VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—2.2% | |||
Communication Services—1.2% | |||
Radius Global Infrastructure, Inc. 144A 2.500%, 9/15/26(1) | $ 4,343 | $ 4,224 | |
Health Care—1.0% | |||
Oak Street Health, Inc. 0.000%, 3/15/26 | 3,406 | 3,356 | |
Total Convertible Bonds and Notes (Identified Cost $7,454) | 7,580 | ||
Corporate Bonds and Notes—20.4% | |||
Communication Services—5.6% | |||
Allen Media LLC 144A 10.500%, 2/15/28(1) | 3,724 | 2,039 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.500%, 6/1/29(1) | 2,780 | 1,976 | |
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 3,171 | 2,981 | |
Getty Images, Inc. 144A 9.750%, 3/1/27(1)(2) | 6,637 | 6,629 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 1,241 | 930 | |
Lagardere S.A. | |||
RegS 2.125%, 10/16/26(3) | 1,500EUR | 1,580 | |
RegS 1.750%, 10/7/27(3) | 1,200EUR | 1,265 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 1,138 | 993 | |
5.000%, 9/15/29 | 1,470 | 1,270 | |
19,663 | |||
Consumer Discretionary—2.9% | |||
Aramark Services, Inc. | |||
144A 5.000%, 4/1/25(1) | 905 | 891 | |
144A 6.375%, 5/1/25(1) | 5,886 | 5,929 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(1) | 3,366 | 3,332 | |
10,152 | |||
Consumer Staples—1.9% | |||
Diamond BC B.V. 144A 4.625%, 10/1/29(1)(4) | 998 | 972 | |
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 3,268 | 2,889 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1) | 2,791 | 2,831 | |
6,692 | |||
Energy—1.4% | |||
CONSOL Energy, Inc. 144A 11.000%, 11/15/25(1) | 1,624 | 1,662 | |
Valaris Ltd. PIK 144A 8.250%, 4/30/28(1)(5) | 3,087 | 3,133 | |
4,795 | |||
Financials—2.0% | |||
MoneyGram International, Inc. 144A 5.375%, 8/1/26(1) | 3,481 | 3,490 |
Par Value | Value | ||
Financials—continued | |||
ROCC Holdings LLC 144A 9.250%, 8/15/26(1) | $ 1,645 | $ 1,733 | |
United Airlines, Inc. Pass-Through Trust 2016-2, B 3.650%, 10/7/25 | 837 | 777 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 930 | 930 | |
6,930 | |||
Health Care—0.7% | |||
Mallinckrodt International Finance S.A. 144A 10.000%, 4/15/25(1) | 2,837 | 2,411 | |
Industrials—3.4% | |||
Bombardier, Inc. 144A 7.875%, 4/15/27(1) | 1,474 | 1,492 | |
Cengage Learning, Inc. 144A 9.500%, 6/15/24(1) | 7,075 | 6,841 | |
IEA Energy Services LLC 144A 6.625%, 8/15/29(1) | 1,111 | 1,058 | |
Seaspan Corp. RegS, 144A 6.500%, 4/29/26(1) | 800 | 804 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 1,702 | 1,703 | |
11,898 | |||
Information Technology—1.6% | |||
NCR Corp. 144A 6.125%, 9/1/29(1) | 2,597 | 2,561 | |
Viasat, Inc. 144A 5.625%, 4/15/27(1) | 3,139 | 2,948 | |
5,509 | |||
Materials—0.9% | |||
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(1) | 3,503 | 3,237 | |
Total Corporate Bonds and Notes (Identified Cost $75,805) | 71,287 | ||
Leveraged Loans—4.6% | |||
Chemicals—0.8% | |||
Diamond BC B.V. Tranche B (3 month LIBOR + 2.750%) 7.385% - 7.575%, 9/29/28(6)(7) | 2,851 | 2,838 | |
Health Care—1.3% | |||
Mallinckrodt International Finance S.A. 2017 (1 month LIBOR + 5.250%) 9.978%, 9/30/27(7) | 2,804 | 2,015 | |
Verscend Holding Corp. Tranche B (1 month LIBOR + 4.000%) 8.840%, 8/27/25(7) | 2,556 | 2,551 | |
4,566 | |||
See Notes to Schedule of Investments
1
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Par Value | Value | ||
Information Technology—2.2% | |||
Maxar Technologies Ltd. (1 month Term SOFR + 4.350%) 9.157%, 6/14/29(7) | $ 5,177 | $ 5,174 | |
RentPath LLC Tranche B-1, First Lien (3 month Prime + 3.750%) 11.750%, 4/25/24(7)(8)(9) | 150 | — | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 11.898%, 5/13/27(7) | 2,786 | 2,454 | |
7,628 | |||
Retail—0.1% | |||
Claire’s Stores, Inc. Tranche B (1 month LIBOR + 6.500%) 11.340%, 12/18/26(7) | 255 | 228 | |
Utility—0.2% | |||
Talen Energy Supply LLC DIP (3 Month Term SOFR + 4.750%) 9.506% - 9.567%, 11/11/23(7) | 925 | 924 | |
Total Leveraged Loans (Identified Cost $17,347) | 16,184 |
Shares | ||
Closed End Funds—1.1% | ||
Equity Funds—1.1% | ||
Apollo Senior Floating Rate Fund, Inc. | 11,127 | 140 |
Apollo Tactical Income Fund, Inc. | 64,106 | 777 |
Ares Dynamic Credit Allocation Fund, Inc. | 8,750 | 105 |
BlackRock Debt Strategies Fund, Inc. | 12,453 | 118 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 9,611 | 112 |
First Trust Senior Floating Rate Income Fund II | 11,712 | 117 |
Franklin Universal Trust(4) | 102,050 | 728 |
Invesco Senior Income Trust | 64,480 | 237 |
Nuveen Credit Strategies Income Fund | 149,962 | 766 |
Nuveen New York AMT-Free Quality Municipal Income Fund | 58,257 | 616 |
Saba Capital Income & Opportunities Fund | 29,430 | 240 |
3,956 | ||
Total Closed End Funds (Identified Cost $4,875) | 3,956 | |
Preferred Stocks—0.5% | ||
Consumer Discretionary—0.2% | ||
Fossil Group, Inc., 7.000% | 31,540 | 569 |
Financials—0.2% | ||
Federal Home Loan Mortgage Corp., 8.375%(7) | 303,116 | 482 |
Federal National Mortgage Association, 8.250%(7) | 234,232 | 403 |
885 | ||
Shares | Value | ||
Information Technology—0.1% | |||
Babcock & Wilcox Enterprises, Inc., 6.500% | 9,818 | $ 213 | |
