VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
U.S. Government Securities—3.8% | |||
U.S. Treasury Notes | |||
1.750%, 6/15/22 | $13,145 | $13,352 | |
0.375%, 12/31/25 | 14,585 | 14,309 | |
Total U.S. Government Securities (Identified Cost $27,735) | 27,661 | ||
Foreign Government Securities—0.8% | |||
Kingdom of Saudi Arabia 144A 4.000%, 4/17/25(1) | 425 | 469 | |
Republic of Indonesia | |||
144A 5.875%, 1/15/24(1) | 755 | 852 | |
144A 4.125%, 1/15/25(1) | 435 | 480 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 570 | 662 | |
Republic of South Africa | |||
5.875%, 9/16/25 | 265 | 299 | |
4.850%, 9/27/27 | 975 | 1,047 | |
Republic of Turkey 7.375%, 2/5/25 | 1,225 | 1,324 | |
State of Qatar Government International Bond 144A 3.400%, 4/16/25(1) | 300 | 327 | |
Total Foreign Government Securities (Identified Cost $5,185) | 5,460 | ||
Mortgage-Backed Securities—32.3% | |||
Agency—0.4% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 17 | 18 | |
Pool #AO5149 3.000%, 6/1/27 | 56 | 59 | |
Pool #AL7532 3.000%, 11/1/27 | 264 | 279 | |
Pool #AS5730 3.000%, 9/1/30 | 573 | 606 | |
Pool #AS5927 3.000%, 10/1/30 | 229 | 242 | |
Pool #MA0908 4.000%, 11/1/31 | 153 | 167 | |
Pool #AC3654 5.000%, 10/1/39 | 113 | 129 | |
Pool #AD3841 4.500%, 4/1/40 | 34 | 38 | |
Pool #MA3663 3.500%, 5/1/49 | 371 | 390 | |
Pool #CA4978 3.000%, 1/1/50 | 1,273 | 1,330 | |
Government National Mortgage Association | |||
Pool #345039 7.000%, 9/15/23 | 1 | 1 | |
Pool #780023 7.000%, 9/15/24 | 1 | 1 | |
3,260 | |||
Par Value | Value | ||
Non-Agency—31.9% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%, Cap N/A, Floor 1.15%) 144A 1.274%, 3/15/35(1)(2) | $292 | $292 | |
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(1)(2) | 2,199 | 2,196 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(2) | 740 | 745 | |
American Homes 4 Rent Trust | |||
2014-SFR3, A 144A 3.678%, 12/17/36(1) | 2,656 | 2,828 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 177 | 188 | |
AMSR Trust | |||
2021-SFR2, C 144A 1.877%, 8/17/26(1)(3) | 610 | 610 | |
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 939 | 951 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 940 | 949 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 2,400 | 2,402 | |
Angel Oak Mortgage Trust I LLC 2018-3, A1 144A 3.649%, 9/25/48(1)(2) | 737 | 741 | |
Angel Oak Mortgage Trust LLC | |||
2020-R1, A2 144A 1.247%, 4/25/53(1)(2) | 2,094 | 2,094 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(2) | 1,420 | 1,426 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(2) | 519 | 520 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(2) | 1,861 | 1,872 | |
2021-2, A1 144A 0.985%, 4/25/66(1)(2) | 4,012 | 4,008 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(1)(2) | 917 | 919 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(1)(2) | 1,810 | 1,812 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(2) | 1,192 | 1,213 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(2) | 2,414 | 2,455 | |
2020-1, A1B 144A 2.100%, 3/25/55(1) | 2,207 | 2,239 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.648%, 11/20/34(2) | 10 | 11 | |
2005-1, 1A1 5.500%, 2/25/35 | 62 | 64 | |
2006-2, 3A1 6.000%, 3/25/36 | 13 | 13 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(2) | 140 | 144 | |
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A 3.000%, 3/28/57(1)(2) | 278 | 282 |
See Notes to Schedule of Investments
1
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 2/15/29(1)(2) | $755 | $755 | |
BRAVO Residential Funding Trust | |||
2021-A, A1 144A 1.991%, 1/25/24(1)(2) | 838 | 838 | |
2019-NQM1, A1 144A 2.666%, 7/25/59(1)(2) | 563 | 568 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(2) | 941 | 955 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 10/15/36(1)(2) | 937 | 938 | |
2020-BXLP, D (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 12/15/36(1)(2) | 466 | 466 | |
BX Trust 2018-GW, B (1 month LIBOR + 1.020%, Cap N/A, Floor 1.020%) 144A 1.093%, 5/15/35(1)(2) | 1,265 | 1,266 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(1) | 2,437 | 2,447 | |
Centex Home Equity Loan Trust 2004-D, AF5 5.850%, 9/25/34(2) | 35 | 35 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 902 | 916 | |
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | 1,185 | 1,233 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 82 | 87 | |
2014-A, A 144A 4.000%, 1/25/35(1)(2) | 141 | 149 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(2) | 72 | 74 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(2) | 923 | 932 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(2) | 71 | 72 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(2) | 1,856 | 1,925 | |
COLT Funding LLC 2021-3R, A1 144A 1.051%, 12/25/64(1)(2) | 2,899 | 2,898 | |
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(1)(2) | 1,926 | 1,926 | |
2020-1, A1 144A 2.488%, 2/25/50(1)(2) | 588 | 591 | |
2020-1R, A1 144A 1.255%, 9/25/65(1)(2) | 1,267 | 1,272 | |
2020-2R, A1 144A 1.325%, 10/26/65(1)(2) | 630 | 631 | |
2021-2R, A1 144A 0.798%, 7/27/54(1)(2) | 1,050 | 1,049 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(1)(2) | 1,129 | 1,128 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(2) | 1,132 | 1,139 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 1,035 | 1,040 |
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | $384 | $385 | |
2020-4, A 144A 1.174%, 12/15/52(1) | 1,587 | 1,570 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 979 | 1,029 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 2,917 | 2,964 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 2,692 | 2,667 | |
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 2.562%, 1/25/34(2) | 80 | 81 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.98%) 144A 1.053%, 5/15/36(1)(2) | 1,455 | 1,459 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.924%, 4/25/43(1)(2) | 64 | 65 | |
2014-IVR2, A2 144A 3.813%, 4/25/44(1)(2) | 232 | 237 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(2) | 2,588 | 2,653 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(2) | 1,779 | 1,790 | |
2021-AFC1, A1 144A 0.830%, 3/25/56(1)(2) | 1,505 | 1,502 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(1)(2) | 2,195 | 2,189 | |
2021-NQM2, A1 144A 1.179%, 2/25/66(1)(2) | 1,395 | 1,396 | |
CSMC Trust 2017-RPL1, A1 144A 2.750%, 7/25/57(1)(2) | 828 | 861 | |
Deephaven Residential Mortgage Trust 2020-2, A1 144A 1.692%, 5/25/65(1) | 1,309 | 1,314 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(2) | 646 | 656 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(2) | 673 | 681 | |
2020-2, A1 144A 1.178%, 10/25/65(1)(2) | 1,407 | 1,410 | |
