VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—7.9% | |||
Health Care—4.8% | |||
1Life Healthcare, Inc. 3.000%, 6/15/25 | $ 2,722 | $ 2,634 | |
Information Technology—3.1% | |||
Avalara, Inc. 0.250%, 8/1/26 | 1,750 | 1,692 | |
Total Convertible Bonds and Notes (Identified Cost $4,380) | 4,326 | ||
Corporate Bonds and Notes—70.5% | |||
Communication Services—18.4% | |||
Allen Media LLC 144A 10.500%, 2/15/28(1) | 451 | 223 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.500%, 6/1/29(1) | 1,456 | 1,055 | |
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 1,969 | 1,722 | |
Getty Images, Inc. 144A 9.750%, 3/1/27(1) | 1,769 | 1,756 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 1,313 | 906 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 161 | 149 | |
5.000%, 9/15/29 | 1,864 | 1,716 | |
Twitter, Inc. | |||
144A 3.875%, 12/15/27(1)(2) | 1,785 | 1,674 | |
144A 5.000%, 3/1/30(1) | 423 | 405 | |
WeWork Cos., LLC 144A 5.000%, 7/10/25(1) | 732 | 425 | |
10,031 | |||
Consumer Discretionary—9.8% | |||
Aramark Services, Inc. | |||
144A 5.000%, 4/1/25(1) | 497 | 475 | |
144A 6.375%, 5/1/25(1) | 455 | 446 | |
Peninsula Pacific Entertainment LLC 144A 8.500%, 11/15/27(1) | 1,585 | 1,706 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(1) | 426 | 402 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 2,369 | 2,339 | |
5,368 | |||
Consumer Staples—3.0% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 1,482 | 1,182 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1) | 472 | 438 | |
1,620 | |||
Energy—3.8% | |||
Exterran Energy Solutions LP 8.125%, 5/1/25 | 2,042 | 2,068 |
Par Value | Value | ||
Financials—9.7% | |||
FXI Holdings, Inc. 144A 12.250%, 11/15/26(1) | $ 1,094 | $ 866 | |
Genesis Energy LP 5.625%, 6/15/24(3) | 173 | 162 | |
Latam Finance Ltd. 144A 7.000%, 3/1/26(1)(4) | 2,072 | 1,989 | |
Mallinckrodt International Finance S.A. 144A 10.000%, 4/15/25(1) | 392 | 357 | |
Nielsen Finance LLC 144A 5.625%, 10/1/28(1) | 1,901 | 1,887 | |
5,261 | |||
Health Care—0.6% | |||
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(1) | 325 | 323 | |
Industrials—3.9% | |||
Bombardier, Inc. 144A 7.875%, 4/15/27(1) | 255 | 235 | |
Cengage Learning, Inc. 144A 9.500%, 6/15/24(1) | 895 | 839 | |
IEA Energy Services LLC 144A 6.625%, 8/15/29(1) | 764 | 745 | |
WeWork Cos., Inc. 144A 7.875%, 5/1/25(1) | 439 | 304 | |
2,123 | |||
Information Technology—12.2% | |||
HP, Inc. 144A 4.750%, 3/1/29(1) | 2,144 | 2,155 | |
MoneyGram International, Inc. 144A 5.375%, 8/1/26(1) | 2,240 | 2,195 | |
Switch Ltd. | |||
144A 3.750%, 9/15/28(1) | 2,299 | 2,285 | |
144A 4.125%, 6/15/29(1) | 31 | 31 | |
6,666 | |||
Materials—5.6% | |||
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 1,694 | 1,490 | |
Resolute Forest Products, Inc. 144A 4.875%, 3/1/26(1) | 1,608 | 1,564 | |
3,054 | |||
Real Estate—3.5% | |||
iStar, Inc. | |||
4.750%, 10/1/24 | 643 | 634 | |
4.250%, 8/1/25 | 1,295 | 1,256 | |
1,890 | |||
Total Corporate Bonds and Notes (Identified Cost $41,574) | 38,404 | ||
See Notes to Schedule of Investments
1
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Leveraged Loans—3.9% | |||
Consumer Non-Durables—0.7% | |||
Claire’s Stores, Inc. Tranche B (1 month LIBOR + 6.500%) 9.615%, 12/18/26(5) | $ 408 | $ 387 | |
Health Care—0.7% | |||
Mallinckrodt International Finance S.A. 2017 (3 month LIBOR + 5.250%) 8.733%, 9/30/27(5) | 472 | 379 | |
Media / Telecom - Diversified Media—2.2% | |||
RentPath LLC Tranche B-1, First Lien 0.000%, 1/1/30(4)(5)(6) | 24 | —(7) | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 10.553%, 5/13/27(5) | 1,400 | 1,197 | |
1,197 | |||
Service—0.3% | |||
Watts Guerra LLP 8.000%, 10/7/23(6) | 161 | 164 | |
Total Leveraged Loans (Identified Cost $2,363) | 2,127 |
Shares | ||
Closed End Fund—0.2% | ||
Equity Fund—0.2% | ||
Franklin Universal Trust | 15,487 | 98 |
Total Closed End Fund (Identified Cost $129) | 98 | |
Preferred Stocks—1.4% | ||
Consumer Discretionary—0.6% | ||
Fossil Group, Inc., 7.000% | 20,031 | 331 |
Financials—0.1% | ||
Federal Home Loan Mortgage Corp., 8.375%(5) | 14,563 | 49 |
Federal National Mortgage Association, 8.250%(5) | 2,889 | 10 |
59 | ||
Industrials—0.7% | ||
Babcock & Wilcox Enterprises, Inc., 6.500% | 16,450 | 393 |
