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 811-23241
Virtus AllianzGI Convertible & Income 2024 Target Term 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
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-254-5197
Date of fiscal year end: January 31
Date of reporting period: January 31, 2022
* | Chief Legal Officer changed on the Registrant effective April 1, 2022 |
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. |
Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund |
Virtus AllianzGI Convertible & Income 2024 Target Term Fund |
Virtus AllianzGI Convertible & Income Fund |
Virtus AllianzGI Convertible & Income Fund II |
Virtus AllianzGI Diversified Income & Convertible Fund |
Virtus AllianzGI Equity & Convertible Income Fund |
Virtus Dividend, Interest & Premium Strategy Fund |
https://www.virtus.com/ACV
https://www.virtus.com/NIE
https://www.virtus.com/NFJ
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Manager’s Discussion of Fund Performance: | |
2 | |
4 | |
6 | |
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10 | |
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14 | |
16 | |
18 | |
Schedules of Investments: | |
20 | |
24 | |
30 | |
40 | |
49 | |
60 | |
66 | |
74 | |
77 | |
80 | |
86 | |
87 | |
94 | |
110 | |
112 | |
114 | |
128 | |
131 |
President and Chief Executive Officer, Virtus Closed-End Funds
March 2022
Since Year-End 2/28/212 | 1 Year | Since Inception 10/31/19 | |
Net Asset Value1,3 | -1.85% | 2.60% | 23.33% |
Market Value1,3 | 2.75% | 5.54% | 22.61% |
MSCI AC World Index (net)1,4 | 10.67% | 13.23% | 15.71% 5 |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | The Fund had a fiscal year end change from February 28 to January 31. |
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 and ending values. |
4 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
5 | The since inception index return is from the Fund’s inception date. |
Since Year-End 2/28/212 | 1 Year | Since Inception 6/29/17 | |
Net Asset Value1,3 | -0.28% | 0.62% | 6.42% |
Market Value1,3 | 7.33% | 8.90% | 6.47% |
Composite: 40% ICE BofA U.S. Convertibles / 45% ICE BofA HY BB-B / 15% CS Leveraged Loan1,4 | -1.39% | -0.01% | 8.82% 5 |
ICE BofA U.S. Convertibles Index1,4 | -6.43% | -3.55% | 14.84% 5 |
ICE BofA U.S. High Yield BB-B Constrained Index1,4 | 1.36% | 1.52% | 4.91% 5 |
Credit Suisse Leveraged Loan Index1,4 | 3.76% | 4.45% | 4.35% 5 |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | The Fund had a fiscal year end change from February 28 to January 31. |
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 and ending values. |
4 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
5 | The since inception index return is from the Fund’s inception date. |
Since Year-End 2/28/212 | 1 Year | 5 Years | 10 Years | |
Net Asset Value1,3 | -7.41% | -5.95% | 6.91% | 7.86% |
Market Value1,3 | 1.14% | 1.34% | 6.70% | 6.37% |
Composite: 50% ICE BofA U.S. Convertibles / 50% ICE BofA U.S. High Yield1,4 | -2.36% | -0.69% | 9.97% | 9.34% |
ICE BofA U.S. Convertibles Index1,4 | -6.43% | -3.55% | 14.69% | 12.49% |
ICE BofA U.S. High Yield Index1,4 | 1.72% | 2.08% | 5.23% | 6.12% |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | The Fund had a fiscal year end change from February 28 to January 31. |
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 and ending values. |
4 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
Since Year-End 2/28/212 | 1 Year | 5 Years | 10 Years | |
Net Asset Value1,3 | -7.95% | -6.24% | 6.64% | 7.77% |
Market Value1,3 | -0.19% | 0.33% | 5.85% | 5.93% |
Composite: 50% ICE BofA U.S. Convertibles / 50% ICE BofA U.S. High Yield1,4 | -2.36% | -0.69% | 9.97% | 9.34% |
ICE BofA U.S. Convertibles Index1,4 | -6.43% | -3.55% | 14.69% | 12.49% |
ICE BofA U.S. High Yield Index1,4 | 1.72% | 2.08% | 5.23% | 6.12% |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | The Fund had a fiscal year end change from February 28 to January 31. |
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 and ending values. |
4 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
1 Year | 5 Years | Since Inception 5/26/15 | |
Net Asset Value1,2 | -2.32% | 17.65% | 13.80% |
Market Value1,2 | 7.46% | 20.55% | 13.68% |
Composite: 50% ICE BofA U.S. Convertibles / 25% ICE BofA U.S. High Yield / 25% Russell 1000® Growth1,3 | 2.99% | 14.23% | 11.49% 4 |
ICE BofA U.S. Convertibles Index1,3 | -3.55% | 14.69% | 11.35% 4 |
ICE BofA U.S. High Yield Index1,3 | 2.08% | 5.23% | 5.25% 4 |
Russell 1000® Growth Index1,3 | 17.52% | 22.28% | 17.80% 4 |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | 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 and ending values. |
3 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
4 | The since inception index return is from the Fund’s inception date. |
1 Year | 5 Years | 10 Years | |
Net Asset Value1,2 | 8.22% | 14.97% | 11.95% |
Market Value1,2 | 9.80% | 16.22% | 12.93% |
Composite: 60% Russell 1000® Growth / 40% ICE BofA U.S. Convertibles1,3 | 8.77% | 19.29% | 15.85% |
Russell 1000® Growth Index1,3 | 17.52% | 22.28% | 18.03% |
ICE BofA U.S. Convertibles Index1,3 | -3.55% | 14.69% | 12.49% |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | 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 and ending values. |
3 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
1 Year | 5 Years | 10 Years | |
Net Asset Value1,2 | 13.39% | 9.02% | 7.37% |
Market Value1,2 | 17.77% | 10.27% | 7.50% |
Composite: 75% Russell 1000® Value / 25% ICE BofA U.S. Convertibles1,3 | 16.21% | 11.63% | 12.41% |
Russell 1000® Value Index1,3 | 23.37% | 10.48% | 12.28% |
ICE BofA U.S. Convertibles Index1,3 | -3.55% | 14.69% | 12.49% |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | 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 and ending values. |
3 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
Common Stocks | 50% | |
Semiconductors & Semiconductor Equipment | 10% | |
Software | 7 | |
Healthcare Providers & Services | 4 | |
All other Common Stocks | 29 | |
Convertible Bonds and Notes | 35 | |
Software | 9 | |
Internet | 8 | |
Semiconductors | 4 | |
All other Convertible Bonds and Notes | 14 | |
Short-Term Investment | 6 | |
Convertible Preferred Stocks | 5 | |
Corporate Bonds and Notes | 3 | |
Internet | 1 | |
Telecommunications | 1 | |
Pharmaceuticals | 1 | |
Securities Lending Collateral | 1 | |
Total | 100% |
Convertible Bonds and Notes | 40% | |
Software | 13% | |
Biotechnology | 7 | |
Equity Real Estate Investment Trusts (REITs) | 5 | |
All other Convertible Bonds and Notes | 15 | |
Corporate Bonds and Notes | 32 | |
Media | 5 | |
Oil, Gas & Consumable Fuels | 3 | |
Healthcare-Services | 3 | |
All other Corporate Bonds and Notes | 21 | |
Leveraged Loans | 23 | |
Short-Term Investment | 4 | |
Securities Lending Collateral | 1 | |
Total | 100% |
Convertible Bonds and Notes | 48% | |
Internet | 11% | |
Software | 10 | |
Commercial Services | 3 | |
All other Convertible Bonds and Notes | 24 | |
Corporate Bonds and Notes | 30 | |
Oil, Gas & Consumable Fuels | 3 | |
Media | 3 | |
Entertainment | 2 | |
All other Corporate Bonds and Notes | 22 | |
Convertible Preferred Stocks | 16 | |
Short-Term Investment | 4 | |
Securities Lending Collateral | 1 | |
Common Stocks | 1 | |
Total | 100% |
Convertible Bonds and Notes | 48% | |
Internet | 11% | |
Software | 10 | |
Commercial Services | 3 | |
All other Convertible Bonds and Notes | 24 | |
Corporate Bonds and Notes | 31 | |
Oil, Gas & Consumable Fuels | 3 | |
Media | 3 | |
Entertainment | 2 | |
All other Corporate Bonds and Notes | 23 | |
Convertible Preferred Stocks | 16 | |
Short-Term Investment | 4 | |
Common Stocks | 1 | |
Total | 100% |
Convertible Bonds and Notes | 48% | |
Internet | 10% | |
Software | 9 | |
Pharmaceuticals | 3 | |
All other Convertible Bonds and Notes | 26 | |
Common Stocks | 25 | |
Software | 4 | |
Interactive Media & Services | 2 | |
Semiconductors & Semiconductor Equipment | 2 | |
All other Common Stocks | 17 | |
Corporate Bonds and Notes | 13 | |
Oil, Gas & Consumable Fuels | 1 | |
Media | 1 | |
Telecommunications | 1 | |
All other Corporate Bonds and Notes | 10 | |
Convertible Preferred Stocks | 10 | |
Short-Term Investment | 4 | |
Total | 100% |
Common Stocks | 63% | |
Software | 9% | |
Interactive Media & Services | 6 | |
Semiconductors & Semiconductor Equipment | 6 | |
All other Common Stocks | 42 | |
Convertible Bonds and Notes | 27 | |
Internet | 7 | |
Software | 5 | |
Media | 1 | |
All other Convertible Bonds and Notes | 14 | |
Convertible Preferred Stocks | 7 | |
Short-Term Investment | 3 | |
Total | 100% |
Common Stocks | 76% | |
Software | 8% | |
Semiconductors & Semiconductor Equipment | 7 | |
Equity Real Estate Investment | 6 | |
All other Common Stocks | 55 | |
Convertible Bonds and Notes | 18 | |
Internet | 4 | |
Software | 3 | |
Healthcare-Products | 1 | |
All other Convertible Bonds and Notes | 10 | |
Convertible Preferred Stocks | 5 | |
Short-Term Investment | 1 | |
Total | 100% |
January 31, 2022
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—3.5% | |||
Computers—0.4% | |||
NCR Corp. 144A 5.125%, 4/15/29(1) | $ 3,500 | $ 3,492 | |
Internet—1.2% | |||
Go Daddy Operating Co., LLC 144A 5.250%, 12/1/27(1) | 3,500 | 3,588 | |
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1) | 3,000 | 3,086 | |
Netflix, Inc. 144A 5.375%, 11/15/29(1)(2) | 3,000 | 3,430 | |
10,104 | |||
Pharmaceuticals—0.5% | |||
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 4,000 | 4,145 | |
Software—0.5% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 4,000 | 3,810 | |
Telecommunications—0.9% | |||
CommScope, Inc. 144A 8.250%, 3/1/27(1) | 4,000 | 3,914 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 4,000 | 3,890 | |
7,804 | |||
Total Corporate Bonds and Notes (Identified Cost $30,967) | 29,355 | ||
Shares | ||
Convertible Preferred Stocks—5.1% | ||
Life Sciences Tools & Services—2.4% | ||
Avantor, Inc. Series A, 6.250% | 67,500 | 7,708 |
Danaher Corp. Series A, 4.750% | 6,200 | 11,819 |
19,527 | ||
Semiconductors & Semiconductor Equipment—1.6% | ||
Broadcom, Inc. Series A, 8.000% | 7,385 | 13,527 |
Telecommunications—1.1% | ||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 9,220 | 9,170 |
Total Convertible Preferred Stocks (Identified Cost $30,657) | 42,224 | |
Common Stocks—53.4% | ||
Air Freight & Logistics—1.7% | ||
GXO Logistics, Inc.(3) | 78,610 | 6,384 |
United Parcel Service, Inc. Class B | 37,490 | 7,581 |
13,965 | ||
Shares | Value | ||
Auto Components—0.7% | |||
Aptiv plc(3) | 42,035 | $ 5,741 | |
Banks—3.6% | |||
Bank of America Corp. | 232,505 | 10,728 | |
JPMorgan Chase & Co. | 79,295 | 11,783 | |
SVB Financial Group(3) | 13,415 | 7,833 | |
30,344 | |||
Biotechnology—0.3% | |||
Horizon Therapeutics plc(3) | 28,963 | 2,703 | |
Capital Markets—3.4% | |||
Charles Schwab Corp. (The) | 128,990 | 11,313 | |
Morgan Stanley | 162,505 | 16,663 | |
27,976 | |||
Communications Equipment—1.5% | |||
Cisco Systems, Inc. | 50,260 | 2,798 | |
Motorola Solutions, Inc. | 40,250 | 9,336 | |
12,134 | |||
Consumer Finance—0.2% | |||
American Express Co. | 8,890 | 1,599 | |
Electrical Equipment—0.8% | |||
Plug Power, Inc.(2)(3) | 71,105 | 1,555 | |
Rockwell Automation, Inc. | 18,085 | 5,231 | |
6,786 | |||
Electronic Equipment, Instruments & Components—1.1% | |||
Flex Ltd.(3) | 569,045 | 9,207 | |
Energy Equipment & Services—1.6% | |||
Schlumberger N.V. | 346,750 | 13,547 | |
Equity Real Estate Investment—0.2% | |||
Equinix, Inc. | 2,270 | 1,645 | |
Healthcare Equipment & Supplies—0.6% | |||
Hologic, Inc.(3) | 76,955 | 5,405 | |
Healthcare Providers & Services—4.1% | |||
Anthem, Inc. | 26,225 | 11,565 | |
Laboratory Corp. of America Holdings(3) | 9,335 | 2,533 | |
UnitedHealth Group, Inc. | 42,465 | 20,068 | |
34,166 | |||
Hotels, Restaurants & Leisure—3.8% | |||
Caesars Entertainment, Inc.(3) | 53,205 | 4,051 | |
Hilton Worldwide Holdings, Inc.(3) | 84,400 | 12,248 | |
McDonald’s Corp. | 39,365 | 10,213 | |
Starbucks Corp. | 50,775 | 4,992 | |
31,504 | |||
Industrial Conglomerates—0.6% | |||
Honeywell International, Inc. | 26,480 | 5,415 |
Shares | Value | ||
Insurance—0.8% | |||
Progressive Corp. (The) | 59,075 | $ 6,419 | |
Interactive Media & Services—2.4% | |||
Alphabet, Inc. Class A(3) | 5,080 | 13,747 | |
Meta Platforms, Inc. Class A(3) | 10,370 | 3,248 | |
ZoomInfo Technologies, Inc. Class A(3) | 56,208 | 2,971 | |
19,966 | |||
Internet & Direct Marketing Retail—1.0% | |||
Amazon.com, Inc.(3) | 2,730 | 8,167 | |
IT Services—1.2% | |||
Mastercard, Inc. Class A | 25,305 | 9,777 | |
Life Sciences Tools & Services—2.9% | |||
Charles River Laboratories International, Inc.(3) | 16,180 | 5,336 | |
IQVIA Holdings, Inc.(3) | 78,102 | 19,127 | |
24,463 | |||
Machinery—2.4% | |||
Deere & Co. | 52,076 | 19,601 | |
Metals & Mining—1.1% | |||
Freeport-McMoRan, Inc. | 249,117 | 9,272 | |
Semiconductors & Semiconductor Equipment—10.3% | |||
Analog Devices, Inc. | 42,805 | 7,019 | |
Applied Materials, Inc. | 70,380 | 9,725 | |
GlobalFoundries, Inc.(2)(3) | 105,493 | 5,205 | |
Lam Research Corp. | 15,150 | 8,937 | |
Marvell Technology, Inc. | 229,735 | 16,403 | |
Micron Technology, Inc. | 96,805 | 7,964 | |
NXP Semiconductors N.V. | 91,365 | 18,770 | |
Synaptics, Inc.(3) | 19,440 | 4,089 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR | 52,780 | 6,473 | |
Teradyne, Inc.(2) | 8,010 | 941 | |
85,526 | |||
Software—7.1% | |||
Cadence Design Systems, Inc.(3) | 37,140 | 5,650 | |
Crowdstrike Holdings, Inc. Class A(3) | 26,700 | 4,823 | |
Intuit, Inc. | 19,160 | 10,638 | |
Microsoft Corp. | 67,505 | 20,993 | |
Oracle Corp. | 88,695 | 7,199 | |
salesforce.com, Inc.(3) | 24,015 | 5,587 | |
ServiceNow, Inc.(3) | 6,370 | 3,731 | |
58,621 | |||
Total Common Stocks (Identified Cost $351,715) | 443,949 | ||
Par Value | Value | ||
Convertible Bonds and Notes—36.6% | |||
Auto Manufacturers—1.5% | |||
Ford Motor Co. 144A 0.000%, 3/15/26(1) | $ 7,500 | $ 10,174 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 2,730 | 2,255 | |
12,429 | |||
Biotechnology—1.1% | |||
Guardant Health, Inc. 0.000%, 11/15/27 | 7,000 | 5,949 | |
Illumina, Inc. 0.000%, 8/15/23(2) | 2,715 | 3,005 | |
8,954 | |||
Commercial Services—2.3% | |||
Affirm Holdings, Inc. 144A 0.000%, 11/15/26(1) | 6,365 | 4,981 | |
Block, Inc. 0.250%, 11/1/27(2) | 7,710 | 7,180 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 4,090 | 4,106 | |
144A 0.500%, 8/1/27(1)(2) | 3,075 | 2,590 | |
18,857 | |||
Computers—3.2% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 9,000 | 10,802 | |
Pure Storage, Inc. 0.125%, 4/15/23(2) | 8,500 | 9,992 | |
Zscaler, Inc. 0.125%, 7/1/25 | 2,995 | 5,410 | |
26,204 | |||
Diversified Financial Services—0.4% | |||
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(1) | 3,925 | 3,642 | |
Electronics—0.7% | |||
II-VI, Inc. 0.250%, 9/1/22 | 4,500 | 6,225 | |
Energy-Alternate Sources—0.9% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | 3,500 | 3,227 | |
144A 0.000%, 3/1/28(1) | 4,500 | 4,107 | |
7,334 | |||
Healthcare-Products—0.9% | |||
Insulet Corp. 0.375%, 9/1/26 | 5,850 | 7,432 | |
Internet—8.9% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 6,500 | 6,175 | |
Etsy, Inc. 0.125%, 9/1/27(2) | 5,725 | 6,380 | |
Lyft, Inc. 1.500%, 5/15/25 | 1,500 | 1,882 |
Par Value | Value | ||
Internet—continued | |||
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) | $ 4,220 | $ 6,589 | |
Okta, Inc. 0.375%, 6/15/26 | 9,250 | 10,298 | |
Palo Alto Networks, Inc. 0.750%, 7/1/23(2) | 5,600 | 10,958 | |
Sea Ltd. 0.250%, 9/15/26 | 8,330 | 6,970 | |
Shopify, Inc. 0.125%, 11/1/25(2) | 6,000 | 6,387 | |
Snap, Inc. 144A 0.000%, 5/1/27(1) | 10,130 | 8,692 | |
Uber Technologies, Inc. 0.000%, 12/15/25(2) | 5,400 | 5,057 | |
Wayfair, Inc. 0.625%, 10/1/25(2) | 4,925 | 4,316 | |
73,704 | |||
Leisure Time—1.3% | |||
Royal Caribbean Cruises Ltd. 2.875%, 11/15/23 | 9,000 | 10,674 | |
Pharmaceuticals—1.2% | |||
Dexcom, Inc. 0.250%, 11/15/25(2) | 9,740 | 10,357 | |
Semiconductors—4.3% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 9,385 | 9,693 | |
Microchip Technology, Inc. 0.125%, 11/15/24(2) | 10,457 | 12,405 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1)(2) | 10,450 | 13,952 | |
36,050 | |||
Software—9.9% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 6,000 | 7,698 | |
Bentley Systems, Inc. 144A 0.125%, 1/15/26(1) | 7,500 | 7,080 | |
Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(1) | 10,000 | 9,008 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 8,000 | 7,427 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 5,300 | 4,723 | |
Datadog, Inc. 0.125%, 6/15/25 | 915 | 1,567 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(1) | 8,670 | 7,011 | |
Five9, Inc. 0.500%, 6/1/25 | 3,335 | 3,898 | |
MongoDB, Inc. 0.250%, 1/15/26 | 3,020 | 6,043 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(1) | 10,372 | 8,786 | |
Porch Group, Inc. 144A 0.750%, 9/15/26(1) | 6,265 | 4,882 | |
Splunk, Inc. 1.125%, 6/15/27 | 7,480 | 6,792 |
Par Value | Value | ||
Software—continued | |||
Unity Software, Inc. 144A 0.000%, 11/15/26(1) | $ 8,350 | $ 6,985 | |
81,900 | |||
Total Convertible Bonds and Notes (Identified Cost $302,417) | 303,762 | ||
Total Long-Term Investments—98.6% (Identified Cost $715,756) | 819,290 | ||
Shares | ||
Short-Term Investment—5.9% | ||
Money Market Mutual Fund—5.9% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(4) | 48,672,310 | 48,672 |
Total Short-Term Investment (Identified Cost $48,672) | 48,672 | |
Securities Lending Collateral—1.6% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(4)(5) | 12,999,999 | 13,000 |
Total Securities Lending Collateral (Identified Cost $13,000) | 13,000 | |
TOTAL INVESTMENTS—106.1% (Identified Cost $777,428) | $880,962 | |
Other assets and liabilities, net—(6.1)% | (50,483) | |
NET ASSETS—100.0% | $830,479 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2022, these securities amounted to a value of $169,887 or 20.5% of net assets. |
(2) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
(3) | Non-income producing. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(5) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 90% |
Netherlands | 2 |
Curaçao | 2 |
Cayman Islands | 1 |
Liberia | 1 |
Singapore | 1 |
Taiwan | 1 |
Other | 2 |
Total | 100% |
† % of total investments as of January 31, 2022. |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Corporate Bonds and Notes | $ 29,355 | $ — | $ 29,355 | ||
Convertible Bonds and Notes | 303,762 | — | 303,762 | ||
Equity Securities: | |||||
Common Stocks | 443,949 | 443,949 | — | ||
Convertible Preferred Stocks | 42,224 | 33,054 | 9,170 | ||
Securities Lending Collateral | 13,000 | 13,000 | — | ||
Money Market Mutual Fund | 48,672 | 48,672 | — | ||
Total Investments | $880,962 | $538,675 | $342,287 |
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—45.3% | |||
Aerospace & Defense—1.2% | |||
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1)(2) | $ 1,722 | $ 1,838 | |
144A 6.250%, 9/15/24(1)(2) | 350 | 349 | |
2,187 | |||
Airlines—2.2% | |||
Delta Air Lines, Inc. 2.900%, 10/28/24(2)(3) | 4,000 | 3,949 | |
Auto Manufacturers—2.4% | |||
Ford Motor Credit Co. LLC 3.087%, 1/9/23(2) | 4,250 | 4,261 | |
Building Materials—2.0% | |||
Koppers, Inc. 144A 6.000%, 2/15/25(1)(2) | 3,500 | 3,509 | |
Commercial Services—1.7% | |||
ADT Security Corp. (The) 4.125%, 6/15/23(2) | 3,000 | 3,041 | |
Containers & Packaging—1.7% | |||
Owens-Brockway Glass Container, Inc. 144A 5.875%, 8/15/23(1)(2)(3) | 3,000 | 3,094 | |
Diversified Financial Services—2.9% | |||
Navient Corp. 7.250%, 9/25/23(2) | 1,800 | 1,894 | |
OneMain Finance Corp. 8.250%, 10/1/23(2) | 3,000 | 3,240 | |
5,134 | |||
Entertainment—2.2% | |||
Six Flags Entertainment Corp. 144A 4.875%, 7/31/24(1)(3) | 4,000 | 4,007 | |
Equity Real Estate Investment Trusts (REITs)—2.2% | |||
Service Properties Trust 4.350%, 10/1/24(2) | 4,170 | 3,983 | |
Food & Beverage—2.2% | |||
Albertsons Cos., Inc. 144A 3.500%, 2/15/23(1)(2)(3) | 4,000 | 4,032 | |
Healthcare-Services—3.9% | |||
HCA, Inc. 5.375%, 2/1/25(2) | 3,000 | 3,193 | |
Tenet Healthcare Corp. 4.625%, 7/15/24(2) | 3,716 | 3,731 | |
6,924 | |||
Internet—2.5% | |||
Netflix, Inc. 5.875%, 2/15/25(2) | 4,000 | 4,400 |
Par Value | Value | ||
Leisure Time—1.8% | |||
Royal Caribbean Cruises Ltd. 144A 10.875%, 6/1/23(1)(2) | $ 3,000 | $ 3,212 | |
Lodging—2.0% | |||
Wynn Las Vegas LLC 144A 5.500%, 3/1/25(1)(2)(3) | 3,500 | 3,519 | |
Media—6.7% | |||
CCO Holdings LLC 144A 4.000%, 3/1/23(1)(2)(3) | 4,000 | 3,980 | |
CSC Holdings LLC 5.250%, 6/1/24(2)(3) | 4,000 | 4,120 | |
DISH DBS Corp. 5.875%, 11/15/24(2) | 3,785 | 3,812 | |
11,912 | |||
Oil, Gas & Consumable Fuels—4.1% | |||
Antero Resources Corp. 5.000%, 3/1/25(2)(3) | 3,000 | 3,037 | |
Occidental Petroleum Corp. 6.950%, 7/1/24(2) | 4,000 | 4,360 | |
7,397 | |||
Telecommunications—3.6% | |||
Lumen Technologies, Inc. 7.500%, 4/1/24(2)(3) | 3,000 | 3,205 | |
Sprint Corp. 7.125%, 6/15/24(2) | 3,000 | 3,270 | |
6,475 | |||
Total Corporate Bonds and Notes (Identified Cost $81,329) | 81,036 | ||
Leveraged Loans—31.9% | |||
Advertising—0.6% | |||
Advantage Sales & Marketing, Inc. Tranche B-1 (3 month LIBOR + 4.500%) 5.250%, 10/28/27 (4) | 990 | 996 | |
Aerospace & Defense—0.8% | |||
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 2.355%, 12/9/25 (4) | 1,452 | 1,435 | |
Airlines—0.3% | |||
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/20/27 (4) | 500 | 528 | |
Auto Components—1.1% | |||
Adient U.S. LLC Tranche B-1 (1 month LIBOR + 3.500%) 3.605%, 4/10/28 (4) | 995 | 994 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.105%, 10/1/25 (4) | 990 | 978 | |
1,972 | |||
Par Value | Value | ||
Chemicals—0.6% | |||
Ecovyst Catalyst Technologies LLC (3 month LIBOR + 2.750%) 3.250%, 6/9/28 (4) | $ 995 | $ 994 | |
Commercial Services—1.8% | |||
Allied Universal Holdco LLC (3 month LIBOR + 3.750%) 4.250%, 5/12/28 (4) | 997 | 994 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 3.750%, 6/30/28 (4) | 419 | 418 | |
Tranche C (1 month LIBOR + 3.250%) 3.750%, 6/30/28 (4) | 79 | 79 | |
Travelport Finance (Luxembourg) S.a.r.l. First Lien (1 month LIBOR + 5.000%) 5.130%, 5/29/26 (4) | 977 | 809 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.355%, 3/31/28 (4) | 993 | 986 | |
3,286 | |||
Computers—1.9% | |||
Conduent Business Services LLC Tranche B (1 month LIBOR + 4.250%) 4.750%, 10/16/28 (4) | 1,000 | 1,002 | |
KBR, Inc. Tranche B (1 month LIBOR + 2.750%) 2.855%, 2/5/27 (4) | 1,008 | 1,008 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.800%, 8/28/26 (4) | 1,470 | 1,454 | |
3,464 | |||
Containers & Packaging—0.8% | |||
Pactiv Evergreen Group Holdings, Inc. Tranche B-3 (1 month LIBOR + 3.500%) 4.000%, 9/25/28 (4) | 1,499 | 1,495 | |
Diversified Financial Services—0.4% | |||
Blucora, Inc. (3 month LIBOR + 4.000%) 5.000%, 5/22/24 (4) | 741 | 739 | |
Entertainment—3.4% | |||
AMC Entertainment Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 3.104%, 4/22/26 (4) | 973 | 864 | |
Lions Gate Capital Holdings LLC Tranche B (1 month LIBOR + 2.250%) 2.355%, 3/24/25 (4) | 1,215 | 1,207 | |
Penn National Gaming, Inc . Tranche B-1 (1 month LIBOR + 2.250%) 3.000%, 10/15/25 (4) | 1,491 | 1,489 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.855%, 8/14/24 (4) | 960 | 957 | |
Stars Group Holdings B.V. 2021 (3 month LIBOR + 2.250%) 2.473%, 7/21/26 (4) | 1,626 | 1,621 | |
6,138 | |||
Par Value | Value | ||
Environmental Services—0.6% | |||
GFL Environmental, Inc. 2020 (3 month LIBOR + 3.000%) 0.000%, 5/30/25 (4)(5) | $ 1,000 | $ 1,000 | |
Food Service—0.6% | |||
Aramark Services, Inc. Tranche B-5 (1 month LIBOR + 2.500%) 0.000%, 4/6/28 (4)(5) | 1,000 | 995 | |
Healthcare-Products—0.9% | |||
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.000%) 3.102%, 6/30/25 (4) | 1,556 | 1,555 | |
Internet—1.2% | |||
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.863%, 2/15/24 (4) | 1,205 | 1,196 | |
Match Group, Inc. Tranche B-1 (3 month LIBOR + 1.750%) 1.908%, 2/13/27 (4) | 1,000 | 981 | |
2,177 | |||
Leisure Time—0.5% | |||
Callaway Golf Co. (1 month LIBOR + 4.500%) 4.605%, 1/2/26 (4) | 912 | 914 | |
Lodging—2.0% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 2.855%, 12/23/24 (4) | 1,455 | 1,446 | |
Hilton Grand Vacations Borrower LLC (1 month LIBOR + 3.000%) 3.500%, 8/2/28 (4) | 1,247 | 1,244 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 (4) | 931 | 914 | |
3,604 | |||
Machinery-Diversified—0.9% | |||
Gardner Denver, Inc. Tranche B-1 (1 month LIBOR + 1.750%) 1.855%, 3/1/27 (4) | 1,597 | 1,581 | |
Media—4.8% | |||
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.860%, 2/1/27 (4) | 995 | 984 | |
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.356%, 1/15/26 (4) | 1,225 | 1,205 | |
DirectV Financing LLC (3 month LIBOR + 5.000%) 5.750%, 8/2/27 (4) | 977 | 978 | |
Gray Television, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.602%, 2/7/24 (4) | 1,432 | 1,427 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.602%, 9/18/26 (4) | 1,312 | 1,307 |
Par Value | Value | ||
Media—continued | |||
Sinclair Television Group, Inc. Tranche B-3 (1 month LIBOR + 3.000%) 3.110%, 4/1/28 (4) | $ 1,244 | $ 1,225 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 2.610%, 1/31/28 (4) | 1,500 | 1,486 | |
8,612 | |||
Metal Fabricate/Hardware—0.3% | |||
Advanced Drainage Systems, Inc. (1 month LIBOR + 2.250%) 2.375%, 7/31/26 (4) | 620 | 623 | |
Oil, Gas & Consumable Fuels—0.0% | |||
Lealand Finance Co. B.V. (1 month LIBOR + 4.000%) 4.104%, 6/30/25 (4) | 169 | 79 | |
Pharmaceuticals—1.4% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.105%, 6/2/25 (4) | 729 | 723 | |
HLF Financing S.a.r.l. LLC Tranche B (1 month LIBOR + 2.500%) 2.605%, 8/18/25 (4) | 888 | 884 | |
Horizon Therapeutics USA, Inc. Tranche B-2 (1 month LIBOR + 1.750%) 2.250%, 3/15/28 (4) | 992 | 985 | |
2,592 | |||
Retail—3.1% | |||
Academy Ltd. (1 month LIBOR + 3.750%) 0.000%, 11/5/27 (4)(5) | 1,000 | 1,000 | |
Burlington Coat Factory Warehouse Corp. Tranche B-6 (1 month LIBOR + 2.000%) 2.110%, 6/24/28 (4) | 857 | 854 | |
CWGS Group LLC Tranche B (1 month LIBOR + 2.500%) 3.250%, 6/3/28 (4) | 990 | 982 | |
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (4) | 1,171 | 1,169 | |
Restoration Hardware, Inc. (3 month LIBOR + 2.500%) 3.000%, 10/20/28 (4) | 1,496 | 1,491 | |
5,496 | |||
Semiconductors—0.3% | |||
Cohu, Inc. Tranche B (3 month LIBOR + 3.000%) 3.518%, 10/1/25 (4) | 460 | 457 | |
Software—1.1% | |||
Boxer Parent Co., Inc. 2021 (3 month LIBOR + 3.750%) 3.974%, 10/2/25 (4) | 875 | 871 | |
Camelot US Acquisition I Co. (1 month LIBOR + 3.000%) 3.105%, 10/30/26 (4) | 1,197 | 1,193 | |
2,064 | |||
Par Value | Value | ||
Telecommunications—2.5% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.355%, 3/15/27 (4) | $ 980 | $ 963 | |
Ciena Corp. 2020 (1 month LIBOR + 1.750%) 1.859%, 9/26/25 (4) | 992 | 993 | |
Commscope, Inc. (1 month LIBOR + 3.250%) 3.355%, 4/6/26 (4) | 1,470 | 1,443 | |
Frontier Communications Co. Tranche B (3 month LIBOR + 3.750%) 4.500%, 5/1/28 (4) | 995 | 992 | |
4,391 | |||
Total Leveraged Loans (Identified Cost $57,642) | 57,187 | ||
Shares | ||
Common Stocks—0.4% | ||
Banks—0.4% | ||
CCF Holdings LLC(6)(7) | 1,369,231 | 602 |
CCF Holdings LLC Class M(6)(7) | 293,320 | 129 |
731 | ||
Construction & Engineering—0.0% | ||
McDermott International Ltd.(7) | 71,796 | 46 |
Total Common Stocks (Identified Cost $3,272) | 777 | |
Warrant—0.1% | ||
Banks—0.1% | ||
CCF Holdings LLC(6)(7) | 485,227 | 111 |
Total Warrant (Identified Cost $—) | 111 | |
Par Value | ||
Convertible Bonds and Notes—57.4% | ||
Auto Manufacturers—5.6% | ||
NIO, Inc. 144A 0.000%, 2/1/26(1)(3) | $ 11,800 | 10,089 |
Biotechnology—9.7% | ||
Insmed, Inc. 1.750%, 1/15/25(2) | 5,500 | 5,335 |
Ionis Pharmaceuticals, Inc. 0.125%, 12/15/24(2) | 8,000 | 7,175 |
Ligand Pharmaceuticals, Inc. 0.750%, 5/15/23(2) | 5,000 | 4,916 |
17,426 | ||
Entertainment—0.7% | ||
Live Nation Entertainment, Inc. 2.000%, 2/15/25(2) | 1,010 | 1,258 |
Par Value | Value | ||
Equity Real Estate Investment Trusts (REITs)—6.8% | |||
Blackstone Mortgage Trust, Inc. | |||
4.375%, 5/5/22(2)(3) | $ 2,000 | $ 2,011 | |
4.750%, 3/15/23(2) | 5,000 | 5,120 | |
Redwood Trust, Inc. 5.625%, 7/15/24 | 5,000 | 5,044 | |
12,175 | |||
Healthcare-Products—2.3% | |||
NuVasive, Inc. 1.000%, 6/1/23 | 4,000 | 4,021 | |
Internet—3.6% | |||
Pinduoduo, Inc. 0.000%, 12/1/25 | 7,000 | 6,433 | |
Media—5.4% | |||
DISH Network Corp. 2.375%, 3/15/24(2) | 7,500 | 7,183 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(1)(2) | 2,500 | 2,514 | |
9,697 | |||
Oil, Gas & Consumable Fuels—2.7% | |||
Helix Energy Solutions Group, Inc. 4.250%, 5/1/22 | 3,500 | 3,506 | |
Oil States International, Inc. 1.500%, 2/15/23 | 1,500 | 1,390 | |
4,896 | |||
Pharmaceuticals—2.2% | |||
Jazz Investments I Ltd. 1.500%, 8/15/24(2) | 3,855 | 3,920 | |
Software—18.4% | |||
Alteryx, Inc. 0.500%, 8/1/24(2) | 7,000 | 6,449 | |
Benefitfocus, Inc. 1.250%, 12/15/23 | 3,000 | 2,870 | |
DocuSign, Inc. 0.000%, 1/15/24(3) | 4,000 | 3,785 | |
Everbridge, Inc. 0.125%, 12/15/24(2) | 4,000 | 3,696 | |
i3 Verticals LLC 1.000%, 2/15/25 | 9,000 | 8,372 | |
New Relic, Inc. 0.500%, 5/1/23(2) | 2,500 | 2,938 | |
PROS Holdings, Inc. 1.000%, 5/15/24(3) | 4,000 | 3,721 | |
RingCentral, Inc. 0.000%, 3/1/25(2) | 1,160 | 1,061 | |
32,892 | |||
Total Convertible Bonds and Notes (Identified Cost $105,312) | 102,807 | ||
Total Long-Term Investments—135.1% (Identified Cost $247,555) | 241,918 | ||
Shares | Value | ||
Short-Term Investment—5.8% | |||
Money Market Mutual Fund—5.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(8) | 10,413,049 | $ 10,413 | |
Total Short-Term Investment (Identified Cost $10,413) | 10,413 | ||
Securities Lending Collateral—1.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(8)(9) | 1,921,989 | 1,922 | |
Total Securities Lending Collateral (Identified Cost $1,922) | 1,922 | ||
TOTAL INVESTMENTS—142.0% (Identified Cost $259,890) | $254,253 | ||
Other assets and liabilities, net—(42.0)% | (75,255) | ||
NET ASSETS—100.0% | $178,998 |
Abbreviations: | |
EV | Enterprise Value |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2022, these securities amounted to a value of $40,143 or 22.4% of net assets. |
(2) | All or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $82,000. |
(3) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
(4) | Variable rate security. Rate disclosed is as of January 31, 2022. 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) | This loan will settle after January 31, 2022, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(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) | Non-income producing. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(9) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 88% |
Cayman Islands | 7 |
Bermuda | 2 |
Luxembourg | 1 |
Liberia | 1 |
Netherlands | 1 |
Total | 100% |
† % of total investments as of January 31, 2022. |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 81,036 | $ — | $ 81,036 | $ — | |||
Leveraged Loans | 57,187 | — | 57,187 | — | |||
Convertible Bonds and Notes | 102,807 | — | 102,807 | — | |||
Equity Securities: | |||||||
Common Stocks | 777 | 46 | — | 731 | |||
Warrant | 111 | — | — | 111 | |||
