Virtus Diversified Income & Convertible Fund
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23039
Virtus Diversified Income & Convertible Fund
(Exact name of registrant as specified in charter)
101 Munson
Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Jennifer
Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrants telephone number, including area code: 1-866-270-7788
Date of fiscal year end: January 31
Date of reporting period: January 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. |
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) |
Not
FDIC Insured • No Bank Guarantee • May Lose Value
FUND DISTRIBUTIONS AND MANAGED DISTRIBUTION PLAN
The Board of Trustees (the
“Board,” or the “Trustees”) of the Virtus Artificial Intelligence & Technology Opportunities Fund (“AIO”), Virtus Diversified Income & Convertible Fund (“ACV”), Virtus Dividend, Interest &
Premium Strategy Fund (“NFJ”), and Virtus Equity & Convertible Income Fund (“NIE”) (each individually a “Fund” or collectively “Funds”) have adopted a Managed Distribution Plan (the
“Plan”). The Plan currently provides for AIO and ACV to make a monthly distribution at a rate of $0.15 per share and $0.18 per share, respectively. The Plan currently provides for NFJ and NIE to make a quarterly distribution at a rate of
$0.245 per share and $0.50 per share, respectively. Under the terms of the Plan, the Funds seek to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of
capital, or a combination thereof. The Plan had no effect on the Funds meeting their principal strategies during the most recent fiscal period and is not expected to have such an effect in future periods.
If a Fund estimates that it has distributed
more than its income and capital gains in a particular period, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.”
You should not draw any conclusions about a
Fund’s investment performance from the amount of the Fund’s distributions or from the terms of the Fund’s Plan.
The amounts and sources of distributions
reported in a Fund’s notices issued pursuant to Section 19(a) of the Investment Company Act of 1940 are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting
purposes will depend upon the Fund’s investment results during its fiscal year and may be subject to changes based on tax regulations. The Fund will send shareholders a Form 1099-DIV for the calendar year that will tell you how to report
distributions for federal income tax purposes.
The Board may amend, suspend or terminate
the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interest of the Fund and its shareholders.
Information on each Fund is available
through the closed-end fund section on the web at
www.Virtus.com. Section 19(a) notices are posted on the website at:
https://www.virtus.com/AIO
https://www.virtus.com/ACV
https://www.virtus.com/NFJ
https://www.virtus.com/NIE
To Virtus Closed-End Fund Shareholders:
Enclosed is your annual report, which reviews
the performance of your Fund for the 12 months ended January 31, 2023.
The 12-month period was challenging for
investors, as stock and bond markets wrestled with persistently higher inflation, rising interest rates and the ongoing war in Ukraine. The Federal Reserve (the “Fed”) was committed to tamping down rising prices, and implemented several
interest rate increases in an effort to accomplish that goal. Investors swung from fears of inflation for much of the year to fears of recession as the reporting period came to a close.
Domestic and international equity indexes posted negative
returns for the 12 months ended January 31, 2023. U.S. large-capitalization stocks declined 8.22%, as measured by the S&P 500® Index, while small-cap stocks were down
3.38%, as measured by the Russell 2000® Index. Within international equities, developed markets, as measured by the MSCI EAFE® Index (net), lost 2.83%, while emerging markets, as measured by the MSCI Emerging Markets Index (net), declined 12.12%.
In fixed income markets, the yield on the 10-year Treasury
rose sharply to 3.52% on January 31, 2023, from 1.79% on January 31, 2022. The broader U.S. fixed income market, as represented by the Bloomberg U.S. Aggregate Bond Index, was down 8.36% for the 12-month period, while non-investment grade bonds, as
measured by the Bloomberg U.S. Corporate High Yield Bond Index, were down 5.22%.
Please call us at 1-866-270-7788 if you have questions about
your fund or account. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R.
Aylward
President and Chief Executive Officer, Virtus Closed-End Funds
March 2023
Refer to the Manager’s Discussion section for your
Fund’s performance. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investing involves risk, including the
risk of loss of principal invested.
AIO, CBH, NCV, NCZ, ACV,
NFJ and NIE
MANAGER’S DISCUSSION OF MARKET PERFORMANCE
(Unaudited)
January 31, 2023
Manager
Comments – Voya Investment Management Co. LLC (Voya IM)
Effective July 25, 2022, the portfolio
management team under Allianz Global Investors U.S. LLC transitioned to Voya Investment Management Co. LLC (“Voya IM”) and continues to manage the Funds. As the asset management business of Voya Financial (NYSE: VOYA), Voya IM seeks to
understand and anticipate client needs, delivering differentiated solutions across public and private fixed income, equity, and multi-asset platforms, including private markets and alternatives. The following commentary is provided by the portfolio
team at Voya IM and covers the Funds’ performance for the year ended January 31, 2023.
How did the markets perform during the Funds’ fiscal year
ended January 31, 2023?
Markets fell
sharply over the 12 months ended January 31, 2023, as the Federal Reserve (the “Fed”) rapidly raised interest rates in an effort to combat inflation. Downward revisions to earnings projections and cautious corporate management outlooks
were among many other macroeconomic factors that dampened investor sentiment. Apart from the labor market, which remained resilient, economic data generally weakened. Against this backdrop, the U.S. dollar and Treasury yields rose sharply, and
multiple yield curves inverted, meaning that the yields on longer-term bonds dropped below the yields on shorter-term bonds with the same risk profile.
In 2022, risk assets recorded their largest
annual declines since 2008. The S&P 500® Index returned -18.11%, while convertible securities and high yield bonds returned -18.71% and -11.22%, respectively, as
measured by the ICE BofA All U.S. Convertibles Index and the ICE BofA U.S. High Yield Index. Weakness was not isolated to these markets, however. Investments that are typically viewed as less risky such as investment grade credit and 10-year U.S.
Treasuries returned -15.44% and -16.28%, respectively, for the 12-month period. In contrast to these double-digit declines, leveraged loans finished the fiscal year with a gain.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
ARTIFICIAL INTELLIGENCE
& TECHNOLOGY OPPORTUNITIES FUND (AIO)
MANAGER’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) (Continued)
January 31,
2023
About the Fund:
Artificial Intelligence & Technology
Opportunities Fund’s (NYSE: AIO) (the “Fund”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. There is no
guarantee that the Fund will achieve its investment objective.
The use of leverage currently enables the
Fund to borrow at short-term rates and seek to invest at higher yields on its investments. As of January 31, 2023, the Fund’s leverage consisted of $130.0 million of borrowings made pursuant to margin financing and/or securities lending, which
represented approximately 15% of the Fund’s total assets.
Manager Comments – Voya Investment Management (Voya
IM)
Effective July 25, 2022, the
portfolio management team under Allianz Global Investors U.S. LLC transitioned to Voya Investment Management Co. LLC (“Voya IM”) and continues to manage the Fund. As the asset management business of Voya Financial (NYSE: VOYA), Voya IM
seeks to understand and anticipate client needs, delivering differentiated solutions across public and private fixed income, equity, and multi-asset platforms, including private markets and alternatives. The following commentary is provided by
the portfolio team at Voya IM and covers the Fund’s performance for the period ended January 31, 2023.
What factors affected the Fund’s performance during its
fiscal year?*
For the 12 months ended
January 31, 2023, the Fund’s net asset value (NAV) returned -10.03%, while its market price returned -18.42%. For the same period, the Fund’s composite benchmark, which consists of 50% MSCI All Country World Index (net) (representing
equities) and 50% ICE BofA U.S. Convertibles Index (representing convertible securities), returned -7.85%. The underlying indexes returned -7.99% for equities and -7.96% for convertibles. During the reporting period, the benchmark was changed from
the MSCI All Country World Index (net) to the composite benchmark to better align with the Fund’s asset class weightings.
In the Fund’s equity portfolio,
relative outperformance during the period was driven by stock selection and industry positioning. Stock selection in the health care equipment & services and technology hardware industries contributed to relative performance. Conversely, stock
selection in the banks and the pharmaceuticals, biotechnology & life sciences industries detracted from relative performance. From an industry allocation perspective, the Fund’s allocation to the health care industry contributed to
relative performance, while the allocation to the information technology industry detracted from relative performance.
Convertible securities were negatively
impacted by widening credit spreads, which indicated that investors were demanding a higher additional yield above the risk-free rate, and falling equity prices. Within the Fund’s convertible securities allocation, technology, consumer
discretionary, and media detracted the most from performance due to concerns about slowing growth in these industries. Conversely, exposure to the telecommunications and industrials industries positively contributed to performance.
With respect to credit, the Fund’s
allocation to high yield corporate bonds helped dampen downside volatility. As with convertibles, bonds issued by technology and media companies were under the most pressure, followed by gaming holdings. In contrast, capital goods, personal &
household products, and support services positions benefited the Fund.
*Please refer to page 2 for the Manager’s Discussion of
Market Performance.
The preceding
information is the opinion of portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment
advice.
The Fund’s portfolio
holdings are subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be
construed as a recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For information regarding the indexes and certain key
investment terms, see Key Investment Terms starting on page 19.
ARTIFICIAL INTELLIGENCE
& TECHNOLOGY OPPORTUNITIES FUND (AIO)
MANAGER’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) (Continued)
January 31,
2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
Since
Inception 10/31/19 |
Net
Asset Value1,2 |
-10.03%
|
11.94%
|
Market
Value1,2 |
-18.42%
|
8.19%
|
Composite:
50% MSCI All Country World Index (net)/ 50% ICE BofA U.S. Convertibles Index1,3,4 |
-7.85%
|
9.64%
5 |
MSCI
All Country World Index (net)1,3 |
-7.99%
|
7.84%
5 |
ICE
BofA U.S. Convertibles Index1,3 |
-7.96%
|
11.22%
5 |
All returns represent past performance which
is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund made on October 31, 2019 (inception date of the Fund) for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
4 |
During
the reporting period, the benchmark was changed from the MSCI All Country World Index (net) to the composite benchmark to better align with the Fund’s asset class weightings. |
5 |
The
since inception index return is from the Fund’s inception date. |
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 19.
CONVERTIBLE & INCOME
2024 TARGET TERM FUND (CBH)
MANAGER’S DISCUSSION OF FUND
PERFORMANCE (Unaudited)
January 31, 2023
About
the Fund:
Convertible & Income 2024
Target Term Fund’s (NYSE: CBH) (the “Fund”) investment objectives are to provide a high level of income and to return at least $9.835 per common share (the original net asset value per common share before deducting offering costs
of $0.02 per share) to holders of common shares on or about September 1, 2024. There is no guarantee that the Fund will achieve its investment objective.
The use of leverage currently enables the
Fund to borrow at short-term rates and seek to invest at higher yields on its investments. As of January 31, 2023, the Fund’s leverage consisted of $69.7 million of borrowings made pursuant to margin financing and/or securities lending, which
represented approximately 28% of the Fund’s total assets.
What factors affected the Fund’s performance during its
fiscal year?*
For the fiscal year ended
January 31, 2023, the Fund’s net asset value (NAV) returned 1.51%, while its market price returned -2.18%. For the same period, the Fund’s composite benchmark, which consists of 40% ICE BofA U.S. Convertibles Index (representing
convertible securities), 45% ICE BofA U.S. High Yield BB-B Constrained Index (representing high yield bonds), and 15% Credit Suisse Leveraged Loan Index (representing leveraged loans), returned -5.03%. The underlying indexes returned -7.96% for
convertible securities, -4.64% for high yield bonds, and 1.12% for leveraged loans.
The Fund delivered a high level of monthly
income during the 12 months ended January 31, 2023. With respect to performance, the Fund held up well despite the selloff across most risk assets. Convertible security exposure posted a positive return despite widening credit spreads, which
indicated that investors were demanding a higher additional yield above the risk-free rate, and falling equity prices, which pressured the broader market. Within the Fund’s convertible securities allocation, all industries positively
contributed to performance except for health care, which finished negligibly lower.
The Fund’s high yield bond allocation
was also a source of strength. The financial services, recreation & travel, and packages industries had the greatest impact on performance. Media content was the only industry that notably detracted.
Bank loans delivered the strongest
performance among the Fund’s three allocations. Technology, support services, and cable & satellite TV were additive to Fund returns, while theaters & entertainment hindered performance.
*Please refer to page 2 for the Manager’s Discussion of
Market Performance.
The preceding
information is the opinion of portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment
advice.
The Fund’s portfolio
holdings are subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be
construed as a recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For information regarding the indexes and certain key
investment terms, see Key Investment Terms starting on page 19.
CONVERTIBLE & INCOME
2024 TARGET TERM FUND (CBH)
MANAGER’S DISCUSSION OF FUND
PERFORMANCE (Unaudited) (Continued)
January 31, 2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
5
Years |
Since
Inception 6/29/17 |
Net
Asset Value1,2 |
1.51%
3 |
5.57%
|
5.52%
|
Market
Value1,2 |
-2.18%
|
6.87%
|
4.87%
|
Composite:
40% ICE BofA U.S. Convertibles/ 45% ICE BofA U.S. High Yield BB-B Constrained/ 15% Credit Suisse Leveraged Loan Index 1,4 |
-5.03%
|
5.89%
|
6.21%
|
ICE
BofA U.S. Convertibles Index1,4 |
-7.96%
|
9.85%
|
10.39%
5 |
ICE
BofA U.S. High Yield BB-B Constrained Index1,4 |
-4.64%
|
2.95%
|
3.13%
5 |
Credit
Suisse Leveraged Loan Index1,4 |
1.12%
|
3.54%
|
3.77%
5 |
All returns represent past performance which
is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund made on June 29, 2017 (inception date of the Fund) for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
Total
Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return
presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and
semiannual report. |
4 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
5 |
The
since inception index return is from the Fund’s inception date. |
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 19.
CONVERTIBLE & INCOME
FUND (NCV)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited)
January 31, 2023
About
the Fund:
Virtus Convertible &
Income Fund’s (NYSE: NCV) (the “Fund”) investment objective is to provide total return through a combination of capital appreciation and high current income. There is no guarantee that the Fund will
achieve its investment objective.
The use of leverage currently enables the
Fund to have a blended capital structure combining long-term fixed rates and short-term variable rates which allows the Fund to seek to enhance the yields on its investments. As of January 31, 2023, the Fund’s leverage consisted of $270.0
million of borrowings made pursuant to a combination of longer-term preferred shares and margin financing, which represented approximately 41% of the Fund’s total assets.
What factors affected the Fund’s performance during its
fiscal year?*
For the fiscal year ended
January 31, 2023, the Fund’s net asset value (NAV) returned -17.30%, while its market price returned -15.20%. For the same period, the Fund’s composite benchmark, which consists of 60% ICE BofA U.S. Convertibles Index (representing
convertible securities) and 40% ICE BofA U.S. High Yield Index (representing high yield bonds), returned -6.78%. The underlying indexes returned -7.96% for convertible securities and -5.14% for high yield bonds. During the reporting period, the
benchmark was changed from 50% ICE BofA U.S. Convertibles Index and 50% ICE BofA U.S. High Yield Index to 60% ICE BofA U.S. Convertibles Index and 40% ICE BofA U.S. High Yield Index to better align with the Fund’s asset class weightings.
With respect to performance, the Fund
participated in the selloff across risk assets, with most holdings detracting from performance for the period. Convertible securities were negatively impacted by widening credit spreads, which indicated that investors were demanding a higher
additional yield above the risk-free rate, and falling equity prices. Within the Fund’s convertible securities allocation, technology, consumer discretionary, financials, and media detracted the most from performance due to concerns about
slowing growth in these industries. Conversely, exposure to the energy, telecommunications, health care, and industrials industries positively contributed to performance.
With respect to credit, the
Fund’s allocation to high yield corporate bonds was also a source of weakness, but held up better than convertible securities, which helped to dampen the Fund’s downside volatility. Bonds issued by health care, media content, cable &
satellite TV, and technology companies detracted the most from performance, while financial services, aerospace, personal & household products, and utilities positions benefited the Fund.
*Please refer to page 2 for the
Manager’s Discussion of Market Performance.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
CONVERTIBLE & INCOME
FUND (NCV)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
January 31, 2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
5
Years |
10
Years |
Net
Asset Value1,2 |
-17.30%
|
0.97%
|
3.84%
|
Market
Value1,2 |
-15.20%
|
-0.45%
|
3.28%
|
Composite:
60% ICE BofA U.S. Convertibles/ 40% ICE BofA U.S. High Yield Index1,3,4 |
-6.78%
|
7.08%
|
7.84%
|
ICE
BofA U.S. Convertibles Index1,3 |
-7.96%
|
9.85%
|
10.21%
|
ICE
BofA U.S. High Yield Index1,3 |
-5.14%
|
2.77%
|
4.20%
|
All returns
represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
4 |
During
the reporting period, the benchmark was changed from 50% ICE BofA U.S. Convertibles Index and 50% ICE BofA U.S. High Yield Index to 60% ICE BofA U.S. Convertibles Index and 40% ICE BofA U.S. High Yield Index to better align with the Fund’s
asset class weightings. |
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 19.
CONVERTIBLE & INCOME
FUND II (NCZ)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited)
January 31, 2023
About
the Fund:
Convertible & Income Fund
II’s (NYSE: NCZ) (the “Fund”) investment objective is to provide total return through a combination of capital appreciation and high current income. There is no guarantee that the Fund will achieve
its investment objective.
The
use of leverage currently enables the Fund to have a blended capital structure combining long-term fixed rates and short-term variable rates which allows the Fund to seek to enhance the yields on its investments. As of January 31, 2023, the
Fund’s leverage consisted of $204.0 million of borrowings made pursuant to a combination of longer-term preferred shares and margin financing, which represented approximately 41% of the Fund’s total assets.
What factors affected the Fund’s performance during its
fiscal year?*
For the fiscal year ended
January 31, 2023, the Fund’s net asset value (NAV) returned -17.84%, while its market price returned -17.85%. For the same period, the Fund’s composite benchmark, which consists of 60% ICE BofA U.S. Convertibles Index (representing
convertible securities) and 40% ICE BofA U.S. High Yield Index (representing high yield bonds), returned -6.78%. The underlying indexes returned -7.96% for convertible securities and -5.14% for high yield bonds. During the reporting period, the
benchmark was changed from 50% ICE BofA U.S. Convertibles Index and 50% ICE BofA U.S. High Yield Index to 60% ICE BofA U.S. Convertibles Index and 40% ICE BofA U.S. High Yield Index to better align with the Fund’s asset class weightings.
With respect to performance, the Fund
participated in the selloff across risk assets, with most holdings detracting from performance for the period. Convertible securities were negatively impacted by widening credit spreads, which indicated that investors were demanding a higher
additional yield above the risk-free rate, and falling equity prices. Within the Fund’s convertible securities allocation, technology, consumer discretionary, financials, and media detracted the most from performance due to concerns about
slowing growth in these industries. Conversely, exposure to the energy, telecommunications, health care, and industrials industries positively contributed to performance.
With respect to credit, the
Fund’s allocation to high yield corporate bonds was also a source of weakness but held up better than convertible securities, which helped to dampen the Fund’s downside volatility. Bonds issued by health care, media content, cable &
satellite TV, and technology companies detracted the most from performance, while financial services, aerospace, personal & household products, and utilities positions benefited the Fund.
*Please refer to page 2 for the
Manager’s Discussion of Market Performance.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
CONVERTIBLE & INCOME
FUND II (NCZ)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
January 31, 2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
5
Years |
10
Years |
Net
Asset Value1,2 |
-17.84%
|
0.53%
|
3.64%
|
Market
Value1,2 |
-17.85%
|
-1.33%
|
2.35%
|
Composite:
60% ICE BofA U.S. Convertibles Index/ 40% ICE BofA U.S. High Yield Index1,3,4 |
-6.78%
|
7.08%
|
7.84%
|
ICE
BofA U.S. Convertibles Index1,3 |
-7.96%
|
9.85%
|
10.21%
|
ICE
BofA U.S. High Yield Index1,3 |
-5.14%
|
2.77%
|
4.20%
|
All returns
represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
4 |
During
the reporting period, the benchmark was changed from 50% ICE BofA U.S. Convertibles Index and 50% ICE BofA U.S. High Yield Index to 60% ICE BofA U.S. Convertibles Index and 40% ICE BofA U.S. High Yield Index to better align with the Fund’s
asset class weightings. |
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 19.
DIVERSIFIED INCOME &
CONVERTIBLE FUND (ACV)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited)
January 31, 2023
About
the Fund:
Diversified Income &
Convertible Fund’s (NYSE: ACV) (the “Fund”) investment objective is to provide total return through a combination of current income and capital appreciation, while seeking to provide downside protection against capital loss. There is no guarantee that the Fund will achieve its investment objective.
The Fund has a blended capital structure
combining long-term fixed rates and short-term variable rates which enable the Fund to seek to enhance the returns and yields on its investments. As of January 31, 2023, the Fund’s leverage consisted of $105.0 million of borrowings made
pursuant to long-term senior notes, short-term margin loan financing, and mandatory redeemable preferred shares, which represented approximately 32% of the Fund’s total assets.
What factors affected the Fund’s performance during its
fiscal year?*
For the fiscal year ended
January 31, 2023, the Fund’s net asset value (NAV) returned -13.49%, while its market price returned -9.06%. For the same period, the Fund’s composite benchmark, which consists of 50% ICE BofA U.S. Convertibles Index (representing
convertible securities), 25% ICE BofA U.S. High Yield Index (representing high yield bonds), and 25% Russell 1000® Growth Index (representing equities), returned -9.15%.
The underlying indexes returned -7.96% for convertible securities, -5.14% for high yield bonds, and -16.02% for equities.
With respect to performance, it was a
challenging period, as the Fund participated in the broad selloff across risk assets. Allocations to high yield bonds and convertible securities did not offer much downside protection.
Many holdings detracted from
performance in 2022. Fears of slowing demand and rising costs partially contributed to weakness in electric vehicle manufacturing, e-commerce, and consumer electronics. Advertising budget concerns weighed on internet services and social media
exposures. A software position also underperformed due to macroeconomic risks and a strengthening U.S. dollar.
Positive individual contributors
included energy-related companies that benefited from higher crude oil prices and increased mobility. Exploration & production and oilfield services holdings had a notable impact on performance, as did clean energy exposure. Other outperformers
included positions in cruise line operations, entertainment, wireless services, and e-commerce.
Additionally, many written options
positions expired below the strike price, and the Fund was able to retain the set premiums.
*Please refer to page 2 for the Manager’s Discussion of Market Performance.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
DIVERSIFIED INCOME &
CONVERTIBLE FUND (ACV)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
January 31, 2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
5
Years |
Since
Inception 5/26/15 |
Net
Asset Value1,2 |
-13.49%
3 |
10.01%
|
9.82%
|
Market
Value1,2 |
-9.06%
|
12.92%
|
10.43%
|
Composite:
50% ICE BofA U.S. Convertibles/ 25% ICE BofA U.S. High Yield/ 25% Russell 1000® Growth Index1,4
|
-9.15%
|
8.58%
|
8.56%
|
ICE
BofA U.S. Convertibles Index1,4 |
-7.96%
|
9.85%
|
8.62%
5 |
ICE
BofA U.S. High Yield Index1,4 |
-5.14%
|
2.77%
|
3.84%
5 |
Russell
1000® Growth Index1,4 |
-16.02%
|
11.22%
|
12.73%
5 |
All returns represent past performance which
is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund made on May 26, 2015 (inception date of the Fund) for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
Total
Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return
presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and
semiannual report. |
4 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
5 |
The
since inception index return is from the Fund’s inception date. |
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 19.
DIVIDEND, INTEREST &
PREMIUM STRATEGY FUND (NFJ)
MANAGER’S DISCUSSION OF FUND
PERFORMANCE (Unaudited)
January 31, 2023
About
the Fund:
Dividend, Interest &
Premium Strategy Fund’s (NYSE: NFJ) (the “Fund”) investment objective is to seek current income and gains, with a secondary objective of long-term capital appreciation. There is no guarantee that
the Fund will achieve its investment objective.
Manager Comments – Voya Investment Management Co.
LLC (Voya IM) and NFJ Investment Group, LLC (NFJ Investment Group)
Voya IM manages the Fund’s convertible
securities portfolio, while NFJ Investment Group manages the Fund’s equity and options portfolios. The Voya IM team (which moved from Allianz Global Investors U.S. LLC to Voya on July 25, 2022) and NFJ Investment Group have been working
together for more than 15 years. The NFJ Investment Group investment team has been managing value equities for clients for over 30 years. They seek to invest in companies with low market expectations and the strongest prospects for returning capital
to shareholders. The following commentary is provided by the portfolio teams at NFJ Investment Group and Voya IM and cover the Fund’s portfolio for the year ended January 31, 2023.
NFJ Investment Group, LLC (NFJ Investment Group)
How did the equity markets perform during the Fund’s
fiscal year ended January 31, 2023?
U.S. equities entered bear market territory
in the second quarter of 2022, and the Federal Reserve (the “Fed”) enacted its biggest interest rate hikes in nearly 30 years in an attempt to rein in blistering inflation. Concerns about rising inflation and interest rates, as well as
signs of a slowing global economy, left investors with few places to hide. Notably, indications that inflation may have peaked boosted equity markets toward the end of the reporting period. Markets witnessed an uptick in volatility in the first half
of the reporting period, as measured by the Cboe Volatility Index® (VIX®), which then trended
downward starting in mid-October of 2022.
Within the Russell 1000® Value Index, energy led returns with a remarkable 43% gain, followed by strength from the materials, health care, and utilities industries. In contrast, returns for the
information technology, communication services, and real estate industries slumped by double digits as the rising rate environment generally punished longer-duration and more interest rate sensitive areas of the market during the reporting
period.
What factors affected the performance of the
Fund’s equity portfolio during its fiscal year?
For the fiscal year ended January 31, 2023,
the Fund’s equity portfolio returned -4.48% (before fees and expenses). For the same period, the Russell 1000® Value Index returned -0.43%.
In the equity sleeve, relative performance
results versus the Russell 1000® Value Index were due to negative sector allocation, while stock selection was effectively neutral over the reporting period. Selection was
strong across the financials and consumer discretionary industries. However, these gains were offset by holdings in the energy and industrials industries that failed to keep pace with the benchmark. An overweight in technology and an underweight in
energy detracted. Conversely, underweight positions in communication services and financials contributed to the Fund’s 12-month returns.
In the options sleeve, the Fund’s
option writing strategy capitalized on the higher volatility realized during the reporting period. Many written options positions expired below the strike price, and the Fund was able to retain the majority of the set premiums.
Voya Investment Management (Voya IM)
Refer to page 2 for the Voya IM Discussion of Market
Performance.
What factors affected the performance of the
Fund’s convertible securities portfolio during the fiscal year?
For the fiscal year ended January 31, 2023,
the Fund’s convertible securities portfolio returned -10.28% (before fees and expenses). For the same period, the ICE BofA U.S. Convertibles Index returned -7.96%.
Convertible securities were negatively
impacted by widening credit spreads, which indicated that investors were demanding a higher additional yield above the risk-free rate, and falling equity prices. Within the Fund’s convertible securities portfolio, technology, consumer
discretionary, financials, and media detracted the most from performance due to concerns about slowing growth in these industries. Conversely, industries that contributed positively to performance were energy, telecommunications, utilities, and
consumer staples.
The preceding
information is the opinion of portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment
advice.
The Fund’s portfolio
holdings are subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be
construed as a recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For information regarding the indexes and certain key
investment terms, see Key Investment Terms starting on page 19.
DIVIDEND, INTEREST &
PREMIUM STRATEGY FUND (NFJ)
MANAGER’S DISCUSSION OF FUND
PERFORMANCE (Unaudited) (Continued)
January 31, 2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
5
Years |
10
Years |
Net
Asset Value1,2 |
-6.71%
|
5.02%
|
5.64%
|
Market
Value1,2 |
-9.24%
|
5.56%
|
5.76%
|
Composite:
75% Russell 1000® Value/ 25% ICE BofA U.S. Convertibles Index1,3 |
-2.25%
|
7.78%
|
10.25%
|
Russell
1000® Value Index1,3 |
-0.43%
|
6.94%
|
10.15%
|
ICE
BofA U.S. Convertibles Index1,3 |
-7.96%
|
9.85%
|
10.21%
|
All returns
represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
For information
regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
EQUITY & CONVERTIBLE
INCOME FUND (NIE)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited)
January 31, 2023
About
the Fund:
Equity & Convertible
Income Fund’s (NYSE: NIE) (the “Fund”) investment objective is to seek total return comprised of capital appreciation, current income and gains. There is no guarantee that the Fund will achieve its
investment objective.
What factors affected the
Fund’s performance during its fiscal year?*
For the fiscal year ended January 31, 2023,
the Fund’s net asset value (NAV) returned -12.54%, while its market price returned -10.96%. For the same period, the Fund’s composite benchmark, which consists of 60% Russell 1000® Growth Index (representing equities) and 40% ICE BofA U.S. Convertibles Index (representing convertible securities), returned -12.69%. The underlying indexes returned -16.02%
for equities, and -7.96% for convertible securities.
The Fund delivered a high level of
monthly income during the 12 months ended January 31, 2023. With respect to performance, it was a challenging period, as the Fund participated in the broad selloff across risk assets. An allocation to convertible securities did not offer much
downside protection.
Many
holdings detracted from performance in 2022. Fears of slowing demand and rising costs partially contributed to weakness in electric vehicle manufacturing, e-commerce, and consumer electronics. Advertising budget concerns weighed on internet services
and social media exposures. Software and semiconductor positions also underperformed due to macroeconomic risks.
Positive individual contributors
included energy-related companies that benefited from higher crude oil prices and increased mobility. Exploration & production and oilfield services holdings had a notable impact on performance, as did clean energy exposure. Defensive health
care stocks, including a pharmaceutical company, were another source of strength.
Additionally, many written options
positions expired below the strike price, and the Fund was able to retain the set premiums.
*Please refer to page 2 for the Manager’s Discussion of Market Performance.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
EQUITY & CONVERTIBLE
INCOME FUND (NIE)
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
January 31, 2023
Average Annual Total Returns1 for periods ended 1/31/23
|
1
Year |
5
Years |
10
Years |
Net
Asset Value1,2 |
-12.54%
|
7.60%
|
9.37%
|
Market
Value1,2 |
-10.96%
|
8.60%
|
10.48%
|
Composite:
60% Russell 1000® Growth/ 40% ICE BofA U.S. Convertibles 1,3 |
-12.69%
|
10.80%
|
12.87%
|
Russell
1000® Growth Index1,3 |
-16.02%
|
11.22%
|
14.53%
|
ICE
BofA U.S. Convertibles Index1,3 |
-7.96%
|
9.85%
|
10.21%
|
All returns
represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Please visit Virtus.com for performance data current to the most recent month-end.
Growth of $10,000 for periods ended 1/31
This graph shows the change in value of a hypothetical
investment of $10,000 in the Fund for the years indicated. For comparison, the same investment is shown in the indicated index.
1 |
Past
performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning and ending values. |
3 |
The
index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
For information
regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 19.
PORTFOLIO HOLDINGS SUMMARY
WEIGHTINGS (Unaudited)
January 31, 2023
The following tables
present the portfolio holdings within certain industries as a percentage of total investments at January 31, 2023.
AIO
Common
Stocks |
|
45%
|
Semiconductors
& Semiconductor Equipment |
6%
|
|
Healthcare
Providers & Services |
6
|
|
Software
|
5
|
|
All
other Common Stocks |
28
|
|
Convertible
Bonds and Notes |
|
34
|
Software
|
9
|
|
Internet
|
7
|
|
Semiconductors
|
4
|
|
All
other Convertible Bonds and Notes |
14
|
|
Corporate
Bonds and Notes |
|
14
|
Internet
|
2
|
|
Lodging
|
2
|
|
Electronic
Equipment, Instruments & Components |
1
|
|
All
other Corporate Bonds and Notes |
9
|
|
Short-Term
Investment |
|
3
|
Convertible
Preferred Stocks |
|
2
|
Securities
Lending Collateral |
|
2
|
Total
|
|
100%
|
|
|
|
CBH
Convertible
Bonds and Notes |
|
42%
|
Software
|
13%
|
|
Biotechnology
|
7
|
|
Media
|
6
|
|
All
other Convertible Bonds and Notes |
16
|
|
Corporate
Bonds and Notes |
|
31
|
Media
|
5
|
|
Entertainment
|
3
|
|
Healthcare-Services
|
3
|
|
All
other Corporate Bonds and Notes |
20
|
|
Leveraged
Loans |
|
23
|
Short-Term
Investment |
|
3
|
Common
Stocks |
|
1
|
Banks
|
1
|
|
Securities
Lending Collateral |
|
0
|
Total
|
|
100%
|
|
|
|
NCV
Convertible
Bonds and Notes |
|
52%
|
Software
|
8%
|
|
Internet
|
7
|
|
Biotechnology
|
4
|
|
All
other Convertible Bonds and Notes |
33
|
|
Corporate
Bonds and Notes |
|
35
|
Media
|
4
|
|
Oil,
Gas & Consumable Fuels |
3
|
|
Entertainment
|
3
|
|
All
other Corporate Bonds and Notes |
25
|
|
Convertible
Preferred Stocks |
|
7
|
Short-Term
Investment |
|
5
|
Common
Stocks |
|
1
|
Banks
|
1
|
|
Total
|
|
100%
|
|
|
|
NCZ
Convertible
Bonds and Notes |
|
54%
|
Software
|
8%
|
|
Internet
|
7
|
|
Biotechnology
|
4
|
|
All
other Convertible Bonds and Notes |
35
|
|
Corporate
Bonds and Notes |
|
34
|
Media
|
4
|
|
Oil,
Gas & Consumable Fuels |
3
|
|
Entertainment
|
2
|
|
All
other Corporate Bonds and Notes |
25
|
|
Convertible
Preferred Stocks |
|
7
|
Short-Term
Investment |
|
4
|
Common
Stocks |
|
1
|
Banks
|
1
|
|
Total
|
|
100%
|
|
|
|
PORTFOLIO HOLDINGS SUMMARY
WEIGHTINGS (Unaudited) (Continued)
January 31, 2023
ACV
Convertible
Bonds and Notes |
|
54%
|
Software
|
8%
|
|
Internet
|
8
|
|
Biotechnology
|
4
|
|
All
other Convertible Bonds and Notes |
34
|
|
Common
Stocks |
|
23
|
Software
|
3
|
|
Semiconductors
& Semiconductor Equipment |
2
|
|
Technology
Hardware, Storage & Peripherals |
1
|
|
All
other Common Stocks |
17
|
|
Corporate
Bonds and Notes |
|
13
|
Media
|
2
|
|
Oil,
Gas & Consumable Fuels |
1
|
|
Entertainment
|
1
|
|
All
other Corporate Bonds and Notes |
9
|
|
Convertible
Preferred Stocks |
|
7
|
Short-Term
Investment |
|
3
|
Total
|
|
100%
|
|
|
|
NFJ
Common
Stocks |
|
77%
|
Software
|
8%
|
|
Banks
|
7
|
|
Semiconductors
& Semiconductor Equipment |
6
|
|
All
other Common Stocks |
56
|
|
Convertible
Bonds and Notes |
|
18
|
Software
|
3
|
|
Internet
|
3
|
|
Biotechnology
|
1
|
|
All
other Convertible Bonds and Notes |
11
|
|
Short-Term
Investment |
|
3
|
Convertible
Preferred Stocks |
|
2
|
Total
|
|
100%
|
|
|
|
NIE
Common
Stocks |
|
62%
|
Software
|
7%
|
|
Semiconductors
& Semiconductor Equipment |
5
|
|
Technology
Hardware, Storage & Peripherals |
4
|
|
All
other Common Stocks |
46
|
|
Convertible
Bonds and Notes |
|
32
|
Software
|
5
|
|
Internet
|
5
|
|
Biotechnology
|
2
|
|
All
other Convertible Bonds and Notes |
20
|
|
Convertible
Preferred Stocks |
|
4
|
Short-Term
Investment |
|
2
|
Total
|
|
100%
|
|
|
|
KEY INVESTMENT TERMS
(Unaudited)
January 31, 2023
American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars
on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg U.S. Aggregate Bond Index
The Bloomberg U.S. Aggregate Bond Index measures the U.S.
investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg U.S. Corporate High Yield Bond Index
The Bloomberg U.S. Corporate High Yield Bond Index measures the
U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct
investment.
Cboe Volatility Index® (“Cboe VIX®”)
The Cboe VIX® shows the market’s expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500® Index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The Cboe VIX® is a widely used measure of market risk and is often referred to as the “investor fear gauge.” The index is unmanaged, its returns do not reflect any fees,
expenses, or sales charges, and it is not available for direct investment.
Composite Index (ACV): 50% ICE BofA U.S. Convertibles / 25%
ICE BofA U.S. High Yield / 25% Russell 1000® Growth Index
The composite index consists of 50% ICE BofA U.S. Convertibles
Index, 25% ICE BofA U.S. High Yield Index, and 25% Russell 1000® Growth Index. The index is unmanaged, its returns
do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Composite Index (AIO): 50% MSCI All Country World Index (net)
/ 50% ICE BofA U.S. Convertibles Index
The composite
index consists of 50% MSCI All Country World Index (net) and 50% ICE BofA U.S. Convertibles Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Composite Index (CBH): 40% ICE BofA U.S. Convertibles / 45%
ICE BofA U.S. HY BB-B Constrained / 15% CS Leveraged Loan Index
The composite index consists of 40% ICE BofA U.S. Convertibles
Index, 45% ICE BofA U.S. High Yield BB-B Constrained Index, and 15% Credit Suisse Leveraged Loan Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Composite Index (NCV): 60% ICE BofA U.S. Convertibles Index /
40% ICE BofA U.S. High Yield Index
The composite index
consists of 60% ICE BofA U.S. Convertibles Index and 40% ICE BofA U.S. High Yield Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Composite Index (NCZ): 60% ICE BofA U.S. Convertibles Index /
40% ICE BofA U.S. High Yield Index
The composite index
consists of 60% ICE BofA U.S. Convertibles Index and 40% ICE BofA U.S. High Yield Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Composite Index (NFJ): 75% Russell 1000® Value / 25% ICE BofA U.S. Convertibles Index
The composite index consists of 75% Russell 1000® Value Index and 25% ICE BofA U.S. Convertibles Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available
for direct investment.
Composite Index (NIE): 60%
Russell 1000® Growth / 40% ICE BofA U.S. Convertibles Index
The composite index consists of 60% Russell 1000® Growth Index and 40% ICE BofA U.S. Convertibles Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available
for direct investment.
Credit Suisse Leveraged Loan
Index
The Credit Suisse Leveraged Loan Index is a
market-weighted index that tracks the investable universe of the U.S. dollar denominated leveraged loans. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and
it is not available for direct investment.
Enterprise
value (“EV”)
EV is a measure of a
company’s total value, often used as a comprehensive alternative to equity market capitalization that includes debt.
Exchange-Traded Funds (“ETFs”)
An open-end fund that is traded on a stock exchange. Most ETFs
have a portfolio of stocks or bonds that track a specific market index.
KEY INVESTMENT TERMS
(Unaudited) (Continued) January 31, 2023
Federal Reserve (the “Fed”)
The central bank of the United States, responsible for
controlling the money supply, interest rates and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches and all national and state
banks that are part of the system.
ICE BofA U.S.
Convertibles Index
The ICE BofA U.S. Convertibles Index
tracks the performance of publicly issued U.S. dollar denominated convertible securities of U.S. companies. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and
it is not available for direct investment.
ICE BofA U.S.
High Yield Index
The ICE BofA U.S. High Yield Index
tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market and includes issues with a credit rating of BBB or below. The index is calculated on a total return basis. The index
is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
ICE BofA U.S. High Yield BB-B Constrained Index
The ICE Bofa U.S. High Yield BB-B Constrained Index measures
performance of BB/B U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, and is restricted to a maximum of 2% per issuer. The index is calculated on a total return basis. The index is unmanaged, its returns do not
reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Intercontinental Exchange (“ICE”)
An American Fortune 500 company formed in 2000 that operates
global exchanges and clearing houses, and provides mortgage technology, data and listing services. The company owns exchanges for financial and commodity markets, and operates 12 regulated exchanges and marketplaces. This includes ICE futures
exchanges in the United States, Canada and Europe, the Liffe futures exchanges in Europe, the New York Stock Exchange, equity options exchanges and over-the-counter energy, credit and equity markets.
Leveraged Loan
Leveraged loans (also known as bank, senior or floating-rate
loans) consists of below investment-grade credit quality loans that are arranged by banks and other financial institutions to help companies finance acquisitions, recapitalizations, or other highly leveraged transactions. Such loans may be
especially vulnerable to adverse changes in economic or market conditions, although they are senior in the capital structure which typically provides investors/lenders a degree of potential credit risk protection.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks
charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
Master Limited Partnerships (“MLPs”)
An investment in MLP units involves some risks that differ from
an investment in the common stock of a corporation. Holders of MLP units have limited control on matters affecting the partnership.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding
the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted
market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any
fees, expenses, or sales charges, and it is not available for direct investment.
MSCI All Country World Index (net)
The MSCI All Country World Index (net) is a free float-adjusted
market capitalization-weighted index that measures equity performance of developed and emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees,
expenses, or sales charges, and it is not available for direct investment.
Quantitative Tightening (“QT”)
Quantitative tightening (QT) refers to monetary policies that
contract, or reduce, the Federal Reserve System (Fed) balance sheet. This process is also known as balance sheet normalization.
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops and operates
income-producing real estate such as apartments, office buildings, hotels, shopping centers and other commercial properties.
Risk Assets
A risk asset is any asset that carries a degree of risk. Risk
asset generally refers to assets that have a significant degree of price volatility, such as equities, commodities, high-yield bonds, real estate, and currencies.
KEY INVESTMENT TERMS
(Unaudited) (Continued) January 31, 2023
Russell 1000® Growth Index
The Russell 1000® Growth Index is a market capitalization-weighted index of growth-oriented stocks of the 1,000 largest companies in the Russell Universe, which comprises the 3,000 largest
U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Russell 1000® Value Index
The Russell 1000® Value Index is a market capitalization-weighted index of value-oriented stocks of the 1,000 largest companies in the Russell Universe, which comprises the 3,000 largest U.S.
companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is
calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Secured Overnight Financing Rate (“SOFR”)
A broad measure of the cost of borrowing cash overnight
collateralized by U.S. Treasury securities.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested.
The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Yield Curve
A yield curve is a line on a graph plotting the interest rates,
at a set point in time, of bonds having equal credit quality but different maturity dates.
Artificial Intelligence
& Technology Opportunities Fund (AIO)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—41.5% |
Auto
Manufacturers—1.1% |
|
|
Ford
Motor Co. 0.000%, 3/15/26(1) |
$ 7,520
|
|
$ 7,633
|
Biotechnology—0.5%
|
|
|
Alnylam
Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1)(2) |
3,000
|
|
3,199
|
Commercial
Services—2.1% |
|
|
Block,
Inc. 0.125%, 3/1/25(1) |
5,000
|
|
5,075
|
Shift4
Payments, Inc. |
|
|
|
0.000%,
12/15/25(1) |
6,090
|
|
6,501
|
0.500%,
8/1/27(1)(3) |
3,075
|
|
2,744
|
|
|
|
14,320
|
|
|
|
|
|
Computers—1.6%
|
|
|
Lumentum
Holdings, Inc. 0.500%, 12/15/26(1) |
9,000
|
|
8,167
|
Pure
Storage, Inc. 0.125%, 4/15/23(1) |
655
|
|
730
|
Zscaler,
Inc. 0.125%, 7/1/25(1) |
1,825
|
|
1,994
|
|
|
|
10,891
|
|
|
|
|
|
Diversified
Financial Services—1.1% |
|
|
Goldman
Sachs Finance Corp. 0.500%, 12/29/27(4) |
7,315
|
|
7,647
|
Energy-Alternate
Sources—3.0% |
|
|
Enphase
Energy, Inc. |
|
|
|
0.000%,
3/1/26(1) |
5,500
|
|
5,792
|
0.000%,
3/1/28(1) |
4,500
|
|
4,839
|
SolarEdge
Technologies, Inc. 0.000%, 9/15/25(1) |
4,515
|
|
6,061
|
Stem,
Inc. 144A 0.500%, 12/1/28(2) |
6,000
|
|
4,033
|
|
|
|
20,725
|
|
|
|
|
|
Entertainment—2.2%
|
|
|
Live
Nation Entertainment, Inc. 2.000%, 2/15/25(1) |
7,320
|
|
7,536
|
Vail
Resorts, Inc. 0.000%, 1/1/26(1)(3) |
8,000
|
|
7,570
|
|
|
|
15,106
|
|
|
|
|
|
Healthcare-Products—2.2%
|
|
|
Exact
Sciences Corp. 0.375%, 3/15/27(1) |
7,265
|
|
6,847
|
Insulet
Corp. 0.375%, 9/1/26(1) |
5,850
|
|
8,076
|
|
|
|
14,923
|
|
|
|
|
|
Internet—8.3%
|
|
|
Airbnb,
Inc. 0.000%, 3/15/26(1) |
8,500
|
|
7,297
|
Etsy,
Inc. 0.125%, 9/1/27(1) |
5,725
|
|
5,886
|
|
Par
Value |
|
Value
|
|
|
|
|
Internet—continued
|
|
|
Expedia
Group, Inc. 0.000%, 2/15/26(1) |
$ 9,355
|
|
$ 8,513
|
Match
Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1)(2) |
8,000
|
|
7,816
|
Okta,
Inc. 0.375%, 6/15/26(1) |
9,250
|
|
7,844
|
Palo
Alto Networks, Inc. 0.750%, 7/1/23 |
4,600
|
|
8,239
|
Shopify,
Inc. 0.125%, 11/1/25(1) |
3,605
|
|
3,160
|
Snap,
Inc. |
|
|
|
0.750%,
8/1/26(1) |
5,000
|
|
4,610
|
144A
0.125%, 3/1/28(2) |
5,000
|
|
3,602
|
|
|
|
56,967
|
|
|
|
|
|
Leisure
Time—1.1% |
|
|
NCL
Corp., Ltd. |
|
|
|
1.125%,
2/15/27 |
3,000
|
|
2,288
|
144A
2.500%, 2/15/27(2) |
6,450
|
|
5,079
|
|
|
|
7,367
|
|
|
|
|
|
Pharmaceuticals—1.5%
|
|
|
Dexcom,
Inc. 0.250%, 11/15/25(1)(3) |
9,740
|
|
10,256
|
Retail—0.9%
|
|
|
Burlington
Stores, Inc. 2.250%, 4/15/25(1) |
5,000
|
|
6,194
|
Semiconductors—4.7%
|
|
|
MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(1) |
7,200
|
|
7,430
|
Microchip
Technology, Inc. 0.125%, 11/15/24(3) |
10,457
|
|
11,601
|
ON
Semiconductor Corp. 0.000%, 5/1/27(1) |
4,135
|
|
6,200
|
Wolfspeed,
Inc. 144A 0.250%, 2/15/28(1)(2) |
7,500
|
|
6,844
|
|
|
|
32,075
|
|
|
|
|
|
Software—11.2%
|
|
|
Akamai
Technologies, Inc. 0.125%, 5/1/25(1) |
6,000
|
|
6,429
|
Bentley
Systems, Inc. 0.125%, 1/15/26(1) |
10,900
|
|
10,072
|
Bill.com
Holdings, Inc. 0.000%, 4/1/27 |
11,500
|
|
9,223
|
Cloudflare,
Inc. 0.000%, 8/15/26(1) |
10,860
|
|
9,028
|
Coupa
Software, Inc. 0.375%, 6/15/26(1) |
5,300
|
|
5,154
|
DigitalOcean
Holdings, Inc. 0.000%, 12/1/26 |
8,670
|
|
6,654
|
Five9,
Inc. 0.500%, 6/1/25(1) |
6,750
|
|
6,375
|
Nutanix,
Inc. 0.250%, 10/1/27(1) |
10,370
|
|
8,999
|
Splunk,
Inc. |
|
|
|
1.125%,
9/15/25(1) |
2,000
|
|
1,948
|
See Notes to Financial Statements
Artificial Intelligence
& Technology Opportunities Fund (AIO)
SCHEDULE OF INVESTMENTS
(Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Software—continued
|
|
|
1.125%,
6/15/27(1) |
$ 7,480
|
|
$
6,437 |
Unity
Software, Inc. 0.000%, 11/15/26 |
8,350
|
|
6,438
|
|
|
|
76,757
|
|
|
|
|
|
Total
Convertible Bonds and Notes (Identified Cost $304,660) |
|
284,060
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds and Notes—17.1% |
Commercial
Services—0.9% |
|
|
ADT
Security Corp. (The) 144A 4.125%, 8/1/29(1)(2) |
7,000
|
|
6,232
|
Computers—0.6%
|
|
|
NCR
Corp. 144A 5.125%, 4/15/29(1)(2) |
4,815
|
|
4,194
|
Cosmetics
& Personal Care—1.0% |
|
|
Coty,
Inc. 144A 6.500%, 4/15/26(2)(3) |
7,000
|
|
6,901
|
Electronic
Equipment, Instruments & Components—1.1% |
|
|
WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) |
7,000
|
|
7,173
|
Entertainment—0.9%
|
|
|
Caesars
Entertainment, Inc. 144A 4.625%, 10/15/29(1)(2) |
7,000
|
|
5,985
|
Equity
Real Estate Investment Trusts (REITs)—0.9% |
|
|
Iron
Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) |
7,000
|
|
6,335
|
Healthcare-Services—1.0%
|
|
|
Tenet
Healthcare Corp. 6.125%, 10/1/28(2)(3) |
7,000
|
|
6,546
|
Internet—3.1%
|
|
|
Go
Daddy Operating Co., LLC 144A 5.250%, 12/1/27(1)(2) |
7,000
|
|
6,774
|
Match
Group Holdings II LLC 144A 5.000%, 12/15/27(1)(2) |
7,000
|
|
6,712
|
Uber
Technologies, Inc. 144A 6.250%, 1/15/28(1)(2)(3) |
8,000
|
|
7,828
|
|
|
|
21,314
|
|
|
|
|
|
Lodging—2.9%
|
|
|
Boyd
Gaming Corp. 144A 4.750%, 6/15/31(1)(2)(3) |
7,000
|
|
6,299
|
Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1)(2) |
7,000
|
|
6,260
|
MGM
Resorts International |
|
|
|
5.500%,
4/15/27(1) |
4,000
|
|
3,857
|
4.750%,
10/15/28(1)(3) |
4,000
|
|
3,627
|
|
|
|
20,043
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Machinery-Diversified—1.0%
|
|
|
Chart
Industries, Inc. 144A 9.500%, 1/1/31(2) |
$ 6,350
|
|
$
6,626 |
Media—0.9%
|
|
|
Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) |
7,000
|
|
6,231
|
Pharmaceuticals—0.9%
|
|
|
Jazz
Securities DAC 144A 4.375%, 1/15/29(1)(2) |
7,000
|
|
6,386
|
Semiconductors—1.0%
|
|
|
Entegris
Escrow Corp. 144A 5.950%, 6/15/30(1)(2) |
7,000
|
|
6,722
|
Software—0.9%
|
|
|
Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(2)(3) |
7,000
|
|
6,159
|
Total
Corporate Bonds and Notes (Identified Cost $123,810) |
|
116,847
|
|
Shares
|
|
Convertible
Preferred Stocks—2.5% |
Life
Sciences Tools & Services—0.9% |
|
Danaher
Corp. Series B, 5.000%(3) |
4,695
|
6,310
|
Telecommunications—1.6%
|
|
T-Mobile
U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(2) |
8,920
|
10,759
|
Total
Convertible Preferred Stocks (Identified Cost $16,775) |
17,069
|
|
|
|
|
|
|
|
|
Common
Stocks—54.6% |
Air
Freight & Logistics—0.2% |
|
United
Parcel Service, Inc. Class B |
7,500
|
1,389
|
Auto
Components—0.7% |
|
Aptiv
plc(1)(5) |
42,035
|
4,754
|
Banks—1.6%
|
|
Bank
of America Corp. |
148,205
|
5,258
|
JPMorgan
Chase & Co. |
43,090
|
6,031
|
|
|
11,289
|
|
|
|
|
Biotechnology—0.5%
|
|
Amgen,
Inc. |
12,605
|
3,181
|
Capital
Markets—1.8% |
|
Charles
Schwab Corp. (The) |
78,450
|
6,073
|
Morgan
Stanley |
60,820
|
5,920
|
|
|
11,993
|
|
|
|
|
Communications
Equipment—1.8% |
|
Arista
Networks, Inc.(1)(5) |
49,935
|
6,293
|
See Notes to Financial Statements
Artificial Intelligence
& Technology Opportunities Fund (AIO)
SCHEDULE OF INVESTMENTS
(Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Communications
Equipment—continued |
|
|
Motorola
Solutions, Inc. |
22,580
|
|
$ 5,803
|
|
|
|
12,096
|
|
|
|
|
|
Consumer
Finance—0.9% |
|
|
American
Express Co. |
36,360
|
|
6,360
|
Electrical
Equipment—0.3% |
|
|
Rockwell
Automation, Inc.(3) |
7,445
|
|
2,100
|
Electronic
Equipment, Instruments & Components—1.8% |
|
|
Flex
Ltd.(3)(5) |
514,470
|
|
12,013
|
Energy
Equipment & Services—2.9% |
|
|
Baker
Hughes Co. |
160,820
|
|
5,105
|
Schlumberger
Ltd. |
260,695
|
|
14,854
|
|
|
|
19,959
|
|
|
|
|
|
Entertainment—0.5%
|
|
|
Netflix,
Inc.(5) |
8,940
|
|
3,163
|
Healthcare
Equipment & Supplies—1.0% |
|
|
Boston
Scientific Corp.(5) |
89,815
|
|
4,154
|
Intuitive
Surgical, Inc.(1)(5) |
10,485
|
|
2,576
|
|
|
|
6,730
|
|
|
|
|
|
Healthcare
Providers & Services—6.9% |
|
|
Cigna
Corp. |
22,945
|
|
7,266
|
Elevance
Health, Inc. |
23,895
|
|
11,947
|
McKesson
Corp. |
20,370
|
|
7,714
|
UnitedHealth
Group, Inc.(1) |
40,055
|
|
19,995
|
|
|
|
46,922
|
|
|
|
|
|
Hotels,
Restaurants & Leisure—4.7% |
|
|
Hilton
Worldwide Holdings, Inc. |
75,340
|
|
10,931
|
Marriott
International, Inc. Class A |
54,700
|
|
9,528
|
McDonald’s
Corp. |
44,795
|
|
11,978
|
|
|
|
32,437
|
|
|
|
|
|
Industrial
Conglomerates—0.2% |
|
|
Honeywell
International, Inc. |
7,865
|
|
1,640
|
Insurance—2.4%
|
|
|
Chubb
Ltd. |
48,630
|
|
11,063
|
Progressive
Corp. (The) |
40,405
|
|
5,509
|
|
|
|
16,572
|
|
|
|
|
|
Interactive
Media & Services—0.4% |
|
|
Alphabet,
Inc. Class A(5) |
27,660
|
|
2,734
|
Internet
& Direct Marketing Retail—0.8% |
|
|
Alibaba
Group Holding Ltd. Sponsored ADR(5) |
51,820
|
|
5,711
|
IT
Services—1.7% |
|
|
Mastercard,
Inc. Class A |
15,165
|
|
5,620
|
|
Shares
|
|
Value
|
|
|
|
|
IT
Services—continued |
|
|
Visa,
Inc. Class A(3) |
27,300
|
|
$
6,285 |
|
|
|
11,905
|
|
|
|
|
|
Life
Sciences Tools & Services—2.0% |
|
|
Charles
River Laboratories International, Inc.(5) |
13,820
|
|
3,362
|
IQVIA
Holdings, Inc.(1)(5) |
36,362
|
|
8,342
|
Thermo
Fisher Scientific, Inc. |
3,395
|
|
1,936
|
|
|
|
13,640
|
|
|
|
|
|
Machinery—3.8%
|
|
|
Caterpillar,
Inc. |
21,015
|
|
5,302
|
Deere
& Co. |
48,536
|
|
20,523
|
|
|
|
25,825
|
|
|
|
|
|
Metals
& Mining—0.9% |
|
|
Freeport-McMoRan,
Inc. |
130,652
|
|
5,830
|
Pharmaceuticals—3.5%
|
|
|
AstraZeneca
plc Sponsored ADR |
130,315
|
|
8,519
|
Bristol-Myers
Squibb Co. |
74,625
|
|
5,422
|
Eli
Lilly & Co. |
9,110
|
|
3,135
|
Merck
& Co., Inc. |
64,300
|
|
6,906
|
|
|
|
23,982
|
|
|
|
|
|
Semiconductors
& Semiconductor Equipment—7.5% |
|
|
Analog
Devices, Inc. |
50,080
|
|
8,587
|
Applied
Materials, Inc. |
55,305
|
|
6,166
|
GlobalFoundries,
Inc.(3)(5) |
98,923
|
|
5,864
|
Lam
Research Corp. |
7,880
|
|
3,941
|
Marvell
Technology, Inc. |
195,040
|
|
8,416
|
Monolithic
Power Systems, Inc.(3) |
9,130
|
|
3,894
|
NXP
Semiconductors N.V. |
65,145
|
|
12,007
|
Taiwan
Semiconductor Manufacturing Co., Ltd. Sponsored ADR |
25,890
|
|
2,401
|
|
|
|
51,276
|
|
|
|
|
|
Software—5.8%
|
|
|
Cadence
Design Systems, Inc.(1)(5) |
58,735
|
|
10,739
|
Intuit,
Inc. |
15,010
|
|
6,344
|
Microsoft
Corp. |
23,835
|
|
5,907
|
Oracle
Corp. |
142,875
|
|
12,639
|
ServiceNow,
Inc.(1)(5) |
9,550
|
|
4,346
|
|
|
|
39,975
|
|
|
|
|
|
Total
Common Stocks (Identified Cost $320,545) |
|
373,476
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—115.7% (Identified Cost $765,790) |
|
791,452 |
|
|
|
|
|
|
|
|
|
|
See
Notes to Financial Statements
Artificial Intelligence
& Technology Opportunities Fund (AIO)
SCHEDULE OF INVESTMENTS
(Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
|
|
|
|
Short-Term
Investment—4.0% |
Money
Market Mutual Fund—4.0% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(6) |
27,405,337
|
|
$
27,405 |
Total
Short-Term Investment (Identified Cost $27,405) |
|
27,405
|
|
|
|
|
|
|
|
|
|
|
Securities
Lending Collateral—1.9% |
Dreyfus
Government Cash Management Fund - Institutional Shares (seven-day effective yield 4.227%)(6)(7) |
13,000,004
|
|
13,000
|
Total
Securities Lending Collateral (Identified Cost $13,000) |
|
13,000
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS—121.6% (Identified Cost $806,195) |
|
$
831,857 |
Other
assets and liabilities, net—(21.6)% |
|
(147,734)
|
NET
ASSETS—100.0% |
|
$
684,123 |
Abbreviations:
|
ADR
|
American
Depositary Receipt |
LLC
|
Limited
Liability Company |
REIT
|
Real
Estate Investment Trust |
Footnote
Legend: |
(1) |
All
or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $167,344. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $150,695 or 22.0% of net assets. |
(3) |
All
or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
(4) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(5) |
Non-income
producing. |
(6) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(7) |
Represents
security purchased with cash collateral received for securities on loan. |
Country
Weightings (Unaudited)† |
United
States |
89%
|
Curaçao
|
2
|
United
Kingdom |
2
|
Singapore
|
1
|
Netherlands
|
1
|
Switzerland
|
1
|
Bermuda
|
1
|
Other
|
3
|
Total
|
100%
|
† % of total investments as of January 31, 2023. |
The following table summarizes the value of
the Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Corporate
Bonds and Notes |
$116,847
|
|
$
— |
|
$116,847
|
|
$
— |
Convertible
Bonds and Notes |
284,060
|
|
—
|
|
276,413
|
|
7,647
|
Equity
Securities: |
|
|
|
|
|
|
|
Common
Stocks |
373,476
|
|
373,476
|
|
—
|
|
—
|
Convertible
Preferred Stocks |
17,069
|
|
6,310
|
|
10,759
|
|
—
|
Money
Market Mutual Fund |
27,405
|
|
27,405
|
|
—
|
|
—
|
Securities
Lending Collateral |
13,000
|
|
13,000
|
|
—
|
|
—
|
Total
Investments |
$831,857
|
|
$420,191
|
|
$404,019
|
|
$7,647
|
For information regarding the abbreviations, see the Key Investment Terms
starting on page 19.