Total Preferred Stocks (Identified Cost $959) | 783 | |
Common Stocks—0.0% | ||
Consumer Discretionary—0.0% | ||
Cazoo Group Ltd.(8) | 1,894 | 1 |
Consumer Staples—0.0% | ||
TPCO Holding Corp.(8) | 2,663 | 2 |
Shares | Value | ||
Industrials—0.0% | |||
Microvast Holdings, Inc.(8) | 5,000 | $ 9 | |
Total Common Stocks (Identified Cost $67) | 12 | ||
Rights—0.0% | |||
Financials—0.0% | |||
Shelter Acquisition Corp. I Sponsor Shares(6)(8) | 625 | —(7) | |
Total Rights (Identified Cost $—) | — | ||
Warrants—0.0% | |||
Communication Services—0.0% | |||
BuzzFeed, Inc.(8) | 1,000 | —(7) | |
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd(8) | 2,946 | —(7) | |
Grove Collaborative Holdings(8) | 983 | —(7) | |
— | |||
Financials—0.0% | |||
26 Capital Acquisition Corp.(8) | 1,000 | 1 | |
Accelerate Acquisition Corp.(8) | 1,600 | —(7) | |
Arrowroot Acquisition Corp.(8) | 992 | —(7) | |
Austerlitz Acquisition Corp. I(8) | 1,157 | —(7) | |
Avanti Acquisition Corp.(8) | 2,149 | —(7) | |
CF Acquisition Corp. VIII(8) | 1,227 | —(7) | |
Colonnade Acquisition Corp. II(8) | 956 | —(7) | |
Compute Health Acquisition Corp. Class A(8) | 1,754 | —(7) | |
COVA Acquisition Corp. Class A(8) | 2,800 | —(7) | |
Deep Lake Capital Acquisition Corp.(8) | 2,600 | —(7) | |
Fortress Capital Acquisition Corp.(8) | 1,965 | —(7) | |
FOXO Technologies, Inc.(8) | 1,072 | —(7) | |
Frazier Lifesciences Acquisition Corp.(8) | 3,067 | 3 | |
G Squared Ascend I, Inc.(8) | 1,150 | —(7) | |
GCM Grosvenor, Inc. Class A(8) | 4,103 | 3 | |
Goal Acquisitions Corp.(8) | 10,907 | 1 | |
Golden Falcon Acquisition Corp.(8) | 4,818 | —(7) | |
Healthcare Services Acquisition Corp.(8) | 3,750 | —(7) | |
InterPrivate II Acquisition Corp. Class A(8) | 458 | —(7) | |
Jack Creek Investment Corp. Class A(8) | 2,200 | 1 | |
KKR Acquisition Holdings I Corp. Class A(8) | 377 | —(7) | |
KL Acquisition Corp.(8) | 3,890 | —(7) | |
KludeIn I Acquisition Corp.(8) | 2,500 | —(7) | |
Longview Acquisition Corp. II(8) | 738 | —(7) | |
Marlin Technology Corp.(8) | 1,733 | —(7) | |
Moneylion, Inc.(8) | 3,781 | 1 | |
Pioneer Merger Corp.(8) | 751 | —(7) | |
Pontem Corp.(8) | 2,585 | —(7) | |
Prospector Capital Corp.(8) | 3,202 | —(7) | |
RMG Acquisition Corp. III(8) | 1,120 | —(7) | |
Rocket Internet Growth Opportunities Corp. Class A(8) | 1,217 | —(7) | |
ScION Tech Growth I(8) | 6,275 | —(7) | |
Screaming Eagle Acquisition Corp. Class A(8) | 1,139 | —(7) | |
Senior Connect Acquisition Corp. I(8) | 2,291 | —(7) | |
Slam Corp. Class A(8) | 394 | —(7) | |
Supernova Partners Acquisition Co. III Ltd(8) | 974 | —(7) | |
Thunder Bridge Capital Partners III, Inc.(8) | 507 | —(7) |
See Notes to Schedule of Investments
2
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares | Value | ||
Financials—continued | |||
Tishman Speyer Innovation Corp. II(8) | 440 | $ —(7) | |
Tuscan Holdings Corp. II(8) | 6,372 | 1 | |
VectoIQ Acquisition Corp. II(8) | 400 | —(7) | |
11 | |||
Health Care—0.0% | |||
Biote Corp.(8) | 291 | —(7) | |
Pear Therapeutics, Inc.(8) | 1,433 | —(7) | |
Quantum-Si, Inc.(8) | 3,333 | 2 | |
Talkspace, Inc.(8) | 9,468 | 3 | |
5 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc.(8) | 3,369 | 1 | |
Berkshire Grey, Inc.(8) | 311 | —(7) | |
1 | |||
Information Technology—0.0% | |||
Embark Technology, Inc.(8) | 1,533 | —(7) | |
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc.(8) | 940 | 1 | |
Total Warrants (Identified Cost $121) | 18 |
Shares/Units | ||
Special Purpose Acquisition Companies—7.1% | ||
26 Capital Acquisition Corp. Class A(8) | 7,260 | 72 |
5:01 Acquisition Corp. Class A(8) | 1,929 | 19 |
Alpha Partners Technology Merger Corp. Class A(8) | 1,697 | 17 |
AltEnergy Acquisition Corp.(8) | 487 | 5 |
Altimar Acquisition Corp. III(8) | 491 | 5 |
Andretti Acquisition Corp. Class A(8) | 1,775 | 18 |
Anzu Special Acquisition Corp. I(8) | 2,341 | 23 |
Ares Acquisition Corp.(8) | 4,300 | 43 |
Arrowroot Acquisition Corp. Class A(8) | 1,984 | 19 |
ARYA Sciences Acquisition Corp. IV Class A(8) | 3,782 | 37 |
Astrea Acquisition Corp. Class A(8) | 1,676 | 16 |
Athena Consumer Acquisition Corp.(8) | 323 | 3 |
Atlas Crest Investment Corp. II(8) | 5,300 | 52 |
Aurora Acquisition Corp. Class A(8) | 622 | 6 |