Total Preferred Stocks (Identified Cost $2,527) | 1,667 | ||
Common Stocks—34.7% | |||
Communication Services—4.0% | |||
Activision Blizzard, Inc. | 126,956 | 10,866 | |
Shaw Communications, Inc. Class B | 101,006 | 3,021 | |
13,887 | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd.(10) | 3,098 | 8 | |
Consumer Staples—2.2% | |||
Kellogg Co.(2) | 113,000 | 7,567 | |
TPCO Holding Corp.(10) | 16,310 | 2 | |
7,569 | |||
Energy—0.2% | |||
Euronav N.V. | 23,878 | 401 | |
Ranger Oil Corp. Class A | 8,230 | 336 | |
737 | |||
Financials—4.1% | |||
Argo Group International Holdings Ltd. | 30,338 | 889 | |
Fidelity National Information Services, Inc. | 51,800 | 2,814 | |
First Horizon Corp. | 551,784 | 9,811 | |
Focus Financial Partners, Inc. Class A(10) | 12,312 | 639 | |
MarketWise, Inc.(10) | 12,707 | 23 | |
MoneyGram International, Inc.(10) | 30,053 | 313 | |
14,489 | |||
Health Care—9.0% | |||
Baxter International, Inc. | 145,200 | 5,889 | |
Horizon Therapeutics plc(2)(10) | 156,655 | 17,097 | |
NuVasive, Inc.(10) | 2,795 | 116 | |
Oak Street Health, Inc.(2)(10) | 155,047 | 5,997 | |
Quantum-Si, Inc.(10) | 40,418 | 71 | |
Seagen, Inc.(10) | 11,992 | 2,428 | |
31,598 | |||
Industrials—7.9% | |||
Aerojet Rocketdyne Holdings, Inc.(10) | 127,785 | �� | 7,178 |
Emerson Electric Co.(2) | 94,100 | 8,200 | |
Griffon Corp.(2) | 190,800 | 6,107 | |
Univar Solutions, Inc.(10) | 171,946 | 6,023 | |
27,508 | |||
Information Technology—5.2% | |||
National Instruments Corp. | 71,875 | 3,767 | |
Rogers Corp.(10) | 7,100 | 1,160 | |
Silicon Motion Technology Corp. ADR | 19,655 | 1,288 | |
Sumo Logic, Inc.(10) | 24,418 | 293 | |
Tower Semiconductor Ltd.(10) | 38,144 | 1,620 |
See Notes to Schedule of Investments
2
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Shares | Value | ||
Information Technology—continued | |||
VMware, Inc. Class A(2)(10) | 79,129 | $ 9,879 | |
18,007 | |||
Materials—2.1% | |||
Vale S.A. Class B Sponsored ADR | 101,100 | 1,596 | |
Valvoline, Inc. | 60,956 | 2,130 | |
Yamana Gold, Inc. | 639,206 | 3,739 | |
7,465 | |||
Total Common Stocks (Identified Cost $123,748) | 121,268 | ||
Rights—0.1% | |||
Health Care—0.1% | |||
Akouos, Inc., 12/31/23(10) | 26,079 | 29 | |
Bristol Myers Squibb Co., 12/31/35(8)(10) | 169,085 | 212 | |
241 | |||
Materials—0.0% | |||
Pan American Silver Corp., 02/22/24(10) | 322,499 | 177 | |
Total Rights (Identified Cost $209) | 418 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A., 12/31/24(8)(10) | 35,748 | — | |
BuzzFeed, Inc., 12/01/26(10) | 17,099 | 2 | |
2 | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd., 08/26/26(10) | 63,999 | —(11) | |
CEC Brands LLC, 12/31/25(8)(10) | 45,120 | 135 | |
ECARX Holdings, Inc., 12/21/27(10) | 27,750 | 4 | |
Grove Collaborative Holdings, 06/16/27(10) | 20,136 | 1 | |
Kaixin Auto Holdings, 04/30/24(10) | 48,712 | 1 | |
Reebonz Holding Ltd., 12/19/23(8)(10) | 23,859 | — | |
141 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc., 06/25/25(10) | 30,942 | 3 | |
Financials—0.1% | |||
26 Capital Acquisition Corp., 12/31/27(10) | 25,800 | 1 | |
Achari Ventures Holdings Corp. I, 10/15/26(10) | 28,624 | 1 | |
Altimar Acquisition Corp. III, 12/31/28(10) | 3,003 | —(11) | |
Ares Acquisition Corp., 12/31/27(10) | 21,726 | 19 | |
Arrowroot Acquisition Corp., 03/02/26(10) | 60,113 | 7 | |
Athena Consumer Acquisition Corp., 07/31/28(10) | 3,395 | —(11) | |
BYTE Acquisition Corp., 12/31/28(10) | 256,226 | 25 | |
CF Acquisition Corp. VIII, 12/31/27(10) | 14,261 | 1 | |
CIIG Capital Partners II, Inc., 02/28/28(10) | 13,420 | 2 | |
Compute Health Acquisition Corp. Class A, 12/31/27(10) | 21,781 | 9 | |
Corner Growth Acquisition Corp., 12/31/27(10) | 20,673 | 2 |
Shares | Value | ||
Financials—continued | |||
Enterprise 4.0 Technology Acquisition Corp., 09/24/23(10) | 5,091 | $ —(11) | |
ESGEN Acquisition Corp., 06/28/23(10) | 5,942 | —(11) | |
ExcelFin Acquisition Corp., 07/05/23(10) | 5,123 | —(11) | |
FTAC Emerald Acquisition Corp., 08/22/28(10) | 17,092 | 2 | |
Fusion Acquisition Corp. II, 12/31/27(10) | 5,166 | —(11) | |
G Squared Ascend II, Inc., 12/31/26(10) | 4,364 | —(11) | |
GCM Grosvenor, Inc. Class A, 11/17/25(10) | 28,825 | 16 | |
Global Blockchain Acquisition Corp., 05/10/27(10) | 60,562 | 2 | |
Goal Acquisitions Corp., 02/11/26(10) | 272,843 | 8 | |
Golden Falcon Acquisition Corp., 11/04/26(10) | 62,637 | 15 | |
International Media Acquisition Corp., 12/31/28(10) | 18,227 | 1 | |
Kensington Capital Acquisition Corp. V, 07/19/23(10) | 48,984 | 12 | |
Moneylion, Inc., 09/22/26(10) | 53,893 | 3 | |
Motive Capital Corp. II, 05/15/28(10) | 29,324 | 5 | |
Near Intelligence, Inc., 07/08/27(10) | 10,000 | 1 | |
Newbury Street Acquisition Corp., 12/31/27(10) | 28,549 | 1 | |
Phoenix Biotech Acquisition Corp., 09/01/26(10) | 5,078 | —(11) | |
Plum Acquisition Corp. I, 12/31/28(10) | 17,325 | 3 | |
Pontem Corp., 12/31/27(10) | 49,791 | 9 | |
PROOF Acquisition Corp. I, 12/03/28(10) | 13,646 | 1 | |
Prospector Capital Corp., 01/01/25(10) | 58,973 | 6 | |