See Notes to Financial Statements
Artificial Intelligence
& Technology Opportunities Fund (AIO)
SCHEDULE OF INVESTMENTS
(Continued)
January 31, 2023
($ reported in
thousands)
There were no transfers into
or out of Level 3 related to securities held at January 31, 2023.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations
are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value
|
Total
|
|
Convertible
Bonds And Notes |
Investments
in Securities |
|
|
|
Balance
as of January 31, 2022: |
$
— |
|
$
— |
Net
change in unrealized appreciation (depreciation) (a) |
149
|
|
149
|
Purchases
|
7,498
|
|
7,498
|
Balance
as of January 31, 2023 |
$7,647
|
|
$7,647
|
(a) The net change in unrealized appreciation (depreciation) on investments still held at January 31, 2023, was $149.
See Notes to Financial Statements
Convertible & Income
2024 Target Term Fund (CBH)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—59.9% |
Auto
Manufacturers—6.4% |
|
|
NIO,
Inc. 0.000%, 2/1/26 |
$ 11,800
|
|
$ 10,885
|
Biotechnology—10.3%
|
|
|
Insmed,
Inc. 1.750%, 1/15/25(1) |
5,500
|
|
5,220
|
Ionis
Pharmaceuticals, Inc. 0.125%, 12/15/24(1) |
8,000
|
|
7,390
|
Ligand
Pharmaceuticals, Inc. 0.750%, 5/15/23 |
5,000
|
|
4,869
|
|
|
|
17,479
|
|
|
|
|
|
Diversified
Financial Services—2.5% |
|
|
Hannon
Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 |
4,220
|
|
4,167
|
Equity
Real Estate Investment Trusts (REITs)—2.8% |
|
|
Redwood
Trust, Inc. 5.625%, 7/15/24 |
5,000
|
|
4,731
|
Healthcare-Products—2.3%
|
|
|
NuVasive,
Inc. 1.000%, 6/1/23(1) |
4,000
|
|
3,943
|
Internet—6.5%
|
|
|
Pinduoduo,
Inc. 0.000%, 12/1/25 |
7,000
|
|
6,748
|
Wayfair,
Inc. 1.125%, 11/1/24 |
4,500
|
|
4,176
|
|
|
|
10,924
|
|
|
|
|
|
Media—8.5%
|
|
|
DISH
Network Corp. 2.375%, 3/15/24(1) |
7,500
|
|
6,949
|
Liberty
Broadband Corp. 144A 2.750%, 9/30/50(1)(2) |
7,500
|
|
7,350
|
|
|
|
14,299
|
|
|
|
|
|
Pharmaceuticals—2.2%
|
|
|
Jazz
Investments I Ltd. 1.500%, 8/15/24(1) |
3,855
|
|
3,785
|
Software—18.4%
|
|
|
Alteryx,
Inc. 0.500%, 8/1/24(1) |
7,000
|
|
6,475
|
Benefitfocus,
Inc. 1.250%, 12/15/23 |
3,000
|
|
2,912
|
DocuSign,
Inc. 0.000%, 1/15/24(1) |
4,000
|
|
3,802
|
Everbridge,
Inc. 0.125%, 12/15/24 |
4,000
|
|
3,592
|
i3
Verticals LLC 1.000%, 2/15/25 |
9,000
|
|
8,764
|
LivePerson,
Inc. 0.750%, 3/1/24 |
1,000
|
|
952
|
PROS
Holdings, Inc. 1.000%, 5/15/24 |
4,000
|
|
3,700
|
|
Par
Value |
|
Value
|
|
|
|
|
Software—continued
|
|
|
RingCentral,
Inc. 0.000%, 3/1/25(1) |
$ 1,160
|
|
$
1,014 |
|
|
|
31,211
|
|
|
|
|
|
Total
Convertible Bonds and Notes (Identified Cost $104,831) |
|
101,424
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds and Notes—44.9% |
Aerospace
& Defense—2.1% |
|
|
Triumph
Group, Inc. |
|
|
|
144A
8.875%, 6/1/24(1)(2) |
1,720
|
|
1,746
|
144A
6.250%, 9/15/24(2) |
1,850
|
|
1,786
|
|
|
|
3,532
|
|
|
|
|
|
Airlines—2.2%
|
|
|
Delta
Air Lines, Inc. 2.900%, 10/28/24(1)(3) |
4,000
|
|
3,815
|
Auto
Manufacturers—0.3% |
|
|
Ford
Motor Credit Co. LLC 4.063%, 11/1/24(1)(3) |
500
|
|
484
|
Building
Materials—2.0% |
|
|
Koppers,
Inc. 144A 6.000%, 2/15/25(1)(2) |
3,420
|
|
3,369
|
Commercial
Services—1.8% |
|
|
ADT
Security Corp. (The) 4.125%, 6/15/23(1) |
3,000
|
|
2,986
|
Containers
& Packaging—3.0% |
|
|
Owens-Brockway
Glass Container, Inc. |
|
|
|
144A
5.875%, 8/15/23(1)(2)(3) |
2,610
|
|
2,600
|
144A
5.375%, 1/15/25(1)(2) |
2,610
|
|
2,532
|
|
|
|
5,132
|
|
|
|
|
|
Diversified
Financial Services—3.5% |
|
|
Navient
Corp. 7.250%, 9/25/23(1) |
2,800
|
|
2,829
|
OneMain
Finance Corp. 8.250%, 10/1/23(1) |
3,000
|
|
3,034
|
|
|
|
5,863
|
|
|
|
|
|
Entertainment—4.6%
|
|
|
Live
Nation Entertainment, Inc. 144A 4.875%, 11/1/24(1)(2) |
4,000
|
|
3,885
|
Six
Flags Entertainment Corp. 144A 4.875%, 7/31/24(1)(2)(3) |
4,000
|
|
3,915
|
|
|
|
7,800
|
|
|
|
|
|
Equity
Real Estate Investment Trusts (REITs)—2.3% |
|
|
Service
Properties Trust 4.350%, 10/1/24(1) |
4,170
|
|
3,932
|
See Notes to Financial Statements
Convertible & Income
2024 Target Term Fund (CBH)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Food
& Beverage—2.3% |
|
|
Albertsons
Cos., Inc. 144A 3.500%, 2/15/23(1)(2) |
$ 4,000
|
|
$
3,995 |
Healthcare-Services—3.9%
|
|
|
HCA,
Inc. 5.375%, 2/1/25(1) |
3,000
|
|
3,011
|
Tenet
Healthcare Corp. 4.625%, 7/15/24(1) |
3,716
|
|
3,665
|
|
|
|
6,676
|
|
|
|
|
|
Internet—2.4%
|
|
|
Netflix,
Inc. 5.875%, 2/15/25(1) |
4,000
|
|
4,058
|
Leisure
Time—1.7% |
|
|
NCL
Corp., Ltd. 144A 3.625%, 12/15/24(1)(2)(3) |
3,000
|
|
2,816
|
Lodging—2.0%
|
|
|
Wynn
Las Vegas LLC 144A 5.500%, 3/1/25(1)(2)(3) |
3,500
|
|
3,401
|
Media—6.8%
|
|
|
CCO
Holdings LLC 144A 4.000%, 3/1/23(1)(2) |
4,000
|
|
3,994
|
CSC
Holdings LLC 5.250%, 6/1/24(1)(3) |
4,000
|
|
3,916
|
DISH
DBS Corp. 5.875%, 11/15/24(1) |
3,785
|
|
3,572
|
|
|
|
11,482
|
|
|
|
|
|
Oil,
Gas & Consumable Fuels—2.2% |
|
|
Occidental
Petroleum Corp. 6.950%, 7/1/24(1) |
3,600
|
|
3,665
|
Telecommunications—1.8%
|
|
|
Sprint
LLC 7.125%, 6/15/24(1) |
3,000
|
|
3,064
|
Total
Corporate Bonds and Notes (Identified Cost $77,644) |
|
76,070
|
|
|
|
|
|
|
|
|
|
|
Leveraged
Loans—32.5% |
Advertising—0.5%
|
|
|
Advantage
Sales & Marketing, Inc. Tranche B-1 (3 month LIBOR + 4.500%) 9.288%, 10/28/27 (4) |
980
|
|
817
|
Airlines—0.9%
|
|
|
American
Airlines, Inc. (3 month LIBOR + 4.750%) 9.558%, 4/20/28 (4) |
1,000
|
|
1,026
|
Delta
Air Lines, Inc. (3 month LIBOR + 3.750%) 8.558%, 10/20/27 (4) |
475
|
|
491
|
|
|
|
1,517
|
|
|
|
|
|
Auto
Components—0.6% |
|
|
Adient
U.S. LLC Tranche B-1 (1 month LIBOR + 3.250%) 7.820%, 4/10/28 (4) |
985
|
|
981
|
|
Par
Value |
|
Value
|
|
|
|
|
Chemicals—0.6%
|
|
|
Ecovyst
Catalyst Technologies LLC (3 month LIBOR + 2.500%) 7.325%, 6/9/28 (4) |
$ 982
|
|
$ 980
|
Commercial
Services—3.0% |
|
|
Allied
Universal Holdco LLC (1 month Term SOFR + 3.750%) 8.311%, 5/12/28 (4) |
988
|
|
951
|
Avis
Budget Car Rental LLC Tranche B (1 month LIBOR + 1.750%) 6.320%, 8/6/27 (4) |
997
|
|
983
|
Hertz
Corp. (The) |
|
|
|
Tranche
B (1 month LIBOR + 3.250%) 7.820%, 6/30/28 (4) |
1,248
|
|
1,242
|
Tranche
C (1 month LIBOR + 3.250%) 7.820%, 6/30/28 (4) |
239
|
|
238
|
Travelport
Finance (Luxembourg) S.a.r.l. First Lien (3 month LIBOR + 5.000%) 0.000%, 5/29/26 (4) |
967
|
|
725
|
WEX,
Inc. Tranche B (1 month LIBOR + 2.250%) 6.820%, 3/31/28 (4) |
983
|
|
979
|
|
|
|
5,118
|
|
|
|
|
|
Computers—2.7%
|
|
|
Conduent
Business Services LLC Tranche B (1 month LIBOR + 4.250%) 8.767%, 10/16/28 (4) |
990
|
|
972
|
KBR,
Inc. Tranche B (1 month LIBOR + 2.750%) 7.320%, 2/5/27 (4) |
998
|
|
997
|
McAfee
Corp. Tranche B-1 (1 month Term SOFR + 3.850%) 8.184%, 3/1/29 (4) |
1,194
|
|
1,124
|
NCR
Corp. (3 month LIBOR + 2.500%) 7.330%, 8/28/26 (4) |
1,445
|
|
1,436
|
|
|
|
4,529
|
|
|
|
|
|
Containers
& Packaging—0.9% |
|
|
Pactiv
Evergreen Group Holdings, Inc. Tranche B-3 (1 month LIBOR + 3.250%) 7.820%, 9/25/28 (4) |
1,484
|
|
1,476
|
Cosmetics
& Personal Care—0.6% |
|
|
Coty,
Inc. Tranche B (1 month LIBOR + 2.250%) 6.645%, 4/7/25 (4) |
958
|
|
954
|
Electronics—0.6%
|
|
|
II-VI,
Inc. Tranche B (1 month LIBOR + 2.750%) 7.320%, 7/2/29 (4) |
980
|
|
975
|
Entertainment—2.4%
|
|
|
AMC
Entertainment Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 7.430%, 4/22/26 (4) |
963
|
|
568
|
Penn
National Gaming, Inc. Tranche B (1 month Term SOFR + 2.850%) 0.000%, 5/3/29 (4) |
1,000
|
|
999
|
SeaWorld
Parks & Entertainment, Inc. Tranche B (1 month LIBOR + 3.000%) 7.625%, 8/25/28 (4) |
997
|
|
994
|
See Notes to Financial Statements
Convertible & Income
2024 Target Term Fund (CBH)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Entertainment—continued
|
|
|
Stars
Group Holdings B.V. 2021 (3 month LIBOR + 2.250%) 6.980%, 7/21/26 (4) |
$ 1,610
|
|
$ 1,606
|
|
|
|
4,167
|
|
|
|
|
|
Environmental
Services—0.3% |
|
|
GFL
Environmental, Inc. 2020 (3 month LIBOR + 3.000%) 0.000%, 5/30/25 (4) |
500
|
|
501
|
Food
Service—0.9% |
|
|
Aramark
Services, Inc. Tranche B-5 (1 month LIBOR + 2.500%) 7.070%, 4/6/28 (4) |
1,500
|
|
1,495
|
Internet—1.2%
|
|
|
Go
Daddy Operating Co. LLC Tranche B-5 (3 month LIBOR+ 1.750%) 0.000%, 11/9/29 (4)(5) |
1,000
|
|
1,003
|
Match
Group, Inc. Tranche B-1 (3 month LIBOR + 1.750%) 6.488%, 2/13/27 (4) |
1,000
|
|
987
|
|
|
|
1,990
|
|
|
|
|
|
Leisure
Time—1.1% |
|
|
Callaway
Golf Co. (1 month LIBOR + 4.500%) 9.070%, 1/2/26 (4) |
902
|
|
903
|
Carnival
Corp. 2021, Tranche B (1 month LIBOR + 3.250%) 7.820%, 10/18/28 (4) |
993
|
|
967
|
|
|
|
1,870
|
|
|
|
|
|
Lodging—1.4%
|
|
|
Caesars
Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 7.320%, 12/23/24 (4) |
1,101
|
|
1,100
|
Hilton
Grand Vacations Borrower LLC (1 month LIBOR + 3.000%) 7.570%, 8/2/28 (4) |
1,234
|
|
1,234
|
|
|
|
2,334
|
|
|
|
|
|
Machinery-Diversified—0.9%
|
|
|
Gardner
Denver, Inc. Tranche B-1 (1 month Term SOFR + 1.850%) 6.411%, 3/1/27 (4) |
1,581
|
|
1,575
|
Media—3.6%
|
|
|
Charter
Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 6.320%, 2/1/27 (4) |
985
|
|
981
|
DIRECTV
Financing LLC (1 month LIBOR + 5.000%) 9.570%, 8/2/27 (4) |
887
|
|
871
|
Gray
Television, Inc. Tranche B-2 (1 month LIBOR + 2.500%) 6.884% - 6.869%, 2/7/24 (4) |
710
|
|
710
|
Nexstar
Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 7.070%, 9/18/26 (4) |
775
|
|
774
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—continued
|
|
|
Sinclair
Television Group, Inc. Tranche B-3 (1 month LIBOR + 3.000%) 7.570%, 4/1/28 (4) |
$ 1,231
|
|
$ 1,205
|
Virgin
Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 6.959%, 1/31/28 (4) |
1,500
|
|
1,491
|
|
|
|
6,032
|
|
|
|
|
|
Metal
Fabricate/Hardware—0.3% |
|
|
Advanced
Drainage Systems, Inc. (3 month Term SOFR + 5.000%) 5.220%, 7/31/26 (4) |
610
|
|
611
|
Miscellaneous
Manufacturing—0.6% |
|
|
Gates
Global LLC Tranche B-3 (1 month LIBOR + 2.500%) 7.070%, 3/31/27 (4) |
992
|
|
988
|
Oil,
Gas & Consumable Fuels—0.0% |
|
|
Lealand
Finance Co. B.V. (1 month LIBOR + 4.000%) 8.600%, 6/30/25 (4) |
174
|
|
93
|
Pharmaceuticals—1.7%
|
|
|
Horizon
Therapeutics USA, Inc. Tranche B-2 (1 month LIBOR + 1.750%) 6.313%, 3/15/28 (4) |
1,481
|
|
1,481
|
Organon
& Co. (3 month LIBOR + 3.000%) 7.750%, 6/2/28 (4) |
1,448
|
|
1,444
|
|
|
|
2,925
|
|
|
|
|
|
Retail—2.7%
|
|
|
Academy
Ltd. (1 month LIBOR + 3.750%) 8.119%, 11/5/27 (4) |
654
|
|
653
|
Burlington
Coat Factory Warehouse Corp. Tranche B-6 (1 month LIBOR + 2.000%) 6.570%, 6/24/28 (4) |
1,344
|
|
1,330
|
Petco
Health & Wellness Co., Inc. First Lien (3 month Term SOFR + 3.512%) 8.092%, 3/3/28 (4) |
1,160
|
|
1,146
|
Restoration
Hardware, Inc. (1 month LIBOR + 2.500%) 7.070%, 10/20/28 (4) |
1,481
|
|
1,423
|
|
|
|
4,552
|
|
|
|
|
|
Semiconductors—0.2%
|
|
|
Cohu,
Inc. Tranche B (3 month LIBOR + 3.000%) 6.371%, 10/1/25 (4) |
423
|
|
423
|
Software—2.3%
|
|
|
BMC
Software 2021 (1 month LIBOR + 3.750%) 8.320%, 10/2/25 (4) |
865
|
|
849
|
Camelot
U.S. Acquisition I Co. (1 month LIBOR + 3.000%) 7.517%, 10/30/26 (4) |
1,061
|
|
1,058
|
Ceridian
HCM Holding, Inc. (1 month LIBOR + 2.500%) 7.070%, 4/30/25 (4) |
992
|
|
986
|
See Notes to Financial Statements
Convertible & Income
2024 Target Term Fund (CBH)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Software—continued
|
|
|
Open
Text Corp. Tranche B (3 month LIBOR + 4.750%) 0.000%, 11/16/29 (4) |
$ 1,000
|
|
$
998 |
|
|
|
3,891
|
|
|
|
|
|
Telecommunications—2.5%
|
|
|
CenturyLink,
Inc. Tranche B (1 month LIBOR + 2.250%) 6.820%, 3/15/27 (4) |
969
|
|
936
|
Ciena
Corp. 2020 (1 month LIBOR + 1.750%) 6.236%, 9/26/25 (4) |
982
|
|
979
|
Commscope,
Inc. (1 month LIBOR + 3.250%) 7.820%, 4/6/26 (4) |
1,455
|
|
1,423
|
Frontier
Communications Corp. Tranche B (3 month LIBOR + 3.750%) 8.500%, 5/1/28 (4) |
985
|
|
964
|
|
|
|
4,302
|
|
|
|
|
|
Total
Leveraged Loans (Identified Cost $56,277) |
|
55,096
|
|
Shares
|
|
Common
Stocks—0.6% |
Banks—0.6%
|
|
CCF
Holdings LLC (6)(7) |
1,369,231
|
835
|
CCF
Holdings LLC Class M(6)(7) |
293,320
|
179
|
|
|
1,014
|
|
|
|
|
Construction
& Engineering—0.0% |
|
McDermott
International Ltd.(7) |
71,796
|
28
|
Total
Common Stocks (Identified Cost $3,272) |
1,042
|
|
|
|
|
|
|
|
|
Warrant—0.1%
|
Banks—0.1%
|
|
CCF
Holdings LLC(6)(7) |
485,227
|
184
|
Total
Warrant (Identified Cost $—) |
184
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—138.0% (Identified Cost $242,024) |
233,816
|
|
|
|
|
|
|
|
|
Short-Term
Investment—4.6% |
Money
Market Mutual Fund—4.6% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(8) |
7,735,581
|
7,736
|
Total
Short-Term Investment (Identified Cost $7,736) |
7,736
|
|
|
|
|
|
|
|
|
|
Shares
|
|
Value
|
|
|
|
|
|
|
|
|
Securities
Lending Collateral—0.6% |
Dreyfus
Government Cash Management Fund - Institutional Shares (seven-day effective yield 4.227%)(8)(9) |
999,927
|
|
$
1,000 |
Total
Securities Lending Collateral (Identified Cost $1,000) |
|
1,000
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS—143.2% (Identified Cost $250,760) |
|
$242,552
|
Other
assets and liabilities, net—(43.2)% |
|
(73,177)
|
NET
ASSETS—100.0% |
|
$169,375
|
Abbreviations:
|
EV
|
Enterprise
Value |
LIBOR
|
London
Interbank Offered Rate |
LLC
|
Limited
Liability Company |
REIT
|
Real
Estate Investment Trust |
SOFR
|
Secured
Overnight Financing Rate |
Footnote
Legend: |
(1) |
All
or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $100,101. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $41,389 or 24.4% of net assets. |
(3) |
All
or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
(4) |
Variable
rate security. Rate disclosed is as of January 31, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are
determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread
in their descriptions. |
(5) |
This loan
will settle after January 31, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(6) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) |
Non-income
producing. |
(8) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(9) |
Represents
security purchased with cash collateral received for securities on loan. |
Country
Weightings (Unaudited)† |
United
States |
87%
|
Cayman
Islands |
7
|
Bermuda
|
3
|
Luxembourg
|
1
|
Netherlands
|
1
|
Canada
|
1
|
Total
|
100%
|
† % of total investments as of January 31, 2023. |
For
information regarding the abbreviations, see the Key Investment Terms starting on page 19.
See Notes to Financial Statements
Convertible & Income
2024 Target Term Fund (CBH)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Corporate
Bonds and Notes |
$
76,070 |
|
$
— |
|
$
76,070 |
|
$
— |
Leveraged
Loans |
55,096
|
|
—
|
|
55,096
|
|
—
|
Convertible
Bonds and Notes |
101,424
|
|
—
|
|
101,424
|
|
—
|
Equity
Securities: |
|
|
|
|
|
|
|
Common
Stocks |
1,042
|
|
28
|
|
—
|
|
1,014
|
Warrant
|
184
|
|
—
|
|
—
|
|
184
|
Money
Market Mutual Fund |
7,736
|
|
7,736
|
|
—
|
|
—
|
Securities
Lending Collateral |
1,000
|
|
1,000
|
|
—
|
|
—
|
Total
Investments |
$242,552
|
|
$8,764
|
|
$232,590
|
|
$1,198
|
There were no transfers into
or out of Level 3 related to securities held at January 31, 2023.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value.
|
Total
|
|
Common
Stocks |
|
Warrants
|
Investments
in Securities |
|
|
|
|
|
Balance
as of January 31, 2022: |
$
842 |
|
$
731 |
|
$ 111
|
Net
change in unrealized appreciation (depreciation)(a) |
356
|
|
283
|
|
73
|
Balance
as of January 31, 2023 |
$ 1,198
|
|
$ 1,014
|
|
$ 184
|
(a) The net change in unrealized appreciation (depreciation) on investments still held at January 31, 2023, was $356.
The following table presents additional information
about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at January 31, 2023:
Investments
in Securities – Assets |
|
Ending
Balance at January 31, 2023 |
|
Valuation
Technique Used |
|
Unobservable
Inputs |
|
Input
Values |
Common
Stocks: |
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$835
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity Discount
|
|
25%
|
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC Class M |
|
$179
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity Discount
|
|
25%
|
|
|
|
|
|
|
|
|
|
Warrant:
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$184
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity Discount
|
|
25%
|
|
|
|
|
Black-Scholes
Model |
|
Volatility
|
|
55.94%
|
|
|
|
|
|
|
|
|
|
See Notes to
Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—91.1% |
Airlines—1.2%
|
|
|
American
Airlines Group, Inc. 6.500%, 7/1/25(1) |
$ 2,040
|
|
$ 2,499
|
Southwest
Airlines Co. 1.250%, 5/1/25(1) |
1,670
|
|
2,002
|
|
|
|
4,501
|
|
|
|
|
|
Auto
Manufacturers—0.9% |
|
|
Lucid
Group, Inc. 144A 1.250%, 12/15/26(2) |
5,250
|
|
3,396
|
Banks—1.8%
|
|
|
Barclays
Bank plc 0.000%, 2/18/25(1) |
4,085
|
|
4,363
|
BofA
Finance LLC 0.600%, 5/25/27(1) |
2,135
|
|
2,400
|
|
|
|
6,763
|
|
|
|
|
|
Biotechnology—7.1%
|
|
|
Alnylam
Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1)(2) |
3,060
|
|
3,263
|
BioMarin
Pharmaceutical, Inc. 1.250%, 5/15/27 |
4,165
|
|
4,686
|
Bridgebio
Pharma, Inc. 2.250%, 2/1/29 |
2,860
|
|
976
|
Cytokinetics,
Inc. 144A 3.500%, 7/1/27(1)(2) |
2,190
|
|
2,395
|
Halozyme
Therapeutics, Inc. |
|
|
|
0.250%,
3/1/27(1) |
2,435
|
|
2,280
|
144A
1.000%, 8/15/28(1)(2) |
2,425
|
|
2,693
|
Insmed,
Inc. |
|
|
|
1.750%,
1/15/25(1) |
2,805
|
|
2,662
|
0.750%,
6/1/28(1) |
1,370
|
|
1,216
|
Sarepta
Therapeutics, Inc. 144A 1.250%, 9/15/27(1)(2) |
5,225
|
|
5,938
|
|
|
|
26,109
|
|
|
|
|
|
Chemicals—0.6%
|
|
|
Livent
Corp. 4.125%, 7/15/25(1) |
710
|
|
2,181
|
Commercial
Services—6.2% |
|
|
Block,
Inc. |
|
|
|
0.125%,
3/1/25(1) |
4,100
|
|
4,161
|
0.000%,
5/1/26(1) |
2,385
|
|
2,008
|
Euronet
Worldwide, Inc. 0.750%, 3/15/49(1) |
1,915
|
|
1,868
|
Repay
Holdings Corp. 144A 0.000%, 2/1/26(2) |
4,120
|
|
3,304
|
Shift4
Payments, Inc. |
|
|
|
0.000%,
12/15/25(1) |
2,800
|
|
2,989
|
0.500%,
8/1/27(1) |
4,860
|
|
4,338
|
Stride,
Inc. 1.125%, 9/1/27(1) |
3,825
|
|
3,995
|
|
|
|
22,663
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Computers—4.7%
|
|
|
3D
Systems Corp. 0.000%, 11/15/26 |
$ 4,540
|
|
$ 3,368
|
CyberArk
Software Ltd. 0.000%, 11/15/24(1) |
1,835
|
|
2,017
|
KBR,
Inc. 2.500%, 11/1/23(1) |
1,495
|
|
3,053
|
Lumentum
Holdings, Inc. |
|
|
|
0.500%,
12/15/26(1) |
535
|
|
485
|
144A
0.500%, 6/15/28(2) |
2,580
|
|
2,072
|
Parsons
Corp. 0.250%, 8/15/25(1) |
2,070
|
|
2,265
|
Pure
Storage, Inc. 0.125%, 4/15/23(1) |
180
|
|
201
|
Rapid7,
Inc. 0.250%, 3/15/27 |
2,450
|
|
2,009
|
Zscaler,
Inc. 0.125%, 7/1/25(1) |
1,545
|
|
1,688
|
|
|
|
17,158
|
|
|
|
|
|
Cosmetics
& Personal Care—1.0% |
|
|
Beauty
Health Co. (The) 144A 1.250%, 10/1/26(1)(2) |
4,630
|
|
3,788
|
Diversified
Financial Services—3.8% |
|
|
Coinbase
Global, Inc. 0.500%, 6/1/26 |
2,975
|
|
2,015
|
Goldman
Sachs Finance Corp. 0.500%, 12/29/27(3) |
5,940
|
|
6,210
|
JPMorgan
Chase Financial Co., LLC 0.500%, 6/15/27(1) |
4,490
|
|
5,738
|
|
|
|
13,963
|
|
|
|
|
|
Energy-Alternate
Sources—3.6% |
|
|
Enphase
Energy, Inc. |
|
|
|
0.000%,
3/1/26(1) |
3,325
|
|
3,501
|
0.000%,
3/1/28 |
570
|
|
613
|
Plug
Power, Inc. 3.750%, 6/1/25 |
325
|
|
1,104
|
SolarEdge
Technologies, Inc. 0.000%, 9/15/25 |
1,345
|
|
1,806
|
Stem,
Inc. 144A 0.500%, 12/1/28(2) |
4,545
|
|
3,055
|
Sunnova
Energy International, Inc. 144A 2.625%, 2/15/28(1)(2) |
3,755
|
|
3,161
|
|
|
|
13,240
|
|
|
|
|
|
Entertainment—2.8%
|
|
|
DraftKings
Holdings, Inc. 0.000%, 3/15/28 |
5,875
|
|
3,995
|
Live
Nation Entertainment, Inc. 144A 3.125%, 1/15/29(2) |
1,720
|
|
1,845
|
Vail
Resorts, Inc. 0.000%, 1/1/26(1) |
4,650
|
|
4,400
|
|
|
|
10,240
|
|
|
|
|
|
Food
& Beverage—1.0% |
|
|
Post
Holdings, Inc. 144A 2.500%, 8/15/27(1)(2) |
3,385
|
|
3,684
|
See Notes to Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Healthcare-Products—4.7%
|
|
|
CONMED
Corp. 144A 2.250%, 6/15/27(1)(2) |
$ 2,110
|
|
$ 2,008
|
Exact
Sciences Corp. |
|
|
|
0.375%,
3/15/27(1) |
150
|
|
141
|
0.375%,
3/1/28(1) |
5,575
|
|
4,976
|
Insulet
Corp. 0.375%, 9/1/26 |
2,250
|
|
3,106
|
Natera,
Inc. 2.250%, 5/1/27(1) |
1,520
|
|
2,069
|
Novocure
Ltd. 0.000%, 11/1/25(1) |
3,120
|
|
3,019
|
Repligen
Corp. 0.375%, 7/15/24(1) |
1,280
|
|
2,166
|
|
|
|
17,485
|
|
|
|
|
|
Healthcare-Services—0.5%
|
|
|
Elevance
Health, Inc. 2.750%, 10/15/42 |
245
|
|
1,746
|
Internet—12.5%
|
|
|
Booking
Holdings, Inc. 0.750%, 5/1/25 |
3,120
|
|
4,442
|
Etsy,
Inc. |
|
|
|
0.125%,
9/1/27(1) |
2,595
|
|
2,668
|
0.250%,
6/15/28 |
4,325
|
|
3,890
|
Farfetch
Ltd. 3.750%, 5/1/27 |
1,920
|
|
1,681
|
Match
Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1)(2) |
2,385
|
|
2,287
|
Palo
Alto Networks, Inc. |
|
|
|
0.750%,
7/1/23 |
1,135
|
|
2,033
|
0.375%,
6/1/25 |
3,620
|
|
5,933
|
Snap,
Inc. |
|
|
|
0.750%,
8/1/26(1) |
3,090
|
|
2,849
|
144A
0.125%, 3/1/28(2) |
3,345
|
|
2,410
|
Uber
Technologies, Inc. 0.000%, 12/15/25(1) |
7,050
|
|
6,195
|
Wayfair,
Inc. |
|
|
|
1.125%,
11/1/24 |
3,615
|
|
3,355
|
1.000%,
8/15/26 |
985
|
|
749
|
144A
3.250%, 9/15/27(2) |
1,360
|
|
1,632
|
Zillow
Group, Inc. 2.750%, 5/15/25(1) |
5,920
|
|
6,065
|
|
|
|
46,189
|
|
|
|
|
|
Leisure
Time—3.1% |
|
|
NCL
Corp., Ltd. 1.125%, 2/15/27 |
8,405
|
|
6,409
|
Royal
Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(1)(2) |
1,750
|
|
2,671
|
Topgolf
Callaway Brands Corp. 2.750%, 5/1/26(1) |
1,510
|
|
2,302
|
|
|
|
11,382
|
|
|
|
|
|
Machinery-Diversified—0.6%
|
|
|
Middleby
Corp. (The) 1.000%, 9/1/25(1) |
1,565
|
|
2,042
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—6.0%
|
|
|
DISH
Network Corp. |
|
|
|
0.000%,
12/15/25 |
$ 3,640
|
|
$ 2,400
|
3.375%,
8/15/26 |
4,580
|
|
2,997
|
Liberty
Media Corp. |
|
|
|
1.375%,
10/15/23 |
3,580
|
|
4,681
|
144A
0.500%, 12/1/50(1)(2) |
4,755
|
|
4,990
|
Liberty
Media Corp.-Liberty Formula One 144A 2.250%, 8/15/27(1)(2) |
4,120
|
|
4,301
|
World
Wrestling Entertainment, Inc. 3.375%, 12/15/23(1) |
840
|
|
2,850
|
|
|
|
22,219
|
|
|
|
|
|
Mining—1.2%
|
|
|
Lithium
Americas Corp. 1.750%, 1/15/27 |
2,575
|
|
2,217
|
MP
Materials Corp. 144A 0.250%, 4/1/26(1)(2) |
2,200
|
|
2,200
|
|
|
|
4,417
|
|
|
|
|
|
Miscellaneous
Manufacturing—0.9% |
|
|
Axon
Enterprise, Inc. 144A 0.500%, 12/15/27(1)(2) |
3,180
|
|
3,415
|
Oil,
Gas & Consumable Fuels—2.6% |
|
|
EQT
Corp. 1.750%, 5/1/26(1) |
845
|
|
1,896
|
Northern
Oil & Gas, Inc. 144A 3.625%, 4/15/29(2) |
2,725
|
|
3,091
|
Pioneer
Natural Resources Co. 0.250%, 5/15/25(1) |
1,925
|
|
4,529
|
|
|
|
9,516
|
|
|
|
|
|
Pharmaceuticals—4.9%
|
|
|
Dexcom,
Inc. 0.250%, 11/15/25(1) |
9,330
|
|
9,825
|
Jazz
Investments I Ltd. 2.000%, 6/15/26(1) |
4,675
|
|
5,487
|
Revance
Therapeutics, Inc. 1.750%, 2/15/27(1) |
2,145
|
|
2,764
|
|
|
|
18,076
|
|
|
|
|
|
Retail—1.6%
|
|
|
Burlington
Stores, Inc. 2.250%, 4/15/25(1) |
2,625
|
|
3,252
|
Shake
Shack, Inc. 0.000%, 3/1/28 |
3,450
|
|
2,565
|
|
|
|
5,817
|
|
|
|
|
|
Semiconductors—3.6%
|
|
|
MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(1) |
1,430
|
|
1,476
|
Microchip
Technology, Inc. 0.125%, 11/15/24 |
2,350
|
|
2,607
|
ON
Semiconductor Corp. 0.000%, 5/1/27(1) |
1,635
|
|
2,452
|
Silicon
Laboratories, Inc. 0.625%, 6/15/25(1) |
790
|
|
1,096
|
See Notes to Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Semiconductors—continued
|
|
|
Wolfspeed,
Inc. |
|
|
|
144A
0.250%, 2/15/28(1)(2) |
$ 4,545
|
|
$
4,147 |
144A
1.875%, 12/1/29(2) |
1,655
|
|
1,607
|
|
|
|
13,385
|
|
|
|
|
|
Software—13.9%
|
|
|
Akamai
Technologies, Inc. 0.125%, 5/1/25(1) |
2,560
|
|
2,743
|
Bentley
Systems, Inc. 0.125%, 1/15/26(1) |
4,260
|
|
3,936
|
Bill.com
Holdings, Inc. 0.000%, 4/1/27 |
8,745
|
|
7,014
|
Box,
Inc. 0.000%, 1/15/26(1) |
1,580
|
|
2,118
|
Cloudflare,
Inc. 0.000%, 8/15/26(1) |
5,920
|
|
4,921
|
Confluent,
Inc. 0.000%, 1/15/27 |
2,735
|
|
2,121
|
Coupa
Software, Inc. 0.375%, 6/15/26(1) |
2,815
|
|
2,738
|
DigitalOcean
Holdings, Inc. 0.000%, 12/1/26 |
4,755
|
|
3,649
|
Envestnet,
Inc. 144A 2.625%, 12/1/27(1)(2) |
1,195
|
|
1,335
|
Evolent
Health, Inc. 1.500%, 10/15/25 |
2,245
|
|
2,613
|
Five9,
Inc. 0.500%, 6/1/25(1) |
4,395
|
|
4,151
|
HubSpot,
Inc. 0.375%, 6/1/25(1) |
980
|
|
1,355
|
PagerDuty,
Inc. 1.250%, 7/1/25 |
1,845
|
|
1,947
|
Splunk,
Inc. 1.125%, 6/15/27(1) |
4,595
|
|
3,954
|
Tyler
Technologies, Inc. 0.250%, 3/15/26(1) |
1,600
|
|
1,519
|
Unity
Software, Inc. 0.000%, 11/15/26 |
2,360
|
|
1,820
|
Workiva,
Inc. 1.125%, 8/15/26(1) |
2,575
|
|
3,242
|
|
|
|
51,176
|
|
|
|
|
|
Transportation—0.3%
|
|
|
Air
Transport Services Group, Inc. 1.125%, 10/15/24(1) |
865
|
|
914
|
Total
Convertible Bonds and Notes (Identified Cost $347,928) |
|
335,465
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds and Notes—61.5% |
Aerospace
& Defense—2.2% |
|
|
Bombardier,
Inc. 144A 7.500%, 2/1/29(1)(2) |
1,830
|
|
1,828
|
Spirit
AeroSystems, Inc. 144A 9.375%, 11/30/29(2) |
925
|
|
1,006
|
TransDigm,
Inc. 5.500%, 11/15/27(1) |
3,135
|
|
2,994
|
|
Par
Value |
|
Value
|
|
|
|
|
Aerospace
& Defense—continued |
|
|
Triumph
Group, Inc. 144A 8.875%, 6/1/24(1)(2) |
$ 2,217
|
|
$ 2,250
|
|
|
|
8,078
|
|
|
|
|
|
Airlines—1.0%
|
|
|
American
Airlines, Inc. 144A 11.750%, 7/15/25(1)(2) |
2,080
|
|
2,315
|
Delta
Air Lines, Inc. 7.375%, 1/15/26(1) |
1,395
|
|
1,452
|
|
|
|
3,767
|
|
|
|
|
|
Auto
Components—1.8% |
|
|
American
Axle & Manufacturing, Inc. 6.500%, 4/1/27(1) |
1,280
|
|
1,181
|
Clarios
Global LP 144A 8.500%, 5/15/27(2) |
3,010
|
|
2,998
|
Goodyear
Tire & Rubber Co. (The) |
|
|
|
9.500%,
5/31/25(1) |
1,270
|
|
1,311
|
5.250%,
7/15/31 |
1,395
|
|
1,178
|
|
|
|
6,668
|
|
|
|
|
|
Auto
Manufacturers—1.4% |
|
|
Ford
Motor Co. |
|
|
|
9.625%,
4/22/30(1) |
2,205
|
|
2,595
|
7.450%,
7/16/31 |
1,700
|
|
1,824
|
6.100%,
8/19/32 |
605
|
|
594
|
|
|
|
5,013
|
|
|
|
|
|
Building
Materials—1.1% |
|
|
Builders
FirstSource, Inc. 144A 6.375%, 6/15/32(1)(2) |
2,445
|
|
2,394
|
Griffon
Corp. 5.750%, 3/1/28(1) |
1,900
|
|
1,798
|
|
|
|
4,192
|
|
|
|
|
|
Chemicals—0.3%
|
|
|
Chemours
Co. (The) 144A 5.750%, 11/15/28(1)(2) |
1,340
|
|
1,221
|
Commercial
Services—2.9% |
|
|
ADT
Security Corp. (The) 144A 4.125%, 8/1/29(1)(2) |
2,050
|
|
1,825
|
Avis
Budget Car Rental LLC 144A 5.375%, 3/1/29(1)(2) |
2,060
|
|
1,842
|
Deluxe
Corp. 144A 8.000%, 6/1/29(1)(2) |
1,430
|
|
1,225
|
Herc
Holdings, Inc. 144A 5.500%, 7/15/27(1)(2) |
1,315
|
|
1,259
|
Hertz
Corp. (The) 144A 5.000%, 12/1/29(2) |
1,490
|
|
1,218
|
NESCO
Holdings II, Inc. 144A 5.500%, 4/15/29(1)(2) |
2,000
|
|
1,796
|
United
Rentals North America, Inc. 5.250%, 1/15/30(1) |
1,530
|
|
1,480
|
|
|
|
10,645
|
|
|
|
|
|
See Notes to
Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Computers—0.6%
|
|
|
McAfee
Corp. 144A 7.375%, 2/15/30(2) |
$ 1,390
|
|
$ 1,154
|
NCR
Corp. 144A 5.125%, 4/15/29(1)(2) |
1,375
|
|
1,198
|
|
|
|
2,352
|
|
|
|
|
|
Containers
& Packaging—1.8% |
|
|
Berry
Global, Inc. 144A 5.625%, 7/15/27(1)(2) |
1,330
|
|
1,307
|
Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(2) |
1,215
|
|
1,225
|
Owens-Brockway
Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) |
2,460
|
|
2,412
|
Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(2) |
1,830
|
|
1,760
|
|
|
|
6,704
|
|
|
|
|
|
Cosmetics
& Personal Care—0.9% |
|
|
Coty,
Inc. 144A 6.500%, 4/15/26(2) |
2,165
|
|
2,134
|
Edgewell
Personal Care Co. 144A 5.500%, 6/1/28(1)(2) |
1,430
|
|
1,354
|
|
|
|
3,488
|
|
|
|
|
|
Diversified
Financial Services—1.5% |
|
|
Nationstar
Mortgage Holdings, Inc. |
|
|
|
144A
5.500%, 8/15/28(1)(2) |
1,400
|
|
1,223
|
144A
5.750%, 11/15/31(2) |
730
|
|
588
|
Navient
Corp. 6.750%, 6/15/26(1) |
1,790
|
|
1,763
|
OneMain
Finance Corp. 8.250%, 10/1/23(1) |
565
|
|
572
|
PRA
Group, Inc. 144A 8.375%, 2/1/28(2) |
1,205
|
|
1,211
|
|
|
|
5,357
|
|
|
|
|
|
Electric
Utilities—0.5% |
|
|
PG&E
Corp. 5.250%, 7/1/30 |
1,975
|
|
1,817
|
Electronic
Equipment, Instruments & Components—0.7% |
|
|
WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) |
2,560
|
|
2,623
|
Electronics—0.8%
|
|
|
Coherent
Corp. 144A 5.000%, 12/15/29(2) |
1,980
|
|
1,798
|
Sensata
Technologies B.V. 144A 5.875%, 9/1/30(2) |
1,210
|
|
1,187
|
|
|
|
2,985
|
|
|
|
|
|
Entertainment—4.3%
|
|
|
Caesars
Entertainment, Inc. |
|
|
|
144A
8.125%, 7/1/27(1)(2) |
4,165
|
|
4,228
|
144A
7.000%, 2/15/30(2) |
1,215
|
|
1,236
|
CDI
Escrow Issuer, Inc. 144A 5.750%, 4/1/30(2) |
1,840
|
|
1,743
|
|
Par
Value |
|
Value
|
|
|
|
|
Entertainment—continued
|
|
|
International
Game Technology plc 144A 6.250%, 1/15/27(1)(2) |
$ 1,185
|
|
$ 1,185
|
Lions
Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) |
2,720
|
|
1,768
|
Live
Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1)(2) |
1,915
|
|
1,926
|
Scientific
Games International, Inc. 144A 7.000%, 5/15/28(1)(2) |
1,215
|
|
1,203
|
SeaWorld
Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) |
2,825
|
|
2,553
|
|
|
|
15,842
|
|
|
|
|
|
Environmental
Services—0.7% |
|
|
GFL
Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) |
2,770
|
|
2,500
|
Equity
Real Estate Investment Trusts (REITs)—1.9% |
|
|
Iron
Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) |
2,820
|
|
2,552
|
Park
Intermediate Holdings LLC |
|
|
|
144A
5.875%, 10/1/28(1)(2) |
1,340
|
|
1,240
|
144A
4.875%, 5/15/29(1)(2) |
1,450
|
|
1,253
|
Service
Properties Trust 7.500%, 9/15/25(1) |
1,855
|
|
1,824
|
|
|
|
6,869
|
|
|
|
|
|
Food
& Beverage—1.8% |
|
|
Performance
Food Group, Inc. 144A 5.500%, 10/15/27(1)(2) |
2,750
|
|
2,647
|
Post
Holdings, Inc. 144A 5.500%, 12/15/29(1)(2) |
2,625
|
|
2,434
|
Simmons
Foods, Inc. 144A 4.625%, 3/1/29(1)(2) |
2,000
|
|
1,696
|
|
|
|
6,777
|
|
|
|
|
|
Food
Service—0.2% |
|
|
Aramark
Services, Inc. 144A 5.000%, 2/1/28(1)(2) |
925
|
|
872
|
Healthcare-Products—0.4%
|
|
|
Medline
Borrower LP 144A 5.250%, 10/1/29(2) |
1,590
|
|
1,331
|
Healthcare-Services—1.2%
|
|
|
Select
Medical Corp. 144A 6.250%, 8/15/26(1)(2) |
1,255
|
|
1,226
|
Tenet
Healthcare Corp. |
|
|
|
6.125%,
10/1/28(2) |
2,800
|
|
2,618
|
144A
6.125%, 6/15/30(2) |
625
|
|
607
|
|
|
|
4,451
|
|
|
|
|
|
Housewares—0.5%
|
|
|
Newell
Brands, Inc. 6.625%, 9/15/29(1) |
1,750
|
|
1,769
|
Internet—1.8%
|
|
|
Gen
Digital, Inc. 144A 7.125%, 9/30/30(1)(2) |
2,350
|
|
2,386
|
See Notes to Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Internet—continued
|
|
|
Uber
Technologies, Inc. |
|
|
|
144A
8.000%, 11/1/26(1)(2) |
$ 1,125
|
|
$ 1,152
|
144A
7.500%, 9/15/27(1)(2) |
1,900
|
|
1,929
|
144A
6.250%, 1/15/28(1)(2) |
1,295
|
|
1,267
|
|
|
|
6,734
|
|
|
|
|
|
Investment
Companies—0.7% |
|
|
Compass
Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) |
2,710
|
|
2,438
|
Leisure
Time—2.4% |
|
|
Carnival
Corp. 144A 10.500%, 2/1/26(1)(2) |
3,390
|
|
3,546
|
NCL
Corp., Ltd. 144A 8.375%, 2/1/28(2) |
1,820
|
|
1,850
|
Royal
Caribbean Cruises Ltd. |
|
|
|
144A
11.500%, 6/1/25(1)(2) |
545
|
|
585
|
144A
11.625%, 8/15/27(1)(2) |
2,545
|
|
2,701
|
|
|
|
8,682
|
|
|
|
|
|
Lodging—1.5%
|
|
|
Hilton
Domestic Operating Co., Inc. 4.875%, 1/15/30 |
645
|
|
608
|
Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1)(2) |
2,645
|
|
2,366
|
MGM
Resorts International 4.750%, 10/15/28(1) |
1,480
|
|
1,342
|
Travel
+ Leisure Co. 144A 6.625%, 7/31/26(1)(2) |
1,170
|
|
1,161
|
|
|
|
5,477
|
|
|
|
|
|
Machinery-Construction
& Mining—0.6% |
|
|
Terex
Corp. 144A 5.000%, 5/15/29(1)(2) |
2,215
|
|
2,068
|
Machinery-Diversified—0.7%
|
|
|
Chart
Industries, Inc. 144A 7.500%, 1/1/30(1)(2) |
2,385
|
|
2,439
|
Media—6.4%
|
|
|
CCO
Holdings LLC |
|
|
|
144A
6.375%, 9/1/29(1)(2) |
2,445
|
|
2,359
|
144A
7.375%, 3/1/31(2) |
3,045
|
|
3,053
|
CSC
Holdings LLC 144A 7.500%, 4/1/28(1)(2) |
2,245
|
|
1,642
|
DirecTV
Financing LLC 144A 5.875%, 8/15/27(1)(2) |
2,160
|
|
1,957
|
DISH
Network Corp. 144A 11.750%, 11/15/27(1)(2) |
2,935
|
|
3,050
|
Gray
Television, Inc. 144A 7.000%, 5/15/27(1)(2) |
2,620
|
|
2,383
|
Nexstar
Media, Inc. 144A 5.625%, 7/15/27(1)(2) |
2,120
|
|
2,019
|
Scripps
Escrow II, Inc. 144A 5.375%, 1/15/31(2) |
1,555
|
|
1,255
|
Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) |
2,240
|
|
1,994
|
TEGNA,
Inc. 5.000%, 9/15/29(1) |
1,415
|
|
1,333
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—continued
|
|
|
Virgin
Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) |
$ 2,605
|
|
$ 2,417
|
|
|
|
23,462
|
|
|
|
|
|
Mining—0.5%
|
|
|
Hudbay
Minerals, Inc. 144A 6.125%, 4/1/29(1)(2) |
2,115
|
|
1,953
|
Oil,
Gas & Consumable Fuels—5.6% |
|
|
Antero
Resources Corp. 144A 7.625%, 2/1/29(1)(2) |
1,724
|
|
1,763
|
Callon
Petroleum Co. 144A 8.000%, 8/1/28(1)(2) |
1,710
|
|
1,709
|
CITGO
Petroleum Corp. 144A 6.375%, 6/15/26(2) |
2,340
|
|
2,293
|
CNX
Resources Corp. 144A 7.375%, 1/15/31(1)(2) |
2,335
|
|
2,271
|
Comstock
Resources, Inc. |
|
|
|
144A
6.750%, 3/1/29(1)(2) |
1,250
|
|
1,153
|
144A
5.875%, 1/15/30(2) |
700
|
|
600
|
Occidental
Petroleum Corp. 6.625%, 9/1/30 |
1,720
|
|
1,826
|
SM
Energy Co. 6.500%, 7/15/28(1) |
2,360
|
|
2,245
|
Southwestern
Energy Co. 5.375%, 3/15/30 |
1,405
|
|
1,308
|
Sunoco
LP 4.500%, 4/30/30 |
730
|
|
650
|
USA
Compression Partners LP 6.875%, 9/1/27(1) |
2,285
|
|
2,217
|
Weatherford
International Ltd. 144A 8.625%, 4/30/30(1)(2) |
2,440
|
|
2,463
|
|
|
|
20,498
|
|
|
|
|
|
Paper
& Forest Products—0.5% |
|
|
Mercer
International, Inc. |
|
|
|
5.125%,
2/1/29(1) |
645
|
|
552
|
144A
5.125%, 2/1/29(1)(2) |
1,470
|
|
1,257
|
|
|
|
1,809
|
|
|
|
|
|
Pharmaceuticals—1.3%
|
|
|
Jazz
Securities DAC 144A 4.375%, 1/15/29(1)(2) |
2,480
|
|
2,263
|
Organon
& Co. 144A 5.125%, 4/30/31(1)(2) |
2,720
|
|
2,455
|
|
|
|
4,718
|
|
|
|
|
|
Pipelines—3.0%
|
|
|
Antero
Midstream Partners LP 144A 5.375%, 6/15/29(1)(2) |
1,405
|
|
1,305
|
Crestwood
Midstream Partners LP 144A 6.000%, 2/1/29(1)(2) |
3,155
|
|
2,993
|
EQM
Midstream Partners LP 144A 7.500%, 6/1/30(1)(2) |
2,355
|
|
2,352
|
NGL
Energy Operating LLC 144A 7.500%, 2/1/26(1)(2) |
2,150
|
|
2,042
|
See Notes to Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Pipelines—continued
|
|
|
NuStar
Logistics LP 6.375%, 10/1/30(1) |
$ 2,500
|
|
$
2,408 |
|
|
|
11,100
|
|
|
|
|
|
Real
Estate—0.4% |
|
|
Kennedy-Wilson,
Inc. 5.000%, 3/1/31 |
1,990
|
|
1,623
|
Retail—2.6%
|
|
|
Asbury
Automotive Group, Inc. 144A 4.625%, 11/15/29(2) |
725
|
|
640
|
Bath
& Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) |
3,100
|
|
3,029
|
Macy’s
Retail Holdings LLC |
|
|
|
144A
5.875%, 3/15/30(2) |
680
|
|
621
|
144A
6.125%, 3/15/32(2) |
1,390
|
|
1,244
|
New
Red Finance, Inc. 144A 4.000%, 10/15/30(1)(2) |
2,765
|
|
2,354
|
Yum!
