UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22608
Virtus Global Multi-Sector Income Fund
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
Virtus Investment Partners
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866) 270-7788
Date of fiscal year end: November 30
Date of reporting period: November 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. | Reports to Stockholders. |
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
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www.Virtus.com. Section 19(a) notices are posted on the website at:
https://www.virtus.com/products/virtus-global-multi-sector-income-fund.
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President, Chief Executive Officer, and Trustee
Virtus Global Multi-Sector Income Fund
Corporate Bonds and Notes | 50% | |
Energy | 11% | |
Financials | 11 | |
Industrials | 6 | |
All other Corporate Bonds and Notes | 22 | |
Foreign Government Securities | 16 | |
Leveraged Loans | 10 | |
Asset-Backed Securities | 9 | |
Mortgage-Backed Securities | 7 | |
Preferred Stocks | 3 | |
Other | 5 | |
Total | 100% |
United States | 57% |
Mexico | 5 |
Canada | 3 |
Netherlands | 3 |
Indonesia | 3 |
Saudi Arabia | 2 |
Chile | 2 |
Other | 25 |
Total | 100% |
Par Value | Value | ||
U.S. Government Securities—3.0% | |||
U.S. Treasury Bonds | |||
2.875%, 5/15/49 | $ 200 | $ 262 | |
1.250%, 5/15/50 | 4,285 | 3,945 | |
Total U.S. Government Securities (Identified Cost $4,310) | 4,207 | ||
Municipal Bonds—1.2% | |||
California—0.7% | |||
State of California, Build America Bond Taxable 7.500%, 4/1/34 | 570 | 938 | |
Illinois—0.5% | |||
State of Illinois, Build America Bond Taxable 6.900%, 3/1/35 | 700 | 781 | |
Total Municipal Bonds (Identified Cost $1,460) | 1,719 | ||
Foreign Government Securities—22.5% | |||
Bolivarian Republic of Venezuela RegS 7.650%, 4/21/25(1)(2) | 1,380 | 124 | |
China Government International Bond RegS 3.250%, 10/19/23(2) | 525 | 568 | |
Dominican Republic | |||
144A 6.000%, 7/19/28(3) | 420 | 478 | |
144A 6.850%, 1/27/45(3) | 1,080 | 1,256 | |
Emirate of Dubai 5.250%, 1/30/43 | 425 | 491 | |
Federative Republic of Brazil 4.750%, 1/14/50 | 365 | 387 | |
Kingdom of Jordan 144A 5.750%, 1/31/27(3) | 1,285 | 1,383 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | $ 590 | $ 733 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(3) | 1,330 | 1,483 | |
144A 3.250%, 10/22/30(3) | 865 | 950 | |
144A 4.500%, 10/26/46(3) | 780 | 957 | |
Republic of Angola 144A 8.250%, 5/9/28(3) | 435 | 389 | |
Republic of Argentine 0.125%, 7/9/35(4) | 2,470 | 871 | |
Republic of Colombia | |||
3.125%, 4/15/31 | 200 | 210 | |
4.125%, 5/15/51 | 470 | 513 | |
Republic of Ecuador | |||
144A 0.000%, 7/31/30(3) | 54 | 24 | |
144A 0.500%, 7/31/30(3)(4) | 158 | 100 | |
144A 0.500%, 7/31/35(3)(4) | 779 | 424 | |
Republic of Egypt | |||
144A 7.600%, 3/1/29(3) | 845 | 941 | |
144A 8.500%, 1/31/47(3) | 715 | 773 | |
144A 8.875%, 5/29/50(3) | 200 | 222 | |
Republic of Ghana | |||
144A 7.625%, 5/16/29(3) | 200 | 204 | |
144A 8.125%, 3/26/32(3) | 665 | 675 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 515 | 558 | |
4.200%, 10/15/50 | 1,020 | 1,238 | |
144A 4.350%, 1/8/27(3) | 525 | 611 | |
Republic of Kenya 144A 8.000%, 5/22/32(3) | 510 | 582 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Nigeria | |||
144A 6.500%, 11/28/27(3) | $ 275 | $ 288 | |
144A 7.875%, 2/16/32(3) | 450 | 484 | |
Republic of Panama | |||
4.300%, 4/29/53 | 435 | 543 | |
3.870%, 7/23/60 | 850 | 989 | |
Republic of Philippines 3.700%, 3/1/41 | 565 | 658 | |
Republic of South Africa | |||
4.300%, 10/12/28 | 325 | 327 | |
5.650%, 9/27/47 | 955 | 914 | |
Republic of Turkey | |||
6.250%, 9/26/22 | 390 | 402 | |
4.875%, 10/9/26 | 1,830 | 1,787 | |
4.875%, 4/16/43 | 935 | 778 | |
Republic of Uruguay 5.100%, 6/18/50 | 975 | 1,339 | |
Russian Federation | |||
RegS 4.375%, 3/21/29(2) | 800 | 926 | |
RegS 5.250%, 6/23/47(2) | 200 | 272 | |
State of Israel 2.750%, 7/3/30 | 480 | 530 | |
State of Qatar | |||
144A 3.750%, 4/16/30(3) | 450 | 527 | |
144A 4.400%, 4/16/50(3) | 365 | 483 | |
Ukraine | |||
144A 7.750%, 9/1/25(3) | 205 | 225 | |
144A 7.375%, 9/25/32(3) | 805 | 862 | |
United Mexican States | |||
2.659%, 5/24/31 | 310 | 310 | |
4.500%, 1/31/50 | 1,430 | 1,620 | |
Series M 6.500%, 6/9/22 | 9,038 MXN | 461 | |
Total Foreign Government Securities (Identified Cost $31,929) | 31,870 | ||
Par Value | Value | ||
Mortgage-Backed Securities—10.0% | |||
Non-Agency—10.0% | |||
American Homes 4 Rent Trust 2014-SFR2, C 144A 4.705%, 10/17/36(3) | $ 770 | $ 839 | |
Arroyo Mortgage Trust 2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 260 | 270 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 540 | 564 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(3)(4) | 130 | 139 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 385 | 404 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 515 | 503 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 369 | 373 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(4) | 103 | 103 | |
Citigroup Commercial Mortgage Trust 2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.061%, 12/15/36(3)(4) | 585 | 585 | |
Citigroup Mortgage Loan Trust, Inc. 2019-RP1, A1 144A 3.500%, 1/25/66(3)(4) | 454 | 486 | |
CoreVest American Finance Trust 2018-2, A 144A 4.026%, 11/15/52(3) | 275 | 296 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 152 | 156 |
Par Value | Value | ||
Non-Agency—continued | |||
FirstKey Homes Trust 2020-SFR2, B 144A 1.567%, 10/19/37(3) | $ 475 | $ 471 | |
Galton Funding Mortgage Trust 2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 91 | 93 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 168 | 171 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(3)(4) | 107 | 110 | |
2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 193 | 196 | |
JPMorgan Chase Mortgage Trust | |||
2014-5, B2 144A 2.952%, 10/25/29(3)(4) | 163 | 168 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 137 | 139 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 294 | 304 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 620 | 628 | |
MetLife Securitization Trust 2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 360 | 385 | |
New Residential Mortgage Loan Trust 2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 485 | 538 | |
OBX Trust 2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 278 | 290 | |
Preston Ridge Partners Mortgage LLC 2020-3, A1 144A 2.857%, 9/25/25(3)(4) | 346 | 346 |
Par Value | Value | ||
Non-Agency—continued | |||
Pretium Mortgage Credit Partners I LLC 2020-NPL3, A1 144A 3.105%, 6/27/60(3)(4) | $ 570 | $ 570 | |
Progress Residential Trust 2018-SFR2, B 144A 3.841%, 8/17/35(3) | 530 | 538 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 274 | 283 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 274 | 276 | |
Towd Point Mortgage Trust | |||
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 265 | 288 | |
2017-6, A2 144A 3.000%, 10/25/57(3)(4) | 260 | 276 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 215 | 239 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 66 | 66 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 615 | 636 | |
TVC Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(3)(4) | 500 | 447 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.755%, 5/10/45(3)(4) | 415 | 311 | |
VCAT LLC 2020-NPL1, A1 144A 3.671%, 8/25/50(3)(4) | 228 | 230 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 226 | 226 |
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(3)(4) | $ 230 | $ 231 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 520 | 542 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 191 | 196 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 295 | 303 | |
14,215 | |||
Total Mortgage-Backed Securities (Identified Cost $13,976) | 14,215 | ||
Asset-Backed Securities—11.8% | |||
Automobiles—6.7% | |||
ACC Trust 2019-1, B 144A 4.470%, 10/20/22(3) | 515 | 517 | |
Carvana Auto Receivables Trust 2019-1A, E 144A 5.640%, 1/15/26(3) | 510 | 536 | |
Exeter Automobile Receivables Trust 2018-4A, D 144A 4.350%, 9/16/24(3) | 540 | 566 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(3) | 735 | 740 | |
First Investors Auto Owner Trust 2018-1A, D 144A 4.110%, 6/17/24(3) | 565 | 583 |
Par Value | Value | ||
Automobiles—continued | |||
Flagship Credit Auto Trust 2016-3, D 144A 3.890%, 11/15/22(3) | $ 785 | $ 796 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, C 144A 3.060%, 8/15/25(3) | 495 | 515 | |
2020-3A, D 144A 2.270%, 5/15/26(3) | 480 | 488 | |
2020-3A, E 144A 4.310%, 7/15/27(3) | 550 | 569 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(3) | 437 | 439 | |
2018-3A, C 144A 4.180%, 7/15/24(3) | 845 | 878 | |
Hertz Vehicle Financing II LP 2018-1A, A 144A 3.290%, 2/25/24(3) | 231 | 231 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(3) | 520 | 533 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 525 | 542 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 77 | 77 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(3) | 520 | 531 | |
Veros Automobile Receivables Trust | |||
2018-1, B 144A 4.050%, 2/15/24(3) | 75 | 75 |
Par Value | Value | ||
Automobiles—continued | |||
2020-1, B 144A 2.190%, 6/16/25(3) | $ 515 | $ 519 | |
Westlake Automobile Receivables Trust 2018-2A, D 144A 4.000%, 1/16/24(3) | 381 | 389 | |
9,524 | |||
Equipment—0.6% | |||