Authentic Equity Acquisition Corp.(8) | 5,000 | 50 |
Belong Acquisition Corp. Class A(8) | 479 | 5 |
Bilander Acquisition Corp. Class A(8) | 1,702 | 16 |
Biotech Acquisition Co. Class A(8) | 1,685 | 17 |
BlueRiver Acquisition Corp.(8) | 2,100 | 21 |
BOA Acquisition Corp. Class A(8) | 1,578 | 16 |
Brigade-M3 European Acquisition Corp.(8) | 960 | 9 |
Bright Lights Acquisition Corp. Class A(8) | 3,882 | 38 |
Build Acquisition Corp.(8) | 721 | 7 |
Carney Technology Acquisition Corp. II(8) | 1,233 | 12 |
Cartesian Growth Corp. Class A(8) | 1,343 | 13 |
CC Neuberger Principal Holdings III(8) | 5,400 | 54 |
Chain Bridge I Class A(8) | 2,617 | 26 |
CIIG Capital Partners II, Inc.(8) | 1,202 | 12 |
Class Acceleration Corp.(8) | 2,100 | 21 |
Climate Real Impact Solutions II Acquisition Corp.(8) | 1,100 | 11 |
Shares/Units | Value | ||
Climate Real Impact Solutions II Acquisition Corp. Class A(8) | 1,547 | $ 15 | |
Colonnade Acquisition Corp. II(8) | 2 | —(7) | |
Colonnade Acquisition Corp. II Class A(8) | 4,780 | 47 | |
Concord Acquisition Corp. Class A(8) | 1,514 | 15 | |
Concord Acquisition Corp. III Class A(8) | 3,231 | 32 | |
Conyers Park III Acquisition Corp. Class A(8) | 1,699 | 17 | |
Corazon Capital V838 Monoceros Corp. Class A(8) | 1,092 | 11 | |
COVA Acquisition Corp. Class A(8) | 5,600 | 56 | |
D & Z Media Acquisition Corp.(8) | 628 | 6 | |
D & Z Media Acquisition Corp. Class A(8) | 735 | 7 | |
Decarbonization Plus Acquisition Corp. IV Class A(8) | 7,624 | 77 | |
Elliott Opportunity II Corp. Class A(8) | 3,090 | 30 | |
Enphys Acquisition Corp.(8) | 45,300 | 442 | |
Enterprise 4.0 Technology Acquisition Corp.(8) | 484 | 5 | |
ESGEN Acquisition Corp.(8) | 565 | 6 | |
ESM Acquisition Corp.(8) | 4,782 | 47 | |
Eucrates Biomedical Acquisition Corp.(8) | 3 | —(7) | |
ExcelFin Acquisition Corp.(8) | 486 | 5 | |
ExcelFin Acquisition Corp. Class A(8) | 3,748 | 38 | |
Fifth Wall Acquisition Corp. III Class A(8) | 1,691 | 17 | |
FinServ Acquisition Corp. II(8) | 2,300 | 23 | |
Fintech Evolution Acquisition Group(8) | 1,493 | 15 | |
Fintech Evolution Acquisition Group Class A(8) | 1,503 | 15 | |
Focus Impact Acquisition Corp. Class A(8) | 3,302 | 33 | |
Fortistar Sustainable Solutions Corp.(8) | 1,909 | 19 | |
Fortress Value Acquisition Corp. III(8) | 324 | 3 | |
Fortress Value Acquisition Corp. IV(8) | 1,409 | 14 | |
Fortress Value Acquisition Corp. IV Class A(8) | 340 | 3 | |
Frazier Lifesciences Acquisition Corp.(8) | 2 | —(7) | |
Frazier Lifesciences Acquisition Corp. Class A(8) | 9,201 | 92 | |
FTAC Athena Acquisition Corp. Class A(8) | 2,220 | 22 | |
FTAC Emerald Acquisition Corp.(8) | 1,614 | 16 | |
FTAC Hera Acquisition Corp.(8) | 3,000 | 30 | |
FTAC Zeus Acquisition Corp.(8) | 323 | 3 | |
Fusion Acquisition Corp. II(8) | 2,500 | 25 | |
G Squared Ascend II, Inc.(8) | 1,000 | 10 | |
Gesher I Acquisition Corp.(8) | 481 | 5 | |
Glenfarne Merger Corp. Class A(8) | 5,536 | 54 | |
Goal Acquisitions Corp.(8) | 161 | 2 | |
Gores Holdings VIII, Inc. Class A (8) | 19 | —(7) | |
Gores Technology Partners II, Inc. Class A(8) | 175 | 2 | |
Graf Acquisition Corp. IV(8) | 717 | 7 | |
Health Assurance Acquisition Corp. Class A(8) | 1,681 | 17 | |
Hennessy Capital Investment Corp. V(8) | 1,800 | 18 | |
Home Plate Acquisition Corp. Class A(8) | 2,773 | 27 | |
Horizon Acquisition Corp. II Class A(8) | 1,536 | 15 | |
Independence Holdings Corp.(8) | 4,615 | 46 | |
Infinite Acquisition Corp.(8) | 404 | 4 | |
INSU Acquisition Corp. III Class A(8) | 1,696 | 17 | |
InterPrivate II Acquisition Corp.(8) | 1 | —(7) | |
InterPrivate II Acquisition Corp. Class A(8) | 2,290 | 23 | |
InterPrivate III Financial Partners, Inc. Class A(8) | 2,290 | 22 | |
InterPrivate IV InfraTech Partners, Inc.(8) | 2,291 | 22 | |
InterPrivate IV InfraTech Partners, Inc. Class A(8) | 2,705 | 27 | |
ION Acquisition Corp. 3 Ltd. Class A(8) | 1,554 | 15 | |
Iris Acquisition Corp.(8) | 2,062 | 20 | |
Jack Creek Investment Corp. Class A(8) | 4,400 | 44 | |
Jaws Hurricane Acquisition Corp. Class A(8) | 1,390 | 14 | |
Jaws Juggernaut Acquisition Corp.(8) | 1,047 | 10 | |
Jaws Mustang Acquisition Corp.(8) | 2,000 | 20 | |
Juniper II Corp.(8) | 2,038 | 20 | |
Juniper II Corp. Class A(8) | 2,611 | 26 | |