2021-1, A2 144A 1.003%, 2/25/66(1)(2) | 1,280 | 1,277 | |
2021-2, A1 144A 0.931%, 6/25/66(1)(2) | 2,080 | 2,075 | |
Extended Stay America Trust 2021-ESH, C (1 month LIBOR + 1.700%, Cap N/A, Floor 1.700%) 144A 1.775%, 7/15/38(1)(2) | 1,080 | 1,080 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(1) | 800 | 801 | |
2021-SFR1, D 144A 2.189%, 8/17/28(1) | 1,810 | 1,810 | |
2020-SFR2, A 144A 1.266%, 10/19/37(1) | 1,202 | 1,200 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 2,045 | 2,032 |
See Notes to Schedule of Investments
2
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(2) | $279 | $282 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(2) | 168 | 171 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(2) | 153 | 154 | |
2019-2, A52 144A 3.500%, 6/25/59(1)(2) | 1,115 | 1,134 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(2) | 306 | 311 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(2) | 1,186 | 1,208 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(2) | 1,281 | 1,285 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(1)(2) | 468 | 474 | |
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 0.873%, 2/15/38(1)(2) | 2,085 | 2,087 | |
GS Mortgage Securities Trust | |||
2020-TWN3, A (1 month LIBOR + 2.000%, Cap N/A, Floor 2.000%) 144A 2.073%, 11/15/37(1)(2) | 1,540 | 1,548 | |
2020-GC45, AS 3.173%, 2/13/53(2) | 1,426 | 1,534 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(1)(2) | 469 | 476 | |
GSR Mortgage Loan Trust 2003-3F, 1A6 6.000%, 4/25/33 | 99 | 103 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 1,070 | 1,078 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(1)(2) | 2,133 | 2,169 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(2) | 1,120 | 1,130 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 3.223%, 8/25/35(2) | 150 | 155 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.362%, 6/25/29(1)(2) | 530 | 538 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(2) | 370 | 378 | |
2006-A2, 4A1 2.472%, 8/25/34(2) | 37 | 39 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(2) | 228 | 232 | |
2015-1, AM1 144A 2.119%, 12/25/44(1)(2) | 115 | 116 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(2) | 328 | 335 | |
2015-5, A2 144A 2.462%, 5/25/45(1)(2) | 640 | 661 | |
2016-SH2, M2 144A 3.708%, 12/25/45(1)(2) | 494 | 509 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(2) | 353 | 357 | |
2017-5, A1 144A 3.090%, 10/26/48(1)(2) | 1,219 | 1,251 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 2.554%, 6/25/33(2) | $82 | $85 | |
KKR Industrial Portfolio Trust 2021-KDIP, C (1 month LIBOR + 1.000%, Cap N/A, Floor 1.000%) 144A 1.073%, 12/15/37(1)(2) | 1,945 | 1,944 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 0.873%, 5/15/36(1)(2) | 1,040 | 1,041 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2) | 240 | 240 | |
Mello Warehouse Securitization Trust | |||
2021-1, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.206%, 2/25/55(1)(2) | 775 | 777 | |
2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.192%, 4/25/55(1)(2) | 1,035 | 1,036 | |
MetLife Securitization Trust | |||
2018-1A, A 144A 3.750%, 3/25/57(1)(2) | 2,248 | 2,343 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(2) | 4,204 | 4,333 | |
MFA Trust | |||
2021-NQM1, A1 144A 1.153%, 4/25/65(1)(2) | 1,722 | 1,719 | |
2020-NQM3, A1 144A 1.014%, 1/26/65(1)(2) | 1,871 | 1,872 | |
2021-INV1, A1 144A 0.852%, 1/25/56(1)(2) | 352 | 350 | |
Mill City Mortgage Loan Trust 2021-NMR1, A1 144A 1.125%, 11/25/60(1)(2) | 1,206 | 1,211 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C10, A4 4.217%, 7/15/46(2) | 2,065 | 2,179 | |
2013-C13, AS 4.266%, 11/15/46 | 1,515 | 1,610 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%, Cap N/A, Floor 0.700%) 144A 0.773%, 11/15/34(1)(2) | 1,380 | 1,380 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.377%, 6/25/44(1)(2) | 339 | 350 | |
New Residential Mortgage Loan Trust | |||
2017-2A, A3 144A 4.000%, 3/25/57(1)(2) | 1,318 | 1,407 | |
2021-NQ2R, A1 144A 0.941%, 9/25/58(1)(2) | 1,290 | 1,290 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(2) | 706 | 745 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(2) | 66 | 70 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(2) | 1,743 | 1,857 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(2) | 803 | 851 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(2) | 470 | 496 | |
2016-2A, A1 144A 3.750%, 11/26/35(1)(2) | 1,105 | 1,171 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(2) | 473 | 505 |
See Notes to Schedule of Investments
3
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
2016-4A, A1 144A 3.750%, 11/25/56(1)(2) | $2,054 | $2,181 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(2) | 1,608 | 1,723 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(2) | 649 | 655 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(2) | 1,766 | 1,863 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.142%, 5/25/55(1)(2) | 2,140 | 2,141 | |
NMLT Trust 2021-INV1, A1 144A 1.185%, 5/25/56(1)(2) | 1,732 | 1,727 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%, Cap 11.00%, Floor 1.725%) 1.817%, 3/25/35(2) | 149 | 150 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(2) | 157 | 162 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 0.742%, 6/25/57(1)(2) | 186 | 187 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(2) | 264 | 265 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(2) | 478 | 487 | |
2021-NQM1, A1 144A 1.072%, 2/25/66(1)(2) | 881 | 879 | |
Onslow Bay Mortgage Loan Trust 2021-NQM2, A1 144A 1.101%, 5/25/61(1)(2)(3) | 1,430 | 1,430 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(1)(2) | 859 | 863 | |
2020-3, A1 144A 2.857%, 9/25/25(1)(2) | 1,856 | 1,866 | |
2021-3, A1 144A 1.867%, 4/25/26(1)(2) | 669 | 673 | |
Pretium Mortgage Credit Partners I LLC 2021-NPL1, A1 144A 2.240%, 9/27/60(1)(2) | 705 | 704 | |
Progress Residential Trust | |||
2021-SFR3, C 144A 2.088%, 5/17/26(1) | 500 | 502 | |
2021-SFR3, D 144A 2.288%, 5/17/26(1) | 1,010 | 1,014 | |
2021-SFR6, C 144A 1.855%, 7/17/38(1) | 725 | 725 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,750 | 1,751 | |
2018-SFR3, A 144A 3.880%, 10/17/35(1) | 1,662 | 1,678 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 1,211 | 1,232 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 685 | 694 | |
2020-SFR2, A 144A 2.078%, 6/17/37(1) | 2,131 | 2,177 | |
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 345 | 343 | |
2021-SFR1, C 144A 1.555%, 4/17/38(1) | 1,050 | 1,035 |
Par Value | Value | ||
Non-Agency—continued | |||