Securities Lending Collateral | 1,922 | 1,922 | — | — | |||
Money Market Mutual Fund | 10,413 | 10,413 | — | — | |||
Total Investments | $254,253 | $12,381 | $241,030 | $842 |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Warrants | |||||
Investments in Securities | |||||||||
Balance as of February 28, 2021: | $ 2,880 | $ 2,554 | $ 326 | $ —{a} | $ — | ||||
Accrued discount/(premium) | 3 | 3 | — | — | — | ||||
Change in unrealized appreciation (depreciation)(b) | 203 | 1,974 | — | (1,882) | 111 | ||||
Purchases | 2,626 | — | 13 | 2,613 (c) | — | ||||
Sales (d) | (4,870) | (4,531) (c) | (339) | — | — | ||||
Balance as of January 31, 2022 | $ 842 | $ — | $ — | $ 731 | $ 111 |
Investments in Securities – Assets | Ending Balance at January 31, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $602 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $129 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Warrant: | ||||||||
CCF Holdings | $111 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 55.24% | ||||||
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—51.8% | |||
Advertising—0.5% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1) | $ 760 | $ 789 | |
144A 7.500%, 6/1/29(1) | 1,445 | 1,497 | |
2,286 | |||
Aerospace & Defense—1.2% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26 | 2,400 | 2,442 | |
5.500%, 11/15/27 | 2,240 | 2,251 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1) | 671 | 717 | |
144A 6.250%, 9/15/24(1) | 825 | 822 | |
6,232 | |||
Airlines—1.6% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 1,955 | 2,366 | |
144A 5.750%, 4/20/29(1) | 1,515 | 1,551 | |
Delta Air Lines, Inc. 7.375%, 1/15/26(2) | 3,595 | 4,094 | |
8,011 | |||
Auto Components—2.0% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 2,010 | 2,070 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 3,010 | 3,147 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31(2) | 1,465 | 1,478 | |
144A 5.250%, 7/15/31(1) | 1,495 | 1,505 | |
Tenneco, Inc. | |||
5.000%, 7/15/26(2) | 1,455 | 1,350 | |
144A 7.875%, 1/15/29(1) | 655 | 696 | |
10,246 | |||
Auto Manufacturers—1.5% | |||
Ford Motor Co. | |||
9.000%, 4/22/25 | 2,545 | 3,007 | |
9.625%, 4/22/30 | 2,205 | 3,098 | |
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | 735 | 773 | |
4.000%, 11/13/30 | 745 | 749 | |
7,627 | |||
Building Materials—0.8% | |||
Griffon Corp. 5.750%, 3/1/28 | 1,165 | 1,164 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 2,095 | 2,100 | |
MIWD Holdco II LLC 144A 5.500%, 2/1/30(1) | 840 | 832 | |
4,096 | |||
Chemicals—0.7% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 1,485 | 1,428 |
Par Value | Value | ||
Chemicals—continued | |||
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | $ 2,110 | $ 2,036 | |
3,464 | |||
Commercial Services—2.0% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 1,475 | 1,388 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1)(2) | 2,060 | 2,064 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 1,430 | 1,478 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1) | 1,425 | 1,372 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 1,405 | 1,391 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 2,395 | 2,515 | |
10,208 | |||
Computers—0.3% | |||
NCR Corp. 144A 5.125%, 4/15/29(1) | 1,415 | 1,412 | |
Containers & Packaging—0.9% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 1,330 | 1,369 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 3,020 | 3,165 | |
4,534 | |||
Cosmetics & Personal Care—0.3% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1) | 1,430 | 1,484 | |
Diversified Financial Services—2.0% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1) | 1,400 | 1,369 | |
144A 5.750%, 11/15/31(1) | 730 | 706 | |
Navient Corp. | |||
6.750%, 6/15/26 | 1,790 | 1,892 | |
5.000%, 3/15/27 | 1,585 | 1,535 | |
4.875%, 3/15/28 | 705 | 674 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23 | 1,565 | 1,690 | |
6.625%, 1/15/28 | 1,810 | 1,943 | |
5.375%, 11/15/29 | 90 | 91 | |
9,900 | |||
Electronic Equipment, Instruments & Components—0.6% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 2,560 | 2,746 | |
Electronics—0.3% | |||
II-VI, Inc. 144A 5.000%, 12/15/29(1) | 1,350 | 1,347 |
Par Value | Value | ||
Entertainment—3.1% | |||
AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | $ 4,990 | $ 3,293 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 2,065 | 2,137 | |
144A 8.125%, 7/1/27(1) | 1,325 | 1,426 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 2,890 | 3,145 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 2,010 | 1,998 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1) | 2,080 | 2,171 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) | 1,400 | 1,364 | |
15,534 | |||
Environmental Services—0.4% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 2,170 | 2,105 | |
Equity Real Estate Investment Trusts (REITs)—0.6% | |||
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 1,450 | 1,433 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 595 | 569 | |
4.500%, 3/15/25 | 880 | 835 | |
2,837 | |||
Food & Beverage—2.1% | |||
Kraft Heinz Foods Co. 6.500%, 2/9/40 | 2,255 | 3,017 | |
Performance Food Group, Inc. | |||
144A 5.500%, 10/15/27(1) | 2,750 | 2,813 | |
144A 4.250%, 8/1/29(1) | 1,495 | 1,403 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 1,490 | 1,397 | |
US Foods, Inc. 144A 4.750%, 2/15/29(1) | 1,990 | 1,953 | |
10,583 | |||
Healthcare-Products—0.3% | |||
Mozart Debt Merger Sub, Inc. 144A 5.250%, 10/1/29(1) | 1,470 | 1,430 | |
Healthcare-Services—1.1% | |||
ModivCare Escrow Issuer, Inc. 144A 5.000%, 10/1/29(1) | 130 | 126 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 1,380 | 1,418 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1) | 4,030 | 4,043 | |
5,587 | |||
Home Builders—0.3% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 1,199 | 1,243 |
Par Value | Value | ||
Home Furnishings—0.1% | |||
Tempur Sealy International, Inc. 144A 3.875%, 10/15/31(1) | $ 740 | $ 690 | |
Internet—0.6% | |||
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 1,125 | 1,193 | |
144A 7.500%, 9/15/27(1) | 1,900 | 2,023 | |
3,216 | |||
Investment Companies—0.4% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 2,140 | 2,112 | |
Iron & Steel—0.7% | |||
Cleveland-Cliffs, Inc. 5.875%, 6/1/27(2) | 2,195 | 2,272 | |
United States Steel Corp. 6.875%, 3/1/29(2) | 1,320 | 1,333 | |
3,605 | |||
Leisure Time—2.2% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1) | 1,290 | 1,449 | |
144A 5.750%, 3/1/27(1) | 1,385 | 1,328 | |
144A 6.000%, 5/1/29(1) | 1,460 | 1,405 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 3,010 | 2,867 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1) | 866 | 958 | |
144A 5.375%, 7/15/27(1) | 1,450 | 1,401 | |
144A 5.500%, 4/1/28(1) | 1,520 | 1,475 | |
10,883 | |||
Lodging—0.9% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | 680 | 721 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1) | 1,085 | 1,066 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 705 | 702 | |
MGM Resorts International 4.750%, 10/15/28 | 1,480 | 1,468 | |
Station Casinos LLC 144A 4.625%, 12/1/31(1) | 730 | 694 | |
4,651 | |||
Machinery-Construction & Mining—0.4% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 2,215 | 2,197 | |
Media—4.4% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32 | 2,310 | 2,226 | |
144A 4.750%, 2/1/32(1) | 715 | 703 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(1) | 2,230 | 2,305 | |
Directv Financing LLC 144A 5.875%, 8/15/27(1) | 2,160 | 2,168 |
Par Value | Value | ||
Media—continued | |||
DISH DBS Corp. | |||
7.375%, 7/1/28 | $ 3,025 | $ 2,923 | |
144A 5.750%, 12/1/28(1) | 1,150 | 1,101 | |
Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1)(2) | 730 | 720 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 2,280 | 2,186 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 2,120 | 2,173 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 2,240 | 2,167 | |
TEGNA, Inc. 5.000%, 9/15/29(2) | 1,415 | 1,393 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 960 | 905 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 1,115 | 1,136 | |
22,106 | |||
Metal Fabricate/Hardware—0.6% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27(2) | 3,580 | 3,222 | |
Mining—0.8% | |||
Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 1,265 | 1,341 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1) | 1,495 | 1,472 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | 904 | 974 | |
3,787 | |||
Oil, Gas & Consumable Fuels—5.4% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1) | 1,215 | 1,324 | |
144A 5.375%, 3/1/30(1) | 750 | 776 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1)(2) | 1,710 | 1,742 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 680 | 677 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 2,430 | 2,551 | |
Comstock Resources, Inc. | |||
144A 6.750%, 3/1/29(1) | 1,480 | 1,523 | |
144A 5.875%, 1/15/30(1) | 700 | 696 | |
EQT Corp. 7.500%, 2/1/30 | 1,275 | 1,519 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26 | 2,510 | 2,679 | |
6.625%, 9/1/30 | 2,510 | 2,945 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 2,150 | 2,189 | |
Range Resources Corp. 144A 4.750%, 2/15/30(1) | 1,395 | 1,393 | |
SM Energy Co. 6.500%, 7/15/28(2) | 1,535 | 1,586 | |
Southwestern Energy Co. 5.375%, 3/15/30 | 1,405 | 1,440 | |
Sunoco LP 144A 4.500%, 4/30/30(1) | 730 | 717 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Transocean, Inc. 144A 8.000%, 2/1/27(1) | $ 570 | $ 430 | |
USA Compression Partners LP 6.875%, 9/1/27 | 2,285 | 2,346 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1) | 745 | 758 | |
27,291 | |||
Paper & Forest Products—0.3% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 1,470 | 1,450 | |
Pharmaceuticals—2.4% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1) | 1,490 | 1,415 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 2,585 | 2,614 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | 1,940 | 1,746 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 2,235 | 2,316 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 2,480 | 2,449 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 1,455 | 1,455 | |
11,995 | |||
Pipelines—2.7% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 1,405 | 1,414 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | 1,400 | 1,410 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 1,665 | 1,765 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1) | 1,415 | 1,479 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 2,150 | 2,184 | |
NuStar Logistics LP 6.375%, 10/1/30 | 1,445 | 1,563 | |
Targa Resources Partners LP | |||
6.500%, 7/15/27 | 980 | 1,040 | |
6.875%, 1/15/29 | 2,300 | 2,516 | |
13,371 | |||
Real Estate—0.4% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 1,990 | 1,963 | |
Retail—1.4% | |||
Asbury Automotive Group, Inc. | |||
144A 4.625%, 11/15/29(1) | 725 | 714 | |
144A 5.000%, 2/15/32(1) | 725 | 719 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | 1,945 | 2,087 | |
Carvana Co. 144A 4.875%, 9/1/29(1) | 2,235 | 1,987 |
Par Value | Value | ||
Retail—continued | |||
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | $ 1,475 | $ 1,365 | |
6,872 | |||
Semiconductors—0.8% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 3,750 | 3,942 | |
Software—1.2% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 2,195 | 2,091 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 1,480 | 1,518 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 2,310 | 2,385 | |
5,994 | |||
Telecommunications—3.0% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1) | 1,355 | 1,385 | |
CommScope Technologies LLC 144A 5.000%, 3/15/27(1) | 625 | 557 | |
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1) | 1,295 | 1,282 | |
144A 6.000%, 1/15/30(1)(2) | 740 | 714 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26(2) | 1,460 | 1,573 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 1,590 | 1,546 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1) | 915 | 839 | |
144A 5.375%, 6/15/29(1)(2) | 2,125 | 2,015 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1)(2) | 1,075 | 976 | |
Sprint Corp. 7.625%, 3/1/26 | 2,415 | 2,765 | |
T-Mobile USA, Inc. 3.500%, 4/15/31 | 1,465 | 1,429 | |
15,081 | |||
Transportation—0.5% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | 1,500 | 1,642 | |
144A 5.500%, 5/1/28(1) | 750 | 726 | |
2,368 | |||
Total Corporate Bonds and Notes (Identified Cost $260,676) | 259,708 | ||
Par Value | Value | ||
Leveraged Loans—0.2% | |||
Retail—0.2% | |||
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (3) | $ 1,171 | $ 1,169 | |
Total Leveraged Loans (Identified Cost $1,172) | 1,169 | ||
Shares | ||
Convertible Preferred Stocks—28.0% | ||
Auto Components—1.8% | ||
Aptiv plc Series A, 5.500%(2) | 56,155 | 8,748 |
Banks—8.2% | ||
Bank of America Corp. Series L, 7.250% | 12,080 | 17,009 |
Wells Fargo & Co. Series L, 7.500% | 16,980 | 24,181 |
41,190 | ||
Commercial Services & Supplies—0.6% | ||
GFL Environmental, Inc., 6.000% | 39,370 | 2,977 |
Diversified Financial Services—0.4% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 1,830 | 2,078 |
Electric Utilities—3.4% | ||
NextEra Energy, Inc., 5.279% | 78,590 | 4,007 |
NextEra Energy, Inc., 6.219%(2) | 254,310 | 13,069 |
17,076 | ||
Healthcare Equipment & Supplies—1.7% | ||
Boston Scientific Corp. Series A, 5.500%(2) | 71,510 | 8,334 |
Life Sciences Tools & Services—5.2% | ||
Avantor, Inc. Series A, 6.250% | 84,600 | 9,661 |
Danaher Corp. Series A, 4.750% | 8,695 | 16,575 |
26,236 | ||
Machinery—0.6% | ||
Stanley Black & Decker, Inc., 5.250%(2) | 26,915 | 2,809 |
Pharmaceuticals—0.4% | ||
Elanco Animal Health, Inc., 5.000% | 50,815 | 2,101 |
Professional Services—0.6% | ||
Clarivate plc Series A, 5.250% | 44,160 | 3,048 |
Semiconductors & Semiconductor Equipment—3.9% | ||
Broadcom, Inc. Series A, 8.000% | 10,755 | 19,699 |
Shares | Value | ||
Telecommunications—1.2% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 5,985 | $ 5,953 | |
Total Convertible Preferred Stocks (Identified Cost $99,794) | 140,249 | ||
Preferred Stocks—0.5% | |||
Entertainment—0.5% | |||
LiveStyle, Inc. Series B (4)(5)(6)(7)(8) | 25,188 | 2,519 | |
LiveStyle, Inc. Series B (4)(5)(6)(7) | 6,750 | — | |
2,519 | |||
Total Preferred Stocks (Identified Cost $9,219) | 2,519 | ||
Common Stocks—0.8% | |||
Banks—0.8% | |||
CCF Holdings LLC(6)(7) | 7,808,320 | 3,436 | |
CCF Holdings LLC Class M(6)(7) | 879,959 | 387 | |
3,823 | |||
Consumer Finance—0.0% | |||
Erickson, Inc.(6)(7) | 8,295 | 208 | |
Entertainment—0.0% | |||
LiveStyle, Inc.(4)(5)(6)(7)(8) | 90,407 | — (9) | |
Total Common Stocks (Identified Cost $30,173) | 4,031 | ||
Warrants—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(6)(7) | 1,455,681 | 335 | |
Media—0.0% | |||
Affinion Group Holdings(6)(7)(8) | 15,602 | — | |
Total Warrants (Identified Cost $3,080) | 335 | ||
Par Value | ||
Convertible Bonds and Notes—82.0% | ||
Airlines—1.3% | ||
Southwest Airlines Co. 1.250%, 5/1/25 | $ 4,880 | 6,649 |
Auto Manufacturers—4.5% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1) | 5,975 | 8,106 |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 5,250 | 4,336 |
NIO, Inc. | ||
144A 0.000%, 2/1/26(1) | 2,010 | 1,719 |
144A 0.500%, 2/1/27(1) | 3,355 | 2,748 |
Par Value | Value | ||
Auto Manufacturers—continued | |||
Tesla, Inc. 2.000%, 5/15/24 | $ 365 | $ 5,502 | |
22,411 | |||
Banks—2.3% | |||
BofA Finance LLC 0.125%, 9/1/22 | 5,970 | 6,200 | |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(1) | 5,220 | 5,178 | |
11,378 | |||
Biotechnology—0.7% | |||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | 2,860 | 1,430 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(1) | 2,435 | 2,099 | |
3,529 | |||
Commercial Services—4.5% | |||
Affirm Holdings, Inc. 144A 0.000%, 11/15/26(1) | 5,960 | 4,665 | |
Block, Inc. | |||
0.000%, 5/1/26(2) | 8,680 | 8,124 | |
0.250%, 11/1/27(2) | 275 | 256 | |
Marathon Digital Holdings, Inc. 144A 1.000%, 12/1/26(1) | 7,125 | 4,767 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 1,695 | 1,701 | |
144A 0.500%, 8/1/27(1)(2) | 3,750 | 3,159 | |
22,672 | |||
Computers—1.5% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,175 | 2,611 | |
Zscaler, Inc. 0.125%, 7/1/25 | 2,745 | 4,958 | |
7,569 | |||
Cosmetics & Personal Care—0.5% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 2,920 | 2,434 | |
Diversified Financial Services—1.9% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 5,045 | 4,711 | |
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(1) | 5,240 | 4,862 | |
9,573 | |||
Electronics—1.4% | |||
II-VI, Inc. 0.250%, 9/1/22 | 3,630 | 5,021 | |
Itron, Inc. 144A 0.000%, 3/15/26(1) | 2,400 | 2,143 | |
7,164 | |||
Par Value | Value | ||
Energy-Alternate Sources—2.1% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | $ 5,515 | $ 5,085 | |
144A 0.000%, 3/1/28(1) | 3,785 | 3,454 | |
Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(1) | 2,280 | 1,917 | |
10,456 | |||
Entertainment—2.3% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 5,875 | 4,471 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 6,875 | 6,887 | |
11,358 | |||
Equity Real Estate Investment Trusts (REITs)—0.8% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 3,620 | 3,936 | |
Healthcare-Products—2.0% | |||
Exact Sciences Corp. 0.375%, 3/1/28 | 5,125 | 4,922 | |
Insulet Corp. 0.375%, 9/1/26 | 3,970 | 5,044 | |
9,966 | |||
Healthcare-Services—3.1% | |||
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1)(2) | 10,645 | 8,151 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 8,470 | 7,530 | |
15,681 | |||
Internet—19.0% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 8,685 | 8,251 | |
Booking Holdings, Inc. 0.750%, 5/1/25(2) | 3,910 | 5,838 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 2,595 | 2,892 | |
144A 0.250%, 6/15/28(1) | 3,065 | 3,027 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1)(2) | 6,215 | 7,261 | |
fuboTV, Inc. 144A 3.250%, 2/15/26(1) | 7,405 | 5,689 | |
Lyft, Inc. 1.500%, 5/15/25 | 515 | 646 | |
Mandiant, Inc. 0.875%, 6/1/24 | 1,225 | 1,215 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 5,050 | 7,258 | |
Okta, Inc. 0.375%, 6/15/26 | 4,390 | 4,887 | |
Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(1)(2) | 1,830 | 1,525 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 575 | 1,125 | |
0.375%, 6/1/25 | 4,165 | 7,364 | |
Sea Ltd. 0.250%, 9/15/26 | 6,600 | 5,522 |
Par Value | Value | ||
Internet—continued | |||
Snap, Inc. 144A 0.000%, 5/1/27(1) | $ 9,795 | $ 8,405 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(1) | 4,580 | 4,008 | |
Twitter, Inc. 144A 0.000%, 3/15/26(1) | 6,815 | 6,031 | |
Uber Technologies, Inc. 0.000%, 12/15/25(2) | 7,800 | 7,304 | |
Wayfair, Inc. 0.625%, 10/1/25(2) | 6,330 | 5,547 | |
Zillow Group, Inc. 2.750%, 5/15/25(2) | 1,160 | 1,342 | |
95,137 | |||
Leisure Time—3.3% | |||
NCL Corp., Ltd. | |||
5.375%, 8/1/25 | 695 | 992 | |
144A 1.125%, 2/15/27(1) | 5,695 | 5,415 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 1,710 | 2,173 | |
2.875%, 11/15/23 | 4,080 | 4,839 | |
Virgin Galactic Holdings, Inc. 144A 2.500%, 2/1/27(1) | 3,480 | 3,227 | |
16,646 | |||
Machinery-Diversified—0.5% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 1,585 | 2,411 | |
Media—3.7% | |||
DISH Network Corp. | |||
0.000%, 12/15/25 | 3,435 | 3,350 | |
3.375%, 8/15/26 | 4,580 | 4,263 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 3,765 | 5,158 | |
144A 0.500%, 12/1/50(1) | 4,525 | 6,079 | |
18,850 | |||
Oil, Gas & Consumable Fuels—3.6% | |||
EQT Corp. 1.750%, 5/1/26 | 4,560 | 7,408 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 5,080 | 10,531 | |
17,939 | |||
Pharmaceuticals—2.2% | |||
Dexcom, Inc. 0.250%, 11/15/25(2) | 3,830 | 4,072 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 6,125 | 7,161 | |
11,233 | |||
Retail—1.9% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 3,390 | 4,419 |
Par Value | Value | ||
Retail—continued | |||
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | $ 1,405 | $ 5,005 | |
9,424 | |||
Semiconductors—1.4% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 1,395 | 1,441 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1)(2) | 3,020 | 4,032 | |
Wolfspeed, Inc. 1.750%, 5/1/26 | 755 | 1,610 | |
7,083 | |||
Software—17.3% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 2,850 | 3,657 | |
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 3,610 | 3,201 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(1) | 3,870 | 3,653 | |
144A 0.375%, 7/1/27(1) | 1,060 | 909 | |
Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(1) | 9,780 | 8,810 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 6,535 | 6,067 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 9,045 | 8,061 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(1) | 6,380 | 5,159 | |
DocuSign, Inc. 0.000%, 1/15/24(2) | 2,855 | 2,701 | |
Fastly, Inc. 144A 0.000%, 3/15/26(1) | 3,710 | 2,969 | |
Five9, Inc. 0.500%, 6/1/25 | 1,180 | 1,379 | |
i3 Verticals LLC 1.000%, 2/15/25 | 2,435 | 2,265 | |
Jamf Holding Corp. 144A 0.125%, 9/1/26(1) | 1,425 | 1,386 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(1) | 3,665 | 2,387 | |
New Relic, Inc. 0.500%, 5/1/23 | 855 | 1,005 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(1) | 3,090 | 2,617 | |
Porch Group, Inc. 144A 0.750%, 9/15/26(1) | 5,435 | 4,235 | |
RingCentral, Inc. 0.000%, 3/1/25 | 4,980 | 4,554 | |
Splunk, Inc. 1.125%, 6/15/27 | 8,720 | 7,918 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1) | 9,875 | 8,260 | |
Workday, Inc. 0.250%, 10/1/22 | 3,275 | 5,668 | |
86,861 | |||
Par Value | Value | ||
Telecommunications—0.2% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | $ 725 | $ 960 | |
Total Convertible Bonds and Notes (Identified Cost $420,758) | 411,320 | ||
Total Long-Term Investments—163.4% (Identified Cost $824,872) | 819,331 | ||
Shares | ||
Short-Term Investment—6.7% | ||
Money Market Mutual Fund—6.7% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(10) | 33,412,473 | 33,412 |
Total Short-Term Investment (Identified Cost $33,412) | 33,412 | |
Securities Lending Collateral—2.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(10)(11) | 11,126,805 | 11,127 |
Total Securities Lending Collateral (Identified Cost $11,127) | 11,127 | |
TOTAL INVESTMENTS—172.3% (Identified Cost $869,411) | $ 863,870 | |
Other assets and liabilities, net—(7.8)% | (39,345) | |
Preferred Shares—(64.5)% | (323,275) | |
NET ASSETS—100.0% | $ 501,250 |
Abbreviations: | |
EV | Enterprise Value |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
NA | National Association |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2022, these securities amounted to a value of $380,151 or 75.8% of net assets. |
(2) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
(3) | Variable rate security. Rate disclosed is as of January 31, 2022. 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. |
(4) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.50% of net assets. |
(5) | Affiliated Investment. See Note 4G in Notes to Financial Statements. |
(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) | Non-income producing. |
(8) | Security is restricted from resale. |
(9) | Amount is less than $500. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(11) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 92% |
Bermuda | 2 |
Jersey | 1 |
Liberia | 1 |
Cayman Islands | 1 |
Canada | 1 |
United Kingdom | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of January 31, 2022. |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $259,708 | $ — | $259,708 | $ — | |||
Leveraged Loans | 1,169 | — | 1,169 | — | |||
Convertible Bonds and Notes | 411,320 | — | 411,320 | — | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 140,249 | 132,218 | 8,031 | — | |||
Common Stocks | 4,031 | — | — | 4,031 | |||
Preferred Stocks | 2,519 | — | — | 2,519 (1) | |||
Warrants | 335 | — | — (1) | 335 (1) | |||
Securities Lending Collateral | 11,127 | 11,127 | — | — | |||
Money Market Mutual Fund | 33,412 | 33,412 | — | — | |||
Total Investments | $863,870 | $176,757 | $680,228 | $6,885 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Warrants | Preferred Stocks | ||||||
Investments in Securities | |||||||||||
Balance as of February 28, 2021: | $ 21,123 | $ 10,793 | $ 1,776 | $ 213 | $ 147 | $ 8,194 | |||||
Accrued discount/(premium) | 11 | 11 | — | — | — | — | |||||
Realized gain (loss) | (4,718) | (4,881) | — | — | — | 163 | |||||
Change in unrealized appreciation (depreciation)(a) | 3,071 | 22,429 | — | (19,248) | 188 | (298) | |||||
Purchases | 23,138 | — | 72 | 23,066 (b) | — | — | |||||
Sales (c) | (35,740) | (28,352) (b) | (1,848) | — | — | (5,540) | |||||
Balance as of January 31, 2022 | $ 6,885 | $ — | $ — | $ 4,031 | $ 335 (d) | $ 2,519(d) |
Investments in Securities – Assets | Ending Balance at January 31, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stocks: | ||||||||
LiveStyle, Inc. Series B | $2,519 | Market and Company Comparables | EV Multiples | 2.71x (0.25x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Common Stocks: | ||||||||
CCF Holdings LLC | $3,436 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $ 387 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Erickson, Inc. | $ 208 | Market and Company Comparables | EV Multiples | 1.29x (0.81x - 2.34x) | ||||
10.69x (9.22x - 14.39x) | ||||||||
0.98x (0.57x - 1.44x) | ||||||||
M&A Transaction Multiples | 0.96x (0.41x - 1.96x) | |||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $ —(1) | Market and Company Comparables | EV Multiples | 2.71x (0.25x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $ 335 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 55.24% | ||||||
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—53.1% | |||
Advertising—0.5% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1) | $ 585 | $ 607 | |
144A 7.500%, 6/1/29(1) | 1,125 | 1,166 | |
1,773 | |||
Aerospace & Defense—1.3% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26 | 1,835 | 1,867 | |
5.500%, 11/15/27 | 1,735 | 1,743 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1) | 515 | 550 | |
144A 6.250%, 9/15/24(1) | 640 | 638 | |
4,798 | |||
Airlines—1.6% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 1,475 | 1,785 | |
144A 5.750%, 4/20/29(1) | 1,170 | 1,198 | |
Delta Air Lines, Inc. 7.375%, 1/15/26 | 2,805 | 3,194 | |
6,177 | |||
Auto Components—2.1% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 1,560 | 1,607 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 2,325 | 2,431 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31 | 1,135 | 1,145 | |
144A 5.250%, 7/15/31(1) | 1,160 | 1,168 | |
Tenneco, Inc. | |||
5.000%, 7/15/26 | 1,125 | 1,043 | |
144A 7.875%, 1/15/29(1) | 505 | 537 | |
7,931 | |||
Auto Manufacturers—1.6% | |||
Ford Motor Co. | |||
9.000%, 4/22/25 | 1,970 | 2,328 | |
9.625%, 4/22/30 | 1,705 | 2,395 | |
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | 570 | 599 | |
4.000%, 11/13/30 | 575 | 578 | |
5,900 | |||
Building Materials—0.8% | |||
Griffon Corp. 5.750%, 3/1/28 | 895 | 894 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 1,650 | 1,654 | |
MIWD Holdco II LLC 144A 5.500%, 2/1/30(1) | 645 | 639 | |
3,187 | |||
Chemicals—0.7% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 1,150 | 1,105 |
Par Value | Value | ||
Chemicals—continued | |||
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | $ 1,635 | $ 1,578 | |
2,683 | |||
Commercial Services—2.1% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 1,140 | 1,072 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 1,595 | 1,599 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 1,105 | 1,142 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1) | 1,100 | 1,059 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 1,090 | 1,079 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 1,830 | 1,922 | |
7,873 | |||
Computers—0.3% | |||
NCR Corp. 144A 5.125%, 4/15/29(1) | 1,095 | 1,093 | |
Containers & Packaging—0.9% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 1,030 | 1,060 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 2,315 | 2,426 | |
3,486 | |||
Cosmetics & Personal Care—0.3% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1) | 1,105 | 1,146 | |
Diversified Financial Services—2.0% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1) | 1,080 | 1,056 | |
144A 5.750%, 11/15/31(1) | 565 | 546 | |
Navient Corp. | |||
6.750%, 6/15/26 | 1,375 | 1,454 | |
5.000%, 3/15/27 | 1,230 | 1,191 | |
4.875%, 3/15/28 | 545 | 521 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23 | 1,215 | 1,312 | |
6.625%, 1/15/28 | 1,305 | 1,401 | |
5.375%, 11/15/29 | 70 | 71 | |
7,552 | |||
Electronic Equipment, Instruments & Components—0.6% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 1,980 | 2,124 | |
Electronics—0.3% | |||
II-VI, Inc. 144A 5.000%, 12/15/29(1) | 1,045 | 1,043 |
Par Value | Value | ||
Entertainment—3.2% | |||
AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | $ 3,810 | $ 2,515 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 1,600 | 1,656 | |
144A 8.125%, 7/1/27(1) | 1,025 | 1,103 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 2,260 | 2,459 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 1,555 | 1,546 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1) | 1,610 | 1,680 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) | 1,080 | 1,052 | |
12,011 | |||
Environmental Services—0.4% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 1,680 | 1,630 | |
Equity Real Estate Investment Trusts (REITs)—0.6% | |||
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 1,125 | 1,112 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 465 | 444 | |
4.500%, 3/15/25 | 680 | 645 | |
2,201 | |||
Food & Beverage—2.2% | |||
Kraft Heinz Foods Co. 6.500%, 2/9/40 | 1,745 | 2,335 | |
Performance Food Group, Inc. | |||
144A 5.500%, 10/15/27(1) | 2,135 | 2,184 | |
144A 4.250%, 8/1/29(1) | 1,155 | 1,084 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 1,155 | 1,083 | |
US Foods, Inc. 144A 4.750%, 2/15/29(1) | 1,540 | 1,511 | |
8,197 | |||
Healthcare-Products—0.3% | |||
Mozart Debt Merger Sub, Inc. 144A 5.250%, 10/1/29(1) | 1,135 | 1,104 | |
Healthcare-Services—1.1% | |||
ModivCare Escrow Issuer, Inc. 144A 5.000%, 10/1/29(1) | 95 | 92 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 1,070 | 1,100 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1) | 3,120 | 3,130 | |
4,322 | |||
Home Builders—0.3% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 928 | 962 |
Par Value | Value | ||
Home Furnishings—0.1% | |||
Tempur Sealy International, Inc. 144A 3.875%, 10/15/31(1) | $ 570 | $ 532 | |
Internet—0.7% | |||
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 865 | 917 | |
144A 7.500%, 9/15/27(1) | 1,485 | 1,581 | |
2,498 | |||
Investment Companies—0.4% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 1,655 | 1,634 | |
Iron & Steel—0.7% | |||
Cleveland-Cliffs, Inc. 5.875%, 6/1/27 | 1,695 | 1,754 | |
United States Steel Corp. 6.875%, 3/1/29 | 1,020 | 1,030 | |
2,784 | |||
Leisure Time—2.2% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1) | 1,000 | 1,123 | |
