UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22906
Virtus Alternative Solutions Trust
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
100 Pearl Street
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 243-1574
Date of fiscal year end: October 31
Date of reporting period: April 30, 2015
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
SEMIANNUAL REPORT
Virtus Alternative Income Solution Fund
Virtus Alternative Inflation Solution Fund
Virtus Alternative Total Solution Fund
Virtus Strategic Income Fund
Table of Contents
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24 | ||||
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60 |
Proxy Voting Procedures and Voting Record (Form N-PX)
The subadvisers vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees”, or the “Board”). You may obtain a description of these procedures, along with information regarding how the Funds voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Form N-Q Information
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Funds presented in this book unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, each Fund’s record and other pertinent information.
To My Fellow Shareholders of Virtus Mutual Funds:
I am pleased to present this semi-annual report, which reviews the performance of your fund for the six months ended April 30, 2015. | ||
The six-month period was generally strong for U.S. equities despite increased market volatility resulting from falling oil prices, geopolitical risks, and a slowdown in growth outside the U.S. While the leading economies of Europe, Japan, and China weakened, the U.S. economy accelerated and the dollar rallied strongly. Broad U.S. equity indices registered gains for the six months ended April 30, 2015. The S&P 500® Index returned 4.40%, the Dow Jones Industrial AverageSM rose 3.78%, and the NASDAQ Composite Index® | ||
was up 7.32%. By comparison, international equities generally underperformed at the end of 2014, but rallied strongly in the first four months of this year, for both developed and emerging markets. |
Even though the U.S. economy continues to expand, the Federal Reserve has promised to maintain low interest rates, at least until the middle of 2015. Against this backdrop, U.S. Treasuries remain an attractive “safe haven” among global investors. Steady demand pushed the yield on the bellwether 10-year U.S. Treasury to 2.05% on April 30, 2015 from 2.35% on October 31, 2014. The low interest rate environment was generally favorable for the fixed income market. The Barclays U.S. Aggregate Bond Index, which concentrates on investment-grade debt securities, rose 2.06% for the six months ended April 30, 2015. By comparison, non-investment grade debt was negatively impacted for much of the period by the ongoing market volatility and declining oil prices.
The uncertain state of the global economy is likely to remain a concern for the markets in the months ahead, and interventions by the world’s central banks will be watched with great interest. However, the health of the U.S. economy – including improved hiring, manufacturing, and housing data – gives investors reason for optimism. Future market direction will be determined largely by the ability of corporations to continue to produce robust earnings.
Volatility is an ever-present reminder of the importance of portfolio diversification, including exposure to both traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies.
As always, thank you for entrusting Virtus with your assets. Should you have questions or require assistance, our customer service team is here to help at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward
President, Virtus Mutual Funds
May 2015
Whenever you have questions about your account, or require additional information, please visit us on the Web at www.virtus.com or call our shareowner service group toll-free at 1-800-243-1574.
Performance data quoted represents past results. Past performance is no guarantee of future results.
1
VIRTUS ALTERNATIVE SOLUTIONS TRUST
Disclosure of Fund Expenses (UNAUDITED)
For the six-month period of November 1, 2014 to April 30, 2015
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Virtus Alternative Solutions Trust Fund (each, a “Fund”) you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class A and Class C shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class I and Class R6 shares are sold without sales charges. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested from November 1, 2014 through April 30, 2015, and held for the entire period. The following Expense Table illustrates your Fund’s costs in two ways.