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(2) | $177 | $179 | |
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(1)(2) | 1,160 | 1,163 | |
PSMC Trust 2018-2, A1 144A 3.500%, 6/25/48(1)(2) | 225 | 226 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(2) | 651 | 661 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(2) | 1,102 | 1,104 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(2) | 1,899 | 1,926 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(2) | 214 | 218 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(1)(2) | 2,375 | 2,385 | |
2021-1, A1 144A 1.160%, 7/25/61(1)(2) | 1,605 | 1,608 | |
2021-1, A3 144A 1.560%, 7/25/61(1)(2)(3) | 625 | 625 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(2) | 880 | 891 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(2) | 445 | 451 | |
STAR Trust 2021-1, A1 144A 1.219%, 5/25/65(1)(2) | 2,318 | 2,324 | |
Starvest Emerging Markets CBO I | |||
2021-3, A2 144A 1.395%, 6/25/56(1)(2) | 1,085 | 1,085 | |
2021-3, A3 144A 1.518%, 6/25/56(1)(2) | 545 | 545 | |
Starwood Mortgage Residential Trust | |||
2020-1, A1 144A 2.275%, 2/25/50(1)(2) | 1,202 | 1,216 | |
2020-2, A1 144A 2.718%, 4/25/60(1)(2) | 3,059 | 3,096 | |
2020-3, A1 144A 1.486%, 4/25/65(1)(2) | 722 | 728 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 2.576%, 10/25/34(2) | 82 | 85 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2003-34A, 6A 2.464%, 11/25/33(2) | 94 | 93 | |
Towd Point Mortgage Trust | |||
2017-2, A2 144A 3.250%, 4/25/57(1)(2) | 1,945 | 2,017 | |
2018-6, A1A 144A 3.750%, 3/25/58(1)(2) | 2,311 | 2,387 | |
2015-4, M1 144A 3.750%, 4/25/55(1)(2) | 526 | 541 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(2) | 275 | 277 | |
2018-4, A1 144A 3.000%, 6/25/58(1)(2) | 1,408 | 1,464 | |
2019-1, A1 144A 3.722%, 3/25/58(1)(2) | 472 | 497 |
See Notes to Schedule of Investments
4
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
2020-MH1, A2 144A 2.500%, 2/25/60(1)(2) | $830 | $850 | |
Towd Point Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 0.992%, 4/25/48(1)(2) | 1,036 | 1,038 | |
2021-HE1, M1 144A 1.500%, 2/25/63(1)(2) | 1,266 | 1,271 | |
Tricon American Homes Trust 2017-SFR1, A 144A 2.716%, 9/17/34(1) | 2,467 | 2,475 | |
VCAT LLC 2021-NPL2, A1 144A 2.115%, 3/27/51(1)(2) | 1,174 | 1,175 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(1)(2) | 541 | 542 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(2) | 1,246 | 1,246 | |
Vericrest Opportunity Loan Trust XCIV LLC 2021-NPL3, A1 144A 2.240%, 2/27/51(1)(2) | 397 | 398 | |
Vericrest Opportunity Loan Trust XCV LLC 2021-NPL4, A1 144A 2.240%, 3/27/51(1)(2) | 477 | 477 | |
Verus Securitization Trust | |||
2021-R3, A1 144A 1.020%, 4/25/64(1)(2) | 1,703 | 1,701 | |
2021-2, A1 144A 1.031%, 2/25/66(1)(2) | 2,980 | 2,981 | |
2021-3, A1 144A 1.046%, 6/25/66(1)(2) | 2,925 | 2,925 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(2) | 2,507 | 2,549 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(2) | 2,651 | 2,686 | |
2020-4, A1 144A 1.502%, 5/25/65(1)(2) | 3,458 | 3,478 | |
2021-1, A1 144A 0.815%, 1/25/66(1)(2) | 1,222 | 1,221 | |
2021-R1, A1 144A 0.820%, 10/25/63(1)(2) | 1,550 | 1,548 | |
2021-R2, A1 144A 0.918%, 2/25/64(1)(2) | 654 | 654 | |
Visio Trust 2021-1R, A1 144A 1.280%, 5/25/56(1) | 3,111 | 3,105 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 485 | 512 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-K, 1A2 2.615%, 7/25/34(2) | 59 | 59 | |
2004-U, A1 2.898%, 10/25/34(2) | 19 | 19 | |
2020-4, A1 144A 3.000%, 7/25/50(1)(2) | 487 | 496 | |
232,370 | |||
Total Mortgage-Backed Securities (Identified Cost $234,395) | 235,630 | ||
Par Value | Value | ||
Asset-Backed Securities—34.3% | |||
Automobiles—18.5% | |||
ACC Trust | |||
2019-2, A 144A 2.820%, 2/21/23(1) | $1,283 | $1,289 | |
2020-A, A 144A 6.000%, 3/20/23(1) | 820 | 841 | |
2021-1, C 144A 2.080%, 12/20/24(1) | 1,785 | 1,783 | |
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(1) | 177 | 177 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 686 | 693 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 786 | 795 | |
2020-4, D 144A 1.770%, 12/14/26(1) | 1,280 | 1,299 | |
2021-1, C 144A 0.830%, 3/15/27(1) | 1,710 | 1,711 | |
2021-2, C 144A 0.970%, 7/13/27(1) | 2,065 | 2,064 | |
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | 36 | 36 | |
2018-1, D 3.820%, 3/18/24 | 975 | 1,013 | |
2019-1, C 3.360%, 2/18/25 | 1,200 | 1,247 | |
2020-3, C 1.060%, 8/18/26 | 2,140 | 2,155 | |
Arivo Acceptance Auto Loan Receivables Trust 2021-1A, A 144A 1.190%, 1/15/27(1) | 1,372 | 1,375 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 1,110 | 1,140 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 1,270 | 1,329 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 1,475 | 1,537 | |
(AESOP) 2021-1A, A 144A 1.380%, 8/20/27(1) | 1,750 | 1,747 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 623 | 624 | |
CarMax Auto Owner Trust 2019-1, C 3.740%, 1/15/25 | 1,175 | 1,231 | |
CarNow Auto Receivables Trust | |||
2019-1A, A 144A 2.720%, 11/15/22(1) | 82 | 82 | |
2020-1A, B 144A 2.710%, 7/17/23(1) | 1,420 | 1,433 | |
2020-1A, C 144A 3.840%, 9/16/24(1) | 730 | 744 | |
2021-1A, B 144A 1.380%, 2/17/26(1) | 2,750 | 2,759 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 1,195 | 1,236 | |
2019-1A, E 144A 5.640%, 1/15/26(1) | 1,480 | 1,566 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 470 | 486 |
See Notes to Schedule of Investments
5
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, C 144A 2.710%, 10/15/24(1) | $1,580 | $1,613 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 1,445 | 1,494 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 1,270 | 1,324 | |
2020-P1, B 0.920%, 11/9/26 | 1,340 | 1,329 | |
2021-N1, C 1.300%, 1/10/28 | 1,610 | 1,624 | |
2021-N2, C 1.070%, 3/10/28 | 1,745 | 1,749 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 905 | 926 | |
2018-D, D 144A 4.340%, 9/16/24(1) | 1,450 | 1,490 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 1,225 | 1,245 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 1,265 | 1,285 | |
2021-A, B 144A 0.610%, 2/18/25(1) | 1,435 | 1,437 | |
Credit Acceptance Auto Loan Trust | |||
2019-1A, A 144A 3.330%, 2/15/28(1) | 689 | 695 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 1,180 | 1,222 | |
2021-2A, A 144A 0.960%, 2/15/30(1) | 1,605 | 1,606 | |
Credito Real USA Auto Receivables Trust 2021-1A, A 144A 1.350%, 2/16/27(1) | 1,857 | 1,858 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 220 | 225 | |
2019-3, C 2.900%, 8/15/25 | 1,255 | 1,278 | |
2019-4, C 2.510%, 11/17/25 | 1,120 | 1,136 | |
DT Auto Owner Trust | |||
