VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—75.3% | |||
Airlines—1.1% | |||
American Airlines Group, Inc. 6.500%, 7/1/25 | $ 775 | $ 868 | |
Southwest Airlines Co. 1.250%, 5/1/25(1) | 1,305 | 1,605 | |
2,473 | |||
Auto Manufacturers—0.7% | |||
Ford Motor Co. 0.000%, 3/15/26(1) | 1,095 | 1,101 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(2) | 640 | 398 | |
1,499 | |||
Banks—1.7% | |||
Barclays Bank plc 0.000%, 2/18/25 | 1,465 | 1,559 | |
BofA Finance LLC 0.600%, 5/25/27 | 1,985 | 2,138 | |
3,697 | |||
Biotechnology—6.2% | |||
Alnylam Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(2) | 1,340 | 1,343 | |
BioMarin Pharmaceutical, Inc. | |||
0.599%, 8/1/24 | 120 | 120 | |
1.250%, 5/15/27 | 2,270 | 2,271 | |
Cytokinetics, Inc. 144A 3.500%, 7/1/27(2) | 940 | 1,054 | |
Halozyme Therapeutics, Inc. | |||
0.250%, 3/1/27 | 3,120 | 2,788 | |
144A 1.000%, 8/15/28(2) | 1,910 | 2,003 | |
Insmed, Inc. 1.750%, 1/15/25 | 1,275 | 1,165 | |
Sarepta Therapeutics, Inc. | |||
1.500%, 11/15/24(1) | 395 | 669 | |
144A 1.250%, 9/15/27(2) | 1,935 | 2,056 | |
13,469 | |||
Commercial Services—4.5% | |||
Block, Inc. | |||
0.125%, 3/1/25 | 2,170 | 2,011 | |
0.250%, 11/1/27(1) | 1,425 | 1,064 | |
Chegg, Inc. 0.125%, 3/15/25 | 1,115 | 965 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(2) | 1,350 | 928 | |
Shift4 Payments, Inc. | |||
0.000%, 12/15/25(1) | 1,575 | 1,420 | |
0.500%, 8/1/27 | 2,585 | 1,989 | |
Stride, Inc. 1.125%, 9/1/27(1) | 1,570 | 1,416 | |
9,793 | |||
Computers—4.5% | |||
3D Systems Corp. 144A 0.000%, 11/15/26(2) | 1,365 | 949 |
Par Value | Value | ||
Computers—continued | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | $ 1,000 | $ 1,171 | |
KBR, Inc. 2.500%, 11/1/23 | 1,130 | 2,251 | |
Lumentum Holdings, Inc. | |||
0.500%, 12/15/26(1) | 645 | 630 | |
144A 0.500%, 6/15/28(2) | 1,385 | 1,161 | |
Parsons Corp. 0.250%, 8/15/25 | 770 | 882 | |
Pure Storage, Inc. 0.125%, 4/15/23(1) | 755 | 918 | |
Rapid7, Inc. 0.250%, 3/15/27 | 735 | 579 | |
Zscaler, Inc. 0.125%, 7/1/25(1) | 920 | 1,127 | |
9,668 | |||
Cosmetics & Personal Care—0.8% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(2) | 2,100 | 1,657 | |
Diversified Financial Services—2.2% | |||
Coinbase Global, Inc. 0.500%, 6/1/26 | 1,945 | 1,284 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 | 1,445 | 1,370 | |
JPMorgan Chase Financial Co., LLC 0.500%, 6/15/27 | 1,955 | 2,138 | |
4,792 | |||
Energy-Alternate Sources—3.1% | |||
Enphase Energy, Inc. | |||
0.000%, 3/1/26(1) | 1,410 | 1,728 | |
0.000%, 3/1/28(1) | 1,195 | 1,533 | |
Plug Power, Inc. 3.750%, 6/1/25 | 195 | 625 | |
Stem, Inc. 144A 0.500%, 12/1/28(2) | 2,150 | 1,599 | |
Sunnova Energy International, Inc. 144A 2.625%, 2/15/28(2) | 1,470 | 1,191 | |
6,676 | |||
Entertainment—2.7% | |||
DraftKings Holdings, Inc. 0.000%, 3/15/28 | 1,070 | 669 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25(1) | 3,520 | 3,612 | |
Vail Resorts, Inc. 0.000%, 1/1/26(1) | 1,785 | 1,580 | |
5,861 | |||
Equity Real Estate Investment Trusts (REITs)—0.6% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26(1) | 1,530 | 1,348 |
See Notes to Schedule of Investments
1
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Food & Beverage—0.7% | |||
Post Holdings, Inc. 144A 2.500%, 8/15/27(2) | $ 1,505 | $ 1,564 | |
Healthcare-Products—1.8% | |||
CONMED Corp. 144A 2.250%, 6/15/27(2) | 165 | 144 | |
Insulet Corp. 0.375%, 9/1/26(1) | 1,480 | 1,891 | |
Natera, Inc. 2.250%, 5/1/27 | 540 | 762 | |
Novocure Ltd. 0.000%, 11/1/25 | 780 | 663 | |
Repligen Corp. 0.375%, 7/15/24 | 330 | 557 | |
4,017 | |||
Healthcare-Services—0.9% | |||
Elevance Health, Inc. 2.750%, 10/15/42 | 240 | 1,870 | |
Internet—10.2% | |||
Booking Holdings, Inc. 0.750%, 5/1/25(1) | 795 | 1,028 | |
