Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)

VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2023

($ reported in thousands)

	Par Value		Value
Convertible Bonds and Notes—17.3%
Auto Manufacturers—0.5%
Ford Motor Co. 0.000%, 3/15/26	$     2,400		$    2,190
Lucid Group, Inc. 144A 1.250%, 12/15/26(1)	1,470		803
Rivian Automotive, Inc.
144A 4.625%, 3/15/29(1)	1,765		1,856
144A 3.625%, 10/15/30(1)	1,070		972
			5,821
Automotive Parts & Equipment—0.1%
Luminar Technologies, Inc. 144A 1.250%, 12/15/26(1)	2,170		1,258
Banks—0.4%
Barclays Bank plc 0.000%, 2/18/25	2,945		3,035
BofA Finance LLC 0.600%, 5/25/27	2,385		2,459
			5,494
Biotechnology—0.5%
Bridgebio Pharma, Inc.
2.500%, 3/15/27	1,210		1,144
2.250%, 2/1/29	1,010		739
Insmed, Inc.
1.750%, 1/15/25	1,775		1,750
0.750%, 6/1/28	980		943
Sarepta Therapeutics, Inc. 1.250%, 9/15/27	1,270		1,081
			5,657
Commercial Services—1.1%
Affirm Holdings, Inc. 0.000%, 11/15/26(2)	5,420		3,865
Block, Inc. 0.125%, 3/1/25	4,300		3,960
Repay Holdings Corp. 144A 0.000%, 2/1/26(1)(2)	2,940		2,334
Shift4 Payments, Inc. 0.500%, 8/1/27	2,785		2,175
Stride, Inc. 1.125%, 9/1/27	835		987
			13,321
Computers—1.3%
CyberArk Software Ltd. 0.000%, 11/15/24	685		783
Lumentum Holdings, Inc.
0.250%, 3/15/24	1,355		1,323
144A 1.500%, 12/15/29(1)	1,525		1,263
Parsons Corp. 0.250%, 8/15/25	2,200		2,869
Seagate HDD Cayman 144A 3.500%, 6/1/28(1)	4,300		4,457
Varonis Systems, Inc. 1.250%, 8/15/25	1,840		2,278

	Par Value		Value
Computers—continued
Zscaler, Inc. 0.125%, 7/1/25	$     2,340		$    2,850
			15,823
Electric Utilities—0.7%
FirstEnergy Corp. 144A 4.000%, 5/1/26(1)	3,530		3,428
Southern Co. (The) 144A 3.875%, 12/15/25(1)	5,710		5,601
			9,029
Electronics—0.3%
Advanced Energy Industries, Inc. 144A 2.500%, 9/15/28(1)	2,295		2,120
Vishay Intertechnology, Inc. 144A 2.250%, 9/15/30(1)	1,075		984
			3,104
Energy-Alternate Sources—0.3%
Array Technologies, Inc. 1.000%, 12/1/28	1,640		1,577
Sunnova Energy International, Inc. 2.625%, 2/15/28	4,980		2,395
			3,972
Engineering & Construction—0.5%
Fluor Corp. 144A 1.125%, 8/15/29(1)	3,860		3,710
Granite Construction, Inc. 144A 3.750%, 5/15/28(1)	2,045		2,186
			5,896
Entertainment—1.3%
DraftKings Holdings, Inc. 0.000%, 3/15/28(2)	4,760		3,537
IMAX Corp. 0.500%, 4/1/26	3,545		3,210
Live Nation Entertainment, Inc.
2.000%, 2/15/25	3,670		3,688
144A 3.125%, 1/15/29(1)	1,535		1,541
Penn Entertainment, Inc. 2.750%, 5/15/26	695		762
Vail Resorts, Inc. 0.000%, 1/1/26	3,090		2,686
			15,424
Environmental Services—0.2%
Tetra Tech, Inc. 144A 2.250%, 8/15/28(1)	2,675		2,588
Financial Services—0.4%
Encore Capital Group, Inc. 144A 4.000%, 3/15/29(1)	3,155		2,664

