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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 4/05/24 Virtus Equity & Conv Income Fund N-CSR 1/31/24 5:6.4M Donnelley … Solutions/FA |
Document/Exhibit Description Pages Size
1: N-CSR Virtus Equity & Convertible Income Fund HTML 6.00M
5: EX-99.(A)(2)(2)(C) Registrant's Notices to Shareholders HTML 42K
4: EX-99.906 CERT Certification Pursuant to Section 906 of the HTML 9K
Sarbanes-Oxley Act of 2002
3: EX-99.CERT Certification Pursuant to Section 302 of the HTML 22K
Sarbanes-Oxley Act of 2002
2: EX-99.CODE ETH Code of Ethics HTML 25K
| Virtus Equity & Convertible Income Fund |
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 811-21989
Virtus Equity & Convertible Income Fund
(Exact name of registrant as specified in charter)
101 Munson Street
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-866-270-7788
Date of fiscal year end: January 31
Date of reporting period: January 31, 2024
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, 100 F Street NE, Washington, DC 20549-1090. 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 Artificial Intelligence & Technology Opportunities Fund (AIO) |
| Virtus Convertible & Income 2024 Target Term Fund (CBH) |
| Virtus Convertible & Income Fund (NCV) |
| Virtus Convertible & Income Fund II (NCZ) |
| Virtus Diversified Income & Convertible Fund (ACV) |
| Virtus Dividend, Interest & Premium Strategy Fund (NFJ) |
| Virtus Equity & Convertible Income Fund (NIE) |
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| Manager’s Discussion of Fund Performance: | |
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| Schedules of Investments: | |
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| 1 Year | Since
Inception 10/31/19 | |
| Market Value1,2 | 18.84% | 10.60% |
| Net Asset Value1,2 | 13.56% | 12.32% |
| Composite: 50% MSCI All Country World Index (net)/ 50% ICE BofA U.S. Convertibles Index1,3 | 10.04% | 9.73% 4 |
| MSCI All Country World Index (net)1,3 | 14.70% | 9.42% 4 |
| ICE BofA U.S. Convertibles Index1,3 | 5.44% | 9.84% 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, ending and reinvestment 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 | Since
Inception 6/29/17 | |
| Market Value1,2 | 4.02% | 6.96% | 4.74% |
| Net Asset Value1,2 | 3.96% 3 | 5.83% | 5.29% |
| Composite: 40% ICE BofA U.S. Convertibles Index/ 45% ICE BofA U.S. High Yield BB-B Constrained Index/ 15% Credit Suisse Leveraged Loan Index1,4 | 7.85% | 6.90% | 6.45% |
| ICE BofA U.S. Convertibles Index1,4 | 5.44% | 10.16% | 9.62% 5 |
| ICE BofA U.S. High Yield BB-B Constrained Index1,4 | 8.73% | 4.30% | 3.96% 5 |
| Credit Suisse Leveraged Loan Index1,4 | 11.08% | 5.24% | 4.84% 5 |
| 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, ending and reinvestment values. |
| 3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV calculated on that business day. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
| 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. |
| 1 Year | 5 Years | 10 Years | |
| Market Value1,2 | -6.04% | -1.33% | 0.61% |
| Net Asset Value1,2 | 0.98% | 2.32% | 2.24% |
| Composite: 60% ICE BofA U.S. Convertibles Index/ 40% ICE BofA U.S. High Yield Index1,3 | 7.00% | 7.88% | 6.99% |
| ICE BofA U.S. Convertibles Index1,3 | 5.44% | 10.16% | 8.59% |
| ICE BofA U.S. High Yield Index1,3 | 9.21% | 4.27% | 4.44% |
| 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, ending and reinvestment 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 | |
| Market Value1,2 | -1.94% | -1.36% | -0.24% |
| Net Asset Value1,2 | 0.76% | 1.93% | 2.04% |
| Composite: 60% ICE BofA U.S. Convertibles Index/ 40% ICE BofA U.S. High Yield Index1,3 | 7.00% | 7.88% | 6.99% |
| ICE BofA U.S. Convertibles Index1,3 | 5.44% | 10.16% | 8.59% |
| ICE BofA U.S. High Yield Index1,3 | 9.21% | 4.27% | 4.44% |
| 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, ending and reinvestment 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 | Since
Inception 5/26/15 | |
| Market Value1,2 | 10.61% | 14.34% | 10.45% |
| Net Asset Value1,2 | 9.26% 3 | 11.81% | 9.75% |
| Composite: 50% ICE BofA U.S. Convertibles Index/ 25% ICE BofA U.S. High Yield Index/ 25%Russell 1000® Growth Index1,4 | 13.34% | 10.77% | 9.10% |
| ICE BofA U.S. Convertibles Index1,4 | 5.44% | 10.16% | 8.25% 5 |
| ICE BofA U.S. High Yield Index1,4 | 9.21% | 4.27% | 4.44% 5 |
| Russell 1000® Growth Index1,4 | 34.99% | 18.04% | 15.09% 5 |
| 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, ending and reinvestment values. |
| 3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV calculated on that business day. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
| 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. |
| 1 Year | 5 Years | 10 Years | |
| Market Value1,2 | 7.37% | 8.27% | 4.69% |
| Net Asset Value1,2 | 7.60% | 7.89% | 5.21% |
| Composite: 75% Russell 1000® Value Index/ 25% ICE BofA U.S. Convertibles Index1,3 | 5.97% | 9.62% | 8.83% |
| Russell 1000® Value Index1,3 | 6.08% | 9.28% | 8.80% |
| ICE BofA U.S. Convertibles Index1,3 | 5.44% | 10.16% | 8.59% |
| 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, ending and reinvestment 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 | |
| Market Value1,2 | 15.95% | 11.92% | 10.83% |
| Net Asset Value1,2 | 16.05% | 11.27% | 9.42% |
| Composite: 60% Russell 1000® Growth Index/ 40% ICE BofA U.S. Convertibles Index1,3 | 22.49% | 14.98% | 12.77% |
| Russell 1000® Growth Index1,3 | 34.99% | 18.04% | 15.48% |
| ICE BofA U.S. Convertibles Index1,3 | 5.44% | 10.16% | 8.59% |
| 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, ending and reinvestment 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 | 52% | |
| Software | 10% | |
| Semiconductors & Semiconductor Equipment | 9 | |
| Hotels, Restaurants & Leisure | 5 | |
| All other Common Stocks | 28 | |
| Convertible Bonds and Notes | 31 | |
| Software | 7 | |
| Semiconductors | 4 | |
| Computers | 4 | |
| All other Convertible Bonds and Notes | 16 | |
| Corporate Bonds and Notes | 16 | |
| Semiconductors | 3 | |
| Computers | 3 | |
| Software | 2 | |
| All other Corporate Bonds and Notes | 8 | |
| Equity-Linked Note | 1 | |
| Total | 100% | |
| Corporate Bonds and Notes | 43% | |
| Entertainment | 10% | |
| Lodging | 6 | |
| Leisure Time | 5 | |
| All other Corporate Bonds and Notes | 22 | |
| Leveraged Loans | 32 | |
| Convertible Bonds and Notes | 24 | |
| Software | 6 | |
| Commercial Services | 5 | |
| Internet | 5 | |
| All other Convertible Bonds and Notes | 8 | |
| Short-Term Investment | 1 | |
| Total | 100% | |
| Convertible Bonds and Notes | 53% | |
| Software | 8% | |
| Internet | 8 | |
| Commercial Services | 4 | |
| All other Convertible Bonds and Notes | 33 | |
| Corporate Bonds and Notes | 41 | |
| Media | 4 | |
| Oil, Gas & Consumable Fuels | 4 | |
| Entertainment | 3 | |
| All other Corporate Bonds and Notes | 30 | |
| Convertible Preferred Stocks | 4 | |
| Securities Lending Collateral | 2 | |
| Total | 100% | |
| Convertible Bonds and Notes | 55% | |
| Software | 8% | |
| Internet | 8 | |
| Commercial Services | 4 | |
| All other Convertible Bonds and Notes | 35 | |
| Corporate Bonds and Notes | 39 | |
| Media | 4 | |
| Oil, Gas & Consumable Fuels | 3 | |
| Entertainment | 3 | |
| All other Corporate Bonds and Notes | 29 | |
| Convertible Preferred Stocks | 4 | |
| Securities Lending Collateral | 2 | |
| Total | 100% | |
| Convertible Bonds and Notes | 57% | |
| Software | 9% | |
| Internet | 8 | |
| Commercial Services | 4 | |
| All other Convertible Bonds and Notes | 36 | |
| Common Stocks | 26 | |
| Software | 4 | |
| Semiconductors & Semiconductor Equipment | 2 | |
| Specialty Retail | 2 | |
| All other Common Stocks | 18 | |
| Corporate Bonds and Notes | 13 | |
| Media | 1 | |
| Oil, Gas & Consumable Fuels | 1 | |
| Entertainment | 1 | |
| All other Corporate Bonds and Notes | 10 | |
| Convertible Preferred Stocks | 4 | |
| Total | 100% | |
| Common Stocks | 80% | |
| Banks | 10% | |
| Electric Utilities | 5 | |
| Capital Markets | 5 | |
| All other Common Stocks | 60 | |
| Convertible Bonds and Notes | 19 | |
| Software | 3 | |
| Internet | 3 | |
| Commercial Services | 1 | |
| All other Convertible Bonds and Notes | 12 | |
| Convertible Preferred Stocks | 1 | |
| Total | 100% | |
| Common Stocks | 65% | |
| Software | 11% | |
| Semiconductors & Semiconductor Equipment | 6 | |
| Specialty Retail | 5 | |
| All other Common Stocks | 43 | |
| Convertible Bonds and Notes | 32 | |
| Software | 5 | |
| Internet | 5 | |
| Commercial Services | 2 | |
| All other Convertible Bonds and Notes | 20 | |
| Convertible Preferred Stocks | 2 | |
| Short-Term Investment | 1 | |
| Total | 100% | |
| Par Value | Value | ||
| Convertible Bonds and Notes—36.4% | |||
| Banks—1.5% | |||
| Morgan
Stanley Finance LLC 1.500%, 1/28/27(1) |
$ 9,650 | $ 10,555 | |
| Biotechnology—0.4% | |||
| Alnylam
Pharmaceuticals, Inc. 1.000%, 9/15/27(2) |
3,000 | 2,884 | |
| Commercial Services—2.6% | |||
| Block,
Inc. 0.125%, 3/1/25(2) |
9,000 | 8,652 | |
| Shift4 Payments, Inc. | |||
| 0.000%, 12/15/25(2) | 6,090 | 6,680 | |
| 0.500%, 8/1/27(2) | 3,075 | 2,850 | |
| 18,182 | |||
| Computers—4.7% | |||
| Lumentum
Holdings, Inc. 0.250%, 3/15/24(2) |
8,500 | 8,457 | |
| Western
Digital Corp. 144A 3.000%, 11/15/28(3) |
10,000 | 12,970 | |
| Zscaler,
Inc. 0.125%, 7/1/25(2) |
7,550 | 12,069 | |
| 33,496 | |||
| Energy-Alternate Sources—2.0% | |||
| SolarEdge
Technologies, Inc. 0.000%, 9/15/25(2) |
4,515 | 4,063 | |
| Stem,
Inc. 144A 0.500%, 12/1/28(3) |
10,500 | 5,137 | |
| Sunnova
Energy International, Inc. 2.625%, 2/15/28 |
9,000 | 4,612 | |
| 13,812 | |||
| Entertainment—2.2% | |||
| Live
Nation Entertainment, Inc. 2.000%, 2/15/25(2) |
8,320 | 8,715 | |
| Vail
Resorts, Inc. 0.000%, 1/1/26(2)(4) |
8,000 | 7,205 | |
| 15,920 | |||
| Financial Services—1.3% | |||
| Goldman
Sachs Finance Corp. 4.000%, 9/28/26(1) |
7,100 | 9,171 | |
| Healthcare-Products—1.1% | |||
| Exact
Sciences Corp. 0.375%, 3/15/27(2) |
8,265 | 7,635 | |
| Internet—4.6% | |||
| Etsy,
Inc. 0.125%, 9/1/27(2) |
5,725 | 4,731 | |
| Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(2)(3) |
8,000 | 7,105 | |
| Uber Technologies, Inc. | |||
| 0.000%, 12/15/25(2)(4)(5) | 4,825 | 4,991 | |
| Series
2028 144A 0.875%, 12/1/28(3) |
6,605 | 7,358 | |
| Par Value | Value | ||
| Internet—continued | |||
| Zillow
Group, Inc. 2.750%, 5/15/25(2) |
$ 8,000 | $ 8,730 | |
| 32,915 | |||
| Leisure Time—1.3% | |||
| NCL
Corp., Ltd. 2.500%, 2/15/27(2)(5) |
9,950 | 9,109 | |
| Media—1.0% | |||
| Liberty
Media Corp.-Liberty Formula One 2.250%, 8/15/27(2) |
7,000 | 7,365 | |
| Pharmaceuticals—0.6% | |||
| Dexcom,
Inc. 144A 0.375%, 5/15/28(2)(3) |
3,965 | 3,983 | |
| Semiconductors—5.2% | |||
| Impinj,
Inc. 1.125%, 5/15/27(2) |
3,010 | 3,439 | |
| MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(2) |
7,200 | 8,471 | |
| Microchip
Technology, Inc. 0.125%, 11/15/24(5) |
10,457 | 10,921 | |
| ON
Semiconductor Corp. 144A 0.500%, 3/1/29(2)(3) |
9,670 | 9,375 | |
| Wolfspeed,
Inc. 0.250%, 2/15/28 |
7,500 | 4,440 | |
| 36,646 | |||
| Software—7.9% | |||
| Akamai
Technologies, Inc. 0.125%, 5/1/25(2) |
6,000 | 7,896 | |
| Bentley
Systems, Inc. 0.125%, 1/15/26(2) |
10,900 | 10,675 | |
| Cloudflare,
Inc. 0.000%, 8/15/26(2)(4) |
10,860 | 9,682 | |
| Datadog,
Inc. 0.125%, 6/15/25(2) |
5,000 | 7,078 | |
| Nutanix,
Inc. 0.250%, 10/1/27(2) |
10,370 | 11,842 | |
| Tyler
Technologies, Inc. 0.250%, 3/15/26(2) |
9,000 | 9,049 | |
| 56,222 | |||
| Total
Convertible Bonds and Notes (Identified Cost $267,083) |
257,895 | ||
| Corporate Bonds and Notes—18.0% | |||
| Computers—2.8% | |||
| NCR
Voyix Corp. 144A 5.125%, 4/15/29(2)(3) |
10,650 | 9,965 | |
| Seagate
HDD Cayman 144A 8.500%, 7/15/31(2)(3)(5) |
9,175 | 9,967 | |
| 19,932 | |||
| Par Value | Value | ||
| Diversified REITS—1.4% | |||
| Iron
Mountain, Inc. 144A 7.000%, 2/15/29(2)(3) |
$ 9,505 | $ 9,747 | |
| Electronic Equipment, Instruments & Components—1.3% | |||
| WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(2)(3) |
9,310 | 9,563 | |
| Entertainment—1.3% | |||
| Caesars
Entertainment, Inc. 144A 8.125%, 7/1/27(2)(3) |
8,980 | 9,216 | |
| Healthcare-Services—1.4% | |||
| Tenet
Healthcare Corp. 6.125%, 10/1/28(2)(5) |
9,845 | 9,809 | |
| Internet—1.3% | |||
| Gen
Digital, Inc. 144A 7.125%, 9/30/30(2)(3)(5) |
9,250 | 9,596 | |
| Lodging—1.4% | |||
| Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(2)(3) |
10,815 | 9,993 | |
| Machinery-Diversified—1.3% | |||
| Chart
Industries, Inc. 144A 9.500%, 1/1/31(2)(3)(5) |
8,700 | 9,279 | |
| Semiconductors—2.9% | |||
| Entegris,
Inc. 144A 5.950%, 6/15/30(2)(3) |
9,850 | 9,730 | |
| Micron
Technology, Inc. 6.750%, 11/1/29(2) |
9,850 | 10,634 | |
| 20,364 | |||
| Software—1.5% | |||
| Alteryx,
Inc. 144A 8.750%, 3/15/28(2)(3) |
9,625 | 10,306 | |
| Transportation—1.4% | |||
| XPO,
Inc. 144A 7.125%, 6/1/31(2)(3) |
9,550 | 9,780 | |
| Total
Corporate Bonds and Notes (Identified Cost $124,494) |
127,585 | ||
| Shares | ||
| Common Stocks—60.2% | ||
| Banks—2.3% | ||
| Citigroup, Inc. | 87,285 | 4,903 |
| JPMorgan Chase & Co.(2) | 63,220 | 11,023 |
| 15,926 | ||
| Biotechnology—0.7% | ||
| Natera, Inc.(6) | 73,460 | 4,844 |
| Broadline Retail—0.8% | ||
| Amazon.com, Inc.(6) | 37,770 | 5,862 |
| Shares | Value | ||
| Capital Markets—0.4% | |||
| Charles Schwab Corp. (The) | 46,825 | $ 2,946 | |
| Communications Equipment—2.3% | |||
| Arista Networks, Inc.(2)(6) | 38,000 | 9,830 | |
| Motorola Solutions, Inc. | 20,600 | 6,581 | |
| 16,411 | |||
| Electrical Equipment—0.6% | |||
| Rockwell Automation, Inc. | 15,815 | 4,006 | |
| Electronic Equipment, Instruments & Components—2.3% | |||
| Flex Ltd.(5)(6) | 389,785 | 9,253 | |
| Jabil, Inc. | 55,830 | 6,995 | |
| 16,248 | |||
| Energy Equipment & Services—0.9% | |||
| Schlumberger N.V. | 126,785 | 6,174 | |
| Entertainment—1.1% | |||
| Netflix, Inc.(2)(6) | 13,970 | 7,881 | |
| Financial Services—1.6% | |||
| Mastercard, Inc. Class A | 10,135 | 4,553 | |
| Visa, Inc. Class A(2)(5) | 24,020 | 6,564 | |
| 11,117 | |||
| Healthcare Equipment & Supplies—2.3% | |||
| Boston Scientific Corp.(2)(6) | 147,535 | 9,333 | |
| Insulet Corp.(6) | 22,530 | 4,300 | |
| Intuitive Surgical, Inc.(6) | 6,995 | 2,646 | |
| 16,279 | |||
| Healthcare Providers & Services—4.3% | |||
| Cigna Group (The) | 25,485 | 7,670 | |
| McKesson Corp. | 16,315 | 8,156 | |
| UnitedHealth Group, Inc.(2) | 28,505 | 14,587 | |
| 30,413 | |||
| Hotels, Restaurants & Leisure—5.4% | |||
| Chipotle Mexican Grill, Inc. Class A(6) | 3,730 | 8,985 | |
| Hilton Worldwide Holdings, Inc.(2) | 62,955 | 12,022 | |
| Marriott International, Inc. Class A(2) | 24,225 | 5,808 | |
| McDonald’s Corp. | 20,680 | 6,053 | |
| Trip.com Group Ltd. ADR(6) | 153,865 | 5,625 | |
| 38,493 | |||
| Insurance—1.4% | |||
| Chubb Ltd. | 20,900 | 5,121 | |
| Progressive Corp. (The) | 26,510 | 4,725 | |
| 9,846 | |||
| Interactive Media & Services—3.9% | |||
| Alphabet, Inc. Class A(2)(6) | 62,720 | 8,787 | |
| Shares | Value | ||
| Interactive Media & Services—continued | |||
| Meta Platforms, Inc. Class A(2)(6) | 48,190 | $ 18,801 | |
| 27,588 | |||
| IT Services—0.8% | |||
| Twilio, Inc. Class A(6) | 84,180 | 5,920 | |
| Life Sciences Tools & Services—1.1% | |||
| ICON plc ADR(6) | 16,435 | 4,288 | |
| IQVIA Holdings, Inc.(2)(6) | 18,442 | 3,840 | |
| 8,128 | |||
| Machinery—0.4% | |||
| Deere & Co. | 6,651 | 2,618 | |
| Metals & Mining—0.9% | |||
| Freeport-McMoRan, Inc. | 168,670 | 6,694 | |
| Pharmaceuticals—4.6% | |||
| AstraZeneca plc Sponsored ADR(2) | 189,425 | 12,623 | |
| Eli Lilly & Co.(2) | 20,925 | 13,510 | |
| Merck & Co., Inc. | 53,105 | 6,414 | |
| 32,547 | |||
| Semiconductors & Semiconductor Equipment—10.0% | |||
| Analog Devices, Inc. | 16,910 | 3,253 | |
| Applied Materials, Inc. | 18,015 | 2,960 | |
| Broadcom, Inc.(2) | 5,465 | 6,449 | |
| Marvell Technology, Inc.(2) | 205,727 | 13,928 | |
| Monolithic Power Systems, Inc. | 1,370 | 826 | |
| NVIDIA Corp.(2) | 37,570 | 23,115 | |
| NXP Semiconductors N.V. | 47,060 | 9,909 | |
| Silicon Laboratories, Inc.(6) | 47,360 | 5,842 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR | 38,845 | 4,388 | |
| 70,670 | |||
| Software—11.6% | |||
| Cadence Design Systems, Inc.(2)(6) | 62,665 | 18,076 | |
| Elastic N.V.(6) | 36,960 | 4,326 | |
| Intuit, Inc. | 11,540 | 7,286 | |
| Microsoft Corp.(2) | 48,940 | 19,458 | |
| Oracle Corp.(2) | 102,415 | 11,440 | |
| Salesforce, Inc.(2)(6) | 39,085 | 10,986 | |
| ServiceNow, Inc.(2)(6) | 13,530 | 10,356 | |
| 81,928 | |||
| Specialized REITs—0.5% | |||
| Equinix, Inc.(2) | 4,335 | 3,597 | |
| Total
Common Stocks (Identified Cost $337,290) |
426,136 | ||
| Shares | Value | ||
| Equity-Linked Note—1.0% | |||
| Financial Services—1.0% | |||
| Goldman Sachs Finance Corp.(1) | 7,315,000 | $ 6,778 | |
| Total
Equity-Linked Note (Identified Cost $7,498) |
6,778 | ||
| Total
Long-Term Investments—115.6% (Identified Cost $736,365) |
818,394 | ||
| Securities Lending Collateral—0.4% | |||
| Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.219%)(7)(8) | 2,479,579 | 2,480 | |
| Total
Securities Lending Collateral (Identified Cost $2,480) |
2,480 | ||
| TOTAL
INVESTMENTS—116.0% (Identified Cost $738,845) |
$ 820,874 | ||
| Other assets and liabilities, net—(16.0)% | (113,136) | ||
| NET ASSETS—100.0% | $ 707,738 | ||
| Abbreviations: | |
| ADR | American Depositary Receipt |
| LLC | Limited Liability Company |
| 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) | All or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $171,260. |
| (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, 2024, these securities amounted to a value of $153,070 or 21.6% of net assets. |
| (4) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (5) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
| (6) | Non-income producing. |
| (7) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| (8) | Represents security purchased with cash collateral received for securities on loan. |
| Country Weightings (Unaudited)† | |
| United States | 90% |
| Netherlands | 2 |
| United Kingdom | 2 |
| Cayman Islands | 1 |
| Singapore | 1 |
| Bermuda | 1 |
| Curaçao | 1 |
| Other | 2 |
| Total | 100% |
| † % of total investments as of January 31, 2024. | |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $257,895 | $ — | $238,169 | $19,726 | |||
| Corporate Bonds and Notes | 127,585 | — | 127,585 | — | |||
| Equity Securities: | |||||||
| Common Stocks | 426,136 | 426,136 | — | — | |||
| Equity-Linked Note | 6,778 | — | — | 6,778 | |||
| Securities Lending Collateral | 2,480 | 2,480 | — | — | |||
| Total Investments | $820,874 | $428,616 | $365,754 | $26,504 |
| Total | Convertible
Bonds And Notes |
Equity-Linked
Note | |||
| Investments in Securities | |||||
| Balance as of January 31, 2023: | $ 7,647 | $ — | $ 7,647 | ||
| Net change in unrealized appreciation (depreciation)(a) | 199 | 1,068 | (869) | ||
| Purchases | 18,658 | 18,658 | — | ||
| Balance as of January 31, 2024 | $ 26,504 | $ 19,726 | $ 6,778 |
| Par Value | Value | ||
| Convertible Bonds and Notes—26.4% | |||
| Commercial Services—5.8% | |||
| Block,
Inc. 0.125%, 3/1/25(1) |
$ 10,000 | $ 9,613 | |
| Internet—5.1% | |||
| Wayfair,
Inc. 1.125%, 11/1/24(1) |
8,850 | 8,424 | |
| Mortgage Real Estate Investment Trusts (REITs)—3.0% | |||
| Redwood
Trust, Inc. 5.625%, 7/15/24(1) |
5,000 | 4,925 | |
| Pharmaceuticals—2.9% | |||
| Jazz
Investments I Ltd. 1.500%, 8/15/24(1) |
5,000 | 4,880 | |
| Software—6.7% | |||
| Everbridge,
Inc. 0.125%, 12/15/24(1) |
4,000 | 3,764 | |
| LivePerson,
Inc. 0.750%, 3/1/24(1) |
3,500 | 3,448 | |
| PROS
Holdings, Inc. 1.000%, 5/15/24(1) |
4,000 | 3,890 | |
| 11,102 | |||
| Transportation—2.9% | |||
| Air
Transport Services Group, Inc. 1.125%, 10/15/24 |
5,000 | 4,783 | |
| Total
Convertible Bonds and Notes (Identified Cost $44,762) |
43,727 | ||
| Corporate Bonds and Notes—46.6% | |||
| Aerospace & Defense—2.5% | |||
| Howmet
Aerospace, Inc. 5.125%, 10/1/24(1) |
4,108 | 4,090 | |
| Auto Manufacturers—3.9% | |||
| Ford
Motor Credit Co. LLC 4.063%, 11/1/24(1) |
6,500 | 6,416 | |
| Computers—4.7% | |||
| Seagate
HDD Cayman 4.750%, 1/1/25(1) |
8,000 | 7,886 | |
| Containers & Packaging—1.6% | |||
| Owens-Brockway
Glass Container, Inc. 144A 5.375%, 1/15/25(2) |
2,610 | 2,584 | |
| Entertainment—11.0% | |||
| International
Game Technology plc 144A 6.500%, 2/15/25(1)(2) |
7,900 | 7,912 | |
| Live
Nation Entertainment, Inc. 144A 4.875%, 11/1/24(1)(2) |
6,500 | 6,461 | |
| Six
Flags Entertainment Corp. 144A 4.875%, 7/31/24(2) |
4,000 | 3,960 | |
| 18,333 | |||
| Par Value | Value | ||
| Financial Services—4.8% | |||
| Navient
Corp. 5.875%, 10/25/24(1) |
$ 8,000 | $ 7,993 | |
| Leisure Time—5.9% | |||
| NCL
Corp., Ltd. 144A 3.625%, 12/15/24(2) |
10,000 | 9,800 | |
| Lodging—6.2% | |||
| Wynn
Las Vegas LLC 144A 5.500%, 3/1/25(1)(2) |
10,250 | 10,237 | |
| Oil, Gas & Consumable Fuels—2.2% | |||
| Occidental
Petroleum Corp. 6.950%, 7/1/24(1) |
3,600 | 3,614 | |
| Passenger Airlines—3.8% | |||
| Delta
Air Lines, Inc. 2.900%, 10/28/24(1) |
6,500 | 6,354 | |
| Total
Corporate Bonds and Notes (Identified Cost $77,236) |
77,307 | ||
| Leveraged Loans—34.4% | |||
| Advertising—0.6% | |||
| Advantage
Sales & Marketing, Inc. Tranche B-1 (3 month Term SOFR + 4.762%) 10.092%, 10/28/27 (3) |
970 | 962 | |
| Aerospace & Defense—0.9% | |||
| TransDigm,
Inc. Tranche I (3 month Term SOFR + 3.250%) 0.000%, 8/24/28 (3)(4) |
1,500 | 1,501 | |
| Automotive Parts & Equipment—0.4% | |||
| Adient
U.S. LLC Tranche B-1 (1 month Term SOFR + 2.750%) 8.083%, 4/10/28 (3) |
635 | 635 | |
| Chemicals—0.6% | |||
| Ecovyst
Catalyst Technologies LLC (3 month Term SOFR + 2.500%) 7.913%, 6/9/28 (3) |
972 | 971 | |
| Commercial Services—2.9% | |||
| Allied
Universal Holdco LLC (1 month Term SOFR + 3.750%) 9.183%, 5/12/28 (3) |
978 | 965 | |
| Avis
Budget Car Rental LLC Tranche B (1 month Term SOFR + 1.864%) 7.197%, 8/6/27 (3) |
987 | 981 | |
| Hertz Corp. (The) | |||
| Tranche
B (1 month Term SOFR + 3.364%) 8.697%, 6/30/28 (3) |
1,236 | 1,221 | |
| Tranche
C (1 month Term SOFR + 3.364%) 8.697%, 6/30/28 (3) |
239 | 236 | |
| WEX,
Inc. Tranche B (1 month Term SOFR + 2.364%) 0.000%, 4/3/28 (3)(4) |
1,446 | 1,442 | |
| 4,845 | |||
| Par Value | Value | ||
| Computers—1.9% | |||
| Conduent
Business Services LLC Tranche B (1 month Term SOFR + 4.364%) 9.697%, 10/16/28 (3) |
$ 980 | $ 951 | |
| KBR,
Inc. Tranche B (1 month Term SOFR + 2.250%) 7.583%, 2/5/27 (3) |
988 | 986 | |
| McAfee
Corp. Tranche B-1 (1 month Term SOFR + 3.850%) 9.203%, 3/1/29 (3) |
1,182 | 1,169 | |
| 3,106 | |||
| Containers & Packaging—0.9% | |||
| Pactiv
Evergreen Group Holdings, Inc. Tranche B-3 (1 month Term SOFR + 3.250%) 8.697%, 9/25/28 (3) |
1,465 | 1,465 | |
| Diversified REITS—0.9% | |||
| Iron
Mountain Information Management LLC Tranche B (1 month Term SOFR + 2.250%) 7.587%, 1/31/31 (3) |
1,500 | 1,490 | |
| Electronic Equipment, Instruments & Components—0.7% | |||
| Energizer
Holdings, Inc. (1 month Term SOFR + 2.364%) 7.701%, 12/22/27 (3) |
1,257 | 1,250 | |
| Electronics—0.5% | |||
| Coherent
Corp. Tranche B (1 month Term SOFR + 2.864%) 8.197%, 7/2/29 (3) |
879 | 874 | |
| Entertainment—2.2% | |||
| AMC
Entertainment Holdings, Inc. Tranche B-1 (1 month Term SOFR + 3.114%) 8.449%, 4/22/26 (3) |
953 | 749 | |
| Caesars
Entertainment, Inc. Tranche B-1 (3 month Term SOFR + 2.750%) 0.000%, 1/24/31 (3)(4) |
500 | 499 | |
| Penn
National Gaming, Inc. Tranche B (1 month Term SOFR + 2.850%) 8.183%, 5/3/29 (3) |
1,487 | 1,483 | |
| SeaWorld
Parks & Entertainment, Inc. Tranche B-2 (1 month Term SOFR + 2.500%) 7.833%, 8/25/28 (3) |
987 | 987 | |
| 3,718 | |||
| Environmental Services—0.5% | |||
| GFL
Environmental, Inc. 2023 (3 month Term SOFR + 2.500%) 7.816%, 5/31/27 (3) |
840 | 840 | |
| Food & Beverage—0.5% | |||
| U.S.
