403 | |||
Environmental Services—0.4% | |||
Tetra Tech, Inc. 144A 2.250%, 8/15/28(1) | 2,390 | 2,701 | |
Financial Services—2.9% | |||
Bread Financial Holdings, Inc. 144A 4.250%, 6/15/28(1) | 1,285 | 1,465 | |
Citigroup Global Markets Holdings, Inc. 1.000%, 3/15/27(2) | 4,425 | 4,695 | |
Coinbase Global, Inc. 0.500%, 6/1/26 | 3,115 | 3,125 | |
Encore Capital Group, Inc. 4.000%, 3/15/29 | 1,700 | 1,494 | |
Goldman Sachs Finance Corp. 4.000%, 9/28/26(2) | 2,020 | 2,379 |
See Notes to Schedule of Investments
1
VIRTUS Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2024
($ reported in thousands)
Par Value | Value | ||
Financial Services—continued | |||
JPMorgan Chase Financial Co. LLC | |||
1.000%, 3/15/27(2) | $ 2,110 | $ 2,205 | |
1.250%, 3/15/27(2) | 4,260 | 4,410 | |
19,773 | |||
Health Care REITs—0.7% | |||
Welltower OP LLC 144A 2.750%, 5/15/28(1) | 4,330 | 4,854 | |
Healthcare-Products—1.2% | |||
Integer Holdings Corp. 2.125%, 2/15/28 | 1,325 | 1,842 | |
iRhythm Technologies, Inc. 144A 1.500%, 9/1/29(1) | 1,445 | 1,462 | |
Natera, Inc. 2.250%, 5/1/27 | 1,080 | 2,662 | |
Repligen Corp. 144A 1.000%, 12/15/28(1) | 1,495 | 1,564 | |
Shockwave Medical, Inc. 144A 1.000%, 8/15/28(1) | 450 | 571 | |
8,101 | |||
Insurance—0.3% | |||
HCI Group, Inc. 4.750%, 6/1/42 | 1,215 | 1,865 | |
Internet—3.0% | |||
Lyft, Inc. 144A 0.625%, 3/1/29(1) | 1,860 | 1,911 | |
PDD Holdings, Inc. 0.000%, 12/1/25 | 2,065 | 2,018 | |
Sea Ltd. 2.375%, 12/1/25 | 2,160 | 2,265 | |
Snap, Inc. 0.750%, 8/1/26 | 1,555 | 1,613 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 4,325 | 4,487 | |
Wayfair, Inc. | |||
1.125%, 11/1/24 | 1,695 | 1,631 | |
1.000%, 8/15/26 | 2,180 | 1,937 | |
3.250%, 9/15/27 | 1,710 | 1,884 | |
Zillow Group, Inc. | |||
2.750%, 5/15/25 | 2,150 | 2,174 | |
1.375%, 9/1/26 | 240 | 276 | |
20,196 | |||
Leisure Time—1.0% | |||
NCL Corp., Ltd. 1.125%, 2/15/27 | 3,080 | 2,818 | |
Royal Caribbean Cruises Ltd. 6.000%, 8/15/25 | 1,405 | 4,004 | |
6,822 | |||
Media—0.3% | |||
DISH Network Corp. 0.000%, 12/15/25 | 1,180 | 858 |
Par Value | Value | ||
Media—continued | |||
Liberty Broadband Corp. 144A 3.125%, 3/31/53(1) | $ 1,200 | $ 1,115 | |
1,973 | |||
Oil, Gas & Consumable Fuels—0.5% | |||
CNX Resources Corp. 2.250%, 5/1/26 | 1,225 | 2,298 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 455 | 1,334 | |
3,632 | |||
Passenger Airlines—0.4% | |||
American Airlines Group, Inc. 6.500%, 7/1/25 | 2,355 | 2,569 | |
Pharmaceuticals—0.6% | |||
Dexcom, Inc. 144A 0.375%, 5/15/28(1) | 3,865 | 3,919 | |
Neurocrine Biosciences, Inc. 2.250%, 5/15/24 | 75 | 135 | |
4,054 | |||
Retail—0.5% | |||
Burlington Stores, Inc. 144A 1.250%, 12/15/27(1) | 1,620 | 1,760 | |
Freshpet, Inc. 3.000%, 4/1/28 | 1,035 | 1,730 | |
3,490 | |||
Semiconductors—1.5% | |||
Impinj, Inc. 1.125%, 5/15/27 | 1,040 | 1,632 | |
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26 | 1,390 | 1,835 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 1,400 | 1,505 | |
ON Semiconductor Corp. 0.500%, 3/1/29 | 2,180 | 2,104 | |
Semtech Corp. 1.625%, 11/1/27 | 690 | 829 | |
Veeco Instruments, Inc. 144A 2.875%, 6/1/29(1) | 890 | 1,241 | |
Wolfspeed, Inc. 0.250%, 2/15/28 | 1,390 | 820 | |