BCC Funding XVII LLC 2020-1, D 144A 4.890%, 9/22/25(3) | 500 | 500 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(3) | 415 | 424 | |
924 | |||
Other—4.5% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(3) | 280 | 288 | |
2020-AA, D 144A 7.150%, 7/17/46(3) | 400 | 418 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 479 | 489 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(3) | 232 | 237 | |
2020-1A, A 144A 2.981%, 11/15/35(3) | 339 | 344 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 166 | 169 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 515 | 550 | |
Mariner Finance Issuance Trust | |||
2018-AA, A 144A 4.200%, 11/20/30(3) | 220 | 222 | |
2020-AA, A 144A 2.190%, 8/21/34(3) | 480 | 487 |
Par Value | Value | ||
Other—continued | |||
Oasis LLC 2020-2A, A 144A 4.262%, 5/15/32(3) | $ 351 | $ 351 | |
Octane Receivables Trust 2019-1A, A 144A 3.160%, 9/20/23(3) | 252 | 256 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) | 605 | 605 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(3) | 528 | 526 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(3) | 525 | 530 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(3) | 332 | 349 | |
Upgrade Master Pass-Through-Trust 2019-ST1, A 144A 4.000%, 7/15/25(3) | 300 | 301 | |
Upstart Securitization Trust 2019-1, B 144A 4.190%, 4/20/26(3) | 218 | 219 | |
6,341 | |||
Total Asset-Backed Securities (Identified Cost $16,370) | 16,789 | ||
Corporate Bonds and Notes—68.2% | |||
Communication Services—6.4% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 400 | 406 | |
Altice France S.A. 144A 7.375%, 5/1/26(3) | 200 | 210 | |
ANGI Group LLC 144A 3.875%, 8/15/28(3) | 290 | 287 |
Par Value | Value | ||
Communication Services—continued | |||
Baidu, Inc. 3.425%, 4/7/30 | $ 445 | $ 495 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 725 | 790 | |
Cars.com, Inc. 144A 6.375%, 11/1/28(3) | 295 | 304 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(3) | 575 | 594 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 151 | 151 | |
144A 5.125%, 8/15/27(3) | 175 | 177 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(3) | 215 | 233 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 260 | 273 | |
7.750%, 7/1/26 | 170 | 193 | |
Frontier Communications Corp. 144A 6.750%, 5/1/29(3) | 310 | 321 | |
Grupo Televisa SAB 4.625%, 1/30/26 | 525 | 598 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 278 | 295 | |
Level 3 Financing, Inc. 144A 3.625%, 1/15/29(3) | 390 | 391 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3) | 425 | 378 | |
Meredith Corp. 6.875%, 2/1/26 | 315 | 314 | |
Northwest Fiber LLC 144A 10.750%, 6/1/28(3) | 180 | 203 |
Par Value | Value | ||
Communication Services—continued | |||
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(3) | $ 65 | $ 68 | |
144A 6.500%, 9/15/28(3) | 225 | 239 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 485 | 564 | |
Telesat Canada 144A 6.500%, 10/15/27(3) | 535 | 551 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(3) | 730 | 830 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(3) | 165 | 178 | |
9,043 | |||
Consumer Discretionary—5.1% | |||
Alibaba Group Holding Ltd. 3.400%, 12/6/27 | 520 | 584 | |
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 215 | 225 | |
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(3) | 455 | 472 | |
Block Financial LLC 3.875%, 8/15/30 | 540 | 581 | |
Carnival Corp. | |||
144A 11.500%, 4/1/23(3) | 75 | 85 | |
144A 7.625%, 3/1/26(3) | 45 | 48 | |
Clarios Global LP 144A 8.500%, 5/15/27(3) | 260 | 280 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(3) | 275 | 312 | |
Dave & Buster’s, Inc. 144A 7.625%, 11/1/25(3) | 50 | 52 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | $ 140 | $ 134 | |
Ford Motor Co. 9.000%, 4/22/25 | 362 | 440 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 495 | 448 | |
General Motors Co. 6.800%, 10/1/27 | 330 | 424 | |
Lear Corp. 3.800%, 9/15/27 | 390 | 430 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 385 | 405 | |
MGM Growth Properties Operating Partnership LP | |||
4.500%, 1/15/28 | 100 | 104 | |
144A 4.625%, 6/15/25(3) | 70 | 74 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(3) | 600 | 663 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(3) | 65 | 70 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(3) | 135 | 145 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 530 | 534 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(3) | 440 | 460 | |
Wynn Macau Ltd. 144A 5.625%, 8/26/28(3) | 300 | 306 | |
7,276 | |||
Par Value | Value | ||
Consumer Staples—1.1% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(3) | $ 515 | $ 543 | |
Altria Group, Inc. 4.800%, 2/14/29 | 552 | 660 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(3) | 390 | 398 | |
1,601 | |||
Energy—15.9% | |||
Afren plc | |||
144A 10.250%, 4/8/19(1)(3) | 635 | — (5) | |
144A 6.625%, 12/9/20(1)(3)(6) | 732 | — (5) | |
Aker BP ASA 144A 2.875%, 1/15/26(3) | 380 | 381 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 490 | 371 | |
Antero Midstream Partners LP | |||
144A 7.875%, 5/15/26(3) | 190 | 191 | |
144A 5.750%, 1/15/28(3) | 375 | 337 | |
Apache Corp. 4.625%, 11/15/25 | 60 | 62 | |
BP Capital Markets plc 4.875% (7) | 375 | 414 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 218 | 94 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 200 | 209 | |
Cimarex Energy Co. 4.375%, 3/15/29 | 450 | 507 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(3) | 135 | 120 | |
Citgo Petroleum Corp. 144A 7.000%, 6/15/25(3) | 95 | 93 |
Par Value | Value | ||
Energy—continued | |||
Concho Resources, Inc. 2.400%, 2/15/31 | $ 590 | $ 616 | |
Continental Resources, Inc. 4.375%, 1/15/28 | 320 | 318 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 530 | 539 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(3) | 105 | 112 | |
144A 6.500%, 7/1/27(3) | 115 | 127 | |
Fermaca Enterprises S de RL de CV 144A 6.375%, 3/30/38(3) | 1,186 | 1,335 | |
Geopark Ltd. 144A 6.500%, 9/21/24(3) | 305 | 311 | |
KazMunayGas National Co., JSC | |||
144A 4.750%, 4/19/27(3) | 975 | 1,122 | |
144A 5.750%, 4/19/47(3) | 640 | 844 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 570 | 815 | |
Lukoil International Finance BV 144A 4.563%, 4/24/23(3) | 400 | 428 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(3) | 135 | 1 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(3) | 275 | 279 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 92 | 91 | |
5.875%, 9/1/25 | 195 | 197 | |
3.500%, 8/15/29 | 180 | 157 | |
6.625%, 9/1/30 | 195 | 204 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(7) | 155 | — (5) |
Par Value | Value | ||
Energy—continued | |||
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | $ 210 | $ 220 | |
Pertamina Persero PT | |||
144A 6.450%, 5/30/44(3) | 820 | 1,122 | |
RegS 6.450%, 5/30/44(2) | 815 | 1,115 | |
Petrobras Global Finance B.V. | |||
5.600%, 1/3/31 | 1,065 | 1,206 | |
6.900%, 3/19/49 | 580 | 705 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 1,820 | 61 | |
Petroleos Mexicanos | |||
6.875%, 8/4/26 | 710 | 732 | |
5.950%, 1/28/31 | 725 | 674 | |
6.500%, 6/2/41 | 295 | 254 | |
6.375%, 1/23/45 | 1,515 | 1,269 | |
6.350%, 2/12/48 | 450 | 376 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 555 | 634 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 460 | 480 | |
Sinopec Group Overseas Development 2018 Ltd. 144A 4.250%, 9/12/28(3) | 1,000 | 1,152 | |
Transocean, Inc. 144A 11.500%, 1/30/27(3) | 9 | 5 | |
Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28(3) | 1,350 | 1,513 | |
USA Compression Partners LP 6.875%, 4/1/26 | 220 | 228 | |
WPX Energy, Inc. 4.500%, 1/15/30 | 470 | 487 | |
22,508 | |||
Par Value | Value | ||
Financials—14.6% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(3) | $ 205 | $ 215 | |
144A 7.000%, 11/15/25(3) | 620 | 635 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 606 | 650 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 755 | 868 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(3) | 560 | 636 | |
Banco de Credito e Inversiones S.A. 144A 3.500%, 10/12/27(3) | 990 | 1,083 | |
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29(3) | 1,085 | 1,194 | |
Banco Nacional de Comercio Exterior SNC 144A 4.375%, 10/14/25(3) | 510 | 553 | |
Banco Santander Chile 144A 3.875%, 9/20/22(3) | 900 | 950 | |
Bancolombia S.A. 4.625%, 12/18/29 | 300 | 310 | |
Bank of Montreal 3.803%, 12/15/32 | 1,064 | 1,204 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(3) | 700 | 733 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 110 | 120 | |
5.625%, 5/15/30 | 357 | 438 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 580 | 623 |
Par Value | Value | ||
Financials—continued | |||
Citadel LP 144A 4.875%, 1/15/27(3) | $ 415 | $ 452 | |
Discover Bank 4.682%, 8/9/28 | 380 | 403 | |
Doric Nimrod Air Finance Alpha Pass-Through Trust 2012-1, A 144A 5.125%, 11/30/22(3) | 281 | 255 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 925 | 938 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 550 | 610 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 480 | 501 | |
Industrial & Commercial Bank of China Ltd. 3.538%, 11/8/27 | 925 | 1,021 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3) | 730 | 746 | |
Jefferies Group LLC 4.850%, 1/15/27 | 180 | 210 | |
MDGH-GMTN B.V. 144A 4.500%, 11/7/28(3) | 750 | 898 | |
MetLife, Inc. Series G 3.850% (7) | 220 | 228 | |