144A 5.750%, 3/1/27(1) | 1,070 | 1,026 | |
144A 6.000%, 5/1/29(1) | 1,130 | 1,087 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 2,330 | 2,219 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1) | 671 | 743 | |
144A 5.375%, 7/15/27(1) | 1,120 | 1,083 | |
144A 5.500%, 4/1/28(1) | 1,175 | 1,140 | |
8,421 | |||
Lodging—1.0% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | 526 | 558 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1) | 840 | 825 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 545 | 542 | |
MGM Resorts International 4.750%, 10/15/28 | 1,145 | 1,136 | |
Station Casinos LLC 144A 4.625%, 12/1/31(1) | 565 | 537 | |
3,598 | |||
Machinery-Construction & Mining—0.4% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 1,715 | 1,701 | |
Media—4.5% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32 | 1,785 | 1,720 | |
144A 4.750%, 2/1/32(1) | 550 | 541 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(1) | 1,705 | 1,763 | |
Directv Financing LLC 144A 5.875%, 8/15/27(1) | 1,670 | 1,676 |
Par Value | Value | ||
Media—continued | |||
DISH DBS Corp. | |||
7.375%, 7/1/28 | $ 2,320 | $ 2,242 | |
144A 5.750%, 12/1/28(1) | 890 | 852 | |
Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1) | 565 | 557 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 1,770 | 1,697 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 1,640 | 1,681 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 1,735 | 1,679 | |
TEGNA, Inc. 5.000%, 9/15/29 | 1,095 | 1,078 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 760 | 716 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 865 | 881 | |
17,083 | |||
Metal Fabricate/Hardware—0.6% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27 | 2,725 | 2,453 | |
Mining—0.8% | |||
Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 980 | 1,039 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1) | 1,155 | 1,137 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | 702 | 756 | |
2,932 | |||
Oil, Gas & Consumable Fuels—5.6% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1) | 944 | 1,029 | |
144A 5.375%, 3/1/30(1) | 580 | 600 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 1,325 | 1,350 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 530 | 527 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 1,885 | 1,978 | |
Comstock Resources, Inc. | |||
144A 6.750%, 3/1/29(1) | 1,145 | 1,178 | |
144A 5.875%, 1/15/30(1) | 545 | 542 | |
EQT Corp. 7.500%, 2/1/30 | 980 | 1,168 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26 | 1,940 | 2,071 | |
6.625%, 9/1/30 | 1,930 | 2,265 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 1,675 | 1,705 | |
Range Resources Corp. 144A 4.750%, 2/15/30(1) | 1,075 | 1,074 | |
SM Energy Co. 6.500%, 7/15/28 | 1,185 | 1,224 | |
Southwestern Energy Co. 5.375%, 3/15/30 | 1,085 | 1,112 | |
Sunoco LP 144A 4.500%, 4/30/30(1) | 565 | 555 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Transocean, Inc. 144A 8.000%, 2/1/27(1) | $ 440 | $ 332 | |
USA Compression Partners LP 6.875%, 9/1/27 | 1,750 | 1,797 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1) | 575 | 585 | |
21,092 | |||
Paper & Forest Products—0.3% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 1,135 | 1,119 | |
Pharmaceuticals—2.5% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1) | 1,155 | 1,097 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 2,000 | 2,022 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | 1,490 | 1,341 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 1,710 | 1,772 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 1,925 | 1,901 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 1,130 | 1,130 | |
9,263 | |||
Pipelines—2.7% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 1,090 | 1,097 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | 1,085 | 1,093 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 1,280 | 1,357 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1) | 1,100 | 1,150 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 1,665 | 1,692 | |
NuStar Logistics LP 6.375%, 10/1/30 | 1,120 | 1,211 | |
Targa Resources Partners LP | |||
6.500%, 7/15/27 | 750 | 796 | |
6.875%, 1/15/29 | 1,750 | 1,914 | |
10,310 | |||
Real Estate—0.4% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 1,545 | 1,524 | |
Retail—1.4% | |||
Asbury Automotive Group, Inc. | |||
144A 4.625%, 11/15/29(1) | 560 | 551 | |
144A 5.000%, 2/15/32(1) | 560 | 556 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | 1,505 | 1,615 | |
Carvana Co. 144A 4.875%, 9/1/29(1) | 1,730 | 1,538 |
Par Value | Value | ||
Retail—continued | |||
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | $ 1,140 | $ 1,055 | |
5,315 | |||
Semiconductors—0.8% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 2,925 | 3,075 | |
Software—1.2% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 1,700 | 1,619 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 1,145 | 1,174 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 1,770 | 1,828 | |
4,621 | |||
Telecommunications—3.1% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1) | 1,045 | 1,068 | |
CommScope Technologies LLC 144A 5.000%, 3/15/27(1) | 485 | 432 | |
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1) | 1,010 | 1,000 | |
144A 6.000%, 1/15/30(1) | 570 | 550 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26 | 1,130 | 1,218 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 1,230 | 1,196 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1) | 710 | 651 | |
144A 5.375%, 6/15/29(1) | 1,645 | 1,560 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 835 | 758 | |
Sprint Corp. 7.625%, 3/1/26 | 1,900 | 2,175 | |
T-Mobile USA, Inc. 3.500%, 4/15/31 | 1,135 | 1,107 | |
11,715 | |||
Transportation—0.5% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | 1,160 | 1,270 | |
144A 5.500%, 5/1/28(1) | 580 | 562 | |
1,832 | |||
Total Corporate Bonds and Notes (Identified Cost $201,420) | 200,695 | ||
Par Value | Value | ||
Leveraged Loans—0.2% | |||
Retail—0.2% | |||
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (2) | $ 908 | $ 907 | |
Total Leveraged Loans (Identified Cost $909) | 907 | ||
Shares | ||
Convertible Preferred Stocks—28.2% | ||
Auto Components—1.8% | ||
Aptiv plc Series A, 5.500% | 42,465 | 6,615 |
Banks—8.2% | ||
Bank of America Corp. Series L, 7.250% | 9,140 | 12,869 |
Wells Fargo & Co. Series L, 7.500% | 12,835 | 18,279 |
31,148 | ||
Commercial Services & Supplies—0.6% | ||
GFL Environmental, Inc., 6.000% | 29,705 | 2,246 |
Diversified Financial Services—0.4% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 1,385 | 1,573 |
Electric Utilities—3.4% | ||
NextEra Energy, Inc., 5.279% | 59,355 | 3,026 |
NextEra Energy, Inc., 6.219% | 192,150 | 9,875 |
12,901 | ||
Healthcare Equipment & Supplies—1.8% | ||
Boston Scientific Corp. Series A, 5.500% | 57,125 | 6,657 |
Life Sciences Tools & Services—5.3% | ||
Avantor, Inc. Series A, 6.250% | 63,980 | 7,306 |
Danaher Corp. Series A, 4.750% | 6,575 | 12,534 |
19,840 | ||
Machinery—0.6% | ||
Stanley Black & Decker, Inc., 5.250% | 20,310 | 2,120 |
Pharmaceuticals—0.4% | ||
Elanco Animal Health, Inc., 5.000% | 38,425 | 1,588 |
Professional Services—0.6% | ||
Clarivate plc Series A, 5.250% | 33,340 | 2,301 |
Semiconductors & Semiconductor Equipment—3.9% | ||
Broadcom, Inc. Series A, 8.000% | 8,120 | 14,873 |
Shares | Value | ||
Telecommunications—1.2% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 4,515 | $ 4,491 | |
Total Convertible Preferred Stocks (Identified Cost $76,070) | 106,353 | ||
Preferred Stocks—0.7% | |||
Entertainment—0.7% | |||
LiveStyle, Inc. Series B (3)(4)(5)(6)(7) | 25,188 | 2,519 | |
LiveStyle, Inc. Series B (3)(4)(5)(6) | 5,000 | — | |
2,519 | |||
Total Preferred Stocks (Identified Cost $7,469) | 2,519 | ||
Common Stocks—0.9% | |||
Banks—0.9% | |||
CCF Holdings LLC(5)(6) | 6,367,079 | 2,802 | |
CCF Holdings LLC Class M(5)(6) | 879,959 | 387 | |
3,189 | |||
Consumer Finance—0.0% | |||
Erickson, Inc.(5)(6) | 6,354 | 159 | |
Entertainment—0.0% | |||
LiveStyle, Inc.(3)(4)(5)(6)(7) | 90,407 | — (8) | |
Total Common Stocks (Identified Cost $21,492) | 3,348 | ||
Warrants—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(5)(6) | 1,455,681 | 335 | |
Media—0.0% | |||
Affinion Group Holdings(5)(6)(7) | 12,009 | — | |
Total Warrants (Identified Cost $2,371) | 335 | ||
Par Value | ||
Convertible Bonds and Notes—82.1% | ||
Airlines—1.3% | ||
Southwest Airlines Co. 1.250%, 5/1/25 | $ 3,685 | 5,021 |
Auto Manufacturers—4.5% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1) | 4,510 | 6,118 |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 3,960 | 3,271 |
NIO, Inc. | ||
144A 0.000%, 2/1/26(1) | 1,515 | 1,295 |
144A 0.500%, 2/1/27(1) | 2,535 | 2,076 |
Par Value | Value | ||
Auto Manufacturers—continued | |||
Tesla, Inc. 2.000%, 5/15/24 | $ 275 | $ 4,146 | |
16,906 | |||
Banks—2.3% | |||
BofA Finance LLC 0.125%, 9/1/22 | 4,515 | 4,689 | |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(1) | 3,945 | 3,913 | |
8,602 | |||
Biotechnology—0.7% | |||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | 2,150 | 1,075 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(1) | 1,835 | 1,582 | |
2,657 | |||
Commercial Services—4.5% | |||
Affirm Holdings, Inc. 144A 0.000%, 11/15/26(1) | 4,505 | 3,525 | |
Block, Inc. | |||
0.000%, 5/1/26 | 6,560 | 6,140 | |
0.250%, 11/1/27 | 210 | 196 | |
Marathon Digital Holdings, Inc. 144A 1.000%, 12/1/26(1) | 5,375 | 3,596 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 1,275 | 1,280 | |
144A 0.500%, 8/1/27(1) | 2,830 | 2,384 | |
17,121 | |||
Computers—1.5% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 1,645 | 1,974 | |
Zscaler, Inc. 0.125%, 7/1/25 | 2,070 | 3,739 | |
5,713 | |||
Cosmetics & Personal Care—0.5% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 2,200 | 1,834 | |
Diversified Financial Services—1.9% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 3,805 | 3,553 | |
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(1) | 3,955 | 3,670 | |
7,223 | |||
Electronics—1.4% | |||
II-VI, Inc. 0.250%, 9/1/22 | 2,725 | 3,769 | |
Itron, Inc. 144A 0.000%, 3/15/26(1) | 1,800 | 1,608 | |
5,377 | |||
Par Value | Value | ||
Energy-Alternate Sources—2.1% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1) | $ 4,160 | $ 3,835 | |
144A 0.000%, 3/1/28(1) | 2,860 | 2,610 | |
Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(1) | 1,720 | 1,447 | |
7,892 | |||
Entertainment—2.3% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 4,435 | 3,375 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 5,185 | 5,194 | |
8,569 | |||
Equity Real Estate Investment Trusts (REITs)—0.8% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 2,730 | 2,968 | |
Healthcare-Products—2.0% | |||
Exact Sciences Corp. 0.375%, 3/1/28 | 3,875 | 3,721 | |
Insulet Corp. 0.375%, 9/1/26 | 3,005 | 3,818 | |
7,539 | |||
Healthcare-Services—3.1% | |||
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 8,050 | 6,164 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 6,400 | 5,690 | |
11,854 | |||
Internet—19.0% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 6,555 | 6,227 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 2,950 | 4,405 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 1,960 | 2,184 | |
144A 0.250%, 6/15/28(1) | 2,315 | 2,286 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1) | 4,695 | 5,485 | |
fuboTV, Inc. 144A 3.250%, 2/15/26(1) | 5,595 | 4,298 | |
Lyft, Inc. 1.500%, 5/15/25 | 390 | 489 | |
Mandiant, Inc. 0.875%, 6/1/24 | 925 | 918 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 3,810 | 5,476 | |
Okta, Inc. 0.375%, 6/15/26 | 3,315 | 3,691 | |
Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(1) | 1,380 | 1,150 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 425 | 832 | |
0.375%, 6/1/25 | 3,135 | 5,542 | |
Sea Ltd. 0.250%, 9/15/26 | 5,005 | 4,188 |
Par Value | Value | ||
Internet—continued | |||
Snap, Inc. 144A 0.000%, 5/1/27(1) | $ 7,385 | $ 6,337 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(1) | 3,455 | 3,024 | |
Twitter, Inc. 144A 0.000%, 3/15/26(1) | 5,140 | 4,549 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 5,880 | 5,506 | |
Wayfair, Inc. 0.625%, 10/1/25 | 4,775 | 4,184 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 875 | 1,012 | |
71,783 | |||
Leisure Time—3.3% | |||
NCL Corp., Ltd. | |||
5.375%, 8/1/25 | 525 | 750 | |
144A 1.125%, 2/15/27(1) | 4,295 | 4,084 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 1,290 | 1,639 | |
2.875%, 11/15/23 | 3,070 | 3,641 | |
Virgin Galactic Holdings, Inc. 144A 2.500%, 2/1/27(1) | 2,625 | 2,434 | |
12,548 | |||
Machinery-Diversified—0.5% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 1,195 | 1,818 | |
Media—3.8% | |||
DISH Network Corp. | |||
0.000%, 12/15/25 | 2,595 | 2,530 | |
3.375%, 8/15/26 | 3,455 | 3,216 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 2,840 | 3,891 | |
144A 0.500%, 12/1/50(1) | 3,410 | 4,581 | |
14,218 | |||
Oil, Gas & Consumable Fuels—3.6% | |||
EQT Corp. 1.750%, 5/1/26 | 3,440 | 5,588 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 3,835 | 7,951 | |
13,539 | |||
Pharmaceuticals—2.2% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 2,890 | 3,073 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 4,615 | 5,395 | |
8,468 | |||
Retail—1.9% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 2,560 | 3,337 |
Par Value | Value | ||
Retail—continued | |||
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | $ 1,060 | $ 3,776 | |
7,113 | |||
Semiconductors—1.4% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 1,050 | 1,084 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1) | 2,280 | 3,044 | |
Wolfspeed, Inc. 1.750%, 5/1/26 | 565 | 1,205 | |
5,333 | |||
Software—17.3% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 2,150 | 2,758 | |
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 2,725 | 2,416 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(1) | 2,925 | 2,761 | |
144A 0.375%, 7/1/27(1) | 800 | 686 | |
Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(1) | 7,375 | 6,643 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 4,930 | 4,577 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 6,820 | 6,078 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(1) | 4,810 | 3,890 | |
DocuSign, Inc. 0.000%, 1/15/24 | 2,155 | 2,039 | |
Fastly, Inc. 144A 0.000%, 3/15/26(1) | 2,805 | 2,245 | |
Five9, Inc. 0.500%, 6/1/25 | 890 | 1,040 | |
i3 Verticals LLC 1.000%, 2/15/25 | 1,840 | 1,712 | |
Jamf Holding Corp. 144A 0.125%, 9/1/26(1) | 1,075 | 1,045 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(1) | 2,770 | 1,804 | |
New Relic, Inc. 0.500%, 5/1/23 | 645 | 758 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(1) | 2,335 | 1,978 | |
Porch Group, Inc. 144A 0.750%, 9/15/26(1) | 4,100 | 3,195 | |
RingCentral, Inc. 0.000%, 3/1/25 | 3,750 | 3,429 | |
Splunk, Inc. 1.125%, 6/15/27 | 6,580 | 5,975 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1) | 7,450 | 6,232 | |
Workday, Inc. 0.250%, 10/1/22 | 2,470 | 4,275 | |
65,536 | |||
Par Value | Value | ||
Telecommunications—0.2% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | $ 545 | $ 721 | |
Total Convertible Bonds and Notes (Identified Cost $317,481) | 310,353 | ||
Total Long-Term Investments—165.3% (Identified Cost $627,212) | 624,510 | ||
Shares | ||
Short-Term Investment—6.4% | ||
Money Market Mutual Fund—6.4% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(9) | 24,429,999 | 24,430 |
Total Short-Term Investment (Identified Cost $24,430) | 24,430 | |
TOTAL INVESTMENTS—171.7% (Identified Cost $651,642) | $ 648,940 | |
Other assets and liabilities, net—0.1% | 467 | |
Preferred Shares—(71.8)% | (271,525) | |
NET ASSETS—100.0% | $ 377,882 |
Abbreviations: | |
EV | Enterprise Value |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
NA | National Association |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2022, these securities amounted to a value of $290,201 or 76.8% of net assets. |
(2) | Variable rate security. Rate disclosed is as of January 31, 2022. 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. |
(3) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.67% of net assets. |
(4) | Affiliated Investment. See Note 4G in Notes to Financial Statements. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Non-income producing. |
(7) | Security is restricted from resale. |
(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 (Unaudited)† | |
United States | 92% |
Bermuda | 2 |
Jersey | 1 |
Liberia | 1 |
Cayman Islands | 1 |
Canada | 1 |
United Kingdom | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of January 31, 2022. |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $200,695 | $ — | $200,695 | $ — | |||
Leveraged Loans | 907 | — | 907 | — | |||
Convertible Bonds and Notes | 310,353 | — | 310,353 | — | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 106,353 | 100,289 | 6,064 | — | |||
Common Stocks | 3,348 | — | — | 3,348 | |||
Preferred Stocks | 2,519 | — | — | 2,519 (1) | |||
Warrants | 335 | — | — | 335 (1) | |||
Money Market Mutual Fund | 24,430 | 24,430 | — | — | |||
Total Investments | $648,940 | $124,719 | $518,019 | $6,202 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Warrants | Preferred Stocks | ||||||
Investments in Securities | |||||||||||
Balance as of February 28, 2021: | $ 19,409 | $ 9,574 | $ 1,365 | $ 163 | $ 113 | $ 8,194 | |||||
Accrued discount/(premium) | 8 | 8 | — | — | — | — | |||||
Realized gain (loss) | (3,597) | (3,751) | — | — (a) | — | 154 | |||||
Change in unrealized appreciation (depreciation)(b) | 2,754 | 16,833 | — | (14,012) | 222 | (289) | |||||
Purchases | 17,252 | — | 55 | 17,197 (c) | — | — | |||||
Sales (d) | (29,624) | (22,664) (c) | (1,420) | — | — | (5,540) | |||||
Balance as of January 31, 2022 | $ 6,202 | $ — | $ — | $ 3,348 | $335 (e) | $ 2,519(e) |
Investments in Securities – Assets | Ending Balance at January 31, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stocks: | ||||||||
LiveStyle, Inc. Series B | $2,519 | Market and Company Comparables | EV Multiples | 2.71x (0.25x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Common Stocks: | ||||||||
CCF Holdings LLC | $2,802 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $ 387 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Erickson | $ 159 | Market and Company Comparables | EV Multiples | 1.29x (0.81x - 2.34x) | ||||
10.69x (9.22x - 14.39x) | ||||||||
0.98x (0.57x - 1.44x) | ||||||||
M&A Transaction Multiples | 0.96x (0.41x - 1.96x) | |||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $ —(1) | Market and Company Comparables | EV Multiples | 2.71x (0.25x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Warrants: | ||||||||
CCF Holdings | $ 335 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 55.24% | ||||||
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—18.5% | |||
Advertising—0.2% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1)(2) | $ 155 | $ 161 | |
144A 7.500%, 6/1/29(1) | 275 | 285 | |
446 | |||
Aerospace & Defense—0.4% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26(2) | 390 | 397 | |
5.500%, 11/15/27(2) | 345 | 347 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1)(2) | 143 | 153 | |
144A 6.250%, 9/15/24(1)(2) | 175 | 174 | |
1,071 | |||
Airlines—0.3% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1)(2) | 300 | 363 | |
144A 5.750%, 4/20/29(1)(2) | 140 | 144 | |
Delta Air Lines, Inc. 7.375%, 1/15/26(2) | 375 | 427 | |
934 | |||
Auto Components—0.7% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(2) | 390 | 402 | |
Clarios Global LP 144A 8.500%, 5/15/27(1)(2) | 645 | 674 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31(2) | 295 | 298 | |
144A 5.250%, 7/15/31(1)(2) | 305 | 307 | |
Tenneco, Inc. | |||
5.000%, 7/15/26(2) | 290 | 269 | |
144A 7.875%, 1/15/29(1)(2) | 130 | 138 | |
2,088 | |||
Auto Manufacturers—0.6% | |||
Ford Motor Co. | |||
9.000%, 4/22/25(2) | 530 | 626 | |
9.625%, 4/22/30(2) | 460 | 646 | |
7.450%, 7/16/31(2) | 250 | 317 | |
Ford Motor Credit Co. LLC 5.125%, 6/16/25(2) | 150 | 158 | |
1,747 | |||
Building Materials—0.4% | |||
Builders FirstSource, Inc. 144A 5.000%, 3/1/30(1)(2) | 410 | 421 | |
Griffon Corp. 5.750%, 3/1/28(2) | 230 | 230 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1)(2) | 305 | 306 | |
MIWD Holdco II LLC 144A 5.500%, 2/1/30(1) | 165 | 163 | |
1,120 | |||
Par Value | Value | ||
Chemicals—0.2% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1)(2) | $ 300 | $ 288 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1)(2) | 285 | 275 | |
563 | |||
Commercial Services—0.7% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 295 | 277 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 420 | 421 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1)(2) | 285 | 295 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1)(2) | 285 | 274 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1)(2) | 285 | 282 | |
United Rentals North America, Inc. 5.250%, 1/15/30(2) | 310 | 326 | |
1,875 | |||
Computers—0.1% | |||
NCR Corp. 144A 5.125%, 4/15/29(1)(2) | 285 | 284 | |
Containers & Packaging—0.4% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1)(2) | 270 | 278 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) | 385 | 404 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1)(2) | 355 | 366 | |
1,048 | |||
Cosmetics & Personal Care—0.1% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1)(2) | 300 | 311 | |
Diversified Financial Services—0.7% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1)(2) | 290 | 284 | |
144A 5.750%, 11/15/31(1)(2) | 145 | 140 | |
Navient Corp. | |||
6.750%, 6/15/26(2) | 375 | 396 | |
5.000%, 3/15/27(2) | 285 | 276 | |
4.875%, 3/15/28(2) | 140 | 134 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23(2) | 320 | 346 | |
6.625%, 1/15/28(2) | 270 | 290 | |
5.375%, 11/15/29 | 20 | 20 | |
1,886 | |||
Electronic Equipment, Instruments & Components—0.2% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) | 410 | 440 |
Par Value | Value | ||
Electronics—0.1% | |||
II-VI, Inc. 144A 5.000%, 12/15/29(1) | $ 270 | $ 270 | |
Entertainment—1.0% | |||
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1)(2) | 430 | 445 | |
144A 4.625%, 10/15/29(1) | 425 | 407 | |
Cedar Fair LP 5.375%, 4/15/27(2) | 465 | 471 | |
International Game Technology plc 144A 6.250%, 1/15/27(1)(2) | 450 | 490 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) | 410 | 407 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1)(2) | 430 | 449 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) | 190 | 185 | |
2,854 | |||
Environmental Services—0.1% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) | 405 | 393 | |
Equity Real Estate Investment Trusts (REITs)—0.4% | |||
Iron Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) | 425 | 422 | |
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1)(2) | 290 | 287 | |
Service Properties Trust | |||
4.350%, 10/1/24(2) | 125 | 119 | |
4.500%, 3/15/25(2) | 300 | 285 | |
1,113 | |||
Food & Beverage—0.8% | |||
Kraft Heinz Foods Co. | |||
5.000%, 7/15/35(2) | 125 | 143 | |
6.500%, 2/9/40(2) | 440 | 589 | |
Performance Food Group, Inc. 144A 4.250%, 8/1/29(1)(2) | 300 | 281 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(1)(2) | 300 | 285 | |
Simmons Foods, Inc. 144A 4.625%, 3/1/29(1)(2) | 300 | 288 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1)(2) | 300 | 281 | |
US Foods, Inc. | |||
144A 6.250%, 4/15/25(1)(2) | 220 | 227 | |
144A 4.750%, 2/15/29(1)(2) | 180 | 177 | |
2,271 | |||
Food Service—0.1% | |||
Aramark Services, Inc. 144A 5.000%, 2/1/28(1)(2) | 390 | 387 | |
Healthcare-Products—0.1% | |||
Mozart Debt Merger Sub, Inc. 144A 5.250%, 10/1/29(1)(2) | 295 | 287 |
Par Value | Value | ||
Healthcare-Services—0.5% | |||
Centene Corp. 4.625%, 12/15/29(2) | $ 395 | $ 411 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1)(2) | 280 | 288 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1)(2) | 805 | 807 | |
1,506 | |||
Home Builders—0.1% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1)(2) | 247 | 256 | |
Home Furnishings—0.0% | |||
Tempur Sealy International, Inc. 144A 3.875%, 10/15/31(1)(2) | 150 | 140 | |
Internet—0.2% | |||
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1)(2) | 220 | 227 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1)(2) | 235 | 249 | |
144A 7.500%, 9/15/27(1)(2) | 190 | 202 | |
678 | |||
Investment Companies—0.2% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) | 435 | 429 | |
Iron & Steel—0.3% | |||
Cleveland-Cliffs, Inc. | |||
5.875%, 6/1/27(2) | 455 | 471 | |
144A 9.875%, 10/17/25(1)(2) | 250 | 279 | |
750 | |||
Leisure Time—0.8% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1)(2) | 265 | 298 | |
144A 5.750%, 3/1/27(1)(2) | 150 | 144 | |
144A 6.000%, 5/1/29(1) | 290 | 279 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1)(2) | 605 | 576 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1)(2) | 181 | 200 | |
144A 5.375%, 7/15/27(1) | 290 | 280 | |
144A 5.500%, 4/1/28(1) | 575 | 558 | |
2,335 | |||
Lodging—0.4% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1)(2) | 186 | 197 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1)(2) | 225 | 221 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 145 | 144 | |
MGM Resorts International 4.750%, 10/15/28(2) | 305 | 303 |
Par Value | Value | ||
Lodging—continued | |||
Station Casinos LLC 144A 4.625%, 12/1/31(1)(2) | $ 145 | $ 138 | |
1,003 | |||
Machinery-Construction & Mining—0.1% | |||
Terex Corp. 144A 5.000%, 5/15/29(1)(2) | 280 | 278 | |
Media—1.8% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32(2) | 380 | 366 | |
144A 5.375%, 6/1/29(1)(2) | 275 | 283 | |
144A 4.750%, 2/1/32(1) | 140 | 138 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(1)(2) | 535 | 553 | |
Directv Financing LLC 144A 5.875%, 8/15/27(1)(2) | 575 | 577 | |
DISH DBS Corp. | |||
7.375%, 7/1/28(2) | 420 | 406 | |
144A 5.750%, 12/1/28(1)(2) | 230 | 220 | |
Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1) | 145 | 143 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1)(2) | 455 | 436 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1)(2) | 445 | 456 | |
Scripps Escrow II, Inc. 144A 5.375%, 1/15/31(1) | 415 | 411 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) | 450 | 435 | |
TEGNA, Inc. 5.000%, 9/15/29(2) | 280 | 276 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1)(2) | 230 | 217 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) | 225 | 229 | |
5,146 | |||
Metal Fabricate/Hardware—0.2% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27(2) | 620 | 558 | |
Mining—0.3% | |||
Freeport-McMoRan, Inc. 5.250%, 9/1/29(2) | 260 | 276 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1)(2) | 300 | 295 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1)(2) | 180 | 194 | |
765 | |||
Oil, Gas & Consumable Fuels—1.9% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1)(2) | 250 | 273 | |
144A 5.375%, 3/1/30(1) | 150 | 155 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 300 | 306 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1)(2) | 135 | 134 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
CNX Resources Corp. 144A 7.250%, 3/14/27(1)(2) | $ 295 | $ 310 | |
Comstock Resources, Inc. | |||
144A 6.750%, 3/1/29(1)(2) | 295 | 304 | |
144A 5.875%, 1/15/30(1) | 285 | 283 | |
EQT Corp. 7.500%, 2/1/30(2) | 265 | 316 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26(2) | 510 | 544 | |
6.625%, 9/1/30(2) | 220 | 258 | |
PDC Energy, Inc. 5.750%, 5/15/26(2) | 435 | 443 | |
Range Resources Corp. 144A 4.750%, 2/15/30(1) | 275 | 275 | |
SM Energy Co. 6.500%, 7/15/28(2) | 530 | 547 | |
Southwestern Energy Co. 5.375%, 3/15/30(2) | 285 | 292 | |
Sunoco LP | |||
5.875%, 3/15/28(2) | 120 | 124 | |
144A 4.500%, 4/30/30(1)(2) | 145 | 142 | |
USA Compression Partners LP 6.875%, 9/1/27(2) | 415 | 426 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1)(2) | 150 | 153 | |
5,285 | |||
Paper & Forest Products—0.1% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1)(2) | 300 | 296 | |
Pharmaceuticals—0.9% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1)(2) | 455 | 432 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1)(2) | 550 | 556 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1)(2) | 450 | 405 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1)(2) | 285 | 296 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1)(2) | 555 | 548 | |
Organon & Co. 144A 5.125%, 4/30/31(1)(2) | 295 | 295 | |
2,532 | |||
Pipelines—0.8% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 290 | 292 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1)(2) | 280 | 282 | |
DCP Midstream Operating LP 5.125%, 5/15/29(2) | 370 | 392 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1)(2) | 290 | 303 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1)(2) | 290 | 295 | |
NuStar Logistics LP 6.375%, 10/1/30(2) | 305 | 330 |
Par Value | Value | ||
Pipelines—continued | |||
Targa Resources Partners LP 6.500%, 7/15/27(2) | $ 335 | $ 355 | |
2,249 | |||
Real Estate—0.1% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31(2) | 395 | 390 | |
Retail—0.5% | |||
Asbury Automotive Group, Inc. | |||
4.750%, 3/1/30(2) | 267 | 263 | |
144A 4.625%, 11/15/29(1) | 145 | 142 | |
144A 5.000%, 2/15/32(1) | 145 | 144 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) | 325 | 349 | |
Carvana Co. 144A 4.875%, 9/1/29(1) | 295 | 262 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 300 | 278 | |
1,438 | |||
Semiconductors—0.1% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1)(2) | 275 | 289 | |
Software—0.4% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 440 | 419 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 295 | 302 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) | 480 | 496 | |
1,217 | |||
Telecommunications—1.0% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1)(2) | 275 | 281 | |
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1)(2) | 265 | 262 | |
144A 6.000%, 1/15/30(1)(2) | 150 | 145 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26(2) | 400 | 431 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1)(2) | 430 | 418 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1)(2) | 185 | 170 | |
144A 5.375%, 6/15/29(1)(2) | 425 | 403 | |
Sprint Corp. 7.625%, 3/1/26(2) | 465 | 532 | |
T-Mobile USA, Inc. 3.500%, 4/15/31(2) | 295 | 288 | |
2,930 | |||
Transportation—0.2% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1)(2) | 265 | 290 |
Par Value | Value | ||
Transportation—continued | |||
144A 5.500%, 5/1/28(1)(2) | $ 150 | $ 145 | |
435 | |||
Total Corporate Bonds and Notes (Identified Cost $52,534) | 52,293 | ||
Leveraged Loans—0.1% | |||
Retail—0.1% | |||
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (3) | 233 | 233 | |
Total Leveraged Loans (Identified Cost $233) | 233 | ||
Shares | ||
Convertible Preferred Stocks—13.1% | ||
Auto Components—0.8% | ||
Aptiv plc Series A, 5.500%(2) | 15,160 | 2,362 |
Capital Markets—0.9% | ||
KKR & Co., Inc. Series C, 6.000%(2) | 27,865 | 2,473 |
Commercial Services & Supplies—0.6% | ||
GFL Environmental, Inc., 6.000%(2) | 22,505 | 1,702 |
Electric Utilities—1.7% | ||
NextEra Energy, Inc., 5.279%(2) | 66,200 | 3,376 |
NextEra Energy, Inc., 6.219%(2) | 28,685 | 1,474 |
