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 811-21338
Virtus Convertible & Income Fund II
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrants telephone number, including area code: (866) 270-7788
Date of fiscal year end: January 31
Date of reporting period: July 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
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) |
|
1 |
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2 |
Manager’s Discussion of Fund Performance: | |
|
3 |
|
5 |
|
7 |
|
8 |
|
9 |
|
11 |
|
13 |
|
14 |
|
16 |
Schedules of Investments: | |
|
19 |
|
23 |
|
29 |
|
37 |
|
45 |
|
55 |
|
61 |
|
67 |
|
69 |
|
71 |
|
75 |
|
76 |
|
83 |
|
96 |
Common Stocks | 62% | |
Software | 9% | |
Interactive Media & Services | 5 | |
Semiconductors & Semiconductor Equipment | 5 | |
All other Common Stocks | 43 | |
Convertible Bonds and Notes | 31 | |
Software | 5 | |
Internet | 3 | |
Healthcare-Products | 3 | |
All other Convertible Bonds and Notes | 20 | |
Short-Term Investment | 4 | |
Convertible Preferred Stocks | 2 | |
Equity-Linked Notes | 1 | |
Total | 100% | |
Total
Value at July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $121,447 | $ — | $121,447 | $ — | |||
Convertible Bonds and Notes | 274,902 | — | 274,902 | — | |||
Equity Securities: | |||||||
Common Stocks | 391,996 | 391,996 | — | — | |||
Equity-Linked Notes | 6,891 | — | — | 6,891 | |||
Money Market Mutual Fund | 5,740 | 5,740 | — | — | |||
Securities Lending Collateral | 6,671 | 6,671 | — | — | |||
Total Investments | $807,647 | $404,407 | $396,349 | $6,891 |
Total | Equity-Linked
Notes |
||||||||
Investments in Securities | |||||||||
Balance as of January 31, 2023: | $ 7,647 | $ 7,647 | |||||||
Net change in unrealized appreciation (depreciation)(a) | (756) | (756) | |||||||
Balance as of July 31, 2023 | $ 6,891 | $ 6,891 |
Total
Value at July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $ 76,035 | $ — | $ 76,035 | $ — | |||
Leveraged Loans | 56,936 | — | 56,287 | 649 | |||
U.S. Government Security | 2,714 | — | 2,714 | — | |||
Convertible Bonds and Notes | 95,856 | — | 95,856 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,460 | — | 13 | 1,447 | |||
Warrant | 286 | — | — | 286 | |||
Money Market Mutual Fund | 1,234 | 1,234 | — | — | |||
Securities Lending Collateral | 2,531 | 2,531 | — | — | |||
Total Investments | $237,052 | $3,765 | $230,905 | $2,382 |
Total | Common
Stocks |
Warrant | Leveraged
Loans | ||||
Investments in Securities | |||||||
Balance as of January 31, 2023: | $ 1,198 | $ 1,014 | $ 184 | $ — | |||
Accrued discount/(premium) | 1 | — | — | 1 | |||
Net realized gain (loss) | — (a) | — | — | — (a) | |||
Net change in unrealized appreciation (depreciation)(b) | 178 | 433 | 102 | (357) | |||
Purchases | 1,007 | — | — | 1,007 | |||
Sales (c) | (2) | — | — | (2) | |||
Balance as of July 31, 2023 | $ 2,382 | $ 1,447 | $ 286 | $ 649 |
Investments in
Securities – Assets |
Ending
Balance at July 31, 2023 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $1,192 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
CCF Holdings LLC Class M | $255 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $286 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Black-Scholes Model | Volatility | 47.05% | ||||||
Total
Value at July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $217,398 | $ — | $217,398 | $ — | |||
Convertible Bonds and Notes | 276,486 | — | 276,486 | — | |||
Equity Securities: | |||||||
Common Stocks | 9,713 | 2,004 | — | 7,709 (1) | |||
Convertible Preferred Stocks | 21,150 | 21,150 | — | — | |||
Preferred Stock | 1,005 | — | — | 1,005 | |||
Warrants | 859 | — | — | 859 (1) | |||
Equity-Linked Notes | 4,663 | — | — | 4,663 | |||
Money Market Mutual Fund | 4,298 | 4,298 | — | — | |||
Total Investments | $535,572 | $27,452 | $493,884 | $14,236 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Preferred
Stocks |
Common
Stocks |
Warrants | Equity-Linked
Notes | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2023: | $ 13,284 | $ 925 | $ 5,596 | $ 553(a) | $ 6,210 | ||||
Accrued discount/(premium) | — (b) | — | — | — (b) | — (b) | ||||
Net realized gain (loss) | (70) | — | — | — | (70) | ||||
Net change in unrealized appreciation (depreciation)(c) | 1,972 | 80 | 2,113 | 306 | (527) | ||||
Purchases | 144 | — | — | — | 144 | ||||
Sales (d) | (1,094) | — | — | — | (1,094) | ||||
Balance as of July 31, 2023 | $ 14,236 | $ 1,005 | $ 7,709 (a) | $ 859 (a) | $ 4,663 |
Investments in
Securities – Assets |
Ending
Balance at July 31, 2023 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
Preferred Stocks: | ||||||||
LiveStyle, Inc. Series B | $1,005 | Discounted cash flows liquidation approach | Discount rate | 25.16% (24.89% - 25.38%) | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $6,793 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
CCF Holdings LLC Class M | $ 766 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Erickson, Inc. | $ 150 | Market and Company Comparables | EV Multiples | 1.31x (0.63x - 3.21x) | ||||
13.42x (12.06x - 14.72x) | ||||||||
1.04x (0.49x - 1.93x) | ||||||||
M&A Transaction Multiples | 1.13x (0.62x - 1.74x) | |||||||
Illiquidity Discount | 20% | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $ 859 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Black-Scholes Model | Volatility | 47.05% | ||||||
Total
Value at July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $158,230 | $ — | $158,230 | $ — | |||
Convertible Bonds and Notes | 217,759 | — | 217,759 | — | |||
Equity Securities: | |||||||
Common Stocks | 8,000 | 1,580 | — | 6,420 (1) | |||
Convertible Preferred Stocks | 16,665 | 16,665 | — | — | |||
Preferred Stock | 1,005 | — | — | 1,005 | |||
Warrants | 859 | — | — | 859 (1) | |||
Equity-Linked Notes | 3,679 | — | — | 3,679 | |||
Money Market Mutual Fund | 53 | 53 | — | — | |||
Total Investments | $406,250 | $18,298 | $375,989 | $11,963 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Common
Stocks |
Preferred
Stocks |
Warrants | Equity-Linked
Notes | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2023: | $10,902 | $4,647 | $ 925 | $553 (a) | $4,777 | ||||
Accrued discount/(premium) | — (b) | — | — | — | — (b) | ||||
Net realized gain (loss) | (48) | — | — | — | (48) | ||||
Net change in unrealized appreciation (depreciation)(c) | 1,746 | 1,773 | 80 | 306 | (413) | ||||
Purchases | 119 | — | — | — | 119 | ||||
Sales (d) | (756) | — | — | — | (756) | ||||
Balance as of July 31, 2023 | $11,963 | $6,420 (a) | $1,005 | $ 859(a) | $3,679 |
Investments
in Securities – Assets |
Ending
Balance at July 31, 2023 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $ 1,005 | Discounted cash flows liquidation approach | Discount rate | 25.16% (24.89% - 25.38%) | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $ 5,539 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
CCF Holdings LLC Class M | $ 766 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Erickson, Inc. | $ 115 | Market and Company Comparables | EV Multiples | 1.31x (0.63x - 3.21x) | ||||
13.42x (12.06x - 14.72x) | ||||||||
1.04x (0.49x - 1.93x) | ||||||||
M&A Transaction Multiples | 1.13x (0.62x - 1.74x) | |||||||
Illiquidity Discount | 20% | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $ 859 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Black-Scholes Model | Volatility | 47.05% | ||||||
Open written options contracts as of July 31, 2023 were as follows: | |||||
Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
Call Options(2) | |||||
Adobe, Inc. | (8) | $ (504) | $ 630.00 | 08/18/23 | $ (1) |
Align Technology, Inc. | (9) | (396) | 440.00 | 08/18/23 | (2) |
Alphabet, Inc. | (94) | (1,344) | 143.00 | 08/18/23 | (3) |
AutoZone, Inc. | (2) | (530) | 2,650.00 | 08/18/23 | (1) |
Chipotle Mexican Grill, Inc. | (1) | (215) | 2,150.00 | 08/18/23 | (—) (3) |
Deere & Co. | (6) | (276) | 460.00 | 08/18/23 | (1) |
Eli Lilly & Co. | (14) | (700) | 500.00 | 08/18/23 | (2) |