Foods, Inc. 2021, Tranche B (1 month Term SOFR + 2.614%) 7.947%, 11/22/28 (3) |
912 | 915 | |
| Food Service—0.9% | |||
| Aramark
Services, Inc. Tranche B-5 (1 month Term SOFR + 2.614%) 7.947%, 4/6/28 (3) |
1,500 | 1,497 | |
| Par Value | Value | ||
| Healthcare-Services—0.9% | |||
| Select
Medical Corp. Tranche B-1 (1 month Term SOFR + 3.000%) 8.333%, 3/6/27 (3) |
$ 1,492 | $ 1,490 | |
| Internet—0.6% | |||
| Go
Daddy Operating Co. LLC Tranche B-6 (1 month Term SOFR + 2.000%) 7.333%, 11/9/29 (3) |
990 | 989 | |
| Leisure Time—1.5% | |||
| Carnival
Corp. 2021, Tranche B (1 month Term SOFR + 3.364%) 8.697%, 10/18/28 (3) |
1,481 | 1,480 | |
| Topgolf
Callaway Brands Corp. (1 month Term SOFR + 3.600%) 8.933%, 3/15/30 (3) |
993 | 989 | |
| 2,469 | |||
| Lodging—0.7% | |||
| Hilton
Grand Vacations Borrower LLC (1 month Term SOFR + 2.864%) 8.220%, 8/2/28 (3) |
1,222 | 1,219 | |
| Machinery-Diversified—0.9% | |||
| Gardner
Denver, Inc. Tranche B-1 (1 month Term SOFR + 1.850%) 7.183%, 3/1/27 (3) |
1,565 | 1,566 | |
| Media—3.4% | |||
| Charter Communications Operating LLC | |||
| Tranche
B-2 (1 month Term SOFR + 1.750%) 7.083%, 2/1/27 (3) |
975 | 971 | |
| Tranche
B-4 (3 month Term SOFR + 2.000%) 7.329%, 12/7/30 (3) |
500 | 492 | |
| DIRECTV
Financing LLC 2024, Tranche B (3 month Term SOFR + 5.250%) 10.830%, 8/2/29 (3) |
797 | 796 | |
| Nexstar
Media, Inc. Tranche B-4 (1 month Term SOFR + 2.614%) 7.951%, 9/18/26 (3) |
774 | 774 | |
| Sinclair
Television Group, Inc. Tranche B-3 (1 month Term SOFR + 3.114%) 8.447%, 4/1/28 (3) |
1,219 | 1,106 | |
| Virgin
Media Bristol LLC Tranche N (1 month Term SOFR + 2.614%) 7.948%, 1/31/28 (3) |
1,500 | 1,471 | |
| 5,610 | |||
| Metal Fabricate/Hardware—0.4% | |||
| Advanced
Drainage Systems, Inc. (1 month Term SOFR + 2.350%) 7.703%, 7/31/26 (3) |
600 | 603 | |
| Miscellaneous Manufacturing—0.9% | |||
| Gates
Global LLC Tranche B-3 (1 month Term SOFR + 2.500%) 7.933%, 3/31/27 (3) |
1,480 | 1,477 | |
| Par Value | Value | ||
| Oil, Gas & Consumable Fuels—0.0% | |||
| Lealand
Finance Co. B.V. (1 month Term SOFR + 4.114%) 9.447%, 6/30/25 (3) |
$ 180 | $ 71 | |
| Passenger Airlines—0.8% | |||
| American
Airlines, Inc. (3 month Term SOFR + 5.012%) 10.329%, 4/20/28 (3) |
850 | 870 | |
| Delta
Air Lines, Inc. (3 month Term SOFR + 3.750%) 9.068%, 10/20/27 (3) |
375 | 383 | |
| 1,253 | |||
| Pharmaceuticals—2.0% | |||
| Jazz
Financing Lux S.a.r.l. Tranche B-1 (1 month Term SOFR + 3.114%) 0.000%, 5/5/28 (3)(4) |
2,000 | 1,998 | |
| Organon
& Co. (1 month Term SOFR + 3.114%) 8.450%, 6/2/28 (3) |
1,318 | 1,316 | |
| 3,314 | |||
| Retail—2.7% | |||
| Academy
Ltd. (1 month Term SOFR + 3.864%) 9.217%, 11/5/27 (3) |
644 | 644 | |
| Burlington
Coat Factory Warehouse Corp. Tranche B-6 (1 month Term SOFR + 2.114%) 7.447%, 6/24/28 (3) |
1,331 | 1,326 | |
| Petco
Health & Wellness Co., Inc. First Lien (3 month Term SOFR + 3.512%) 8.860%, 3/3/28 (3) |
1,107 | 1,038 | |
| Restoration
Hardware, Inc. (1 month Term SOFR + 2.614%) 7.947%, 10/20/28 (3) |
1,466 | 1,404 | |
| 4,412 | |||
| Semiconductors—1.4% | |||
| Cohu,
Inc. Tranche B (1 month Term SOFR + 3.000%) 8.447%, 10/1/25 (3) |
185 | 185 | |
| Entegris,
Inc. Tranche B (1-3 month Term SOFR + 2.500%) 7.833% - 7.848%, 7/6/29 (3) |
702 | 702 | |
| MKS
Instruments, Inc. 2023, Tranche B (1 month Term SOFR + 2.500%) 7.848%, 8/17/29 (3) |
1,493 | 1,482 | |
| 2,369 | |||
| Software—2.6% | |||
| Applovin
Corp. (1 month Term SOFR + 3.100%) 8.433%, 8/14/30 (3) |
1,496 | 1,493 | |
| BMC
Software 2028 (1 month Term SOFR + 4.250%) 9.583%, 12/29/28 (3) |
857 | 858 | |
| Ceridian
HCM Holding, Inc. (1 month Term SOFR + 2.500%) 7.947%, 4/30/25 (3) |
982 | 982 | |
| Open
Text Corp. Tranche B (1 month Term SOFR + 2.850%) 8.183%, 1/31/30 (3) |
920 | 920 | |
| 4,253 | |||
| Par Value | Value | ||
| Telecommunications—1.2% | |||
| Ciena
Corp. 2023 (1 month Term SOFR + 2.000%) 7.337%, 10/24/30 (3) |
$ 975 | $ 977 | |
| Frontier
Communications Corp. Tranche B (1 month Term SOFR + 3.864%) 9.197%, 10/8/27 (3) |
975 | 961 | |
| 1,938 | |||
| Total
Leveraged Loans (Identified Cost $57,797) |
57,102 | ||
| Shares | ||
| Common Stocks—0.0% | ||
| Banks—0.0% | ||
| CCF Holdings LLC (5)(6) | 1,369,231 | — |
| CCF Holdings LLC Class M(5)(6) | 293,320 | — |
| — | ||
| Total
Common Stocks (Identified Cost $2,614) |
— | |
| Warrant—0.0% | ||
| Banks—0.0% | ||
| CCF Holdings LLC, 4/1/24(5)(6) | 485,227 | — |
| Total
Warrant (Identified Cost $—) |
— | |
| Total
Long-Term Investments—107.4% (Identified Cost $182,409) |
178,136 | |
| Short-Term Investment—1.7% | ||
| Money Market Mutual Fund—1.7% | ||
| BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.216%)(7) | 2,755,672 | 2,756 |
| Total
Short-Term Investment (Identified Cost $2,756) |
2,756 | |
| TOTAL
INVESTMENTS—109.1% (Identified Cost $185,165) |
$180,892 | |
| Other assets and liabilities, net—(9.1)% | (15,055) | |
| NET ASSETS—100.0% | $165,837 | |
| Abbreviations: | |
| EV | Enterprise Value |
| LLC | Limited Liability Company |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| Footnote Legend: | |
| (1) | All or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $44,550. |
| (2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2024, these securities amounted to a value of $40,954 or 24.7% of net assets. |
| (3) | Variable rate security. Rate disclosed is as of January 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
| (4) | This loan will settle after January 31, 2024, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
| (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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| Country Weightings (Unaudited)† | |
| United States | 80% |
| Bermuda | 8 |
| United Kingdom | 5 |
| Cayman Islands | 4 |
| Luxembourg | 1 |
| Canada | 1 |
| Panama | 1 |
| Total | 100% |
| † % of total investments as of January 31, 2024. | |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $ 43,727 | $ — | $43,727 | $— | |||
| Corporate Bonds and Notes | 77,307 | — | 77,307 | — | |||
| Leveraged Loans | 57,102 | — | 57,102 | — | |||
| Equity Securities: | |||||||
| Common Stocks | — (1) | — | — | — (1) | |||
| Warrant | — (1) | — | — | — (1) | |||
| Money Market Mutual Fund | 2,756 | 2,756 | — | — | |||
| Total Investments | $180,892 | $2,756 | $178,136 | $— (1) |
| (1) | Includes internally fair valued securities currently priced at zero ($0). |
| Par Value | Value | ||
| Convertible Bonds and Notes—84.7% | |||
| Aerospace & Defense—0.2% | |||
| Spirit
AeroSystems, Inc. 144A 3.250%, 11/1/28(1) |
$ 630 | $ 745 | |
| Auto Manufacturers—1.4% | |||
| Ford
Motor Co. 0.000%, 3/15/26(2) |
1,565 | 1,525 | |
| Lucid
Group, Inc. 144A 1.250%, 12/15/26(1) |
1,250 | 496 | |
| Rivian Automotive, Inc. | |||
| 144A 4.625%, 3/15/29(1) | 1,025 | 1,091 | |
| 144A 3.625%, 10/15/30(1) | 1,785 | 1,639 | |
| 4,751 | |||
| Banks—2.9% | |||
| Barclays
Bank plc 0.000%, 2/18/25 |
2,700 | 2,997 | |
| BofA
Finance LLC 0.600%, 5/25/27 |
3,000 | 3,522 | |
| Morgan
Stanley Finance LLC 1.500%, 1/28/27(3) |
2,765 | 3,024 | |
| 9,543 | |||
| Biotechnology—3.2% | |||
| Alnylam
Pharmaceuticals, Inc. 1.000%, 9/15/27(4) |
845 | 812 | |
| Bridgebio Pharma, Inc. | |||
| 2.500%, 3/15/27(4) | 2,390 | 2,664 | |
| 2.250%, 2/1/29 | 1,165 | 959 | |
| Cytokinetics,
Inc. 3.500%, 7/1/27(4) |
725 | 1,242 | |
| Immunocore
Holdings plc 144A 2.500%, 2/1/30(1) |
825 | 886 | |
| Insmed, Inc. | |||
| 1.750%, 1/15/25 | 1,890 | 2,012 | |
| 0.750%, 6/1/28 | 1,100 | 1,193 | |
| Sarepta
Therapeutics, Inc. 1.250%, 9/15/27 |
840 | 945 | |
| 10,713 | |||
| Commercial Services—6.2% | |||
| Affirm
Holdings, Inc. 0.000%, 11/15/26(2) |
7,595 | 6,015 | |
| Block,
Inc. 0.125%, 3/1/25(4) |
7,045 | 6,772 | |
| Repay
Holdings Corp. 144A 0.000%, 2/1/26(1)(2) |
3,345 | 2,831 | |
| Shift4
Payments, Inc. 0.500%, 8/1/27(4) |
3,485 | 3,230 | |
| Stride,
Inc. 1.125%, 9/1/27 |
1,335 | 1,709 | |
| 20,557 | |||
| Computers—6.2% | |||
| CyberArk
Software Ltd. 0.000%, 11/15/24 |
1,915 | 2,880 | |
| Lumentum
Holdings, Inc. 0.250%, 3/15/24 |
2,065 | 2,055 | |
| Par Value | Value | ||
| Computers—continued | |||
| Parsons
Corp. 0.250%, 8/15/25 |
$ 1,615 | $ 2,389 | |
| Seagate
HDD Cayman 144A 3.500%, 6/1/28(1) |
2,225 | 2,674 | |
| Varonis
Systems, Inc. 1.250%, 8/15/25 |
1,105 | 1,674 | |
| Western
Digital Corp. 144A 3.000%, 11/15/28(1)(4) |
3,535 | 4,585 | |
| Zscaler,
Inc. 0.125%, 7/1/25 |
2,640 | 4,220 | |
| 20,477 | |||
| Electric Utilities—3.5% | |||
| PG&E
Corp. 144A 4.250%, 12/1/27(1) |
4,465 | 4,543 | |
| Southern
Co. (The) 144A 3.875%, 12/15/25(1) |
6,960 | 6,929 | |
| 11,472 | |||
| Energy-Alternate Sources—1.0% | |||
| Plug
Power, Inc. 3.750%, 6/1/25 |
575 | 619 | |
| Sunnova
Energy International, Inc. 2.625%, 2/15/28 |
5,465 | 2,801 | |
| 3,420 | |||
| Engineering & Construction—2.3% | |||
| Fluor
Corp. 144A 1.125%, 8/15/29(1) |
4,785 | 5,046 | |
| Granite
Construction, Inc. 144A 3.750%, 5/15/28(1) |
2,115 | 2,485 | |
| 7,531 | |||
| Entertainment—4.8% | |||
| DraftKings
Holdings, Inc. 0.000%, 3/15/28(2) |
6,280 | 5,244 | |
| IMAX
Corp. 0.500%, 4/1/26 |
2,640 | 2,338 | |
| Live Nation Entertainment, Inc. | |||
| 2.000%, 2/15/25 | 4,500 | 4,714 | |
| 3.125%, 1/15/29 | 1,920 | 2,113 | |
| Penn
Entertainment, Inc. 2.750%, 5/15/26 |
1,335 | 1,575 | |
| 15,984 | |||
| Environmental Services—0.9% | |||
| Tetra
Tech, Inc. 144A 2.250%, 8/15/28(1) |
2,960 | 3,008 | |
| Equity Real Estate Investment Trusts (REITs)—0.4% | |||
| Federal
Realty OP LP 144A 3.250%, 1/15/29(1) |
1,270 | 1,258 | |
| Financial Services—1.2% | |||
| Bread
Financial Holdings, Inc. 144A 4.250%, 6/15/28(1) |
760 | 857 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| Encore
Capital Group, Inc. 144A 4.000%, 3/15/29(1) |
$ 3,340 | $ 3,253 | |
| 4,110 | |||
| Health Care REITs—2.0% | |||
| Welltower
OP LLC 144A 2.750%, 5/15/28(1)(4) |
6,230 | 6,717 | |
| Healthcare-Products—5.5% | |||
| Alphatec
Holdings, Inc. 0.750%, 8/1/26 |
3,145 | 3,431 | |
| Exact
Sciences Corp. 0.375%, 3/15/27 |
1,360 | 1,256 | |
| Integer
Holdings Corp. 144A 2.125%, 2/15/28(1) |
2,610 | 3,390 | |
| Merit
Medical Systems, Inc. 144A 3.000%, 2/1/29(1) |
3,070 | 3,442 | |
| Natera,
Inc. 2.250%, 5/1/27 |
1,330 | 2,380 | |
| Repligen
Corp. 144A 1.000%, 12/15/28(1) |
1,855 | 2,147 | |
| TransMedics
Group, Inc. 144A 1.500%, 6/1/28(1) |
2,000 | 2,375 | |
| 18,421 | |||
| Insurance—0.5% | |||
| HCI
Group, Inc. 4.750%, 6/1/42 |
1,220 | 1,537 | |
| Internet—12.1% | |||
| Booking
Holdings, Inc. 0.750%, 5/1/25(4) |
2,125 | 3,975 | |
| Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) |
1,615 | 1,434 | |
| Palo
Alto Networks, Inc. 0.375%, 6/1/25 |
2,580 | 8,772 | |
| PDD
Holdings, Inc. 0.000%, 12/1/25(4) |
2,795 | 2,736 | |
| Snap,
Inc. 0.750%, 8/1/26 |
3,100 | 3,241 | |
| Uber Technologies, Inc. | |||
| 0.000%, 12/15/25(2) | 4,170 | 4,314 | |
| Series
2028 144A 0.875%, 12/1/28(1) |
3,370 | 3,754 | |
| Wayfair, Inc. | |||
| 1.125%, 11/1/24 | 2,345 | 2,232 | |
| 1.000%, 8/15/26(4) | 3,025 | 2,602 | |
| 3.250%, 9/15/27 | 2,315 | 2,534 | |
| Zillow Group, Inc. | |||
| 2.750%, 5/15/25(4) | 3,000 | 3,274 | |
| 1.375%, 9/1/26(4) | 1,125 | 1,530 | |
| 40,398 | |||
| Iron & Steel—0.5% | |||
| ATI,
Inc. 3.500%, 6/15/25 |
600 | 1,600 | |
| Par Value | Value | ||
| Leisure Time—3.7% | |||
| Carnival
Corp. 5.750%, 12/1/27 |
$ 840 | $ 1,276 | |
| NCL
Corp., Ltd. 1.125%, 2/15/27 |
5,705 | 5,060 | |
| Royal
Caribbean Cruises Ltd. 6.000%, 8/15/25 |
2,330 | 6,083 | |
| 12,419 | |||
| Media—2.3% | |||
| DISH
Network Corp. 0.000%, 12/15/25(2) |
1,620 | 1,153 | |
| Liberty
Broadband Corp. 144A 3.125%, 3/31/53(1) |
2,355 | 2,314 | |
| Liberty
Media Corp. 144A 3.750%, 3/15/28(1) |
2,120 | 2,623 | |
| Liberty
Media Corp.-Liberty Formula One 2.250%, 8/15/27 |
1,580 | 1,662 | |
| 7,752 | |||
| Metal Fabricate/Hardware—0.3% | |||
| Xometry,
Inc. 1.000%, 2/1/27 |
1,095 | 988 | |
| Miscellaneous Manufacturing—1.2% | |||
| Axon
Enterprise, Inc. 0.500%, 12/15/27 |
3,125 | 3,830 | |
| Oil, Gas & Consumable Fuels—0.9% | |||
| Northern
Oil & Gas, Inc. 3.625%, 4/15/29 |
1,350 | 1,494 | |
| Pioneer
Natural Resources Co. 0.250%, 5/15/25 |
620 | 1,538 | |
| 3,032 | |||
| Passenger Airlines—0.9% | |||
| American
Airlines Group, Inc. 6.500%, 7/1/25(4) |
2,785 | 3,133 | |
| Pharmaceuticals—2.4% | |||
| Amphastar
Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1) |
2,225 | 2,477 | |
| Dexcom,
Inc. 144A 0.375%, 5/15/28(1) |
3,765 | 3,782 | |
| Mirum
Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) |
705 | 805 | |
| Neurocrine
Biosciences, Inc. 2.250%, 5/15/24 |
425 | 775 | |
| 7,839 | |||
| Retail—1.7% | |||
| Burlington
Stores, Inc. 144A 1.250%, 12/15/27(1) |
2,745 | 3,121 | |
| Freshpet,
Inc. 144A 3.000%, 4/1/28(1) |
1,775 | 2,528 | |
| 5,649 | |||
| Par Value | Value | ||
| Semiconductors—3.5% | |||
| Impinj,
Inc. 1.125%, 5/15/27 |
$ 860 | $ 982 | |
| MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(4) |
2,135 | 2,512 | |
| ON
Semiconductor Corp. 144A 0.500%, 3/1/29(1)(4) |
2,985 | 2,894 | |
| Semtech
Corp. 1.625%, 11/1/27 |
930 | 757 | |
| SMART
Global Holdings, Inc. 2.000%, 2/1/29 |
1,295 | 1,452 | |
| Veeco
Instruments, Inc. 144A 2.875%, 6/1/29(1) |
1,205 | 1,570 | |
| Wolfspeed,
Inc. 0.250%, 2/15/28 |
2,645 | 1,566 | |
| 11,733 | |||
| Software—13.0% | |||
| Akamai
Technologies, Inc. 0.125%, 5/1/25 |
4,990 | 6,567 | |
| Bentley
Systems, Inc. 0.125%, 1/15/26 |
3,225 | 3,159 | |
| BILL
Holdings, Inc. 0.000%, 12/1/25(2) |
2,280 | 2,132 | |
| Cloudflare,
Inc. 0.000%, 8/15/26(2)(4) |
2,910 | 2,594 | |
| Confluent,
Inc. 0.000%, 1/15/27(2) |
3,710 | 3,082 | |
| Datadog,
Inc. 0.125%, 6/15/25 |
2,340 | 3,312 | |
| Evolent
Health, Inc. 144A 3.500%, 12/1/29(1) |
1,175 | 1,283 | |
| Five9,
Inc. 0.500%, 6/1/25 |
3,160 | 3,018 | |
| Guidewire
Software, Inc. 1.250%, 3/15/25 |
1,150 | 1,283 | |
| HubSpot,
Inc. 0.375%, 6/1/25 |
1,125 | 2,452 | |
| MicroStrategy,
Inc. 0.750%, 12/15/25 |
1,600 | 2,251 | |
| MongoDB,
Inc. 0.250%, 1/15/26(4) |
1,765 | 3,409 | |
| Nutanix,
Inc. 0.250%, 10/1/27 |
2,660 | 3,037 | |
| Tyler
Technologies, Inc. 0.250%, 3/15/26 |
5,135 | 5,163 | |
| Workiva,
Inc. 144A 1.250%, 8/15/28(1) |
370 | 356 | |
| 43,098 | |||
| Total
Convertible Bonds and Notes (Identified Cost $263,938) |
281,715 | ||
| Corporate Bonds and Notes—65.4% | |||
| Aerospace & Defense—3.5% | |||
| Bombardier,
Inc. 144A 7.500%, 2/1/29(1)(4) |
2,865 | 2,920 | |
| Spirit
AeroSystems, Inc. 144A 9.750%, 11/15/30(1) |
1,790 | 1,879 | |
| Par Value | Value | ||
| Aerospace & Defense—continued | |||
| TransDigm,
Inc. 144A 7.125%, 12/1/31(1)(4) |
$ 4,770 | $ 4,972 | |
| Triumph
Group, Inc. 144A 9.000%, 3/15/28(1)(4) |
1,635 | 1,725 | |
| 11,496 | |||
| Auto Manufacturers—0.8% | |||
| Ford
Motor Co. 9.625%, 4/22/30 |
2,205 | 2,586 | |
| Automotive Parts & Equipment—2.9% | |||
| Adient
Global Holdings Ltd. 144A 8.250%, 4/15/31(1)(4) |
2,160 | 2,281 | |
| American
Axle & Manufacturing, Inc. 6.500%, 4/1/27(4) |
1,280 | 1,275 | |
| Clarios
Global LP 144A 8.500%, 5/15/27(1)(4) |
3,010 | 3,002 | |
| Goodyear
Tire & Rubber Co. (The) 5.250%, 7/15/31(4) |
3,210 | 2,922 | |
| 9,480 | |||
| Building Materials—2.2% | |||
| Builders
FirstSource, Inc. 144A 6.375%, 6/15/32(1) |
2,445 | 2,494 | |
| Griffon
Corp. 5.750%, 3/1/28(4) |
2,425 | 2,376 | |
| Summit
Materials LLC 144A 7.250%, 1/15/31(1) |
2,315 | 2,405 | |
| 7,275 | |||
| Chemicals—1.0% | |||
| Chemours
Co. (The) 144A 5.750%, 11/15/28(1)(4) |
2,505 | 2,362 | |
| Tronox,
Inc. 144A 4.625%, 3/15/29(1)(4) |
1,275 | 1,126 | |
| 3,488 | |||
| Commercial Services—1.8% | |||
| Avis
Budget Car Rental LLC 144A 8.000%, 2/15/31(1) |
2,875 | 2,869 | |
| Herc
Holdings, Inc. 144A 5.500%, 7/15/27(1) |
1,315 | 1,291 | |
| NESCO
Holdings II, Inc. 144A 5.500%, 4/15/29(1) |
2,000 | 1,875 | |
| 6,035 | |||
| Computers—2.5% | |||
| McAfee
Corp. 144A 7.375%, 2/15/30(1) |
2,530 | 2,293 | |
| NCR
Voyix Corp. 144A 5.125%, 4/15/29(1) |
2,515 | 2,353 | |
| Seagate
HDD Cayman 144A 8.500%, 7/15/31(1)(4) |
3,495 | 3,797 | |
| 8,443 | |||
| Par Value | Value | ||
| Containers & Packaging—1.4% | |||
| Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(1)(4) |
$ 1,810 | $ 1,829 | |
| Owens-Brockway
Glass Container, Inc. 144A 7.250%, 5/15/31(1)(4) |
1,680 | 1,688 | |
| Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(1) |
1,165 | 1,137 | |
| 4,654 | |||
| Diversified REITS—1.5% | |||
| Iron Mountain, Inc. | |||
| 144A 7.000%, 2/15/29(1) | 2,335 | 2,394 | |
| 144A 5.250%, 7/15/30(1)(4) | 2,820 | 2,660 | |
| 5,054 | |||
| Electric Utilities—0.5% | |||
| PG&E
Corp. 5.250%, 7/1/30(4) |
1,815 | 1,733 | |
| Electronic Equipment, Instruments & Components—0.8% | |||
| WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(4) |
2,560 | 2,630 | |
| Electronics—0.6% | |||
| Coherent
Corp. 144A 5.000%, 12/15/29(1)(4) |
1,980 | 1,854 | |
| Entertainment—4.8% | |||
| Caesars Entertainment, Inc. | |||
| 144A 8.125%, 7/1/27(1)(4) | 4,165 | 4,274 | |
| 144A 7.000%, 2/15/30(1)(4) | 1,215 | 1,249 | |
| Churchill
Downs, Inc. 144A 5.750%, 4/1/30(1) |
1,225 | 1,185 | |
| International
Game Technology plc 144A 6.250%, 1/15/27(1) |
1,185 | 1,192 | |
| Light
& Wonder International, Inc. 144A 7.000%, 5/15/28(1) |
2,215 | 2,212 | |
| Lions
Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(4) |
2,720 | 2,068 | |
| Live
Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1)(4) |
1,915 | 1,935 | |
| SeaWorld
Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(4) |
2,105 | 1,961 | |
| 16,076 | |||
| Environmental Services—0.9% | |||
| GFL
Environmental, Inc. 144A 6.750%, 1/15/31(1) |
2,930 | 2,997 | |
| Financial Services—3.9% | |||
| Nationstar Mortgage Holdings, Inc. | |||
| 144A 5.500%, 8/15/28(1) | 1,400 | 1,329 | |
| 144A 7.125%, 2/1/32(1) | 2,345 | 2,326 | |
| Navient Corp. | |||
| 6.750%, 6/15/26 | 2,340 | 2,350 | |
| 9.375%, 7/25/30(4) | 1,175 | 1,225 | |
| OneMain
Finance Corp. 9.000%, 1/15/29 |
2,150 | 2,265 | |
| PennyMac
Financial Services, Inc. 144A 7.875%, 12/15/29(1) |
2,330 | 2,400 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| PRA
Group, Inc. 144A 8.375%, 2/1/28(1)(4) |
$ 1,205 | $ 1,148 | |
| 13,043 | |||
| Food & Beverage—1.2% | |||
| Performance
Food Group, Inc. 144A 5.500%, 10/15/27(1)(4) |
1,460 | 1,424 | |
| Post
Holdings, Inc. 144A 5.500%, 12/15/29(1)(4) |
2,625 | 2,537 | |
| 3,961 | |||
| Healthcare-Products—0.9% | |||
| Medline
Borrower LP 144A 5.250%, 10/1/29(1) |
3,285 | 3,063 | |
| Healthcare-Services—2.0% | |||
| Select
Medical Corp. 144A 6.250%, 8/15/26(1)(4) |
1,750 | 1,750 | |
| Tenet
Healthcare Corp. 6.125%, 10/1/28(4) |
4,830 | 4,812 | |
| 6,562 | |||
| Hotel & Resort REITs—1.3% | |||
| Park
Intermediate Holdings LLC 144A 5.875%, 10/1/28(1) |
1,340 | 1,303 | |
| Service
Properties Trust 7.500%, 9/15/25(4) |
2,825 | 2,868 | |
| 4,171 | |||
| Housewares—0.5% | |||
| Newell
Brands, Inc. 6.625%, 9/15/29 |
1,750 | 1,697 | |
| Internet—1.4% | |||
| Gen
Digital, Inc. 144A 7.125%, 9/30/30(1)(4) |
2,905 | 3,013 | |
| Uber
Technologies, Inc. 144A 7.500%, 9/15/27(1) |
1,650 | 1,686 | |
| 4,699 | |||
| Investment Companies—0.9% | |||
| Compass
Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(4) |
3,085 | 2,938 | |
| Iron & Steel—0.3% | |||
| Cleveland-Cliffs,
Inc. 144A 6.750%, 3/15/26(1)(4) |
1,145 | 1,148 | |
| Leisure Time—2.1% | |||
| Carnival
Corp. 144A 10.500%, 6/1/30(1) |
2,180 | 2,394 | |
| NCL
Corp., Ltd. 144A 8.375%, 2/1/28(1) |
1,820 | 1,911 | |
| Par Value | Value | ||
| Leisure Time—continued | |||
| Royal
Caribbean Cruises Ltd. 144A 11.625%, 8/15/27(1) |
$ 2,545 | $ 2,768 | |
| 7,073 | |||
| Lodging—0.3% | |||
| Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1)(4) |
1,250 | 1,155 | |
| Machinery-Construction & Mining—0.4% | |||
| Terex
Corp. 144A 5.000%, 5/15/29(1) |
1,280 | 1,210 | |
| Machinery-Diversified—0.7% | |||
| Chart
Industries, Inc. 144A 7.500%, 1/1/30(1)(4) |
2,385 | 2,448 | |
| Media—6.2% | |||
| CCO Holdings LLC | |||
| 144A 6.375%, 9/1/29(1)(4) | 2,445 | 2,381 | |
| 144A 7.375%, 3/1/31(1)(4) | 3,045 | 3,077 | |
| DirecTV
Financing LLC 144A 5.875%, 8/15/27(1)(4) |
2,420 | 2,301 | |
| DISH
Network Corp. 144A 11.750%, 11/15/27(1)(4) |
1,110 | 1,158 | |
| Gray
Television, Inc. 144A 7.000%, 5/15/27(1)(4) |
3,100 | 3,030 | |
| Nexstar
Media, Inc. 144A 5.625%, 7/15/27(1)(4) |
2,120 | 2,065 | |
| Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(4) |
2,595 | 2,356 | |
| TEGNA,
Inc. 5.000%, 9/15/29(4) |
1,415 | 1,307 | |
| Virgin
Media Secured Finance plc 144A 5.500%, 5/15/29(1)(4) |
3,075 | 2,958 | |
| 20,633 | |||
| Mining—1.1% | |||
| Arsenal
AIC Parent LLC 144A 8.000%, 10/1/30(1)(4) |
1,155 | 1,205 | |
| Hudbay
Minerals, Inc. 144A 6.125%, 4/1/29(1)(4) |
2,470 | 2,438 | |
| 3,643 | |||
| Oil, Gas & Consumable Fuels—5.8% | |||
| Antero
Resources Corp. 144A 7.625%, 2/1/29(1) |
1,126 | 1,159 | |
| Callon
Petroleum Co. 144A 8.000%, 8/1/28(1) |
2,115 | 2,188 | |
| CITGO
Petroleum Corp. 144A 8.375%, 1/15/29(1) |
1,715 | 1,782 | |
| Civitas
Resources, Inc. 144A 8.750%, 7/1/31(1)(4) |
2,825 | 3,003 | |
| CNX
Resources Corp. 144A 7.375%, 1/15/31(1)(4) |
2,335 | 2,371 | |
| Northern
Oil & Gas, Inc. 144A 8.750%, 6/15/31(1) |
1,650 | 1,725 | |
| SM
Energy Co. 6.500%, 7/15/28(4) |
2,360 | 2,360 | |
| Par Value | Value | ||
| Oil, Gas & Consumable Fuels—continued | |||
| USA
Compression Partners LP 6.875%, 9/1/27 |
$ 2,285 | $ 2,283 | |
| Weatherford
International Ltd. 144A 8.625%, 4/30/30(1) |
2,440 | 2,493 | |
| 19,364 | |||
| Paper & Forest Products—0.4% | |||
| Mercer
International, Inc. 144A 5.125%, 2/1/29(1) |
1,470 | 1,262 | |
| Personal Care Product—0.2% | |||
| Coty,
Inc. 144A 6.500%, 4/15/26(1) |
738 | 737 | |
| Pharmaceuticals—0.3% | |||
| Jazz
Securities DAC 144A 4.375%, 1/15/29(1) |
1,250 | 1,153 | |
| Pipelines—1.8% | |||
| Antero
Midstream Partners LP 144A 5.375%, 6/15/29(1) |
1,405 | 1,349 | |
| NGL Energy Operating LLC | |||
| 144A 7.500%, 2/1/26(1) | 2,150 | 2,188 | |
| 144A 8.375%, 2/15/32(1) | 1,745 | 1,758 | |
| NuStar
Logistics LP 6.375%, 10/1/30(4) |
820 | 824 | |
| 6,119 | |||
| Real Estate—0.5% | |||
| Kennedy-Wilson,
Inc. 5.000%, 3/1/31(4) |
1,990 | 1,587 | |
| Retail—1.7% | |||
| Bath
& Body Works, Inc. 144A 6.625%, 10/1/30(1)(4) |
1,175 | 1,191 | |
| Beacon
Roofing Supply, Inc. 144A 6.500%, 8/1/30(1) |
2,350 | 2,384 | |
| New
Red Finance, Inc. 144A 4.000%, 10/15/30(1) |
2,265 | 2,024 | |
| 5,599 | |||
| Semiconductors—1.1% | |||
| Amkor
Technology, Inc. 144A 6.625%, 9/15/27(1) |
1,170 | 1,179 | |
| Entegris,
Inc. 144A 5.950%, 6/15/30(1)(4) |
2,375 | 2,346 | |
| 3,525 | |||
| Software—1.6% | |||
| Central
Parent LLC 144A 8.000%, 6/15/29(1)(4) |
1,690 | 1,735 | |
| Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(1)(4) |
1,910 | 1,783 | |
| UKG,
Inc. 144A 6.875%, 2/1/31(1) |
1,710 | 1,729 | |
| 5,247 | |||
| Par Value | Value | ||
| Telecommunications—1.4% | |||
| Frontier
Communications Holdings LLC 144A 8.750%, 5/15/30(1)(4) |
$ 2,845 | $ 2,914 | |
| Hughes
Satellite Systems Corp. 6.625%, 8/1/26(4) |
2,610 | 1,785 | |
| 4,699 | |||
| Transportation—2.2% | |||
| Fortress Transportation & Infrastructure Investors LLC | |||
| 144A 9.750%, 8/1/27(1) | 1,500 | 1,556 | |
| 144A 7.875%, 12/1/30(1) | 2,265 | 2,389 | |
| XPO,
Inc. 144A 7.125%, 6/1/31(1) |
3,150 | 3,226 | |
| 7,171 | |||
| Total
Corporate Bonds and Notes (Identified Cost $216,948) |
217,708 | ||
| Shares | ||
| Convertible Preferred Stocks—6.1% | ||
| Banks—3.1% | ||
| Wells Fargo & Co. Series L, 7.500% | 8,380 | 10,140 |
| Electric Utilities—0.6% | ||
| NextEra Energy, Inc., 6.926%(4) | 53,385 | 1,986 |
| Financial Services—1.0% | ||
| Apollo Global Management, Inc., 6.750% | 57,220 | 3,343 |
| Healthcare Providers & Services—0.2% | ||
| BrightSpring Health Services, Inc., 6.750% | 14,755 | 673 |
| Machinery—1.2% | ||
| Chart Industries, Inc. Series B, 6.750% | 23,195 | 1,155 |
| RBC Bearings, Inc. Series A, 5.000% | 23,945 | 2,946 |
| 4,101 | ||
| Total
Convertible Preferred Stocks (Identified Cost $14,625) |
20,243 | |
| Preferred Stock—0.1% | ||
| Entertainment—0.1% | ||
| LiveStyle, Inc. Series B (3)(5)(6) | 4,196 | 419 |
| Total
Preferred Stock (Identified Cost $411) |
419 | |
| Common Stocks—0.0% | ||
| Banks—0.0% | ||
| CCF Holdings LLC (3)(5) | 7,808,320 | — |
| CCF Holdings LLC Class M(3)(5) | 879,959 | — |
| — | ||
| Consumer Finance—0.0% | ||
| Erickson, Inc.(3)(5) | 8,295 | 127 |
| Shares | Value | ||
| Entertainment—0.0% | |||
| LiveStyle, Inc. (3)(5)(6) | 90,407 | $ — | |
| Total
Common Stocks (Identified Cost $30,173) |
127 | ||
| Warrants—0.0% | |||
| Banks—0.0% | |||
| CCF Holdings LLC, 4/1/24(3)(5) | 1,455,681 | — | |
| Media—0.0% | |||
| Tenerity, Inc., 4/1/24(3)(5)(6) | 15,602 | — | |
| Total
Warrants (Identified Cost $3,080) |
— | ||
| Total
Long-Term Investments—156.3% (Identified Cost $529,175) |
520,212 | ||
| Short-Term Investment—0.0% | |||
| Money Market Mutual Fund—0.0% | |||
| BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.216%)(7) | 68,616 | 69 | |
| Total
Short-Term Investment (Identified Cost $69) |
69 | ||
| Securities Lending Collateral—3.0% | |||
| Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.219%)(7)(8) | 9,844,245 | 9,844 | |
| Total
Securities Lending Collateral (Identified Cost $9,844) |
9,844 | ||
| TOTAL
INVESTMENTS—159.3% (Identified Cost $539,088) |
$ 530,125 | ||
| Other assets and liabilities, net—(29.2)% | (97,302) | ||
| Cumulative Preferred Shares—(30.0)% | (100,000) | ||
| NET ASSETS—100.0% | $ 332,823 | ||
| Abbreviations: | |
| DAC | Designated Activity Company |
| EV | Enterprise Value |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| OP | Operating Partnership |
| 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, 2024, these securities amounted to a value of $270,791 or 81.4% of net assets. |
| (2) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (3) | 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. |
| (4) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
| (5) | Non-income producing. |
| (6) | Security is restricted from resale. |
| (7) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| (8) | Represents security purchased with cash collateral received for securities on loan. |
| Country Weightings (Unaudited)† | |
| United States | 89% |
| Canada | 2 |
| Cayman Islands | 2 |
| Bermuda | 2 |
| Liberia | 2 |
| United Kingdom | 1 |
| Panama | 1 |
| Other | 1 |
| Total | 100% |
| † % of total investments as of January 31, 2024. | |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $281,715 | $ — | $278,691 | $3,024 | |||
| Corporate Bonds and Notes | 217,708 | — | 217,708 | — | |||
| Equity Securities: | |||||||
| Convertible Preferred Stocks | 20,243 | 20,243 | — | — | |||
| Preferred Stock | 419 | — | — | 419 | |||
| Common Stocks | 127 | — | — | 127 (1) | |||
| Warrants | — | — | — | — (1) | |||
| Money Market Mutual Fund | 69 | 69 | — | — | |||
| Securities Lending Collateral | 9,844 | 9,844 | — | — | |||
| Total Investments | $530,125 | $30,156 | $496,399 | $3,570 |
| (1) | Includes internally fair valued securities currently priced at zero ($0). |
| Total | Convertible
Bonds and Notes |
Preferred
Stock |
Common
Stocks |
Warrants | Equity-Linked
Note | ||||||
| Investments in Securities | |||||||||||
| Balance as of January 31, 2023: | $13,284 | $ — | $ 925 | $ 5,596 | $ 553(a) | $ 6,210 | |||||
| Accrued discount/(premium) | 1 | — | — | — | — | 1 | |||||
| Net realized gain (loss) | (768) | — | 16 | — | — | (784) | |||||
| Net change in unrealized appreciation (depreciation)(b) | (5,918) | (64) | 289 | (5,469) | (553) | (121) | |||||