Etsy, Inc. 0.250%, 6/15/28(1) | 3,190 | 2,461 | |
Farfetch Ltd. 3.750%, 5/1/27 | 975 | 925 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23(1) | 1,310 | 2,537 | |
0.375%, 6/1/25(1) | 1,355 | 2,384 | |
Perficient, Inc. 144A 0.125%, 11/15/26(2) | 2,355 | 1,762 | |
Snap, Inc. | |||
0.750%, 8/1/26 | 1,045 | 898 | |
144A 0.125%, 3/1/28(2) | 2,220 | 1,457 | |
TechTarget, Inc. 144A 0.000%, 12/15/26(2) | 1,930 | 1,530 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 3,320 | 2,742 | |
Wayfair, Inc. | |||
1.125%, 11/1/24 | 1,985 | 1,727 | |
144A 3.250%, 9/15/27(2) | 1,020 | 878 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,985 | 1,860 | |
22,189 | |||
Leisure Time—2.7% | |||
NCL Corp., Ltd. 144A 1.125%, 2/15/27(1)(2) | 4,015 | 3,061 | |
Royal Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(2) | 1,505 | 1,959 | |
Topgolf Callaway Brands Corp. 2.750%, 5/1/26(1) | 660 | 829 | |
5,849 | |||
Machinery-Diversified—1.2% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1)(2) | 425 | 1,616 |
Par Value | Value | ||
Machinery-Diversified—continued | |||
Middleby Corp. (The) 1.000%, 9/1/25(1) | $ 735 | $ 888 | |
2,504 | |||
Media—6.2% | |||
DISH Network Corp. 0.000%, 12/15/25(1) | 3,830 | 2,578 | |
Liberty Broadband Corp. | |||
144A 1.250%, 9/30/50(2) | 2,995 | 2,850 | |
144A 2.750%, 9/30/50(2) | 2,240 | 2,167 | |
Liberty Media Corp. | |||
1.375%, 10/15/23(1) | 1,620 | 2,074 | |
144A 2.250%, 8/15/27(2) | 1,970 | 1,811 | |
World Wrestling Entertainment, Inc. 3.375%, 12/15/23 | 645 | 2,045 | |
13,525 | |||
Metal Fabricate/Hardware—0.5% | |||
Xometry, Inc. 144A 1.000%, 2/1/27(2) | 920 | 1,113 | |
Mining—2.0% | |||
Lithium Americas Corp. 144A 1.750%, 1/15/27(2) | 1,775 | 1,521 | |
Livent Corp. 4.125%, 7/15/25 | 220 | 814 | |
MP Materials Corp. 144A 0.250%, 4/1/26(1)(2) | 2,030 | 1,933 | |
4,268 | |||
Oil, Gas & Consumable Fuels—2.2% | |||
EQT Corp. 1.750%, 5/1/26(1) | 330 | 940 | |
Northern Oil and Gas, Inc. 144A 3.625%, 4/15/29(2) | 770 | 863 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25(1) | 1,120 | 2,873 | |
4,676 | |||
Pharmaceuticals—4.7% | |||
Dexcom, Inc. 0.250%, 11/15/25(1) | 5,785 | 6,360 | |
Jazz Investments I Ltd. 2.000%, 6/15/26(1) | 2,855 | 3,189 | |
Revance Therapeutics, Inc. 1.750%, 2/15/27 | 780 | 763 | |
10,312 | |||
Retail—0.4% | |||
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 235 | 832 | |
Semiconductors—3.3% | |||
Impinj, Inc. 144A 1.125%, 5/15/27(2) | 1,090 | 1,347 | |
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26(1) | 1,730 | 1,650 |
See Notes to Schedule of Investments
2
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Semiconductors—continued | |||
Microchip Technology, Inc. 0.125%, 11/15/24(1) | $ 1,010 | $ 1,016 | |
ON Semiconductor Corp. 0.000%, 5/1/27(1) | 1,175 | 1,538 | |
Wolfspeed, Inc. 144A 0.250%, 2/15/28(2) | 1,835 | 1,677 | |
7,228 | |||
Software—9.7% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 870 | 933 | |
Bill.com Holdings, Inc. | |||
0.000%, 12/1/25(1) | 650 | 721 | |
0.000%, 4/1/27 | 2,180 | 1,718 | |
Box, Inc. 0.000%, 1/15/26 | 1,155 | 1,435 | |
Cloudflare, Inc. 0.000%, 8/15/26 | 4,260 | 3,427 | |
Confluent, Inc. 144A 0.000%, 1/15/27(2) | 1,920 | 1,440 | |
Datadog, Inc. 0.125%, 6/15/25(1) | 210 | 239 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(2) | 2,165 | 1,583 | |
Evolent Health, Inc. 1.500%, 10/15/25 | 805 | 928 | |
Five9, Inc. 0.500%, 6/1/25 | 1,045 | 926 | |
Model N, Inc. 2.625%, 6/1/25 | 810 | 1,056 | |
MongoDB, Inc. 0.250%, 1/15/26(1) | 445 | 500 | |
Splunk, Inc. | |||
1.125%, 9/15/25 | 760 | 704 | |
1.125%, 6/15/27 | 1,770 | 1,504 | |
Tyler Technologies, Inc. 0.250%, 3/15/26(1) | 1,905 | 1,784 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1)(2) | 2,020 | 1,469 | |