See Notes to Schedule of Investments

1

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VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

October 31, 2023

($ reported in thousands)

	Par Value		Value
Financial Services—continued
JPMorgan Chase Financial Co., LLC 0.500%, 6/15/27	$     1,685		$    1,857
			4,521
Health Care REITs—0.5%
Welltower OP LLC 144A 2.750%, 5/15/28(1)	6,210		6,365
Healthcare-Products—0.6%
Alphatec Holdings, Inc. 0.750%, 8/1/26	1,915		1,626
Exact Sciences Corp. 0.375%, 3/15/27	3,115		2,706
Integer Holdings Corp. 144A 2.125%, 2/15/28(1)	1,185		1,300
Lantheus Holdings, Inc. 144A 2.625%, 12/15/27(1)	635		704
Natera, Inc. 2.250%, 5/1/27	560		681
			7,017
Internet—1.9%
Booking Holdings, Inc. 0.750%, 5/1/25	1,200		1,829
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1)	1,575		1,273
Palo Alto Networks, Inc. 0.375%, 6/1/25	2,825		6,899
Uber Technologies, Inc. 0.000%, 12/15/25(2)	6,270		5,698
Wayfair, Inc.
1.125%, 11/1/24	2,045		1,906
1.000%, 8/15/26	2,630		1,975
3.250%, 9/15/27	650		622
Zillow Group, Inc. 2.750%, 5/15/25	2,460		2,382
			22,584
Leisure Time—0.5%
NCL Corp., Ltd. 1.125%, 2/15/27	4,125		3,196
Royal Caribbean Cruises Ltd.
2.875%, 11/15/23	1,115		1,136
6.000%, 8/15/25	690		1,260
			5,592
Media—1.1%
DISH Network Corp. 0.000%, 12/15/25	1,410		860
Liberty Broadband Corp. 144A 3.125%, 3/31/53(1)	6,975		6,919
Liberty Media Corp. 144A 3.750%, 3/15/28(1)	2,070		2,250
Liberty Media Corp.-Liberty Formula One 2.250%, 8/15/27	3,255		3,262
			13,291

	Par Value		Value
Mining—0.1%
SSR Mining, Inc. 2.500%, 4/1/39	$       910		$      935
Miscellaneous Manufacturing—0.3%
Axon Enterprise, Inc. 144A 0.500%, 12/15/27(1)	3,615		3,881
Oil, Gas & Consumable Fuels—0.5%
EQT Corp. 1.750%, 5/1/26	570		1,651
Northern Oil & Gas, Inc. 3.625%, 4/15/29	1,385		1,632
Permian Resources Operating LLC 3.250%, 4/1/28	295		724
Pioneer Natural Resources Co. 0.250%, 5/15/25	715		1,823
			5,830
Passenger Airlines—0.1%
American Airlines Group, Inc. 6.500%, 7/1/25	1,330		1,347
Pharmaceuticals—0.4%
Amphastar Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1)	1,905		1,854
Dexcom, Inc. 144A 0.375%, 5/15/28(1)	1,075		945
Jazz Investments I Ltd. 2.000%, 6/15/26	1,070		1,081
Mirum Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1)	1,080		1,256
			5,136
Retail—0.1%
Freshpet, Inc. 144A 3.000%, 4/1/28(1)	635		678
Shake Shack, Inc. 0.000%, 3/1/28(2)	1,340		975
			1,653
Semiconductors—0.6%
Impinj, Inc. 1.125%, 5/15/27	335		309
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26	1,645		1,707
ON Semiconductor Corp. 144A 0.500%, 3/1/29(1)	3,220		2,817
SMART Global Holdings, Inc. 2.000%, 2/1/29	320		279
Veeco Instruments, Inc. 144A 2.875%, 6/1/29(1)	875		930
Wolfspeed, Inc. 0.250%, 2/15/28	2,250		1,394
			7,436
Software—2.8%
Akamai Technologies, Inc. 0.125%, 5/1/25	4,380		5,069