| Purchases | 4,491 | 3,088 | — | — | — | 1,403 | |||||
| Sales (c) | (7,520) | — | (811) | — | — | (6,709) | |||||
| Balance as of January 31, 2024 | $ 3,570 | $ 3,024 | $ 419 | $ 127(a) | $ —(a) | $ — |
| Investments
in Securities – Assets |
Ending
Balance at January 31, 2024 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
| Preferred Stock: | ||||||||
| LiveStyle, Inc. Series B | $419 | Discounted
cash flows liquidation approach |
Discount rate | 23.84% (23.63% - 24.06%) | ||||
| Common Stock: | ||||||||
| Erickson, Inc. | $127 | Market and Company Comparables | EV Multiples | 1.28x (0.57x - 3.33x) | ||||
| 12.42x (10.07x - 15.10x) | ||||||||
| 0.95x (0.50x - 2.13x) | ||||||||
| M&A Transaction Multiples | 1.13x (0.62x - 1.74x) | |||||||
| Illiquidity Discount | 20% | |||||||
| Par Value | Value | ||
| Convertible Bonds and Notes—89.4% | |||
| Aerospace & Defense—0.2% | |||
| Spirit
AeroSystems, Inc. 144A 3.250%, 11/1/28(1) |
$ 500 | $ 591 | |
| Auto Manufacturers—1.5% | |||
| Ford
Motor Co. 0.000%, 3/15/26(2) |
1,235 | 1,203 | |
| Lucid
Group, Inc. 144A 1.250%, 12/15/26(1) |
985 | 391 | |
| Rivian Automotive, Inc. | |||
| 144A 4.625%, 3/15/29(1) | 810 | 862 | |
| 144A 3.625%, 10/15/30(1) | 1,410 | 1,295 | |
| 3,751 | |||
| Banks—3.0% | |||
| Barclays
Bank plc 0.000%, 2/18/25 |
2,135 | 2,370 | |
| BofA
Finance LLC 0.600%, 5/25/27 |
2,370 | 2,782 | |
| Morgan
Stanley Finance LLC 1.500%, 1/28/27(3) |
2,185 | 2,390 | |
| 7,542 | |||
| Biotechnology—3.4% | |||
| Alnylam
Pharmaceuticals, Inc. 1.000%, 9/15/27(4) |
665 | 639 | |
| Bridgebio Pharma, Inc. | |||
| 2.500%, 3/15/27 | 1,890 | 2,107 | |
| 2.250%, 2/1/29 | 915 | 754 | |
| Cytokinetics,
Inc. 3.500%, 7/1/27 |
575 | 985 | |
| Immunocore
Holdings plc 144A 2.500%, 2/1/30(1) |
650 | 698 | |
| Insmed, Inc. | |||
| 1.750%, 1/15/25 | 1,495 | 1,591 | |
| 0.750%, 6/1/28 | 865 | 938 | |
| Sarepta
Therapeutics, Inc. 1.250%, 9/15/27 |
660 | 743 | |
| 8,455 | |||
| Commercial Services—6.5% | |||
| Affirm
Holdings, Inc. 0.000%, 11/15/26(2) |
5,995 | 4,747 | |
| Block,
Inc. 0.125%, 3/1/25(4) |
5,565 | 5,350 | |
| Repay
Holdings Corp. 144A 0.000%, 2/1/26(1)(2) |
2,640 | 2,234 | |
| Shift4
Payments, Inc. 0.500%, 8/1/27(4) |
2,755 | 2,554 | |
| Stride,
Inc. 1.125%, 9/1/27 |
1,055 | 1,350 | |
| 16,235 | |||
| Computers—6.5% | |||
| CyberArk
Software Ltd. 0.000%, 11/15/24 |
1,515 | 2,278 | |
| Lumentum
Holdings, Inc. 0.250%, 3/15/24 |
1,630 | 1,622 | |
| Par Value | Value | ||
| Computers—continued | |||
| Parsons
Corp. 0.250%, 8/15/25 |
$ 1,275 | $ 1,886 | |
| Seagate
HDD Cayman 144A 3.500%, 6/1/28(1) |
1,760 | 2,115 | |
| Varonis
Systems, Inc. 1.250%, 8/15/25 |
870 | 1,318 | |
| Western
Digital Corp. 144A 3.000%, 11/15/28(1)(4) |
2,790 | 3,619 | |
| Zscaler,
Inc. 0.125%, 7/1/25 |
2,085 | 3,333 | |
| 16,171 | |||
| Electric Utilities—3.6% | |||
| PG&E
Corp. 144A 4.250%, 12/1/27(1) |
3,525 | 3,587 | |
| Southern
Co. (The) 144A 3.875%, 12/15/25(1) |
5,495 | 5,470 | |
| 9,057 | |||
| Energy-Alternate Sources—1.1% | |||
| Plug
Power, Inc. 3.750%, 6/1/25 |
455 | 490 | |
| Sunnova
Energy International, Inc. 2.625%, 2/15/28 |
4,315 | 2,211 | |
| 2,701 | |||
| Engineering & Construction—2.4% | |||
| Fluor
Corp. 144A 1.125%, 8/15/29(1) |
3,780 | 3,986 | |
| Granite
Construction, Inc. 144A 3.750%, 5/15/28(1) |
1,670 | 1,963 | |
| 5,949 | |||
| Entertainment—5.1% | |||
| DraftKings
Holdings, Inc. 0.000%, 3/15/28(2) |
4,960 | 4,142 | |
| IMAX
Corp. 0.500%, 4/1/26 |
2,085 | 1,846 | |
| Live Nation Entertainment, Inc. | |||
| 2.000%, 2/15/25 | 3,555 | 3,724 | |
| 3.125%, 1/15/29(4) | 1,515 | 1,668 | |
| Penn
Entertainment, Inc. 2.750%, 5/15/26 |
1,055 | 1,244 | |
| 12,624 | |||
| Environmental Services—1.0% | |||
| Tetra
Tech, Inc. 144A 2.250%, 8/15/28(1) |
2,340 | 2,378 | |
| Equity Real Estate Investment Trusts (REITs)—0.4% | |||
| Federal
Realty OP LP 144A 3.250%, 1/15/29(1) |
1,010 | 1,000 | |
| Financial Services—1.3% | |||
| Bread
Financial Holdings, Inc. 144A 4.250%, 6/15/28(1) |
600 | 677 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| Encore
Capital Group, Inc. 144A 4.000%, 3/15/29(1) |
$ 2,635 | $ 2,566 | |
| 3,243 | |||
| Health Care REITs—2.1% | |||
| Welltower
OP LLC 144A 2.750%, 5/15/28(1)(4) |
4,920 | 5,304 | |
| Healthcare-Products—5.9% | |||
| Alphatec
Holdings, Inc. 0.750%, 8/1/26 |
2,485 | 2,711 | |
| Exact
Sciences Corp. 0.375%, 3/15/27 |
1,075 | 993 | |
| Integer
Holdings Corp. 144A 2.125%, 2/15/28(1) |
2,065 | 2,683 | |
| Merit
Medical Systems, Inc. 144A 3.000%, 2/1/29(1) |
2,425 | 2,718 | |
| Natera,
Inc. 2.250%, 5/1/27 |
1,050 | 1,879 | |
| Repligen
Corp. 144A 1.000%, 12/15/28(1) |
1,465 | 1,696 | |
| TransMedics
Group, Inc. 144A 1.500%, 6/1/28(1)(4) |
1,580 | 1,876 | |
| 14,556 | |||
| Insurance—0.5% | |||
| HCI
Group, Inc. 4.750%, 6/1/42 |
965 | 1,215 | |
| Internet—12.8% | |||
| Booking
Holdings, Inc. 0.750%, 5/1/25 |
1,680 | 3,143 | |
| Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) |
1,275 | 1,132 | |
| Palo
Alto Networks, Inc. 0.375%, 6/1/25 |
2,040 | 6,936 | |
| PDD
Holdings, Inc. 0.000%, 12/1/25(4) |
2,210 | 2,163 | |
| Snap,
Inc. 0.750%, 8/1/26 |
2,445 | 2,556 | |
| Uber Technologies, Inc. | |||
| 0.000%, 12/15/25(2) | 3,295 | 3,409 | |
| Series
2028 144A 0.875%, 12/1/28(1) |
2,670 | 2,974 | |
| Wayfair, Inc. | |||
| 1.125%, 11/1/24 | 1,845 | 1,756 | |
| 1.000%, 8/15/26 | 2,385 | 2,051 | |
| 3.250%, 9/15/27(4) | 1,835 | 2,008 | |
| Zillow Group, Inc. | |||
| 2.750%, 5/15/25 | 2,370 | 2,587 | |
| 1.375%, 9/1/26 | 890 | 1,211 | |
| 31,926 | |||
| Iron & Steel—0.5% | |||
| ATI,
Inc. 3.500%, 6/15/25 |
475 | 1,267 | |
| Par Value | Value | ||
| Leisure Time—4.0% | |||
| Carnival
Corp. 5.750%, 12/1/27 |
$ 665 | $ 1,011 | |
| NCL
Corp., Ltd. 1.125%, 2/15/27 |
4,500 | 3,991 | |
| Royal
Caribbean Cruises Ltd. 6.000%, 8/15/25 |
1,840 | 4,803 | |
| 9,805 | |||
| Media—2.5% | |||
| DISH
Network Corp. 0.000%, 12/15/25(2) |
1,275 | 907 | |
| Liberty
Broadband Corp. 144A 3.125%, 3/31/53(1) |
1,860 | 1,828 | |
| Liberty
Media Corp. 144A 3.750%, 3/15/28(1) |
1,680 | 2,079 | |
| Liberty
Media Corp.-Liberty Formula One 2.250%, 8/15/27 |
1,245 | 1,310 | |
| 6,124 | |||
| Metal Fabricate/Hardware—0.3% | |||
| Xometry,
Inc. 1.000%, 2/1/27 |
860 | 776 | |
| Miscellaneous Manufacturing—1.2% | |||
| Axon
Enterprise, Inc. 0.500%, 12/15/27 |
2,470 | 3,027 | |
| Oil, Gas & Consumable Fuels—1.0% | |||
| Northern
Oil & Gas, Inc. 3.625%, 4/15/29 |
1,065 | 1,179 | |
| Pioneer
Natural Resources Co. 0.250%, 5/15/25 |
490 | 1,215 | |
| 2,394 | |||
| Passenger Airlines—1.0% | |||
| American
Airlines Group, Inc. 6.500%, 7/1/25(4) |
2,200 | 2,475 | |
| Pharmaceuticals—2.5% | |||
| Amphastar
Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1) |
1,760 | 1,959 | |
| Dexcom,
Inc. 144A 0.375%, 5/15/28(1) |
2,975 | 2,989 | |
| Mirum
Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) |
555 | 634 | |
| Neurocrine
Biosciences, Inc. 2.250%, 5/15/24 |
335 | 611 | |
| 6,193 | |||
| Retail—1.8% | |||
| Burlington
Stores, Inc. 144A 1.250%, 12/15/27(1) |
2,170 | 2,467 | |
| Freshpet,
Inc. 144A 3.000%, 4/1/28(1) |
1,400 | 1,994 | |
| 4,461 | |||
| Par Value | Value | ||
| Semiconductors—3.7% | |||
| Impinj,
Inc. 1.125%, 5/15/27 |
$ 680 | $ 777 | |
| MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(4) |
1,685 | 1,982 | |
| ON
Semiconductor Corp. 144A 0.500%, 3/1/29(1)(4) |
2,360 | 2,288 | |
| Semtech
Corp. 1.625%, 11/1/27 |
740 | 603 | |
| SMART
Global Holdings, Inc. 2.000%, 2/1/29 |
1,020 | 1,144 | |
| Veeco
Instruments, Inc. 144A 2.875%, 6/1/29(1) |
950 | 1,238 | |
| Wolfspeed,
Inc. 0.250%, 2/15/28 |
2,090 | 1,237 | |
| 9,269 | |||
| Software—13.6% | |||
| Akamai
Technologies, Inc. 0.125%, 5/1/25 |
3,855 | 5,073 | |
| Bentley
Systems, Inc. 0.125%, 1/15/26 |
2,550 | 2,498 | |
| BILL
Holdings, Inc. 0.000%, 12/1/25(2) |
1,800 | 1,683 | |
| Cloudflare,
Inc. 0.000%, 8/15/26(2) |
2,300 | 2,050 | |
| Confluent,
Inc. 0.000%, 1/15/27(2) |
2,930 | 2,434 | |
| Datadog,
Inc. 0.125%, 6/15/25 |
1,850 | 2,619 | |
| Evolent
Health, Inc. 144A 3.500%, 12/1/29(1) |
925 | 1,010 | |
| Five9,
Inc. 0.500%, 6/1/25 |
2,495 | 2,383 | |
| Guidewire
Software, Inc. 1.250%, 3/15/25 |
910 | 1,015 | |
| HubSpot,
Inc. 0.375%, 6/1/25 |
890 | 1,940 | |
| MicroStrategy,
Inc. 0.750%, 12/15/25 |
1,265 | 1,780 | |
| MongoDB,
Inc. 0.250%, 1/15/26 |
1,395 | 2,694 | |
| Nutanix,
Inc. 0.250%, 10/1/27 |
2,100 | 2,398 | |
| Tyler
Technologies, Inc. 0.250%, 3/15/26 |
4,055 | 4,077 | |
| Workiva,
Inc. 144A 1.250%, 8/15/28(1) |
295 | 284 | |
| 33,938 | |||
| Total
Convertible Bonds and Notes (Identified Cost $208,395) |
222,427 | ||
| Corporate Bonds and Notes—63.5% | |||
| Aerospace & Defense—3.3% | |||
| Bombardier,
Inc. 144A 7.500%, 2/1/29(1)(4) |
2,070 | 2,110 | |
| Spirit
AeroSystems, Inc. 144A 9.750%, 11/15/30(1) |
1,300 | 1,364 | |
| Par Value | Value | ||
| Aerospace & Defense—continued | |||
| TransDigm,
Inc. 144A 7.125%, 12/1/31(1)(4) |
$ 3,450 | $ 3,596 | |
| Triumph
Group, Inc. 144A 9.000%, 3/15/28(1)(4) |
1,180 | 1,245 | |
| 8,315 | |||
| Auto Manufacturers—0.8% | |||
| Ford
Motor Co. 9.625%, 4/22/30 |
1,705 | 2,000 | |
| Automotive Parts & Equipment—2.8% | |||
| Adient
Global Holdings Ltd. 144A 8.250%, 4/15/31(1)(4) |
1,565 | 1,653 | |
| American
Axle & Manufacturing, Inc. 6.500%, 4/1/27(4) |
1,000 | 996 | |
| Clarios
Global LP 144A 8.500%, 5/15/27(1)(4) |
2,325 | 2,319 | |
| Goodyear
Tire & Rubber Co. (The) 5.250%, 7/15/31(4) |
2,325 | 2,116 | |
| 7,084 | |||
| Building Materials—2.1% | |||
| Builders
FirstSource, Inc. 144A 6.375%, 6/15/32(1) |
1,790 | 1,826 | |
| Griffon
Corp. 5.750%, 3/1/28(4) |
1,760 | 1,725 | |
| Summit
Materials LLC 144A 7.250%, 1/15/31(1) |
1,675 | 1,740 | |
| 5,291 | |||
| Chemicals—1.0% | |||
| Chemours
Co. (The) 144A 5.750%, 11/15/28(1)(4) |
1,815 | 1,712 | |
| Tronox,
Inc. 144A 4.625%, 3/15/29(1)(4) |
920 | 812 | |
| 2,524 | |||
| Commercial Services—1.8% | |||
| Avis
Budget Car Rental LLC 144A 8.000%, 2/15/31(1) |
2,075 | 2,070 | |
| Herc
Holdings, Inc. 144A 5.500%, 7/15/27(1) |
1,015 | 997 | |
| NESCO
Holdings II, Inc. 144A 5.500%, 4/15/29(1)(4) |
1,470 | 1,378 | |
| 4,445 | |||
| Computers—2.5% | |||
| McAfee
Corp. 144A 7.375%, 2/15/30(1) |
1,835 | 1,663 | |
| NCR
Voyix Corp. 144A 5.125%, 4/15/29(1) |
1,815 | 1,698 | |
| Seagate
HDD Cayman 144A 8.500%, 7/15/31(1)(4) |
2,525 | 2,743 | |
| 6,104 | |||
| Par Value | Value | ||
| Containers & Packaging—1.4% | |||
| Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(1)(4) |
$ 1,310 | $ 1,324 | |
| Owens-Brockway
Glass Container, Inc. 144A 7.250%, 5/15/31(1)(4) |
1,220 | 1,226 | |
| Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(1) |
840 | 820 | |
| 3,370 | |||
| Diversified REITS—1.5% | |||
| Iron Mountain, Inc. | |||
| 144A 7.000%, 2/15/29(1) | 1,680 | 1,723 | |
| 144A 5.250%, 7/15/30(1)(4) | 2,180 | 2,056 | |
| 3,779 | |||
| Electric Utilities—0.5% | |||
| PG&E
Corp. 5.250%, 7/1/30(4) |
1,320 | 1,261 | |
| Electronic Equipment, Instruments & Components—0.8% | |||
| WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(4) |
1,980 | 2,034 | |
| Electronics—0.4% | |||
| Coherent
Corp. 144A 5.000%, 12/15/29(1) |
975 | 913 | |
| Entertainment—4.4% | |||
| Caesars Entertainment, Inc. | |||
| 144A 8.125%, 7/1/27(1)(4) | 3,025 | 3,105 | |
| 144A 7.000%, 2/15/30(1)(4) | 880 | 904 | |
| Churchill
Downs, Inc. 144A 5.750%, 4/1/30(1) |
885 | 856 | |
| Light
& Wonder International, Inc. 144A 7.000%, 5/15/28(1)(4) |
1,600 | 1,598 | |
| Lions
Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(4) |
2,105 | 1,601 | |
| Live
Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1)(4) |
1,495 | 1,510 | |
| SeaWorld
Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) |
1,525 | 1,420 | |
| 10,994 | |||
| Environmental Services—0.9% | |||
| GFL
Environmental, Inc. 144A 6.750%, 1/15/31(1) |
2,120 | 2,168 | |
| Financial Services—3.8% | |||
| Nationstar Mortgage Holdings, Inc. | |||
| 144A 5.500%, 8/15/28(1) | 1,080 | 1,026 | |
| 144A 7.125%, 2/1/32(1) | 1,695 | 1,681 | |
| Navient Corp. | |||
| 6.750%, 6/15/26 | 1,700 | 1,708 | |
| 9.375%, 7/25/30 | 845 | 881 | |
| OneMain
Finance Corp. 9.000%, 1/15/29 |
1,560 | 1,643 | |
| PennyMac
Financial Services, Inc. 144A 7.875%, 12/15/29(1) |
1,685 | 1,735 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| PRA
Group, Inc. 144A 8.375%, 2/1/28(1)(4) |
$ 875 | $ 833 | |
| 9,507 | |||
| Food & Beverage—1.0% | |||
| Performance
Food Group, Inc. 144A 5.500%, 10/15/27(1)(4) |
1,060 | 1,034 | |
| Post
Holdings, Inc. 144A 5.500%, 12/15/29(1) |
1,535 | 1,484 | |
| 2,518 | |||
| Healthcare-Products—0.9% | |||
| Medline
Borrower LP 144A 5.250%, 10/1/29(1) |
2,375 | 2,215 | |
| Healthcare-Services—1.9% | |||
| Select
Medical Corp. 144A 6.250%, 8/15/26(1)(4) |
1,265 | 1,265 | |
| Tenet
Healthcare Corp. 6.125%, 10/1/28(4) |
3,490 | 3,477 | |
| 4,742 | |||
| Hotel & Resort REITs—1.2% | |||
| Park
Intermediate Holdings LLC 144A 5.875%, 10/1/28(1)(4) |
1,035 | 1,006 | |
| Service
Properties Trust 7.500%, 9/15/25 |
2,045 | 2,076 | |
| 3,082 | |||
| Housewares—0.5% | |||
| Newell
Brands, Inc. 6.625%, 9/15/29(4) |
1,270 | 1,231 | |
| Internet—1.4% | |||
| Gen
Digital, Inc. 144A 7.125%, 9/30/30(1)(4) |
2,100 | 2,179 | |
| Uber
Technologies, Inc. 144A 7.500%, 9/15/27(1) |
1,210 | 1,236 | |
| 3,415 | |||
| Investment Companies—0.9% | |||
| Compass
Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(4) |
2,230 | 2,124 | |
| Iron & Steel—0.3% | |||
| Cleveland-Cliffs,
Inc. 144A 6.750%, 3/15/26(1)(4) |
825 | 827 | |
| Leisure Time—2.1% | |||
| Carnival
Corp. 144A 10.500%, 6/1/30(1) |
1,580 | 1,735 | |
| NCL
Corp., Ltd. 144A 8.375%, 2/1/28(1) |
1,320 | 1,386 | |
| Par Value | Value | ||
| Leisure Time—continued | |||
| Royal
Caribbean Cruises Ltd. 144A 11.625%, 8/15/27(1) |
$ 1,975 | $ 2,148 | |
| 5,269 | |||
| Lodging—0.3% | |||
| Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1)(4) |
905 | 836 | |
| Machinery-Construction & Mining—0.4% | |||
| Terex
Corp. 144A 5.000%, 5/15/29(1) |
935 | 884 | |
| Machinery-Diversified—0.7% | |||
| Chart
Industries, Inc. 144A 7.500%, 1/1/30(1)(4) |
1,730 | 1,776 | |
| Media—6.1% | |||
| CCO Holdings LLC | |||
| 144A 6.375%, 9/1/29(1)(4) | 1,770 | 1,723 | |
| 144A 7.375%, 3/1/31(1)(4) | 2,210 | 2,234 | |
| DirecTV
Financing LLC 144A 5.875%, 8/15/27(1)(4) |
1,750 | 1,664 | |
| DISH
Network Corp. 144A 11.750%, 11/15/27(1)(4) |
800 | 835 | |
| Gray
Television, Inc. 144A 7.000%, 5/15/27(1)(4) |
2,245 | 2,195 | |
| Nexstar
Media, Inc. 144A 5.625%, 7/15/27(1)(4) |
1,640 | 1,597 | |
| Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(4) |
1,880 | 1,707 | |
| TEGNA,
Inc. 5.000%, 9/15/29(4) |
1,095 | 1,011 | |
| Virgin
Media Secured Finance plc 144A 5.500%, 5/15/29(1)(4) |
2,225 | 2,140 | |
| 15,106 | |||
| Mining—1.1% | |||
| Arsenal
AIC Parent LLC 144A 8.000%, 10/1/30(1)(4) |
840 | 876 | |
| Hudbay
Minerals, Inc. 144A 6.125%, 4/1/29(1)(4) |
1,785 | 1,762 | |
| 2,638 | |||
| Oil, Gas & Consumable Fuels—5.7% | |||
| Antero
Resources Corp. 144A 7.625%, 2/1/29(1) |
815 | 839 | |
| Callon
Petroleum Co. 144A 8.000%, 8/1/28(1) |
1,530 | 1,582 | |
| CITGO
Petroleum Corp. 144A 8.375%, 1/15/29(1) |
1,240 | 1,288 | |
| Civitas
Resources, Inc. 144A 8.750%, 7/1/31(1)(4) |
2,050 | 2,179 | |
| CNX
Resources Corp. 144A 7.375%, 1/15/31(1)(4) |
1,715 | 1,742 | |
| Northern
Oil & Gas, Inc. 144A 8.750%, 6/15/31(1) |
1,195 | 1,249 | |
| SM
Energy Co. 6.500%, 7/15/28(4) |
1,725 | 1,725 | |
| Par Value | Value | ||
| Oil, Gas & Consumable Fuels—continued | |||
| USA
Compression Partners LP 6.875%, 9/1/27(4) |
$ 1,750 | $ 1,749 | |
| Weatherford
International Ltd. 144A 8.625%, 4/30/30(1) |
1,770 | 1,809 | |
| 14,162 | |||
| Paper & Forest Products—0.4% | |||
| Mercer
International, Inc. 144A 5.125%, 2/1/29(1) |
1,135 | 974 | |
| Personal Care Product—0.2% | |||
| Coty,
Inc. 144A 6.500%, 4/15/26(1) |
534 | 533 | |
| Pharmaceuticals—0.3% | |||
| Jazz
Securities DAC 144A 4.375%, 1/15/29(1) |
905 | 835 | |
| Pipelines—1.9% | |||
| Antero
Midstream Partners LP 144A 5.375%, 6/15/29(1) |
1,090 | 1,046 | |
| NGL Energy Operating LLC | |||
| 144A 7.500%, 2/1/26(1) | 1,665 | 1,695 | |
| 144A 8.375%, 2/15/32(1) | 1,260 | 1,269 | |
| NuStar
Logistics LP 6.375%, 10/1/30(4) |
585 | 588 | |
| 4,598 | |||
| Real Estate—0.5% | |||
| Kennedy-Wilson,
Inc. 5.000%, 3/1/31(4) |
1,545 | 1,232 | |
| Retail—1.6% | |||
| Bath
& Body Works, Inc. 144A 6.625%, 10/1/30(1)(4) |
855 | 866 | |
| Beacon
Roofing Supply, Inc. 144A 6.500%, 8/1/30(1)(4) |
1,700 | 1,725 | |
| New
Red Finance, Inc. 144A 4.000%, 10/15/30(1) |
1,640 | 1,466 | |
| 4,057 | |||
| Semiconductors—1.0% | |||
| Amkor
Technology, Inc. 144A 6.625%, 9/15/27(1) |
850 | 856 | |
| Entegris,
Inc. 144A 5.950%, 6/15/30(1)(4) |
1,720 | 1,699 | |
| 2,555 | |||
| Software—1.6% | |||
| Central
Parent LLC 144A 8.000%, 6/15/29(1)(4) |
1,220 | 1,252 | |
| Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(1)(4) |
1,485 | 1,386 | |
| UKG,
Inc. 144A 6.875%, 2/1/31(1) |
1,235 | 1,249 | |
| 3,887 | |||
| Par Value | Value | ||
| Telecommunications—1.4% | |||
| Frontier
Communications Holdings LLC 144A 8.750%, 5/15/30(1)(4) |
$ 2,050 | $ 2,100 | |
| Hughes
Satellite Systems Corp. 6.625%, 8/1/26(4) |
1,895 | 1,296 | |
| 3,396 | |||
| Transportation—2.1% | |||
| Fortress Transportation & Infrastructure Investors LLC | |||
| 144A 9.750%, 8/1/27(1) | 1,130 | 1,172 | |
| 144A 7.875%, 12/1/30(1)(4) | 1,640 | 1,730 | |
| XPO,
Inc. 144A 7.125%, 6/1/31(1) |
2,280 | 2,335 | |
| 5,237 | |||
| Total
Corporate Bonds and Notes (Identified Cost $157,518) |
157,918 | ||
| Shares | ||
| Convertible Preferred Stocks—6.4% | ||
| Banks—3.2% | ||
| Wells Fargo & Co. Series L, 7.500% | 6,615 | 8,004 |
| Electric Utilities—0.6% | ||
| NextEra Energy, Inc., 6.926%(4) | 42,135 | 1,568 |
| Financial Services—1.1% | ||
| Apollo Global Management, Inc., 6.750% | 45,165 | 2,638 |
| Healthcare Providers & Services—0.2% | ||
| BrightSpring Health Services, Inc., 6.750% | 11,655 | 531 |
| Machinery—1.3% | ||
| Chart Industries, Inc. Series B, 6.750% | 18,325 | 913 |
| RBC Bearings, Inc. Series A, 5.000% | 18,905 | 2,326 |
| 3,239 | ||
| Total
Convertible Preferred Stocks (Identified Cost $11,537) |
15,980 | |
| Preferred Stock—0.2% | ||
| Entertainment—0.2% | ||
| LiveStyle, Inc. Series B (3)(5)(6) | 4,196 | 420 |
| Total
Preferred Stock (Identified Cost $411) |
420 | |
| Common Stocks—0.0% | ||
| Banks—0.0% | ||
| CCF Holdings LLC (3)(5) | 6,367,079 | — |
| CCF Holdings LLC Class M(3)(5) | 879,959 | — |
| — | ||
| Consumer Finance—0.0% | ||
| Erickson, Inc.(3)(5) | 6,354 | 97 |
| Shares | Value | ||
| Entertainment—0.0% | |||
| LiveStyle, Inc. (3)(5)(6) | 90,407 | $ — | |
| Total
Common Stocks (Identified Cost $22,668) |
97 | ||
| Warrants—0.0% | |||
| Banks—0.0% | |||
| CCF Holdings LLC, 4/1/24(3)(5) | 1,455,681 | — | |
| Media—0.0% | |||
| Tenerity, Inc., 4/1/24(3)(5)(6) | 12,009 | — | |
| Total
Warrants (Identified Cost $2,371) |
— | ||
| Total
Long-Term Investments—159.5% (Identified Cost $402,900) |
396,842 | ||
| Short-Term Investment—0.0% | |||
| Money Market Mutual Fund—0.0% | |||
| BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.216%)(7) | 53,055 | 53 | |
| Total
Short-Term Investment (Identified Cost $53) |
53 | ||
| Securities Lending Collateral—3.5% | |||
| Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.219%)(7)(8) | 8,704,322 | 8,704 | |
| Total
Securities Lending Collateral (Identified Cost $8,704) |
8,704 | ||
| TOTAL
INVESTMENTS—163.0% (Identified Cost $411,657) |
$ 405,599 | ||
| Other assets and liabilities, net—(19.2)% | (47,750) | ||
| Cumulative Preferred Shares—(43.8)% | (109,000) | ||
| NET ASSETS—100.0% | $ 248,849 | ||
| Abbreviations: | |
| DAC | Designated Activity Company |
| EV | Enterprise Value |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| OP | Operating Partnership |
| 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, 2024, these securities amounted to a value of $201,788 or 81.1% of net assets. |
| (2) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (3) | 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. |
| (4) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
| (5) | Non-income producing. |
| (6) | Security is restricted from resale. |
| (7) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| (8) | Represents security purchased with cash collateral received for securities on loan. |
| Country Weightings (Unaudited)† | |
| United States | 89% |
| Canada | 2 |
| Cayman Islands | 2 |
| Bermuda | 2 |
| Liberia | 2 |
| United Kingdom | 1 |
| Panama | 1 |
| Other | 1 |
| Total | 100% |
| † % of total investments as of January 31, 2024. | |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $222,427 | $ — | $220,037 | $2,390 | |||
| Corporate Bonds and Notes | 157,918 | — | 157,918 | — | |||
| Equity Securities: | |||||||
| Convertible Preferred Stocks | 15,980 | 15,980 | — | — | |||
| Preferred Stock | 420 | — | — | 420 | |||
| Common Stocks | 97 | — | — | 97 (1) | |||
| Warrants | — | — | — | — (1) | |||
| Money Market Mutual Fund | 53 | 53 | — | — | |||
| Securities Lending Collateral | 8,704 | 8,704 | — | — | |||
| Total Investments | $405,599 | $24,737 | $377,955 | $2,907 |
| (1) | Includes internally fair valued securities currently priced at zero ($0). |
| Total | Convertible
Bonds and Notes |
Preferred
Stock |
Common
Stocks |
Warrants | Equity-Linked
Note | ||||||
| Investments in Securities | |||||||||||
| Balance as of January 31, 2023: | $ 10,902 | $ — | $ 925 | $ 4,647 | $ 553 (a) | $ 4,777 | |||||
| Accrued discount/(premium) | 2 | — | — | — | — | 2 | |||||
| Net realized gain (loss) | (595) | — | 16 | — | — | (611) | |||||
| Net change in unrealized appreciation (depreciation)(b) | (4,957) | (50) | 289 | (4,550) | (553) | (93) | |||||
| Purchases | 3,551 | 2,440 | — | — | — | 1,111 | |||||
| Sales (c) | (5,996) | — | (810) | — | — | (5,186) | |||||
| Balance as of January 31, 2024 | $ 2,907 | $ 2,390 | $ 420 | $ 97(a) | $ — (a) | $ — |
| Investments
in Securities – Assets |
Ending
Balance at January 31, 2024 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
| Preferred Stock: | ||||||||
| LiveStyle, Inc. Series B | $420 | Discounted
cash flows liquidation approach |
Discount rate | 23.84% (23.63% - 24.06%) | ||||
| Common Stock: | ||||||||
| Erickson, Inc. | $ 97 | Market and Company Comparables | EV Multiples | 1.28x (0.57x - 3.33x) | ||||
| 12.42x (10.07x - 15.10x) | ||||||||
| 0.95x (0.50x - 2.13x) | ||||||||
| M&A Transaction Multiples | 1.13x (0.62x - 1.74x) | |||||||
| Illiquidity Discount | 20% | |||||||
| Par Value | Value | ||
| Convertible Bonds and Notes—82.8% | |||
| Aerospace & Defense—0.2% | |||
| Spirit
AeroSystems, Inc. 144A 3.250%, 11/1/28(1) |
$ 400 | $ 473 | |
| Auto Manufacturers—1.4% | |||
| Ford
Motor Co. 0.000%, 3/15/26(2) |
995 | 970 | |
| Lucid
Group, Inc. 144A 1.250%, 12/15/26(1)(2) |
795 | 315 | |
| Rivian Automotive, Inc. | |||
| 144A 4.625%, 3/15/29(1)(2) | 655 | 697 | |
| 144A 3.625%, 10/15/30(1)(2) | 1,130 | 1,037 | |
| 3,019 | |||
| Banks—2.8% | |||
| Barclays
Bank plc 0.000%, 2/18/25(2) |
1,715 | 1,903 | |
| BofA
Finance LLC 0.600%, 5/25/27(2) |
1,905 | 2,237 | |
| Morgan
Stanley Finance LLC 1.500%, 1/28/27(3) |
1,760 | 1,925 | |
| 6,065 | |||
| Biotechnology—3.1% | |||
| Alnylam
Pharmaceuticals, Inc. 1.000%, 9/15/27 |
535 | 514 | |
| Bridgebio Pharma, Inc. | |||
| 2.500%, 3/15/27(2) | 1,520 | 1,694 | |
| 2.250%, 2/1/29(2) | 740 | 610 | |
| Cytokinetics,
Inc. 3.500%, 7/1/27 |
460 | 788 | |
| Immunocore
Holdings plc 144A 2.500%, 2/1/30(1) |
525 | 564 | |
| Insmed, Inc. | |||
| 1.750%, 1/15/25(2) | 1,200 | 1,277 | |
| 0.750%, 6/1/28(2) | 700 | 759 | |
| Sarepta
Therapeutics, Inc. 1.250%, 9/15/27 |
530 | 596 | |
| 6,802 | |||
| Commercial Services—6.0% | |||
| Affirm
Holdings, Inc. 0.000%, 11/15/26(2)(4) |
4,820 | 3,817 | |
| Block,
Inc. 0.125%, 3/1/25(2) |
4,465 | 4,292 | |
| Repay
Holdings Corp. 144A 0.000%, 2/1/26(1)(2)(4) |
2,120 | 1,794 | |
| Shift4
Payments, Inc. 0.500%, 8/1/27(2) |
2,210 | 2,049 | |
| Stride,
Inc. 1.125%, 9/1/27(2) |
850 | 1,088 | |
| 13,040 | |||
| Computers—6.0% | |||
| CyberArk
Software Ltd. 0.000%, 11/15/24(2) |
1,220 | 1,835 | |
| Lumentum
Holdings, Inc. 0.250%, 3/15/24(2) |
1,305 | 1,298 | |
| Par Value | Value | ||
| Computers—continued | |||
| Parsons
Corp. 0.250%, 8/15/25(2) |
$ 1,025 | $ 1,517 | |
| Seagate
HDD Cayman 144A 3.500%, 6/1/28(1)(2) |
1,415 | 1,701 | |
| Varonis
Systems, Inc. 1.250%, 8/15/25(2) |
700 | 1,060 | |
| Western
Digital Corp. 144A 3.000%, 11/15/28(1) |
2,245 | 2,912 | |
| Zscaler,
Inc. 0.125%, 7/1/25(2) |
1,680 | 2,685 | |
| 13,008 | |||
| Electric Utilities—3.4% | |||
| PG&E
Corp. 144A 4.250%, 12/1/27(1) |
2,835 | 2,885 | |
| Southern
Co. (The) 144A 3.875%, 12/15/25(1)(2) |
4,415 | 4,395 | |
| 7,280 | |||
| Energy-Alternate Sources—1.0% | |||
| Plug
Power, Inc. 3.750%, 6/1/25 |
365 | 393 | |
| Sunnova
Energy International, Inc. 2.625%, 2/15/28(2) |
3,465 | 1,776 | |
| 2,169 | |||
| Engineering & Construction—2.2% | |||
| Fluor
Corp. 144A 1.125%, 8/15/29(1)(2) |
3,045 | 3,211 | |
| Granite
Construction, Inc. 144A 3.750%, 5/15/28(1)(2) |
1,345 | 1,581 | |
| 4,792 | |||
| Entertainment—4.7% | |||
| DraftKings
Holdings, Inc. 0.000%, 3/15/28(2)(4) |
3,985 | 3,327 | |
| IMAX
Corp. 0.500%, 4/1/26(2) |
1,675 | 1,483 | |
| Live Nation Entertainment, Inc. | |||
| 2.000%, 2/15/25(2) | 2,855 | 2,991 | |
| 3.125%, 1/15/29(2) | 1,215 | 1,337 | |
| Penn
Entertainment, Inc. 2.750%, 5/15/26(2) |
845 | 997 | |
| 10,135 | |||
| Environmental Services—0.9% | |||
| Tetra
Tech, Inc. 144A 2.250%, 8/15/28(1)(2) |
1,885 | 1,916 | |
| Equity Real Estate Investment Trusts (REITs)—0.4% | |||
| Federal
Realty OP LP 144A 3.250%, 1/15/29(1) |
805 | 797 | |
| Financial Services—1.2% | |||
| Bread
Financial Holdings, Inc. 144A 4.250%, 6/15/28(1) |
485 | 547 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| Encore
Capital Group, Inc. 144A 4.000%, 3/15/29(1)(2) |
$ 2,120 | $ 2,065 | |
| 2,612 | |||
| Health Care REITs—2.0% | |||
| Welltower
OP LLC 144A 2.750%, 5/15/28(1)(2) |
3,965 | 4,275 | |
| Healthcare-Products—5.4% | |||
| Alphatec
Holdings, Inc. 0.750%, 8/1/26(2) |
2,000 | 2,182 | |
| Exact
Sciences Corp. 0.375%, 3/15/27(2) |
860 | 795 | |
| Integer
Holdings Corp. 144A 2.125%, 2/15/28(1)(2) |
1,660 | 2,156 | |
| Merit
Medical Systems, Inc. 144A 3.000%, 2/1/29(1) |
1,950 | 2,186 | |
| Natera,
Inc. 2.250%, 5/1/27(2) |
845 | 1,512 | |
| Repligen
Corp. 144A 1.000%, 12/15/28(1) |
1,175 | 1,360 | |
| TransMedics
Group, Inc. 144A 1.500%, 6/1/28(1) |
1,270 | 1,508 | |
| 11,699 | |||
| Insurance—0.5% | |||
| HCI
Group, Inc. 4.750%, 6/1/42 |
775 | 976 | |
| Internet—11.9% | |||
| Booking
Holdings, Inc. 0.750%, 5/1/25(2) |
1,350 | 2,525 | |
| Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1)(2) |
1,025 | 910 | |
| Palo
Alto Networks, Inc. 0.375%, 6/1/25(2) |
1,640 | 5,576 | |
| PDD
Holdings, Inc. 0.000%, 12/1/25 |
1,780 | 1,742 | |
| Snap,
Inc. 0.750%, 8/1/26 |
1,970 | 2,060 | |
| Uber Technologies, Inc. | |||
| 0.000%, 12/15/25(4) | 2,655 | 2,746 | |
| Series
2028 144A 0.875%, 12/1/28(1) |
2,145 | 2,390 | |
| Wayfair, Inc. | |||
| 1.125%, 11/1/24(2) | 1,480 | 1,409 | |
| 1.000%, 8/15/26(2) | 1,910 | 1,643 | |
| 3.250%, 9/15/27(2) | 1,470 | 1,609 | |
| Zillow Group, Inc. | |||
| 2.750%, 5/15/25 | 1,900 | 2,073 | |
| 1.375%, 9/1/26 | 710 | 966 | |
| 25,649 | |||
| Iron & Steel—0.5% | |||
| ATI,
Inc. 3.500%, 6/15/25 |
380 | 1,014 | |
| Par Value | Value | ||
| Leisure Time—3.7% | |||
| Carnival
Corp. 5.750%, 12/1/27 |
$ 540 | $ 820 | |
| NCL
Corp., Ltd. 1.125%, 2/15/27(2) |
3,615 | 3,206 | |
