VIRTUS Stone Harbor Emerging Markets Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2026
($ reported in thousands)
 
 
Par Value
Value
Corporate Bonds and Notes—96.5%
Angola—1.0%
Azule Energy Finance plc 144A
8.125%, 1/23/30(1)
$66
$67
Argentina—4.9%
Generacion Mediterranea S.A.

144A 7.500%, 12/31/34(1)
67
53

144A 4.000%, 6/30/36(1)
9
4
MSU Energy S.A. 144A
9.750%, 12/5/30(1)
73
74
MSU Green Energy 144A
9.750%, 6/16/36(1)
31
30
Telecom Argentina S.A.

144A 9.500%, 7/18/31(1)
34
36

144A 9.250%, 5/28/33(1)
35
37
YPF Energia Electrica S.A. 144A
7.875%, 10/16/32(1)
50
51
YPF S.A. 144A
9.500%, 1/17/31(1)
44
47
 
332
 
 
Brazil—10.9%
3R Lux S.a.r.l. 144A
9.750%, 2/5/31(1)
30
32
Adecoagro S.A. 144A
7.500%, 7/29/32(1)
27
26
Aegea Finance S.a.r.l. 144A
7.625%, 1/20/36(1)
25
21
Constellation Oil Services Holding S.A. 144A
7.700%, 8/3/33(1)
18
18
Eldorado Intl. Finance GmbH 144A
8.500%, 12/1/32(1)
17
17
FORESEA Holding S.A. 144A
7.500%, 6/15/30(1)
55
54
FS Luxembourg S.a.r.l. 144A
8.125%, 2/11/36(1)
39
34
JBS N.V.
4.375%, 2/2/52
72
52
MC Brazil Downstream Trading S.a.r.l. 144A
7.250%, 6/30/31(1)
50
50
Minerva Luxembourg S.A. 144A
7.500%, 4/22/36(1)
36
34
Movida Europe S.A. 144A
9.700%, 10/11/33(1)
25
23
OHI Group S.A. 144A
13.000%, 7/22/29(1)
40
40
PRIO Luxembourg Holding S.a.r.l. 144A
6.750%, 10/15/30(1)
14
14
Raizen Fuels Finance S.A.

144A 5.300%, 1/20/27(1)(2)
14
8

144A 6.250%, 7/8/32(1)(2)
24
14
Rede D’or Finance S.a.r.l. 144A
6.550%, 4/28/36(1)
19
18
Samarco Mineracao S.A. (9.000% or 5.000% PIK,
4.000% cash) 144A
9.500%, 6/30/31(1)(3)
64
65
Simpar Europe S.A. 144A
5.200%, 1/26/31(1)
51
43
Suzano Austria GmbH Series DM3N
3.125%, 1/15/32
77
68
 
Par Value
Value
 
Brazil—continued
Trident Energy Finance plc 144A
12.500%, 11/30/29(1)
$27
$28
Vamos Europe S.A. 144A
9.200%, 1/26/31(1)
29
28
Yinson Bergenia Production B.V. 144A
8.498%, 1/31/45(1)
21
22
Yinson Boronia Production B.V. 144A
8.947%, 7/31/42(1)
29
32
 
741
 
 
Chile—4.3%
ATP Tower Holdings 144A
7.875%, 2/3/30(1)
30
31
Banco de Chile 144A
2.990%, 12/9/31(1)
69
62
Banco de Credito e Inversiones S.A. 144A
7.500% (1)(4)
41
43
Chile Electricity Lux Mpc II S.a.r.l. 144A
5.580%, 10/20/35(1)
34
34
Cia Cervecerias Unidas S.A. 144A
3.350%, 1/19/32(1)
61
55
Inversiones CMPC S.A. 144A
6.700%, 12/9/57(1)
55
53
Sociedad Quimica y Minera de Chile S.A. 144A
5.625%, 4/22/56(1)
18
17
 
295
 
 
China—9.2%
AIA Group Ltd. 144A
3.600%, 4/9/29(1)
75
73
Alibaba Group Holding Ltd.
3.150%, 2/9/51
50
31
CK Hutchison International 24 II Ltd. (Hong Kong), 144A
4.750%, 9/13/34(1)
100
96
Melco Resorts Finance Ltd. (Macau)

144A 5.750%, 7/21/28(1)
26
26

RegS 5.625%, 7/17/27(5)
30
30

RegS 5.750%, 7/21/28(5)
21
21

RegS 5.375%, 12/4/29(5)
82
80
MGM China Holdings Ltd. (Macau) 144A
6.250%, 5/15/33(1)
15
15
Standard Chartered plc (Hong Kong)

144A 6.301%, 1/9/29(1)
18
18

144A 2.678%, 6/29/32(1)
20
18

144A 6.097%, 1/11/35(1)
46
47
Studio City Co., Ltd. (Macau) 144A
6.125%, 5/15/31(1)
39
38
Studio City Finance Ltd. (Macau) 144A
5.000%, 1/15/29(1)
75
72
Tencent Holdings Ltd.

