Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Foreign Government Securities—79.4% | |||
Angola —6.2% | |||
Republic of Angola | |||
144A 9.500%, 11/12/25(2)(3) | $ 3,860 | $ 3,856 | |
144A 8.250%, 5/9/28(2) | 808 | 744 | |
144A 9.375%, 5/8/48(2) | 278 | 227 | |
RegS 8.250%, 5/9/28(4) | 1,850 | 1,704 | |
Republic of Angola Via Avenir Issuer II Ireland DAC RegS 6.927%, 2/19/27(4)(5) | 1,774 | 1,665 | |
8,196 | |||
Argentina—7.8% | |||
Provincia De Buenos Aires RegS 6.375%, 9/1/37(4)(6) | 3,511 | 1,366 | |
Republic of Argentina | |||
1.000%, 7/9/29 | 13,505 | 6,254 | |
3.625%, 7/9/35(6) | 7,160 | 2,658 | |
10,278 | |||
Brazil—4.6% | |||
Brazil Notas do Tesouro Nacional | |||
Series F 10.000%, 1/1/31 | 12,300BRL | 2,399 | |
Series F 10.000%, 1/1/33 | 18,800BRL | 3,633 | |
6,032 | |||
Colombia—4.5% | |||
Republic of Colombia 4.500%, 3/15/29(3) | 2,827 | 2,580 | |
Titulos De Tesoreria | |||
7.000%, 6/30/32 | 7,900,000COP | 1,698 | |
7.250%, 10/18/34 | 8,275,000COP | 1,730 | |
6,008 | |||
Par Value(1) | Value | ||
Ecuador—5.1% | |||
Republic of Ecuador | |||
144A 6.000%, 7/31/30(2)(6) | $ 5,914 | $ 3,614 | |
RegS 6.000%, 7/31/30(4)(6) | 5,208 | 3,182 | |
6,796 | |||
Egypt—6.6% | |||
Arab Republic of Egypt | |||
144A 3.875%, 2/16/26(2)(3) | 1,533 | 1,411 | |
144A 4.750%, 4/16/26(2) | 7,000EUR | 7,123 | |
144A 6.375%, 4/11/31(2) | 246EUR | 217 | |
8,751 | |||
El Salvador—6.9% | |||
Republic of El Salvador | |||
RegS 5.875%, 1/30/25(3)(4) | 2,368 | 2,228 | |
RegS 6.375%, 1/18/27(3)(4) | 5,132 | 4,415 | |
RegS 8.625%, 2/28/29(4) | 580 | 505 | |
RegS 8.250%, 4/10/32(4) | 1,558 | 1,288 | |
RegS 7.650%, 6/15/35(4) | 855 | 642 | |
9,078 | |||
Gabon—5.0% | |||
Republic of Gabon | |||
144A 6.950%, 6/16/25(2)(3) | 3,481 | 3,352 | |
144A 7.000%, 11/24/31(2)(3) | 1,800 | 1,467 |
See Notes to Schedule of Investments
1
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Gabon—continued | |||
RegS 6.950%, 6/16/25(3)(4) | $ 1,800 | $ 1,734 | |
6,553 | |||
Indonesia—3.7% | |||
Indonesia Government Bond | |||
8.375%, 3/15/34 | 27,400,000IDR | 1,963 | |
8.375%, 4/15/39 | 40,300,000IDR | 2,926 | |
4,889 | |||
Iraq—2.5% | |||
Republic of Iraq RegS 5.800%, 1/15/28(4) | 3,500 | 3,266 | |
Ivory Coast—1.0% | |||
Republic of Ivory Coast | |||
RegS 5.250%, 3/22/30(4) | 825EUR | 813 | |
RegS 5.875%, 10/17/31(4) | 565EUR | 551 | |
1,364 | |||
Kenya—1.1% | |||
Republic of Kenya 144A 7.000%, 5/22/27(2) | 1,475 | 1,414 | |
Lebanon—0.2% | |||
Lebanese Republic | |||
RegS 8.250%, 4/12/21(4)(7) | 3,741 | 215 | |
RegS 6.400%, 5/26/23(4)(7) | 848 | 49 | |
264 | |||
Mexico—4.2% | |||
Mex Bonos Desarr | |||
7.750%, 11/23/34 | 58,000MXN | 3,072 | |
7.750%, 11/13/42 | 48,800MXN | 2,467 | |
5,539 | |||
Par Value(1) | Value | ||
Mongolia—0.2% | |||
Mongolia Government International Bond 144A 8.650%, 1/19/28(2) | $ 263 | $ 273 | |
Mozambique—1.4% | |||
Republic of Mozambique 144A 9.000%, 9/15/31(2)(6) | 2,168 | 1,818 | |
Nigeria—7.9% | |||
Republic of Nigeria | |||