Pyrophyte Acquisition Corp., 12/17/23(10) | 6,863 | 1 | |
RMG Acquisition Corp. III, 12/31/27(10) | 20,895 | 3 | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(10) | 19,630 | 4 | |
Semper Paratus Acquisition Corp., 11/04/26(10) | 6,900 | —(11) | |
Senior Connect Acquisition Corp. I, 12/31/27(10) | 25,144 | 1 | |
Slam Corp. Class A, 12/31/27(10) | 8,351 | 2 | |
Target Global Acquisition I Corp., 12/31/27(10) | 10,328 | 1 | |
Thunder Bridge Capital Partners III, Inc., 02/15/28(10) | 28,698 | 4 | |
168 | |||
Health Care—0.0% | |||
Biote Corp., 02/12/27(10) | 7,203 | 3 | |
Newamsterdam Pharma Co. N.V., 11/22/27(10) | 17,838 | 33 | |
Pear Therapeutics, Inc., 12/01/26(10) | 36,173 | 1 | |
Quantum-Si, Inc., 09/30/27(10) | 17,647 | 2 | |
Talkspace, Inc., 06/21/25(10) | 55,361 | 5 | |
44 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 09/14/27(10) | 27,068 | 14 | |
Bridger Aerospace Group Holdings, Inc., 01/25/28(10) | 27,000 | 5 | |
Freightos Ltd., 01/23/28(10) | 4,398 | 1 | |
Getaround, Inc., 03/09/26(10) | 11,166 | —(11) | |
Shapeways Holdings, Inc., 10/31/26(10) | 126,337 | 3 | |
23 | |||
Information Technology—0.0% | |||
Embark Technology, Inc., 12/31/27(10) | 19,566 | —(11) | |
FOXO Technologies, Inc., 08/01/27(10) | 26,187 | 1 | |
Movella Holdings, Inc., 12/31/27(10) | 11,102 | 2 | |
3 | |||
See Notes to Schedule of Investments
3
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Shares | Value | ||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 08/01/26(10) | 11,400 | $ 2 | |
Total Warrants (Identified Cost $3,411) | 386 |
Shares/Units | ||
Special Purpose Acquisition Companies—22.8% | ||
10X Capital Venture Acquisition Corp. II Class A(10) | 75,178 | 766 |
7 Acquisition Corp. Class A(10) | 109,257 | 1,141 |
A SPAC II Acquisition Corp.(10) | 32,124 | 334 |
Acropolis Infrastructure Acquisition Corp. Class A(10) | 41,555 | 421 |
AfterNext HealthTech Acquisition Corp. Class A(10) | 43,355 | 443 |
Ahren Acquisition Corp. Class A(10) | 18,889 | 197 |
Alpha Healthcare Acquisition Corp. III Class A(10) | 18,508 | 188 |
Alpha Partners Technology Merger Corp. Class A(10) | 36,400 | 372 |
AltC Acquisition Corp. Class A(10) | 26,585 | 270 |
AltEnergy Acquisition Corp.(10) | 10,320 | 108 |
Andretti Acquisition Corp. Class A(10) | 36,641 | 385 |
AP Acquisition Corp. Class A(10) | 10,966 | 116 |
Apollo Strategic Growth Capital II Class A(10) | 319,407 | 3,274 |
Ares Acquisition Corp. Class A(10) | 86,904 | 897 |
Arrowroot Acquisition Corp. Class A(10) | 54,880 | 563 |
ARYA Sciences Acquisition Corp. IV Class A(10) | 6,881 | 71 |
Athena Technology Acquisition Corp. II Class A(10) | 40,122 | 411 |
Aura FAT Projects Acquisition Corp. Class A(10) | 30,184 | 318 |
Aurora Technology Acquisition Corp. Class A(10) | 50,100 | 520 |
B Riley Principal 250 Merger Corp. Class A(10) | 50,681 | 515 |
Bannix Acquisition Corp.(10) | 1,688 | 18 |
Battery Future Acquisition Corp. Class A(10) | 135,132 | 1,411 |
Bilander Acquisition Corp. Class A(10) | 35,783 | 361 |
Black Spade Acquisition Co. Class A(10) | 1,642 | 17 |
bleuacacia Ltd. Class A(10) | 98,827 | 1,012 |
Blue Ocean Acquisition Corp. Class A(10) | 66,839 | 697 |
Brigade-M3 European Acquisition Corp.(10) | 20,623 | 208 |
Bullpen Parlay Acquisition Co. Class A(10) | 30,842 | 321 |
C5 Acquisition Corp. Class A(10) | 50,166 | 524 |
Cactus Acquisition Corp. 1 Ltd.(10) | 47,201 | 492 |
Canna-Global Acquisition Corp. Class A(10) | 8,772 | 92 |
Capitalworks Emerging Markets Acquisition Corp. Class A(10) | 5,381 | 56 |
Cartesian Growth Corp. II(10) | 17,398 | 183 |
Cartica Acquisition Corp. Class A(10) | 66,430 | 700 |
CC Neuberger Principal Holdings III(10) | 54,900 | 568 |
Cetus Capital Acquisition Corp.(10) | 14,850 | 150 |
Chenghe Acquisition Co. Class A(10) | 14,413 | 151 |
Churchill Capital Corp. VII Class A(10) | 165,098 | 1,674 |
CIIG Capital Partners II, Inc. Class A(10) | 52,752 | 549 |
Coliseum Acquisition Corp. Class A(10) | 18,989 | 194 |
Compass Digital Acquisition Corp.(10) | 3,302 | 34 |
Concord Acquisition Corp. II Class A(10) | 55,358 | 561 |
Concord Acquisition Corp. III Class A(10) | 76,540 | 793 |
Consilium Acquisition Corp. I Ltd.(10) | 59,018 | 611 |
Conyers Park III Acquisition Corp. Class A(10) | 36,115 | 365 |
Corazon Capital V838 Monoceros Corp. Class A(10) | 39,945 | 408 |
Corsair Partnering Corp. Class A(10) | 42,120 | 430 |
Distoken Acquisition Corp.(10) | 32,004 | 325 |
dMY Technology Group, Inc. VI(10) | 33,751 | 343 |
DP Cap Acquisition Corp. I Class A(10) | 25,438 | 266 |
EG Acquisition Corp. Class A(10) | 46,007 | 468 |
Elliott Opportunity II Corp.(10) | 6,229 | 64 |
Elliott Opportunity II Corp. Class A(10) | 204,236 | 2,092 |
Embrace Change Acquisition Corp.(10) | 15,932 | 166 |
Shares/Units | Value | ||
Enphys Acquisition Corp.(10) | 160 | $ 2 | |
Enterprise 4.0 Technology Acquisition Corp.(10) | 15,943 | 167 | |
ExcelFin Acquisition Corp. Class A(10) | 84,787 | 881 | |
Fat Projects Acquisition Corp.(10) | 35,812 | 374 | |
Fifth Wall Acquisition Corp. III Class A(10) | 43,031 | 440 | |