144A 2.390%, 6/3/30(1)
61
56

144A 3.240%, 6/3/50(1)
11
7
 
628
 
 
Colombia—4.3%
AI Candelaria -Spain- S.A. 144A
5.750%, 6/15/33(1)
39
36
Banco Davivienda S.A. 144A
6.650% (1)(4)
56
53
See Notes to Schedule of Investments
1
VIRTUS Stone Harbor Emerging Markets Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
August 31, 2026
($ reported in thousands)
 
Par Value
Value
 
Colombia—continued
Ecopetrol S.A.

6.875%, 4/29/30
$21
$21

8.375%, 1/19/36
14
15

7.375%, 9/18/43
61
59
Geopark Ltd. 144A
8.750%, 1/31/30(1)
18
19
Gran Tierra Energy, Inc. 144A
9.500%, 10/15/29(1)
23
23
Grupo Nutresa S.A. 144A
7.875% (1)(4)
39
39
Promigas S.A. ESP 144A
7.750%, 6/24/56(1)
29
29
 
294
 
 
Czech Republic—1.8%
Energo-Pro AS 144A
8.000%, 5/27/30(1)
100
EUR
122
Georgia—0.3%
Bank of Georgia JSC 144A
6.500%, 6/3/31(1)
21
21
Ghana—1.3%
Kosmos Energy Ltd.

RegS 7.750%, 5/1/27(5)
45
45

RegS 7.500%, 3/1/28(5)
31
31
Tullow Holdco 2 Ltd. (10.250% cash and 3.000% PIK,
1.750% cash or PIK) 144A
15.000%, 11/15/28(1)(3)
13
14
 
90
 
 
Guatemala—0.8%
CT Trust 144A
5.125%, 2/3/32(1)
15
14
Investment Energy Resources Ltd. 144A
6.250%, 4/26/29(1)
39
39
 
53
 
 
India—4.8%
Adani Electricity Mumbai Ltd. 144A
3.949%, 2/12/30(1)
72
67
Adani Green Energy UP Ltd. 144A
6.700%, 3/12/42(1)
42
41
Adani Ports & Special Economic Zone Ltd.

RegS 3.100%, 2/2/31(5)
20
18

RegS 3.828%, 2/2/32(5)
31
28
Adani Renewable Energy RJ Ltd. 144A
4.625%, 10/15/39(1)
52
45
India Green Power Holdings RegS
4.000%, 2/22/27(5)
28
28
JSW Hydro Energy Ltd. 144A
4.125%, 5/18/31(1)
34
31
Muthoot Finance Ltd. 144A
6.375%, 4/23/29(1)
25
25
Reliance Industries Ltd. RegS
3.625%, 1/12/52(5)
35
24
 
Par Value
Value
 
India—continued
ReNew Wind Energy AP2 RegS
4.500%, 7/14/28(5)
$24
$23
 
330
 
 
Indonesia—3.9%
Cikarang Listrindo Tbk PT 144A
5.650%, 3/12/35(1)
35
35
Freeport Indonesia PT

RegS 5.315%, 4/14/32(5)
35
34

RegS 6.200%, 4/14/52(5)
34
32
Medco Maple Tree Pte Ltd. RegS
8.960%, 4/27/29(5)
34
35
Minejesa Capital B.V.

144A 4.625%, 8/10/30(1)
78
77

144A 5.625%, 8/10/37(1)
22
21
Star Energy Geothermal Darajat II 144A
4.850%, 10/14/38(1)
4
4
Star Energy Geothermal Wayang Windu Ltd. RegS
6.750%, 4/24/33(5)
30
30
 
268
 
 
Israel—2.2%
Altice Financing S.A. 144A
5.000%, 1/15/28(1)
13
8
Energean Israel Finance Ltd.

144A, RegS 5.375%, 3/30/28(1)(5)
10
10

144A, RegS 5.875%, 3/30/31(1)(5)
31
30
Leviathan Bond Ltd. 144A, RegS
6.750%, 6/30/30(1)(5)
65
66
Teva Pharmaceutical Finance Netherlands III B.V.