Mizuho Financial Group, Inc. 2.721%, 7/16/23 | 1,000 | 1,034 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(3) | 155 | 171 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 290 | 334 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 660 | 748 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 350 | 375 |
Par Value | Value | ||
Financials—continued | |||
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | $1,135 | $ 1,279 | |
Ukreximbank Via Biz Finance plc 144A 9.625%, 4/27/22(3) | 217 | 226 | |
20,641 | |||
Health Care—2.7% | |||
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 103 | 102 | |
Akumin, Inc. 144A 7.000%, 11/1/25(3) | 250 | 257 | |
Avantor Funding, Inc. 144A 4.625%, 7/15/28(3) | 30 | 32 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(3) | 155 | 172 | |
144A 8.500%, 1/31/27(3) | 165 | 181 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(3) | 355 | 382 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(3) | 400 | 414 | |
LifePoint Health, Inc. 144A 5.375%, 1/15/29(3) | 135 | 135 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(3) | 185 | 198 | |
144A 7.250%, 2/1/28(3) | 115 | 122 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 445 | 496 | |
Select Medical Corp. 144A 6.250%, 8/15/26(3) | 270 | 288 |
Par Value | Value | ||
Health Care—continued | |||
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | $ 175 | $ 178 | |
144A 10.000%, 4/15/27(3) | 230 | 252 | |
Tenet Healthcare Corp. | |||
144A 7.500%, 4/1/25(3) | 30 | 33 | |
7.000%, 8/1/25 | 200 | 207 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 455 | 431 | |
3,880 | |||
Industrials—8.4% | |||
Alfa SAB de CV 144A 5.250%, 3/25/24(3) | 910 | 998 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(3) | 505 | 559 | |
Aviation Capital Group LLC 144A 5.500%, 12/15/24(3) | 500 | 535 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 536 | 553 | |
Boeing Co. (The) | |||
3.750%, 2/1/50 | 315 | 319 | |
5.930%, 5/1/60 | 160 | 217 | |
Bombardier, Inc. 144A 8.750%, 12/1/21(3) | 280 | 287 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(3) | 481 | 504 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(3) | 205 | 212 | |
DP World plc 144A 6.850%, 7/2/37(3) | 880 | 1,163 | |
Flowserve Corp. 3.500%, 10/1/30 | 610 | 638 |
Par Value | Value | ||
Industrials—continued | |||
Fortress Transportation & Infrastructure Investors LLC 144A 9.750%, 8/1/27(3) | $ 50 | $ 57 | |
Hillenbrand, Inc. 5.000%, 9/15/26 | 435 | 475 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 190 | 221 | |
JSL Europe S.A. 144A 7.750%, 7/26/24(3) | 675 | 717 | |
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(3) | 667 | 500 | |
Oshkosh Corp. | |||
4.600%, 5/15/28 | 497 | 583 | |
3.100%, 3/1/30 | 79 | 85 | |
PriSo Acquisition Corp. 144A 9.000%, 5/15/23(3) | 305 | 306 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(3) | 510 | 511 | |
Spirit AeroSystems, Inc. | |||
3.950%, 6/15/23 | 215 | 207 | |
144A 5.500%, 1/15/25(3) | 285 | 303 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 460 | 488 | |
Transnet SOC Ltd. 144A 4.000%, 7/26/22(3) | 1,000 | 1,000 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(3) | 435 | 464 | |
11,902 | |||
Information Technology—2.4% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 245 | 262 | |
Broadcom, Inc. 4.150%, 11/15/30 | 470 | 545 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 730 | 784 |
Par Value | Value | ||
Information Technology—continued | |||
Dell International LLC 144A 8.100%, 7/15/36(3) | $ 255 | $ 367 | |
HP, Inc. 3.400%, 6/17/30 | 500 | 549 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(3) | 310 | 325 | |
NCR Corp. 144A 5.250%, 10/1/30(3) | 50 | 53 | |
VMware, Inc. 3.900%, 8/21/27 | 192 | 215 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(3) | 320 | 331 | |
3,431 | |||
Materials—6.3% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(3)(8) | 515 | 543 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(3) | 225 | 229 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 315 | 340 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) | 790 | 862 | |
GTL Trade Finance, Inc. 144A 5.893%, 4/29/24(3) | 386 | 435 | |
Hecla Mining Co. 7.250%, 2/15/28 | 430 | 463 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | 1,035 | 1,142 | |
Kaiser Aluminum Corp. 144A 6.500%, 5/1/25(3) | 50 | 53 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) | 443 | 457 |
Par Value | Value | ||
Materials—continued | |||
Nutrition & Biosciences, Inc. 144A 2.300%, 11/1/30(3) | $ 390 | $ 401 | |
OCP SA 144A 5.625%, 4/25/24(3) | 1,500 | 1,643 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(3) | 355 | 374 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 550 | 694 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 200 | 213 | |
144A 6.625%, 11/1/25(3) | 345 | 345 | |
United States Steel Corp. | |||
6.250%, 3/15/26 | 485 | 429 | |
144A 12.000%, 6/1/25(3) | 275 | 314 | |
8,937 | |||
Real Estate—2.8% | |||
EPR Properties 4.750%, 12/15/26 | 260 | 262 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 410 | 455 | |
5.750%, 6/1/28 | 96 | 112 | |
5.300%, 1/15/29 | 137 | 157 | |
Iron Mountain, Inc. 144A 5.250%, 7/15/30(3) | 480 | 509 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 270 | 286 | |
3.500%, 3/15/31 | 290 | 295 | |
Office Properties Income Trust 4.500%, 2/1/25 | 690 | 715 | |
Service Properties Trust 4.500%, 3/15/25 | 745 | 708 |
Par Value | Value | ||
Real Estate—continued | |||
Uniti Group LP | |||
8.250%, 10/15/23 | $ 270 | $ 270 | |
144A 7.875%, 2/15/25(3) | 180 | 191 | |
3,960 | |||
Utilities—2.5% | |||
CMS Energy Corp. 4.750%, 6/1/50 | 460 | 505 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 390 | 399 | |
Ferrellgas Partners LP 8.625%, 6/15/20(1) | 125 | 15 | |
National Fuel Gas Co. 5.500%, 1/15/26 | 385 | 432 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 950 | 1,051 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(3) | 115 | 121 | |
144A 6.625%, 1/15/28(3) | 415 | 424 | |
Vistra Operations Co. LLC 144A 3.700%, 1/30/27(3) | 540 | 592 | |
3,539 | |||
Total Corporate Bonds and Notes (Identified Cost $92,723) | 96,718 | ||
Par Value | Value | ||
Leveraged Loans(4)—13.4% | |||
Aerospace—0.6% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (3 month LIBOR + 3.500%) 4.500%, 1/18/27 | $ 308 | $ 307 | |
Amentum Government Services Holdings LLC First Lien, Tranche 2 (3 month LIBOR + 4.750%) 0.000%, 1/29/27(9) | 230 | 228 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 340 | 350 | |
885 | |||
Chemicals—0.2% | |||
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.646%, 2/4/27 | 254 | 251 | |
Consumer Non-Durables—1.2% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 252 | 248 | |
Diamond (BC) B.V. | |||
(1 month LIBOR + 3.000%) 3.214%, 9/6/24 | 522 | 510 | |
(1 month LIBOR + 5.000%) 6.000%, 9/6/24 | 105 | 104 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 228 | 227 |
Par Value | Value | ||
Consumer Non-Durables—continued | |||
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 4.000%, 6/30/24 | $ 303 | $ 297 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 0.000%, 8/12/24(9) | 330 | 310 | |
1,696 | |||
Energy—0.5% | |||
Citgo Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.000%, 3/27/24 | 301 | 287 | |
Fieldwood Energy LLC First Lien (3 month PRIME + 4.250%) 7.500%, 4/11/22(10) | 480 | 107 | |
Traverse Midstream Partners LLC (1 month LIBOR + 5.500%) 6.500%, 9/27/24 | 335 | 315 | |
709 | |||
Financial—1.1% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.646%, 8/4/25 | 389 | 391 | |
Avolon TLB Borrower 1 US LLC Tranche B-5 (3 month LIBOR + 2.500%) 0.000%, 12/20/27(9) | 195 | 193 |
Par Value | Value | ||
Financial—continued | |||
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.146%, 6/16/25 | $ 291 | $ 279 | |
Deerfield Dakota Holding LLC First Lien (3 month LIBOR + 3.750%) 4.750%, 4/9/27 | 289 | 288 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.896%, 6/28/23 | 465 | 459 | |
1,610 | |||
Food / Tobacco—0.6% | |||
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 0.000%, 11/19/27(9) | 25 | 25 | |
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/20/27 | 155 | 154 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 3.833%, 5/23/25 | 217 | 212 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 208 | 205 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 9/23/27 | 316 | 315 | |
911 | |||
Forest Prod / Containers—0.3% | |||
Klockner Pentaplast of America, Inc. (3 month LIBOR + 4.250%) 5.250%, 6/30/22 | 389 | 383 |
Par Value | Value | ||
Gaming / Leisure—1.6% | |||
Affinity Gaming LLC (3 month LIBOR + 3.250%) 4.250%, 7/3/23 | $ 390 | $ 365 | |
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 75 | 77 | |
Everi Payments, Inc. | |||
(1 month LIBOR + 10.500%) 11.500%, 5/9/24 | 25 | 26 | |
Tranche B (1 month LIBOR + 2.750%) 3.750%, 5/9/24 | 326 | 318 | |
Gateway Casinos & Entertainment Ltd. PIK (3 month LIBOR + 3.500%) 4.500%, 3/13/25(11) | 149 | 138 | |
Landry’s Finance Acquisition Co. 2020 (3 month LIBOR + 12.000%) 13.000%, 10/6/23 | 30 | 34 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 423 | 386 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.646%, 2/12/27 | 407 | 380 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.896%, 8/14/24 | 224 | 216 | |
UFC Holdings LLC Tranche B (6 month LIBOR + 3.250%) 4.250%, 4/29/26 | 290 | 287 | |
2,227 | |||
Par Value | Value | ||
Healthcare—2.2% | |||