Focus Impact Acquisition Corp. Class A(10) | 33,274 | 345 | |
Forbion European Acquisition Corp. Class A(10) | 26,962 | 284 | |
Freedom Acquisition I Corp. Class A(10) | 35,846 | 370 | |
Frontier Investment Corp. Class A(10) | 10,911 | 112 | |
FTAC Emerald Acquisition Corp. Class A(10) | 40,484 | 414 | |
FTAC Zeus Acquisition Corp. Class A(10) | 127,457 | 1,312 | |
Fusion Acquisition Corp. II Class A(10) | 24,143 | 245 | |
G Squared Ascend II, Inc. Class A(10) | 16,899 | 174 | |
Global Systems Dynamics, Inc. Class A(10) | 18,413 | 195 | |
Global Technology Acquisition Corp. I Class A(10) | 68,170 | 713 | |
Goal Acquisitions Corp.(10) | 138,123 | 1,412 | |
Gores Holdings IX, Inc. Class A(10) | 89,523 | 902 | |
Green Visor Financial Technology Acquisition Corp. I Class A(10) | 110,365 | 1,161 | |
GSR II Meteora Acquisition Corp. Class A(10) | 46,990 | 480 | |
Hainan Manaslu Acquisition Corp.(10) | 68,000 | 703 | |
HCM Acquisition Corp. Class A(10) | 89,038 | 935 | |
Healthcare AI Acquisition Corp. Class A(10) | 66,159 | 691 | |
HH&L Acquisition Co. Class A(10) | 66,946 | 692 | |
Home Plate Acquisition Corp. Class A(10) | 26,536 | 272 | |
Iconic Sports Acquisition Corp. Class A(10) | 28,542 | 300 | |
Inception Growth Acquisition Ltd.(10) | 19,100 | 197 | |
Infinite Acquisition Corp.(10) | 8,587 | 90 | |
Infinite Acquisition Corp. Class A(10) | 66,630 | 694 | |
InFinT Acquisition Corp. Class A(10) | 13,143 | 139 | |
Insight Acquisition Corp. Class A(10) | 14,398 | 147 | |
Integral Acquisition Corp. 1 Class A(10) | 10,374 | 106 | |
Investcorp Europe Acquisition Corp. I Class A(10) | 99,660 | 1,042 | |
Investcorp India Acquisition Corp. Class A(10) | 58,692 | 617 | |
Jaws Hurricane Acquisition Corp. Class A(10) | 75,717 | 769 | |
Jaws Juggernaut Acquisition Corp.(10) | 23,412 | 237 | |
Jaws Juggernaut Acquisition Corp. Class A(10) | 10,805 | 111 | |
Juniper II Corp. Class A(10) | 74,865 | 776 | |
Jupiter Wellness Acquisition Corp. Class A(10) | 15,461 | 163 | |
Kensington Capital Acquisition Corp. V Class A(10) | 65,312 | 681 | |
Kernel Group Holdings, Inc. Class A(10) | 33,002 | 340 | |
Khosla Ventures Acquisition Co. Class A(10) | 32,820 | 333 | |
Khosla Ventures Acquisition Co. III Class A(10) | 48,573 | 493 | |
Kimbell Tiger Acquisition Corp. Class A(10) | 22,216 | 234 | |
L Catterton Asia Acquisition Corp. Class A(10) | 5,208 | 53 | |
LAVA Medtech Acquisition Corp. Class A(10) | 16,576 | 173 | |
LDH Growth Corp. I Class A(10) | 35,483 | 362 | |
Learn CW Investment Corp. Class A(10) | 70,838 | 728 | |
Live Oak Crestview Climate Acquisition Corp.(10) | 34,468 | 351 | |
M3-Brigade Acquisition III Corp. Class A(10) | 34,004 | 351 | |
Magnum Opus Acquisition Ltd. Class A(10) | 34,149 | 350 | |
Mars Acquisition Corp.(10) | 18,753 | 190 | |
MELI Kaszek Pioneer Corp. Class A(10) | 37,311 | 381 | |
Motive Capital Corp. II Class A(10) | 87,972 | 918 | |
Mountain & Co. I Acquisition Corp.(10) | 49,021 | 524 | |
Nabors Energy Transition Corp. Class A(10) | 49,604 | 521 | |
Newbury Street Acquisition Corp.(10) | 57,098 | 585 | |
Northern Star Investment Corp. IV Class A(10) | 64,814 | 658 | |
Orion Biotech Opportunities Corp. Class A(10) | 67,755 | 693 | |
Panacea Acquisition Corp. II Class A(10) | 21,565 | 220 | |
Papaya Growth Opportunity Corp. I Class A(10) | 55,496 | 578 | |
Perception Capital Corp. II Class A(10) | 63,199 | 667 | |
Plum Acquisition Corp. I Class A(10) | 73,631 | 758 | |
Pono Capital Two, Inc. Class A(10) | 33,349 | 347 |
See Notes to Schedule of Investments
4
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Shares/Units | Value | ||
Pontem Corp. Class A(10) | 319,697 | $ 3,302 | |
Post Holdings Partnering Corp. Class A(10) | 51,299 | 519 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(10) | 3,241 | 33 | |
PowerUp Acquisition Corp. Class A(10) | 55,677 | 583 | |
PROOF Acquisition Corp. I Class A(10) | 27,292 | 285 | |
Pyrophyte Acquisition Corp. Class A(10) | 13,726 | 144 | |
Quadro Acquisition One Corp. Class A(10) | 5,400 | 55 | |
Rigel Resource Acquisition Corp. Class A(10) | 72,962 | 763 | |
ROC Energy Acquisition Corp.(10) | 66,457 | 693 | |
Ross Acquisition Corp. II Class A(10) | 39,270 | 402 | |
Roth CH Acquisition V Co.(10) | 5,654 | 58 | |
Screaming Eagle Acquisition Corp. Class A(10) | 130,476 | 1,324 | |
SILVERspac, Inc. Class A(10) | 42,208 | 432 | |
Skydeck Acquisition Corp. Class A(10) | 81,452 | 834 | |
Slam Corp. Class A(10) | 113,618 | 1,171 | |
Social Capital Suvretta Holdings Corp. II Class A(10) | 49,528 | 507 | |
Social Capital Suvretta Holdings Corp. IV Class A(10) | 68,005 | 695 | |
Sound Point Acquisition Corp. I Ltd. Class A(10) | 31,234 | 330 | |
Spree Acquisition Corp. 1 Ltd.(10) | 53,942 | 562 | |
Spring Valley Acquisition Corp. II(10) | 6,495 | 69 | |
Spring Valley Acquisition Corp. II Class A(10) | 7,648 | 79 | |
ST Energy Transition I Ltd.(10) | 111,328 | 1,156 | |
Talon 1 Acquisition Corp. Class A(10) | 49,202 | 519 | |
Target Global Acquisition I Corp. Class A(10) | 30,984 | 323 | |
TCV Acquisition Corp. Class A(10) | 87,202 | 893 | |