144A 6.500%, 11/28/27(2)(3) | 3,645 | 3,314 | |
144A 6.125%, 9/28/28(2)(3) | 1,305 | 1,146 | |
144A 8.375%, 3/24/29(2) | 709 | 672 | |
144A 7.696%, 2/23/38(2)(3) | 1,443 | 1,159 | |
RegS 8.375%, 3/24/29(3)(4) | 3,625 | 3,436 | |
RegS 8.747%, 1/21/31(4) | 750 | 706 | |
10,433 | |||
Pakistan—2.1% | |||
Islamic Republic of Pakistan | |||
144A 6.000%, 4/8/26(2) | 1,805 | 1,435 | |
RegS 8.250%, 4/15/24(4) | 1,300 | 1,286 | |
2,721 | |||
Papua New Guinea —1.0% | |||
Papua New Guinea Government International Bond RegS 8.375%, 10/4/28(3)(4) | 1,464 | 1,372 |
See Notes to Schedule of Investments
2
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
South Africa—3.1% | |||
Republic of South Africa | |||
6.250%, 3/31/36 | 16,700ZAR | $ 561 | |
6.500%, 2/28/41 | 38,600ZAR | 1,191 | |
8.750%, 1/31/44 | 25,700ZAR | 972 | |
8.750%, 2/28/48 | 36,800ZAR | 1,381 | |
4,105 | |||
Sri Lanka—0.2% | |||
Republic of Sri Lanka 144A 7.850%, 3/14/29(2)(7) | $ 560 | 298 | |
Tunisia—1.0% | |||
Tunisian Republic | |||
144A 5.750%, 1/30/25(2) | 860 | 793 | |
144A 6.375%, 7/15/26(2) | 608EUR | 537 | |
1,330 | |||
Turkey—1.1% | |||
Republic of Turkiye 9.875%, 1/15/28 | 1,297 | 1,423 | |
Venezuela—0.4% | |||
Republic of Venezuela | |||
RegS 12.750%, 8/23/22(4)(7) | 125 | 20 | |
RegS 9.000%, 5/7/23(4)(7) | 3,725 | 544 | |
564 | |||
Zambia—1.6% | |||
Republic of Zambia | |||
144A 5.375%, 9/20/24(2)(7) | 209 | 128 | |
144A 8.970%, 7/30/27(2)(3)(7) | 1,459 | 985 | |
RegS 8.970%, 7/30/27(3)(4)(7) | 1,525 | 1,029 | |
2,142 | |||
Total Foreign Government Securities (Identified Cost $105,549) | 104,907 |
Par Value(1) | Value | ||
Corporate Bonds and Notes—48.8% | |||
Argentina—0.7% | |||
YPF S.A. 144A 9.500%, 1/17/31(2) | $ 979 | $ 985 | |
Brazil—1.6% | |||
3R Lux S.a.r.l. 144A 9.750%, 2/5/31(2) | 1,319 | 1,365 | |
MC Brazil Downstream Trading S.a.r.l. 144A 7.250%, 6/30/31(2)(3) | 880 | 797 | |
2,162 | |||
Colombia—2.9% | |||
Empresas Publicas de Medellin ESP RegS 7.625%, 9/10/24(4) | 2,700,000COP | 660 | |
Gran Tierra Energy, Inc. 144A 9.500%, 10/15/29(2)(3) | 3,445 | 3,186 | |
3,846 | |||
Ghana—2.3% | |||
Tullow Oil plc RegS 7.000%, 3/1/25(3)(4) | 3,208 | 3,000 | |
India—1.9% | |||
Adani Electricity Mumbai Ltd. RegS 3.949%, 2/12/30(4) | 1,545 | 1,327 | |
Adani Green Energy Ltd. RegS 4.375%, 9/8/24(4) | 1,275 | 1,258 | |
2,585 | |||
Indonesia—2.6% | |||
Theta Capital Pte Ltd. | |||
RegS 8.125%, 1/22/25(3)(4) | 1,175 | 1,126 | |
RegS 6.750%, 10/31/26(3)(4) | 2,600 | 2,269 | |
3,395 | |||
See Notes to Schedule of Investments
3
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Kazakhstan—1.0% | |||
Development Bank of Kazakhstan JSC 144A 10.950%, 5/6/26(2) | 506,000KZT | $ 1,016 | |
QazaqGaz NC JSC 144A 4.375%, 9/26/27(2) | $ 275 | 257 | |
1,273 | |||
Macau—1.1% | |||
Melco Resorts Finance Ltd. RegS 5.375%, 12/4/29(4) | 795 | 719 | |
Studio City Finance Ltd. 144A 5.000%, 1/15/29(2) | 850 | 741 | |
1,460 | |||
Mexico—25.0% | |||