9,966 | |||
Software—1.9% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 1,840 | 2,076 | |
Confluent, Inc. 0.000%, 1/15/27(3) | 2,085 | 1,767 | |
Guidewire Software, Inc. 1.250%, 3/15/25 | 1,175 | 1,304 | |
HubSpot, Inc. 0.375%, 6/1/25 | 520 | 1,121 | |
MicroStrategy, Inc. 144A 0.875%, 3/15/31(1) | 370 | 293 |
See Notes to Schedule of Investments
2
VIRTUS Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2024
($ reported in thousands)
Par Value | Value | ||
Software—continued | |||
MongoDB, Inc. 0.250%, 1/15/26 | $ 675 | $ 1,198 | |
Nutanix, Inc. 0.250%, 10/1/27 | 1,885 | 2,275 | |
Tyler Technologies, Inc. 0.250%, 3/15/26 | 2,665 | 2,793 | |
12,827 | |||
Total Convertible Bonds and Notes (Identified Cost $191,469) | 191,382 | ||
Corporate Bonds and Notes—0.8% | |||
Banks—0.8% | |||
Barclays Bank plc 144A 8.000%, 9/27/24(1)(2) | 4 | 4,892 | |
Total Corporate Bonds and Notes (Identified Cost $4,781) | 4,892 |
Shares | ||
Convertible Preferred Stocks—2.5% | ||
Banks—1.7% | ||
Bank of America Corp. Series L, 7.250% | 3,585 | 4,123 |
Wells Fargo & Co. Series L, 7.500% | 6,155 | 7,050 |
11,173 | ||
Electric Utilities—0.2% | ||
NextEra Energy, Inc., 6.926% | 39,220 | 1,598 |
Financial Services—0.4% | ||
Apollo Global Management, Inc., 6.750% | 47,695 | 2,909 |
Machinery—0.2% | ||
Chart Industries, Inc. Series B, 6.750% | 21,980 | 1,263 |
Total Convertible Preferred Stocks (Identified Cost $17,247) | 16,943 | |
Common Stocks—61.2% | ||
Aerospace & Defense—0.8% | ||
RTX Corp. | 55,095 | 5,593 |
Air Freight & Logistics—0.4% | ||
FedEx Corp. | 9,295 | 2,433 |
Automobiles—0.8% | ||
Tesla, Inc.(4) | 27,540 | 5,048 |
Banks—4.5% | ||
Bank of America Corp.(5) | 264,235 | 9,779 |
Citigroup, Inc. | 160,435 | 9,839 |
JPMorgan Chase & Co.(5) | 23,390 | 4,485 |
Wells Fargo & Co.(5) | 101,020 | 5,993 |
30,096 | ||
Shares | Value | ||
Biotechnology—0.3% | |||
Vertex Pharmaceuticals, Inc.(4) | 5,185 | $ 2,037 | |
Broadline Retail—3.8% | |||
Alibaba Group Holding Ltd. Sponsored ADR | 21,070 | 1,577 | |
Amazon.com, Inc.(4) | 136,280 | 23,849 | |
25,426 | |||
Capital Markets—1.1% | |||
CME Group, Inc. Class A | 16,275 | 3,412 | |
Moody’s Corp. | 11,650 | 4,314 | |
7,726 | |||
Chemicals—0.7% | |||
Sherwin-Williams Co. (The) | 14,775 | 4,427 | |
Consumer Finance—1.1% | |||
Capital One Financial Corp. | 33,755 | 4,842 | |
Discover Financial Services | 17,645 | 2,236 | |
7,078 | |||
Consumer Staples Distribution & Retail—1.2% | |||
Target Corp. | 48,385 | 7,789 | |
Diversified Telecommunication Services—2.0% | |||
Verizon Communications, Inc. | 346,664 | 13,690 | |
Electric Utilities—1.4% | |||
Exelon Corp. | 243,330 | 9,144 | |
Electrical Equipment—1.1% | |||
Eaton Corp. plc | 11,700 | 3,723 | |
Emerson Electric Co. | 31,265 | 3,370 | |
GE Vernova, Inc.(4) | — | —(6) | |
7,093 | |||
Entertainment—1.0% | |||
Walt Disney Co. (The) | 58,970 | 6,552 | |
Financial Services—1.8% | |||
Mastercard, Inc. Class A | 26,955 | 12,162 | |
Ground Transportation—1.0% | |||
Union Pacific Corp. | 28,615 | 6,786 | |
Healthcare Equipment & Supplies—2.2% | |||
Abbott Laboratories | 20,405 | 2,162 | |
Boston Scientific Corp.(4) | 106,865 | 7,681 | |