2019-1A, C 144A 3.610%, 11/15/24(1) | 559 | 564 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 219 | 219 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 1,040 | 1,054 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 1,390 | 1,416 | |
2020-2A, C 144A 3.280%, 3/16/26(1) | 1,335 | 1,389 | |
2021-2A, C 144A 1.100%, 2/16/27(1) | 2,015 | 2,021 | |
Exeter Automobile Receivables Trust | |||
2017-3A, D 144A 5.280%, 10/15/24(1) | 1,580 | 1,630 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 129 | 130 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 1,365 | 1,408 | |
2019-2A, E 144A 4.680%, 5/15/26(1) | 1,605 | 1,697 |
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, C 144A 2.790%, 5/15/24(1) | $1,060 | $1,073 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 1,370 | 1,388 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 1,225 | 1,259 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 973 | 981 | |
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | 880 | 885 | |
2018-1A, D 144A 4.110%, 6/17/24(1) | 1,175 | 1,200 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 1,240 | 1,270 | |
2021-1A, B 144A 0.890%, 3/15/27(1) | 2,150 | 2,152 | |
2021-1A, C 144A 1.170%, 3/15/27(1) | 1,895 | 1,894 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(1) | 1,250 | 1,291 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 1,490 | 1,531 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 1,205 | 1,227 | |
2021-1, C 144A 0.910%, 3/15/27(1) | 1,790 | 1,776 | |
Foursight Capital Automobile Receivables Trust 2019-1, E 144A 4.300%, 9/15/25(1) | 1,290 | 1,351 | |
GLS Auto Receivables Issuer Trust | |||
2019-1A, B 144A 3.650%, 12/16/24(1) | 871 | 879 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 1,240 | 1,257 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 1,285 | 1,308 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 1,400 | 1,429 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 2,730 | 2,828 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 670 | 698 | |
2020-1A, B 144A 2.430%, 11/15/24(1) | 1,810 | 1,843 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 1,385 | 1,436 | |
2020-4A, C 144A 1.140%, 11/17/25(1) | 1,615 | 1,622 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 1 | 1 | |
2018-3A, B 144A 3.780%, 8/15/23(1) | 93 | 94 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,790 | 1,842 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 73 | 73 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 150 | 150 |
See Notes to Schedule of Investments
6
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Automobiles—continued | |||
2018-1A, A 144A 3.290%, 2/25/24(1) | $49 | $50 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(1) | 2,865 | 2,872 | |
OneMain Direct Auto Receivables Trust | |||
2018-1A, A 144A 3.430%, 12/16/24(1) | 288 | 289 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 1,130 | 1,144 | |
Oscar US Funding XII LLC 2021-1A, A4 144A 1.000%, 4/10/28(1) | 1,140 | 1,129 | |
Santander Consumer Auto Receivables Trust 2021-AA, C 144A 1.030%, 11/16/26(1) | 590 | 586 | |
Santander Drive Auto Receivables Trust | |||
2018-2, C 3.350%, 7/17/23 | 67 | 66 | |
2020-4, C 1.010%, 1/15/26 | 2,385 | 2,399 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 2,030 | 2,072 | |
Tesla Auto Lease Trust | |||
2018-B, B 144A 4.120%, 10/20/21(1) | 925 | 927 | |
2020-A, C 144A 1.680%, 2/20/24(1) | 1,205 | 1,223 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | 1,530 | 1,556 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 908 | 914 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 1,500 | 1,519 | |
2020-1, C 144A 2.150%, 2/10/25(1) | 1,410 | 1,424 | |
2021-1, C 144A 0.840%, 6/10/26(1) | 2,005 | 2,003 | |
2021-1, D 144A 1.140%, 6/10/26(1) | 1,840 | 1,841 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 442 | 445 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(1) | 1,855 | 1,888 | |
Veros Auto Receivables Trust 2021-1, B 144A 1.490%, 10/15/26(1) | 1,395 | 1,392 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 1,270 | 1,280 | |
Westlake Automobile Receivables Trust | |||
2018-2A, D 144A 4.000%, 1/16/24(1) | 828 | 835 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 305 | 306 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 1,435 | 1,459 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 1,645 | 1,676 | |
2020-3A, C 144A 1.240%, 11/17/25(1) | 1,275 | 1,287 | |
134,776 | |||
Par Value | Value | ||
Consumer Loans—1.5% | |||
Affirm Asset Securitization Trust 2021-A, A 144A 0.880%, 8/15/25(1) | $1,280 | $1,282 | |
CFMT Issuer Trust 2021-GRN1, A 144A 1.100%, 3/20/41(1) | 1,536 | 1,534 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 606 | 610 | |
Marlette Funding Trust | |||
2019-4A, A 144A 2.390%, 12/17/29(1) | 292 | 294 | |
2021-1A, B 144A 1.000%, 6/16/31(1) | 2,065 | 2,068 | |
Oportun Funding XIV LLC 2021-A, A 144A 1.210%, 3/8/28(1) | 1,955 | 1,961 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 58 | 58 | |
Regional Management Issuance Trust 2021-1, A 144A 1.680%, 3/17/31(1) | 1,815 | 1,813 | |
Upstart Securitization Trust | |||
2019-3, A 144A 2.684%, 1/21/30(1) | 277 | 278 | |
2020-3, A 144A 1.702%, 11/20/30(1) | 832 | 837 | |
10,735 | |||
Credit Card—1.0% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 2,435 | 2,462 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(1) | 1,380 | 1,384 | |
Genesis Sales Finance Master Trust | |||
2020-AA, A 144A 1.650%, 9/22/25(1) | 1,325 | 1,334 | |
2021-AA, A 144A 1.200%, 12/21/26(1) | 700 | 698 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(1) | 1,620 | 1,625 | |
7,503 | |||
Equipment—1.2% | |||
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 1,370 | 1,383 | |
BCC Funding XVII LLC 2020-1, B 144A 1.460%, 9/22/25(1) | 1,280 | 1,282 | |
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | 1,482 | 1,494 | |
NMEF Funding LLC | |||
2019-A, A 144A 2.730%, 8/17/26(1) | 238 | 239 | |
2019-A, B 144A 3.060%, 8/17/26(1) | 1,205 | 1,222 | |
2021-A, B 144A 1.850%, 12/15/27(1) | 1,400 | 1,397 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 1,365 | 1,378 |
See Notes to Schedule of Investments
7
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Equipment—continued | |||
2020-1, A 144A 1.370%, 11/17/25(1) | $788 | $792 | |
9,187 | |||
Other—11.6% | |||
Amur Equipment Finance Receivables IX LLC 2021-1A, B 144A 1.380%, 2/22/27(1) | 2,035 | 2,032 | |
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 1 | 1 | |
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(1) | 293 | 297 | |