| Royal
Caribbean Cruises Ltd. 6.000%, 8/15/25(2) |
1,480 | 3,864 | |
| 7,890 | |||
| Media—2.3% | |||
| DISH
Network Corp. 0.000%, 12/15/25(2) |
1,035 | 736 | |
| Liberty
Broadband Corp. 144A 3.125%, 3/31/53(1)(2) |
1,500 | 1,474 | |
| Liberty
Media Corp. 144A 3.750%, 3/15/28(1)(2) |
1,345 | 1,665 | |
| Liberty
Media Corp.-Liberty Formula One 2.250%, 8/15/27(2) |
1,005 | 1,057 | |
| 4,932 | |||
| Metal Fabricate/Hardware—0.3% | |||
| Xometry,
Inc. 1.000%, 2/1/27 |
695 | 627 | |
| Miscellaneous Manufacturing—1.1% | |||
| Axon
Enterprise, Inc. 0.500%, 12/15/27(2) |
1,990 | 2,439 | |
| Oil, Gas & Consumable Fuels—0.9% | |||
| Northern
Oil & Gas, Inc. 3.625%, 4/15/29(2) |
860 | 952 | |
| Pioneer
Natural Resources Co. 0.250%, 5/15/25(2) |
395 | 980 | |
| 1,932 | |||
| Passenger Airlines—0.9% | |||
| American
Airlines Group, Inc. 6.500%, 7/1/25(2) |
1,775 | 1,997 | |
| Pharmaceuticals—2.3% | |||
| Amphastar
Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1)(2) |
1,405 | 1,564 | |
| Dexcom,
Inc. 144A 0.375%, 5/15/28(1) |
2,395 | 2,406 | |
| Mirum
Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1)(2) |
445 | 508 | |
| Neurocrine
Biosciences, Inc. 2.250%, 5/15/24 |
265 | 483 | |
| 4,961 | |||
| Retail—1.7% | |||
| Burlington
Stores, Inc. 144A 1.250%, 12/15/27(1) |
1,750 | 1,990 | |
| Freshpet,
Inc. 144A 3.000%, 4/1/28(1)(2) |
1,130 | 1,609 | |
| 3,599 | |||
| Par Value | Value | ||
| Semiconductors—3.4% | |||
| Impinj,
Inc. 1.125%, 5/15/27 |
$ 545 | $ 623 | |
| MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(2) |
1,355 | 1,594 | |
| ON
Semiconductor Corp. 144A 0.500%, 3/1/29(1)(2) |
1,900 | 1,842 | |
| Semtech
Corp. 1.625%, 11/1/27 |
590 | 480 | |
| SMART
Global Holdings, Inc. 2.000%, 2/1/29 |
820 | 919 | |
| Veeco
Instruments, Inc. 144A 2.875%, 6/1/29(1)(2) |
765 | 997 | |
| Wolfspeed,
Inc. 0.250%, 2/15/28(2) |
1,665 | 986 | |
| 7,441 | |||
| Software—12.6% | |||
| Akamai
Technologies, Inc. 0.125%, 5/1/25(2) |
3,120 | 4,106 | |
| Bentley
Systems, Inc. 0.125%, 1/15/26(2) |
2,050 | 2,008 | |
| BILL
Holdings, Inc. 0.000%, 12/1/25(2) |
1,450 | 1,356 | |
| Cloudflare,
Inc. 0.000%, 8/15/26(4) |
1,845 | 1,645 | |
| Confluent,
Inc. 0.000%, 1/15/27(2)(4) |
2,350 | 1,952 | |
| Datadog,
Inc. 0.125%, 6/15/25 |
1,490 | 2,109 | |
| Evolent
Health, Inc. 144A 3.500%, 12/1/29(1) |
750 | 819 | |
| Five9,
Inc. 0.500%, 6/1/25 |
2,005 | 1,915 | |
| Guidewire
Software, Inc. 1.250%, 3/15/25 |
735 | 820 | |
| HubSpot,
Inc. 0.375%, 6/1/25(2) |
715 | 1,558 | |
| MicroStrategy,
Inc. 0.750%, 12/15/25(2) |
1,015 | 1,428 | |
| MongoDB,
Inc. 0.250%, 1/15/26(2) |
1,120 | 2,163 | |
| Nutanix,
Inc. 0.250%, 10/1/27(2) |
1,695 | 1,935 | |
| Tyler
Technologies, Inc. 0.250%, 3/15/26(2) |
3,255 | 3,273 | |
| Workiva,
Inc. 144A 1.250%, 8/15/28(1)(2) |
230 | 221 | |
| 27,308 | |||
| Total
Convertible Bonds and Notes (Identified Cost $172,891) |
178,847 | ||
| Corporate Bonds and Notes—18.5% | |||
| Aerospace & Defense—1.0% | |||
| Bombardier,
Inc. 144A 7.500%, 2/1/29(1)(2) |
525 | 535 | |
| Spirit
AeroSystems, Inc. 144A 9.750%, 11/15/30(1) |
325 | 341 | |
| Par Value | Value | ||
| Aerospace & Defense—continued | |||
| TransDigm,
Inc. 144A 7.125%, 12/1/31(1) |
$ 875 | $ 912 | |
| Triumph
Group, Inc. 144A 9.000%, 3/15/28(1)(2) |
310 | 327 | |
| 2,115 | |||
| Auto Manufacturers—0.3% | |||
| Ford
Motor Co. 9.625%, 4/22/30(2) |
460 | 539 | |
| Automotive Parts & Equipment—1.0% | |||
| Adient
Global Holdings Ltd. 144A 8.250%, 4/15/31(1)(2) |
400 | 423 | |
| American
Axle & Manufacturing, Inc. 6.500%, 4/1/27(2) |
250 | 249 | |
| Clarios
Global LP 144A 8.500%, 5/15/27(1)(2) |
645 | 643 | |
| Goodyear Tire & Rubber Co. (The) | |||
| 5.250%, 4/30/31(2) | 265 | 241 | |
| 5.250%, 7/15/31(2) | 700 | 637 | |
| 2,193 | |||
| Building Materials—0.5% | |||
| Builders
FirstSource, Inc. 144A 6.375%, 6/15/32(1)(2) |
245 | 250 | |
| Griffon
Corp. 5.750%, 3/1/28(2) |
455 | 446 | |
| Summit
Materials LLC 144A 7.250%, 1/15/31(1) |
425 | 441 | |
| 1,137 | |||
| Chemicals—0.2% | |||
| Chemours
Co. (The) 144A 5.750%, 11/15/28(1)(2) |
350 | 330 | |
| Tronox,
Inc. 144A 4.625%, 3/15/29(1) |
230 | 203 | |
| 533 | |||
| Commercial Services—0.5% | |||
| Avis
Budget Car Rental LLC 144A 8.000%, 2/15/31(1) |
525 | 524 | |
| Herc
Holdings, Inc. 144A 5.500%, 7/15/27(1)(2) |
320 | 314 | |
| NESCO
Holdings II, Inc. 144A 5.500%, 4/15/29(1)(2) |
360 | 338 | |
| 1,176 | |||
| Computers—0.7% | |||
| McAfee
Corp. 144A 7.375%, 2/15/30(1)(2) |
460 | 417 | |
| NCR
Voyix Corp. 144A 5.125%, 4/15/29(1)(2) |
330 | 309 | |
| Seagate
HDD Cayman 144A 8.500%, 7/15/31(1)(2) |
655 | 711 | |
| 1,437 | |||
| Par Value | Value | ||
| Containers & Packaging—0.4% | |||
| Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(1)(2) |
$ 340 | $ 343 | |
| Owens-Brockway
Glass Container, Inc. 144A 7.250%, 5/15/31(1)(2) |
315 | 317 | |
| Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(1)(2) |
215 | 210 | |
| 870 | |||
| Diversified REITS—0.3% | |||
| Iron Mountain, Inc. | |||
| 144A 7.000%, 2/15/29(1)(2) | 320 | 328 | |
| 144A 5.250%, 7/15/30(1)(2) | 425 | 401 | |
| 729 | |||
| Electric Utilities—0.1% | |||
| PG&E
Corp. 5.250%, 7/1/30(2) |
230 | 220 | |
| Electronic Equipment, Instruments & Components—0.2% | |||
| WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) |
500 | 514 | |
| Electronics—0.2% | |||
| Coherent
Corp. 144A 5.000%, 12/15/29(1)(2) |
400 | 374 | |
| Entertainment—1.3% | |||
| Caesars Entertainment, Inc. | |||
| 144A 8.125%, 7/1/27(1)(2) | 785 | 806 | |
| 144A 7.000%, 2/15/30(1)(2) | 230 | 236 | |
| Churchill
Downs, Inc. 144A 5.750%, 4/1/30(1)(2) |
230 | 222 | |
| Light
& Wonder International, Inc. 144A 7.000%, 5/15/28(1)(2) |
405 | 405 | |
| Lions
Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) |
410 | 312 | |
| Live
Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1)(2) |
425 | 429 | |
| SeaWorld
Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) |
390 | 363 | |
| 2,773 | |||
| Environmental Services—0.3% | |||
| GFL
Environmental, Inc. 144A 6.750%, 1/15/31(1) |
535 | 547 | |
| Financial Services—1.1% | |||
| Nationstar Mortgage Holdings, Inc. | |||
| 144A 5.500%, 8/15/28(1)(2) | 290 | 275 | |
| 144A 7.125%, 2/1/32(1) | 425 | 422 | |
| Navient Corp. | |||
| 6.750%, 6/15/26(2) | 375 | 377 | |
| 9.375%, 7/25/30(2) | 220 | 229 | |
| OneMain
Finance Corp. 9.000%, 1/15/29(2) |
440 | 463 | |
| PennyMac
Financial Services, Inc. 144A 7.875%, 12/15/29(1) |
425 | 438 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| PRA
Group, Inc. 144A 8.375%, 2/1/28(1)(2) |
$ 220 | $ 210 | |
| 2,414 | |||
| Food & Beverage—0.2% | |||
| Post
Holdings, Inc. 144A 5.500%, 12/15/29(1)(2) |
450 | 435 | |
| Healthcare-Products—0.3% | |||
| Medline
Borrower LP 144A 5.250%, 10/1/29(1)(2) |
605 | 564 | |
| Healthcare-Services—0.6% | |||
| Select
Medical Corp. 144A 6.250%, 8/15/26(1)(2) |
345 | 345 | |
| Tenet
Healthcare Corp. 6.125%, 10/1/28(2) |
905 | 902 | |
| 1,247 | |||
| Hotel & Resort REITs—0.4% | |||
| Park
Intermediate Holdings LLC 144A 5.875%, 10/1/28(1)(2) |
260 | 253 | |
| Service
Properties Trust 7.500%, 9/15/25(2) |
520 | 528 | |
| 781 | |||
| Housewares—0.2% | |||
| Newell
Brands, Inc. 6.625%, 9/15/29(2) |
340 | 330 | |
| Internet—0.4% | |||
| Gen
Digital, Inc. 144A 7.125%, 9/30/30(1)(2) |
550 | 571 | |
| Uber
Technologies, Inc. 144A 7.500%, 9/15/27(1)(2) |
370 | 378 | |
| 949 | |||
| Investment Companies—0.2% | |||
| Compass
Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) |
565 | 538 | |
| Leisure Time—0.5% | |||
| Carnival
Corp. 144A 10.500%, 6/1/30(1)(2) |
405 | 445 | |
| NCL
Corp., Ltd. 144A 8.375%, 2/1/28(1)(2) |
340 | 357 | |
| Royal
Caribbean Cruises Ltd. 144A 11.625%, 8/15/27(1)(2) |
275 | 299 | |
| 1,101 | |||
| Lodging—0.1% | |||
| Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) |
230 | 212 | |
| Machinery-Construction & Mining—0.2% | |||
| Terex
Corp. 144A 5.000%, 5/15/29(1)(2) |
370 | 350 | |
| Par Value | Value | ||
| Machinery-Diversified—0.2% | |||
| Chart
Industries, Inc. 144A 7.500%, 1/1/30(1)(2) |
$ 455 | $ 467 | |
| Media—1.9% | |||
| CCO Holdings LLC | |||
| 144A 6.375%, 9/1/29(1)(2) | 475 | 463 | |
| 144A 7.375%, 3/1/31(1)(2) | 575 | 581 | |
| DirecTV
Financing LLC 144A 5.875%, 8/15/27(1)(2) |
440 | 418 | |
| DISH
Network Corp. 144A 11.750%, 11/15/27(1)(2) |
200 | 209 | |
| Gray Television, Inc. | |||
| 144A 7.000%, 5/15/27(1)(2) | 570 | 557 | |
| 144A 4.750%, 10/15/30(1)(2) | 295 | 231 | |
| Nexstar
Media, Inc. 144A 5.625%, 7/15/27(1)(2) |
445 | 433 | |
| Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) |
450 | 409 | |
| TEGNA,
Inc. 5.000%, 9/15/29(2) |
280 | 259 | |
| Virgin
Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) |
565 | 543 | |
| 4,103 | |||
| Mining—0.3% | |||
| Arsenal
AIC Parent LLC 144A 8.000%, 10/1/30(1)(2) |
215 | 224 | |
| Hudbay
Minerals, Inc. 144A 6.125%, 4/1/29(1)(2) |
465 | 459 | |
| 683 | |||
| Oil, Gas & Consumable Fuels—1.9% | |||
| Antero
Resources Corp. 144A 7.625%, 2/1/29(1)(2) |
213 | 219 | |
| Callon
Petroleum Co. 144A 8.000%, 8/1/28(1)(2) |
390 | 403 | |
| CITGO
Petroleum Corp. 144A 8.375%, 1/15/29(1)(2) |
530 | 551 | |
| Civitas
Resources, Inc. 144A 8.750%, 7/1/31(1)(2) |
525 | 558 | |
| CNX Resources Corp. | |||
| 144A 7.250%, 3/14/27(1)(2) | 255 | 256 | |
| 144A 7.375%, 1/15/31(1)(2) | 230 | 234 | |
| Northern
Oil & Gas, Inc. 144A 8.750%, 6/15/31(1)(2) |
305 | 319 | |
| SM
Energy Co. 6.500%, 7/15/28(2) |
530 | 530 | |
| USA
Compression Partners LP 6.875%, 9/1/27(2) |
415 | 415 | |
| Weatherford
International Ltd. 144A 8.625%, 4/30/30(1)(2) |
525 | 536 | |
| 4,021 | |||
| Paper & Forest Products—0.1% | |||
| Mercer
International, Inc. 144A 5.125%, 2/1/29(1)(2) |
300 | 257 | |
| Par Value | Value | ||
| Personal Care Product—0.1% | |||
| Coty,
Inc. 144A 6.500%, 4/15/26(1)(2) |
$ 138 | $ 138 | |
| Pharmaceuticals—0.1% | |||
| Jazz
Securities DAC 144A 4.375%, 1/15/29(1)(2) |
235 | 217 | |
| Pipelines—0.4% | |||
| Antero
Midstream Partners LP 144A 5.375%, 6/15/29(1)(2) |
290 | 279 | |
| NGL Energy Operating LLC | |||
| 144A 7.500%, 2/1/26(1)(2) | 290 | 295 | |
| 144A 8.375%, 2/15/32(1) | 320 | 322 | |
| 896 | |||
| Real Estate—0.1% | |||
| Kennedy-Wilson,
Inc. 5.000%, 3/1/31(2) |
395 | 315 | |
| Retail—0.5% | |||
| Bath
& Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) |
330 | 334 | |
| Beacon
Roofing Supply, Inc. 144A 6.500%, 8/1/30(1)(2) |
435 | 442 | |
| New
Red Finance, Inc. 144A 4.000%, 10/15/30(1)(2) |
300 | 268 | |
| 1,044 | |||
| Semiconductors—0.3% | |||
| Amkor
Technology, Inc. 144A 6.625%, 9/15/27(1)(2) |
225 | 226 | |
| Entegris,
Inc. 144A 5.950%, 6/15/30(1)(2) |
505 | 499 | |
| 725 | |||
| Software—0.4% | |||
| Central
Parent LLC 144A 8.000%, 6/15/29(1)(2) |
310 | 318 | |
| Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(1)(2) |
300 | 280 | |
| UKG,
Inc. 144A 6.875%, 2/1/31(1) |
310 | 314 | |
| 912 | |||
| Telecommunications—0.4% | |||
| Frontier
Communications Holdings LLC 144A 8.750%, 5/15/30(1)(2) |
525 | 538 | |
| Hughes
Satellite Systems Corp. 6.625%, 8/1/26(2) |
400 | 273 | |
| 811 | |||
| Transportation—0.6% | |||
| Fortress Transportation & Infrastructure Investors LLC | |||
| 144A 9.750%, 8/1/27(1)(2) | 290 | 301 | |
| 144A 7.875%, 12/1/30(1) | 415 | 438 | |
| Par Value | Value | ||
| Transportation—continued | |||
| XPO,
Inc. 144A 7.125%, 6/1/31(1)(2) |
$ 515 | $ 527 | |
| 1,266 | |||
| Total
Corporate Bonds and Notes (Identified Cost $40,123) |
39,933 | ||
| Shares | ||
| Convertible Preferred Stocks—5.9% | ||
| Banks—2.9% | ||
| Wells Fargo & Co. Series L, 7.500%(2) | 5,310 | 6,425 |
| Electric Utilities—0.6% | ||
| NextEra Energy, Inc., 6.926%(2) | 33,845 | 1,259 |
| Financial Services—1.0% | ||
| Apollo Global Management, Inc., 6.750%(2) | 36,280 | 2,120 |
| Healthcare Providers & Services—0.2% | ||
| BrightSpring Health Services, Inc., 6.750% | 9,385 | 428 |
| Machinery—1.2% | ||
| Chart Industries, Inc. Series B, 6.750%(2) | 14,760 | 735 |
| RBC Bearings, Inc. Series A, 5.000%(2) | 15,185 | 1,868 |
| 2,603 | ||
| Total
Convertible Preferred Stocks (Identified Cost $12,774) |
12,835 | |
| Preferred Stock—0.0% | ||
| Entertainment—0.0% | ||
| LiveStyle, Inc. Series B (3)(5)(6) | 630 | 63 |
| Total
Preferred Stock (Identified Cost $62) |
63 | |
| Common Stocks—38.2% | ||
| Aerospace & Defense—0.4% | ||
| RTX Corp. | 10,210 | 930 |
| Air Freight & Logistics—0.4% | ||
| FedEx Corp.(7) | 3,465 | 836 |
| Automobiles—0.7% | ||
| Tesla, Inc.(2)(5) | 8,388 | 1,571 |
| Banks—1.8% | ||
| Bank of America Corp. | 39,745 | 1,352 |
| CCF Holdings LLC (3)(5) | 1,026,972 | — |
| CCF Holdings LLC Class M(3)(5) | 219,990 | — |
| JPMorgan Chase & Co. | 6,365 | 1,110 |
| Wells Fargo & Co.(2) | 28,890 | 1,449 |
| 3,911 | ||
| Biotechnology—0.1% | ||
| Vertex Pharmaceuticals, Inc.(5) | 510 | 221 |
| Shares | Value | ||
| Broadline Retail—2.1% | |||
| Alibaba Group Holding Ltd. Sponsored ADR(7) | 4,155 | $ 300 | |
| Amazon.com, Inc.(2)(5) | 27,090 | 4,204 | |
| 4,504 | |||
| Capital Markets—0.8% | |||
| CME Group, Inc. Class A(2) | 3,965 | 816 | |
| Moody’s Corp. | 2,310 | 906 | |
| 1,722 | |||
| Chemicals—0.4% | |||
| Sherwin-Williams Co. (The) | 2,810 | 855 | |
| Communications Equipment—0.2% | |||
| Cisco Systems, Inc. | 9,230 | 463 | |
| Consumer Finance—0.4% | |||
| Capital One Financial Corp. | 6,130 | 830 | |
| Consumer Staples Distribution & Retail—0.5% | |||
| Costco Wholesale Corp. | 985 | 684 | |
| Target Corp.(2) | 2,480 | 345 | |
| 1,029 | |||
| Diversified Telecommunication Services—1.1% | |||
| Verizon Communications, Inc.(7) | 54,944 | 2,327 | |
| Electric Utilities—0.8% | |||
| Exelon Corp.(2) | 46,995 | 1,636 | |
| Electrical Equipment—0.5% | |||
| Eaton Corp. plc | 3,600 | 886 | |
| Generac Holdings, Inc.(2)(5) | 2,070 | 235 | |
| 1,121 | |||
| Entertainment—0.0% | |||
| LiveStyle, Inc. (3)(5)(6) | 13,574 | — | |
| Financial Services—1.9% | |||
| Global Payments, Inc. | 9,120 | 1,215 | |
| Mastercard, Inc. Class A | 6,535 | 2,936 | |
| 4,151 | |||
| Ground Transportation—1.2% | |||
| Union Pacific Corp. | 10,375 | 2,531 | |
| Healthcare Equipment & Supplies—1.1% | |||
| Abbott Laboratories(2) | 5,680 | 642 | |
| Align Technology, Inc.(5) | 1,357 | 363 | |
| Boston Scientific Corp.(5) | 21,340 | 1,350 | |
| 2,355 | |||
| Healthcare Providers & Services—0.9% | |||
| McKesson Corp. | 2,665 | 1,332 | |
| Shares | Value | ||
| Healthcare Providers & Services—continued | |||
| UnitedHealth Group, Inc. | 1,322 | $ 677 | |
| 2,009 | |||
| Hotels, Restaurants & Leisure—1.3% | |||
| Chipotle Mexican Grill, Inc. Class A(5) | 245 | 590 | |
| DoorDash, Inc. Class A(5) | 4,335 | 452 | |
| Las Vegas Sands Corp.(7) | 19,325 | 945 | |
| Starbucks Corp. | 10,005 | 931 | |
| 2,918 | |||
| Industrial Conglomerates—0.2% | |||
| General Electric Co. | 3,310 | 438 | |
| Insurance—0.6% | |||
| Allstate Corp. (The) | 7,860 | 1,220 | |
| Interactive Media & Services—2.9% | |||
| Alphabet, Inc. Class A(2)(5) | 33,840 | 4,741 | |
| Meta Platforms, Inc. Class A(5) | 3,685 | 1,438 | |
| 6,179 | |||
| IT Services—0.1% | |||
| EPAM Systems, Inc.(2)(5) | 857 | 238 | |
| Life Sciences Tools & Services—1.4% | |||
| Danaher Corp. | 3,680 | 883 | |
| IQVIA Holdings, Inc.(2)(5) | 4,935 | 1,027 | |
| Thermo Fisher Scientific, Inc. | 1,985 | 1,070 | |
| 2,980 | |||
| Oil, Gas & Consumable Fuels—0.8% | |||
| Chevron Corp. | 7,160 | 1,056 | |
| Devon Energy Corp.(2) | 18,670 | 784 | |
| 1,840 | |||
| Pharmaceuticals—0.6% | |||
| Eli Lilly & Co. | 2,120 | 1,369 | |
| Semiconductors & Semiconductor Equipment—3.5% | |||
| Advanced Micro Devices, Inc.(5) | 4,035 | 677 | |
| ASML Holding N.V. Registered Shares | 770 | 670 | |
| Marvell Technology, Inc. | 14,174 | 960 | |
| Micron Technology, Inc. | 13,670 | 1,172 | |
| NVIDIA Corp. | 5,394 | 3,319 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR(7) | 6,405 | 723 | |
| 7,521 | |||
| Software—6.3% | |||
| Adobe, Inc. (5) | 1,915 | 1,183 | |
| Crowdstrike Holdings, Inc. Class A(5) | 2,970 | 869 | |
| Datadog, Inc. Class A(5) | 6,410 | 798 | |
| Intuit, Inc. | 2,080 | 1,313 | |
| Microsoft Corp. | 13,976 | 5,556 | |
| Salesforce, Inc.(5) | 8,850 | 2,488 | |
| ServiceNow, Inc.(5) | 1,700 | 1,301 | |
| Shares | Value | ||
| Software—continued | |||
| Synopsys, Inc.(5) | 425 | $ 227 | |
| 13,735 | |||
| Specialized REITs—0.6% | |||
| American Tower Corp.(2) | 6,695 | 1,310 | |
| Specialty Retail—2.9% | |||
| AutoZone, Inc.(5) | 475 | 1,312 | |
| Home Depot, Inc. (The)(2) | 7,075 | 2,497 | |
| TJX Cos., Inc. (The) | 16,090 | 1,527 | |
| Ulta Beauty, Inc.(5)(7) | 1,755 | 881 | |
| 6,217 | |||
| Technology Hardware, Storage & Peripherals—1.2% | |||
| Apple, Inc. | 13,945 | 2,572 | |
| Textiles, Apparel & Luxury Goods—0.5% | |||
| NIKE, Inc. Class B(2) | 10,755 | 1,092 | |
| Total
Common Stocks (Identified Cost $83,897) |
82,631 | ||
| Warrant—0.0% | |||
| Banks—0.0% | |||
| CCF Holdings LLC, 4/1/24(3)(5) | 363,920 | — | |
| Total
Warrant (Identified Cost $—) |
— | ||
| Total
Long-Term Investments—145.4% (Identified Cost $309,747) |
314,309 | ||
| Short-Term Investment—0.0% | |||
| Money Market Mutual Fund—0.0% | |||
| BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.216%)(8) | 14,515 | 15 | |
| Total
Short-Term Investment (Identified Cost $15) |
15 | ||
| TOTAL
INVESTMENTS, BEFORE WRITTEN OPTIONS—145.4% (Identified Cost $309,762) |
314,324 | ||
| Written Options—(0.0)% | ||
| (See open written options schedule) | ||
| Total
Written Options (Premiums Received $26) |
(23) | |
| TOTAL
INVESTMENTS, NET OF WRITTEN OPTIONS—145.4% (Identified Cost $309,736) |
$314,301 | |
| Other assets and liabilities, net—(45.4)% | (98,144) | |
| NET ASSETS—100.0% | $216,157 | |
| Abbreviations: | |
| ADR | American Depositary Receipt |
| DAC | Designated Activity Company |
| EV | Enterprise Value |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| OP | Operating Partnership |
| 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, 2024, these securities amounted to a value of $89,750 or 41.5% of net assets. |
| (2) | All or a portion of the security is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $166,121. |
| (3) | 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. |
| (4) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (5) | Non-income producing. |
| (6) | Security is restricted from resale. |
| (7) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $2,767. |
| (8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| Country Weightings (Unaudited)† | |
| United States | 92% |
| Cayman Islands | 2 |
| Liberia | 1 |
| Bermuda | 1 |
| Canada | 1 |
| United Kingdom | 1 |
| Israel | 1 |
| Other | 1 |
| Total | 100% |
| † % of total investments, net of written options, as of January 31, 2024. | |
| Open written options contracts as of January 31, 2024 were as follows: | |||||
| Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
| Call Options(2) | |||||
| Alibaba Group Holding Ltd. | (39) | $ (410) | $105.00 | 02/16/24 | $ (—)(3) |
| Alphabet, Inc. | (176) | (2,728) | 155.00 | 03/15/24 | (13) |
| FedEx Corp. | (26) | (702) | 270.00 | 02/16/24 | (—) (3) |
| Las Vegas Sands Corp. | (95) | (570) | 60.00 | 03/15/24 | (1) |
| Taiwan Semiconductor Manufacturing Co., Ltd. | (32) | (400) | 125.00 | 02/16/24 | (1) |
| Thermo Fisher Scientific, Inc. | (19) | (1,178) | 620.00 | 03/15/24 | (1) |
| Ulta Beauty, Inc. | (9) | (463) | 515.00 | 02/16/24 | (5) |
| Verizon Communications, Inc. | (137) | (630) | 46.00 | 03/15/24 | (2) |
| Total Written Options | $ (23) | ||||
| Footnote Legend: | |
| (1) | Strike price not reported in thousands. |
| (2) | Exchange-traded options. |
| (3) | Amount is less than $500 (not in thousands). |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $178,847 | $ — | $176,922 | $1,925 | |||
| Corporate Bonds and Notes | 39,933 | — | 39,933 | — | |||
| Equity Securities: | |||||||
| Convertible Preferred Stocks | 12,835 | 12,835 | — | — | |||
| Preferred Stock | 63 | — | — | 63 | |||
| Common Stocks | 82,631 | 82,631 | — | — (1) | |||
| Warrant | — | — | — | — (1) | |||
| Money Market Mutual Fund | 15 | 15 | — | — | |||
| Total Assets | 314,324 | 95,481 | 216,855 | 1,988 | |||
| Liabilities: | |||||||
| Other Financial Instruments: | |||||||
| Written Options | (23) | (23) | — | — | |||
| Total Liabilities | (23) | (23) | — | — | |||
| Total Investments, Net of Written Options | $314,301 | $95,458 | $216,855 | $1,988 |
| (1) | Includes internally fair valued securities currently priced at zero ($0). |
| Total | Convertible
Bonds and Notes |
Preferred
Stock |
Common
Stocks |
Warrant | Equity-Linked
Note | ||||||
| Investments in Securities | |||||||||||
| Balance as of January 31, 2023: | $ 4,189 | $ — | $ 139 | $ 760 | $ 138 | $ 3,152 | |||||
| Accrued discount/(premium) | — (a) | — | — | — | — | — (a) | |||||
| Net realized gain (loss) | (448) | — | 3 | — | — | (451) | |||||
| Net change in unrealized appreciation (depreciation)(b) | (957) | (41) | 43 | (760) | (138) | (61) | |||||
| Purchases | 2,895 | 1,966 | — | — | — | 929 | |||||
| Sales (c) | (3,691) | — | (122) | — | — | (3,569) | |||||
| Balance as of January 31, 2024 | $ 1,988 | $ 1,925 | $ 63 | $ — (d) | $ — (d) | $ — |
| Investments
in Securities – Assets |
Ending
Balance at January 31, 2024 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
| Preferred Stock: | ||||||||
| LiveStyle, Inc. Series B | $63 | Discounted cash flows liquidation approach |
Discount rate |
23.84% (23.63% - 24.06%) | ||||
| Par Value | Value | ||
| Convertible Bonds and Notes—18.1% | |||
| Aerospace & Defense—0.0% | |||
| Spirit
AeroSystems, Inc. 144A 3.250%, 11/1/28(1) |
$ 545 | $ 645 | |
| Auto Manufacturers—0.3% | |||
| Ford
Motor Co. 0.000%, 3/15/26 |
1,360 | 1,325 | |
| Lucid
Group, Inc. 144A 1.250%, 12/15/26(1) |
1,080 | 428 | |
| Rivian Automotive, Inc. | |||
| 144A 4.625%, 3/15/29(1) | 890 | 948 | |
| 144A 3.625%, 10/15/30(1) | 1,560 | 1,432 | |
| 4,133 | |||
| Banks—0.6% | |||
| Barclays
Bank plc 0.000%, 2/18/25 |
2,330 | 2,586 | |
| BofA
Finance LLC 0.600%, 5/25/27 |
2,575 | 3,024 | |
| Morgan
Stanley Finance LLC 1.500%, 1/28/27(2) |
2,390 | 2,614 | |
| 8,224 | |||
| Biotechnology—0.7% | |||
| Alnylam
Pharmaceuticals, Inc. 1.000%, 9/15/27 |
725 | 697 | |
| Bridgebio Pharma, Inc. | |||
| 2.500%, 3/15/27 | 2,070 | 2,307 | |
| 2.250%, 2/1/29 | 1,010 | 832 | |
| Cytokinetics,
Inc. 3.500%, 7/1/27 |
635 | 1,088 | |
| Immunocore
Holdings plc 144A 2.500%, 2/1/30(1) |
715 | 767 | |
| Insmed, Inc. | |||
| 1.750%, 1/15/25 | 1,655 | 1,762 | |
| 0.750%, 6/1/28 | 980 | 1,063 | |
| Sarepta
Therapeutics, Inc. 1.250%, 9/15/27 |
730 | 821 | |
| 9,337 | |||
| Commercial Services—1.3% | |||
| Affirm
Holdings, Inc. 0.000%, 11/15/26(3) |
6,625 | 5,246 | |
| Block,
Inc. 0.125%, 3/1/25 |
6,165 | 5,927 | |
| Repay
Holdings Corp. 144A 0.000%, 2/1/26(1)(3) |
2,865 | 2,425 | |
| Shift4
Payments, Inc. 0.500%, 8/1/27 |
3,035 | 2,813 | |
| Stride,
Inc. 1.125%, 9/1/27 |
1,155 | 1,478 | |
| 17,889 | |||
| Computers—1.3% | |||
| CyberArk
Software Ltd. 0.000%, 11/15/24 |
1,660 | 2,497 | |
| Lumentum
Holdings, Inc. 0.250%, 3/15/24 |
1,790 | 1,781 | |
| Par Value | Value | ||
| Computers—continued | |||
| Parsons
Corp. 0.250%, 8/15/25 |
$ 1,395 | $ 2,064 | |
| Seagate
HDD Cayman 144A 3.500%, 6/1/28(1) |
1,925 | 2,314 | |
| Varonis
Systems, Inc. 1.250%, 8/15/25 |
955 | 1,446 | |
| Western
Digital Corp. 144A 3.000%, 11/15/28(1) |
3,055 | 3,962 | |
| Zscaler,
Inc. 0.125%, 7/1/25 |
2,280 | 3,645 | |
| 17,709 | |||
| Electric Utilities—0.7% | |||
| PG&E
Corp. 144A 4.250%, 12/1/27(1) |
3,895 | 3,963 | |
| Southern
Co. (The) 144A 3.875%, 12/15/25(1) |
6,065 | 6,038 | |
| 10,001 | |||
| Energy-Alternate Sources—0.2% | |||
| Plug
Power, Inc. 3.750%, 6/1/25 |
500 | 538 | |
| Sunnova
Energy International, Inc. 2.625%, 2/15/28 |
4,785 | 2,452 | |
| 2,990 | |||
| Engineering & Construction—0.5% | |||
| Fluor
Corp. 144A 1.125%, 8/15/29(1) |
4,135 | 4,360 | |
| Granite
Construction, Inc. 144A 3.750%, 5/15/28(1) |
1,830 | 2,151 | |
| 6,511 | |||
| Entertainment—1.0% | |||
| DraftKings
Holdings, Inc. 0.000%, 3/15/28(3) |
5,480 | 4,576 | |
| IMAX
Corp. 0.500%, 4/1/26 |
2,265 | 2,006 | |
| Live Nation Entertainment, Inc. | |||
| 2.000%, 2/15/25 | 3,920 | 4,106 | |
| 3.125%, 1/15/29 | 1,670 | 1,838 | |
| Penn
Entertainment, Inc. 2.750%, 5/15/26 |
1,170 | 1,380 | |
| 13,906 | |||
| Environmental Services—0.2% | |||
| Tetra
Tech, Inc. 144A 2.250%, 8/15/28(1) |
2,570 | 2,612 | |
| Equity Real Estate Investment Trusts (REITs)—0.1% | |||
| Federal
Realty OP LP 144A 3.250%, 1/15/29(1) |
1,100 | 1,089 | |
| Financial Services—0.3% | |||
| Bread
Financial Holdings, Inc. 144A 4.250%, 6/15/28(1) |
655 | 739 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| Encore
Capital Group, Inc. 144A 4.000%, 3/15/29(1) |
$ 2,865 | $ 2,790 | |
| 3,529 | |||
| Health Care REITs—0.4% | |||
| Welltower
OP LLC 144A 2.750%, 5/15/28(1) |
5,390 | 5,811 | |
| Healthcare-Products—1.2% | |||
| Alphatec
Holdings, Inc. 0.750%, 8/1/26 |
2,720 | 2,968 | |
| Exact
Sciences Corp. 0.375%, 3/15/27 |
1,175 | 1,085 | |
| Integer
Holdings Corp. 144A 2.125%, 2/15/28(1) |
2,265 | 2,942 | |
| Merit
Medical Systems, Inc. 144A 3.000%, 2/1/29(1) |
2,685 | 3,010 | |
| Natera,
Inc. 2.250%, 5/1/27 |
1,150 | 2,058 | |
| Repligen
Corp. 144A 1.000%, 12/15/28(1) |
1,610 | 1,864 | |
| TransMedics
Group, Inc. 144A 1.500%, 6/1/28(1) |
1,730 | 2,054 | |
| 15,981 | |||
| Insurance—0.1% | |||
| HCI
Group, Inc. 4.750%, 6/1/42 |
1,055 | 1,329 | |
| Internet—2.6% | |||
| Booking
Holdings, Inc. 0.750%, 5/1/25 |
1,860 | 3,479 | |
| Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) |
1,400 | 1,243 | |
| Palo
Alto Networks, Inc. 0.375%, 6/1/25 |
2,230 | 7,582 | |
| PDD
Holdings, Inc. 0.000%, 12/1/25 |
2,445 | 2,393 | |
| Snap,
Inc. 0.750%, 8/1/26 |
2,675 | 2,797 | |
| Uber Technologies, Inc. | |||
| 0.000%, 12/15/25 | 3,605 | 3,729 | |
| Series
2028 144A 0.875%, 12/1/28(1) |
2,910 | 3,242 | |
| Wayfair, Inc. | |||
| 1.125%, 11/1/24 | 2,045 | 1,947 | |
| 1.000%, 8/15/26 | 2,630 | 2,262 | |
| 3.250%, 9/15/27 | 2,025 | 2,216 | |
| Zillow Group, Inc. | |||
| 2.750%, 5/15/25 | 2,625 | 2,865 | |
| 1.375%, 9/1/26 | 985 | 1,340 | |
| 35,095 | |||
| Iron & Steel—0.1% | |||
| ATI,
Inc. 3.500%, 6/15/25 |
520 | 1,387 | |
| Par Value | Value | ||
| Leisure Time—0.8% | |||
| Carnival
Corp. 5.750%, 12/1/27 |
$ 730 | $ 1,109 | |
| NCL
Corp., Ltd. 1.125%, 2/15/27 |
4,970 | 4,408 | |
| Royal
Caribbean Cruises Ltd. 6.000%, 8/15/25 |
2,010 | 5,247 | |
| 10,764 | |||
| Media—0.5% | |||
| DISH
Network Corp. 0.000%, 12/15/25 |
1,410 | 1,003 | |
| Liberty
Broadband Corp. 144A 3.125%, 3/31/53(1) |
2,035 | 1,999 | |
| Liberty
Media Corp. 144A 3.750%, 3/15/28(1) |
1,835 | 2,271 | |
| Liberty
Media Corp.-Liberty Formula One 2.250%, 8/15/27 |
1,355 | 1,426 | |
| 6,699 | |||
| Metal Fabricate/Hardware—0.1% | |||
| Xometry,
Inc. 1.000%, 2/1/27 |
950 | 857 | |
| Miscellaneous Manufacturing—0.2% | |||
| Axon
Enterprise, Inc. 0.500%, 12/15/27 |
2,700 | 3,309 | |
| Oil, Gas & Consumable Fuels—0.2% | |||
| Northern
Oil & Gas, Inc. 3.625%, 4/15/29 |
1,170 | 1,295 | |
| Pioneer
Natural Resources Co. 0.250%, 5/15/25 |
540 | 1,339 | |
| 2,634 | |||
| Passenger Airlines—0.2% | |||
| American
Airlines Group, Inc. 6.500%, 7/1/25 |
2,405 | 2,706 | |
| Pharmaceuticals—0.5% | |||
| Amphastar
Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1) |
1,910 | 2,126 | |
| Dexcom,
Inc. 144A 0.375%, 5/15/28(1) |
3,255 | 3,270 | |
| Mirum
Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) |
605 | 691 | |
| Neurocrine
Biosciences, Inc. 2.250%, 5/15/24 |