FedEx Corp. | (26) | (754) | 290.00 | 08/18/23 | (1) |
Intuit, Inc. | (5) | (295) | 590.00 | 08/18/23 | (—) (3) |
JPMorgan Chase & Co. | (64) | (1,088) | 170.00 | 08/18/23 | (—) (3) |
Lam Research Corp. | (11) | (852) | 775.00 | 08/18/23 | (5) |
Las Vegas Sands Corp. | (97) | (631) | 65.00 | 08/18/23 | (2) |
Marvell Technology, Inc. | (83) | (631) | 76.00 | 08/18/23 | (1) |
Meta Platforms, Inc. | (19) | (675) | 355.00 | 08/18/23 | (2) |
Micron Technology, Inc. | (81) | (688) | 85.00 | 08/18/23 | (1) |
Microsoft Corp. | (37) | (1,387) | 375.00 | 08/18/23 | (1) |
NVIDIA Corp. | (21) | (1,186) | 565.00 | 08/18/23 | (2) |
Raytheon Technologies Corp. | (74) | (733) | 99.00 | 08/18/23 | (1) |
Open written options contracts as of July 31, 2023 were as follows (continued): | |||||
Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
Call Options(2) (continued) | |||||
Salesforce, Inc. | (23) | $ (564) | $ 245.00 | 08/18/23 | $ (1) |
Schlumberger N.V. | (164) | (1,033) | 63.00 | 08/18/23 | (3) |
ServiceNow, Inc. | (18) | (1,116) | 620.00 | 08/18/23 | (5) |
Sherwin-Williams Co. (The) | (18) | (540) | 300.00 | 08/18/23 | (—) (3) |
Taiwan Semiconductor Manufacturing Co., Ltd. | (45) | (495) | 110.00 | 08/18/23 | (1) |
Thermo Fisher Scientific, Inc. | (16) | (960) | 600.00 | 08/18/23 | (1) |
Union Pacific Corp. | (57) | (1,425) | 250.00 | 08/18/23 | (1) |
UnitedHealth Group, Inc. | (15) | (810) | 540.00 | 08/18/23 | (1) |
Total Written Options | $ (39) |
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 July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $ 40,565 | $ — | $ 40,565 | $ — | |||
Convertible Bonds and Notes | 176,096 | — | 176,096 | — | |||
Equity Securities: | |||||||
Common Stocks | 82,627 | 81,543 | — | 1,084 (1) | |||
Convertible Preferred Stocks | 13,362 | 13,362 | — | — | |||
Preferred Stock | 151 | — | — | 151 | |||
Warrant | 215 | — | — | 215 | |||
Equity-Linked Notes | 2,944 | — | — | 2,944 | |||
Money Market Mutual Fund | 9,741 | 9,741 | — | — | |||
Total Assets | 325,701 | 104,646 | 216,661 | 4,394 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (39) | (37) | (2) | — | |||
Total Liabilities | (39) | (37) | (2) | — | |||
Total Investments, Net of Written Options | $325,662 | $104,609 | $216,659 | $4,394 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Equity-Linked
Notes |
Common
Stocks |
Preferred
Stocks |
Warrant | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2023: | $ 4,189 | $ 3,152 | $ 760 | $ 139 | $ 138 | ||||
Accrued discount/(premium) | — (a) | — (a) | — | — | — | ||||
Net Realized gain(loss) | (1) | (1) | — | — | — | ||||
Net change in unrealized appreciation (depreciation)(b) | 96 | (317) | 324 | 12 | 77 | ||||
Purchases | 129 | 129 | — | — | — | ||||
Sales (c) | (19) | (19) | — | — | — | ||||
Balance as of July 31, 2023 | $ 4,394 | $ 2,944 | $ 1,084 (d) | $ 151 | $ 215 |
Investments
in Securities – Assets |
Ending
Balance at July 31, 2023 |
Valuation Technique Used | Unobservable
Inputs |
Input
Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $151 | Discounted cash flows liquidation approach | Discount rate | 25.16% (24.89%-25.38%) | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $893 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
CCF Holdings LLC Class M | $191 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $215 | Market and Company Comparables | EV Multiples | 1.17x (0.64x - 1.98x) | ||||
5.76x (4.64x - 7.22x) | ||||||||
0.54x (0.14x - 0.89x) | ||||||||
Illiquidity Discount | 25% | |||||||
Black-Scholes Model | Volatility | 47.05% | ||||||
Open written options contracts as of July 31, 2023 were as follows: | |||||
Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
Call Options(2) | |||||
Adobe, Inc. | (65) | $ (3,770) | $580.00 | 08/18/23 | $ (27) |
Agilent Technologies, Inc. | (545) | (7,902) | 145.00 | 08/18/23 | (2) |
Alexandria Real Estate Equities, Inc. | (738) | (9,963) | 135.00 | 08/18/23 | (26) |
Alphabet, Inc. | (299) | (4,037) | 135.00 | 08/18/23 | (58) |
American Tower Corp. | (150) | (3,000) | 200.00 | 08/18/23 | (17) |
Apple, Inc. | (201) | (4,221) | 210.00 | 08/18/23 | (12) |
Bank of America Corp. | (2,183) | (7,422) | 34.00 | 08/18/23 | (15) |
Bank of America Corp. | (2,911) | (10,480) | 36.00 | 08/18/23 | (6) |
Best Buy Co., Inc. | (405) | (3,645) | 90.00 | 08/18/23 | (7) |
Capital One Financial Corp. | (289) | (3,613) | 125.00 | 08/18/23 | (13) |
Celanese Corp. | (268) | (3,484) | 130.00 | 08/18/23 | (56) |
Costco Wholesale Corp. | (64) | (3,872) | 605.00 | 08/18/23 | (1) |
Crown Castle, Inc. | (445) | (5,340) | 120.00 | 08/18/23 | (7) |
Digital Realty Trust, Inc. | (321) | (4,333) | 135.00 | 08/18/23 | (6) |
Domino’s Pizza, Inc. | (83) | (3,652) | 440.00 | 08/18/23 | (4) |
Domino’s Pizza, Inc. | (83) | (3,735) | 450.00 | 08/18/23 | (3) |
Enphase Energy, Inc. | (132) | (2,904) | 220.00 | 08/18/23 | (1) |
Enphase Energy, Inc. | (66) | (1,518) | 230.00 | 08/18/23 | (— ) (3) |
Globant S.A. | (170) | (3,570) | 210.00 | 08/18/23 | (12) |
Home Depot, Inc. (The) | (243) | (8,626) | 355.00 | 08/18/23 | (32) |
Open written options contracts as of July 31, 2023 were as follows (continued): | |||||
Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
Call Options(2) (continued) | |||||
Intuit, Inc. | (272) | $(15,232) | $560.00 | 08/18/23 | $ (30) |
JPMorgan Chase & Co. | (220) | (3,740) | 170.00 | 08/18/23 | (1) |
Lululemon Athletica, Inc. | (90) | (3,780) | 420.00 | 08/18/23 | (4) |
Lululemon Athletica, Inc. | (222) | (9,768) | 440.00 | 08/18/23 | (3) |
Microsoft Corp. | (96) | (3,744) | 390.00 | 08/18/23 | (1) |
Microsoft Corp. | (32) | (1,280) | 400.00 | 09/15/23 | (2) |
Morgan Stanley | (241) | (2,410) | 100.00 | 08/18/23 | (2) |
NIKE, Inc. | (378) | (4,536) | 120.00 | 08/18/23 | (6) |
Ovintiv, Inc. | (562) | (2,810) | 50.00 | 08/18/23 | (20) |
Ovintiv, Inc. | (1,124) | (5,508) | 49.00 | 08/18/23 | (62) |
Paycom Software, Inc. | (329) | (13,489) | 410.00 | 08/18/23 | (74) |
PNC Financial Services Group, Inc. (The) | (257) | (3,727) | 145.00 | 08/18/23 | (10) |
PNC Financial Services Group, Inc. (The) | (643) | (9,645) | 150.00 | 08/18/23 | (6) |
Stanley Black & Decker, Inc. | (677) | (7,447) | 110.00 | 08/18/23 | (44) |
Target Corp. | (249) | (3,735) | 150.00 | 08/18/23 | (29) |
Thermo Fisher Scientific, Inc. | (100) | (6,200) | 620.00 | 08/18/23 | (2) |
TransUnion | (685) | (6,165) | 90.00 | 08/18/23 | (1) |
Truist Financial Corp. | (1,100) | (3,850) | 35.00 | 08/18/23 | (17) |
Veeva Systems, Inc. | (172) | (3,784) | 220.00 | 08/18/23 | (13) |
Visa, Inc. | (153) | (4,054) | 265.00 | 08/18/23 | (1) |
Zoetis, Inc. | (141) | (2,961) | 210.00 | 08/18/23 | (2) |
Total Written Options | $(635) |
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 July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $ 245,043 | $ — | $245,043 | $ — | |||
Equity Securities: | |||||||
Common Stocks | 1,085,652 | 1,085,652 | — | — | |||
Convertible Preferred Stocks | 18,398 | 18,398 | — | — | |||
Warrant | 16 | 16 | — | — | |||
Equity-Linked Notes | 4,023 | — | — | 4,023 | |||
Money Market Mutual Fund | 58,985 | 58,985 | — | — | |||
Total Assets | 1,412,117 | 1,163,051 | 245,043 | 4,023 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (635) | (548) | (87) | — | |||
Total Investments, Net of Written Options | $1,411,482 | $1,162,503 | $244,956 | $4,023 |
Open written options contracts as of July 31, 2023 were as follows: | |||||
Description of Options | Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value |
Call Options(2) | |||||
Adobe, Inc. | (42) | $(2,646) | $ 630.00 | 08/18/23 | $ (3) |
Align Technology, Inc. | (46) | (2,024) | 440.00 | 08/18/23 | (11) |
Alphabet, Inc. | (486) | (6,950) | 143.00 | 08/18/23 | (17) |
AutoZone, Inc. | (10) | (2,650) | 2,650.00 | 08/18/23 | (4) |
Chipotle Mexican Grill, Inc. | (8) | (1,720) | 2,150.00 | 08/18/23 | (2) |
Deere & Co. | (30) | (1,380) | 460.00 | 08/18/23 | (7) |
Eli Lilly & Co. | (69) | (3,450) | 500.00 | 08/18/23 | (10) |
