VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
U.S. Government Securities—14.4% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,115 | $1,208 | |
3.000%, 8/15/48 | 4,100 | 4,895 | |
2.000%, 2/15/50 | 975 | 958 | |
1.375%, 8/15/50 | 1,595 | 1,345 | |
1.625%, 11/15/50 | 455 | 409 | |
1.875%, 2/15/51 | 1,450 | 1,384 | |
U.S. Treasury Notes | |||
0.250%, 5/31/25 | 800 | 786 | |
1.500%, 2/15/30 | 2,715 | 2,742 | |
0.875%, 11/15/30 | 820 | 780 | |
1.625%, 5/15/31 | 1,670 | 1,695 | |
Total U.S. Government Securities (Identified Cost $15,466) | 16,202 | ||
Municipal Bonds—1.4% | |||
California—0.3% | |||
Santa Clara Valley Water District Series B, Taxable 2.967%, 6/1/50 | 250 | 252 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 140 | 155 | |
407 | |||
Idaho—0.2% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 170 | 216 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 30 | 32 | |
Texas—0.6% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | 255 | 255 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 80 | 85 | |
Texas Public Finance Authority Revenue Taxable 2.140%, 2/1/35 | 205 | 200 | |
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | 80 | 98 | |
638 | |||
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 285 | 305 | |
Total Municipal Bonds (Identified Cost $1,513) | 1,598 | ||
Foreign Government Securities—1.7% | |||
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(1) | 200 | 225 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 210 | 212 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Kingdom of Saudi Arabia 144A 3.250%, 10/22/30(2) | $200 | $215 | |
Oman Government International Bond 144A 7.375%, 10/28/32(2) | 205 | 234 | |
Republic of South Africa 4.850%, 9/27/27 | 210 | 226 | |
Republic of Turkey 5.875%, 6/26/31 | 410 | 398 | |
State of Qatar 144A 4.400%, 4/16/50(2) | 200 | 243 | |
United Mexican States 2.659%, 5/24/31 | 225 | 220 | |
Total Foreign Government Securities (Identified Cost $2,004) | 1,973 | ||
Mortgage-Backed Securities—25.7% | |||
Agency—0.9% | |||
Federal National Mortgage Association | |||
Pool #323702 6.000%, 5/1/29 | 9 | 11 | |
Pool #535371 6.500%, 5/1/30 | 1 | 1 | |
Pool #590108 7.000%, 7/1/31 | 4 | 5 | |
Pool #880117 5.500%, 4/1/36 | 23 | 26 | |
Pool #938574 5.500%, 9/1/36 | 64 | 74 | |
Pool #909092 6.000%, 9/1/37 | 10 | 12 | |
Pool #909220 6.000%, 8/1/38 | 114 | 133 | |
Pool #986067 6.000%, 8/1/38 | 3 | 4 | |
Pool #AA7001 5.000%, 6/1/39 | 261 | 299 | |
Pool #CA4978 3.000%, 1/1/50 | 436 | 456 | |
Government National Mortgage Association I Pool #443000 6.500%, 9/15/28 | 11 | 12 | |
1,033 | |||
Non-Agency—24.8% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%, Cap N/A, Floor 1.15%) 144A 1.274%, 3/15/35(2)(3) | 60 | 60 | |
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(2)(3) | 284 | 284 | |
2019-D, A1 144A 2.956%, 9/25/65(2)(3) | 243 | 245 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(2) | 335 | 360 | |
2015-SFR1, A 144A 3.467%, 4/17/52(2) | 199 | 211 | |
2015-SFR2, C 144A 4.691%, 10/17/52(2) | 125 | 136 |
See Notes to Schedule of Investments
1
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
AMSR Trust | |||
2021-SFR2, C 144A 1.877%, 8/17/26(2)(4) | $100 | $100 | |
2020-SFR1, A 144A 1.819%, 4/17/37(2) | 110 | 111 | |
2020-SFR1, B 144A 2.120%, 4/17/37(2) | 255 | 257 | |
2020-SFR2, C 144A 2.533%, 7/17/37(2) | 100 | 102 | |
2020-SFR2, D 144A 3.282%, 7/17/37(2) | 250 | 258 | |
Angel Oak Mortgage Trust I LLC 2019-2, A1 144A 3.628%, 3/25/49(2)(3) | 84 | 85 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(2)(3) | 82 | 82 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(2)(3) | 327 | 328 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(2)(3) | 170 | 170 | |
2019-1, A1 144A 3.805%, 1/25/49(2)(3) | 78 | 79 | |
2019-2, A1 144A 3.347%, 4/25/49(2)(3) | 75 | 76 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.648%, 11/20/34(3) | 15 | 16 | |
2005-1, 1A1 5.500%, 2/25/35 | 36 | 38 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(2) | 160 | 168 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(2)(3) | 100 | 104 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(2)(3) | 100 | 105 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%, Cap N/A, Floor 0.722%) 144A 0.795%, 3/15/37(2)(3) | 225 | 224 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 2/15/29(2)(3) | 340 | 340 | |
BX Commercial Mortgage Trust 2019-XL, C (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 10/15/36(2)(3) | 154 | 154 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(2)(3) | 245 | 262 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(2) | 536 | 538 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(2) | 196 | 199 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 2.076%, 5/25/34(3) | 67 | 68 | |
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | 242 | 252 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(2)(3) | 93 | 94 | |
2019-RP1, A1 144A 3.500%, 1/25/66(2)(3) | 102 | 106 |
Par Value | Value | ||
Non-Agency—continued | |||
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(2)(3) | $110 | $110 | |