TenX Keane Acquisition Class A(10) | 19,217 | 200 | |
Thunder Bridge Capital Partners IV, Inc. Class A(10) | 41,066 | 416 | |
Tio Tech A Class A(10) | 108,818 | 1,108 | |
TMT Acquisition Corp.(10) | 21,997 | 224 | |
TortoiseEcofin Acquisition Corp. III Class A(10) | 52,627 | 538 | |
Trine II Acquisition Corp. Class A(10) | 7,081 | 74 | |
Tristar Acquisition I Corp. Class A(10) | 90,066 | 930 | |
Twin Ridge Capital Acquisition Corp. Class A(10) | 41,501 | 425 | |
Valor Latitude Acquisition Corp. Class A(10) | 59,115 | 605 | |
Valuence Merger Corp. I Class A(10) | 3,246 | 34 | |
Viscogliosi Brothers Acquisition Corp.(10) | 9,784 | 100 | |
Waverley Capital Acquisition Corp. 1 Class A(10) | 70,678 | 721 | |
XPAC Acquisition Corp. Class A(10) | 61,490 | 628 | |
Total Special Purpose Acquisition Companies (Identified Cost $78,059) | 79,501 |
Shares | ||
Purchased Options—0.3% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $1,003) | 864 | |
Escrow Notes—2.2% | ||
Financials—2.2% | ||
Altaba, Inc. Escrow(8)(10) | 3,328,036 | 7,837 |
Pershing Square Escrow(8)(10) | 44,373 | 9 |
7,846 | ||
Industrials—0.0% | ||
AMR Corp. Escrow(10) | 28,850 | 1 |
Total Escrow Notes (Identified Cost $5,386) | 7,847 | |
Shares | Value | ||
Master Limited Partnerships and Related Companies—2.6% | |||
Gathering/Processing—2.6% | |||
DCP Midstream LP(2) | 214,063 | $ 8,931 | |
Total Master Limited Partnerships and Related Companies (Identified Cost $8,879) | 8,931 | ||
Total Long-Term Investments—91.6% (Identified Cost $328,703) | 319,889 | ||
Short-Term Investments—7.2% | |||
Money Market Mutual Funds—7.2% | |||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 4.563%)(12) | 15,600,000 | 15,600 | |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 4.720%)(12) | 9,661,925 | 9,662 | |
Total Short-Term Investments (Identified Cost $25,262) | 25,262 | ||
Securities Lending Collateral—0.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 4.705%)(12)(13) | 795,267 | 795 | |
Total Securities Lending Collateral (Identified Cost $795) | 795 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—99.0% (Identified Cost $354,760) | 345,946 | ||
Securities Sold Short—(0.5)% |
Par Value | ||
U.S. Government Security—(0.1)% | ||
U.S. Treasury Notes 3.250%, 6/30/29 | $ (578) | (567) |
Total U.S. Government Security (Identified Proceeds $(590)) | (567) |
Shares | ||
Common Stocks—(0.4)% | ||
Energy—(0.3)% | ||
Baytex Energy Corp.(10) | (61,750) | (231) |
Frontline plc | (35,910) | (595) |
(826) | ||
Health Care—(0.0)% | ||
Globus Medical, Inc. Class A(10) | (2,096) | (119) |
Information Technology—(0.1)% | ||
Broadcom, Inc. | (134) | (86) |
See Notes to Schedule of Investments
5
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Shares | Value | ||
Information Technology—continued | |||
MaxLinear, Inc.(10) | (7,628) | $ (268) | |
(354) | |||
Total Common Stocks (Identified Proceeds $(1,103)) | (1,299) | ||
Total Securities Sold Short (Identified Proceeds $(1,693)) | (1,866) | ||
Written Options—(1.4)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $4,854) | (4,762) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—97.1% (Identified Cost $348,213) | $339,318 | ||
Other assets and liabilities, net—2.9% | 9,980 | ||
NET ASSETS—100.0% | $349,298 |
Abbreviations: | |
ADR | American Depositary Receipt |
AMT | Alternative Minimum Tax |
DIP | Debtor-in-Possession |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
PIK | Payment-in-Kind Security |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
SPDR | S&P Depositary Receipt |
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 March 31, 2023, these securities amounted to a value of $66,737 or 19.1% of net assets. |
(2) | All or a portion of the shares have been committed as collateral for open securities sold short and written option contracts.. The value of securities segregated as collateral is $34,713. |
(3) | 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. |
(4) | All or a portion of security is on loan. |
(5) | PIK. The first payment of cash and/or principal will be made after March 31, 2023. |
(6) | This loan will settle after March 31, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(7) | Variable rate security. Rate disclosed is as of March 31, 2023. 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. |
(8) | 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. |
(9) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(10) | Non-income producing. |
(11) | Amount is less than $500. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(13) | Represents security purchased with cash collateral received for securities on loan. |
Counterparties: | |
BAML | Bank of America-Merrill Lynch |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings† | |
United States | 70% |
Cayman Islands | 16 |
Ireland | 5 |
Canada | 2 |
Luxembourg | 2 |
Bermuda | 2 |
Netherlands | 1 |
Other | 2 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of March 31, 2023. |
Open purchased options contracts as of March 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