 

See Notes to Schedule of Investments

2

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VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

October 31, 2023

($ reported in thousands)

	Par Value		Value
Software—continued
Bentley Systems, Inc. 0.125%, 1/15/26	$     3,925		$    3,719
BILL Holdings, Inc.
0.000%, 12/1/25	3,340		3,169
0.000%, 4/1/27(2)	700		556
Confluent, Inc. 0.000%, 1/15/27(2)	2,415		1,943
CSG Systems International, Inc. 144A 3.875%, 9/15/28(1)	650		603
Datadog, Inc. 0.125%, 6/15/25	720		793
HubSpot, Inc. 0.375%, 6/1/25	595		929
MicroStrategy, Inc. 0.750%, 12/15/25	1,960		2,442
MongoDB, Inc. 0.250%, 1/15/26	1,420		2,419
Nutanix, Inc. 0.250%, 10/1/27	1,765		1,578
Splunk, Inc.
1.125%, 9/15/25	1,890		2,030
1.125%, 6/15/27	2,355		2,225
Tyler Technologies, Inc. 0.250%, 3/15/26	3,985		3,782
Workiva, Inc. 144A 1.250%, 8/15/28(1)	3,425		3,098
			34,355
Transportation—0.2%
Air Transport Services Group, Inc. 144A 3.875%, 8/15/29(1)	2,380		2,197
Total Convertible Bonds and Notes (Identified Cost $225,880)			209,527

    

	Shares
Convertible Preferred Stocks—1.3%
Banks—0.6%
Wells Fargo & Co. Series L, 7.500%	7,260	7,669
Electric Utilities—0.2%
NextEra Energy, Inc., 6.926%	46,260	1,737
Financial Services—0.2%
Apollo Global Management, Inc., 6.750%	49,580	2,385
Machinery—0.3%
Chart Industries, Inc. Series B, 6.750%	26,845	1,319
RBC Bearings, Inc. Series A, 5.000%	20,370	2,143
		3,462
Total Convertible Preferred Stocks (Identified Cost $17,503)		15,253
Common Stocks—76.6%
Aerospace & Defense—0.8%
L3Harris Technologies, Inc.	55,293	9,920

	Shares		Value
Banks—9.2%
Bank of America Corp.	1,455,756		$   38,345
Commerce Bancshares, Inc.	229,829		10,080
JPMorgan Chase & Co.(3)	68,241		9,490
PNC Financial Services Group, Inc. (The)	242,463		27,755
Truist Financial Corp.	549,726		15,590
U.S. Bancorp	307,154		9,792
			111,052
Building Products—0.8%
Allegion plc	92,519		9,100
Capital Markets—4.8%
Intercontinental Exchange, Inc.	89,218		9,586
MarketAxess Holdings, Inc.	46,945		10,035
Morgan Stanley	120,702		8,548
MSCI, Inc. Class A	40,107		18,912
Nasdaq, Inc.	219,338		10,879
			57,960
Chemicals—1.4%
Celanese Corp. Class A	84,607		9,688
FMC Corp.	144,299		7,677
			17,365
Commercial Services & Supplies—0.8%
RB Global, Inc.	154,386		10,097
Consumer Finance—0.8%
Capital One Financial Corp.	96,379		9,762
Consumer Staples Distribution & Retail—1.5%
Costco Wholesale Corp.	17,144		9,471
Target Corp.	83,112		9,208
			18,679
Containers & Packaging—1.5%
Ball Corp.	193,452		9,315
Sealed Air Corp.	305,823		9,416
			18,731
Electric Utilities—5.7%
Eversource Energy	529,745		28,495
NextEra Energy, Inc.	499,217		29,104
Xcel Energy, Inc.	190,416		11,286
			68,885
Financial Services—2.5%
Jack Henry & Associates, Inc.	68,745		9,692
Mastercard, Inc. Class A	25,790		9,706
Visa, Inc. Class A	44,257		10,405
			29,803
Food Products—0.8%
Tyson Foods, Inc. Class A	206,477		9,570