2020-1, A1 144A 2.488%, 2/25/50(2)(3) | 40 | 40 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(2)(3) | 115 | 115 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(2)(3) | 191 | 192 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(2) | 210 | 211 | |
CoreVest American Finance Trust | |||
2020-4, A 144A 1.174%, 12/15/52(2) | 324 | 321 | |
2018-2, A 144A 4.026%, 11/15/52(2) | 96 | 101 | |
2019-3, C 144A 3.265%, 10/15/52(2) | 220 | 230 | |
2020-1, A1 144A 1.832%, 3/15/50(2) | 237 | 241 | |
2020-3, A 144A 1.358%, 8/15/53(2) | 323 | 319 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.98%) 144A 1.053%, 5/15/36(2)(3) | 370 | 371 | |
Credit Suisse Mortgage Capital Trust | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(2)(3) | 299 | 306 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(2)(3) | 102 | 102 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(2)(3) | 170 | 169 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(2)(3) | 55 | 55 | |
2021-2, A3 144A 1.291%, 6/25/66(2)(3) | 315 | 314 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(2) | 100 | 100 | |
2021-SFR1, D 144A 2.189%, 8/17/28(2) | 335 | 335 | |
2020-SFR2, B 144A 1.567%, 10/19/37(2) | 425 | 422 | |
Flagstar Mortgage Trust 2017-1, 1A3 144A 3.500%, 3/25/47(2)(3) | 86 | 87 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(2)(3) | 22 | 23 | |
2018-1, A23 144A 3.500%, 11/25/57(2)(3) | 23 | 23 | |
2018-2, A41 144A 4.500%, 10/25/58(2)(3) | 17 | 17 | |
2019-H1, A1 144A 2.657%, 10/25/59(2)(3) | 62 | 63 | |
2020-H1, A1 144A 2.310%, 1/25/60(2)(3) | 133 | 136 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(2)(3) | 76 | 76 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(2)(3) | 52 | 53 |
See Notes to Schedule of Investments
2
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 0.873%, 2/15/38(2)(3) | $395 | $395 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(2) | 255 | 258 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(3) | 245 | 264 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(2)(3) | 246 | 249 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(2) | 205 | 203 | |
Homeward Opportunities Fund I Trust 2018-2, A1 144A 3.985%, 11/25/58(2)(3) | 165 | 167 | |
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 5.950%, 11/25/33 | 43 | 44 | |
JPMorgan Chase Mortgage Trust | |||
2016-SH1, M2 144A 3.750%, 4/25/45(2)(3) | 130 | 133 | |
2016-SH2, M2 144A 3.708%, 12/25/45(2)(3) | 222 | 229 | |
2017-1, A2 144A 3.498%, 1/25/47(2)(3) | 96 | 97 | |
2017-3, 2A2 144A 2.500%, 8/25/47(2)(3) | 45 | 45 | |
2017-5, A1 144A 3.090%, 10/26/48(2)(3) | 99 | 102 | |
KKR Industrial Portfolio Trust 2021-KDIP, C (1 month LIBOR + 1.000%, Cap N/A, Floor 1.000%) 144A 1.073%, 12/15/37(2)(3) | 190 | 190 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 0.873%, 5/15/36(2)(3) | 215 | 215 | |
LHOME Mortgage Trust | |||
2019-RTL1, A1 144A 4.580%, 10/25/23(2)(3) | 39 | 39 | |
2021-RTL1, A1 144A 2.090%, 9/25/26(2)(3) | 270 | 270 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.497%, 4/25/55(2)(3) | 305 | 320 | |
2019-1A, A1A 144A 3.750%, 4/25/58(2)(3) | 228 | 235 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(2)(3) | 175 | 184 | |
2019-1, M2 144A 3.500%, 10/25/69(2)(3) | 155 | 167 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C13, AS 4.266%, 11/15/46 | 360 | 383 | |
2015-C22, AS 3.561%, 4/15/48 | 310 | 327 | |
New Residential Mortgage Loan Trust | |||
2016-3A, B1 144A 4.000%, 9/25/56(2)(3) | 227 | 246 | |
2016-4A, B1A 144A 4.500%, 11/25/56(2)(3) | 235 | 259 | |
2017-2A, A3 144A 4.000%, 3/25/57(2)(3) | 114 | 122 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-2A, A1 144A 4.500%, 2/25/58(2)(3) | $190 | $203 | |
2021-NQ2R, A1 144A 0.941%, 9/25/58(2)(3) | 203 | 203 | |
2014-1A, A 144A 3.750%, 1/25/54(2)(3) | 81 | 85 | |
2015-2A, A1 144A 3.750%, 8/25/55(2)(3) | 60 | 64 | |
2016-1A, A1 144A 3.750%, 3/25/56(2)(3) | 50 | 53 | |
2018-1A, A1A 144A 4.000%, 12/25/57(2)(3) | 155 | 166 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(2)(3) | 120 | 121 | |
2020-1A, A1B 144A 3.500%, 10/25/59(2)(3) | 328 | 345 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.142%, 5/25/55(2)(3) | 155 | 155 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%, Cap 11.00%, Floor 1.725%) 1.817%, 3/25/35(3) | 18 | 18 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(2)(3) | 53 | 54 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(2)(3) | 61 | 61 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(2)(3) | 270 | 271 | |
2020-2, A1 144A 3.671%, 8/25/25(2)(3) | 128 | 129 | |
2020-3, A1 144A 2.857%, 9/25/25(2)(3) | 343 | 345 | |
2020-6, A1 144A 2.363%, 11/25/25(2)(3) | 358 | 359 | |
2021-2, A1 144A 2.115%, 3/25/26(2)(3) | 318 | 319 | |
2021-3, A1 144A 1.867%, 4/25/26(2)(3) | 213 | 214 | |
Pretium Mortgage Credit Partners I LLC | |||
2020-NPL3, A1 144A 3.105%, 6/27/60(2)(3) | 264 | 267 | |
2021-NPL1, A1 144A 2.240%, 9/27/60(2)(3) | 244 | 244 | |
Progress Residential Trust | |||
2021-SFR2, D 144A 2.197%, 4/19/38(2) | 280 | 280 | |
2018-SFR2, B 144A 3.841%, 8/17/35(2) | 100 | 100 | |
2019-SFR2, A 144A 3.147%, 5/17/36(2) | 332 | 338 | |