Amur Equipment Finance Receivables VIII LLC 2020-1A, B 144A 2.500%, 3/20/26(1) | 1,633 | 1,671 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 250 | 257 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 1,302 | 1,337 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 2,165 | 2,283 | |
2020-AA, B 144A 2.790%, 7/17/46(1) | 1,355 | 1,389 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 1,186 | 1,239 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(1) | 802 | 815 | |
BHG Securitization Trust 2021-A, A 144A 1.420%, 11/17/33(1) | 2,017 | 2,016 | |
BRE Grand Islander Timeshare Issuer LLC 2017-1A, A 144A 2.940%, 5/25/29(1) | 262 | 269 | |
BXG Receivables Note Trust | |||
2013-A, A 144A 3.010%, 12/4/28(1) | 267 | 267 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 93 | 94 | |
2020-A, B 144A 2.490%, 2/28/36(1) | 1,030 | 1,035 | |
CCG Receivables Trust | |||
2019-2, B 144A 2.550%, 3/15/27(1) | 1,720 | 1,767 | |
2021-1, C 144A 0.840%, 6/14/27(1) | 1,510 | 1,504 | |
Consumer Loan Underlying Bond CLUB Credit Trust | |||
2019-P2, A 144A 2.470%, 10/15/26(1) | 73 | 73 | |
2020-P1, B 144A 2.920%, 3/15/28(1) | 1,175 | 1,192 | |
Consumer Loan Underlying Bond Credit Trust 2019-P1, B 144A 3.280%, 7/15/26(1) | 1,275 | 1,284 | |
Crossroads Asset Trust | |||
2021-A, A2 144A 0.820%, 3/20/24(1) | 2,100 | 2,102 | |
2021-A, B 144A 1.120%, 6/20/25(1) | 1,350 | 1,350 |
Par Value | Value | ||
Other—continued | |||
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | $1,111 | $1,124 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(1) | 1,571 | 1,578 | |
2020-1, B 144A 1.920%, 11/15/27(1) | 2,385 | 2,403 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 512 | 520 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 1,179 | 1,218 | |
2021-1A, A 144A 1.510%, 11/21/33(1) | 1,887 | 1,894 | |
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | 945 | 959 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 1,230 | 1,271 | |
2021-1A, A 144A 1.270%, 5/15/41(1) | 1,497 | 1,498 | |
FREED ABS Trust 2019-2, B 144A 3.190%, 11/18/26(1) | 1,370 | 1,386 | |
GCI Funding I LLC 2021-1, A 144A 2.380%, 6/18/46(1) | 1,410 | 1,412 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 44 | 44 | |
GoldentTree Loan Management US CLO 1 Ltd. 2021-9A, A (3 month LIBOR + 1.070%, Cap N/A, Floor 1.070%) 144A 1.195%, 1/20/33(1)(2) | 1,435 | 1,434 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 1,313 | 1,390 | |
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | 225 | 230 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 534 | 562 | |
2020-AA, A 144A 2.740%, 2/25/39(1) | 718 | 745 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 1,188 | 1,235 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 1,875 | 2,008 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(1) | 1,425 | 1,440 | |
Mariner Finance Issuance Trust | |||
2019-AA, A 144A 2.960%, 7/20/32(1) | 1,045 | 1,071 | |
2020-AA, A 144A 2.190%, 8/21/34(1) | 1,090 | 1,109 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 101 | 101 | |
MVW LLC | |||
2020-1A, A 144A 1.740%, 10/20/37(1) | 1,090 | 1,111 | |
2021-1WA, B 144A 1.440%, 1/22/41(1) | 1,367 | 1,365 | |
MVW Owner Trust | |||
2016-1A, A 144A 2.250%, 12/20/33(1) | 310 | 312 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 581 | 597 |
See Notes to Schedule of Investments
8
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Other—continued | |||
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | $417 | $419 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(1) | 1,630 | 1,634 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 313 | 316 | |
2019-1A, C 144A 4.740%, 6/20/25(1) | 1,715 | 1,793 | |
2021-1A, A 144A 0.930%, 3/22/27(1) | 1,975 | 1,976 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 1,347 | 1,351 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 62 | 62 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 100 | 103 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 641 | 661 | |
Palmer Square Loan Funding Ltd. 2021-1A, A1 (3 month LIBOR + 0.900%, Cap 11.00%, Floor 0.900%) 144A 1.055%, 4/20/29(1)(2) | 1,390 | 1,389 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 1,882 | 1,963 | |
Purchasing Power Funding LLC 2021-A, A 144A 1.570%, 10/15/25(1) | 2,015 | 2,015 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 1,020 | 1,038 | |
Sierra Timeshare Receivables Funding LLC | |||
2017-1A, A 144A 2.910%, 3/20/34(1) | 230 | 233 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 232 | 240 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 406 | 420 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 414 | 424 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 1,506 | 1,531 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 98 | 98 | |
2020-A, A 144A 2.620%, 12/15/26(1) | 271 | 272 | |
SoFi Consumer Loan Program LLC 2017-5, A2 144A 2.780%, 9/25/26(1) | 22 | 22 | |
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(2) | 711 | 724 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 1,154 | 1,200 | |
TRP LLC 2021-1,A 144A 2.070%, 6/19/51(1) | 1,180 | 1,173 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1) | 547 | 562 | |
Upstart Securitization Trust | |||
2019-2, A 144A 2.897%, 9/20/29(1) | 74 | 74 | |
2021-1, A 144A 0.870%, 3/20/31(1) | 1,225 | 1,227 | |
2021-2, B 144A 1.750%, 6/20/31(1) | 1,730 | 1,730 |
Par Value | Value | ||
Other—continued | |||
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | $2,018 | $2,023 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 269 | 275 | |
Westgate Resorts LLC | |||
2018-1A, A 144A 3.380%, 12/20/31(1) | 497 | 503 | |
2020-1A, A 144A 2.713%, 3/20/34(1) | 1,081 | 1,104 | |
ZAXBY’S Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(1) | 1,750 | 1,781 | |
84,627 | |||
Student Loan—0.5% | |||
Commonbond Student Loan Trust | |||
2017-AGS, A1 144A 2.550%, 5/25/41(1) | 185 | 189 | |
2019-AGS, A1 144A 2.540%, 1/25/47(1) | 689 | 706 | |
2020-1, A 144A 1.690%, 10/25/51(1) | 546 | 546 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 105 | 105 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 465 | 472 | |
Navient Private Education Refi Loan Trust 2021-A, A 144A 0.840%, 5/15/69(1) | 1,447 | 1,444 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(1) | 82 | 82 | |
3,544 | |||
Total Asset-Backed Securities (Identified Cost $247,745) | 250,372 | ||
Corporate Bonds and Notes—16.8% | |||
Communication Services—0.9% | |||
AT&T, Inc. (3 month LIBOR + 0.890%) 1.044%, 2/15/23(2) | 475 | 481 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 470 | 304 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 490 | 509 | |
Sprint Spectrum Co. LLC 144A 3.360%, 9/20/21(1) | 150 | 151 | |
Telesat Canada 144A 5.625%, 12/6/26(1) | 790 | 793 | |