FedEx Corp. | (135) | (3,915) | 290.00 | 08/18/23 | (5) |
Intuit, Inc. | (26) | (1,534) | 590.00 | 08/18/23 | (1) |
JPMorgan Chase & Co. | (324) | (5,508) | 170.00 | 08/18/23 | (2) |
Lam Research Corp. | (24) | (1,860) | 775.00 | 08/18/23 | (10) |
Las Vegas Sands Corp. | (491) | (3,192) | 65.00 | 08/18/23 | (11) |
Marvell Technology, Inc. | (420) | (3,192) | 76.00 | 08/18/23 | (7) |
Meta Platforms, Inc. | (100) | (3,550) | 355.00 | 08/18/23 | (9) |
Micron Technology, Inc. | (404) | (3,434) | 85.00 | 08/18/23 | (3) |
Microsoft Corp. | (187) | (7,012) | 375.00 | 08/18/23 | (6) |
NVIDIA Corp. | (106) | (5,989) | 565.00 | 08/18/23 | (11) |
Raytheon Technologies Corp. | (383) | (3,792) | 99.00 | 08/18/23 | (2) |
Salesforce, Inc. | (118) | (2,891) | 245.00 | 08/18/23 | (6) |
Schlumberger N.V. | (828) | (5,216) | 63.00 | 08/18/23 | (17) |
ServiceNow, Inc. | (90) | (5,580) | 620.00 | 08/18/23 | (27) |
Sherwin-Williams Co. (The) | (89) | (2,670) | 300.00 | 08/18/23 | (2) |
Taiwan Semiconductor Manufacturing Co., Ltd. | (228) | (2,508) | 110.00 | 08/18/23 | (4) |
Thermo Fisher Scientific, Inc. | (76) | (4,560) | 600.00 | 08/18/23 | (3) |
Union Pacific Corp. | (24) | (600) | 250.00 | 08/18/23 | (—) (3) |
UnitedHealth Group, Inc. | (79) | (4,266) | 540.00 | 08/18/23 | (4) |
Total Written Options | $(184) |
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 July 31, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $202,145 | $ — | $202,145 | $ — | |||
Equity Securities: | |||||||
Common Stocks | 407,470 | 407,470 | — | — | |||
Convertible Preferred Stocks | 15,273 | 15,273 | — | — | |||
Equity-Linked Notes | 3,339 | — | — | 3,339 | |||
Money Market Mutual Fund | 24,514 | 24,514 | — | — | |||
Total Assets | 652,741 | 447,257 | 202,145 | 3,339 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (184) | (173) | (11) | — | |||
Total Investments, Net of Written Options | $652,557 | $447,084 | $202,134 | $3,339 |
Total | Equity-Linked
Notes | ||
Investments in Securities | |||
Balance as of January 31, 2023: | $ 3,601 | $ 3,601 | |
Net realized gain (loss) | (1) | (1) | |
Net change in unrealized appreciation (depreciation)(a) | (365) | (365) | |
Purchases | 113 | 113 | |
Sales (b) | (9) | (9) | |
Balance as of July 31, 2023 | $ 3,339 | $ 3,339 |
AIO | CBH | NCV | NCZ | ||||
Assets | |||||||
Investment in securities at value(1)
(2) |
$ 807,647 | $ 237,052 | $ 535,572 | $ 406,250 | |||
Cash
|
24,500 | 5,036 | 23,081 | 19,395 | |||
Receivables | |||||||
Investment securities sold
|
2,958 | 3,900 | 2,080 | 1,575 | |||
Dividends and
interest |
2,416 | 1,511 | 5,204 | 3,840 | |||
Securities lending
income |
33 | 2 | — | — | |||
Prepaid Trustees’
retainer |
15 | 4 | 8 | 6 | |||
Prepaid expenses and other assets (Note
4) |
60 | 45 | 222 | 177 | |||
Total
assets |
837,629 | 247,550 | 566,167 | 431,243 | |||
Liabilities | |||||||
Loan Payable (Note
9) |
130,000 | 68,700 | 34,000 | 25,000 | |||
Mandatory redeemable preferred shares (Note
10A) |
— | — | 65,295 (a) | 21,720 (b) | |||
Payables | |||||||
Collateral on securities loaned (Note
9) |
6,671 | 2,531 | — | — | |||
Dividend distributions
|
5,151 | 840 | 3,547 | 2,788 | |||
Investment securities
purchased |
3,339 | 6,458 | 3,595 | 2,777 | |||
Investment advisory fees (Note
4) |
803 | 139 | 285 | 218 | |||
Loan interest payable (Note
9) |
793 | 383 | 180 | 133 | |||
Professional fees
|
78 | 87 | 53 | 96 | |||
Administration and accounting
fees |
75 | 22 | 51 | 39 | |||
Trustee deferred compensation plan (Note
4) |
46 | 32 | 186 | 143 | |||
Interest on mandatory redeemable preferred shares (Note
10A) |
— | — | 731 | 244 | |||
Other accrued
expenses |
72 | 15 | 47 | 39 | |||
Total
liabilities |
147,028 | 79,207 | 107,970 | 53,197 | |||
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 |
$ 690,601 | $ 168,343 | $ 358,197 | $ 269,046 | |||
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 |
671,836 | 178,376 | 681,639 | 521,050 | |||
Total distributable earnings (accumulated
losses) |
18,765 | (10,033) | (323,443) | (252,005) | |||
Net Assets Applicable to Common
Shareholders |
$ 690,601 | $ 168,343 | $ 358,197 | $ 269,046 | |||
Common Shares Issued and
Outstanding |
34,340,972 | 18,263,597 | 90,373,569 | 76,115,749 | |||
Net Asset Value Per Common
Share(d) |
$ 20.11 | $ 9.22 | $ 3.96 | $ 3.53 | |||
(1) Investment in securities at
cost |
$ 748,745 | $ 242,059 | $ 543,466 | $ 410,729 | |||
(2) Market value of securities on
loan |
$ 35,855 | $ 9,224 | $ — | $ — |
(a) | Liquidation preference $66,000, net of deferred offering costs of $705. |
(b) | Liquidation preference $22,000, net of deferred offering costs of $280. |
(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)
|
$ 325,701 | $ 1,412,117 | $ 652,741 | ||
Cash
|
10,041 | 11,927 | 20,086 | ||
Deposits with broker for written
options |
27 | — | 182 | ||
Receivables | |||||
Investment securities sold
|
1,600 | 1,807 | 3,414 | ||
Dividends and
interest |
1,483 | 2,031 | 941 | ||
Tax reclaims
|
— | 58 | — | ||
Prepaid Trustees’
retainer |
5 | 29 | 14 | ||
Prepaid expenses and other assets (Note
4) |
75 | 381 | 171 | ||
Total
assets |
338,932 | 1,428,350 | 677,549 | ||
Liabilities | |||||
Loan Payable (Note 10B and
11) |
75,000 | — | — | ||
Mandatory redeemable preferred shares (Note
10A) |
30,000 | — | — | ||
Written options at value (Note
3)(2) |
39 | 635 | 184 | ||
Payables | |||||
Investment securities
purchased |
3,173 | 13,517 | 8,625 | ||
Dividend distributions
|
1,866 | — | — | ||
Loan interest payable (Note 10B and
11) |
951 | — | — | ||
Investment advisory fees (Note
4) |
252 | 930 | 499 | ||
Interest on mandatory redeemable preferred shares (Note
10A) |
109 | — | — | ||
Professional fees
|
83 | 74 | 76 | ||
Trustee deferred compensation plan (Note
4) |
61 | 341 | 156 | ||
Administration and accounting
fees |
30 | 126 | 60 | ||
Other accrued
expenses |
26 | 44 | 39 | ||
Total
liabilities |
111,590 | 15,667 | 9,639 | ||
Net Assets Applicable to Common
Shareholders |
$ 227,342 | $ 1,412,683 | $ 667,910 | ||
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 |
252,359 | 1,276,956 | 670,598 | ||
Total distributable earnings (accumulated
losses) |
(25,017) | 135,726 | (2,688) | ||
Net Assets Applicable to Common
Shareholders |
$ 227,342 | $ 1,412,683 | $ 667,910 | ||
Common Shares Issued and
Outstanding |
10,365,167 | 94,801,581 | 27,708,965 | ||
Net Asset Value Per Common
Share(b) |
$ 21.93 | $ 14.90 | $ 24.10 | ||
(1) Investment in securities at
cost |
$ 324,516 | $ 1,335,969 | $ 645,740 | ||
(2) Written options premiums
received |
$ 39 | $ 683 | $ 184 |
(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
|
$ 5,242 | $ 5,531 | $ 10,837 | $ 8,047 | |||
Dividends
|
2,794 | 252 | 1,460 | 1,059 | |||
Security lending, net of
fees |
243 | 8 | — | — | |||
Foreign taxes withheld
|
(59) | — | (—) (1) | (—) (1) | |||
Total investment
income |
8,220 | 5,791 | 12,297 | 9,106 | |||
Expenses | |||||||
Investment advisory
fees |
4,928 | 876 | 2,050 | 1,547 | |||
Administration and accounting
fees |
426 | 129 | 318 | 241 | |||
Printing fees and expenses
|
112 | 13 | 35 | 28 | |||
Professional fees
|
63 | 55 | 58 | 58 | |||
Trustees’ fees and
expenses |
61 | 16 | 35 | 26 | |||
Transfer agent fees and
expenses |
6 | 5 | 8 | 8 | |||
Miscellaneous
expenses |
34 | 22 | 87 | 68 | |||
Total expenses before interest
expense |
5,630 | 1,116 | 2,591 | 1,976 | |||
Interest on mandatory redeemable preferred shares and amortization of deferred offering costs on preferred shares (Note
10A) |
— | — | 764 | 257 | |||
Loan interest (Note
9) |
3,576 | 1,909 | 3,321 | 1,912 | |||
Total expenses after interest
expense |
9,206 | 3,025 | 6,676 | 4,145 | |||
Less expenses reimbursed and/or waived by investment adviser (Note
4D) |
(405) | (83) | (296) | (224) | |||
Net
expenses |
8,801 | 2,942 | 6,380 | 3,921 | |||
Net investment income
(loss) |
(581) | 2,849 | 5,917 | 5,185 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Unaffiliated
Investments |