3.150%, 10/1/26
22
22

4.750%, 5/9/27
17
17
 
153
 
 
Kazakhstan—0.6%
KazMunayGas National Co. JSC

144A 3.500%, 4/14/33(1)
21
19

144A 6.375%, 10/24/48(1)
25
24
 
43
 
 
Kuwait—1.3%
NBK SPC Ltd. 144A
5.500%, 6/6/30(1)
35
35
NBK Tier 1 Ltd. 144A
6.375% (1)(4)
51
51
 
86
 
 
Malaysia—0.3%
GENM Capital Labuan Ltd. RegS
3.882%, 4/19/31(5)
20
18
Mexico—8.5%
Alpek SAB de C.V. 144A
3.250%, 2/25/31(1)
9
8
Banca Mifel S.A. 144A
9.250% (1)(4)
18
18
See Notes to Schedule of Investments
2
VIRTUS Stone Harbor Emerging Markets Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
August 31, 2026
($ reported in thousands)
 
Par Value
Value
 
Mexico—continued
Banco Mercantil del Norte S.A.

144A 7.500%(1)(4)
$35
$35

144A 7.625%(1)(4)
33
33

RegS 5.750%, 10/4/31(5)
17
17
BBVA Mexico S.A. Institucion De Banca Multiple Grupo
Financiero BBVA Mexico 144A
5.125%, 1/18/33(1)
36
35
Cemex SAB de C.V. 144A
7.200% (1)(4)
41
42
COX Asset Mexico S.A. de C.V. 144A
7.750%, 5/8/36(1)
33
33
El Puerto de Liverpool SAB de C.V. 144A
5.750%, 2/10/38(1)
25
24
Esentia Energy Development SAB de C.V. 144A
6.500%, 7/30/38(1)
26
25
FIEMEX Energia - Banco Actinver S.A. Institucion de
Banca Multiple 144A
7.250%, 1/31/41(1)
34
33
Gruma SAB de C.V.

144A 5.390%, 12/9/34(1)
26
26

144A 5.761%, 12/9/54(1)
26
24
Grupo Aeromexico SAB de C.V. 144A
8.625%, 11/15/31(1)
45
46
Grupo Televisa SAB
6.625%, 1/15/40
38
34
Orbia Advance Corp. SAB de C.V.

144A 2.875%, 5/11/31(1)
21
18

144A 7.500%, 5/13/35(1)
19
19

144A 5.875%, 9/17/44(1)
24
19
Poinsettia Finance Ltd. S.a.r.l. RegS
6.625%, 6/17/31(5)
42
42
Saavi Energia S.a.r.l. 144A
8.875%, 2/10/35(1)
25
27
Tierra Mojada Luxembourg II S.a.r.l. 144A
5.750%, 12/1/40(1)
22
21
 
579
 
 
Morocco—1.3%
OCP S.A.

144A 6.700%, 3/1/36(1)
68
70

144A 6.875%, 4/25/44(1)
20
20
 
90
 
 
Nigeria—2.8%
Access Bank plc 144A
6.125%, 9/21/26(1)
22
22
IHS Holding Ltd.

144A 6.250%, 11/29/28(1)
16
16

144A 7.875%, 5/29/30(1)
55
56

144A 8.250%, 11/29/31(1)
41
43
IHS Mauritius NG Holdco Ltd. 144A
8.000%, 9/18/27(1)
55
55
 
192
 
 
Pakistan—0.7%
Veon Midco B.V. 144A
6.950%, 6/1/31(1)
49
49
 
Par Value
Value
 
Panama—0.5%
Generadora de Gatun S.A. 144A
6.874%, 9/30/44(1)
$35
$35
Peru—2.8%
Banco de Credito del Peru S.A.

144A 5.800%, 3/10/35(1)
22
22

144A 6.450%, 7/30/35(1)
9
9
Kallpa Generacion S.A. 144A
5.500%, 9/11/35(1)
35
34
Marcobre SAC 144A
5.750%, 1/22/36(1)
27
26
Orazul Energy Peru S.A. 144A
6.250%, 9/17/32(1)
27
27
Scotiabank Peru SAA 144A
6.100%, 10/1/35(1)
34
35
Volcan Cia Minera SAA 144A
8.500%, 10/28/32(1)
35
36
 