Khosla Ventures Acquisition Co. III Class A(8) | 1,542 | 15 |
See Notes to Schedule of Investments
3
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares/Units | Value | ||
Kismet Acquisition Three Corp. Class A(8) | 1,557 | $ 15 | |
L Catterton Asia Acquisition Corp. Class A(8) | 1,559 | 15 | |
Landcadia Holdings IV, Inc. Class A(8) | 1,543 | 15 | |
LDH Growth Corp. I Class A(8) | 1,685 | 17 | |
Liberty Media Acquisition Corp. Class A(8) | 7,757 | 77 | |
Live Oak Crestview Climate Acquisition Corp.(8) | 1,531 | 15 | |
Live Oak Mobility Acquisition Corp. Class A(8) | 809 | 8 | |
Longview Acquisition Corp. II Class A(8) | 3,690 | 36 | |
M3-Brigade Acquisition II Corp. Class A(8) | 1,524 | 15 | |
Macondray Capital Acquisition Corp. I Class A(8) | 3,046 | 31 | |
Magnum Opus Acquisition Ltd. Class A(8) | 1,529 | 15 | |
Mason Industrial Technology, Inc.(8) | 4,330 | 42 | |
MedTech Acquisition Corp. Class A(8) | 1,349 | 13 | |
Motive Capital Corp. II(8) | 3,315 | 33 | |
Mount Rainier Acquisition Corp.(8) | 5,150 | 52 | |
Newbury Street Acquisition Corp.(8) | 4,871 | 48 | |
Newcourt Acquisition Corp.(8) | 1,467 | 15 | |
Newcourt Acquisition Corp. Class A(8) | 692 | 7 | |
NewHold Investment Corp. II Class A(8) | 2,405 | 24 | |
Noble Rock Acquisition Corp.(8) | 4,313 | 43 | |
Noble Rock Acquisition Corp. Class A(8) | 2,803 | 28 | |
North Atlantic Acquisition Corp. Class A(8) | 8,867 | 88 | |
North Mountain Merger Corp. Class A(8) | 1,670 | 17 | |
Northern Genesis Acquisition Corp. III Class A(8) | 1,552 | 15 | |
Northern Star Investment Corp. II Class A(8) | 2,200 | 22 | |
Patria Latin American Opportunity Acquisition Corp.(8) | 348 | 4 | |
Peridot Acquisition Corp. II(8) | 3,846 | 38 | |
Peridot Acquisition Corp. II Class A(8) | 1,556 | 15 | |
Phoenix Biotech Acquisition Corp.(8) | 480 | 5 | |
Pioneer Merger Corp. Class A(8) | 2,253 | 22 | |
Pivotal Investment Corp. III(8) | 2,200 | 22 | |
Post Holdings Partnering Corp. Class A(8) | 2,294 | 22 | |
Progress Acquisition Corp.(8) | 615 | 6 | |
Project Energy Reimagined Acquisition Corp.(8) | 4,177 | 41 | |
PROOF Acquisition Corp. I(8) | 1,296 | 13 | |
Property Solutions Acquisition Corp. II(8) | 2,293 | 22 | |
PropTech Investment Corp. II Class A(8) | 501 | 5 | |
Pyrophyte Acquisition Corp.(8) | 652 | 7 | |
RMG Acquisition Corp. III Class A(8) | 1,700 | 17 | |
Ross Acquisition Corp. II(8) | 4,228 | 42 | |
Screaming Eagle Acquisition Corp. Class A(8) | 3,417 | 33 | |
Seaport Calibre Materials Acquisition Corp.(8) | 1,725 | 17 | |
Semper Paratus Acquisition Corp.(8) | 651 | 7 | |
Semper Paratus Acquisition Corp. Class A(8) | 2,144 | 22 | |
Shelter Acquisition Corp. I(8) | 4,500 | 45 | |
Simon Property Group Acquisition Holdings, Inc. Class A(8) | 2,295 | 23 | |
Slam Corp. Class A(8) | 1,698 | 17 | |
Soar Technology Acquisition Corp.(8) | 299 | 3 | |
Soar Technology Acquisition Corp. Class A(8) | 104 | 1 | |
Social Capital Hedosophia Holdings Corp. IV Class A(8) | 10,937 | 109 | |
Sound Point Acquisition Corp. I Ltd.(8) | 428 | 4 | |
Sustainable Development Acquisition I Corp.(8) | 5,000 | 49 | |
SVF Investment Corp. Class A(8) | 1,370 | 14 | |
Target Global Acquisition I Corp.(8) | 1,442 | 14 | |
Thunder Bridge Capital Partners III, Inc. Class A(8) | 2,535 | 25 | |
Tio Tech A Class A(8) | 2,512 | 25 | |
Tishman Speyer Innovation Corp. II Class A(8) | 2,200 | 22 | |
Twelve Seas Investment Co. II(8) | 904 | 9 | |
TZP Strategies Acquisition Corp.(8) | 5,434 | 54 | |
VectoIQ Acquisition Corp. II Class A(8) | 2,000 | 20 | |
Viscogliosi Brothers Acquisition Corp.(8) | 569 | 6 | |
Warburg Pincus Capital Corp. I Class A(8) | 1,541 | 15 |
Shares/Units | Value | ||
Z-Work Acquisition Corp. Class A(8) | 1,154 | $ 11 | |
Total Special Purpose Acquisition Companies (Identified Cost $3,886) | 3,883 |
Shares | ||
Purchased Options—0.3% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $82) | 147 | |
Private Investments in Public Equity—0.0% | ||
MarketWise, Inc.(8) | 1,083 | 2 |
Total Private Investments in Public Equity (Identified Cost $11) | 2 | |
Escrow Notes—1.6% | ||
Information Technology—1.6% | ||
Altaba, Inc. Escrow(8) | 225,250 | 856 |
Total Escrow Notes (Identified Cost $757) | 856 | |