2019-SFR3, B 144A 2.571%, 9/17/36(2) | 235 | 238 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(2)(3) | 157 | 159 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%, Cap N/A, Floor 1.150%) 144A 1.242%, 2/25/55(2)(3) | 185 | 185 |
See Notes to Schedule of Investments
3
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(2)(3) | $263 | $267 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(2)(3) | 254 | 254 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(2)(3) | 114 | 116 | |
Sequoia Mortgage Trust 2013-8, B1 3.506%, 6/25/43(3) | 46 | 47 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(2)(3) | 359 | 361 | |
2021-1, A3 144A 1.560%, 7/25/61(2)(3)(4) | 280 | 280 | |
Starvest Emerging Markets CBO I 2021-3, A3 144A 1.518%, 6/25/56(2)(3) | 110 | 110 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.860%, 7/25/56(2)(3) | 310 | 338 | |
2019-4, A2 144A 3.250%, 10/25/59(2)(3) | 240 | 256 | |
2016-3, M1 144A 3.500%, 4/25/56(2)(3) | 525 | 543 | |
2017-1, M1 144A 3.750%, 10/25/56(2)(3) | 100 | 106 | |
2017-4, A2 144A 3.000%, 6/25/57(2)(3) | 335 | 352 | |
2019-1, A1 144A 3.722%, 3/25/58(2)(3) | 200 | 211 | |
2018-6, A2 144A 3.750%, 3/25/58(2)(3) | 600 | 637 | |
2020-MH1, A2 144A 2.500%, 2/25/60(2)(3) | 405 | 415 | |
2019-2, A2 144A 3.750%, 12/25/58(2)(3) | 190 | 203 | |
2015-2, 1M1 144A 3.250%, 11/25/60(2)(3) | 165 | 169 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 0.992%, 4/25/48(2)(3) | 308 | 308 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(2) | 196 | 196 | |
2019-SFR1, C 144A 3.149%, 3/17/38(2) | 190 | 197 | |
2020-SFR2, D 144A 2.281%, 11/17/39(2) | 210 | 209 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(2) | 200 | 202 | |
VCAT LLC | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(2)(3) | 47 | 48 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(2)(3) | 220 | 220 | |
2021-NPL2, A1 144A 2.115%, 3/27/51(2)(3) | 205 | 205 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(2)(3) | 188 | 188 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(2)(3) | 88 | 88 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(2)(3) | 243 | 243 |
Par Value | Value | ||
Non-Agency—continued | |||
Verus Securitization Trust | |||
2019-4, M1 144A 3.207%, 11/25/59(2)(3) | $100 | $102 | |
2021-R3, A1 144A 1.020%, 4/25/64(2)(3) | 103 | 103 | |
2019-INV2, A1 144A 2.913%, 7/25/59(2)(3) | 182 | 185 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(2) | 212 | 213 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 100 | 106 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(2)(3) | 142 | 145 | |
27,886 | |||
Total Mortgage-Backed Securities (Identified Cost $28,583) | 28,919 | ||
Asset-Backed Securities—11.0% | |||
Automobiles—5.5% | |||
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(2) | 31 | 31 | |
2019-2, C 144A 3.170%, 6/12/25(2) | 166 | 168 | |
2021-2, C 144A 0.970%, 7/13/27(2) | 330 | 330 | |
AmeriCredit Automobile Receivables Trust 2020-3, C 1.060%, 8/18/26 | 215 | 217 | |
Avis Budget Rental Car Funding LLC (AESOP) 2019-3A, A 144A 2.360%, 3/20/26(2) | 270 | 282 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(2) | 125 | 125 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(2) | 225 | 233 | |
2019-3A, D 144A 3.040%, 4/15/25(2) | 240 | 248 | |
Credit Acceptance Auto Loan Trust 2020-3A, B 144A 1.770%, 12/17/29(2) | 265 | 269 | |
Drive Auto Receivables Trust 2019-4, C 2.510%, 11/17/25 | 240 | 243 | |
DT Auto Owner Trust | |||
2019-2A, B 144A 2.990%, 4/17/23(2) | 45 | 45 | |
2019-2A, C 144A 3.180%, 2/18/25(2) | 295 | 299 | |
Exeter Automobile Receivables Trust | |||
2018-3A, C 144A 3.710%, 6/15/23(2) | 24 | 24 | |
2019-2A, C 144A 3.300%, 3/15/24(2) | 193 | 195 | |
2019-4A, C 144A 2.440%, 9/16/24(2) | 285 | 289 | |
First Investors Auto Owner Trust 2021-1A, C 144A 1.170%, 3/15/27(2) | 300 | 300 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(2) | 260 | 269 |
See Notes to Schedule of Investments
4
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Automobiles—continued | |||
2020-3, C 144A 1.730%, 9/15/26(2) | $260 | $265 | |
2021-1, C 144A 0.910%, 3/15/27(2) | 340 | 337 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(2) | 260 | 264 | |
2019-4A, C 144A 3.060%, 8/15/25(2) | 260 | 269 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(2) | 240 | 247 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(2) | 145 | 147 | |
Prestige Auto Receivables Trust 2017-1A, C 144A 2.810%, 1/17/23(2) | 56 | 56 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(2) | 240 | 245 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(2) | 189 | 190 | |
2021-1, C 144A 0.840%, 6/10/26(2) | 335 | 335 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(2) | 270 | 272 | |
6,194 | |||
Credit Card—0.9% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(2) | 410 | 414 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(2) | 305 | 306 | |
Genesis Sales Finance Master Trust 2021-AA, A 144A 1.200%, 12/21/26(2) | 280 | 279 | |
999 | |||
Other—4.5% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(2) | 60 | 62 | |
2019-A, A 144A 3.140%, 7/16/40(2) | 219 | 225 | |
2019-A, C 144A 4.010%, 7/16/40(2) | 265 | 279 | |