Baxter International, Inc. | 700 | $2,800 | $40.00 | 05/19/23 | $134 |
Baxter International, Inc. | 423 | 1,269 | 30.00 | 05/19/23 | 6 |
See Notes to Schedule of Investments
6
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Open purchased options contracts as of March 31, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) (continued) | |||||
Baxter International, Inc. | 329 | $1,152 | $35.00 | 05/19/23 | $18 |
Emerson Electric Co. | 211 | 1,477 | 70.00 | 04/21/23 | 2 |
Emerson Electric Co. | 730 | 5,110 | 70.00 | 06/16/23 | 34 |
Fidelity National Information Services, Inc. | 269 | 1,480 | 55.00 | 04/21/23 | 59 |
Fidelity National Information Services, Inc. | 249 | 1,494 | 60.00 | 04/21/23 | 160 |
Griffon Corp. | 461 | 1,429 | 31.00 | 04/21/23 | 64 |
Griffon Corp. | 1,000 | 3,200 | 32.00 | 04/21/23 | 185 |
Kellogg Co. | 266 | 1,530 | 57.50 | 04/21/23 | 4 |
Kellogg Co. | 864 | 5,184 | 60.00 | 06/16/23 | 43 |
Siemens AG | 212 | 2,586 | 122.00 | 05/19/23 | 17 |
Siemens AG | 116 | 1,438 | 124.00 | 05/19/23 | 11 |
SPDR S&P 500® ETF Trust | 170 | 6,630 | 390.00 | 04/21/23 | 26 |
SPDR S&P Regional Banking ETF | 200 | 860 | 43.00 | 05/19/23 | 46 |
Vale S.A. | 2,022 | 3,033 | 15.00 | 04/21/23 | 43 |
Vale S.A. | 1,011 | 1,314 | 13.00 | 05/19/23 | 12 |
Total Purchased Options | $864 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Unless otherwise noted, options are exchange-traded. |
Open written options contracts as of March 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Activision Blizzard, Inc. | (963) | $(6,982) | $72.50 | 04/21/23 | $(1,228) |
Activision Blizzard, Inc. | (306) | (2,295) | 75.00 | 05/19/23 | (336) |
Baxter International, Inc. | (423) | (1,586) | 37.50 | 05/19/23 | (182) |
Baxter International, Inc. | (363) | (1,634) | 45.00 | 05/19/23 | (27) |
Baxter International, Inc. | (666) | (3,163) | 47.50 | 05/19/23 | (22) |
Emerson Electric Co. | (211) | (1,635) | 77.50 | 04/21/23 | (211) |
Emerson Electric Co. | (730) | (5,657) | 77.50 | 06/16/23 | (810) |
Fidelity National Information Services, Inc. | (269) | (1,614) | 60.00 | 04/21/23 | (7) |
Fidelity National Information Services, Inc. | (249) | (1,619) | 65.00 | 04/21/23 | (2) |
First Horizon Corp. | (4) | (8) | 20.00 | 04/21/23 | (—) (3) |
Focus Financial Partners, Inc. | (66) | (363) | 55.00 | 04/21/23 | (1) |
Griffon Corp. | (461) | (1,660) | 36.00 | 04/21/23 | (38) |
Griffon Corp. | (1,000) | (3,700) | 37.00 | 04/21/23 | (71) |
Horizon Therapeutics plc | (36) | (432) | 120.00 | 05/19/23 | (1) |
Kellogg Co. | (266) | (1,662) | 62.50 | 04/21/23 | (137) |
Kellogg Co. | (864) | (5,616) | 65.00 | 06/16/23 | (315) |
National Instruments Corp. | (589) | (2,945) | 50.00 | 04/21/23 | (180) |
Oak Street Health, Inc. | (77) | (270) | 35.00 | 04/21/23 | (28) |
Oak Street Health, Inc. | (97) | (349) | 36.00 | 04/21/23 | (28) |
Rogers Corp. | (71) | (1,065) | 150.00 | 04/21/23 | (99) |
Seagen, Inc. | (34) | (680) | 200.00 | 04/21/23 | (12) |
Siemens AG | (212) | (2,798) | 132.00 | 05/19/23 | (444) |
Siemens AG | (116) | (1,554) | 134.00 | 05/19/23 | (221) |
SPDR S&P 500® ETF Trust | (45) | (1,831) | 407.00 | 04/21/23 | (38) |
TEGNA, Inc. | (37) | (59) | 16.00 | 05/19/23 | (5) |
Vale S.A. | (1,011) | (1,517) | 15.00 | 05/19/23 | (138) |
Valvoline, Inc. | (349) | (1,222) | 35.00 | 04/21/23 | (30) |
(4,611) | |||||
Put Options(2) | |||||
SPDR S&P 500® ETF Trust | (113) | (4,238) | 375.00 | 04/21/23 | (7) |
See Notes to Schedule of Investments
7
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Open written options contracts as of March 31, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) (continued) | |||||
SPDR S&P Regional Banking ETF | (200) | $(760) | $38.00 | 05/19/23 | $(19) |
Vale S.A. | (2,022) | (3,235) | 16.00 | 04/21/23 | (125) |
(151) | |||||
Total Written Options | $(4,762) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Unless otherwise noted, options are exchange-traded. | |
(3) Amount is less than $500. |
Forward foreign currency exchange contracts as of March 31, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
CAD | 4,746 | USD | 3,509 | JPM | 04/13/23 | $4 | $— | |
EUR | 536 | USD | 572 | JPM | 04/17/23 | 10 | — | |
USD | 7,566 | CAD | 10,373 | JPM | 04/13/23 | — | (110) | |
USD | 1,272 | EUR | 1,182 | JPM | 04/13/23 | — | (11) | |
USD | 351 | JPY | 46,274 | JPM | 04/14/23 | 2 | — | |
USD | 577 | EUR | 536 | JPM | 04/17/23 | — | (5) | |
USD | 670 | AUD | 1,010 | GS | 04/27/23 | — | (5) | |
USD | 1,647 | EUR | 1,554 | GS | 05/24/23 | — | (44) | |
USD | 2,988 | EUR | 2,798 | JPM | 05/24/23 | — | (57) | |
USD | 1,131 | GBP | 924 | JPM | 05/25/23 | — | (11) | |
USD | 1,125 | EUR | 1,053 | GS | 05/30/23 | — | (20) | |
USD | 910 | EUR | 830 | JPM | 09/13/23 | 2 | — | |
USD | 2,949 | EUR | 2,700 | JPM | 09/20/23 | — | (6) | |
USD | 504 | EUR | 464 | GS | 10/04/23 | — | (4) | |
USD | 1,520 | AUD | 2,260 | GS | 12/05/23 | — | (3) | |
Total | $18 | $(276) |
Over-the-counter total return swaps outstanding as of March 31, 2023 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 | ||||||||||