365 | 666 | |
| 6,753 | |||
| Retail—0.4% | |||
| Burlington
Stores, Inc. 144A 1.250%, 12/15/27(1) |
2,375 | 2,700 | |
| Freshpet,
Inc. 144A 3.000%, 4/1/28(1) |
1,530 | 2,179 | |
| 4,879 | |||
| Par Value | Value | ||
| Semiconductors—0.8% | |||
| Impinj,
Inc. 1.125%, 5/15/27 |
$ 745 | $ 851 | |
| MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26 |
1,845 | 2,171 | |
| ON
Semiconductor Corp. 144A 0.500%, 3/1/29(1) |
2,580 | 2,501 | |
| Semtech
Corp. 1.625%, 11/1/27 |
815 | 664 | |
| SMART
Global Holdings, Inc. 2.000%, 2/1/29 |
1,115 | 1,250 | |
| Veeco
Instruments, Inc. 144A 2.875%, 6/1/29(1) |
1,050 | 1,368 | |
| Wolfspeed,
Inc. 0.250%, 2/15/28 |
2,250 | 1,332 | |
| 10,137 | |||
| Software—2.8% | |||
| Akamai
Technologies, Inc. 0.125%, 5/1/25 |
4,280 | 5,632 | |
| Bentley
Systems, Inc. 0.125%, 1/15/26 |
2,790 | 2,733 | |
| BILL
Holdings, Inc. 0.000%, 12/1/25 |
1,970 | 1,842 | |
| Cloudflare,
Inc. 0.000%, 8/15/26(3) |
2,530 | 2,255 | |
| Confluent,
Inc. 0.000%, 1/15/27(3) |
3,230 | 2,683 | |
| Datadog,
Inc. 0.125%, 6/15/25 |
2,025 | 2,866 | |
| Evolent
Health, Inc. 144A 3.500%, 12/1/29(1) |
1,015 | 1,108 | |
| Five9,
Inc. 0.500%, 6/1/25 |
2,755 | 2,631 | |
| Guidewire
Software, Inc. 1.250%, 3/15/25 |
995 | 1,110 | |
| HubSpot,
Inc. 0.375%, 6/1/25 |
975 | 2,126 | |
| MicroStrategy,
Inc. 0.750%, 12/15/25 |
1,365 | 1,920 | |
| MongoDB,
Inc. 0.250%, 1/15/26 |
1,545 | 2,984 | |
| Nutanix,
Inc. 0.250%, 10/1/27 |
2,295 | 2,621 | |
| Tyler
Technologies, Inc. 0.250%, 3/15/26 |
4,495 | 4,520 | |
| Workiva,
Inc. 144A 1.250%, 8/15/28(1) |
310 | 298 | |
| 37,329 | |||
| Total
Convertible Bonds and Notes (Identified Cost $237,978) |
244,245 | ||
| Shares | ||
| Convertible Preferred Stocks—1.3% | ||
| Banks—0.7% | ||
| Wells Fargo & Co. Series L, 7.500% | 7,260 | 8,785 |
| Electric Utilities—0.1% | ||
| NextEra Energy, Inc., 6.926% | 46,260 | 1,721 |
| Shares | Value | ||
| Financial Services—0.2% | |||
| Apollo Global Management, Inc., 6.750% | 49,580 | $ 2,896 | |
| Healthcare Providers & Services—0.0% | |||
| BrightSpring Health Services, Inc., 6.750% | 12,750 | 581 | |
| Machinery—0.3% | |||
| Chart Industries, Inc. Series B, 6.750% | 20,040 | 999 | |
| RBC Bearings, Inc. Series A, 5.000% | 20,860 | 2,566 | |
| 3,565 | |||
| Total
Convertible Preferred Stocks (Identified Cost $17,804) |
17,548 | ||
| Common Stocks—77.6% | |||
| Aerospace & Defense—0.9% | |||
| L3Harris Technologies, Inc. | 55,293 | 11,524 | |
| Automobile Components—0.6% | |||
| Aptiv plc(4) | 94,420 | 7,679 | |
| Banks—10.1% | |||
| Bank of America Corp.(5) | 1,340,756 | 45,599 | |
| Commerce Bancshares, Inc. | 241,320 | 12,578 | |
| JPMorgan Chase & Co.(5) | 68,241 | 11,898 | |
| PNC Financial Services Group, Inc. (The) | 220,963 | 33,412 | |
| Truist Financial Corp. | 549,726 | 20,373 | |
| U.S. Bancorp | 307,154 | 12,759 | |
| 136,619 | |||
| Beverages—0.8% | |||
| Keurig Dr Pepper, Inc. | 323,155 | 10,160 | |
| Building Products—0.8% | |||
| Allegion plc | 92,519 | 11,462 | |
| Capital Markets—5.1% | |||
| Intercontinental Exchange, Inc. | 89,218 | 11,360 | |
| MarketAxess Holdings, Inc. | 46,945 | 10,587 | |
| Morgan Stanley | 120,702 | 10,530 | |
| MSCI, Inc. Class A | 40,107 | 24,009 | |
| Nasdaq, Inc. | 219,338 | 12,671 | |
| 69,157 | |||
| Chemicals—1.6% | |||
| Celanese Corp. Class A | 80,651 | 11,798 | |
| FMC Corp. | 185,802 | 10,442 | |
| 22,240 | |||
| Commercial Services & Supplies—0.7% | |||
| RB Global, Inc. | 154,386 | 9,876 | |
| Consumer Finance—0.4% | |||
| Capital One Financial Corp. | 43,327 | 5,863 | |
| Consumer Staples Distribution & Retail—1.7% | |||
| Costco Wholesale Corp. | 17,144 | 11,913 | |
| Shares | Value | ||
| Consumer Staples Distribution & Retail—continued | |||
| Target Corp. | 83,112 | $ 11,559 | |
| 23,472 | |||
| Containers & Packaging—1.6% | |||
| Ball Corp. | 193,452 | 10,727 | |
| Sealed Air Corp. | 305,823 | 10,566 | |
| 21,293 | |||
| Electric Utilities—5.1% | |||
| Eversource Energy | 529,745 | 28,723 | |
| NextEra Energy, Inc.(5) | 499,217 | 29,269 | |
| Xcel Energy, Inc. | 190,416 | 11,400 | |
| 69,392 | |||
| Entertainment—0.8% | |||
| Walt Disney Co. (The) | 107,685 | 10,343 | |
| Financial Services—2.6% | |||
| Jack Henry & Associates, Inc. | 68,745 | 11,400 | |
| Mastercard, Inc. Class A | 25,790 | 11,585 | |
| Visa, Inc. Class A | 44,257 | 12,094 | |
| 35,079 | |||
| Food Products—0.8% | |||
| Tyson Foods, Inc. Class A | 206,477 | 11,307 | |
| Gas Utilities—0.7% | |||
| UGI Corp. | 442,769 | 9,803 | |
| Healthcare Equipment & Supplies—3.4% | |||
| Edwards Lifesciences Corp.(4) | 299,104 | 23,471 | |
| Medtronic plc | 116,256 | 10,177 | |
| Teleflex, Inc. | 48,311 | 11,731 | |
| 45,379 | |||
| Healthcare Providers & Services—0.7% | |||
| Humana, Inc. | 24,807 | 9,379 | |
| Healthcare Technology—0.9% | |||
| Veeva Systems, Inc. Class A(4) | 59,040 | 12,245 | |
| Hotels, Restaurants & Leisure—2.1% | |||
| Domino’s Pizza, Inc. | 27,145 | 11,570 | |
| Las Vegas Sands Corp. | 115,983 | 5,674 | |
| Planet Fitness, Inc. Class A(4) | 155,275 | 10,521 | |
| 27,765 | |||
| Industrial REITs—3.1% | |||
| Rexford Industrial Realty, Inc. | 802,890 | 42,224 | |
| Interactive Media & Services—0.8% | |||
| Alphabet, Inc. Class A(4) | 78,270 | 10,966 | |
| Life Sciences Tools & Services—3.2% | |||
| Agilent Technologies, Inc. | 162,458 | 21,136 | |
| Shares | Value | ||
| Life Sciences Tools & Services—continued | |||
| Thermo Fisher Scientific, Inc.(5) | 41,253 | $ 22,234 | |
| 43,370 | |||
| Machinery—2.5% | |||
| Stanley Black & Decker, Inc. | 225,715 | 21,059 | |
| Toro Co. (The) | 130,794 | 12,096 | |
| 33,155 | |||
| Office REITs—3.2% | |||
| Alexandria Real Estate Equities, Inc. | 352,033 | 42,561 | |
| Oil, Gas & Consumable Fuels—3.3% | |||
| EOG Resources, Inc. | 80,325 | 9,140 | |
| Ovintiv, Inc. | 231,533 | 9,822 | |
| Pioneer Natural Resources Co. | 64,988 | 14,936 | |
| TC Energy Corp. | 285,697 | 11,265 | |
| 45,163 | |||
| Personal Care Products—0.8% | |||
| Estee Lauder Cos., Inc. (The) Class A | 81,193 | 10,717 | |
| Pharmaceuticals—1.5% | |||
| Pfizer, Inc. | 340,852 | 9,230 | |
| Zoetis, Inc. Class A | 56,756 | 10,660 | |
| 19,890 | |||
| Professional Services—0.8% | |||
| Exponent, Inc. | 62,794 | 5,538 | |
| Paycom Software, Inc. | 27,065 | 5,149 | |
| 10,687 | |||
| Residential REITs—2.2% | |||
| Invitation Homes, Inc. | 300,613 | 9,899 | |
| Mid-America Apartment Communities, Inc. | 77,622 | 9,810 | |
| Sun Communities, Inc. | 79,632 | 9,982 | |
| 29,691 | |||
| Semiconductors & Semiconductor Equipment—0.8% | |||
| Texas Instruments, Inc. | 66,203 | 10,600 | |
| Software—4.2% | |||
| Intuit, Inc. | 72,050 | 45,487 | |
| Microsoft Corp.(5) | 27,711 | 11,018 | |
| 56,505 | |||
| Specialized REITs—3.2% | |||
| American Tower Corp. | 59,200 | 11,582 | |
| Crown Castle, Inc. | 188,071 | 20,359 | |
| SBA Communications Corp. Class A | 49,079 | 10,987 | |
| 42,928 | |||
| Specialty Retail—1.3% | |||
| Best Buy Co., Inc. | 74,990 | 5,436 | |
| Shares | Value | ||
| Specialty Retail—continued | |||
| Home Depot, Inc. (The)(5) | 33,028 | $ 11,658 | |
| 17,094 | |||
| Technology Hardware, Storage & Peripherals—0.8% | |||
| Apple, Inc.(5) | 56,001 | 10,327 | |
| Textiles, Apparel & Luxury Goods—2.3% | |||
| Lululemon Athletica, Inc.(4) | 22,293 | 10,117 | |
| NIKE, Inc. Class B(5) | 205,769 | 20,892 | |
| 31,009 | |||
| Trading Companies & Distributors—1.4% | |||
| MonotaRO Co., Ltd. Unsponsored ADR | 1,991,287 | 18,688 | |
| Water Utilities—0.8% | |||
| American Water Works Co., Inc. | 85,315 | 10,581 | |
| Total
Common Stocks (Identified Cost $1,016,945) |
1,046,193 | ||
| Warrant—0.0% | |||
| Energy Equipment & Services—0.0% | |||
| Nabors Industries Ltd., 6/11/26(4) | 876 | 8 | |
| Total
Warrant (Identified Cost $—) |
8 | ||
| Total
Long-Term Investments—97.0% (Identified Cost $1,272,727) |
1,307,994 | ||
| Short-Term Investment—0.3% | |||
| Money Market Mutual Fund—0.3% | |||
| BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.216%)(6) | 3,874,767 | 3,875 | |
| Total
Short-Term Investment (Identified Cost $3,875) |
3,875 | ||
| TOTAL
INVESTMENTS, BEFORE WRITTEN OPTIONS—97.3% (Identified Cost $1,276,602) |
1,311,869 | ||
| Value | ||
| Written Options—(0.1)% | ||
| (See open written options schedule) | ||
| Total
Written Options (Premiums Received $964) |
$ (1,051) | |
| TOTAL
INVESTMENTS, NET OF WRITTEN OPTIONS—97.2% (Identified Cost $1,275,638) |
$1,310,818 | |
| Other assets and liabilities, net—2.8% | 37,073 | |
| NET ASSETS—100.0% | $1,347,891 | |
| Abbreviations: | |
| ADR | American Depositary Receipt |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| MSCI | Morgan Stanley Capital International |
| OP | Operating Partnership |
| 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, 2024, these securities amounted to a value of $77,340 or 5.7% of net assets. |
| (2) | 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. |
| (3) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (4) | Non-income producing. |
| (5) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $75,273. |
| (6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| Country Weightings (Unaudited)† | |
| United States | 93% |
| Canada | 3 |
| Japan | 1 |
| United Kingdom | 1 |
| Ireland | 1 |
| Cayman Islands | 1 |
| Total | 100% |
| † % of total investments, net of written options, as of January 31, 2024. | |
| Open written options contracts as of January 31, 2024 were as follows: | |||||
| Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
| Call Options(2) | |||||
| Agilent Technologies, Inc. | (568) | $ (7,952) | $140.00 | 02/16/24 | $(26) |
| Alexandria Real Estate Equities, Inc. | (1,232) | (16,632) | 135.00 | 02/16/24 | (49) |
| Alphabet, Inc. | (273) | (4,505) | 165.00 | 02/16/24 | (2) |
| American Tower Corp. | (207) | (4,554) | 220.00 | 02/16/24 | (2) |
| Apple, Inc. | (196) | (4,018) | 205.00 | 02/16/24 | (4) |
| Aptiv plc | (283) | (2,476) | 87.50 | 02/16/24 | (19) |
| Bank of America Corp. | (2,681) | (9,384) | 35.00 | 02/16/24 | (89) |
| Bank of America Corp. | (1,340) | (4,690) | 35.00 | 03/15/24 | (88) |
| Capital One Financial Corp. | (151) | (2,114) | 140.00 | 02/16/24 | (20) |
| Celanese Corp. | (282) | (4,371) | 155.00 | 02/16/24 | (23) |
| Open written options contracts as of January 31, 2024 were as follows (continued): | |||||
| Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
| Call Options(2) (continued) | |||||
| Costco Wholesale Corp. | (51) | $ (3,774) | $740.00 | 02/16/24 | $ (4) |
| Crown Castle, Inc. | (658) | (7,896) | 120.00 | 02/16/24 | (5) |
| Domino’s Pizza, Inc. | (95) | (4,370) | 460.00 | 02/16/24 | (6) |
| Estee Lauder Cos., Inc. (The) | (324) | (4,698) | 145.00 | 02/16/24 | (94) |
| FMC Corp. | (185) | (1,110) | 60.00 | 02/16/24 | (29) |
| FMC Corp. | (464) | (3,016) | 65.00 | 02/16/24 | (34) |
| Home Depot, Inc. (The) | (115) | (4,485) | 390.00 | 02/16/24 | (1) |
| Humana, Inc. | (74) | (3,774) | 510.00 | 02/16/24 | (— )(3) |
| Intuit, Inc. | (145) | (9,860) | 680.00 | 02/16/24 | (32) |
| Intuit, Inc. | (72) | (5,040) | 700.00 | 03/15/24 | (39) |
| JPMorgan Chase & Co. | (238) | (4,403) | 185.00 | 02/16/24 | (5) |
| Las Vegas Sands Corp. | (405) | (2,228) | 55.00 | 02/16/24 | (4) |
| Lululemon Athletica, Inc. | (78) | (3,978) | 510.00 | 02/16/24 | (4) |
| Mastercard, Inc. | (90) | (4,185) | 465.00 | 02/16/24 | (14) |
| Microsoft Corp. | (96) | (4,080) | 425.00 | 02/16/24 | (8) |
| Morgan Stanley | (362) | (3,349) | 92.50 | 02/16/24 | (10) |
| MSCI, Inc. | (120) | (7,320) | 610.00 | 02/16/24 | (97) |
| Nasdaq, Inc. | (658) | (4,113) | 62.50 | 02/16/24 | (4) |
| NextEra Energy, Inc. | (998) | (6,238) | 62.50 | 02/16/24 | (31) |
| NextEra Energy, Inc. | (499) | (3,244) | 65.00 | 03/15/24 | (16) |
| NIKE, Inc. | (720) | (7,920) | 110.00 | 02/16/24 | (13) |
| Ovintiv, Inc. | (578) | (2,543) | 44.00 | 02/16/24 | (43) |
| Paycom Software, Inc. | (81) | (1,944) | 240.00 | 02/16/24 | (11) |
| Planet Fitness, Inc. | (543) | (4,344) | 80.00 | 02/16/24 | (24) |
| PNC Financial Services Group, Inc. (The) | (220) | (3,520) | 160.00 | 02/16/24 | (24) |
| PNC Financial Services Group, Inc. (The) | (550) | (9,075) | 165.00 | 02/16/24 | (25) |
| Rexford Industrial Realty, Inc. | (430) | (2,580) | 60.00 | 02/16/24 | (6) |
| Sealed Air Corp. | (917) | (3,668) | 40.00 | 02/16/24 | (7) |
| Stanley Black & Decker, Inc. | (790) | (8,295) | 105.00 | 02/16/24 | (36) |
| Target Corp. | (290) | (4,350) | 150.00 | 02/16/24 | (8) |
| Texas Instruments, Inc. | (198) | (3,762) | 190.00 | 02/16/24 | (— )(3) |
| Thermo Fisher Scientific, Inc. | (144) | (8,640) | 600.00 | 02/16/24 | (1) |
| Truist Financial Corp. | (1,924) | (7,696) | 40.00 | 02/16/24 | (13) |
| U.S. Bancorp | (767) | (3,643) | 47.50 | 02/16/24 | (4) |
| Veeva Systems, Inc. | (177) | (4,071) | 230.00 | 02/16/24 | (5) |
| Visa, Inc. | (154) | (4,466) | 290.00 | 02/16/24 | (3) |
| Walt Disney Co. (The) | (376) | (3,760) | 100.00 | 02/16/24 | (63) |
| Zoetis, Inc. | (170) | (3,570) | 210.00 | 02/16/24 | (6) |
| Total Written Options | $(1,051) | ||||
| Footnote Legend: | |
| (1) | Strike price not reported in thousands. |
| (2) | Exchange-traded options. |
| (3) | Amount is less than $500 (not in thousands). |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $ 244,245 | $ — | $241,631 | $2,614 | |||
| Equity Securities: | |||||||
| Convertible Preferred Stocks | 17,548 | 17,548 | — | — | |||
| Common Stocks | 1,046,193 | 1,046,193 | — | — | |||
| Warrant | 8 | 8 | — | — | |||
| Money Market Mutual Fund | 3,875 | 3,875 | — | — | |||
| Total Assets | 1,311,869 | 1,067,624 | 241,631 | 2,614 | |||
| Liabilities: | |||||||
| Other Financial Instruments: | |||||||
| Written Options | (1,051) | (1,034) | (17) | — | |||
| Total Investments, Net of Written Options | $1,310,818 | $1,066,590 | $241,614 | $2,614 |
| Par Value | Value | ||
| Convertible Bonds and Notes—31.3% | |||
| Aerospace & Defense—0.1% | |||
| Spirit
AeroSystems, Inc. 144A 3.250%, 11/1/28(1) |
$ 465 | $ 550 | |
| Auto Manufacturers—0.5% | |||
| Ford
Motor Co. 0.000%, 3/15/26 |
1,155 | 1,125 | |
| Lucid
Group, Inc. 144A 1.250%, 12/15/26(1) |
910 | 361 | |
| Rivian Automotive, Inc. | |||
| 144A 4.625%, 3/15/29(1) | 750 | 799 | |
| 144A 3.625%, 10/15/30(1) | 1,320 | 1,212 | |
| 3,497 | |||
| Banks—1.1% | |||
| Barclays
Bank plc 0.000%, 2/18/25 |
1,970 | 2,187 | |
| BofA
Finance LLC 0.600%, 5/25/27 |
2,180 | 2,560 | |
| Morgan
Stanley Finance LLC 1.500%, 1/28/27(2) |
2,020 | 2,209 | |
| 6,956 | |||
| Biotechnology—1.2% | |||
| Alnylam
Pharmaceuticals, Inc. 1.000%, 9/15/27 |
615 | 591 | |
| Bridgebio Pharma, Inc. | |||
| 2.500%, 3/15/27 | 1,750 | 1,950 | |
| 2.250%, 2/1/29 | 840 | 692 | |
| Cytokinetics,
Inc. 3.500%, 7/1/27 |
540 | 925 | |
| Immunocore
Holdings plc 144A 2.500%, 2/1/30(1) |
605 | 650 | |
| Insmed, Inc. | |||
| 1.750%, 1/15/25 | 1,405 | 1,496 | |
| 0.750%, 6/1/28 | 805 | 873 | |
| Sarepta
Therapeutics, Inc. 1.250%, 9/15/27 |
610 | 686 | |
| 7,863 | |||
| Commercial Services—2.3% | |||
| Affirm
Holdings, Inc. 0.000%, 11/15/26(3) |
5,610 | 4,442 | |
| Block,
Inc. 0.125%, 3/1/25 |
5,100 | 4,903 | |
| Repay
Holdings Corp. 144A 0.000%, 2/1/26(1)(3) |
2,425 | 2,052 | |
| Shift4
Payments, Inc. 0.500%, 8/1/27 |
2,575 | 2,387 | |
| Stride,
Inc. 1.125%, 9/1/27 |
975 | 1,248 | |
| 15,032 | |||
| Computers—2.3% | |||
| CyberArk
Software Ltd. 0.000%, 11/15/24 |
1,405 | 2,113 | |
| Lumentum
Holdings, Inc. 0.250%, 3/15/24 |
1,520 | 1,513 | |
| Par Value | Value | ||
| Computers—continued | |||
| Parsons
Corp. 0.250%, 8/15/25 |
$ 1,180 | $ 1,746 | |
| Seagate
HDD Cayman 144A 3.500%, 6/1/28(1) |
1,630 | 1,959 | |
| Varonis
Systems, Inc. 1.250%, 8/15/25 |
805 | 1,219 | |
| Western
Digital Corp. 144A 3.000%, 11/15/28(1) |
2,580 | 3,346 | |
| Zscaler,
Inc. 0.125%, 7/1/25 |
1,925 | 3,077 | |
| 14,973 | |||
| Electric Utilities—1.3% | |||
| PG&E
Corp. 144A 4.250%, 12/1/27(1) |
3,300 | 3,358 | |
| Southern
Co. (The) 144A 3.875%, 12/15/25(1) |
5,140 | 5,117 | |
| 8,475 | |||
| Energy-Alternate Sources—0.4% | |||
| Plug
Power, Inc. 3.750%, 6/1/25 |
420 | 452 | |
| Sunnova
Energy International, Inc. 2.625%, 2/15/28 |
4,055 | 2,078 | |
| 2,530 | |||
| Engineering & Construction—0.8% | |||
| Fluor
Corp. 144A 1.125%, 8/15/29(1) |
3,495 | 3,685 | |
| Granite
Construction, Inc. 144A 3.750%, 5/15/28(1) |
1,545 | 1,816 | |
| 5,501 | |||
| Entertainment—1.8% | |||
| DraftKings
Holdings, Inc. 0.000%, 3/15/28(3) |
4,645 | 3,878 | |
| IMAX
Corp. 0.500%, 4/1/26 |
1,915 | 1,696 | |
| Live Nation Entertainment, Inc. | |||
| 2.000%, 2/15/25 | 3,325 | 3,483 | |
| 3.125%, 1/15/29 | 1,420 | 1,563 | |
| Penn
Entertainment, Inc. 2.750%, 5/15/26 |
990 | 1,168 | |
| 11,788 | |||
| Environmental Services—0.3% | |||
| Tetra
Tech, Inc. 144A 2.250%, 8/15/28(1) |
2,170 | 2,205 | |
| Equity Real Estate Investment Trusts (REITs)—0.1% | |||
| Federal
Realty OP LP 144A 3.250%, 1/15/29(1) |
925 | 916 | |
| Financial Services—0.5% | |||
| Bread
Financial Holdings, Inc. 144A 4.250%, 6/15/28(1) |
550 | 620 | |
| Par Value | Value | ||
| Financial Services—continued | |||
| Encore
Capital Group, Inc. 144A 4.000%, 3/15/29(1) |
$ 2,420 | $ 2,357 | |
| 2,977 | |||
| Health Care REITs—0.7% | |||
| Welltower
OP LLC 144A 2.750%, 5/15/28(1) |
4,555 | 4,911 | |
| Healthcare-Products—2.0% | |||
| Alphatec
Holdings, Inc. 0.750%, 8/1/26 |
2,300 | 2,509 | |
| Exact
Sciences Corp. 0.375%, 3/15/27 |
990 | 914 | |
| Integer
Holdings Corp. 144A 2.125%, 2/15/28(1) |
1,915 | 2,488 | |
| Merit
Medical Systems, Inc. 144A 3.000%, 2/1/29(1) |
2,275 | 2,550 | |
| Natera,
Inc. 2.250%, 5/1/27 |
970 | 1,736 | |
| Repligen
Corp. 144A 1.000%, 12/15/28(1) |
1,360 | 1,574 | |
| TransMedics
Group, Inc. 144A 1.500%, 6/1/28(1) |
1,460 | 1,734 | |
| 13,505 | |||
| Insurance—0.2% | |||
| HCI
Group, Inc. 4.750%, 6/1/42 |
890 | 1,121 | |
| Internet—4.5% | |||
| Booking
Holdings, Inc. 0.750%, 5/1/25 |
1,575 | 2,946 | |
| Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) |
1,190 | 1,057 | |
| Palo
Alto Networks, Inc. 0.375%, 6/1/25 |
1,885 | 6,409 | |
| PDD
Holdings, Inc. 0.000%, 12/1/25 |
2,065 | 2,021 | |
| Snap,
Inc. 0.750%, 8/1/26 |
2,260 | 2,363 | |
| Uber Technologies, Inc. | |||
| 0.000%, 12/15/25 | 3,050 | 3,155 | |
| Series
2028 144A 0.875%, 12/1/28(1) |
2,460 | 2,740 | |
| Wayfair, Inc. | |||
| 1.125%, 11/1/24 | 1,695 | 1,614 | |
| 1.000%, 8/15/26 | 2,180 | 1,875 | |
| 3.250%, 9/15/27 | 1,710 | 1,871 | |
| Zillow Group, Inc. | |||
| 2.750%, 5/15/25 | 2,225 | 2,428 | |
| 1.375%, 9/1/26 | 835 | 1,136 | |
| 29,615 | |||
| Iron & Steel—0.2% | |||
| ATI,
Inc. 3.500%, 6/15/25 |
440 | 1,174 | |
| Par Value | Value | ||
| Leisure Time—1.4% | |||
| Carnival
Corp. 5.750%, 12/1/27 |
$ 610 | $ 927 | |
| NCL
Corp., Ltd. 1.125%, 2/15/27 |
4,210 | 3,734 | |
| Royal
Caribbean Cruises Ltd. 6.000%, 8/15/25 |
1,700 | 4,438 | |
| 9,099 | |||
| Media—0.9% | |||
| DISH
Network Corp. 0.000%, 12/15/25 |
1,180 | 840 | |
| Liberty
Broadband Corp. 144A 3.125%, 3/31/53(1) |
1,720 | 1,690 | |
| Liberty
Media Corp. 144A 3.750%, 3/15/28(1) |
1,550 | 1,918 | |
| Liberty
Media Corp.-Liberty Formula One 2.250%, 8/15/27 |
1,140 | 1,199 | |
| 5,647 | |||
| Metal Fabricate/Hardware—0.1% | |||
| Xometry,
Inc. 1.000%, 2/1/27 |
800 | 722 | |
| Miscellaneous Manufacturing—0.4% | |||
| Axon
Enterprise, Inc. 0.500%, 12/15/27 |
2,285 | 2,800 | |
| Oil, Gas & Consumable Fuels—0.3% | |||
| Northern
Oil & Gas, Inc. 3.625%, 4/15/29 |
985 | 1,090 | |
| Pioneer
Natural Resources Co. 0.250%, 5/15/25 |
455 | 1,129 | |
| 2,219 | |||
| Passenger Airlines—0.3% | |||
| American
Airlines Group, Inc. 6.500%, 7/1/25 |
2,030 | 2,284 | |
| Pharmaceuticals—0.9% | |||
| Amphastar
Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1) |
1,610 | 1,792 | |
| Dexcom,
Inc. 144A 0.375%, 5/15/28(1) |
2,750 | 2,762 | |
| Mirum
Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) |
510 | 583 | |
| Neurocrine
Biosciences, Inc. 2.250%, 5/15/24 |
315 | 575 | |
| 5,712 | |||
| Retail—0.6% | |||
| Burlington
Stores, Inc. 144A 1.250%, 12/15/27(1) |
2,005 | 2,280 | |
| Freshpet,
Inc. 144A 3.000%, 4/1/28(1) |
1,295 | 1,844 | |
| 4,124 | |||
| Par Value | Value | ||
| Semiconductors—1.3% | |||
| Impinj,
Inc. 1.125%, 5/15/27 |
$ 630 | $ 720 | |
| MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26 |
1,560 | 1,835 | |
| ON
Semiconductor Corp. 144A 0.500%, 3/1/29(1) |
2,180 | 2,113 | |
| Semtech
Corp. 1.625%, 11/1/27 |
690 | 562 | |
| SMART
Global Holdings, Inc. 2.000%, 2/1/29 |
950 | 1,065 | |
| Veeco
Instruments, Inc. 144A 2.875%, 6/1/29(1) |
890 | 1,160 | |
| Wolfspeed,
Inc. 0.250%, 2/15/28 |
1,920 | 1,137 | |
| 8,592 | |||
| Software—4.8% | |||
| Akamai
Technologies, Inc. 0.125%, 5/1/25 |
3,630 | 4,777 | |
| Bentley
Systems, Inc. 0.125%, 1/15/26 |
2,355 | 2,306 | |
| BILL
Holdings, Inc. 0.000%, 12/1/25 |
1,665 | 1,557 | |
| Cloudflare,
Inc. 0.000%, 8/15/26(3) |
2,130 | 1,899 | |
| Confluent,
Inc. 0.000%, 1/15/27(3) |
2,735 | 2,272 | |
| Datadog,
Inc. 0.125%, 6/15/25 |
1,710 | 2,421 | |
| Evolent
Health, Inc. 144A 3.500%, 12/1/29(1) |
855 | 934 | |
| Five9,
Inc. 0.500%, 6/1/25 |
2,335 | 2,230 | |
| Guidewire
Software, Inc. 1.250%, 3/15/25 |
840 | 937 | |
| HubSpot,
Inc. 0.375%, 6/1/25 |
825 | 1,798 | |
| MicroStrategy,
Inc. 0.750%, 12/15/25 |
1,165 | 1,639 | |
| MongoDB,
Inc. 0.250%, 1/15/26 |
1,310 | 2,530 | |
| Nutanix,
Inc. 0.250%, 10/1/27 |
1,945 | 2,221 | |
| Tyler
Technologies, Inc. 0.250%, 3/15/26 |
3,715 | 3,735 | |
| Workiva,
Inc. 144A 1.250%, 8/15/28(1) |
275 | 264 | |
| 31,520 | |||
| Total
Convertible Bonds and Notes (Identified Cost $199,681) |
206,308 | ||
| Shares | ||
| Convertible Preferred Stocks—2.2% | ||
| Banks—1.1% | ||
| Wells Fargo & Co. Series L, 7.500% | 6,155 | 7,448 |
| Electric Utilities—0.2% | ||
| NextEra Energy, Inc., 6.926% | 39,220 | 1,459 |
| Shares | Value | ||
| Financial Services—0.4% | |||
| Apollo Global Management, Inc., 6.750% | 42,045 | $ 2,456 | |
| Healthcare Providers & Services—0.1% | |||
| BrightSpring Health Services, Inc., 6.750% | 10,775 | 491 | |
| Machinery—0.4% | |||
| Chart Industries, Inc. Series B, 6.750% | 16,940 | 844 | |
| RBC Bearings, Inc. Series A, 5.000% | 17,680 | 2,175 | |
| 3,019 | |||
| Total
Convertible Preferred Stocks (Identified Cost $14,921) |
14,873 | ||
| Common Stocks—63.1% | |||
| Aerospace & Defense—0.7% | |||
| RTX Corp. | 52,270 | 4,763 | |
| Air Freight & Logistics—0.6% | |||
| FedEx Corp.(4) | 17,555 | 4,236 | |
| Automobiles—1.2% | |||
| Tesla, Inc.(5) | 42,001 | 7,866 | |
| Banks—3.0% | |||
| Bank of America Corp. | 199,020 | 6,769 | |
| JPMorgan Chase & Co. | 31,850 | 5,553 | |
| Wells Fargo & Co. | 145,915 | 7,322 | |
| 19,644 | |||
| Biotechnology—0.2% | |||
| Vertex Pharmaceuticals, Inc.(5) | 2,560 | 1,109 | |
| Broadline Retail—3.4% | |||
| Alibaba Group Holding Ltd. Sponsored ADR(4) | 21,070 | 1,521 | |
| Amazon.com, Inc.(5) | 135,835 | 21,081 | |
| 22,602 | |||
| Capital Markets—1.3% | |||
| CME Group, Inc. Class A | 20,010 | 4,119 | |
| Moody’s Corp. | 11,650 | 4,567 | |
| 8,686 | |||
| Chemicals—0.7% | |||
| Sherwin-Williams Co. (The) | 13,960 | 4,249 | |
| Communications Equipment—0.4% | |||
| Cisco Systems, Inc. | 46,555 | 2,336 | |
| Consumer Finance—0.6% | |||
| Capital One Financial Corp. | 30,400 | 4,114 | |
| Consumer Staples Distribution & Retail—0.8% | |||
| Costco Wholesale Corp. | 4,880 | 3,391 | |
| Target Corp. | 12,590 | 1,751 | |
| 5,142 | |||
| Shares | Value | ||
| Diversified Telecommunication Services—1.8% | |||
| Verizon Communications, Inc.(4) | 275,144 | $ 11,652 | |
| Electric Utilities—1.3% | |||
| Exelon Corp. | 243,330 | 8,470 | |
| Electrical Equipment—0.9% | |||
| Eaton Corp. plc | 18,105 | 4,455 | |
| Generac Holdings, Inc.(5) | 11,105 | 1,263 | |
| 5,718 | |||
| Financial Services—3.2% | |||
| Global Payments, Inc. | 46,245 | 6,161 | |
| Mastercard, Inc. Class A | 32,980 | 14,816 | |
| 20,977 | |||
| Ground Transportation—1.9% | |||
| Union Pacific Corp. | 51,955 | 12,673 | |
| Healthcare Equipment & Supplies—1.8% | |||
| Abbott Laboratories | 28,850 | 3,264 | |
| Align Technology, Inc.(5) | 6,793 | 1,816 | |
| Boston Scientific Corp.(5) | 106,865 | 6,760 | |
| 11,840 | |||
| Healthcare Providers & Services—1.5% | |||
| McKesson Corp. | 13,265 | 6,631 | |
| UnitedHealth Group, Inc. | 6,603 | 3,379 | |
| 10,010 | |||
| Hotels, Restaurants & Leisure—2.2% | |||
| Chipotle Mexican Grill, Inc. Class A(5) | 1,145 | 2,758 | |
| DoorDash, Inc. Class A(5) | 21,720 | 2,263 | |
| Las Vegas Sands Corp.(4) | 98,185 | 4,803 | |
| Starbucks Corp. | 50,470 | 4,696 | |
| 14,520 | |||
| Industrial Conglomerates—0.3% | |||
| General Electric Co. | 16,595 | 2,198 | |
| Insurance—0.9% | |||
| Allstate Corp. (The) | 39,395 | 6,116 | |
| Interactive Media & Services—4.7% | |||
| Alphabet, Inc. Class A(5) | 170,935 | 23,948 | |
| Meta Platforms, Inc. Class A(5) | 18,605 | 7,259 | |
| 31,207 | |||
| IT Services—0.2% | |||
| EPAM Systems, Inc.(5) | 4,347 | 1,209 | |
| Life Sciences Tools & Services—2.3% | |||
| Danaher Corp. | 18,440 | 4,424 | |
| IQVIA Holdings, Inc.(5) | 26,450 | 5,508 | |
| Shares | Value | ||
| Life Sciences Tools & Services—continued | |||
| Thermo Fisher Scientific, Inc. | 9,925 | $ 5,349 | |
| 15,281 | |||
| Oil, Gas & Consumable Fuels—1.4% | |||
| Chevron Corp. | 35,915 | 5,295 | |
| Devon Energy Corp. | 93,650 | 3,935 | |
| 9,230 | |||
| Pharmaceuticals—1.0% | |||
| Eli Lilly & Co. | 10,555 | 6,814 | |
| Semiconductors & Semiconductor Equipment—5.8% | |||
| Advanced Micro Devices, Inc.(5) | 20,420 | 3,424 | |
| ASML Holding N.V. Registered Shares | 3,880 | 3,375 | |
| Marvell Technology, Inc. | 72,113 | 4,882 | |
| Micron Technology, Inc. | 73,905 | 6,337 | |
| NVIDIA Corp. | 27,197 | 16,734 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR(4) | 32,565 | 3,679 | |
| 38,431 | |||
| Software—10.5% | |||
| Adobe, Inc. (5) | 9,600 | 5,931 | |
| Crowdstrike Holdings, Inc. Class A(5) | 14,865 | 4,348 | |
| Datadog, Inc. Class A(5) | 32,115 | 3,997 | |
| Intuit, Inc. | 10,540 | 6,654 | |
| Microsoft Corp. | 70,506 | 28,032 | |
| Salesforce, Inc.(5) | 44,325 | 12,459 | |
| ServiceNow, Inc.(5) | 8,515 | 6,517 | |
| Synopsys, Inc.(5) | 2,150 | 1,147 | |
| 69,085 | |||
| Specialized REITs—1.0% | |||
| American Tower Corp. | 33,965 | 6,645 | |
| Specialty Retail—4.8% | |||
| AutoZone, Inc.(5) | 2,425 | 6,698 | |
| Home Depot, Inc. (The) | 35,435 | 12,507 | |
| TJX Cos., Inc. (The) | 81,145 | 7,702 | |
| Ulta Beauty, Inc.(4)(5) | 8,905 | 4,471 | |
| 31,378 | |||
| Technology Hardware, Storage & Peripherals—1.9% | |||
| Apple, Inc. | 69,350 | 12,788 | |
| Textiles, Apparel & Luxury Goods—0.8% | |||
| NIKE, Inc. Class B | 54,555 | 5,539 | |
| Total
Common Stocks (Identified Cost $404,351) |
416,528 | ||
| Total
Long-Term Investments—96.6% (Identified Cost $618,953) |
637,709 | ||
| Shares | Value | ||
| Short-Term Investment—1.0% | |||
| Money Market Mutual Fund—1.0% | |||
| BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.216%)(6) | 6,234,600 | $ 6,235 | |
| Total
Short-Term Investment (Identified Cost $6,235) |
6,235 | ||
| TOTAL
INVESTMENTS, BEFORE WRITTEN OPTIONS—97.6% (Identified Cost $625,188) |
643,944 | ||
| Written Options—(0.0)% | ||
| (See open written options schedule) | ||
| Total
Written Options (Premiums Received $130) |
(116) | |
| TOTAL
INVESTMENTS, NET OF WRITTEN OPTIONS—97.6% (Identified Cost $625,058) |
$643,828 | |
| Other assets and liabilities, net—2.4% | 16,149 | |
| NET ASSETS—100.0% | $659,977 | |
| Abbreviations: | |