Actual Expenses
The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Expense Table | ||||||||||||||||||||
Beginning Account Value November 1, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Virtus Alternative Income Solution Fund |
| |||||||||||||||||||
Actual |
| |||||||||||||||||||
Class A | $1,000.00 | $998.89 | 2.63 | % | $13.03 | |||||||||||||||
Class C | 1,000.00 | 995.81 | 3.38 | 16.73 | ||||||||||||||||
Class I | 1,000.00 | 1,000.12 | 2.38 | 11.80 | ||||||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||||||
Class A | $1,000.00 | $1,011.59 | 2.63 | % | $13.20 | |||||||||||||||
Class C | 1,000.00 | 1,007.83 | 3.38 | 16.97 | ||||||||||||||||
Class I | 1,000.00 | 1,012.85 | 2.38 | 11.95 | ||||||||||||||||
Virtus Alternative Inflation Solution Fund |
| |||||||||||||||||||
Actual | ||||||||||||||||||||
Class A | $1,000.00 | $996.65 | 2.66 | % | $13.17 | |||||||||||||||
Class C | 1,000.00 | 993.05 | 3.41 | 16.85 | ||||||||||||||||
Class I | 1,000.00 | 997.78 | 2.41 | 11.94 | ||||||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||||||
Class A | $1,000.00 | $1,011.44 | 2.66 | % | $13.35 | |||||||||||||||
Class C | 1,000.00 | 1,007.68 | 3.41 | 17.12 | ||||||||||||||||
Class I | 1,000.00 | 1,012.70 | 2.41 | 12.10 | ||||||||||||||||
Virtus Alternative Total Solution Fund |
| |||||||||||||||||||
Actual | ||||||||||||||||||||
Class A | $1,000.00 | $1,011.27 | 2.88 | % | $14.36 | |||||||||||||||
Class C | 1,000.00 | 1,008.30 | 3.63 | 18.08 | ||||||||||||||||
Class I | 1,000.00 | 1,012.64 | 2.63 | 13.12 | ||||||||||||||||
Class R6*** | 1,000.00 | 1,017.64 | 2.61 | 11.76 | ||||||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||||||
Class A | $1,000.00 | $1,010.34 | 2.88 | % | $14.46 | |||||||||||||||
Class C | 1,000.00 | 1,006.57 | 3.63 | 18.22 | ||||||||||||||||
Class I | 1,000.00 | 1,011.59 | 2.63 | 13.20 | ||||||||||||||||
Class R6*** | 1,000.00 | 1,011.69 | 2.61 | 13.10 | ||||||||||||||||
Virtus Strategic Income Fund |
| |||||||||||||||||||
Actual |
| |||||||||||||||||||
Class A | $1,000.00 | $1,029.90 | 1.41 | % | $7.10 | |||||||||||||||
Class C | 1,000.00 | 1,026.22 | 2.21 | 11.10 | ||||||||||||||||
Class I | 1,000.00 | 1,031.21 | 1.21 | 6.09 | ||||||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||||||
Class A | $1,000.00 | $1,017.72 | 1.41 | % | $7.08 | |||||||||||||||
Class C | 1,000.00 | 1,013.70 | 2.21 | 11.10 | ||||||||||||||||
Class I | 1,000.00 | 1,018.72 | 1.21 | 6.07 |
* | Annualized expense ratios include dividends on short sales. |
** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one half-year period. |
*** | November 19, 2014 is the date Class R6 of the Virtus Alternative Total Solution Fund started accruing expenses. Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (163 for actual and 181 for hypothetical) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one half-year period. |
For Funds which may invest in other funds, the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher.
You can find more information about the Funds’ expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the prospectus.
2
ADR (American Depositary Receipt)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Barclays U.S. Aggregate Bond Index
The Barclays U.S. Aggregate Bond Index measures the U.S. investment grade fixed rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Collateralized Loan Obligation (CLO)
A security backed by a pool of debt, often low-rated corporate loans.
Dow Jones Industrial AverageSM
A stock market index that shows how 30 large publicly owned companies based in the United States have traded during a standard trading session in the stock market. While the index attempts to be representative of the U.S. economy as a whole, it is somewhat heavily weighted toward industrials. It is a price-weighted average, which means that the price movement of each stock is weighted equally regardless of its market capitalization. The index is unmanaged, its returns do not reflect any fees, expenses or sales charges, and it is not available for direct investment.
Exchange–Traded Funds (ETF)
Portfolios of stocks or bonds that track a specific market index.
Exchange–Traded Notes (ETN)
Senior, unsecured, unsubordinated debt securities whose returns are linked to the performance of a particular market benchmark or strategy minus applicable fees.
Federal Farm Credit Bank (FFCB)
Institution backed by the government to manage and merge the financing transactions of the Federal Intermediate Credit Banks and the Federal Land Banks. The institution must abide by rules set forth in the Farm Credit Act, which are enforced by an independent federal regulatory agency.
Federal Home Loan Bank (FHLB)
One of 12 regional banks that comprise the Federal Home Loan Bank System (FHLBank System). The FHLBank System provides stable, on-demand, low-cost funding to American financial institutions (not individuals) for home mortgage loans, small business, rural, agricultural, and economic development lending.
Federal Home Loan Mortgage Company (FHLMC)
A public government-sponsored enterprise which buys mortgages on the secondary market, pools them and sells them as mortgage-backed securities to investors on the open market. Monthly principal and interest payments are guaranteed by FHLMC but not by the U.S. Government. Also called Freddie Mac.
Federal National Mortgage Association (FNMA)
A congressionally chartered corporation which buys mortgages on the secondary market, pools them and sells them as mortgage-backed securities to investors on the open market. Monthly principal and interest payments are guaranteed by FNMA but not by the U.S. Government. Also called Fannie Mae.
Federal Reserve (the “Fed”)
The central bank of the United States, responsible for controlling the money supply, interest rates and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches and all national and state banks that are part of the system.
Global Depositary Receipt (GDR)
A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. Global Depositary Receipts make it easier for individuals to invest in foreign companies, due to the widespread availability of price information, lower transaction costs, and timely dividend distributions.