4,850 | ||
Healthcare Equipment & Supplies—0.9% | ||
Boston Scientific Corp. Series A, 5.500%(2) | 21,515 | 2,507 |
Life Sciences Tools & Services—3.2% | ||
Avantor, Inc. Series A, 6.250%(2) | 32,785 | 3,744 |
Danaher Corp. Series A, 4.750%(2) | 2,755 | 5,252 |
8,996 | ||
Machinery—1.5% | ||
RBC Bearings, Inc. Series A, 5.000%(2) | 17,125 | 1,641 |
Stanley Black & Decker, Inc., 5.250%(2) | 25,335 | 2,644 |
4,285 | ||
Professional Services—0.3% | ||
Clarivate plc Series A, 5.250% | 13,950 | 963 |
Semiconductors & Semiconductor Equipment—2.4% | ||
Broadcom, Inc. Series A, 8.000%(2) | 3,655 | 6,694 |
Shares | Value | ||
Telecommunications—0.8% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1)(2) | 2,175 | $ 2,163 | |
Total Convertible Preferred Stocks (Identified Cost $33,490) | 36,995 | ||
Preferred Stocks—0.1% | |||
Entertainment—0.1% | |||
LiveStyle, Inc. Series B (4)(5)(6)(7)(8) | 3,783 | 378 | |
LiveStyle, Inc. Series B (4)(5)(6)(7) | 1,250 | — | |
378 | |||
Total Preferred Stocks (Identified Cost $1,621) | 378 | ||
Common Stocks—34.0% | |||
Automobiles—1.3% | |||
Tesla, Inc.(7) | 3,890 | 3,644 | |
Banks—1.5% | |||
CCF Holdings LLC(6)(7) | 1,026,972 | 452 | |
CCF Holdings LLC Class M(6)(7) | 219,990 | 97 | |
JPMorgan Chase & Co. | 12,660 | 1,881 | |
Wells Fargo & Co. | 34,255 | 1,843 | |
4,273 | |||
Biotechnology—0.7% | |||
AbbVie, Inc.(9) | 10,200 | 1,396 | |
Horizon Therapeutics plc(7) | 6,540 | 611 | |
2,007 | |||
Capital Markets—1.1% | |||
Charles Schwab Corp. (The) | 14,270 | 1,252 | |
CME Group, Inc. Class A | 3,555 | 816 | |
S&P Global, Inc. | 2,775 | 1,152 | |
3,220 | |||
Chemicals—0.6% | |||
DuPont de Nemours, Inc.(9) | 6,870 | 526 | |
Sherwin-Williams Co. (The) | 4,200 | 1,203 | |
1,729 | |||
Commercial Services & Supplies—0.4% | |||
Waste Management, Inc. | 6,495 | 977 | |
Communications Equipment—0.3% | |||
Cisco Systems, Inc. | 16,520 | 920 | |
Electrical Equipment—0.2% | |||
Generac Holdings, Inc.(7) | 2,070 | 584 | |
Energy Equipment & Services—0.5% | |||
Schlumberger N.V. | 32,705 | 1,278 |
Shares | Value | ||
Entertainment—0.0% | |||
LiveStyle, Inc.(4)(5)(6)(7)(8) | 13,574 | $ — (10) | |
Equity Real Estate Investment—0.4% | |||
Crown Castle International Corp. | 6,190 | 1,130 | |
Food & Staples Retailing—0.6% | |||
Costco Wholesale Corp.(9) | 3,170 | 1,601 | |
Healthcare Equipment & Supplies—1.1% | |||
Abbott Laboratories(9) | 7,550 | 962 | |
Dexcom, Inc.(7) | 1,670 | 719 | |
Intuitive Surgical, Inc.(7)(9) | 4,555 | 1,295 | |
2,976 | |||
Healthcare Providers & Services—0.6% | |||
UnitedHealth Group, Inc. | 3,332 | 1,575 | |
Hotels, Restaurants & Leisure—1.4% | |||
Booking Holdings, Inc.(7) | 700 | 1,719 | |
Chipotle Mexican Grill, Inc. Class A(7) | 415 | 616 | |
Darden Restaurants, Inc. | 3,545 | 496 | |
MGM Resorts International(9) | 23,125 | 988 | |
Starbucks Corp.(9) | 2,428 | 239 | |
4,058 | |||
Household Durables—0.4% | |||
DR Horton, Inc. | 12,310 | 1,098 | |
Industrial Conglomerates—0.3% | |||
Honeywell International, Inc.(9) | 3,515 | 719 | |
Insurance—0.3% | |||
Aon plc Class A | 3,460 | 956 | |
Interactive Media & Services—3.1% | |||
Alphabet, Inc. Class A(7) | 1,920 | 5,196 | |
Meta Platforms, Inc. Class A(7) | 11,540 | 3,615 | |
8,811 | |||
Internet & Direct Marketing Retail—1.3% | |||
Amazon.com, Inc.(7) | 1,180 | 3,530 | |
IT Services—1.9% | |||
Accenture plc Class A | 5,220 | 1,846 | |
EPAM Systems, Inc.(7) | 917 | 436 | |
Mastercard, Inc. Class A(9) | 3,895 | 1,505 | |
Visa, Inc. Class A(9) | 7,100 | 1,606 | |
5,393 | |||
Life Sciences Tools & Services—1.3% | |||
Agilent Technologies, Inc. | 8,617 | 1,200 | |
IQVIA Holdings, Inc.(7) | 4,935 | 1,209 | |
Thermo Fisher Scientific, Inc.(9) | 2,175 | 1,264 | |
3,673 | |||
Machinery—0.3% | |||
Deere & Co.(9) | 2,430 | 915 |
Shares | Value | ||
Metals & Mining—0.2% | |||
Freeport-McMoRan, Inc. | 11,475 | $ 427 | |
Multiline Retail—0.3% | |||
Target Corp.(9) | 4,030 | 888 | |
Oil, Gas & Consumable Fuels—1.3% | |||
ConocoPhillips | 22,360 | 1,982 | |
Devon Energy Corp. | 35,820 | 1,811 | |
3,793 | |||
Pharmaceuticals—0.8% | |||
Eli Lilly & Co. | 5,700 | 1,399 | |
Zoetis, Inc. Class A | 4,620 | 923 | |
2,322 | |||
Road & Rail—0.2% | |||
Union Pacific Corp. | 2,095 | 512 | |
Semiconductors & Semiconductor Equipment—3.0% | |||
Advanced Micro Devices, Inc.(7)(9) | 6,110 | 698 | |
Broadcom, Inc. | 1,430 | 838 | |
Enphase Energy, Inc.(7) | 5,085 | 714 | |
Lam Research Corp.(9) | 1,925 | 1,136 | |
Marvell Technology, Inc. | 9,465 | 676 | |
Micron Technology, Inc. | 10,735 | 883 | |
NVIDIA Corp. | 12,000 | 2,938 | |
QUALCOMM, Inc.(9) | 3,795 | 667 | |
8,550 | |||
Software—4.8% | |||
Adobe, Inc. (7)(9) | 3,360 | 1,795 | |
Atlassian Corp. plc Class A(7)(9) | 2,945 | 955 | |
Crowdstrike Holdings, Inc. Class A(7) | 2,880 | 520 | |
Intuit, Inc. | 2,970 | 1,649 | |
Microsoft Corp. | 19,655 | 6,113 | |
salesforce.com, Inc.(7)(9) | 4,905 | 1,141 | |
ServiceNow, Inc.(7)(9) | 2,460 | 1,441 | |
13,614 | |||
Specialty Retail—1.3% | |||
Home Depot, Inc. (The) | 7,895 | 2,897 | |
TJX Cos., Inc. (The) | 9,270 | 667 | |
3,564 | |||
Technology Hardware, Storage & Peripherals—2.0% | |||
Apple, Inc. | 32,995 | 5,767 | |
Textiles, Apparel & Luxury Goods—0.5% | |||
NIKE, Inc. Class B(9) | 9,090 | 1,346 | |
Total Common Stocks (Identified Cost $87,215) | 95,850 | ||
Shares | Value | ||
Warrant—0.0% | |||
Banks—0.0% | |||
CCF Holdings LLC(6)(7) | 363,920 | $ 84 | |
Total Warrant (Identified Cost $—) | 84 | ||
Par Value | ||
Convertible Bonds and Notes—65.8% | ||
Airlines—0.9% | ||
American Airlines Group, Inc. 6.500%, 7/1/25 | $ 845 | 1,117 |
Southwest Airlines Co. 1.250%, 5/1/25(2) | 1,145 | 1,560 |
2,677 | ||
Auto Manufacturers—2.9% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1)(2) | 2,875 | 3,900 |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 1,570 | 1,297 |
NIO, Inc. 144A 0.500%, 2/1/27(1) | 935 | 766 |
Tesla, Inc. 2.000%, 5/15/24(2) | 150 | 2,261 |
8,224 | ||
Biotechnology—1.2% | ||
BioMarin Pharmaceutical, Inc. 1.250%, 5/15/27 | 1,425 | 1,521 |
Global Blood Therapeutics, Inc. 144A 1.875%, 12/15/28(1) | 915 | 1,072 |
Guardant Health, Inc. 0.000%, 11/15/27(2) | 1,035 | 880 |
3,473 | ||
Commercial Services—2.8% | ||
Block, Inc. | ||
0.000%, 5/1/26(2) | 1,155 | 1,081 |
0.250%, 11/1/27(2) | 1,260 | 1,173 |
Euronet Worldwide, Inc. 0.750%, 3/15/49 | 540 | 596 |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 395 | 342 |
Shift4 Payments, Inc. | ||
144A 0.000%, 12/15/25(1)(2) | 1,125 | 1,129 |
144A 0.500%, 8/1/27(1) | 1,820 | 1,533 |
Stride, Inc. 1.125%, 9/1/27(2) | 2,060 | 2,089 |
7,943 | ||
Computers—3.3% | ||
CyberArk Software Ltd. 0.000%, 11/15/24 | 1,330 | 1,477 |
KBR, Inc. 2.500%, 11/1/23 | 355 | 619 |
Lumentum Holdings, Inc. 0.500%, 12/15/26(2) | 2,350 | 2,820 |
Par Value | Value | ||
Computers—continued | |||
Pure Storage, Inc. 0.125%, 4/15/23(2) | $ 2,290 | $ 2,692 | |
Zscaler, Inc. 0.125%, 7/1/25(2) | 895 | 1,617 | |
9,225 | |||
Cosmetics & Personal Care—0.6% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 2,060 | 1,717 | |
Diversified Financial Services—1.9% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 2,035 | 1,900 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 | 1,185 | 1,223 | |
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(1)(2) | 2,280 | 2,116 | |
5,239 | |||
Electronics—0.3% | |||
II-VI, Inc. 0.250%, 9/1/22 | 535 | 740 | |
Energy-Alternate Sources—1.1% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(1)(2) | 2,050 | 1,890 | |
144A 0.000%, 3/1/28(1)(2) | 1,205 | 1,100 | |
2,990 | |||
Entertainment—2.9% | |||
Live Nation Entertainment, Inc. 2.000%, 2/15/25(2) | 3,930 | 4,896 | |
Penn National Gaming, Inc. 2.750%, 5/15/26 | 270 | 579 | |
Vail Resorts, Inc. 0.000%, 1/1/26(2) | 2,640 | 2,645 | |
8,120 | |||
Equity Real Estate Investment Trusts (REITs)—1.9% | |||
Apollo Commercial Real Estate Finance, Inc. 4.750%, 8/23/22 | 2,375 | 2,379 | |
Pebblebrook Hotel Trust 1.750%, 12/15/26(2) | 2,655 | 2,887 | |
5,266 | |||
Healthcare-Products—3.1% | |||
CONMED Corp. 2.625%, 2/1/24(2) | 840 | 1,356 | |
Envista Holdings Corp. 2.375%, 6/1/25(2) | 1,045 | 2,228 | |
Insulet Corp. 0.375%, 9/1/26(2) | 2,335 | 2,967 | |
Omnicell, Inc. 0.250%, 9/15/25(2) | 1,140 | 1,831 |
Par Value | Value | ||
Healthcare-Products—continued | |||
Tandem Diabetes Care, Inc. 144A 1.500%, 5/1/25(1) | $ 380 | $ 482 | |
8,864 | |||
Healthcare-Services—0.5% | |||
Anthem, Inc. 2.750%, 10/15/42 | 225 | 1,406 | |
Internet—13.5% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(1)(2) | 3,770 | 3,582 | |
Booking Holdings, Inc. 0.750%, 5/1/25(2) | 1,660 | 2,479 | |
Etsy, Inc. 144A 0.250%, 6/15/28(1)(2) | 2,110 | 2,084 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1)(2) | 3,165 | 3,698 | |
Lyft, Inc. 1.500%, 5/15/25(2) | 1,140 | 1,430 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1)(2) | 1,505 | 2,163 | |
Okta, Inc. 0.375%, 6/15/26(2) | 2,055 | 2,288 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23(2) | 810 | 1,585 | |
0.375%, 6/1/25(2) | 2,695 | 4,764 | |
Perficient, Inc. 144A 0.125%, 11/15/26(1) | 1,705 | 1,499 | |
Sea Ltd. 0.250%, 9/15/26(2) | 1,340 | 1,121 | |
Snap, Inc. 144A 0.000%, 5/1/27(1)(2) | 4,370 | 3,750 | |
TechTarget, Inc. 144A 0.000%, 12/15/26(1) | 2,185 | 2,008 | |
Uber Technologies, Inc. 0.000%, 12/15/25(2) | 3,600 | 3,371 | |
Wayfair, Inc. 0.625%, 10/1/25(2) | 2,620 | 2,296 | |
38,118 | |||
Leisure Time—2.4% | |||
Callaway Golf Co. 2.750%, 5/1/26(2) | 740 | 1,143 | |
NCL Corp., Ltd. 144A 1.125%, 2/15/27(1)(2) | 3,320 | 3,157 | |
Royal Caribbean Cruises Ltd. 2.875%, 11/15/23(2) | 2,155 | 2,556 | |
6,856 | |||
Machinery-Diversified—1.2% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1)(2) | 460 | 983 | |
Middleby Corp. (The) 1.000%, 9/1/25(2) | 1,540 | 2,342 | |
3,325 | |||
Media—1.2% | |||
DISH Network Corp. 0.000%, 12/15/25(2) | 1,410 | 1,375 |
Par Value | Value | ||
Media—continued | |||
Liberty Media Corp. 1.375%, 10/15/23(2) | $ 1,385 | $ 1,897 | |
3,272 | |||
Mining—0.8% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(1)(2) | 1,830 | 2,136 | |
Oil, Gas & Consumable Fuels—2.1% | |||
EQT Corp. 1.750%, 5/1/26(2) | 1,070 | 1,738 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25(2) | 2,020 | 4,188 | |
5,926 | |||
Pharmaceuticals—4.3% | |||
Dexcom, Inc. 0.250%, 11/15/25(2) | 5,030 | 5,349 | |
Jazz Investments I Ltd. 2.000%, 6/15/26(2) | 3,415 | 3,992 | |
Pacira BioSciences, Inc. 0.750%, 8/1/25 | 1,370 | 1,560 | |
Sarepta Therapeutics, Inc. 1.500%, 11/15/24(2) | 1,040 | 1,318 | |
12,219 | |||
Private Equity—0.4% | |||
Digitalbridge Operating Co. LLC 144A 5.750%, 7/15/25(1)(2) | 360 | 1,184 | |
Retail—0.7% | |||
Burlington Stores, Inc. 2.250%, 4/15/25(2) | 405 | 528 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25(2) | 450 | 1,603 | |
2,131 | |||
Semiconductors—3.4% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1)(2) | 2,160 | 2,231 | |
Microchip Technology, Inc. 0.125%, 11/15/24(2) | 1,870 | 2,219 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1)(2) | 1,415 | 1,889 | |
Silicon Laboratories, Inc. 0.625%, 6/15/25(2) | 350 | 514 | |
Teradyne, Inc. 1.250%, 12/15/23(2) | 245 | 908 | |
Wolfspeed, Inc. 1.750%, 5/1/26(2) | 855 | 1,823 | |
9,584 | |||
Software—11.7% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 2,340 | 3,002 | |
Bill.com Holdings, Inc. | |||
0.000%, 12/1/25(2) | 650 | 907 | |
144A 0.000%, 4/1/27(1) | 1,495 | 1,347 |
Par Value | Value | ||
Software—continued | |||
Ceridian HCM Holding, Inc. 144A 0.250%, 3/15/26(1) | $ 1,260 | $ 1,155 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 3,150 | 2,924 | |
Confluent, Inc. 144A 0.000%, 1/15/27(1) | 780 | 764 | |
Datadog, Inc. 0.125%, 6/15/25(2) | 485 | 831 | |
Jamf Holding Corp. 144A 0.125%, 9/1/26(1)(2) | 2,030 | 1,974 | |
MongoDB, Inc. 0.250%, 1/15/26(2) | 850 | 1,701 | |
New Relic, Inc. 0.500%, 5/1/23(2) | 1,220 | 1,434 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(1)(2) | 3,083 | 2,611 | |
Porch Group, Inc. 144A 0.750%, 9/15/26(1)(2) | 2,135 | 1,664 | |
ServiceNow, Inc. 0.000%, 6/1/22(2) | 315 | 1,367 | |
Splunk, Inc. | |||
0.500%, 9/15/23(2) | 2,700 | 2,938 | |
1.125%, 6/15/27 | 430 | 390 | |
Tyler Technologies, Inc. 144A 0.250%, 3/15/26(1)(2) | 2,675 | 3,046 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1)(2) | 3,180 | 2,660 | |
Workday, Inc. 0.250%, 10/1/22(2) | 1,315 | 2,276 | |
32,991 | |||
Telecommunications—0.7% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24(2) | 1,585 | 2,098 | |
Total Convertible Bonds and Notes (Identified Cost $187,089) | 185,724 | ||
Total Long-Term Investments—131.6% (Identified Cost $362,182) | 371,557 | ||
Shares | ||
Short-Term Investment—5.9% | ||
Money Market Mutual Fund—5.9% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11) | 16,807,073 | 16,807 |
Total Short-Term Investment (Identified Cost $16,807) | 16,807 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—137.5% (Identified Cost $378,989) | 388,364 | |
Value | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $37) | $ (69) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—137.5% (Identified Cost $378,952) | $ 388,295 | |
Other assets and liabilities, net—(37.5)% | (105,947) | |
NET ASSETS—100.0% | $ 282,348 |
Abbreviations: | |
EV | Enterprise Value |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2022, these securities amounted to a value of $105,699 or 37.4% of net assets. |
(2) | All or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $208,527. |
(3) | Variable rate security. Rate disclosed is as of January 31, 2022. 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. |
(4) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.13% of net assets. |
(5) | Affiliated Investment. See Note 4G in Notes to Financial Statements. |
(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) | Non-income producing. |
(8) | Security is restricted from resale. |
(9) | All or a portion of the security is segregated as collateral for written options. |
(10) | Amount is less than $500. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 93% |
Bermuda | 2 |
Liberia | 1 |
Jersey | 1 |
Canada | 1 |
United Kingdom | 1 |
Cayman Islands | 1 |
Total | 100% |
† % of total investments, net of written options, as of January 31, 2022. |
Open Written Options Contracts as of January 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Abbott Laboratories | (18) | $(247) | $137.00 | 02/18/22 | $(—) (3) |
AbbVie, Inc. | (41) | (594) | 145.00 | 02/18/22 | (3) |
Adobe, Inc. | (14) | (819) | 585.00 | 02/18/22 | (3) |
Advanced Micro Devices, Inc. | (18) | (270) | 150.00 | 02/18/22 | (1) |
Atlassian Corp. plc | (15) | (555) | 370.00 | 02/18/22 | (4) |
Costco Wholesale Corp. | (8) | (424) | 530.00 | 02/18/22 | (2) |
Darden Restaurants, Inc. | (8) | (120) | 150.00 | 02/18/22 | (—) (3) |
Deere & Co. | (13) | (539) | 415.00 | 02/18/22 | (2) |
DuPont de Nemours, Inc. | (18) | (155) | 86.00 | 02/18/22 | (1) |
Honeywell International, Inc. | (13) | (280) | 215.00 | 02/18/22 | (1) |
Intuitive Surgical, Inc. | (10) | (300) | 300.00 | 02/18/22 | (4) |
Lam Research Corp. | (10) | (735) | 735.00 | 02/18/22 | (—) (3) |
Mastercard, Inc. | (14) | (539) | 385.00 | 02/18/22 | (15) |
MGM Resorts International | (30) | (144) | 48.00 | 02/18/22 | (1) |
NIKE, Inc. | (4) | (63) | 157.50 | 02/18/22 | (—) (3) |
QUALCOMM, Inc. | (20) | (400) | 200.00 | 02/18/22 | (3) |
salesforce.com, Inc. | (12) | (306) | 255.00 | 02/18/22 | (1) |
ServiceNow, Inc. | (9) | (576) | 640.00 | 02/18/22 | (5) |
Starbucks Corp. | (13) | (139) | 107.00 | 02/18/22 | (1) |
Target Corp. | (20) | (480) | 240.00 | 02/18/22 | (1) |
Thermo Fisher Scientific, Inc. | (4) | (248) | 620.00 | 02/18/22 | (2) |
Open Written Options Contracts as of January 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Visa, Inc. | (32) | $(720) | $225.00 | 02/18/22 | $(19) |
Total Written Options | $(69) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Exchange-traded options |
(3) | Amount is less than $500. |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 52,293 | $ — | $ 52,293 | $ — | |||
Leveraged Loans | 233 | — | 233 | — | |||
Convertible Bonds and Notes | 185,724 | — | 185,724 | — | |||
Equity Securities: | |||||||
Common Stocks | 95,850 | 95,301 | — | 549 | |||
Convertible Preferred Stocks | 36,995 | 34,832 | 2,163 | — | |||
Preferred Stocks | 378 | — | — | 378 (1) | |||
Warrant | 84 | — | — | 84 | |||
Money Market Mutual Fund | 16,807 | 16,807 | — | — | |||
Total Investments, before Written Options | 388,364 | 146,940 | 240,413 | 1,011 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (69) | (68) | (1) | — | |||
Total Investments, Net of Written Options | $388,295 | $146,872 | $240,412 | $1,011 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Common Stocks | Corporate Bonds | Preferred Stocks | Warrant | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2021: | $ 2,951 | $ —(a) | $ 1,843 | $ 1,108 | $ — (a) | ||||
Accrued discount/(premium) | 6 | — | 6 | — | — | ||||
Realized gain (loss) | 23 | — (a) | — | 23 | — (a) | ||||
Change in unrealized appreciation (depreciation)(b) | 301 | (1,369) | 1,507 | 79 | 84 | ||||
Purchases | 1,918 | 1,918 | — | — | — | ||||
Sales | (4,188) | — (a) | (3,356) (c) | (832) | — (a) | ||||
Balance as of January 31, 2022 | $ 1,011 | $ 549 | $ — | $ 378(d) | $ 84 |
Investments in Securities – Assets | Ending Balance at January 31, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $378 | Market and Company Comparables | EV Multiples | 2.71x (0.25x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Common Stocks: | ||||||||
CCF Holdings LLC | $452 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $ 97 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $ —(1) | Market and Company Comparables | EV Multiples | 2.71x (0.25x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $ 84 | Market and Company Comparables | EV Multiples | 1.22x (0.48x - 1.97x) | ||||
0.65x (0.28x - 0.97x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 55.24% | ||||||
(1) Amount is less than $500. |
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Cobalt International Energy, Inc. 7.750%, 12/1/23(1)(2) | $ 2,509 | $ 36 | |
Total Corporate Bonds and Notes (Identified Cost $1,106) | 36 | ||
Shares | ||
Convertible Preferred Stocks—6.8% | ||
Auto Components—0.4% | ||
Aptiv plc Series A, 5.500% | 22,210 | 3,460 |
Banks—0.9% | ||
Bank of America Corp. Series L, 7.250% | 1,965 | 2,767 |
Wells Fargo & Co. Series L, 7.500% | 3,405 | 4,849 |
7,616 | ||
Capital Markets—0.4% | ||
KKR & Co., Inc. Series C, 6.000% | 34,620 | 3,073 |
Commercial Services & Supplies—0.2% | ||
GFL Environmental, Inc., 6.000% | 20,280 | 1,534 |
Diversified Financial Services—0.2% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(3) | 1,300 | 1,476 |
Electric Utilities—0.8% | ||
NextEra Energy, Inc., 5.279% | 60,130 | 3,066 |
NextEra Energy, Inc., 6.219% | 75,420 | 3,876 |
6,942 | ||
Electronic Equipment, Instruments & Components—0.1% | ||
II-VI, Inc. Series A, 6.000% | 3,415 | 900 |
Healthcare Equipment & Supplies—0.5% | ||
Boston Scientific Corp. Series A, 5.500% | 37,930 | 4,420 |
Life Sciences Tools & Services—1.4% | ||
Avantor, Inc. Series A, 6.250% | 32,845 | 3,751 |
Danaher Corp. Series B, 5.000% | 5,050 | 7,798 |
11,549 | ||
Machinery—0.2% | ||
Stanley Black & Decker, Inc., 5.250% | 13,835 | 1,444 |
Pharmaceuticals—0.1% | ||
Elanco Animal Health, Inc., 5.000% | 31,335 | 1,296 |
Professional Services—0.2% | ||
Clarivate plc Series A, 5.250% | 24,895 | 1,718 |
Semiconductors & Semiconductor Equipment—1.0% | ||
Broadcom, Inc. Series A, 8.000% | 4,855 | 8,893 |
Shares | Value | ||
Telecommunications—0.4% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(3) | 3,075 | $ 3,058 | |
Total Convertible Preferred Stocks (Identified Cost $50,197) | 57,379 | ||
Common Stocks—63.8% | |||
Automobiles—2.4% | |||
Tesla, Inc.(4) | 21,930 | 20,542 | |
Banks—2.5% | |||
JPMorgan Chase & Co. | 71,400 | 10,610 | |
Wells Fargo & Co. | 193,205 | 10,395 | |
21,005 | |||
Biotechnology—1.3% | |||
AbbVie, Inc.(5) | 53,390 | 7,309 | |
Horizon Therapeutics plc(4) | 36,885 | 3,442 | |
10,751 | |||
Capital Markets—2.2% | |||
Charles Schwab Corp. (The) | 80,495 | 7,059 | |
CME Group, Inc. Class A | 20,035 | 4,598 | |
S&P Global, Inc. | 15,635 | 6,492 | |
18,149 | |||
Chemicals—1.2% | |||
DuPont de Nemours, Inc.(5) | 38,745 | 2,968 | |
Sherwin-Williams Co. (The) | 23,735 | 6,800 | |
9,768 | |||
Commercial Services & Supplies—0.7% | |||
Waste Management, Inc. | 36,710 | 5,523 | |
Communications Equipment—0.6% | |||
Cisco Systems, Inc. | 93,340 | 5,196 | |
Electrical Equipment—0.4% | |||
Generac Holdings, Inc.(4) | 11,680 | 3,298 | |
Energy Equipment & Services—0.9% | |||
Schlumberger N.V. | 184,770 | 7,219 | |
Equity Real Estate Investment—0.7% | |||
Crown Castle International Corp. | 32,586 | 5,947 | |
Food & Staples Retailing—1.1% | |||
Costco Wholesale Corp.(5) | 17,875 | 9,029 | |
Healthcare Equipment & Supplies—1.9% | |||
Abbott Laboratories(5) | 34,870 | 4,444 | |
Dexcom, Inc.(4) | 9,435 | 4,062 | |
Intuitive Surgical, Inc.(4)(5) | 25,680 | 7,298 | |
15,804 | |||
Shares | Value | ||
Healthcare Providers & Services—1.0% | |||
UnitedHealth Group, Inc. | 18,783 | $ 8,876 | |
Hotels, Restaurants & Leisure—2.7% | |||
Booking Holdings, Inc.(4) | 3,935 | 9,665 | |
Chipotle Mexican Grill, Inc. Class A(4) | 2,330 | 3,462 | |
Darden Restaurants, Inc. | 19,985 | 2,795 | |
MGM Resorts International(5) | 130,450 | 5,573 | |
Starbucks Corp.(5) | 13,713 | 1,348 | |
22,843 | |||
Household Durables—0.7% | |||
DR Horton, Inc. | 69,435 | 6,195 | |
Industrial Conglomerates—0.5% | |||
Honeywell International, Inc.(5) | 19,840 | 4,057 | |
Insurance—0.6% | |||
Aon plc Class A | 19,515 | 5,395 | |
Interactive Media & Services—5.9% | |||
Alphabet, Inc. Class A(4) | 10,820 | 29,280 | |
Meta Platforms, Inc. Class A(4) | 65,095 | 20,392 | |
49,672 | |||
Internet & Direct Marketing Retail—2.4% | |||
Amazon.com, Inc.(4) | 6,655 | 19,908 | |
IT Services—3.6% | |||
Accenture plc Class A | 29,430 | 10,406 | |
EPAM Systems, Inc.(4) | 5,172 | 2,462 | |
Mastercard, Inc. Class A(5) | 22,030 | 8,512 | |
Visa, Inc. Class A(5) | 40,035 | 9,055 | |
30,435 | |||
Life Sciences Tools & Services—2.5% | |||
Agilent Technologies, Inc. | 48,606 | 6,772 | |
IQVIA Holdings, Inc.(4) | 27,820 | 6,813 | |
Thermo Fisher Scientific, Inc.(5) | 12,245 | 7,118 | |
20,703 | |||
Machinery—0.6% | |||
Deere & Co.(5) | 13,695 | 5,155 | |
Metals & Mining—0.3% | |||
Freeport-McMoRan, Inc. | 64,815 | 2,412 | |
Multiline Retail—0.6% | |||
Target Corp.(5) | 22,750 | 5,015 | |
Oil, Gas & Consumable Fuels—2.4% | |||
ConocoPhillips | 118,295 | 10,484 | |
Devon Energy Corp. | 193,400 | 9,780 | |
20,264 | |||
Pharmaceuticals—1.6% | |||
Eli Lilly & Co. | 32,135 | 7,886 |
Shares | Value | ||
Pharmaceuticals—continued | |||
Zoetis, Inc. Class A | 26,045 | $ 5,203 | |
13,089 | |||
Road & Rail—0.3% | |||
Union Pacific Corp. | 11,815 | 2,889 | |
Semiconductors & Semiconductor Equipment—5.7% | |||
Advanced Micro Devices, Inc.(4)(5) | 34,495 | 3,941 | |
Broadcom, Inc. | 7,485 | 4,385 | |
Enphase Energy, Inc.(4) | 24,570 | 3,451 | |
Lam Research Corp.(5) | 10,855 | 6,404 | |
Marvell Technology, Inc. | 53,445 | 3,816 | |
Micron Technology, Inc. | 60,545 | 4,981 | |
NVIDIA Corp. | 67,680 | 16,572 | |
QUALCOMM, Inc.(5) | 21,385 | 3,759 | |
Wolfspeed, Inc.(4) | 6,710 | 632 | |
47,941 | |||
Software—9.3% | |||
Adobe, Inc. (4)(5) | 18,950 | 10,125 | |
Atlassian Corp. plc Class A(4)(5) | 16,640 | 5,397 | |
Crowdstrike Holdings, Inc. Class A(4) | 16,245 | 2,935 | |
Intuit, Inc. | 16,750 | 9,300 | |
Microsoft Corp. | 115,355 | 35,873 | |
salesforce.com, Inc.(4)(5) | 27,656 | 6,434 | |
ServiceNow, Inc.(4)(5) | 13,905 | 8,145 | |
78,209 | |||
Specialty Retail—2.4% | |||
Home Depot, Inc. (The) | 44,530 | 16,342 | |
TJX Cos., Inc. (The) | 52,280 | 3,762 | |
20,104 | |||
Technology Hardware, Storage & Peripherals—3.9% | |||
Apple, Inc. | 186,440 | 32,586 | |
Textiles, Apparel & Luxury Goods—0.9% | |||
NIKE, Inc. Class B(5) | 51,270 | 7,592 | |
Total Common Stocks (Identified Cost $473,779) | 535,571 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd.(4) | 486 | 4 | |
Total Warrant (Identified Cost $—) | 4 | ||
Par Value | ||
Convertible Bonds and Notes—26.9% | ||
Airlines—0.4% | ||
Southwest Airlines Co. 1.250%, 5/1/25 | $ 2,305 | 3,141 |
Par Value | Value | ||
Auto Manufacturers—1.2% | |||
Ford Motor Co. 144A 0.000%, 3/15/26(3) | $ 3,060 | $ 4,151 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(3) | 2,110 | 1,743 | |
NIO, Inc. 144A 0.000%, 2/1/26(3) | 1,775 | 1,518 | |
Tesla, Inc. 2.000%, 5/15/24 | 190 | 2,864 | |
10,276 | |||
Banks—0.3% | |||
BofA Finance LLC 0.125%, 9/1/22 | 1,520 | 1,579 | |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(3) | 1,215 | 1,205 | |
2,784 | |||
Biotechnology—0.8% | |||
BioMarin Pharmaceutical, Inc. 1.250%, 5/15/27 | 770 | 822 | |
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(3) | 1,805 | 902 | |
Guardant Health, Inc. 0.000%, 11/15/27 | 1,685 | 1,432 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(3) | 2,330 | 2,009 | |
Illumina, Inc. 0.000%, 8/15/23 | 220 | 244 | |
Insmed, Inc. 0.750%, 6/1/28 | 760 | 736 | |
Livongo Health, Inc. 0.875%, 6/1/25 | 635 | 672 | |
6,817 | |||
Commercial Services—1.2% | |||
Affirm Holdings, Inc. 144A 0.000%, 11/15/26(3) | 3,065 | 2,399 | |
Block, Inc. | |||
0.000%, 5/1/26 | 2,075 | 1,942 | |
0.250%, 11/1/27 | 3,430 | 3,194 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(3) | 865 | 868 | |
144A 0.500%, 8/1/27(3) | 2,050 | 1,727 | |
10,130 | |||
Computers—0.8% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,275 | 2,731 | |
Pure Storage, Inc. 0.125%, 4/15/23 | 1,250 | 1,469 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,410 | 2,547 | |
6,747 | |||
Cosmetics & Personal Care—0.1% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(3) | 1,490 | 1,242 |
Par Value | Value | ||
Diversified Financial Services—0.6% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(3) | $ 2,580 | $ 2,409 | |
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(3) | 2,680 | 2,487 | |
4,896 | |||
Electronics—0.2% | |||
II-VI, Inc. 0.250%, 9/1/22 | 990 | 1,369 | |
Energy-Alternate Sources—0.6% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(3) | 1,355 | 1,249 | |
144A 0.000%, 3/1/28(3) | 2,035 | 1,857 | |
SolarEdge Technologies, Inc. 0.000%, 9/15/25 | 1,525 | 1,777 | |
4,883 | |||
Entertainment—0.7% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(3) | 2,960 | 2,252 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 1,245 | 1,551 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 2,045 | 2,049 | |
5,852 | |||
Equity Real Estate Investment Trusts (REITs)—0.2% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 1,830 | 1,990 | |
Healthcare-Products—1.3% | |||
Envista Holdings Corp. 2.375%, 6/1/25 | 980 | 2,089 | |
Exact Sciences Corp. | |||
0.375%, 3/15/27 | 1,055 | 1,054 | |
0.375%, 3/1/28 | 495 | 476 | |
Insulet Corp. 0.375%, 9/1/26 | 1,945 | 2,471 | |
Novocure Ltd. 0.000%, 11/1/25 | 1,295 | 1,142 | |
Omnicell, Inc. 0.250%, 9/15/25 | 1,405 | 2,257 | |
Repligen Corp. 0.375%, 7/15/24 | 590 | 1,059 | |
10,548 | |||
Healthcare-Services—0.6% | |||
Anthem, Inc. 2.750%, 10/15/42 | 405 | 2,531 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(3) | 2,195 | 1,681 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 1,400 | 1,244 | |
5,456 | |||
Par Value | Value | ||
Internet—6.4% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(3) | $ 4,355 | $ 4,137 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 2,000 | 2,986 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 2,310 | 2,574 | |
144A 0.250%, 6/15/28(3) | 2,460 | 2,429 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(3) | 3,365 | 3,931 | |
Lyft, Inc. 1.500%, 5/15/25 | 265 | 333 | |
Mandiant, Inc. 0.875%, 6/1/24 | 1,505 | 1,493 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(3) | 2,590 | 3,723 | |
Okta, Inc. 0.375%, 6/15/26 | 2,370 | 2,639 | |
Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(3) | 935 | 779 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 4,065 | 7,187 | |
Sea Ltd. 0.250%, 9/15/26 | 3,160 | 2,644 | |
Shopify, Inc. 0.125%, 11/1/25 | 1,910 | 2,033 | |
Snap, Inc. 144A 0.000%, 5/1/27(3) | 5,030 | 4,316 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(3) | 2,320 | 2,030 | |
Twitter, Inc. 144A 0.000%, 3/15/26(3) | 3,480 | 3,080 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 4,010 | 3,755 | |
Wayfair, Inc. 0.625%, 10/1/25 | 3,200 | 2,804 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 895 | 1,035 | |
53,908 | |||
Leisure Time—1.1% | |||
NCL Corp., Ltd. | |||
5.375%, 8/1/25 | 360 | 514 | |
144A 1.125%, 2/15/27(3) | 2,930 | 2,786 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 2,015 | 2,560 | |
2.875%, 11/15/23 | 1,330 | 1,577 | |
Virgin Galactic Holdings, Inc. 144A 2.500%, 2/1/27(3) | 1,780 | 1,651 | |
9,088 | |||
Machinery-Diversified—0.2% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 990 | 1,506 | |
Media—1.3% | |||
DISH Network Corp. | |||
0.000%, 12/15/25 | 1,760 | 1,716 | |
3.375%, 8/15/26 | 2,350 | 2,188 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(3) | 870 | 875 |
Par Value | Value | ||
Media—continued | |||
Liberty Media Corp. | |||
1.375%, 10/15/23 | $ 1,890 | $ 2,589 | |
144A 0.500%, 12/1/50(3) | 2,430 | 3,265 | |
10,633 | |||
Mining—0.2% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(3) | 1,275 | 1,488 | |
Oil, Gas & Consumable Fuels—0.9% | |||
EQT Corp. 1.750%, 5/1/26 | 1,685 | 2,737 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 2,545 | 5,276 | |
8,013 | |||
Pharmaceuticals—1.0% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 4,290 | 4,561 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 3,180 | 3,718 | |
8,279 | |||
Real Estate—0.1% | |||
Redfin Corp. 0.000%, 10/15/25 | 805 | 662 | |
Retail—0.6% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 1,560 | 2,033 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 775 | 2,761 | |
4,794 | |||
Semiconductors—0.9% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(3) | 710 | 733 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 5,055 | 5,997 | |
Wolfspeed, Inc. 1.750%, 5/1/26 | 390 | 832 | |
7,562 | |||
Software—5.2% | |||
Akamai Technologies, Inc. | |||
0.125%, 5/1/25 | 1,900 | 2,438 | |
0.375%, 9/1/27 | 1,060 | 1,212 | |
Alteryx, Inc. 0.500%, 8/1/24 | 1,750 | 1,612 | |
Avalara, Inc. 144A 0.250%, 8/1/26(3) | 2,330 | 2,066 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(3) | 1,650 | 1,558 | |
144A 0.375%, 7/1/27(3) | 785 | 673 | |
Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(3) | 2,980 | 2,684 | |
Blackline, Inc. 144A 0.000%, 3/15/26(3) | 925 | 818 |
Par Value | Value | ||
Software—continued | |||
Cloudflare, Inc. 144A 0.000%, 8/15/26(3) | $ 3,395 | $ 3,152 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 4,630 | 4,126 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(3) | 2,080 | 1,682 | |
DocuSign, Inc. 0.000%, 1/15/24 | 1,470 | 1,391 | |
Five9, Inc. 0.500%, 6/1/25 | 875 | 1,023 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(3) | 1,850 | 1,205 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,285 | 2,571 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(3) | 1,465 | 1,241 | |