2020-AA, B 144A 2.790%, 7/17/46(2) | 270 | 277 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(2) | 258 | 270 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(2) | 175 | 178 | |
CCG Receivables Trust 2021-1, C 144A 0.840%, 6/14/27(2) | 285 | 284 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(2) | 179 | 181 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(2) | 37 | 38 | |
2021-1A, A 144A 1.510%, 11/21/33(2) | 206 | 206 |
Par Value | Value | ||
Other—continued | |||
Foundation Finance Trust | |||
2019-1A, A 144A 3.860%, 11/15/34(2) | $94 | $97 | |
2021-1A, A 144A 1.270%, 5/15/41(2) | 261 | 261 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(2) | 245 | 262 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(2) | 270 | 276 | |
MAPS Trust 2021-1A, A 144A 2.521%, 6/15/46(2) | 280 | 281 | |
MVW LLC 2020-1A, A 144A 1.740%, 10/20/37(2) | 157 | 160 | |
MVW Owner Trust 2019-1A, A 144A 2.890%, 11/20/36(2) | 121 | 124 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(2) | 200 | 205 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(2) | 86 | 87 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(2) | 63 | 63 | |
2020-1A, A 144A 1.710%, 2/20/25(2) | 205 | 207 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(2) | 128 | 128 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(2) | 136 | 140 | |
Purchasing Power Funding LLC 2021-A, A 144A 1.570%, 10/15/25(2) | 335 | 335 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(2) | 18 | 18 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(2) | 168 | 175 | |
Upstart Securitization Trust 2021-1, A 144A 0.870%, 3/20/31(2) | 231 | 231 | |
5,050 | |||
Student Loan—0.1% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(2) | 141 | 145 | |
Total Asset-Backed Securities (Identified Cost $12,234) | 12,388 | ||
Corporate Bonds and Notes—32.0% | |||
Communication Services—1.7% | |||
Cable Onda S.A. 144A 4.500%, 1/30/30(2) | 200 | 211 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(2) | 110 | 116 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(2) | 100 | 65 | |
144A 6.625%, 8/15/27(2)(5) | 55 | 27 | |
DISH DBS Corp. | |||
5.000%, 3/15/23 | 95 | 100 | |
7.750%, 7/1/26 | 100 | 113 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(2) | 225 | 228 | |
Radiate Holdco LLC 144A 4.500%, 9/15/26(2) | 35 | 36 |
See Notes to Schedule of Investments
5
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Communication Services—continued | |||
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(2) | $188 | $201 | |
Telesat Canada | |||
144A 5.625%, 12/6/26(2) | 65 | 65 | |
144A 6.500%, 10/15/27(2) | 85 | 81 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 300 | 335 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(2) | 160 | 172 | |
Verizon Communications, Inc. 2.550%, 3/21/31 | 156 | 160 | |
1,910 | |||
Consumer Discretionary—2.1% | |||
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(2) | 200 | 205 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(2) | 100 | 106 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(2) | 75 | 75 | |
Ford Motor Co. 9.000%, 4/22/25 | 206 | 254 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(2) | 95 | 95 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(2) | 195 | 206 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(2) | 55 | 56 | |
International Game Technology plc 144A 4.125%, 4/15/26(2) | 220 | 229 | |
LCM Investments Holdings II LLC 144A 4.875%, 5/1/29(2) | 5 | 5 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 190 | 198 | |
Marriott International, Inc. Series HH 2.850%, 4/15/31 | 30 | 31 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 165 | 169 | |
PulteGroup, Inc. 6.375%, 5/15/33 | 120 | 159 | |
QVC, Inc. 4.375%, 3/15/23 | 145 | 153 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(2) | 130 | 134 | |
144A 8.250%, 3/15/26(2) | 70 | 75 | |
144A 7.000%, 5/15/28(2) | 35 | 38 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(2) | 205 | 211 | |
2,399 | |||
Consumer Staples—1.3% | |||
Albertsons Cos., Inc. | |||
144A 3.250%, 3/15/26(2) | 330 | 334 | |
144A 3.500%, 3/15/29(2) | 20 | 20 | |
Anheuser-Busch InBev Worldwide, Inc. | |||
4.000%, 4/13/28 | 200 | 228 | |
4.750%, 1/23/29 | 52 | 62 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(2) | 170 | 198 | |
BAT Capital Corp. 4.906%, 4/2/30 | 240 | 276 |
Par Value | Value | ||
Consumer Staples—continued | |||
Post Holdings, Inc. 144A 4.500%, 9/15/31(2) | $145 | $145 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(2) | 225 | 229 | |
1,492 | |||
Energy—3.8% | |||
Aker BP ASA 144A 2.875%, 1/15/26(2) | 265 | 279 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(2) | 120 | 117 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 185 | 207 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(2) | 80 | 84 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(2) | 170 | 179 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(2) | 115 | 119 | |
144A 5.000%, 5/1/29(2) | 120 | 126 | |
Energy Transfer LP Series H 6.500% (6) | 220 | 224 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(2) | 25 | 27 | |
144A 6.500%, 7/1/27(2) | 30 | 34 | |