T-Mobile USA, Inc. 1.500%, 2/15/26 | 475 | 479 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 740 | 796 | |
Verizon Communications, Inc. | |||
1.450%, 3/20/26 | 1,090 | 1,099 | |
2.100%, 3/22/28 | 820 | 837 |
See Notes to Schedule of Investments
9
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Communication Services—continued | |||
(3 month LIBOR + 1.100%) 1.256%, 5/15/25(2) | $1,226 | $1,264 | |
6,713 | |||
Consumer Discretionary—0.6% | |||
Daimler Finance North America LLC 144A 2.200%, 10/30/21(1) | 1,195 | 1,203 | |
Ford Motor Co. 9.000%, 4/22/25 | 1,146 | 1,413 | |
General Motors Financial Co., Inc. 1.250%, 1/8/26 | 840 | 834 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 905 | 958 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 170 | 182 | |
4,590 | |||
Consumer Staples—0.6% | |||
BAT Capital Corp. 2.259%, 3/25/28 | 1,565 | 1,553 | |
Kraft Heinz Foods Co. 3.875%, 5/15/27 | 820 | 901 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 1,465 | 1,493 | |
3,947 | |||
Energy—1.6% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 755 | 795 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 955 | 1,068 | |
BP Capital Markets plc 4.875% (4) | 790 | 867 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(1) | 925 | 976 | |
Energy Transfer LP 4.200%, 4/15/27 | 690 | 762 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 905 | 984 | |
144A 6.500%, 7/1/27(1) | 140 | 156 | |
Kinder Morgan, Inc. 3.150%, 1/15/23 | 1,005 | 1,046 | |
Lundin Energy Finance B.V. 144A 2.000%, 7/15/26(1) | 1,075 | 1,077 | |
Midwest Connector Capital Co. LLC 144A 3.625%, 4/1/22(1) | 700 | 712 | |
Occidental Petroleum Corp. 5.500%, 12/1/25 | 25 | 28 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 855 | 892 | |
6.500%, 3/13/27 | 520 | 549 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 1,475 | 1,513 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 196 | 190 | |
11,615 | |||
Par Value | Value | ||
Financials—5.8% | |||
Ares Capital Corp. 2.875%, 6/15/28 | $1,775 | $1,802 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 1,540 | 1,589 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(5) | 360 | 374 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 950 | 992 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 490 | 556 | |
Bank of America Corp. | |||
1.734%, 7/22/27 | 3,075 | 3,099 | |
(3 month LIBOR + 0.770%) 0.946%, 2/5/26(2) | 1,755 | 1,778 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 1,190 | 1,328 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 710 | 783 | |
Charles Schwab Corp. (The) | |||
Series G 5.375%(4) | 275 | 304 | |
Series H 4.000%(4) | 945 | 967 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 1,140 | 1,232 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 715 | 774 | |
(3 month LIBOR + 1.250%) 1.395%, 7/1/26(2) | 1,080 | 1,111 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 1,430 | 1,479 | |
F&G Global Funding 144A 1.750%, 6/30/26(1) | 1,465 | 1,471 | |
Goldman Sachs Group, Inc. (The) | |||
(3 month LIBOR + 1.170%) 1.326%, 5/15/26(2) | 475 | 487 | |
(3 month LIBOR + 1.750%) 1.934%, 10/28/27(2) | 2,880 | 3,051 | |
Icahn Enterprises LP 6.250%, 5/15/26 | 1,060 | 1,125 | |
JPMorgan Chase & Co. 1.578%, 4/22/27 | 1,680 | 1,689 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 990 | 989 | |
Lincoln National Corp. | |||
4.200%, 3/15/22 | 470 | 483 | |
(3 month LIBOR + 2.040%) 2.228%, 4/20/67(2) | 935 | 796 | |
Mizuho Financial Group, Inc. 2.273%, 9/13/21 | 565 | 567 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 730 | 777 | |
3.875%, 4/29/24 | 655 | 712 | |
(3 month LIBOR + 0.930%) 1.114%, 7/22/22(2) | 725 | 725 | |
Navient Corp. 5.875%, 10/25/24 | 930 | 1,003 | |
Prudential Financial, Inc. 5.625%, 6/15/43 | 1,168 | 1,253 | |
Santander Holdings USA, Inc. 3.244%, 10/5/26 | 1,260 | 1,346 |
See Notes to Schedule of Investments
10
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Financials—continued | |||
Spirit Realty LP | |||
4.450%, 9/15/26 | $618 | $690 | |
2.100%, 3/15/28 | 534 | 532 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 1,020 | 1,060 | |
Turkiye Is Bankasi AS 144A 5.500%, 4/21/22(1) | 800 | 816 | |
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(1) | 400 | 406 | |
Wells Fargo & Co. | |||
1.654%, 6/2/24 | 925 | 945 | |
4.100%, 6/3/26 | 1,810 | 2,033 | |
(3 month LIBOR + 1.230%) 1.416%, 10/31/23(2) | 1,175 | 1,191 | |
42,315 | |||
Health Care—0.8% | |||
AbbVie, Inc. 2.850%, 5/14/23 | 495 | 515 | |
HCA, Inc. 5.375%, 2/1/25 | 570 | 643 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 945 | 1,018 | |
Royalty Pharma plc | |||
144A 1.200%, 9/2/25(1) | 190 | 188 | |
144A 1.750%, 9/2/27(1) | 1,735 | 1,707 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 550 | 558 | |
144A 7.500%, 4/1/25(1) | 70 | 76 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 1,280 | 1,410 | |
6,115 | |||
Industrials—1.6% | |||
Alaska Airlines Pass-Through Trust 144A 4.800%, 8/15/27(1) | 1,537 | 1,701 | |
Ashtead Capital, Inc. 144A 5.250%, 8/1/26(1) | 1,275 | 1,329 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 1,058 | 1,109 | |
Boeing Co. (The) | |||
2.350%, 10/30/21 | 450 | 453 | |
4.875%, 5/1/25 | 335 | 375 | |
5.040%, 5/1/27 | 507 | 585 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 899 | 969 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(1) | 485 | 489 | |
GFL Environmental, Inc. | |||
144A 3.750%, 8/1/25(1) | 1,360 | 1,397 | |
144A 4.000%, 8/1/28(1) | 360 | 356 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 1,260 | 1,339 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 1,288 | 1,370 | |
11,472 | |||
Information Technology—1.6% | |||
Broadcom, Inc. | |||
3.150%, 11/15/25 | 1,135 | 1,216 |
Par Value | Value | ||
Information Technology—continued | |||
144A 1.950%, 2/15/28(1) | $727 | $727 | |
Citrix Systems, Inc. 1.250%, 3/1/26 | 175 | 173 | |
Dell International LLC 4.900%, 10/1/26 | 1,040 | 1,200 | |
Elastic N.V. 144A 4.125%, 7/15/29(1) | 105 | 105 | |
Flex Ltd. 3.750%, 2/1/26 | 892 | 976 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 385 | 438 | |
Leidos, Inc. 3.625%, 5/15/25 | 832 | 904 | |
Microchip Technology, Inc. 2.670%, 9/1/23 | 1,165 | 1,213 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 1,205 | 1,222 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(1) | 1,160 | 1,144 | |
Square, Inc. 144A 2.750%, 6/1/26(1) | 765 | 778 | |
Vontier Corp. | |||
144A 1.800%, 4/1/26(1) | 552 | 548 | |
144A 2.400%, 4/1/28(1) | 644 | 640 | |
Xerox Holdings Corp. 144A 5.000%, 8/15/25(1) | 515 | 544 | |
11,828 | |||
Materials—1.0% | |||
Anglo American Capital plc 144A 2.250%, 3/17/28(1) | 1,380 | 1,395 | |