4,726 | (2,041) | (25,655) | (19,804) | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Unaffiliated
Investments |
33,240 | 3,201 | 32,308 | 25,499 | |||
Net realized and unrealized gain (loss) on
investments |
37,966 | 1,160 | 6,653 | 5,695 | |||
Dividends on preferred shares from net investment
income |
— | — | (2,809) | (2,993) | |||
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations |
$37,385 | $ 4,009 | $ 9,761 | $ 7,887 |
(1) | Amount is less than $500 (not in thousands). |
ACV | NFJ | NIE | |||
Investment Income | |||||
Interest
|
$ 3,286 | $ 2,331 | $ 2,117 | ||
Dividends
|
1,213 | 12,392 | 3,361 | ||
Foreign taxes withheld
|
(1) | (38) | (3) | ||
Total investment
income |
4,498 | 14,685 | 5,475 | ||
Expenses | |||||
Investment advisory
fees |
1,582 | 5,864 | 3,087 | ||
Administration and accounting
fees |
174 | 702 | 335 | ||
Professional fees
|
57 | 77 | 67 | ||
Printing fees and expenses
|
48 | 132 | 71 | ||
Trustees’ fees and
expenses |
20 | 114 | 57 | ||
Transfer agent fees and
expenses |
10 | 6 | 6 | ||
Miscellaneous
expenses |
47 | 76 | 31 | ||
Total expenses before interest
expense |
1,938 | 6,971 | 3,654 | ||
Interest on mandatory redeemable preferred shares (Note
10A) |
649 | — | — | ||
Loan interest (Note 10B and
11) |
1,723 | — | — | ||
Total expenses after interest
expense |
4,310 | 6,971 | 3,654 | ||
Less expenses reimbursed and/or waived by investment adviser (Note
4D) |
(164) | (715) | (350) | ||
Net
expenses |
4,146 | 6,256 | 3,304 | ||
Net investment income
(loss) |
352 | 8,429 | 2,171 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments |
(5,778) | 104,440 | 9,912 | ||
Foreign currency
transactions |
— | (—) (1) | — | ||
Written
options |
105 | (1,604) | 609 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments |
23,961 | 1,577 | 61,302 | ||
Written
options |
(4) | 983 | (19) | ||
Net realized and unrealized gain (loss) on
investments |
18,284 | 105,396 | 71,804 | ||
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations |
$18,636 | $113,825 | $73,975 |
(1) | Amount is less than $500 (not in thousands). |
AIO | CBH | ||||||
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 | ||||
Increase
(Decrease) In Net Assets From Operations |
|||||||
Net investment income
(loss) |
$ (581) | $ (317) | $ 2,849 | $ 4,931 | |||
Net realized gain
(loss) |
4,726 | (6,358) | (2,041) | (247) | |||
Net change in unrealized appreciation
(depreciation) |
33,240 | (77,872) | 3,201 | (2,571) | |||
Increase (decrease) in net assets resulting from
operations |
37,385 | (84,547) | 4,009 | 2,113 | |||
From Dividends and Distributions to Common Shareholders | |||||||
Net investment income and net realized
gains |
(30,907) (1) | (47,652) | (5,041) (1) | (11,741) | |||
Return of
capital |
— | (14,157) | — | — | |||
Dividends and Distributions to Common
Shareholders |
(30,907) | (61,809) | (5,041) | (11,741) | |||
From Capital Share Transactions | |||||||
Reinvestment of distributions resulting in the issuance of common stock (0, 0, 0 and 506 shares,
respectively) |
— | — | — | 5 | |||
Increase (decrease) in net assets from capital
transactions |
— | — | — | 5 | |||
Net increase (decrease) in net
assets |
6,478 | (146,356) | (1,032) | (9,623) | |||
Net Assets | |||||||
Beginning of
period |
684,123 | 830,479 | 169,375 | 178,998 | |||
End of
period |
$690,601 | $ 684,123 | $168,343 | $169,375 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
NCV | NCZ | ||||||
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 | ||||
Increase
(Decrease) In Net Assets From Operations |
|||||||
Net investment income
(loss) |
$ 5,917 | $ 17,298 | $ 5,185 | $ 13,555 | |||
Net realized gain
(loss) |
(25,655) | (63,874) | (19,804) | (47,975) | |||
Net change in unrealized appreciation
(depreciation) |
32,308 | (34,661) | 25,499 | (27,276) | |||
Increase (decrease) in net assets resulting from
operations |
12,570 | (81,237) | 10,880 | (61,696) | |||
Dividends on Auction-Rate and Cumulative Preferred Shares from Net Investment
Income |
(2,809) | (10,076) | (2,993) | (9,239) | |||
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations |
9,761 | (91,313) | 7,887 | (70,935) | |||
From Dividends and Distributions to Common Shareholders | |||||||
Net investment income and net realized
gains |
(19,973) (1) | (9,639) | (14,843) (1) | (6,136) | |||
Return of
capital |
— | (36,451) | — | (28,116) | |||
Dividends and Distributions to Common
Shareholders |
(19,973) | (46,090) | (14,843) | (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 |
(10,212) | (132,841) | (6,956) | (101,880) | |||
Net Assets | |||||||
Beginning of
period |
368,409 | 501,250 | 276,002 | 377,882 | |||
End of
period |
$358,197 | $ 368,409 | $269,046 | $ 276,002 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
ACV | NFJ | ||||||
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 | ||||
Increase
(Decrease) In Net Assets From Operations |
|||||||
Net investment income
(loss) |
$ 352 | $ (171) | $ 8,429 | $ 7,775 | |||
Net realized gain
(loss) |
(5,673) | (5,809) | 102,836 | (2,684) | |||
Net change in unrealized appreciation
(depreciation) |
23,957 | (32,115) | 2,560 | (113,682) | |||
Increase (decrease) in net assets resulting from
operations |
18,636 | (38,095) | 113,825 | (108,591) | |||
From Dividends and Distributions to Common Shareholders | |||||||
Net investment income and net realized
gains |
(11,194) (1) | (24,415) | (46,453) (1) | (94,470) | |||
Dividends and Distributions to Common
Shareholders |
(11,194) | (24,415) | (46,453) | (94,470) | |||
From Capital Share Transactions | |||||||
Reinvestment of distributions resulting in the issuance of common stock (2,213, 561, 0 and 0 shares,
respectively) |
47 | 15 | — | — | |||
Increase (decrease) in net assets from capital
transactions |
47 | 15 | — | — | |||
Net increase (decrease) in net
assets |
7,489 | (62,495) | 67,372 | (203,061) | |||
Net Assets | |||||||
Beginning of
period |
219,853 | 282,348 | 1,345,311 | 1,548,372 | |||
End of
period |
$227,342 | $219,853 | $1,412,683 | $1,345,311 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
NIE | |||
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 | ||
Increase
(Decrease) In Net Assets From Operations |
|||
Net investment income
(loss) |
$ 2,171 | $ 2,928 | |
Net realized gain
(loss) |
10,521 | 5,373 | |
Net change in unrealized appreciation
(depreciation) |
61,283 | (116,729) | |
Increase (decrease) in net assets resulting from
operations |
73,975 | (108,428) | |
From Dividends and Distributions to Common Shareholders | |||
Net investment income and net realized
gains |
(27,709) (1) | (110,185) | |
Dividends and Distributions to Common
Shareholders |
(27,709) | (110,185) | |
Net increase (decrease) in net
assets |
46,266 | (218,613) | |
Net Assets | |||
Beginning of
period |
621,644 | 840,257 | |
End of
period |
$667,910 | $ 621,644 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. |
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
|
$ 37,385 | $ 4,009 | $ 9,761 | $ 7,887 | $ 18,636 | ||||
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
|
383,109 | 82,572 | 392,480 | 295,574 | 202,932 | ||||
(Increase) Decrease in investment securities sold receivable
|
(2,958) | (2,913) | 6,081 | 4,628 | 1,312 | ||||
Purchases of long-term investments
|
(339,289) | (76,114) | (301,938) | (231,344) | (180,427) | ||||
Increase (Decrease) in investment securities purchased payable
|
3,339 | 2,969 | (8,837) | (6,301) | (909) | ||||
Net (purchases) or sales of short-term
investments |
12,624 | (178) | 25,146 | 19,740 | (1,362) | ||||
Net purchases or (sales) in written options
|
— | — | — | — | 136 | ||||
Net change in unrealized (appreciation)/depreciation on long-term unaffiliated
investments |
(33,240) | (3,201) | (32,308) | (25,499) | (23,961) | ||||
Net change in unrealized (appreciation)/depreciation on written
options |
— | — | — | — | 4 | ||||
Net realized (gain)/loss from unaffiliated investments
|