3
KEY INVESTMENT TERMS (Continued)
iShares®
Represents shares of an open-end exchange-traded fund.
London Interbank Offered Rate (LIBOR)
A benchmark rate that some of the world’s leading banks charge each other for short-term loans.
Master Limited Partnership (MLP)
Investment which combines the tax benefits of a limited partnership with the liquidity of publicly traded securities. To be classified as an MLP, a partnership must derive most of its cash flows from real estate, natural resources and commodities.
NASDAQ Composite Index®
A stock market index of the common stocks and similar securities (e.g. ADRs, tracking stocks, limited partner interests) listed on the NASDAQ stock market. The composition of the NASDAQ Composite is heavily weighted towards information technology companies. Unlike other market indexes, the NASDAQ composite is not limited to companies that have U.S. headquarters. The index is unmanaged, its returns do not reflect any fees, expenses or sales charges and it is not available for direct investment.
Over–the–Counter (OTC)
Trading that is done directly between two parties, without any supervision of an exchange.
Payment–in–Kind Security (PIK)
A bond which pays interest in the form of additional bonds, or preferred stock which pays dividends in the form of additional preferred stock.
Real Estate Investment Trust (REIT)
A publicly traded company that owns, develops and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers and other commercial properties.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses or sales charges, and it is not available for direct investment.
Standard & Poor’s Depositary Receipt (SPDR)
Shares of a security designed to track the value of the S&P 500® Index. SPDRs trade on the American Stock Exchange under the symbol SPY. One SPDR unit is valued at approximately one-tenth of the value of the S&P 500® Index. Dividends are distributed quarterly, and are based on the accumulated stock dividends held in trust, less any expenses of the trust.
4
PORTFOLIO HOLDINGS SUMMARY WEIGHTINGS
APRIL 30, 2015 (UNAUDITED)
For each Fund, the following tables present portfolio holdings within certain sectors and as a percentage of total investments net of securities sold short and written options attributable to each sector.
Alternative Income Solution Fund | ||||||||
Corporate Bonds | 41 | % | ||||||
Energy | 11 | |||||||
Industrials | 9 | |||||||
Telecommunication Services | 6 | |||||||
Consumer Discretionary | 5 | |||||||
All other Corporate Bonds | 10 | |||||||
Loan Agreements | 15 | |||||||
Real Estate Investment Trusts | 13 | |||||||
Common Stocks | 11 | |||||||
Financials | 3 | |||||||
Energy | 2 | |||||||
Information Technology | 2 | |||||||
All other Common Stocks | 4 | |||||||
Master Limited Partnerships | 10 | |||||||
Foreign Government Securities | 3 | |||||||
Asset-Backed Securities | 1 | |||||||
Municipal Bonds | 1 | |||||||
Convertible Bonds | 1 | |||||||
Securities Sold Short | (2 | ) | ||||||
Other (includes short-term investments) | 6 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
| |||||||
|
|
Alternative Inflation Solution Fund | ||||||||
U.S. Government Securities | 21 | % | ||||||
Real Estate Investment Trusts | 19 | |||||||
Common Stocks | 18 | |||||||
Industrials | 9 | |||||||
Utilities | 7 | |||||||
All other Common Stocks | 2 | |||||||
Master Limited Partnerships | 17 | |||||||
Corporate Bonds | 14 | |||||||
Consumer Discretionary | 4 | |||||||
Financials | 2 | |||||||
Energy | 2 | |||||||
All other Corporate Bonds | 6 | |||||||
Loan Agreements | 6 | |||||||
Commodity Linked Notes | 2 | |||||||
Municipal Bonds | 1 | |||||||
Securities Sold Short | (4 | ) | ||||||
Other (includes short-term investments) | 6 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
| |||||||
|
|
Alternative Total Solution Fund | ||||||||
Common Stocks | 26 | % | ||||||
Information Technology | 6 | |||||||
Industrials | 5 | |||||||
Consumer Discretionary | 4 | |||||||
All other Common Stocks | 11 | |||||||
Corporate Bonds | 19 | |||||||
Energy | 5 | |||||||
Industrials | 4 | |||||||
Telecommunication Services | 3 | |||||||
All other Corporate Bonds | 7 | |||||||
Real Estate Investment Trusts | 10 | |||||||
Convertible Bonds | 9 | |||||||
Master Limited Partnerships | 6 | |||||||
Loan Agreements | 6 | |||||||
Foreign Government Securities | 2 | |||||||
Preferred Stock | 1 | |||||||
Asset-Backed Securities | 1 | |||||||