Total Long-Term Investments—92.9% (Identified Cost $54,329) | 50,656 | |
Short-Term Investments—5.7% | ||
Money Market Mutual Funds—5.7% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 2.758%)(9) | 1,900,000 | 1,900 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 2.901%)(9) | 1,207,646 | 1,208 |
Total Short-Term Investments (Identified Cost $3,108) | 3,108 | |
Securities Lending Collateral—2.3% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.748%)(9)(10) | 1,264,880 | 1,265 |
Total Securities Lending Collateral (Identified Cost $1,265) | 1,265 | |
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—100.9% (Identified Cost $58,702) | 55,029 | |
Securities Sold Short—(0.7)% |
Par Value | ||
U.S. Government Security—(0.7)% | ||
U.S. Treasury Notes 3.250%, 6/30/29 | $ (398) | (380) |
Total Securities Sold Short (Identified Proceeds $(407)) | (380) |
See Notes to Schedule of Investments
4
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Value | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $24) | $ (29) | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—100.2% (Identified Cost $58,271) | $54,620 | |
Other assets and liabilities, net—(0.2)% | (98) | |
NET ASSETS—100.0% | $54,522 |
Abbreviations: | |
AMT | Alternative Minimum Tax |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLP | Limited Liability Partnership |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, these securities amounted to a value of $31,237 or 57.3% of net assets. |
(2) | All or a portion of security is on loan. |
(3) | All or a portion of the shares have been committed as collateral for open written option contracts and swap contracts. The value of securities segregated as collateral is $162. |
(4) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(5) | Variable rate security. Rate disclosed is as of September 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. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | Amount is less than $500. |
(8) | Non-income producing. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(10) | Represents security purchased with cash collateral received for securities on loan. |
Counterparties: | |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Country Weightings† | |
United States | 86% |
Cayman Islands | 9 |
Luxembourg | 5 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of September 30, 2022. |
Open purchased options contracts as of September 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
iShares iBoxx High Yield Corporate Bond ETF | 120 | $864 | $72.00 | 10/21/22 | $21 |
iShares iBoxx High Yield Corporate Bond ETF | 315 | 2,363 | 75.00 | 10/21/22 | 126 |
Total Purchased Options | $147 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options. |
Open written options contracts as of September 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
iShares iBoxx High Yield Corporate Bond ETF | (315) | $(2,205) | $70.00 | 10/21/22 | $(26) |
See Notes to Schedule of Investments
5
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Open written options contracts as of September 30, 2022 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) (continued) | |||||
iShares iBoxx High Yield Corporate Bond ETF | (120) | $(804) | $67.00 | 10/21/22 | $(3) |
Total Written Options | $(29) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. |
Over-the-counter total return swaps outstanding as of September 30, 2022 were as follows: | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |
Long Total Return Swap Contracts | ||||||||||
10X Capital Venture Acquisition Corp. II | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | $53 | $— (3) | $— (3) | $— | |
Accelerate Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 09/04/23 | 47 | — (3) | — (3) | — | |
Adit Edtech Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/30/23 | 35 | — (3) | — (3) | — | |
Afternext Healthtech Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 04/04/23 | 257 | 3 | 3 | — | |
Apollo Tactical Income Fund, Inc. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 04/04/23 | 462 | (89) | — | (89) | |
Ares Dynamic Credit Allocation Fund, Inc. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 04/04/23 | 217 | (44) | — | (44) | |