(4,726) | 2,041 | 25,655 | 19,804 | 5,778 | ||||
Net realized (gain)/loss from written
options |
— | — | — | — | (105) | ||||
Amortization of premium and accretion of discounts on investments
|
(597) | 380 | (1,338) | (1,047) | (763) | ||||
(Increase) Decrease in dividends and interest receivable
|
(294) | 72 | (229) | (266) | (157) | ||||
(Increase) Decrease in security lending
receivable |
10 | (2) | — | — | — | ||||
(Increase) Decrease in other
receivables |
47 | 12 | 25 | 19 | 16 | ||||
(Increase) Decrease in prepaid trustees’ retainer
|
12 | 3 | 6 | 5 | 3 | ||||
(Increase) Decrease in prepaid expenses and other
assets |
(14) | (13) | (36) | (34) | (14) | ||||
Increase (Decrease) in loan interest
payable |
(76) | (105) | (603) | (304) | 9 | ||||
Increase (Decrease) in payable for collateral securities on
loan |
— | 1,531 | — | — | — | ||||
Increase (Decrease) in affiliated expenses
payable |
29 | (1) | (43) | (36) | 1 | ||||
Increase (Decrease) in non-affiliated expenses
payable |
(54) | (113) | (125) | (108) | (33) | ||||
Increase (Decrease) in interest payable on mandatory redeemable preferred
shares |
— | — | 731 | 244 | (1) | ||||
Cash provided by (used for) operating
activities |
55,307 | 10,949 | 114,428 | 82,962 | 21,095 | ||||
Cash provided (used for) financing activities: | |||||||||
Cash received from borrowings
|
— | — | 34,000 | 25,000 | — | ||||
Cash payments to reduce
borrowings |
— | (1,000) | (170,000) | (95,000) | — | ||||
Cash distributions paid to shareholders
|
(30,907) | (5,041) | (20,745) | (15,418) | (11,146) | ||||
Proceeds from issuance of mandatory redeemable preferred
shares |
— | — | 66,000 | 22,000 | — | ||||
Offering costs on mandatory redeemable preferred
shares |
— | — | (705) | (280) | — | ||||
Cash provided (used for) financing
activities: |
(30,907) | (6,041) | (91,450) | (63,698) | (11,146) | ||||
Net increase/decrease in cash | |||||||||
Net increase (decrease) in
cash |
24,400 | 4,908 | 22,978 | 19,264 | 9,949 | ||||
Restricted and unrestricted cash at beginning of
period |
100 | 128 | 103 | 131 | 119 | ||||
Restricted and unrestricted cash at end of
period |
$ 24,500 | $ 5,036 | $ 23,081 | $ 19,395 | $ 10,068 | ||||
Supplemental cash flow information: | |||||||||
Cash paid during the period for interest expense on loan payable | $ 3,652 | $ 2,014 | $ 3,924 | $ 2,216 | $ 1,714 | ||||
Cash paid during the period for interest to mandatory redeemable preferred shares | $ — | $ — | $ — | $ — | $ 649 | ||||
Reinvestment of dividends and distributions | $ — | $ — | $ — | $ — | $ 47 | ||||
Reconciliation of restricted and unrestricted cash at the end of period to the statement of assets and liabilities | |||||||||
Cash | $ 24,500 | $ 5,036 | $ 23,081 | $ 19,395 | $ 10,041 | ||||
Deposits with broker for written options | — | — | — | — | 27 | ||||
$ 24,500 | $ 5,036 | $ 23,081 | $ 19,395 | $ 10,068 |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year
Ended February 28, 2021 |
From
Inception October 31, 2019(2) to February 29, 2020 | |||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of period
|
$ 19.92 | $ 24.18 | $ 29.20 | $ 19.89 | $ 20.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)(3)
|
(0.02) | (0.01) | (0.18) | (0.08) | (0.01) | ||||
Net realized and unrealized gain (loss)
|
1.11 | (2.45) | 0.01 | 11.88 | 0.23 | ||||
Total from investment operations
|
1.09 | (2.46) | (0.17) | 11.80 | 0.22 | ||||
Dividends and Distributions to Shareholders: | |||||||||
Net investment income
|
(0.90) | (1.39) | (1.40) | — | — | ||||
Net realized gains
|
— | — | (3.45) | (2.49) | (0.33) | ||||
Return of capital
|
— | (0.41) | — | — | — | ||||
Total dividends and distributions to shareholders
|
(0.90) | (1.80) | (4.85) | (2.49) | (0.33) | ||||
Net asset value, end of period
|
$ 20.11 | $ 19.92 | $ 24.18 | $ 29.20 | $ 19.89 | ||||
Market value, end of period
|
$ 18.57 | $ 17.42 | $ 23.58 | $ 27.41 | $ 17.72 | ||||
Total return, net asset value(4), (5)
|
5.78% | (10.03)% | (1.85)% | —% (6) | —% (6) | ||||
Total return, market value(4), (5)
|
12.19% | (18.42)% | 2.75% | 71.09% | (9.92)% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of net expenses after interest expense to average net assets(7), (8)
|
2.67% | 2.04% | 1.47% (9), (10) | 1.42% (9) | 1.34% (10) | ||||
Ratio of total expenses after interest expense to average net assets(7)
|
2.79% | 2.17% | 1.56% (9), (10) | 1.43% (9) | 1.34% (10) | ||||
Ratio of net investment income (loss) to average net assets(7)
|
(0.18)% | (0.04)% | (0.66)% (9), (10) | (0.33)% (9) | (0.15)% (10) | ||||
Portfolio turnover rate(4)
|
44% | 53% | 53% | 103% | 56% | ||||
Net assets, end of period (000’s)
|
$690,601 | $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
|
$ 6,312 | $ 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 six months ended July 31, 2023, year ended January 31, 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. |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year Ended February 28/29 | From
Inception June 30, 2017(2) to February 28 2018 | ||||||||||
2021 | 2020 | 2019 | ||||||||||||
PER SHARE DATA: | ||||||||||||||
Net asset value, beginning of period
|
$ 9.27 | $ 9.80 | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | $ 9.84(3) | |||||||
Income (loss) from investment operations: | ||||||||||||||
Net investment income (loss)(4)
|
0.16 | 0.27 | 0.25 | 0.41 | 0.43 | 0.48 | 0.35 | |||||||
Net realized and unrealized gain (loss)
|
0.07 | (0.16) | (0.27) | 1.00 | 0.26 | (0.01) | (0.06) | |||||||
Total from investment operations
|
0.23 | 0.11 | (0.02) | 1.41 | 0.69 | 0.47 | 0.29 | |||||||
Dividends and Distributions to Shareholders: | ||||||||||||||
Net investment income
|
(0.28) | (0.55) | (0.51) | (0.39) | (0.44) | (0.50) | (0.32) | |||||||
Net realized gains
|
— | (0.09) | (0.38) | (0.16) | (0.11) | (0.05) | — | |||||||
Total dividends and distributions to shareholders
|
(0.28) | (0.64) | (0.89) | (0.55) | (0.55) | (0.55) | (0.32) | |||||||
Capital change resulting from issuance of common shares and related offering costs
|
— | — | — | — | — | — | (0.02) | |||||||
Net asset value, end of period
|
$ 9.22 | $ 9.27 | $ 9.80 | $ 10.71 | $ 9.85 | $ 9.71 | $ 9.79 | |||||||
Market value, end of period
|
$ 8.88 | $ 9.00 | $ 9.88 | $ 10.04 | $ 9.14 | $ 9.00 | $ 9.22 | |||||||
Total return, net asset value(5), (6)
|
2.41% | 1.40% | (0.28)% | —% (7) | —% (7) | —% (7) | —% (7) | |||||||
Total return, market value(5), (6)
|
1.84% | (2.18)% | 7.33% | 16.68% | 7.63% | 3.72% | (4.59)% | |||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||
Ratio
of net expenses after interest expense to average net assets(8), (9),
(10)
|
3.57% | 2.41% | 1.62% (11) | 1.72% | 2.38% | 2.60% | 2.14% (11) | |||||||
Ratio
of total expenses after interest expense to average net assets(8), (9)
|
3.67% | 2.48% | 1.72% (11) | 1.73% | 2.38% | 2.60% | 2.14% (11) | |||||||
Ratio of net investment income (loss) to average net assets(8), (9)
|
3.45% | 2.91% | 2.58% (11) | 4.24% | 4.34% | 4.94% | 5.47% (11) | |||||||
Portfolio turnover rate(5)
|
34% | 18% | 56% | 101% | 86% | 116% | 66% | |||||||
Net assets, end of period (000’s)
|
$168,343 | $169,375 | $178,998 | $195,606 | $179,907 | $177,319 | $178,760 | |||||||
Loan payable, end of period (000’s)
|
$ 68,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | $ 69,700 | |||||||
Asset coverage, per $1,000 principal amount of loan payable
|
$ 3,450 | $ 3,430 | $ 3,568 | $ 3,806 | $ 3,581 | $ 3,544 | $ 3,565 |
(1) | The Fund had a fiscal year end change from February 28 to January 31. |
(2) | Commencement of operations. |
(3) | Initial public offering price of $10.00 per share less sales load of 1.65% of the offering price. |
(4) | Calculated using average shares outstanding. |
(5) | Not annualized for periods less than one year. |
(6) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(7) | Return not disclosed. |
(8) | Annualized for periods less than one year. |