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | $ 333 | $ 333 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 427 | 421 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.896%, 10/10/25 | 187 | 152 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.896%, 11/17/25 | 470 | 462 | |
Milano Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.750%, 10/1/27 | 390 | 386 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 514 | 490 | |
PetVet Care Centers LLC 2020, First Lien (1 month LIBOR + 4.250%) 5.250%, 2/14/25 | 105 | 104 | |
Phoenix Guarantor, Inc. | |||
Tranche B (1 month LIBOR + 3.750%) 4.250%, 3/5/26 | 140 | 139 | |
Tranche B-1 (1 month LIBOR + 3.250%) 3.400%, 3/5/26 | 328 | 324 | |
Surgery Center Holdings, Inc. 2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 40 | 41 |
Par Value | Value | ||
Healthcare—continued | |||
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.896%, 7/2/25 | $ 334 | $ 310 | |
3,162 | |||
Housing—0.1% | |||
PriSo Acquisition Corp. Tranche B (3 month LIBOR + 3.000%) 4.000%, 5/8/22 | 190 | 190 | |
Information Technology—0.9% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 8.000%, 9/19/25 | 222 | 222 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.396%, 10/2/25 | 289 | 285 | |
Epicor Software Corp. Tranche B (1 month LIBOR + 4.250%) 5.250%, 7/30/27 | 75 | 75 | |
Sophia LP (3 month LIBOR + 3.750%) 4.500%, 10/7/27 | 330 | 328 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 4.750%, 5/4/26 | 390 | 391 | |
Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 10 | 10 | |
1,311 | |||
Par Value | Value | ||
Manufacturing—0.8% | |||
Backyard Acquireco, Inc. (3 month LIBOR + 4.000%) 4.750%, 9/24/27 | $ 290 | $ 290 | |
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 8/17/22 | 270 | 245 | |
Filtration Group Corp. Tranche A (1 month LIBOR + 3.750%) 4.500%, 3/31/25 | 255 | 254 | |
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.500%, 12/23/21 | 415 | 377 | |
1,166 | |||
Media / Telecom - Cable/Wireless Video—0.2% | |||
Intelsat Jackson Holdings S.A. Tranche B-5 8.625%, 1/2/24(10) | 202 | 205 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26 | 54 | 54 | |
259 | |||
Media / Telecom - Telecommunications—0.4% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.396%, 3/15/27 | 109 | 106 | |
Consolidated Communications, Inc. (3 month LIBOR + 4.750%) 5.750%, 10/2/27 | 175 | 175 | |
Frontier Communications Corp. (3 month LIBOR + 0.048%) 0.000%, 10/8/21(9) | 85 | 85 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Numericable U.S. LLC Tranche B-12 (1 month LIBOR + 3.688%) 3.828%, 1/31/26 | $ 179 | $ 176 | |
542 | |||
Retail—0.4% | |||
CNT Holdings I Corp. First Lien (6 month LIBOR + 3.750%) 4.500%, 10/18/27 | 225 | 223 | |
Leslie’s Poolmart, Inc. Tranche B-2 (1 month LIBOR + 3.500%) 3.646%, 8/16/23 | 274 | 270 | |
Michaels Stores, Inc. 2020, Tranche B (1 month LIBOR + 3.500%) 4.250%, 10/1/27 | 82 | 80 | |
573 | |||
Service—1.2% | |||
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.750%) 3.893%, 2/6/26 | 273 | 271 | |
Hoya Midco LLC First Lien (6 month LIBOR + 3.500%) 4.500%, 6/30/24 | 313 | 283 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 1/3/25 | 496 | 489 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 4.000%) 4.146%, 9/3/26 | 480 | 474 |
Par Value | Value | ||
Service—continued | |||
TKC Holdings, Inc. First Lien (2 month LIBOR + 3.750%) 4.750%, 2/1/23 | $ 263 | $ 247 | |
1,764 | |||
Transportation - Automotive—0.8% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 355 | 327 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.650%, 11/6/24 | 476 | 473 | |
PAI Holdco, Inc. Tranche B (6 month LIBOR + 4.000%) 5.000%, 10/26/27 | 65 | 65 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 3.646%, 4/30/26 | 194 | 192 | |
1,057 | |||
Utility—0.3% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 403 | 399 | |
Total Leveraged Loans (Identified Cost $19,497) | 19,095 |
Shares | ||
Preferred Stocks—3.5% | ||
Financials—3.0% | ||
Discover Financial Services Series D, 6.125% | 190 (12) | 210 |
Shares | Value | ||
Financials—continued | |||
Fifth Third Bancorp Series L, 4.500% | 480 (12) | $ 498 | |
Huntington Bancshares, Inc. Series E, 5.700% | 253 (12) | 252 | |
KeyCorp Series D, 5.000% | 985 (12) | 1,034 | |
MetLife, Inc. Series D, 5.875% | 313 (12) | 353 | |
Truist Financial Corp. Series Q, 5.100% | 465 (12) | 525 | |
Zions Bancorp NA, 6.950% | 47,150 | 1,333 | |
4,205 | |||
Industrials—0.5% | |||
General Electric Co. Series D, 5.000% | 788 (12) | 702 | |
Total Preferred Stocks (Identified Cost $4,632) | 4,907 | ||
Common Stocks—0.1% | |||
Communication Services—0.0% | |||
Clear Channel Outdoor Holdings, Inc.(13) | 6,403 | 10 | |
Consumer Discretionary—0.0% | |||
MYT Holding LLC Class B(6)(13) | 29,850 | 22 | |
Energy—0.0% | |||
Frontera Energy Corp. | 7,526 | 17 | |
Hercules Offshore, Inc.(6) | 10,017 | 7 | |
24 | |||
Financials—0.1% | |||
Neiman Marcus Group, Inc.(13) | 618 | 37 | |
Total Common Stocks (Identified Cost $970) | 93 |
Shares | Value | ||
Exchange-Traded Funds—2.6% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF(14) | 5,355 | $ 741 | |
iShares iBoxx High Yield Corporate Bond ETF(14) | 11,595 | 1,001 | |
iShares JP Morgan USD Emerging Markets Bond ETF(14) | 17,520 | 2,002 | |
Total Exchange-Traded Funds (Identified Cost $3,681) | 3,744 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(6)(13) | 2,723 | 26 | |
Total Warrant (Identified Cost $47) | 26 | ||
Total Long-Term Investments—136.3% (Identified Cost $189,595) | 193,383 | ||
TOTAL INVESTMENTS—136.3% (Identified Cost $189,595) | $193,383 (15) | ||
Other assets and liabilities, net—(36.3)% | (51,503 ) | ||
NET ASSETS—100.0% | $141,880 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | 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. |
(3) | 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 November 30, 2020, these securities amounted to a value of $102,309 or 72.1% of net assets. |
(4) | Variable rate security. Rate disclosed is as of November 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. 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. |
(5) | Amount is less than $500. |
(6) | 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. |
(7) | No contractual maturity date. |
(8) | 100% of the income received was in cash. |
(9) | This loan will settle after November 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(10) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(11) | 33% of the income received was in cash and 67% was in PIK. |
(12) | Value shown as par value. |
(13) | Non-income producing. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(15) | All or a portion of the portfolio segregated as collateral for borrowings. |
Foreign Currencies: | |
MXN | Mexican Peso |
Total Value at November 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 16,789 | $ — | $ 16,789 | $— | |||
Corporate Bonds and Notes | 96,718 | — | 96,718 | — (1) | |||
Foreign Government Securities | 31,870 | — | 31,870 | — | |||
Leveraged Loans | 19,095 | — | 19,095 | — | |||
Mortgage-Backed Securities | 14,215 | — | 14,215 | — | |||
Municipal Bonds | 1,719 | — | 1,719 | — | |||
U.S. Government Securities | 4,207 | — | 4,207 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 4,907 | 1,333 | 3,574 | — | |||
Common Stocks | 93 | 27 | 37 | 29 | |||
Warrant | 26 | — | — | 26 | |||
Exchange-Traded Funds | 3,744 | 3,744 | — | — | |||
Total Investments | $193,383 | $5,104 | $188,224 | $55 |
(1) | Amount is less than $500. |
November 30, 2020
Assets | |
Investment in securities at value (Identified cost $189,595) | $ 193,383 |
Cash | 847 |
Receivables | |
Investment securities sold | 1,130 |
Dividends and interest | 1,781 |
Prepaid Trustees’ retainer | 2 |
Other assets | 4 |
Total assets | 197,147 |
Liabilities | |
Borrowings (Note 8) | 52,500 |
Payables | |
Investment securities purchased | 2,496 |
Investment advisory fees | 150 |
Professional fees | 37 |
Administration and accounting fees | 17 |
Interest on borrowings (Note 8) | 10 |
Trustee deferred compensation plan | 4 |
Other accrued expenses | 53 |
Total liabilities | 55,267 |
Net Assets | $141,880 |
Net Assets Consist of: | |
Capital paid on shares of beneficial interest (no par value, unlimited authorization) | $ 161,234 |
Total distributable earnings (accumulated losses) | (19,354) |
Net Assets | $141,880 |
Net Asset Value Per Share(b) | |
(Net assets/shares outstanding) Shares outstanding 11,307,508 | $ 12.55 |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
YEAR ENDED November 30, 2020
Investment Income | |
Interest | $ 9,403 |
Dividends | 190 |
Total investment income | 9,593 |
Expenses | |
Investment advisory fees | 1,830 |
Administration and accounting fees | 217 |
Printing fees and expenses | 138 |
Trustees’ fees and expenses | 117 |
Professional fees | 36 |
Transfer agent fees and expenses | 11 |
Custodian fees | 2 |
Miscellaneous expenses | 67 |
Total expenses before interest expense | 2,418 |
Interest expense on borrowings (Note 8) | 918 |
Total expenses after interest expense | 3,336 |
Net investment income (loss) | 6,257 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 3,899 |
Foreign currency transactions | (635) |
Written options | (5,071) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 4,072 |
Foreign currency transactions | 1 |
Written options | (85) |
Net realized and unrealized gain (loss) on investments | 2,181 |
Net increase (decrease) in net assets resulting from operations | $ 8,438 |
