VIRTUS SHORT DURATION HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—87.8% | |||
Advertising—0.7% | |||
Summer BC Bidco B LLC 144A 5.500%, 10/31/26(1) | $ 5,054 | $ 4,527 | |
Airlines—1.5% | |||
Mileage Plus Holdings LLC 144A 6.500%, 6/20/27(1) | 9,450 | 9,287 | |
Auto Components—1.0% | |||
Clarios Global LP 144A 6.750%, 5/15/25(1) | 720 | 713 | |
Goodyear Tire & Rubber Co. (The) 9.500%, 5/31/25 | 5,200 | 5,378 | |
6,091 | |||
Banks—0.9% | |||
Morgan Stanley 3.620%, 4/17/25 | 5,500 | 5,430 | |
Building Materials—0.4% | |||
Eco Material Technologies, Inc. 144A 7.875%, 1/31/27(1) | 2,500 | 2,222 | |
Chemicals—0.4% | |||
SCIL IV LLC 144A 5.375%, 11/1/26(1) | 3,235 | 2,588 | |
Coal—0.5% | |||
Cloud Peak Energy Resources LLC PIK 12.000%, 5/1/25(2) | 3,355 | 3,204 | |
Commercial Services—7.1% | |||
Albion Financing 1 S.a.r.l. 144A 6.125%, 10/15/26(1) | 5,000 | 4,279 | |
Albion Financing 2 S.a.r.l. 144A 8.750%, 4/15/27(1) | 7,000 | 5,863 | |
APX Group, Inc. 144A 6.750%, 2/15/27(1) | 10,000 | 9,274 | |
Brink’s Co. (The) 144A 5.500%, 7/15/25(1) | 5,000 | 4,811 | |
Prime Security Services Borrower LLC 144A 5.250%, 4/15/24(1) | 6,000 | 5,865 | |
Shift4 Payments LLC 144A 4.625%, 11/1/26(1) | 16,250 | 14,381 | |
44,473 | |||
Par Value | Value | ||
Computers—0.1% | |||
CA Magnum Holdings 144A 5.375%, 10/31/26(1) | $ 1,000 | $ 865 | |
Diversified Financial Services—11.5% | |||
Bread Financial Holdings, Inc. | |||
144A 4.750%, 12/15/24(1) | 14,000 | 12,824 | |
144A 7.000%, 1/15/26(1) | 6,000 | 5,729 | |
Castlelake Aviation Finance DAC 144A 5.000%, 4/15/27(1) | 7,500 | 6,226 | |
Global Aircraft Leasing Co. Ltd. PIK 144A 6.500%, 9/15/24(1)(2) | 16,046 | 12,155 | |
LD Holdings Group LLC 144A 6.500%, 11/1/25(1) | 15,025 | 10,217 | |
Oxford Finance LLC 144A 6.375%, 2/1/27(1) | 210 | 201 | |
PennyMac Financial Services, Inc. 144A 5.375%, 10/15/25(1) | 2,750 | 2,396 | |
SLM Corp. 4.200%, 10/29/25 | 8,950 | 8,108 | |
United Wholesale Mortgage LLC 144A 5.500%, 11/15/25(1) | 7,200 | 6,168 | |
VistaJet Malta Finance plc 144A 7.875%, 5/1/27(1) | 8,750 | 7,722 | |
71,746 | |||
Electric Utilities—0.2% | |||
Calpine Corp. 144A 5.250%, 6/1/26(1) | 1,096 | 1,041 | |
Electronic Equipment, Instruments & Components—1.4% | |||
Energizer Holdings, Inc. 144A 6.500%, 12/31/27(1) | 5,500 | 4,820 | |
WESCO Distribution, Inc. 144A 7.125%, 6/15/25(1) | 4,000 | 3,991 | |
8,811 | |||
Energy-Alternate Sources—2.2% | |||
Sunnova Energy Corp. 144A 5.875%, 9/1/26(1) | 15,500 | 13,485 | |
Engineering & Construction—2.7% | |||
Artera Services LLC 144A 9.033%, 12/4/25(1) | 21,053 | 16,965 |
Par Value | Value | ||
Entertainment—2.8% | |||
Banijay Entertainment SASU 144A 5.375%, 3/1/25(1) | $ 4,092 | $ 3,846 | |
SeaWorld Parks & Entertainment, Inc. 144A 8.750%, 5/1/25(1) | 3,500 | 3,623 | |
Six Flags Theme Parks, Inc. 144A 7.000%, 7/1/25(1) | 7,000 | 7,086 | |
Wynn Resorts Finance LLC 144A 7.750%, 4/15/25(1) | 2,800 | 2,725 | |
17,280 | |||
Environmental Services—0.6% | |||
Stericycle, Inc. 144A 5.375%, 7/15/24(1) | 3,915 | 3,780 | |
Equity Real Estate Investment Trusts (REITs)—0.8% | |||
Blackstone Mortgage Trust, Inc. 144A 3.750%, 1/15/27(1) | 3,000 | 2,445 | |
HAT Holdings I LLC 144A 3.375%, 6/15/26(1) | 2,000 | 1,720 | |
Starwood Property Trust, Inc. 144A 3.750%, 12/31/24(1) | 900 | 819 | |
4,984 | |||
Food Service—0.1% | |||
Aramark Services, Inc. 144A 5.000%, 4/1/25(1) | 586 | 561 | |
Healthcare-Services—2.8% | |||
Akumin, Inc. 144A 7.000%, 11/1/25(1) | 10,875 | 8,429 | |
HCA, Inc. 5.375%, 2/1/25 | 1,500 | 1,492 | |
RP Escrow Issuer LLC 144A 5.250%, 12/15/25(1) | 6,400 | 5,532 | |
Tenet Healthcare Corp. 4.625%, 7/15/24 | 1,764 | 1,693 | |
17,146 | |||
Home Builders—0.6% | |||
Forestar Group, Inc. 144A 3.850%, 5/15/26(1) | 4,000 | 3,287 |