(9) | Inclusive of excise tax expense of 0.06%, 0.15%(5), 0.08%, 0.07%, 0.08% and 0.02%(5) for the year ended January 31, 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020, 2019 and period ended February 28, 2018, respectively. |
(10) | Ratio of net expenses, before interest expense, was 1.25%, 1.30%, 1.37%, 1.33%, 1.31%, 1.36% and 1.23% for the six months ended July 31,2023, year ended January 31, 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020 and 2019 and period ended 2018, respectively. |
(11) | Certain expenses incurred by the Fund were not annualized. |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | ||||||||||
PER SHARE DATA: | |||||||||||||
Net asset value, beginning of period
|
$ 4.08 | $ 5.55 | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | $ 6.86 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)(2)
|
0.07 | 0.19 | 0.21 | 0.37 | 0.52 | 0.56 | 0.69 | ||||||
Net realized and unrealized gain (loss)
|
0.06 | (1.09) | (0.59) | 1.35 | (0.02) | (0.64) | (0.16) | ||||||
Total from investment operations
|
0.13 | (0.90) | (0.38) | 1.72 | 0.50 | (0.08) | 0.53 | ||||||
Dividends on Preferred Shares from Net Investment Income: | (0.03) | (0.11) | (0.06) | (0.07) | (0.14) | (0.12) | (0.07) | ||||||
Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations
|
0.10 | (1.01) | (0.44) | 1.65 | 0.36 | (0.20) | 0.46 | ||||||
Dividends and Distributions to Shareholders: | |||||||||||||
Net investment income
|
(0.22) | (0.11) | (0.16) | (0.31) | (0.42) | (0.50) | (0.77) | ||||||
Return of capital
|
— | (0.40) | (0.31) | (0.21) | (0.22) | (0.28) | (0.01) | ||||||
Total dividends and distributions to shareholders
|
(0.22) | (0.51) | (0.47) | (0.52) | (0.64) | (0.78) | (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
|
$ 3.96 | $ 4.08 | $ 5.55 | $ 6.46 | $ 5.33 | $ 5.61 | $ 6.54 | ||||||
Market value, end of period
|
$ 3.55 | $ 3.96 | $ 5.31 | $ 5.68 | $ 5.10 | $ 6.24 | $ 6.93 | ||||||
Total return, net asset value(3), (4)
|
2.79% | (17.30)% | (7.41)% | —% (5) | —% (5) | —% (5) | —% (5) | ||||||
Total return, market value(3), (4)
|
(4.51)% | (15.20)% | 1.14% | 24.29% | (8.51)% | 2.00% | 12.22% | ||||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||||
Ratio of net expenses after interest expense to average net assets(6), (7), (8)
|
3.70% | 2.08% (9) | 1.39% | 1.45% | 1.53% | 1.56% (9) | 1.28% | ||||||
Ratio of total expenses after interest expense to average net assets(6), (7)
|
3.87% | 2.27% (9) | 1.55% | 1.48% | 1.53% | 1.56% (9) | 1.28% | ||||||
Ratio of net investment income (loss) to average net assets(6), (7)
|
3.43% | 4.38% | 3.69% | 7.04% | 9.30% | 9.22% | 10.32% | ||||||
Portfolio turnover rate(3)
|
54% | 71% | 54% | 73% | 35% | 41% | 34% | ||||||
Net assets, end of period (000’s)
|
$358,197 | $368,409 | $501,250 | $583,944 | $481,633 | $502,648 | $580,867 | ||||||
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)
|
$ 16,418 | $ 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)
|
$ 70 | $ 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 | $ 65,668 | ||||||
Cumulative Preferred shares average market value(12)
|
$ 21.66 | $ 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 1.34%, 1.46%, 1.31%, 1.35%, 1.33%, 1.34% and 1.21% for the six months period ended July 31, 2023, year ended January 31, 2023, period ended January 31, 2022, years ended February 28/29, 2021, 2020, 2019 and 2018, 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. |
Six
Months Ended July 31, 2023 (Unaudited) |
Year
Ended January 31, 2023 |
Fiscal
Period March 1, 2021 to January 31, 2022 (1) |
Year Ended February 28/29 | ||||||||||
2021 | 2020 | 2019 | 2018 | ||||||||||
PER SHARE DATA: | |||||||||||||
Net asset value, beginning of period
|
$ 3.63 | $ 4.96 | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | $ 6.14 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)(2)
|
0.07 | 0.18 | 0.19 | 0.34 | 0.48 | 0.50 | 0.62 | ||||||
Net realized and unrealized gain (loss)
|
0.07 | (0.98) | (0.54) | 1.20 | (0.03) | (0.57) | (0.14) | ||||||
Total from investment operations
|
0.14 | (0.80) | (0.35) | 1.54 | 0.45 | (0.07) | 0.48 | ||||||
Dividends on Preferred Shares from Net Investment Income: | (0.04) | (0.12) | (0.07) | (0.08) | (0.14) | (0.12) | (0.06) | ||||||
Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations
|
0.10 | (0.92) | (0.42) | 1.46 | 0.31 | (0.19) | 0.42 | ||||||
Dividends and Distributions to Shareholders: | |||||||||||||
Net investment income
|
(0.20) | (0.08) | (0.12) | (0.27) | (0.36) | (0.45) | (0.61) | ||||||
Return of capital
|
— | (0.37) | (0.29) | (0.19) | (0.19) | (0.24) | (0.08) | ||||||
Total dividends and distributions to shareholders
|
(0.20) | (0.45) | (0.41) | (0.46) | (0.55) | (0.69) | (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
|
$ 3.53 | $ 3.63 | $ 4.96 | $ 5.79 | $ 4.79 | $ 5.03 | $ 5.87 | ||||||
Market value, end of period
|
$ 3.15 | $ 3.33 | $ 4.62 | $ 5.01 | $ 4.54 | $ 5.44 | $ 6.10 | ||||||
Total return, net asset value(3), (4)
|
2.94% | (17.84)% | (7.95)% | —% (5) | —% (5) | —% (5) | —% (5) | ||||||
Total return, market value(3), (4)
|
0.76% | (17.85)% | (0.19)% | 22.81% | (6.98)% | 1.14% | 10.84% | ||||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||||
Ratio of net expenses after interest expense to average net assets(6), (7), (8)
|
3.03% | 2.00% (9) | 1.40% | 1.44% | 1.41% | 1.53% (9) | 1.32% | ||||||
Ratio of total expenses after interest expense to average net assets(6), (7)
|
3.21% | 2.18% (9) | 1.55% | 1.47% | 1.41% | 1.53% (9) | 1.32% | ||||||
Ratio of net investment income (loss) to average net assets(6), (7)
|
4.01% | 4.57% | 3.73% | 7.18% | 9.48% | 9.28% | 10.31% | ||||||
Portfolio turnover rate(3)
|
54% | 72% | 54% | 73% | 35% | 41% | 33% | ||||||
Net assets, end of period (000’s)
|
$269,046 | $276,002 | $377,882 | $440,994 | $364,382 | $379,901 | $440,106 | ||||||
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)
|
$ 17,002 | $ 5,053 | $ — | $ — | $ — | $ — | $ — | ||||||
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares and mandatory redeemable preferred shares(11)
|
$ 68 | $ 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 | $ 65,147 | ||||||
Cumulative Preferred shares average market value(12)
|
$ 21.34 | $ 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 1.36%, 1.53%, 1.35%, 1.39%, 1.36%, 1.39% and 1.24% for the six months period ended July 31, 2023, year ended January 31, 2023, period ended January 31, 2022, and years ended February 28/29, 2021, 2020, 2019 and 2018, 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. |
Six
Months Ended July 31, 2023 (Unaudited) |
Year Ended January 31, | ||||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period
|
$ 21.22 | $ 27.25 | $ 35.15 | $ 24.81 | $ 22.05 | $ 23.88 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1)
|
0.03 | (0.02) | (0.17) | 0.01 | 0.11 | 0.16 | |||||
Net realized and unrealized gain (loss)
|
1.76 | (3.65) | 0.09 | 12.71 | 4.65 | 0.01 | |||||
Total from investment operations
|
1.79 | (3.67) | (0.08) | 12.72 | 4.76 | 0.17 | |||||
Dividends and Distributions to Common Shareholders: | |||||||||||
Net investment income
|
(1.08) | (2.16) | (2.02) | (1.19) | (0.42) | (0.95) | |||||
Net realized gains
|
— | (0.20) | (5.80) | (1.19) | (1.58) | (1.05) | |||||
Total dividends and distributions to common shareholders
|
(1.08) | (2.36) | (7.82) | (2.38) | (2.00) | (2.00) | |||||
Net asset value, end of period
|
$ 21.93 | $ 21.22 | $ 27.25 | $ 35.15 | $ 24.81(2) | $ 22.05 | |||||
Market value, end of period
|
$ 20.69 | $ 22.62 | $ 27.75 | $ 32.25 | $ 25.22 | $ 21.29 | |||||
Total return, net asset value(3), (4)
|
8.97% | (13.45)% | (2.32)% | —% (5) | —% (5) | —% (5) | |||||
Total return, market value(3), (4)
|
(3.41)% | (9.06)% | 7.46% | 40.11% | 29.04% | 3.89% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses after interest expense to average net assets(6), (7)
|
3.91% | 3.36% | 2.47% (8) | 2.84% (8) | 3.32% | 3.40% (8) | |||||
Ratio of total expenses after interest expense to average net assets(6)
|