Securities Sold Short and Written Options | (10 | ) | ||||||
Other (includes short-term investments) | 30 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
| |||||||
|
|
Strategic Income Fund | ||||||||
Corporate Bonds | 70 | % | ||||||
Financials | 17 | |||||||
Consumer Discretionary | 13 | |||||||
Industrials | 9 | |||||||
Energy | 9 | |||||||
Materials | 7 | |||||||
Healthcare | 5 | |||||||
Telecommunications Services | 5 | |||||||
All other Corporate Bonds | 5 | |||||||
Loan Agreements | 14 | |||||||
Asset-Backed Securities | 6 | |||||||
Mortgage-Backed Securities | 5 | |||||||
Municipal Bonds | 2 | |||||||
Foreign Government Securities | 1 | |||||||
Other (includes short-term investments) | 2 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
| |||||||
|
|
5
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
FOREIGN GOVERNMENT SECURITIES—2.7% |
| |||||||||
Argentine Republic Government | 3,570 | EUR | $ | 381 | ||||||
Brazil Notas do | 320 | BRL | 105 | |||||||
Hellenic Republic | 22 | EUR | 15 | |||||||
3.000%, 2/24/24(2) | 22 | EUR | 15 | |||||||
3.000%, 2/24/25(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/26(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/27(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/28(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/29(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/30(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/31(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/32(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/33(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/34(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/35(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/36(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/37(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/38(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/39(2) | 22 | EUR | 14 | |||||||
3.000%, 2/24/40(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/41(2) | 22 | EUR | 13 | |||||||
3.000%, 2/24/42(2) | 22 | EUR | 13 | |||||||
Instituto Costarricense | $ | 200 | 172 | |||||||
Kenya Treasury Bonds | 250 | 218 | ||||||||
| ||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,213) |
| 1,149 | ||||||||
| ||||||||||
MUNICIPAL BONDS—0.8% |
| |||||||||
New Jersey—0.2% | ||||||||||
Tobacco Settlement | 110 | 85 | ||||||||
5.000%, 6/1/41 | 15 | 12 | ||||||||
97 |
PAR VALUE | VALUE | |||||||||
Puerto Rico—0.4% |
| |||||||||
Commonwealth of | $ | 160 | $ | 124 | ||||||
5.000%, 7/1/41 | 5 | 3 | ||||||||
Puerto Rico Sales Tax | 10 | 7 | ||||||||
0.000%, 8/1/54 | 330 | 23 | ||||||||
|
| |||||||||
157 | ||||||||||
|
| |||||||||
Texas—0.2% |
| |||||||||
Texas Public Finance | 100 | 100 | ||||||||
| ||||||||||
TOTAL MUNICIPAL BONDS (Identified Cost $377) |
| 354 | ||||||||
| ||||||||||
MORTGAGED-BACKED SECURITIES—0.0% |
| |||||||||
Non-Agency—0.0% | ||||||||||
Wachovia Bank | 10 | 10 | ||||||||
| ||||||||||
TOTAL MORTGAGED-BACKED SECURITIES | ||||||||||
(Identified Cost $10) | 10 | |||||||||
| ||||||||||
ASSET-BACKED SECURITIES—1.0% |
| |||||||||
Cutwater Ltd. CLO | 100 | 96 | ||||||||
Gallatin CLO VII Ltd. | 40 | 39 | ||||||||
Gallatin CLO VII Ltd. | 35 | 33 | ||||||||
THL Credit Wind River | 250 | 247 | ||||||||
| ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||
(Identified Cost $410) | 415 | |||||||||
| ||||||||||
CORPORATE BONDS—39.6% |
| |||||||||
Consumer Discretionary—5.1% |
| |||||||||
American | 35 | 35 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued |
| |||||||
APX Group, Inc. | $ | 10 | $ | 10 | ||||
8.750%, 12/1/20 | 180 | 167 | ||||||
Bon-Ton Department | 60 | 50 | ||||||
Caesars Entertainment | 210 | 162 | ||||||
9.000%, 2/15/20(5) | 110 | 85 | ||||||
Chester Downs & | 135 | 105 | ||||||
Claire’s Stores, Inc. | 65 | 33 | ||||||
Claire’s Stores, Inc. | 25 | 10 | ||||||
Edcon Pty Ltd. RegS | 180 | 144 | ||||||
Guitar Center, Inc. | 160 | 126 | ||||||
iHeartCommuni cations, Inc. | 15 | 13 | ||||||
iHeartCommuni cations, Inc. PIK | 46 | 37 | ||||||
JC Penney Corp., Inc. | 180 | 160 | ||||||
Liberty Interactive LLC | 90 | 100 | ||||||
Mohegan Tribal | 165 | 177 | ||||||
Nine West Holdings, | 134 | 113 | ||||||
PF Chang’s China | 10 | 10 | ||||||
Radio One, Inc. 144A | 70 | 67 | ||||||
Scientific Games | 40 | 42 | ||||||
10.000%, 12/1/22(4) | 40 | 37 | ||||||
Shingle Springs Tribal | 115 | 130 |
See Notes to Financial Statements.