| ADR | American Depositary Receipt |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| OP | Operating Partnership |
| 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, 2024, these securities amounted to a value of $65,397 or 9.9% of net assets. |
| (2) | 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. |
| (3) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (4) | All or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $14,112. |
| (5) | Non-income producing. |
| (6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| Open written options contracts as of January 31, 2024 were as follows: | |||||
| Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
| Call Options(2) | |||||
| Alibaba Group Holding Ltd. | (200) | $ (2,100) | $105.00 | 02/16/24 | $ (2) |
| Alphabet, Inc. | (891) | (13,811) | 155.00 | 03/15/24 | (66) |
| FedEx Corp. | (135) | (3,645) | 270.00 | 02/16/24 | (1) |
| Las Vegas Sands Corp. | (490) | (2,940) | 60.00 | 03/15/24 | (5) |
| Taiwan Semiconductor Manufacturing Co., Ltd. | (163) | (2,038) | 125.00 | 02/16/24 | (3) |
| Thermo Fisher Scientific, Inc. | (94) | (5,828) | 620.00 | 03/15/24 | (5) |
| Ulta Beauty, Inc. | (45) | (2,318) | 515.00 | 02/16/24 | (24) |
| Verizon Communications, Inc. | (688) | (3,165) | 46.00 | 03/15/24 | (10) |
| Total Written Options | $(116) | ||||
| Footnote Legend: | |
| (1) | Strike price not reported in thousands. |
| (2) | Exchange-traded options. |
| Total
Value at January 31, 2024 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Convertible Bonds and Notes | $206,308 | $ — | $204,099 | $2,209 | |||
| Equity Securities: | |||||||
| Convertible Preferred Stocks | 14,873 | 14,873 | — | — | |||
| Common Stocks | 416,528 | 416,528 | — | — | |||
| Money Market Mutual Fund | 6,235 | 6,235 | — | — | |||
| Total Assets | 643,944 | 437,636 | 204,099 | 2,209 | |||
| Liabilities: | |||||||
| Other Financial Instruments: | |||||||
| Written Options | (116) | (116) | — | — | |||
| Total Investments, Net of Written Options | $643,828 | $437,520 | $204,099 | $2,209 |
| Total | Convertible
Bonds and Notes |
Equity-Linked
Notes | |||
| Investments in Securities | |||||
| Balance as of January 31, 2023: | $ 3,601 | $ — | $ 3,601 | ||
| Accrued discount/(premium) | — (a) | — | — (a) | ||
| Net realized gain (loss) | (517) | — | (517) | ||
| Net change in unrealized appreciation (depreciation)(b) | (117) | (47) | (70) | ||
| Purchases | 3,328 | 2,256 | 1,072 | ||
| Sales (c) | (4,086) | — | (4,086) | ||
| Balance as of January 31, 2024 | $ 2,209 | $ 2,209 | $ — |
| AIO | CBH | NCV | NCZ | ||||
| Assets | |||||||
|
Investment in securities at value(1)
(2) |
$ 820,874 | $ 180,892 | $ 530,125 | $ 405,599 | |||
|
Cash
|
20,405 | 8,274 | 15,358 | 10,460 | |||
| Receivables | |||||||
|
Investment securities sold
|
— | — | 2,949 | 2,281 | |||
|
Dividends and
interest |
2,896 | 1,318 | 4,921 | 3,661 | |||
|
Tax reclaims
|
13 | — | — | — | |||
|
Securities lending
income |
25 | — | 8 | 7 | |||
|
Prepaid Trustees’
retainer |
16 | 4 | 8 | 5 | |||
|
Prepaid expenses and other assets (Note
4) |
51 | 30 | 163 | 124 | |||
|
Total
assets |
844,280 | 190,518 | 553,532 | 422,137 | |||
| Liabilities | |||||||
|
Loan Payable (Note
9) |
130,000 | 19,700 | 34,000 | 25,000 | |||
|
Mandatory redeemable preferred shares (Note
10A) |
— | — | 65,227 (a) | 21,703 (b) | |||
| Payables | |||||||
|
Collateral on securities loaned (Note
9) |
2,480 | — | 9,844 | 8,704 | |||
|
Investment securities
purchased |
2,162 | 4,486 | 9,852 | 7,493 | |||
|
Investment advisory fees (Note
4) |
834 | 144 | 320 | 253 | |||
|
Loan interest payable (Note
9) |
828 | 225 | 340 | 251 | |||
|
Administration and accounting
fees |
77 | 20 | 50 | 38 | |||
|
Professional fees
|
57 | 58 | 59 | 59 | |||
|
Trustee deferred compensation plan (Note
4) |
51 | 30 | 163 | 124 | |||
|
Dividend distributions
|
— | — | 481 | 509 | |||
|
Interest on mandatory redeemable preferred shares (Note
10A) |
— | — | 319 | 108 | |||
|
Other accrued
expenses |
53 | 18 | 54 | 46 | |||
|
Total
liabilities |
136,542 | 24,681 | 120,709 | 64,288 | |||
|
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) (Note
12) |
— | — | 100,000 | 109,000 | |||
|
Net Assets Applicable to Common
Shareholders |
$ 707,738 | $ 165,837 | $ 332,823 | $ 248,849 | |||
| Net Assets Applicable to Common Shareholders Consist of: | |||||||
|
Common shares par value ($0.00001 per
share) |
$ —(c) | $ —(c) | $ 1 | $ 1 | |||
|
Capital paid in on shares of beneficial
interest |
627,107 | 177,530 | 649,451 | 496,847 | |||
|
Total distributable earnings (accumulated
losses) |
80,631 | (11,693) | (316,629) | (247,999) | |||
|
Net Assets Applicable to Common
Shareholders |
$ 707,738 | $ 165,837 | $ 332,823 | $ 248,849 | |||
|
Common Shares Issued and
Outstanding |
34,340,972 | 18,263,597 | 90,373,569 | 76,115,749 | |||
|
Net Asset Value Per Common
Share(d) |
$ 20.61 | $ 9.08 | $ 3.68 | $ 3.27 | |||
|
(1) Investment in securities at
cost |
$ 738,845 | $ 185,165 | $ 539,088 | $ 411,657 | |||
|
(2) Market value of securities on
loan |
$ 31,250 | $ — | $ 42,047 | $ 32,325 |
| (a) | Liquidation preference $66,000, net of deferred offering costs of $773. |
| (b) | Liquidation preference $22,000, net of deferred offering costs of $297. |
| (c) | Amount is less than $500 (not in thousands). |
| (d) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
| ACV | NFJ | NIE | |||
| Assets | |||||
|
Investment in securities at value(1)
|
$ 314,324 | $ 1,311,869 | $ 643,944 | ||
|
Cash
|
9,710 | 38,596 | 20,380 | ||
|
Deposits with broker for written
options |
19 | — | 82 | ||
| Receivables | |||||
|
Investment securities sold
|
2,612 | 1,305 | 6,284 | ||
|
Dividends and
interest |
1,402 | 1,817 | 985 | ||
|
Tax reclaims
|
— | 58 | — | ||
|
Prepaid Trustees’
retainer |
5 | 30 | 16 | ||
|
Prepaid expenses and other assets (Note
4) |
55 | 312 | 144 | ||
|
Total
assets |
328,127 | 1,353,987 | 671,835 | ||
| Liabilities | |||||
|
Loan Payable (Note 10B and
11) |
75,000 | — | — | ||
|
Mandatory redeemable preferred shares (Note
10A) |
30,000 | — | — | ||
|
Written options at value (Note
3)(2) |
23 | 1,051 | 116 | ||
| Payables | |||||
|
Investment securities
purchased |
5,434 | 3,519 | 10,921 | ||
|
Loan interest payable (Note 10B and
11) |
963 | — | — | ||
|
Investment advisory fees (Note
4) |
272 | 922 | 510 | ||
|
Interest on mandatory redeemable preferred shares (Note
10A) |
110 | — | — | ||
|
Professional fees
|
55 | 60 | 56 | ||
|
Trustee deferred compensation plan (Note
4) |
55 | 312 | 144 | ||
|
Administration and accounting
fees |
30 | 125 | 61 | ||
|
Dividend distributions
|
— (a) | — | — | ||
|
Other accrued
expenses |
28 | 107 | 50 | ||
|
Total
liabilities |
111,970 | 6,096 | 11,858 | ||
|
Net Assets Applicable to Common
Shareholders |
$ 216,157 | $ 1,347,891 | $ 659,977 | ||
| Net Assets Applicable to Common Shareholders Consist of: | |||||
|
Common shares par value ($0.00001 per
share) |
$ —(a) | $ 1 | $ —(a) | ||
|
Capital paid in on shares of beneficial
interest |
229,625 | 1,276,956 | 645,892 | ||
|
Total distributable earnings (accumulated
losses) |
(13,468) | 70,934 | 14,085 | ||
|
Net Assets Applicable to Common
Shareholders |
$ 216,157 | $ 1,347,891 | $ 659,977 | ||
|
Common Shares Issued and
Outstanding |
10,367,192 | 94,801,581 | 27,708,965 | ||
|
Net Asset Value Per Common
Share(b) |
$ 20.85 | $ 14.22 | $ 23.82 | ||
|
(1) Investment in securities at
cost |
$ 309,762 | $ 1,276,602 | $ 625,188 | ||
|
(2) Written options premiums
received |
$ 26 | $ 964 | $ 130 |
| (a) | Amount is less than $500 (not in thousands). |
| (b) | Net Asset Value Per Common Share is calculated using unrounded net assets. |
| AIO | CBH | NCV | NCZ | ||||
| Investment Income | |||||||
|
Interest
|
$ 11,612 | $12,689 | $ 21,848 | $ 16,257 | |||
|
Dividends
|
4,915 | 512 | 2,698 | 1,979 | |||
|
Security lending, net of
fees |
442 | 11 | 49 | 33 | |||
|
Foreign taxes withheld
|
(80) | — | (—) (1) | (—) (1) | |||
|
Total investment
income |
16,889 | 13,212 | 24,595 | 18,269 | |||
| Expenses | |||||||
|
Investment advisory
fees |
9,928 | 1,737 | 3,927 | 2,975 | |||
|
Administration and accounting
fees |
856 | 254 | 603 | 459 | |||
|
Printing fees and expenses
|
205 | 19 | 46 | 35 | |||
|
Trustees’ fees and
expenses |
83 | 20 | 44 | 33 | |||
|
Professional fees
|
76 | 41 | 58 | 17 | |||
|
Transfer agent fees and
expenses |
13 | 12 | 22 | 20 | |||
|
Miscellaneous
expenses |
63 | 48 | 159 | 136 | |||
|
Total expenses before interest
expense |
11,224 | 2,131 | 4,859 | 3,675 | |||
|
Interest on mandatory redeemable preferred shares and amortization of deferred offering costs on preferred shares (Note
10A) |
— | — | 2,821 | 949 | |||
|
Loan interest (Note
9) |
7,509 | 3,809 | 4,361 | 2,678 | |||
|
Total expenses after interest
expense |
18,733 | 5,940 | 12,041 | 7,302 | |||
|
Less expenses reimbursed and/or waived by investment adviser (Note
4D) |
(699) | (78) | (453) | (324) | |||
|
Net
expenses |
18,034 | 5,862 | 11,588 | 6,978 | |||
|
Net investment income
(loss) |
(1,145) | 7,350 | 13,007 | 11,291 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | |||||||
| Net realized gain (loss) from: | |||||||
|
Investments |
30,207 | (4,741) | (35,798) | (27,826) | |||
| Net change in unrealized appreciation (depreciation) on: | |||||||
|
Investments |
56,367 | 3,935 | 31,239 | 23,920 | |||
|
Net realized and unrealized gain (loss) on
investments |
86,574 | (806) | (4,559) | (3,906) | |||
|
Dividends on cumulative preferred shares from net investment
income |
— | — | (5,625) | (5,995) | |||
|
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations |
$85,429 | $ 6,544 | $ 2,823 | $ 1,390 |
| (1) | Amount is less than $500 (not in thousands). |
| ACV | NFJ | NIE | |||
| Investment Income | |||||
|
Interest
|
$ 6,125 | $ 5,040 | $ 4,568 | ||
|
Dividends
|
2,461 | 25,927 | 7,090 | ||
|
Foreign taxes withheld
|
(2) | (111) | (10) | ||
|
Total investment
income |
8,584 | 30,856 | 11,648 | ||
| Expenses | |||||
|
Investment advisory
fees |
3,172 | 11,842 | 6,301 | ||
|
Administration and accounting
fees |
345 | 1,419 | 684 | ||
|
Printing fees and expenses
|
85 | 288 | 134 | ||
|
Professional fees
|
46 | 128 | 84 | ||
|
Trustees’ fees and
expenses |
26 | 163 | 80 | ||
|
Transfer agent fees and
expenses |
20 | 13 | 12 | ||
|
Miscellaneous
expenses |
85 | 151 | 59 | ||
|
Total expenses before interest
expense |
3,779 | 14,004 | 7,354 | ||
|
Interest on mandatory redeemable preferred shares (Note
10A) |
1,302 | — | — | ||
|
Loan interest (Note 10B and
11) |
3,533 | — | — | ||
|
Total expenses after interest
expense |
8,614 | 14,004 | 7,354 | ||
|
Less expenses reimbursed and/or waived by investment adviser (Note
4D) |
(225) | (1,373) | (613) | ||
|
Net
expenses |
8,389 | 12,631 | 6,741 | ||
|
Net investment income
(loss) |
195 | 18,225 | 4,907 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | |||||
| Net realized gain (loss) from: | |||||
|
Investments |
(8,695) | 120,393 | 14,738 | ||
|
Foreign currency
transactions |
— | (7) | — | ||
|
Written
options |
196 | (4,669) | 1,053 | ||
| Net change in unrealized appreciation (depreciation) on: | |||||
|
Investments |
26,909 | (39,304) | 73,057 | ||
|
Written
options |
(1) | 848 | (4) | ||
|
Net realized and unrealized gain (loss) on
investments |
18,409 | 77,261 | 88,844 | ||
|
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations |
$18,604 | $ 95,486 | $93,751 |
| AIO | CBH | ||||||
| Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 |
Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 | ||||
| Increase
(Decrease) In Net Assets From Operations |
|||||||
|
Net investment income
(loss) |
$ (1,145) | $ (317) | $ 7,350 | $ 4,931 | |||
|
Net realized gain
(loss) |
30,207 | (6,358) | (4,741) | (247) | |||
|
Net change in unrealized appreciation
(depreciation) |
56,367 | (77,872) | 3,935 | (2,571) | |||
|
Increase (decrease) in net assets resulting from
operations |
85,429 | (84,547) | 6,544 | 2,113 | |||
| From Dividends and Distributions to Common Shareholders | |||||||
|
Net investment income and net realized
gains |
(17,085) | (47,652) | (9,237) | (11,741) | |||
|
Return of
capital |
(44,729) | (14,157) | (845) | — | |||
|
Dividends and Distributions to Common
Shareholders |
(61,814) | (61,809) | (10,082) | (11,741) | |||
| From Capital Share Transactions | |||||||
|
Reinvestment of distributions resulting in the issuance of common stock (AIO: 0 and 0 shares, respectively; CBH: 0 and 506 shares,
respectively) |
— | — | — | 5 | |||
|
Increase (decrease) in net assets from capital
transactions |
— | — | — | 5 | |||
|
Net increase (decrease) in net
assets |
23,615 | (146,356) | (3,538) | (9,623) | |||
| Net Assets | |||||||
|
Beginning of
period |
684,123 | 830,479 | 169,375 | 178,998 | |||
|
End of
period |
$707,738 | $ 684,123 | $165,837 | $169,375 | |||
| NCV | NCZ | ||||||
| Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 |
Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 | ||||
| Increase
(Decrease) In Net Assets From Operations |
|||||||
|
Net investment income
(loss) |
$ 13,007 | $ 17,298 | $ 11,291 | $ 13,555 | |||
|
Net realized gain
(loss) |
(35,798) | (63,874) | (27,826) | (47,975) | |||
|
Net change in unrealized appreciation
(depreciation) |
31,239 | (34,661) | 23,920 | (27,276) | |||
|
Increase (decrease) in net assets resulting from
operations |
8,448 | (81,237) | 7,385 | (61,696) | |||
|
Dividends on Auction-Rate and Cumulative Preferred Shares from Net Investment
Income |
(5,625) | (10,076) | (5,995) | (9,239) | |||
|
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations |
2,823 | (91,313) | 1,390 | (70,935) | |||
| From Dividends and Distributions to Common Shareholders | |||||||
|
Net investment income and net realized
gains |
(5,571) | (9,639) | (3,798) | (6,136) | |||
|
Return of
capital |
(32,838) | (36,451) | (24,745) | (28,116) | |||
|
Dividends and Distributions to Common
Shareholders |
(38,409) | (46,090) | (28,543) | (34,252) | |||
| Preferred Share Transactions: | |||||||
|
Net increase resulting from tender of Auction-Rate Preferred Shares (see Note
8) |
— | 4,562 | — | 3,307 | |||
|
Increase (decrease) in net assets from preferred share
transactions |
— | 4,562 | — | 3,307 | |||
|
Net increase (decrease) in net
assets |
(35,586) | (132,841) | (27,153) | (101,880) | |||
| Net Assets | |||||||
|
Beginning of
period |
368,409 | 501,250 | 276,002 | 377,882 | |||
|
End of
period |
$332,823 | $ 368,409 | $248,849 | $ 276,002 | |||
| ACV | NFJ | ||||||
| Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 |
Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 | ||||
| Increase
(Decrease) In Net Assets From Operations |
|||||||
|
Net investment income
(loss) |
$ 195 | $ (171) | $ 18,225 | $ 7,775 | |||
|
Net realized gain
(loss) |
(8,499) | (5,809) | 115,717 | (2,684) | |||
|
Net change in unrealized appreciation
(depreciation) |
26,908 | (32,115) | (38,456) | (113,682) | |||
|
Increase (decrease) in net assets resulting from
operations |
18,604 | (38,095) | 95,486 | (108,591) | |||
| From Dividends and Distributions to Common Shareholders | |||||||
|
Net investment income and net realized
gains |
— | (24,415) | (92,906) | (94,470) | |||
|
Return of
capital |
(22,389) | — | — | — | |||
|
Dividends and Distributions to Common
Shareholders |
(22,389) | (24,415) | (92,906) | (94,470) | |||
| From Capital Share Transactions | |||||||
|
Reinvestment of distributions resulting in the issuance of common stock (ACV: 4,238 and 561 shares, respectively; NFJ: 0 and 0 shares,
respectively) |
89 | 15 | — | — | |||
|
Increase (decrease) in net assets from capital
transactions |
89 | 15 | — | — | |||
|
Net increase (decrease) in net
assets |
(3,696) | (62,495) | 2,580 | (203,061) | |||
| Net Assets | |||||||
|
Beginning of
period |
219,853 | 282,348 | 1,345,311 | 1,548,372 | |||
|
End of
period |
$216,157 | $219,853 | $1,347,891 | $1,345,311 | |||
| NIE | |||
| Year
Ended January 31, 2024 |
Year
Ended January 31, 2023 | ||
| Increase
(Decrease) In Net Assets From Operations |
|||
|
Net investment income
(loss) |
$ 4,907 | $ 2,928 | |
|
Net realized gain
(loss) |
15,791 | 5,373 | |
|
Net change in unrealized appreciation
(depreciation) |
73,053 | (116,729) | |
|
Increase (decrease) in net assets resulting from
operations |
93,751 | (108,428) | |
| From Dividends and Distributions to Common Shareholders | |||
|
Net investment income and net realized
gains |
(30,712) | (110,185) | |
|
Return of
capital |
(24,706) | — | |
|
Dividends and Distributions to Common
Shareholders |
(55,418) | (110,185) | |
|
Net increase (decrease) in net
assets |
38,333 | (218,613) | |
| Net Assets | |||
|
Beginning of
period |
621,644 | 840,257 | |
|
End of
period |
$659,977 | $ 621,644 | |
| AIO | CBH | NCV | NCZ | ACV | |||||
| Increase (Decrease) in cash | |||||||||
| Cash Flows provided by (Used for) Operating Activities: | |||||||||
|
Net increase (decrease) in net assets resulting from operations
|
$ 85,429 | $ 6,544 | $ 2,823 | $ 1,390 | $ 18,604 | ||||
| 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
|
646,138 | 166,868 | 667,115 | 508,187 | 384,675 | ||||
|
(Increase) Decrease in investment securities sold receivable
|
— | 987 | 5,212 | 3,922 | 300 | ||||
|
Purchases of long-term investments
|
(576,009) | (102,638) | (574,253) | (442,269) | (359,880) | ||||
|
Increase (Decrease) in investment securities purchased payable
|
2,162 | 997 | (2,580) | (1,585) | 1,352 | ||||
|
Net (purchases) or sales of short-term
investments |
28,952 | (1,858) | 18,298 | 10,066 | 7,908 | ||||
|
Net purchases or (sales) in written options
|
— | — | — | — | 214 | ||||
|
Net change in unrealized (appreciation)/depreciation on long-term
investments |
(56,367) | (3,935) | (31,239) | (23,920) | (26,909) | ||||
|
Net change in unrealized (appreciation)/depreciation on written
options |
— | — | — | — | 1 | ||||
|
Net realized (gain)/loss from
investments |
(30,207) | 4,741 | 35,798 | 27,826 | 8,695 | ||||
|
Net realized (gain)/loss from written
options |
— | — | — | — | (196) | ||||
|
Amortization of premium and accretion of discounts on investments
|
(1,524) | (1,518) | (2,613) | (2,039) | (929) | ||||
|
Amortization of deferred offering costs on mandatory redeemable preferred
shares |
— | — | 121 | 49 | — | ||||
|
Proceeds from litigation
settlements |
— | — | 38 | 28 | 14 | ||||
|
(Increase) Decrease in tax reclaims
receivable |
(13) | — | — | — | — | ||||
|
(Increase) Decrease in dividends and interest receivable
|
(774) | 265 | 54 | (87) | (76) | ||||
|
(Increase) Decrease in security lending
receivable |
18 | — | (8) | (7) | — | ||||
|
(Increase) Decrease in other
receivables |
47 | 12 | 25 | 19 | 16 | ||||
|
(Increase) Decrease in prepaid trustees’ retainer
|
11 | 3 | 6 | 6 | 3 | ||||
|
Increase (Decrease) in loan interest
payable |
(41) | (263) | (443) | (186) | 21 | ||||
|
Increase (Decrease) in payable for collateral securities on
loan |
(10,520) | (1,000) | 9,844 | 8,704 | — | ||||
|
Increase (Decrease) in affiliated expenses
payable |
62 | 2 | (9) | (2) | 21 | ||||
|
Increase (Decrease) in non-affiliated expenses
payable |
(94) | (139) | (112) | (138) | (59) | ||||
|
Increase (Decrease) in interest payable on mandatory redeemable preferred
shares |
— | — | 319 | 108 | — | ||||
|
Cash provided by (used for) operating
activities |
87,270 | 69,068 | 128,396 | 90,072 | 33,775 | ||||
| Cash provided (used for) financing activities: | |||||||||
|
Cash received from borrowings
|
— | 3,000 | — | — | — | ||||
|
Cash payments to reduce
borrowings |
(53,000) | (136,000) | (70,000) | — | |||||
|
Cash distributions paid to shareholders
|
(66,965) | (10,922) | (42,247) | (31,397) | (24,165) | ||||
|
Proceeds from issuance of mandatory redeemable preferred
shares |
— | — | 66,000 | 22,000 | — | ||||
|
Offering costs on mandatory redeemable preferred
shares |
— | — | (894) | (346) | — | ||||
|
Cash provided (used for) financing
activities: |
(66,965) | (60,922) | (113,141) | (79,743) | (24,165) | ||||
| Net increase/decrease in cash | |||||||||
|
Net increase (decrease) in
cash |
20,305 | 8,146 | 15,255 | 10,329 | 9,610 | ||||
|
Restricted and unrestricted cash at beginning of
period |
100 | 128 | 103 | 131 | 119 | ||||
|
Restricted and unrestricted cash at end of
period |
$ 20,405 | $ 8,274 | $ 15,358 | $ 10,460 | $ 9,729 | ||||
| Supplemental cash flow information: | |||||||||
| Cash paid during the period for interest expense on loan payable | $ 7,550 | $ 4,072 | $ 4,804 | $ 2,864 | $ 3,512 | ||||
| Cash paid during the period for interest to mandatory redeemable preferred shares | $ — | $ — | $ 2,821 | $ 949 | $ 1,302 | ||||
| Reinvestment of dividends and distributions | $ — | $ — | $ — | $ — | $ 89 | ||||
| Reconciliation of restricted and unrestricted cash at the end of period to the statement of assets and liabilities: | |||||||||
| Cash | $ 20,405 | $ 8,274 | $ 15,358 | $ 10,460 | $ 9,710 | ||||
| Deposits with broker for written options | — | — | — | — | 19 | ||||
| $ 20,405 | $ 8,274 | $ 15,358 | $ 10,460 | $ 9,729 |
| Year Ended January 31, | 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 | |||||||||
| 2024 | 2023 | |||||||||||
| PER SHARE DATA: | ||||||||||||
|
Net asset value, beginning of
period |
$ 19.92 | $ 24.18 | $ 29.20 | $ 19.89 | $ 20.00 | |||||||
| Income (loss) from investment operations: | ||||||||||||
|
Net investment income
(loss)(3) |
(0.03) | (0.01) | (0.18) | (0.08) | (0.01) | |||||||
|
Net realized and unrealized gain
(loss) |
2.52 | (2.45) | 0.01 | 11.88 | 0.23 | |||||||
|
Total from investment
operations |
2.49 | (2.46) | (0.17) | 11.80 | 0.22 | |||||||
| Dividends and Distributions to Shareholders: | ||||||||||||
|
Net investment
income |
(0.50) | (1.39) | (1.40) | — | — | |||||||
|
Net realized
gains |
— | — | (3.45) | (2.49) | (0.33) | |||||||
|
Return of
capital |
(1.30) | (0.41) | — | — | — | |||||||
|
Total dividends and distributions to
shareholders |
(1.80) | (1.80) | (4.85) | (2.49) | (0.33) | |||||||
|
Net asset value, end of
period |
$ 20.61 | $ 19.92 | $ 24.18 | $ 29.20 | $ 19.89 | |||||||
|
Market value, end of
period |
$ 18.68 | $ 17.42 | $ 23.58 | $ 27.41 | $ 17.72 | |||||||
|
Total return, net asset value(4),
(5) |
13.56% | (10.03)% | (1.85)% | —% (6) | —% (6) | |||||||
|
Total return, market value(4),
(5) |
18.84% | (18.42)% | 2.75% | 71.09% | (9.92)% | |||||||
| RATIOS/SUPPLEMENTAL DATA: | ||||||||||||
|
Ratio of net expenses after interest expense to average net assets(7),
(8) |
2.71% | 2.04% | 1.47% (9), (10) | 1.42% (9) | 1.34% (10) | |||||||
|
Ratio of total expenses after interest expense to average net
assets(7) |
2.82% | 2.17% | 1.56% (9), (10) | 1.43% (9) | 1.34% (10) | |||||||
|
Ratio of net investment income (loss) to average net
assets(7) |
(0.17)% | (0.04)% | (0.66)% (9), (10) | (0.33)% (9) | (0.15)% (10) | |||||||
|
Portfolio turnover
rate(4) |
75% | 53% | 53% | 103% | 56% | |||||||
|
Net assets, end of period
(000’s) |
$707,738 | $684,123 | $ 830,479 | $1,002,838 | $682,816 | |||||||
|
Loan payable, end of period
(000’s) |
$130,000 | $130,000 | $ 30,000 | $ 30,000 | $ 30,000 | |||||||
|
Asset coverage, per $1,000 principal amount of loan
payable |
$ 6,444 | $ 6,262 | $ 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) | Ratio of net expenses, before interest expense, was 1.58%, 1.55%, 1.43%, 1.40% and 1.34% for the years ended January 31, 2024 and 2023, period ended January 31, 2022, year ended February 28, 2021 and period ended February 29, 2020, respectively. |
| (9) | Inclusive of excise tax expense of 0.06%(4) and 0.05% for the period ended January 31, 2022 and year ended February 28, 2021. |
| (10) | Certain expenses incurred by the Fund were not annualized. |
| Year Ended January 31, | Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year Ended February 28/29 | ||||||||||
| 2024 | 2023 | 2021 | 2020 | 2019 | ||||||||
| PER SHARE DATA: | ||||||||||||
|
Net asset value, beginning of
period |
$ 9.27 | $ 9.80 | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | ||||||
| Income (loss) from investment operations: | ||||||||||||
|
Net investment income
(loss)(2) |
0.40 | 0.27 | 0.25 | 0.41 | 0.43 | 0.48 | ||||||
|
Net realized and unrealized gain
(loss) |
(0.04) | (0.16) | (0.27) | 1.00 | 0.26 | (0.01) | ||||||
|
Total from investment
operations |
0.36 | 0.11 | (0.02) | 1.41 | 0.69 | 0.47 | ||||||
| Dividends and Distributions to Shareholders: | ||||||||||||
|
Net investment
income |
(0.50) | (0.55) | (0.51) | (0.39) | (0.44) | (0.50) | ||||||
|
Net realized
gains |
— | (0.09) | (0.38) | (0.16) | (0.11) | (0.05) | ||||||
|
Return of
capital |
(0.05) | — | — | — | — | — | ||||||
|
Total dividends and distributions to
shareholders |
(0.55) | (0.64) | (0.89) | (0.55) | (0.55) | (0.55) | ||||||
|
Net asset value, end of
period |
$ 9.08 | $ 9.27 | $ 9.80 | $ 10.71 | $ 9.85 | $ 9.71 | ||||||
|
Market value, end of
period |
$ 8.79 | $ 9.00 | $ 9.88 | $ 10.04 | $ 9.14 | $ 9.00 | ||||||
|
Total return, net asset value(3),
(4) |
4.07% | 1.40% | (0.28)% | —% (5) | —% (5) | —% (5) | ||||||
|
Total return, market value(3),
(4) |
4.02% | (2.18)% | 7.33% | 16.68% | 7.63% | 3.72% | ||||||
| RATIOS/SUPPLEMENTAL DATA: | ||||||||||||
|
Ratio of net expenses after interest expense to average net assets(6),
(7) |
3.53% | 2.41% (8) | 1.62% (8), (9) | 1.72% (8) | 2.38% (8) | 2.60% (8) | ||||||
|
Ratio of total expenses after interest expense to average net
assets(6) |
3.57% | 2.48% (8) | 1.72% (8), (9) | 1.73% (8) | 2.38% (8) | 2.60% (8) | ||||||
|
Ratio of net investment income (loss) to average net
assets(6) |
4.42% | 2.91% (8) | 2.58% (8), (9) | 4.24% (8) | 4.34% (8) | 4.94% (8) | ||||||
|
Portfolio turnover
rate(3) |
48% | 18% | 56% | 101% | 86% | 116% | ||||||
|
Net assets, end of period
(000’s) |
$165,837 | $169,375 | $ 178,998 | $195,606 | $179,907 | $177,319 | ||||||
|
Loan payable, end of period
(000’s) |
$ 19,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | ||||||
|
Asset coverage, per $1,000 principal amount of loan
payable |
$ 9,418 | $ 3,430 | $ 3,568 | $ 3,806 | $ 3,581 | $ 3,544 | ||||||
| (1) | The Fund had a fiscal year end change from February 28 to January 31. |
| (2) | Calculated using average 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) | Annualized for periods less than one year. |
| (7) | Ratio of net expenses, before interest expense, was 1.23%, 1.30%, 1.37%, 1.33%, 1.31% and 1.36% for the years ended January 31, 2024 and 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020 and 2019, respectively. |
| (8) | Inclusive of excise tax expense of 0.06%, 0.15%(5), 0.08%, 0.07% and 0.08% for the year ended January 31, 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020 and 2019, respectively. |
| (9) | Certain expenses incurred by the Fund were not annualized. |
| Year Ended January 31, | Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year Ended February 28/29 | ||||||||||
| 2024 | 2023 | 2021 | 2020 | 2019 | ||||||||
| PER SHARE DATA: | ||||||||||||
|
Net asset value, beginning of
period |
$ 4.08 | $ 5.55 | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | ||||||
| Income (loss) from investment operations: | ||||||||||||
|
Net investment income
(loss)(2) |
0.14 | 0.19 | 0.21 | 0.37 | 0.52 | 0.56 | ||||||
|
Net realized and unrealized gain
(loss) |
(0.05) | (1.09) | (0.59) | 1.35 | (0.02) | (0.64) | ||||||
|
Total from investment
operations |
0.09 | (0.90) | (0.38) | 1.72 | 0.50 | (0.08) | ||||||
| Dividends on Preferred Shares from Net Investment Income: | (0.06) | (0.11) | (0.06) | (0.07) | (0.14) | (0.12) | ||||||