Workiva, Inc. 1.125%, 8/15/26 | 555 | 649 | |
21,016 | |||
Transportation—0.7% | |||
Air Transport Services Group, Inc. 1.125%, 10/15/24 | 1,475 | 1,606 | |
Total Convertible Bonds and Notes (Identified Cost $175,234) | 163,502 | ||
Corporate Bonds and Notes—19.6% | |||
Aerospace & Defense—0.4% | |||
TransDigm, Inc. 5.500%, 11/15/27(1) | 510 | 465 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1)(2) | 143 | 145 |
Par Value | Value | ||
Aerospace & Defense—continued | |||
144A 6.250%, 9/15/24(1)(2) | $ 175 | $ 162 | |
772 | |||
Airlines—0.3% | |||
American Airlines, Inc. 144A 11.750%, 7/15/25(1)(2) | 300 | 328 | |
Delta Air Lines, Inc. 7.375%, 1/15/26(1) | 275 | 281 | |
609 | |||
Auto Components—0.9% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(1) | 390 | 359 | |
Clarios Global LP 144A 8.500%, 5/15/27(1)(2) | 645 | 632 | |
Goodyear Tire & Rubber Co. (The) | |||
9.500%, 5/31/25 | 250 | 260 | |
5.250%, 4/30/31(1) | 265 | 223 | |
5.250%, 7/15/31 | 305 | 258 | |
Tenneco, Inc. 144A 7.875%, 1/15/29(1)(2) | 130 | 128 | |
1,860 | |||
Auto Manufacturers—0.5% | |||
Ford Motor Co. | |||
9.625%, 4/22/30(1) | 460 | 513 | |
7.450%, 7/16/31(1) | 250 | 251 | |
6.100%, 8/19/32 | 295 | 270 | |
1,034 | |||
Building Materials—0.3% | |||
Builders FirstSource, Inc. 144A 6.375%, 6/15/32(2) | 245 | 225 | |
Griffon Corp. 5.750%, 3/1/28 | 370 | 339 | |
564 | |||
Chemicals—0.1% | |||
Chemours Co. (The) 144A 5.750%, 11/15/28(2) | 265 | 225 | |
Commercial Services—1.1% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(2) | 400 | 343 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(2) | 420 | 364 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1)(2) | 285 | 238 | |
Herc Holdings, Inc. 144A 5.500%, 7/15/27(2) | 470 | 445 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1)(2) | 295 | 234 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1)(2) | 390 | 342 | |
United Rentals North America, Inc. 5.250%, 1/15/30(1) | 310 | 287 |
See Notes to Schedule of Investments
3
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Commercial Services—continued | |||
Williams Scotsman International, Inc. 144A 6.125%, 6/15/25(1)(2) | $ 230 | $ 229 | |
2,482 | |||
Computers—0.2% | |||
Condor Merger Sub, Inc. 144A 7.375%, 2/15/30(2) | 275 | 227 | |
NCR Corp. 144A 5.125%, 4/15/29(1)(2) | 330 | 277 | |
504 | |||
Containers & Packaging—0.5% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1)(2) | 270 | 256 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) | 485 | 463 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1)(2) | 355 | 334 | |
1,053 | |||
Cosmetics & Personal Care—0.3% | |||
Coty, Inc. 144A 6.500%, 4/15/26(2) | 475 | 452 | |
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1)(2) | 300 | 282 | |
734 | |||
Diversified Financial Services—0.4% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1)(2) | 290 | 235 | |
144A 5.750%, 11/15/31(1)(2) | 145 | 111 | |
Navient Corp. 6.750%, 6/15/26(1) | 375 | 354 | |
OneMain Finance Corp. 8.250%, 10/1/23(1) | 110 | 112 | |
812 | |||
Electric Utilities—0.1% | |||
PG&E Corp. 5.250%, 7/1/30 | 375 | 332 | |
Electronic Equipment, Instruments & Components—0.2% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) | 500 | 507 | |
Electronics—0.3% | |||
Coherent Corp. 144A 5.000%, 12/15/29(2) | 400 | 343 | |
Sensata Technologies B.V. 144A 5.875%, 9/1/30(2) | 345 | 328 | |
671 | |||
Entertainment—1.4% | |||
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1)(2) | 430 | 420 | |
144A 4.625%, 10/15/29(2) | 425 | 340 |
Par Value | Value | ||
Entertainment—continued | |||
CDI Escrow Issuer, Inc. 144A 5.750%, 4/1/30(2) | $ 490 | $ 442 | |
Cedar Fair LP 5.375%, 4/15/27(1) | 465 | 438 | |