RingCentral, Inc. 0.000%, 3/1/25 | 2,555 | 2,336 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 775 | 843 | |
1.125%, 6/15/27 | 3,845 | 3,491 | |
Tyler Technologies, Inc. 144A 0.250%, 3/15/26(3) | 1,245 | 1,418 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(3) | 3,615 | 3,024 | |
Workday, Inc. 0.250%, 10/1/22 | 1,875 | 3,245 | |
43,809 | |||
Total Convertible Bonds and Notes (Identified Cost $231,119) | 225,873 | ||
Total Long-Term Investments—97.5% (Identified Cost $756,201) | 818,863 | ||
Shares | ||
Short-Term Investment—2.9% | ||
Money Market Mutual Fund—2.9% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(6) | 24,729,875 | 24,730 |
Total Short-Term Investment (Identified Cost $24,730) | 24,730 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—100.4% (Identified Cost $780,931) | 843,593 | |
Value | ||
Written Options—(0.1)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $218) | $ (433) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—100.3% (Identified Cost $780,713) | $843,160 | |
Other assets and liabilities, net—(0.3)% | (2,903) | |
NET ASSETS—100.0% | $840,257 |
Abbreviations: | |
LLC | Limited Liability Company |
NA | National Association |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | 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. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(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 January 31, 2022, these securities amounted to a value of $88,977 or 10.6% of net assets. |
(4) | Non-income producing. |
(5) | All or a portion of the security is segregated as collateral for written options. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 94% |
United Kingdom | 2 |
Curaçao | 1 |
Bermuda | 1 |
Cayman Islands | 1 |
Liberia | 1 |
Total | 100% |
† % of total investments, net of written options, as of January 31, 2022. |
Open Written Options Contracts as of January 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Abbott Laboratories | (130) | $(1,781) | $137.00 | 02/18/22 | $ (3) |
AbbVie, Inc. | (215) | (3,118) | 145.00 | 02/18/22 | (14) |
Adobe, Inc. | (80) | (4,680) | 585.00 | 02/18/22 | (16) |
Advanced Micro Devices, Inc. | (110) | (1,650) | 150.00 | 02/18/22 | (3) |
Atlassian Corp. plc | (85) | (3,145) | 370.00 | 02/18/22 | (20) |
Costco Wholesale Corp. | (45) | (2,385) | 530.00 | 02/18/22 | (13) |
Darden Restaurants, Inc. | (50) | (750) | 150.00 | 02/18/22 | (3) |
Deere & Co. | (70) | (2,905) | 415.00 | 02/18/22 | (9) |
DuPont de Nemours, Inc. | (100) | (860) | 86.00 | 02/18/22 | (4) |
Honeywell International, Inc. | (70) | (1,505) | 215.00 | 02/18/22 | (8) |
Intuitive Surgical, Inc. | (65) | (1,950) | 300.00 | 02/18/22 | (25) |
Lam Research Corp. | (55) | (4,042) | 735.00 | 02/18/22 | (3) |
Mastercard, Inc. | (120) | (4,620) | 385.00 | 02/18/22 | (129) |
MGM Resorts International | (175) | (840) | 48.00 | 02/18/22 | (6) |
NIKE, Inc. | (38) | (599) | 157.50 | 02/18/22 | (3) |
QUALCOMM, Inc. | (110) | (2,200) | 200.00 | 02/18/22 | (15) |
salesforce.com, Inc. | (70) | (1,785) | 255.00 | 02/18/22 | (7) |
ServiceNow, Inc. | (50) | (3,200) | 640.00 | 02/18/22 | (29) |
Starbucks Corp. | (70) | (749) | 107.00 | 02/18/22 | (3) |
Target Corp. | (110) | (2,640) | 240.00 | 02/18/22 | (5) |
Thermo Fisher Scientific, Inc. | (25) | (1,550) | 620.00 | 02/18/22 | (10) |
Visa, Inc. | (175) | (3,937) | 225.00 | 02/18/22 | (105) |
Total Written Options | $(433) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Exchange-traded options |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 36 | $ — | $ — | $36 | |||
Convertible Bonds and Notes | 225,873 | — | 225,873 | — | |||
Equity Securities: | |||||||
Common Stocks | 535,571 | 535,571 | — | — | |||
Convertible Preferred Stocks | 57,379 | 52,845 | 4,534 | — | |||
Warrant | 4 | 4 | — | — | |||
Money Market Mutual Fund | 24,730 | 24,730 | — | — | |||
Total Investments, before Written Options | 843,593 | 613,150 | 230,407 | 36 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (433) | (426) | (7) | — | |||
Total Investments, Net of Written Options | $843,160 | $612,724 | $230,400 | $36 |
January 31, 2022
Par Value | Value | ||
Corporate Bonds and Notes—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Cobalt International Energy, Inc. 7.750%, 12/1/23(1)(2) | $ 4,647 | $ 67 | |
Total Corporate Bonds and Notes (Identified Cost $1,843) | 67 | ||
Shares | ||
Convertible Preferred Stocks—4.4% | ||
Auto Components—0.3% | ||
Aptiv plc Series A, 5.500% | 26,705 | 4,160 |
Banks—0.6% | ||
Bank of America Corp. Series L, 7.250% | 2,330 | 3,281 |
Wells Fargo & Co. Series L, 7.500% | 4,205 | 5,988 |
9,269 | ||
Capital Markets—0.2% | ||
KKR & Co., Inc. Series C, 6.000% | 41,045 | 3,643 |
Commercial Services & Supplies—0.1% | ||
GFL Environmental, Inc., 6.000% | 24,395 | 1,845 |
Diversified Financial Services—0.1% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(3) | 1,585 | 1,800 |
Electric Utilities—0.6% | ||
NextEra Energy, Inc., 5.279% | 73,085 | 3,727 |
NextEra Energy, Inc., 6.219% | 90,705 | 4,661 |
8,388 | ||
Electronic Components—0.1% | ||
II-VI, Inc. Series A, 6.000% | 4,235 | 1,116 |
Healthcare Equipment & Supplies—0.3% | ||
Boston Scientific Corp. Series A, 5.500% | 45,000 | 5,244 |
Life Sciences Tools & Services—0.9% | ||
Avantor, Inc. Series A, 6.250% | 39,285 | 4,486 |
Danaher Corp. Series B, 5.000% | 6,075 | 9,381 |
13,867 | ||
Machinery—0.1% | ||
Stanley Black & Decker, Inc., 5.250% | 16,635 | 1,736 |
Pharmaceuticals—0.1% | ||
Elanco Animal Health, Inc., 5.000% | 38,480 | 1,591 |
Professional Services—0.1% | ||
Clarivate plc Series A, 5.250% | 30,380 | 2,097 |
Semiconductors & Semiconductor Equipment—0.7% | ||
Broadcom, Inc. Series A, 8.000% | 5,840 | 10,697 |
Shares | Value | ||
Telecommunications—0.2% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(3) | 3,695 | $ 3,675 | |
Total Convertible Preferred Stocks (Identified Cost $61,296) | 69,128 | ||
Common Stocks—75.7% | |||
Automobiles—0.4% | |||
Ferrari N.V. | 24,357 | 5,625 | |
Banks—3.1% | |||
Citigroup, Inc. | 186,010 | 12,113 | |
First Republic Bank | 31,476 | 5,464 | |
JPMorgan Chase & Co.(4) | 202,436 | 30,082 | |
47,659 | |||
Beverages—0.3% | |||
Coca-Cola Co. (The) | 83,578 | 5,099 | |
Biotechnology—1.3% | |||
AbbVie, Inc. | 89,348 | 12,231 | |
Amgen, Inc. | 33,982 | 7,719 | |
19,950 | |||
Capital Markets—2.6% | |||
Broadridge Financial Solutions, Inc. | 30,622 | 4,876 | |
Intercontinental Exchange, Inc. | 59,063 | 7,481 | |
Morgan Stanley | 96,832 | 9,929 | |
MSCI, Inc. Class A | 23,256 | 12,468 | |
Nasdaq, Inc. | 32,615 | 5,845 | |
40,599 | |||
Chemicals—1.1% | |||
Linde plc | 32,049 | 10,213 | |
Sherwin-Williams Co. (The) | 26,367 | 7,555 | |
17,768 | |||
Commercial Services & Supplies—0.7% | |||
Cintas Corp. | 14,065 | 5,507 | |
Waste Management, Inc. | 39,624 | 5,961 | |
11,468 | |||
Consumer Finance—0.4% | |||
American Express Co. | 35,427 | 6,370 | |
Distributors—0.9% | |||
Pool Corp. | 29,192 | 13,903 | |
Diversified Consumer Services—0.8% | |||
Rollins, Inc. | 394,999 | 12,186 | |
Diversified Telecommunication Services—0.3% | |||
Verizon Communications, Inc. | 95,847 | 5,102 | |
Electric Utilities—1.7% | |||
NextEra Energy, Inc.(4) | 326,617 | 25,515 |
Shares | Value | ||
Electrical Equipment—0.8% | |||
AMETEK, Inc. | 86,021 | $ 11,765 | |
Equity Real Estate Investment—5.4% | |||
Alexandria Real Estate Equities, Inc. | 24,725 | 4,817 | |
American Tower Corp. | 179,968 | 45,262 | |
Crown Castle International Corp. | 63,458 | 11,582 | |
Equinix, Inc. | 14,376 | 10,421 | |
Sun Communities, Inc. | 60,118 | 11,360 | |
83,442 | |||
Food & Staples Retailing—1.1% | |||
Costco Wholesale Corp. | 23,728 | 11,986 | |
Walmart, Inc. | 41,092 | 5,745 | |
17,731 | |||
Gas Utilities—1.1% | |||
Atmos Energy Corp. | 157,588 | 16,897 | |
Healthcare Equipment & Supplies—1.3% | |||
ResMed, Inc. | 50,149 | 11,464 | |
Stryker Corp. | 36,880 | 9,148 | |
20,612 | |||
Healthcare Providers & Services—1.8% | |||
Anthem, Inc. | 14,063 | 6,202 | |
Chemed Corp. | 20,503 | 9,614 | |
UnitedHealth Group, Inc. | 25,322 | 11,966 | |
27,782 | |||
Healthcare Technology—0.5% | |||
Veeva Systems, Inc. Class A(5) | 30,114 | 7,123 | |
Hotels, Restaurants & Leisure—3.0% | |||
Chipotle Mexican Grill, Inc. Class A(5) | 3,209 | 4,767 | |
Domino’s Pizza, Inc. | 26,524 | 12,059 | |
McDonald’s Corp. | 76,930 | 19,960 | |
Starbucks Corp. | 53,079 | 5,219 | |
Wingstop, Inc. | 33,079 | 5,069 | |
47,074 | |||
Industrial Conglomerates—1.2% | |||
Honeywell International, Inc. | 62,478 | 12,776 | |
Roper Technologies, Inc. | 13,428 | 5,870 | |
18,646 | |||
Insurance—2.1% | |||
Allstate Corp. (The) | 63,969 | 7,719 | |
Kinsale Capital Group, Inc. | 68,375 | 13,697 | |
Willis Towers Watson plc | 44,320 | 10,369 | |
31,785 | |||
Interactive Media & Services—1.9% | |||
Alphabet, Inc. Class A(5) | 6,443 | 17,435 |
Shares | Value | ||
Interactive Media & Services—continued | |||
Alphabet, Inc. Class C(5) | 4,377 | $ 11,879 | |
29,314 | |||
Internet & Direct Marketing Retail—2.3% | |||
Amazon.com, Inc.(4)(5) | 12,143 | 36,325 | |
IT Services—4.1% | |||
Mastercard, Inc. Class A | 110,174 | 42,569 | |
PayPal Holdings, Inc.(5) | 52,623 | 9,048 | |
Visa, Inc. Class A | 54,322 | 12,286 | |
63,903 | |||
Life Sciences Tools & Services—3.4% | |||
Agilent Technologies, Inc. | 38,994 | 5,433 | |
Danaher Corp. | 42,242 | 12,072 | |
Repligen Corp.(5) | 61,711 | 12,240 | |
Thermo Fisher Scientific, Inc.(4) | 19,812 | 11,517 | |
West Pharmaceutical Services, Inc. | 28,174 | 11,078 | |
52,340 | |||
Machinery—0.4% | |||
Toro Co. (The) | 61,713 | 5,960 | |
Media—0.4% | |||
Cable One, Inc. | 4,442 | 6,862 | |
Multiline Retail—0.4% | |||
Dollar General Corp. | 27,787 | 5,793 | |
Oil, Gas & Consumable Fuels—1.7% | |||
LUKOIL PJSC Sponsored ADR | 213,249 | 18,952 | |
Phillips 66 | 81,498 | 6,910 | |
25,862 | |||
Personal Products—0.8% | |||
Estee Lauder Cos., Inc. (The) Class A | 38,492 | 12,001 | |
Pharmaceuticals—3.1% | |||
Johnson & Johnson(4) | 69,014 | 11,890 | |
Merck & Co., Inc. | 221,497 | 18,048 | |
Zoetis, Inc. Class A | 88,911 | 17,764 | |
47,702 | |||
Professional Services—0.7% | |||
TransUnion | 103,142 | 10,636 | |
Road & Rail—2.3% | |||
Norfolk Southern Corp. | 42,876 | 11,662 | |
Union Pacific Corp. | 94,643 | 23,145 | |
34,807 | |||
Semiconductors & Semiconductor Equipment—7.3% | |||
Advanced Micro Devices, Inc.(5) | 111,060 | 12,689 | |
ASML Holding N.V. Registered Shares | 27,279 | 18,473 | |
Broadcom, Inc. | 19,519 | 11,436 | |
KLA Corp. | 31,874 | 12,408 |
Shares | Value | ||
Semiconductors & Semiconductor Equipment—continued | |||
Lam Research Corp. | 20,890 | $ 12,323 | |
NVIDIA Corp. | 79,940 | 19,574 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR | 109,428 | 13,419 | |
Texas Instruments, Inc. | 65,470 | 11,751 | |
Wolfspeed, Inc.(5) | 7,885 | 743 | |
112,816 | |||
Software—8.2% | |||
Adobe, Inc. (5) | 49,737 | 26,575 | |
Cadence Design Systems, Inc.(5) | 54,837 | 8,343 | |
Intuit, Inc. | 21,521 | 11,949 | |
Microsoft Corp.(4) | 156,910 | 48,796 | |
salesforce.com, Inc.(5) | 110,953 | 25,811 | |
Synopsys, Inc.(5) | 17,817 | 5,532 | |
127,006 | |||
Specialty Retail—2.0% | |||
Best Buy Co., Inc. | 81,027 | 8,044 | |
Home Depot, Inc. (The)(4) | 64,013 | 23,492 | |
31,536 | |||
Technology Hardware, Storage & Peripherals—3.2% | |||
Apple, Inc.(4) | 284,537 | 49,731 | |
Textiles, Apparel & Luxury Goods—0.9% | |||
Lululemon Athletica, Inc.(5) | 25,539 | 8,524 | |
NIKE, Inc. Class B(4) | 37,451 | 5,545 | |
14,069 | |||
Water Utilities—0.7% | |||
American Water Works Co., Inc.(4) | 67,302 | 10,822 | |
Total Common Stocks (Identified Cost $983,447) | 1,171,586 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd.(5) | 876 | 8 | |
Total Warrant (Identified Cost $—) | 8 | ||
Par Value | ||
Convertible Bonds and Notes—17.6% | ||
Airlines—0.3% | ||
Southwest Airlines Co. 1.250%, 5/1/25 | $ 2,770 | 3,774 |
Auto Manufacturers—0.8% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(3) | 3,630 | 4,924 |
Lucid Group, Inc. 144A 1.250%, 12/15/26(3) | 2,505 | 2,069 |
Par Value | Value | ||
Auto Manufacturers—continued | |||
NIO, Inc. 144A 0.000%, 2/1/26(3) | $ 2,110 | $ 1,804 | |
Tesla, Inc. 2.000%, 5/15/24 | 225 | 3,392 | |
12,189 | |||
Banks—0.2% | |||
BofA Finance LLC 0.125%, 9/1/22 | 1,830 | 1,901 | |
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(3) | 1,875 | 1,860 | |
3,761 | |||
Biotechnology—0.5% | |||
BioMarin Pharmaceutical, Inc. 1.250%, 5/15/27 | 910 | 972 | |
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(3) | 2,165 | 1,082 | |
Guardant Health, Inc. 0.000%, 11/15/27 | 2,055 | 1,746 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(3) | 2,845 | 2,453 | |
Illumina, Inc. 0.000%, 8/15/23 | 250 | 277 | |
Insmed, Inc. 0.750%, 6/1/28 | 925 | 896 | |
Livongo Health, Inc. 0.875%, 6/1/25 | 765 | 810 | |
8,236 | |||
Commercial Services—0.8% | |||
Affirm Holdings, Inc. 144A 0.000%, 11/15/26(3) | 3,685 | 2,884 | |
Block, Inc. | |||
0.000%, 5/1/26 | 2,510 | 2,349 | |
0.250%, 11/1/27 | 4,160 | 3,874 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(3) | 1,045 | 1,049 | |
144A 0.500%, 8/1/27(3) | 2,465 | 2,077 | |
12,233 | |||
Computers—0.5% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,770 | 3,325 | |
Pure Storage, Inc. 0.125%, 4/15/23 | 1,505 | 1,769 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,700 | 3,071 | |
8,165 | |||
Cosmetics & Personal Care—0.1% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(3) | 1,775 | 1,480 | |
Diversified Financial Services—0.4% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(3) | 3,060 | 2,858 |
Par Value | Value | ||
Diversified Financial Services—continued | |||
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(3) | $ 3,180 | $ 2,950 | |
5,808 | |||
Electronics—0.1% | |||
II-VI, Inc. 0.250%, 9/1/22 | 1,190 | 1,646 | |
Energy-Alternate Sources—0.4% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(3) | 1,655 | 1,526 | |
144A 0.000%, 3/1/28(3) | 2,485 | 2,268 | |
SolarEdge Technologies, Inc. 0.000%, 9/15/25 | 1,855 | 2,161 | |
5,955 | |||
Entertainment—0.5% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(3) | 3,600 | 2,740 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 1,520 | 1,893 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 2,540 | 2,545 | |
7,178 | |||
Equity Real Estate Investment Trusts (REITs)—0.2% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 2,255 | 2,452 | |
Healthcare-Products—0.8% | |||
Envista Holdings Corp. 2.375%, 6/1/25 | 1,190 | 2,537 | |
Exact Sciences Corp. | |||
0.375%, 3/15/27 | 1,285 | 1,284 | |
0.375%, 3/1/28 | 605 | 581 | |
Insulet Corp. 0.375%, 9/1/26 | 2,370 | 3,011 | |
Novocure Ltd. 0.000%, 11/1/25 | 1,580 | 1,394 | |
Omnicell, Inc. 0.250%, 9/15/25 | 1,690 | 2,715 | |
Repligen Corp. 0.375%, 7/15/24 | 695 | 1,247 | |
12,769 | |||
Healthcare-Services—0.4% | |||
Anthem, Inc. 2.750%, 10/15/42 | 490 | 3,062 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(3) | 2,675 | 2,048 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 1,690 | 1,503 | |
6,613 | |||
Internet—4.2% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(3) | 5,310 | 5,044 |
Par Value | Value | ||
Internet—continued | |||
Booking Holdings, Inc. 0.750%, 5/1/25 | $ 2,375 | $ 3,546 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 2,790 | 3,109 | |
144A 0.250%, 6/15/28(3) | 2,995 | 2,958 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(3) | 4,050 | 4,732 | |
Lyft, Inc. 1.500%, 5/15/25 | 320 | 402 | |
Mandiant, Inc. 0.875%, 6/1/24 | 1,830 | 1,815 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(3) | 3,075 | 4,420 | |
Okta, Inc. 0.375%, 6/15/26 | 2,850 | 3,173 | |
Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(3) | 1,125 | 937 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 4,875 | 8,619 | |
Sea Ltd. 0.250%, 9/15/26 | 3,790 | 3,171 | |
Shopify, Inc. 0.125%, 11/1/25 | 2,300 | 2,448 | |
Snap, Inc. 144A 0.000%, 5/1/27(3) | 6,050 | 5,191 | |
Spotify USA, Inc. 144A 0.000%, 3/15/26(3) | 2,825 | 2,472 | |
Twitter, Inc. 144A 0.000%, 3/15/26(3) | 4,185 | 3,704 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 4,825 | 4,518 | |
Wayfair, Inc. 0.625%, 10/1/25 | 3,880 | 3,400 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,065 | 1,232 | |
64,891 | |||
Leisure Time—0.7% | |||
NCL Corp., Ltd. | |||
5.375%, 8/1/25 | 435 | 621 | |
144A 1.125%, 2/15/27(3) | 3,525 | 3,352 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 2,490 | 3,164 | |
2.875%, 11/15/23 | 1,625 | 1,927 | |
Virgin Galactic Holdings, Inc. 144A 2.500%, 2/1/27(3) | 2,115 | 1,961 | |
11,025 | |||
Machinery-Diversified—0.1% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 1,205 | 1,833 | |
Media—0.8% | |||
DISH Network Corp. | |||
0.000%, 12/15/25 | 2,115 | 2,062 | |
3.375%, 8/15/26 | 2,785 | 2,592 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(3) | 1,035 | 1,041 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 2,170 | 2,973 |
Par Value | Value | ||
Media—continued | |||
144A 0.500%, 12/1/50(3) | $ 2,960 | $ 3,977 | |
12,645 | |||
Mining—0.1% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(3) | 1,535 | 1,791 | |
Oil, Gas & Consumable Fuels—0.6% | |||
EQT Corp. 1.750%, 5/1/26 | 2,025 | 3,290 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 3,065 | 6,354 | |
9,644 | |||
Pharmaceuticals—0.6% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 5,165 | 5,492 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 3,770 | 4,407 | |
9,899 | |||
Real Estate—0.1% | |||
Redfin Corp. 0.000%, 10/15/25 | 965 | 793 | |
Retail—0.4% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 1,880 | 2,450 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 945 | 3,367 | |
5,817 | |||
Semiconductors—0.6% | |||
MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(3) | 865 | 893 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 6,081 | 7,214 | |
Wolfspeed, Inc. 1.750%, 5/1/26 | 460 | 981 | |
9,088 | |||
Software—3.4% | |||
Akamai Technologies, Inc. | |||
0.125%, 5/1/25 | 2,355 | 3,021 | |
0.375%, 9/1/27 | 1,275 | 1,457 | |
Alteryx, Inc. 0.500%, 8/1/24 | 2,170 | 1,999 | |
Avalara, Inc. 144A 0.250%, 8/1/26(3) | 2,790 | 2,474 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(3) | 1,995 | 1,883 | |
144A 0.375%, 7/1/27(3) | 950 | 815 | |
Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(3) | 3,580 | 3,225 | |
Blackline, Inc. 144A 0.000%, 3/15/26(3) | 1,115 | 986 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(3) | 4,040 | 3,751 |
Par Value | Value | ||
Software—continued | |||
Coupa Software, Inc. 0.375%, 6/15/26 | $ 5,485 | $ 4,888 | |
DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(3) | 2,455 | 1,985 | |
DocuSign, Inc. 0.000%, 1/15/24 | 1,765 | 1,670 | |
Five9, Inc. 0.500%, 6/1/25 | 1,065 | 1,245 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(3) | 2,285 | 1,488 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,540 | 3,081 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(3) | 1,765 | 1,495 | |
RingCentral, Inc. 0.000%, 3/1/25 | 3,075 | 2,812 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 930 | 1,012 | |
1.125%, 6/15/27 | 4,555 | 4,136 | |
Tyler Technologies, Inc. 144A 0.250%, 3/15/26(3) | 1,490 | 1,697 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(3) | 4,350 | 3,639 | |
Workday, Inc. 0.250%, 10/1/22 | 2,250 | 3,894 | |
52,653 | |||
Total Convertible Bonds and Notes (Identified Cost $279,362) | 272,338 | ||
Total Long-Term Investments—97.7% (Identified Cost $1,325,948) | 1,513,127 | ||
Shares | ||
Short-Term Investment—1.3% | ||
Money Market Mutual Fund—1.3% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(6) | 19,893,796 | 19,894 |
Total Short-Term Investment (Identified Cost $19,894) | 19,894 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.0% (Identified Cost $1,345,842) | 1,533,021 | |
Value | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $642) | $ (503) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.0% (Identified Cost $1,345,200) | $1,532,518 | |
Other assets and liabilities, net—1.0% | 15,854 | |
NET ASSETS—100.0% | $1,548,372 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
NA | National Association |
PJSC | Public Joint Stock Company |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | 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. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(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 January 31, 2022, these securities amounted to a value of $107,458 or 6.9% of net assets. |
(4) | All or a portion of the security is segregated as collateral for written options. |
(5) | Non-income producing. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 92% |
Netherlands | 2 |
Russia | 1 |
United Kingdom | 1 |
Taiwan | 1 |
Canada | 1 |
Ireland | 1 |
Other | 1 |
Total | 100% |
† % of total investments, net of written options, as of January 31, 2022. |
Open Written Options Contracts as of January 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Adobe, Inc. | (74) | $ (4,551) | $ 615.00 | 02/18/22 | $ (4) |
Advanced Micro Devices, Inc. | (111) | (1,610) | 145.00 | 02/18/22 | (5) |
Advanced Micro Devices, Inc. | (222) | (3,552) | 160.00 | 02/18/22 | (4) |
Alphabet, Inc. | (6) | (1,800) | 3,000.00 | 02/18/22 | (5) |
Alphabet, Inc. | (10) | (3,150) | 3,150.00 | 02/18/22 | (2) |
Amazon.com, Inc. | (20) | (6,480) | 3,240.00 | 02/18/22 | (47) |
Amazon.com, Inc. | (16) | (5,680) | 3,550.00 | 03/18/22 | (18) |
American Tower Corp. | (89) | (2,403) | 270.00 | 02/18/22 | (6) |
American Tower Corp. | (359) | (10,052) | 280.00 | 02/18/22 | (11) |
Apple, Inc. | (426) | (7,668) | 180.00 | 02/18/22 | (79) |
Apple, Inc. | (284) | (5,538) | 195.00 | 03/18/22 | (24) |
Best Buy Co., Inc. | (160) | (1,840) | 115.00 | 02/18/22 | (3) |
Broadcom, Inc. | (19) | (1,197) | 630.00 | 02/18/22 | (5) |
Broadcom, Inc. | (29) | (1,972) | 680.00 | 02/18/22 | (1) |
Cadence Design Systems, Inc. | (109) | (1,853) | 170.00 | 02/18/22 | (4) |
Chipotle Mexican Grill, Inc. | (4) | (640) | 1,600.00 | 02/18/22 | (7) |
Ferrari N.V. | (48) | (1,248) | 260.00 | 02/18/22 | (4) |
Home Depot, Inc. (The) | (160) | (6,880) | 430.00 | 02/18/22 | (2) |
Intuit, Inc. | (21) | (1,239) | 590.00 | 02/18/22 | (13) |
JPMorgan Chase & Co. | (221) | (3,536) | 160.00 | 02/18/22 | (7) |
JPMorgan Chase & Co. | (332) | (5,644) | 170.00 | 02/18/22 | (2) |
Open Written Options Contracts as of January 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
KLA Corp. | (47) | $ (2,256) | $ 480.00 | 02/18/22 | $ (1) |
Lam Research Corp. | (37) | (2,646) | 715.00 | 02/18/22 | (2) |
Lululemon Athletica, Inc. | (38) | (1,406) | 370.00 | 02/18/22 | (7) |
Mastercard, Inc. | (55) | (2,228) | 405.00 | 02/18/22 | (19) |
Mastercard, Inc. | (220) | (9,350) | 425.00 | 02/18/22 | (14) |
McDonald’s Corp. | (150) | (4,200) | 280.00 | 02/18/22 | (2) |
Microsoft Corp. | (135) | (4,792) | 355.00 | 02/18/22 | (1) |
Microsoft Corp. | (135) | (4,792) | 355.00 | 03/18/22 | (13) |
Nasdaq, Inc. | (65) | (1,300) | 200.00 | 02/18/22 | (—) (3) |
NextEra Energy, Inc. | (643) | (5,787) | 90.00 | 03/18/22 | (16) |
NIKE, Inc. | (74) | (1,184) | 160.00 | 02/18/22 | (3) |
Norfolk Southern Corp. | (85) | (2,720) | 320.00 | 02/18/22 | (—) (3) |
NVIDIA Corp. | (159) | (4,213) | 265.00 | 02/18/22 | (89) |
NVIDIA Corp. | (79) | (2,370) | 300.00 | 02/18/22 | (8) |
PayPal Holdings, Inc. | (105) | (2,205) | 210.00 | 02/18/22 | (4) |
salesforce.com, Inc. | (55) | (1,375) | 250.00 | 02/18/22 | (8) |
salesforce.com, Inc. | (220) | (5,940) | 270.00 | 02/18/22 | (4) |
Starbucks Corp. | (106) | (1,113) | 105.00 | 02/18/22 | (8) |
Synopsys, Inc. | (35) | (1,260) | 360.00 | 02/18/22 | (2) |
Taiwan Semiconductor Manufacturing Co. Ltd. | (270) | (4,185) | 155.00 | 02/18/22 | (1) |
Texas Instruments, Inc. | (130) | (2,600) | 200.00 | 02/18/22 | (1) |
Thermo Fisher Scientific, Inc. | (39) | (2,535) | 650.00 | 02/18/22 | (5) |
TransUnion | (206) | (2,472) | 120.00 | 02/18/22 | (—) (3) |
Union Pacific Corp. | (206) | (5,459) | 265.00 | 02/18/22 | (4) |
Veeva Systems, Inc. | (60) | (1,560) | 260.00 | 02/18/22 | (6) |
Visa, Inc. | (108) | (2,646) | 245.00 | 02/18/22 | (5) |
West Pharmaceutical Services, Inc. | (42) | (1,764) | 420.00 | 02/18/22 | (25) |
Zoetis, Inc. | (100) | (2,300) | 230.00 | 02/18/22 | (2) |
Total Written Options | $(503) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Exchange-traded options |
(3) | Amount is less than $500. |
Total Value at January 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 67 | $ — | $ — | $67 | |||
Convertible Bonds and Notes | 272,338 | — | 272,338 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,171,586 | 1,171,586 | — | — | |||
Convertible Preferred Stocks | 69,128 | 63,653 | 5,475 | — | |||
Warrant | 8 | 8 | — | — | |||
Money Market Mutual Fund | 19,894 | 19,894 | — | — | |||
Total Investments, before Written Options | 1,533,021 | 1,255,141 | 277,813 | 67 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (503) | (457) | (46) | — | |||
Total Investments, Net of Written Options | $1,532,518 | $1,254,684 | $277,767 | $67 |
January 31, 2022
Artificial Intelligence & Technology Opportunities Fund | Convertible & Income 2024 Target Term Fund | ||
Assets | |||
Investment in securities at value(1)(2) | $ 880,962 | $ 254,253 | |
Cash | 100 | 103 | |
Receivables | |||
Investment securities sold | 1,163 | 267 | |
Dividends and interest | 957 | 1,568 | |
Securities lending income | 19 | 2 | |
Prepaid Trustees’ retainer | 40 | 10 | |
Prepaid expenses and other assets (Note 4) | 16 | 28 | |
Total assets | 883,257 | 256,231 | |
Liabilities | |||
Loan Payable (Note 9) | 30,000 | 69,700 | |
Payables | |||
Collateral on securities loaned | 13,000 | 1,922 | |
Dividend distributions | 5,151 | 840 | |
Investment securities purchased | 2,931 | 4,059 | |
Investment advisory fees (Note 4) | 789 | 153 | |
Administration, accounting and custody fees | 113 | 56 | |
Professional fees | 99 | 93 | |
Loan interest payable (Note 9) | 60 | 68 | |
Trustee deferred compensation plan (Note 4) | 16 | 28 | |
Other accrued expenses | 619 | 314 | |
Total liabilities | 52,778 | 77,233 | |
Net Assets Applicable to Common Shareholders | $ 830,479 | $ 178,998 | |
Net Assets Applicable to Common Shareholders Consist of: | |||
Common shares par value ($0.00001 per share) | $ —(a) | $ —(a) | |
Capital paid in on shares of beneficial interest | 685,992 | 178,512 | |
Total distributable earnings (accumulated losses) | 144,487 | 486 | |
Net Assets Applicable to Common Shareholders | $ 830,479 | $ 178,998 | |
Common Shares Issued and Outstanding | 34,340,972 | 18,263,091 | |
Net Asset Value Per Common Share(b) | $ 24.18 | $ 9.80 | |
(1)Investment in securities at cost | $ 777,428 | $ 259,890 | |
(2) Market value of securities on loan | $ 43,520 | $ 20,957 |
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
Convertible & Income Fund | Convertible & Income Fund II | ||
Assets | |||
Investment in securities at value(1)(2) | $ 861,351 | $ 646,421 | |
Investment in affiliates at value(3) | 2,519 | 2,519 | |
Cash | 2,677 | 2,044 | |
Receivables | |||
Investment securities sold | 2,369 | 1,816 | |
Dividends and interest | 5,068 | 3,905 | |
Securities lending income | 22 | — | |
Prepaid Trustees’ retainer | 30 | 23 | |
Prepaid expenses and other assets (Note 4) | 216 | 197 | |
Total assets | 874,252 | 656,925 | |
Liabilities | |||
Loan Payable (Note 9) | 28,852 | — | |
Payables | |||
Collateral on securities loaned | 11,127 | — | |
Investment securities purchased | 4,366 | 3,320 | |
Dividend distributions | 4,324 | 3,368 | |
Investment advisory fees (Note 4) | 476 | 376 | |
Trustee deferred compensation plan (Note 4) | 206 | 157 | |
Professional fees | 124 | 121 | |
Administration, accounting and custody fees | 112 | 94 | |
Loan interest payable (Note 9) | 49 | — | |
Other accrued expenses | 91 | 82 | |
Total liabilities | 49,727 | 7,518 | |
Auction-Rate Preferred Shares ($25,000 liquidation preference per share applicable to an aggregate of 8,931 and 6,501 shares issued and outstanding, respectively) | 223,275 | 162,525 | |
Cumulative Preferred Shares ($25.00 liquidation preference per share applicable to an aggregate of 4,000,000 and 4,360,000 shares issued and outstanding, respectively) | 100,000 | 109,000 | |
Net Assets Applicable to Common Shareholders | $ 501,250 | $ 377,882 | |
Net Assets Applicable to Common Shareholders Consist of: | |||
Common shares par value ($0.00001 per share) | $ 1 | $ 1 | |
Capital paid in on shares of beneficial interest | 713,528 | 545,859 | |
Total distributable earnings (accumulated losses) | (212,279) | (167,978) | |
Net Assets Applicable to Common Shareholders | $ 501,250 | $ 377,882 | |
Common Shares Issued and Outstanding | 90,373,569 | 76,115,749 | |
Net Asset Value Per Common Share(a) | $ 5.55 | $ 4.96 | |
(1)Investment in securities at cost | $ 860,192 | $ 644,173 | |
(2) Market value of securities on loan | $ 39,676 | $ — | |
(3) Investment in affiliates at cost | $ 9,219 | $ 7,469 |
(a) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
Diversified Income & Convertible Fund | Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 387,986 | $ 843,593 | $ 1,533,021 | ||
Investment in affiliates at value(2) | 378 | — | — | ||
Cash | 100 | 100 | 500 | ||
Deposits with prime broker | 4 | 49 | — | ||
Receivables | |||||
Investment securities sold | 3,190 | 517 | 47,199 | ||
Dividends and interest | 1,234 | 542 | 854 | ||
Tax reclaims | — | — | 155 | ||
Prepaid Trustees’ retainer | 20 | 51 | 87 | ||
Prepaid expenses and other assets (Note 4) | 72 | 152 | 330 | ||
Total assets | 392,984 | 845,004 | 1,582,146 | ||
Liabilities | |||||
Loan Payable (Note 10 and 11) | 75,000 | — | — | ||
Mandatory redeemable preferred shares (Note 10) | 30,000 | — | — | ||
Written options at value (Note 3)(3) | 69 | 433 | 503 | ||
Payables | |||||
Investment securities purchased | 2,025 | 2,798 | 31,542 | ||
Dividend distributions | 1,865 | — | — | ||
Loan interest payable (Note 10 and 11) | 850 | — | — | ||
Investment advisory fees (Note 4) | 317 | 633 | 1,039 | ||
Dividend on mandatory redeemable preferred shares (Note 10) | 110 | — | — | ||
Professional fees | 88 | 97 | 103 | ||
Administration, accounting and custody fees | 69 | 111 | 177 | ||
Trustee deferred compensation plan (Note 4) | 60 | 152 | 330 | ||
Other accrued expenses | 183 | 523 | 80 | ||
Total liabilities | 110,636 | 4,747 | 33,774 | ||
Net Assets Applicable to Common Shareholders | $ 282,348 | $ 840,257 | $ 1,548,372 | ||
Net Assets Applicable to Common Shareholders Consist of: | |||||
Common shares par value ($0.00001 per share) | $ —(a) | $ —(a) | $ 1 | ||
Capital paid in on shares of beneficial interest | 252,297 | 670,598 | 1,276,956 | ||
Total distributable earnings (accumulated losses) | 30,051 | 169,659 | 271,415 | ||
Net Assets Applicable to Common Shareholders | $ 282,348 | $ 840,257 | $ 1,548,372 | ||
Common Shares Issued and Outstanding | 10,362,393 | 27,708,965 | 94,801,581 | ||
Net Asset Value Per Common Share(b) | $ 27.25 | $ 30.32 | $ 16.33 | ||
(1)Investment in securities at cost | $ 377,368 | $ 780,931 | $ 1,345,842 | ||
(2) Investment in affiliates at cost | $ 1,621 | $ — | $ — | ||
(3)Written options premiums received | $ 37 | $ 218 | $ 642 |