144A 4.750%, 1/15/31(2) | 45 | 46 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(2) | 290 | 294 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 210 | 243 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(2) | 85 | 89 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | 320 | 472 | |
Occidental Petroleum Corp. 5.500%, 12/1/25 | 5 | 6 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(2) | 100 | 105 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 150 | 157 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(2) | 300 | 391 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 155 | 164 | |
7.690%, 1/23/50 | 190 | 183 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(2) | 200 | 219 | |
Sabine Pass Liquefaction LLC | |||
6.250%, 3/15/22 | 140 | 144 | |
4.200%, 3/15/28 | 80 | 90 | |
Targa Resources Partners LP 5.875%, 4/15/26(5) | 185 | 194 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(2) | 36 | 35 | |
4,228 | |||
Financials—11.9% | |||
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 150 | 160 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 200 | 218 |
See Notes to Schedule of Investments
6
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Financials—continued | |||
Ally Financial, Inc. Series B 4.700% (6) | $249 | $258 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(2) | 270 | 289 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(2) | 265 | 279 | |
Athene Global Funding 144A 2.450%, 8/20/27(2) | 265 | 273 | |
Bank of America Corp. | |||
2.687%, 4/22/32 | 800 | 823 | |
(3 month LIBOR + 0.770%) 0.946%, 2/5/26(3) | 225 | 228 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (6) | 240 | 262 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(2) | 200 | 209 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(2) | 275 | 273 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27(5) | 38 | 41 | |
5.625%, 5/15/30 | 163 | 198 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 200 | 215 | |
Brookfield Finance, Inc. 2.724%, 4/15/31 | 445 | 458 | |
Capital One Financial Corp. | |||
4.200%, 10/29/25 | 200 | 223 | |
3.750%, 7/28/26 | 225 | 248 | |
Charles Schwab Corp. (The) Series H 4.000% (6) | 275 | 281 | |
Citadel LP 144A 4.875%, 1/15/27(2) | 190 | 205 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 371 | 402 | |
(3 month LIBOR + 1.250%) 1.395%, 7/1/26(3) | 600 | 617 | |
Corporate Office Properties LP 2.750%, 4/15/31 | 254 | 256 | |
Discover Bank 4.682%, 8/9/28 | 500 | 531 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(2) | 280 | 290 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 225 | 259 | |
Icahn Enterprises LP 6.250%, 5/15/26 | 225 | 239 | |
Jefferies Group LLC 4.850%, 1/15/27 | 115 | 134 | |
JPMorgan Chase & Co. 1.953%, 2/4/32 | 495 | 481 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(2) | 150 | 150 | |
Liberty Mutual Group, Inc. 144A 4.569%, 2/1/29(2) | 265 | 309 | |
MetLife, Inc. Series G 3.850% (6) | 280 | 294 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 410 | 444 | |
6.375%, 7/24/42 | 215 | 330 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 110 | 124 | |
7.125%, 3/15/26 | 40 | 47 |
Par Value | Value | ||
Financials—continued | |||
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | $85 | $90 | |
5.625%, 6/15/43 | 270 | 290 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 245 | 275 | |
Societe Generale S.A. 144A 4.750%, 11/24/25(2) | 200 | 223 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 90 | 98 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 330 | 343 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 270 | 299 | |
UBS AG 7.625%, 8/17/22 | 500 | 538 | |
Wells Fargo & Co. | |||
2.393%, 6/2/28 | 540 | 560 | |
Series BB 3.900%(6) | 420 | 435 | |
Zions Bancorp NA 3.250%, 10/29/29 | 250 | 262 | |
13,461 | |||
Health Care—1.4% | |||
Anthem, Inc. 2.875%, 9/15/29 | 185 | 196 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(2) | 70 | 74 | |
Centene Corp. 4.625%, 12/15/29 | 80 | 88 | |
DaVita, Inc. 144A 4.625%, 6/1/30(2) | 220 | 226 | |
HCA, Inc. 5.250%, 6/15/49 | 140 | 179 | |
Illumina, Inc. 2.550%, 3/23/31 | 138 | 140 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(2) | 80 | 87 | |
Legacy LifePoint Health LLC 144A 4.375%, 2/15/27(2) | 75 | 76 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(2) | 65 | 66 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(2) | 15 | 16 | |
Tenet Healthcare Corp. 144A 7.500%, 4/1/25(2) | 25 | 27 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 170 | 162 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 230 | 253 | |
1,590 | |||
Industrials—2.1% | |||
American Airlines, Inc. 144A 5.750%, 4/20/29(2) | 60 | 65 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(2) | 280 | 293 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(2) | 200 | 210 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(2) | 215 | 234 |
See Notes to Schedule of Investments
7
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Industrials—continued | |||
Boeing Co. (The) | |||
5.150%, 5/1/30 | $140 | $166 | |
5.930%, 5/1/60 | 179 | 247 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(2) | 85 | 86 | |