International Game Technology plc 144A 6.250%, 1/15/27(1)(2) | 335 | 332 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) | 410 | 311 | |
Live Nation Entertainment, Inc. 144A 6.500%, 5/15/27(2) | 375 | 373 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) | 425 | 366 | |
3,022 | |||
Environmental Services—0.2% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) | 545 | 475 | |
Equity Real Estate Investment Trusts (REITs)—0.6% | |||
Iron Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) | 425 | 367 | |
Park Intermediate Holdings LLC | |||
144A 5.875%, 10/1/28(2) | 260 | 236 | |
144A 4.875%, 5/15/29(1)(2) | 290 | 247 | |
Service Properties Trust 7.500%, 9/15/25 | 360 | 351 | |
1,201 | |||
Food & Beverage—0.5% | |||
Performance Food Group, Inc. 144A 4.250%, 8/1/29(1)(2) | 300 | 254 | |
Post Holdings, Inc. | |||
144A 5.500%, 12/15/29(2) | 250 | 225 | |
144A 4.500%, 9/15/31(1)(2) | 300 | 248 | |
Simmons Foods, Inc. 144A 4.625%, 3/1/29(1)(2) | 390 | 326 | |
1,053 | |||
Food Service—0.2% | |||
Aramark Services, Inc. 144A 5.000%, 2/1/28(1)(2) | 390 | 355 | |
Healthcare-Products—0.1% | |||
Medline Borrower LP 144A 5.250%, 10/1/29(1)(2) | 415 | 323 | |
Healthcare-Services—0.4% | |||
Select Medical Corp. 144A 6.250%, 8/15/26(1)(2) | 280 | 267 | |
Tenet Healthcare Corp. | |||
144A 6.125%, 10/1/28(1)(2) | 550 | 476 | |
144A 6.125%, 6/15/30(2) | 120 | 111 | |
854 | |||
Housewares—0.1% | |||
Newell Brands, Inc. 6.625%, 9/15/29 | 340 | 332 |
See Notes to Schedule of Investments
4
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Internet—0.6% | |||
NortonLifeLock, Inc. 144A 7.125%, 9/30/30(2) | $ 350 | $ 344 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1)(2) | 235 | 236 | |
144A 7.500%, 9/15/27(1)(2) | 370 | 370 | |
144A 6.250%, 1/15/28(2) | 360 | 342 | |
1,292 | |||
Investment Companies—0.2% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) | 435 | 374 | |
Leisure Time—0.7% | |||
Carnival Corp. 144A 10.500%, 2/1/26(1)(2) | 440 | 431 | |
NCL Corp., Ltd. | |||
144A 5.875%, 3/15/26(1)(2) | 300 | 246 | |
144A 7.750%, 2/15/29(2) | 280 | 223 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1)(2) | 105 | 113 | |
144A 11.625%, 8/15/27(2) | 495 | 475 | |
1,488 | |||
Lodging—0.5% | |||
Hilton Domestic Operating Co., Inc. | |||
4.875%, 1/15/30 | 125 | 112 | |
144A 4.000%, 5/1/31(1)(2) | 225 | 188 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(2) | 415 | 356 | |
MGM Resorts International 4.750%, 10/15/28(1) | 305 | 265 | |
Travel + Leisure Co. 144A 6.625%, 7/31/26(2) | 105 | 102 | |
1,023 | |||
Machinery-Construction & Mining—0.1% | |||
Terex Corp. 144A 5.000%, 5/15/29(1)(2) | 370 | 330 | |
Media—1.9% | |||
CCO Holdings LLC | |||
144A 5.375%, 6/1/29(1)(2) | 385 | 344 | |
144A 6.375%, 9/1/29(2) | 245 | 226 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(1)(2) | 445 | 385 | |
DirecTV Financing LLC 144A 5.875%, 8/15/27(1)(2) | 575 | 518 | |
DISH DBS Corp. 7.375%, 7/1/28(1) | 420 | 318 | |
Gray Television, Inc. | |||
144A 7.000%, 5/15/27(2) | 450 | 429 | |
144A 4.750%, 10/15/30(1)(2) | 295 | 233 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1)(2) | 445 | 420 | |
Scripps Escrow II, Inc. 144A 5.375%, 1/15/31(2) | 415 | 337 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) | 450 | 387 |
Par Value | Value | ||
Media—continued | |||
TEGNA, Inc. 5.000%, 9/15/29(1) | $ 280 | $ 265 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) | 395 | 359 | |
4,221 | |||
Mining—0.2% | |||
Hudbay Minerals, Inc. 144A 6.125%, 4/1/29(2) | 415 | 343 | |
Oil, Gas & Consumable Fuels—2.2% | |||
Antero Resources Corp. 144A 7.625%, 2/1/29(1)(2) | 331 | 338 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(2) | 355 | 354 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1)(2) | 345 | 340 | |
CNX Resources Corp. | |||