Avanti Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/27/23 | 137 | 3 | 3 | — | |
Blackrock Debt Strategies Fund, Inc. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 04/04/23 | 222 | (36) | — | (36) | |
Blackrock Floating Rate Income Strategies Fund, Inc. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 02/20/23 | 20 | (4) | — | (4) | |
Blackrock Floating Rate Income Strategies Fund, Inc. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 02/27/23 | 10 | (2) | — | (2) | |
Blackrock Floating Rate Income Strategies Fund, Inc. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 03/03/23 | 10 | (1) | — | (1) | |
Blackrock Floating Rate Income Strategies Fund, Inc. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 10/23/23 | 33 | (1) | — | (1) | |
Catalyst Partners Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/17/23 | 429 | 7 | 7 | — | |
Cazoo Group Ltd. | Receive | (15.020)% ((18.000)% + SOFR ) | 1 Month | GS | 12/26/22 | 24 | (23) | — | (23) | |
Churchill Capital Corp VII | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 33 | — (3) | — (3) | — | |
Ciig Capital Partners II, Inc. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 417 | 3 | 3 | — | |
Compute Health Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/02/23 | 69 | — (3) | — (3) | — | |
Concord Acquisition Corp II | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 428 | (—) (3) | — | (— ) (3) | |
Conx Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 09/04/23 | 43 | — (3) | — (3) | — | |
Deep Lake Capital Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/18/23 | 51 | 1 | 1 | — | |
Diamondhead Holdings Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 05/18/23 | 109 | — (3) | — (3) | — | |
DMY Technology Group Inc VI | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 414 | 8 | 8 | — | |
Doubleline Income Solutions Fund | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 04/04/23 | 218 | (56) | — | (56) |
See Notes to Schedule of Investments
6
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Over-the-counter total return swaps outstanding as of September 30, 2022 were as follows (continued): | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |
Dragoneer Growth Opportunities Corp. III | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/17/23 | $440 | $2 | $2 | $— | |
Elliott Opportunity II Corp. | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/09/22 | 54 | (1) | — | (1) | |
Far Peak Acquisition Corp. | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 11/21/22 | 71 | (1) | — | (1) | |
Fat Projects Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 49 | (—) (3) | — | (— ) (3) | |
Fintech Acquisition Corp VI | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/08/22 | 101 | (1) | — | (1) | |
First Trust Senior Floating Rate Income Fund II | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 04/04/23 | 236 | (39) | — | (39) | |
Fortress Capital Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/14/23 | 97 | 1 | 1 | — | |
Fortress Value Acquisition Corp III | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/17/23 | 430 | 6 | 6 | — | |
FTAC Parnassus Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/17/23 | 428 | 5 | 5 | — | |
G Squared Ascend I, Inc. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/09/23 | 72 | — (3) | — (3) | — | |
Goal Acquisitions Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/08/23 | 107 | — (3) | — (3) | — | |
Golden Falcon Acquisition Corp. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 06/27/23 | 95 | 1 | 1 | — | |
Gores Holdings VII, Inc. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 413 | 5 | 5 | — | |
Gores Technology Partners, Inc. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 419 | 2 | 2 | — | |
Healthcare Services Acquisition Corp. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 06/27/23 | 74 | 1 | 1 | — | |
Hennessy Capital Investment Corp VI | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/02/23 | 212 | 2 | 2 | — | |
Hudson Executive Investment Corp II | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/09/22 | 55 | (1) | — | (1) | |
Invesco Dynamic | Pay | 4.170% (1.10% + OBFR) | 1 Month | GS | 02/24/23 | 5 | (—) (3) | — | (— ) (3) | |