189
 
 
Poland—0.4%
ORLEN S.A. 144A
6.000%, 1/30/35(1)
27
27
Saudi Arabia—2.9%
Acwa Power Management & Investments One Ltd. 144A
5.950%, 12/15/39(1)
82
80
EIG Pearl Holdings S.a.r.l. 144A
3.545%, 8/31/36(1)
43
38
Green Palm Bidco S.a.r.l. 144A
5.957%, 6/30/41(1)
18
18
Greensaif Pipelines Bidco S.a.r.l. 144A
6.129%, 2/23/38(1)
21
21
Saudi Arabian Oil Co. 144A
4.375%, 4/16/49(1)
53
41
 
198
 
 
Serbia—0.5%
Telecommunications Co. Telekom Srbija AD Belgrade
144A
7.250%, 5/18/31(1)
37
37
Singapore—1.6%
BOC Aviation USA Corp. RegS
4.625%, 9/4/31(5)
40
40
United Overseas Bank Ltd. (SOFR + 0.580%) 144A
4.228%, 4/2/28(1)(6)
70
70
 
110
 
 
South Africa—4.5%
Anglo American Capital plc

144A 2.625%, 9/10/30(1)
8
7

RegS 2.625%, 9/10/30(5)
7
6
AngloGold Ashanti Holdings plc
6.500%, 4/15/40
23
24
Prosus N.V.

144A 3.832%, 2/8/51(1)
154
100

RegS 3.061%, 7/13/31(5)
22
20
See Notes to Schedule of Investments
3
VIRTUS Stone Harbor Emerging Markets Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
August 31, 2026
($ reported in thousands)
 
Par Value
Value
 
South Africa—continued
Sasol Financing USA LLC

4.375%, 9/18/26
$89
$89

144A 8.750%, 4/10/33(1)
28
29

RegS 8.750%, 5/3/29(5)
28
30
 
305
 
 
South Korea—2.2%
Hanwha Life Insurance Co., Ltd. 144A
6.300%, 6/24/55(1)
27
28
Kookmin Bank 144A
5.375%, 5/8/27(1)
60
60
Shinhan Bank Co., Ltd. 144A
4.375%, 4/13/32(1)
25
24
Woori Bank 144A
6.375% (1)(4)
38
39
 
151
 
 
Taiwan—0.9%
TSMC Arizona Corp.

3.875%, 4/22/27
18
17

2.500%, 10/25/31
20
18
TSMC Global Ltd. RegS
1.375%, 9/28/30(5)
29
25
 
60
 
 
Tanzania—1.3%
HTA Group Ltd.

144A 7.500%, 6/4/29(1)
65
67

144A 6.750%, 4/1/31(1)
19
19
 
86
 
 
Thailand—2.7%
Bangkok Bank PCL

144A 3.733%, 9/25/34(1)
90
85

RegS 5.082%, 11/26/35(5)
30
29
PTT Treasury Center Co., Ltd. 144A
4.500%, 10/25/42(1)
42
36
Thaioil Treasury Center Co., Ltd. RegS
3.500%, 10/17/49(5)
50
33
 
183
 
 
Turkey—3.8%
Akbank TAS

144A 7.498%, 1/20/30(1)
26
27

144A 7.875%, 9/4/35(1)
53
53
Aydem Yenilenebilir Enerji AS 144A
9.875%, 9/30/30(1)
16
16
Guermat Elektrik Ueretim AS 144A
10.748%, 5/21/35(1)
16
16
Limak Cimento Sanayi ve Ticaret AS 144A
9.750%, 7/25/29(1)
21
21
Limak Yenilenebilir Enerji AS 144A
9.625%, 8/12/30(1)
18
18
Turk Telekomunikasyon AS 144A
6.950%, 10/7/32(1)
20
20
Turkcell Iletisim Hizmetleri AS 144A
7.650%, 1/24/32(1)
38
39
 
Par Value
Value
 
Turkey—continued
Turkiye Garanti Bankasi AS 144A
8.125%, 1/3/35(1)
$20
$20
WE Soda Investments Holding plc 144A
9.500%, 10/6/28(1)
20
20
Zorlu Enerji Elektrik Uretim AS 144A
11.000%, 4/23/30(1)
15
11
 
261
 
 
Ukraine—2.1%
Metinvest B.V.