144A 7.250%, 3/14/27(1)(2) | 465 | 462 | |
144A 7.375%, 1/15/31(2) | 230 | 228 | |
Comstock Resources, Inc. | |||
144A 6.750%, 3/1/29(1)(2) | 295 | 282 | |
144A 5.875%, 1/15/30(2) | 285 | 257 | |
Occidental Petroleum Corp. 6.625%, 9/1/30(1) | 220 | 229 | |
PDC Energy, Inc. 5.750%, 5/15/26(1) | 435 | 417 | |
SM Energy Co. 6.500%, 7/15/28(1) | 530 | 514 | |
Southwestern Energy Co. 5.375%, 3/15/30(1) | 285 | 264 | |
Sunoco LP | |||
5.875%, 3/15/28(1) | 260 | 248 | |
4.500%, 4/30/30 | 145 | 123 | |
USA Compression Partners LP 6.875%, 9/1/27(1) | 415 | 396 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1)(2) | 395 | 372 | |
4,824 | |||
Paper & Forest Products—0.1% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1)(2) | 300 | 246 | |
Pharmaceuticals—0.5% | |||
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1)(2) | 250 | 241 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1)(2) | 555 | 493 | |
Organon & Co. 144A 5.125%, 4/30/31(1)(2) | 395 | 335 | |
1,069 | |||
Pipelines—0.8% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(2) | 290 | 265 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1)(2) | 470 | 440 |
See Notes to Schedule of Investments
5
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Par Value | Value | ||
Pipelines—continued | |||
EQM Midstream Partners LP 144A 7.500%, 6/1/30(2) | $ 455 | $ 442 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1)(2) | 290 | 262 | |
NuStar Logistics LP 6.375%, 10/1/30(1) | 305 | 283 | |
1,692 | |||
Real Estate—0.1% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31(1) | 395 | 310 | |
Retail—0.6% | |||
Asbury Automotive Group, Inc. | |||
4.750%, 3/1/30(1) | 422 | 346 | |
144A 4.625%, 11/15/29(2) | 145 | 119 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) | 325 | 291 | |
Macy’s Retail Holdings LLC | |||
144A 5.875%, 3/15/30(2) | 135 | 113 | |
144A 6.125%, 3/15/32(2) | 135 | 112 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(2) | 300 | 245 | |
1,226 | |||
Semiconductors—0.4% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1)(2) | 365 | 360 | |
Entegris Escrow Corp. 144A 5.950%, 6/15/30(2) | 505 | 461 | |
821 | |||
Software—0.4% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(2) | 300 | 250 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(2) | 295 | 261 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) | 480 | 446 | |
957 | |||
Telecommunications—1.0% | |||
CommScope, Inc. 144A 6.000%, 3/1/26(2) | 190 | 183 | |
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1)(2) | 265 | 232 | |
144A 8.750%, 5/15/30(2) | 320 | 327 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26(1) | 400 | 377 | |
Lumen Technologies, Inc. 144A 5.375%, 6/15/29(1)(2) | 315 | 231 | |
Sprint Corp. 7.625%, 3/1/26(1) | 465 | 486 | |
T-Mobile USA, Inc. 4.750%, 2/1/28 | 350 | 331 | |
2,167 | |||
Par Value | Value | ||
Transportation—0.2% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1)(2) | $ 350 | $ 356 | |
144A 5.500%, 5/1/28(1)(2) | 150 | 126 | |
482 | |||
Total Corporate Bonds and Notes (Identified Cost $47,091) | 42,639 |
Shares | ||
Convertible Preferred Stocks—11.2% | ||
Auto Components—0.5% | ||
Aptiv plc Series A, 5.500%(1) | 9,550 | 1,021 |
Banks—2.2% | ||
Wells Fargo & Co. Series L, 7.500% | 4,060 | 4,732 |
Capital Markets—0.4% | ||
KKR & Co., Inc. Series C, 6.000%(1) | 15,280 | 928 |
Commercial Services & Supplies—0.5% | ||
GFL Environmental, Inc., 6.000%(1) | 17,070 | 1,041 |
Diversified Financial Services—0.3% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(2) | 610 | 564 |
Electric Utilities—3.4% | ||
NextEra Energy, Inc. | ||
5.279%(1) | 86,830 | 4,293 |
6.926% | 29,515 | 1,372 |
PG&E Corp., 5.500% | 13,400 | 1,797 |
7,462 | ||
Healthcare Equipment & Supplies—1.2% | ||