Invesco Dynamic | Pay | 3.450% (0.380% + OBFR) | 3 Month | JPM | 12/19/22 | 38 | (1) | — | (1) | |
Invesco Dynamic | Pay | 3.450% (0.380% + OBFR) | 3 Month | JPM | 10/19/23 | —(3) | 3 | 3 | — | |
Invesco Senior Income Trust | Pay | 3.510% (0.440% + OBFR) | 3 Month | JPM | 02/13/23 | 288 | (47) | — | (47) | |
Invesco Senior Income Trust | Pay | 3.510% (0.440% + OBFR) | 3 Month | JPM | 02/20/23 | 20 | (3) | — | (3) | |
Invesco Senior Income Trust | Pay | 3.510% (0.440% + OBFR) | 3 Month | JPM | 02/27/23 | 16 | (2) | — | (2) | |
Invesco Senior Income Trust | Pay | 3.510% (0.440% + OBFR) | 3 Month | JPM | 02/24/23 | 226 | (28) | — | (28) | |
Invesco Senior Income Trust | Pay | 3.510% (0.440% + OBFR) | 3 Month | JPM | 10/23/23 | 49 | — (3) | — (3) | — | |
Jaws Juggernaut Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 419 | 4 | 4 | — | |
Kairos Acquisition Corp. | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 11/21/22 | 99 | (1) | — | (1) | |
Kensington Capital Acquisition Corp. V | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/29/22 | 76 | (3) | — | (3) | |
Khosla Ventures Acquisition Co. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 425 | 4 | 4 | — | |
KKR Acquisition Holdings I Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/02/23 | 82 | — (3) | — (3) | — | |
Kl Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 06/23/23 | 114 | 1 | 1 | — | |
Lerer Hippeau Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 09/04/23 | 45 | (—) (3) | — | (— ) (3) | |
Marlin Technology Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/22/23 | 51 | — (3) | — (3) | — | |
Medicus Sciences Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 05/04/23 | 108 | 1 | 1 | — | |
Music Acquisition Corp.(The) | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/09/22 | 54 | (1) | — | (1) | |
New Vista Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 05/04/23 | 109 | — (3) | — (3) | — |
See Notes to Schedule of Investments
7
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Over-the-counter total return swaps outstanding as of September 30, 2022 were as follows (continued): | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |||
Nuveen Credit Strategies Income Fund | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 04/04/23 | $457 | $(72) | $— | $(72) | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 06/26/23 | 79 | (12) | — | (12) | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 3.450% (0.380% + OBFR) | 3 Month | JPM | 10/23/23 | 7 | (—) (3) | — | (— ) (3) | |||
Omega Alpha SPAC | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/18/23 | 48 | — (3) | — (3) | — | |||
One Equity Partners Open Water I Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/28/23 | 158 | — (3) | — (3) | — | |||
Pershing Square Escrow | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/28/23 | — | 1 | 1 | — | |||
Pontem Corp. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 06/27/23 | 76 | 1 | 1 | — | |||
Prospector Capital Corp. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 06/27/23 | 94 | 1 | 1 | — | |||
Quantum-Si, Inc. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 06/23/23 | 33 | (10) | — | (10) | |||
Revolution Healthcare Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/17/23 | 445 | 5 | 5 | — | |||
RMG Acquisition Corp. III | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 08/29/23 | 55 | 1 | 1 | — | |||
Rocket Internet Growth Opportunities Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 48 | — (3) | — (3) | — | |||
Saba Capital Income & Opportunities Fund | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 06/23/23 | 217 | (8) | — | (8) | |||
Saba Capital Income & Opportunities Fund | Pay | 3.450% (0.380% + OBFR) | 3 Month | JPM | 06/23/23 | 3 | (—) (3) | — | (— ) (3) | |||
ScION Tech Growth II | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/09/22 | 56 | — (3) | — (3) | — | |||
SCP & Co Healthcare Acquisition Co. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/28/23 | 158 | (1) | — | (1) | |||
Senior Connect Acquisition Corp I | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 09/04/23 | 45 | — (3) | — (3) | — | |||
Social Capital Suvretta Holdings Corp. II | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 409 | 6 | 6 | — | |||