Banco Mercantil del Norte S.A. | |||
144A 5.875%(2)(3)(8) | 1,268 | 1,208 | |
RegS 6.750%(4)(8) | 1,536 | 1,525 | |
Cemex SAB de C.V. 144A 9.125% (2)(3)(8) | 1,334 | 1,421 | |
Petroleos Mexicanos | |||
5.950%, 1/28/31 | 1,124 | 873 | |
7.690%, 1/23/50(3) | 16,233 | 11,182 | |
RegS 7.190%, 9/12/24(4) | 43,400MXN | 2,458 | |
RegS 6.700%, 2/16/32(4) | 293 | 235 | |
Series 14-2 7.470%, 11/12/26 | 45,240MXN | 2,319 | |
Poinsettia Finance Ltd. RegS 6.625%, 6/17/31(4) | 10,947 | 9,242 |
Par Value(1) | Value | ||
Mexico—continued | |||
Sixsigma Networks Mexico S.A. de C.V. 144A 7.500%, 5/2/25(2)(3) | $ 2,609 | $ 2,505 | |
32,968 | |||
Nigeria—0.4% | |||
IHS Holding Ltd. 144A 6.250%, 11/29/28(2) | 683 | 558 | |
Peru—2.2% | |||
Petroleos del Peru S.A. | |||
RegS 4.750%, 6/19/32(3)(4) | 2,625 | 2,062 | |
RegS 5.625%, 6/19/47(4) | 1,225 | 839 | |
2,901 | |||
South Africa—1.4% | |||
Eskom Holdings SOC Ltd. 144A 8.450%, 8/10/28(2) | 1,840 | 1,828 | |
Turkey—1.3% | |||
Aydem Yenilenebilir Enerji AS 144A 7.750%, 2/2/27(2)(3) | 1,117 | 1,071 | |
Yapi ve Kredi Bankasi AS 144A 9.250%, 1/17/34(2) | 638 | 659 | |
1,730 | |||
Uzbekistan—1.5% | |||
Uzauto Motors AJ 144A 4.850%, 5/4/26(2)(3) | 2,166 | 1,970 |
See Notes to Schedule of Investments
4
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Par Value(1) | Value | ||
Venezuela—1.9% | |||
Petroleos de Venezuela S.A. | |||
RegS 9.000%, 11/17/21(4)(7) | $ 11,249 | $ 1,187 | |
RegS 12.750%, 2/17/22(4)(7) | 3,450 | 418 | |
RegS 6.000%, 5/16/24(4)(7) | 7,395 | 728 | |
RegS 9.750%, 5/17/35(4)(7) | 1,000 | 120 | |
2,453 | |||
Vietnam—1.0% | |||
Mong Duong Finance Holdings B.V. 144A 5.125%, 5/7/29(2)(3) | 1,383 | 1,314 | |
Total Corporate Bonds and Notes (Identified Cost $66,632) | 64,428 | ||
Credit Linked Notes—4.0% | |||
Iraq—4.0% | |||
Republic of Iraq | |||
(Counterparty: BOA) 2.536%, 1/1/28(6)(9) | 178,983JPY | 1,091 | |
(Counterparty: BOA) 3.304%, 1/1/28(6)(9) | 393,558JPY | 2,393 | |
(Counterparty: BOA) 3.399%, 1/6/28(6)(9) | 294,275JPY | 1,792 | |
Total Credit Linked Notes (Identified Cost $7,302) | 5,276 | ||
Total Long-Term Investments—132.2% (Identified Cost $179,483) | 174,611 |
Value | ||
TOTAL INVESTMENTS—132.2% (Identified Cost $179,483) | $174,611 | |
Other assets and liabilities, net—(32.2)% | (42,551) | |
NET ASSETS—100.0% | $132,060 |
Abbreviations: | |
CDS | Credit Default Swap |
DAC | Designated Activity Company |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Par Value disclosed in foreign currency is reported in thousands. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2024, these securities amounted to a value of $56,864 or 43.1% of net assets. |
(3) | All or a portion is segregated as collateral for reverse repurchase agreements. On February 29, 2024, securities valued at $59,624 were pledged as collateral for reverse repurchase agreements. |
(4) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
See Notes to Schedule of Investments
5