6
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Sirius XM Radio, Inc. | $ | 100 | $ | 101 | ||||||
Time Warner Cable, | 15 | 16 | ||||||||
5.500%, 9/1/41 | 20 | 19 | ||||||||
Toys R Us, Inc. | 155 | 136 | ||||||||
7.375%, 10/15/18 | 90 | 65 | ||||||||
|
| |||||||||
2,150 | ||||||||||
|
| |||||||||
Consumer Staples—1.9% |
| |||||||||
Albertsons Holdings | 34 | 37 | ||||||||
Kissner Milling Co., | 175 | 180 | ||||||||
MHP SA RegS | 200 | 163 | ||||||||
New Albertson’s, Inc. | 155 | 151 | ||||||||
7.450%, 8/1/29 | 15 | 15 | ||||||||
8.700%, 5/1/30 | 5 | 5 | ||||||||
8.000%, 5/1/31 | 5 | 5 | ||||||||
Rite Aid Corp. 144A | 70 | 73 | ||||||||
6.875%, 12/15/28(4) | 50 | 57 | ||||||||
SUPERVALU, Inc. | 50 | 52 | ||||||||
7.750%, 11/15/22 | 70 | 76 | ||||||||
|
| |||||||||
814 | ||||||||||
|
| |||||||||
Energy—10.8% | ||||||||||
Alpha Natural | 25 | 5 | ||||||||
6.250%, 6/1/21 | 30 | 6 | ||||||||
American Energy - | 35 | 21 | ||||||||
American | 50 | 37 | ||||||||
7.375%, 11/1/21(4) | 19 | 14 | ||||||||
Basic Energy Services, | 10 | 9 |
PAR VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
Berau Capital | $ | 100 | $ | 55 | ||||||
Berau Coal Energy Tbk | 200 | 105 | ||||||||
Bumi Capital Pte, Ltd. | 300 | 100 | ||||||||
Bumi Investment Pte, | 780 | 261 | ||||||||
Citgo Holding, Inc. | 65 | 69 | ||||||||
EDC Finance, Ltd. | 200 | 180 | ||||||||
Energy Transfer Equity | 100 | 105 | ||||||||
EXCO Resources, Inc. | 30 | 18 | ||||||||
Forbes Energy | 530 | 387 | ||||||||
Gazprom OAO Via Gaz | 200 | 183 | ||||||||
Jupiter Resources, | 65 | 55 | ||||||||
Kosmos Energy, Ltd. | 40 | 39 | ||||||||
Linn Energy LLC / Linn | 15 | 12 | ||||||||
Lukoil International | 100 | 105 | ||||||||
MEG Energy Corp. | 15 | 15 | ||||||||
Memorial Production | 25 | 25 |
PAR VALUE | VALUE | |||||||
Energy—continued |
| |||||||
Memorial Production | $ | 35 | $ | 33 | ||||
Murray Energy Corp. | 75 | 77 | ||||||
Pacific Drilling SA | 50 | 43 | ||||||
Pacific Drilling V, Ltd. | 428 | 400 | ||||||
Pacific Rubiales | 100 | 70 | ||||||
Pacific Rubiales | 100 | 79 | ||||||
Parker Drilling Co. | 5 | 4 | ||||||
Petrobras Global | 25 | 24 | ||||||
2.415%, 1/15/19(2) | 45 | 42 | ||||||
Petroleos de | 396 | 234 | ||||||
Petroleos de | 133 | 65 | ||||||
12.750%, 2/17/22(3) | 109 | 64 | ||||||
Rockies Express | 100 | 107 | ||||||
Sabine Pass | 300 | 304 | ||||||
Sabine Pass | 70 | 71 | ||||||
SandRidge Energy, | 125 | 83 | ||||||
Sanjel Corp. 144A | 450 | 336 | ||||||
Seitel, Inc. | 470 | 418 | ||||||
Venoco, Inc. | 46 | 18 | ||||||
8.875%, 2/28/19(7) | 260 | 164 | ||||||
YPF SA RegS |
See Notes to Financial Statements.