Boston Scientific Corp. Series A, 5.500%(1) | 23,915 | 2,632 |
Life Sciences Tools & Services—1.2% | ||
Danaher Corp. Series B, 5.000% | 2,035 | 2,663 |
Telecommunications—1.5% | ||
T-Mobile U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1)(2) | 2,655 | 3,297 |
Total Convertible Preferred Stocks (Identified Cost $25,622) | 24,340 | |
Preferred Stock—0.1% | ||
Entertainment—0.1% | ||
LiveStyle, Inc. Series B (3)(4)(5)(6) | 3,783 | 298 |
Total Preferred Stock (Identified Cost $371) | 298 | |
Common Stocks—33.5% | ||
Air Freight & Logistics—0.2% | ||
United Parcel Service, Inc. Class B | 2,920 | 490 |
See Notes to Schedule of Investments
6
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Shares | Value | ||
Automobiles—1.3% | |||
Tesla, Inc.(5) | 11,988 | $ 2,728 | |
Banks—1.6% | |||
CCF Holdings LLC (4)(5) | 1,026,972 | 236 | |
CCF Holdings LLC Class M(4)(5) | 219,990 | 51 | |
JPMorgan Chase & Co. | 12,660 | 1,594 | |
Wells Fargo & Co. | 34,255 | 1,575 | |
3,456 | |||
Biotechnology—1.0% | |||
AbbVie, Inc.(7) | 10,545 | 1,544 | |
Vertex Pharmaceuticals, Inc.(5) | 1,955 | 610 | |
2,154 | |||
Capital Markets—1.0% | |||
Charles Schwab Corp. (The) | 12,675 | 1,010 | |
CME Group, Inc. Class A | 4,690 | 813 | |
S&P Global, Inc.(7) | 1,325 | 425 | |
2,248 | |||
Chemicals—0.6% | |||
DuPont de Nemours, Inc. | 13,615 | 779 | |
Sherwin-Williams Co. (The) | 2,665 | 599 | |
1,378 | |||
Commercial Services & Supplies—0.7% | |||
Waste Management, Inc. | 8,915 | 1,412 | |
Communications Equipment—0.3% | |||
Cisco Systems, Inc. | 16,520 | 750 | |
Electric Utilities—0.6% | |||
Exelon Corp. | 35,935 | 1,387 | |
Electrical Equipment—0.2% | |||
Generac Holdings, Inc.(5) | 2,070 | 240 | |
Plug Power, Inc.(5) | 18,725 | 299 | |
539 | |||
Energy Equipment & Services—0.5% | |||
Schlumberger N.V. | 22,065 | 1,148 | |
Entertainment—0.0% | |||
LiveStyle, Inc. (3)(4)(5)(6) | 13,574 | —(8) | |
Equity Real Estate Investment—0.5% | |||
American Tower Corp. | 4,875 | 1,010 | |
Food & Staples Retailing—0.8% | |||
Costco Wholesale Corp.(7) | 3,340 | 1,675 | |
Healthcare Equipment & Supplies—1.1% | |||
Abbott Laboratories | 7,550 | 747 | |
Dexcom, Inc.(5)(7) | 5,475 | 661 |
Shares | Value | ||
Healthcare Equipment & Supplies—continued | |||
Intuitive Surgical, Inc.(5)(7) | 3,675 | $ 906 | |
2,314 | |||
Healthcare Providers & Services—1.5% | |||
McKesson Corp.(5) | 1,885 | 734 | |
UnitedHealth Group, Inc. | 4,392 | 2,438 | |
3,172 | |||
Hotels, Restaurants & Leisure—1.4% | |||
Booking Holdings, Inc.(5) | 700 | 1,309 | |
Chipotle Mexican Grill, Inc. Class A(5)(7) | 605 | 906 | |
MGM Resorts International | 23,125 | 823 | |
3,038 | |||
Insurance—0.4% | |||
Aon plc Class A | 3,175 | 894 | |
Interactive Media & Services—1.9% | |||
Alphabet, Inc. Class A(5) | 37,300 | 3,525 | |
Meta Platforms, Inc. Class A(5) | 6,135 | 572 | |
4,097 | |||
Internet & Direct Marketing Retail—1.3% | |||
Amazon.com, Inc.(5) | 26,945 | 2,760 | |
IT Services—2.2% | |||
Accenture plc Class A(7) | 5,020 | 1,425 | |
EPAM Systems, Inc.(5) | 1,062 | 372 | |
Mastercard, Inc. Class A(7) | 4,380 | 1,437 | |
Visa, Inc. Class A(7) | 7,100 | 1,471 | |
4,705 | |||
Life Sciences Tools & Services—1.2% | |||
IQVIA Holdings, Inc.(5) | 4,935 | 1,035 | |
Thermo Fisher Scientific, Inc.(7) | 2,855 | 1,467 | |
2,502 | |||
Machinery—0.3% | |||
Deere & Co.(7) | 1,565 | 619 | |
Multiline Retail—0.2% | |||
Target Corp. | 2,770 | 455 | |
Oil, Gas & Consumable Fuels—1.3% | |||
ConocoPhillips(7) | 11,985 | 1,511 | |
Devon Energy Corp.(7) | 18,215 | 1,409 | |
2,920 | |||
Pharmaceuticals—1.1% | |||
Eli Lilly & Co. | 4,815 | 1,744 | |
Zoetis, Inc. Class A | 4,685 | 706 | |
2,450 | |||
Road & Rail—0.8% | |||
Union Pacific Corp. | 9,060 | 1,786 |
See Notes to Schedule of Investments