Edwards Lifesciences Corp.(4) | 61,665 | 5,221 | |
15,064 | |||
Healthcare Providers & Services—1.2% | |||
Elevance Health, Inc. | 4,140 | 2,189 | |
McKesson Corp. | 10,875 | 5,842 | |
8,031 | |||
See Notes to Schedule of Investments
3
VIRTUS Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2024
($ reported in thousands)
Shares | Value | ||
Hotels, Restaurants & Leisure—2.2% | |||
Chipotle Mexican Grill, Inc. Class A(4) | 2,325 | $ 7,346 | |
DoorDash, Inc. Class A(4) | 32,765 | 4,235 | |
Las Vegas Sands Corp. | 76,465 | 3,392 | |
14,973 | |||
Industrial Conglomerates—1.4% | |||
General Electric Co. | 58,770 | 9,510 | |
Insurance—1.4% | |||
Allstate Corp. (The) | 55,190 | 9,386 | |
Interactive Media & Services—3.9% | |||
Alphabet, Inc. Class A(4) | 107,060 | 17,427 | |
Alphabet, Inc. Class C(4) | 38,225 | 6,293 | |
Meta Platforms, Inc. Class A(5) | 6,380 | 2,745 | |
26,465 | |||
Life Sciences Tools & Services—0.7% | |||
Danaher Corp. | 18,440 | 4,548 | |
Metals & Mining—0.6% | |||
Freeport-McMoRan, Inc. | 86,310 | 4,310 | |
Oil, Gas & Consumable Fuels—0.7% | |||
Devon Energy Corp. | 93,650 | 4,793 | |
Pharmaceuticals—1.6% | |||
Eli Lilly & Co. | 13,590 | 10,615 | |
Real Estate Management & Development—0.5% | |||
CoStar Group, Inc.(4) | 36,500 | 3,341 | |
Semiconductors & Semiconductor Equipment—7.3% | |||
Advanced Micro Devices, Inc.(4) | 13,955 | 2,210 | |
ASML Holding N.V. Registered Shares(5) | 7,425 | 6,478 | |
Broadcom, Inc. | 6,010 | 7,815 | |
Micron Technology, Inc. | 46,745 | 5,280 | |
NVIDIA Corp. | 18,327 | 15,835 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR(5) | 49,385 | 6,783 | |
Texas Instruments, Inc. | 25,140 | 4,435 | |
48,836 | |||
Software—9.4% | |||
Adobe, Inc. (4) | 4,660 | 2,157 | |
Cadence Design Systems, Inc.(4) | 15,250 | 4,203 | |
Datadog, Inc. Class A(4) | 37,600 | 4,719 | |
Intuit, Inc. | 7,285 | 4,557 | |
Microsoft Corp. | 91,566 | 35,649 | |
Salesforce, Inc. | 28,470 | 7,657 | |
ServiceNow, Inc.(4) | 6,050 | 4,195 | |
63,137 | |||
Specialized REITs—0.9% | |||
American Tower Corp. | 33,965 | 5,827 |
Shares | Value | ||
Specialty Retail—1.7% | |||
Home Depot, Inc. (The) | 19,225 | $ 6,425 | |
TJX Cos., Inc. (The) | 53,775 | 5,060 | |
11,485 | |||
Technology Hardware, Storage & Peripherals—2.5% | |||
Apple, Inc. | 97,510 | 16,609 | |
Total Common Stocks (Identified Cost $388,267) | 410,010 | ||
Total Long-Term Investments—93.1% (Identified Cost $601,764) | 623,227 | ||
Short-Term Investment—6.2% | |||
Money Market Mutual Fund—6.2% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.184%)(7) | 41,625,820 | 41,626 | |
Total Short-Term Investment (Identified Cost $41,626) | 41,626 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.3% (Identified Cost $643,390) | 664,853 |
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $61) | (125) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.3% (Identified Cost $643,329) | $664,728 | |
Other assets and liabilities, net—0.7% | 5,021 | |
NET ASSETS—100.0% | $669,749 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
OP | Operating Partnership |