7
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
8.750%, 4/4/24(3) | $ | 120 | $ | 126 | ||||||
|
| |||||||||
4,568 | ||||||||||
|
| |||||||||
Financials—2.6% | ||||||||||
Banco do Brasil SA | 200 | 148 | ||||||||
Earls Thirteen Ltd. | 148 | 147 | ||||||||
Genworth Holdings, | 10 | 10 | ||||||||
7.625%, 9/24/21 | 25 | 27 | ||||||||
6.500%, 6/15/34 | 15 | 14 | ||||||||
6.150%, 11/15/66(2) | 25 | 16 | ||||||||
Greektown Holdings | 494 | 525 | ||||||||
Kennedy-Wilson, Inc. | 50 | 51 | ||||||||
Ocwen Financial Corp. | 40 | 37 | ||||||||
Ukreximbank Via Biz | 200 | 137 | ||||||||
|
| |||||||||
1,112 | ||||||||||
|
| |||||||||
Health Care—1.2% | ||||||||||
Aurora Diagnostics | 65 | 59 | ||||||||
Immucor, Inc. | 40 | 43 | ||||||||
Kindred Healthcare, | 45 | 47 | ||||||||
Kindred Healthcare, | 60 | 65 | ||||||||
8.750%, 1/15/23(4) | 15 | 17 | ||||||||
Lantheus Medical | 50 | 49 | ||||||||
Valeant | 35 | 36 | ||||||||
5.875%, 5/15/23(4) | 90 | 92 |
PAR VALUE | VALUE | |||||||||
Health Care—continued |
| |||||||||
6.125%, 4/15/25(4) | $ | 80 | $ | 83 | ||||||
|
| |||||||||
491 | ||||||||||
|
| |||||||||
Industrials—8.3% | ||||||||||
Apex Tool Group LLC | 5 | 5 | ||||||||
Cenveo Corp. 144A | 25 | 23 | ||||||||
8.500%, 9/15/22(4) | 60 | 51 | ||||||||
Gol LuxCo SA RegS 8.875%, 1/24/22(3) | 200 | 154 | ||||||||
Harland Clarke | 110 | 108 | ||||||||
Lansing Trade Group | 583 | 586 | ||||||||
Michael Baker | 362 | 355 | ||||||||
Monitronics | 160 | 159 | ||||||||
Navigator Holdings | 472 | 495 | ||||||||
OAS Finance, Ltd. | 400 | 86 | ||||||||
Red de Carreteras de Occidente SAPIB de | 2,000 | MXN | 128 | |||||||
Ridgebury Crude | 421 | 438 | ||||||||
ServiceMaster Co., | 50 | 51 | ||||||||
Tervita Corp. 144A 8.000%, 11/15/18(4) | 442 | 412 | ||||||||
Titan International, | 519 | 472 | ||||||||
|
| |||||||||
3,523 | ||||||||||
|
| |||||||||
Information Technology—0.6% |
| |||||||||
Advanced Micro | 140 | 110 |
PAR VALUE | VALUE | |||||||
Information Technology—continued |
| |||||||
BMC Software | $ | 135 | $ | 124 | ||||
|
| |||||||
234 | ||||||||
|
| |||||||
Materials—2.6% | ||||||||
Aruba Investments, | 30 | 30 | ||||||
Cimento Tupi SA 144A | 60 | 22 | ||||||
Cornerstone Chemical | 85 | 89 | ||||||
Ferrexpo Finance PLC | 200 | 166 | ||||||
Gold Fields Orogen | 200 | 181 | ||||||
Hexion, Inc. | 60 | 56 | ||||||
Hexion, Inc. 144A | 20 | 21 | ||||||
IAMGOLD Corp. 144A | 100 | 86 | ||||||
Magnesita | 100 | 97 | ||||||
Metinvest BV | 200 | 123 | ||||||
Rain CII Carbon LLC / | 135 | 126 | ||||||
Signode Industrial | 110 | 111 | ||||||
|
| |||||||
1,108 | ||||||||
|
| |||||||
Telecommunication Services—5.4% |
| |||||||
Avanti Communi cations | 642 | 613 | ||||||
Axtel SAB de CV RegS | 180 | 173 | ||||||
Digicel Ltd. RegS | 200 | 195 | ||||||
Frontier Communications Corp. |
See Notes to Financial Statements.