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
(6) | Variable rate security. Rate disclosed is as of February 29, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(7) | Security in default; no interest payments are being received. |
(8) | No contractual maturity date. |
(9) | 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. |
Counterparties: | |
BCLY | Barclays |
BOA | Bank of America |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
BRL | Brazilian Real |
COP | Colombian Peso |
EUR | Euro |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
ZAR | South African Rand |
Country Weightings† | |
Mexico | 22% |
Argentina | 6 |
Nigeria | 6 |
Colombia | 5 |
El Salvador | 5 |
Egypt | 5 |
Iraq | 5 |
Other | 46 |
Total | 100% |
† % of total investments as of February 29, 2024. |
Reverse Repurchase Agreements as of February 29, 2024 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 5.80% | 01/11/24 | $(928) |
JPM | 6.00 | 01/30/24 | (462) |
JPM | 6.10 | 02/01/24 | (893) |
JPM | 5.80 | 02/01/24 | (692) |
JPM | 6.05 | 02/01/24 | (1,430) |
JPM | 5.75 | 02/01/24 | (1,612) |
JPM | 5.90 | 02/01/24 | (1,046) |
JPM | 5.80 | 02/01/24 | (623) |
JPM | 5.70 | 02/01/24 | (2,084) |
JPM | 5.85 | 02/01/24 | (1,015) |
JPM | 5.80 | 02/01/24 | (408) |
JPM | 5.90 | 01/17/24 | (1,104) |
JPM | 5.90 | 02/01/24 | (2,753) |
JPM | 6.00 | 02/01/24 | (1,755) |
JPM | 5.80 | 02/01/24 | (463) |
JPM | 5.60 | 02/01/24 | (636) |
JPM | 6.05 | 02/01/24 | (2,183) |
JPM | 5.75 | 02/01/24 | (338) |
JPM | 5.80 | 02/01/24 | (532) |
See Notes to Schedule of Investments
6
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Reverse Repurchase Agreements as of February 29, 2024 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 5.65% | 02/01/24 | $(684) |
JPM | 5.95 | 02/01/24 | (1,498) |
JPM | 5.90 | 02/01/24 | (2,232) |
JPM | 5.90 | 01/17/24 | (1,568) |
JPM | 5.65 | 02/01/24 | (345) |
JPM | 6.00 | 02/01/24 | (599) |
JPM | 5.90 | 02/01/24 | (978) |
JPM | 5.80 | 02/01/24 | (1,046) |
JPM | 6.05 | 02/01/24 | (511) |
JPM | 6.10 | 02/01/24 | (1,749) |
JPM | 5.85 | 02/01/24 | (1,465) |
JPM | 5.80 | 02/01/24 | (424) |
JPM | 5.90 | 02/27/24 | (1,159) |
JPM | 5.80 | 02/27/24 | (7,219) |
JPM | 5.90 | 01/17/24 | (1,293) |
JPM | 5.90 | 01/17/24 | (683) |
JPM | 5.90 | 01/19/24 | (831) |
JPM | 6.00 | 01/30/24 | (1,359) |
JPM | 5.80 | 01/30/24 | (340) |
JPM | 6.05 | 01/30/24 | (707) |
Total | $(47,647) |
Footnote Legend: | |
* | All agreements can be terminated by either party on demand at value plus accrued interest. |
Over-the-counter credit default swaps - sell protection(1) outstanding as of February 29, 2024 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
Republic of Argentina 5 Year CDS, CCC-(3),* | Quarterly | BCLY | 5.000% | 12/20/25 | $11,200 | $(4,365) | $(1,275) | $— | $(3,090) | ||||
Total | $(4,365) | $(1,275) | $— | $(3,090) |
See Notes to Schedule of Investments
7
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ reported in thousands)