See Notes to Schedule of Investments
1
VIRTUS SHORT DURATION HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Home Builders—continued | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | $ 729 | $ 711 | |
3,998 | |||
Household Products/Wares—0.5% | |||
Spectrum Brands, Inc. 5.750%, 7/15/25 | 3,099 | 3,060 | |
Internet—5.7% | |||
Millennium Escrow Corp. 144A 6.625%, 8/1/26(1) | 21,450 | 17,311 | |
Uber Technologies, Inc. | |||
144A 7.500%, 5/15/25(1) | 1,975 | 1,956 | |
144A 8.000%, 11/1/26(1) | 16,459 | 16,385 | |
35,652 | |||
Lodging—0.3% | |||
Hilton Worldwide Finance LLC 4.875%, 4/1/27 | 2,165 | 2,040 | |
Media—7.1% | |||
DirecTV Financing LLC 144A 5.875%, 8/15/27(1) | 11,250 | 9,597 | |
DISH DBS Corp. 144A 5.250%, 12/1/26(1) | 18,850 | 14,775 | |
Gannett Holdings LLC 144A 6.000%, 11/1/26(1) | 3,000 | 2,512 | |
Radiate Holdco LLC 144A 4.500%, 9/15/26(1) | 7,285 | 6,282 | |
Townsquare Media, Inc. 144A 6.875%, 2/1/26(1) | 5,334 | 4,751 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(1) | 2,000 | 1,882 | |
144A 6.625%, 6/1/27(1) | 5,000 | 4,761 | |
44,560 | |||
Mining—0.3% | |||
Arconic Corp. 144A 6.000%, 5/15/25(1) | 2,000 | 1,951 | |
Miscellaneous Manufacturing—1.9% | |||
LSB Industries, Inc. 144A 6.250%, 10/15/28(1) | 13,750 | 12,134 | |
Oil, Gas & Consumable Fuels—6.1% | |||
CVR Energy, Inc. 144A 5.250%, 2/15/25(1) | 17,094 | 15,716 | |
PBF Holding Co. LLC 7.250%, 6/15/25 | 24,000 | 22,434 | |
38,150 | |||
Par Value | Value | ||
Pipelines—8.6% | |||
Delek Logistics Partners LP 144A 7.125%, 6/1/28(1) | $ 2,000 | $ 1,800 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 2,937 | 2,816 | |
144A 7.500%, 6/1/27(1) | 950 | 916 | |
Holly Energy Partners LP 144A 6.375%, 4/15/27(1) | 2,500 | 2,353 | |
New Fortress Energy, Inc. | |||
144A 6.750%, 9/15/25(1) | 17,700 | 16,727 | |
144A 6.500%, 9/30/26(1) | 5,250 | 4,755 | |
NuStar Logistics LP 5.750%, 10/1/25 | 5,200 | 4,862 | |
PBF Logistics LP 6.875%, 5/15/23 | 11,912 | 11,733 | |
Rattler Midstream LP 144A 5.625%, 7/15/25(1) | 5,000 | 4,998 | |
Targa Resources Partners LP 6.500%, 7/15/27 | 3,000 | 3,073 | |
54,033 | |||
Real Estate—1.5% | |||
Newmark Group, Inc. 6.125%, 11/15/23 | 9,197 | 9,163 | |
Retail—4.1% | |||
Carvana Co. 144A 5.625%, 10/1/25(1) | 7,500 | 5,760 | |
eG Global Finance plc | |||
144A 6.750%, 2/7/25(1) | 6,250 | 5,893 | |
144A 8.500%, 10/30/25(1) | 11,104 | 10,757 | |
Sally Holdings LLC 5.625%, 12/1/25 | 3,534 | 3,317 | |
25,727 | |||
Semiconductors—0.8% | |||
ams-OSRAM AG 144A 7.000%, 7/31/25(1) | 5,250 | 5,007 | |
Software—5.2% | |||
ACI Worldwide, Inc. 144A 5.750%, 8/15/26(1) | 8,500 | 8,205 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(1) | 9,250 | 7,958 | |
144A 6.500%, 10/15/28(1) | 5,900 | 4,869 | |
Veritas U.S., Inc. 144A 7.500%, 9/1/25(1) | 15,250 | 11,444 | |
32,476 | |||
Par Value | Value | ||
Telecommunications—3.7% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | $ 18,340 | $ 16,481 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 2,000 | 1,393 | |
Viasat, Inc. 144A 5.625%, 4/15/27(1) | 6,250 | 5,404 | |
23,278 | |||
Transportation—3.7% | |||
Fly Leasing Ltd. 144A 7.000%, 10/15/24(1) | 10,990 | 8,345 | |
Fortress Transportation and Infrastructure Investors LLC 144A 6.500%, 10/1/25(1) | 10,188 | 9,612 | |
Ryder System, Inc. 4.625%, 6/1/25 | 2,000 | 2,011 | |
XPO Logistics, Inc. 144A 6.250%, 5/1/25(1) | 3,221 | 3,197 | |
23,165 | |||
Total Corporate Bonds and Notes (Identified Cost $632,394) | 548,880 | ||
Leveraged Loans—8.8% | |||
Advertising—0.4% | |||
Summer BC Bidco B LLC Tranche B-2 (3 month LIBOR + 4.500%) 6.750%, 12/4/26 (3) | 2,977 | 2,782 | |
Commercial Services—1.8% | |||
APX Group, Inc. (3 month LIBOR + 2.500%) 5.011%, 7/10/28 (3) | 9,925 | 9,351 | |