7
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Shares | Value | ||
Semiconductors & Semiconductor Equipment—1.7% | |||
Broadcom, Inc. | 1,595 | $ 750 | |
Lam Research Corp. | 2,035 | 824 | |
Marvell Technology, Inc.(7) | 10,735 | 426 | |
Micron Technology, Inc. | 16,235 | 878 | |
NVIDIA Corp. | 5,430 | 733 | |
3,611 | |||
Software—4.1% | |||
Adobe, Inc. (5) | 720 | 229 | |
Atlassian Corp. Class A(5)(7) | 2,720 | 552 | |
Crowdstrike Holdings, Inc. Class A(5) | 5,615 | 905 | |
Intuit, Inc.(7) | 2,970 | 1,270 | |
Microsoft Corp.(7) | 19,861 | 4,610 | |
Salesforce, Inc.(5) | 2,320 | 377 | |
ServiceNow, Inc.(5) | 2,290 | 964 | |
8,907 | |||
Specialty Retail—1.0% | |||
Home Depot, Inc. (The) | 5,100 | 1,510 | |
TJX Cos., Inc. (The)(7) | 9,270 | 669 | |
2,179 | |||
Technology Hardware, Storage & Peripherals—2.4% | |||
Apple, Inc. | 33,805 | 5,184 | |
Textiles, Apparel & Luxury Goods—0.3% | |||
NIKE, Inc. Class B | 7,310 | 677 | |
Total Common Stocks (Identified Cost $88,786) | 72,645 | ||
Warrant—0.0% | |||
Banks—0.0% | |||
CCF Holdings LLC(4)(5) | 363,920 | 26 | |
Total Warrant (Identified Cost $—) | 26 | ||
Total Long-Term Investments—139.7% (Identified Cost $337,104) | 303,450 | ||
Short-Term Investment—8.0% | |||
Money Market Mutual Fund—8.0% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 2.872%)(9) | 17,435,445 | 17,435 | |
Total Short-Term Investment (Identified Cost $17,435) | 17,435 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—147.7% (Identified Cost $354,539) | 320,885 |
Value | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $36) | $ (46) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—147.7% (Identified Cost $354,503) | $320,839 | |
Other assets and liabilities, net—(47.7)% | (103,591) | |
NET ASSETS—100.0% | $217,248 |
Abbreviations: | |
EV | Enterprise Value |
LLC | Limited Liability Company |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | All or a portion of the security is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $80,079. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2022, these securities amounted to a value of $83,875 or 38.6% of net assets. |
(3) | For the period of February 1, 2022 through March 1, 2022, a member of the Fund’s former portfolio management team was a member of the board of directors of LiveStyle, Inc. |
(4) | 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. |
(5) | Non-income producing. |
(6) | Security is restricted from resale. |
(7) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $8,605. |
(8) | Amount is less than $500. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Bermuda | 2 |
United Kingdom | 2 |
Canada | 1 |
Liberia | 1 |
Israel | 1 |
Total | 100% |
† % of total investments, net of written options, as of October 31, 2022. |
See Notes to Schedule of Investments
8
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
Open written options contracts as of October 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
AbbVie, Inc. | (50) | $(837) | $167.50 | 11/18/22 | $(—)(3) |
Accenture plc | (14) | (434) | 310.00 | 11/18/22 | (1) |
Atlassian Corp. | (6) | (159) | 265.00 | 11/18/22 | (1) |
Chipotle Mexican Grill, Inc. | (3) | (540) | 1,800.00 | 11/18/22 | (—)(3) |
ConocoPhillips | (70) | (1,015) | 145.00 | 11/18/22 | (3) |
Costco Wholesale Corp. | (9) | (491) | 545.00 | 11/18/22 | (1) |
Deere & Co. | (10) | (435) | 435.00 | 11/18/22 | (1) |
Devon Energy Corp. | (90) | (810) | 90.00 | 11/18/22 | (3) |
Dexcom, Inc. | (25) | (313) | 125.00 | 11/18/22 | (8) |
Intuit, Inc. | (8) | (396) | 495.00 | 11/18/22 | (1) |
Intuitive Surgical, Inc. | (8) | (224) | 280.00 | 11/18/22 | (—)(3) |
JPMorgan Chase & Co. | (33) | (479) | 145.00 | 12/16/22 | (1) |