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 April 30, 2024, these securities amounted to a value of $57,424 or 8.6% of net assets. |
(2) | 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. |
(3) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(4) | Non-income producing. |
(5) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $15,327. |
(6) | Amount is less than $500 (not in thousands). |
(7) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
See Notes to Schedule of Investments
4
VIRTUS Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2024
($ reported in thousands)
Country Weightings† | |
United States | 94% |
United Kingdom | 1 |
Taiwan | 1 |
Netherlands | 1 |
Cayman Islands | 1 |
Liberia | 1 |
Ireland | 1 |
Total | 100% |
† % of total investments, net of written options, as of April 30, 2024. |
Open written options contracts as of April 30, 2024 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
ASML Holding N.V. | (26) | $(2,730) | $1,050.00 | 05/17/24 | $(2) |
Bank of America Corp. | (579) | (2,142) | 37.00 | 05/17/24 | (46) |
JPMorgan Chase & Co. | (117) | (2,282) | 195.00 | 05/17/24 | (23) |
Meta Platforms, Inc. | (31) | (1,519) | 490.00 | 05/17/24 | (3) |
Taiwan Semiconductor Manufacturing Co., Ltd. | (216) | (3,348) | 155.00 | 05/17/24 | (9) |
Wells Fargo & Co. | (505) | (3,030) | 60.00 | 05/17/24 | (42) |
Total Written Options | $(125) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. |
The following table summarizes the value of the Fund’s investments as of April 30, 2024, 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, 2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $191,382 | $— | $160,717 | $30,665 | |||
Corporate Bonds and Notes | 4,892 | — | — | 4,892 | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 16,943 | 16,943 | — | — | |||
Common Stocks | 410,010 | 410,010 | — | — | |||
Money Market Mutual Fund | 41,626 | 41,626 | — | — | |||
Total Assets | 664,853 | 468,579 | 160,717 | 35,557 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (125) | (125) | — | — | |||
Total Investments, Net of Written Options | $664,728 | $468,454 | $160,717 | $35,557 |
There were no transfers into or out of Level 3 related to securities held at April 30, 2024.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations
are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
5
VIRTUS Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2024
($ reported in thousands)
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Convertible Bonds and Notes | Corporate Bonds and Notes | |||
Investments in Securities | |||||
Balance as of January 31, 2024: | $ 2,209 | $ 2,209 | $ — | ||
Net change in unrealized appreciation (depreciation)(a) | (1,252) | (1,363) | 111 | ||
Purchases | 34,600 | 29,819 | 4,781 | ||
Balance as of April 30, 2024 | $ 35,557 | $ 30,665 | $ 4,892 |
(a) The net change in unrealized appreciation (depreciation) on investments still held at April 30, 2024, was $(1,252).
See Notes to Schedule of Investments
6
VIRTUS Equity & Convertible Income Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 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, 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.
7