Year Ended November 30, 2020 | Year Ended November 30, 2019 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ 6,257 | $ 6,589 | |
Net realized gain (loss) | (1,807) | (5,670) | |
Net increase from payment by affiliate | — | 9 | |
Net change in unrealized appreciation (depreciation) | 3,988 | 14,559 | |
Increase (decrease) in net assets resulting from operations | 8,438 | 15,487 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (5,686) | (5,505) | |
Return of capital | (9,646) | (11,587) | |
Dividends and Distributions to Shareholders | (15,332) | (17,092) | |
From Capital Share Transactions | |||
Reinvestment of distributions resulting in the issuance of common stock (3,276 and 0 shares, respectively) | 44 | — | |
Increase (decrease) in net assets from capital transactions | 44 | — | |
Net increase (decrease) in net assets | (6,850) | (1,605) | |
Net Assets | |||
Beginning of period | 148,730 | 150,335 | |
End of period | $141,880 | $148,730 |
Increase (Decrease) in cash | |
Cash flows provided by (used for) operating activities: | |
Net increase (decrease) in net assets resulting from operations | $ 8,438 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |
Proceeds from sales and paydowns of long-term investments | 157,707 |
(Increase) Decrease in investment securities sold receivable | (267) |
Purchases of long-term investments | (143,439) |
Increase (Decrease) in investment securities purchased payable | (929) |
Net (purchases) or sales of short-term investments | 1,038 |
Net (purchases) or sales in purchased options | 3,423 |
Net purchases or (sales) in written options | (5,260) |
Net change in unrealized (appreciation)/depreciation on investments | (3,987) |
Net realized (gain)/loss on sales of investments from changes in the foreign exchange rates | 630 |
Net realized (gain)/loss on investments | 1,172 |
Amortization of premium and accretion of discounts on investments | (62) |
Proceeds from litigation settlements | 23 |
(Increase) Decrease in dividends and interest receivable | 203 |
(Increase) Decrease in prepaid expenses | 16 |
(Increase) Decrease in prepaid Trustees’ retainer | 13 |
Increase (Decrease) in interest payable on borrowings | (7) |
Increase (Decrease) in affiliated expenses payable | (12) |
Increase (Decrease) in non-affiliated expenses payable | (51) |
Cash provided by (used for) operating activities | 18,649 |
Cash provided by (used for) financing activities: | |
Repayments of borrowings | (4,500) |
Cash distributions paid to shareholders | (15,288) |
Cash provided by (used for) financing activites | (19,788) |
Net increase (decrease) in cash | (1,139) |
Cash and foreign currency at beginning of period | 1,986 |
Cash and foreign currency at end of period | $ 847 |
Supplemental cash flow information: | |
Reinvestment of dividends and distributions | $ 44 |
Cash paid during the period for interest expense on borrowings | 925 |
Year Ended November 30, | |||||||||
2020 | 2019 | 2018 | 2017 | 2016 | |||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of period | $ 13.16 | $ 13.30 | $ 17.06 | $ 16.63 | $ 16.79 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)(1) | 0.55 | 0.58 | 0.72 | 0.89 | 0.93 | ||||
Net realized and unrealized gain (loss) | 0.20 | 0.79 | (2.79) | 1.41 | 0.78 | ||||
Payment from affiliate | — | — (2) | — | — | — | ||||
Total from investment operations | 0.75 | 1.37 | (2.07) | 2.30 | 1.71 | ||||
Dividends and Distributions to Shareholders: | |||||||||
Net investment income | (0.51) | (0.49) | (0.59) | (0.78) | (0.89) | ||||
Net realized gains | — | — | — | (0.78) | — | ||||
Return of capital | (0.85) | (1.02) | (1.10) | (0.31) | (0.98) | ||||
Total dividends and distributions to shareholders | (1.36) | (1.51) | (1.69) | (1.87) | (1.87) | ||||
Net asset value, end of period | $ 12.55 | $ 13.16 | $ 13.30 | $ 17.06 | $ 16.63 | ||||
Market value, end of period | $ 11.69 | $ 12.54 | $ 11.75 | $ 18.19 | $ 14.96 | ||||
Total return, net asset value(3) | 7.70% | 11.82% | (12.24)% | 14.73% | 12.45% | ||||
Total return, market value(3) | 5.28% | 20.61% | (27.29)% | 35.99% | 19.11% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of total expenses after interest expense to average net assets(4) | 2.40% | 3.13% | 2.96% | 2.42% | 2.24% | ||||
Ratio of net investment income (loss) to average net assets | 4.51% | 4.39% | 4.86% | 5.21% | 5.65% | ||||
Portfolio turnover rate | 75% | 62% | 58% | 57% | 60% | ||||
Net assets, end of period (000’s) | $141,880 | $148,730 | $150,335 | $192,483 | $187,175 | ||||
Borrowings, end of period (000’s) | $ 52,500 | $ 57,000 | $ 59,000 | $ 69,000 | $ 69,000 | ||||
Asset coverage, per $1,000 principal amount of borrowings(5) | $ 3,702 | $ 3,609 | $ 3,548 | $ 3,790 | $ 3,713 |
(1) | Calculated using average shares outstanding. |
(2) | Amount is less than $0.005 per share. |
(3) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(4) | Ratio of total expenses, before interest expense on the line of credit, was 1.74%, 1.86%, 1.83%, 1.75% and 1.76% for the years ended November 30, 2020, 2019, 2018, 2017 and 2016, respectively |
(5) | Represents value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
A. | 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. |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. | |
Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
C. | Income Taxes |
It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income and capital gains, |
if any, to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of November 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
The Fund has a Managed Distribution Plan which currently provides for the Fund to make a monthly distribution of $0.10 per share. Distributions may represent earnings from net investment income, realized capital gains, or, if necessary, return of capital. Shareholders should not draw any conclusions about the Fund’s investment performance from the terms of the Fund’s Managed Distribution Plan. | |
E. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
F. | When-Issued Purchases and Forward Commitments (Delayed Delivery) |
The Fund may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by the Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records when-issued and forward commitment securities on the trade date. The Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. |
G. | Leveraged Loans |
The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
H. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. |
Net realized gain (loss) from purchased options | $ 3,322(1) | |
Net realized gain (loss) from written options | (5,071) | |
Net change in unrealized appreciation (depreciation) on purchased options | 52 (2) | |
Net change in unrealized appreciation (depreciation) on written options | (85) | |
Total realized and unrealized gain (loss) on purchased and written options | $(1,782) |
(1) | Amount included in Net realized gain (loss) from investments. |
(2) | Amount included in Net change in unrealized appreciation (depreciation) on investments. |
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser of the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser. | |
As compensation for its services to the Fund, the Adviser receives a fee at an annual rate of 0.95% of the Fund’s average daily Managed Assets, which is calculated daily and paid monthly. “Managed Assets” is defined as the value of the total assets of the Fund minus the sum of all accrued liabilities of the Fund (other than the aggregate amount of any outstanding borrowings or other indebtedness, entered into for the purpose of leverage). | |
B. | Subadvisers |
Newfleet Asset Management, LLC (“Newfleet”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser of the fixed income portion of the Fund’s portfolio; and prior to June 18, 2020, Rampart, an indirect, wholly-owned subsidiary of Virtus, was the subadviser of the Fund responsible for managing the Fund’s options overlay strategy. |
For the period, these two subadvisers were, in the aggregate, responsible for the day-to-day portfolio management of the Fund for which they were each paid a fee by the Adviser. | |
C. | Administration Services |
Virtus Fund Services, LLC (“VFS”), an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Fund. For the services provided by the administrator under the Administration Agreement, the Fund pays the administrator an asset-based fee calculated on the Fund’s average daily Managed Assets. This fee is calculated daily and paid monthly. | |
For the period ended November 30, 2020, the Fund incurred administration fees totaling $193 which are included in the Statement of Operations within the line item “Administration and accounting fees.” | |
D. | Trustees’ Fees |
For the period ended November 30, 2020, the Fund incurred Trustees’ fees totaling $110, which are included in the Statement of Operations within the line item “Trustees’ fees and expenses.” | |
E. | Trustees’ Deferred Compensation Plan |
The Fund provides a deferred compensation plan for its Trustees who receive compensation from the Fund. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Fund, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at November 30, 2020. |
Purchases | Sales | |
$122,475 | $135,875 |
Purchases | Sales | |
$20,964 | $21,832 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
$189,653 | $10,754 | $(7,024) | $3,730 |
Short-Term | Long-Term | |
$(8,256) | $(14,801) |