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
Artificial Intelligence & Technology Opportunities Fund | Convertible & Income 2024 Target Term Fund | ||||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | ||||
Investment Income | |||||||
Dividends | $ 5,098 | $ 5,368 | $ 3 | $ — | |||
Interest | 2,293 | 3,660 | 7,379 | 10,237 | |||
Security lending, net of fees | 86 | — | 13 | — | |||
Foreign taxes withheld | (42) | (22) | — | — | |||
Miscellaneous | — | — (1) | — | 173 | |||
Total investment income | 7,435 | 9,006 | 7,395 | 10,410 | |||
Expenses | |||||||
Investment advisory fees | 11,803 | 10,478 | 1,802 | 1,834 | |||
Administration, accounting and custody fees | 1,073 | 214 | 320 | 135 | |||
Excise tax | 561 | 415 | 294 | 134 | |||
Trustees’ fees and expenses | 191 | 92 | 34 | 19 | |||
Professional fees | 166 | 249 | 87 | 139 | |||
Printing fees and expenses | 112 | 79 | 19 | 35 | |||
Transfer agent fees and expenses | 24 | 25 | 21 | 25 | |||
Miscellaneous expenses | 95 | 45 | 28 | 27 | |||
Total expenses before interest expense | 14,025 | 11,597 | 2,605 | 2,348 | |||
Loan interest (Note 9) | 304 | 206 | 443 | 678 | |||
Total expenses after interest expense | 14,329 | 11,803 | 3,048 | 3,026 | |||
Less expenses reimbursed and/or waived by investment adviser | (836) | (94) | (175) | (25) | |||
Net expenses | 13,493 | 11,709 | 2,873 | 3,001 | |||
Net investment income (loss) | (6,058) | (2,703) | 4,522 | 7,409 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 109,142 | 171,687 | 4,870 | 11,108 | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (108,970) | 236,027 | (9,826) | 7,246 | |||
Net realized and unrealized gain (loss) on investments | 172 | 407,714 | (4,956) | 18,354 | |||
Net increase (decrease) in net assets applicable to common shareholders resulting from operations | $ (5,886) | $405,011 | $ (434) | $25,763 |
* | Period from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
(1) | Amount is less than $500. |
Convertible & Income Fund | Convertible & Income Fund II | ||||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | ||||
Investment Income | |||||||
Dividends | $ 6,816 | $ 9,972 | $ 5,209 | $ 7,567 | |||
Interest | 19,510 | 30,466 | 14,973 | 23,441 | |||
Security lending, net of fees | 136 | — | — | — | |||
Foreign taxes withheld | — | (14) | — | (10) | |||
Miscellaneous | — | 11 | — | 9 | |||
Total investment income | 26,462 | 40,435 | 20,182 | 31,007 | |||
Expenses | |||||||
Investment advisory fees | 5,922 | 5,797 | 4,508 | 4,417 | |||
Administration, accounting and custody fees | 967 | 202 | 750 | 168 | |||
Amortization of deferred offering costs | 214 | — | 202 | — | |||
Auction agent and commissions | 204 | 220 | 167 | 168 | |||
Professional fees | 195 | 243 | 179 | 254 | |||
Trustees’ fees and expenses | 101 | 51 | 76 | 38 | |||
Printing fees and expenses | 57 | 96 | 42 | 84 | |||
Transfer agent fees and expenses | 31 | 29 | 25 | 29 | |||
Miscellaneous expenses | 172 | 114 | 166 | 120 | |||
Total expenses before interest expense | 7,863 | 6,752 | 6,115 | 5,278 | |||
Loan interest (Note 9) | 191 | 280 | — | — | |||
Total expenses after interest expense | 8,054 | 7,032 | 6,115 | 5,278 | |||
Less expenses reimbursed and/or waived by investment adviser | (794) | (107) | (595) | (98) | |||
Net expenses | 7,260 | 6,925 | 5,520 | 5,180 | |||
Net investment income (loss) | 19,202 | 33,510 | 14,662 | 25,827 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Unaffiliated Investments | 34,492 | 3,664 | 25,920 | 2,875 | |||
Affiliated Investments | 101 | — | 101 | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Unaffiliated Investments | (81,958) | 118,355 | (61,597) | 89,181 | |||
Affiliated Investments | (6,850) | — (1) | (5,101) | — (1) | |||
Net realized and unrealized gain (loss) on investments | (54,215) | 122,019 | (40,677) | 92,056 | |||
Dividends on preferred shares from net investment income | (5,432) | (6,245) | (5,699) | (6,448) | |||
Net increase (decrease) in net assets applicable to common shareholders resulting from operations | $(40,445) | $149,284 | $(31,714) | $111,435 |
* | Period from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
(1) | Amount is less than $500. |
Diversified Income & Convertible Fund | Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Year Ended January 31, 2022 | Year Ended January 31, 2022 | Year Ended January 31, 2022 | |||
Investment Income | |||||
Interest | $ 4,582 | $ 771 | $ 1,602 | ||
Dividends | 2,692 | 6,883 | 17,967 | ||
Foreign taxes withheld | (2) | (3) | (115) | ||
Total investment income | 7,272 | 7,651 | 19,454 | ||
Expenses | |||||
Investment advisory fees | 4,705 | 9,103 | 14,132 | ||
Administration, accounting and custody fees | 579 | 1,048 | 1,777 | ||
Excise tax | 148 | 476 | — | ||
Professional fees | 148 | 161 | 215 | ||
Trustees’ fees and expenses | 72 | 174 | 296 | ||
Transfer agent fees and expenses | 31 | 26 | 27 | ||
Printing fees and expenses | 26 | 69 | 116 | ||
Miscellaneous expenses | 66 | 47 | 109 | ||
Total expenses before interest expense | 5,775 | 11,104 | 16,672 | ||
Dividends on mandatory redeemable preferred shares (Note 10) | 1,295 | — | — | ||
Loan interest (Note 10 and 11) | 2,241 | — | — | ||
Total expenses after interest expense | 9,311 | 11,104 | 16,672 | ||
Less expenses reimbursed and/or waived by investment adviser | (279) | (888) | (1,598) | ||
Net expenses | 9,032 | 10,216 | 15,074 | ||
Net investment income (loss) | (1,760) | (2,565) | 4,380 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated Investments | 69,490 | 173,682 | 174,537 | ||
Investment in affiliates | 15 | — | — | ||
Written options | 344 | 1,815 | (5,960) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated Investments | (69,050) | (98,084) | 19,003 | ||
Investment in affiliates | 106 | — | — | ||
Written options | (52) | (321) | 67 | ||
Net realized and unrealized gain (loss) on investments | 853 | 77,092 | 187,647 | ||
Net increase (decrease) in net assets resulting from operations | $ (907) | $ 74,527 | $192,027 |
Artificial Intelligence & Technology Opportunities Fund | |||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | From Inception October 31,2019** to February 29, 2020 | |||
Increase (Decrease) In Net Assets From Operations | |||||
Net investment income (loss) | $ (6,058) | $ (2,703) | $ (340) | ||
Net realized gain (loss) | 109,142 | 171,687 | 31,372 | ||
Net change in unrealized appreciation (depreciation) | (108,970) | 236,027 | (23,524) | ||
Increase (decrease) in net assets resulting from operations | (5,886) | 405,011 | 7,508 | ||
From Dividends and Distributions to Shareholders | |||||
Net investment income and net realized gains | (166,532) | (85,439) | (11,155) | ||
Dividends and Distributions to Shareholders | (166,532) | (85,439) | (11,155) | ||
From Capital Share Transactions | |||||
Reinvestment of distributions resulting in the issuance of common stock (2,290, 15,547 and 0 shares, respectively) | 59 | 450 | — | ||
Net proceeds from shares issued in offering(0, 0 and 34,318,135 shares, respectively) | — | — | 686,363 | ||
Increase (decrease) in net assets from capital transactions | 59 | 450 | 686,363 | ||
Net increase (decrease) in net assets | (172,359) | 320,022 | 682,716 | ||
Net Assets | |||||
Beginning of period | 1,002,838 | 682,816 | 100 | ||
End of period | $ 830,479 | $1,002,838 | $682,816 |
* | Period from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
** | Commencement of operations. |
Convertible & Income 2024 Target Term Fund | |||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | Year Ended February 29, 2020 | |||
Increase (Decrease) In Net Assets From Operations | |||||
Net investment income (loss) | $ 4,522 | $ 7,409 | $ 7,800 | ||
Net realized gain (loss) | 4,870 | 11,108 | 3,583 | ||
Net change in unrealized appreciation (depreciation) | (9,826) | 7,246 | 1,283 | ||
Increase (decrease) in net assets resulting from operations | (434) | 25,763 | 12,666 | ||
From Dividends and Distributions to Shareholders | |||||
Net investment income and net realized gains | (16,220) | (10,078) | (10,078) | ||
Dividends and Distributions to Shareholders | (16,220) | (10,078) | (10,078) | ||
From Capital Share Transactions | |||||
Reinvestment of distributions resulting in the issuance of common stock (4,575, 1,504 and 0 shares, respectively) | 46 | 14 | — | ||
Increase (decrease) in net assets from capital transactions | 46 | 14 | — | ||
Net increase (decrease) in net assets | (16,608) | 15,699 | 2,588 | ||
Net Assets | |||||
Beginning of period | 195,606 | 179,907 | 177,319 | ||
End of period | $178,998 | $195,606 | $179,907 |
* | Period from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
Convertible & Income Fund | |||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | Year Ended February 29, 2020 | |||
Increase (Decrease) In Net Assets From Operations | |||||
Net investment income (loss) | $ 19,202 | $ 33,510 | $ 47,086 | ||
Net realized gain (loss) | 34,593 | 3,663 | (3,077) | ||
Net change in unrealized appreciation (depreciation) | (88,808) | 118,355 | 954 | ||
Increase (decrease) in net assets resulting from operations | (35,013) | 155,528 | 44,963 | ||
Dividends on Preferred Shares from Net Investment Income | (5,432) | (6,245) | (12,458) | ||
From Dividends and Distributions to Common Shareholders | |||||
Net investment income and net realized gains | (14,537) | (28,244) | (37,569) | ||
Return of capital | (27,712) | (18,750) | (20,275) | ||
Dividends and Distributions to Common Shareholders | (42,249) | (46,994) | (57,844) | ||
From Capital Share Transactions | |||||
Reinvestment of distributions resulting in the issuance of common stock (0, 3,988 and 756,018 shares, respectively) | — | 22 | 4,324 | ||
Increase (decrease) in net assets from capital transactions | — | 22 | 4,324 | ||
Net increase (decrease) in net assets | (82,694) | 102,311 | (21,015) | ||
Net Assets | |||||
Beginning of period | 583,944 | 481,633 | 502,648 | ||
End of period | $501,250 | $583,944 | $481,633 |
* | Period from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
Convertible & Income Fund II | |||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | Year Ended February 29, 2020 | |||
Increase (Decrease) In Net Assets From Operations | |||||
Net investment income (loss) | $ 14,662 | $ 25,827 | $ 36,318 | ||
Net realized gain (loss) | 26,021 | 2,875 | (2,433) | ||
Net change in unrealized appreciation (depreciation) | (66,698) | 89,181 | 793 | ||
Increase (decrease) in net assets resulting from operations | (26,015) | 117,883 | 34,678 | ||
Dividends on Preferred Shares from Net Investment Income | (5,699) | (6,448) | (10,975) | ||
From Dividends and Distributions to Common Shareholders | |||||
Net investment income and net realized gains | (9,409) | (20,132) | (27,490) | ||
Return of capital | (21,989) | (14,691) | (14,455) | ||
Dividends and Distributions to Common Shareholders | (31,398) | (34,823) | (41,945) | ||
From Capital Share Transactions | |||||
Reinvestment of distributions resulting in the issuance of common stock (0, 0 and 532,357 shares, respectively) | — | — | 2,723 | ||
Net increase (decrease) in net assets | (63,112) | 76,612 | (15,519) | ||
Net Assets | |||||
Beginning of period | 440,994 | 364,382 | 379,901 | ||
End of period | $377,882 | $440,994 | $364,382 |
* | Period from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
Diversified Income & Convertible Fund | Equity & Convertible Income Fund | ||||||
Year Ended January 31, 2022 | Year Ended January 31, 2021 | Year Ended January 31, 2022 | Year Ended January 31, 2021 | ||||
Increase (Decrease) In Net Assets From Operations | |||||||
Net investment income (loss) | $ (1,760) | $ 142 | $ (2,565) | $ 1,732 | |||
Net realized gain (loss) | 69,849 | 51,971 | 175,497 | 52,200 | |||
Net change in unrealized appreciation (depreciation) | (68,996) | 79,571 | (98,405) | 154,985 | |||
Increase (decrease) in net assets resulting from operations | (907) | 131,684 | 74,527 | 208,917 | |||
From Dividends and Distributions to Shareholders | |||||||
Net investment income and net realized gains | (80,923) | (24,644) | (90,719) | (42,118) | |||
Dividends and Distributions to Shareholders | (80,923) | (24,644) | (90,719) | (42,118) | |||
From Capital Share Transactions | |||||||
Reinvestment of distributions resulting in the issuance of common stock (8,473 and 5,358 shares, respectively) | 279 | 135 | — | — | |||
Increase (decrease) in net assets from capital transactions | 279 | 135 | — | — | |||
Net increase (decrease) in net assets | (81,551) | 107,175 | (16,192) | 166,799 | |||
Net Assets | |||||||
Beginning of period | 363,899 | 256,724 | 856,449 | 689,650 | |||
End of period | $282,348 | $363,899 | $840,257 | $856,449 |
Dividend, Interest & Premium Strategy Fund | |||
Year Ended January 31, 2022 | Year Ended January 31, 2021 | ||
Increase (Decrease) In Net Assets From Operations | |||
Net investment income (loss) | $ 4,380 | $ 12,211 | |
Net realized gain (loss) | 168,577 | 44,609 | |
Net change in unrealized appreciation (depreciation) | 19,070 | 110,352 | |
Increase (decrease) in net assets resulting from operations | 192,027 | 167,172 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (85,321) | (58,345) | |
Return of capital | — | (26,976) | |
Dividends and Distributions to Shareholders | (85,321) | (85,321) | |
Net increase (decrease) in net assets | 106,706 | 81,851 | |
Net Assets | |||
Beginning of period | 1,441,666 | 1,359,815 | |
End of period | $1,548,372 | $1,441,666 |
Convertible & Income 2024 Target Term Fund | Diversified Income & Convertible Fund | ||||
Fiscal Period Ended January 31, 2022* | Year Ended February 28, 2021 | Year Ended January 31, 2022 | |||
Increase (Decrease) in cash | |||||
Cash flows provided by (used for) operating activities: | |||||
Net increase (decrease) in net assets resulting from operations | $ (434) | $ 25,764 | $ (907) | ||
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 | 138,769 | 255,328 | 588,519 | ||
(Increase) Decrease in investment securities sold receivable | (267) | — | (300) | ||
Purchases of long-term investments | (149,353) | (234,452) | (493,958) | ||
Increase (Decrease) in investment securities purchased payable | 1,046 | 1,538 | (4,073) | ||
Net (purchases) or sales of short-term investments | 20,513 | (19,309) | (8,555) | ||
Net purchases or (sales) in written options | — | — | 289 | ||
Net change in unrealized (appreciation)/depreciation on long-term unaffiliated investments | 9,826 | (7,246) | 69,102 | ||
Net change in unrealized (appreciation)/depreciation on investments in affiliates | — | — | (106) | ||
Net realized (gain)/loss from unaffiliated investments | (4,870) | (11,109) | (69,834) | ||
Net realized (gain)/loss from investments in affiliates | — | — | (15) | ||
Amortization of premium and accretion of discounts on investments | 331 | (698) | 99 | ||
Return of capital distribution on investments | — | — | 16 | ||
Proceeds from litigation settlements | — | — | 26 | ||
(Increase) Decrease in deposits with prime broker | — | — | (4) | ||
(Increase) Decrease in dividends and interest receivable | 369 | 289 | 210 | ||
(Increase) Decrease in prepaid expenses and other assets | 4 | (6) | 6 | ||
(Increase) Decrease in prepaid trustees’ retainer | (10) | 6 | (20) | ||
Increase (Decrease) in loan interest payable | 21 | (79) | (20) | ||
Increase (Decrease) in affiliated expenses payable | 25 | 8 | (13) | ||
Increase (Decrease) in non-affiliated expenses payable | 156 | 92 | 4 | ||
Increase (Decrease) in dividend payable on mandatory redeemable preferred shares | — | — | 14 | ||
(Increase) Decrease in security lending receivable | (2) | — | — | ||
Cash provided by (used for) operating activities | 16,124 | 10,126 | 80,480 | ||
Cash provided (used for) financing activities: | |||||
Cash distributions paid to shareholders | (16,174) | (10,065) | (80,508) | ||
Cash provided (used for) financing activities: | (16,174) | (10,065) | (80,508) | ||
Net increase (decrease) in cash | (50) | 61 | (28) | ||
Cash at beginning of period | 153 | 92 | 128 | ||
Cash at end of period | $ 103 | $ 153 | $ 100 | ||
Supplemental cash flow information: | |||||
Reinvestment of dividends and distributions | $ 46 | $ 14 | $ 279 | ||
Cash paid during the period for interest expense on loan payable | $ 422 | $ 756 | $ 2,261 | ||
Cash paid for dividends on mandatory redeemable preferred shares | $ — | $ — | $ 1,281 |
Fiscal Period March 1, 2021 to January 31, 2022 (1) | Year Ended February 28, 2021 | From Inception October 31, 2019(2) to February 29, 2020 | |||
PER SHARE DATA: | |||||
Net asset value, beginning of period | $ 29.20 | $ 19.89 | $ 20.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss)(3) | (0.18) | (0.08) | (0.01) | ||
Net realized and unrealized gain (loss) | 0.01 | 11.88 | 0.23 | ||
Total from investment operations | (0.17) | 11.80 | 0.22 | ||
Dividends and Distributions to Shareholders: | |||||
Net investment income(3) | (1.40) | — | — | ||
Net realized gains | (3.45) | (2.49) | (0.33) | ||
Total dividends and distributions to shareholders | (4.85) | (2.49) | (0.33) | ||
Net asset value, end of period | $ 24.18 | $ 29.20 | $ 19.89 | ||
Market value, end of period | $ 23.58 | $ 27.41 | $ 17.72 | ||
Total return, net asset value(4), (5) | (1.85)% | —% (6) | —% (6) | ||
Total return, market value(4), (5) | 2.75% | 71.09% | (9.92)% | ||
RATIOS/SUPPLEMENTAL DATA: | |||||
Ratio of net expenses after interest expense to average net assets(7), (8), (9) | 1.47% (10) | 1.42% | 1.34% (10) | ||
Ratio of total expenses after interest expense to average net assets(7), (8) | 1.56% (10) | 1.43% | 1.34% (10) | ||
Ratio of net investment income (loss) to average net assets(7), (8) | (0.66)% (10) | (0.33)% | (0.15)% (10) | ||
Portfolio turnover rate(4) | 53% | 103% | 56% | ||
Net assets, end of period (000’s) | $830,479 | $1,002,838 | $682,816 | ||
Loan payable, end of period (000’s) | $ 30,000 | $ 30,000 | $ 30,000 | ||
Asset coverage, per $1,000 principal amount of loan payable | $ 28,683 | $ 34,428 | $ 23,761 |
(1) | The Fund had a fiscal year end change from February 28 to January 31. |
(2) | Commencement of operations. |
(3) | Calculated using average shares outstanding. |
(4) | Not annualized for periods less than one year. |
(5) | 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. |
(6) | Return not disclosed. |
(7) | Annualized for periods less than one year. |
(8) | Inclusive of excise tax expense of 0.06% and 0.05% for the period ended January 31, 2022 and year ended February 28, 2021. |
(9) | Ratio of net expenses, before interest expense, was 1.43%, 1.40% and 1.34% for the period ended January 31, 2022, year ended February 28, 2021 and period ended February 29, 2020 respectively. |
(10) | Certain expenses incurred by the Fund were not annualized. |
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
Fiscal Period March 1, 2021 to January 31, 2022 (1) | Year Ended February 28/29 | From Inception June 30, 2017(2) to February 28 2018 | ||||||||
2021 | 2020 | 2019 | ||||||||
PER SHARE DATA: | ||||||||||
Net asset value, beginning of period | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | $ 9.84(3) | |||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(4) | 0.25 | 0.41 | 0.43 | 0.48 | 0.35 | |||||
Net realized and unrealized gain (loss) | (0.27) | 1.00 | 0.26 | (0.01) | (0.06) | |||||
Total from investment operations | (0.02) | 1.41 | 0.69 | 0.47 | 0.29 | |||||
Dividends and Distributions to Shareholders: | ||||||||||
Net investment income | (0.51) | (0.39) | (0.44) | (0.50) | (0.32) | |||||
Net realized gains | (0.38) | (0.16) | (0.11) | (0.05) | — | |||||
Total dividends and distributions to shareholders | (0.89) | (0.55) | (0.55) | (0.55) | (0.32) | |||||
Share Transactions: | ||||||||||
Capital change resulting from issuance of common shares and related offering costs | — | — | — | — | (0.02) | |||||
Net asset value, end of period | $ 9.80 | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | |||||
Market value, end of period | $ 9.88 | $ 10.04 | $ 9.14 | $ 9.00 | $ 9.22 | |||||
Total return, net asset value(5), (6) | (0.28)% | —% (7) | —% (7) | —% (7) | —% (7) | |||||
Total return, market value(5), (6) | 7.33% | 16.68% | 7.63% | 3.72% | (4.59)% | |||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||
Ratio of net expenses after interest expense to average net assets(8), (9), (10) | 1.62% (11) | 1.72% | 2.38% | 2.60% | 2.14% (11) | |||||
Ratio of total expenses after interest expense to average net assets(8), (9) | 1.72% (11) | 1.73% | 2.38% | 2.60% | 2.14% (11) | |||||
Ratio of net investment income (loss) to average net assets(8), (9) | 2.58% (11) | 4.24% | 4.34% | 4.94% | 5.47% (11) | |||||
Portfolio turnover rate(5) | 56% | 101% | 86% | 116% | 66% | |||||
Net assets, end of period (000’s) | $178,998 | $195,606 | $179,907 | $177,319 | $178,760 | |||||
Loan payable, end of period (000’s) | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | |||||
Asset coverage, per $1,000 principal amount of loan payable | $ 3,568 | $ 3,806 | $ 3,581 | $ 3,544 | $ 3,565 |
(1) | The Fund had a fiscal year end change from February 28 to January 31. |
(2) | Commencement of operations. |
(3) | Initial public offering price of $10.00 per share less sales load of 1.65% of the offering price. |
(4) | Calculated using average shares outstanding. |
(5) | Not annualized for periods less than one year. |
(6) | 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 and ending values. |
(7) | Return not disclosed. |
(8) | Annualized for periods less than one year. |
(9) | Inclusive of excise tax expense of 0.15%(5), 0.08%, 0.07%, 0.08% and 0.02%(5) for the period ended January 31, 2022, and years ended February 28/29, 2021, 2020, 2019 and period ended February 28, 2018, respectively. |
(10) | Ratio of net expenses, before interest expense, was 1.37%, 1.33%, 1.31%, 1.36% and 1.23% for the period ended January 31, 2022, years ended February 28/29, 2021, 2020 and 2019 and period ended 2018 respectively. |
(11) | Certain expenses incurred by the Fund were not annualized. |
SELECTED PER SHARE DATA AND RATIOS FOR A COMMON SHARE
Fiscal Period March 1, 2021 to January 31, 2022 (1) | Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | $ 6.86 | $ 5.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(2) | 0.21 | 0.37 | 0.52 | 0.56 | 0.69 | 0.73 | |||||
Net realized and unrealized gain (loss) | (0.59) | 1.35 | (0.02) | (0.64) | (0.16) | 1.44 | |||||
Total from investment operations | (0.38) | 1.72 | 0.50 | (0.08) | 0.53 | 2.17 | |||||
Dividends on Preferred Shares from Net Investment Income: | (0.06) | (0.07) | (0.14) | (0.12) | (0.07) | (0.03) | |||||
Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations | (0.44) | 1.65 | 0.36 | (0.20) | 0.46 | 2.14 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.16) | (0.31) | (0.42) | (0.50) | (0.77) | (0.78) | |||||
Return of capital | (0.31) | (0.21) | (0.22) | (0.28) | (0.01) | — | |||||
Total dividends and distributions to shareholders | (0.47) | (0.52) | (0.64) | (0.78) | (0.78) | (0.78) | |||||
Preferred Shares Transactions: | |||||||||||
Accretion to net asset value, resulting from tender offer of Auction-Rate Preferred shares | — | — | — | 0.09 | — | — | |||||
Capital change resulting from issuance of Cumulative Preferred Shares and related offering costs | — | — | — | (0.04) | — | — | |||||
Net asset value, end of period | $ 5.55 | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | $ 6.86 | |||||
Market value, end of period | $ 5.31 | $ 5.68 | $ 5.10 | $ 6.24 | $ 6.93 | $ 6.93 | |||||
Total return, net asset value(3), (4) | (7.41)% | —% (5) | —% (5) | —% (5) | —% (5) | —% (5) | |||||
Total return, market value(3), (4) | 1.14% | 24.29% | (8.51)% | 2.00% | 12.22% | 59.15% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses after interest expense to average net assets(6), (7), (8) | 1.39% | 1.45% | 1.53% | 1.56% (9) | 1.28% | 1.36% (10) | |||||
Ratio of total expenses after interest expense to average net assets(6), (7) | 1.55% | 1.48% | 1.53% | 1.56% (9) | 1.28% | 1.36% (10) | |||||
Ratio of net investment income (loss) to average net assets(6), (7) | 3.69% | 7.04% | 9.30% | 9.22% | 10.32% | 11.33% | |||||
Portfolio turnover rate(3) | 54% | 73% | 35% | 41% | 34% | 28% | |||||
Net assets, end of period (000’s) | $501,250 | $583,944 | $481,633 | $502,648 | $580,867 | $456,985 | |||||
Loan payable, end of period (000’s) | $ 28,852 | $ 28,852 | $ 28,852 | $ 28,852 | $ — | $ — | |||||
Asset coverage, per $1,000 principal amount of loan payable | $ 29,578 | $ 32,444 | $ 28,898 | $ 29,627 | $ — | $ — | |||||
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares | $ 61 | $ 70 | $ 62 | $ 64 | $ — | $ — | |||||
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred shares | $ 60,587 | $ 70,027 | $ 62,132 | $ 63,572 | $ 65,668 | $ 67,376 | |||||
Cumulative Preferred shares average market value(11) | $ 24.23 | $ 25.91 | $ 25.81 | $ 24.46 | $ — | $ — |
(1) | The Fund had a fiscal year end change from February 28 to January 31. |
(2) | Calculated using average common shares outstanding. |
(3) | Not annualized for periods less than one year. |
(4) | 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 and ending values. |
(5) | Return not disclosed. |
(6) | Calculated on the basis of income and expenses applicable to both common and preferred shares relative to average net assets of common shareholders. |
(7) | Annualized for periods less than one year. |
(8) | Ratio of net expenses, before interest expense and auction agent fees and commissions, was 1.31%, 1.35%, 1.33%, 1.34%, 1.21% and 1.28% for the period ended January 31, 2022, years ended February 28/29, 2021, 2020, 2019, 2018 and 2017, respectively. |
(9) | Inclusive of tender offer expenses of 0.03%. |
(10) | Inclusive of excise tax expense of 0.03% for the year ended February 28, 2017. |
(11) | Based on daily closing market prices. |
SELECTED PER SHARE DATA AND RATIOS FOR A COMMON SHARE
Fiscal Period March 1, 2021 to January 31, 2022 (1) | Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | $ 6.14 | $ 4.89 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(2) | 0.19 | 0.34 | 0.48 | 0.50 | 0.62 | 0.66 | |||||
Net realized and unrealized gain (loss) | (0.54) | 1.20 | (0.03) | (0.57) | (0.14) | 1.30 | |||||
Total from investment operations | (0.35) | 1.54 | 0.45 | (0.07) | 0.48 | 1.96 | |||||
Dividends on Preferred Shares from Net Investment Income: | (0.07) | (0.08) | (0.14) | (0.12) | (0.06) | (0.02) | |||||
Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations | (0.42) | 1.46 | 0.31 | (0.19) | 0.42 | 1.94 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.12) | (0.27) | (0.36) | (0.45) | (0.61) | (0.69) | |||||
Return of capital | (0.29) | (0.19) | (0.19) | (0.24) | (0.08) | — | |||||
Total dividends and distributions to shareholders | (0.41) | (0.46) | (0.55) | (0.69) | (0.69) | (0.69) | |||||
Preferred Shares Transactions: | |||||||||||
Accretion to net asset value, resulting from tender offer of Auction-Rate Preferred shares | — | — | — | 0.09 | — | — | |||||
Capital change resulting from issuance of Cumulative Preferred Shares and related offering costs | — | — | — | (0.05) | — | — | |||||
Net asset value, end of period | $ 4.96 | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | $ 6.14 | |||||
Market value, end of period | $ 4.62 | $ 5.01 | $ 4.54 | $ 5.44 | $ 6.10 | $ 6.17 | |||||
Total return, net asset value(3), (4) | (7.95)% | —% (5) | —% (5) | —% (5) | —% (5) | —% (5) | |||||
Total return, market value(3), (4) | (0.19)% | 22.81% | (6.98)% | 1.14% | 10.84% | 56.31% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses after interest expense to average net assets(6), (7), (8) | 1.40% | 1.44% | 1.41% | 1.53% (9) | 1.32% | 1.37% | |||||
Ratio of total expenses after interest expense to average net assets(6), (7) | 1.55% | 1.47% | 1.41% | 1.53% (9) | 1.32% | 1.37% | |||||
Ratio of net investment income (loss) to average net assets(6), (7) | 3.73% | 7.18% | 9.48% | 9.28% | 10.31% | 11.46% | |||||
Portfolio turnover rate | 54% | 73% | 35% | 41% | 33% | 28% | |||||
Net assets, end of period (000’s)(3) | $377,882 | $440,994 | $364,382 | $379,901 | $440,106 | $456,985 | |||||
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares | $ 60 | $ 65 | $ 58 | $ 60 | $ — | $ — | |||||
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred shares | $ 59,793 | $ 65,454 | $ 58,421 | $ 59,845 | $ 65,147 | $ 66,691 | |||||
Cumulative Preferred shares average market value(10) | $ 23.92 | $ 25.64 | $ 25.39 | $ 24.04 | $ — | $ — |
(1) | The Fund had a fiscal year end change from February 28 to January 31. |
(2) | Calculated using average common shares outstanding. |
(3) | Not annualized for periods less than one year. |
(4) | 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. |
(5) | Return not disclosed. |
(6) | Calculated on the basis of income and expenses applicable to both common and preferred shares relative to average net assets of common shareholders. |
(7) | Annualized for periods less than one year. |
(8) | Ratio of net expenses, before interest expense and auction agent fees and commissions, was 1.35%, 1.39%, 1.36%, 1.39%, 1.24% and 1.30% for the period ended January 31, 2022, and years ended February 28/29, 2021, 2020, 2019, 2018 and 2017 respectively. |
(9) | Inclusive of tender offer expenses of 0.04%. |
(10) | Based on daily closing market prices. |
SELECTED PER SHARE DATA AND RATIOS FOR A COMMON SHARE OUTSTANDING
Year Ended January 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of period | $ 35.15 | $ 24.81 | $ 22.05 | $ 23.88 | $ 21.59 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)(1) | (0.17) | 0.01 | 0.11 | 0.16 | 0.29 | ||||
Net realized and unrealized gain (loss) | 0.09 | 12.71 | 4.65 | 0.01 | 4.00 | ||||
Total from investment operations | (0.08) | 12.72 | 4.76 | 0.17 | 4.29 | ||||
Dividends and Distributions to Common Shareholders: | |||||||||
Net investment income | (2.02) | (1.19) | (0.42) | (0.95) | (0.44) | ||||
Net realized gains | (5.80) | (1.19) | (1.58) | (1.05) | (1.56) | ||||
Total dividends and distributions to common shareholders | (7.82) | (2.38) | (2.00) | (2.00) | (2.00) | ||||
Net asset value, end of period | $ 27.25 | $ 35.15 | $ 24.81(2) | $ 22.05 | $ 23.88 | ||||
Market value, end of period | $ 27.75 | $ 32.25 | $ 25.22 | $ 21.29 | $ 22.40 | ||||
Total return, net asset value(3) | (2.32)% | —% (4) | —% (4) | —% (4) | —% (4) | ||||
Total return, market value(3) | 7.46% | 40.11% | 29.04% | 3.89% | 26.13% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of net expenses before interest expense to average net assets | 1.85% (5) | 2.03% (5) | 2.14% | 2.20% (5) | 2.26% (5) | ||||
Ratio of total expenses after interest expense to average net assets | 2.55% (5) | 2.84% (5) | �� | 3.32% | 3.40% (5) | 3.36% (5) | |||
Ratio of net investment income (loss) to average net assets | (0.48)% (5) | 0.05% (5) | 0.47% | 0.72% (5) | 1.30% (5) | ||||
Portfolio turnover rate | 108% | 128% | 120% | 105% | 154% | ||||
Net assets, end of period (000’s) | $282,348 | $363,899 | $256,724 | $227,320 | $245,382 | ||||