Footnote Legend: | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | Based on Republic of Argentina Sovereign Debt Obligation, USD Denominated 1.00% fixed coupon, 07/09/2029 maturity. |
* | S&P. |
The following table summarizes the value of the Fund’s investments as of February 29, 2024, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at February 29, 2024 | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Debt Instruments: | |||||
Foreign Government Securities | $104,907 | $104,907 | $— | ||
Corporate Bonds and Notes | 64,428 | 64,428 | — | ||
Credit Linked Notes | 5,276 | — | 5,276 | ||
Total Assets | 174,611 | 169,335 | 5,276 | ||
Liabilities: | |||||
Other Financial Instruments:(1) | |||||
Over-the-Counter Credit Default Swap | (4,365) | (4,365) | — | ||
Reverse Repurchase Agreements | (47,647) | (47,647) | — | ||
Total Liabilities | (52,012) | (52,012) | — | ||
Total Investments | $122,599 | $117,323 | $5,276 |
(1) | Other financial instruments are derivative instruments reflected in the Schedule of Investments. Swaps are reported at value. For liabilities arising from reverse repurchase agreements, the carrying amount approximates fair value due to the short-term maturity of these financial instruments. |
There were no securities valued using quoted prices (Level 1) at February 29, 2024.
There were no transfers into or out of Level 3 related to securities held at February 29, 2024.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
8
Virtus Stone Harbor Emerging Markets Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
($ 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 | Credit Linked Notes | ||
Investments in Securities | |||
Balance as of November 30, 2023: | $ 2,833 | $ 2,833 | |
Accrued discount/(premium) | 44 | 44 | |
Net realized gain (loss) | (107) | (107) | |
Net change in unrealized appreciation (depreciation)(a) | (54) | (54) | |
Purchases | 3,311 | 3,311 | |
Sales(b) | (751) | (751) | |
Balance as of February 29, 2024 | $ 5,276 | $ 5,276 |
(a) The net change in unrealized appreciation (depreciation) on investments still held at February 29, 2024, was $(54).
(b) Includes paydowns on securities.
See Notes to Schedule of Investments
9
VIRTUS STONE HARBOR EMERGING MARKETS INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 29, 2024
Note 1. Security Valuation
The Fund’s Board of Trustees has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
• Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 – prices determined using significant unobservable inputs (including the investment adviser’s Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the investment adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt
10
VIRTUS STONE HARBOR EMERGING MARKETS INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 29, 2024
instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the investment adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
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