8
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
Telecommunication Services—continued |
| |||||||||
7.625%, 4/15/24 | $ | 50 | $ | 51 | ||||||
Intelsat Luxembourg | 90 | 83 | ||||||||
Mobile Telesystems | 200 | 180 | ||||||||
Sprint Capital Corp. | 70 | 64 | ||||||||
8.750%, 3/15/32 | 60 | 62 | ||||||||
Sprint Corp. | 25 | 25 | ||||||||
Trilogy International | 880 | 859 | ||||||||
|
| |||||||||
2,305 | ||||||||||
|
| |||||||||
Utilities—1.1% | ||||||||||
AES El Salvador Trust | 200 | 182 | ||||||||
Dynegy, Inc. 144A | 60 | 64 | ||||||||
7.625%, 11/1/24(4) | 35 | 38 | ||||||||
GenOn Americas | 125 | 120 | ||||||||
Illinois Power | 55 | 52 | ||||||||
|
| |||||||||
456 | ||||||||||
| ||||||||||
TOTAL CORPORATE BONDS (Identified Cost $17,287) | 16,761 | |||||||||
| ||||||||||
LOAN AGREEMENTS—14.4% |
| |||||||||
Consumer Discretionary—2.6% |
| |||||||||
1011778 B.C. | 64 | 65 | ||||||||
AMF Bowling Centers, | 50 | 50 |
PAR VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
iHeartCommuni cations, | $ | 190 | $ | 182 | ||||||
Indra Holdings Corp. | 35 | 34 | ||||||||
MediArena Acquisition | 65 | 65 | ||||||||
Mohegan Tribal | 79 | 79 | ||||||||
Nine West Holdings, | 70 | 64 | ||||||||
PetSmart, Inc. | 50 | 51 | ||||||||
Red Lobster | 75 | 75 | ||||||||
Scientific Games | 45 | 45 | ||||||||
Toys ’R’ US-Delaware, | 120 | 113 | ||||||||
Tribune Publishing Co. | 102 | 103 | ||||||||
Visant Corp. (fka | 50 | 50 | ||||||||
Wilton Brands LLC | 100 | 97 | ||||||||
|
| |||||||||
1,073 | ||||||||||
|
| |||||||||
Consumer Staples—1.2% | ||||||||||
Albertson’s LLC, Term | 110 | 111 | ||||||||
North Atlantic Trading | 292 | 290 |
PAR VALUE | VALUE | |||||||||
Consumer Staples—continued |
| |||||||||
Roundy’s | $ | 55 | $ | 54 | ||||||
Vogue International | 50 | 50 | ||||||||
|
| |||||||||
505 | ||||||||||
|
| |||||||||
Energy—1.2% | ||||||||||
KCA Deutag US | 35 | 32 | ||||||||
Longview Power, LLC | 105 | 106 | ||||||||
Murray Energy Corp. | 100 | 99 | ||||||||
OSG Bulk Ships, Inc. | 24 | 24 | ||||||||
OSG International, Inc. | 184 | 186 | ||||||||
Preferred Proppants | 80 | 66 | ||||||||
|
| |||||||||
513 | ||||||||||
|
| |||||||||
Financials—1.0% | ||||||||||
Omnitracs, LLC | 442 | 436 | ||||||||
|
| |||||||||
Health Care—0.9% | ||||||||||
American Pacific Corp. | 233 | 236 | ||||||||
Millennium Health, | 55 | 45 | ||||||||
Onex Carestream | 105 | 106 | ||||||||
|
| |||||||||
387 | ||||||||||
|
| |||||||||
Industrials—0.3% | ||||||||||
Koosharem, LLC | 69 | 69 | ||||||||
NN, Inc. | 34 | 35 |
See Notes to Financial Statements.
9
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
Industrials—continued |
| |||||||||
Photonis Technologies | $ | 35 | $ | 33 | ||||||
|
| |||||||||
137 | ||||||||||
|
| |||||||||
Information Technology—5.7% |
| |||||||||
BMC Software | 48 | 47 | ||||||||
Dell International LLC, | 99 | 100 | ||||||||
Greenway Health, LLC | 876 | 879 | ||||||||
GTCR Valor | 55 | 55 | ||||||||
Lanyon Solutions, Inc. | 440 | 426 | ||||||||
TelX Group, Inc., | 885 | 898 | ||||||||
|
| |||||||||
2,405 | ||||||||||
|
| |||||||||
Materials—0.5% | ||||||||||
Albaugh, LLC | 72 | 73 | ||||||||
AZ Chem US Inc. First | 92 | 92 | ||||||||
Styrolution U.S. | 50 | 51 | ||||||||
|
| |||||||||
216 | ||||||||||
|
| |||||||||
Utilities—1.0% | ||||||||||
Energy Future | 100 | 101 | ||||||||
Panda Temple Power, | �� | 55 | 54 |
PAR VALUE | VALUE | |||||||||
Utilities—continued | ||||||||||
Texas Competitive | $ | 385 | $ | 236 | ||||||
0.000%, 10/10/17(5)(10) | 75 | 47 | ||||||||
|
| |||||||||
438 | ||||||||||
| ||||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $6,283) | 6,110 | |||||||||