GFL Environmental, Inc. | |||
144A 3.750%, 8/1/25(2) | 170 | 175 | |
144A 4.000%, 8/1/28(2) | 55 | 54 | |
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(2) | 215 | 295 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(2) | 215 | 228 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 203 | 217 | |
TransDigm, Inc. 5.500%, 11/15/27 | 95 | 99 | |
2,369 | |||
Information Technology—3.3% | |||
Broadcom, Inc. | |||
4.150%, 11/15/30 | 255 | 286 | |
144A 2.450%, 2/15/31(2) | 152 | 149 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 365 | 384 | |
Dell International LLC 8.100%, 7/15/36 | 95 | 145 | |
Elastic N.V. 144A 4.125%, 7/15/29(2) | 30 | 30 | |
Flex Ltd. 3.750%, 2/1/26 | 191 | 209 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 255 | 290 | |
HP, Inc. 3.400%, 6/17/30 | 320 | 343 | |
Leidos, Inc. 2.300%, 2/15/31 | 295 | 288 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 163 | 190 | |
4.600%, 5/23/29 | 85 | 99 | |
NCR Corp. 144A 5.125%, 4/15/29(2) | 130 | 134 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(2) | 205 | 215 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(2) | 400 | 395 | |
Square, Inc. 144A 3.500%, 6/1/31(2) | 160 | 161 | |
Vontier Corp. 144A 2.950%, 4/1/31(2) | 237 | 238 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(2) | 155 | 161 | |
3,717 | |||
Materials—1.7% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(2) | 200 | 206 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(2) | 160 | 171 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(2) | 165 | 178 |
Par Value | Value | ||
Materials—continued | |||
Glencore Funding LLC 144A 2.850%, 4/27/31(2) | $330 | $336 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(2) | 215 | 214 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(2) | 290 | 309 | |
Louisiana-Pacific Corp. 144A 3.625%, 3/15/29(2) | 185 | 186 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 215 | 277 | |
1,877 | |||
Real Estate—2.0% | |||
American Assets Trust LP 3.375%, 2/1/31 | 330 | 340 | |
EPR Properties 4.750%, 12/15/26 | 275 | 298 | |
GLP Capital LP 5.750%, 6/1/28 | 231 | 275 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 80 | 85 | |
4.625%, 8/1/29 | 45 | 48 | |
3.500%, 3/15/31 | 185 | 187 | |
Office Properties Income Trust 4.500%, 2/1/25 | 215 | 233 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 155 | 167 | |
Retail Properties of America, Inc. 4.750%, 9/15/30 | 285 | 316 | |
Service Properties Trust 4.950%, 2/15/27 | 245 | 244 | |
2,193 | |||
Utilities—0.7% | |||
Exelon Corp. 3.497%, 6/1/22 | 135 | 138 | |
National Fuel Gas Co. 2.950%, 3/1/31 | 90 | 91 | |
Puget Energy, Inc. 144A 2.379%, 6/15/28(2) | 169 | 171 | |
Southern Co. (The) Series A 3.750%, 9/15/51 | 294 | 296 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(2) | 105 | 96 | |
792 | |||
Total Corporate Bonds and Notes (Identified Cost $33,887) | 36,028 | ||
Leveraged Loans—10.0% | |||
Aerospace—0.8% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (3 month LIBOR + 3.500%) 0.000%, 1/18/27 | 46 | 46 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(3) | 170 | 177 | |
Brown Group Holding LLC (3 month LIBOR + 2.750%) 3.250%, 6/7/28(3) | 230 | 229 |
See Notes to Schedule of Investments
8
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Aerospace—continued | |||
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(3) | $210 | $224 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.354%, 5/30/25(3) | 229 | 226 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(3) | 35 | 36 | |
938 | |||
Chemicals—0.7% | |||
Gemini HDPE LLC 2027 (3 month LIBOR + 3.000%) 3.500%, 12/31/27(3) | 64 | 64 | |
Ineos U.S. Finance LLC 2024 (3 month LIBOR + 2.000%) 2.104%, 4/1/24(3) | 223 | 220 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (1 month LIBOR + 2.750%) 3.250%, 1/29/26(3) | 170 | 169 | |
Starfruit Finco B.V. (1 month LIBOR + 1.750%) 2.843% - 5.000%, 10/1/25(3) | 216 | 215 | |
Trinseo Materials Operating SCA 2021 (1 month LIBOR + 2.500%) 2.604%, 5/3/28(3) | 155 | 154 | |
822 | |||
Consumer Durables—0.2% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.750%, 2/11/28(3) | 110 | 109 | |
Weber-Stephen Products LLC Tranche B (1 month LIBOR + 3.250%) 4.000%, 10/30/27(3) | 109 | 110 | |
219 | |||
Consumer Non-Durables—0.1% | |||
SRAM LLC (1 month LIBOR + 2.750%) 3.250%, 5/18/28(3) | 59 | 59 | |
Energy—0.2% | |||
Buckeye Partners LP Tranche B, First Lien (3 month LIBOR + 2.250%) 2.354%, 11/1/26(3) | 44 | 44 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24(3) | 76 | 76 | |
DT Midstream, Inc. (3 month LIBOR + 2.000%) 0.000%, 6/12/28(3)(7) | 60 | 60 | |
180 | |||
Financial—0.3% | |||
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27(3) | 110 | 109 | |
Citadel Securities LP 2021 (1 month LIBOR + 2.500%) 2.604%, 2/2/28(3) | 244 | 242 |
Par Value | Value | ||
Financial—continued | |||
Zebra Buyer LLC (3 month LIBOR + 3.500%) 0.000%, 4/21/28(3)(7) | $15 | $15 | |
366 | |||
Food / Tobacco—0.5% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 1.854%, 1/15/27(3) | 44 | 44 | |