Marvell Technology, Inc. | (65) | (390) | 60.00 | 11/18/22 | (—)(3) |
Mastercard, Inc. | (20) | (780) | 390.00 | 12/16/22 | (1) |
MGM Resorts International | (40) | (180) | 45.00 | 12/16/22 | (1) |
Microsoft Corp. | (40) | (1,220) | 305.00 | 11/18/22 | (—)(3) |
S&P Global, Inc. | (4) | (140) | 350.00 | 11/18/22 | (1) |
Schlumberger N.V. | (28) | (168) | 60.00 | 11/18/22 | (1) |
Thermo Fisher Scientific, Inc. | (12) | (720) | 600.00 | 11/18/22 | (—)(3) |
TJX Cos., Inc. (The) | (45) | (315) | 70.00 | 11/18/22 | (17) |
Visa, Inc. | (35) | (787) | 225.00 | 11/18/22 | (2) |
(43) | |||||
Put Option | |||||
Mastercard, Inc. | (10) | (305) | 305.00 | 11/18/22 | (3) |
Total Written Options | $(46) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500. |
See Notes to Schedule of Investments
9
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of October 31, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at October 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $42,639 | $— | $42,639 | $— | |||
Convertible Bonds and Notes | 163,502 | — | 163,502 | — | |||
Equity Securities: | |||||||
Common Stocks | 72,645 | 72,358 | — | 287 | |||
Convertible Preferred Stocks | 24,340 | 20,479 | 3,861 | — | |||
Preferred Stock | 298 | — | — | 298 | |||
Warrant | 26 | — | — | 26 | |||
Money Market Mutual Fund | 17,435 | 17,435 | — | — | |||
Total Investments, Before Written Options | 320,885 | 110,272 | 210,002 | 611 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (46) | (44) | (2) | — | |||
Total Investments, Net of Written Options | $320,839 | $110,228 | $210,000 | $611 |
There were no transfers into or out of Level 3 related to securities held at October 31, 2022.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Common Stocks | Preferred Stocks | Warrants | ||||
Investments in Securities | |||||||
Balance as of January 31, 2022: | $ 1,011 | $ 549 | $ 378(a) | $ 84 | |||
Net realized gain (loss) | (1,250) | — | (1,250) | — | |||
Sales | —(b) | — | —(b) | — | |||
Net change in unrealized appreciation (depreciation)(c) | 850 | (262) | 1,170 | (58) | |||
Balance as of October 31, 2022 | $ 611 | $ 287 | $ 298 | $ 26 |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) Amount is less than $500.
(c) The net change in unrealized appreciation (depreciation) on investments still held at October 31, 2022, was $(400).
See Notes to Schedule of Investments
10
VIRTUS Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2022
($ reported in thousands)
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at October 31, 2022:
Investments in Securities – Assets | Ending Balance at October 31, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $298 | Discounted cash flows liquidation approach | Discount rate | 27.12% (25.97% - 27.79%) | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $236 | Market and Company Comparables | EV Multiples | 1.02x (0.67x - 1.41x) | ||||
0.60x (0.43x - 0.78x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $51 | Market and Company Comparables | EV Multiples | 1.02x (0.67x - 1.41x) | ||||
0.60x (0.43x - 0.78x) | ||||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $—(1) | Discounted cash flows liquidation approach | Discount rate | 27.12% (25.97% - 27.79%) | ||||
Warrant: | ||||||||
CCF Holdings LLC | $26 | Market and Company Comparables | EV Multiples | 1.02x (0.67x - 1.41x) | ||||
0.60x (0.43x - 0.78x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 52.08% | ||||||
(1) Amount is less than $500. |
See Notes to Schedule of Investments
11
VIRTUS Diversified Income & Convertible Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2022
Note 1. Security Valuation
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities, and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
12