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 925 | 955 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 1,275 | 1,289 | |
International Flavors & Fragrances, Inc. | |||
144A 1.230%, 10/1/25(1) | 643 | 640 | |
144A 1.832%, 10/15/27(1) | 1,393 | 1,389 | |
Silgan Holdings, Inc. 144A 1.400%, 4/1/26(1) | 1,813 | 1,795 | |
7,463 | |||
Real Estate—0.9% | |||
GLP Capital LP 5.250%, 6/1/25 | 965 | 1,086 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 915 | 929 | |
4.500%, 2/1/25 | 595 | 646 | |
2.650%, 6/15/26 | 373 | 378 | |
Retail Opportunity Investments Partnership LP 5.000%, 12/15/23 | 1,645 | 1,778 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 420 | 431 | |
4.650%, 3/15/24 | 430 | 438 | |
4.350%, 10/1/24 | 455 | 458 | |
6,144 | |||
Utilities—1.4% | |||
CenterPoint Energy, Inc. 3.850%, 2/1/24 | 630 | 677 |
See Notes to Schedule of Investments
11
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Utilities—continued | |||
Dominion Energy, Inc. Series A 1.450%, 4/15/26 | $1,620 | $1,632 | |
DPL, Inc. 4.125%, 7/1/25 | 122 | 131 | |
Exelon Corp. 3.497%, 6/1/22 | 864 | 886 | |
FirstEnergy Transmission LLC 144A 2.866%, 9/15/28(1) | 837 | 866 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 1,161 | 1,237 | |
Pacific Gas and Electric Co. (3 month LIBOR + 1.375%) 1.531%, 11/15/21(2) | 1,377 | 1,380 | |
Puget Energy, Inc. 144A 2.379%, 6/15/28(1) | 1,068 | 1,079 | |
Southern Co. (The) Series A 3.750%, 9/15/51 | 1,465 | 1,474 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 735 | 754 | |
10,116 | |||
Total Corporate Bonds and Notes (Identified Cost $119,541) | 122,318 | ||
Leveraged Loans—9.1% | |||
Aerospace—0.6% | |||
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(2) | 1,295 | 1,349 | |
Brown Group Holding LLC (3 month LIBOR + 2.750%) 3.250%, 6/7/28(2) | 1,100 | 1,094 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(2) | 890 | 950 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.354%, 5/30/25(2) | 225 | 222 | |
Tranche F (1 month LIBOR + 2.250%) 2.354%, 12/9/25(2) | 711 | 700 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(2) | 210 | 212 | |
4,527 | |||
Chemicals—0.6% | |||
Element Solutions, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.104%, 2/2/26 | 657 | 655 | |
Ineos U.S. Finance LLC 2024 (3 month LIBOR + 2.000%) 2.104%, 4/1/24(2) | 1,403 | 1,386 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (1 month LIBOR + 2.750%) 3.250%, 1/29/26(2) | 860 | 857 | |
Starfruit Finco B.V. (1 month LIBOR + 1.750%) 2.843% - 5.000%, 10/1/25(2) | 783 | 777 | |
Trinseo Materials Operating SCA 2021 (1 month LIBOR + 2.500%) 2.604%, 5/3/28(2) | 1,040 | 1,032 | |
4,707 | |||
Par Value | Value | ||
Consumer Durables—0.3% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.750%, 2/11/28(2) | $643 | $642 | |
Weber-Stephen Products LLC Tranche B (1 month LIBOR + 3.250%) 4.000%, 10/30/27(2) | 796 | 797 | |
Zodiac Pool Solutions LLC Tranche B1 (1 month LIBOR + 2.000%) 2.104%, 7/2/25(2) | 963 | 959 | |
2,398 | |||
Energy—0.1% | |||
DT Midstream, Inc. (3 month LIBOR + 2.000%) 0.000%, 6/12/28(2)(6) | 380 | 380 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(3)(7) | 1 | — | |
380 | |||
Financial—0.5% | |||
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27(2) | 1,925 | 1,924 | |
Citadel Securities LP 2021 (1 month LIBOR + 2.500%) 2.604%, 2/2/28(2) | 1,332 | 1,317 | |
Zebra Buyer LLC (3 month LIBOR + 3.500%) 0.000%, 4/21/28(2)(6) | 105 | 105 | |
3,346 | |||
Food / Tobacco—0.6% | |||
Aramark Services, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.854%, 3/11/25 | 345 | 341 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.854%, 1/15/27(2) | 212 | 209 | |
Tranche B-5 (1 month LIBOR + 2.500%) 2.604%, 4/6/28 | 663 | 660 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.354%, 1/29/27 | 713 | 702 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(2) | 1,005 | 1,000 | |
JBS USA Lux S.A. (1 month LIBOR + 2.000%) 2.104%, 5/1/26(2) | 1,284 | 1,279 | |
4,191 | |||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 1.827%, 7/1/26(2) | 1,067 | 1,058 | |
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 2.854%, 2/6/23(2) | 630 | 629 | |
1,687 | |||
See Notes to Schedule of Investments
12
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Gaming / Leisure—1.0% | |||
Aristocrat Technologies, Inc. | |||
(3 month LIBOR + 3.750%) 4.750%, 10/19/24(2) | $248 | $248 | |
Tranche B-3 (3 month LIBOR + 1.750%) 1.938%, 10/19/24 | 965 | 957 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.338%, 9/15/23 | 1,020 | 1,018 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 0.000%, 12/23/24(2)(6) | 703 | 697 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.000%, 4/18/24(2) | 1,289 | 1,278 | |
Hilton Grand Vacations Borrower LLC First Lien (3 month LIBOR + 3.250%) 0.000%, 5/19/28(2)(6) | 185 | 185 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.842%, 6/22/26(2) | 1,413 | 1,400 | |
Playtika Holding Corp. Tranche B-1 (1 month LIBOR + 2.750%) 2.854%, 3/13/28(2) | 773 | 769 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 0.000%, 8/14/24(2)(6) | 698 | 693 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27(2) | 350 | 346 | |
7,591 | |||
Healthcare—0.9% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.843%, 11/27/25 | 154 | 153 | |
(1 month LIBOR + 3.000%) 3.104%, 6/2/25(2) | 349 | 347 | |
Catalent Pharma Solutions, Inc. Tranche B-3 (1 month LIBOR + 2.000%) 2.500%, 2/22/28 | 164 | 164 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.842%, 8/1/27(2) | 962 | 946 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.500%, 10/27/22(2) | 699 | 700 | |
HCA, Inc. | |||
(3 month LIBOR + 1.750%) 0.000%, 6/23/28(2)(6) | 155 | 155 | |
Tranche B-13 (1 month LIBOR + 1.750%) 0.000%, 3/18/26 | — | — | |
Horizon Therapeutics USA, Inc Tranche B-2 (1 month LIBOR + 2.000%) 2.500%, 3/15/28 | 1,347 | 1,337 | |
ICON Luxembourg S.a.r.l. | |||
Tranche B (3 month LIBOR + 2.500%) 0.000%, 6/16/28(2)(6) | 148 | 148 | |
Tranche B-1 (3 month LIBOR + 2.500%) 0.000%, 6/16/28(2)(6) | 37 | 37 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.897%, 6/11/25(2) | 518 | 515 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28(2) | 1,027 | 1,026 |
Par Value | Value | ||
Healthcare—continued | |||
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 2.360%, 3/6/25 | $645 | $638 | |
6,166 | |||
Housing—0.8% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.104%, 1/15/27(2) | 1,396 | 1,386 | |
CPG International LLC (3 month LIBOR + 3.750%) 3.250%, 5/6/24 | 1,035 | 1,034 | |
Quikrete Holdings, Inc. Tranche B1 (3 month LIBOR + 3.000%) 0.000%, 6/11/28(2)(6) | 1,030 | 1,021 | |