Brands, Inc. 5.375%, 4/1/32 |
1,735
|
|
1,646
|
|
|
|
9,534
|
|
|
|
|
|
Semiconductors—0.8%
|
|
|
Amkor
Technology, Inc. 144A 6.625%, 9/15/27(1)(2) |
1,170
|
|
1,175
|
Entegris
Escrow Corp. 144A 5.950%, 6/15/30(2) |
1,925
|
|
1,848
|
|
|
|
3,023
|
|
|
|
|
|
Software—1.4%
|
|
|
Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(2) |
1,910
|
|
1,681
|
Consensus
Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1)(2) |
1,480
|
|
1,385
|
SS&C
Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) |
2,310
|
|
2,222
|
|
|
|
5,288
|
|
|
|
|
|
Telecommunications—2.4%
|
|
|
CommScope,
Inc. 144A 6.000%, 3/1/26(1)(2) |
1,655
|
|
1,584
|
Frontier
Communications Holdings LLC |
|
|
|
144A
5.000%, 5/1/28(1)(2) |
1,295
|
|
1,177
|
144A
8.750%, 5/15/30(1)(2) |
2,330
|
|
2,415
|
Hughes
Satellite Systems Corp. 6.625%, 8/1/26(1) |
2,610
|
|
2,524
|
Lumen
Technologies, Inc. 144A 5.375%, 6/15/29(1)(2) |
1,575
|
|
1,091
|
|
|
|
8,791
|
|
|
|
|
|
Transportation—0.4%
|
|
|
Fortress
Transportation & Infrastructure Investors LLC 144A 9.750%, 8/1/27(1)(2) |
1,500
|
|
1,542
|
Total
Corporate Bonds and Notes (Identified Cost $236,212) |
|
226,500
|
|
Shares
|
|
Value
|
Convertible
Preferred Stocks—11.9% |
Auto
Components—0.5% |
|
|
Aptiv
plc Series A, 5.500% |
14,020
|
|
$
1,766 |
Banks—3.9%
|
|
|
Wells
Fargo & Co. Series L, 7.500% |
11,440
|
|
14,391
|
Capital
Markets—0.7% |
|
|
KKR
& Co., Inc. Series C, 6.000% |
35,220
|
|
2,380
|
Commercial
Services & Supplies—0.7% |
|
|
GFL
Environmental, Inc., 6.000% |
39,480
|
|
2,711
|
Diversified
Financial Services—0.7% |
|
|
Chewy,
Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(2) |
2,505
|
|
2,604
|
Electric
Utilities—2.3% |
|
|
NextEra
Energy, Inc. |
|
|
|
5.279%
|
78,590
|
|
3,929
|
6.926%
|
38,420
|
|
1,842
|
PG&E
Corp., 5.500% |
19,785
|
|
2,795
|
|
|
|
8,566
|
|
|
|
|
|
Healthcare
Equipment & Supplies—1.1% |
|
|
Boston
Scientific Corp. Series A, 5.500% |
34,990
|
|
3,993
|
Life
Sciences Tools & Services—0.9% |
|
|
Danaher
Corp. Series B, 5.000% |
2,325
|
|
3,125
|
Telecommunications—1.1%
|
|
|
T-Mobile
U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(2) |
3,430
|
|
4,137
|
Total
Convertible Preferred Stocks (Identified Cost $34,315) |
|
43,673
|
|
|
|
|
|
|
|
|
|
|
Preferred
Stock—0.2% |
Entertainment—0.2%
|
|
|
LiveStyle,
Inc. Series B (3)(4)(5)(6) |
12,300
|
|
925
|
Total
Preferred Stock (Identified Cost $1,206) |
|
925
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks—1.5% |
Banks—1.4%
|
|
|
CCF
Holdings LLC (3)(5) |
7,808,320
|
|
4,763
|
CCF
Holdings LLC Class M(3)(5) |
879,959
|
|
537
|
|
|
|
5,300
|
|
|
|
|
|
Consumer
Finance—0.1% |
|
|
Erickson,
Inc.(3)(5) |
8,295
|
|
296
|
See Notes to Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Entertainment—0.0%
|
|
|
LiveStyle,
Inc. (3)(4)(5)(6) |
90,407
|
|
$
—(7) |
Total
Common Stocks (Identified Cost $30,173) |
|
5,596
|
|
|
|
|
|
|
|
|
|
|
Warrants—0.1%
|
Banks—0.1%
|
|
|
CCF
Holdings LLC(3)(5) |
1,455,681
|
|
553
|
Media—0.0%
|
|
|
Tenerity,
Inc.(3)(5)(6) |
15,602
|
|
—
|
Total
Warrants (Identified Cost $3,080) |
|
553
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—166.3% (Identified Cost $652,914) |
|
612,712 |
|
|
|
|
|
|
|
|
|
|
Short-Term
Investment—8.3% |
Money
Market Mutual Fund—8.3% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(8) |
30,556,680
|
|
30,557
|
Total
Short-Term Investment (Identified Cost $30,557) |
|
30,557
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS—174.6% (Identified Cost $683,471) |
|
$
643,269 |
Other
assets and liabilities, net—(47.5)% |
|
(174,860)
|
Preferred
Shares—(27.1)% |
|
(100,000)
|
NET
ASSETS—100.0% |
|
$
368,409 |
Abbreviations:
|
EV
|
Enterprise
Value |
LLC
|
Limited
Liability Company |
LP
|
Limited
Partnership |
REIT
|
Real
Estate Investment Trust |
Footnote
Legend: |
(1) |
All
or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $288,105. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $263,495 or 71.5% of net assets. |
(3) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) |
For
the period of February 1, 2022 through March 1, 2022, a member of the Fund’s portfolio management team was a member of the board of directors of LiveStyle, Inc. |
(5) |
Non-income
producing. |
(6) |
Security
is restricted from resale. |
(7) |
Amount
is less than $500. |
(8) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country
Weightings (Unaudited)† |
United
States |
91%
|
Bermuda
|
3
|
Canada
|
2
|
United
Kingdom |
2
|
Liberia
|
1
|
Panama
|
1
|
Total
|
100%
|
† % of total investments as of January 31, 2023. |
The following table summarizes the value of
the Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Corporate
Bonds and Notes |
$226,500
|
|
$
— |
|
$226,500
|
|
$
— |
Convertible
Bonds and Notes |
335,465
|
|
—
|
|
329,255
|
|
6,210
|
Equity
Securities: |
|
|
|
|
|
|
|
Convertible
Preferred Stocks |
43,673
|
|
36,932
|
|
6,741
|
|
—
|
Common
Stocks |
5,596
|
|
—
|
|
—
|
|
5,596
|
Preferred
Stock |
925
|
|
—
|
|
—
|
|
925
|
Warrants
|
553
|
|
—
|
|
—
|
|
553
(1) |
Money
Market Mutual Fund |
30,557
|
|
30,557
|
|
—
|
|
—
|
Total
Investments |
$643,269
|
|
$67,489
|
|
$562,496
|
|
$13,284
|
(1) |
Includes
internally fair valued securities currently priced at zero ($0). |
There were no transfers into or out of Level
3 related to securities held at January 31, 2023.
Some of the Fund’s investments that
were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
For information regarding the abbreviations, see the Key Investment Terms
starting on page 19.
See Notes to Financial Statements
Convertible & Income
Fund (NCV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value.
|
Total
|
|
Convertible
Bonds and Notes |
|
Common
Stocks |
|
Preferred
Stocks |
|
Warrants
|
Investments
in Securities |
|
|
|
|
|
|
|
|
|
Balance
as of January 31, 2022: |
$
6,885 |
|
—
|
|
$ 4,031
|
|
$
2,519(a) |
|
$ 335
(a) |
Net
realized gain (loss) |
(6,725)
|
|
—
|
|
—
|
|
(6,725)
|
|
—
|
Net
change in unrealized appreciation (depreciation)(b) |
8,324
|
|
121
|
|
1,565
|
|
6,420
|
|
218
|
Purchases
|
6,089
|
|
6,089
|
|
—
|
|
—
|
|
—
|
Sales
(c) |
(1,289)
|
|
—
|
|
—
|
|
(1,289)
|
|
—
|
Balance
as of January 31, 2023 |
$ 13,284
|
|
$ 6,210
|
|
$ 5,596
|
|
$
925 |
|
$ 553
(a) |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) The net change in unrealized appreciation (depreciation) on investments still held at January 31, 2023, was
$1,575.
(c) Includes paydowns on securities.
The following table presents additional information
about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at January 31, 2023:
Investments
in Securities – Assets |
|
Ending
Balance at January 31, 2023 |
|
Valuation
Technique Used |
|
Unobservable
Inputs |
|
Input
Values |
Preferred
Stocks: |
|
|
|
|
|
|
|
|
LiveStyle,
Inc. Series B |
|
$
925 |
|
Discounted
cash flows liquidation approach |
|
Discount
rate |
|
23.85%
(23.70% - 24.03%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks: |
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$4,763
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC Class M |
|
$
537 |
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
|
|
|
|
|
Erickson,
Inc. |
|
$
296 |
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.35x
(0.73x - 3.06x) |
|
|
|
|
|
|
|
|
14.78x
(12.21x - 18.99x) |
|
|
|
|
|
|
|
|
1.00x
(0.54x - 1.74x) |
|
|
|
|
|
|
M&A
Transaction Multiples |
|
0.96x
(0.41x - 1.96x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
20%
|
|
|
|
|
|
|
|
|
|
LiveStyle,
Inc. |
|
$
—(1) |
|
Discounted
cash flows liquidation approach |
|
Discount
rate |
|
23.85%
(23.70% - 24.03%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants:
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$
553 |
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
Black-Scholes
Model |
|
Volatility
|
|
55.94%
|
|
|
|
|
|
|
|
|
|
(1) Amount is less than $500. |
See Notes to Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—94.1% |
Airlines—1.3%
|
|
|
American
Airlines Group, Inc. 6.500%, 7/1/25(1) |
$ 1,565
|
|
$ 1,917
|
Southwest
Airlines Co. 1.250%, 5/1/25(1) |
1,285
|
|
1,541
|
|
|
|
3,458
|
|
|
|
|
|
Auto
Manufacturers—0.9% |
|
|
Lucid
Group, Inc. 144A 1.250%, 12/15/26(2) |
3,960
|
|
2,562
|
Banks—1.9%
|
|
|
Barclays
Bank plc 0.000%, 2/18/25(1) |
3,140
|
|
3,353
|
BofA
Finance LLC 0.600%, 5/25/27(1) |
1,640
|
|
1,844
|
|
|
|
5,197
|
|
|
|
|
|
Biotechnology—7.3%
|
|
|
Alnylam
Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1)(2) |
2,375
|
|
2,532
|
BioMarin
Pharmaceutical, Inc. 1.250%, 5/15/27 |
3,200
|
|
3,600
|
Bridgebio
Pharma, Inc. 2.250%, 2/1/29 |
2,150
|
|
734
|
Cytokinetics,
Inc. 144A 3.500%, 7/1/27(1)(2) |
1,680
|
|
1,837
|
Halozyme
Therapeutics, Inc. |
|
|
|
0.250%,
3/1/27(1) |
1,835
|
|
1,718
|
144A
1.000%, 8/15/28(1)(2) |
1,840
|
|
2,044
|
Insmed,
Inc. |
|
|
|
1.750%,
1/15/25(1) |
2,255
|
|
2,140
|
0.750%,
6/1/28 |
1,050
|
|
932
|
Sarepta
Therapeutics, Inc. 144A 1.250%, 9/15/27(1)(2) |
4,015
|
|
4,563
|
|
|
|
20,100
|
|
|
|
|
|
Chemicals—0.6%
|
|
|
Livent
Corp. 4.125%, 7/15/25(1) |
545
|
|
1,674
|
Commercial
Services—6.3% |
|
|
Block,
Inc. |
|
|
|
0.125%,
3/1/25(1) |
3,150
|
|
3,197
|
0.000%,
5/1/26 |
1,855
|
|
1,562
|
Euronet
Worldwide, Inc. 0.750%, 3/15/49(1) |
1,480
|
|
1,444
|
Repay
Holdings Corp. 144A 0.000%, 2/1/26(2) |
3,185
|
|
2,554
|
Shift4
Payments, Inc. |
|
|
|
0.000%,
12/15/25(1) |
2,155
|
|
2,300
|
0.500%,
8/1/27 |
3,735
|
|
3,334
|
Stride,
Inc. 1.125%, 9/1/27(1) |
2,940
|
|
3,071
|
|
|
|
17,462
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Computers—4.8%
|
|
|
3D
Systems Corp. 0.000%, 11/15/26 |
$ 3,460
|
|
$ 2,567
|
CyberArk
Software Ltd. 0.000%, 11/15/24(1) |
1,410
|
|
1,550
|
KBR,
Inc. 2.500%, 11/1/23(1) |
1,150
|
|
2,348
|
Lumentum
Holdings, Inc. |
|
|
|
0.500%,
12/15/26(1) |
415
|
|
377
|
144A
0.500%, 6/15/28(2) |
1,995
|
|
1,602
|
Parsons
Corp. 0.250%, 8/15/25(1) |
1,590
|
|
1,740
|
Pure
Storage, Inc. 0.125%, 4/15/23(1) |
140
|
|
156
|
Rapid7,
Inc. 0.250%, 3/15/27 |
1,875
|
|
1,537
|
Zscaler,
Inc. 0.125%, 7/1/25(1) |
1,195
|
|
1,306
|
|
|
|
13,183
|
|
|
|
|
|
Cosmetics
& Personal Care—1.1% |
|
|
Beauty
Health Co. (The) 144A 1.250%, 10/1/26(1)(2) |
3,710
|
|
3,035
|
Diversified
Financial Services—3.9% |
|
|
Coinbase
Global, Inc. 0.500%, 6/1/26 |
2,285
|
|
1,548
|
Goldman
Sachs Finance Corp. 0.500%, 12/29/27(3) |
4,570
|
|
4,777
|
JPMorgan
Chase Financial Co., LLC 0.500%, 6/15/27(1) |
3,460
|
|
4,422
|
|
|
|
10,747
|
|
|
|
|
|
Energy-Alternate
Sources—3.7% |
|
|
Enphase
Energy, Inc. |
|
|
|
0.000%,
3/1/26(1) |
2,555
|
|
2,690
|
0.000%,
3/1/28(1) |
440
|
|
473
|
Plug
Power, Inc. 3.750%, 6/1/25 |
250
|
|
849
|
SolarEdge
Technologies, Inc. 0.000%, 9/15/25(1) |
1,035
|
|
1,390
|
Stem,
Inc. 144A 0.500%, 12/1/28(2) |
3,645
|
|
2,450
|
Sunnova
Energy International, Inc. 144A 2.625%, 2/15/28(2) |
2,900
|
|
2,442
|
|
|
|
10,294
|
|
|
|
|
|
Entertainment—2.8%
|
|
|
DraftKings
Holdings, Inc. 0.000%, 3/15/28 |
4,435
|
|
3,016
|
Live
Nation Entertainment, Inc. 144A 3.125%, 1/15/29(2) |
1,325
|
|
1,421
|
Vail
Resorts, Inc. 0.000%, 1/1/26(1) |
3,570
|
|
3,378
|
|
|
|
7,815
|
|
|
|
|
|
Food
& Beverage—1.0% |
|
|
Post
Holdings, Inc. 144A 2.500%, 8/15/27(1)(2) |
2,600
|
|
2,830
|
See Notes to Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Healthcare-Products—4.9%
|
|
|
CONMED
Corp. 144A 2.250%, 6/15/27(1)(2) |
$ 1,620
|
|
$ 1,541
|
Exact
Sciences Corp. |
|
|
|
0.375%,
3/15/27 |
115
|
|
108
|
0.375%,
3/1/28(1) |
4,275
|
|
3,816
|
Insulet
Corp. 0.375%, 9/1/26(1) |
1,735
|
|
2,395
|
Natera,
Inc. 2.250%, 5/1/27 |
1,165
|
|
1,586
|
Novocure
Ltd. 0.000%, 11/1/25(1) |
2,405
|
|
2,327
|
Repligen
Corp. 0.375%, 7/15/24(1) |
980
|
|
1,659
|
|
|
|
13,432
|
|
|
|
|
|
Healthcare-Services—0.5%
|
|
|
Elevance
Health, Inc. 2.750%, 10/15/42 |
190
|
|
1,354
|
Internet—13.0%
|
|
|
Booking
Holdings, Inc. 0.750%, 5/1/25 |
2,400
|
|
3,417
|
Etsy,
Inc. |
|
|
|
0.125%,
9/1/27(1) |
1,960
|
|
2,015
|
0.250%,
6/15/28 |
3,335
|
|
3,000
|
Farfetch
Ltd. 3.750%, 5/1/27 |
1,545
|
|
1,353
|
Match
Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1)(2) |
1,830
|
|
1,755
|
Palo
Alto Networks, Inc. |
|
|
|
0.750%,
7/1/23 |
955
|
|
1,710
|
0.375%,
6/1/25 |
2,730
|
|
4,474
|
Snap,
Inc. |
|
|
|
0.750%,
8/1/26(1) |
2,475
|
|
2,282
|
144A
0.125%, 3/1/28(2) |
2,585
|
|
1,862
|
Uber
Technologies, Inc. 0.000%, 12/15/25(1) |
5,635
|
|
4,952
|
Wayfair,
Inc. |
|
|
|
1.125%,
11/1/24 |
2,895
|
|
2,687
|
1.000%,
8/15/26 |
755
|
|
574
|
144A
3.250%, 9/15/27(2) |
1,045
|
|
1,254
|
Zillow
Group, Inc. 2.750%, 5/15/25(1) |
4,550
|
|
4,661
|
|
|
|
35,996
|
|
|
|
|
|
Leisure
Time—3.2% |
|
|
NCL
Corp., Ltd. 1.125%, 2/15/27 |
6,465
|
|
4,930
|
Royal
Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(1)(2) |
1,350
|
|
2,061
|
Topgolf
Callaway Brands Corp. 2.750%, 5/1/26(1) |
1,160
|
|
1,768
|
|
|
|
8,759
|
|
|
|
|
|
Machinery-Diversified—0.6%
|
|
|
Middleby
Corp. (The) 1.000%, 9/1/25(1) |
1,200
|
|
1,565
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—6.2%
|
|
|
DISH
Network Corp. |
|
|
|
0.000%,
12/15/25 |
$ 2,745
|
|
$ 1,810
|
3.375%,
8/15/26 |
3,455
|
|
2,261
|
Liberty
Media Corp. |
|
|
|
1.375%,
10/15/23 |
2,870
|
|
3,753
|
144A
0.500%, 12/1/50(1)(2) |
3,585
|
|
3,762
|
Liberty
Media Corp.-Liberty Formula One 144A 2.250%, 8/15/27(1)(2) |
3,310
|
|
3,456
|
World
Wrestling Entertainment, Inc. 3.375%, 12/15/23(1) |
645
|
|
2,188
|
|
|
|
17,230
|
|
|
|
|
|
Mining—1.3%
|
|
|
Lithium
Americas Corp. 1.750%, 1/15/27 |
2,075
|
|
1,787
|
MP
Materials Corp. 144A 0.250%, 4/1/26(1)(2) |
1,690
|
|
1,690
|
|
|
|
3,477
|
|
|
|
|
|
Miscellaneous
Manufacturing—1.0% |
|
|
Axon
Enterprise, Inc. 144A 0.500%, 12/15/27(2) |
2,450
|
|
2,631
|
Oil,
Gas & Consumable Fuels—2.7% |
|
|
EQT
Corp. 1.750%, 5/1/26(1) |
655
|
|
1,469
|
Northern
Oil & Gas, Inc. 144A 3.625%, 4/15/29(2) |
2,090
|
|
2,371
|
Pioneer
Natural Resources Co. 0.250%, 5/15/25(1) |
1,480
|
|
3,482
|
|
|
|
7,322
|
|
|
|
|
|
Pharmaceuticals—5.0%
|
|
|
Dexcom,
Inc. 0.250%, 11/15/25(1) |
7,175
|
|
7,555
|
Jazz
Investments I Ltd. 2.000%, 6/15/26(1) |
3,615
|
|
4,243
|
Revance
Therapeutics, Inc. 1.750%, 2/15/27(1) |
1,650
|
|
2,127
|
|
|
|
13,925
|
|
|
|
|
|
Retail—1.6%
|
|
|
Burlington
Stores, Inc. 2.250%, 4/15/25(1) |
2,025
|
|
2,508
|
Shake
Shack, Inc. 0.000%, 3/1/28 |
2,665
|
|
1,982
|
|
|
|
4,490
|
|
|
|
|
|
Semiconductors—3.8%
|
|
|
MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(1) |
1,155
|
|
1,192
|
Microchip
Technology, Inc. 0.125%, 11/15/24 |
1,805
|
|
2,002
|
ON
Semiconductor Corp. 0.000%, 5/1/27(1) |
1,265
|
|
1,897
|
Silicon
Laboratories, Inc. 0.625%, 6/15/25(1) |
610
|
|
846
|
See Notes to Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Semiconductors—continued
|
|
|
Wolfspeed,
Inc. |
|
|
|
144A
0.250%, 2/15/28(1)(2) |
$ 3,510
|
|
$
3,203 |
144A
1.875%, 12/1/29(2) |
1,275
|
|
1,238
|
|
|
|
10,378
|
|
|
|
|
|
Software—14.5%
|
|
|
Akamai
Technologies, Inc. 0.125%, 5/1/25(1) |
1,970
|
|
2,111
|
Bentley
Systems, Inc. 0.125%, 1/15/26(1) |
3,275
|
|
3,026
|
Bill.com
Holdings, Inc. 0.000%, 4/1/27 |
7,040
|
|
5,646
|
Box,
Inc. 0.000%, 1/15/26(1) |
1,215
|
|
1,629
|
Cloudflare,
Inc. 0.000%, 8/15/26(1) |
4,550
|
|
3,782
|
Confluent,
Inc. 0.000%, 1/15/27 |
2,105
|
|
1,633
|
Coupa
Software, Inc. 0.375%, 6/15/26 |
2,165
|
|
2,105
|
DigitalOcean
Holdings, Inc. 0.000%, 12/1/26 |
3,825
|
|
2,936
|
Envestnet,
Inc. 144A 2.625%, 12/1/27(2) |
925
|
|
1,034
|
Evolent
Health, Inc. 1.500%, 10/15/25 |
1,730
|
|
2,014
|
Five9,
Inc. 0.500%, 6/1/25(1) |
3,395
|
|
3,206
|
HubSpot,
Inc. 0.375%, 6/1/25(1) |
755
|
|
1,044
|
PagerDuty,
Inc. 1.250%, 7/1/25 |
1,425
|
|
1,503
|
Splunk,
Inc. 1.125%, 6/15/27 |
3,730
|
|
3,210
|
Tyler
Technologies, Inc. 0.250%, 3/15/26(1) |
1,180
|
|
1,120
|
Unity
Software, Inc. 0.000%, 11/15/26 |
1,815
|
|
1,399
|
Workiva,
Inc. 1.125%, 8/15/26(1) |
2,030
|
|
2,556
|
|
|
|
39,954
|
|
|
|
|
|
Transportation—0.2%
|
|
|
Air
Transport Services Group, Inc. 1.125%, 10/15/24(1) |
655
|
|
692
|
Total
Convertible Bonds and Notes (Identified Cost $269,202) |
|
259,562
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds and Notes—59.7% |
Aerospace
& Defense—1.7% |
|
|
Bombardier,
Inc. 144A 7.500%, 2/1/29(1)(2) |
1,305
|
|
1,304
|
Spirit
AeroSystems, Inc. 144A 9.375%, 11/30/29(2) |
680
|
|
739
|
TransDigm,
Inc. 5.500%, 11/15/27(1) |
2,275
|
|
2,173
|
|
Par
Value |
|
Value
|
|
|
|
|
Aerospace
& Defense—continued |
|
|
Triumph
Group, Inc. 144A 8.875%, 6/1/24(1)(2) |
$ 497
|
|
$ 504
|
|
|
|
4,720
|
|
|
|
|
|
Airlines—1.0%
|
|
|
American
Airlines, Inc. 144A 11.750%, 7/15/25(1)(2) |
1,510
|
|
1,681
|
Delta
Air Lines, Inc. 7.375%, 1/15/26(1) |
1,085
|
|
1,129
|
|
|
|
2,810
|
|
|
|
|
|
Auto
Components—1.9% |
|
|
American
Axle & Manufacturing, Inc. 6.500%, 4/1/27(1) |
1,000
|
|
922
|
Clarios
Global LP 144A 8.500%, 5/15/27(2) |
2,325
|
|
2,316
|
Goodyear
Tire & Rubber Co. (The) |
|
|
|
9.500%,
5/31/25(1) |
975
|
|
1,006
|
5.250%,
7/15/31 |
1,085
|
|
917
|
|
|
|
5,161
|
|
|
|
|
|
Auto
Manufacturers—1.4% |
|
|
Ford
Motor Co. |
|
|
|
9.625%,
4/22/30(1) |
1,705
|
|
2,007
|
7.450%,
7/16/31 |
1,250
|
|
1,341
|
6.100%,
8/19/32 |
440
|
|
432
|
|
|
|
3,780
|
|
|
|
|
|
Building
Materials—1.1% |
|
|
Builders
FirstSource, Inc. 144A 6.375%, 6/15/32(1)(2) |
1,790
|
|
1,753
|
Griffon
Corp. 5.750%, 3/1/28(1) |
1,470
|
|
1,391
|
|
|
|
3,144
|
|
|
|
|
|
Chemicals—0.4%
|
|
|
Chemours
Co. (The) 144A 5.750%, 11/15/28(1)(2) |
1,045
|
|
952
|
Commercial
Services—2.9% |
|
|
ADT
Security Corp. (The) 144A 4.125%, 8/1/29(2) |
1,595
|
|
1,420
|
Avis
Budget Car Rental LLC 144A 5.375%, 3/1/29(2) |
1,595
|
|
1,426
|
Deluxe
Corp. 144A 8.000%, 6/1/29(2) |
1,105
|
|
946
|
Herc
Holdings, Inc. 144A 5.500%, 7/15/27(1)(2) |
1,015
|
|
972
|
Hertz
Corp. (The) 144A 5.000%, 12/1/29(2) |
1,165
|
|
952
|
NESCO
Holdings II, Inc. 144A 5.500%, 4/15/29(2) |
1,470
|
|
1,320
|
United
Rentals North America, Inc. 5.250%, 1/15/30(1) |
1,110
|
|
1,074
|
|
|
|
8,110
|
|
|
|
|
|
See Notes to
Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Computers—0.7%
|
|
|
McAfee
Corp. 144A 7.375%, 2/15/30(2) |
$ 1,085
|
|
$ 901
|
NCR
Corp. 144A 5.125%, 4/15/29(2) |
1,065
|
|
928
|
|
|
|
1,829
|
|
|
|
|
|
Containers
& Packaging—1.8% |
|
|
Berry
Global, Inc. 144A 5.625%, 7/15/27(1)(2) |
1,030
|
|
1,012
|
Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(2) |
880
|
|
888
|
Owens-Brockway
Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) |
1,785
|
|
1,750
|
Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(2) |
1,415
|
|
1,361
|
|
|
|
5,011
|
|
|
|
|
|
Cosmetics
& Personal Care—1.0% |
|
|
Coty,
Inc. 144A 6.500%, 4/15/26(2) |
1,675
|
|
1,651
|
Edgewell
Personal Care Co. 144A 5.500%, 6/1/28(1)(2) |
1,105
|
|
1,047
|
|
|
|
2,698
|
|
|
|
|
|
Diversified
Financial Services—1.5% |
|
|
Nationstar
Mortgage Holdings, Inc. |
|
|
|
144A
5.500%, 8/15/28(1)(2) |
1,080
|
|
944
|
144A
5.750%, 11/15/31(2) |
565
|
|
455
|
Navient
Corp. 6.750%, 6/15/26(1) |
1,375
|
|
1,354
|
OneMain
Finance Corp. 8.250%, 10/1/23(1) |
440
|
|
445
|
PRA
Group, Inc. 144A 8.375%, 2/1/28(2) |
875
|
|
879
|
|
|
|
4,077
|
|
|
|
|
|
Electric
Utilities—0.5% |
|
|
PG&E
Corp. 5.250%, 7/1/30 |
1,455
|
|
1,339
|
Electronic
Equipment, Instruments & Components—0.7% |
|
|
WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) |
1,980
|
|
2,029
|
Electronics—0.6%
|
|
|
Coherent
Corp. 144A 5.000%, 12/15/29(2) |
975
|
|
885
|
Sensata
Technologies B.V. 144A 5.875%, 9/1/30(2) |
880
|
|
864
|
|
|
|
1,749
|
|
|
|
|
|
Entertainment—3.9%
|
|
|
Caesars
Entertainment, Inc. |
|
|
|
144A
8.125%, 7/1/27(1)(2) |
3,025
|
|
3,070
|
144A
7.000%, 2/15/30(2) |
880
|
|
896
|
CDI
Escrow Issuer, Inc. 144A 5.750%, 4/1/30(2) |
1,420
|
|
1,346
|
|
Par
Value |
|
Value
|
|
|
|
|
Entertainment—continued
|
|
|
Lions
Gate Capital Holdings LLC 144A 5.500%, 4/15/29(2) |
$ 2,105
|
|
$ 1,368
|
Live
Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1)(2) |
1,495
|
|
1,503
|
Scientific
Games International, Inc. 144A 7.000%, 5/15/28(1)(2) |
685
|
|
678
|
SeaWorld
Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) |
2,180
|
|
1,970
|
|
|
|
10,831
|
|
|
|
|
|
Environmental
Services—0.7% |
|
|
GFL
Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) |
2,140
|
|
1,931
|
Equity
Real Estate Investment Trusts (REITs)—1.9% |
|
|
Iron
Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) |
2,180
|
|
1,973
|
Park
Intermediate Holdings LLC |
|
|
|
144A
5.875%, 10/1/28(1)(2) |
1,035
|
|
958
|
144A
4.875%, 5/15/29(2) |
1,125
|
|
972
|
Service
Properties Trust 7.500%, 9/15/25(1) |
1,430
|
|
1,406
|
|
|
|
5,309
|
|
|
|
|
|
Food
& Beverage—1.7% |
|
|
Performance
Food Group, Inc. 144A 5.500%, 10/15/27(1)(2) |
2,135
|
|
2,055
|
Post
Holdings, Inc. 144A 5.500%, 12/15/29(1)(2) |
1,535
|
|
1,424
|
Simmons
Foods, Inc. 144A 4.625%, 3/1/29(2) |
1,550
|
|
1,314
|
|
|
|
4,793
|
|
|
|
|
|
Food
Service—0.2% |
|
|
Aramark
Services, Inc. 144A 5.000%, 2/1/28(1)(2) |
680
|
|
641
|
Healthcare-Products—0.4%
|
|
|
Medline
Borrower LP 144A 5.250%, 10/1/29(2) |
1,160
|
|
971
|
Healthcare-Services—1.2%
|
|
|
Select
Medical Corp. 144A 6.250%, 8/15/26(1)(2) |
925
|
|
903
|
Tenet
Healthcare Corp. |
|
|
|
6.125%,
10/1/28(2) |
2,170
|
|
2,029
|
144A
6.125%, 6/15/30(2) |
485
|
|
471
|
|
|
|
3,403
|
|
|
|
|
|
Housewares—0.5%
|
|
|
Newell
Brands, Inc. 6.625%, 9/15/29(1) |
1,270
|
|
1,284
|
Internet—1.9%
|
|
|
Gen
Digital, Inc. 144A 7.125%, 9/30/30(1)(2) |
1,705
|
|
1,731
|
Uber
Technologies, Inc. |
|
|
|
144A
8.000%, 11/1/26(1)(2) |
865
|
|
885
|
See Notes to Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Internet—continued
|
|
|
144A
7.500%, 9/15/27(1)(2) |
$ 1,485
|
|
$ 1,508
|
144A
6.250%, 1/15/28(1)(2) |
1,000
|
|
979
|
|
|
|
5,103
|
|
|
|
|
|
Investment
Companies—0.6% |
|
|
Compass
Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) |
1,970
|
|
1,773
|
Leisure
Time—2.1% |
|
|
Carnival
Corp. 144A 10.500%, 2/1/26(1)(2) |
1,760
|
|
1,841
|
NCL
Corp., Ltd. 144A 8.375%, 2/1/28(2) |
1,320
|
|
1,342
|
Royal
Caribbean Cruises Ltd. |
|
|
|
144A
11.500%, 6/1/25(1)(2) |
425
|
|
456
|
144A
11.625%, 8/15/27(1)(2) |
1,975
|
|
2,096
|
|
|
|
5,735
|
|
|
|
|
|
Lodging—1.5%
|
|
|
Hilton
Domestic Operating Co., Inc. 4.875%, 1/15/30 |
500
|
|
471
|
Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1)(2) |
1,925
|
|
1,722
|
MGM
Resorts International 4.750%, 10/15/28(1) |
1,145
|
|
1,038
|
Travel
+ Leisure Co. 144A 6.625%, 7/31/26(1)(2) |
855
|
|
849
|
|
|
|
4,080
|
|
|
|
|
|
Machinery-Construction
& Mining—0.6% |
|
|
Terex
Corp. 144A 5.000%, 5/15/29(1)(2) |
1,715
|
|
1,601
|
Machinery-Diversified—0.6%
|
|
|
Chart
Industries, Inc. 144A 7.500%, 1/1/30(1)(2) |
1,730
|
|
1,769
|
Media—6.3%
|
|
|
CCO
Holdings LLC |
|
|
|
144A
6.375%, 9/1/29(1)(2) |
1,770
|
|
1,708
|
144A
7.375%, 3/1/31(2) |
2,210
|
|
2,216
|
CSC
Holdings LLC 144A 7.500%, 4/1/28(1)(2) |
1,640
|
|
1,199
|
DirecTV
Financing LLC 144A 5.875%, 8/15/27(1)(2) |
1,670
|
|
1,513
|
DISH
Network Corp. 144A 11.750%, 11/15/27(1)(2) |
2,130
|
|
2,214
|
Gray
Television, Inc. 144A 7.000%, 5/15/27(1)(2) |
1,900
|
|
1,728
|
Nexstar
Media, Inc. 144A 5.625%, 7/15/27(1)(2) |
1,640
|
|
1,562
|
Scripps
Escrow II, Inc. 144A 5.375%, 1/15/31(2) |
1,135
|
|
916
|
Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) |
1,735
|
|
1,544
|
TEGNA,
Inc. 5.000%, 9/15/29 |
1,095
|
|
1,032
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—continued
|
|
|
Virgin
Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) |
$ 2,015
|
|
$ 1,869
|
|
|
|
17,501
|
|
|
|
|
|
Mining—0.6%
|
|
|
Hudbay
Minerals, Inc. 144A 6.125%, 4/1/29(1)(2) |
1,635
|
|
1,510
|
Oil,
Gas & Consumable Fuels—5.1% |
|
|
Antero
Resources Corp. 144A 7.625%, 2/1/29(1)(2) |
1,333
|
|
1,363
|
Callon
Petroleum Co. 144A 8.000%, 8/1/28(1)(2) |
1,325
|
|
1,324
|
CITGO
Petroleum Corp. 144A 6.375%, 6/15/26(2) |
1,725
|
|
1,690
|
CNX
Resources Corp. 144A 7.375%, 1/15/31(1)(2) |
1,715
|
|
1,668
|
Comstock
Resources, Inc. |
|
|
|
144A
6.750%, 3/1/29(2) |
905
|
|
835
|
144A
5.875%, 1/15/30(2) |
545
|
|
467
|
Occidental
Petroleum Corp. 6.625%, 9/1/30 |
1,135
|
|
1,205
|
SM
Energy Co. 6.500%, 7/15/28(1) |
1,725
|
|
1,641
|
Sunoco
LP 4.500%, 4/30/30 |
565
|
|
503
|
USA
Compression Partners LP 6.875%, 9/1/27(1) |
1,750
|
|
1,698
|
Weatherford
International Ltd. 144A 8.625%, 4/30/30(1)(2) |
1,770
|
|
1,787
|
|
|
|
14,181
|
|
|
|
|
|
Paper
& Forest Products—0.5% |
|
|
Mercer
International, Inc. |
|
|
|
5.125%,
2/1/29(1) |
495
|
|
423
|
144A
5.125%, 2/1/29(1)(2) |
1,135
|
|
971
|
|
|
|
1,394
|
|
|
|
|
|
Pharmaceuticals—1.3%
|
|
|
Jazz
Securities DAC 144A 4.375%, 1/15/29(1)(2) |
1,925
|
|
1,756
|
Organon
& Co. 144A 5.125%, 4/30/31(1)(2) |
1,985
|
|
1,792
|
|
|
|
3,548
|
|
|
|
|
|
Pipelines—2.9%
|
|
|
Antero
Midstream Partners LP 144A 5.375%, 6/15/29(2) |
1,090
|
|
1,012
|
Crestwood
Midstream Partners LP 144A 6.000%, 2/1/29(1)(2) |
2,290
|
|
2,172
|
EQM
Midstream Partners LP 144A 7.500%, 6/1/30(1)(2) |
1,835
|
|
1,833
|
NGL
Energy Operating LLC 144A 7.500%, 2/1/26(1)(2) |
1,665
|
|
1,581
|
NuStar
Logistics LP 6.375%, 10/1/30 |
1,400
|
|
1,349
|
|
|
|
7,947
|
|
|
|
|
|
See Notes to
Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Real
Estate—0.5% |
|
|
Kennedy-Wilson,
Inc. 5.000%, 3/1/31 |
$ 1,545
|
|
$
1,260 |
Retail—2.6%
|
|
|
Asbury
Automotive Group, Inc. 144A 4.625%, 11/15/29(2) |
560
|
|
494
|
Bath
& Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) |
2,245
|
|
2,194
|
Macy’s
Retail Holdings LLC |
|
|
|
144A
5.875%, 3/15/30(2) |
525
|
|
479
|
144A
6.125%, 3/15/32(2) |
1,015
|
|
908
|
New
Red Finance, Inc. 144A 4.000%, 10/15/30(1)(2) |
2,140
|
|
1,822
|
Yum!
Brands, Inc. 5.375%, 4/1/32 |
1,265
|
|
1,200
|
|
|
|
7,097
|
|
|
|
|
|
Semiconductors—0.8%
|
|
|
Amkor
Technology, Inc. 144A 6.625%, 9/15/27(1)(2) |
850
|
|
854
|
Entegris
Escrow Corp. 144A 5.950%, 6/15/30(2) |
1,485
|
|
1,426
|
|
|
|
2,280
|
|
|
|
|
|
Software—1.5%
|
|
|
Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(2) |
1,485
|
|
1,307
|
Consensus
Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1)(2) |
1,145
|
|
1,072
|
SS&C
Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) |
1,770
|
|
1,702
|
|
|
|
4,081
|
|
|
|
|
|
Telecommunications—2.2%
|
|
|
CommScope,
Inc. 144A 6.000%, 3/1/26(1)(2) |
765
|
|
733
|
Frontier
Communications Holdings LLC |
|
|
|
144A
5.000%, 5/1/28(1)(2) |
1,010
|
|
918
|
144A
8.750%, 5/15/30(1)(2) |
1,690
|
|
1,751
|
Hughes
Satellite Systems Corp. 6.625%, 8/1/26(1) |
2,010
|
|
1,944
|
Lumen
Technologies, Inc. 144A 5.375%, 6/15/29(2) |
1,220
|
|
845
|
|
|
|
6,191
|
|
|
|
|
|
Transportation—0.4%
|
|
|
Fortress
Transportation & Infrastructure Investors LLC 144A 9.750%, 8/1/27(1)(2) |
1,160
|
|
1,192
|
Total
Corporate Bonds and Notes (Identified Cost $172,247) |
|
164,815
|
|
Shares
|
|
Convertible
Preferred Stocks—11.8% |
Auto
Components—0.5% |
|
Aptiv
plc Series A, 5.500% |
10,775
|
1,358
|
|
Shares
|
|
Value
|
Banks—3.8%
|
|
|
Wells
Fargo & Co. Series L, 7.500% |
8,375
|
|
$
10,536 |
Capital
Markets—0.7% |
|
|
KKR
& Co., Inc. Series C, 6.000% |
27,070
|
|
1,829
|
Commercial
Services & Supplies—0.8% |
|
|
GFL
Environmental, Inc., 6.000% |
30,340
|
|
2,083
|
Diversified
Financial Services—0.7% |
|
|
Chewy,
Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(2) |
1,925
|
|
2,001
|
Electric
Utilities—2.2% |
|
|
NextEra
Energy, Inc. |
|
|
|
5.279%
|
49,355
|
|
2,467
|
6.926%
|
29,530
|
|
1,416
|
PG&E
Corp., 5.500% |
15,220
|
|
2,150
|
|
|
|
6,033
|
|
|
|
|
|
Healthcare
Equipment & Supplies—1.1% |
|
|
Boston
Scientific Corp. Series A, 5.500% |
26,885
|
|
3,068
|
Life
Sciences Tools & Services—0.9% |
|
|
Danaher
Corp. Series B, 5.000% |
1,790
|
|
2,406
|
Telecommunications—1.1%
|
|
|
T-Mobile
U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(2) |
2,640
|
|
3,184
|
Total
Convertible Preferred Stocks (Identified Cost $25,284) |
|
32,498
|
|
|
|
|
|
|
|
|
|
|
Preferred
Stock—0.3% |
Entertainment—0.3%
|
|
|
LiveStyle,
Inc. Series B (3)(4)(5)(6) |
12,300
|
|
925
|
Total
Preferred Stock (Identified Cost $1,206) |
|
925
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks—1.7% |
Banks—1.6%
|
|
|
CCF
Holdings LLC (3)(5) |
6,367,079
|
|
3,884
|
CCF
Holdings LLC Class M(3)(5) |
879,959
|
|
536
|
|
|
|
4,420
|
|
|
|
|
|
Consumer
Finance—0.1% |
|
|
Erickson,
Inc.(3)(5) |
6,354
|
|
227
|
Entertainment—0.0%
|
|
|
LiveStyle,
Inc. (3)(4)(5)(6) |
90,407
|
|
—
(7) |
Total
Common Stocks (Identified Cost $22,668) |
|
4,647
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
|
|
|
|
Warrants—0.2%
|
Banks—0.2%
|
|
|
CCF
Holdings LLC(3)(5) |
1,455,681
|
|
$
553 |
Media—0.0%
|
|
|
Tenerity,
Inc.(3)(5)(6) |
12,009
|
|
—
|
Total
Warrants (Identified Cost $2,371) |
|
553
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—167.8% (Identified Cost $492,978) |
|
463,000 |
|
|
|
|
|
|
|
|
|
|
Short-Term
Investment—7.4% |
Money
Market Mutual Fund—7.4% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(8) |
20,477,785
|
|
20,478
|
Total
Short-Term Investment (Identified Cost $20,478) |
|
20,478
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS—175.2% (Identified Cost $513,456) |
|
$
483,478 |
Other
assets and liabilities, net—(35.7)% |
|
(98,476)
|
Preferred
Shares—(39.5)% |
|
(109,000)
|
NET
ASSETS—100.0% |
|
$
276,002 |
Abbreviations:
|
EV
|
Enterprise
Value |
LLC
|
Limited
Liability Company |
LP
|
Limited
Partnership |
REIT
|
Real
Estate Investment Trust |
Footnote
Legend: |
(1) |
All
or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $161,029. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $195,746 or 70.9% of net assets. |
(3) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) |
For
the period of February 1, 2022 through March 1, 2022, a member of the Fund’s portfolio management team was a member of the board of directors of LiveStyle, Inc. |
(5) |
Non-income
producing. |
(6) |
Security
is restricted from resale. |
(7) |
Amount
is less than $500. |
(8) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country
Weightings (Unaudited)† |
United
States |
91%
|
Bermuda
|
3
|
Canada
|
2
|
United
Kingdom |
2
|
Liberia
|
1
|
Netherlands
|
1
|
Total
|
100%
|
† % of total investments as of January 31, 2023. |
The following table summarizes the value of
the Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Corporate
Bonds and Notes |
$164,815
|
|
$
— |
|
$164,815
|
|
$
— |
Convertible
Bonds and Notes |
259,562
|
|
—
|
|
254,785
|
|
4,777
|
Equity
Securities: |
|
|
|
|
|
|
|
Convertible
Preferred Stocks |
32,498
|
|
27,313
|
|
5,185
|
|
—
|
Common
Stocks |
4,647
|
|
—
|
|
—
|
|
4,647
|
Preferred
Stock |
925
|
|
—
|
|
—
|
|
925
|
Warrants
|
553
|
|
—
|
|
—
|
|
553
(1) |
Money
Market Mutual Fund |
20,478
|
|
20,478
|
|
—
|
|
—
|
Total
Investments |
$483,478
|
|
$47,791
|
|
$424,785
|
|
$10,902
|
(1) |
Includes
internally fair valued securities currently priced at zero ($0). |
There were no transfers into or out of Level
3 related to securities held at January 31, 2023.
Some of the Fund’s investments that
were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
For information regarding the abbreviations, see the Key Investment Terms
starting on page 19.
See Notes to Financial Statements
Convertible & Income
Fund II (NCZ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value.
|
Total
|
|
Common
Stocks |
|
Preferred
Stocks |
|
Warrants
|
|
Corporate
Bonds And Notes |
Investments
in Securities |
|
|
|
|
|
|
|
|
|
Balance
as of January 31, 2022: |
$
6,202 |
|
$ 3,348
|
|
$
2,519(a) |
|
$ 335
(a) |
|
$
— |
Net
realized gain (loss) |
(4,975)
|
|
—
|
|
(4,975)
|
|
—
|
|
—
|
Net
change in unrealized appreciation (depreciation)(b) |
6,281
|
|
1,299
|
|
4,671
|
|
218
|
|
93
|
Purchases
|
4,684
|
|
—
|
|
—
|
|
—
|
|
4,684
|
Sales
(c) |
(1,290)
|
|
—
|
|
(1,290)
|
|
—
|
|
—
|
Balance
as of January 31, 2023 |
$ 10,902
|
|
$ 4,647
|
|
$
925 |
|
$ 553
(a) |
|
$ 4,777
|
(a) Includes internally fair valued security currently priced at zero ($0).
(b) The net change in unrealized appreciation (depreciation) on investments still held at January 31, 2023, was $1,281.
(c) Includes paydowns on securities.