4.06% | 3.49% | 2.55% (8) | 2.84% (8) | 3.32% | 3.40% (8) | |||||
Ratio of net investment income (loss) to average net assets(6)
|
0.33% | (0.07)% | (0.48)% (8) | 0.05% (8) | 0.47% | 0.72% (8) | |||||
Portfolio turnover rate(3)
|
59% | 94% | 108% | 128% | 120% | 105% | |||||
Net assets, end of period (000’s)
|
$227,342 | $219,853 | $282,348 | $363,899 | $256,724 | $227,320 | |||||
Loan payable, end of period (000’s)
|
$ 75,000 | $ 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 | $ 30,000 | |||||
Asset coverage, per $1,000 principal amount of loan payable(9)
|
$ 4,431 | $ 4,331 | $ 5,165 | $ 6,252 | $ 4,823 | $ 4,431 | |||||
Asset coverage, per $25 liquidation preference per share of mandatory redeemable preferred shares(10)
|
$ 79 | $ 77 | $ 92 | $ 112 | $ 86 | $ 79 |
(1) | Calculated using average shares outstanding. |
(2) | Payment from affiliate increased the net asset value by less than $0.01. |
(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 to average net assets was 2.27%, 2.17%, 1.85%, 2.03%, 2.14% and 2.20% for the six months period ended July 31, 2023, years ended January 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(8) | Inclusive of excise tax expense of 0.04%, 0.05%, 0.06% and 0.07% for the years ended January 31, 2022, 2021, 2019 and 2018, respectively. |
(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 borrowings at the end of the period multiplied by $1,000. |
(10) | 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. |
Six
Months Ended July 31, 2023 (Unaudited) |
Year Ended January 31, | ||||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period
|
$ 14.19 | $ 16.33 | $ 15.21 | $ 14.34 | $ 13.52 | $ 15.32 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1)
|
0.09 | 0.08 | 0.05 | 0.13 | 0.24 | 0.27 | |||||
Net realized and unrealized gain (loss)
|
1.11 | (1.22) | 1.97 | 1.64 | 1.48 | (1.17) | |||||
Total from investment operations
|
1.20 | (1.14) | 2.02 | 1.77 | 1.72 | (0.90) | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income
|
(0.49) | (0.98) | (0.90) | (0.13) | (0.26) | (0.71) | |||||
Net realized gains
|
— | (0.02) | — | (0.48) | (0.64) | — | |||||
Return of capital
|
— | — | — | (0.29) | — | (0.19) | |||||
Total dividends and distributions to shareholders
|
(0.49) | (1.00) | (0.90) | (0.90) | (0.90) | (0.90) | |||||
Net asset value, end of period
|
$ 14.90 | $ 14.19 | $ 16.33 | $ 15.21 | $ 14.34 | $ 13.52 | |||||
Market value, end of period
|
$ 12.83 | $ 12.31 | $ 14.73 | $ 13.28 | $ 13.09 | $ 11.90 | |||||
Total return, net asset value(2), (3)
|
8.88% | (6.71)% | 13.39% | —% (4) | —% (4) | —% (4) | |||||
Total return, market value(2), (3)
|
8.63% | (9.24)% | 17.77% | 9.71% | 18.17% | (5.42)% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses to average net assets(5)
|
0.96% | 0.96% | 0.96% | 0.96% | 0.96% | 0.95% | |||||
Ratio of total expenses to average net assets(5)
|
1.07% | 1.08% | 1.06% | 0.96% | 0.96% | 0.95% | |||||
Ratio of net investment income (loss) to average net assets(5)
|
1.29% | 0.58% | 0.28% | 0.94% | 1.73% | 1.87% | |||||
Portfolio turnover rate(2)
|
64% | 60% | 63% | 104% | 76% | 50% | |||||
Net assets, end of period (000’s)
|
$1,412,683 | $1,345,311 | $1,548,372 | $1,441,666 | $1,359,815 | $1,281,712 |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(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) | Annualized for periods less than one year. |
Six
Months Ended July 31, 2023 (Unaudited) |
Year Ended January 31, | ||||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period
|
$ 22.43 | $ 30.32 | $ 30.91 | $ 24.89 | $ 22.53 | $ 24.51 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1)
|
0.08 | 0.11 | (0.09) | 0.06 | 0.18 | 0.19 | |||||
Net realized and unrealized gain (loss)
|
2.59 | (4.02) | 2.77 | 7.48 | 3.70 | (0.65) | |||||
Total from investment operations
|
2.67 | (3.91) | 2.68 | 7.54 | 3.88 | (0.46) | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income
|
(1.00) | (2.00) | (1.52) | (0.09) | (0.20) | (0.93) | |||||
Net realized gains
|
— | (1.98) | (1.75) | (1.43) | (1.32) | (0.59) | |||||
Total dividends and distributions to shareholders
|
(1.00) | (3.98) | (3.27) | (1.52) | (1.52) | (1.52) | |||||
Net asset value, end of period
|
$ 24.10 | $ 22.43 | $ 30.32 | $ 30.91 | $ 24.89(2) | $ 22.53 | |||||
Market value, end of period
|
$ 21.86 | $ 20.28 | $ 27.33 | $ 27.78 | $ 23.14 | $ 20.52 | |||||
Total return, net asset value(3), (4)
|
12.51% | (12.54)% | 8.22% | —% (5) | —% (5) | —% (5) | |||||
Total return, market value(3), (4)
|
13.30% | (10.96)% | 9.80% | 28.21% | 20.83% | (0.25)% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of net expenses to average net assets(6)
|
1.07% | 1.07% | 1.12% (7) | 1.07% | 1.07% | 1.13% (7) | |||||
Ratio of total expenses to average net assets(6)
|
1.18% | 1.18% | 1.22% (7) | 1.07% | 1.07% | 1.13% (7) | |||||
Ratio of net investment income (loss) to average net assets(6)
|
0.70% | 0.41% | (0.28)% (7) | 0.24% | 0.74% | 0.83% (7) | |||||
Portfolio turnover rate(3)
|
52% | 76% | 71% | 85% | 50% | 81% | |||||
Net assets, end of period (000’s)
|
$667,910 | $621,644 | $840,257 | $856,449 | $689,650 | $624,315 |
(1) | Calculated using average shares outstanding. |
(2) | Payment from affiliate increased the net asset value by less than $0.01. |
(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) | Inclusive of excise tax expense of 0.05% and 0.07% for the years ended January 31, 2022 and 2019, respectively. |
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 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 currently provides for the Funds to make a monthly distribution of $0.15 per share and $0.18 per share, respectively. Also, NFJ and NIE have a Managed Distribution Plan which currently provides for the Funds to make a quarterly distribution of $0.245 per share and $0.50 per share, respectively. Distributions may represent earnings from net investment income, realized capital gains, or, if necessary, return of capital. Shareholders should not draw any conclusions about the Funds’ investment performance from the terms of the Funds’ Managed Distribution Plan. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund 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 six months ended July 31, 2023, 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 July 31, 2023: |
Statement Line Description | Primary Risk | ACV | NFJ | NIE | ||
Liability Derivatives | ||||||
Written options at value | Equity contracts | $(39) | $(635) | $(184) | ||
Total Liabilities | $(39) | $(635) | $(184) |
Statement Line Description | Primary Risk | ACV | NFJ | NIE | |||
Net Realized Gain (Loss) from | |||||||
Written options | Equity contracts | $105 | $ (1,604) | $ 609 | |||
Total | $105 | $ (1,604) | $ 609 | ||||
Net Change in Unrealized Appreciation (Depreciation) on | |||||||
Written options | Equity contracts | $ (4) | $ 983 | $ (19) | |||
Total | $ (4) | $ 983 | $ (19) |
ACV | NFJ | NIE | |||
Written
Options(1) |
$23 | $712 | $114 |
(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 period 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, 2024. 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 the six months ending July 31: |
Expiration | ||||||||
Fund | 2025 | 2026 | 2027 | Total | ||||
AIO |
$ 858 | $ 894 | $ 405 | $ 2,157 | ||||
CBH |
200 | 117 | 83 | 400 | ||||
NCV |
901 | 720 | 296 | 1,917 | ||||
NCZ |
692 | 535 | 224 | 1,451 | ||||
ACV |
279 | 302 | 164 | 745 | ||||
NFJ |
1,598 | 1,590 | 715 | 3,903 | ||||
NIE |
888 | 783 | 350 | 2,021 |
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 six months ended July 31, 2023, the Funds incurred administration fees totaling $2,144 which are included in the Statements of Operations within the line item “Administration and accounting fees”. | |
F. | Trustees’ Fees |
For the six months ended July 31, 2023, the Funds incurred Trustees’ fees totaling $269 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 six months ended July 31, 2023, 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 July 31, 2023. |