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 2.854%, 3/31/25(3) | 68 | 67 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(3) | 224 | 223 | |
JBS USA Lux S.A. (1 month LIBOR + 2.000%) 2.104%, 5/1/26(3) | 224 | 223 | |
557 | |||
Forest Prod / Containers—0.4% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 1.827%, 7/1/26(3) | 199 | 198 | |
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 2.854%, 2/6/23(3) | 225 | 224 | |
422 | |||
Gaming / Leisure—1.0% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24(3) | 25 | 25 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 0.000%, 12/23/24(3)(7) | 170 | 168 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.000%, 4/18/24(3) | 224 | 222 | |
Hilton Grand Vacations Borrower LLC First Lien (3 month LIBOR + 3.250%) 0.000%, 5/19/28(3)(7) | 30 | 30 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.842%, 6/22/26(3) | 225 | 223 | |
Playtika Holding Corp. Tranche B-1 (1 month LIBOR + 2.750%) 2.854%, 3/13/28(3) | 170 | 169 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.604%, 2/12/27(3) | 118 | 115 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.854%, 7/8/24(3) | 129 | 129 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27(3) | 69 | 68 | |
1,149 | |||
Healthcare—0.8% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.843%, 11/27/25 | 26 | 26 |
See Notes to Schedule of Investments
9
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Healthcare—continued | |||
(1 month LIBOR + 3.000%) 3.104%, 6/2/25(3) | $15 | $14 | |
Catalent Pharma Solutions, Inc. Tranche B-3 (1 month LIBOR + 2.000%) 2.500%, 2/22/28 | 129 | 130 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 0.000%, 6/7/23(3) | 114 | 114 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.500%, 10/27/22(3) | 178 | 178 | |
HCA, Inc. (3 month LIBOR + 1.750%) 0.000%, 6/23/28(3)(7) | 25 | 25 | |
ICON Luxembourg S.a.r.l. | |||
Tranche B (3 month LIBOR + 2.500%) 0.000%, 6/16/28(3)(7) | 24 | 24 | |
Tranche B-1 (3 month LIBOR + 2.500%) 0.000%, 6/16/28(3)(7) | 6 | 6 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.897%, 6/11/25(3) | 126 | 125 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.854%, 11/17/25(3) | 154 | 154 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28(3) | 155 | 154 | |
950 | |||
Housing—0.6% | |||
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24 | 240 | 239 | |
Quikrete Holdings, Inc. Tranche B1 (3 month LIBOR + 3.000%) 0.000%, 6/11/28(3)(7) | 165 | 164 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.093%, 11/21/24(3) | 224 | 223 | |
626 | |||
Information Technology—0.7% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.250%) 3.750%, 9/19/24 | 173 | 172 | |
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.854%, 10/2/25(3) | 188 | 187 | |
Sophia LP (3 month LIBOR + 3.750%) 3.897%, 10/7/27(3) | 184 | 184 | |
Tenable Holdings, Inc. Tranche B (3 month LIBOR + 2.750%) 0.000%, 6/28/28(3)(7) | 50 | 50 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26(3) | 119 | 119 | |
Ultra Clean Holdings, Inc. Tranche B (1 month LIBOR + 3.750%) 3.843%, 8/27/25(3) | 62 | 62 | |
774 | |||
Manufacturing—0.6% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(3) | 222 | 222 |
Par Value | Value | ||
Manufacturing—continued | |||
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27(3) | $224 | $223 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.854%, 3/1/27(3) | 20 | 20 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27(3) | 178 | 178 | |
643 | |||
Media / Telecom - Broadcasting—0.2% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.592%, 9/18/26(3) | 180 | 180 | |
Media / Telecom - Cable/Wireless Video—0.2% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.323%, 1/15/26(3) | 147 | 144 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26(3) | 30 | 30 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.353%, 1/31/29(3) | 35 | 35 | |
209 | |||
Media / Telecom - Diversified Media—0.1% | |||
UPC Financing Partnership Tranche AX (1 month LIBOR + 3.000%) 3.073%, 1/31/29(3) | 100 | 99 | |
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/15/27(3) | 64 | 63 | |
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.250%, 10/2/27(3) | 50 | 50 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.104%, 3/9/27 | 163 | 162 | |
275 | |||
Media / Telecom - Wireless Communications—0.2% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.860%, 4/11/25(3) | 225 | 223 | |
Metals / Minerals—0.0% | |||
Atkore International, Inc. (3 month LIBOR + 2.000%) 2.500%, 5/18/28(3) | 35 | 35 | |
Retail—0.3% | |||
Harbor Freight Tools USA, Inc. 2020 (1 month LIBOR + 3.000%) 3.750%, 10/19/27(3) | 224 | 224 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(3) | 125 | 125 | |
349 | |||
See Notes to Schedule of Investments
10
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Service—1.1% | |||
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28(3) | $269 | $268 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.345%, 2/6/26(3) | 277 | 276 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.500%, 2/1/28(3) | 123 | 123 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(3) | 125 | 124 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.354%, 12/31/25(3) | 215 | 213 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/31/28(3) | 234 | 232 | |