Late Year Ordinary Losses Recognized | Capital Loss Deferred | |
$ — 1 | $ 29 |
1 | Amount is less than $500. |
2020 | 2019 | ||
Ordinary Income | $ 5,686 | $ 5,505 | |
Return of Capital | 9,646 | 11,587 | |
Total | $15,332 | $17,092 |
Outstanding Borrowings | Interest Rate | |
$52,500 | 1.00% |
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Philadelphia, Pennsylvania
QDI | DRD | LTCG | |||
—% | —% | $— |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years and Other Trusteeships Held by Trustee |
Burke, Donald C. YOB: 1960 Served Since: 2020, Class ll 72 Portfolios | Retired. Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2020, Class ll 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2020, Class II 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2020, Class III 68 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); and Vice President and Controller (1999 to 2007), The Coca-Cola Company. Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years and Other Trusteeships Held by Trustee |
McLoughlin, Philip R. YOB: 1946 Served Since: 2011, Class lll Chairman 72 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2020, Class l 72 Portfolios | Retired. Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2013, Class ll 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016) Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Rogers, James B., Jr. YOB: 1942 Served Since: 2016, Class I 3 Portfolios | Director (since 1988), Virtus Total Return Fund Inc.; Director (1986 to 2019), the former Virtus Total Return Fund Inc.; Trustee/Director (since 2016), Virtus Global Multi-Sector Income Fund and Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2018), Ananti Inc., Sirius International Insurance Group, Ltd., and Quantum Digital Asset Management Pte. Ltd; Director (2018 to 2019), Ocean Capital Advisors LLC; Director (since 2017), JSC AgroGard-Finance; Director (2016 to 2018), Crusader Resources Limited; Director (since 2014), Sinofortune Financial Holdings Limited; Director (since 2014), Phos Agro; Director (since 2012), Spanish Mountain Gold Limited; Director (since 2012), GEO Energy Resources Limited; Chairman (since 2007), Beeland Enterprises Inc.; Director (since 2007), Beeland Holdings Pte Ltd.; and Chairman (since 1980), Beeland Interests (Media and Investments). |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years and Other Trusteeships Held by Trustee |
Walton, R. Keith YOB: 1964 Served Since: 2016, Class I 68 Portfolios | Managing Director (since 2020), Lafayette Square Holding Company LLC; Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners; Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Zino, Brian T. YOB: 1952 Served Since: 2016, Class l 68 Portfolios | Retired. Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee, Bentley University (since 2011); Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee | |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2014, Class lll 71 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (3 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Trusteeships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer); Advisory Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (2016 to 2019) and Advisory Member (since 2020), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Director (2014 to 2019) and Advisory Member, Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (2011 to 2019) and Advisory Member, Virtus Global Multi-Sector Income Fund; Trustee (2013 to 2016) and Advisory Member (since 2020), Virtus Alternative Solutions Trust (3 portfolios). |
Name and Year of Birth | Position(s) Held with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017) and Vice President (2016 to 2017). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017) and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017) and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017) and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Chief Financial Officer and Treasurer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Chief Financial Officer and Treasurer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust; Director (since 2013), Virtus Global Funds, PLC; and Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc. |
Name and Year of Birth | Position(s) Held with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Fromm, Jennifer YOB: 1973 | Vice President, Chief Legal Officer, Counsel and Secretary (since 2020). | Vice President (since 2016) and Senior Counsel (since 2007), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Vice President and Secretary (since 2020), DNP Select Income Fund Inc., Duff & Phelps Utility and Infrastructure Fund Inc., and DTF Tax-Free Income Inc.; Assistant Secretary (since 2020), Duff & Phelps Utility and Corporate Bond Trust Inc.; Vice President, Chief Legal Officer and Secretary (since 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Vice President (since 2017) and Assistant Secretary (since 2008), Virtus Mutual Funds Family; Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Variable Insurance Trust; and Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Alternative Solutions Trust. |
Name and Year of Birth | Position(s) Held with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2018). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Global Multi-Sector Income Fund and Virtus Total Return Fund Inc.; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2011 to 2013). | Executive Vice President, Product Management (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
Accounting Firm
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Website | www.Virtus.com |
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8528 | 01-21 |
Item 2. | Code of Ethics. |
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has at least one “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | As of the end of the period covered by the report, the Registrant’s Board of Trustees had determined that Brian T. Zino possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert” and that he is an “independent” Trustee, as defined in paragraph (a)(2) of Item 3. On February 1, 2021, the registrant’s Board of Trustees determined that each of Donald C. Burke, Connie D. McDaniel and Brian T. Zino is qualified to serve as an audit committee financial expert serving on its audit committee and that each is “independent,” as defined by Item 3 of Form N-CSR. |
(a)(3) | Not Applicable. |
Item 4. | Principal Accountant Fees and Services. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $25,155 for 2020 and $26,195 for 2019. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $3,067 for 2020 and $2,333 for 2019. Such audit-related fees include out of pocket expenses. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $3,400 for 2020 and $3,200 for 2019. |
“Tax Fees” are those primarily associated with review of the Fund’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Fund’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Fund, periodic discussion with management on tax issues affecting the Fund, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2020 and $0 for 2019. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Virtus Global Multi-Sector Income Fund (the “Fund”) Board has adopted policies and procedures with regard to the pre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Board. As noted above, the Board must also approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s Affiliate Service Providers that related directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Board believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Board without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Committee has determined that the Chair of the Audit Committee, may provide pre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Board is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | 0% |
(c) | 0% |
(d) | N/A |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $6,467 for 2020 and $5,533 for 2019. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants. |
(a) | The registrant has a separately designated audit committee. From December 1, 2019, until January 13, 2020, the members of the audit committee were: William Moyer, Philip R. McLoughlin, Brian T. Zino, James B. Rogers, James M. Oates and R. Keith Walton. On January 14, 2020, the members of the audit committee changed to: Brian T. Zino, Donald C. Burke, John R. Mallin, and Connie D. McDaniel. William R. Moyer also serves as an advisory member of the audit committee, effective January 14, 2020; and Deborah A. DeCotis serves as an advisory member of the audit committee, effective February 1, 2021. |
(b) | Not applicable. |
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
The Fund has adopted a Policy Regarding Proxy Voting stating the Fund’s intention to exercise stock ownership rights with respect to portfolio securities in a manner that is reasonably anticipated to further the best economic interests of shareholders of the Fund. The Fund has committed to analyze and vote all proxies that are likely to have financial implications, and where appropriate, to participate in corporate governance, shareholder proposals, management communications and legal proceedings. The Fund must also identify potential or actual conflicts of interest in voting proxies and must address any such conflict of interest in accordance with the Policy.