Loan payable, end of period (000’s) | $ 75,000 | $ 75,000 | $ 75,000 | $ 75,000 | $ 75,000 | ||||
Mandatory redeemable preferred shares, end of period (000’s) | $ 30,000 | $ 30,000 | $ 30,000 | $ 30,000 | $ 30,000 | ||||
Asset coverage, per $1,000 principal amount of loan payable(6) | $ 5,165 | $ 6,252 | $ 4,823 | $ 4,431 | $ 4,672 | ||||
Asset coverage ratio on total leverage (loan payable and mandatory redeemable preferred shares)(7) | 369% | 447% | 344% | 316% | 334% | ||||
Asset coverage, per $25 liquidation preference per share of mandatory redeemable preferred shares(8) | $ 92 | $ 112 | $ 86 | $ 79 | $ 83 |
(1) | Calculated using average shares outstanding. |
(2) | Payment from affiliate increased the net asset value by less than $0.01. |
(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) | Return not disclosed. |
(5) | Inclusive of excise tax expense of 0.04%, 0.05%, 0.06% and 0.07% for the years ended January 31, 2022, 2021, 2019 and 2018, respectively. |
(6) | Represents value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable at the end of the period multiplied by $1,000. |
(7) | Represents value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable and mandatory redeemable preferred shares at the end of the period. |
(8) | Represents value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable and mandatory redeemable preferred shares at the end of the period multiplied by $25. |
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
Year Ended January 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of period | $ 30.91 | $ 24.89 | $ 22.53 | $ 24.51 | $ 21.54 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)(1) | (0.09) | 0.06 | 0.18 | 0.19 | 0.40 | ||||
Net realized and unrealized gain (loss) | 2.77 | 7.48 | 3.70 | (0.65) | 4.09 | ||||
Total from investment operations | 2.68 | 7.54 | 3.88 | (0.46) | 4.49 | ||||
Dividends and Distributions to Shareholders: | |||||||||
Net investment income | (1.52) | (0.09) | (0.20) | (0.93) | (0.43) | ||||
Net realized gains | (1.75) | (1.43) | (1.32) | (0.59) | (1.09) | ||||
Total dividends and distributions to shareholders | (3.27) | (1.52) | (1.52) | (1.52) | (1.52) | ||||
Net asset value, end of period | $ 30.32 | $ 30.91 | $ 24.89(2) | $ 22.53 | $ 24.51 | ||||
Market value, end of period | $ 27.33 | $ 27.78 | $ 23.14 | $ 20.52 | $ 22.08 | ||||
Total return, net asset value(3) | 8.22% | —% (4) | —% (4) | —% (4) | —% (4) | ||||
Total return, market value(3) | 9.80% | 28.21% | 20.83% | (0.25)% | 24.96% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of net expenses to average net assets | 1.12% (5) | 1.07% | 1.07% | 1.13% (5) | 1.07% | ||||
Ratio of total expenses to average net assets | 1.22% (5) | 1.07% | 1.07% | 1.13% (5) | 1.07% | ||||
Ratio of net investment income (loss) to average net assets | (0.28)% (5) | 0.24% | 0.74% | 0.83% (5) | 1.80% | ||||
Portfolio turnover rate | 71% | 85% | 50% | 81% | 99% | ||||
Net assets, end of period (000’s) | $840,257 | $856,449 | $689,650 | $624,315 | $679,241 |
(1) | Calculated using average shares outstanding. |
(2) | Payment from affiliate increased the net asset value by less than $0.01. |
(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) | Return not disclosed. |
(5) | Inclusive of excise tax expense of 0.05% and 0.07% for the years ended January 31, 2022 and 2019, respectively. |
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
Year Ended January 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of period | $ 15.21 | $ 14.34 | $ 13.52 | $ 15.32 | $ 14.72 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)(1) | 0.05 | 0.13 | 0.24 | 0.27 | 0.30 | ||||
Net realized and unrealized gain (loss) | 1.97 | 1.64 | 1.48 | (1.17) | 1.43 | ||||
Total from investment operations | 2.02 | 1.77 | 1.72 | (0.90) | 1.73 | ||||
Dividends and Distributions to Shareholders: | |||||||||
Net investment income | (0.90) | (0.13) | (0.26) | (0.71) | (0.30) | ||||
Net realized gains | — | (0.48) | (0.64) | — | — | ||||
Return of capital | — | (0.29) | — | (0.19) | (0.83) | ||||
Total dividends and distributions to shareholders | (0.90) | (0.90) | (0.90) | (0.90) | (1.13) | ||||
Net asset value, end of period | $ 16.33 | $ 15.21 | $ 14.34 | $ 13.52 | $ 15.32 | ||||
Market value, end of period | $ 14.73 | $ 13.28 | $ 13.09 | $ 11.90 | $ 13.52 | ||||
Total return, net asset value(2) | 13.39% | —% (3) | —% (3) | —% (3) | —% (3) | ||||
Total return, market value(2) | 17.77% | 9.71% | 18.17% | (5.42)% | 12.92% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of net expenses to average net assets | 0.96% | 0.96% | 0.96% | 0.95% | 0.97% | ||||
Ratio of total expenses to average net assets | 1.06% | 0.96% | 0.96% | 0.95% | 0.97% | ||||
Ratio of net investment income (loss) to average net assets | 0.28% | 0.94% | 1.73% | 1.87% | 2.03% | ||||
Portfolio turnover rate | 63% | 104% | 76% | 50% | 85% | ||||
Net assets, end of period (000’s) | $1,548,372 | $1,441,666 | $1,359,815 | $1,281,712 | $1,452,585 |
(1) | Calculated using average shares outstanding. |
(2) | 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. |
(3) | Return not disclosed. |
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ 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). |
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 a Fund is notified. Interest income is recorded on the accrual basis. Each 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. Conversion premium is not amortized. | |
Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from Real Estate Investment Trusts (“REITs”) and Master Limited Partnerships (“MLPs”) investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes has been made. Certain Funds may be subject to an excise tax based on distributions paid to shareholders during the year. | |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each 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 Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
D. | Distributions to Shareholders |
Artificial Intelligence & Technology Opportunities Fund, Convertible & Income 2024 Target Term Fund, Convertible & Income Fund, Convertible & Income Fund II and Diversified Income & Convertible Fund declare distributions on a monthly basis. Equity & Convertible Income Fund and Dividend, Interest & Premium Strategy Fund declare distributions on a quarterly basis. Distributions are recorded by the Funds 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. | |
As announced on December 17, 2021, Artificial Intelligence & Technology Opportunities Fund and Diversified Income & Convertible Fund have a Managed Distribution Plan which currently provides for the Funds to make a monthly distribution of $0.15 per share and $0.18 per share, respectively, effective with the distribution payable on February 1, 2022. Also announced on December 17, 2021, Equity & Convertible Income Fund and Dividend, Interest & Premium Strategy Fund have a Managed Distribution Plan which currently provides for the Funds to make a quarterly distribution of $0.50 per share and $0.245 per share, respectively, effective with the distribution payable on March 25, 2022. 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 Funds’ investment performance from the terms of the Funds’ Managed Distribution Plan. | |
E. | Expenses |
Expenses incurred together by a 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 a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Convertible Securities |
Certain Funds may invest a portion of their assets in convertible securities. Although convertible securities derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Funds’ investments in convertible securities include features which render them sensitive to price changes in their underlying securities. The value of structured/synthetic convertible securities can be affected by interest rate changes and credit risks of the issuer. Such securities may be structured in ways that limit their potential for capital appreciation, and the entire value of the security may be at risk of loss depending on the performance of the underlying equity security. Consequently, the Funds are exposed to greater downside risk than traditional convertible securities, but typically still less than that of the underlying stock. |
G. | Payment-In-Kind Securities |
The Funds may invest in payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. | |
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Funds 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 a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Funds 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. Each Fund records when-issued and forward commitment securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
I. | Leveraged Loans |
Certain Funds 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 Funds 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. A 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, a 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. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A 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, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a 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. | |
J. | Repurchase Agreements |
Certain Funds are parties to Master Repurchase Agreements (“Master Repo Agreements”) with select counterparties. The Master Repo Agreements include provisions for initiation of repurchase transactions, income payments, events of default, and maintenance of collateral. | |
The Funds enter into transactions, under the Master Repo Agreements, with their custodian bank or securities brokerage firms whereby they purchase securities under agreements (i.e., repurchase agreements) to resell such securities at an agreed upon price and date. The Funds, through their custodian, take possession of securities collateralizing the repurchase agreement. Such agreements are carried at the contract amount in the financial statements, which is considered to represent fair value. The collateral that is pledged (i.e., the securities received by the Funds), which consists primarily of U.S. government obligations and asset-backed securities, is held by the custodian bank for the benefit of the Funds until the maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Funds require that the market value of the collateral, including accrued interest thereon, be sufficient in the event of default by the counterparty. If the counterparty defaults under the Master Repo Agreements and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. The gross values are included in each Funds’ Schedule of Investments. As of January 31, 2022, the Funds did not hold any repurchase agreements. | |
K. | Warrants |
The Funds may receive warrants. Warrants are securities that are usually issued together with a debt security or preferred stock and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants may be freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also |
may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. | |
L. | Cash and Cash Equivalents |
Cash and cash equivalents include deposits held at financial institutions, which are available for each Fund’s use with no restrictions, and are inclusive of dollar denominated and foreign currency. |
A. | Options Contracts |
The Funds may write (sell) put and call options on securities and indices to earn premiums, for hedging purposes, risk management purposes or otherwise as part of their investment strategies. An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. | |
When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Written options are reported as a liability within “Written options at value.” Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Fund realizes a gain to the extent of the premium received. If a written call option is exercised, the premium received is recorded as an adjustment to the proceeds from the sale. If a written put option is exercised, the premium reduces the cost basis of the security. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or loss. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the referenced security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the referenced security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. As the writer of a covered call option, the Fund forgoes, during the option’s life, the opportunity to profit from increases in the market value of the security covering the call option above the sum of the premium and the strike price of the call, but retains the risk of loss should the price of the underlying security decline. | |
During the fiscal year ended January 31, 2022, the Diversified Income & Convertible Fund, Equity & Convertible Income Fund, and Dividend, Interest & Premium Strategy Fund invested in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. | |
The following is a summary of derivative instruments categorized by primary risk exposure, presented in the Statements of Assets and Liabilities at January 31, 2022: |
Primary Risk | Diversified Income & Convertible Fund | Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Liability Derivatives | ||||||
Equity contracts | Written options at value | $(69) | $(433) | $(503) | ||
Total | $(69) | $(433) | $(503) |
Primary Risk | Diversified Income & Convertible Fund | Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Net Realized Gain (Loss) From | ||||||
Equity contracts | Written options | $ 344 | $1,815 | $ (5,960) | ||
Total | $ 344 | $1,815 | $ (5,960) | |||
Net Change in Unrealized Appreciation/Depreciation on | ||||||
Equity contracts | Written options | $ (52) | $ (321) | $ 67 | ||
Total | $ (52) | $ (321) | $ 67 |
Diversified Income & Convertible Fund | Equity & Convertible Income Fund | Dividend, Interest & Premium Strategy Fund | |||
Written Options(1) | $(50) | $(265) | $(505) |
(1) Premium amount. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (“VIA” or the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners (“Virtus”), became the Funds’ investment adviser effective February 1, 2021 (except for Artificial Intelligence & Technology Opportunities Fund which was effective February 26, 2021). The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser. Prior to February 1, 2021, Allianz Global Investors U.S. LLC (“AllianzGI U.S.”) served as the investment adviser to the Funds (except for Artificial Intelligence & Technology Opportunities Fund for which AllianzGI U.S. served as adviser prior to February 26, 2021). | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily total managed assets of each Fund: |
Fund | Advisory Fee | |||
Artificial Intelligence & Technology Opportunities Fund | 1.25% | |||
Convertible & Income 2024 Target Term Fund | 0.75 | |||
Convertible & Income Fund | 0.70 | |||
Convertible & Income Fund II | 0.70 | |||
Diversified Income & Convertible Fund | 1.00 | |||
Equity & Convertible Income Fund | 1.00 | |||
Dividend, Interest & Premium Strategy Fund | 0.90 |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the period is as follows: |
Fund | Subadviser | |
Artificial Intelligence & Technology Opportunities Fund | AllianzGI U.S. | |
Convertible & Income 2024 Target Term Fund | AllianzGI U.S. | |
Convertible & Income Fund | AllianzGI U.S. | |
Convertible & Income Fund II | AllianzGI U.S. | |
Diversified Income & Convertible Fund | AllianzGI U.S. | |
Equity & Convertible Income Fund | AllianzGI U.S. | |
Dividend, Interest & Premium Strategy Fund (Equity and Options Portfolios) | NFJ (1) | |
Dividend, Interest & Premium Strategy Fund (Fixed Income Portfolio) | AllianzGI U.S. | |
(1) NFJ Investment Group, LLC (“NFJ”), which is an indirect, wholly-owned subsidiary of Virtus. |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exclusions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through February 1, 2023. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The reimbursements are accrued daily and received monthly. |
Fund | Expense Limitation | |
Artificial Intelligence & Technology Opportunities Fund | 0.09 % | |
Convertible & Income 2024 Target Term Fund | 0.19 | |
Convertible & Income Fund | 0.13 | |
Convertible & Income Fund II | 0.15 | |
Diversified Income & Convertible Fund | 0.17 | |
Equity & Convertible Income Fund | 0.07 | |
Dividend, Interest & Premium Strategy Fund | 0.06 |
D. | Expense Recapture |
Effective February 1, 2021 (except for Artificial Intelligence & Technology Opportunities Fund which was effective February 26, 2021), under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred. A Fund must pay its ordinary expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending January 31: |
Expiration | ||||||
Fund | 2024 | 2025 | Total | |||
Artificial Intelligence & Technology Opportunities Fund | $ 22 | $ 836 | $ 858 | |||
Convertible & Income 2024 Target Term Fund | 25 | 175 | 200 | |||
Convertible & Income Fund | 107 | 794 | 901 | |||
Convertible & Income Fund II | 98 | 595 | 693 | |||
Diversified Income & Convertible Fund | 279 | — | 279 | |||
Equity & Convertible Income Fund | 888 | — | 888 | |||
Dividend, Interest & Premium Strategy Fund | 1,598 | — | 1,598 |
E. | Administration Services |
Virtus Fund Services, LLC (“VFS”), an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds effective February 1, 2021 (except for Artificial Intelligence & Technology Opportunities Fund which was effective February 26, 2021). For the services provided by the |
administrator under the Administration Agreement, the Funds pay the administrator an asset-based fee calculated on each Fund’s average daily Managed Assets. This fee is calculated daily and paid monthly. | |
For the fiscal year or period, as applicable (“period”) ended January 31, 2022, the Funds incurred administration fees totaling $5,626 which are included in the Statements of Operations within the line item “Administration, accounting and custody fees.” | |
F. | Trustees’ Fees |
For the period ended January 31, 2022, the Funds incurred Trustees’ fees totaling $944 which are included in the Statements of Operations within the line item “Trustees’ fees and expenses”. | |
G. | Investments with Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended January 31, 2022, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
Outside of Rule 17a-7 transactions, other investments with affiliated issuers are separately reported in this footnote. An affiliated issuer includes any company in which the Fund held 5% or more of a company’s outstanding voting shares at any point during the period, as well as other circumstances where an investment adviser or subadviser to the Fund is deemed to exercise, directly or indirectly, a certain level of control over the company. A summary of the Fund’s total long-term and short-term purchases and sales of the securities of affiliated issuers during the period ended January 31, 2022, is as follows: |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities(1) | Value, end of period | Shares | |||||||
Convertible & Income Fund | |||||||||||||
Common Stocks—0.0% | |||||||||||||
CCF Holdings LLC(2) | $ —(3) | $— | $ — | $ — | $ — | $ — | — | ||||||
CCF Holdings LLC, Class B(2) | — (3) | — | — | — | — | — | — | ||||||
LiveStyle, Inc.(4),(5),(6),(7) | — (3) | — | — | — | — | — (3) | 90,407 | ||||||
$ — | $— | $ — | $ — | $ — | $ — | ||||||||
Preferred Stocks—0.5% | |||||||||||||
LiveStyle, Inc. Series B (4),(5),(6),(7) | 7,657 | — | (5,138) | 101 | (101) | 2,519 | 25,188 | ||||||
LiveStyle, Inc. Series B (4),(5),(6),(8) | — | — | — | — | — | — | 6,750 | ||||||
$7,657 | $— | $(5,138) | $101 | $(101) | $2,519 | ||||||||
Total | $7,657 | $— | $(5,138) | $101 | $(101) | $2,519 |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities(1) | Value, end of period | Shares | |||||||
Convertible & Income Fund II | |||||||||||||
Common Stocks—0.0% | |||||||||||||
CCF Holdings LLC, Class B(2) | $ —(3) | $— | $ — | $ — | $ — | $ — | — |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities(1) | Value, end of period | Shares | |||||||
Convertible & Income Fund II | |||||||||||||
LiveStyle, Inc.(4),(5),(6),(7) | $ —(3) | $— | $ — | $ — | $ — | $ —(3) | 90,407 | ||||||
$ — | $— | $ — | $ — | $ — | $ — | ||||||||
Preferred Stocks—0.7% | |||||||||||||
LiveStyle, Inc. Series B (4),(5),(6),(7) | 7,657 | — | (5,138) | 101 | (101) | 2,519 | 25,188 | ||||||
LiveStyle, Inc. Series B (4),(5),(6),(8) | — | — | — | — | — | — | 5,000 | ||||||
$7,657 | $— | $(5,138) | $101 | $(101) | $2,519 | ||||||||
Total | $7,657 | $— | $(5,138) | $101 | $(101) | $2,519 |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities | Value, end of period | Shares | |||||||
Diversified Income & Convertible Fund | |||||||||||||
Common Stocks—0.0% | |||||||||||||
LiveStyle, Inc.(4),(5),(6),(7) | $ —(3) | $— | $ — | $ — | $ —(3) | $ —(3) | 13,574 | ||||||
Preferred Stocks—0.1% | |||||||||||||
LiveStyle, Inc. Series B (4),(5),(6),(7) | $1,029 | $— | $772 | $15 | $106 | $378 | 3,783 | ||||||
LiveStyle, Inc. Series B (4),(5),(6) | — (3) | — | — | — | — (3) | — | 1,250 | ||||||
$1,029 | $— | $772 | $15 | $106 | $378 | ||||||||
Total | $1,029 | $— | $772 | $15 | $106 | $378 |
(1) | Does not tie to Net change in unrealized appreciation (depreciation) on Investment in affiliates on the Statements of Operations as a result of previously affiliated securities moving to unaffiliated. |
(2) | Issuer is not an affiliated investment of the Fund at January 31, 2022. |
(3) | Amount is less than $500. |
(4) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.50% of net assets. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Non-income producing. |
(7) | Security is restricted from resale. |
(8) | Security was not affiliated at beginning of the period. |
H. | Trustee Deferred Compensation Plan |
The Trustees do not currently receive any pension or retirement benefits from the Funds. In calendar year 2018 and certain prior periods, the Funds maintained a deferred compensation plan pursuant to which each Independent Trustee had the opportunity to elect not to receive all or a portion of his or her fees from the respective Fund on a current basis, but instead to receive in a subsequent period chosen by the Independent Trustee an amount equal to the value of such compensation if such compensation had been invested in one or more series of Virtus Investment Trust (formerly known as Allianz Funds) and Virtus Strategy Trust (formerly known as Allianz Funds Multi-Strategy Trust) selected by the Independent Trustees from and after the normal payment dates for such compensation. The deferred compensation program was closed to new deferrals effective January 1, 2019, and all Trustee fees earned with respect to service in calendar years 2019 and 2020 were paid in cash, on a current basis. The |
Funds still have obligations with respect to Independent Trustee fees deferred in 2018 and in prior periods, and will continue to have such obligations until all deferred Trustee fees are paid out pursuant to the terms of the deferred compensation plan. | |
Effective March 2021, each Fund provides a new deferred compensation plan (“New Plan”) for its Trustees who receive compensation from the Funds. Under the New Plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Funds, 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 “Prepaid expenses and other assets” in the Statements of Assets and Liabilities at January 31, 2022. |
Purchases | Sales | ||
Artificial Intelligence & Technology Opportunities Fund | $531,371 | $ 727,766 | |
Convertible & Income 2024 Target Term Fund | 149,353 | 138,769 | |
Convertible & Income Fund | 478,659 | 470,645 | |
Convertible & Income Fund II | 365,785 | 360,901 | |
Diversified Income & Convertible Fund | 493,958 | 588,519 | |
Equity & Convertible Income Fund | 628,337 | 831,747 | |
Dividend, Interest & Premium Strategy Fund | 958,126 | 1,014,075 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Artificial Intelligence & Technology Opportunities Fund | $ 778,308 | $ 136,860 | $ (34,206) | $ 102,654 | ||||
Convertible & Income 2024 Target Term Fund | 261,497 | 1,613 | (8,857) | (7,244) | ||||
Convertible & Income Fund | 871,762 | 77,697 | (85,589) | (7,892) | ||||
Convertible & Income Fund II | 653,437 | 59,855 | (64,352) | (4,497) | ||||
Diversified Income & Convertible Fund | 380,213 | 26,391 | (18,240) | 8,151 | ||||
Diversified Income & Convertible Fund (Written Options) | (37) | 7 | (39) | (32) | ||||
Equity & Convertible Income Fund | 782,024 | 94,771 | (33,202) | 61,569 | ||||
Equity & Convertible Income Fund (Written Options) | (218) | 40 | (255) | (215) | ||||
Dividend, Interest & Premium Strategy Fund | 1,355,879 | 225,650 | (48,508) | 177,142 | ||||
Dividend, Interest & Premium Strategy Fund (Written Options) | (642) | 275 | (136) | 139 |
Fund | Short-Term | Long-Term | ||
Convertible & Income Fund | $41,033 | $154,441 | ||
Convertible & Income Fund II | 31,678 | 124,976 | ||
Equity & Convertible Income Fund | — | 1,723 |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Post-October Capital Loss Deferred | Capital Loss Deferred | ||||
Artificial Intelligence & Technology Opportunities Fund | $17,002 | $29,997 | $ — | $ — | |||
Convertible & Income 2024 Target Term Fund | 6,940 | 1,659 | — | — | |||
Convertible & Income Fund | — | — | 5,155 | 195,474 | |||
Convertible & Income Fund II | — | — | 3,893 | 156,654 | |||
Diversified Income & Convertible Fund | 6,278 | 17,578 | — | — | |||
Equity & Convertible Income Fund | 60,477 | 49,705 | — | 1,723 | |||
Dividend, Interest & Premium Strategy Fund | 31,694 | 62,772 | — | — |
Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||
Artificial Intelligence & Technology Opportunities Fund | |||||||
1/31/22 | $ 108,455 | $ 58,077 | $ — | $166,532 | |||
2/28/21 | 85,439 | — | — | 85,439 | |||
2/29/20 | 11,155 | — | — | 11,155 | |||
Convertible & Income 2024 Target Term Fund | |||||||
1/31/22 | 16,220 | — | — | 16,220 | |||
2/28/21 | 10,078 | — | — | 10,078 | |||
2/29/20 | 10,078 | — | — | 10,078 | |||
Convertible & Income Fund | |||||||
1/31/22 | 19,969 | — | 27,712 | 47,681 | |||
2/28/21 | 34,490 | — | 18,750 | 53,240 | |||
2/29/20 | 50,027 | — | 20,275 | 70,302 | |||
Convertible & Income Fund II | |||||||
1/31/22 | 15,108 | — | 21,989 | 37,097 | |||
2/28/21 | 26,580 | — | 14,691 | 41,271 | |||
2/29/20 | 38,465 | — | 14,455 | 52,920 | |||
Diversified Income & Convertible Fund | |||||||
1/31/22 | 58,639 | 22,284 | — | 80,923 | |||
1/31/21 | 24,438 | 206 | — | 24,644 | |||
Equity & Convertible Income Fund | |||||||
1/31/22 | 42,118 | 48,601 | — | 90,719 | |||
1/31/21 | 33,603 | 8,515 | — | 42,118 | |||
Dividend, Interest & Premium Strategy Fund | |||||||
1/31/22 | 85,321 | — | — | 85,321 | |||
1/31/21 | 37,593 | 20,752 | 26,976 | 85,321 |
High | Low | At January 31, 2022 | |||
Series A | 0.16% | 0.06% | 0.12% | ||
Series B | 0.16 | 0.08 | 0.16 | ||
Series C | 0.16 | 0.08 | 0.12 | ||
Series D | 0.16 | 0.08 | 0.16 | ||
Series E | 0.16 | 0.08 | 0.12 |
Fund | Average Borrowings | Weighted Average Interest Rate | Loan Interest Expense | Commitment Fees | ||||
Artificial Intelligence & Technology Opportunities Fund | $30,000 | 0.83 % | $ 72 | $42 | ||||
Convertible & Income 2024 Target Term Fund | 69,700 | 0.83 | 168 | — | ||||
Convertible & Income Fund | 28,852 | 0.83 | 70 | — |
Fund | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
Artificial Intelligence & Technology Opportunities Fund | $ 43,520 | $43,000 | $520 | |||
Convertible & Income 2024 Target Term Fund | 20,957 | 20,957 | — | |||
Convertible & Income Fund | 39,676 | 39,676 | — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Fund’s Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Fund | Outstanding Borrowings | Average Borrowings | Weighted Average Interest Rate | Loan Interest Expense | ||||
Artificial Intelligence & Technology Opportunities Fund | $ 30,000 | $ 30,000 | 0.98% | $ 190 | ||||
Convertible & Income 2024 Target Term Fund | 69,700 | 69,700 | 0.61 | 275 | ||||
Convertible & Income Fund | 28,852 | 28,852 | 0.65 | 121 |
Fund | Investment of Cash Collateral | Overnight and continuous | ||
Artificial Intelligence & Technology Opportunities Fund | Money Market Mutual Fund | $13,000 | ||
Convertible & Income 2024 Target Term Fund | Money Market Mutual Fund | 1,922 | ||
Convertible & Income Fund | Money Market Mutual Fund | 11,127 |
Mandatory Redemption Date | Annual Dividend Rate | Aggregate Liquidation Preference | Estimated Fair Value | ||||
October 2, 2025 | 4.34% | $30,000 | $30,000 |
Maturity Date | Interest Rate | Notional/ Carrying Amount | Estimated Fair Value | ||||
November 22, 2029 | 3.94% | $50,000 | $50,000 |
Outstanding Borrowings | Interest Rate | |
$25,000 | 1.11% |
Fund | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
Convertible & Income Fund | ||||||||||
LiveStyle, Inc. | 2/3/16—11/30/16 | $ — | $ —(1) | 0.0% | ||||||
LiveStyle, Inc. Series B | 2/3/16—11/30/16 | 2,469 | 2,519 | 0.5 | ||||||
Affinion Group Holdings | 11/9/15—11/12/15 | 3,080 | — | 0.0 | ||||||
Convertible & Income Fund II | ||||||||||
LiveStyle, Inc. | 2/3/16—11/30/16 | $ — | $ —(1) | 0.0% | ||||||
LiveStyle, Inc. Series B | 2/3/16—11/30/16 | 2,469 | 2,519 | 0.7 | ||||||
Affinion Group Holdings | 11/9/15—11/12/15 | 2,371 | — | 0.0 | ||||||
Diversified Income & Convertible Fund | ||||||||||
LiveStyle, Inc. | 2/3/16—11/30/16 | $ — | $ —(1) | 0.0% | ||||||
LiveStyle, Inc. Series B | 2/3/16—11/30/16 | 371 | 378 | 0.1 | ||||||
(1) Amount is less than $500. |
Diversified Income & Convertible Fund, Virtus AllianzGI Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium
Strategy Fund
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Statements of Cash Flows |
Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund | For the period March 1, 2021 through January 31, 2022 and the year ended February 28, 2021 | For the period March 1, 2021 through January 31, 2022, the year ended February 28, 2021, and the period from October 31, 2019 (commencement of operations) to February 29, 2020 | Not applicable |
Virtus AllianzGI Convertible & Income Fund Virtus AllianzGI Convertible & Income Fund II | For the period March 1, 2021 through January 31, 2022 and the year ended February 28, 2021 | For the period March 1, 2021 through January 31, 2022 and the years ended February 28, 2021 and February 29, 2020 | Not applicable |
Virtus AllianzGI Convertible & Income 2024 Target Term Fund | For the period March 1, 2021 through January 31, 2022 and the year ended February 28, 2021 | For the period March 1, 2021 through January 31, 2022 and the years ended February 28, 2021 and February 29, 2020 | For the period March 1, 2021 through January 31, 2022 and the year ended February 28, 2021 |
Virtus AllianzGI Equity & Convertible Income Fund Virtus Dividend, Interest & Premium Strategy Fund | For the year ended January 31, 2022 | For the years ended January 31, 2022 and 2021 | Not applicable |
Virtus AllianzGI Diversified Income & Convertible Fund | For the year ended January 31, 2022 | For the years ended January 31, 2022 and 2021 | For the year ended January 31, 2022 |
Philadelphia, Pennsylvania
March 25, 2022
consult their tax advisors.