SiteOne Landscape Supply LLC Tranche B (1 month LIBOR + 2.000%) 2.500%, 3/23/28 | 873 | 865 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.093%, 11/21/24(2) | 1,282 | 1,276 | |
5,582 | |||
Information Technology—0.6% | |||
Dell International LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.000%, 9/19/25(2) | 1,530 | 1,529 | |
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.854%, 2/15/24 | 1,306 | 1,295 | |
SS&C Technologies, Inc. Tranche B-5 (1 month LIBOR + 1.750%) 1.854%, 4/16/25 | 454 | 449 | |
Tenable Holdings, Inc. Tranche B (3 month LIBOR + 2.750%) 0.000%, 6/28/28(2)(6) | 360 | 359 | |
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.836%, 3/2/27 | 713 | 708 | |
4,340 | |||
Manufacturing—0.3% | |||
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27(2) | 960 | 958 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.854%, 3/1/27(2) | 450 | 444 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.690%, 8/28/26(2) | 790 | 780 | |
2,182 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.592%, 9/18/26(2) | 903 | 900 |
See Notes to Schedule of Investments
13
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—0.4% | |||
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.860%, 2/1/27(2) | $808 | $802 | |
CSC Holdings LLC | |||
2018 (1 month LIBOR + 2.250%) 2.323%, 1/15/26(2) | 728 | 717 | |
2019 (1 month LIBOR + 2.500%) 2.573%, 4/15/27(2) | 276 | 273 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.353%, 1/31/29(2) | 925 | 924 | |
2,716 | |||
Media / Telecom - Diversified Media—0.1% | |||
UPC Financing Partnership Tranche AX (1 month LIBOR + 3.000%) 3.073%, 1/31/29(2) | 430 | 427 | |
Media / Telecom - Telecommunications—0.5% | |||
Cable One, Inc. Tranche B-4 (1 month LIBOR + 2.000%) 2.104%, 5/3/28 | 1,320 | 1,314 | |
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/15/27(2) | 832 | 820 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.854%, 3/1/27(2) | 440 | 433 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.104%, 3/9/27 | 710 | 702 | |
3,269 | |||
Media / Telecom - Wireless Communications—0.1% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.860%, 4/11/25(2) | 1,069 | 1,059 | |
Metals / Minerals—0.0% | |||
Atkore International, Inc. (3 month LIBOR + 2.000%) 2.500%, 5/18/28(2) | 215 | 215 | |
Service—1.0% | |||
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28(2) | 1,038 | 1,033 | |
Asplundh Tree Expert, LLC 2021 (3 month LIBOR + 1.750%) 0.000%, 9/7/27(6) | 1,047 | 1,043 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.345%, 2/6/26(2) | 1,082 | 1,077 | |
Pike Corp. 2028 (1 month LIBOR + 3.000%) 3.110%, 1/21/28(2) | 1,007 | 1,004 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(2) | 698 | 696 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.854%, 11/16/26 | 1,383 | 1,373 |
Par Value | Value | ||
Service—continued | |||
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/31/28(2) | $1,317 | $1,306 | |
7,532 | |||
Transportation - Land Transportation—0.1% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 2.147%, 12/30/26(2) | 960 | 953 | |
Utility—0.3% | |||
Calpine Corp. 2020 (1 month LIBOR + 2.500%) 2.610%, 12/16/27(2) | 853 | 847 | |
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 1.850%, 12/31/25 | 1,134 | 1,125 | |
1,972 | |||
Total Leveraged Loans (Identified Cost $66,235) | 66,140 | ||
Shares | ||
Preferred Stocks—0.7% | ||
Financials—0.6% | ||
Bank of New York Mellon Corp. (The) Series E, 3.554% | 1,380(8) | 1,390 |
Citigroup, Inc. Series T, 6.250% | 1,020(8) | 1,192 |
JPMorgan Chase & Co. Series Z, 3.976% | 1,155(8) | 1,158 |
JPMorgan Chase & Co. Series HH, 4.600% | 1,106(8) | 1,146 |
4,886 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 3.449%(2) | 575(8) | 563 |
Total Preferred Stocks (Identified Cost $5,240) | 5,449 | |
Exchange-Traded Funds—0.4% | ||
SPDR Bloomberg Barclays High Yield Bond Fund ETF(9)(10) | 13,326 | 1,465 |
VanEck Vectors High Yield Muni ETF(9)(10) | 27,600 | 1,756 |
Total Exchange-Traded Funds (Identified Cost $3,177) | 3,221 | |
Total Long-Term Investments—98.2% (Identified Cost $709,253) | 716,251 | |
Short-Term Investment—3.0% | ||
Money Market Mutual Fund—3.0% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(9) | 22,096,067 | 22,096 |
Total Short-Term Investment (Identified Cost $22,096) | 22,096 | |
See Notes to Schedule of Investments
14
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Shares | Value | ||
Securities Lending Collateral—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(9)(11) | 1,927,540 | $1,928 | |
Total Securities Lending Collateral (Identified Cost $1,928) | 1,928 | ||
TOTAL INVESTMENTS—101.5% (Identified Cost $733,277) | $740,275 | ||
Other assets and liabilities, net—(1.5)% | (11,087) | ||
NET ASSETS—100.0% | $729,188 |
Abbreviations: | |
ABS | Asset-Backed Securities |
CBO | Collateralized Bond Obligation |
CLO | Collateralized Loan 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 |
SPDR | S&P Depositary Receipt |
WaMu | Washington Mutual |
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 June 30, 2021, these securities amounted to a value of $509,504 or 69.9% of net assets. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | No contractual maturity date. |
(5) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(6) | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(7) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(8) | Value shown as par value. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(10) | All or a portion of security is on loan. |
(11) | Represents security purchased with cash collateral received for securities on loan. |
See Notes to Schedule of Investments
15
VIRTUS Newfleet Low Duration Core Plus Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
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 | $250,372 | $— | $250,372 | $— | |||
Corporate Bonds and Notes | 122,318 | — | 122,318 | — | |||
Foreign Government Securities | 5,460 | — | 5,460 | — | |||
Leveraged Loans | 66,140 | — | 66,140 | —(1) | |||
Mortgage-Backed Securities | 235,630 | — | 232,965 | 2,665 | |||
U.S. Government Securities | 27,661 | — | 27,661 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 5,449 | — | 5,449 | — | |||
Securities Lending Collateral | 1,928 | 1,928 | — | — | |||
Exchange-Traded Funds | 3,221 | 3,221 | — | — | |||
Money Market Mutual Fund | 22,096 | 22,096 | — | — | |||
Total Investments | $740,275 | $27,245 | $710,365 | $2,665 |
(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 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
16
VIRTUS NEWFLEET LOW DURATION 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.
17