The Policy stipulates that the Fund’s investment adviser will vote proxies, or delegate such responsibility to a subadviser. The applicable voting party will vote proxies in accordance with this Policy, or its own policies and procedures, which in no event will conflict with the Fund’s Policy. The adviser or subadviser may engage a qualified, independent organization to vote proxies on its behalf (a “delegate”). Matters that may affect substantially the rights and privileges of the holders of securities to be voted will be analyzed and voted on a case-by-case basis taking into consideration such relevant factors as enumerated in the Policy. The views of management of a portfolio company will be considered.
The Policy specifies certain factors that will be considered when analyzing and voting proxies on certain issues, including, but not limited to:
• | Corporate Governance Matters—tax and economic benefits of changes in the state of incorporation; dilution or improved accountability associated with anti-takeover provisions such as staggered boards, poison pills and supermajority provisions. |
• | Stock Option and Other Management Compensation Issues—executive pay and spending on perquisites, particularly in conjunction with sub-par performance and employee layoffs. |
• | Shareholder Proposals – whether implementation of the proposal is likely to enhance or protect shareholder value; whether the issue(s) presented in the proposal are more appropriately or effectively dealt with through legislation or government regulation; if the company has already responded in an appropriate and sufficient manner to the issue(s) raised in the proposal; whether the proposal’s request is unduly burdensome or overly prescriptive; whether any increase in disclosure or transparency requested would have a deleterious impact; and whether the company’s current approach to the issue(s) presented are comparative to current industry practice. |
The Fund and its delegates seek to avoid actual or perceived conflicts of interest of Fund shareholders, on the one hand, and those of the adviser, subadviser, delegate, or any affiliated person of the Fund, on the other hand.
Depending on the type and materiality, any conflicts of interest will be handled by (i) relying on the recommendations of an established, independent third party proxy voting vendor; (ii) voting pursuant to the recommendation of the delegate; (iii) abstaining; or (iv) where two or more delegates provide conflicting requests, voting shares in proportion to the assets under management of each delegate. The Policy requires the adviser/subadviser or delegate to notify the President of the Fund of any actual or potential conflict of interest. The adviser/subadviser or delegate may not waive any conflict of interest or vote any conflicted proxies without the prior written approval of the Board or the President of the Fund.
The Policy further imposes certain record-keeping and reporting requirements on the adviser/subadviser or delegate.
During the period of the report, any proxies for the Fund were handled by the Fund’s subadvisers, Newfleet Asset Management, LLC (“Newfleet”) and Rampart Investment Management Company, LLC (“Rampart”). Following are summaries of their proxy voting policies. (Rampart ceased serving as a subadviser to the Fund during the period and was subsequently wound down, so the proxy voting policy shown below for Rampart was in effect while Rampart subadvised the Fund but it is no longer in effect.)
Newfleet
Although the nature of Newfleet’s portfolios is such that ballots are rarely required, Newfleet has adopted pre-determined proxy voting guidelines (the “Guidelines”) to make every effort to ensure the manner in which shares are voted is in the best interest of its clients and the value of the investment. Under the Guidelines, Newfleet sometimes delegates to a non-affiliated third party vendor the responsibility to review proxy proposals and make voting recommendations on behalf of Newfleet. Newfleet may also vote a proxy contrary to the Guidelines if it determines that such action in the best interest of its clients including the Fund.
A complete copy of Newfleet’s current Proxy Voting Policies & Procedures is available by sending a written request to Newfleet Asset Management, LLC, Attn: Compliance Department, One Financial Plaza, Hartford, CT 06103. Email requests may be sent to: james.sena@virtus.com.
Rampart
Rampart has adopted proxy voting policies, procedures and guidelines (“Guidelines”) in an effort to ensure proxies are voted in the best interests of its clients and the value of the investment, and to address any real or perceived conflicts of interest in proxy voting. Proxies of the Fund will be voted subject to the Fund’s Policy and, to the extent applicable, in accordance with any resolutions or other instructions approved by authorized persons of the Fund. Any Rampart representative identifying a conflict of interest in voting a proxy is required to immediately report the conflict of interest to Rampart’s CCO who will determine a course of action.
Rampart’s Guidelines allow Rampart to utilize a qualified, non-affiliated third party vendor to review proxies and make voting recommendations on behalf of Rampart’s clients consistent with the Guidelines.
Rampart may choose not to vote proxies in certain situations or for certain accounts, such as but not limited to the following:
• | When Rampart deems the cost of voting would exceed any anticipated benefit to the respective client(s); |
• | When a proxy is received for a security Rampart no longer manages (i.e., Rampart has previously sold the entire position); and/or |
• | When the exercise of voting rights could restrict the ability of an account’s portfolio manager to freely trade the security. |
A complete copy of Rampart’s Proxy Voting Guidelines is available by sending a written request to Rampart Investment Management Company, LLC, Attn: Chief Compliance Officer, One Financial Plaza, Hartford, CT 06103. Email requests may be sent to: james.sena@virtus.com.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
As of the date of filing this report, the Fund’s sub-adviser is Newfleet Asset Management, LLC.
(a)(1) | Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members |
David L. Albrycht, CFA. David Albrycht is president and chief investment officer of Newfleet. Prior to joining Newfleet in 2011, Mr. Albrycht was executive managing director and senior portfolio manager with Goodwin Capital Advisers, a former affiliate of Virtus Investment Partners (“Virtus”), the parent of Newfleet. He joined the Goodwin multi-sector fixed income team in 1985 as a credit analyst and has managed fixed income portfolios since 1991. He holds the Chartered Financial Analyst designation and has been working in the investment industry since 1985.
Mr. Albrycht has been a portfolio manager of the Fund since its inception, Virtus Newfleet Multi-Sector Short Term Bond Fund since 1993, Virtus Newfleet Multi-Sector Intermediate Bond Fund since 1994, Virtus Newfleet Senior Floating Rate Fund since 2008, and co-manager of Virtus Tactical Allocation Fund and Virtus Newfleet High Yield Fund since 2011, Virtus Newfleet Core Plus Bond Fund and Virtus Newfleet Low Duration Income Fund since 2012. He also co-manages two variable investment options and is co-manager of another closed-end fund, Virtus Global Multi-Sector Income Fund (NYSE: VGI). He also is a manager of three exchange-traded funds, AdvisorShares Newfleet Multi-Sector Income ETF (NYSE: MINC), Virtus Newfleet Multi-Sector Bond ETF (NFLT), and Virtus Newfleet Dynamic Credit ETF (BLHY), and two offshore funds, the Virtus GF Multi-Sector Short Duration Bond Fund and Virtus GF Multi-Sector Income Fund. He is also responsible for the structuring and management of Newfleet’s CLO platform.
Mr. Albrycht earned a B.A., cum laude, from Central Connecticut State University and an M.B.A., with honors, from the University of Connecticut. He is a Chartered Financial Analyst® (CFA®) charterholder and has been working in the investment industry since 1985.