Qualified Dividend Income % (non-corporate shareholder) | Dividend Received Deduction % (corporate shareholders) | Long-Term Capital Gain Distributions ($) | |||
Artificial Intelligence & Technology Opportunities Fund | 13.35 % | 12.47 % | $ 88,074 | ||
Convertible & Income 2024 Target Term Fund | — | — | 1,659 | ||
Convertible & Income Fund | 31.05 | 29.19 | — | ||
Convertible & Income Fund II | 31.87 | 30.00 | — | ||
Diversified Income & Convertible Fund | 8.92 | 8.25 | 39,861 | ||
Equity & Convertible Income Fund | 9.59 | 9.04 | 98,306 | ||
Dividend, Interest & Premium Strategy Fund | 14.08 | 12.75 | 62,772 |
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 | Other Directorships Held by Trustee During Past 5 Years |
Rappaport, Alan YOB: 1953 Trustee and Chairman of the Board Served Since: NIE & NFJ (since 2010 ACV (since 2015) NCV & NCZ (since 2010); CBH (since2017); AIO (since 2019 7 Portfolios | Adjunct Professor (since 2011), New York University Stern School of Business; Lecturer (since 2013), Stanford University Graduate School of Business; and Director (since 2013), Victory Capital Holdings, Inc., an asset management firm. Formerly, Trustee (2005-2015), American Museum of Natural History; and Trustee and Member of Board of Overseers (2007-2015), NYU Langone Medical Center; and Advisory Director (formerly, Vice Chairman) (2009-2018), Roundtable Investment Partners. | Trustee (since 2010), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); and Trustee, PIMCO Closed-End Funds(3) (29 portfolios) |
Cogan, Sarah E. YOB: 1956 Served Since: 2019 (all Funds) 102 Portfolios | Retired Partner (since 2019), Simpson Thacher & Bartlett LLP (“STB”) (law firm); Director (since 2016), Girl Scouts of Greater New York; Trustee (since 2013), Natural Resources Defense Council, Inc.; and formerly, Partner (1989 to 2018), STB. | Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, and Virtus Event Opportunities Trust (2 portfolios); Advisory Board Member (since 2021), Virtus Alternative Solutions Trust (2 portfolios), Virtus Mutual Fund Family (55 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2021), Virtus Global Multi-Sector Income Fund and Virtus Total Return Fund Inc.; Trustee (since 2019), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (11 portfolios); Trustee (since 2019), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); and Trustee (since 2019), PIMCO Closed-End Funds(3) (29 portfolios). |
DeCotis, Deborah A. YOB: 1952 Served Since: NIE, NFJ, ACV, NCV & NCZ (since 2015) CBH (since 2017) AIO (since (2019) 102 Portfolios | Advisory Director (since 1996), Morgan Stanley & Co., Inc.; Member (since 2009), Circle Financial Group; Member (since 2013), Council on Foreign Relations; and Trustee (since 2017), Smith College. Formerly, Director (2017 to 2021), Watford Re; Co-Chair Special Projects Committee (2005-2015), Memorial Sloan Kettering; and Trustee (2010-2015), Stanford University. | Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, and Virtus Event Opportunities Trust (2 portfolios); Advisory Board Member (since 2021), Virtus Alternative Solutions Trust (2 portfolios), Virtus Mutual Fund Family (55 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2021), Virtus Global Multi-Sector Income Fund and Virtus Total Return Fund Inc.; Trustee (since 2014), Virtus Investment Trust (13 portfolios); Trustee (since 2011), Virtus Strategy Trust (11 portfolios); Trustee (since 2011), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); and Trustee (since 2011), PIMCO Closed-End Funds(3) (29 portfolios). |
Drummond, F. Ford YOB: 1962 Served Since: NIE, NFJ, ACV, NCV & NCZ (since 2015) CBH (since 2017) AIO (since (2019) 102 Portfolios | Owner/Operator (since 1998), Drummond Ranch; and Director (since 2015), Texas and Southwestern Cattle Raisers Association. Formerly, Chairman, Oklahoma Nature Conservancy (2019 to 2020); Board Member (2006 to 2020) and Chairman (2016 to 2018), Oklahoma Water Resources Board; Director (1998 to 2008), The Cleveland Bank; and General Counsel (1998 to 2008), BMIHealth Plans (benefits administration). | Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, and Virtus Event Opportunities Trust (2 portfolios); Advisory Board Member (since 2021), Virtus Alternative Solutions Trust (2 portfolios), Virtus Mutual Fund Family (55 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2021), Virtus Global Multi-Sector Income Fund and Virtus Total Return Fund Inc.; Trustee (since 2015), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); Trustee (since 2014), Virtus Strategy Trust (11 portfolios); Director (since 2011), Bancfirst Corporation; and Trustee (since 2006), Virtus Investment Trust (13 portfolios). |
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 | Other Directorships Held by Trustee During Past 5 Years |
MacLeod, James S. YOB: 1947 Served Since: NIE & NFJ (since 2015) ACV (since 2015) NCV & NCZ (since (2015) CBH (since 2017) AIO (since 2019) 7 Portfolios | Chief Executive Officer (2010 to 2018), CoastalSouth Bancshares; President and Chief Operating Officer (2007 to 2018), Coastal States Bank; Managing Director and President (2007 to 2018), Homeowners Mortgage, a President (2007 to 2018), Homeowners Mortgage a subsidiary of Coastal States Bank. | Non-Executive Chairman & Director, Sykes Enterprises, Inc.; Trustee since 2015, Virtus AllianzGI Closed-End Funds(2) (7 portfolios); Non-Executive Chairman (since 2018), CoastalSouth Bancshares, Inc.; Director, Coastal States Bank; Director, Coastal States Mortgage, Inc.; Vice Chairman, MUSC Foundation; Chairman of the Board of Trustees, University of Tampa. |
McLoughlin, Philip(4) YOB: 1946 Served Since: NIE, NFJ, ACV, AIO & NCZ (since 2021) CBH and NCV (since 2022) 105 Portfolios | Private investor since 2010. | Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (11 portfolios); Trustee (since 2021), Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund, Virtus AllianzGI Convertible & Income Fund II, Virtus AllianzGI Diversified Income & Convertible Fund, Virtus AllianzGI Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2022) and Advisory Board Member (2021), Virtus AllianzGI Convertible & Income 2024 Target Term Fund and Virtus AllianzGI Convertible & Income Fund; 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 (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (2 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. (3 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (55 portfolios). |
Ogden, William B., IV YOB: 1945 Served Since: NCV, NCZ & NFJ (since 2006) NIE (since June 2007) CBH (since 2017) AIO (since 2019) 7 Portfolios | Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc. | Trustee (since 2006), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); Trustee, PIMCO Closed-End Funds(3) (29 portfolios). |
Walton, R. Keith(4) YOB: 1964 Served Since: ACV (Trustee since 2022) AIO, CBH, NCV, NCZ, NIE & NFJ (Advisory Member since 2022) 102 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; and Partner (since 2006), Global Infrastructure Partners. Formerly, Managing Director (2020 to 2021), Lafayette Square Holding Company 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. | Trustee (since 2022), Virtus AllianzGI Diversified Income & Convertible Fund; Advisory Board Member (since 2022), Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund, Virtus AllianzGI Convertible & Income 2024 Target Term Fund, Virtus AllianzGI Convertible & Income Fund, Virtus AllianzGI Convertible & Income Fund II, Virtus AllianzGI Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (11 portfolios); Trustee (since 2020) Virtus Alternative Solutions Trust (2 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (55 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (2016 to 2021), 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. |
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 | Other Directorships Held by Trustee During Past 5 Years |
Zino, Brian T.(4) YOB: 1952 Served Since: 2022 (all funds) 102 Portfolios | Retired. Various roles (1982 to 2009), J. & W. Seligman & Co. Incorporated, including President (1994 to 2009). | Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (11 portfolios); Trustee (since 2022) and Advisory Board Member (2021), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); Trustee (since 2020), Virtus Alternative Solutions Trust (2 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (55 portfolios); Director (2016 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2009) and President (1994 to 2009), 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 Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R. Trustee and President YOB: 1964 Served Since: 2021 (all funds) 107 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Member, Board of Governors of the Investment Company Institute (since 2021); Trustee and President (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (11 portfolios); Trustee, President and Chief Executive Officer (since 2021), Virtus AllianzGI Closed-End Funds(2) (7 portfolios); Chairman and Trustee (since 2015), Virtus ETF Trust II (5 portfolios); Director, President and Chief Executive Officer (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (2 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 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 (55 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, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2021). | 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 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust, Virtus Strategy Trust and Virtus AllianzGI Closed-End Funds(6); 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 (2017 to 2021) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Vice President (2016 to 2017), 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, Chief Financial Officer and Treasurer (since 2021). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President, Chief Financial Officer and Treasurer (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust, Virtus Strategy Trust and Virtus AllianzGI Closed-End Funds(6); 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 ( 2016 to 2021), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (2014 to 2021), 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. |
Angela Borreggine YOB: 1964 | Vice President, Chief Legal Officer, Counsel and Secretary (since 2016). | Vice President and Senior Counsel, Virtus Investment Partners LLC (since 2021); Vice President, Chief Legal Officer, Counsel and Secretary (since 2021), Virtus AllianzGI Closed-End Funds(6); Director, Senior Counsel, Chief Legal Officer and Secretary of 62 Funds in the Allianz Global Investors US LLC family of funds (2016 to 2021); Chief Legal Officer and Secretary (2016 to 2020), The Korea Fund, Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President and Chief Compliance Officer (since 2021). | 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 and Chief Compliance Officer (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust, Virtus Strategy Trust and Virtus AllianzGI Closed-End Funds(6); 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 (2012 to 2019), 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 (2017 to 2021), Vice President (2014 to 2017) and Chief Compliance Officer (2014 to 2021), 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 and Assistant Secretary (since 2021). | Vice President (since 2016) and Senior Counsel (since 2007), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Vice President, Chief Legal Officer, Counsel and Secretary (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust and Virtus Strategy Trust; Vice President and Assistant Secretary (since 2021), Virtus AllianzGI Closed-End Funds(6); 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, Counsel and Secretary (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President, Chief Legal Officer, Counsel and Secretary (since 2020), 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, Counsel and Secretary (since 2013), Virtus Variable Insurance Trust; and Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Alternative Solutions Trust. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2021). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust, Virtus Strategy Trust and Virtus AllianzGI Closed-End Funds(6); Senior Vice President (2018 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; and Senior Vice President (since 2018), 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). |
Smirl, Richard W. YOB: 1967 | Executive Vice President (since 2021). | Executive Vice President, Product Management (since 2021), and Executive Vice President and Chief Operating Officer (since 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Mutual Fund Family, Virtus Investment Trust, Virtus Strategy Trust, Virtus AllianzGI Closed-End Funds(6), Virtus Global Multi-Sector Income Fund, Virtus Global Multi-Sector Income Fund, and Virtus Total Return Fund Inc.; Executive Vice President (May to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Operating Officer (2018 to 2021), Russell Investments; Executive Director (Jan. to July 2018), State of Wisconsin Investment Board; and Partner and Chief Operating Officer (2004 to 2018), William Blair Investment Management. |
Accounting Firm
Shareholder Services | 1-800-254-5197 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-254-5197.
please contact us at 1-800-254-5197 or closedendfunds@virtus.com, or visit Virtus.com.
8559 | 03-22 |
(b) | Not applicable. |
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 described in Item 2(b) of the instructions for completion of Form N-CSR. |
(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 an “audit committee financial expert” serving on its Audit Oversight 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.” Mr. Zino is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to 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 $44,000 for 2022 and $77,182 for 2021. |
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 $2,158 for 2022 and $0 for 2021. 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 $14,950 for 2022 and $12,000 for 2021. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, 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 2022 and $0 for 2021. |
(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. |
Virtus AllianzGI Convertible & Income 2024 Target Term 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 Audit Oversight Committee. The Audit Oversight Committee 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 Audit Oversight Committee 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 Audit Oversight Committee without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Oversight Committee has determined that the Chair of the Audit Oversight Committee may provide pre-approval for such services that meet the above requirements but are not included in the general pre-approval in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Oversight Committee is informed of, and ratifies, each service approved at the next regularly scheduled in-person Audit Oversight Committee 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 $17,108 for 2022 and $12,000 for 2021. |
(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 the start of the period covered by this report through December 31, 2021, the members of the audit committee were Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond, Hans W. Kertess, James S. MacLeod, William B. Ogden, IV, David S. Scoon, and Alan Rappaport. Philip R. McLoughlin and Brian T. Zino each also served as an advisory member of the audit committee effective February 1, 2021. Effective January 1, 2022, the members of the audit committee were Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond, James S. MacLeod, Philip R. McLoughlin, William B. Ogden, IV, Alan Rappaport, and Brian T. Zino. R. Keith Walton also served as an advisory member of the audit committee effective January 1, 2022. |
(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(a) 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 (the “Policy”) 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 or its voting delegates will endeavor 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 or its voting delegates 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.
In the absence of a specific direction to the contrary from the Board, the Adviser or the subadviser that is managing the Fund is responsible for voting proxies for such fund, or for delegating such responsibility to a qualified, independent organization engaged by the Adviser or respective subadviser to vote proxies on its behalf. The applicable voting party will vote proxies in accordance with the Policy or its own policies and procedures, which must be reasonably designed to further the best economic interests of the affected fund shareholders. Because the Policy and the applicable voting party’s policies and procedures used to vote proxies for the funds both are designed to further the best economic interests of the affected fund shareholders, they are not expected to conflict with one another although the types of factors considered by the applicable voting party under its own policies and procedures may be in addition to or different from the ones listed below for the Policy.
The Policy specifies the types of factors to be considered when analyzing and voting proxies on certain issues when voting in accordance with the Policy, including, but not limited to:
• | Anti-takeover measures – the overall long-term financial performance of the target company relative to its industry competition. |
• | Corporate Governance Matters – tax and economic benefits of changes in the state of incorporation; dilution or improved accountability associated with changes in capital structure. |
• | Contested elections – the qualifications of all nominees; independence and attendance record of board and key committee members; entrenchment devices in place that may reduce accountability. |
• | 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 the proposal is likely to enhance or protect shareholder value; whether identified issues are more appropriately or effectively addressed by legal or regulatory changes; whether the issuer has already appropriately addressed the identified issues; whether the proposal is unduly burdensome or prescriptive; whether the issuer’s existing approach to the identified issues is comparable to industry best practice. |
The Fund and its voting delegates seek to avoid actual or perceived conflicts of interest of Fund shareholders, on the one hand, and those of the Adviser, subadviser, other voting delegate, Distributor, or any affiliated person of the Fund, on the other hand.
Depending on the type and materiality, the Board or its delegates may take the following actions, among others, in addressing any material conflicts of interest that arise with respect to voting (or directing voting delegates to vote): (i) rely on the recommendations of an established, independent third party proxy voting vendor; (ii) vote pursuant to the recommendation of the proposing delegate; (iii) abstain; (iv) where two or more delegates provide conflicting requests, vote shares in proportion to the assets under management of each proposing delegate; (v) vote shares in the same proportion as the vote of all other shareholders of such issuer; or (vi) the Adviser may vote proxies where the subadviser has a direct conflict of interest. The Policy requires each Adviser/subadviser that is a voting delegate to notify the Chief Compliance Officer of the Trust (or, in the case of a subadviser, the Chief Compliance Officer of the Adviser) of any actual or potential conflict of interest that is identified, and provide a recommended course of action for protecting the best interests of the affected fund’s shareholders. No Adviser/subadviser or other voting delegate may waive any conflict of interest or vote any conflicted proxies without the prior written approval of the Board (or the Executive Committee thereof) or the Chief Compliance Officer of the Trust.
The Policy further imposes certain record-keeping and reporting requirements on each Adviser/subadviser or other voting delegate.
Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month period ended September 30 will be available, no later than August 31 of each year, free of charge by calling, toll-free, 800.243.1574, or on the SEC’s Web site at www.sec.gov.
Following is information about the policies and procedures followed by each subadviser to the Fund in voting proxies for their respective funds.
AllianzGI U.S. Funds
AllianzGI U.S. typically votes proxies as part of its discretionary authority to manage accounts, unless the client has explicitly reserved the authority for itself. When voting proxies, AllianzGI U.S. seeks to make voting decisions solely in the best interests of its clients and to enhance the economic value of the underlying portfolio securities held in its clients’ accounts.
AllianzGI U.S. has adopted the Allianz Global Investors Global Corporate Governance Guidelines and Proxy Voting Policy (the “Proxy Guidelines”), which are reasonably designed to ensure that the firm is voting in the best interest of its clients. For the purpose of voting proxies for all accounts of AllianzGI U.S., AllianzGI U.S. uses the services of its affiliate, Allianz Global Investors GmbH (“AllianzGI GmbH”). The employees of AllianzGI GmbH who provide proxy voting services to AllianzGI U.S. are considered “associated persons” as that term is defined in the Investment Advisers Act of 1940, as amended (the “Advisers Act”).
The Proxy Guidelines provide a general framework for our proxy voting analysis and are intended to address the most significant and frequent voting issues that arise at our investee companies’ shareholder meetings. However, the Proxy Guidelines are not intended to be rigid rules, and AllianzGI’s consideration of the merits of a particular proposal may cause AllianzGI to vote in a manner that deviates from the approach set forth in the Proxy Guidelines.
AllianzGI has retained an unaffiliated third party proxy research and voting service provider (“Proxy Voting Service”), to assist it in researching and voting proxies. With respect to each proxy received, the Proxy Voting Service researches the ballot proposals and provides a recommendation to AllianzGI as to how to vote on each proposal based on the Proxy Voting Service’s research of the individual facts and circumstances and the Proxy Voting Service’s application of its research findings to the Proxy Guidelines.
In some cases, a portfolio manager, research analyst or proxy analyst from the Global Environmental, Social and Governance (“ESG”) team may propose to override a policy recommendation made by the Proxy Voting Service. In such cases, AllianzGI will review the proxy to determine whether there is a material conflict between the interests of AllianzGI (including the employee proposing the vote) and the interests of AllianzGI’s clients. If a material conflict does exist, AllianzGI will seek to address the conflict in good faith and in the best interests of the applicable client accounts, as described more fully below. In the absence of a material conflict, the proxy will be reviewed by a proxy analyst and the relevant portfolio managers and/or research analysts and, from time to time as may be necessary, the Head of ESG Research (or equivalent), to determine how the proxy will be voted. Any deviations from the Proxy Guidelines will be documented and maintained in accordance with Rule 204-2 under the Advisers Act.
AllianzGI has adopted and implemented policies and procedures, including the procedures described in this document, which are reasonably designed to ensure that client account proxies are voted in the best interest of clients. Such policies and procedures are in part designed to identify and address material conflicts of interest that may arise between the interests of AllianzGI and its clients, as well as identify material conflicts of interest that portfolio managers, proxy analysts and research analysts may have, to ensure any such conflicted individuals refrain from participating in the proxy voting process or that the conflicts are otherwise mitigated. With respect to personal conflicts of interest, AllianzGI’s Code of Ethics requires all employees to conduct themselves with integrity and distinction, to put first the interests of the firm’s clients, and to take care to avoid even the appearance of impropriety. Portfolio managers, research analysts, proxy analysts, or Proxy Committee members with a personal conflict of interest regarding a particular proxy vote must recuse themselves and not participate in the voting decisions with respect to that proxy.
With respect to the voting process, as described above, most votes are based on the independent recommendation of the unaffiliated, third party Proxy Voting Service, which recommendations are in turn based on the Proxy Voting Service’s independent review and research of each proxy and its independent application of the Proxy Guidelines.
In those cases in which a proxy analyst, portfolio manager or research analyst proposes to override a policy recommendation made by the Proxy Voting Service or the Proxy Voting Service has not provided a recommendation, the proxy analyst and relevant portfolio managers and/or research analysts will review the proxy to ensure any recommendation appears based on a sound investment rationale and assess whether any business or other relationship, or any other potential conflict of interest, may be influencing the proposed vote on that company’s proxy. In the event a material conflict is identified, AllianzGI will convene the Proxy Committee to review the proxy and make a decision how to vote. Proposed votes that raise potential material conflicts of interest are promptly resolved by the Proxy Committee prior to the time AllianzGI casts its vote.
As a further safeguard, while AllianzGI includes members from different parts of the organization on the Proxy Committee, AllianzGI does not include individuals whose primary duties relate to client relationship management, marketing, or sales. Finally, any voting decision by the Proxy Committee must include a vote from a member of at least one of the Risk, Legal, or Compliance functions.
AllianzGI U.S. may vote proxies in accordance with other relevant procedures that have been approved and implemented to address specific types of conflicts. For example, when a material conflict between the interests of AllianzGI U.S. and its clients have been identified AllianzGI U.S. may abstain from voting.
In certain circumstances, a client may request in writing that AllianzGI U.S. vote proxies for its account in accordance with a set of guidelines which differs from the Proxy Guidelines. For example, a client may wish to have proxies voted for its account in accordance with the Taft-Hartley proxy voting guidelines. In that case, AllianzGI U.S. will vote the shares held by such client accounts in accordance with their direction, which may be different from the vote cast for shares held on behalf of other client accounts that vote in accordance with the Proxy Guidelines.
AllianzGI may abstain from voting client proxies if, based on its evaluation of relevant criteria, it determines that the costs associated with voting a proxy exceed the expected benefits to affected clients. The primary aim of this cost-benefit analysis is to determine whether it is in a client’s best economic interest to vote its proxies. If the costs associated with voting a proxy outweigh the expected benefit to the client, AllianzGI may refrain from voting that proxy.
The circumstances under which AllianzGI may refrain from voting may include, but are not limited to, the following: (1) proxy statements and ballots being written in a foreign language, (2) untimely notice of a shareholder meeting, (3) requirements to vote proxies in person, (4) restrictions on a foreigner’s ability to exercise votes, and (5) requirements to provide local agents with power of attorney to execute the voting instructions. Such proxies are voted on a best-efforts basis.
Proxy voting in certain countries requires “share blocking.” To vote proxies in such countries, shareholders must deposit their shares shortly before the date of the meeting with a designated depositary and the shares are then restricted from being sold until the meeting has taken place and the shares are returned to the shareholders’ custodian banks. Absent compelling reasons, AllianzGI believes the benefit to its clients of exercising voting rights does not outweigh the effects of not being able to sell the shares. Therefore, if share blocking is required AllianzGI generally abstains from voting.
AllianzGI will be unable to vote securities on loan under securities lending arrangements into which AllianzGI’s clients have entered. However, under rare circumstances such as voting issues that may have a significant impact on the investment, if the client holds a sufficient number of shares to have a material impact on the vote, AllianzGI may request that the client recall securities that are on loan if it determines that the benefit of voting outweighs the costs and potential lost revenue to the client and the administrative burden of retrieving the securities.
The ability to timely identify material events and recommend recall of shares for proxy voting purposes is not within the control of AllianzGI U.S. and requires the cooperation of the client and its other service providers. Efforts to recall loaned securities are not always effective and there can be no guarantee that any such securities can be retrieved in a timely manner for purposes of voting the securities.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) As of the date of filing this report, the Fund’s sub-adviser is Allianz Global Investors U.S. LLC. The names, titles and length of service of the person(s) employed by or associated with the registrant or an investment adviser of the registrant who is primarily responsible for the day-to-day management of the registrant’s portfolio (“Portfolio Manager”) and each Portfolio Manager’s business experience during the past 5 years as of the date of filing this report:
Justin M. Kass, CFA
Managing Director, Portfolio Manager
CIO and Co-Head US Income & Growth Strategies
Mr. Kass is a portfolio manager, managing director, CIO and co-head US Income & Growth Strategies with Allianz Global Investors, which he joined in 2000. He has portfolio management, research and trading responsibilities for the Income and Strategies team. In 2003, Mr. Kass was promoted to portfolio management and began handling day-to-day portfolio manager responsibilities for the firm’s US Convertible strategy in 2005. He is also a lead portfolio manager for the firm’s Income and Growth strategy since its inception in 2007. In addition to management responsibility for institutional clients, Mr. Kass is responsible for managing multiple closed-end and open-end mutual funds. Previous to joining the firm, Mr. Kass interned on the Income and Growth Strategies team, adding significant depth to its proprietary Upgrade Alert Model. He has 24 years of investment industry experience. Mr. Kass has a B.S. from the University of California, Davis, and an M.B.A. from the UCLA Anderson School of Management. He is a CFA charterholder.
David J. Oberto
Director, Portfolio Manager
Mr. Oberto is a portfolio manager and a director with Allianz Global Investors, which he joined in 2007. He has portfolio management, research and trading responsibilities for the Income and Growth Strategies team. He has been a portfolio manager for the firm’s US High Yield Bond strategy since 2017. In addition to management responsibility for institutional clients, Mr. Oberto is responsible for managing multiple closed-end and open-end mutual funds. He has 19 years of investment industry experience. Mr. Oberto was previously a portfolio administrator, a credit default swaps (CDS) account manager and a trade-closer for Bain Capital. He began his career as an intern at Gabelli Asset Management. Mr. Oberto has a B.S.B.A. with a concentration in finance and a minor in economics from Fordham University and an M.S. in finance from the D’Amore-McKim School of Business at Northeastern University.
William (Brit) L. Stickney
Managing Director, Portfolio Manager
Co-Head US Income and Growth Strategies
Mr. Stickney is a portfolio manager, a managing director and co-head with Allianz Global Investors, which he joined in 1999. He has portfolio management and research responsibilities for the Income and Growth Strategies team. Mr. Stickney has 33 years of investment industry experience. Previously, he was a vice president of institutional fixed-income sales with ABN AMRO, Inc., where his primary focus was on high yield corporate securities. He also worked for Cowen & Company and Wayne Hummer & Company. Mr. Stickney has a B.S. in finance from Miami University, Ohio, and an M.B.A. from the Kellogg School of Management, Northwestern University.
(a) (2) AllianzGI US
The following summarizes information regarding each of the accounts, excluding the Fund, that were managed by the Portfolio Managers as of January 31, 2022 including accounts managed by a team, committee, or other group that includes the Portfolio Managers.
Name of Portfolio Manager or | Type of Accounts | Total | 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) | |||||||||||||||
Team Member | No. of Accounts Managed | |||||||||||||||||||
Justin M. Kass | Registered Investment Companies: | 10 | 12,864 | 0 | 0 | |||||||||||||||
Other Pooled Investment Vehicles: | 10 | 46,669 | 1 | 2,447 | ||||||||||||||||
Other Accounts: | 8 | 2,249 | 1 | 100 | ||||||||||||||||
David Oberto | Registered Investment Companies: | 9 | 12,514 | 0 | 0 |
Other Pooled Investment Vehicles: | 10 | 46,669 | 1 | 2,447 | ||||||||||||||
Other Accounts: | 7 | 2,149 | 0 | 0 | ||||||||||||||
William L. Stickney | Registered Investment Companies: | 6 | 9,100 | 0 | 0 | |||||||||||||
Other Pooled Investment Vehicles: | 8 | 46,435 | 1 | 2,447 | ||||||||||||||
Other Accounts: | 8 | 2,249 | 1 | 100 |
AllianzGI US
Potential Conflicts of Interest
Like other investment professionals with multiple clients, a portfolio manager for a Fund may face certain potential conflicts of interest in connection with managing both the Portfolio and other accounts at the same time. The paragraphs below describe some of these potential conflicts, which AllianzGI US believes are faced by investment professionals at most major financial firms.
AllianzGI US has adopted compliance policies and procedures that address certain of these potential conflicts. The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (“performance fee accounts”), may raise potential conflicts of interest by creating an incentive to favor higher- fee accounts. These potential conflicts may include, among others:
• | The most attractive investments could be allocated to higher-fee accounts or performance fee accounts. |
• | The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher -fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune time. |
• | The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation. |
When AllianzGI US considers the purchase or sale of a security to be in the best interests of a Fund as well as other accounts, AllianzGI US’s trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or purchased. Aggregation of trades may create the potential for unfairness to a Fund or another account if one account is favored over another in allocating the securities purchased or sold—for example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. AllianzGI US considers many factors when allocating securities among accounts, including the account’s investment style, applicable investment restrictions, availability of securities, available cash and other current holdings. AllianzGI US attempts to allocate investment opportunities among accounts in a fair and equitable manner. However, accounts are not assured of participating equally or at all in particular investment allocations due to such factors as noted above.
“Cross trades,” in which one AllianzGI US account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict of interest when cross trades are effected in a manner perceived to favor one client over another. For example, AllianzGI US may cross a trade between performance fee account and a fixed fee account that results in a benefit to the performance fee account and a detriment to the fixed fee account. AllianzGI US has adopted compliance procedures that provide that all cross trades are to be made at an independent current market price, as required by law.
Another potential conflict of interest may arise from the different investment objectives and strategies of a Fund and other accounts. For example, another account may have a shorter-term investment horizon or different investment objectives, policies or restrictions than a Portfolio. Depending on another account’s objectives or other factors, a portfolio manager may give advice and make decisions that may differ from advice given, or the timing or nature of decisions made, with respect to a Fund. In addition, investment decisions are subject to suitability for the particular account involved. Thus, a particular security may not be bought or sold for certain accounts even though it was bought or sold for other accounts at the same time.
More rarely, a particular security may be bought for one or more accounts managed by a portfolio manager when one or more other accounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. AllianzGI US maintains trading policies designed to provide portfolio managers an opportunity to minimize the effect that short sales in one portfolio may have on holdings in other portfolios.
A portfolio manager who is responsible for managing multiple funds and/or accounts may devote unequal time and attention to the management of those funds and/or accounts. As a result, the portfolio manager may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those accounts as might be the case if he or she were to devote substantially more attention to the management of a single fund. The effects of this potential conflict may be more pronounced where funds and/or accounts overseen by a particular portfolio manager have different investment strategies.
A Portfolio’s portfolio manager(s) may be able to select or influence the selection of the broker/dealers that are used to execute securities transactions for the Fund. In addition to executing trades, some brokers and dealers provide AllianzGI US with brokerage and research services (as those terms are defined in Section 28(e) of the Securities Exchange Act of 1934), which may result in the payment of higher brokerage fees than might have otherwise be available. These services may be more beneficial to certain funds or accounts than to others. In order to be assured of continuing to receive services considered of value to its clients, AllianzGI US has adopted a brokerage allocation policy embodying the concepts of Section 28(e) of the Securities Exchange Act of 1934. Although the payment of brokerage commissions is subject to the requirement that the portfolio manager determine in good faith that the commissions are reasonable in relation to the value of the brokerage and research services provided to the Fund and the Sub-Adviser’s other clients, a portfolio manager’s decision as to the selection of brokers and dealers could yield disproportionate costs and benefits among the funds and/or accounts that he or she manages.
A Fund’s portfolio manager(s) may also face other potential conflicts of interest in managing a Portfolio, and the description above is not a complete description of every conflict that could be deemed to exist in managing both the Portfolios and other accounts. In addition, a Fund’s portfolio manager may also manage other accounts (including their personal assets or the assets of family members) in their personal capacity.
AllianzGI US’s investment personnel, including each Fund’s portfolio manager, are subject to restrictions on engaging in personal securities transactions pursuant to AllianzGI US’s Code of Business Conduct and Code of Ethics (the “Code”), which contain provisions and requirements designed to identify and address conflicts of interest between personal investment activities and the interests of the Fund. The Code is designed to ensure that the personal securities transactions, activities and interests of the employees of AllianzGI US will not interfere with (i) making decisions in the best interest of advisory clients (including the Portfolios) or (ii) implementing such decisions while, at the same time, allowing employees to invest for their own accounts.
(a)(3) As of January 31, 2022, the following explains the compensation structure of each individual employed by AllianzGI US who share primary responsibility for day-to-day portfolio management of the Fund:
Compensation Structure
AllianzGI US’s compensation system is designed to support its corporate values and culture. While AllianzGI US acknowledges the importance of financial incentives and seeks to pay top quartile compensation for top quartile performance, it also believes that compensation is only one of a number of critically important elements that allow the emergence of a strong, winning culture that attracts, retains and motivates talented investors and teams.
The primary components of compensation at AllianzGI US are the base salary and an annual discretionary variable compensation payment. This variable compensation component typically comprises a cash bonus that pays out immediately as well as a deferred component, for members of staff whose variable compensation exceeds a certain threshold. The deferred component for most recipients would be a notional award of the Long Term Cash Bonus Plan (LTIPA); for members of staff whose variable compensation exceeds an additional threshold, the deferred compensation is itself split between the LTIPA and a Deferral into Funds program (DIF). Deferral rates increase in line with the overall variable compensation. Overall awards, splits and components are regularly reviewed to ensure they meet industry best practice and, where applicable, at a minimum comply with regulatory standards.
Base salary typically reflects scope, responsibilities and experience required in a particular role, be it on the investment side or any other function in the company. Base compensation is regularly reviewed against peers with the help of compensation survey data. Base compensation is typically a greater percentage of total compensation for more junior positions, while for the most senior roles it will be a comparatively small component, often capped and only adjusted every few years.
Discretionary variable compensation is primarily designed to reflect the achievements of an individual against set goals, over a certain time period. For an investment professional these goals will typically be 70% quantitative and 30% qualitative. The former will reflect a weighted average of investment performance over a three-year rolling time period (one-year (25%) and three year (75%) results) and the latter reflects contributions to broader team goals, contributions made to client review meetings, product development or product refinement initiatives. Portfolio managers have their performance metric aligned with the benchmarks of the client portfolios they manage.
The LTIPA element of the variable compensation cliff vests three years after each (typically annual) award. Its value is directly tied to the operating result of AllianzGI US over the three year period of the award.
The DIF element of the variable compensation cliff vests three years after each (typically annual) award and enables these members of staff to invest in a range of AllianzGI US funds (investment professionals are encouraged to invest into their own funds or funds where they may be influential from a research or product group relationship perspective). Again, the value of the DIF awards is determined by the growth of the fund(s) value over the three year period covering each award.
• | The qualitative element includes topics such as idea sharing, global cooperation and behavior, which reflect our core values of excellence, passion, integrity and respect. |
• | Firm-wide asset growth affects investment professional compensation indirectly via our LTIPA and Allianz Global Investors’ overall ability to pay our staff competitively. |
A few investment teams have their compensation linked to revenue growth in addition to investment performance and the other factors described. In these instances, compensation is subject to the same principles, such as deferral into LTIPA and DIF, as our discretionary compensation structure. Revenue sharing compensation arrangements apply to the following investment teams: Income & Growth and Global Technology; for each of these teams, US Finance determines the “global gross revenues” generated by the team, including both US and global revenues, which are then offset by certain expenses and any trading errors during the period. Each CIO is responsible for allocating the revenue sharing pool, which is subject to final approval by the Global Compensation Committee.
(a)(4) The following summarizes the dollar range of securities each portfolio manager for the Fund beneficially owned of the Fund that he managed as of January 31, 2022.
Virtus AllianzGI Convertible & Income 2024 Target Term Fund
PM Ownership | ||
Justin Kass, CFA | Over $1,000,000 | |
David J. Oberto | $10,001-$50,000 | |
William L. Stickney | None |
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 have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes 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 period covered by this report 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.
(a) SECURITIES LENDING ACTIVITIES
Gross income from securities lending activities | $ | 29,000 | ||
Fees paid to securities lending agent * | (16,000 | ) | ||
Net Income from securities lending activities | $ | 13,000 |
* | Includes revenue split and collateral management fees |
(b) As of the end of the fiscal year, the Registrant had entered into a Master Margin Loan Agreement and a Securities Lending Authorization Agreement (“SLAA”) with a commercial bank. The SLAA allows the Registrant to loan securities to qualified brokers. The bank shares with the Registrant a portion of the revenue it receives from lending those securities. In connection with those borrowing and lending activities, the bank is responsible for the administration and management for the Registrant’s securities lending program, including:
• | negotiation, preparation, and execution of an agreement with each approved borrower governing the terms and conditions of any securities loan, |
• | credit review and monitoring of approved borrowers, |
• | loan negotiation, |
• | ensuring that securities loans are properly coordinated and documented with the Funds’ custodian, sub custodians/depositories, |
• | daily marking to market of loans, |
• | monitoring and maintaining cash collateral levels, |
• | arranging for the investment of cash collateral received from borrowers in accordance with each Fund’s investment guidelines, |
• | initiating and monitoring loan terminations/recalls, |
• | ensuring that all dividends and other distributions from corporate actions with respect to loaned securities are credited to the relevant Funds, and |
• | maintaining records relating to the Fund’s securities lending activity and providing monthly/quarterly statements. |
Item 13. Exhibits.
(a)(1) |
(a)(2) |
(a)(2)(1) | There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. |
(a)(2)(2) | There was no change in the Registrant’s independent public accountant during the period covered by the report. |
(b) |
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 AllianzGI Convertible & Income 2024 Target Term Fund | ||
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer (principal executive officer) |
Date | 4/8/22 |
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 | 4/8/22 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer (principal financial officer) |
Date | 4/8/22 |
* | Print the name and title of each signing officer under his or her signature. |