Purchases | Sales | ||
AIO |
$339,289 | $383,109 | |
CBH |
76,114 | 82,572 | |
NCV |
301,938 | 392,480 | |
NCZ |
231,344 | 295,574 | |
ACV |
180,427 | 202,932 | |
NFJ |
817,611 | 870,158 | |
NIE |
306,894 | 359,015 |
Fund | Federal
Tax Cost |
Unrealized
Appreciation |
Unrealized
(Depreciation) |
Net
Unrealized Appreciation (Depreciation) | ||||
AIO |
$ 749,619 | $ 86,913 | $ (28,885) | $ 58,028 | ||||
CBH |
244,397 | 899 | (8,244) | (7,345) | ||||
NCV |
548,148 | 29,779 | (42,355) | (12,576) | ||||
NCZ |
413,994 | 24,076 | (31,820) | (7,744) | ||||
ACV |
325,605 | 15,903 | (15,807) | 96 | ||||
ACV (Written
options) |
(39) | 6 | (6) | — (a) | ||||
NFJ |
1,343,666 | 99,769 | (31,318) | 68,451 | ||||
NFJ (Written
options) |
(683) | 274 | (226) | 48 | ||||
NIE |
647,429 | 43,161 | (37,849) | 5,312 | ||||
NIE (Written
options) |
(184) | 31 | (31) | — (a) |
(a) | Amount is less than $500 (not in thousands). |
Fund | Short-Term | Long-Term | ||
AIO |
$ 5,164 | $ — | ||
CBH |
355 | 210 | ||
NCV |
81,526 | 174,007 | ||
NCZ |
61,957 | 139,814 | ||
ACV |
5,671 | — | ||
NFJ |
5,706 | — |
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 |
$ 35,855 | $ 6,671 | $ 29,184 | $ — | ||||
CBH |
9,224 | 2,531 | 6,693 | — |
(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 | 5.47% | 181 | 3,576 | |||||
CBH |
68,700 (b) | 69,319 | 5.48 | 181 | 1,909 | |||||
NCV |
34,000 (c) | 117,365 | 5.63 | 181 | 3,321 | |||||
NCZ |
25,000 (c) | 67,453 | 5.64 | 181 | 1,912 |
(a) | Represents $30,000 received through the SLAA and $100,000 received through the MMLA. |
(b) | Represents $7,000 received through the SLAA and $61,700 received through the MMLA. |
(c) | Full amount received through the MMLA. |
Fund | 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 | $30,000 | ||||||
NCV Series A | May 26, 2028 | 5.95% | 2,040,000 | $25.00 | $51,000 | $51,000 | ||||||
NCV Series B | May 26, 2030 | 5.95% | 600,000 | $25.00 | $15,000 | $15,000 | ||||||
NCZ Series A | May 26, 2028 | 5.95% | 880,000 | $25.00 | $22,000 | $22,000 |
Maturity Date | Interest
Rate |
Notional/
Carrying Amount |
Estimated
Fair Value | ||||
November 22, 2029 | 3.94% | $50,000 | $50,000 |
Outstanding
Borrowings |
Interest
Rate | |
$25,000 | 5.39% |
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 | 2/3/16-11/30/16 | 1,206 | 1,005 | 0.3 | ||||||
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 | 2/3/16-11/30/16 | 1,206 | 1,005 | 0.4 | ||||||
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 | 181 | 151 | 0.1 |
Election of Trustees | Votes For | Votes Withheld |
Geraldine M. McNamara | 25,449,848.000 | 2,387,432.000 |
R. Keith Walton | 24,816,212.000 | 3,021,068.000 |
Brian T. Zino | 24,384,569.000 | 3,452,711.000 |
Election of Trustees | Votes For | Votes Withheld |
George R. Aylward* | 15,435,719.000 | 321,457.000 |
Sarah E. Cogan | 15,495,271.000 | 261,905.000 |
Deborah A. DeCotis | 15,481,552.000 | 275,624.000 |
Election of Trustees | Votes For | Votes Withheld |
Geraldine M. McNamara | 65,386,695.237 | 3,548,056.000 |
George R. Aylward* | 65,824,290.237 | 3,110,461.000 |
Sarah E. Cogan | 64,641,352.237 | 4,293,399.000 |
R. Keith Walton | 65,715,220.237 | 3,219,531.000 |
Election of Trustees | Votes For | Votes Withheld |
George R. Aylward* | 54,990,250.892 | 5,863,833.050 |
Deborah A. DeCotis | 52,093,752.892 | 8,760,331.050 |
Philip R. McLoughlin | 52,198,023.892 | 8,656,060.050 |
Election of Trustees | Votes For | Votes Withheld |
Geraldine M. McNamara | 9,588,007.000 | 230,769.000 |
George R. Aylward* | 9,551,890.000 | 266,886.000 |
F. Ford Drummond | 9,560,662.000 | 258,114.000 |
R. Keith Walton | 9,562,100.000 | 256,676.000 |
Election of Trustees | Votes For | Votes Withheld |
Sarah E. Cogan | 77,144,005.293 | 8,621,246.000 |
F. Ford Drummond | 77,043,366.293 | 8,721,885.000 |
R. Keith Walton | 80,003,337.293 | 5,761,914.000 |
Election of Trustees | Votes For | Votes Withheld |
Geraldine M. McNamara | 22,085,159.425 | 661,867.470 |
R. Keith Walton | 22,174,615.425 | 572,411.470 |
Brian T. Zino | 22,158,648.425 | 588,378.470 |
8559 | 09-23 |
Item 2. Code of Ethics.
Response not required for semiannual report.
Item 3. Audit Committee Financial Expert.
Response not required for semiannual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semiannual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semiannual report.
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.
Response not required for semiannual report.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a) | Response not required for semiannual report. |
(b) | There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrants most recently filed annual report on Form N-CSR. |
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 Registrants Board of Trustees that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), as amended 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 and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. There were no changes in the registrants 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 registrants internal control over financial reporting. |
(b) | There were no significant changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3 (d))) that occurred during the most recent six months of the period covered by this report that materially affected, or is reasonably likely to affect, the registrants internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Response not required for semiannual report.
Item 13. Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(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 Registrants independent public accountant during the period covered by the report. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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.
Virtus Convertible & Income Fund II | ||
By: | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer | ||
(principal executive officer) | ||
Date: October 5, 2023 | ||
By: | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) | ||
Date: October 5, 2023 |
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: | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer | ||
(principal executive officer) | ||
Date: October 5, 2023 | ||
By: | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) | ||
Date: October 5, 2023 |
* | Print the name and title of each signing officer under his or her signature. |
Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act
I, George R. Aylward, certify that:
1. | I have reviewed this report on Form N-CSR of Virtus Convertible & Income Fund II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: October 5, 2023 | /s/ George R. Aylward | |||||
George R. Aylward, President and Chief Executive Officer | ||||||
(principal executive officer) |
Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act
I, W. Patrick Bradley, certify that:
1. | I have reviewed this report on Form N-CSR of Virtus Convertible & Income Fund II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: October 5, 2023 | /s/ W. Patrick Bradley | |||||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||||||
(principal financial officer) |
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act
I, George R. Aylward, President and Chief Executive Officer of Virtus Convertible & Income Fund II (the Registrant), certify that:
1. | The Form N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: October 5, 2023 | /s/ George R. Aylward | |||||
George R. Aylward, President and Chief Executive Officer | ||||||
(principal executive officer) |
I, W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer of Virtus Convertible & Income Fund II, certify that:
1. | The Form N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: October 5, 2023 | /s/ W. Patrick Bradley | |||||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||||||
(principal financial officer) |
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