1,236 | |||
Transportation - Automotive—0.2% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23(3) | 172 | 168 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.600%, 11/6/24(3) | 92 | 92 | |
260 | |||
Transportation - Land Transportation—0.2% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 2.147%, 12/30/26(3) | 224 | 222 | |
Utility—0.4% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 12/10/27 | 154 | 153 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(3) | 210 | 208 | |
Calpine Corp. 2019 (1 month LIBOR + 2.000%) 2.110%, 4/5/26(3) | 147 | 145 | |
506 | |||
Total Leveraged Loans (Identified Cost $11,293) | 11,299 | ||
Shares | ||
Preferred Stocks—0.8% | ||
Financials—0.6% | ||
Discover Financial Services Series D, 6.125% | 85(8) | 95 |
JPMorgan Chase & Co. Series HH, 4.600% | 86(8) | 89 |
KeyCorp Series D, 5.000% | 140(8) | 156 |
MetLife, Inc. Series D, 5.875% | 88(8) | 102 |
Truist Financial Corp. Series Q, 5.100% | 250(8) | 281 |
723 | ||
Shares | Value | ||
Industrials—0.2% | |||
General Electric Co. Series D, 3.449%(3) | 231(8) | $226 | |
Total Preferred Stocks (Identified Cost $857) | 949 | ||
Exchange-Traded Fund—0.5% | |||
VanEck Vectors High Yield Muni ETF(5) | 8,804 | 560 | |
Total Exchange-Traded Fund (Identified Cost $552) | 560 | ||
Total Long-Term Investments—97.5% (Identified Cost $106,389) | 109,916 | ||
�� | |||
Short-Term Investment—2.5% | |||
Money Market Mutual Fund—2.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(9) | 2,764,933 | 2,765 | |
Total Short-Term Investment (Identified Cost $2,765) | 2,765 | ||
Securities Lending Collateral—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%) | 735,424 | 735 | |
Total Securities Lending Collateral (Identified Cost $735) | 735 | ||
TOTAL INVESTMENTS—100.6% (Identified Cost $109,889) | $113,416 | ||
Other assets and liabilities, net—(0.6)% | (691) | ||
NET ASSETS—100.0% | $112,725 |
Abbreviations: | |
BAM | Build America Municipal Insured |
CBO | Collateralized Bond Obligation |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
NA | National Association |
WaMu | Washington Mutual |
Footnote Legend: | |
(1) | 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. |
(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 June 30, 2021, these securities amounted to a value of $52,712 or 46.8% of net assets. |
See Notes to Schedule of Investments
11
VIRTUS Newfleet Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
(3) | Variable rate security. Rate disclosed is as of June 30, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | 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) | All or a portion of security is on loan. |
(6) | No contractual maturity date. |
(7) | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Value shown as par value. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 90% |
Switzerland | 1 |
Canada | 1 |
Netherlands | 1 |
Indonesia | 1 |
Chile | 1 |
Qatar | 1 |
Other | 4 |
Total | 100% |
† % of total investments as of June 30, 2021. |
The following table summarizes the market value of the Fund’s investments as of June 30, 2021, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at June 30, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $12,388 | $— | $12,388 | $— | |||
Corporate Bonds and Notes | 36,028 | — | 36,028 | — | |||
Foreign Government Securities | 1,973 | — | 1,973 | — | |||
Leveraged Loans | 11,299 | — | 11,299 | — | |||
Mortgage-Backed Securities | 28,919 | — | 28,539 | 380 | |||
Municipal Bonds | 1,598 | — | 1,598 | — | |||
U.S. Government Securities | 16,202 | — | 16,202 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 949 | — | 949 | — | |||
Securities Lending Collateral | 735 | 735 | — | — | |||
Exchange-Traded Fund | 560 | 560 | — | — | |||
Money Market Mutual Fund | 2,765 | 2,765 | — | — | |||
Total Investments | $113,416 | $4,060 | $108,976 | $380 |
There were no transfers into or out of Level 3 related to securities held at June 30, 2021.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. 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 rollforward of Level 3 securities and assumptions are not shown for the period ended June 30, 2021.
See Notes to Schedule of Investments
12
VIRTUS NEWFLEET CORE PLUS BOND FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2021
Note 1. Security Valuation
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 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. Restricted equity securities and private placements that are illiquid or are internally fair valued by the Valuation Committee, 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 Funds 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’s 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 American Depository 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 securities, including 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, 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 securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
13