 

See Notes to Schedule of Investments

3

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VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

October 31, 2023

($ reported in thousands)

	Shares		Value
Gas Utilities—0.8%
UGI Corp.	442,769		$    9,210
Healthcare Equipment & Supplies—3.2%
Edwards Lifesciences Corp.(4)	340,506		21,697
Medtronic plc	116,256		8,203
Teleflex, Inc.	48,311		8,926
			38,826
Healthcare Providers & Services—1.0%
Humana, Inc.	22,636		11,854
Healthcare Technology—0.8%
Veeva Systems, Inc. Class A(4)	49,373		9,515
Hotels, Restaurants & Leisure—1.6%
Domino’s Pizza, Inc.	27,145		9,202
Planet Fitness, Inc. Class A(4)	180,700		9,987
			19,189
Industrial REITs—2.9%
Rexford Industrial Realty, Inc.	802,890		34,717
Interactive Media & Services—0.8%
Alphabet, Inc. Class A(4)	78,270		9,712
IT Services—0.7%
Globant S.A.(4)	53,204		9,060
Life Sciences Tools & Services—3.1%
Agilent Technologies, Inc.	181,958		18,809
Thermo Fisher Scientific, Inc.(3)(4)	41,253		18,348
			37,157
Machinery—2.5%
Stanley Black & Decker, Inc.	225,715		19,197
Toro Co. (The)	130,794		10,573
			29,770
Office REITs—3.0%
Alexandria Real Estate Equities, Inc.	383,944		35,757
Oil, Gas & Consumable Fuels—4.8%
EOG Resources, Inc.	80,325		10,141
Ovintiv, Inc.	447,256		21,468
Pioneer Natural Resources Co.	68,070		16,269
TC Energy Corp.	285,697		9,842
			57,720
Personal Care Products—0.7%
Estee Lauder Cos., Inc. (The) Class A	68,926		8,882
Pharmaceuticals—0.7%
Zoetis, Inc. Class A	56,756		8,911
Professional Services—1.8%
Paycom Software, Inc.	63,479		15,550

	Shares		Value
Professional Services—continued
TransUnion	133,626		$    5,864
			21,414
Residential REITs—2.2%
Invitation Homes, Inc.	300,613		8,925
Mid-America Apartment Communities, Inc.	77,622		9,171
Sun Communities, Inc.	79,632		8,858
			26,954
Software—4.0%
Intuit, Inc.	75,772		37,504
Microsoft Corp.(3)	30,745		10,395
			47,899
Specialized REITs—3.4%
American Tower Corp.	59,200		10,549
Crown Castle, Inc.	219,671		20,425
SBA Communications Corp. Class A	49,079		10,239
			41,213
Specialty Retail—1.5%
Best Buy Co., Inc.	135,137		9,030
Home Depot, Inc. (The)(3)	33,028		9,403
			18,433
Technology Hardware, Storage & Peripherals—0.8%
Apple, Inc.(3)	56,001		9,563
Textiles, Apparel & Luxury Goods—3.6%
Lululemon Athletica, Inc.(4)	80,387		31,631
NIKE, Inc. Class B(3)	111,400		11,448
			43,079
Trading Companies & Distributors—1.3%
MonotaRO Co., Ltd. Unsponsored ADR	1,991,287		15,811
Water Utilities—0.8%
American Water Works Co., Inc.	78,002		9,177
Total Common Stocks (Identified Cost $1,032,580)			924,747
Warrant—0.0%
Oil, Gas & Consumable Fuels—0.0%
Nabors Industries Ltd., 6/11/26(4)	876		11
Total Warrant (Identified Cost $—)			11