The following table presents additional information
about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at January 31, 2023:
Investments
in Securities – Assets |
|
Ending
Balance at January 31, 2023 |
|
Valuation
Technique Used |
|
Unobservable
Inputs |
|
Input
Values |
Preferred
Stock: |
|
|
|
|
|
|
|
|
LiveStyle,
Inc. Series B |
|
$
925 |
|
Discounted
cash flows liquidation approach |
|
Discount
rate |
|
23.85%
(23.70% - 24.03%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks: |
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$3,884
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC Class M |
|
$
536 |
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
|
|
|
|
|
Erickson,
Inc. |
|
$
227 |
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.35x
(0.73x - 3.06x) |
|
|
|
|
|
|
|
|
14.78x
(12.21x - 18.99x) |
|
|
|
|
|
|
|
|
1.00x
(0.54x - 1.74x) |
|
|
|
|
|
|
M&A
Transaction Multiples |
|
0.96x
(0.41x - 1.96x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
20%
|
|
|
|
|
|
|
|
|
|
LiveStyle,
Inc. |
|
$
—(1) |
|
Discounted
cash flows liquidation approach |
|
Discount
rate |
|
23.85%
(23.70% - 24.03%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants:
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$
553 |
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
Black-Scholes
Model |
|
Volatility
|
|
55.94%
|
|
|
|
|
|
|
|
|
|
(1) Amount is less than $500. |
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—80.2% |
Airlines—1.0%
|
|
|
American
Airlines Group, Inc. 6.500%, 7/1/25 |
$ 1,015
|
|
$ 1,243
|
Southwest
Airlines Co. 1.250%, 5/1/25(1) |
860
|
|
1,031
|
|
|
|
2,274
|
|
|
|
|
|
Auto
Manufacturers—0.3% |
|
|
Lucid
Group, Inc. 144A 1.250%, 12/15/26(2) |
1,060
|
|
686
|
Banks—1.6%
|
|
|
Barclays
Bank plc 0.000%, 2/18/25 |
2,105
|
|
2,248
|
BofA
Finance LLC 0.600%, 5/25/27 |
1,095
|
|
1,231
|
|
|
|
3,479
|
|
|
|
|
|
Biotechnology—5.9%
|
|
|
Alnylam
Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(2) |
1,580
|
|
1,685
|
BioMarin
Pharmaceutical, Inc. 1.250%, 5/15/27 |
2,140
|
|
2,408
|
Cytokinetics,
Inc. 144A 3.500%, 7/1/27(2) |
1,130
|
|
1,236
|
Halozyme
Therapeutics, Inc. |
|
|
|
0.250%,
3/1/27 |
2,590
|
|
2,425
|
144A
1.000%, 8/15/28(2) |
390
|
|
433
|
Insmed,
Inc. |
|
|
|
1.750%,
1/15/25 |
1,275
|
|
1,210
|
0.750%,
6/1/28 |
700
|
|
621
|
Sarepta
Therapeutics, Inc. 144A 1.250%, 9/15/27(2) |
2,595
|
|
2,949
|
|
|
|
12,967
|
|
|
|
|
|
Chemicals—0.5%
|
|
|
Livent
Corp. 4.125%, 7/15/25 |
355
|
|
1,090
|
Commercial
Services—4.6% |
|
|
Block,
Inc. |
|
|
|
0.125%,
3/1/25 |
2,100
|
|
2,131
|
0.250%,
11/1/27 |
540
|
|
433
|
Repay
Holdings Corp. 144A 0.000%, 2/1/26(2) |
2,120
|
|
1,700
|
Shift4
Payments, Inc. |
|
|
|
0.000%,
12/15/25(1) |
1,435
|
|
1,532
|
0.500%,
8/1/27 |
2,490
|
|
2,222
|
Stride,
Inc. 1.125%, 9/1/27(1) |
1,960
|
|
2,047
|
|
|
|
10,065
|
|
|
|
|
|
Computers—3.9%
|
|
|
3D
Systems Corp. 0.000%, 11/15/26 |
1,270
|
|
942
|
CyberArk
Software Ltd. 0.000%, 11/15/24 |
945
|
|
1,039
|
|
Par
Value |
|
Value
|
|
|
|
|
Computers—continued
|
|
|
KBR,
Inc. 2.500%, 11/1/23 |
$ 770
|
|
$ 1,572
|
Lumentum
Holdings, Inc. |
|
|
|
0.500%,
12/15/26 |
275
|
|
250
|
144A
0.500%, 6/15/28(2) |
1,330
|
|
1,068
|
Parsons
Corp. 0.250%, 8/15/25 |
1,065
|
|
1,165
|
Pure
Storage, Inc. 0.125%, 4/15/23(1) |
560
|
|
624
|
Rapid7,
Inc. 0.250%, 3/15/27 |
1,260
|
|
1,033
|
Zscaler,
Inc. 0.125%, 7/1/25(1) |
795
|
|
869
|
|
|
|
8,562
|
|
|
|
|
|
Cosmetics
& Personal Care—0.8% |
|
|
Beauty
Health Co. (The) 144A 1.250%, 10/1/26(2) |
2,100
|
|
1,718
|
Diversified
Financial Services—3.6% |
|
|
Coinbase
Global, Inc. 0.500%, 6/1/26 |
1,525
|
|
1,033
|
Goldman
Sachs Finance Corp. 0.500%, 12/29/27(3) |
3,015
|
|
3,152
|
Hannon
Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 |
1,445
|
|
1,427
|
JPMorgan
Chase Financial Co., LLC 0.500%, 6/15/27 |
1,850
|
|
2,364
|
|
|
|
7,976
|
|
|
|
|
|
Energy-Alternate
Sources—3.1% |
|
|
Enphase
Energy, Inc. |
|
|
|
0.000%,
3/1/26(1) |
1,700
|
|
1,790
|
0.000%,
3/1/28(1) |
300
|
|
323
|
Plug
Power, Inc. 3.750%, 6/1/25 |
195
|
|
662
|
SolarEdge
Technologies, Inc. 0.000%, 9/15/25 |
690
|
|
926
|
Stem,
Inc. 144A 0.500%, 12/1/28(2) |
2,295
|
|
1,543
|
Sunnova
Energy International, Inc. 144A 2.625%, 2/15/28(2) |
1,935
|
|
1,629
|
|
|
|
6,873
|
|
|
|
|
|
Entertainment—3.0%
|
|
|
DraftKings
Holdings, Inc. 0.000%, 3/15/28 |
1,690
|
|
1,149
|
Live
Nation Entertainment, Inc. |
|
|
|
2.000%,
2/15/25(1) |
2,185
|
|
2,250
|
144A
3.125%, 1/15/29(2) |
885
|
|
949
|
Vail
Resorts, Inc. 0.000%, 1/1/26(1) |
2,385
|
|
2,257
|
|
|
|
6,605
|
|
|
|
|
|
Food
& Beverage—0.9% |
|
|
Post
Holdings, Inc. 144A 2.500%, 8/15/27(2) |
1,745
|
|
1,899
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Healthcare-Products—4.1%
|
|
|
CONMED
Corp. 144A 2.250%, 6/15/27(2) |
$ 1,075
|
|
$ 1,023
|
Exact
Sciences Corp. |
|
|
|
0.375%,
3/15/27 |
2,665
|
|
2,512
|
0.375%,
3/1/28 |
250
|
|
223
|
Insulet
Corp. 0.375%, 9/1/26(1) |
1,160
|
|
1,601
|
Natera,
Inc. 2.250%, 5/1/27 |
775
|
|
1,055
|
Novocure
Ltd. 0.000%, 11/1/25 |
1,575
|
|
1,524
|
Repligen
Corp. 0.375%, 7/15/24 |
655
|
|
1,109
|
|
|
|
9,047
|
|
|
|
|
|
Healthcare-Services—0.4%
|
|
|
Elevance
Health, Inc. 2.750%, 10/15/42 |
125
|
|
891
|
Internet—11.7%
|
|
|
Booking
Holdings, Inc. 0.750%, 5/1/25(1) |
1,600
|
|
2,278
|
Etsy,
Inc. 0.250%, 6/15/28(1) |
3,905
|
|
3,512
|
Farfetch
Ltd. 3.750%, 5/1/27 |
900
|
|
788
|
Match
Group Financeco 2, Inc. 144A 0.875%, 6/15/26(2) |
1,225
|
|
1,175
|
Palo
Alto Networks, Inc. |
|
|
|
0.750%,
7/1/23(1) |
1,075
|
|
1,925
|
0.375%,
6/1/25(1) |
1,470
|
|
2,409
|
Perficient,
Inc. 0.125%, 11/15/26 |
1,525
|
|
1,234
|
Snap,
Inc. |
|
|
|
0.750%,
8/1/26 |
1,045
|
|
964
|
144A
0.125%, 3/1/28(2) |
1,920
|
|
1,383
|
TechTarget,
Inc. 0.000%, 12/15/26 |
1,375
|
|
1,095
|
Uber
Technologies, Inc. 0.000%, 12/15/25 |
3,320
|
|
2,918
|
Wayfair,
Inc. |
|
|
|
1.125%,
11/1/24 |
1,985
|
|
1,842
|
1.000%,
8/15/26 |
505
|
|
384
|
144A
3.250%, 9/15/27(2) |
695
|
|
834
|
Zillow
Group, Inc. 2.750%, 5/15/25 |
2,985
|
|
3,058
|
|
|
|
25,799
|
|
|
|
|
|
Leisure
Time—2.7% |
|
|
NCL
Corp., Ltd. 1.125%, 2/15/27(1) |
4,305
|
|
3,282
|
Royal
Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(2) |
890
|
|
1,359
|
Topgolf
Callaway Brands Corp. 2.750%, 5/1/26 |
770
|
|
1,174
|
|
|
|
5,815
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Machinery-Diversified—0.5%
|
|
|
Middleby
Corp. (The) 1.000%, 9/1/25(1) |
$ 800
|
|
$ 1,044
|
Media—5.4%
|
|
|
DISH
Network Corp. 0.000%, 12/15/25(1) |
3,830
|
|
2,526
|
Liberty
Broadband Corp. |
|
|
|
144A
1.250%, 9/30/50(2) |
2,925
|
|
2,819
|
144A
2.750%, 9/30/50(2) |
1,000
|
|
980
|
Liberty
Media Corp. 1.375%, 10/15/23(1) |
1,620
|
|
2,118
|
Liberty
Media Corp.-Liberty Formula One 144A 2.250%, 8/15/27(2) |
2,005
|
|
2,093
|
World
Wrestling Entertainment, Inc. 3.375%, 12/15/23 |
415
|
|
1,408
|
|
|
|
11,944
|
|
|
|
|
|
Mining—1.1%
|
|
|
Lithium
Americas Corp. 1.750%, 1/15/27 |
1,605
|
|
1,382
|
MP
Materials Corp. 144A 0.250%, 4/1/26(1)(2) |
1,070
|
|
1,070
|
|
|
|
2,452
|
|
|
|
|
|
Miscellaneous
Manufacturing—0.8% |
|
|
Axon
Enterprise, Inc. 144A 0.500%, 12/15/27(2) |
1,635
|
|
1,756
|
Oil,
Gas & Consumable Fuels—2.2% |
|
|
EQT
Corp. 1.750%, 5/1/26(1) |
435
|
|
976
|
Northern
Oil & Gas, Inc. 144A 3.625%, 4/15/29(2) |
1,360
|
|
1,543
|
Pioneer
Natural Resources Co. 0.250%, 5/15/25(1) |
990
|
|
2,329
|
|
|
|
4,848
|
|
|
|
|
|
Pharmaceuticals—4.2%
|
|
|
Dexcom,
Inc. 0.250%, 11/15/25(1) |
4,785
|
|
5,038
|
Jazz
Investments I Ltd. 2.000%, 6/15/26(1) |
2,415
|
|
2,835
|
Revance
Therapeutics, Inc. 1.750%, 2/15/27 |
1,100
|
|
1,418
|
|
|
|
9,291
|
|
|
|
|
|
Retail—1.4%
|
|
|
Burlington
Stores, Inc. 2.250%, 4/15/25 |
1,350
|
|
1,672
|
Shake
Shack, Inc. 0.000%, 3/1/28 |
1,765
|
|
1,313
|
|
|
|
2,985
|
|
|
|
|
|
Semiconductors—3.9%
|
|
|
Impinj,
Inc. 1.125%, 5/15/27 |
845
|
|
1,157
|
MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26(1) |
1,065
|
|
1,099
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Semiconductors—continued
|
|
|
Microchip
Technology, Inc. 0.125%, 11/15/24(1) |
$ 1,210
|
|
$
1,342 |
ON
Semiconductor Corp. 0.000%, 5/1/27(1) |
840
|
|
1,260
|
Silicon
Laboratories, Inc. 0.625%, 6/15/25 |
525
|
|
728
|
Wolfspeed,
Inc. |
|
|
|
144A
0.250%, 2/15/28(2) |
2,340
|
|
2,135
|
144A
1.875%, 12/1/29(2) |
850
|
|
825
|
|
|
|
8,546
|
|
|
|
|
|
Software—12.0%
|
|
|
Akamai
Technologies, Inc. 0.125%, 5/1/25 |
1,325
|
|
1,420
|
Bentley
Systems, Inc. 0.125%, 1/15/26 |
2,190
|
|
2,024
|
Bill.com
Holdings, Inc. 0.000%, 4/1/27 |
3,970
|
|
3,184
|
Box,
Inc. 0.000%, 1/15/26 |
810
|
|
1,086
|
Cloudflare,
Inc. 0.000%, 8/15/26 |
3,035
|
|
2,523
|
Confluent,
Inc. 0.000%, 1/15/27 |
1,380
|
|
1,070
|
DigitalOcean
Holdings, Inc. 0.000%, 12/1/26 |
2,165
|
|
1,662
|
Envestnet,
Inc. 144A 2.625%, 12/1/27(2) |
1,510
|
|
1,687
|
Evolent
Health, Inc. 1.500%, 10/15/25 |
1,155
|
|
1,344
|
Five9,
Inc. 0.500%, 6/1/25 |
2,265
|
|
2,139
|
HubSpot,
Inc. 0.375%, 6/1/25 |
505
|
|
698
|
PagerDuty,
Inc. 1.250%, 7/1/25 |
945
|
|
997
|
Splunk,
Inc. |
|
|
|
1.125%,
9/15/25 |
760
|
|
740
|
1.125%,
6/15/27 |
1,770
|
|
1,523
|
Tyler
Technologies, Inc. 0.250%, 3/15/26(1) |
1,785
|
|
1,695
|
Unity
Software, Inc. 0.000%, 11/15/26(1) |
1,185
|
|
914
|
Workiva,
Inc. 1.125%, 8/15/26 |
1,335
|
|
1,681
|
|
|
|
26,387
|
|
|
|
|
|
Transportation—0.6%
|
|
|
Air
Transport Services Group, Inc. 1.125%, 10/15/24 |
1,225
|
|
1,294
|
Total
Convertible Bonds and Notes (Identified Cost $182,553) |
|
176,293
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds and Notes—19.8% |
Aerospace
& Defense—0.6% |
|
|
Bombardier,
Inc. 144A 7.500%, 2/1/29(2) |
340
|
|
340
|
|
Par
Value |
|
Value
|
|
|
|
|
Aerospace
& Defense—continued |
|
|
Spirit
AeroSystems, Inc. 144A 9.375%, 11/30/29(2) |
$ 175
|
|
$ 190
|
TransDigm,
Inc. 5.500%, 11/15/27 |
600
|
|
573
|
Triumph
Group, Inc. |
|
|
|
144A
8.875%, 6/1/24(1)(2) |
143
|
|
145
|
144A
6.250%, 9/15/24(1)(2) |
175
|
|
169
|
|
|
|
1,417
|
|
|
|
|
|
Airlines—0.3%
|
|
|
American
Airlines, Inc. 144A 11.750%, 7/15/25(1)(2) |
300
|
|
334
|
Delta
Air Lines, Inc. 7.375%, 1/15/26(1) |
275
|
|
286
|
|
|
|
620
|
|
|
|
|
|
Auto
Components—0.7% |
|
|
American
Axle & Manufacturing, Inc. 6.500%, 4/1/27(1) |
250
|
|
230
|
Clarios
Global LP 144A 8.500%, 5/15/27(1)(2) |
645
|
|
642
|
Goodyear
Tire & Rubber Co. (The) |
|
|
|
9.500%,
5/31/25 |
250
|
|
258
|
5.250%,
4/30/31(1) |
265
|
|
227
|
5.250%,
7/15/31 |
305
|
|
258
|
|
|
|
1,615
|
|
|
|
|
|
Auto
Manufacturers—0.4% |
|
|
Ford
Motor Co. |
|
|
|
9.625%,
4/22/30(1) |
460
|
|
541
|
7.450%,
7/16/31(1) |
250
|
|
268
|
6.100%,
8/19/32 |
115
|
|
113
|
|
|
|
922
|
|
|
|
|
|
Building
Materials—0.3% |
|
|
Builders
FirstSource, Inc. 144A 6.375%, 6/15/32(2) |
245
|
|
240
|
Griffon
Corp. 5.750%, 3/1/28 |
370
|
|
350
|
|
|
|
590
|
|
|
|
|
|
Chemicals—0.1%
|
|
|
Chemours
Co. (The) 144A 5.750%, 11/15/28(2) |
265
|
|
242
|
Commercial
Services—1.1% |
|
|
ADT
Security Corp. (The) 144A 4.125%, 8/1/29(2) |
400
|
|
356
|
Avis
Budget Car Rental LLC 144A 5.375%, 3/1/29(2) |
420
|
|
376
|
Deluxe
Corp. 144A 8.000%, 6/1/29(1)(2) |
285
|
|
244
|
Herc
Holdings, Inc. 144A 5.500%, 7/15/27(2) |
470
|
|
450
|
Hertz
Corp. (The) 144A 5.000%, 12/1/29(1)(2) |
295
|
|
241
|
NESCO
Holdings II, Inc. 144A 5.500%, 4/15/29(1)(2) |
390
|
|
350
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Commercial
Services—continued |
|
|
United
Rentals North America, Inc. 5.250%, 1/15/30(1) |
$ 310
|
|
$ 300
|
|
|
|
2,317
|
|
|
|
|
|
Computers—0.2%
|
|
|
McAfee
Corp. 144A 7.375%, 2/15/30(2) |
275
|
|
228
|
NCR
Corp. 144A 5.125%, 4/15/29(1)(2) |
330
|
|
288
|
|
|
|
516
|
|
|
|
|
|
Containers
& Packaging—0.6% |
|
|
Berry
Global, Inc. 144A 5.625%, 7/15/27(1)(2) |
270
|
|
265
|
Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(2) |
230
|
|
232
|
Owens-Brockway
Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) |
485
|
|
476
|
Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(1)(2) |
355
|
|
341
|
|
|
|
1,314
|
|
|
|
|
|
Cosmetics
& Personal Care—0.3% |
|
|
Coty,
Inc. 144A 6.500%, 4/15/26(2) |
475
|
|
468
|
Edgewell
Personal Care Co. 144A 5.500%, 6/1/28(1)(2) |
300
|
|
284
|
|
|
|
752
|
|
|
|
|
|
Diversified
Financial Services—0.5% |
|
|
Nationstar
Mortgage Holdings, Inc. |
|
|
|
144A
5.500%, 8/15/28(1)(2) |
290
|
|
253
|
144A
5.750%, 11/15/31(1)(2) |
145
|
|
117
|
Navient
Corp. 6.750%, 6/15/26(1) |
375
|
|
370
|
OneMain
Finance Corp. 8.250%, 10/1/23(1) |
110
|
|
111
|
PRA
Group, Inc. 144A 8.375%, 2/1/28(2) |
225
|
|
226
|
|
|
|
1,077
|
|
|
|
|
|
Electric
Utilities—0.2% |
|
|
PG&E
Corp. 5.250%, 7/1/30 |
375
|
|
345
|
Electronic
Equipment, Instruments & Components—0.2% |
|
|
WESCO
Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) |
500
|
|
512
|
Electronics—0.3%
|
|
|
Coherent
Corp. 144A 5.000%, 12/15/29(2) |
400
|
|
363
|
Sensata
Technologies B.V. 144A 5.875%, 9/1/30(2) |
230
|
|
226
|
|
|
|
589
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Entertainment—1.5%
|
|
|
Caesars
Entertainment, Inc. |
|
|
|
144A
8.125%, 7/1/27(2) |
$ 785
|
|
$ 797
|
144A
4.625%, 10/15/29(2) |
425
|
|
364
|
144A
7.000%, 2/15/30(2) |
230
|
|
234
|
CDI
Escrow Issuer, Inc. 144A 5.750%, 4/1/30(2) |
490
|
|
464
|
Cedar
Fair LP 5.375%, 4/15/27(1) |
240
|
|
232
|
Lions
Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) |
410
|
|
267
|
Live
Nation Entertainment, Inc. 144A 6.500%, 5/15/27(2) |
375
|
|
377
|
Scientific
Games International, Inc. 144A 7.000%, 5/15/28(2) |
180
|
|
178
|
SeaWorld
Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) |
425
|
|
384
|
|
|
|
3,297
|
|
|
|
|
|
Environmental
Services—0.2% |
|
|
GFL
Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) |
545
|
|
492
|
Equity
Real Estate Investment Trusts (REITs)—0.6% |
|
|
Iron
Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) |
425
|
|
385
|
Park
Intermediate Holdings LLC |
|
|
|
144A
5.875%, 10/1/28(2) |
260
|
|
240
|
144A
4.875%, 5/15/29(1)(2) |
290
|
|
251
|
Service
Properties Trust 7.500%, 9/15/25 |
360
|
|
354
|
|
|
|
1,230
|
|
|
|
|
|
Food
& Beverage—0.4% |
|
|
Post
Holdings, Inc. |
|
|
|
144A
5.500%, 12/15/29(2) |
250
|
|
232
|
144A
4.500%, 9/15/31(1)(2) |
300
|
|
259
|
Simmons
Foods, Inc. 144A 4.625%, 3/1/29(1)(2) |
390
|
|
330
|
|
|
|
821
|
|
|
|
|
|
Healthcare-Products—0.1%
|
|
|
Medline
Borrower LP 144A 5.250%, 10/1/29(1)(2) |
305
|
|
255
|
Healthcare-Services—0.4%
|
|
|
Select
Medical Corp. 144A 6.250%, 8/15/26(1)(2) |
245
|
|
239
|
Tenet
Healthcare Corp. |
|
|
|
6.125%,
10/1/28(1)(2) |
550
|
|
514
|
144A
6.125%, 6/15/30(2) |
120
|
|
117
|
|
|
|
870
|
|
|
|
|
|
Housewares—0.2%
|
|
|
Newell
Brands, Inc. 6.625%, 9/15/29 |
340
|
|
344
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Internet—0.6%
|
|
|
Gen
Digital, Inc. 144A 7.125%, 9/30/30(2) |
$ 450
|
|
$ 457
|
Uber
Technologies, Inc. |
|
|
|
144A
8.000%, 11/1/26(1)(2) |
235
|
|
240
|
144A
7.500%, 9/15/27(1)(2) |
370
|
|
376
|
144A
6.250%, 1/15/28(2) |
360
|
|
352
|
|
|
|
1,425
|
|
|
|
|
|
Investment
Companies—0.2% |
|
|
Compass
Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) |
435
|
|
391
|
Leisure
Time—0.8% |
|
|
Carnival
Corp. 144A 10.500%, 2/1/26(1)(2) |
650
|
|
680
|
NCL
Corp., Ltd. 144A 8.375%, 2/1/28(2) |
340
|
|
346
|
Royal
Caribbean Cruises Ltd. |
|
|
|
144A
11.500%, 6/1/25(1)(2) |
105
|
|
113
|
144A
11.625%, 8/15/27(2) |
495
|
|
525
|
|
|
|
1,664
|
|
|
|
|
|
Lodging—0.5%
|
|
|
Hilton
Domestic Operating Co., Inc. |
|
|
|
4.875%,
1/15/30 |
125
|
|
118
|
144A
4.000%, 5/1/31(1)(2) |
225
|
|
195
|
Hilton
Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(2) |
415
|
|
371
|
MGM
Resorts International 4.750%, 10/15/28(1) |
305
|
|
277
|
Travel
+ Leisure Co. 144A 6.625%, 7/31/26(2) |
225
|
|
223
|
|
|
|
1,184
|
|
|
|
|
|
Machinery-Construction
& Mining—0.2% |
|
|
Terex
Corp. 144A 5.000%, 5/15/29(1)(2) |
370
|
|
346
|
Machinery-Diversified—0.2%
|
|
|
Chart
Industries, Inc. 144A 7.500%, 1/1/30(2) |
455
|
|
465
|
Media—2.2%
|
|
|
CCO
Holdings LLC |
|
|
|
144A
6.375%, 9/1/29(2) |
475
|
|
458
|
144A
7.375%, 3/1/31(2) |
575
|
|
576
|
CSC
Holdings LLC 144A 7.500%, 4/1/28(1)(2) |
415
|
|
304
|
DirecTV
Financing LLC 144A 5.875%, 8/15/27(1)(2) |
575
|
|
521
|
DISH
Network Corp. 144A 11.750%, 11/15/27(2) |
555
|
|
577
|
Gray
Television, Inc. |
|
|
|
144A
7.000%, 5/15/27(2) |
450
|
|
409
|
144A
4.750%, 10/15/30(1)(2) |
295
|
|
218
|
Nexstar
Media, Inc. 144A 5.625%, 7/15/27(1)(2) |
445
|
|
424
|
Scripps
Escrow II, Inc. 144A 5.375%, 1/15/31(2) |
300
|
|
242
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—continued
|
|
|
Sirius
XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) |
$ 450
|
|
$ 401
|
TEGNA,
Inc. 5.000%, 9/15/29(1) |
280
|
|
264
|
Virgin
Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) |
395
|
|
366
|
|
|
|
4,760
|
|
|
|
|
|
Mining—0.2%
|
|
|
Hudbay
Minerals, Inc. 144A 6.125%, 4/1/29(2) |
415
|
|
383
|
Oil,
Gas & Consumable Fuels—1.9% |
|
|
Antero
Resources Corp. 144A 7.625%, 2/1/29(2) |
331
|
|
338
|
Callon
Petroleum Co. 144A 8.000%, 8/1/28(2) |
355
|
|
355
|
CITGO
Petroleum Corp. 144A 6.375%, 6/15/26(1)(2) |
445
|
|
436
|
CNX
Resources Corp. |
|
|
|
144A
7.250%, 3/14/27(1)(2) |
255
|
|
254
|
144A
7.375%, 1/15/31(2) |
230
|
|
224
|
Comstock
Resources, Inc. |
|
|
|
144A
6.750%, 3/1/29(1)(2) |
240
|
|
221
|
144A
5.875%, 1/15/30(2) |
285
|
|
244
|
Occidental
Petroleum Corp. 6.625%, 9/1/30 |
220
|
|
234
|
SM
Energy Co. 6.500%, 7/15/28(1) |
530
|
|
504
|
Southwestern
Energy Co. 5.375%, 3/15/30(1) |
235
|
|
219
|
Sunoco
LP |
|
|
|
5.875%,
3/15/28(1) |
260
|
|
255
|
4.500%,
4/30/30 |
145
|
|
129
|
USA
Compression Partners LP 6.875%, 9/1/27(1) |
415
|
|
403
|
Weatherford
International Ltd. 144A 8.625%, 4/30/30(1)(2) |
465
|
|
469
|
|
|
|
4,285
|
|
|
|
|
|
Paper
& Forest Products—0.1% |
|
|
Mercer
International, Inc. 144A 5.125%, 2/1/29(1)(2) |
300
|
|
257
|
Pharmaceuticals—0.4%
|
|
|
Jazz
Securities DAC 144A 4.375%, 1/15/29(1)(2) |
555
|
|
506
|
Organon
& Co. 144A 5.125%, 4/30/31(1)(2) |
520
|
|
470
|
|
|
|
976
|
|
|
|
|
|
Pipelines—0.8%
|
|
|
Antero
Midstream Partners LP 144A 5.375%, 6/15/29(2) |
290
|
|
269
|
Crestwood
Midstream Partners LP 144A 6.000%, 2/1/29(1)(2) |
605
|
|
574
|
EQM
Midstream Partners LP 144A 7.500%, 6/1/30(2) |
455
|
|
455
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Pipelines—continued
|
|
|
NGL
Energy Operating LLC 144A 7.500%, 2/1/26(1)(2) |
$ 290
|
|
$ 275
|
NuStar
Logistics LP 6.375%, 10/1/30(1) |
305
|
|
294
|
|
|
|
1,867
|
|
|
|
|
|
Real
Estate—0.1% |
|
|
Kennedy-Wilson,
Inc. 5.000%, 3/1/31(1) |
395
|
|
322
|
Retail—0.8%
|
|
|
Asbury
Automotive Group, Inc. |
|
|
|
4.750%,
3/1/30(1) |
422
|
|
369
|
144A
4.625%, 11/15/29(2) |
145
|
|
128
|
Bath
& Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) |
590
|
|
577
|
Macy’s
Retail Holdings LLC |
|
|
|
144A
5.875%, 3/15/30(2) |
135
|
|
123
|
144A
6.125%, 3/15/32(2) |
265
|
|
237
|
New
Red Finance, Inc. 144A 4.000%, 10/15/30(2) |
300
|
|
255
|
|
|
|
1,689
|
|
|
|
|
|
Semiconductors—0.3%
|
|
|
Amkor
Technology, Inc. 144A 6.625%, 9/15/27(1)(2) |
225
|
|
226
|
Entegris
Escrow Corp. 144A 5.950%, 6/15/30(2) |
505
|
|
485
|
|
|
|
711
|
|
|
|
|
|
Software—0.4%
|
|
|
Clarivate
Science Holdings Corp. 144A 4.875%, 7/1/29(2) |
300
|
|
264
|
Consensus
Cloud Solutions, Inc. 144A 6.500%, 10/15/28(2) |
295
|
|
276
|
SS&C
Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) |
245
|
|
236
|
|
|
|
776
|
|
|
|
|
|
Telecommunications—0.7%
|
|
|
CommScope,
Inc. 144A 6.000%, 3/1/26(2) |
190
|
|
182
|
Frontier
Communications Holdings LLC |
|
|
|
144A
5.000%, 5/1/28(1)(2) |
265
|
|
241
|
144A
8.750%, 5/15/30(2) |
445
|
|
461
|
Hughes
Satellite Systems Corp. 6.625%, 8/1/26(1) |
400
|
|
387
|
Lumen
Technologies, Inc. 144A 5.375%, 6/15/29(1)(2) |
315
|
|
218
|
|
|
|
1,489
|
|
|
|
|
|
Transportation—0.2%
|
|
|
Fortress
Transportation & Infrastructure Investors LLC |
|
|
|
144A
9.750%, 8/1/27(1)(2) |
350
|
|
360
|
|
Par
Value |
|
Value
|
|
|
|
|
Transportation—continued
|
|
|
144A
5.500%, 5/1/28(1)(2) |
$ 150
|
|
$
132 |
|
|
|
492
|
|
|
|
|
|
Total
Corporate Bonds and Notes (Identified Cost $45,831) |
|
43,619
|
|
Shares
|
|
Convertible
Preferred Stocks—10.1% |
Auto
Components—0.4% |
|
Aptiv
plc Series A, 5.500%(1) |
7,215
|
909
|
Banks—2.3%
|
|
Wells
Fargo & Co. Series L, 7.500% |
4,060
|
5,107
|
Capital
Markets—0.6% |
|
KKR
& Co., Inc. Series C, 6.000%(1) |
18,035
|
1,219
|
Commercial
Services & Supplies—0.7% |
|
GFL
Environmental, Inc., 6.000%(1) |
20,330
|
1,396
|
Diversified
Financial Services—0.6% |
|
Chewy,
Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(2) |
1,285
|
1,336
|
Electric
Utilities—3.0% |
|
NextEra
Energy, Inc. |
|
|
5.279%
(1) |
84,730
|
4,236
|
6.926%
|
19,695
|
944
|
PG&E
Corp., 5.500% |
9,900
|
1,399
|
|
|
6,579
|
|
|
|
|
Healthcare
Equipment & Supplies—0.9% |
|
Boston
Scientific Corp. Series A, 5.500%(1) |
17,965
|
2,050
|
Life
Sciences Tools & Services—0.7% |
|
Danaher
Corp. Series B, 5.000% |
1,195
|
1,606
|
Telecommunications—0.9%
|
|
T-Mobile
U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1)(2) |
1,690
|
2,038
|
Total
Convertible Preferred Stocks (Identified Cost $22,592) |
22,240
|
|
|
|
|
|
|
|
|
Preferred
Stock—0.1% |
Entertainment—0.1%
|
|
LiveStyle,
Inc. Series B (3)(4)(5)(6) |
1,848
|
139
|
Total
Preferred Stock (Identified Cost $181) |
139
|
|
|
|
|
|
|
|
|
Common
Stocks—34.9% |
Air
Freight & Logistics—0.2% |
|
United
Parcel Service, Inc. Class B |
2,920
|
541
|
Automobiles—0.9%
|
|
Tesla,
Inc.(5) |
11,988
|
2,077
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Banks—1.9%
|
|
|
CCF
Holdings LLC (3)(5) |
1,026,972
|
|
$ 626
|
CCF
Holdings LLC Class M(3)(5) |
219,990
|
|
134
|
JPMorgan
Chase & Co. |
12,660
|
|
1,772
|
Wells
Fargo & Co. |
34,255
|
|
1,606
|
|
|
|
4,138
|
|
|
|
|
|
Biotechnology—1.3%
|
|
|
AbbVie,
Inc. |
14,875
|
|
2,198
|
Vertex
Pharmaceuticals, Inc.(5) |
1,955
|
|
631
|
|
|
|
2,829
|
|
|
|
|
|
Capital
Markets—0.9% |
|
|
CME
Group, Inc. Class A |
4,690
|
|
828
|
Moody’s
Corp. |
3,810
|
|
1,230
|
|
|
|
2,058
|
|
|
|
|
|
Chemicals—0.8%
|
|
|
DuPont
de Nemours, Inc. |
15,740
|
|
1,164
|
Sherwin-Williams
Co. (The) |
2,935
|
|
694
|
|
|
|
1,858
|
|
|
|
|
|
Commercial
Services & Supplies—0.6% |
|
|
Waste
Management, Inc.(7) |
8,915
|
|
1,379
|
Communications
Equipment—0.4% |
|
|
Cisco
Systems, Inc. |
16,520
|
|
804
|
Consumer
Finance—0.3% |
|
|
Capital
One Financial Corp. |
4,829
|
|
575
|
Electric
Utilities—1.0% |
|
|
Exelon
Corp. |
51,310
|
|
2,165
|
Electrical
Equipment—0.3% |
|
|
Generac
Holdings, Inc.(5) |
2,070
|
|
249
|
Plug
Power, Inc.(5) |
18,725
|
|
319
|
|
|
|
568
|
|
|
|
|
|
Energy
Equipment & Services—0.7% |
|
|
Schlumberger
Ltd. |
28,550
|
|
1,627
|
Entertainment—0.0%
|
|
|
LiveStyle,
Inc. (3)(4)(5)(6) |
13,574
|
|
—
(8) |
Equity
Real Estate Investment—0.5% |
|
|
American
Tower Corp. |
4,875
|
|
1,089
|
Food
& Staples Retailing—0.7% |
|
|
Costco
Wholesale Corp.(7) |
2,960
|
|
1,513
|
Healthcare
Equipment & Supplies—1.0% |
|
|
Abbott
Laboratories |
7,550
|
|
835
|
Dexcom,
Inc.(5) |
2,680
|
|
287
|
Intuitive
Surgical, Inc.(5)(7) |
4,435
|
|
1,089
|
|
|
|
2,211
|
|
|
|
|
|
|
Shares
|
|
Value
|
|
|
|
|
Healthcare
Providers & Services—0.5% |
|
|
UnitedHealth
Group, Inc. |
2,182
|
|
$ 1,089
|
Hotels,
Restaurants & Leisure—1.7% |
|
|
Booking
Holdings, Inc.(5) |
700
|
|
1,704
|
Chipotle
Mexican Grill, Inc. Class A(5) |
605
|
|
996
|
MGM
Resorts International |
23,125
|
|
958
|
|
|
|
3,658
|
|
|
|
|
|
Insurance—0.5%
|
|
|
Aon
plc Class A |
3,175
|
|
1,012
|
Interactive
Media & Services—2.1% |
|
|
Alphabet,
Inc. Class A(5) |
37,300
|
|
3,687
|
Meta
Platforms, Inc. Class A(5) |
6,135
|
|
914
|
|
|
|
4,601
|
|
|
|
|
|
Internet
& Direct Marketing Retail—1.3% |
|
|
Amazon.com,
Inc.(5) |
26,945
|
|
2,779
|
IT
Services—1.9% |
|
|
Accenture
plc Class A |
5,020
|
|
1,401
|
EPAM
Systems, Inc.(5) |
1,062
|
|
353
|
Mastercard,
Inc. Class A(7) |
6,535
|
|
2,422
|
|
|
|
4,176
|
|
|
|
|
|
Life
Sciences Tools & Services—1.2% |
|
|
IQVIA
Holdings, Inc.(5) |
4,935
|
|
1,132
|
Thermo
Fisher Scientific, Inc.(7) |
2,765
|
|
1,577
|
|
|
|
2,709
|
|
|
|
|
|
Machinery—0.3%
|
|
|
Deere
& Co. |
1,565
|
|
662
|
Multiline
Retail—0.2% |
|
|
Target
Corp. |
2,770
|
|
477
|
Oil,
Gas & Consumable Fuels—1.0% |
|
|
ConocoPhillips
|
8,780
|
|
1,070
|
Devon
Energy Corp. |
18,215
|
|
1,152
|
|
|
|
2,222
|
|
|
|
|
|
Pharmaceuticals—1.2%
|
|
|
Eli
Lilly & Co. |
4,370
|
|
1,504
|
Zoetis,
Inc. Class A |
6,940
|
|
1,148
|
|
|
|
2,652
|
|
|
|
|
|
Road
& Rail—0.8% |
|
|
Union
Pacific Corp. |
9,060
|
|
1,850
|
Semiconductors
& Semiconductor Equipment—2.8% |
|
|
Broadcom,
Inc. |
4,040
|
|
2,363
|
Lam
Research Corp.(7) |
2,035
|
|
1,018
|
Marvell
Technology, Inc. |
10,735
|
|
463
|
Micron
Technology, Inc. |
16,235
|
|
979
|
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Semiconductors
& Semiconductor Equipment—continued |
|
|
NVIDIA
Corp. |
6,255
|
|
$
1,222 |
|
|
|
6,045
|
|
|
|
|
|
Software—4.0%
|
|
|
Adobe,
Inc. (5) |
720
|
|
267
|
Atlassian
Corp. Class A(5) |
2,720
|
|
439
|
Crowdstrike
Holdings, Inc. Class A(5) |
5,615
|
|
595
|
Intuit,
Inc. |
2,970
|
|
1,255
|
Microsoft
Corp. |
17,281
|
|
4,282
|
Salesforce,
Inc.(5) |
2,320
|
|
390
|
ServiceNow,
Inc.(5) |
3,320
|
|
1,511
|
|
|
|
8,739
|
|
|
|
|
|
Specialty
Retail—1.1% |
|
|
Home
Depot, Inc. (The) |
5,100
|
|
1,653
|
TJX
Cos., Inc. (The) |
9,490
|
|
777
|
|
|
|
2,430
|
|
|
|
|
|
Technology
Hardware, Storage & Peripherals—2.2% |
|
|
Apple,
Inc. |
33,805
|
|
4,878
|
Textiles,
Apparel & Luxury Goods—0.6% |
|
|
NIKE,
Inc. Class B |
10,765
|
|
1,371
|
Total
Common Stocks (Identified Cost $90,830) |
|
76,782
|
|
|
|
|
|
|
|
|
|
|
Warrant—0.1%
|
Banks—0.1%
|
|
|
CCF
Holdings LLC(3)(5) |
363,920
|
|
138
|
Total
Warrant (Identified Cost $—) |
|
138
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—145.2% (Identified Cost $341,987) |
|
319,211 |
|
|
|
|
|
|
|
|
|
|
Short-Term
Investment—3.9% |
Money
Market Mutual Fund—3.9% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(9) |
8,687,411
|
|
8,687
|
Total
Short-Term Investment (Identified Cost $8,687) |
|
8,687
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS, BEFORE WRITTEN OPTIONS—149.1% (Identified Cost $350,674) |
|
327,898
|
|
|
Value
|
Written
Options—(0.0)% |
(See
open written options schedule) |
|
|
Total
Written Options (Premiums Received $8) |
$ (4)
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS, NET OF WRITTEN OPTIONS—149.1% (Identified Cost $350,666) |
$
327,894 |
Other
assets and liabilities, net—(49.1)% |
(108,041)
|
NET
ASSETS—100.0% |
$
219,853 |
Abbreviations:
|
EV
|
Enterprise
Value |
LLC
|
Limited
Liability Company |
LP
|
Limited
Partnership |
REIT
|
Real
Estate Investment Trust |
Footnote
Legend: |
(1) |
All
or a portion of the security is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $65,062. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $76,235 or 34.7% of net assets. |
(3) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) |
For
the period of February 1, 2022 through March 1, 2022, a member of the Fund’s former portfolio management team was a member of the board of directors of LiveStyle, Inc. |
(5) |
Non-income
producing. |
(6) |
Security
is restricted from resale. |
(7) |
All
or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $3,762. |
(8) |
Amount
is less than $500. |
(9) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country
Weightings (Unaudited)† |
United
States |
93%
|
Bermuda
|
2
|
United
Kingdom |
2
|
Canada
|
1
|
Liberia
|
1
|
Israel
|
1
|
Total
|
100%
|
† % of total investments, net of written options, as of January 31, 2023. |
Open
written options contracts as of January 31, 2023 were as follows: |
Description
of Options |
Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value
|
Call
Options(2) |
|
|
|
|
|
Costco
Wholesale Corp. |
(7)
|
$
(378) |
$540.00
|
02/17/23
|
$
(1) |
Intuitive
Surgical, Inc. |
(18)
|
(522)
|
290.00
|
02/17/23
|
(—)
(3) |
Lam
Research Corp. |
(10)
|
(655)
|
655.00
|
03/17/23
|
(1)
|
For information regarding the abbreviations, see the Key Investment Terms
starting on page 19.
See Notes to Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
Open
written options contracts as of January 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) |
|
|
|
|
|
Mastercard,
Inc. |
(35)
|
$(1,452)
|
$415.00
|
02/17/23
|
$
(—) (3) |
Thermo
Fisher Scientific, Inc. |
(15)
|
(938)
|
625.00
|
02/17/23
|
(1)
|
Waste
Management, Inc. |
(20)
|
(325)
|
162.50
|
02/17/23
|
(1)
|
Total
Written Options |
|
$
(4) |
Footnote Legend: |
(1) |
Strike
price not reported in thousands. |
(2) |
Exchange-traded
options. |
(3) |
Amount
is less than $500. |
The
following table summarizes the value of the Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Corporate
Bonds and Notes |
$
43,619 |
|
$
— |
|
$
43,619 |
|
$
— |
Convertible
Bonds and Notes |
176,293
|
|
—
|
|
173,141
|
|
3,152
|
Equity
Securities: |
|
|
|
|
|
|
|
Common
Stocks |
76,782
|
|
76,022
|
|
—
|
|
760
|
Convertible
Preferred Stocks |
22,240
|
|
18,866
|
|
3,374
|
|
—
|
Preferred
Stock |
139
|
|
—
|
|
—
|
|
139
|
Warrant
|
138
|
|
—
|
|
—
|
|
138
|
Money
Market Mutual Fund |
8,687
|
|
8,687
|
|
—
|
|
—
|
Total
Assets |
327,898
|
|
103,575
|
|
220,134
|
|
4,189
|
Liabilities:
|
|
|
|
|
|
|
|
Other
Financial Instruments: |
|
|
|
|
|
|
|
Written
Options |
(4)
|
|
(3)
|
|
(1)
|
|
—
|
Total
Investments, Net of Written Options |
$327,894
|
|
$103,572
|
|
$220,133
|
|
$4,189
|
There were no transfers into
or out of Level 3 related to securities held at January 31, 2023.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value
|
Total
|
|
Convertible
Bonds and Notes |
|
Common
Stocks |
|
Preferred
Stocks |
|
Warrants
|
Investments
in Securities |
|
|
|
|
|
|
|
|
|
Balance
as of January 31, 2022: |
$
1,011 |
|
$
— |
|
$ 549
|
|
$
378(a) |
|
$
84 |
Net
realized gain (loss) |
(1,245)
|
|
1
|
|
—
|
|
(1,246)
|
|
—
|
Net
change in unrealized appreciation (depreciation)(b) |
1,528
|
|
62
|
|
211
|
|
1,201
|
|
54
|
Purchases
|
3,131
|
|
3,131
|
|
—
|
|
—
|
|
—
|
Sales
(c) |
(236)
|
|
(42)
|
|
—
|
|
(194)
|
|
—
|
Balance
as of January 31, 2023 |
$
4,189 |
|
$ 3,152
|
|
$ 760
|
|
$
139 |
|
$ 138
|
(a) Includes internally fair valued security currently priced at zero ($0).
(b) The net change in unrealized appreciation (depreciation) on investments still held at January 31, 2023, was $279.
(c) Includes paydowns on securities.
See Notes to
Financial Statements
Diversified Income &
Convertible Fund (ACV)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
The following table presents additional information
about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at January 31, 2023:
Investments
in Securities – Assets |
|
Ending
Balance at January 31, 2023 |
|
Valuation
Technique Used |
|
Unobservable
Inputs |
|
Input
Values |
Preferred
Stocks: |
|
|
|
|
|
|
|
|
LiveStyle,
Inc. Series B |
|
$139
|
|
Discounted
cash flows liquidation approach |
|
Discount
rate |
|
23.85%
(23.70% - 24.03%) |
|
|
|
|
|
|
|
|
|
Common
Stocks: |
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$626
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC Class M |
|
$134
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
|
|
|
|
|
LiveStyle,
Inc. |
|
$
—(1) |
|
Discounted
cash flows liquidation approach |
|
Discount
rate |
|
23.85%
(23.70% - 24.03%) |
|
|
|
|
|
|
|
|
|
Warrant:
|
|
|
|
|
|
|
|
|
CCF
Holdings LLC |
|
$138
|
|
Market
and Company Comparables |
|
EV
Multiples |
|
1.09x
(0.68x - 1.48x) |
|
|
|
|
|
|
|
|
6.72x
(5.50x - 9.08x) |
|
|
|
|
|
|
|
|
0.64x
(0.45x - 0.77x) |
|
|
|
|
|
|
Illiquidity
Discount |
|
25%
|
|
|
|
|
Black-Scholes
Model |
|
Volatility
|
|
55.94%
|
|
|
|
|
|
|
|
|
|
(1) Amount is less than $500. |
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—17.8% |
Airlines—0.2%
|
|
|
American
Airlines Group, Inc. 6.500%, 7/1/25 |
$ 1,450
|
|
$ 1,776
|
Southwest
Airlines Co. 1.250%, 5/1/25 |
1,180
|
|
1,415
|
|
|
|
3,191
|
|
|
|
|
|
Auto
Manufacturers—0.1% |
|
|
Lucid
Group, Inc. 144A 1.250%, 12/15/26(1) |
1,470
|
|
951
|
Banks—0.4%
|
|
|
Barclays
Bank plc 0.000%, 2/18/25 |
2,955
|
|
3,156
|
BofA
Finance LLC 0.600%, 5/25/27 |
1,515
|
|
1,703
|
|
|
|
4,859
|
|
|
|
|
|
Biotechnology—1.4%
|
|
|
Alnylam
Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1) |
2,205
|
|
2,351
|
BioMarin
Pharmaceutical, Inc. 1.250%, 5/15/27 |
2,960
|
|
3,330
|
Bridgebio
Pharma, Inc. 2.250%, 2/1/29 |
1,970
|
|
672
|
Cytokinetics,
Inc. 144A 3.500%, 7/1/27(1) |
1,580
|
|
1,728
|
Halozyme
Therapeutics, Inc. |
|
|
|
0.250%,
3/1/27 |
2,845
|
|
2,664
|
144A
1.000%, 8/15/28(1) |
540
|
|
600
|
Insmed,
Inc. |
|
|
|
1.750%,
1/15/25 |
1,775
|
|
1,684
|
0.750%,
6/1/28 |
980
|
|
870
|
Sarepta
Therapeutics, Inc. 144A 1.250%, 9/15/27(1) |
3,700
|
|
4,205
|
|
|
|
18,104
|
|
|
|
|
|
Chemicals—0.1%
|
|
|
Livent
Corp. 4.125%, 7/15/25 |
505
|
|
1,551
|
Commercial
Services—1.0% |
|
|
Block,
Inc. |
|
|
|
0.125%,
3/1/25 |
2,915
|
|
2,959
|
0.250%,
11/1/27 |
800
|
|
641
|
Repay
Holdings Corp. 144A 0.000%, 2/1/26(1) |
2,960
|
|
2,373
|
Shift4
Payments, Inc. |
|
|
|
0.000%,
12/15/25 |
1,990
|
|
2,124
|
0.500%,
8/1/27 |
3,455
|
|
3,084
|
Stride,
Inc. 1.125%, 9/1/27 |
2,720
|
|
2,841
|
|
|
|
14,022
|
|
|
|
|
|
Computers—0.8%
|
|
|
3D
Systems Corp. 0.000%, 11/15/26 |
1,770
|
|
1,313
|
|
Par
Value |
|
Value
|
|
|
|
|
Computers—continued
|
|
|
CyberArk
Software Ltd. 0.000%, 11/15/24 |
$ 1,310
|
|
$ 1,440
|
KBR,
Inc. 2.500%, 11/1/23 |
1,060
|
|
2,165
|
Lumentum
Holdings, Inc. |
|
|
|
0.500%,
12/15/26 |
385
|
|
349
|
144A
0.500%, 6/15/28(1) |
1,855
|
|
1,490
|
Parsons
Corp. 0.250%, 8/15/25 |
1,465
|
|
1,603
|
Pure
Storage, Inc. 0.125%, 4/15/23 |
130
|
|
145
|
Rapid7,
Inc. 0.250%, 3/15/27 |
1,765
|
|
1,447
|
Zscaler,
Inc. 0.125%, 7/1/25 |
1,115
|
|
1,218
|
|
|
|
11,170
|
|
|
|
|
|
Cosmetics
& Personal Care—0.2% |
|
|
Beauty
Health Co. (The) 144A 1.250%, 10/1/26(1) |
2,965
|
|
2,426
|
Diversified
Financial Services—0.7% |
|
|
Coinbase
Global, Inc. 0.500%, 6/1/26 |
2,115
|
|
1,433
|
Goldman
Sachs Finance Corp. 0.500%, 12/29/27(2) |
4,235
|
|
4,427
|
JPMorgan
Chase Financial Co., LLC 0.500%, 6/15/27 |
2,620
|
|
3,348
|
|
|
|
9,208
|
|
|
|
|
|
Energy-Alternate
Sources—0.7% |
|
|
Enphase
Energy, Inc. |
|
|
|
0.000%,
3/1/26 |
2,365
|
|
2,491
|
0.000%,
3/1/28 |
405
|
|
436
|
Plug
Power, Inc. 3.750%, 6/1/25 |
275
|
|
934
|
SolarEdge
Technologies, Inc. 0.000%, 9/15/25 |
955
|
|
1,282
|
Stem,
Inc. 144A 0.500%, 12/1/28(1) |
3,175
|
|
2,134
|
Sunnova
Energy International, Inc. 144A 2.625%, 2/15/28(1) |
2,705
|
|
2,277
|
|
|
|
9,554
|
|
|
|
|
|
Entertainment—0.7%
|
|
|
DraftKings
Holdings, Inc. 0.000%, 3/15/28 |
2,730
|
|
1,856
|
Live
Nation Entertainment, Inc. |
|
|
|
2.000%,
2/15/25 |
3,005
|
|
3,094
|
144A
3.125%, 1/15/29(1) |
1,225
|
|
1,314
|
Vail
Resorts, Inc. 0.000%, 1/1/26 |
3,310
|
|
3,132
|
|
|
|
9,396
|
|
|
|
|
|
Food
& Beverage—0.2% |
|
|
Post
Holdings, Inc. 144A 2.500%, 8/15/27(1) |
2,410
|
|
2,623
|
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Healthcare-Products—0.9%
|
|
|
CONMED
Corp. 144A 2.250%, 6/15/27(1) |
$ 1,505
|
|
$ 1,432
|
Exact
Sciences Corp. |
|
|
|
0.375%,
3/15/27 |
3,730
|
|
3,516
|
0.375%,
3/1/28 |
350
|
|
312
|
Insulet
Corp. 0.375%, 9/1/26 |
1,605
|
|
2,216
|
Natera,
Inc. 2.250%, 5/1/27 |
1,080
|
|
1,470
|
Novocure
Ltd. 0.000%, 11/1/25 |
2,220
|
|
2,148
|
Repligen
Corp. 0.375%, 7/15/24 |
910
|
|
1,540
|
|
|
|
12,634
|
|
|
|
|
|
Healthcare-Services—0.1%
|
|
|
Elevance
Health, Inc. 2.750%, 10/15/42 |
175
|
|
1,247
|
Internet—2.6%
|
|
|
Booking
Holdings, Inc. 0.750%, 5/1/25 |
2,220
|
|
3,161
|
Etsy,
Inc. |
|
|
|
0.125%,
9/1/27 |
2,790
|
|
2,868
|
0.250%,
6/15/28 |
2,435
|
|
2,190
|
Farfetch
Ltd. 3.750%, 5/1/27 |
1,255
|
|
1,099
|
Match
Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) |
1,695
|
|
1,625
|
Palo
Alto Networks, Inc. |
|
|
|
0.750%,
7/1/23 |
1,520
|
|
2,722
|
0.375%,
6/1/25 |
2,075
|
|
3,401
|
Snap,
Inc. |
|
|
|
0.750%,
8/1/26 |
1,870
|
|
1,724
|
144A
0.125%, 3/1/28(1) |
2,700
|
|
1,945
|
TechTarget,
Inc. 0.000%, 12/15/26 |
1,925
|
|
1,533
|
Uber
Technologies, Inc. 0.000%, 12/15/25 |
4,625
|
|
4,064
|
Wayfair,
Inc. |
|
|
|
1.125%,
11/1/24 |
2,315
|
|
2,149
|
1.000%,
8/15/26 |
700
|
|
532
|
144A
3.250%, 9/15/27(1) |
970
|
|
1,164
|
Zillow
Group, Inc. 2.750%, 5/15/25 |
4,220
|
|
4,323
|
|
|
|
34,500
|
|
|
|
|
|
Leisure
Time—0.6% |
|
|
NCL
Corp., Ltd. 1.125%, 2/15/27 |
5,980
|
|
4,560
|
Royal
Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(1) |
1,240
|
|
1,893
|
Topgolf
Callaway Brands Corp. 2.750%, 5/1/26 |
1,075
|
|
1,638
|
|
|
|
8,091
|
|
|
|
|
|
Machinery-Diversified—0.1%
|
|
|
Middleby
Corp. (The) 1.000%, 9/1/25 |
1,110
|
|
1,448
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—0.9%
|
|
|
DISH
Network Corp. |
|
|
|
0.000%,
12/15/25 |
$ 2,230
|
|
$ 1,471
|
3.375%,
8/15/26 |
2,785
|
|
1,822
|
Liberty
Broadband Corp. 144A 2.750%, 9/30/50(1) |
1,405
|
|
1,377
|
Liberty
Media Corp. 1.375%, 10/15/23 |
2,250
|
|
2,942
|
Liberty
Media Corp.-Liberty Formula One 144A 2.250%, 8/15/27(1) |
2,845
|
|
2,970
|
World
Wrestling Entertainment, Inc. 3.375%, 12/15/23 |
605
|
|
2,053
|
|
|
|
12,635
|
|
|
|
|
|
Mining—0.3%
|
|
|
Lithium
Americas Corp. 1.750%, 1/15/27 |
2,225
|
|
1,916
|
MP
Materials Corp. 144A 0.250%, 4/1/26(1) |
1,565
|
|
1,565
|
|
|
|
3,481
|
|
|
|
|
|
Miscellaneous
Manufacturing—0.2% |
|
|
Axon
Enterprise, Inc. 144A 0.500%, 12/15/27(1) |
2,300
|
|
2,470
|
Oil,
Gas & Consumable Fuels—0.5% |
|
|
EQT
Corp. 1.750%, 5/1/26 |
605
|
|
1,357
|
Northern
Oil & Gas, Inc. 144A 3.625%, 4/15/29(1) |
1,940
|
|
2,201
|
Pioneer
Natural Resources Co. 0.250%, 5/15/25 |
1,360
|
|
3,200
|
|
|
|
6,758
|
|
|
|
|
|
Pharmaceuticals—1.0%
|
|
|
Dexcom,
Inc. 0.250%, 11/15/25 |
6,635
|
|
6,987
|
Jazz
Investments I Ltd. 2.000%, 6/15/26 |
3,375
|
|
3,961
|
Revance
Therapeutics, Inc. 1.750%, 2/15/27 |
1,525
|
|
1,965
|
|
|
|
12,913
|
|
|
|
|
|
Retail—0.3%
|
|
|
Burlington
Stores, Inc. 2.250%, 4/15/25 |
1,890
|
|
2,341
|
Shake
Shack, Inc. 0.000%, 3/1/28 |
2,465
|
|
1,833
|
|
|
|
4,174
|
|
|
|
|
|
Semiconductors—0.7%
|
|
|
MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26 |
1,100
|
|
1,135
|
Microchip
Technology, Inc. 0.125%, 11/15/24 |
1,675
|
|
1,858
|
ON
Semiconductor Corp. 0.000%, 5/1/27 |
1,175
|
|
1,762
|
Silicon
Laboratories, Inc. 0.625%, 6/15/25 |
565
|
|
784
|
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Semiconductors—continued
|
|
|
Wolfspeed,
Inc. |
|
|
|
144A
0.250%, 2/15/28(1) |
$ 3,270
|
|
$
2,984 |
144A
1.875%, 12/1/29(1) |
1,180
|
|
1,146
|
|
|
|
9,669
|
|
|
|
|
|
Software—3.0%
|
|
|
Akamai
Technologies, Inc. 0.125%, 5/1/25 |
1,855
|
|
1,988
|
Alteryx,
Inc. 0.500%, 8/1/24 |
2,170
|
|
2,007
|
Bentley
Systems, Inc. 0.125%, 1/15/26 |
3,080
|
|
2,846
|
Bill.com
Holdings, Inc. 0.000%, 4/1/27 |
5,550
|
|
4,451
|
Box,
Inc. 0.000%, 1/15/26 |
1,125
|
|
1,508
|
Cloudflare,
Inc. 0.000%, 8/15/26 |
4,210
|
|
3,499
|
Confluent,
Inc. 0.000%, 1/15/27 |
1,935
|
|
1,501
|
DigitalOcean
Holdings, Inc. 0.000%, 12/1/26 |
3,010
|
|
2,310
|
Envestnet,
Inc. 144A 2.625%, 12/1/27(1) |
860
|
|
961
|
Evolent
Health, Inc. 1.500%, 10/15/25 |
1,600
|
|
1,862
|
Five9,
Inc. 0.500%, 6/1/25 |
3,170
|
|
2,994
|
HubSpot,
Inc. 0.375%, 6/1/25 |
700
|
|
968
|
Nutanix,
Inc. 0.250%, 10/1/27 |
1,765
|
|
1,532
|
PagerDuty,
Inc. 1.250%, 7/1/25 |
1,315
|
|
1,387
|
Splunk,
Inc. |
|
|
|
1.125%,
9/15/25 |
1,515
|
|
1,476
|
1.125%,
6/15/27 |
2,860
|
|
2,461
|
Tyler
Technologies, Inc. 0.250%, 3/15/26 |
2,495
|
|
2,369
|
Unity
Software, Inc. 0.000%, 11/15/26 |
1,665
|
|
1,284
|
Workiva,
Inc. 1.125%, 8/15/26 |
1,860
|
|
2,342
|
|
|
|
39,746
|
|
|
|
|
|
Transportation—0.1%
|
|
|
Air
Transport Services Group, Inc. 1.125%, 10/15/24 |
1,690
|
|
1,785
|
Total
Convertible Bonds and Notes (Identified Cost $252,545) |
|
238,606
|
|
Shares
|
|
Convertible
Preferred Stocks—2.1% |
Auto
Components—0.1% |
|
Aptiv
plc Series A, 5.500% |
9,985
|
1,258
|
Banks—0.5%
|
|
Wells
Fargo & Co. Series L, 7.500% |
5,650
|
7,108
|
|
Shares
|
|
Value
|
Capital
Markets—0.1% |
|
|
KKR
& Co., Inc. Series C, 6.000% |
25,045
|
|
$
1,692 |
Commercial
Services & Supplies—0.2% |
|
|
GFL
Environmental, Inc., 6.000% |
27,975
|
|
1,921
|
Diversified
Financial Services—0.1% |
|
|
Chewy,
Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) |
1,780
|
|
1,850
|
Electric
Utilities—0.5% |
|
|
NextEra
Energy, Inc. |
|
|
|
5.279%
|
66,795
|
|
3,339
|
6.926%
|
27,325
|
|
1,310
|
PG&E
Corp., 5.500% |
13,995
|
|
1,977
|
|
|
|
6,626
|
|
|
|
|
|
Healthcare
Equipment & Supplies—0.2% |
|
|
Boston
Scientific Corp. Series A, 5.500% |
24,910
|
|
2,843
|
Life
Sciences Tools & Services—0.2% |
|
|
Danaher
Corp. Series B, 5.000% |
1,650
|
|
2,217
|
Telecommunications—0.2%
|
|
|
T-Mobile
U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) |
2,425
|
|
2,925
|
Total
Convertible Preferred Stocks (Identified Cost $28,533) |
|
28,440
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks—76.8% |
Air
Freight & Logistics—0.8% |
|
|
United
Parcel Service, Inc. Class B |
55,497
|
|
10,280
|
Automobiles—0.5%
|
|
|
Ferrari
N.V. |
24,357
|
|
6,121
|
Banks—7.2%
|
|
|
Bank
of America Corp. |
889,735
|
|
31,568
|
First
Republic Bank |
85,309
|
|
12,018
|
JPMorgan
Chase & Co.(3) |
297,969
|
|
41,704
|
Truist
Financial Corp. |
223,088
|
|
11,018
|
|
|
|
96,308
|
|
|
|
|
|
Building
Products—1.0% |
|
|
Lennox
International, Inc. |
52,914
|
|
13,790
|
Capital
Markets—3.8% |
|
|
Intercontinental
Exchange, Inc. |
104,716
|
|
11,263
|
MarketAxess
Holdings, Inc. |
42,573
|
|
15,490
|
Morgan
Stanley |
127,824
|
|
12,441
|
MSCI,
Inc. Class A |
23,256
|
|
12,362
|
|
|
|
51,556
|
|
|
|
|
|
Chemicals—2.7%
|
|
|
Air
Products & Chemicals, Inc. |
43,013
|
|
13,786
|
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Chemicals—continued
|
|
|
Celanese
Corp. |
184,807
|
|
$ 22,768
|
|
|
|
36,554
|
|
|
|
|
|
Consumer
Finance—0.9% |
|
|
Capital
One Financial Corp. |
105,528
|
|
12,558
|
Containers
& Packaging—0.8% |
|
|
Ball
Corp. |
186,336
|
|
10,852
|
Distributors—0.8%
|
|
|
Pool
Corp. |
29,192
|
|
11,257
|
Diversified
Telecommunication Services—0.8% |
|
|
Verizon
Communications, Inc. |
242,552
|
|
10,083
|
Electrical
Equipment—0.9% |
|
|
AMETEK,
Inc. |
86,021
|
|
12,466
|
Equity
Real Estate Investment—5.0% |
|
|
Alexandria
Real Estate Equities, Inc. |
73,336
|
|
11,788
|
American
Tower Corp. |
47,808
|
|
10,680
|
Digital
Realty Trust, Inc. |
196,473
|
|
22,520
|
Medical
Properties Trust, Inc. |
862,872
|
|
11,174
|
Sun
Communities, Inc. |
69,734
|
|
10,938
|
|
|
|
67,100
|
|
|
|
|
|
Food
& Staples Retailing—1.2% |
|
|
Costco
Wholesale Corp. |
10,226
|
|
5,227
|
Walmart,
Inc. |
80,239
|
|
11,544
|
|
|
|
16,771
|
|
|
|
|
|
Healthcare
Equipment & Supplies—3.8% |
|
|
IDEXX
Laboratories, Inc.(4) |
26,879
|
|
12,915
|
Medtronic
plc |
116,256
|
|
9,729
|
Stryker
Corp. |
36,880
|
|
9,361
|
Teleflex,
Inc. |
76,366
|
|
18,589
|
|
|
|
50,594
|
|
|
|
|
|
Healthcare
Technology—0.8% |
|
|
Veeva
Systems, Inc. Class A(4) |
59,238
|
|
10,103
|
Hotels,
Restaurants & Leisure—1.9% |
|
|
Domino’s
Pizza, Inc. |
29,658
|
|
10,469
|
Starbucks
Corp. |
137,088
|
|
14,962
|
|
|
|
25,431
|
|
|
|
|
|
Household
Durables—1.0% |
|
|
DR
Horton, Inc. |
134,978
|
|
13,321
|
Industrial
Conglomerates—0.7% |
|
|
Honeywell
International, Inc. |
41,788
|
|
8,712
|
Insurance—0.8%
|
|
|
Willis
Towers Watson plc |
44,320
|
|
11,266
|
|
Shares
|
|
Value
|
|
|
|
|
Interactive
Media & Services—2.9% |
|
|
Alphabet,
Inc. Class A(4) |
102,760
|
|
$ 10,157
|
Alphabet,
Inc. Class C(4) |
87,540
|
|
8,742
|
Meta
Platforms, Inc. Class A(4) |
134,906
|
|
20,097
|
|
|
|
38,996
|
|
|
|
|
|
Internet
& Direct Marketing Retail—0.9% |
|
|
Amazon.com,
Inc.(3)(4) |
115,712
|
|
11,933
|
IT
Services—0.9% |
|
|
Visa,
Inc. Class A |
51,287
|
|
11,807
|
Life
Sciences Tools & Services—2.6% |
|
|
Danaher
Corp. |
38,458
|
|
10,168
|
Thermo
Fisher Scientific, Inc.(3) |
18,977
|
|
10,823
|
West
Pharmaceutical Services, Inc. |
51,920
|
|
13,790
|
|
|
|
34,781
|
|
|
|
|
|
Machinery—3.0%
|
|
|
Cummins,
Inc. |
36,549
|
|
9,120
|
Stanley
Black & Decker, Inc. |
248,127
|
|
22,160
|
Toro
Co. (The) |
83,427
|
|
9,304
|
|
|
|
40,584
|
|
|
|
|
|
Metals
& Mining—1.1% |
|
|
Kinross
Gold Corp. |
3,038,664
|
|
14,099
|
Oil,
Gas & Consumable Fuels—1.0% |
|
|
Phillips
66 |
133,368
|
|
13,373
|
Personal
Products—0.9% |
|
|
Estee
Lauder Cos., Inc. (The) Class A |
44,802
|
|
12,414
|
Pharmaceuticals—2.4%
|
|
|
Zoetis,
Inc. Class A |
198,049
|
|
32,775
|
Professional
Services—1.7% |
|
|
TransUnion
|
317,332
|
|
22,769
|
Road
& Rail—0.8% |
|
|
Norfolk
Southern Corp. |
44,249
|
|
10,877
|
Semiconductors
& Semiconductor Equipment—5.9% |
|
|
Advanced
Micro Devices, Inc.(4) |
111,060
|
|
8,346
|
Broadcom,
Inc. |
17,502
|
|
10,239
|
Lam
Research Corp. |
44,825
|
|
22,417
|
NVIDIA
Corp. |
79,940
|
|
15,618
|
Taiwan
Semiconductor Manufacturing Co., Ltd. Sponsored ADR |
124,218
|
|
11,519
|
Texas
Instruments, Inc. |
65,470
|
|
11,602
|
|
|
|
79,741
|
|
|
|
|
|
Software—7.9%
|
|
|
Adobe,
Inc. (4) |
121,678
|
|
45,062
|
Intuit,
Inc. |
25,618
|
|
10,828
|
Microsoft
Corp.(3) |
156,910
|
|
38,884
|
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Software—continued
|
|
|
ServiceNow,
Inc.(4) |
26,223
|
|
$
11,935 |
|
|
|
106,709
|
|
|
|
|
|
Specialty
Retail—4.2% |
|
|
Best
Buy Co., Inc. |
143,033
|
|
12,690
|
Home
Depot, Inc. (The)(3) |
104,852
|
|
33,990
|
Ross
Stores, Inc. |
82,859
|
|
9,793
|
|
|
|
56,473
|
|
|
|
|
|
Technology
Hardware, Storage & Peripherals—2.8% |
|
|
Apple,
Inc.(3) |
264,633
|
|
38,184
|
Textiles,
Apparel & Luxury Goods—1.6% |
|
|
Lululemon
Athletica, Inc.(4) |
33,987
|
|
10,430
|
NIKE,
Inc. Class B(3) |
92,072
|
|
11,724
|
|
|
|
22,154
|
|
|
|
|
|
Water
Utilities—0.8% |
|
|
American
Water Works Co., Inc. |
67,451
|
|
10,555
|
Total
Common Stocks (Identified Cost $944,771) |
|
1,033,347
|
|
|
|
|
|
|
|
|
|
|
Warrant—0.0%
|
Oil,
Gas & Consumable Fuels—0.0% |
|
|
Nabors
Industries Ltd.(4) |
876
|
|
27
|
Total
Warrant (Identified Cost $—) |
|
27
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—96.7% (Identified Cost $1,225,849) |
|
1,300,420
|
|
|
|
|
|
|
|
|
|
|
Short-Term
Investment—2.8% |
Money
Market Mutual Fund—2.8% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(5) |
38,405,405
|
|
38,405
|
Total
Short-Term Investment (Identified Cost $38,405) |
|
38,405
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS, BEFORE WRITTEN OPTIONS—99.5% (Identified Cost $1,264,254) |
|
1,338,825
|
|
|
Value
|
Written
Options—(0.1)% |
(See
open written options schedule) |
|
|
Total
Written Options (Premiums Received $856) |
$
(1,791) |
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS, NET OF WRITTEN OPTIONS—99.4% (Identified Cost $1,263,398) |
$1,337,034
|
Other
assets and liabilities, net—0.6% |
8,277
|
NET
ASSETS—100.0% |
$1,345,311
|
Abbreviations:
|
ADR
|
American
Depositary Receipt |
LLC
|
Limited
Liability Company |
MSCI
|
Morgan
Stanley Capital International |
Footnote
Legend: |
(1) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $52,980 or 3.9% of net assets. |
(2) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(3) |
All
or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $59,755. |
(4) |
Non-income
producing. |
(5) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country
Weightings (Unaudited)† |
United
States |
94%
|
Canada
|
2
|
Ireland
|
2
|
Taiwan
|
1
|
Bermuda
|
1
|
Total
|
100%
|
† % of total investments, net of written options, as of January 31, 2023. |
Open
written options contracts as of January 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. |
(182)
|
$
(6,916) |
$380.00
|
02/17/23
|
$
(126) |
Adobe,
Inc. |
(182)
|
(7,189)
|
395.00
|
02/17/23
|
(48)
|
Advanced
Micro Devices, Inc. |
(333)
|
(2,664)
|
80.00
|
02/17/23
|
(69)
|
Alphabet,
Inc. |
(262)
|
(2,751)
|
105.00
|
02/17/23
|
(48)
|
Alphabet,
Inc. |
(308)
|
(3,388)
|
110.00
|
02/17/23
|
(19)
|
Amazon.com,
Inc. |
(115)
|
(1,208)
|
105.00
|
02/17/23
|
(51)
|
Amazon.com,
Inc. |
(231)
|
(2,541)
|
110.00
|
02/17/23
|
(60)
|
For information regarding the abbreviations, see the Key Investment Terms
starting on page 19.