|
Net increase (decrease) in net assets applicable to common shareholders resulting from investment
operations |
0.03 | (1.01) | (0.44) | 1.65 | 0.36 | (0.20) | ||||||
| Dividends and Distributions to Shareholders: | ||||||||||||
|
Net investment
income |
(0.07) | (0.11) | (0.16) | (0.31) | (0.42) | (0.50) | ||||||
|
Return of
capital |
(0.36) | (0.40) | (0.31) | (0.21) | (0.22) | (0.28) | ||||||
|
Total dividends and distributions to
shareholders |
(0.43) | (0.51) | (0.47) | (0.52) | (0.64) | (0.78) | ||||||
| Preferred Shares Transactions: | ||||||||||||
|
Accretion to net asset value, resulting from tender offer of Auction-Rate Preferred
shares |
— | 0.05 | — | — | — | 0.09 | ||||||
|
Capital change resulting from issuance of Cumulative Preferred Shares and related offering
costs |
— | — | — | — | — | (0.04) | ||||||
|
Net asset value, end of
period |
$ 3.68 | $ 4.08 | $ 5.55 | $ 6.46 | $ 5.33 | $ 5.61 | ||||||
|
Market value, end of
period |
$ 3.28 | $ 3.96 | $ 5.31 | $ 5.68 | $ 5.10 | $ 6.24 | ||||||
|
Total return, net asset value(3),
(4) |
0.98% | (17.30)% | (7.41)% | —% (5) | —% (5) | —% (5) | ||||||
|
Total return, market value(3),
(4) |
(6.04)% | (15.20)% | 1.14% | 24.29% | (8.51)% | 2.00% | ||||||
| RATIOS/SUPPLEMENTAL DATA: | ||||||||||||
|
Ratio of net expenses after interest expense to average net assets(6), (7),
(8) |
3.41% | 2.08% (9) | 1.39% | 1.45% | 1.53% | 1.56% (9) | ||||||
|
Ratio of total expenses after interest expense to average net assets(6),
(7) |
3.54% | 2.27% (9) | 1.55% | 1.48% | 1.53% | 1.56% (9) | ||||||
|
Ratio of net investment income (loss) to average net assets(6),
(7) |
3.83% | 4.38% | 3.69% | 7.04% | 9.30% | 9.22% | ||||||
|
Portfolio turnover
rate(3) |
107% | 71% | 54% | 73% | 35% | 41% | ||||||
|
Net assets, end of period
(000’s) |
$332,823 | $368,409 | $501,250 | $583,944 | $481,633 | $502,648 | ||||||
|
Loan payable, end of period
(000’s) |
$ 34,000 | $170,000 | $ 28,852 | $ 28,852 | $ 28,852 | $ 28,852 | ||||||
|
Mandatory redeemable preferred shares, end of period
(000’s) |
$ 66,000 | $ — | $ — | $ — | $ — | $ — | ||||||
|
Asset coverage, per $1,000 principal amount of loan
payable(10) |
$ 15,671 | $ 3,755 | $ 29,578 | $ 32,444 | $ 28,898 | $ 29,627 | ||||||
|
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares and mandatory redeemable preferred
shares(11) |
$ 67 | $ 59 | $ 61 | $ 70 | $ 62 | $ 64 | ||||||
|
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred
shares |
N/A | N/A | $ 60,587 | $ 70,027 | $ 62,132 | $ 63,572 | ||||||
|
Cumulative Preferred shares average market
value(12) |
$ 21.46 | $ 23.64 | $ 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 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 1.30%, 1.46%, 1.31%, 1.35%, 1.33% and 1.34% for the years ended January 31, 2024 and 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020 and 2019, respectively. |
| (9) | Inclusive of tender offer expenses of 0.03% for the years ended January 31, 2023 and February 28, 2019. |
| (10) | Represents value of net assets applicable to common stock plus the loan payable, cumulative preferred shares, and mandatory redeemable preferred shares (cumulatively, “total borrowings”) at the end of the period divided by the loan payable at the end of the period multiplied by $1,000. |
| (11) | Represents value of net assets applicable to common stock plus total borrowings at the end of the period divided by the total borrowings at the end of the period multiplied by $25. |
| (12) | Based on daily closing market prices. |
| Year Ended January 31, | Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year Ended February 28/29 | ||||||||||
| 2024 | 2023 | 2021 | 2020 | 2019 | ||||||||
| PER SHARE DATA: | ||||||||||||
|
Net asset value, beginning of
period |
$ 3.63 | $ 4.96 | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | ||||||
| Income (loss) from investment operations: | ||||||||||||
|
Net investment income
(loss)(2) |
0.15 | 0.18 | 0.19 | 0.34 | 0.48 | 0.50 | ||||||
|
Net realized and unrealized gain
(loss) |
(0.05) | (0.98) | (0.54) | 1.20 | (0.03) | (0.57) | ||||||
|
Total from investment
operations |
0.10 | (0.80) | (0.35) | 1.54 | 0.45 | (0.07) | ||||||
| Dividends on Preferred Shares from Net Investment Income: | (0.08) | (0.12) | (0.07) | (0.08) | (0.14) | (0.12) | ||||||
|
Net increase (decrease) in net assets applicable to common shareholders resulting from investment
operations |
0.02 | (0.92) | (0.42) | 1.46 | 0.31 | (0.19) | ||||||
| Dividends and Distributions to Shareholders: | ||||||||||||
|
Net investment
income |
(0.05) | (0.08) | (0.12) | (0.27) | (0.36) | (0.45) | ||||||
|
Return of
capital |
(0.33) | (0.37) | (0.29) | (0.19) | (0.19) | (0.24) | ||||||
|
Total dividends and distributions to
shareholders |
(0.38) | (0.45) | (0.41) | (0.46) | (0.55) | (0.69) | ||||||
| Preferred Shares Transactions: | ||||||||||||
|
Accretion to net asset value, resulting from tender offer of Auction-Rate Preferred
shares |
— | 0.04 | — | — | — | 0.09 | ||||||
|
Capital change resulting from issuance of Cumulative Preferred Shares and related offering
costs |
— | — | — | — | — | (0.05) | ||||||
|
Net asset value, end of
period |
$ 3.27 | $ 3.63 | $ 4.96 | $ 5.79 | $ 4.79 | $ 5.03 | ||||||
|
Market value, end of
period |
$ 2.88 | $ 3.33 | $ 4.62 | $ 5.01 | $ 4.54 | $ 5.44 | ||||||
|
Total return, net asset value(3),
(4) |
0.76% | (17.84)% | (7.95)% | —% (5) | —% (5) | —% (5) | ||||||
|
Total return, market value(3),
(4) |
(1.94)% | (17.85)% | (0.19)% | 22.81% | (6.98)% | 1.14% | ||||||
| RATIOS/SUPPLEMENTAL DATA: | ||||||||||||
|
Ratio of net expenses after interest expense to average net assets(6), (7),
(8) |
2.74% | 2.00% (9) | 1.40% | 1.44% | 1.41% | 1.53% (9) | ||||||
|
Ratio of total expenses after interest expense to average net assets(6),
(7) |
2.87% | 2.18% (9) | 1.55% | 1.47% | 1.41% | 1.53% (9) | ||||||
|
Ratio of net investment income (loss) to average net assets(6),
(7) |
4.44% | 4.57% | 3.73% | 7.18% | 9.48% | 9.28% | ||||||
|
Portfolio turnover
rate(3) |
108% | 72% | 54% | 73% | 35% | 41% | ||||||
|
Net assets, end of period
(000’s) |
$248,849 | $276,002 | $377,882 | $440,994 | $364,382 | $379,901 | ||||||
|
Loan payable, end of period
(000’s) |
$ 25,000 | $ 95,000 | $ — | $ — | $ — | $ — | ||||||
|
Mandatory redeemable preferred shares, end of period
(000’s) |
$ 22,000 | $ — | $ — | $ — | $ — | $ — | ||||||
|
Asset coverage, per $1,000 principal amount of loan
payable(10) |
$ 16,194 | $ 5,053 | $ — | $ — | $ — | $ — | ||||||
|
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares and mandatory redeemable preferred
shares(11) |
$ 65 | $ 59 | $ 60 | $ 65 | $ 58 | $ 60 | ||||||
|
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred
shares |
N/A | N/A | $ 59,793 | $ 65,454 | $ 58,421 | $ 59,845 | ||||||
|
Cumulative Preferred shares average market
value(12) |
$ 21.08 | $ 23.53 | $ 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 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 1.33%, 1.36%, 1.53%, 1.35%, 1.39%, 1.36%, 1.39% and 1.24% for the years ended January 31, 2024 and 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020 and 2019, respectively. |
| (9) | Inclusive of tender offer expenses of 0.04% for the years ended January 31, 2023 and February 28, 2019. |
| (10) | Represents value of net assets applicable to common stock plus the loan payable, cumulative preferred shares, and mandatory redeemable preferred shares (cumulatively, “total borrowings”) at the end of the period divided by the loan payable at the end of the period multiplied by $1,000. |
| (11) | Represents value of net assets applicable to common stock plus total borrowings at the end of the period divided by the total borrowings at the end of the period multiplied by $25. |
| (12) | Based on daily closing market prices. |
| Year Ended January 31, | |||||||||
| 2024 | 2023 | 2022 | 2021 | 2020 | |||||
| PER SHARE DATA: | |||||||||
|
Net asset value, beginning of
period |
$ 21.22 | $ 27.25 | $ 35.15 | $ 24.81 | $ 22.05 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income
(loss)(1) |
0.02 | (0.02) | (0.17) | 0.01 | 0.11 | ||||
|
Net realized and unrealized gain
(loss) |
1.77 | (3.65) | 0.09 | 12.71 | 4.65 | ||||
|
Total from investment
operations |
1.79 | (3.67) | (0.08) | 12.72 | 4.76 | ||||
| Dividends and Distributions to Common Shareholders: | |||||||||
|
Net investment
income |
— | (2.16) | (2.02) | (1.19) | (0.42) | ||||
|
Net realized
gains |
— | (0.20) | (5.80) | (1.19) | (1.58) | ||||
|
Return of
capital |
(2.16) | — | — | — | — | ||||
|
Total dividends and distributions to common
shareholders |
(2.16) | (2.36) | (7.82) | (2.38) | (2.00) | ||||
|
Net asset value, end of
period |
$ 20.85 | $ 21.22 | $ 27.25 | $ 35.15 | $ 24.81(2) | ||||
|
Market value, end of
period |
$ 22.44 | $ 22.62 | $ 27.75 | $ 32.25 | $ 25.22 | ||||
|
Total return, net asset
value(3) |
9.20% | (13.45)% | (2.32)% | —% (4) | —% (4) | ||||
|
Total return, market
value(3) |
10.61% | (9.06)% | 7.46% | 40.11% | 29.04% | ||||
| RATIOS/SUPPLEMENTAL DATA: | |||||||||
|
Ratio of net expenses after interest expense to average net
assets(5) |
3.95% | 3.36% | 2.47% (6) | 2.84% (6) | 3.32% | ||||
|
Ratio of total expenses after interest expense to average net
assets |
4.06% | 3.49% | 2.55% (6) | 2.84% (6) | 3.32% | ||||
|
Ratio of net investment income (loss) to average net
assets |
0.09% | (0.07)% | (0.48)% (6) | 0.05% (6) | 0.47% | ||||
|
Portfolio turnover
rate |
119% | 94% | 108% | 128% | 120% | ||||
|
Net assets, end of period
(000’s) |
$216,157 | $219,853 | $282,348 | $363,899 | $256,724 | ||||
|
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(7) |
$ 4,282 | $ 4,331 | $ 5,165 | $ 6,252 | $ 4,823 | ||||
|
Asset coverage ratio on total leverage
(8) |
306% | 309% | 369% | 447% | 344% | ||||
|
Asset coverage, per $25 liquidation preference per share of mandatory redeemable preferred
shares(9) |
$ 76 | $ 77 | $ 92 | $ 112 | $ 86 | ||||
| (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) | Ratio of net expenses, before interest expense to average net assets was 2.28%, 2.17%, 1.85%, 2.03%, and 2.14% for the years ended January 31, 2024, 2023, 2022, 2021 and 2020, respectively. |
| (6) | Inclusive of excise tax expense of 0.04% and 0.05% for the years ended January 31, 2022 and 2021, respectively. |
| (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 borrowings at the end of the period multiplied by $1,000. |
| (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. |
| (9) | 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. |
| Year Ended January 31, | |||||||||
| 2024 | 2023 | 2022 | 2021 | 2020 | |||||
| PER SHARE DATA: | |||||||||
|
Net asset value, beginning of
period |
$ 14.19 | $ 16.33 | $ 15.21 | $ 14.34 | $ 13.52 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income
(loss)(1) |
0.19 | 0.08 | 0.05 | 0.13 | 0.24 | ||||
|
Net realized and unrealized gain
(loss) |
0.82 | (1.22) | 1.97 | 1.64 | 1.48 | ||||
|
Total from investment
operations |
1.01 | (1.14) | 2.02 | 1.77 | 1.72 | ||||
| Dividends and Distributions to Shareholders: | |||||||||
|
Net investment
income |
(0.98) | (0.98) | (0.90) | (0.13) | (0.26) | ||||
|
Net realized
gains |
— | (0.02) | — | (0.48) | (0.64) | ||||
|
Return of
capital |
— | — | — | (0.29) | — | ||||
|
Total dividends and distributions to
shareholders |
(0.98) | (1.00) | (0.90) | (0.90) | (0.90) | ||||
|
Net asset value, end of
period |
$ 14.22 | $ 14.19 | $ 16.33 | $ 15.21 | $ 14.34 | ||||
|
Market value, end of
period |
$ 12.18 | $ 12.31 | $ 14.73 | $ 13.28 | $ 13.09 | ||||
|
Total return, net asset
value(2) |
7.60% | (6.71)% | 13.39% | —% (3) | —% (3) | ||||
|
Total return, market
value(2) |
7.37% | (9.24)% | 17.77% | 9.71% | 18.17% | ||||
| RATIOS/SUPPLEMENTAL DATA: | |||||||||
|
Ratio of net expenses to average net
assets |
0.96% | 0.96% | 0.96% | 0.96% | 0.96% | ||||
|
Ratio of total expenses to average net
assets |
1.06% | 1.08% | 1.06% | 0.96% | 0.96% | ||||
|
Ratio of net investment income (loss) to average net
assets |
1.39% | 0.58% | 0.28% | 0.94% | 1.73% | ||||
|
Portfolio turnover
rate |
102% | 60% | 63% | 104% | 76% | ||||
|
Net assets, end of period
(000’s) |
$1,347,891 | $1,345,311 | $1,548,372 | $1,441,666 | $1,359,815 | ||||
| (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. |
| Year Ended January 31, | |||||||||
| 2024 | 2023 | 2022 | 2021 | 2020 | |||||
| PER SHARE DATA: | |||||||||
|
Net asset value, beginning of
period |
$ 22.43 | $ 30.32 | $ 30.91 | $ 24.89 | $ 22.53 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income
(loss)(1) |
0.18 | 0.11 | (0.09) | 0.06 | 0.18 | ||||
|
Net realized and unrealized gain
(loss) |
3.21 | (4.02) | 2.77 | 7.48 | 3.70 | ||||
|
Total from investment
operations |
3.39 | (3.91) | 2.68 | 7.54 | 3.88 | ||||
| Dividends and Distributions to Shareholders: | |||||||||
|
Net investment
income |
(1.11) | (2.00) | (1.52) | (0.09) | (0.20) | ||||
|
Net realized
gains |
— | (1.98) | (1.75) | (1.43) | (1.32) | ||||
|
Return of
capital |
(0.89) | — | — | — | — | ||||
|
Total dividends and distributions to
shareholders |
(2.00) | (3.98) | (3.27) | (1.52) | (1.52) | ||||
|
Net asset value, end of
period |
$ 23.82 | $ 22.43 | $ 30.32 | $ 30.91 | $ 24.89(2) | ||||
|
Market value, end of
period |
$ 21.33 | $ 20.28 | $ 27.33 | $ 27.78 | $ 23.14 | ||||
|
Total return, net asset
value(3) |
16.05% | (12.54)% | 8.22% | —% (4) | —% (4) | ||||
|
Total return, market
value(3) |
15.95% | (10.96)% | 9.80% | 28.21% | 20.83% | ||||
| RATIOS/SUPPLEMENTAL DATA: | |||||||||
|
Ratio of net expenses to average net
assets |
1.07% | 1.07% | 1.12% (5) | 1.07% | 1.07% | ||||
|
Ratio of total expenses to average net
assets |
1.17% | 1.18% | 1.22% (5) | 1.07% | 1.07% | ||||
|
Ratio of net investment income (loss) to average net
assets |
0.78% | 0.41% | (0.28)% (5) | 0.24% | 0.74% | ||||
|
Portfolio turnover
rate |
104% | 76% | 71% | 85% | 50% | ||||
|
Net assets, end of period
(000’s) |
$659,977 | $621,644 | $840,257 | $856,449 | $689,650 | ||||
| (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% for the years ended January 31, 2022. |
| A. | Security Valuation |
| The Funds’ Board of Trustees has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act. 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. |
| 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 and capital gain distributions are 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 instruments 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 and MLP 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 or excise taxes has been made. | |
| 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 |
| AIO, CBH, NCV, NCZ and ACV declare distributions on a monthly basis. NFJ and NIE 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 which may differ from U.S. GAAP. | |
| AIO and ACV have a Managed Distribution Plan which provides for the Funds to make a monthly distribution of $0.15 per share and $0.18 per share, respectively, as of January 31, 2024. NIE and NFJ have a Managed Distribution Plan which provides for the Funds to make a quarterly distribution of $0.50 per share and $0.245 per share, respectively, as of January 31, 2024. Effective with the March 2024 distribution, the NFJ rate was increased to $0.28 per share. | |
| 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 and each such other 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. | Foreign Currency Transactions |
| Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income instruments, the Funds bifurcate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on foreign currency transactions. For equity securities, the Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
| G. | Convertible Securities |
| The 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. | |
| H. | 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. | |
| I. | 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. | |
| J. | 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. | |
| A Fund may invest in both secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain financial metrics. The lack of financial maintenance covenants in covenant lite loans increases the risk that the applicable Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a downturn in the credit cycle. | |
| K. | Warrants |
| The Funds may receive warrants. Warrants are securities that are usually issued together with a debt instrument 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 instruments. 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 instruments 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, and are inclusive of dollar denominated cash, foreign currency, and deposit with brokers for written options. |
| 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 year ended January 31, 2024, ACV, NFJ and NIE 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, and location as presented in the Statements of Assets and Liabilities at January 31, 2024: |
| Statement Line Description | Primary Risk | ACV | NFJ | NIE | |
| Liability Derivatives | |||||
| Written options at value | Equity contracts | $(23) | $(1,051) | $(116) | |
| Total Liabilities | $(23) | $(1,051) | $(116) | ||
| Statement Line Description | Primary Risk | ACV | NFJ | NIE | ||
| Net Realized Gain (Loss) from | ||||||
| Written options | Equity contracts | $196 | $(4,669) | $1,053 | ||
| Total | $196 | $(4,669) | $1,053 | |||
| Net Change in Unrealized Appreciation (Depreciation) on | ||||||
| Written options | Equity contracts | $(1) | $848 | $(4) | ||
| Total | $(1) | $848 | $(4) | |||
| ACV | NFJ | NIE | |||
|
Written
Options(1) |
$24 | $815 | $117 |
| (1) Average premium amount. |
| A. | Investment Adviser |
| Virtus Investment Advisers, Inc. (“VIA” or the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser. | |
| 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 | |||
|
AIO |
1.25% | |||
|
CBH |
0.75 | |||
|
NCV |
0.70 | |||
|
NCZ |
0.70 | |||
|
ACV |
1.00 | |||
|
NFJ |
0.90 | |||
|
NIE |
1.00 | |||
| 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 year is as follows: |
| Fund | Subadviser | |
|
AIO |
Voya IM(1) | |
|
CBH |
Voya IM(1) | |
|
NCV |
Voya IM(1) | |
|
NCZ |
Voya IM(1) | |
|
ACV |
Voya IM(1) | |
|
NFJ (Equity and Options
Portfolios) |
NFJ Investment Group(2) | |
|
NFJ (Fixed Income
Portfolio) |
Voya IM(1) | |
|
NIE |
Voya IM(1) | |
| 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, 2025. Following the contractual period, the Adviser may discontinue these expense limitation arrangements at any time. The reimbursements are accrued daily and received monthly. |
| Fund | Expense Limitation | |
|
AIO |
0.09 % | |
|
CBH |
0.19 | |
|
NCV |
0.13 | |
|
NCZ |
0.15 | |
|
ACV |
0.17 | |
|
NFJ |
0.06 | |
|
NIE |
0.07 |
| D. | Expense Recapture |
| 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 or waived. A Fund must pay its ordinary operating 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 years ending January 31: |
| Expiration | ||||||||
| Fund | 2025 | 2026 | 2027 | Total | ||||
|
AIO |
$ 836 | $ 894 | $ 699 | $ 2,429 | ||||
|
CBH |
175 | 117 | 101 | 393 | ||||
|
NCV |
794 | 720 | 453 | 1,967 | ||||
|
NCZ |
595 | 535 | 334 | 1,464 | ||||
|
ACV |
279 | 302 | 225 | 806 | ||||
|
NFJ |
1,598 | 1,590 | 1,373 | 4,561 | ||||
|
NIE |
888 | 783 | 613 | 2,284 | ||||
| Fund | |
|
CBH |
$23 |
|
NCV |
— (1) |
|
NCZ |
10 |
| (1) | Amount is less than $500 (not in thousands). |
| E. | Administration Services |
| Virtus Fund Services, LLC (“VFS”), an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds. 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 year ended January 31, 2024, the Funds incurred administration fees totaling $4,275 which are included in the Statements of Operations within the line item “Administration and accounting fees”. | |
| F. | Trustees’ Fees |
| For the year ended January 31, 2024, the Funds incurred Trustees’ fees totaling $385 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 affiliates 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 is, 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 year ended January 31, 2024, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. |
| 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, 2024. |
| Purchases | Sales | ||
|
AIO |
$ 576,009 | $ 646,138 | |
|
CBH |
102,638 | 166,868 | |
|
NCV |
574,253 | 667,115 | |
|
NCZ |
442,269 | 508,187 | |
|
ACV |
359,880 | 384,675 | |
|
NFJ |
1,294,578 | 1,367,751 | |
|
NIE |
623,499 | 684,237 |
| Fund | Federal
Tax Cost |
Unrealized
Appreciation |
Unrealized
(Depreciation) |
Net
Unrealized Appreciation (Depreciation) | ||||
|
AIO |
$ 740,089 | $ 107,929 | $ (27,144) | $ 80,785 | ||||
|
CBH |
185,712 | 480 | (5,300) | (4,820) | ||||
|
NCV |
542,374 | 34,951 | (47,200) | (12,249) | ||||
|
NCZ |
414,098 | 27,278 | (35,777) | (8,499) | ||||
|
ACV |
310,769 | 19,866 | (16,311) | 3,555 | ||||
|
ACV (Written
options) |
(26) | 6 | (3) | 3 | ||||
|
NFJ |
1,278,090 | 103,375 | (69,596) | 33,779 | ||||
|
NFJ (Written
options) |
(964) | 309 | (396) | (87) | ||||
|
NIE |
626,225 | 56,167 | (38,448) | 17,719 | ||||
|
NIE (Written
options) |
(130) | 31 | (17) | 14 |
| Fund | Short-Term | Long-Term | ||
|
CBH |
$ 577 | $ 5,961 |
| Fund | Short-Term | Long-Term | ||
|
NCV |
$98,560 | $201,001 | ||
|
NCZ |
75,504 | 160,305 | ||
|
ACV |
8,381 | 7,374 |
| Fund | Undistributed
Ordinary Income |
Undistributed
Long-Term Capital Gains |
Late
Year Ordinary Losses Deferred |
Post-October
Capital Loss Deferred |
Capital
Loss Deferred | |||||
|
AIO |
$ — | $ — | $ 102 | $ — | $ — | |||||
|
CBH |
— | — | — | 304 | 6,538 | |||||
|
NCV |
— | — | 3 | 3,854 | 299,561 | |||||
|
NCZ |
— | — | 1 | 2,949 | 235,809 | |||||
|
ACV |
— | — | 19 | 1,197 | 15,755 | |||||
|
NFJ |
2,673 | 34,882 | — | — | — | |||||
|
NIE |
— | — | 12 | 3,492 | — |
| Ordinary
Income |
Long-Term
Capital Gains |
Return
of Capital |
Total | ||||
|
AIO |
|||||||
|
1/31/24 |
$ 4,509 | $ 12,576 | $ 44,729 | $ 61,814 | |||
|
1/31/23 |
17,655 | 29,997 | 14,157 | 61,809 | |||
|
CBH |
|||||||
|
1/31/24 |
9,237 | — | 845 | 10,082 | |||
|
1/31/23 |
10,083 | 1,659 | — | 11,742 | |||
|
NCV |
|||||||
|
1/31/24 |
11,196 | — | 32,838 | 44,034 | |||
|
1/31/23 |
19,715 | — | 36,451 | 56,166 | |||
|
NCZ |
|||||||
|
1/31/24 |
9,793 | — | 24,745 | 34,538 | |||
|
1/31/23 |
15,376 | — | 28,116 | 43,492 | |||
|
ACV |
|||||||
|
1/31/24 |
— | — | 22,389 | 22,389 | |||
|
1/31/23 |
6,837 | 17,578 | — | 24,415 | |||
|
NFJ |
|||||||
|
1/31/24 |
92,906 | — | — | 92,906 | |||
|
1/31/23 |
31,698 | 62,772 | — | 94,470 | |||
|
NIE |
|||||||
|
1/31/24 |
25,256 | 5,456 | 24,706 | 55,418 | |||
|
1/31/23 |
60,478 | 49,707 | — | 110,185 |
| Fund | Value
of Securities on Loan |
Cash
Collateral Invested in Short-Term Money Market Fund(1) |
Cash
Collateral used for borrowing(2) |
Net
Amount(3) | ||||
|
AIO |
$ 31,250 | $ 2,480 | $ 28,770 | $ — | ||||
|
NCV |
42,047 | 9,844 | 32,203 | — | ||||
|
NCZ |
32,325 | 8,704 | 23,621 | — |
| (1) | Amount invested in a Money Market Mutual Fund with an Overnight and Continuous contractual maturity. |
| (2) | Collateral received in excess of the 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. |
| (3) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
| Fund | Outstanding
Borrowings |
Average
Borrowing |
Weighted
Average Interest Rate |
Days
Outstanding |
Loan
Interest Expense | |||||
|
AIO |
$130,000 (a) | $130,000 | 5.70% | 365 | 7,509 | |||||
|
CBH |
19,700 (b) | 65,166 | 5.76 | 365 | 3,809 | |||||
|
NCV |
34,000 (c) | 75,340 | 5.71 | 365 | 4,361 | |||||
|
NCZ |
25,000 (c) | 46,052 | 5.74 | 365 | 2,678 |
| (a) | Represents $30,000 received through the SLAA and $100,000 received through the MMLA. |
| (b) | Full amount received through the MMLA. |
| (c) | Full amount received through the SLAA. |
| Mandatory
Redemption Date |
Annual
Dividend Rate |
Shares | Per
Share Liquidation Preference |
Aggregate
Liquidation Preference |
Estimated
Fair Value | ||||||
| ACV Series A | October 2, 2025 | 4.34% | 1,200,000 | $25.00 | $30,000 | $29,440 | |||||
| NCV Series A | May 26, 2028 | 5.95% | 2,040,000 | $25.00 | $51,000 | $52,521 | |||||
| NCV Series B | May 26, 2030 | 5.95% | 600,000 | $25.00 | $15,000 | $15,488 | |||||
| NCZ Series A | May 26, 2028 | 5.95% | 880,000 | $25.00 | $22,000 | $22,656 |
| Maturity Date | Interest
Rate |
Notional/
Carrying Amount |
Estimated
Fair Value | ||||
| November 22, 2029 | 3.94% | $50,000 | $47,552 |
| Outstanding
Borrowings |
Interest
Rate | |
| $25,000 | 6.39% |
| Fund | Issue Date | Annual
Dividend Rate |
Shares | Per
Share Liquidation Preference |
Aggregate
Liquidation Preference | |||||
| NCV | 09/20/2018 | 5.625% | 4,000,000 | $25.00 | $100,000 | |||||
| NCZ | 09/11/2018 | 5.500 | 4,360,000 | 25.00 | 109,000 |
| Fund | Investment | Date
of Acquisition |
Cost | Value | Percentage
of Net Assets | |||||
| NCV | LiveStyle, Inc. | 2/3/16-11/30/16 | $— | $— | 0.0% | |||||
| LiveStyle, Inc. Series B | 2/3/16 | 411 | 419 | 0.1 | ||||||
| Tenerity, Inc. | 11/9/15-11/12/15 | 3,080 | — | 0.0 | ||||||
| NCZ | LiveStyle, Inc. | 2/3/16-11/30/16 | — | — | 0.0 | |||||
| LiveStyle, Inc. Series B | 2/3/16 | 411 | 420 | 0.2 | ||||||
| Tenerity, Inc. | 11/9/15-11/12/15 | 2,371 | — | 0.0 |
| Fund | Investment | Date
of Acquisition |
Cost | Value | Percentage
of Net Assets | |||||
| ACV | LiveStyle, Inc. | 2/3/16-11/30/16 | $— | $— | 0.0% | |||||
| LiveStyle, Inc. Series B | 2/3/16-11/30/16 | 62 | 63 | 0.0 |
| Fund | Qualified
Dividend Income % (non-corporate shareholder) |
Dividend
Received Deduction % (corporate shareholders) |
Long-Term
Capital Gain Distributions ($) | |||
|
AIO |
35.62% | 27.08 % | $ 12,576 | |||
|
CBH |
0.00 | 0.00 | — | |||
|
NCV |
8.72 | 8.29 | — | |||
|
NCZ |
8.69 | 8.26 | — | |||
|
ACV |
65.73 | 62.81 | — | |||
|
NFJ |
21.80 | 20.40 | 34,882 | |||
|
NIE |
24.38 | 23.21 | 2,004 |
| 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 Trusteeships Held by Trustee During Past 5 Years |
| McLoughlin,
Philip R. YOB: 1946 Served Since: 2021 (AIO, NCZ, ACV, NFJ and NIE) 2022 (CBH and NCV) 94 Portfolios |
Private investor since 2010. | Trustee and Chairman (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee and Chairman (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee and Chairman (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (7 portfolios); Chairman (since 2023) and Trustee (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Chairman (since 2023), Trustee (since 2022) and Advisory Board Member (2021), Virtus Convertible & Income 2024 Target Term Fund and Virtus 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 (4 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 (45 portfolios). |
| Burke,
Donald C.(2) YOB: 1960 Served Since: 2023 (Trustee: AIO, NFJ and NIE; and Advisory Board Member: CBH, NCV, NCZ and ACV) 94 Portfolios |
Private investor (since 2009). Formerly, President and Chief Executive Officer, BlackRock U.S. Funds (2007 to 2009); Managing Director, BlackRock, Inc. (2006 to 2009); and Managing Director, Merrill Lynch Investment Managers (1990 to 2006). | Trustee (since May 2023) and Advisory Board Member (May 2023), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since May 2023), Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II and Virtus Diversified Income & Convertible Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income 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 (7 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (45 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