Benjamin Caron, CFA. Ben Caron is a senior managing director and portfolio manager at Newfleet. In addition to the Fund, Mr. Caron is co-portfolio manager of the Virtus Newfleet Low Duration Core Plus Bond Fund, and two actively managed ETFs: AdvisorShares Newfleet Multi-Sector Income ETF (NYSE: MINC), and Virtus Newfleet Multi-Sector Bond ETF (NYSE: NFLT). He also assists in the management of Virtus Newfleet Multi-Sector Short Term Bond Fund, Virtus Newfleet Multi-Sector Intermediate Bond Fund, Virtus Tactical Allocation Fund, two variable insurance investment options and the closed-end Virtus Total Return Fund Inc. (NYSE: ZTR).
Prior to joining Newfleet in 2011, Mr. Caron was on the fixed income team at Goodwin Capital Advisers, a former Virtus investment management subsidiary. He joined Goodwin Capital in 2002 as a client service associate for the institutional markets group focusing on institutional fixed income clients. Earlier in his career, he was with Fidelity Investments, where he was responsible for client management and sales in the managed account group.
Mr. Caron earned a B.A. from Syracuse University and an M.B.A. from Suffolk University. He is a Chartered Financial Analyst® (CFA®) charterholder and has been working in the investment industry since 1996.
Kyle A. Jennings, CFA. Kyle Jennings is a senior managing director and the head of credit research Newfleet. Mr. Jennings is also co-portfolio manager of Virtus Newfleet Senior Floating Rate Fund and Virtus Newfleet High Yield Fund.
Mr. Jennings has been a member of Newfleet’s corporate credit research team since 1998 and currently covers the gaming, healthcare, and automotive industries. He is also a member of the team that formulates the leveraged finance strategy for the multi-sector fixed income strategies. In addition, Mr. Jennings is responsible for the structuring and management of Newfleet’s CLO platform.
Prior to joining Newfleet in 2011, Mr. Jennings was on the fixed income team at Goodwin Capital Advisers, a former Virtus investment management subsidiary. Before that, he was a credit research analyst in the banking industry for Shawmut Bank, Ironwood Capital, and Citizens Bank.
Mr. Jennings earned a B.S. in finance from the University of Connecticut and is a Chartered Financial Analyst® (CFA®) charterholder. He began his career in the investment industry in 1992.
Daniel Senecal, CFA. Daniel Senecal is a managing director at Newfleet. Mr. Senecal is a sector manager within the emerging markets with regional responsibilities for Latin America, including Mexico and Central America.
Prior to joining Newfleet in 2011, Mr. Senecal was on the fixed income team at Goodwin Capital Advisers, a former Virtus investment management subsidiary. He began at Goodwin Capital in 1997 as a corporate credit research analyst, followed by several roles, including sector manager for investment grade corporate credit and sovereign credit. He was also the lead portfolio manager for the Phoenix High Yield Fund from 2003 until 2005 and the Phoenix Emerging Market Fund from 2004 to 2005.
Earlier in his career, Mr. Senecal completed a formal credit training program at Shawmut National Bank where he was a credit research analyst and lender. He also worked at BankBoston as a corporate bond analyst.
Mr. Senecal earned a B.A. in economics and English from Assumption College and an M.B.A. in finance from the University of Connecticut. He is a Chartered Financial Analyst® (CFA®) charterholder, and he began his career in the investment industry in 1990.
(a)(2) | Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest |
There may be certain inherent conflicts of interest that arise in connection with the portfolio managers’ management of the Fund’s investments and the investments of any other accounts they manage. Such conflicts could include the aggregation of orders for all accounts managed by a particular portfolio manager, the allocation of purchases across all such accounts, the allocation of IPOs and any soft dollar arrangements that the adviser/subadviser may have in place that could benefit the Fund and/or such other accounts. The Board of Trustees has adopted policies and procedures designed to address any such conflicts of interest to ensure that all transactions are executed in the best interest of the Fund’s shareholders. Each adviser/subadviser is required to certify its compliance with these procedures on a quarterly basis. There have been no material compliance issues with respect to any of these policies and procedures during the Fund’s most recent fiscal year. Additionally, there are no material conflicts of interest between the investment strategy of the Fund and the investment strategy of other accounts managed by portfolio managers since the portfolio managers generally manage funds and other accounts having similar investment strategies.
The following table provides information as of November 30, 2020, regarding any other accounts managed by the portfolio managers and portfolio management team members for the Fund. As noted in the table, the portfolio managers managing the Fund may also manage or be members of management teams for other mutual funds within the Virtus Fund complex or other similar accounts.
Name of Portfolio Manager or Team Member | Type of Accounts | Total No. of Accounts Managed | Total Assets (in millions) | No. of Accounts where Advisory Fee is Based on Performance | Total Assets in Accounts where Advisory Fee is Based on Performance (in millions) | |||||||||||||
David L. Albrycht | Registered Investment Companies: | 16 | $ | 8,970 | 2 | 257 | ||||||||||||
Other Pooled Investment Vehicles: | 2 | 86 | 0 | 0 | ||||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 | ||||||||||||||
Benjamin Caron | Registered Investment Companies: | 5 | 1,090 | 0 | 0 | |||||||||||||
Other Pooled Investment Vehicles: | 0 | 0 | 0 | 0 | ||||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 | ||||||||||||||
Kyle A. Jennings | Registered Investment Companies: | 3 | 405 | 1 | 168 | |||||||||||||
Other Pooled Investment Vehicles: | 1 | 300 | 0 | 0 | ||||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 | ||||||||||||||
Daniel Senecal | Registered Investment Companies: | 1 | 142 | 0 | 0 | |||||||||||||
Other Pooled Investment Vehicles: | 0 | 0 | 0 | 0 | ||||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 |
(a)(3) | Compensation Structure of Portfolio Manager(s) or Management Team Members |
Virtus, along with its affiliated investment management firms, including Newfleet (collectively, “Virtus”), is committed to attracting and retaining the highest caliber employees and investment talent. The company’s compensation and benefits program is comprehensive and designed to reward performance and commitment to our shareholders. Virtus personnel receive a competitive base salary, an incentive bonus opportunity, and a benefits package. Certain professionals who supervise and manage others also participate in a management incentive program reflecting their personal contribution and team performance. Certain key individuals also have the opportunity to take advantage of a long-term incentive compensation program, including potential awards of Virtus restricted stock units (“RSUs”) with multi-year vesting, subject to Virtus corporate board approval, and opportunities to defer their compensation and reduce tax implications.
Following is a more detailed description of Virtus’ compensation structure.
• | Base Salary – Each individual is paid a fixed base salary, which is designed to be competitive in light of the individual’s experience and responsibilities. Virtus management uses independent, third-party compensation surveys of the investment industry to evaluate competitive market compensation for its employees. |
• | Incentive Bonus – Incentive bonus pools for non-investment personnel are generally based upon overall Virtus profitability. Annual incentive payments for investment personnel are based on targeted compensation levels, adjusted for profitability and investment performance factors, and a subjective assessment of contribution to the team effort. Individual payments are assessed using comparisons of actual investment performance with specific peer group or index measures. For compensation purposes, a fund’s performance is generally measured over one-, three-, and five-year periods and an individual manager’s participation is based on the performance of each fund/account managed. The short-term incentive payment is generally paid in cash, but a portion may be payable in Virtus RSUs. |
• | Other Benefits – Employees are also eligible to participate in broad-based plans offered by Virtus, including 401(k), health, and other employee benefit plans. |
While portfolio manager compensation contains a performance component, this component is adjusted to reward investment personnel for managing within the stated framework and for not taking unnecessary risk. This approach ensures that investment management personnel remain focused on
managing and acquiring securities that correspond to a fund’s mandate and risk profile and are discouraged from taking on more risk and unnecessary exposure to chase performance for personal gain. We believe we have appropriate controls in place to handle any potential conflicts that may result from a substantial portion of portfolio manager compensation being tied to performance.
(a)(4) | Disclosure of Securities Ownership |
For the most recently completed fiscal year ended November 30, 2020, beneficial ownership of shares of the Fund by Messrs. Albrycht, Caron, Jennings and Senecal are as follows. Beneficial ownership was determined in accordance with rule 16a-1(a)(2) under the Securities Exchange Act of 1934 (17 CFR 240.161-1(a)(2)).
Name of Portfolio Manager or | Dollar ($) Range of Fund Shares Beneficially Owned | |
David L. Albrycht | $0 | |
Benjamin Caron | 100,001 – 500,000 | |
Kyle A. Jennings | 0 | |
Daniel Senecal | 0 |
(b) | Not applicable. |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the |
report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Global Multi-Sector Income Fund |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer (principal executive officer) |
Date | February 8, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer | ||
(principal executive officer) |
Date | February 8, 2021 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, | ||
Chief Financial Officer, and Treasurer | ||
(principal financial officer) |
Date | February 8, 2021 |
* | Print the name and title of each signing officer under his or her signature. |