Supernova Partners Acquisition Co. III Ltd. | Pay | 4.190% (1.210% + SOFR ) | 1 Month | GS | 12/29/22 | 474 | 8 | 8 | — | |||
SVF Investment Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 422 | 8 | 8 | — | |||
TCV Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 53 | (—) (3) | — | (— ) (3) | |||
Thrive Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 42 | — (3) | — (3) | — | |||
TLGY Acquisition Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 43 | — (3) | — (3) | — | |||
Tortoiseecofin Acquisition Corp. III | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 10/02/23 | 79 | 1 | 1 | — | |||
TPG Pace Beneficial II Corp. | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 03/23/23 | 414 | — (3) | — (3) | — | |||
VY Global Growth | Pay | 4.280% (1.210% + OBFR) | 1 Month | GS | 09/04/23 | 44 | — (3) | — (3) | — | |||
(393) | 95 | (488) | ||||||||||
Total | $(393) | $95 | $(488) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | There were no upfront premiums paid or received for the open swap contracts held |
(3) | Amount is less than $500. |
See Notes to Schedule of Investments
8
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of September 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 September 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $38,404 | $— | $38,404 | $— | |||
Leveraged Loans | 2,127 | — | 1,963 | 164 | |||
Convertible Bonds and Notes | 4,326 | — | 4,326 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 783 | 783 | — | — | |||
Closed End Fund | 98 | 98 | — | — | |||
Escrow Notes | 856 | — | 856 | — | |||
Special Purpose Acquisition Companies | 3,883 | 3,883 | — | — | |||
Warrants | 18 | 18 | — | — | |||
Private Investments in Public Equity | 2 | 2 | — | — | |||
Rights | —(1) | — | — | —(1) | |||
Common Stocks | 12 | 12 | — | — | |||
Money Market Mutual Funds | 3,108 | 3,108 | — | — | |||
Securities Lending Collateral | 1,265 | 1,265 | — | — | |||
Other Financial Instruments:* | |||||||
Purchased Options | 147 | 147 | — | — | |||
Over-the-Counter Total Return Swaps | 95 | — | 95 | — | |||
Total Investments, Before Securities Sold Short and Written Options | 55,124 | 9,316 | 45,644 | 164 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
U.S. Government Security | (380) | — | (380) | — | |||
Other Financial Instruments:* | |||||||
Written Options | (29) | (29) | — | — | |||
Over-the-Counter Total Return Swaps | (488) | — | (488) | — | |||
Total Liabilities | (897) | (29) | (868) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $54,227 | $9,287 | $44,776 | $164 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
* | Swap contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
Security held by the Fund with an end of period value of $9 was transferred from Level 3 to Level 1 due to an increase in trading activities at period end.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Leveraged Loans | Rights | Common Stocks | ||||
Investments in Securities | |||||||
Balance as of December 31, 2021: | $ 352 | $ 325 | $ —(a) | $ 27 | |||
Accrued discount/(premium) | 1 | 1 | — | — | |||
Net realized gain (loss) | —(b) | —(b) | — | — | |||
Net change in unrealized appreciation (depreciation)(c) | (12) | 6 | — | (18) | |||
Sales(d) | (168) | (168) | — | — | |||
Transfers from Level 3(e) | (9) | — | — | (9) | |||
Balance as of September 30, 2022 | $ 164 | $ 164 | $ —(a) | $ — |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) Amount is less than $500.
See Notes to Schedule of Investments
9
VIRTUS Westchester Credit Event Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
(c) The net change in unrealized appreciation (depreciation) on investments still held at September 30, 2022, was $(12).
(d) Includes paydowns on securities.
(e)“Transfers into and/or from” represent the ending value as of September 30, 2022, for any investment security where a change in the pricing level occurred from the beginning to the end of the period.
See Notes to Schedule of Investments
10
VIRTUS WESTCHESTER CREDIT EVENT FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
September 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 instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
11