 

See Notes to Schedule of Investments

4

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VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

October 31, 2023

($ reported in thousands)

	Shares		Value
Equity-Linked Note—0.1%
Financial Services—0.1%
Goldman Sachs Finance Corp.(5)	1,570,000		$    1,392
Total Equity-Linked Note (Identified Cost $1,609)			1,392
Total Long-Term Investments—95.3% (Identified Cost $1,277,572)			1,150,930
Short-Term Investment—4.2%
Money Market Mutual Fund—4.2%
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.242%)(6)	51,026,958		51,027
Total Short-Term Investment (Identified Cost $51,027)			51,027
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.5% (Identified Cost $1,328,599)			1,201,957

    

Written Options—(0.0)%
(See open written options schedule)
Total Written Options (Premiums Received $976)		(687)
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.5% (Identified Cost $1,327,623)		$1,201,270
Other assets and liabilities, net—0.5%		6,022
NET ASSETS—100.0%		$1,207,292

Abbreviations:
ADR	American Depositary Receipt
LLC	Limited Liability Company
MSCI	Morgan Stanley Capital International

    

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 October 31, 2023, these securities amounted to a value of $74,835 or 6.2% of net assets.
(2)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(3)	All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $41,876.
(4)	Non-income producing.
(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)	Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.

    

Country Weightings†
United States	91%
Canada	5
Japan	1
Luxembourg	1
Ireland	1
Cayman Islands	1
Total	100%
† % of total investments, net of written options, as of October 31, 2023.

 

Open written options contracts as of October 31, 2023 were as follows:
Description of Options	Number of Contracts	Contract Notional Amount	Strike Price(1)	Expiration Date	Value
Call Options(2)
Agilent Technologies, Inc.	(545)	$(6,540)	$120.00	11/17/23	$(3)
Alexandria Real Estate Equities, Inc.	(1,151)	(12,085)	105.00	11/17/23	(13)
Alphabet, Inc.	(237)	(3,674)	155.00	11/17/23	(—) (3)
American Tower Corp.	(177)	(3,098)	175.00	11/17/23	(115)
Apple, Inc.	(196)	(3,822)	195.00	11/17/23	(1)
Bank of America Corp.	(2,910)	(8,439)	29.00	11/17/23	(15)
Bank of America Corp.	(1,455)	(4,511)	31.00	12/15/23	(7)
Best Buy Co., Inc.	(405)	(3,138)	77.50	11/17/23	(2)
Capital One Financial Corp.	(289)	(3,034)	105.00	11/17/23	(36)
Celanese Corp.	(253)	(3,416)	135.00	11/17/23	(61)
Costco Wholesale Corp.	(51)	(3,188)	625.00	11/17/23	(—) (3)
Crown Castle, Inc.	(219)	(2,190)	100.00	11/17/23	(6)
Crown Castle, Inc.	(329)	(3,455)	105.00	11/17/23	(2)
Domino’s Pizza, Inc.	(81)	(3,159)	390.00	11/17/23	(1)
Estee Lauder Cos., Inc. (The)	(206)	(3,296)	160.00	11/17/23	(8)
FMC Corp.	(216)	(1,620)	75.00	11/17/23	(—) (3)
Globant S.A.	(159)	(3,339)	210.00	11/17/23	(4)
Home Depot, Inc. (The)	(115)	(3,680)	320.00	11/17/23	(4)
Humana, Inc.	(67)	(3,853)	575.00	11/17/23	(7)

See Notes to Schedule of Investments

5

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VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

October 31, 2023

($ reported in thousands)