Aareal Bank AG | Pay | 5.370% (0.550% + OBFR) | 3 Month | JPM | 01/22/24 | $801 | $(37) | $— | $(37) | |
Aareal Bank AG | Pay | 5.370% (0.550% + OBFR) | 3 Month | JPM | 03/13/24 | 434 | (29) | — | (29) | |
Abiomed, Inc.(3) | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 01/30/24 | —(4) | 8 | 8 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.620% (0.80% + OBFR) | 3 Month | JPM | 03/25/24 | 431 | (4) | — | (4) | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.620% (0.80% + OBFR) | 3 Month | JPM | 03/28/24 | 232 | (5) | — | (5) | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.620% (0.80% + OBFR) | 3 Month | JPM | 04/08/24 | 207 | (7) | — | (7) | |
Bristol-Myers Squibb Co.(3),(5) | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 03/04/24 | —(4) | 31 | 31 | — | |
Brookfield Property Preferred LP | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 01/08/24 | 64 | (1) | — | (1) | |
Cazoo Group Ltd. | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 10/23/23 | 22 | (17) | — | (17) | |
Cazoo Group Ltd. | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 01/29/24 | 4 | (1) | — | (1) |
See Notes to Schedule of Investments
8
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
Over-the-counter total return swaps outstanding as of March 31, 2023 were as follows (continued): | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |||
CHR Hansen Holding A/S | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 02/19/24 | $476 | $18 | $18 | $— | |||
CHR Hansen Holding A/S | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 02/20/24 | 672 | 24 | 24 | — | |||
Electricite De France S.A. | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 03/25/24 | 1,107 | 19 | 19 | — | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 09/18/23 | 70 | (13) | — | (13) | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 09/19/23 | 204 | (37) | — | (37) | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 09/22/23 | 27 | (5) | — | (5) | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 09/25/23 | 37 | (6) | — | (6) | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 09/26/23 | 5 | (1) | — | (1) | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 10/02/23 | 46 | (7) | — | (7) | |||
Emis Group plc | Pay | 5.270% (0.450% + OBFR) | 3 Month | JPM | 10/05/23 | 666 | (99) | — | (99) | |||
Euronav N.V. | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 10/09/23 | 455 | (62) | — | (62) | |||
Invesco Dynamic | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 95 | (2) | — | (2) | |||
Invesco Dynamic | Pay | 5.20% (0.380% + OBFR) | 3 Month | JPM | 01/01/24 | 333 | (5) | — | (5) | |||
Invesco Dynamic | Pay | 5.20% (0.380% + OBFR) | 3 Month | JPM | 02/12/24 | —(4) | 9 | 9 | — | |||
Invesco Senior Income Trust | Pay | 5.620% (0.80% + OBFR) | 3 Month | JPM | 03/25/24 | 442 | (25) | — | (25) | |||
Invesco Senior Income Trust | Pay | 5.620% (0.80% + OBFR) | 3 Month | JPM | 03/27/24 | 125 | (9) | — | (9) | |||
Invesco Senior Income Trust | Pay | 5.620% (0.80% + OBFR) | 3 Month | JPM | 03/28/24 | 372 | (28) | — | (28) | |||
MoneyGram International, Inc. | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 10/27/23 | 1,704 | 3 | 3 | — | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 5.20% (0.380% + OBFR) | 3 Month | JPM | 10/23/23 | 871 | 29 | 29 | — | |||
Origin Energy Ltd. | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 04/16/24 | 2,578 | 68 | 68 | — | |||
OZ Minerals Ltd. | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 04/08/24 | 662 | 9 | 9 | — | |||
Saba Capital Income & Opportunities Fund | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 234 | — (4) | — (4) | — | |||
Saba Capital Income & Opportunities Fund | Pay | 5.20% (0.380% + OBFR) | 3 Month | JPM | 06/23/23 | 87 | (9) | — | (9) | |||
Shaw Communications, Inc. | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 03/11/24 | 409 | 6 | 6 | — | |||
Shaw Communications, Inc. | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 03/22/24 | 676 | 18 | 18 | — | |||
Siemens AG | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 04/15/24 | 1,715 | 159 | 159 | — | |||
Siemens AG | Pay | 5.370% (0.550% + OBFR) | 3 Month | JPM | 04/22/24 | 3,083 | 343 | 343 | — | |||
SLM Corp. | Pay | 5.20% (0.380% + OBFR) | 3 Month | JPM | 10/23/23 | 2,075 | 155 | 155 | — | |||
TEGNA, Inc. | Pay | 5.570% (0.750% + OBFR) | 1 Month | BAML | 04/04/23 | 623 | (162) | — | (162) | |||
Telenet Group Holding N.V. | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 04/24/24 | 471 | 7 | 7 | — | |||
Toshiba Corp. | Pay | 5.370% (0.550% + OBFR) | 3 Month | JPM | 06/20/23 | 349 | (78) | — | (78) | |||
Vivendi SE | Pay | 5.370% (0.550% + OBFR) | 3 Month | JPM | 11/28/23 | 862 | 183 | 183 | — | |||
Willis Towers Watson plc | Pay | 5.430% (0.610% + OBFR) | 1 Month | GS | 06/14/23 | 601 | 94 | 94 | — | |||
534 | 1,183 | (649) | ||||||||||
Short Total Return Swap Contracts | ||||||||||||