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
Open
written options contracts as of January 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) |
|
|
|
|
|
American
Water Works Co., Inc. |
(236)
|
$
(3,894) |
$165.00
|
02/17/23
|
$
(15) |
Apple,
Inc. |
(396)
|
(5,940)
|
150.00
|
02/17/23
|
(88)
|
Apple,
Inc. |
(529)
|
(8,200)
|
155.00
|
02/17/23
|
(52)
|
Best
Buy Co., Inc. |
(429)
|
(3,968)
|
92.50
|
02/17/23
|
(34)
|
Broadcom,
Inc. |
(52)
|
(3,172)
|
610.00
|
02/17/23
|
(26)
|
Celanese
Corp. |
(554)
|
(7,479)
|
135.00
|
02/17/23
|
(31)
|
Costco
Wholesale Corp. |
(30)
|
(1,560)
|
520.00
|
02/17/23
|
(19)
|
Cummins,
Inc. |
(127)
|
(3,302)
|
260.00
|
02/17/23
|
(29)
|
Danaher
Corp. |
(96)
|
(2,880)
|
300.00
|
02/17/23
|
(1)
|
Digital
Realty Trust, Inc. |
(196)
|
(2,254)
|
115.00
|
02/17/23
|
(67)
|
Digital
Realty Trust, Inc. |
(491)
|
(5,892)
|
120.00
|
02/17/23
|
(47)
|
DR
Horton, Inc. |
(404)
|
(4,242)
|
105.00
|
02/17/23
|
(20)
|
Home
Depot, Inc. (The) |
(209)
|
(7,211)
|
345.00
|
02/17/23
|
(24)
|
Home
Depot, Inc. (The) |
(209)
|
(7,420)
|
355.00
|
02/17/23
|
(8)
|
Intuit,
Inc. |
(76)
|
(3,344)
|
440.00
|
02/17/23
|
(54)
|
JPMorgan
Chase & Co. |
(744)
|
(10,788)
|
145.00
|
02/17/23
|
(57)
|
JPMorgan
Chase & Co. |
(297)
|
(4,604)
|
155.00
|
03/17/23
|
(7)
|
Lam
Research Corp. |
(67)
|
(3,618)
|
540.00
|
02/17/23
|
(29)
|
Lam
Research Corp. |
(67)
|
(3,518)
|
525.00
|
02/17/23
|
(47)
|
Lululemon
Athletica, Inc. |
(51)
|
(1,785)
|
350.00
|
02/17/23
|
(2)
|
Medtronic
plc |
(348)
|
(3,045)
|
87.50
|
02/17/23
|
(14)
|
Meta
Platforms, Inc. |
(404)
|
(6,666)
|
165.00
|
02/17/23
|
(146)
|
Microsoft
Corp. |
(156)
|
(4,134)
|
265.00
|
02/17/23
|
(12)
|
Microsoft
Corp. |
(313)
|
(8,608)
|
275.00
|
02/17/23
|
(6)
|
Microsoft
Corp. |
(156)
|
(4,368)
|
280.00
|
03/17/23
|
(11)
|
Morgan
Stanley |
(447)
|
(4,694)
|
105.00
|
02/17/23
|
(5)
|
NIKE,
Inc. |
(276)
|
(3,864)
|
140.00
|
02/17/23
|
(5)
|
Norfolk
Southern Corp. |
(128)
|
(3,456)
|
270.00
|
02/17/23
|
(2)
|
NVIDIA
Corp. |
(79)
|
(1,580)
|
200.00
|
02/17/23
|
(56)
|
NVIDIA
Corp. |
(199)
|
(4,179)
|
210.00
|
02/17/23
|
(72)
|
Ross
Stores, Inc. |
(248)
|
(3,100)
|
125.00
|
02/17/23
|
(16)
|
ServiceNow,
Inc. |
(26)
|
(1,274)
|
490.00
|
02/17/23
|
(12)
|
ServiceNow,
Inc. |
(52)
|
(2,652)
|
510.00
|
02/17/23
|
(9)
|
Stanley
Black & Decker, Inc. |
(124)
|
(1,116)
|
90.00
|
02/17/23
|
(41)
|
Stanley
Black & Decker, Inc. |
(496)
|
(4,712)
|
95.00
|
02/17/23
|
(70)
|
Starbucks
Corp. |
(479)
|
(5,509)
|
115.00
|
02/17/23
|
(53)
|
Taiwan
Semiconductor Manufacturing Co. Ltd. |
(186)
|
(1,860)
|
100.00
|
02/17/23
|
(8)
|
Taiwan
Semiconductor Manufacturing Co. Ltd. |
(186)
|
(1,953)
|
105.00
|
02/17/23
|
(2)
|
Texas
Instruments, Inc. |
(196)
|
(3,822)
|
195.00
|
02/17/23
|
(4)
|
Thermo
Fisher Scientific, Inc. |
(56)
|
(3,640)
|
650.00
|
02/17/23
|
(2)
|
TransUnion
|
(950)
|
(7,125)
|
75.00
|
02/17/23
|
(121)
|
United
Parcel Service, Inc. |
(166)
|
(3,320)
|
200.00
|
02/17/23
|
(4)
|
Veeva
Systems, Inc. |
(148)
|
(2,738)
|
185.00
|
02/17/23
|
(14)
|
Visa,
Inc. |
(153)
|
(3,749)
|
245.00
|
02/17/23
|
(4)
|
Walmart,
Inc. |
(240)
|
(3,600)
|
150.00
|
02/17/23
|
(9)
|
Zoetis,
Inc. |
(495)
|
(9,405)
|
190.00
|
02/17/23
|
(15)
|
Total
Written Options |
|
$(1,791)
|
Footnote Legend: |
(1) |
Strike
price not reported in thousands. |
(2) |
Exchange-traded
options. |
See Notes to Financial Statements
Dividend, Interest &
Premium Strategy Fund (NFJ)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Convertible
Bonds and Notes |
$
238,606 |
|
$
— |
|
$234,179
|
|
$4,427
|
Equity
Securities: |
|
|
|
|
|
|
|
Common
Stocks |
1,033,347
|
|
1,033,347
|
|
—
|
|
—
|
Convertible
Preferred Stocks |
28,440
|
|
23,665
|
|
4,775
|
|
—
|
Warrant
|
27
|
|
27
|
|
—
|
|
—
|
Money
Market Mutual Fund |
38,405
|
|
38,405
|
|
—
|
|
—
|
Total
Assets |
1,338,825
|
|
1,095,444
|
|
238,954
|
|
4,427
|
Liabilities:
|
|
|
|
|
|
|
|
Other
Financial Instruments: |
|
|
|
|
|
|
|
Written
Options |
(1,791)
|
|
(1,637)
|
|
(154)
|
|
—
|
Total
Investments, Net of Written Options |
$1,337,034
|
|
$1,093,807
|
|
$238,800
|
|
$4,427
|
There were no transfers into
or out of Level 3 related to securities held at January 31, 2023.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3
securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended January 31, 2023.
See Notes to
Financial Statements
Equity & Convertible
Income Fund (NIE)
SCHEDULE OF INVESTMENTS January 31, 2023
($ reported in thousands)
|
Par
Value |
|
Value
|
Convertible
Bonds and Notes—32.3% |
Airlines—0.4%
|
|
|
American
Airlines Group, Inc. 6.500%, 7/1/25 |
$ 1,190
|
|
$ 1,458
|
Southwest
Airlines Co. 1.250%, 5/1/25 |
945
|
|
1,133
|
|
|
|
2,591
|
|
|
|
|
|
Auto
Manufacturers—0.1% |
|
|
Lucid
Group, Inc. 144A 1.250%, 12/15/26(1) |
1,205
|
|
779
|
Banks—0.7%
|
|
|
Barclays
Bank plc 0.000%, 2/18/25 |
2,645
|
|
2,825
|
BofA
Finance LLC 0.600%, 5/25/27 |
1,240
|
|
1,394
|
|
|
|
4,219
|
|
|
|
|
|
Biotechnology—2.4%
|
|
|
Alnylam
Pharmaceuticals, Inc. 144A 1.000%, 9/15/27(1) |
1,970
|
|
2,101
|
BioMarin
Pharmaceutical, Inc. 1.250%, 5/15/27 |
2,420
|
|
2,723
|
Cytokinetics,
Inc. 144A 3.500%, 7/1/27(1) |
1,405
|
|
1,537
|
Halozyme
Therapeutics, Inc. |
|
|
|
0.250%,
3/1/27 |
2,330
|
|
2,181
|
144A
1.000%, 8/15/28(1) |
445
|
|
494
|
Insmed,
Inc. |
|
|
|
1.750%,
1/15/25 |
1,585
|
|
1,504
|
0.750%,
6/1/28 |
805
|
|
714
|
Sarepta
Therapeutics, Inc. 144A 1.250%, 9/15/27(1) |
3,015
|
|
3,427
|
|
|
|
14,681
|
|
|
|
|
|
Chemicals—0.2%
|
|
|
Livent
Corp. 4.125%, 7/15/25 |
410
|
|
1,260
|
Commercial
Services—2.0% |
|
|
Block,
Inc. 0.125%, 3/1/25 |
3,690
|
|
3,745
|
Repay
Holdings Corp. 144A 0.000%, 2/1/26(1) |
2,650
|
|
2,125
|
Shift4
Payments, Inc. |
|
|
|
0.000%,
12/15/25 |
1,630
|
|
1,740
|
0.500%,
8/1/27 |
2,825
|
|
2,521
|
Stride,
Inc. 1.125%, 9/1/27 |
2,220
|
|
2,319
|
|
|
|
12,450
|
|
|
|
|
|
Computers—1.5%
|
|
|
3D
Systems Corp. 0.000%, 11/15/26 |
1,580
|
|
1,172
|
CyberArk
Software Ltd. 0.000%, 11/15/24 |
1,070
|
|
1,176
|
KBR,
Inc. 2.500%, 11/1/23 |
870
|
|
1,777
|
|
Par
Value |
|
Value
|
|
|
|
|
Computers—continued
|
|
|
Lumentum
Holdings, Inc. |
|
|
|
0.500%,
12/15/26 |
$ 345
|
|
$ 313
|
144A
0.500%, 6/15/28(1) |
1,660
|
|
1,333
|
Parsons
Corp. 0.250%, 8/15/25 |
1,190
|
|
1,302
|
Pure
Storage, Inc. 0.125%, 4/15/23 |
115
|
|
128
|
Rapid7,
Inc. 0.250%, 3/15/27 |
1,585
|
|
1,300
|
Zscaler,
Inc. 0.125%, 7/1/25 |
995
|
|
1,087
|
|
|
|
9,588
|
|
|
|
|
|
Cosmetics
& Personal Care—0.3% |
|
|
Beauty
Health Co. (The) 144A 1.250%, 10/1/26(1) |
2,595
|
|
2,123
|
Diversified
Financial Services—1.2% |
|
|
Coinbase
Global, Inc. 0.500%, 6/1/26 |
1,770
|
|
1,199
|
Goldman
Sachs Finance Corp. 0.500%, 12/29/27(2) |
3,445
|
|
3,601
|
JPMorgan
Chase Financial Co., LLC 0.500%, 6/15/27 |
2,135
|
|
2,729
|
|
|
|
7,529
|
|
|
|
|
|
Energy-Alternate
Sources—1.3% |
|
|
Enphase
Energy, Inc. |
|
|
|
0.000%,
3/1/26 |
1,935
|
|
2,038
|
0.000%,
3/1/28 |
335
|
|
360
|
Plug
Power, Inc. 3.750%, 6/1/25 |
245
|
|
832
|
SolarEdge
Technologies, Inc. 0.000%, 9/15/25 |
785
|
|
1,054
|
Stem,
Inc. 144A 0.500%, 12/1/28(1) |
2,675
|
|
1,798
|
Sunnova
Energy International, Inc. 144A 2.625%, 2/15/28(1) |
2,415
|
|
2,033
|
|
|
|
8,115
|
|
|
|
|
|
Entertainment—1.2%
|
|
|
DraftKings
Holdings, Inc. 0.000%, 3/15/28 |
2,390
|
|
1,625
|
Live
Nation Entertainment, Inc. |
|
|
|
2.000%,
2/15/25 |
2,450
|
|
2,522
|
144A
3.125%, 1/15/29(1) |
990
|
|
1,062
|
Vail
Resorts, Inc. 0.000%, 1/1/26 |
2,720
|
|
2,574
|
|
|
|
7,783
|
|
|
|
|
|
Food
& Beverage—0.3% |
|
|
Post
Holdings, Inc. 144A 2.500%, 8/15/27(1) |
1,965
|
|
2,139
|
Healthcare-Products—1.7%
|
|
|
CONMED
Corp. 144A 2.250%, 6/15/27(1) |
1,220
|
|
1,161
|
See Notes to Financial Statements
Equity & Convertible
Income Fund (NIE)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Healthcare-Products—continued
|
|
|
Exact
Sciences Corp. |
|
|
|
0.375%,
3/15/27 |
$ 3,030
|
|
$ 2,856
|
0.375%,
3/1/28 |
285
|
|
254
|
Insulet
Corp. 0.375%, 9/1/26 |
1,310
|
|
1,809
|
Natera,
Inc. 2.250%, 5/1/27 |
880
|
|
1,198
|
Novocure
Ltd. 0.000%, 11/1/25 |
1,810
|
|
1,751
|
Repligen
Corp. 0.375%, 7/15/24 |
745
|
|
1,261
|
|
|
|
10,290
|
|
|
|
|
|
Healthcare-Services—0.2%
|
|
|
Elevance
Health, Inc. 2.750%, 10/15/42 |
145
|
|
1,033
|
Internet—5.0%
|
|
|
Booking
Holdings, Inc. 0.750%, 5/1/25 |
1,815
|
|
2,584
|
Etsy,
Inc. |
|
|
|
0.125%,
9/1/27 |
2,115
|
|
2,174
|
0.250%,
6/15/28 |
2,500
|
|
2,249
|
Farfetch
Ltd. 3.750%, 5/1/27 |
1,120
|
|
981
|
Match
Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) |
1,450
|
|
1,390
|
Palo
Alto Networks, Inc. |
|
|
|
0.750%,
7/1/23 |
1,235
|
|
2,212
|
0.375%,
6/1/25 |
1,690
|
|
2,770
|
Perficient,
Inc. 0.125%, 11/15/26 |
1,730
|
|
1,400
|
Snap,
Inc. 0.750%, 8/1/26 |
3,630
|
|
3,347
|
TechTarget,
Inc. 0.000%, 12/15/26 |
1,725
|
|
1,373
|
Uber
Technologies, Inc. 0.000%, 12/15/25 |
4,135
|
|
3,634
|
Wayfair,
Inc. |
|
|
|
1.125%,
11/1/24 |
2,045
|
|
1,898
|
1.000%,
8/15/26 |
570
|
|
433
|
144A
3.250%, 9/15/27(1) |
790
|
|
948
|
Zillow
Group, Inc. 2.750%, 5/15/25 |
3,435
|
|
3,519
|
|
|
|
30,912
|
|
|
|
|
|
Leisure
Time—1.1% |
|
|
NCL
Corp., Ltd. 1.125%, 2/15/27 |
4,885
|
|
3,725
|
Royal
Caribbean Cruises Ltd. 144A 6.000%, 8/15/25(1) |
1,020
|
|
1,557
|
Topgolf
Callaway Brands Corp. 2.750%, 5/1/26 |
875
|
|
1,334
|
|
|
|
6,616
|
|
|
|
|
|
Machinery-Diversified—0.2%
|
|
|
Middleby
Corp. (The) 1.000%, 9/1/25 |
910
|
|
1,187
|
|
Par
Value |
|
Value
|
|
|
|
|
Media—1.8%
|
|
|
DISH
Network Corp. 0.000%, 12/15/25 |
$ 4,755
|
|
$ 3,136
|
Liberty
Broadband Corp. 144A 2.750%, 9/30/50(1) |
1,260
|
|
1,235
|
Liberty
Media Corp. 1.375%, 10/15/23 |
2,010
|
|
2,628
|
Liberty
Media Corp.-Liberty Formula One 144A 2.250%, 8/15/27(1) |
2,315
|
|
2,417
|
World
Wrestling Entertainment, Inc. 3.375%, 12/15/23 |
495
|
|
1,679
|
|
|
|
11,095
|
|
|
|
|
|
Mining—0.5%
|
|
|
Lithium
Americas Corp. 1.750%, 1/15/27 |
1,820
|
|
1,567
|
MP
Materials Corp. 144A 0.250%, 4/1/26(1) |
1,275
|
|
1,275
|
|
|
|
2,842
|
|
|
|
|
|
Miscellaneous
Manufacturing—0.4% |
|
|
Axon
Enterprise, Inc. 144A 0.500%, 12/15/27(1) |
2,060
|
|
2,212
|
Oil,
Gas & Consumable Fuels—0.9% |
|
|
EQT
Corp. 1.750%, 5/1/26 |
495
|
|
1,110
|
Northern
Oil & Gas, Inc. 144A 3.625%, 4/15/29(1) |
1,590
|
|
1,804
|
Pioneer
Natural Resources Co. 0.250%, 5/15/25 |
1,220
|
|
2,870
|
|
|
|
5,784
|
|
|
|
|
|
Pharmaceuticals—1.7%
|
|
|
Dexcom,
Inc. 0.250%, 11/15/25 |
5,425
|
|
5,712
|
Jazz
Investments I Ltd. 2.000%, 6/15/26 |
3,015
|
|
3,539
|
Revance
Therapeutics, Inc. 1.750%, 2/15/27 |
1,190
|
|
1,534
|
|
|
|
10,785
|
|
|
|
|
|
Retail—0.6%
|
|
|
Burlington
Stores, Inc. 2.250%, 4/15/25 |
1,690
|
|
2,093
|
Shake
Shack, Inc. 0.000%, 3/1/28 |
2,020
|
|
1,502
|
|
|
|
3,595
|
|
|
|
|
|
Semiconductors—1.3%
|
|
|
MACOM
Technology Solutions Holdings, Inc. 0.250%, 3/15/26 |
965
|
|
996
|
Microchip
Technology, Inc. 0.125%, 11/15/24 |
1,365
|
|
1,514
|
ON
Semiconductor Corp. 0.000%, 5/1/27 |
1,050
|
|
1,575
|
Silicon
Laboratories, Inc. 0.625%, 6/15/25 |
460
|
|
638
|
See Notes to Financial Statements
Equity & Convertible
Income Fund (NIE)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Semiconductors—continued
|
|
|
Wolfspeed,
Inc. |
|
|
|
144A
0.250%, 2/15/28(1) |
$ 2,925
|
|
$
2,669 |
144A
1.875%, 12/1/29(1) |
965
|
|
937
|
|
|
|
8,329
|
|
|
|
|
|
Software—5.0%
|
|
|
Akamai
Technologies, Inc. 0.125%, 5/1/25 |
1,665
|
|
1,784
|
Bentley
Systems, Inc. 0.125%, 1/15/26 |
2,755
|
|
2,546
|
Bill.com
Holdings, Inc. 0.000%, 4/1/27 |
4,960
|
|
3,978
|
Box,
Inc. 0.000%, 1/15/26 |
920
|
|
1,233
|
Cloudflare,
Inc. 0.000%, 8/15/26 |
3,440
|
|
2,859
|
Confluent,
Inc. 0.000%, 1/15/27 |
1,580
|
|
1,225
|
DigitalOcean
Holdings, Inc. 0.000%, 12/1/26 |
2,690
|
|
2,065
|
Envestnet,
Inc. 144A 2.625%, 12/1/27(1) |
770
|
|
860
|
Evolent
Health, Inc. 1.500%, 10/15/25 |
1,310
|
|
1,525
|
Five9,
Inc. 0.500%, 6/1/25 |
2,830
|
|
2,673
|
HubSpot,
Inc. 0.375%, 6/1/25 |
575
|
|
795
|
PagerDuty,
Inc. 1.250%, 7/1/25 |
1,075
|
|
1,134
|
Splunk,
Inc. |
|
|
|
1.125%,
9/15/25 |
1,355
|
|
1,320
|
1.125%,
6/15/27 |
2,190
|
|
1,885
|
Tyler
Technologies, Inc. 0.250%, 3/15/26 |
2,220
|
|
2,108
|
Unity
Software, Inc. 0.000%, 11/15/26 |
1,360
|
|
1,049
|
Workiva,
Inc. 1.125%, 8/15/26 |
1,665
|
|
2,096
|
|
|
|
31,135
|
|
|
|
|
|
Transportation—0.3%
|
|
|
Air
Transport Services Group, Inc. 1.125%, 10/15/24 |
1,515
|
|
1,600
|
Total
Convertible Bonds and Notes (Identified Cost $207,413) |
|
200,672
|
|
Shares
|
|
Convertible
Preferred Stocks—3.7% |
Auto
Components—0.2% |
|
Aptiv
plc Series A, 5.500% |
8,135
|
1,025
|
Banks—1.0%
|
|
Wells
Fargo & Co. Series L, 7.500% |
5,050
|
6,353
|
Capital
Markets—0.2% |
|
KKR
& Co., Inc. Series C, 6.000% |
20,495
|
1,385
|
|
Shares
|
|
Value
|
Commercial
Services & Supplies—0.2% |
|
|
GFL
Environmental, Inc., 6.000% |
22,790
|
|
$
1,565 |
Diversified
Financial Services—0.2% |
|
|
Chewy,
Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) |
1,460
|
|
1,517
|
Electric
Utilities—0.8% |
|
|
NextEra
Energy, Inc. |
|
|
|
5.279%
|
45,920
|
|
2,296
|
6.926%
|
22,345
|
|
1,071
|
PG&E
Corp., 5.500% |
11,405
|
|
1,611
|
|
|
|
4,978
|
|
|
|
|
|
Healthcare
Equipment & Supplies—0.4% |
|
|
Boston
Scientific Corp. Series A, 5.500% |
20,375
|
|
2,325
|
Life
Sciences Tools & Services—0.3% |
|
|
Danaher
Corp. Series B, 5.000% |
1,340
|
|
1,801
|
Telecommunications—0.4%
|
|
|
T-Mobile
U.S. 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) |
1,975
|
|
2,382
|
Total
Convertible Preferred Stocks (Identified Cost $23,273) |
|
23,331
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks—62.0% |
Air
Freight & Logistics—0.5% |
|
|
United
Parcel Service, Inc. Class B |
15,590
|
|
2,888
|
Automobiles—1.8%
|
|
|
Tesla,
Inc.(3) |
64,276
|
|
11,134
|
Banks—2.7%
|
|
|
JPMorgan
Chase & Co. |
59,175
|
|
8,282
|
Wells
Fargo & Co. |
183,690
|
|
8,610
|
|
|
|
16,892
|
|
|
|
|
|
Biotechnology—2.3%
|
|
|
AbbVie,
Inc. |
74,040
|
|
10,939
|
Vertex
Pharmaceuticals, Inc.(3) |
10,430
|
|
3,370
|
|
|
|
14,309
|
|
|
|
|
|
Capital
Markets—1.7% |
|
|
CME
Group, Inc. Class A |
25,110
|
|
4,436
|
Moody’s
Corp. |
19,435
|
|
6,272
|
|
|
|
10,708
|
|
|
|
|
|
Chemicals—1.6%
|
|
|
DuPont
de Nemours, Inc. |
84,070
|
|
6,217
|
Sherwin-Williams
Co. (The) |
15,295
|
|
3,619
|
|
|
|
9,836
|
|
|
|
|
|
Commercial
Services & Supplies—1.2% |
|
|
Waste
Management, Inc.(4) |
47,715
|
|
7,383
|
See Notes to Financial Statements
Equity & Convertible
Income Fund (NIE)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Communications
Equipment—0.7% |
|
|
Cisco
Systems, Inc. |
89,020
|
|
$ 4,333
|
Consumer
Finance—0.5% |
|
|
Capital
One Financial Corp. |
24,631
|
|
2,931
|
Electric
Utilities—1.9% |
|
|
Exelon
Corp. |
275,110
|
|
11,607
|
Electrical
Equipment—0.5% |
|
|
Generac
Holdings, Inc.(3) |
11,105
|
|
1,339
|
Plug
Power, Inc.(3) |
97,632
|
|
1,662
|
|
|
|
3,001
|
|
|
|
|
|
Energy
Equipment & Services—1.4% |
|
|
Schlumberger
Ltd. |
149,945
|
|
8,544
|
Equity
Real Estate Investment—0.9% |
|
|
American
Tower Corp. |
25,300
|
|
5,652
|
Food
& Staples Retailing—1.3% |
|
|
Costco
Wholesale Corp.(4) |
15,850
|
|
8,101
|
Healthcare
Equipment & Supplies—1.8% |
|
|
Abbott
Laboratories |
34,870
|
|
3,855
|
Dexcom,
Inc.(3) |
14,095
|
|
1,509
|
Intuitive
Surgical, Inc.(3)(4) |
22,600
|
|
5,553
|
|
|
|
10,917
|
|
|
|
|
|
Healthcare
Providers & Services—0.9% |
|
|
UnitedHealth
Group, Inc. |
11,273
|
|
5,627
|
Hotels,
Restaurants & Leisure—2.8% |
|
|
Booking
Holdings, Inc.(3) |
3,440
|
|
8,373
|
Chipotle
Mexican Grill, Inc. Class A(3) |
3,275
|
|
5,392
|
MGM
Resorts International |
93,225
|
|
3,861
|
|
|
|
17,626
|
|
|
|
|
|
Insurance—0.9%
|
|
|
Aon
plc Class A |
17,025
|
|
5,425
|
Interactive
Media & Services—3.7% |
|
|
Alphabet,
Inc. Class A(3) |
194,440
|
|
19,219
|
Meta
Platforms, Inc. Class A(3) |
27,095
|
|
4,036
|
|
|
|
23,255
|
|
|
|
|
|
Internet
& Direct Marketing Retail—2.1% |
|
|
Amazon.com,
Inc.(3) |
129,105
|
|
13,315
|
IT
Services—3.3% |
|
|
Accenture
plc Class A |
21,110
|
|
5,891
|
EPAM
Systems, Inc.(3) |
5,722
|
|
1,903
|
Mastercard,
Inc. Class A(4) |
34,115
|
|
12,643
|
|
|
|
20,437
|
|
|
|
|
|
Life
Sciences Tools & Services—2.3% |
|
|
IQVIA
Holdings, Inc.(3) |
26,450
|
|
6,068
|
|
Shares
|
|
Value
|
|
|
|
|
Life
Sciences Tools & Services—continued |
|
|
Thermo
Fisher Scientific, Inc.(4) |
14,095
|
|
$
8,039 |
|
|
|
14,107
|
|
|
|
|
|
Machinery—0.6%
|
|
|
Deere
& Co. |
8,265
|
|
3,495
|
Multiline
Retail—0.4% |
|
|
Target
Corp. |
14,865
|
|
2,559
|
Oil,
Gas & Consumable Fuels—1.8% |
|
|
ConocoPhillips
|
46,205
|
|
5,631
|
Devon
Energy Corp. |
89,245
|
|
5,644
|
|
|
|
11,275
|
|
|
|
|
|
Pharmaceuticals—2.2%
|
|
|
Eli
Lilly & Co. |
22,255
|
|
7,659
|
Zoetis,
Inc. Class A |
36,685
|
|
6,071
|
|
|
|
13,730
|
|
|
|
|
|
Road
& Rail—1.4% |
|
|
Union
Pacific Corp. |
43,305
|
|
8,842
|
Semiconductors
& Semiconductor Equipment—4.8% |
|
|
Broadcom,
Inc. |
19,690
|
|
11,519
|
Lam
Research Corp.(4) |
9,360
|
|
4,681
|
Marvell
Technology, Inc. |
55,930
|
|
2,413
|
Micron
Technology, Inc. |
86,925
|
|
5,242
|
NVIDIA
Corp. |
32,075
|
|
6,266
|
|
|
|
30,121
|
|
|
|
|
|
Software—7.0%
|
|
|
Atlassian
Corp. Class A(3) |
14,445
|
|
2,335
|
Crowdstrike
Holdings, Inc. Class A(3) |
27,545
|
|
2,917
|
Intuit,
Inc. |
14,765
|
|
6,241
|
Microsoft
Corp. |
89,696
|
|
22,227
|
Salesforce,
Inc.(3) |
12,441
|
|
2,090
|
ServiceNow,
Inc.(3) |
16,915
|
|
7,698
|
|
|
|
43,508
|
|
|
|
|
|
Specialty
Retail—2.0% |
|
|
Home
Depot, Inc. (The) |
25,285
|
|
8,196
|
TJX
Cos., Inc. (The) |
49,485
|
|
4,051
|
|
|
|
12,247
|
|
|
|
|
|
Technology
Hardware, Storage & Peripherals—3.9% |
|
|
Apple,
Inc. |
169,450
|
|
24,450
|
Textiles,
Apparel & Luxury Goods—1.1% |
|
|
NIKE,
Inc. Class B |
54,950
|
|
6,997
|
Total
Common Stocks (Identified Cost $432,870) |
|
385,252
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments—98.0% (Identified Cost $663,556) |
|
609,255
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Financial Statements
Equity & Convertible
Income Fund (NIE)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
|
|
|
|
Short-Term
Investment—1.6% |
Money
Market Mutual Fund—1.6% |
BlackRock
Liquidity FedFund - Institutional Shares (seven-day effective yield 4.066%)(5) |
10,060,519
|
|
$
10,061 |
Total
Short-Term Investment (Identified Cost $10,061) |
|
10,061
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS, BEFORE WRITTEN OPTIONS—99.6% (Identified Cost $673,617) |
|
619,316
|
|
|
|
Written
Options—(0.0)% |
(See
open written options schedule) |
|
|
Total
Written Options (Premiums Received $41) |
(22)
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS, NET OF WRITTEN OPTIONS—99.6% (Identified Cost $673,576) |
$619,294
|
Other
assets and liabilities, net—0.4% |
2,350
|
NET
ASSETS—100.0% |
$621,644
|
Abbreviation:
|
LLC
|
Limited
Liability Company |
Footnote
Legend: |
(1) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities amounted to a value
of $43,315 or 7.0% of net assets. |
(2) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(3) |
Non-income
producing. |
(4) |
All
or a portion of the security is segregated as collateral for written options. The value of securities segregated as collateral is $19,103. |
(5) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Open
written options contracts as of January 31, 2023 were as follows: |
Description
of Options |
Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value
|
Call
Options(2) |
|
|
|
|
|
Costco
Wholesale Corp. |
(45)
|
$(2,430)
|
$540.00
|
02/17/23
|
$
(8) |
Intuitive
Surgical, Inc. |
(85)
|
(2,465)
|
290.00
|
02/17/23
|
(—)
(3) |
Lam
Research Corp. |
(55)
|
(3,603)
|
655.00
|
03/17/23
|
(2)
|
Mastercard,
Inc. |
(165)
|
(6,847)
|
415.00
|
02/17/23
|
(1)
|
Thermo
Fisher Scientific, Inc. |
(70)
|
(4,375)
|
625.00
|
02/17/23
|
(5)
|
Waste
Management, Inc. |
(120)
|
(1,950)
|
162.50
|
02/17/23
|
(6)
|
Total
Written Options |
|
$
(22) |
Footnote Legend: |
(1) |
Strike
price not reported in thousands. |
(2) |
Exchange-traded
options. |
(3) |
Amount
is less than $500. |
For information regarding the abbreviations, see the Key Investment Terms
starting on page 19.
See Notes to Financial Statements
Equity & Convertible
Income Fund (NIE)
SCHEDULE OF INVESTMENTS (Continued)
January 31, 2023
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of January 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at January 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Convertible
Bonds and Notes |
$200,672
|
|
$
— |
|
$197,071
|
|
$3,601
|
Equity
Securities: |
|
|
|
|
|
|
|
Common
Stocks |
385,252
|
|
385,252
|
|
—
|
|
—
|
Convertible
Preferred Stocks |
23,331
|
|
19,432
|
|
3,899
|
|
—
|
Money
Market Mutual Fund |
10,061
|
|
10,061
|
|
—
|
|
—
|
Total
Assets |
619,316
|
|
414,745
|
|
200,970
|
|
3,601
|
Liabilities:
|
|
|
|
|
|
|
|
Other
Financial Instruments: |
|
|
|
|
|
|
|
Written
Options |
(22)
|
|
(20)
|
|
(2)
|
|
—
|
Total
Investments, Net of Written Options |
$619,294
|
|
$414,725
|
|
$200,968
|
|
$3,601
|
There were no transfers into
or out of Level 3 related to securities held at January 31, 2023.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value
|
Total
|
|
Convertible
Bonds And Notes |
|
Corporate
Bonds And Notes |
Investments
in Securities |
|
|
|
|
|
Balance
as of January 31, 2022: |
$
36 |
|
$
— |
|
$
36 |
Net
realized gain (loss) |
(1,093)
|
|
11
|
|
(1,104)
|
Net
change in unrealized appreciation (depreciation)(a) |
1,140
|
|
70
|
|
1,070
|
Purchases
|
3,941
|
|
3,941
|
|
—
|
Sales
(b) |
(423)
|
|
(421)
|
|
(2)
|
Balance
as of January 31, 2023 |
$
3,601 |
|
$ 3,601
|
|
$
— |
(a) The net change in unrealized appreciation (depreciation) on investments still held at January 31, 2023, was $70.
(b) Includes paydowns on securities.