Open written options contracts as of October 31, 2023 were as follows (continued):
Description of Options	Number of Contracts	Contract Notional Amount	Strike Price(1)	Expiration Date	Value
Call Options(2) (continued)
Intuit, Inc.	(189)	$(10,962)	$580.00	11/17/23	$(13)
Intuit, Inc.	(75)	(4,650)	620.00	12/15/23	(7)
JPMorgan Chase & Co.	(204)	(3,264)	160.00	11/17/23	(—) (3)
Lululemon Athletica, Inc.	(200)	(9,200)	460.00	11/17/23	(3)
Lululemon Athletica, Inc.	(80)	(3,840)	480.00	11/17/23	(—) (3)
Mastercard, Inc.	(90)	(3,870)	430.00	11/17/23	(—) (3)
Microsoft Corp.	(122)	(4,514)	370.00	11/17/23	(3)
Morgan Stanley	(362)	(2,896)	80.00	11/17/23	(1)
MSCI, Inc.	(120)	(6,480)	540.00	11/17/23	(4)
Nasdaq, Inc.	(658)	(3,619)	55.00	11/17/23	(3)
NextEra Energy, Inc.	(1,500)	(9,000)	60.00	11/17/23	(113)
NIKE, Inc.	(334)	(3,841)	115.00	11/17/23	(2)
Ovintiv, Inc.	(894)	(4,917)	55.00	11/17/23	(16)
Paycom Software, Inc.	(190)	(5,890)	310.00	11/17/23	(13)
Planet Fitness, Inc.	(632)	(3,792)	60.00	11/17/23	(61)
PNC Financial Services Group, Inc. (The)	(363)	(4,538)	125.00	11/17/23	(9)
PNC Financial Services Group, Inc. (The)	(363)	(4,719)	130.00	11/17/23	(3)
Sealed Air Corp.	(1,070)	(3,745)	35.00	11/17/23	(30)
Stanley Black & Decker, Inc.	(677)	(6,093)	90.00	11/17/23	(54)
Target Corp.	(290)	(3,770)	130.00	11/17/23	(12)
Thermo Fisher Scientific, Inc.	(123)	(6,396)	520.00	11/17/23	(10)
TransUnion	(330)	(2,475)	75.00	11/17/23	—
Truist Financial Corp.	(1,649)	(4,947)	30.00	11/17/23	(38)
Veeva Systems, Inc.	(148)	(3,256)	220.00	11/17/23	(4)
Visa, Inc.	(154)	(4,004)	260.00	11/17/23	(—) (3)
Zoetis, Inc.	(170)	(3,230)	190.00	11/17/23	(3)
Total Written Options					$(687)

    

Footnote Legend:

(1) Strike price not reported in thousands.

(2) Exchange-traded options.

(3) Amount is less than $500 (not in thousands).

See Notes to Schedule of Investments

6

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VIRTUS Dividend, Interest & Premium Strategy Fund

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

October 31, 2023

($ reported in thousands)

The following table summarizes the value of the Fund’s investments as of October 31, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):

	Total Value at October 31, 2023		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Debt Instruments:
Convertible Bonds and Notes	$209,527		$—		$209,527		$—
Equity Securities:
Convertible Preferred Stocks	15,253		15,253		—		—
Common Stocks	924,747		924,747		—		—
Warrant	11		11		—		—
Equity-Linked Note	1,392		—		—		1,392
Money Market Mutual Fund	51,027		51,027		—		—
Total Assets	1,201,957		991,038		209,527		1,392
Liabilities:
Other Financial Instruments:
Written Options	(687)		(581)		(106)		—
Total Investments, Net of Written Options	$1,201,270		$990,457		$209,421		$1,392

 

There were no transfers into or out of Level 3 related to securities held at October 31, 2023.

Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended October 31, 2023.

See Notes to Schedule of Investments

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VIRTUS Dividend, Interest & Premium Strategy Fund

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2023

Note 1. Security Valuation

The Fund’s Board of Trustees has designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.

•	Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
•	Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
•	Level 3 – prices determined using significant unobservable inputs (including the Investment Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments).

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Investment Adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Investment Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives, such as options, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.

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