144A 7.650%, 10/1/27(1)
29
28

144A 7.750%, 10/17/29(1)
13
12
MHP Lux S.A. 144A
10.500%, 7/28/29(1)
25
25
VF Ukraine PAT via VFU Funding plc 144A
9.625%, 2/11/27(1)(7)
75
75
 
140
 
 
United Arab Emirates—3.1%
Abu Dhabi Crude Oil Pipeline LLC 144A
3.650%, 11/2/29(1)
24
23
Abu Dhabi National Energy Co. PJSC

144A 4.696%, 4/24/33(1)
26
25

144A 3.400%, 4/29/51(1)
24
16
Aldar Properties PJSC 144A
5.875%, 4/14/56(1)
40
37
DP World Ltd. 144A
4.700%, 9/30/49(1)
32
25
Galaxy Pipeline Assets Bidco Ltd. 144A
2.160%, 3/31/34(1)
99
88
 
214
 
 
Vietnam—0.5%
Mong Duong Finance Holdings B.V. 144A
5.125%, 5/7/29(1)
32
32
Zambia—1.5%
First Quantum Minerals Ltd.

144A 8.625%, 6/1/31(1)
85
88

144A 7.250%, 2/15/34(1)
11
11
 
99
 
 
Total Corporate Bonds and Notes
(Identified Cost $6,528)
6,578
 
 
 
 
Total Long-Term Investments—96.5%
(Identified Cost $6,528)
6,578
 
 
 
 
TOTAL INVESTMENTS—96.5%
(Identified Cost $6,528)
$6,578
Other assets and liabilities, net—3.5%
241
NET ASSETS—100.0%
$6,819
See Notes to Schedule of Investments
4
VIRTUS Stone Harbor Emerging Markets Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
August 31, 2026
($ reported in thousands)
 
Abbreviations:
JSC
Joint Stock Company
LLC
Limited Liability Company
PCL
Public Company Limited
PIK
Payment-in-Kind Security
PJSC
Public Joint Stock Company
plc
Public Limited Company
S.a.r.l.
Société à responsabilité limitée
SOFR
Secured Overnight Financing Rate
 
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 August 31, 2026, these securities amounted to
a value of $5,393 or 79.1% of net assets.
(2)
Security in default; no interest payments are being received.
(3)
Payment-in-kind security which may pay interest/dividends in additional
par/shares and/or in cash. Rates shown are the current rate and possible payment
rates.
(4)
No contractual maturity date.
(5)
Regulation S security. Security is offered and sold outside of the United States;
therefore, it is exempt from registration with the SEC under Rules 903 and 904 of
the Securities Act of 1933.
(6)
Variable rate security. Rate disclosed is as of August 31, 2026. 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.
(7)
This Note was issued for the sole purpose of funding a loan agreement between
the issuer and the borrower. As the credit risk for this security lies solely with the
borrower, the name represented here is that of the borrower.
 
Counterparties:
 
JPM
JPMorgan Chase Bank N.A.
 
Foreign Currencies:
EUR
Euro
USD
United States Dollar
 
Country Weightings†
Brazil
11
%
China
10
Mexico
9
India
5
Argentina
5
South Africa
5
Chile
4
Other
51
Total
100
%
† % of total investments as of August 31, 2026.
 
Forward foreign currency exchange contracts as of August 31, 2026 were as follows:
Currency
Purchased
Currency
Amount
Purchased
Currency
Sold
Currency
Amount
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
Unrealized
Depreciation
USD
125
EUR
109
JPM
10/09/26
$—
$(2
) 
Total
 
 
 
$—
$(2
) 
See Notes to Schedule of Investments
5
VIRTUS Stone Harbor Emerging Markets Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
August 31, 2026
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of August 31, 2026, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments): 
 
Total
Value at
August 31, 2026
Level 2
Significant
Observable
Inputs
Assets:
Debt Instruments:
Corporate Bonds and Notes
$6,578
$6,578
Total Assets
6,578
6,578
Liabilities:
Other Financial Instruments:
Forward Foreign Currency Exchange Contracts*
(2
)
(2
)
Total Liabilities
(2
)
(2
)
Total Investments
$6,576
$6,576
 
*
Forward Foreign Currency Exchange Contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty.
There were no securities valued using quoted prices (Level 1) or significant unobservable inputs (Level 3) at August 31, 2026.
There were no transfers into or out of Level 3 related to securities held at August 31, 2026.
See Notes to Schedule of Investments
6
VIRTUS STONE HARBOR EMERGING MARKETS BOND FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2026
Note 1. Security Valuation
The Fund’s Board of Trustees has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
• Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 – prices determined using significant unobservable inputs (including the investment adviser’s Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the investment adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, restricted securities, and leveraged loans are valued based on either evaluated or composite quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the investment adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those
securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual financial statements.
7