See Notes to
Financial Statements
STATEMENTS OF ASSETS AND
LIABILITIES January 31, 2023
(Reported in thousands except shares and per share amounts)
|
AIO
|
|
CBH
|
|
NCV
|
|
NCZ
|
Assets
|
|
|
|
|
|
|
|
Investment in securities at
value(1)(2)
|
$
831,857 |
|
$
242,552 |
|
$
643,269 |
|
$
483,478 |
Cash
|
100
|
|
128
|
|
103
|
|
131
|
Receivables
|
|
|
|
|
|
|
|
Investment securities sold
|
—
|
|
987
|
|
8,161
|
|
6,203
|
Dividends and
interest
|
2,122
|
|
1,583
|
|
4,975
|
|
3,574
|
Other
receivables
|
47
|
|
12
|
|
25
|
|
19
|
Securities lending
income
|
43
|
|
—
|
|
—
|
|
—
|
Prepaid Trustees’
retainer
|
27
|
|
7
|
|
14
|
|
11
|
Prepaid expenses and other assets (Note
4)
|
37
|
|
28
|
|
166
|
|
127
|
Total
assets
|
834,233
|
|
245,297
|
|
656,713
|
|
493,543
|
Liabilities
|
|
|
|
|
|
|
|
Loan Payable (Note
9)
|
130,000
|
|
69,700
|
|
170,000
|
|
95,000
|
Payables
|
|
|
|
|
|
|
|
Collateral on securities loaned (Note
9)
|
13,000
|
|
1,000
|
|
—
|
|
—
|
Dividend distributions
|
5,151
|
|
840
|
|
4,319
|
|
3,363
|
Loan interest payable (Note
9)
|
869
|
|
488
|
|
783
|
|
437
|
Investment advisory fees (Note
4)
|
775
|
|
140
|
|
321
|
|
249
|
Professional fees
|
94
|
|
91
|
|
143
|
|
163
|
Administration and accounting
fees
|
74
|
|
22
|
|
58
|
|
44
|
Trustee deferred compensation plan (Note
4)
|
37
|
|
28
|
|
166
|
|
127
|
Investment securities purchased
|
—
|
|
3,489
|
|
12,432
|
|
9,078
|
Other accrued
expenses
|
110
|
|
124
|
|
82
|
|
80
|
Total
liabilities
|
150,110
|
|
75,922
|
|
188,304
|
|
108,541
|
Cumulative Preferred Shares ($25.00 liquidation preference per share applicable to an aggregate of 4,000,000 and 4,360,000 shares issued and outstanding,
respectively)
|
—
|
|
—
|
|
100,000
|
|
109,000
|
Net Assets Applicable to Common
Shareholders
|
$
684,123 |
|
$
169,375 |
|
$
368,409 |
|
$
276,002 |
Net
Assets Applicable to Common Shareholders Consist of: |
|
|
|
|
|
|
|
Common shares par value ($0.00001 per
share)
|
$
—(a) |
|
$
—(a) |
|
$
1 |
|
$
1 |
Capital paid in on shares of beneficial
interest
|
671,836
|
|
178,376
|
|
681,639
|
|
521,050
|
Total distributable earnings (accumulated
losses)
|
12,287
|
|
(9,001)
|
|
(313,231)
|
|
(245,049)
|
Net Assets Applicable to Common
Shareholders
|
$
684,123 |
|
$
169,375 |
|
$
368,409 |
|
$
276,002 |
Common Shares Issued and
Outstanding
|
34,340,972
|
|
18,263,597
|
|
90,373,569
|
|
76,115,749
|
Net Asset Value Per Common
Share(b)
|
$
19.92 |
|
$
9.27 |
|
$
4.08 |
|
$
3.63 |
(1)Investment in securities at
cost
|
$
806,195 |
|
$
250,760 |
|
$
683,471 |
|
$
513,456 |
(2) Market value of securities on
loan
|
$
42,377 |
|
$
7,715 |
|
$
— |
|
$
— |
(a) |
Amount
is less than $500. |
(b) |
Net
Asset Value Per Common Share is calculated using unrounded net assets. |
See Notes to Financial Statements
STATEMENTS OF ASSETS AND
LIABILITIES (Continued)
January 31, 2023
(Reported in
thousands except shares and per share amounts)
|
ACV
|
|
NFJ
|
|
NIE
|
Assets
|
|
|
|
|
|
Investment in securities at
value(1)
|
$
327,898 |
|
$
1,338,825 |
|
$
619,316 |
Cash
|
101
|
|
502
|
|
101
|
Deposits with broker for written
options
|
18
|
|
—
|
|
97
|
Receivables
|
|
|
|
|
|
Investment securities sold
|
2,912
|
|
10,450
|
|
5,209
|
Dividends and
interest
|
1,326
|
|
1,270
|
|
758
|
Other
receivables
|
16
|
|
88
|
|
48
|
Tax reclaims
|
—
|
|
157
|
|
—
|
Prepaid Trustees’
retainer
|
8
|
|
51
|
|
27
|
Prepaid expenses and other assets (Note
4)
|
53
|
|
295
|
|
134
|
Total
assets
|
332,332
|
|
1,351,638
|
|
625,690
|
Liabilities
|
|
|
|
|
|
Loan Payable (Note 10 and
11)
|
75,000
|
|
—
|
|
—
|
Mandatory redeemable preferred shares (Note
10)
|
30,000
|
|
—
|
|
—
|
Written options at value (Note
3)(3)
|
4
|
|
1,791
|
|
22
|
Payables
|
|
|
|
|
|
Investment securities purchased
|
4,082
|
|
3,085
|
|
3,238
|
Dividend distributions
|
1,865
|
|
—
|
|
—
|
Loan interest payable (Note 10 and
11)
|
942
|
|
—
|
|
—
|
Investment advisory fees (Note
4)
|
251
|
|
808
|
|
439
|
Dividend on mandatory redeemable preferred shares (Note
10)
|
110
|
|
—
|
|
—
|
Professional fees
|
89
|
|
110
|
|
91
|
Trustee deferred compensation plan (Note
4)
|
53
|
|
295
|
|
134
|
Administration and accounting
fees
|
30
|
|
118
|
|
55
|
Other accrued
expenses
|
53
|
|
120
|
|
67
|
Total
liabilities
|
112,479
|
|
6,327
|
|
4,046
|
Net Assets Applicable to Common
Shareholders
|
$
219,853 |
|
$
1,345,311 |
|
$
621,644 |
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
|
252,312
|
|
1,276,956
|
|
670,598
|
Total distributable earnings (accumulated
losses)
|
(32,459)
|
|
68,354
|
|
(48,954)
|
Net Assets Applicable to Common
Shareholders
|
$
219,853 |
|
$
1,345,311 |
|
$
621,644 |
Common Shares Issued and
Outstanding
|
10,362,954
|
|
94,801,581
|
|
27,708,965
|
Net Asset Value Per Common
Share(b)
|
$
21.22 |
|
$
14.19 |
|
$
22.43 |
(1)Investment in securities at
cost
|
$
350,674 |
|
$
1,264,254 |
|
$
673,617 |
(3) Written options premiums
received
|
$
8 |
|
$
856 |
|
$
41 |
(a) |
Amount
is less than $500. |
(b) |
Net
Asset Value Per Common Share is calculated using unrounded net assets. |
See Notes to Financial Statements
STATEMENTS OF OPERATIONS YEAR
ENDED January 31, 2023
($ reported in thousands)
|
AIO
|
|
CBH
|
|
NCV
|
|
NCZ
|
Investment
Income |
|
|
|
|
|
|
|
Interest
|
$
8,581 |
|
$
8,820 |
|
$
20,553 |
|
$
15,384 |
Dividends
|
5,187
|
|
162
|
|
4,835
|
|
4,104
|
Security lending, net of
fees
|
345
|
|
29
|
|
132
|
|
—
|
Foreign taxes withheld
|
(53)
|
|
—
|
|
—
|
|
—
|
Total investment
income
|
14,060
|
|
9,011
|
|
25,520
|
|
19,488
|
Expenses
|
|
|
|
|
|
|
|
Investment advisory
fees
|
10,313
|
|
1,792
|
|
5,018
|
|
3,862
|
Administration and accounting
fees
|
891
|
|
263
|
|
774
|
|
598
|
Excise
tax
|
—
|
|
94
|
|
—
|
|
—
|
Printing fees and expenses
|
258
|
|
25
|
|
65
|
|
55
|
Trustees’ fees and
expenses
|
167
|
|
40
|
|
104
|
|
78
|
Professional fees
|
144
|
|
74
|
|
235
|
|
218
|
Transfer agent fees and
expenses
|
13
|
|
13
|
|
18
|
|
19
|
Auction agent and
commissions
|
—
|
|
—
|
|
182
|
|
143
|
Miscellaneous
expenses
|
56
|
|
23
|
|
289
|
|
310
|
Total expenses before interest
expense
|
11,842
|
|
2,324
|
|
6,685
|
|
5,283
|
Loan interest (Note
9)
|
3,429
|
|
1,873
|
|
2,257
|
|
1,185
|
Total expenses after interest
expense
|
15,271
|
|
4,197
|
|
8,942
|
|
6,468
|
Less expenses reimbursed and/or waived by investment adviser (Note
4D)
|
(894)
|
|
(117)
|
|
(720)
|
|
(535)
|
Net
expenses
|
14,377
|
|
4,080
|
|
8,222
|
|
5,933
|
Net investment income
(loss)
|
(317)
|
|
4,931
|
|
17,298
|
|
13,555
|
Net
Realized and Unrealized Gain (Loss) on Investments |
|
|
|
|
|
|
|
Net
realized gain (loss) from: |
|
|
|
|
|
|
|
Unaffiliated
Investments
|
(6,358)
|
|
(247)
|
|
(57,150)
|
|
(43,000)
|
Affiliated
investments
|
—
|
|
—
|
|
(6,724)
|
|
(4,975)
|
Net
change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
Unaffiliated
Investments
|
(77,872)
|
|
(2,571)
|
|
(41,361)
|
|
(32,226)
|
Affiliated
investments
|
—
|
|
—
|
|
6,700
|
|
4,950
|
Net realized and unrealized gain (loss) on
investments
|
(84,230)
|
|
(2,818)
|
|
(98,535)
|
|
(75,251)
|
Dividends on preferred shares from net investment
income
|
—
|
|
—
|
|
(10,076)
|
|
(9,239)
|
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations
|
$(84,547)
|
|
$
2,113 |
|
$(91,313)
|
|
$(70,935)
|
See Notes to Financial Statements
STATEMENTS OF OPERATIONS
(Continued)
YEAR ENDED January
31, 2023
($ reported in thousands)
|
ACV
|
|
NFJ
|
|
NIE
|
Investment
Income |
|
|
|
|
|
Interest
|
$
5,437 |
|
$
2,512 |
|
$
2,391 |
Dividends
|
2,282
|
|
18,208
|
|
8,119
|
Foreign taxes withheld
|
—
|
|
(97)
|
|
—
|
Total investment
income
|
7,719
|
|
20,623
|
|
10,510
|
Expenses
|
|
|
|
|
|
Investment advisory
fees
|
3,395
|
|
12,044
|
|
7,085
|
Administration and accounting
fees
|
371
|
|
1,439
|
|
765
|
Printing fees and expenses
|
99
|
|
246
|
|
135
|
Professional fees
|
99
|
|
235
|
|
141
|
Trustees’ fees and
expenses
|
63
|
|
327
|
|
179
|
Transfer agent fees and
expenses
|
21
|
|
13
|
|
13
|
Miscellaneous
expenses
|
70
|
|
134
|
|
47
|
Total expenses before interest
expense
|
4,118
|
|
14,438
|
|
8,365
|
Dividends on mandatory redeemable preferred shares (Note
10)
|
1,302
|
|
—
|
|
—
|
Loan interest (Note 10 and
11)
|
2,772
|
|
—
|
|
—
|
Total expenses after interest
expense
|
8,192
|
|
14,438
|
|
8,365
|
Less expenses reimbursed and/or waived by investment adviser (Note
4D)
|
(302)
|
|
(1,590)
|
|
(783)
|
Net
expenses
|
7,890
|
|
12,848
|
|
7,582
|
Net investment income
(loss)
|
(171)
|
|
7,775
|
|
2,928
|
Net
Realized and Unrealized Gain (Loss) on Investments |
|
|
|
|
|
Net
realized gain (loss) from: |
|
|
|
|
|
Unaffiliated
Investments
|
(5,138)
|
|
(5,101)
|
|
2,023
|
Affiliated
investments
|
(1,246)
|
|
—
|
|
—
|
Foreign currency
transactions
|
—
|
|
—
(1) |
|
—
|
Written
options
|
575
|
|
2,417
|
|
3,350
|
Net
change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
Unaffiliated
Investments
|
(33,394)
|
|
(112,608)
|
|
(116,963)
|
Affiliated
investments
|
1,243
|
|
—
|
|
—
|
Written
options
|
36
|
|
(1,074)
|
|
234
|
Net realized and unrealized gain (loss) on
investments
|
(37,924)
|
|
(116,366)
|
|
(111,356)
|
Net increase (decrease) in net assets resulting from
operations
|
$(38,095)
|
|
$(108,591)
|
|
$(108,428)
|
(1) |
Amount
is less than $500. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS
($ reported in thousands)
|
AIO
|
|
Year
Ended January 31, 2023 |
|
Fiscal
Period Ended January 31, 2022* |
|
Year
Ended February 28, 2021 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
|
|
Net investment income
(loss)
|
$
(317) |
|
$
(6,058) |
|
$
(2,703) |
Net realized gain
(loss)
|
(6,358)
|
|
109,142
|
|
171,687
|
Net change in unrealized appreciation
(depreciation)
|
(77,872)
|
|
(108,970)
|
|
236,027
|
Increase (decrease) in net assets resulting from
operations
|
(84,547)
|
|
(5,886)
|
|
405,011
|
From
Dividends and Distributions to Shareholders |
|
|
|
|
|
Net investment income and net realized
gains
|
(47,652)
|
|
(166,532)
|
|
(85,439)
|
Return of
capital
|
(14,157)
|
|
—
|
|
—
|
Dividends and Distributions to
Shareholders
|
(61,809)
|
|
(166,532)
|
|
(85,439)
|
From
Capital Share Transactions |
|
|
|
|
|
Reinvestment of distributions resulting in the issuance of common stock (0, 2,290 and 15,547 shares,
respectively)
|
—
|
|
59
|
|
450
|
Increase (decrease) in net assets from capital
transactions
|
—
|
|
59
|
|
450
|
Net increase (decrease) in net
assets
|
(146,356)
|
|
(172,359)
|
|
320,022
|
Net
Assets |
|
|
|
|
|
Beginning of
period
|
830,479
|
|
1,002,838
|
|
682,816
|
End of
period
|
$
684,123 |
|
$
830,479 |
|
$1,002,838
|
*
|
Period
from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
CBH
|
|
Year
Ended January 31, 2023 |
|
Fiscal
Period Ended January 31, 2022* |
|
Year
Ended February 28, 2021 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
|
|
Net investment income
(loss)
|
$
4,931 |
|
$
4,522 |
|
$
7,409 |
Net realized gain
(loss)
|
(247)
|
|
4,870
|
|
11,108
|
Net change in unrealized appreciation
(depreciation)
|
(2,571)
|
|
(9,826)
|
|
7,246
|
Increase (decrease) in net assets resulting from
operations
|
2,113
|
|
(434)
|
|
25,763
|
From
Dividends and Distributions to Shareholders |
|
|
|
|
|
Net investment income and net realized
gains
|
(11,741)
|
|
(16,220)
|
|
(10,078)
|
Dividends and Distributions to
Shareholders
|
(11,741)
|
|
(16,220)
|
|
(10,078)
|
From
Capital Share Transactions |
|
|
|
|
|
Reinvestment of distributions resulting in the issuance of common stock (506, 4,575 and 1,504 shares,
respectively)
|
5
|
|
46
|
|
14
|
Increase (decrease) in net assets from capital
transactions
|
5
|
|
46
|
|
14
|
Net increase (decrease) in net
assets
|
(9,623)
|
|
(16,608)
|
|
15,699
|
Net
Assets |
|
|
|
|
|
Beginning of
period
|
178,998
|
|
195,606
|
|
179,907
|
End of
period
|
$169,375
|
|
$178,998
|
|
$195,606
|
*
|
Period
from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
NCV
|
|
Year
Ended January 31, 2023 |
|
Fiscal
Period Ended January 31, 2022* |
|
Year
Ended February 28, 2021 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
|
|
Net investment income
(loss)
|
$
17,298 |
|
$
19,202 |
|
$
33,510 |
Net realized gain
(loss)
|
(63,874)
|
|
34,593
|
|
3,663
|
Net change in unrealized appreciation
(depreciation)
|
(34,661)
|
|
(88,808)
|
|
118,355
|
Increase (decrease) in net assets resulting from
operations
|
(81,237)
|
|
(35,013)
|
|
155,528
|
Dividends on Preferred Shares from Net Investment
Income
|
(10,076)
|
|
(5,432)
|
|
(6,245)
|
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations
|
(91,313)
|
|
(40,445)
|
|
149,283
|
From
Dividends and Distributions to Common Shareholders |
|
|
|
|
|
Net investment income and net realized
gains
|
(9,639)
|
|
(14,537)
|
|
(28,244)
|
Return of
capital
|
(36,451)
|
|
(27,712)
|
|
(18,750)
|
Dividends and Distributions to Common
Shareholders
|
(46,090)
|
|
(42,249)
|
|
(46,994)
|
Preferred
Share Transactions: |
|
|
|
|
|
Net increase resulting from tender of Auction-Rate Preferred Shares (see Note
8)
|
4,562
|
|
—
|
|
—
|
Increase (decrease) in net assets from preferred share
transactions
|
4,562
|
|
—
|
|
—
|
From
Capital Share Transactions |
|
|
|
|
|
Reinvestment of distributions resulting in the issuance of common stock (0, 0, and 3,988 shares,
respectively)
|
—
|
|
—
|
|
22
|
Increase (decrease) in net assets from capital
transactions
|
—
|
|
—
|
|
22
|
Net increase (decrease) in net
assets
|
(132,841)
|
|
(82,694)
|
|
102,311
|
Net
Assets |
|
|
|
|
|
Beginning of
period
|
501,250
|
|
583,944
|
|
481,633
|
End of
period
|
$
368,409 |
|
$501,250
|
|
$583,944
|
*
|
Period
from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
NCZ
|
|
Year
Ended January 31, 2023 |
|
Fiscal
Period Ended January 31, 2022* |
|
Year
Ended February 28, 2021 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
|
|
Net investment income
(loss)
|
$
13,555 |
|
$
14,662 |
|
$
25,827 |
Net realized gain
(loss)
|
(47,975)
|
|
26,021
|
|
2,875
|
Net change in unrealized appreciation
(depreciation)
|
(27,276)
|
|
(66,698)
|
|
89,181
|
Increase (decrease) in net assets resulting from
operations
|
(61,696)
|
|
(26,015)
|
|
117,883
|
Dividends on Preferred Shares from Net Investment
Income
|
(9,239)
|
|
(5,699)
|
|
(6,448)
|
Net increase (decrease) in net assets applicable to common shareholders resulting from
operations
|
(70,935)
|
|
(31,714)
|
|
111,435
|
From
Dividends and Distributions to Common Shareholders |
|
|
|
|
|
Net investment income and net realized
gains
|
(6,136)
|
|
(9,409)
|
|
(20,132)
|
Return of
capital
|
(28,116)
|
|
(21,989)
|
|
(14,691)
|
Dividends and Distributions to Common
Shareholders
|
(34,252)
|
|
(31,398)
|
|
(34,823)
|
Preferred
Share Transactions: |
|
|
|
|
|
Net increase resulting from tender of Auction-Rate Preferred Shares (see Note
8)
|
3,307
|
|
—
|
|
—
|
Increase (decrease) in net assets from preferred share
transactions
|
3,307
|
|
—
|
|
—
|
Net increase (decrease) in net
assets
|
(101,880)
|
|
(63,112)
|
|
76,612
|
Net
Assets |
|
|
|
|
|
Beginning of
period
|
377,882
|
|
440,994
|
|
364,382
|
End of
period
|
$
276,002 |
|
$377,882
|
|
$440,994
|
*
|
Period
from March 1, 2021 to January 31, 2022. The Fund had a fiscal year end change from February 28 to January 31. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
ACV
|
|
NFJ
|
|
Year
Ended January 31, 2023 |
|
Year
Ended January 31, 2022 |
|
Year
Ended January 31, 2023 |
|
Year
Ended January 31, 2022 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
(171) |
|
$
(1,760) |
|
$
7,775 |
|
$
4,380 |
Net realized gain
(loss)
|
(5,809)
|
|
69,849
|
|
(2,684)
|
|
168,577
|
Net change in unrealized appreciation
(depreciation)
|
(32,115)
|
|
(68,996)
|
|
(113,682)
|
|
19,070
|
Increase (decrease) in net assets resulting from
operations
|
(38,095)
|
|
(907)
|
|
(108,591)
|
|
192,027
|
From
Dividends and Distributions to Shareholders |
|
|
|
|
|
|
|
Net investment income and net realized
gains
|
(24,415)
|
|
(80,923)
|
|
(94,470)
|
|
(85,321)
|
Dividends and Distributions to
Shareholders
|
(24,415)
|
|
(80,923)
|
|
(94,470)
|
|
(85,321)
|
From
Capital Share Transactions |
|
|
|
|
|
|
|
Reinvestment of distributions resulting in the issuance of common stock (561 and 8,473 shares,
respectively)
|
15
|
|
279
|
|
—
|
|
—
|
Increase (decrease) in net assets from capital
transactions
|
15
|
|
279
|
|
—
|
|
—
|
Net increase (decrease) in net
assets
|
(62,495)
|
|
(81,551)
|
|
(203,061)
|
|
106,706
|
Net
Assets |
|
|
|
|
|
|
|
Beginning of
period
|
282,348
|
|
363,899
|
|
1,548,372
|
|
1,441,666
|
End of
period
|
$219,853
|
|
$282,348
|
|
$1,345,311
|
|
$1,548,372
|
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
NIE
|
|
Year
Ended January 31, 2023 |
|
Year
Ended January 31, 2022 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
Net investment income
(loss)
|
$
2,928 |
|
$
(2,565) |
Net realized gain
(loss)
|
5,373
|
|
175,497
|
Net change in unrealized appreciation
(depreciation)
|
(116,729)
|
|
(98,405)
|
Increase (decrease) in net assets resulting from
operations
|
(108,428)
|
|
74,527
|
From
Dividends and Distributions to Shareholders |
|
|
|
Net investment income and net realized
gains
|
(110,185)
|
|
(90,719)
|
Dividends and Distributions to
Shareholders
|
(110,185)
|
|
(90,719)
|
Net increase (decrease) in net
assets
|
(218,613)
|
|
(16,192)
|
Net
Assets |
|
|
|
Beginning of
period
|
840,257
|
|
856,449
|
End of
period
|
$
621,644 |
|
$840,257
|
See Notes to Financial Statements
STATEMENTS OF CASH FLOWS
YEAR ENDED January 31,
2023
($ reported in thousands)
|
AIO
|
|
CBH
|
|
NCV
|
|
ACV
|
Increase
(Decrease) in cash |
|
|
|
|
|
|
|
Cash
Flows provided by (Used for) Operating Activities: |
|
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations
|
$
(84,547) |
|
$
2,113 |
|
$
(91,313) |
|
$
(38,095) |
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
|
416,628
|
|
50,352
|
|
601,509
|
|
317,181
|
(Increase) Decrease in investment securities sold receivable
|
1,163
|
|
(720)
|
|
(5,792)
|
|
278
|
Purchases of long-term investments
|
(471,354)
|
|
(40,818)
|
|
(489,964)
|
|
(305,137)
|
Increase (Decrease) in investment securities purchased payable
|
(2,931)
|
|
(570)
|
|
8,066
|
|
2,057
|
Net (purchases) or sales of short-term
investments
|
20,114
|
|
(377)
|
|
12,753
|
|
11,023
|
Net purchases or (sales) in written options
|
—
|
|
—
|
|
—
|
|
546
|
Net change in unrealized (appreciation)/depreciation on long-term unaffiliated
investments
|
77,872
|
|
2,571
|
|
41,360
|
|
33,394
|
Net change in unrealized (appreciation)/depreciation on affiliated
investments
|
—
|
|
—
|
|
(6,700)
|
|
(1,243)
|
Net change in unrealized (appreciation)/depreciation on written
options
|
—
|
|
—
|
|
—
|
|
(36)
|
Net realized (gain)/loss from unaffiliated investments
|
6,358
|
|
247
|
|
57,150
|
|
5,138
|
Net realized (gain)/loss from investments affiliated
investments
|
—
|
|
—
|
|
6,724
|
|
1,246
|
Net realized (gain)/loss from written
options
|
—
|
|
—
|
|
—
|
|
(575)
|
Amortization of premium and accretion of discounts on investments
|
(513)
|
|
(274)
|
|
(2,231)
|
|
(1,122)
|
Return of capital distribution on
investments
|
—
|
|
—
|
|
—
|
|
(16)
|
Proceeds from litigation
settlements
|
—
|
|
—
|
|
—
|
|
2
|
(Increase) Decrease in dividends and interest receivable
|
(1,165)
|
|
(15)
|
|
93
|
|
(92)
|
(Increase) Decrease in security lending
receivable
|
(24)
|
|
2
|
|
22
|
|
—
|
Increase) Decrease in other
receivables
|
(47)
|
|
(12)
|
|
(25)
|
|
(16)
|
(Increase) Decrease in prepaid trustees’ retainer
|
13
|
|
3
|
|
16
|
|
12
|
(Increase) Decrease in prepaid expenses and other
assets
|
—
|
|
—
|
|
10
|
|
12
|
Increase (Decrease) in loan interest
payable
|
809
|
|
420
|
|
734
|
|
92
|
Increase (Decrease) in payable for collateral securities on
loan
|
—
|
|
(922)
|
|
(11,127)
|
|
—
|
Increase (Decrease) in affiliated expenses
payable
|
(21)
|
|
(14)
|
|
(175)
|
|
(73)
|
Increase (Decrease) in non-affiliated expenses
payable
|
(546)
|
|
(225)
|
|
(24)
|
|
(161)
|
Cash provided by (used for) operating
activities
|
(38,191)
|
|
11,761
|
|
121,086
|
|
24,415
|
Cash
provided (used for) financing activities: |
|
|
|
|
|
|
|
Cash received from borrowings
|
100,000
|
|
—
|
|
170,000
|
|
—
|
Cash payments to reduce
borrowings
|
—
|
|
—
|
|
(28,852)
|
|
—
|
Cash distributions paid to shareholders
|
(61,809)
|
|
(11,736)
|
|
(46,095)
|
|
(24,400)
|
Tender and redemption of auction-rate preferred shares (Note
8)
|
—
|
|
—
|
|
(218,713)
|
|
—
|
Cash provided (used for) financing
activities:
|
38,191
|
|
(11,736)
|
|
(123,660)
|
|
(24,400)
|
Net
increase/decrease in cash |
|
|
|
|
|
|
|
Net increase (decrease) in
cash
|
—
|
|
25
|
|
(2,574)
|
|
15
|
Restricted and unrestricted cash at beginning of
period
|
100
|
|
103
|
|
2,677
|
|
104
|
Restricted and unrestricted cash at end of
period
|
$
100 |
|
$
128 |
|
$
103 |
|
$
119 |
Supplemental
cash flow information: |
|
|
|
|
|
|
|
Cash
paid during the period for interest expense on loan payable |
$
2,620 |
|
$
1,453 |
|
$
1,523 |
|
$
2,680 |
Cash
paid during the period for dividends to mandatory redeemable preferred shares |
$
— |
|
$
— |
|
$
— |
|
$
1,302 |
Reinvestment
of dividends and distributions |
$
— |
|
$
5 |
|
$
— |
|
$
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reconciliation
of restricted and unrestricted cash at the end of period to the statement of assets and liabilities |
|
|
|
|
|
|
|
Cash
|
$
100 |
|
$
128 |
|
$
103 |
|
$
101 |
Deposits
with broker for written options |
—
|
|
—
|
|
—
|
|
18
|
|
$
100 |
|
$
128 |
|
$
103 |
|
$
119 |
See Notes to Financial Statements
ARTIFICIAL INTELLIGENCE
& TECHNOLOGY OPPORTUNITIES FUND (AIO)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
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
|
$
24.18 |
|
$
29.20 |
|
$
19.89 |
|
$
20.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
Net investment income
(loss)(3)
|
(0.01)
|
|
(0.18)
|
|
(0.08)
|
|
(0.01)
|
Net realized and unrealized gain
(loss)
|
(2.45)
|
|
0.01
|
|
11.88
|
|
0.23
|
Total from investment
operations
|
(2.46)
|
|
(0.17)
|
|
11.80
|
|
0.22
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
Net investment
income(3)
|
(1.39)
|
|
(1.40)
|
|
—
|
|
—
|
Net realized
gains
|
—
|
|
(3.45)
|
|
(2.49)
|
|
(0.33)
|
Return of
capital
|
(0.41)
|
|
—
|
|
—
|
|
—
|
Total dividends and distributions to
shareholders
|
(1.80)
|
|
(4.85)
|
|
(2.49)
|
|
(0.33)
|
Net asset value, end of
period
|
$
19.92 |
|
$
24.18 |
|
$
29.20 |
|
$
19.89 |
Market value, end of
period
|
$
17.42 |
|
$
23.58 |
|
$
27.41 |
|
$
17.72 |
Total return, net asset value(4),
(5)
|
(10.03)%
|
|
(1.85)%
|
|
—%
(6) |
|
—%
(6) |
Total return, market value(4),
(5)
|
(18.42)%
|
|
2.75%
|
|
71.09%
|
|
(9.92)%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
Ratio of net expenses after interest expense to average net assets(7),
(8)
|
2.04%
|
|
1.47%
(9), (10) |
|
1.42%
(9) |
|
1.34%
(10) |
Ratio of total expenses after interest expense to average net
assets(7)
|
2.17%
|
|
1.56%
(9), (10) |
|
1.43%
(9) |
|
1.34%
(10) |
Ratio of net investment income (loss) to average net
assets(7)
|
(0.04)%
|
|
(0.66)%
(9), (10) |
|
(0.33)%
(9) |
|
(0.15)%
(10) |
Portfolio turnover
rate(4)
|
53%
|
|
53%
|
|
103%
|
|
56%
|
Net assets, end of period
(000’s)
|
$684,123
|
|
$
830,479 |
|
$1,002,838
|
|
$682,816
|
Loan payable, end of period
(000’s)
|
$130,000
|
|
$
30,000 |
|
$
30,000 |
|
$
30,000 |
Asset coverage, per $1,000 principal amount of loan
payable
|
$
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 1.55% for the year ended January 31, 2023, and 1.43%, 1.40% and 1.34% for the period ended January 31, 2022, year ended February 28, 2021 and period ended February 29, 2020 respectively. |
(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. |
See Notes to Financial Statements
CONVERTIBLE & INCOME
2024 TARGET TERM FUND (CBH)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
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
|
$
9.80 |
|
$
10.71 |
|
$
9.85 |
|
$
9.71 |
|
$
9.79 |
|
$
9.84(3) |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)(4)
|
0.27
|
|
0.25
|
|
0.41
|
|
0.43
|
|
0.48
|
|
0.35
|
Net realized and unrealized gain (loss)
|
(0.16)
|
|
(0.27)
|
|
1.00
|
|
0.26
|
|
(0.01)
|
|
(0.06)
|
Total from investment operations
|
0.11
|
|
(0.02)
|
|
1.41
|
|
0.69
|
|
0.47
|
|
0.29
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
(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
|
(0.64)
|
|
(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
|
$
9.27 |
|
$
9.80 |
|
$
10.71 |
|
$
9.85 |
|
$
9.71 |
|
$
9.79 |
Market value, end of period
|
$
9.00 |
|
$
9.88 |
|
$
10.04 |
|
$
9.14 |
|
$
9.00 |
|
$
9.22 |
Total return, net asset value(5), (6)
|
1.40%
|
|
(0.28)%
|
|
—%
(7) |
|
—%
(7) |
|
—%
(7) |
|
—%
(7) |
Total return, market value(5), (6)
|
(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)
|
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)
|
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)
|
2.91%
|
|
2.58%
(11) |
|
4.24%
|
|
4.34%
|
|
4.94%
|
|
5.47%
(11) |
Portfolio turnover rate(5)
|
18%
|
|
56%
|
|
101%
|
|
86%
|
|
116%
|
|
66%
|
Net assets, end of period (000’s)
|
$169,375
|
|
$178,998
|
|
$195,606
|
|
$179,907
|
|
$177,319
|
|
$178,760
|
Loan payable, end of period (000’s)
|
$
69,700 |
|
$
69,700 |
|
$
69,700 |
|
$
69,700 |
|
$
69,700 |
|
$
69,700 |
Asset coverage, per $1,000 principal amount of loan payable
|
$
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 1.30%, 1.37%, 1.33%, 1.31%, 1.36% and 1.23% for the 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. |
See Notes to Financial Statements
CONVERTIBLE & INCOME
FUND (NCV)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A COMMON SHARE
OUTSTANDING THROUGHOUT EACH PERIOD
|
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
|
$
5.55 |
|
$
6.46 |
|
$
5.33 |
|
$
5.61 |
|
$
6.54 |
|
$
6.86 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)(2)
|
0.19
|
|
0.21
|
|
0.37
|
|
0.52
|
|
0.56
|
|
0.69
|
Net realized and unrealized gain (loss)
|
(1.09)
|
|
(0.59)
|
|
1.35
|
|
(0.02)
|
|
(0.64)
|
|
(0.16)
|
Total from investment operations
|
(0.90)
|
|
(0.38)
|
|
1.72
|
|
0.50
|
|
(0.08)
|
|
0.53
|
Dividends
on Preferred Shares from Net Investment Income: |
(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
|
(1.01)
|
|
(0.44)
|
|
1.65
|
|
0.36
|
|
(0.20)
|
|
0.46
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
(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
|
(0.51)
|
|
(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
|
$
4.08 |
|
$
5.55 |
|
$
6.46 |
|
$
5.33 |
|
$
5.61 |
|
$
6.54 |
Market value, end of period
|
$
3.96 |
|
$
5.31 |
|
$
5.68 |
|
$
5.10 |
|
$
6.24 |
|
$
6.93 |
Total return, net asset value(3), (4)
|
(17.30)%
|
|
(7.41)%
|
|
—%
(5) |
|
—%
(5) |
|
—%
(5) |
|
—%
(5) |
Total return, market value(3), (4)
|
(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)
|
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)
|
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)
|
4.38%
|
|
3.69%
|
|
7.04%
|
|
9.30%
|
|
9.22%
|
|
10.32%
|
Portfolio turnover rate(3)
|
71%
|
|
54%
|
|
73%
|
|
35%
|
|
41%
|
|
34%
|
Net assets, end of period (000’s)
|
$368,409
|
|
$501,250
|
|
$583,944
|
|
$481,633
|
|
$502,648
|
|
$580,867
|
Loan payable, end of period (000’s)
|
$170,000
|
|
$
28,852 |
|
$
28,852 |
|
$
28,852 |
|
$
28,852 |
|
$
— |
Asset coverage, per $1,000 principal amount of loan payable
|
$
3,755 |
|
$
29,578 |
|
$
32,444 |
|
$
28,898 |
|
$
29,627 |
|
$
— |
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares
|
$
59 |
|
$
61 |
|
$
70 |
|
$
62 |
|
$
64 |
|
$
— |
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred shares
|
$
— |
|
$
60,587 |
|
$
70,027 |
|
$
62,132 |
|
$
63,572 |
|
$
65,668 |
Cumulative Preferred shares average market value(10)
|
$
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 1.46%, 1.31%, 1.35%, 1.33%, 1.34% and 1.21% for the 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) |
Based
on daily closing market prices. |
See Notes to Financial Statements
CONVERTIBLE & INCOME
FUND II (NCZ)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A COMMON SHARE
OUTSTANDING THROUGHOUT EACH PERIOD
|
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
|
$
4.96 |
|
$
5.79 |
|
$
4.79 |
|
$
5.03 |
|
$
5.87 |
|
$
6.14 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)(2)
|
0.18
|
|
0.19
|
|
0.34
|
|
0.48
|
|
0.50
|
|
0.62
|
Net realized and unrealized gain (loss)
|
(0.98)
|
|
(0.54)
|
|
1.20
|
|
(0.03)
|
|
(0.57)
|
|
(0.14)
|
Total from investment operations
|
(0.80)
|
|
(0.35)
|
|
1.54
|
|
0.45
|
|
(0.07)
|
|
0.48
|
Dividends
on Preferred Shares from Net Investment Income: |
(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
|
(0.92)
|
|
(0.42)
|
|
1.46
|
|
0.31
|
|
(0.19)
|
|
0.42
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
(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
|
(0.45)
|
|
(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
|
$
3.63 |
|
$
4.96 |
|
$
5.79 |
|
$
4.79 |
|
$
5.03 |
|
$
5.87 |
Market value, end of period
|
$
3.33 |
|
$
4.62 |
|
$
5.01 |
|
$
4.54 |
|
$
5.44 |
|
$
6.10 |
Total return, net asset value(3), (4)
|
(17.84)%
|
|
(7.95)%
|
|
—%
(5) |
|
—%
(5) |
|
—%
(5) |
|
—%
(5) |
Total return, market value(3), (4)
|
(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)
|
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)
|
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)
|
4.57%
|
|
3.73%
|
|
7.18%
|
|
9.48%
|
|
9.28%
|
|
10.31%
|
Portfolio turnover rate(3)
|
72%
|
|
54%
|
|
73%
|
|
35%
|
|
41%
|
|
33%
|
Net assets, end of period (000’s)
|
$276,002
|
|
$377,882
|
|
$440,994
|
|
$364,382
|
|
$379,901
|
|
$440,106
|
Loan payable, end of period (000’s)
|
$
95,000 |
|
$
— |
|
$
— |
|
$
— |
|
$
— |
|
$
— |
Asset coverage, per $1,000 principal amount of loan payable
|
$
5,053 |
|
$
— |
|
$
— |
|
$
— |
|
$
— |
|
$
— |
Asset coverage, per $25 liquidation preference per share of cumulative preferred shares
|
$
59 |
|
$
60 |
|
$
65 |
|
$
58 |
|
$
60 |
|
$
— |
Asset coverage per $25,000 liquidation preference per share of auction-rate preferred shares
|
$
— |
|
$
59,793 |
|
$
65,454 |
|
$
58,421 |
|
$
59,845 |
|
$
65,147 |
Cumulative Preferred shares average market value(10)
|
$
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 1.53%, 1.35%, 1.39%, 1.36%, 1.39% and 1.24% for the 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) |
Based
on daily closing market prices. |
See Notes to Financial Statements
DIVERSIFIED INCOME &
CONVERTIBLE FUND (ACV)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A COMMON SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Year
Ended January 31, |
|
2023
|
|
2022
|
|
2021
|
|
2020
|
|
2019
|
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
27.25 |
|
$
35.15 |
|
$
24.81 |
|
$
22.05 |
|
$
23.88 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(1)
|
(0.02)
|
|
(0.17)
|
|
0.01
|
|
0.11
|
|
0.16
|
Net realized and unrealized gain
(loss)
|
(3.65)
|
|
0.09
|
|
12.71
|
|
4.65
|
|
0.01
|
Total from investment
operations
|
(3.67)
|
|
(0.08)
|
|
12.72
|
|
4.76
|
|
0.17
|
Dividends
and Distributions to Common Shareholders: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(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
|
(2.36)
|
|
(7.82)
|
|
(2.38)
|
|
(2.00)
|
|
(2.00)
|
Net asset value, end of
period
|
$
21.22 |
|
$
27.25 |
|
$
35.15 |
|
$
24.81(2) |
|
$
22.05 |
Market value, end of
period
|
$
22.62 |
|
$
27.75 |
|
$
32.25 |
|
$
25.22 |
|
$
21.29 |
Total return, net asset
value(3)
|
(13.45)%
|
|
(2.32)%
|
|
—%
(4) |
|
—%
(4) |
|
—%
(4) |
Total return, market
value(3)
|
(9.06)%
|
|
7.46%
|
|
40.11%
|
|
29.04%
|
|
3.89%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
Ratio of net expenses after interest expense to average net
assets(5)
|
3.36%
|
|
2.47%
(6) |
|
2.84%
(6) |
|
3.32%
|
|
3.40%
(6) |
Ratio of total expenses after interest expense to average net
assets
|
3.49%
|
|
2.55%
(6) |
|
2.84%
(6) |
|
3.32%
|
|
3.40%
(6) |
Ratio of net investment income (loss) to average net
assets
|
(0.07)%
|
|
(0.48)%
(6) |
|
0.05%
(6) |
|
0.47%
|
|
0.72%
(6) |
Portfolio turnover
rate
|
94%
|
|
108%
|
|
128%
|
|
120%
|
|
105%
|
Net assets, end of period
(000’s)
|
$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 |
Mandatory redeemable preferred shares, end of period
(000’s)
|
$
30,000 |
|
$
30,000 |
|
$
30,000 |
|
$
30,000 |
|
$
30,000 |
Asset coverage, per $1,000 principal amount of loan
payable(7)
|
$
4,331 |
|
$
5,165 |
|
$
6,252 |
|
$
4,823 |
|
$
4,431 |
Asset coverage ratio on total leverage
(8)
|
309%
|
|
369%
|
|
447%
|
|
344%
|
|
316%
|
Asset coverage, per $25 liquidation preference per share of mandatory redeemable preferred
shares(9)
|
$
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) |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning, ending and reinvestment values. |
(4) |
Return
not disclosed. |
(5) |
Ratio
of net expenses, before interest expense to average net assets was 2.17%, 1.85%, 2.03%, 2.14%, and 2.20% for the years ended January 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(6) |
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. |
(7) |
Represents
value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
(8) |
Represents
value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable and mandatory redeemable preferred shares at the end of the period. |
(9) |
Represents
value of net assets applicable to common stock plus the loan payable and mandatory redeemable preferred shares at the end of the period divided by the loan payable and mandatory redeemable preferred shares at the end of the period multiplied by
$25. |
See Notes to Financial Statements
DIVIDEND, INTEREST &
PREMIUM STRATEGY FUND (NFJ)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Year
Ended January 31, |
|
2023
|
|
2022
|
|
2021
|
|
2020
|
|
2019
|
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
16.33 |
|
$
15.21 |
|
$
14.34 |
|
$
13.52 |
|
$
15.32 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(1)
|
0.08
|
|
0.05
|
|
0.13
|
|
0.24
|
|
0.27
|
Net realized and unrealized gain
(loss)
|
(1.22)
|
|
1.97
|
|
1.64
|
|
1.48
|
|
(1.17)
|
Total from investment
operations
|
(1.14)
|
|
2.02
|
|
1.77
|
|
1.72
|
|
(0.90)
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(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
|
(1.00)
|
|
(0.90)
|
|
(0.90)
|
|
(0.90)
|
|
(0.90)
|
Net asset value, end of
period
|
$
14.19 |
|
$
16.33 |
|
$
15.21 |
|
$
14.34 |
|
$
13.52 |
Market value, end of
period
|
$
12.31 |
|
$
14.73 |
|
$
13.28 |
|
$
13.09 |
|
$
11.90 |
Total return, net asset
value(2)
|
(6.71)%
|
|
13.39%
|
|
—%
(3) |
|
—%
(3) |
|
—%
(3) |
Total return, market
value(2)
|
(9.24)%
|
|
17.77%
|
|
9.71%
|
|
18.17%
|
|
(5.42)%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
Ratio of net expenses to average net
assets
|
0.96%
|
|
0.96%
|
|
0.96%
|
|
0.96%
|
|
0.95%
|
Ratio of total expenses to average net
assets
|
1.08%
|
|
1.06%
|
|
0.96%
|
|
0.96%
|
|
0.95%
|
Ratio of net investment income (loss) to average net
assets
|
0.58%
|
|
0.28%
|
|
0.94%
|
|
1.73%
|
|
1.87%
|
Portfolio turnover
rate
|
60%
|
|
63%
|
|
104%
|
|
76%
|
|
50%
|
Net assets, end of period
(000’s)
|
$1,345,311
|
|
$1,548,372
|
|
$1,441,666
|
|
$1,359,815
|
|
$1,281,712
|
|
|
(1) |
Calculated
using average shares outstanding. |
(2) |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning, ending and reinvestment values. |
(3) |
Return
not disclosed. |
See Notes to Financial Statements
EQUITY & CONVERTIBLE
INCOME FUND (NIE)
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Year
Ended January 31, |
|
2023
|
|
2022
|
|
2021
|
|
2020
|
|
2019
|
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
30.32 |
|
$
30.91 |
|
$
24.89 |
|
$
22.53 |
|
$
24.51 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(1)
|
0.11
|
|
(0.09)
|
|
0.06
|
|
0.18
|
|
0.19
|
Net realized and unrealized gain
(loss)
|
(4.02)
|
|
2.77
|
|
7.48
|
|
3.70
|
|
(0.65)
|
Total from investment
operations
|
(3.91)
|
|
2.68
|
|
7.54
|
|
3.88
|
|
(0.46)
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(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
|
(3.98)
|
|
(3.27)
|
|
(1.52)
|
|
(1.52)
|
|
(1.52)
|
Net asset value, end of
period
|
$
22.43 |
|
$
30.32 |
|
$
30.91 |
|
$
24.89(2) |
|
$
22.53 |
Market value, end of
period
|
$
20.28 |
|
$
27.33 |
|
$
27.78 |
|
$
23.14 |
|
$
20.52 |
Total return, net asset
value(3)
|
(12.54)%
|
|
8.22%
|
|
—%
(4) |
|
—%
(4) |
|
—%
(4) |
Total return, market
value(3)
|
(10.96)%
|
|
9.80%
|
|
28.21%
|
|
20.83%
|
|
(0.25)%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
Ratio of net expenses to average net
assets
|
1.07%
|
|
1.12%
(5) |
|
1.07%
|
|
1.07%
|
|
1.13%
(5) |
Ratio of total expenses to average net
assets
|
1.18%
|
|
1.22%
(5) |
|
1.07%
|
|
1.07%
|
|
1.13%
(5) |
Ratio of net investment income (loss) to average net
assets
|
0.41%
|
|
(0.28)%
(5) |
|
0.24%
|
|
0.74%
|
|
0.83%
(5) |
Portfolio turnover
rate
|
76%
|
|
71%
|
|
85%
|
|
50%
|
|
81%
|
Net assets, end of period
(000’s)
|
$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 $0.01. |
(3) |
Total
return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to
be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not
reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value
for the beginning, ending and reinvestment values. |
(4) |
Return
not disclosed. |
(5) |
Inclusive
of excise tax expense of 0.05% and 0.07% for the years ended January 31, 2022 and 2019, respectively. |
See Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS
January 31, 2023
Note 1. Organization
Artificial Intelligence & Technology
Opportunities Fund (AIO), Convertible & Income 2024 Target Term Fund (CBH), Convertible & Income Fund (NCV), Convertible & Income Fund II (NCZ), Diversified Income & Convertible Fund (ACV), Dividend, Interest & Premium Strategy
Fund (NFJ), and Equity & Convertible Income Fund (NIE) (each, a “Fund” and, collectively, the “Funds”), were organized as Massachusetts business trusts on May 24, 2019, March 21, 2017, January 17, 2003, April 22, 2003,
March 10, 2015, December 12, 2006, and August 20, 2003, respectively. The Funds are each organized and registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the “1940
Act”), and the rules and regulations thereunder.
Note 2. Significant Accounting Policies
($ reported in thousands)
The Funds are investment companies that
follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The following is a summary of significant
accounting policies consistently followed by the Funds in the preparation of their financial statements and for derivatives, included in Note 3 below. The preparation of financial statements in conformity with U.S. generally accepted accounting
principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the
reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A.
|
Security Valuation |
|
Each Fund
utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
|
•
Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
• Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 – prices determined using significant unobservable inputs (including the Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation
techniques applied to a Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the
official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity
securities and illiquid private placements are internally fair valued by the Adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair
valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local
developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock
Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Funds fair value non-U.S. securities using an independent pricing service which considers the
correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are
categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible
bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that
considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices.
These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are
generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are
generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options,
that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter (“OTC”) derivative contracts, which include
forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are
valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
A summary of the inputs used to value a
Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
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 and capital
gains, if any, 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 such 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 |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
|
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. |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
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. |
Note 3. Derivative Financial Instruments and
Transactions
($ reported in
thousands)
Disclosures about
derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and
financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by certain Funds.
A.
|
Options Contracts |
|
The Funds may write (sell)
put and call options on securities and indices to earn premiums, for hedging purposes, risk management purposes or otherwise as part of their investment strategies. An options contract provides the purchaser with the right, but not the obligation,
to buy (call option) or sell (put option) a financial instrument at an agreed upon price. |
|
When a Fund writes an option,
it receives a premium and an amount equal to that premium is recorded as a liability. The liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted
in the Schedules of Investments. Written options are reported as a liability within “Written options at value.” Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written
options” in the Statements of Operations. |
|
If an option expires
unexercised, the Fund realizes a gain to the extent of the premium received. If a written call option is exercised, the premium received is recorded as an adjustment to the proceeds from the sale. If a written put option is exercised, the premium
reduces the cost basis of the security. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or loss. Gain or loss on written options is presented separately as
“Net realized gain (loss) from written options” in the Statements of Operations. |
|
The risk in writing call
options is that the Fund gives up the opportunity for profit if the market price of the referenced security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the
referenced security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of
unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option,
be significantly different from the then-market value. As the writer of a covered call option, the Fund forgoes, during the option’s life, the opportunity to profit from increases in the market value of the security covering the call option
above the sum of the premium and the strike price of the call, but retains the risk of loss should the price of the underlying security decline. |
|
During the year ended January
31, 2023, the ACV, NFJ and NIE invested in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. |
|
The
following is a summary of derivative instruments categorized by primary risk exposure, and location as presented in the Statements of Assets and Liabilities at January 31, 2023: |
Statement
Line Description |
Primary
Risk |
ACV
|
|
NFJ
|
|
NIE
|
Liability
Derivatives |
|
Written
options at value |
Equity
contracts |
$(4)
|
|
$(1,791)
|
|
$(22)
|
Total
|
|
$(4)
|
|
$(1,791)
|
|
$(22)
|
The following is a summary of derivative
instruments categorized by primary risk exposure, and location as presented in the Statements of Operations for the year ended January 31, 2023:
Statement
Line Description |
Primary
Risk |
ACV
|
|
NFJ
|
|
NIE
|
Net
Realized Gain (Loss) From |
Written
options |
Equity
contracts |
$575
|
|
$
2,417 |
|
$3,350
|
Total
|
|
$575
|
|
$
2,417 |
|
$3,350
|
Net
Change in Unrealized Appreciation (Depreciation) on |
Written
options |
Equity
contracts |
$
36 |
|
$
(1,074) |
|
$
234 |
Total
|
|
$
36 |
|
$
(1,074) |
|
$
234 |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
The table below shows the quarterly average
volume (unless otherwise specified) of the derivatives held by the applicable Funds for the year ended January 31, 2023.
|
ACV
|
|
NFJ
|
|
NIE
|
Written
Options(1)
|
$55
|
|
$1,097
|
|
$323
|
(1) Average premium amount. |
Note 4. Investment Advisory Fees and Related Party
Transactions
($ reported in
thousands)
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
|
|
AIO and CBH define total managed assets as
the total assets of each Fund (including assets attributable to any borrowings, issued debt securities or preferred shares that may be outstanding, reverse repurchase agreements and dollar rolls) minus accrued liabilities (other than liabilities
representing borrowings, issued debt securities, reverse repurchase agreements and dollar rolls). NCV and NCZ define total managed assets as the total assets of each Fund (including any assets attributable to any Preferred Shares or other forms of
leverage of the Fund that may be outstanding) minus accrued liabilities (other than liabilities representing leverage). ACV defines total managed assets as the total assets of the Fund (including assets attributable to any preferred shares,
borrowings, issued debt securities or other forms of leverage that may be outstanding) minus accrued liabilities (other than liabilities representing leverage). NFJ and NIE define total managed assets as the total assets of each Fund (including
assets attributable to any borrowing that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings).
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) |
|
|
|
(1) Effective July 25, 2022, Voya Investment Management Co. LLC (“Voya IM”) serves as the subadviser to the Funds. Prior to
July 25, 2022, Allianz Global Investors U.S. LLC (“AllianzGI”) served as subadviser to the Funds. On May 17, 2022, AllianzGI announced that it had settled certain government charges about matters unrelated to the Funds, as a result of
which AllianzGI would no longer be permitted to manage U.S. registered open-end and closed-end funds after a brief transition period.
(2) NFJ Investment Group, LLC (“NFJ Investment Group”), which is an indirect, wholly-owned subsidiary of
Virtus.
C.
|
Expense Limitations |
|
The
Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exclusions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily
net assets through February 1, 2023. |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
|
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
|
The
exclusions include investment advisory fees paid to VIA, interest, any other fees or expenses relating to financial leverage, preferred shares (such as dividends on preferred shares, auction agent fees and commissions and rating agency fees) or
borrowing (such as interest, commitment, amendment and renewal expenses on credit or redemption facilities), taxes, extraordinary, unusual or infrequently occurring expenses (such as litigation), costs related to share offerings, brokerage
commissions, expenses incurred in connection with any merger or reorganization, underlying fund expenses and dividend expenses, if any (each expressed as a percentage of average daily net assets attributable to common shares).
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 year ending December 31: |
|
|
Expiration
|
|
|
Fund
|
|
2024
|
|
2025
|
|
2026
|
|
Total
|
AIO
|
|
$
22 |
|
$
836 |
|
$
894 |
|
$
1,752 |
CBH
|
|
25
|
|
175
|
|
117
|
|
317
|
NCV
|
|
107
|
|
794
|
|
720
|
|
1,621
|
NCZ
|
|
97
|
|
595
|
|
535
|
|
1,227
|
ACV
|
|
—
|
|
279
|
|
302
|
|
581
|
NFJ
|
|
—
|
|
1,598
|
|
1,590
|
|
3,188
|
NIE
|
|
—
|
|
888
|
|
783
|
|
1,671
|
E.
|
Administration Services
|
|
Virtus Fund Services, LLC
(“VFS”), an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds. For the services provided by the administrator under the Administration Agreement, the Funds pay the administrator an asset-based fee
calculated on each Fund’s average daily Managed Assets. This fee is calculated daily and paid monthly. |
|
For the year ended January
31, 2023, the Funds incurred administration fees totaling $4,719 which are included in the Statements of Operations within the line item “Administration and accounting fees”. |
F.
|
Trustees’ Fees |
|
For the year ended January
31, 2023, the Funds incurred Trustees’ fees totaling $935 which are included in the Statements of Operations within the line item “Trustees’ fees and expenses”. |
G.
|
Investments with Affiliates
|
|
The Funds are permitted to
purchase assets from or sell assets to certain affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or
portfolio that is, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under
the procedures, each transaction is effected at the current market price. During the year ended January 31, 2023, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. |
|
Outside of
Rule 17a-7 transactions, other investments with affiliated issuers are separately reported in this footnote. An affiliated issuer includes any company in which the Fund held 5% or more of a company’s outstanding voting shares at any point
during the period, as well as other circumstances where an investment adviser or subadviser to a Fund is deemed to exercise, directly or indirectly, a certain level of control over the company. A summary of the Funds’ total long-term and
short-term purchases and sales of the securities of affiliated issuers during the period ended January 31, 2023, is as follows: |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
|
Value,
beginning of period |
|
Purchases
|
|
Sales
proceeds |
|
Net
realized gain (loss) on affiliated securities |
|
Net
change in unrealized appreciation (depreciation) on affiliated securities |
|
Value,
end of period |
|
Shares
|
NCV
|
Preferred
Stocks—0.0% |
LiveStyle, Inc. Series
B(1),(2),(3),(4),(5)
|
$2,519
|
|
$—
|
|
$1,289
|
|
$
25 |
|
$
(50) |
|
$—
|
|
—
|
LiveStyle, Inc. Series B
(1),(4),(6)
|
—
(7) |
|
—
|
|
—
(8) |
|
(6,750)
|
|
6,750
|
|
—
|
|
—
|
|
$2,519
|
|
$—
|
|
$1,289
|
|
$(6,725)
|
|
$6,700
|
|
$—
|
|
|
Common
Stocks—0.0% |
LiveStyle,
Inc.(1),(2),(3),(4),(5)
|
—
(8) |
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
|
$2,519
|
|
$—
|
|
$1,289
|
|
$(6,725)
|
|
$6,700
|
|
$—
|
|
|
|
Value,
beginning of period |
|
Purchases
|
|
Sales
proceeds |
|
Net
realized gain (loss) on affiliated securities |
|
Net
change in unrealized appreciation (depreciation) on affiliated securities |
|
Value,
end of period |
|
Shares
|
NCZ
|
Preferred
Stocks—0.0% |
LiveStyle, Inc. Series
B(1),(2),(3),(4),(5)
|
$2,519
|
|
$—
|
|
$1,289
|
|
$
25 |
|
$
(50) |
|
$—
|
|
—
|
LiveStyle, Inc. Series B
(1),(4),(6)
|
—
(7) |
|
—
|
|
—
(8) |
|
(5,000)
|
|
5,000
|
|
—
|
|
—
|
|
$2,519
|
|
$—
|
|
$1,289
|
|
$(4,975)
|
|
$4,950
|
|
$—
|
|
|
Common
Stocks—0.0% |
LiveStyle,
Inc.(1),(2),(3),(4),(5)
|
—
(8) |
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
|
$2,519
|
|
$—
|
|
$1,289
|
|
$(4,975)
|
|
$4,950
|
|
$—
|
|
|
|
Value,
beginning of period |
|
Purchases
|
|
Sales
proceeds |
|
Net
realized gain (loss) on affiliated securities |
|
Net
change in unrealized appreciation (depreciation) on affiliated securities |
|
Value,
end of period |
|
Shares
|
ACV
|
Preferred
Stocks—0.0% |
LiveStyle Inc. Series
B(1),(4),(6)
|
$
—(7) |
|
$—
|
|
$
—(8) |
|
$(1,250)
|
|
$1,250
|
|
$—
|
|
—
|
LiveStyle, Inc. Series B
(1),(2),(3),(4),(5)
|
378
|
|
—
|
|
194
|
|
4
|
|
(7)
|
|
—
|
|
—
|
|
$378
|
|
$—
|
|
$194
|
|
$(1,246)
|
|
$1,243
|
|
$—
|
|
|
Common
Stocks—0.0% |
LiveStyle,
Inc.(1),(2),(3),(4),(5)
|
—
(8) |
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
|
$378
|
|
$—
|
|
$194
|
|
$(1,246)
|
|
$1,243
|
|
$—
|
|
|
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
(1) |
For the
period of February 1, 2022 through March 1, 2022, a member of the Fund’s portfolio management team was a member of the board of directors of LiveStyle, Inc. |
(2) |
Issuer
is not an affiliated investment of the Fund at January 31, 2023. |
(3) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) |
Non-income
producing. |
(5) |
Security
is restricted from resale. |
(6) |
Security
was not an investment of the Fund at January 31, 2023. |
(7) |
Includes
internally fair valued securities currently priced at zero ($0). |
(8) |
Amount
is less than $500. |
H.
|
Trustee Deferred Compensation
Plan |
|
The Trustees do not currently
receive any pension or retirement benefits from the Funds. In calendar year 2018 and certain prior periods, the Funds maintained a deferred compensation plan pursuant to which each Independent Trustee had the opportunity to elect not to receive all
or a portion of his or her fees from the respective Fund on a current basis, but instead to receive in a subsequent period chosen by the Independent Trustee an amount equal to the value of such compensation if such compensation had been invested in
one or more series of Virtus Investment Trust (formerly known as Allianz Funds) and Virtus Strategy Trust (formerly known as Allianz Funds Multi-Strategy Trust) selected by the Independent Trustees from and after the normal payment dates for such
compensation. The deferred compensation program was closed to new deferrals effective January 1, 2019, and all Trustee fees earned with respect to service in calendar years 2019 and 2020 were paid in cash, on a current basis. The Funds still have
obligations with respect to Independent Trustee fees deferred in 2018 and in prior periods, and will continue to have such obligations until all deferred Trustee fees are paid out pursuant to the terms of the deferred compensation plan. |
|
Effective
March 2021, each Fund provides a new deferred compensation plan (“New Plan”) for its Trustees who receive compensation from the Funds. Under the New Plan, Trustees may elect to defer all or a portion of their compensation. Amounts
deferred are retained by the Funds, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are
included in “Prepaid expenses and other assets” in the Statements of Assets and Liabilities at January 31, 2023. |
Note 5. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding
U.S. government and agency securities, short-term securities and written options) during the year ended January 31, 2023, were as follows:
|
Purchases
|
|
Sales
|
AIO
|
$471,354
|
|
$416,628
|
CBH
|
40,818
|
|
50,352
|
NCV
|
489,964
|
|
601,509
|
NCZ
|
375,505
|
|
464,662
|
ACV
|
305,137
|
|
317,181
|
NFJ
|
787,436
|
|
884,534
|
NIE
|
520,165
|
|
617,106
|
There were no
purchases or sales of long-term U.S. government and agency securities during the year ended January 31, 2023.
Note 6. Federal Income Tax Information
($ reported in thousands)
At January 31, 2023, the approximate
aggregate cost basis and the unrealized appreciation (depreciation) of investments and other financial instruments held by the Funds for federal income tax purposes were as follows:
Fund
|
|
Federal
Tax Cost |
|
Unrealized
Appreciation |
|
Unrealized
(Depreciation) |
|
Net
Unrealized Appreciation (Depreciation) |
AIO
|
|
$
807,136 |
|
$
71,931 |
|
$
(47,210) |
|
$
24,721 |
CBH
|
|
253,097
|
|
1,284
|
|
(11,829)
|
|
(10,545)
|
NCV
|
|
687,736
|
|
27,276
|
|
(71,743)
|
|
(44,467)
|
NCZ
|
|
516,476
|
|
21,311
|
|
(54,309)
|
|
(32,998)
|
ACV
|
|
352,066
|
|
8,709
|
|
(32,877)
|
|
(24,168)
|
ACV (Written
options)
|
|
(8)
|
|
5
|
|
(1)
|
|
4
|
NFJ
|
|
1,272,347
|
|
124,922
|
|
(58,444)
|
|
66,478
|
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
Fund
|
|
Federal
Tax Cost |
|
Unrealized
Appreciation |
|
Unrealized
(Depreciation) |
|
Net
Unrealized Appreciation (Depreciation) |
NFJ (Written
options)
|
|
$
(856) |
|
$
76 |
|
$
(1,011) |
|
$
(935) |
NIE
|
|
675,431
|
|
19,002
|
|
(75,117)
|
|
(56,115)
|
NIE (Written
options)
|
|
(41)
|
|
26
|
|
(7)
|
|
19
|
Certain Funds
have capital loss carryforwards available to offset future realized capital gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax
character, as applicable. For the fiscal year ended January 31, 2023, the Funds’ capital loss carryovers were as follows:
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
|
|
—
|
The components of
distributable earnings on a tax basis and certain tax attributes for the Funds consist of the following:
Fund
|
|
Undistributed
Ordinary Income |
|
Undistributed
Long-Term Capital Gains |
|
Late
Year Ordinary Losses Deferred |
|
Post-October
Capital Loss Deferred |
|
Capital
Loss Deferred |
AIO
|
|
$
— |
|
$
— |
|
$
168 |
|
$
1,914 |
|
$
5,164 |
CBH
|
|
3,299
|
|
—
|
|
—
|
|
321
|
|
565
|
NCV
|
|
—
|
|
—
|
|
—
|
|
9,518
|
|
255,533
|
NCZ
|
|
—
|
|
—
|
|
—
|
|
7,381
|
|
201,771
|
ACV
|
|
154
|
|
—
|
|
—
|
|
861
|
|
5,671
|
NFJ
|
|
8,812
|
|
—
|
|
—
|
|
—
|
|
5,706
|
NIE
|
|
3,825
|
|
3,452
|
|
—
|
|
—
|
|
—
|
The differences
between the book and tax basis of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions, if any, are reported as ordinary income for federal tax
purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and
distributions paid during the fiscal year ended January 31, 2023 and periods ended January 31, 2022 and February 28, 2021 was as follows:
|
Ordinary
Income |
|
Long-Term
Capital Gains |
|
Return
of Capital |
|
Total
|
AIO
|
|
|
|
|
|
|
|
1/31/23
|
$
17,655 |
|
$
29,997 |
|
$
14,157 |
|
$
61,809 |
1/31/22
|
108,455
|
|
58,077
|
|
—
|
|
166,532
|
2/28/21
|
85,439
|
|
—
|
|
—
|
|
85,439
|
CBH
|
|
|
|
|
|
|
|
1/31/23
|
10,083
|
|
1,659
|
|
—
|
|
11,742
|
1/31/22
|
16,220
|
|
—
|
|
—
|
|
16,220
|
2/28/21
|
10,078
|
|
—
|
|
—
|
|
10,078
|
NCV
|
|
|
|
|
|
|
|
1/31/23
|
19,715
|
|
—
|
|
36,451
|
|
56,166
|
1/31/22
|
19,969
|
|
—
|
|
27,712
|
|
47,681
|
2/28/21
|
34,490
|
|
—
|
|
18,750
|
|
53,240
|
NCZ
|
|
|
|
|
|
|
|
1/31/23
|
15,376
|
|
—
|
|
28,116
|
|
43,492
|
1/31/22
|
15,108
|
|
—
|
|
21,989
|
|
37,097
|
2/28/21
|
26,580
|
|
—
|
|
14,691
|
|
41,271
|
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
|
Ordinary
Income |
|
Long-Term
Capital Gains |
|
Return
of Capital |
|
Total
|
ACV
|
|
|
|
|
|
|
|
1/31/23
|
$
6,837 |
|
$17,578
|
|
$
— |
|
$
24,415 |
1/31/22
|
58,639
|
|
22,284
|
|
—
|
|
80,923
|
NFJ
|
|
|
|
|
|
|
|
1/31/23
|
31,698
|
|
62,772
|
|
—
|
|
94,470
|
1/31/22
|
85,321
|
|
—
|
|
—
|
|
85,321
|
NIE
|
|
|
|
|
|
|
|
1/31/23
|
60,478
|
|
49,707
|
|
—
|
|
110,185
|
1/31/22
|
42,118
|
|
48,601
|
|
—
|
|
90,719
|
Certain capital
accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. Permanent reclassifications can arise from differing treatment of certain income and gain transactions and
nondeductible current year net operating losses. These adjustments have no impact on net assets or net asset value per share of the Funds. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different
periods for financial statement and tax purposes will likely reverse at some time in the future.
Note 7. Credit and Market Risk and Asset
Concentration
Local, regional or
global events such as war or military conflict, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on a Fund and its investments, including hampering the
ability of each Fund’s portfolio manager(s) to invest each Fund’s assets as intended.
In July 2017, the head of the United Kingdom
Financial Conduct Authority (“FCA”) announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other regulators, certain of the most widely
used LIBORs are expected to continue until June 30, 2023. The ICE Benchmark Administration Limited, which is regulated and authorized by FCA, and the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021. The Funds
may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may
present a material risk for certain market participants, including the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation
and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes will have on the Funds, issuers of
instruments in which the Funds invest, and the financial markets generally.
Certain Funds may invest a high percentage
of their assets in specific sectors of the market in the pursuit of their investment objectives. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if such Fund did not concentrate its
investments in such sectors.
Each of
AIO, CBH, NCV, NCZ and ACV leverages its portfolio through preferred shares, securities lending, senior secured notes and/or margin loan financing. While leverage presents opportunities for increasing each Fund’s total return, it also has the
effect of potentially increasing losses. Accordingly, any event which adversely affects the value of an investment held by each Fund would be magnified to the extent each Fund is leveraged.
High-yield/high-risk securities typically
entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk
securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadviser to accurately predict risk.
Note 8. Auction-Rate Preferred Shares
For the period from February 1, 2022 through
November 1, 2022, NCV had 1,894 shares of Auction-Rate Preferred Shares Series A, 1,779 shares of Auction-Rate Preferred Shares Series B, 1,909 shares of Auction-Rate Preferred Shares Series C, 1,842 shares of Auction-Rate Preferred Shares Series D
and 1,507 shares of Auction-Rate Preferred Shares Series E outstanding, each with a liquidation preference of $25,000 per share.
For the period from February 1, 2022 through
November 1, 2022, NCZ had 1,296 shares of Auction-Rate Preferred Shares Series A, 1,512 shares of Auction-Rate Preferred Shares Series B, 1,239 shares of Auction-Rate Preferred Shares Series C, 1,156 shares of Auction-Rate Preferred Shares Series D
and 1,298 shares of Auction-Rate Preferred Shares Series E outstanding, each with a liquidation preference of $25,000 per share.
Dividends on the Auction-Rate Preferred
Shares accumulated daily at an annual rate that typically re-set every seven days. Distributions of net realized capital gains, if any, were paid annually.
For the year ended January 31, 2023,
the ARPS holders received dividends at the defined “maximum rate”, which for the Funds was equal to the 7-day “AA” Composite Commercial Paper Rate multiplied by a minimum of 200% depending on the credit rating of the
ARPS. The annualized dividend rates paid with respect to the Auction-Rate Preferred shares of NCV and NCZ ranged from:
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
|
High
|
|
Low
|
Series
A |
6.164%
|
|
0.160%
|
Series
B |
6.384
|
|
0.160
|
Series
C |
8.668
|
|
0.120
|
Series
D |
7.246
|
|
0.160
|
Series
E |
6.164
|
|
0.120
|
On October 3,
2022, NCV and NCZ each announced a voluntary tender offer for up to 100% of its outstanding Auction-Rate Preferred Shares, at a price equal to 97.95% of the per share liquidation preference of $25,000 per share (or $24,487.50 per share), plus any
unpaid dividends accrued through the expiration date of the tender offer of November 1, 2022. Approximately 99.7% of outstanding Auction-Rate Preferred Shares were tendered for NCV (8,902 shares) and 99.2% of outstanding Auction-Rate Preferred
Shares were tendered for NCZ (6,452 shares).
On January 4, 2023, NCV and NCZ announced
that each Fund would redeem, at liquidation preference plus any accumulated but unpaid dividends, its remaining Auction-Rate Preferred Shares beginning on January 23, 2023 and concluding on January 27, 2023 (29 shares for NCV and 49 shares for
NCZ).
As of January 31, 2023, there
were no Auction-Rate Preferred Shares outstanding.
Note 9. Liquidity Facility and Securities Lending
($ reported in thousands)
AIO, CBH, NCV and NCZ have a Master Margin
Loan Agreement (the “MMLA”) and a Securities Lending Authorization Agreement (the “SLAA” and together with the MMLA, the “BNYM Facilities”) with The Bank of New York Mellon (“BNYMellon”). Under the
MMLA the Funds pledge their assets as collateral to secure obligations but retain the risks and rewards of the ownership of assets pledged to secure such obligations.
Under the SLAA, the Funds may loan
securities to qualified brokers through a securities lending agency agreement with BNYMellon. Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market
value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral consists of cash which is invested in a short-term money market fund and/or released to each Fund to be used
for liquidity purposes in conjunction with the MMLA. Cash collateral received from securities lending is first credited against borrowings under the MMLA. Upon return of securities by the borrower, BNYMellon returns the cash collateral to the
borrower, as applicable, which eliminates the credit against the borrowings and causes the drawdowns under the MMLA to increase by the amounts returned. The securities lending program is subject to the same limits and interest rate structure as the
MMLA. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYMellon for its services as securities lending agent and in connection with this securities lending
program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
Securities lending transactions are entered
into by each Fund under the SLAA which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and
create one single net payment due to or from the Fund.