Agnico Eagle Mines Ltd. | Receive | 4.470% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (1,270) | 48 | 48 | — | |||
Aon plc | Receive | 4.470% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (329) | (5) | — | (5) | |||
Broadcom, Inc. | Receive | 4.420% ((0.400)% + OBFR) | 1 Month | BAML | 10/12/23 | (3,843) | (966) | — | (966) | |||
Broadcom, Inc. | Receive | 4.470% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (1,330) | (162) | — | (162) | |||
Frontline plc | Receive | 2.320% ((2.500)% + OBFR) | 1 Month | GS | 12/11/23 | (141) | (39) | — | (39) | |||
Novozymes A/S | Receive | 4.470% ((0.350)% + OBFR) | 1 Month | GS | 02/19/24 | (1,232) | 3 | 3 | — | |||
Pan American Silver Corp. | Receive | 4.420% ((0.400)% + OBFR) | 1 Month | BAML | 01/08/24 | (266) | (25) | — | (25) | |||
Pan American Silver Corp. | Receive | 4.275% ((0.545)% + OBFR) | 1 Month | GS | 01/15/24 | (1,696) | (161) | — | (161) | |||
(1,307) | 51 | (1,358) | ||||||||||
Total | $(773) | $1,234 | $(2,007) |
See Notes to Schedule of Investments
9
VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
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) | 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) | Amount is less than $500. |
(5) | Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis. |
The following table summarizes the value of the Fund’s investments as of March 31, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at March 31, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $71,287 | $— | $71,287 | $— | |||
Leveraged Loans | 16,184 | — | 16,184 | —(1) | |||
Convertible Bonds and Notes | 7,580 | — | 7,580 | — | |||
Equity Securities: | |||||||
Common Stocks | 121,268 | 121,268 | — | — | |||
Closed End Funds | 3,956 | 3,956 | — | — | |||
Preferred Stocks | 1,667 | 1,667 | — | — | |||
Master Limited Partnerships and Related Companies | 8,931 | 8,931 | — | — | |||
Rights | 418 | 177 | 29 | 212 | |||
Escrow Notes | 7,847 | — | 1 | 7,846 | |||
Warrants | 386 | 251 | — | 135(1) | |||
Special Purpose Acquisition Companies | 79,501 | 76,781 | 2,720 | — | |||
Money Market Mutual Funds | 25,262 | 25,262 | — | — | |||
Securities Lending Collateral | 795 | 795 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 864 | 659 | 205 | — | |||
Forward Foreign Currency Exchange Contracts* | 18 | — | 18 | — | |||
Over-the-Counter Total Return Swaps* | 1,234 | — | 1,195 | 39 | |||
Total Assets | 347,198 | 239,747 | 99,219 | 8,232 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (1,299) | (1,299) | — | — | |||
U.S. Government Security | (567) | — | (567) | — | |||
Other Financial Instruments: | |||||||
Written Options | (4,762) | (3,007) | (1,755) | — | |||
Forward Foreign Currency Exchange Contracts* | (276) | — | (276) | — | |||
Over-the-Counter Total Return Swaps* | (2,007) | — | (2,007) | — | |||
Total Liabilities | (8,911) | (4,306) | (4,605) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $338,287 | $235,441 | $94,614 | $8,232 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
Securities held by the Fund with an end of period value of $1 were transferred from Level 3 to Level 2 due to a increase in trading activities at period end.
Securities held by the Fund with an end of period value of $7,837 were transferred from Level 2 to Level 3 due to a decrease in trading activities at period end.
Over-the-counter total return swaps held by the Fund with an end of period value of $8 were transferred from Level 2 to Level 3 due to a decrease in trading activities at period end.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
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VIRTUS Westchester Event-Driven Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2023
($ reported in thousands)
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 | Warrants | Escrow Notes | Over-the-Counter Total Return Swaps | ||||||
Investments in Securities | |||||||||||
Balance as of December 31, 2022: | $ 388 | $—(a) | $212 | $135(a) | $10 | $31 | |||||
Accrued discount/(premium) | 1 | 1 | — | — | — | — | |||||
Net change in unrealized appreciation (depreciation)(b) | (1) | (1) | — | — | — | — | |||||
Transfers into Level 3(c) | 7,845 | — | — | — | 7,837 | 8 | |||||
Transfers from Level 3(c) | (1) | — | — | — | (1) | — | |||||
Balance as of March 31, 2023 | $ 8,232 | $ —(a) | $ 212 | $ 135(a) | $ 7,846 | $ 39 |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) The net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023, was $(1).
(c) “Transfers into and/or from” represent the ending value as of March 31, 2023, for any investment security where a change in the pricing level occured from the beginning to the end of the period.
See Notes to Schedule of Investments
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VIRTUS WESTCHESTER EVENT-DRIVEN FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, 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 Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter (“OTC”) 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.
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