| 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 Trusteeships Held by Trustee During Past 5 Years |
| Cogan,
Sarah E. YOB: 1956 Served Since: 2019 (all Funds) 91 Portfolios |
Retired Partner, Simpson Thacher & Bartlett LLP (“STB”) (law firm) (since 2019); Director, Girl Scouts of Greater New York (since 2016); Trustee, Natural Resources Defense Council, Inc. (since 2013); and formerly, Partner, STB (1989 to 2018). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (45 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios) and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2019), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (7 portfolios); Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2019), PIMCO Closed-End Funds(3) (30 portfolios). |
| DeCotis,
Deborah A. YOB: 1952 Served Since: 2011 (NCV, NCZ, NFJ and NIE) 2015 (ACV) 2017 (CBH) 2019 (AIO) 91 Portfolios |
Director, Cadre Holdings Inc. (since 2022); Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); and Trustee, Smith College (since 2017). Formerly, Director, Watford Re (2017 to 2021); Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005 to 2015); and Trustee, Stanford University (2010 to 2015). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (45 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2021), Virtus Total Return Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2015), Virtus Diversified Income & Convertible Fund; Trustee (since 2014), Virtus Investment Trust (13 portfolios); Trustee (since 2011), Virtus Strategy Trust (7 portfolios); Trustee (since 2011), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2011), PIMCO Closed-End Funds(3) (30 portfolios). |
| Drummond,
F. Ford YOB: 1962 Served Since: 2015 (NIE, NFJ, ACV, NCV and NCZ) 2017 (CBH) 2019 (AIO) 91 Portfolios |
President (since 1998), F.G. Drummond Ranches, Inc. Formerly, Director (1998 to 2008), The Cleveland Bank; and General Counsel (1998 to 2008), BMIHealth Plans (benefits administration). | President Elect (since 2023), Oklahoma Cattlemen’s Association; Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (45 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios) and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chairman, Oklahoma Nature Conservancy (2019 to 2020); Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Director (since 2015), Texas and Southwestern Cattle Raisers Association; Trustee (since 2015), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2014), Virtus Strategy Trust (7 portfolios); Trustee (since 2014), Frank Phillips Foundation; Trustee (since 2008), Oklahoma Nature Conservancy; Director (since 2011), Bancfirst Corporation; Trustee (since 2006), Virtus Investment Trust (13 portfolios); and Board Member (2006 to 2020), Oklahoma Water Resources Board. |
| 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 Trusteeships Held by Trustee During Past 5 Years |
| McDaniel,
Connie D.(4), (5) YOB: 1958 Served Since: 2023 (all Funds) 91 Portfolios |
Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); and Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Vice Chair (since 2024), Trustee (since May 2023) and Advisory Board Member (May 2023), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Vice Chair (since 2024) and Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Vice Chair (since 2024) and 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 (7 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice Chair (since 2024) and Director (since 2020), Virtus Total Return Fund Inc.; Vice Chair (since 2024) and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Chairperson (since 2021), Governance & Nominating Committee, Global Payments Inc; Vice Chair (since 2024) and Trustee (since 2017), Virtus Mutual Fund Family (45 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2021), North Florida Land Trust; Director (2014 to 2019), Total System Services, Inc.; Member (2011 to 2022) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
| McNamara,
Geraldine M.(6) YOB: 1951 Served Since: 2023 (Trustee: AIO, NCV, NCZ, ACV, NFJ and NIE; and Advisory Board Member: CBH) 94 Portfolios |
Private investor (since 2006); and Managing Director, U.S. Trust Company of New York (1982 to 2006). | Trustee (since May 2023) and Advisory Board Member (January 2023 to May 2023), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2023), Virtus Artificial Intelligence & Technology Opportunities Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since 2023), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income 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 (7 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016) Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); and Trustee (since 2001), Virtus Mutual Fund Family (45 portfolios). |
| Walton,
R. Keith(7) YOB: 1964 Served Since: 2022 (AIO, NCV, ACV and NIE) 2023 (CBH, NCZ and NFJ) 91 Portfolios |
Senior Adviser (since 2022), Brightwood Capital LLC; Venture and Operating Partner (2020 to 2021), Plexo Capital, LLC; Venture Partner (2019 to 2021) 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; and Vice President, Strategy (2013 to 2017), Arizona State University. | Trustee (since September 2023) and Advisory Board Member (2022 to September 2023), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since May 2023) and Advisory Board Member (2022 to May 2023), Virtus Convertible & Income Fund II and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since July 2022) and Advisory Board Member (January 2022 to July 2022), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2022), Virtus Diversified Income & Convertible 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 (8 portfolios); Trustee (since 2020) Virtus Alternative Solutions Trust (4 portfolios), Virtus Variable Insurance Trust (7 portfolios) and Virtus Mutual Fund Family (45 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 Trusteeships Held by Trustee During Past 5 Years |
| Zino,
Brian T. YOB: 1952 Served Since: 2022 (all funds) 91 Portfolios |
Retired. Various roles at J. & W. Seligman & Co. Incorporated (1982 to 2009), including President (1994 to 2009). | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income 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 (7 portfolios); Trustee (since 2022) and Advisory Board Member (2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2020) Virtus Alternative Solutions Trust (4 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (45 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 Portfolios in Fund Complex Overseen by Trustee |
Principal
Occupation(s) During Past 5 Years |
Other Trusteeships Held by Trustee |
| Aylward,
George R.* Trustee and President YOB: 1964 Served Since: 2021 (all funds) 98 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). | Director (since 2023), Stone Harbor Investment Funds plc (21 sub-funds), Stone Harbor Global Funds plc (27 sub-funds) and Virtus Global Funds ICAV (5 portfolios); Trustee, President and Chief Executive Officer (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee, President and Chief Executive Officer (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; 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 (7 portfolios); Trustee, President and Chief Executive Officer (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Chairman and Trustee (since 2015), Virtus ETF Trust II (7 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 (4 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 (45 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
and Year of Birth |
Position(s)
Held with Fund and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
| Batchelar,
Peter J. YOB: 1970 |
Senior Vice President (since 2021). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2017) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, 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 2004), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2023), Stone Harbor Investment Funds plc and Stone Harbor Global Funds plc; Director (since 2019), Virtus Global Funds ICAV; Director (since 2013), Virtus Global Funds, plc; various officer positions (since 2006) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Member (since 2022), BNY Mellon Asset Servicing Client Advisory Board. |
| Branigan,
Timothy YOB: 1976 |
Vice President and Fund Chief Compliance Officer (since 2022) and Assistant Vice President and Deputy Fund Chief Compliance Officer (March to May 2022). | Various officer positions (since 2019) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
| Chisolm,
Daphne YOB: 1969 |
Vice President, Counsel and Assistant Secretary (since 2023). | Vice President and Senior Counsel (since 2023), Virtus Investment Partners, Inc.; Attorney at Law engaged in private practice as a solo practitioner (2018 to 2023); and various officer positions (since 2023) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
| Fromm,
Jennifer YOB: 1973 |
Vice President, Chief Legal Officer, Counsel and Secretary (since 2022) and Vice President and Assistant Secretary (2021-2022). | Vice President (since 2016) and Senior Counsel, Legal (since 2007) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
| Hackett,
Amy YOB: 1968 |
Vice President and Assistant Treasurer (since 2021). | Vice President (since 2010) and Assistant Vice President (2007 to 2010), Fund Services, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2007) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
| Krishnan,
Suneeta YOB: 1965 |
Vice President and Assistant Treasurer (since 2021) | Vice President (since 2017) and Assistant Treasurer (since 2007), Mutual Fund Administration, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2009) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
| Rahman,
Mahmood YOB: 1967 |
Assistant Vice President (since 2021). | Vice President (since 2023), Tax Director (since 2020) and Assistant Vice President, Fund Administration (2020 to 2023), Virtus Investment Partners, Inc.; Assistant Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Assistant Treasurer and Tax Director, Grantham, Mayo, Van Otterloo & Co. LLC (2007 to 2019). |
| 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 2017) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
| Smirl,
Richard W. YOB: 1967 |
Executive Vice President (since 2021). | Chief Operating Officer (since 2021), Virtus Investment Partners, Inc.; Executive Vice President (since 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, 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. |
| Thaker,
Nikita K. YOB: 1978 |
Vice President, Controller and Assistant Treasurer (since 2021). | Vice President (since 2021) and Assistant Vice President (2016 to 2021), Mutual Fund Administration, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2013) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
| Shareholder Services | 1-866-270-7788 |
| Website | Virtus.com |
| 8559 | 03-24 |
| Item 1. | Reports to Stockholders (cont.). |
| (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 Committee. |
| (a)(2) | As of the end of the period covered by the report, the Registrant’s Board of Trustees had determined that each of Donald C. Burke, Connie D. McDaniel, and 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.” Each of Mr. Burke, Ms. McDaniel, and 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 $43,588 for 2024 and $42,525 for 2023. |
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 $2,914 for 2024 and $1,424 for 2023. 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 $10,604 for 2024 and $16,326 for 2023. |
“Tax Fees” are those primarily associated with review of the Fund’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Fund’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Fund, periodic discussion with management on tax issues affecting the Fund, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
| (d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2024 and $0 for 2023. |
| (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 Equity & Convertible Income Fund (the “Fund”) Board has adopted policies and procedures with regard to the pre-approval of services provided by PricewaterhouseCoopers LLP. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Audit Committee. The Audit Committee must also approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s adviser(s) or any entity controlling, controlled by, or under common control with the Fund’s adviser(s) that relate directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Audit 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 Committee without consideration on a specific case-by-case basis (“general pre-approval”). |
| The Audit Committee has determined that the Chair of the Audit Committee may provide pre-approval for such services that meet the above requirements 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 Committee is informed of, and ratifies, each service approved at the next regularly scheduled in-person Audit 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 $10,604 for 2024 and $16,326 for 2023. |
| (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. |
| (i) | Not applicable. |
| (j) | Not applicable. |
| Item 5. | Audit Committee of Listed Registrants. |
| (a) | The registrant has a separately designated audit committee. Effective March 1, 2024, the members of the audit committee are Donald C. Burke, Deborah A. DeCotis, Geraldine McNamara, and Brian T. Zino. From February 27, 2024 to February 29, 2024, the members of the audit committee were Donald C. Burke, Deborah A. DeCotis, Connie D. McDaniel, Geraldine McNamara, and Brian T. Zino. From May 23, 2023 to February 26, 2024, the members of the audit committee were Donald C. Burke, Deborah A. DeCotis, Connie D. McDaniel, and Brian T. Zino. From May 1, 2023 to May 22, 2023, the members of the audit committee were Deborah A. DeCotis, Philip R. McLoughlin, and Brian T. Zino. Donald C. Burke and Connie D. McDaniel each also served as an |
| advisory member of the audit committee during that period. From April 8, 2023 to April 30, 2023, the members of the audit committee were Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond, Philip R. McLoughlin, Geraldine M. McNamara, R. Keith Walton, and Brian T. Zino. From January 1, 2023 to April 7, 2023, the members of the audit committee were Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond, Philip R. McLoughlin, Geraldine M. McNamara, Alan Rappaport, R. Keith Walton, and Brian T. Zino. |
| (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 Fund’s adviser or subadviser is responsible for voting proxies for the Fund, or for delegating such responsibility to a qualified, independent organization engaged by the adviser or 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, 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 Fund (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 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 Fund.
The Policy further imposes certain record-keeping and reporting requirements on each adviser/subadviser or other voting delegate.
Information regarding how the Fund 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 the subadviser to the Fund in voting proxies for the Fund.
Voya Investment Management Co. LLC (“Voya Investment Management”) has been delegated the authority to vote proxies for the Fund. Voya Investment Management has adopted proxy voting policies, procedures and guidelines in an effort to ensure proxies are voted in the best interests of its clients and the value of the investment, and to address any real or
perceived conflicts of interest in proxy voting. Proxies of the Fund will be voted subject to Voya Investment Management’s policy. Voya Investment Management’s Proxy Committee oversees the implementation of Voya Investment Management’s proxy voting procedures and guidelines including potential conflicts of interest. An independent proxy voting service has been retained to assist in the voting of Fund proxies through the provision of vote analysis, implementation and recordkeeping and disclosure services. In addition, Voya Investment Management’s Compliance Committee oversees the implementation of the Fund’s proxy voting procedures and guidelines.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
(a)(1) As of the date of filing this report, the Fund’s subadviser is Voya Investment Management. 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
Senior Managing Director, Chief Investment Officer, Co-Head of Income & Growth
Industry start date: 1998
Start date as fund Portfolio Manager: 2007
Justin Kass is chief investment officer, co-head of income and growth at Voya Investment Management. Prior to joining Voya, he was a portfolio manager, managing director, CIO and co-head of U.S. income and growth strategies at Allianz Global Investors, where he held portfolio management, research, and trading responsibilities for the income and growth strategies team.
Prior to that at Allianz Global Investors, Mr. Kass held portfolio manager responsibilities for the U.S. convertible strategy and was a lead portfolio manager for the income and growth strategy since its inception. In that role, he was responsible for managing multiple closed-end and open-end mutual funds.
Mr. Kass earned 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. He began his career in the investment industry in 1998.
Michael E. Yee
Managing Director, Lead Portfolio Manager – Income & Growth
Industry start date: 1994
Start date as fund Portfolio Manager: 2007
Michael Yee is a lead portfolio manager, income and growth at Voya Investment Management. Prior to joining Voya, Mr. Yee was a portfolio manager and managing director at Allianz Global Investors, where he held portfolio management, research and trading responsibilities for the income and growth strategies team. He also served as a lead portfolio manager for the income and growth strategy since inception and was responsible for managing multiple closed-end and open-end mutual funds.
Prior to that, Mr. Yee was an analyst for the global and systematic team with responsibilities focused on U.S. large cap equity strategies and worked in global portfolio administration and client service.
Previously, he was a financial consultant for Priority One Financial/Liberty Foundation.
Mr. Yee earned a B.S. from the University of California, San Diego, and an M.B.A. from San Diego State University. He began his career in the investment industry in 1994.
David J. Oberto
Senior Vice President, Lead Portfolio Manager – Income & Growth
Industry start date: 2003
Start date as fund Portfolio Manager: 2022
David Oberto is a lead portfolio manager, income and growth at Voya Investment Management. Prior to joining Voya, he was a portfolio manager and director at Allianz Global Investors, where he held portfolio management, research and trading responsibilities for the income and growth strategies team. and served as portfolio manager for the U.S. High Yield Bond strategy and was also responsible for managing multiple closed-end and open-end mutual funds.
Prior to that, he was a portfolio administrator, a credit default swaps (CDS) account manager and a trade-closer at Bain Capital.
Mr. Oberto earned 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. He began his career in the investment industry in 2003.
Ethan Turner, CFA
Vice President, Portfolio Manager – Income & Growth
Industry start date: 2005
Start date as fund Portfolio Manager: 2023
Ethan Turner is a portfolio manager, income and growth, at Voya Investment Management. Mr. Turner joined the firm following Voya’s acquisition of the substantial majority of Allianz Global Investors U.S. business, where he was an analyst and vice president with research responsibilities for the income and growth strategies team. Prior to that at Allianz, he was a trading assistant.
Prior to joining Allianz, Mr. Turner was a lead analyst covering the financial sector at Relational Investors and a financial analyst at Sunstone Hotel Investors.
Mr. Turner earned a B.S. from San Diego State University and an M.B.A. from the Anderson School of Management at the University of California, Los Angeles. He is a CFA® charterholder. Mr. Turner began working in the investment industry in 2005.
(a)(2) Voya Investment Management
The following summarizes information regarding each of the accounts, excluding the Fund, that were managed by the Portfolio Managers as of January 31, 2024 including accounts managed by a team, committee, or other group that includes the Portfolio Managers.
| Name of Portfolio Manager or Team Member |
Type of Accounts |
Total No. of Accounts Managed |
Total Assets (in millions) |
No. of Accounts where Advisory Fee is Based on Performance |
Total Assets in Accounts where Advisory Fee is Based on Performance (in millions) |
|||||||||||||
| Justin M. Kass |
Registered Investment Companies: | 8 | 8,874 | 0 | 0 | |||||||||||||
| Other Pooled Investment Vehicles: | 11 | 51,218 | 0 | 0 | ||||||||||||||
| Other Accounts: | 7 | 1,587 | 0 | 0 | ||||||||||||||
| Michael E. Yee |
Registered Investment Companies: | 7 | 8,037 | 0 | 0 | |||||||||||||
| Other Pooled Investment Vehicles: | 8 | 49,269 | 0 | 0 | ||||||||||||||
| Other Accounts: | 6 | 1,483 | 0 | 0 | ||||||||||||||
| David Oberto |
Registered Investment Companies: | 7 | 8,607 | 0 | 0 | |||||||||||||
| Other Pooled Investment Vehicles: | 10 | 49,504 | 0 | 0 | ||||||||||||||
| Other Accounts: | 6 | 1,483 | 0 | 0 | ||||||||||||||
| Ethan Turner |
Registered Investment Companies: | 8 | 8,874 | 0 | 0 | |||||||||||||
| Other Pooled Investment Vehicles: | 1 | 73 | 0 | 0 | ||||||||||||||
| Other Accounts: | 4 | 1,182 | 0 | 0 | ||||||||||||||
Voya Investment Management
Potential Conflicts of Interest
(a)(3) As of January 31, 2024, the following explains the compensation structure of each individual employed by Voya Investment Management who share primary responsibility for day-to-day portfolio management of the Fund:
Compensation Structure
Voya Investment Management’s compensation philosophy is to align compensation closely with performance and to leverage the variable side of the compensation equation. Annually, Voya Investment Management participates in comprehensive industry surveys and compares the relevant data to ensure that its compensation plans remain competitive. Key investment professionals such as portfolio managers and traders are paid competitive base salaries, are eligible for discretionary bonuses, and generally participate in Voya Investment Management’s long-term compensation program.
Bonus Program. The overall design of the annual incentive plan for investment professionals was developed to tie pay to both portfolio performance and profitability and is structured to drive performance and promote retention of top talent. Individual bonus target awards are based on external market data and internal comparators.
Investment performance is measured on both relative and absolute performance in all areas, and performance goals are set to appropriately reflect requirements for the investment team. The results for overall Voya IM LLC include a review of firm profitability, team performance and the investment professional’s individual performance, all of which influence the outcome of the discretionary bonus award recommendation process. The measures for each team are reviewed annually by Voya Investment Management’s executive management, and include the measures of investment performance versus benchmark and peer groups over one-, three- and five-year periods, as well as contributions to Voya Investment Management’s revenue growth and profitability.
Discretionary bonuses for non-investment professionals are structured similarly. The annual incentive bonus may be subject to deferral into a long-term compensation plan, as determined by the plan in effect at the time of payment.
Long-term Compensation. Voya Investment Management’s long-term incentive plan is designed to provide ownership-like incentives to reward continued employment and to link long-term compensation to the financial performance of the business. Based on job function, internal comparators and external market data, employees may be granted long-term awards. All senior investment professionals participate in the long-term compensation plan. Participants are eligible to receive annual awards determined by the Executive Leadership Team based largely on investment performance and their contribution to firm performance. Plan awards are based on the current year’s performance as defined by Voya Investment Management’s component of the annual incentive plan. Awards may include a combination of performance share units, restricted stock units, and/or a notional investment in a predefined set of Voya mutual funds. Awards are subject to a time-based vesting schedule.
(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, 2024.
Virtus Equity & Convertible Income Fund
| Portfolio Manager | Fund Ownership | |
| Justin Kass |
None | |
| Michael Yee |
$50,001 - $100,000 | |
| David Oberto |
None | |
| Ethan Turner |
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. |
Not applicable.
| 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) |
| (c) |
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 Equity & Convertible Income Fund
| By (Signature and Title)* | ||
| George R. Aylward, President and Chief Executive Officer | ||
| (principal executive officer) |
Date 4/4/2024
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)* | ||
| George R. Aylward, President and Chief Executive Officer | ||
| (principal executive officer) |
Date 4/4/2024
| By (Signature and Title)* | ||
| W. Patrick Bradley, Executive Vice President, | ||
| Chief Financial Officer, and Treasurer | ||
| (principal financial officer) |
Date 4/4/2024
| * | Print the name and title of each signing officer under his or her signature. |
| This ‘N-CSR’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| 10/29/31 | ||||
| 5/26/30 | ||||
| 5/22/30 | ||||
| 11/22/29 | ||||
| 5/26/28 | ||||
| 10/2/25 | ||||
| 2/1/25 | ||||
| 1/31/25 | ||||
| 12/31/24 | ||||
| 9/30/24 | ||||
| 9/2/24 | ||||
| 9/1/24 | ||||
| Filed on / Effective on: | 4/5/24 | |||
| 3/27/24 | NPORT-P | |||
| 3/1/24 | ||||
| 2/29/24 | ||||
| 2/27/24 | ||||
| 2/26/24 | ||||
| For Period end: | 1/31/24 | NPORT-P | ||
| 11/1/23 | ||||
| 9/1/23 | ||||
| 8/30/23 | ||||
| 6/30/23 | 4, N-PX | |||
| 5/26/23 | ||||
| 5/23/23 | 3 | |||
| 5/22/23 | DEF 14A | |||
| 5/1/23 | ||||
| 4/30/23 | ||||
| 4/8/23 | ||||
| 4/7/23 | ||||
| 4/3/23 | ||||
| 3/31/23 | ||||
| 1/31/23 | N-CEN, N-CSR, NPORT-P | |||
| 1/27/23 | ||||
| 1/23/23 | ||||
| 1/4/23 | ||||
| 1/1/23 | 3 | |||
| 12/21/22 | ||||
| 12/16/22 | ||||
| 11/1/22 | ||||
| 10/3/22 | ||||
| 3/15/22 | ||||
| 2/1/22 | ||||
| 1/31/22 | N-CEN, N-CSR, NPORT-P | |||
| 12/31/21 | ||||
| 3/1/21 | ||||
| 2/28/21 | ||||
| 1/31/21 | N-CEN, N-CSR, NPORT-P | |||
| 12/16/20 | ||||
| 3/12/20 | NPORT-P | |||
| 2/29/20 | ||||
| 1/31/20 | N-CEN, N-CSR, NPORT-P | |||
| 10/31/19 | NPORT-P | |||
| 5/24/19 | ||||
| 2/28/19 | ||||
| 1/1/19 | 3 | |||
| 10/1/18 | ||||
| 6/29/17 | ||||
| 3/21/17 | ||||
| 10/2/15 | N-CSRS | |||
| 5/26/15 | ||||
| 3/10/15 | ||||
| 12/12/06 | ||||
| 8/20/03 | ||||
| 4/22/03 | ||||
| 1/17/03 | ||||
| List all Filings | ||||