At January 31, 2023, the securities loaned
were subject to the SLAA on a net payment basis as follows:
Fund
|
|
Value
of Securities on Loan |
|
Cash
Collateral Invested in Short-Term Money Market Fund(3) |
|
Cash
Collateral used for Borrowing(1) |
|
Net
Amount(2) |
AIO
|
|
$
42,377 |
|
$13,000
|
|
$29,377
|
|
$
— |
CBH
|
|
7,715
|
|
1,000
|
|
6,715
|
|
—
|
(1) |
Collateral
received in excess of the market value of securities on loan is not presented in this table. Amount represents the cash collateral received in connection with securities lending transactions that has been used for the purchase of long-term
securities as disclosed in the Fund’s Schedule of Investments. |
(2) |
Net
amount represents the net amount receivable/due from the counterparty in the event of default. |
(3) |
Amount
invested in a Money Market Mutual Fund with an Overnight and Continuous contractual maturity. |
At January 31, 2023, the maximum capital
commitment amounts under the MMLA were $130,000, $71,000, $34,000 and $25,000, respectively, for AIO, CBH, NCV and NCZ. Interest on amounts drawn under each MMLA is charged at a daily rate, and a commitment fee is paid on the undrawn amounts as
agreed to in the MMLA. As of January 31, 2023, AIO and CBH used cash collateral received from the SLAA to purchase long term investments and/or invest the amount in a short-term money market fund. These investments are included in the
line item “Investments, at value” on the Statements of Assets and Liabilities. The securities on loan under the SLAA and securities pledged as collateral under the MMLA are reflected on the Schedule of Investments. Any amounts payable
under the MMLA/SLAA are reflected in the Statements of Assets and Liabilities as “Loan Payable” and/or “Collateral on securities loaned.” The interest rate charged at January 31, 2023 was 4.67% for AIO and CBH. The expense is
included in the Funds’ Statements of Operations under “Loan interest”.
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
Effective November 1, 2022, NCV and NCZ
entered into an additional temporary Master Margin Loan Agreement (the “temporary MMLA”) with BNYM that allows NCV to borrow up to a limit of $150 million and NCZ to borrow up to a limit of $75 million. The MMLA and the temporary MMLA
for NCV and NCZ paid interest at the rate of 5.17% at January 31, 2023.
For the year ended January 31, 2023, the
outstanding borrowings, average borrowings, average interest rate and interest expense under the BNYM Facilities were as follows:
Fund
|
|
Outstanding
Borrowings |
|
Average
Borrowing |
|
Weighted
Average Interest Rate |
|
Days
Outstanding |
|
Loan
Interest Expense |
AIO
|
|
$
130,000 (a) |
|
$120,932
|
|
2.80%
|
|
365
|
|
3,429
|
CBH
|
|
69,700
(b) |
|
69,700
|
|
2.65
|
|
365
|
|
1,873
|
NCV
|
|
170,000
(c) |
|
82,370
|
|
4.11
|
|
240
|
|
2,257
|
NCZ
|
|
95,000
(c) |
|
95,000
|
|
4.94
|
|
91
|
|
1,185
|
(a) |
Represents
$30,000 received through the SLAA and $100,000 received through the MMLA |
(b) |
Represents
$7,000 received through the SLAA and $62,700 received through the MMLA |
(c) |
Full
amount received through the MMLA and the temporary MMLA. |
Note 10. Long-Term Financing Arrangements
($ reported in thousands)
On October 2, 2015, ACV completed a private
placement with a single institutional investor, consisting of $30,000 in Series A Mandatory Redeemable Preferred Shares (“MRPS”) with a mandatory redemption date of October 2, 2025, and $50,000 in Senior Secured Notes
(“Notes” and together with MRPS, “Long-Term Financing Arrangements”) due November 22, 2029. For a portion of its borrowings, ACV continues to maintain short-term borrowings under the Margin Loan Financing described in Note 11
at variable interest rates.
Mandatory
Redeemable Preferred Shares
At January
31, 2023, ACV had 1,200,000 shares of MRPS outstanding with an aggregate liquidation preference of $30,000 ($25.00 per share (not reported in thousands)). The following table summarizes the key terms of the MRPS at January 31, 2023:
|
Mandatory
Redemption Date |
|
Annual
Dividend Rate |
|
Aggregate
Liquidation Preference |
|
Estimated
Fair Value |
|
October
2, 2025 |
|
4.34%
|
|
$30,000
|
|
$30,000
|
The fair value of
the MRPS are estimated to be their liquidation preference. The MRPS are categorized as Level 2 within the fair value hierarchy. Holders of MRPS are entitled to receive a quarterly dividend at an annual fixed dividend rate of 4.34%, subject to upward
adjustment (by as much as 4.00%) during any period when the MRPS have a rating of below “A” from Fitch, or the equivalent from another rating agency (with the rate increasing at lower rating levels). Dividends are accrued daily and paid
quarterly and are presented in ACV’s Statement of Assets & Liabilities as interest payable on mandatory redeemable preferred shares. For the year ended January 31, 2023, ACV paid $1,302 in dividends to mandatory redeemable preferred
shareholders. The MRPS are senior, with priority in all respects, to ACV’s outstanding common shares as to payments of dividends and as to distribution of assets upon dissolution, liquidation or winding up of the affairs of the Fund. The MRPS
rank pari passu with any and all other preferred shares of the Fund, and rank junior to the Fund’s indebtedness, including the Notes, the Margin Loan Financing and any other senior secured indebtedness. ACV may redeem all or any part of the
MRPS at any time, subject to certain redemption premiums. With respect to the MRPS, the Fund is subject to periodic asset coverage testing. If the Fund’s asset coverage is insufficient, it may be required to redeem some or all of the
MRPS.
Senior Secured Notes
At January 31, 2023, ACV had $50,000 in
aggregate principal amount of Notes outstanding. The Notes rank pari passu with all other senior debt of ACV, including the Margin Loan Financing, and are secured by a lien on all assets of the Fund of every kind, including all securities and all
other investment property, equal and ratable with the liens securing the Margin Loan Financing. The Notes are senior, with priority in all respects, to the MRPS and the outstanding common shares as to payments of dividends and as to distribution of
assets upon dissolution, liquidation or winding up of the affairs of the Fund. Holders of the Notes are entitled to receive cash interest payments semi-annually until maturity. The Notes accrue interest at an annual fixed rate of 3.94%. The Notes
will be subject to a penalty interest rate if ratings fall below A- from Fitch or the equivalent from another agency. The Notes are prepayable in whole or in part at any time, subject to a prepayment premium, which may be adjusted under some
circumstances based on asset coverage levels. Interest expense of $1,970 is included in the ACV’s Statement of Operations.
The following table shows the maturity date,
interest rate, notional/carrying amount and estimated fair value of the Notes outstanding at January 31, 2023:
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
|
Maturity
Date |
|
Interest
Rate |
|
Notional/
Carrying Amount |
|
Estimated
Fair Value |
|
November
22, 2029 |
|
3.94%
|
|
$50,000
|
|
$50,000
|
The fair value of
the senior secured notes are estimated to be their carrying amount. The senior secured notes are categorized as Level 2 within the fair value hierarchy.
With respect to the Notes, the Fund is
subject to monthly asset coverage tests that mirror those applicable to closed-end funds set forth in Section 18 of the 1940 Act, as well as periodic asset coverage tests that are tied to rating agency criteria, in each case subject to various terms
and conditions. A breach of any of these tests, after the passage of a cure period, would constitute an event of default under the Notes. The agreements governing the MRPS and Notes impose certain additional customary covenants and restrictions on
the Fund, including, among others, restrictions on distributions and a requirement that the Fund adhere to its stated investment policies.
Note 11. Margin Loan Financing
($ reported in thousands)
ACV has entered into a margin loan financing
agreement with a commercial bank (the “Bank”) that allows the Fund to borrow cash from the Bank. Cash borrowings are secured by assets of the ACV that are held with the Fund’s custodian in a separate account. Through March 31,
2022, interest was charged at 3-month LIBOR plus an additional percentage rate on the amount borrowed. Effective April 1, 2022, interest is charged at the Overnight Bank Funding Rate plus an additional percentage rate on the amount
borrowed.
For the year ended January
31, 2023, the weighted average daily balance outstanding was $25,000 at the weighted average interest rate of 3.21%. With respect to the margin loan financing, loan interest expense of $802 is included in the ACV’s Statement of
Operations.
At January 31, 2023, the
amount of outstanding borrowings was as follows:
Outstanding
Borrowings |
|
Interest
Rate |
$25,000
|
|
5.39%
|
Note 12. Cumulative
Preferred Shares
On September 11,
2018, NCZ issued 4,360,000 shares of 5.50% Series A Cumulative Preferred Shares with an aggregate liquidation value of $109,000,000 (“NCZ Series A Preferred Shares”). The shares are perpetual, non-callable for a period of five years and
have a liquidation preference of $25.00 per share. Commencing September 11, 2023, and thereafter, to the extent permitted by the 1940 Act, and Massachusetts law, NCZ may at any time, upon notice of redemption, redeem the NCZ Series A Preferred
Shares in whole or in part at the liquidation preference per share plus accumulated unpaid dividends through the date of redemption. Dividends are paid at an annual rate of 5.50% on a quarterly basis, and commenced on October 1, 2018, with the first
such payment pro-rated from the date of issuance.
On September 20, 2018, NCV issued 4,000,000
shares of 5.625% Series A Cumulative Preferred Shares with an aggregate liquidation value of $100,000,000 (“NCV Series A Preferred Shares”). The shares are perpetual, non-callable for a period of five years and have a liquidation
preference of $25.00 per share. Commencing September 20, 2023, and thereafter, to the extent permitted by the 1940 Act, and Massachusetts law, NCV may at any time, upon notice of redemption, redeem the NCV Series A Preferred Shares in whole or in
part at the liquidation preference per share plus accumulated unpaid dividends through the date of redemption. Dividends are paid at an annual rate of 5.625% on a quarterly basis, and commenced on October 1, 2018, with the first such payment
pro-rated from the date of issuance.
On December 16, 2020, the Board of the NCV
and NCZ approved a Repurchase Plan (“Repurchase Plan”) with respect to the outstanding series A cumulative preferred shares (“CPS”) issued by the Funds. Each Fund has access to a short-term revolving credit facility (as
outlined in Note 9). Pursuant to the Repurchase Plan, the Funds would repurchase its CPS in the open market on any trading day when (i) a Fund’s CPS are trading at a market price at or below their liquidation preference ($25.00 per share),
provided the current rate of interest on its Liquidity Facility is less than or equal to 5.00% or (ii) a Fund’s CPS are trading at a market price which represents a premium of up to 1.00% above their liquidation preference (up to $25.25)
provided the current rate of interest on its Liquidity Facility is less than or equal to 3.00% for NCV or less than or equal to 2.75% for NCZ, subject, in each case, to the terms and conditions of the Repurchase Plan and input from the portfolio
management team as to market conditions and other factors. On each day that shares are repurchased under the Repurchase Plan, a Fund may repurchase its shares in an amount up to 25% of the average daily trading volume of the CPS over the trailing
four week period.
Note 13.
Indemnifications
Under the
Funds’ organizational documents, the Funds, Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into
contracts that provide a variety of indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds and that have not occurred. However,
the Funds have not had prior claims or losses pursuant to these arrangements and expect the risk of loss to be remote.
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2023
Note 14. Capital Shares
At January 31, 2023, each Fund has one class
of common stock with $0.00001 par value of which unlimited shares are authorized.
Note 15. Restricted Securities
Restricted securities are not registered
under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category. Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the
disposition of such securities. The following Funds held securities that were considered to be restricted at January 31, 2023:
Fund
|
|
Investment
|
|
Date
of Acquisition |
|
Cost
|
|
Value
|
|
Percentage
of Net Assets |
NCV
|
|
|
|
|
|
|
|
|
|
|
|
|
LiveStyle,
Inc. |
|
2/3/16-11/30/16
|
|
$
— |
|
$
— (1) |
|
0.0%
|
|
|
LiveStyle,
Inc. Series B |
|
2/3/16-11/30/16
|
|
1,206
|
|
925
|
|
0.2
|
|
|
Tenerity,
Inc. |
|
11/9/15-11/12/15
|
|
3,080
|
|
—
|
|
0.0
|
NCZ
|
|
|
|
|
|
|
|
|
|
|
|
|
LiveStyle,
Inc. |
|
2/3/16-11/30/16
|
|
$
— |
|
$
— (1) |
|
0.0
|
|
|
LiveStyle,
Inc. Series B |
|
2/3/16-11/30/16
|
|
1,206
|
|
925
|
|
0.3
|
|
|
Tenerity,
Inc. |
|
11/9/15-11/12/15
|
|
2,371
|
|
—
|
|
0.0
|
ACV
|
|
|
|
|
|
|
|
|
|
|
|
|
LiveStyle,
Inc. |
|
2/3/16-11/30/16
|
|
$
— |
|
$
— (1) |
|
0.0
|
|
|
LiveStyle,
Inc. Series B |
|
2/3/16-11/30/16
|
|
181
|
|
139
|
|
0.1
|
(1) |
Amount
is less than $500. |
Note 16. Regulatory Matters and Litigation
From time to time, the Funds, the Adviser,
the subadvisers, and/or their respective affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities
laws, client investment guidelines, and laws and regulations affecting their activities. At this time, the Funds and the Adviser believe that the outcomes of such matters are not likely, either individually, or in aggregate, to be material to these
financial statements.
Note 17. Recent Accounting
Pronouncement
In March 2020, the FASB
issued Accounting Standards Update (“ASU”) No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04
provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered reference rates as of the end of 2021. In March 2021, the
administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC 848 until December 31, 2024. ASU 2020-04
is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2020-06, but does not believe there will be a
material impact.
Note 18. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were available for issuance, and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Virtus Artificial Intelligence
& Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity &
Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and
liabilities, including the schedules of investments, of each of the funds indicated in the table below (hereafter collectively referred to as the “Funds”) as of January 31, 2023, the related statements of operations, the statements of
cash flows for Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, and Virtus Diversified Income & Convertible Fund, and the statements
of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”).
In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2023, the results of each of their operations, the cash flows for Virtus Artificial Intelligence &
Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, and Virtus Diversified Income & Convertible Fund, the changes in each of their net assets for each of the periods
indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Fund
Name |
Statements
of Operations |
Statements
of Changes in Net Assets |
Statements
of Cash Flows |
Virtus
Artificial Intelligence & Technology Opportunities Fund Virtus Convertible & Income Fund Virtus Convertible & Income 2024 Target Term Fund |
For
the year ended January 31, 2023 |
For
the year ended January 31, 2023, the fiscal period from March 1, 2021 through January 31, 2022 and the year ended February 28, 2021 |
For
the year ended January 31, 2023 |
Virtus
Convertible & Income Fund II |
For
the year ended January 31, 2023 |
For
the year ended January 31, 2023, the fiscal period from March 1, 2021 through January 31, 2022 and the year ended February 28, 2021 |
Not
applicable |
Virtus
Equity & Convertible Income Fund Virtus Dividend, Interest & Premium Strategy Fund |
For
the year ended January 31, 2023 |
For
the years ended January 31, 2023 and 2022 |
Not
applicable |
Virtus
Diversified Income & Convertible Fund |
For
the year ended January 31, 2023 |
For
the years ended January 31, 2023 and 2022 |
For
the year ended January 31, 2023 |
Basis for Opinions
These financial statements are the responsibility of the
Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United
States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in
accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or
fraud.
Our audits included performing procedures to
assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and
disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant
estimates made by management, as
well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2023 by correspondence with the custodian, transfer agents, issuer, agent banks and brokers.
When replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia,
Pennsylvania
March 29, 2023
We have served as the
auditor of one or more investment companies in Virtus Closed-Ended Funds or its predecessors since at least 1990. We have not been able to determine the specific year we began serving as auditor.
TAX INFORMATION NOTICE
(Unaudited)
January 31, 2023
The
following information ($ reported in thousands) is being provided in order to meet reporting requirements set forth by the Code and/or to meet state specific requirements. In early 2024, the Funds will notify applicable shareholders of amounts for
use in preparing 2023 U.S. federal income tax forms. Shareholders should consult their tax advisors.
With respect to distributions paid during the fiscal year ended
January 31, 2023, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable):
Fund
|
|
Qualified
Dividend Income % (non-corporate shareholder) |
|
Dividend
Received Deduction % (corporate shareholders) |
|
Long-Term
Capital Gain Distributions ($) |
AIO
|
|
100.00
% |
|
100.00
% |
|
$
— |
CBH
|
|
0.00
|
|
0.00
|
|
—
|
NCV
|
|
23.16
|
|
20.63
|
|
—
|
NCZ
|
|
23.90
|
|
21.43
|
|
—
|
ACV
|
|
100.00
|
|
93.21
|
|
—
|
NFJ
|
|
100.00
|
|
100.00
|
|
—
|
NIE
|
|
100.00
|
|
100.00
|
|
3,454
|
CERTIFICATION
Each Fund files the required annual Chief
Executive Officer (“CEO”) certification regarding compliance with the NYSE’s listing standards no more than 30 days after each annual shareholder meeting for the Fund. Each Fund has included the certifications of the Fund’s
CEO and Principal Financial Officer required by Section 302 of the Sarbanes-Oxley Act in the Fund’s Form N-CSR filed with the SEC for the period of this report.
KEY INFORMATION
Shareholder Relations: 1-866-270-7788
For general information and literature, as
well as updates on net asset value, share price, major industry groups and other key information.
REINVESTMENT PLAN
The Automatic Reinvestment and Cash Purchase
Plan (the “Plan”) offers shareholders a convenient way to acquire additional shares of each Fund. Registered holders will be automatically placed in the Plan and may opt out by calling Shareholder Relations at the number listed above. If
shares are held at a brokerage firm, contact your broker about participation in the Plan.
REPURCHASE OF SECURITIES
Notice is hereby given in accordance with
Section 23(c) of the 1940 Act that each Fund may from time to time purchase its shares of common stock in the open market when Fund shares are trading at a discount from their net asset value.
PROXY VOTING INFORMATION (FORM N-PX)
The subadviser votes proxies relating to
portfolio securities in accordance with procedures that have been approved by each Fund’s Board. You may obtain a description of these procedures, along with information regarding how each Fund voted proxies during the most recent 12-month
period ended June 30, free of charge, by calling toll-free 1-866-270-7788. This information is also available through the SEC’s website at https://www.sec.gov.
PORTFOLIO HOLDINGS INFORMATION
Each Fund files its complete schedule of
portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form NPORT-P. Form NPORT-P is available on the SEC’s website at
https://www.sec.gov.
ARTIFICIAL INTELLIGENCE &
TECHNOLOGY OPPORTUNITIES FUND (AIO)
INVESTMENT OBJECTIVE, PRINCIPAL
STRATEGIES AND PRINCIPAL RISKS (Unaudited)
Investment Objective: The
Fund’s investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation.
Principal Strategies: Under
normal market conditions, the Fund seeks to achieve its investment objective by investing across the capital structure in companies across a broad range of industries and technologies positioned to benefit from the evolution and disruptive power of
artificial intelligence and other new technologies. The Fund seeks to invest in companies, across a wide range of industries and market capitalizations, that produce, design or market artificial intelligence technologies or other new technologies,
use artificial intelligence or other new technologies in their product development or operations or are expected to benefit significantly from artificial intelligence or other new technologies and related developments.
Under normal market conditions, the Fund seeks to achieve its
investment objective by investing in a combination of convertible securities, equity securities, and debt and other income producing instruments. The Fund attempts to reduce the risk of capital loss through, among other things, independent credit
analysis focused on downgrade and default risks and the implementation of a clearly defined sell discipline strategy. The Fund normally does not invest more than 20% of its managed assets in income producing securities (such limit does not apply to
convertible securities).
The Fund normally invests at
least 80% of its net assets (plus any borrowings for investment purposes) in a combination of securities issued by artificial intelligence companies and in other companies that stand to benefit from artificial intelligence and other technology
opportunities. The Fund considers artificial intelligence to mean the use of systems or other technologies able to either perform tasks that normally involve human intelligence, such as visual perception, speech recognition and decision-making, or
leverage data-driven insights to deliver new solutions.
Under normal circumstances, at least 15% of the Fund’s
net assets (plus any borrowings for investment purposes) are invested in artificial intelligence companies. The Fund normally invests at least 30% of its managed assets in convertible securities. The Fund does not normally invest more than 20% of
its managed assets in high yield securities (such limit does not apply to convertible securities). The Fund normally invests at least 30% of its managed assets in equity securities. The Fund does not normally invest more than 30% of its managed
assets in securities of foreign issuers.
Leverage. The
Fund currently does, but is not required to, maintain leverage in the form of indebtedness.
Principal Risks:
Artificial Intelligence-Related Companies: Companies involved in, or exposed to, artificial intelligence-related businesses may have limited product lines, markets, financial resources and/or personnel. These companies typically face intense competition and
potentially rapid product obsolescence and depend significantly on consumer preference and demand. These companies are also heavily dependent on intellectual property rights and may be adversely impacted by the loss or impairment of such rights.
There can be no assurance that these companies will be able to successfully protect their intellectual property rights to prevent the misappropriation of their technology or that competitors will not develop technology that is substantially similar
or superior to their technology. Legal and regulatory changes, particularly those related to information privacy and data protection, may have a negative impact on an artificial intelligence company’s products or services. Artificial
intelligence companies often spend significant amounts of resources on research and development, and there is no guarantee that the products or services they produce will be successful. Artificial intelligence companies, especially smaller
companies, tend to be more volatile than companies that do not rely heavily on technology. The artificial intelligence companies in which the Fund may invest may not be identified by or widely known for any particular artificial intelligence product
or service, but rather use artificial intelligence in their product development or deployment or are expected to benefit substantially from artificial intelligence and related developments.
Technology-Related: Funds that
make significant investments in the technology sectors will be subject to risks particularly affecting technology or technology-related companies, such as the risks of short product cycles and rapid obsolescence of products and services, competition
from new and existing companies, significant losses and/or limited earnings, security price volatility, limited operating histories and management experience, and patent and other intellectual property considerations.
Convertible Securities: A
convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value of the underlying securities.
Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
Lower-rated securities:
Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than higher-rated securities. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
ARTIFICIAL INTELLIGENCE &
TECHNOLOGY OPPORTUNITIES FUND (AIO)
INVESTMENT OBJECTIVE, PRINCIPAL
STRATEGIES AND PRINCIPAL RISKS (Unaudited) (Continued)
Sector Focused Investing:
Events negatively affecting a particular market sector in which the portfolio focuses its investments may cause the value of the portfolio to decrease.
Leverage: When the Fund uses
leverage through activities such as borrowing, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities that exceeds the net assets of the Fund. The value of
the shares of the Fund will be more volatile and sensitive to market movements as a result of its use of leverage. Leverage may also involve the creation of a liability that requires the Fund to pay interest.
Limited Term: The Fund will
terminate on or around October 29, 2031 absent Trustee and shareholder approval to amend the limited term provision of the Fund’s Amended and Restated Agreement and Declaration of Trust, as provided therein. As the assets of the Fund will be
liquidated in connection with its termination, the Fund may be required to sell portfolio securities when it otherwise would not, including at times when market conditions are not favorable, which may cause the Fund to lose money.
Equity Securities: Generally,
prices of equity securities are more volatile than those of fixed income securities. The prices of equity securities will rise and fall in response to a number of different factors. In particular, equity securities will respond to events that affect
entire financial markets or industries (such as changes in inflation or consumer demand) and to events that affect particular issuers (such as news about the success or failure of a new product). Equity securities also are subject to “stock
market risk,” meaning that stock prices in general may decline over short or extended periods of time. When the value of the stocks held by the Fund goes down, the net asset value of the Fund’s shares will be affected.
Market Volatility: The Fund
could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in general market conditions, economic
trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset
class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments.
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
Managed Distribution Plan:
Effective with the distribution payable February 1, 2022, the Board of Directors has adopted a Managed Distribution Plan (the “Plan”) which currently provides for the Fund to make a monthly distribution at the rate of $0.15 per share.
Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of capital, or a combination thereof. The Board may amend,
suspend or terminate the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interests of the Fund and its shareholders.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
CONVERTIBLE & INCOME 2024
TARGET TERM FUND (CBH)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND
PRINCIPAL RISKS (Unaudited)
Investment Objective: The
Fund’s investment objectives are to provide a high level of income and to return at least $9.835 per common share (the original net asset value per common share before deducting offering costs of $0.02 per share) to holders of common shares on
or about September 1, 2024.
Principal Strategies: The Fund normally invests at least 80% of its managed assets in a diversified portfolio of convertible securities and income-producing debt instruments. A portion of the Fund’s income-producing debt instruments are
expected to consist of high yield securities (sometimes referred to as “high yield” or “junk” securities), which are securities that are, at the time of investment, rated below investment grade (below Baa3 by Moody’s
Investors Service, Inc. or below BBB- by either S&P Global Rating Services or Fitch Ratings Inc.) or that are unrated but determined by Voya IM to be of comparable quality. In addition, a portion of the Fund’s income-producing debt
instruments generally are expected to consist of senior secured loans.
Under normal market conditions, the Fund will seek to achieve
its investment objectives by investing in a diversified portfolio of high yield securities, convertible securities and other income-producing debt instruments, including senior secured loans, primarily of U.S. issuers. The allocation of the
Fund’s investments between these asset classes will vary from time to time, based upon the portfolio managers’ assessment of economic conditions and market factors, such that one asset class may be more heavily weighted in the
Fund’s portfolio than the other class at any time and from time to time, and sometimes to a substantial extent. The Fund attempts to reduce the risk of capital loss through, among other things, internally generated credit analysis focused on
downgrade and default risks and the implementation of a clearly defined sell discipline strategy.
Under normal circumstances, the Fund does not invest more than
30% of its managed assets in securities of non-U.S. issuers, including no more than 20% of its managed assets in securities of emerging markets issuers.
Under normal circumstances, the Fund may invest up to 30% of
its managed assets in senior secured loans and other types of loans, loan assignments and loan participations, as measured at the time of investment.
Under normal circumstances, the Fund’s exposure to
derivatives used for non-hedging purposes is limited to 20% of its managed assets.
Leverage. The Fund currently does, but is not required to,
maintain leverage in the form of indebtedness.
Principal
Risks:
Convertible Securities: A convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value
of the underlying securities. Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
High Yield Fixed Income Securities: Securities rated below the four highest rating categories of a nationally recognized statistical rating organization, may be known as “high-yield” securities and commonly referred to as “junk
bonds.” The highest of the ratings among these nationally recognized statistical rating organizations is used to determine the security’s classification. Such securities entail greater price volatility and credit and interest rate risk
than investment-grade securities. Analysis of the creditworthiness of high-yield/high-risk issuers is more complex than for higher-rated securities, making it more difficult for the Fund’s subadviser to accurately predict risk. There is a
greater risk with high-yield/high-risk fixed income securities that an issuer will not be able to make principal and interest payments when due. If the Fund pursues missed payments, there is a risk that the Fund’s expenses could increase. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change. As a result of all of these factors, these bonds are generally considered to be
speculative.
Leverage: When the Fund uses leverage through activities such as borrowing, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities that
exceeds the net assets of the Fund. The value of the shares of the Fund will be more volatile and sensitive to market movements as a result of its use of leverage. Leverage may also involve the creation of a liability that requires the Fund to pay
interest.
Limited Term: The Fund will terminate on or around September 1, 2024 absent Trustee and shareholder approval to amend the limited term provision of the Fund’s Amended and Restated Agreement and Declaration of Trust, as provided
therein. As the assets of the Fund will be liquidated in connection with its termination, the Fund may be required to sell portfolio securities when it otherwise would not, including at times when market conditions are not favorable, which may cause
the Fund to lose money.
Lower-rated securities: Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than
higher-rated securities. In addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
CONVERTIBLE & INCOME 2024
TARGET TERM FUND (CBH)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND
PRINCIPAL RISKS (Unaudited) (Continued)
Bank Loans: Loans may be
unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans are subject to credit and call risk, may be difficult to value, and have longer settlement times than other
investments, which can make loans relatively illiquid at times.
Market Volatility: The Fund
could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in general market conditions, economic
trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset
class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments.
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
CONVERTIBLE & INCOME FUND
(NCV)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND PRINCIPAL RISKS
(Unaudited)
Investment Objective: The
Fund’s investment objective is to provide total return through a combination of capital appreciation and high current income.
Principal Strategies: In
selecting investments for the Fund, Voya IM attempts to identify issuers that successfully adapt to change. Voya IM uses traditional credit analysis combined with a disciplined, fundamental bottom-up research process that facilitates the early
identification of issuers demonstrating an ability to improve their fundamental characteristics. Voya IM attempts to identify potential investments that it expects will exceed minimum credit statistics and exhibit the highest visibility of future
expected operating performance. Voya IM’s sell discipline is clearly defined and designed to drive the Fund’s portfolio continually toward strength, taking into account factors such as a change in credit fundamentals, a decline in
attractiveness relative to other securities and a decline in industry fundamentals.
Under normal circumstances, the Fund will invest at least 80%
of its total assets in a diversified portfolio of convertible securities and non-convertible income-producing securities. The portion of the Fund’s assets invested in convertible securities, on the one hand, and non-convertible
income-producing securities, on the other, will vary from time to time consistent with the Fund’s investment objective, although the Fund will normally invest at least 50% of its total assets in convertible securities.
The Fund may invest up to 20% of its total assets in securities
other than convertible securities and non-convertible income-producing securities.
The Fund may invest up to 20% of its total assets in U.S.
dollar-denominated securities of foreign issuers based in developed countries.
Leverage. The Fund currently does, but is not required to,
maintain leverage in the form of auction-rate preferred shares and cumulative preferred shares.
Principal Risks:
Convertible Securities: A
convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value of the underlying securities.
Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
Leverage: When the Fund uses
leverage through activities such as borrowing, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities that exceeds the net assets of the Fund. The value of
the shares of the Fund will be more volatile and sensitive to market movements as a result of its use of leverage. Leverage may also involve the creation of a liability that requires the Fund to pay interest.
Preferred Stocks: Preferred
stocks may decline in price, fail to pay dividends, or be illiquid. Because they often lack a fixed maturity or redemption date, preferred stocks are likely to fluctuate substantially in price when interest rates change.
Lower-rated securities:
Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than higher-rated securities. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
High Yield Fixed Income Securities: Securities rated below the four highest rating categories of a nationally recognized statistical rating organization, may be known as “high-yield” securities and commonly referred to as “junk
bonds.” The highest of the ratings among these nationally recognized statistical rating organizations is used to determine the security’s classification. Such securities entail greater price volatility and credit and interest rate risk
than investment-grade securities. Analysis of the creditworthiness of high-yield/high-risk issuers is more complex than for higher-rated securities, making it more difficult for the Fund’s subadviser to accurately predict risk. There is a
greater risk with high-yield/high-risk fixed income securities that an issuer will not be able to make principal and interest payments when due. If the Fund pursues missed payments, there is a risk that the Fund’s expenses could increase. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change. As a result of all of these factors, these bonds are generally considered to be
speculative.
Market Volatility: The Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in
general market conditions, economic trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry,
group of industries, sector or asset class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and
instruments.
CONVERTIBLE & INCOME FUND
(NCV)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND PRINCIPAL RISKS
(Unaudited) (Continued)
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
CONVERTIBLE & INCOME FUND
II (NCZ)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND PRINCIPAL RISKS
(Unaudited)
Investment Objective: The
Fund’s investment objective is to provide total return through a combination of capital appreciation and high current income.
Principal Strategies: In selecting investments for the Fund,
Voya IM attempts to identify issuers that successfully adapt to change. Voya IM uses traditional credit analysis combined with a disciplined, fundamental bottom-up research process that facilitates the early identification of issuers demonstrating
an ability to improve their fundamental characteristics. Voya IM attempts to identify potential investments that it expects will exceed minimum credit statistics and exhibit the highest visibility of future expected operating performance. Voya
IM’s sell discipline is clearly defined and designed to drive the Fund’s portfolio continually toward strength, taking into account factors such as a change in credit fundamentals, a decline in attractiveness relative to other securities
and a decline in industry fundamentals.
Under normal
circumstances, the Fund will invest at least 80% of its total assets in a diversified portfolio of convertible securities and non-convertible income-producing securities. The portion of the Fund’s assets invested in convertible securities, on
the one hand, and non-convertible income-producing securities, on the other, will vary from time to time consistent with the Fund’s investment objective, although the Fund will normally invest at least 50% of its total assets in convertible
securities.
The Fund may invest up to 20% of its total
assets in securities other than convertible securities and non-convertible income-producing securities.
The Fund may invest up to 20% of its total assets in U.S.
dollar-denominated securities of foreign issuers based in developed countries.
Leverage. The Fund currently does, but is not required to,
maintain leverage in the form of auction-rate preferred shares and cumulative preferred shares.
Principal Risks:
Convertible Securities: A
convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value of the underlying securities.
Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
Leverage: When the Fund uses
leverage through activities such as borrowing, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities that exceeds the net assets of the Fund. The value of
the shares of the Fund will be more volatile and sensitive to market movements as a result of its use of leverage. Leverage may also involve the creation of a liability that requires the Fund to pay interest.
Preferred Stocks: Preferred
stocks may decline in price, fail to pay dividends, or be illiquid. Because they often lack a fixed maturity or redemption date, preferred stocks are likely to fluctuate substantially in price when interest rates change.
Lower-rated securities:
Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than higher-rated securities. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
High Yield Fixed Income Securities: Securities rated below the four highest rating categories of a nationally recognized statistical rating organization, may be known as “high-yield” securities and commonly referred to as “junk
bonds.” The highest of the ratings among these nationally recognized statistical rating organizations is used to determine the security’s classification. Such securities entail greater price volatility and credit and interest rate risk
than investment-grade securities. Analysis of the creditworthiness of high-yield/high-risk issuers is more complex than for higher-rated securities, making it more difficult for the Fund’s subadviser to accurately predict risk. There is a
greater risk with high-yield/high-risk fixed income securities that an issuer will not be able to make principal and interest payments when due. If the Fund pursues missed payments, there is a risk that the Fund’s expenses could increase. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change. As a result of all of these factors, these bonds are generally considered to be
speculative.
Market Volatility: The Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in
general market conditions, economic trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry,
group of industries, sector or asset class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and
instruments.
CONVERTIBLE & INCOME FUND
II (NCZ)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND PRINCIPAL RISKS
(Unaudited) (Continued)
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
DIVERSIFIED INCOME &
CONVERTIBLE FUND (ACV)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND
PRINCIPAL RISKS (Unaudited)
Investment Objective: The
Fund’s investment objective is to provide total return through a combination of current income and capital appreciation, while seeking to provide downside protection against capital loss.
Principal Strategies:
Under normal market conditions, the Fund seeks to achieve its
investment objective by investing in a combination of convertible securities, debt and other income-producing instruments and common stocks and other equity securities. It is expected that substantially all of the Fund’s debt instruments
and a substantial portion of its convertible securities will consist of securities rated below investment grade or unrated but determined by Voya IM to be of comparable quality (sometimes referred to as “high yield securities” or
“junk bonds”). The allocation of the Fund’s investments across these asset classes will vary from time to time, based upon the portfolio managers’ assessment of economic conditions and market factors, including equity price
levels, interest rate levels and their anticipated direction, such that an asset class may be more heavily weighted in the Fund’s portfolio than the other classes at any time and from time to time, and sometimes to a substantial extent. The
Fund also expects to normally employ a strategy of writing (selling) covered call options on the stocks held in the equity portion of the portfolio. The Fund may write covered call options on approximately 30% to 80% of the Fund’s common
stocks from time to time, depending on market conditions, with respect to up to approximately 70% of the value of each position.
The Fund will normally invest at least 80% of its net assets
(plus any borrowings for investment purposes) in a diversified portfolio of convertible securities, income-producing equity securities and income-producing debt and other instruments of varying maturities. For purposes of this policy,
“income-producing equity securities” include, among other instruments, dividend-paying common and preferred stocks.
The Fund will normally invest at least 50% of its managed
assets in convertible securities.
The Fund currently
does, but is not required to, maintain leverage in the form of preferred shares, borrowed money and issued debt securities.
Principal Risks:
Convertible Securities: A
convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value of the underlying securities.
Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
Lower-rated securities:
Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than higher-rated securities. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
Leverage: When the Fund uses
leverage through activities such as borrowing, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities, that exceeds the net assets of the Fund. The value
of the shares of the Fund will be more volatile and sensitive to market movements as a result of its use of leverage. Leverage may also involve the creation of a liability that requires the Fund to pay interest.
High Yield Fixed Income Securities: Securities rated below the four highest rating categories of a nationally recognized statistical rating organization, may be known as “high-yield” securities and commonly referred to as “junk
bonds.” The highest of the ratings among these nationally recognized statistical rating organizations is used to determine the security’s classification. Such securities entail greater price volatility and credit and interest rate risk
than investment-grade securities. Analysis of the creditworthiness of high-yield/high-risk issuers is more complex than for higher-rated securities, making it more difficult for the Fund’s subadviser to accurately predict risk. There is a
greater risk with high-yield/high-risk fixed income securities that an issuer will not be able to make principal and interest payments when due. If the Fund pursues missed payments, there is a risk that the Fund’s expenses could increase. In
addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change. As a result of all of these factors, these bonds are generally considered to be
speculative.
Equity Securities: Generally, prices of equity securities are more volatile than those of fixed income securities. The prices of equity securities will rise and fall in response to a number of different factors. In particular, equity
securities will respond to events that affect entire financial markets or industries (such as changes in inflation or consumer demand) and to events that affect particular issuers (such as news about the success or failure of a new product). Equity
securities also are subject to “stock market risk,” meaning that stock prices in general may decline over short or extended periods of time. When the value of the stocks held by the Fund goes down, the net asset value of the Fund’s
shares will be affected.
DIVERSIFIED INCOME &
CONVERTIBLE FUND (ACV)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND
PRINCIPAL RISKS (Unaudited) (Continued)
Preferred Stocks: Preferred
stocks may decline in price, fail to pay dividends, or be illiquid. Because they often lack a fixed maturity or redemption date, preferred stocks are likely to fluctuate substantially in price when interest rates change.
Limited Term: The Fund will
terminate on the first business day following the fifteenth anniversary of the effective date of its registration statement, May 22, 2030, absent Trustee and shareholder approval to amend the limited term provision of the Fund’s Amended and
Restated Agreement and Declaration of Trust, as provided therein. As the assets of the Fund will be liquidated in connection with its termination, the Fund may be required to sell portfolio securities when it otherwise would not, including at times
when market conditions are not favorable, which may cause the Fund to lose money.
Option Strategy: The ability of
the Fund to achieve current gains to support Fund dividends is partially dependent on the successful implementation of its strategy of writing covered call options on a portion of its portfolio securities. There are several risks associated with
transactions in options on securities. 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 has retained the risk of loss should the price of the underlying security decline.
Market Volatility: The Fund
could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in general market conditions, economic
trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset
class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments.
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
Managed Distribution Plan:
Effective with the distribution payable February 1, 2022, the Board of Directors has adopted a Managed Distribution Plan (the “Plan”) which currently provides for the Fund to make a monthly distribution at the rate of $0.18 per share.
Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of capital, or a combination thereof. The Board may amend,
suspend or terminate the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interests of the Fund and its shareholders.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
DIVIDEND, INTEREST &
PREMIUM STRATEGY FUND (NFJ)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES
AND PRINCIPAL RISKS (Unaudited)
Investment Objective: The
Fund’s primary investment objective is to seek current income and gains, with a secondary objective of long-term capital appreciation.
Principal Strategies: The Fund
pursues its investment objectives by investing in a diversified portfolio of dividend-paying common stocks (the “Equity Component”) and income-producing convertible securities (the “Convertible Component”). The Fund employs a
strategy of writing (selling) call options on equity indexes such that the underlying value of the indexes is within a range of approximately 75% to 100% of the net asset value of the Equity Component under normal market conditions, subject to
future fluctuations in the assets attributable to the Equity Component.
On an annual basis, if the allocation of the Fund’s
assets falls outside the ranges of 70% to 80% for the Equity Component and 20% to 30% for the Convertible Component, the Fund’s subadvisers will cause a rebalancing of the Fund’s portfolio such that each Component’s allocation is
adjusted back to a point within its range in relative percentages determined by the subadvisers. In addition, the subadvisers may, but are not required to, cause the Fund to rebalance the Components to any point within their respective ranges at any
time during the course of a year. The weighting of the Components may otherwise vary significantly from the enumerated ranges from time to time.
Under normal circumstances, the Fund will invest at least 80%
of its net assets (plus any borrowings for investment purposes) in securities and other instruments that provide dividends, interest or option premiums. The Equity Component will ordinarily consist principally of dividend-paying common stocks, but
may also include preferred stocks and dividend-paying real estate investment trusts. The Convertible Component will ordinarily consist of convertible securities, including synthetic convertible securities, and may include convertible securities that
are of below investment grade quality.
The Fund may
invest up to 10% of its total assets in securities issued by master limited partnerships (“MLPs”).
Principal Risks:
Equity Securities: Generally,
prices of equity securities are more volatile than those of fixed income securities. The prices of equity securities will rise and fall in response to a number of different factors. In particular, equity securities will respond to events that affect
entire financial markets or industries (such as changes in inflation or consumer demand) and to events that affect particular issuers (such as news about the success or failure of a new product). Equity securities also are subject to “stock
market risk,” meaning that stock prices in general may decline over short or extended periods of time. When the value of the stocks held by the Fund goes down, the net asset value of the Fund’s shares will be affected.
Convertible Securities: A
convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value of the underlying securities.
Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
Lower-rated securities:
Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than
higher-rated securities. In addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
Option Strategy: The ability of
the Fund to achieve current gains to support Fund dividends is partially dependent on the successful implementation of its strategy of writing covered call options on equity indexes. There are several risks associated with transactions in options on
indexes. As the writer of a call option, the Fund retains the risk of loss should the price of the underlying index decline.
Market Volatility: The Fund
could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in general market conditions, economic
trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset
class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments.
Preferred Stocks: Preferred
stocks may decline in price, fail to pay dividends, or be illiquid. Because they often lack a fixed maturity or redemption date, preferred stocks are likely to fluctuate substantially in price when interest rates change.
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
DIVIDEND, INTEREST &
PREMIUM STRATEGY FUND (NFJ)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES
AND PRINCIPAL RISKS (Unaudited) (Continued)
MLPs and MLP Affiliates: An
investment in MLP units involves some risks that differ from an investment in the common stock of a corporation. Holders of MLP units have limited control on matters affecting the partnership. MLPs holding credit-related investments are subject to
interest rate risk and the risk of default on payment obligations by debt issuers. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. The fees that MLPs
charge for transportation of oil and gas products through their pipelines are subject to government regulation, which could negatively impact the revenue stream. Investing in MLPs also involves certain risks related to investing in the underlying
assets of the MLPs and risks associated with pooled investment vehicles. These include the risk of environmental incidents, terrorist attacks, demand destruction from high commodity prices, proliferation of alternative energy sources, inadequate
supply of external capital and conflicts of interest with the general partner. The benefit derived from the Fund’s investment in MLPs is largely dependent on the MLPs being treated as partnerships for federal income tax purposes, so any change
to this status would adversely affect the price of the MLP units.
Certain MLPs in which the Fund may invest depend upon their
parent or sponsor entities for the majority of their revenues. If their parent or sponsor entities fail to make such payments or satisfy their obligations, the revenues and cash flows of such MLPs and ability of such MLPs to make distributions to
unit holders, such as the Fund, would be adversely affected.
The performance of securities issued by MLP affiliates,
including MLP I-Shares and common shares of corporations that own general partner interests, primarily depend on the performance of an MLP. As such, results of operations, financial condition, cash flows and distributions for MLP affiliates
primarily depend on an MLP’s results of operations, financial condition and cash flows. The risks and uncertainties that affect the MLP, its results of operations, financial condition, cash flows and distributions also affect the value of
securities held by the MLP affiliates. Securities of MLP I-Shares may trade at a market price below that of the MLP affiliate and may be less liquid than securities of their MLP affiliate.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
Managed Distribution Plan:
Effective with the distribution payable March 25, 2022, the Board of Directors has adopted a Managed Distribution Plan (the “Plan”) which currently provides for the Fund to make a quarterly distribution
at the rate of $0.245 per share. Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of capital, or a
combination thereof. The Board may amend, suspend or terminate the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interests of the Fund and its shareholders.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
EQUITY & CONVERTIBLE INCOME
FUND (NIE)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND PRINCIPAL
RISKS (Unaudited)
Investment Objective: The
Fund’s investment objective is to seek total return comprised of capital appreciation, current income and gains.
Principal Strategies: The Fund
pursues its investment objective by investing in a diversified portfolio of equity securities (the “Equity Component”) and income-producing convertible securities (the “Convertible Component”). The Fund also employs a
strategy of writing (selling) call options on the stocks held in the Equity Component as well as on equity indexes, generally with respect to up to approximately 70% of the value of the securities in the Equity Component. The extent of the
Fund’s use of this options strategy will vary depending on market conditions and other factors, and the Fund may determine from time to time to write call options on only a portion, or none, of the stocks in the Equity Component.
The percentage of the Fund’s total assets represented by
each Component is expected to vary based on relative investment performance and the subadviser’s views regarding market conditions and other factors. The Fund expects that each Component will generally vary within the following ranges: 40% to
80% for the Equity Component and 20% to 60% for the Convertible Component. The risk/return profile of the Fund (taken as a whole) will vary according to the level of total assets allocated to each Component. The subadviser will normally attempt to
maintain the portfolio of the Convertible Component with an average credit quality that is investment grade.
Under normal circumstances, the Fund will invest at least 80%
of its net assets (plus any borrowings for investment purposes) in a combination of equity securities and income-producing convertible securities.
The Fund may also invest up to 20% of its total assets in
non-convertible income-producing securities.
Principal
Risks:
Equity Securities:
Generally, prices of equity securities are more volatile than those of fixed income securities. The prices of equity securities will rise and fall in response to a number of different factors. In particular, equity securities will respond to events
that affect entire financial markets or industries (such as changes in inflation or consumer demand) and to events that affect particular issuers (such as news about the success or failure of a new product). Equity securities also are subject to
“stock market risk,” meaning that stock prices in general may decline over short or extended periods of time. When the value of the stocks held by the Fund goes down, the net asset value of the Fund’s shares will be
affected.
Convertible Securities: A convertible security may be called for redemption at a time and price unfavorable to the Fund. The value of a convertible security may decline as interest rates rise and/or vary with fluctuations in the market value
of the underlying securities. Convertible securities have general characteristics similar to both debt securities and equity securities and may give rise to the associated risks.
Lower-rated securities:
Investments in lower-rated and non-rated securities present a greater risk of loss to principal than higher-rated securities. Such securities entail greater price volatility and credit and interest rate risk than
higher-rated securities. In addition, lower-rated securities may not trade as often and may be less liquid than higher-rated securities, especially during periods of economic uncertainty or change.
Credit: There is a risk that
the issuer of a security will fail to pay interest or principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of the security to decline. Debt instruments rated below
investment-grade are especially susceptible to this risk.
Interest Rate: The values of
debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing debt instruments.
Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer maturities.
Certain instruments pay interest at variable or floating rates. Variable rate instruments reset at specified intervals, while floating rate instruments reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the instrument. However, some instruments do not track the underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also
provide for interest payments that vary inversely with market rates. The market prices of these instruments may fluctuate significantly when interest rates change.
Some investments give the issuer the option to call or redeem
an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not benefit
from any increase in value as a result of declining interest rates.
Option Strategy: The ability of
the Fund to achieve current gains to support Fund dividends is partially dependent on the successful implementation of its strategy of writing covered call options on a portion of its portfolio securities. There are several risks associated with
transactions in options on securities. 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 has retained the risk of loss should the price of the underlying security decline.
Market Volatility: The Fund
could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. The value of a security or other instrument may decline due to changes in general market conditions, economic
trends or events that are not specifically related to the issuer of the security or other instrument, or factors that affect a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset
class. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments.
Preferred Stocks: Preferred
stocks may decline in price, fail to pay dividends, or be illiquid. Because they often lack a fixed maturity or redemption date, preferred stocks are likely to fluctuate substantially in price when interest rates change.
Closed-End Fund: Because the
Fund is a closed-end fund, its shares may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. The Fund may also employ leverage, which may increase volatility.
No Guarantee: There is no
guarantee that the Fund will meet its objective.
EQUITY & CONVERTIBLE INCOME
FUND (NIE)
INVESTMENT OBJECTIVE, PRINCIPAL STRATEGIES AND PRINCIPAL
RISKS (Unaudited) (Continued)
Managed Distribution Plan:
Effective with the distribution payable March 25, 2022, the Board of Directors has adopted a Managed Distribution Plan (the “Plan”) which currently provides for the Fund to make a quarterly distribution at the rate of $0.50 per share.
Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of capital, or a combination thereof. The Board may amend,
suspend or terminate the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interests of the Fund and its shareholders.
IMPORTANT NOTICE TO
SHAREHOLDERS
Changes to Portfolio Management
team:
Effective January 27, 2023, Ethan Turner, a vice
president on the income & growth strategies team at Voya IM, was appointed as portfolio manager on the Fund.
VIRTUS CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN (Unaudited)
Holders
of common shares of beneficial interest (the “Common Shares”) of each of the Virtus-sponsored closed-end investment companies listed on Appendix A [which covers all the funds included in this report] hereto, as it may be amended from
time to time (each a “Fund”), whose Common Shares are registered with the Agent (as defined below) (the “Registered Common Shareholders” or “Shareholders”), will automatically be enrolled (those so enrolled, the
“Participants”) in the Fund’s Dividend Reinvestment Plan (the “Plan”) and are advised as follows with respect to each such Fund:
1. THE PLAN AGENT. Computershare Trust Company, N.A. (the
“Agent”) will act as Agent for each Participant. The Agent will open an account for each Participant under the Plan with respect to the Fund in the same name in which his or her outstanding Common Shares of the Fund are registered with
the Agent.
2. AUTOMATIC REINVESTMENT FOR PARTICIPANTS /
CASH OPTION ELECTION. On behalf of each Participant, the Agent will automatically reinvest each Fund’s distributions of income, capital gains and returns of capital (together, “Distributions”) in Common Shares as described herein
as of the first record date for a Distribution by the Fund to shareholders following the date on which the Participant becomes a shareholder of record of the Fund. In accordance with the foregoing, each Registered Common Shareholder will have all
Distributions on his or her Common Shares automatically reinvested in additional Common Shares, unless such Shareholder elects to not be a Participant in the Plan and to receive such Distributions in cash. Registered Common Shareholders who wish to
receive Distributions in cash, whether following his or her initial purchase of Common Shares or after having been a Participant in the Plan for some period, should so notify the Agent online at www.computershare.com/investor, by writing to the
Agent at P.O. Box 505005 Louisville, KY 40233-5005, by calling (866) 270-7788 or (413) 775-6091 or, as applicable, by completing and returning the transaction form attached to each Plan statement, as specified and in accordance with Section 13
hereof.
3. MARKET PREMIUM ISSUANCES. With respect to each
Participant, if on the payment date for a Distribution, the net asset value per Common Share of the Fund is equal to or less than the market price per Common Share plus estimated brokerage commissions, the Agent shall cause the Distribution to be
invested by receiving newly issued Common Shares (“Additional Common Shares”), including fractions, from the Fund for each Participant’s account. The number of Additional Common Shares to be credited shall be determined by dividing
the dollar amount of the Distribution by the greater of (i) the net asset value per Common Share on the payment date, or (ii) 95% of the market price per Common Share on the payment date.
4. MARKET DISCOUNT PURCHASES. With respect to each Participant,
and except as provided below, if the net asset value per Common Share of the Fund exceeds the market price per Common Share plus estimated per share fees (which include any applicable brokerage commissions the Agent is required to pay) on the
payment date for a Distribution, the Agent (or a broker-dealer selected by the Agent) shall endeavor to apply the amount of such Distribution on such Participant’s Common Shares to purchase Common Shares of the Fund on the open market. Such
market purchases will commence on or shortly after the payment date for such Distribution and the Agent shall complete such purchases not more than thirty (30) calendar days after such Distribution payment date, except where temporary curtailment or
suspension of purchase is necessary to comply with applicable provisions of federal securities laws. If the Agent is unable to invest the full amount of a Distribution through open market purchases pursuant to this Section 4, or, if before the Agent
has completed the open market purchases, the market price per Common Share of the Fund plus estimated per share fees exceeds the net asset value per Common Share as of the last business day immediately prior to the purchase date (the “prior
business day”), the Agent shall cause the remainder of the Distribution to be invested by receiving Additional Common Shares, including fractions, from the Fund for each Participant’s account, the number of which shall be determined by
dividing the dollar amount of the remainder (i.e., the uninvested portion) of the Distribution by the greater of
(i) the net asset value per Common Share on the prior business
day, or (ii) 95% of the market price per Common Share on the prior business day (which, in either case, may be a price greater or lesser than the net asset value per Common Share on the payment date for the applicable Distribution). Participants
should note that they will not be able to instruct the Agent to purchase Common Shares at a specific time or at a specific price. Open-market purchases may be made on any securities exchange where Common Shares are traded, in the over-the-counter
market or in negotiated transactions, and may be on such terms as to price, delivery and otherwise as the Agent shall determine.
The Agent may commingle all Participants’ amounts to be
used for open market purchases of the Fund’s Common Shares. The weighted average price of all Common Shares purchased on the open market
by the Agent as Agent and/or issued by the Fund pursuant to
Section 3 shall be the price per Common Share allocable to each Participant.
5. VALUATION. The market price of Common Shares of a Fund on a
particular date shall be the last sales price on the securities exchange where the Common Shares are listed on that date (the “Exchange”), or, if there is no sale on such Exchange on that date, then the mean between the closing bid and
asked quotations on such Exchange on such date will be used. The net asset value per Common Share on a particular date shall be the amount calculated on that date (or if not calculated on such date, the amount most recently calculated) by or on
behalf of the Fund in accordance with the Fund’s current policies.
6. SAFEKEEPING. In order to protect against loss, theft or
destruction, if Participants hold Common Shares registered in their own names in certificate form, Participants may deposit such Common Shares into their Plan accounts. Certificates, along with a letter of instruction, should be sent to the Agent by
registered mail and properly insured. Participants should not endorse their certificates. There are no fees for this service.
7. TAXATION. The automatic reinvestment of Distributions does
not relieve Participants of any taxes which may be payable on Distributions. Participants will receive tax information annually for their personal records and to help them prepare their federal income tax return. For further information as to tax
consequences of participation in the Plan, Participants should consult with their own tax advisors.
VIRTUS CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN (Unaudited) (Continued)
8.
LIABILITY OF AGENT. The Agent shall at all times act in good faith and agrees to use its best efforts within reasonable limits to ensure the accuracy of all services performed under these terms and conditions and to comply with applicable law, but
assumes no responsibility and shall not be liable for loss or damage due to errors unless such error is caused by the Agent’s negligence, bad faith, or willful misconduct or that of its employees. Each Participant’s uninvested funds held
by the Agent will not bear interest. The Agent shall have no liability in connection with any inability to purchase or sell Common Shares within the time period specified herein, or with the timing of any purchases or sales effected. The Agent shall
have no responsibility for the value of Common Shares acquired. The Agent may commingle Participants’ funds.
9. RECORDKEEPING. The Agent may hold each Participant’s
Common Shares acquired pursuant to the Plan together with the Common Shares of other Registered Common Shareholders of the Fund acquired pursuant to the Plan in non- certificated form in the Agent’s name or that of the Agent’s nominee.