Spin Holdco, Inc. (3 month LIBOR + 4.000%) 5.611%, 3/4/28 (3) | 1,975 | 1,814 | |
11,165 | |||
Housewares—0.7% | |||
Hunter Douglas Holding B.V. Tranche B-1 (3 month Term SOFR + 3.500%) 4.842%, 2/26/29 (3) | 5,000 | 4,291 | |
Insurance—3.3% | |||
Asurion LLC | |||
Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 6.916%, 1/31/28 (3) | 16,000 | 13,600 |
See Notes to Schedule of Investments
2
VIRTUS SHORT DURATION HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Insurance—continued | |||
Tranche B-8 (1 month LIBOR + 3.250%) 4.916%, 12/23/26 (3) | $ 7,968 | $ 7,206 | |
20,806 | |||
Pipelines—2.6% | |||
Prairie ECI Acquiror LP (1 month LIBOR + 4.750%) 6.416%, 3/11/26 (3) | 17,200 | 16,061 | |
Total Leveraged Loans (Identified Cost $60,602) | 55,105 | ||
Shares | ||
Common Stocks—0.0% | ||
Oil, Gas & Consumable Fuels—0.0% | ||
Cloud Peak Energy, Inc.(4)(5)(6)(7) | 40,020 | — |
Total Common Stocks (Identified Cost $—) | — | |
Total Long-Term Investments—96.6% (Identified Cost $692,996) | 603,985 | |
Short-Term Investment—1.8% | ||
Money Market Mutual Fund—1.8% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.316%)(8) | 11,558,288 | 11,558 |
Total Short-Term Investment (Identified Cost $11,558) | 11,558 | |
TOTAL INVESTMENTS—98.4% (Identified Cost $704,554) | $615,543 | |
Other assets and liabilities, net—1.6% | 9,995 | |
NET ASSETS—100.0% | $625,538 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, these securities amounted to a value of $461,882 or 73.8% of net assets. |
(2) | 100% of the income received was in cash. |
(3) | Variable rate security. Rate disclosed is as of June 30, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | Affiliated Investment. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Non-income producing. |
(7) | All or a portion of the security is restricted. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 84% |
Luxembourg | 4 |
United Kingdom | 3 |
Cayman Islands | 2 |
Canada | 2 |
Bermuda | 1 |
Malta | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of June 30, 2022. |
See Notes to Schedule of Investments
3
VIRTUS SHORT DURATION HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of June 30, 2022, 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, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $548,880 | $— | $548,880 | $— | |||
Leveraged Loans | 55,105 | — | 55,105 | — | |||
Common Stocks | — | — | — | —(1) | |||
Money Market Mutual Fund | 11,558 | 11,558 | — | — | |||
Total Investments | $615,543 | $11,558 | $603,985 | $—(1) |
(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, 2022.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended June 30, 2022.
See Notes to Schedule of Investments
4
VIRTUS Short Duration High Income Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2022
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. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt 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 at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts 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.
Note 2. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the schedule of investments will be available for issuance, and has determined that the following subsequent events require recognition or disclosure in this Schedule of Investments:
Effective July 25, 2022, Newfleet Asset Management, a division of Virtus Fixed Income Advisers LLC and an affiliate of Virtus Investment Advisers, Inc., replaced AllianzGI U.S. as subadviser of the Virtus Short Duration High Income Fund. Effective July 25, 2022, the Virtus Short Duration High Income Fund was renamed the Virtus Newfleet Short Duration High Income Fund.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
5