Distributions on fractional shares will be credited to each Participant’s account. Each Participant will be sent a confirmation by the Agent of each acquisition made for his or her account as soon as practicable,. Participants may request to
sell a portion of the Common Shares held by the Agent in their Plan accounts online, by calling the Agent, by writing to the Agent, or by completing and returning the transaction form attached to each Plan statement as specified above. The Agent
will sell such Common Shares through a broker-dealer selected by the Agent within five (5) business days of receipt of the request assuming the relevant markets are open and sufficient market liquidity exists (and except where deferral of the sale
is required under applicable federal or state laws or regulations). The sale price, which will not be determined until such time as the broker-dealer completes the sale, will equal the weighted average price of all Common Shares sold through the
Plan on the day of the sale, less per share fees. Per share fees include any applicable brokerage commissions the Agent is required to pay. Participants should note that the Agent is unable to accept instructions to sell on a specific date or at a
specific price. As an alternative to selling Common Shares through the Agent, a Participant may request that the Agent electronically transfer his or her Common Shares to his or her brokerage account in applicable circumstances. Any share dividends
or split shares distributed by the Fund on Common Shares held by the Agent for Participants will be credited to their accounts. In the event that the Fund makes available to its Common Shareholders rights to purchase additional Common Shares, the
Common Shares held for each Participant under the Plan will be added to other Common Shares held by the Participant in calculating the number of rights to be issued to each Participant.
10. PROXY MATERIALS. The Agent will forward to each Participant
any proxy solicitation material it receives with respect to the Common Shares in the Participant’s Plan account. The Agent will vote any Common Shares held for a Participant first in accordance with the instructions set forth on proxies
returned by such Participant to the Fund, and then with respect to any proxies not returned by such Participant to the Fund, in the same proportion as the Agent votes the proxies returned by the Participants to the Fund.
11. BROKERS, NOMINEE HOLDERS, ETC. In the case of Registered
Common Shareholders such as a broker, bank or other nominee that holds Common Shares for others who are the beneficial owners, the Agent will administer the Plan on the basis of the number of Common Shares certified by the nominee/record shareholder
as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan. If a beneficial owner’s broker, bank or other nominee who is the record shareholder
for the beneficial owner’s Common Shares is not a Registered Common Shareholder (i.e., the Common Shares are not registered with the Agent), neither the nominee nor the beneficial owner will be a Participant under the Plan and have
Distributions automatically reinvested by the Agent (although the broker, bank or other nominee may offer other dividend reinvestment programs independent from this Plan). If a beneficial owner of Common Shares wishes to participate in the Plan, but
his or her broker, bank or other nominee is unable or unwilling to become a Registered Common Shareholder and a Participant on behalf of the beneficial owner, the beneficial owner may request that the broker, bank or other nominee arrange to have
all or a portion of his or her Common Shares re- registered with the Agent in the name of the beneficial owner, such that the beneficial owner becomes a Registered Common Shareholder and, as such, would be enrolled as a Participant in the Plan
unless he or she elects otherwise in accordance with the terms hereof. Participants whose Common Shares are registered in the name of one nominee firm may not be able to transfer the Common Shares to another nominee firm and continue to participate
in the Plan.
12. FEES. The Agent’s service fee for
handling Distributions will be paid by the Fund. Each Participant will be charged per share fees (currently $0.02 per share) on all open-market purchases. If a Participant elects to have the Agent sell part or all of his or her Common Shares and
remit the proceeds, such Participant will be charged per share fees (currently $0.02 per share). Per share fees include any applicable brokerage commissions the Agent is required to pay. The Participant will not be charged any other fees for this
service.
13. TERMINATION IN THE PLAN / NOTIFICATION OF
ELECTION TO RECEIVE CASH DISTRIBUTIONS. Each Registered Common Shareholder may elect to receive Distributions from a Fund in cash and, if a Participant in the Plan, to disenroll from and terminate his or her account under the Plan, by notifying the
Agent online at www.computershare.com/investor, by writing to the Agent at P.O. Box 43078 Providence, RI 02940-3078, by calling (866) 270-7788 or (413) 775-6091 or by completing and returning the transaction form attached to each Plan statement. Any
such written notification must be in proper order and duly executed by the Participant and any notification online or by telephone must be in accordance with such reasonable requirements as the Agent and the Fund may agree. If the Agent receives
your request to discontinue Distribution reinvestment on or after the record date for the Fund’s next Distribution, the Agent may either pay the Distribution in cash or reinvest it on the next investment date on the Registered Common
Shareholder’s behalf. If reinvested, the Agent may sell the Common Shares purchased and send the proceeds less any applicable fees. The Plan may be terminated for a Fund by the Agent or the Fund upon notice in writing mailed to each
Participant at least thirty (30) calendar days prior to the effective date of the termination. Upon any termination, the Agent will arrange to deposit all full Common Shares held for each Participant into his or her account, where they will be held
in book-entry by the Agent. A cash adjustment will be made for any fraction of a Common Share at the then current market value of the Common Shares to be delivered to him or her less any applicable fees. If preferred, a Participant may request the
sale of all full and fractional Common Shares held by the Agent in his or her Plan account in order to terminate participation in the Plan in accordance with
Section 9 hereof. If a Participant has terminated his or her
participation in the Plan but continues to have Common Shares registered in his or her name with the Agent, he or she may re-enroll in the Plan at any time by notifying the Agent online at
www.computershare.com/investor, by writing to the Agent at P.O. Box 43078 Providence, RI 02940-3078 or by calling (866) 270-7788 or (413) 775-6091.
VIRTUS CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN (Unaudited) (Continued)
14.
AMENDMENT OF THE PLAN. These terms and conditions may be amended by the Agent or the Fund at any time but, except when necessary or appropriate to comply with applicable law or the rules or policies of the Securities and Exchange Commission or any
other regulatory authority, only by mailing to each Participant appropriate written notice at least thirty (30) calendar days prior to the effective date thereof. The amendment shall be deemed to be accepted by each Participant unless, prior to the
effective date thereof, the Agent receives notice of the termination of the Participant’s account under the Plan. Any such amendment may include an appointment by the Agent of a successor Agent, subject to the prior written approval of the
successor Agent by the Fund. Upon any such appointment of a successor Agent for the purpose of receiving distributions, the Fund will be authorized to pay to such successor Agent, for each Participant’s account, all Distributions payable on
Common Shares of the Fund held in the Participant’s name or under the Plan for retention or application by such successor Agent as provided in these terms and conditions.
15. APPLICABLE LAW. These terms and conditions shall be
governed by the laws of The Commonwealth of Massachusetts.
Results of
Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders of the
Funds was held on September 27, 2022 for 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 Equity & Convertible Income Fund (“NIE”) and Virtus Dividend, Interest & Premium Strategy Fund (“NFJ”), and November 10, 2022 for Virtus Artificial
Intelligence & Technology Opportunities Fund (“AIO”). The meetings were held for purposes of approving a new subadvisory agreement for each Fund. The results were as follows:
AIO
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, Virtus Investment Advisers, Inc. (“VIA”) and Voya Investment Management Co. LLC (“Voya”) |
13,590,960.107
|
447,655.000
|
2,992,328.530
|
Based on the
foregoing, shareholders of AIO voted to approve the new subadvisory agreement with Voya.
CBH
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, VIA and Voya |
8,676,332.200
|
132,508.997
|
362,298.000
|
Based on the
foregoing, shareholders of CBH voted to approve the new subadvisory agreement with Voya.
NCV
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, VIA and Voya |
40,487,164.324
|
1,415,297.631
|
2,676,197.000
|
Based on the
foregoing, shareholders of NCV voted to approve the new subadvisory agreement with Voya.
NCZ
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, VIA and Voya |
39,627,041.419
|
1,704,550.874
|
1,837,549.000
|
Based on the
foregoing, shareholders of NCZ voted to approve the new subadvisory agreement with Voya.
ACV
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, VIA and Voya |
5,464,332.437
|
165,151.879
|
211,614.250
|
Based on the
foregoing, shareholders of ACV voted to approve the new subadvisory agreement with Voya.
NIE
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, VIA and Voya |
12,292,838.444
|
424,609.601
|
802,490.631
|
Based on the
foregoing, shareholders of NIE voted to approve the new subadvisory agreement with Voya.
NFJ
|
Votes
For |
Votes
Against |
Abstain
|
To
approve a new subadvisory agreement by and among the Fund, VIA and Voya |
46,859,772.402
|
3,469,962.000
|
1,220,036.490
|
Based on the
foregoing, shareholders of NFJ voted to approve the new subadvisory agreement with Voya.
CONSIDERATION OF ADVISORY AND
SUBADVISORY AGREEMENTS
BY THE BOARD OF TRUSTEES (Unaudited)
The Board of Trustees (the
“Board”) of 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”), and Virtus Equity & Convertible Income
Fund (“NIE”) (each a “Fund” and, collectively, the “Funds”) is responsible for determining whether to approve the continuation of each investment advisory agreement (each, an “Advisory Agreement” and
collectively, the “Advisory Agreements”) between each Fund and Virtus Investment Advisers, Inc. (“VIA”) and, with respect to NFJ, the continuation of the subadvisory agreement (the “Subadvisory Agreement” and,
together with the Advisory Agreements, the “Agreements”) with NFJ Investment Group, LLC with respect to NFJ (the “Subadviser”). At a meeting of the Funds’ Contracts Committees (the “Committee”) held on
November 2, 2022, in a virtual meeting format in light of public health concerns regarding the spread of COVID-19, and at in-person Committee and Board meetings held on November 30, 2022 (the “Meetings”), the Committee and Board,
including a majority of the Trustees who are not interested persons, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”), of the Funds (the “Independent Trustees”) considered and approved the
continuation of each Agreement, as further discussed below. It was noted that each Fund (except for NFJ) is sub-advised by Voya Investment Management Co. LLC (“Voya”) following the transfer of the portfolio management teams from Allianz
Global Investors U.S. to Voya, and that the Board was not being asked to review the subadvisory agreements with Voya at this meeting.
In connection with the approval of the
Agreements, the Committee and the Board requested and evaluated information provided by VIA and the Subadviser which, in the view of the Committee and the Board, constituted information necessary for them to evaluate each of the Agreements. The
Committee and the Board also considered information furnished throughout the year at regular meetings of the Board and its committees with respect to the services provided by VIA and the Subadviser, including quarterly performance reports prepared
by management containing reviews of investment results with respect to the Funds and periodic presentations from the Subadviser with respect to NFJ. The Board noted the affiliation of the Subadviser with VIA and any potential conflicts of
interest.
The Board was
separately advised by independent legal counsel throughout the process. For each Agreement, the Committee and the Board considered all the criteria separately with respect to the applicable Fund and its shareholders. The Board considered all factors
that it considered relevant, including those discussed below. The Committee and the Board did not identify any one factor as all-important or controlling, and each member may have attributed different weights to the various factors. The Independent
Trustees also discussed the proposed approval of the Agreements in executive sessions with their independent legal counsel at which no representatives of VIA or the Subadviser were present.
Nature, Extent and Quality of Services
The Committee and the Board received
in advance of the Meetings various data and information regarding the nature, extent and quality of the services provided under the Agreements, including responses by VIA and the Subadviser to detailed requests submitted by independent legal counsel
to the Independent Trustees on their behalf, as well as responses by VIA and the Subadviser to follow-up questions from the Board. The Trustees also previously had received presentations by VIA’s and the Subadviser’s senior management
personnel. The responses to the information requests and the presentations included, among other things, information about the: background, experience and investment philosophy of senior management and investment personnel responsible for managing
the Funds; resources, operations and compliance structure of VIA and the Subadviser; and investment process, investment strategies, personnel, compliance procedures, and overall performance of VIA and the Subadviser.
In considering the Advisory Agreements
with VIA, the Committee and the Board considered VIA’s process for supervising and managing the Funds’ subadviser(s), including: (a) VIA’s ability to select and monitor subadvisers; (b) VIA’s ability to provide the services
necessary to monitor each subadviser’s compliance with the applicable Fund’s respective investment objective(s), policies and restrictions, as well as to provide other oversight activities, including with respect to Fund performance,
monitoring of each Fund’s discounts, distributions, and leverage rates; and (c) VIA’s ability and willingness to identify instances in which a subadviser should be replaced and to carry out the required changes. The Committee and the
Board also considered: (a) the experience and capability of VIA’s management and other personnel; (b) the financial condition of VIA, and whether it had the financial wherewithal to continue to provide a high level and quality of services to
the Funds; (c) the quality of VIA’s own regulatory and legal compliance policies, procedures and systems; (d) the nature, extent and quality of administrative and other services provided by VIA and its affiliates to the Funds; (e) VIA’s
supervision of the Funds’ other service providers; and (f) VIA’s risk management processes. It was noted that an affiliate of VIA serves as administrator to the Funds. The Committee and the Board also took into account their knowledge of
VIA’s
CONSIDERATION OF ADVISORY AND
SUBADVISORY AGREEMENTS
BY THE BOARD OF TRUSTEES (Unaudited)
(Continued)
management and the quality of the performance of VIA’s
duties, as well as information from the Funds’ Chief Compliance Officer regarding the Funds’ compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the services provided
by the Subadviser, the Committee and the Board considered information provided by the Subadviser, as well as information provided throughout the past year. The Committee and the Board noted that the Subadviser provided to NFJ portfolio management,
compliance with NFJ’s investment policies and procedures, compliance with applicable securities laws and assurances thereof. The Committee and the Board also noted that VIA’s and the Subadviser’s management of NFJ must be carried
out in accordance with NFJ’s investment objective, policies and restrictions. The Committee and the Board considered the Subadviser’s portfolio management services, including: (a) the scope of its operations; (b) its portfolio management
capabilities; (c) the breadth and depth of its management, investment and research personnel; and (d) the various support services that it provides to NFJ. The Committee and the Board considered the investment management process and strategies
employed by the Subadviser, and experience and capability of the Subadviser’s management and other personnel committed by the Subadviser to NFJ. The Committee and the Board also considered: (a) the quality of the Subadviser’s regulatory
and legal compliance policies, procedures and systems; and (b) the Subadviser’s brokerage and trading practices, including with respect to best execution and soft dollars. The Committee and the Board also took into account the
Subadviser’s risk assessment and monitoring process. The Committee and the Board noted the Subadviser’s regulatory history, including the fact that the Subadviser was not currently involved in any regulatory actions, investigations or
material litigation.
Investment Performance
The Committee and the Board considered
performance reports and discussions at meetings of the Board and its committees throughout the year, as well as a report (the “Broadridge Report”) for the Funds prepared by Broadridge Financial Solutions, Inc., an independent third-party
provider of investment company data, furnished in connection with the contract renewal process. The Broadridge Report presented each Fund’s performance relative to a peer group of other closed-end funds (the “Performance Universe”)
and relevant indexes, as selected by Broadridge. The Committee and the Board also considered performance information presented by management and took into account management’s discussion of the same, including the effect of market conditions
on each Fund’s performance. The Committee and the Board noted that the Board and its Performance Committees also review on a quarterly basis detailed information about each Funds’ performance results and attribution, as well as the
subadvisers’ investment strategies. The Committee and the Board noted VIA’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of the subadvisers. The Committee and the Board also took
into account discussions with management regarding factors that contributed to the performance of each Fund.
The Committee and the Board
considered, among other performance data, the information set forth below with respect to the performance of each Fund for the period ended June 30, 2022.
AIO
. The Board noted that the Fund outperformed the median of its Performance Universe and underperformed its benchmark for the year-to-date and 1-year periods.
CBH
. The Board noted that the Fund outperformed the median of its Performance Universe and outperformed its benchmark for the year-to-date and 1-year periods and underperformed the median of its Performance Universe and
underperformed its benchmark for the 3- and 5-year periods.
NCV
. The Board noted that the Fund underperformed the median of its Performance Universe and underperformed its benchmark for the year-to-date, 1-, 3-, 5- and 10-year periods.
NCZ
. The Board noted that the Fund underperformed the median of its Performance Universe and underperformed its benchmark for the year-to-date, 1-, 3-, 5- and 10-year periods.
ACV
. The Board noted that the Fund underperformed the median of its Performance Universe and underperformed its benchmark for the year-to-date and 1-year periods and outperformed the median of its Performance Universe
and outperformed its benchmark for the 3- and 5-year periods.
NFJ
. The Board noted that the Fund underperformed the median of its Performance Universe and underperformed its benchmark for the year-to-date, 1-, 3-, 5- and 10-year periods.
NIE
. The Board noted that the Fund underperformed the median of its Performance Universe for the year-to-date, 1-year and 10-year periods and outperformed the median of its Performance Universe for the 3- and 5-year
periods. The Board also
CONSIDERATION OF ADVISORY AND
SUBADVISORY AGREEMENTS
BY THE BOARD OF TRUSTEES (Unaudited)
(Continued)
noted that the Fund outperformed its benchmark for the
year-to-date and 1-year periods and underperformed its benchmark for the 3-, 5- and 10-year periods.
The Committee and the Board also
considered management’s discussion about the reasons for, or actions taken to address, each Fund’s underperformance, as applicable, relative to its peer group or benchmark. The Board also considered that the Funds had changed subadvisers
during the performance period shown, so that some of the performance shown was that of a prior subadviser. The Committee and the Board also considered the distribution rates for each Fund relative to peers. With respect to CBH, the Committee
and Board considered VIA’s representations regarding the Fund’s portfolio positioning given that the Fund’s term ends in 2024 unless extended by the Board. After reviewing these and related factors, the Committee and the Board
concluded that each Fund’s overall performance, the reasons discussed for each Fund’s underperformance, as applicable, and/or actions taken by VIA and/or the Subadviser to address the underperformance, as applicable, were
satisfactory.
Management Fees and Total Expenses
The Committee and the Board considered
the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons of each Fund’s contractual and net management fee and net total expense level to those of its peer
universe (the “Expense Universe”). In comparing each Fund’s net management fee to that of comparable funds, the Committee and the Board noted that in the materials presented by management such fee was comprised of advisory and
administration fees, which may not be the case for all peer funds included in the Expense Universe. As a result, the Committee and the Board reviewed and considered the total expense levels as well as the management fees relative to the
Expense Universe. The Committee and the Board also noted that each Fund had an expense cap in place to limit the total expenses incurred by the Fund and its shareholders. The Committee and the Board also noted that the subadvisory fees were paid by
VIA out of its management fees rather than paid separately by the Fund. In this regard, the Committee and the Board took into account management’s discussion with respect to the advisory/subadvisory fee structure, including the amount of the
advisory fee retained by VIA after payment of the subadvisory fee and the services provided, respectively, by VIA and the subadvisers. The Committee and the Board also considered the fee rates payable by comparable accounts managed by the
Subadviser. They also considered recent changes in the capital structure for NCV and NCZ, respectively. With respect to the fees and expenses related to each Fund’s use of leverage, the Committee and Board considered the conflicts of interest
involved in the use of leverage by the Funds in that VIA’s advisory fee is based on the assets managed.
In addition to the foregoing, the
Committee and the Board considered, among other data, the information set forth below with respect to each Fund’s fees and expenses. In each case, the Committee and the Board took into account management’s discussion of the Fund’s
expenses, including the type and size of the Fund relative to the other funds in its Expense Universe.
AIO. The Committee and the Board considered that the Fund’s gross management fee was above the median of the Expense Universe and net total expenses after waivers were below the
median of the Expense Universe.
CBH. The Committee and the Board considered that the Fund’s gross management fee was above the median of the Expense Universe and net total expenses after waivers were
below the median of the Expense Universe.
NCV
. The Committee and the Board considered that the Fund’s gross management fee was above the median of the Expense Universe and net total expenses after waivers were below the median of the Expense
Universe.
NCZ. The Committee and the Board considered that the Fund’s gross management fee was above the median of the Expense Universe and net total expenses after waivers were
below the median of the Expense Universe.
ACV
. The Committee and the Board considered that the Fund’s gross management fee and net total expenses after waivers were above the median of the Expense Universe.
NFJ
. The Committee and the Board considered that the Fund’s gross management fee was equal to the median of the Expense Universe and net total expenses after waivers were below the median of the Expense
Universe.
NIE. The Committee and the Board considered that the Fund’s gross management fee and net total expenses after waivers were below the median of the Expense
Universe.
CONSIDERATION OF ADVISORY AND
SUBADVISORY AGREEMENTS
BY THE BOARD OF TRUSTEES (Unaudited)
(Continued)
Profitability
The Committee and the
Board also considered certain information relating to profitability that had been provided by VIA. In this regard, the Committee and the Board considered information regarding the overall profitability of VIA for its management of the Funds, as well
as its profits and those of its affiliates including the Subadviser and administrator. In addition to the fees paid to VIA and its affiliates, including the Subadviser and administrator, the Committee and the Board considered other benefits derived
by VIA or its affiliates from their relationships with the Funds. The Committee and the Board reviewed the methodology used to allocate costs to the Funds, taking into account the fact that allocation methodologies are inherently subjective and
various allocation methodologies may each be reasonable while producing different results. The Committee and the Board concluded that the profitability to VIA and its affiliates from each Fund was within a reasonable range in light of the quality of
the services rendered to the Funds by VIA and its affiliates, and other factors considered.
In considering the profitability to
the Subadviser in connection with its relationship to NFJ, the Committee and the Board noted that the fee payable under the Subadvisory Agreement is paid by VIA out of the fee that VIA receives under the Advisory Agreement, and not by NFJ. In
considering the fee payable by VIA to the Subadviser, the Committee and the Board noted that, because the Subadviser is an affiliate of VIA, its profitability should be considered as part of the profitability of VIA and, therefore, the Committee and
the Board considered the profitability of VIA and the Subadviser together. For each of the above reasons, the Committee and the Board concluded that the separate profitability to the Subadviser and its affiliates from their relationships with NFJ
was not a material factor in approval of the Subadvisory Agreement.
Economies of Scale
The Committee and the Board considered
the extent to which economies of scale would be realized as the Funds’ assets grow, and whether the fee levels reflect these economies of scale for the benefit of Fund shareholders. The Committee and the Board noted that economies of scale may
develop for certain funds as their assets increase and their fixed fund-level expenses decline as a percentage of assets, but that closed-end funds such as the Funds typically do not have the ability to increase substantially their asset base as do
open-end funds.
The Committee
and the Board also considered the advisory fee rate in relation to the current asset size of each respective Fund, and whether any economies of scale exist at that size. The Board also noted that VIA had agreed to implement an extension of each
Fund’s expense cap through January 31, 2024. The Board concluded that, given the Funds’ closed-end structure, no changes to the Funds’ advisory and subadvisory fee structures were necessary or advisable at this time. The Committee
and the Board agreed that it would be appropriate to monitor this matter in the event that the assets of the Funds were to increase substantially via a secondary or rights offering, capital appreciation, reinvested dividends, the use of increased
leverage or some other means.
Other Factors
The Committee and the Board considered
information regarding potential “fallout” or ancillary benefits that may be realized by VIA, the Subadviser and their respective affiliates as a result of their relationships with the Funds. The Board noted that an affiliate of VIA
provides administrative services to the Funds. The Committee and the Board noted management’s discussion of the fact that, while the Subadviser is an affiliate of VIA, there are no other direct benefits received by the Subadviser or VIA in
providing investment advisory services to NFJ, other than the fees earned under the respective Agreement.
The Committee and the Board concluded
that potential “fallout” benefits that VIA and the Subadviser may receive, such as greater name recognition or increased ability to obtain research and brokerage services, as applicable, may, in some cases, benefit the Funds.
Conclusion
After considering all
factors that it considered relevant, the Board, including a majority of the Independent Trustees, approved the applicable Agreements with respect to each Fund.
FUND MANAGEMENT TABLES
(Unaudited)
Information pertaining to the Trustees and
Officers of the Funds as of the date of the issuance of this report is set forth below. The address of each individual, unless otherwise noted, is c/o Virtus Funds, One Financial Plaza, Hartford, CT 06103.
Independent Trustees(1)
Name,
Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee |
Principal
Occupation(s) During Past 5 Years |
Other
Directorships Held by Trustee During Past 5 Years |
McLoughlin,
Philip R.(2) YOB: 1946 Trustee and Chairman of the Board Served Since: AIO, NCZ, ACV, NFJ and NIE (Trustee since 2021; Chairman since 2023) CBH and NCV
(Trustee since 2022; Chairman since 2023) 106 Portfolios |
Private
investor since 2010. |
Trustee
(since 2022), Virtus Stone Harbor Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The
Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios), Virtus Strategy Trust (8 portfolios), Virtus Artificial
Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund;
Trustee (since 2022) and Advisory Board Member (2021), Virtus Convertible & Income 2024 Target Term Fund and Virtus Convertible & Income Fund; Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to
2019), the former Virtus Total Return Fund Inc.; Director and Chairman (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (2 portfolios); Trustee and
Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (3
funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (57 portfolios). |
Cogan,
Sarah E. YOB: 1956 Served Since: 2019 (all Funds) 103 Portfolios |
Retired
Partner, Simpson Thacher & Bartlett LLP (“STB”) (law firm) (since 2019); Director, Girl Scouts of Greater New York (since 2016); Trustee, Natural Resources Defense Council, Inc. (since 2013); and formerly, Partner, STB (1989 to
2018). |
Trustee
(since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (2 portfolios), Virtus Mutual Fund Family (57 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor
Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios) and Virtus Global Multi-Sector Income Fund; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select
MLP and Midstream Energy Fund Inc.; Director (since 2021), Virtus Total Return Fund Inc.; Trustee (since 2019), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2019), Virtus Artificial Intelligence
& Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity &
Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2019), PIMCO Closed-End Funds(3) (26 portfolios). |
DeCotis,
Deborah A. YOB: 1952 Served Since: NCV, NCZ, NFJ and NIE (since 2011) ACV (since 2015) CBH (since 2017) AIO (since 2019) 103 Portfolios |
Director,
Cadre Holdings Inc. (since 2022); Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); and Trustee, Smith College (since 2017). Formerly,
Director, Watford Re (2017 to 2021); Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005 to 2015); and Trustee, Stanford University (2010 to 2015). |
Trustee
(since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (2 portfolios), Virtus Mutual Fund Family (57 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor
Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select
MLP and Midstream Energy Fund Inc.; Director (since 2021), Virtus Total Return Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term
Fund; Trustee (since 2015), Virtus Diversified Income Convertible Fund; Trustee (since 2014), Virtus Investment Trust (13 portfolios); Trustee (since 2011), Virtus Strategy Trust (8 portfolios); Trustee (since 2011), Virtus Convertible Income Fund,
Virtus Convertible Income Fund II, Virtus Equity Convertible Income Fund, and Virtus Dividend, Interest Premium Strategy Fund; and Trustee (since 2011), PIMCO Closed-End
Funds(3) (26 portfolios). |
FUND MANAGEMENT TABLES
(Unaudited) (Continued)
Name,
Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee |
Principal
Occupation(s) During Past 5 Years |
Other
Directorships Held by Trustee During Past 5 Years |
Drummond,
F. Ford YOB: 1962 Served Since: NIE, NFJ, ACV, NCV and NCZ (since 2015) CBH (since 2017) AIO (since (2019) 103 Portfolios |
President
(since 1998), F.G. Drummond Ranches, Inc.; and Director (since 2015), Texas and Southwestern Cattle Raisers Association. Formerly, Chairman, Oklahoma Nature Conservancy (2019 to 2020); Board Member (2006 to 2020) and Chairman (2016 to 2018),
Oklahoma Water Resources Board; Trustee (since 2014), Frank Phillips Foundation; Director (1998 to 2008), The Cleveland Bank; and General Counsel (1998 to 2008), BMIHealth Plans (benefits administration). |
Trustee
(since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (2 portfolios), Virtus Mutual Fund Family (57 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor
Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, and Virtus Event Opportunities Trust (2 portfolios); Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.;
Trustee (since 2021), Virtus Global Multi-Sector Income Fund; Director (since 2021),Virtus Total Return Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible
& Income 2024 Target Term Fund; Trustee (since 2015), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and
Virtus Equity & Convertible Income Fund; Trustee (since 2014), Virtus Strategy Trust (8 portfolios); Director (since 2011), Bancfirst Corporation; and Trustee (since 2006), Virtus Investment Trust (13 portfolios). |
McNamara,
Geraldine M.(4) YOB: 1951 Served Since: AIO and NIE (Trustee since 2023) CBH, NCV, NCZ, ACV and NFJ (Advisory Member since 2023) 106 Portfolios |
Private
investor (since 2006); and Managing Director, U.S. Trust Company of New York (1982 to 2006). |
Trustee
(since 2023), Virtus Artificial Intelligence & Technology Opportunities Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since 2023), Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible &
Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund and Virtus
Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger
Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff
& Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016) Virtus Alternative Solutions Trust (2 portfolios);
Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); and Trustee (since 2001), Virtus Mutual Fund Family (57 portfolios).
|
Rappaport,
Alan(2) YOB: 1953 Trustee (for the dates listed below) and former Chairman of the Board (2019 to 2023) Served Since: NIE and NFJ (since 2010) ACV
(since 2015) NCV and NCZ (since 2010) CBH (since2017) AIO (since 2019) 7 Portfolios |
Director
(since 2013), Victory Capital Holdings, Inc., an asset management firm. Formerly, Adjunct Professor (2011 to 2020), New York University Stern School of Business; Lecturer (2013 to 2020), Stanford University Graduate School of Business; Trustee
(2005-2015), American Museum of Natural History; and Trustee and Member of Board of Overseers (2007-2015), NYU Langone Medical Center; and Advisory Director (formerly, Vice Chairman) (2009-2018), Roundtable Investment Partners. |
Trustee
(since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2015), Virtus Diversified Income & Convertible Fund; Trustee (since
2010), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2010), PIMCO Closed-End Funds(3) (26 portfolios). |
FUND MANAGEMENT TABLES
(Unaudited) (Continued)
Name,
Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen by Trustee |
Principal
Occupation(s) During Past 5 Years |
Other
Directorships Held by Trustee During Past 5 Years |
Walton,
R. Keith(5) YOB: 1964 Served Since: AIO, NCV, ACV and NIE (Trustee since 2022) CBH, NCZ and NFJ (Advisory Member since 2022) 103 Portfolios |
Senior
Adviser (since 2022), Brightwood Capital LLC; Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; and Partner (since 2006), Global Infrastructure Partners.
Formerly, Managing Director (2020 to 2021), Lafayette Square Holding Company LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; and Vice President, Strategy (2013 to 2017),
Arizona State University. |
Trustee
(since 2022) and Advisory Board Member (January 2022 to July 2022), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2022),
Virtus Stone Harbor Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2022), Virtus Diversified Income & Convertible Fund; Advisory Board Member (since 2022), Virtus Convertible & Income
2024 Target Term Fund, Virtus Convertible & Income Fund II and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2021), The Merger Fund®, The Merger
Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2020) Virtus
Alternative Solutions Trust (2 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (57 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (2016 to 2021),
Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds;
Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Zino,
Brian T. YOB: 1952 Served Since: 2022 (all funds) 103 Portfolios |
Retired.
Various roles (1982 to 2009), J. & W. Seligman & Co. Incorporated, including President (1994 to 2009). |
Trustee
(since 2022), Virtus Stone Harbor Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The
Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2022) and
Advisory Board Member (2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus
Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2020) Virtus Alternative Solutions Trust (2 portfolios), Virtus Variable Insurance
Trust (8 portfolios) and Virtus Mutual Fund Family (57 portfolios); Director (2016 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus
Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2009) and President (1994 to 2009), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman
(2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
FUND MANAGEMENT TABLES
(Unaudited) (Continued)
Interested Trustee(6)
The individual listed below is an
“interested person” of the Fund, as defined in Section 2(a)(19) of the 1940 Act, as amended, and the rules and regulations thereunder.
Name,
Year of Birth, Length of Time Served, and Number of Funds Overseen by Trustee |
Principal
Occupation(s) During Past 5 Years |
Principal
Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward,
George R.* Trustee and President YOB: 1964 Served Since: 2021 (all funds) 109 Portfolios |
Director,
President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various senior officer positions with Virtus affiliates (since 2005). |
Trustee,
President and Chief Executive Officer (since 2022), Virtus Stone Harbor Emerging Markets Income Fund and Virtus Stone Harbor Emerging Markets Total Income Fund; Member, Board of Governors of the Investment Company Institute (since 2021); Trustee
and President (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities
Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus
Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend,
Interest & Premium Strategy Fund; Chairman and Trustee (since 2015), Virtus ETF Trust II (6 portfolios); Director, President and Chief Executive Officer (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and
President (since 2013), Virtus Alternative Solutions Trust (2 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee,
President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (57 portfolios); Director, President and Chief
Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
(1)“Independent Trustees” are those Trustees who are not “interested persons”, (as defined in Section 2(a)(19)
of the 1940 (Act), and “Interested Trustees” are those Trustees who are “Interested Persons” of the Funds.
(2)Effective March 3, 2023, Mr. Rappaport stepped down as Chairman of the Board and Mr. McLoughlin was appointed as Chairman
of the Board.
(3)PIMCO Closed-End Funds are not part of the Virtus’ Fund Complex: PIMCO Access Income Fund; PIMCO California Flexible Municipal
Income Fund; PIMCO California Municipal Income Fund; PIMCO California Municipal Income Fund II; PIMCO California Municipal Income Fund Ill; PIMCO Municipal Income Fund; PIMCO Municipal Income Fund II; PIMCO Municipal Income Fund III; PIMCO New York
Municipal Income Fund; PIMCO New York Municipal Income Fund II; PIMCO New York Municipal Income Fund Ill; PIMCO Energy and Tactical Credit Opportunities Fund; PCM Fund, Inc.; PIMCO Corporate & Income Strategy Fund; PIMCO Corporate & Income
Opportunity Fund; PIMCO Dynamic Income Fund; PIMCO Dynamic Income Opportunities Fund; PIMCO Global StocksPLUS® & Income Fund; PIMCO High Income Fund; PIMCO Income
Strategy Fund; PIMCO Income Strategy Fund II; PIMCO Managed Accounts Trust (5 portfolios); PIMCO Strategic Income Fund, Inc.; PIMCO Flexible Credit Income Fund; PIMCO Flexible Emerging Markets Income Fund; and PIMCO Flexible Municipal Income
Fund.
(4)Effective January 1, 2023, Ms. McNamara was appointed as a Trustee of Virtus Artificial Intelligence & Technology Opportunities
Fund (“AIO”) and Virtus Equity & Convertible Income Fund (“NIE”) and an Advisory Board Member of 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”) and Virtus Dividend, Interest & Premium Strategy Fund (“NFJ”).
(5)Effective July 12, 2022, Mr. Walton was appointed as a Trustee of AIO, NCV and NIE.
(6)Mr. Aylward is an “Interested Person” of the Funds, as defined in Section 2(a)(19) of the 1940 Act, due to his
affiliation with the Investment Manager and its affiliates.
FUND MANAGEMENT TABLES
(Unaudited) (Continued)
Officers of the Trust Who Are Not Trustees
Name
and Year of Birth |
Position(s)
Held with Fund and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Batchelar,
Peter J. YOB: 1970 |
Senior
Vice President (since 2021). |
Senior
Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2017) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions
(since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Bradley,
W. Patrick YOB: 1972 |
Executive
Vice President, Chief Financial Officer and Treasurer (since 2021). |
Executive
Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016) and various officer positions (since 2004), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006)
of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Member (since 2022), BNY Mellon Asset Servicing Client Advisory Board. |
Branigan,
Timothy YOB: 1976 |
Vice
President and Fund Chief Compliance Officer (since 2022) and Assistant Vice President and Deputy Fund Chief Compliance Officer (March to May 2022). |
Various
officer positions (since 2019) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Fromm,
Jennifer YOB: 1973 |
Vice
President, Chief Legal Officer, Counsel and Secretary (since 2022) and Vice President and Assistant Secretary (2021 to 2022). |
Vice
President (since 2016) and Senior Counsel, Legal (since 2007) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2008) of various registered funds
advised by subsidiaries of Virtus Investment Partners, Inc. |
Hackett,
Amy YOB: 1968 |
Vice
President and Assistant Treasurer (since 2021). |
Vice
President, Fund Services (since 2010) and Assistant Vice President, Fund Services (2007 to 2010), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2007) of various registered funds advised by
subsidiaries of Virtus Investment Partners, Inc. |
Krishnan,
Suneeta YOB: 1965 |
Vice
President and Assistant Treasurer (since 2021) |
Vice
President, Mutual Fund Administration (since 2017), and Assistant Treasurer, Mutual Fund Administration (since 2007), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2009) of various
registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Rahman,
Mahmood YOB: 1967 |
Assistant
Vice President (since 2021). |
Assistant
Vice President and Tax Director, Fund Administration (since 2020), Virtus Investment Partners, Inc.; Assistant Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Assistant
Treasurer and Tax Director, Grantham, Mayo, Van Otterloo & Co. LLC (2007 to 2019). |
Short,
Julia R. YOB: 1972 |
Senior
Vice President (since 2021). |
Senior
Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and
Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Smirl,
Richard W. YOB: 1967 |
Executive
Vice President (since 2021). |
Chief
Operating Officer (since 2021), Virtus Investment Partners, Inc.; Executive Vice President (since 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021) of various registered funds advised
by subsidiaries of Virtus Investment Partners, Inc.; Chief Operating Officer (2018 to 2021), Russell Investments; Executive Director (Jan. to July 2018), State of Wisconsin Investment Board; and Partner and Chief Operating Officer (2004 to 2018),
William Blair Investment Management. |
Thaker,
Nikita K. YOB: 1978 |
Vice
President, Controller and Assistant Treasurer (since 2021) |
Vice
President, Mutual Fund Administration (since 2021) and Assistant Vice President, Mutual Fund Administration (2016 to 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2013) of various
registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
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INTENTIONALLY BLANK.
Trustees
Philip R. McLoughlin, Chairman
of the Board of Trustees
George R. Aylward
Sarah E. Cogan
Deborah A. DeCotis
F. Ford Drummond
Alan Rappaport
Brian T. Zino
Geraldine M. McNamara,
Advisory Member (CBH/NCV/NCZ/ACV/NFJ) and Trustee (AIO/NIE)
R. Keith Walton, Advisory
Member (CBH/NCZ/NFJ) and Trustee (AIO/NCV/ACV/NIE)
Officers
George R. Aylward, President
and Chief Executive Officer
Peter J. Batchelar, Senior Vice
President
W. Patrick
Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Timothy Branigan, Vice
President and Fund Chief Compliance Officer
Jennifer Fromm, Vice
President, Chief Legal Officer, Counsel and Secretary
Julia R. Short,
Senior Vice President
Richard W. Smirl, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
One Financial Plaza
Hartford, CT 06103-2608
Administrator
Virtus Fund Services, LLC
One Financial Plaza
Hartford, CT 06103
Transfer Agent, Dividend Paying Agent and Registrar
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Independent Registered Public
Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Shareholder Services
|
1-866-270-7788
|
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share
the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-866-270-7788.
Computershare Investor Services
P. O. Box 43078
Providence, RI 02940-3078
For more
information about Virtus Closed-End Funds,
please contact us at 1-866-270-7788 or closedendfunds@virtus.com, or visit Virtus.com.
|
(a) |
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies
to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third
party. |
|
(c) |
There have been no amendments, during the period covered by this report, to a provision of the code of ethics
that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the
registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of Form N-CSR. |
|
(d) |
The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of
ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the
registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this items instructions. |
Item 3. |
Audit Committee Financial Expert. |
|
|
|
(a)(1) |
|
The Registrants Board of Trustees has determined that the Registrant has an audit committee financial expert serving on its Audit Committee. |
|
|
(a)(2) |
|
As of the end of the period covered by the report, the Registrants Board of Trustees had determined that Brian T. Zino possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an audit committee financial expert. Mr. Zino is an independent trustee pursuant to paragraph (a)(2) of Item 3 to Form
N-CSR. |
|
|
(a)(3) |
|
Not Applicable. |
Item 4. |
Principal Accountant Fees and Services. |
Audit Fees
|
(a) |
The aggregate fees billed for each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrants annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $42,525
for 2023 and $40,500 for 2022. |
Audit-Related Fees
|
(b) |
The aggregate fees billed in each of the last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance of the audit of the registrants financial statements and are not reported under paragraph (a) of this Item are $1,424 for 2023 and $2,289 for 2022. Such
audit-related fees include out of pocket expenses. |
Tax Fees
|
(c) |
The aggregate fees billed in each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning are $24,705 for 2023 and $14,950 for 2022. |
Tax Fees are those primarily associated with review of the Funds tax provision and qualification as a regulated investment
company (RIC) in connection with audits of the Funds financial statement, review of year-end distributions by the Fund to avoid excise tax for the Fund, periodic discussion with management on tax issues
affecting the Fund, and reviewing and signing the Funds federal income tax returns.
All Other Fees
|
|
|
(d) |
|
The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2023 and $0
for 2022. |
|
|
(e)(1) |
|
Disclose the audit committees pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Virtus Diversified Income & Convertible Fund (the Fund) Board has adopted policies
and procedures with regard to the pre-approval of services provided by PricewaterhouseCoopers LLP. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific
pre-approval by the Audit Committee. The Audit Committee must also approve other non-audit services provided to the Fund and those
non-audit services provided to the Funds Affiliate Service Providers that related directly to the operations and financial reporting of the Fund. Certain of these
non-audit services that the Audit Committee believes are a) consistent with the SECs auditor independence rules and b) routine and recurring services that will not impair the independence of the
independent auditors may be approved by the Audit Committee without consideration on a specific case-by-case basis (general
pre-approval).
The Audit Committee has determined that the Chair of the Audit Committee may
provide pre-approval for such services that meet the above requirements but are not included in the general pre-approval in the event such approval is sought between
regularly scheduled meetings. In any event, the Audit Committee is informed of, and ratifies, each service approved at the next regularly scheduled in-person Audit Committee meeting.
|
|
|
|
|
(e)(2) |
|
The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) N/A
|
(f) |
The percentage of hours expended on the principal accountants engagement to audit the registrants
financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountants full-time, permanent employees was less than fifty percent. |
|
(g) |
The aggregate non-audit fees billed by the registrants accountant
for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $24,705 for
2023 and $17,239 for 2022. |
|
(h) |
The registrants audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal
accountants independence. |
Item 5. |
Audit Committee of Listed Registrants. |
|
(a) |
The registrant has a separately designated audit committee. Effective January 1, 2023, the members of the
audit committee were Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond, Philip R. McLoughlin, Alan Rappaport, R. Keith Walton and Brian T. Zino. Geraldine M. McNamara also served as an advisory member of the audit committee effective
January 1, 2023. From January 1, 2022 to December 31, 2022, the members of the audit committee were Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond, James S. MacLeod, Philip R. McLoughlin, William B. Ogden IV, Alan Rappaport, R.
Keith Walton and Brian T. Zino. |
|
(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. |
Item 7. |
Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies. |
The Fund has adopted a Policy Regarding Proxy Voting (the Policy)
stating the Funds intention to exercise stock ownership rights with respect to portfolio securities in a manner that is reasonably anticipated to further the best economic interests of shareholders of the Fund. The Fund or its voting delegates
will endeavor to analyze and vote all proxies that are likely to have financial implications, and where appropriate, to participate in corporate governance, shareholder proposals, management communications and legal proceedings. The Fund or its
voting delegates must also identify potential or actual conflicts of interest in voting proxies and must address any such conflict of interest in accordance with the Policy.
In the absence of a specific direction to the contrary from the Board, the Adviser or the subadviser that is managing the Fund is responsible
for voting proxies for such fund, or for delegating such responsibility to a qualified, independent organization engaged by the Adviser or respective subadviser to vote proxies on its behalf. The applicable voting party will vote proxies in
accordance with the Policy or its own policies and procedures, which must be reasonably designed to further the best economic interests of the affected fund shareholders. Because the Policy and the applicable voting partys policies and
procedures used to vote proxies for the funds both are designed to further the best economic interests of the affected fund shareholders, they are not expected to conflict with one another although the types of factors considered by the applicable
voting party under its own policies and procedures may be in addition to or different from the ones listed below for the Policy.
The
Policy specifies the types of factors to be considered when analyzing and voting proxies on certain issues when voting in accordance with the Policy, including, but not limited to:
|
|
|
Anti-takeover measures the overall long-term financial performance of the target company relative to its
industry competition. |
|
|
|
Corporate Governance Matters tax and economic benefits of changes in the state of incorporation; dilution
or improved accountability associated with changes in capital structure. |
|
|
|
Contested elections the qualifications of all nominees; independence and attendance record of board and
key committee members; entrenchment devices in place that may reduce accountability. |
|
|
|
Stock Option and Other Management Compensation Issuesexecutive pay and spending on perquisites,
particularly in conjunction with sub-par performance and employee layoffs. |
|
|
|
Shareholder proposals whether the proposal is likely to enhance or protect shareholder value; whether
identified issues are more appropriately or effectively addressed by legal or regulatory changes; whether the issuer has already appropriately addressed the identified issues; whether the proposal is unduly burdensome or prescriptive; whether the
issuers existing approach to the identified issues is comparable to industry best practice. |
The Fund and its
voting delegates seek to avoid actual or perceived conflicts of interest of Fund shareholders, on the one hand, and those of the Adviser, subadviser, other voting delegate, Distributor, or any affiliated person of the Fund, on the other hand.
Depending on the type and materiality, the Board or its delegates may take the following actions, among others, in addressing any material
conflicts of interest that arise with respect to voting (or directing voting delegates to vote): (i) rely on the recommendations of an established, independent third party proxy voting vendor; (ii) vote pursuant to the recommendation of the
proposing delegate; (iii) abstain; (iv) where two or more delegates provide conflicting requests, vote shares in proportion to the assets under management of each proposing delegate; (v) vote shares in the same proportion as the vote of
all other shareholders of such issuer; or (vi) the Adviser may vote proxies where the subadviser has a direct conflict of interest. The Policy requires each Adviser/subadviser that is a voting delegate to notify the Chief Compliance Officer of
the Fund (or, in the case of a subadviser, the Chief Compliance Officer of the Adviser) of any actual or potential conflict of interest that is identified, and provide a recommended course of action for protecting the best interests of the affected
funds shareholders. No Adviser/subadviser or other voting delegate may waive any conflict of interest or vote any conflicted proxies without the prior written approval of the Board (or the Executive Committee thereof) or the Chief Compliance
Officer of the Fund.
The Policy further imposes certain record-keeping and reporting requirements on each Adviser/subadviser or other
voting delegate.
Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month period ended September 30 will be available, no later than August 31 of each year, free of charge by calling, toll-free, 800.243.1574, or on the SECs Web site at www.sec.gov.
Following is information about the policies and procedures followed by the subadviser to the Fund in voting proxies for the Fund.
Voya Investment Management Co. LLC (Voya Investment Management) has been delegated the authority to vote proxies for the Fund. Voya
Investment Management has adopted proxy voting policies, procedures and guidelines in an effort to ensure proxies are voted in the best interests of its clients and the value of the investment, and to address any real or perceived conflicts of
interest in proxy voting. Proxies of the Funds will be voted subject to Voya Investment Managements policy. Voya Investment Managements Proxy Committee oversees the implementation of Voya Investment Managements proxy voting
procedures and guidelines including potential conflicts of interest. An independent proxy voting service has been retained to assist in the voting of Fund proxies through the provision of vote analysis, implementation and recordkeeping and
disclosure services. In addition, Voya Investment Managements Compliance Committee oversees the implementation of the Funds proxy voting procedures and guidelines.
Item 8. |
Portfolio Managers of Closed-End Management Investment Companies.
|
(a)(1)
As of the date of filing this
report, the Funds sub-adviser is Voya Investment Management, and the following individuals have primary responsibility for the
day-to-day implementation of the Virtus Diversified Income & Convertible Fund (ACV or the Fund).
Justin M. Kass, CFA
Senior Managing Director, Chief
Investment Officer, Co-Head of Income & Growth
Industry start date: 1998
Start date as fund Portfolio Manager: 2015
Justin Kass is chief
investment officer, co-head of income and growth at Voya Investment Management. Prior to joining Voya, he was a portfolio manager, managing director, CIO and co-head of
U.S. income and growth strategies at Allianz Global Investors, where he held portfolio management, research, and trading responsibilities for the income and growth strategies team.
Prior to that at Allianz Global Investors, Mr. Kass held portfolio manager responsibilities for the U.S. convertible strategy and was a lead portfolio
manager for the income and growth strategy since its inception. In that role, he was responsible for managing multiple closed-end and open-end mutual funds.
Mr. Kass earned a B.S. from the University of California, Davis, and an M.B.A. from the UCLA Anderson School of Management. He is a CFA® Charterholder. He began his career in the investment industry in 1998.
Michael E.
Yee
Managing Director, Lead Portfolio Manager Income & Growth
Industry start date: 1994
Start date as fund Portfolio Manager:
2015
Michael Yee is a lead portfolio manager, income and growth at Voya Investment Management. Prior to joining Voya, Mr. Yee was a portfolio
manager and managing director at Allianz Global Investors, where he held portfolio management, research and trading responsibilities for the income and growth strategies team. He also served as a lead portfolio manager for the income and growth
strategy since inception and was responsible for managing multiple closed-end and open-end mutual funds.
Prior to that, Mr. Yee was an analyst for the global and systematic team with responsibilities focused on U.S. large cap equity strategies and worked in
global portfolio administration and client service.
Previously, he was a financial consultant for Priority One Financial/Liberty Foundation.
Mr. Yee earned a B.S. from the University of California, San Diego, and an M.B.A. from San Diego State University. He began his career in the investment
industry in 1994.
David J. Oberto
Senior Vice
President, Lead Portfolio Manager Income & Growth
Industry start date: 2003
Start date as fund Portfolio Manager: 2022
David Oberto is a lead portfolio manager, income and growth at Voya Investment Management. Prior to joining Voya,
he was a portfolio manager and director at Allianz Global Investors, where he held portfolio management, research and trading responsibilities for the income and growth strategies team. and served as portfolio manager for the U.S. High Yield Bond
strategy and was also responsible for managing multiple closed-end and open-end mutual funds.
Prior to that, he was a portfolio administrator, a credit default swaps (CDS) account manager and a trade-closer at Bain Capital.
Mr. Oberto earned a B.S.B.A. with a concentration in finance and a minor in economics from Fordham University and an M.S. in finance from the
DAmore-McKim School of Business at Northeastern University. He began his career in the investment industry in 2003.
Ethan Turner, CFA
Vice President, Portfolio Manager Income & Growth
Industry start date: 2005
Start date as fund Portfolio Manager:
2023
Ethan Turner is a portfolio manager, income and growth, at Voya Investment Management. Mr. Turner joined the firm following Voyas
acquisition of the substantial majority of Allianz Global Investors U.S. business, where he was an analyst and vice president with research responsibilities for the income and growth strategies team. Prior to that at Allianz, he was a trading
assistant.
Prior to joining Allianz, Mr. Turner was a lead analyst covering the financial sector at Relational Investors and a financial analyst at
Sunstone Hotel Investors.
Mr. Turner earned a B.S. from San Diego State University and an M.B.A. from the Anderson School of Management at the
University of California, Los Angeles. He is a CFA® charterholder. Mr. Turner began working in the investment industry in 2005.
(a) |
(2) Other Accounts Managed by Portfolio Managers and Potential Conflicts of Interest |
The following summarizes information regarding each of the accounts, excluding the Fund, that were managed by the Portfolio Managers as of January 31,
2023 including accounts managed by a team, committee, or other group that includes the Portfolio Managers.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Name of Portfolio
Manager or
Team Member |
|
Type of Accounts |
|
Total No. of Accounts Managed |
|
|
Total Assets (in millions) |
|
|
No. of Accounts where Advisory Fee is Based on Performance |
|
|
Total Assets in Accounts where Advisory Fee is Based on Performance (in millions) |
|
Justin M. Kass |
|
Registered Investment Companies: |
|
|
8 |
|
|
$ |
9,932 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Pooled Investment Vehicles: |
|
|
11 |
|
|
|
45,991 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Accounts: |
|
|
7 |
|
|
|
1,496 |
|
|
|
0 |
|
|
|
0 |
|
Michael E. Yee |
|
Registered Investment Companies: |
|
|
7 |
|
|
|
9,110 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Pooled Investment Vehicles: |
|
|
8 |
|
|
|
44,058 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Accounts: |
|
|
6 |
|
|
|
1,399 |
|
|
|
0 |
|
|
|
0 |
|
David Oberto |
|
Registered Investment Companies: |
|
|
7 |
|
|
|
9,646 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Pooled Investment Vehicles: |
|
|
10 |
|
|
|
44,331 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Accounts: |
|
|
6 |
|
|
|
1,399 |
|
|
|
0 |
|
|
|
0 |
|
Ethan Turner |
|
Registered Investment Companies: |
|
|
8 |
|
|
|
9,542 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Pooled Investment Vehicles: |
|
|
1 |
|
|
|
89 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Other Accounts: |
|
|
4 |
|
|
|
1,144 |
|
|
|
0 |
|
|
|
0 |
|
Voya Investment Management
Potential Conflicts of Interest
(a)(3) As of
January 31, 2023, the following explains the compensation structure of each individual employed by Voya Investment Management who share primary responsibility for
day-to-day portfolio management of the Fund:
Compensation Structure
Voya Investment Managements compensation philosophy is to align compensation closely with performance and to leverage the
variable side of the compensation equation. Annually, Voya Investment Management participates in comprehensive industry surveys and compares the relevant data to ensure that its compensation plans remain competitive. Key investment professionals
such as portfolio managers and traders are paid competitive base salaries, are eligible for discretionary bonuses, and generally participate in Voya Investment Managements long-term compensation program.
Bonus Program. The overall design of the annual incentive plan for investment professionals was developed to tie pay to both portfolio
performance and profitability and is structured to drive performance and promote retention of top talent. Individual bonus target awards are based on external market data and internal comparators.
Investment performance is measured on both relative and absolute performance in all areas, and performance goals are set to appropriately
reflect requirements for the investment team. The results for overall Voya IM LLC include a review of firm
profitability, team performance and the investment professionals individual performance, all of which influence the outcome of the discretionary bonus award recommendation process. The
measures for each team are reviewed annually by Voya Investment Managements executive management, and include the measures of investment performance versus benchmark and peer groups over one-, three- and
five-year periods, as well as contributions to Voya Investment Managements revenue growth and profitability.
Discretionary bonuses
for non-investment professionals are structured similarly. The annual incentive bonus may be subject to deferral into a long-term compensation plan, as determined by the plan in effect at the time of payment.
Long-term Compensation. Voya Investment Managements long-term incentive plan is designed to provide ownership-like incentives to
reward continued employment and to link long-term compensation to the financial performance of the business. Based on job function, internal comparators and external market data, employees may be granted long-term awards. All senior investment
professionals participate in the long-term compensation plan. Participants are eligible to receive annual awards determined by the Executive Leadership Team based largely on investment performance and their contribution to firm performance. Plan
awards are based on the current years performance as defined by Voya Investment Managements component of the annual incentive plan. Awards may include a combination of performance share units, restricted stock units, and/or a notional
investment in a predefined set of Voya mutual funds. Awards are subject to a time-based vesting schedule.
(a)(4) The following summarizes the
dollar range of securities each portfolio manager for the Fund beneficially owned of the Fund that he managed as of January 31, 2023.
Virtus Diversified Income & Convertible Fund
|
|
|
|
|
Portfolio Manager |
|
Fund Ownership |
|
Justin Kass |
|
$ |
100,001 - $500,000 |
|
Michael Yee |
|
|
None |
|
David Oberto |
|
$ |
10,001 - $50,000 |
|
Ethan Turner |
|
$ |
10,001 - $50,000 |
|
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 directors, where those
changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A
(17 CFR 240.14a-101)), or this Item.
Item 11. |
Controls and Procedures. |
|
(a) |
The 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 Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required
by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
|
(b) |
There were no changes in the 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. |
Item 12. |
Disclosure of Securities Lending Activities for Closed-End
Management Investment Companies. |
Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
|
|
|
(Registrant) |
|
Virtus Diversified Income & Convertible
Fund |
|
|
|
|
|
By (Signature and Title)* |
|
/s/ George R. Aylward |
|
|
George R. Aylward, President and Chief Executive Officer |
|
|
(principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
By (Signature and Title)* |
|
/s/ George R. Aylward |
|
|
George R. Aylward, President and Chief Executive Officer |
|
|
(principal executive officer) |
|
|
|
|
|
By (Signature and Title)* |
|
/s/ W. Patrick Bradley |
|
|
W. Patrick Bradley, Executive Vice President, |
|
|
Chief Financial Officer, and Treasurer |
|
|
(principal financial officer) |
* |
Print the name and title of each signing officer under his or her signature. |