| ||||||||||
CONVERTIBLE BONDS—0.5% |
| |||||||||
Consumer Discretionary—0.1% |
| |||||||||
Liberty Interactive LLC | 81 | 51 | ||||||||
|
| |||||||||
Energy—0.0% | ||||||||||
Alpha Natural | 40 | 14 | ||||||||
|
| |||||||||
Financials—0.4% | ||||||||||
Bank of New York | 200 | EUR | 150 | |||||||
| ||||||||||
TOTAL CONVERTIBLE BONDS (Identified Cost $263) | 215 | |||||||||
| ||||||||||
SHARES | ||||||||||
WARRANTS—0.0% | ||||||||||
Financials—0.0% | ||||||||||
Piraeus Bank SA(11) | 51,299 | 6 | ||||||||
| ||||||||||
TOTAL WARRANTS (Identified Cost $47) | 6 | |||||||||
| ||||||||||
PREFERRED STOCK—0.4% |
| |||||||||
Financials—0.4% | ||||||||||
Ally Financial, Inc. | 50 | (12) | 51 | |||||||
Capital One Financial | 1,791 | 45 | ||||||||
JPMorgan Chase & | 1,074 | 27 | ||||||||
Regions Financial | 1,163 | 29 | ||||||||
|
| |||||||||
152 | ||||||||||
| ||||||||||
TOTAL PREFERRED STOCK (Identified Cost $145) | 152 | |||||||||
|
SHARES | VALUE |
| ||||||||
COMMON STOCKS—11.1% |
| |||||||||
Consumer Discretionary—1.1% |
| |||||||||
Cia Hering | 1,900 | $ | 11 | |||||||
Direcional Engenharia SA | 7,500 | 16 | ||||||||
Eutelsat Communications SA | 1,052 | 37 | ||||||||
Grendene SA | 5,500 | 32 | ||||||||
MGM China Holdings Ltd. | 13,600 | 26 | ||||||||
NagaCorp., Ltd. | 48,000 | 35 | ||||||||
RTL Group SA | 661 | 62 | ||||||||
Sands China Ltd. | 21,200 | 86 | ||||||||
Societe Television | 5,604 | 98 | ||||||||
Tofas Turk Otomobil | 3,322 | 20 | ||||||||
Wynn Macau Ltd. | 30,400 | 62 | ||||||||
|
| |||||||||
485 | ||||||||||
|
| |||||||||
Consumer Staples—0.4% | ||||||||||
Ambev SA | 5,100 | 32 | ||||||||
Asaleo Care, Ltd. | 27,223 | 39 | ||||||||
Japan Tobacco, Inc. | 1,600 | 56 | ||||||||
Natura Cosmeticos SA | 3,400 | 32 | ||||||||
|
| |||||||||
159 | ||||||||||
|
| |||||||||
Energy—1.9% | ||||||||||
China Shenhua Energy | 13,500 | 35 | ||||||||
ConocoPhillips | 1,702 | 116 | ||||||||
Eni SpA | 3,070 | 59 | ||||||||
EnLink Midstream LLC | 51 | 2 | ||||||||
Exterran Holdings, Inc. | 37 | 1 | ||||||||
Gaslog Ltd. | 1,461 | 33 | ||||||||
Gaztransport Et | 506 | 30 | ||||||||
Kinder Morgan, Inc. | 1,000 | 43 | ||||||||
ONEOK, Inc. | 664 | 32 | ||||||||
Phillips 66 | 182 | 14 | ||||||||
SemGroup Corp. Class A | 972 | 82 | ||||||||
Targa Resources Corp. | 642 | 67 | ||||||||
Total SA | 1,834 | 100 | ||||||||
TransCanada Corp. | 62 | 3 | ||||||||
Williams Cos, Inc. | 3,429 | 176 | ||||||||
|
| |||||||||
793 | ||||||||||
|
| |||||||||
Exchange Traded Funds—0.1% |
| |||||||||
iShares MSCI Mexico | 990 | 58 | ||||||||
|
| |||||||||
Financials—2.8% | ||||||||||
Agricultural Bank of | 187,000 | 105 |
See Notes to Financial Statements.
10
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
SHARES | VALUE | |||||||||
Financials—continued | ||||||||||
Alaris Royalty Corp. | 1,573 | $ | 45 | |||||||
Allianz SE | 210 | 36 | ||||||||
Alpha Bank AE(11) | 47,450 | 16 | ||||||||
Artisan Partners Asset | 1,377 | 62 | ||||||||
AXA SA | 5,461 | 139 | ||||||||
Banco do Brasil SA | 7,800 | 68 | ||||||||
BOC Hong Kong | 11,000 | 43 | ||||||||
Cembra Money Bank | 840 | 56 | ||||||||
China Construction | 95,000 | 92 | ||||||||
Industrial & | 38,000 | 33 | ||||||||
Mediolanum SpA | 7,202 | 61 | ||||||||
National Bank of | 35,317 | 49 | ||||||||
PacWest Bancorp | 1,554 | 70 | ||||||||
People’s United | 2,534 | 38 | ||||||||
St James’s Place PLC | 3,117 | 43 | ||||||||
Swedbank AB, Class A | 3,712 | 87 | ||||||||
UBM PLC | 4,336 | 38 | ||||||||
UNIQA Insurance | 4,443 | 44 | ||||||||
United Bankshares, | 1,557 | 58 | ||||||||
|
| |||||||||
1,183 | ||||||||||
|
| |||||||||
Health Care—0.3% | ||||||||||
Pfizer, Inc. | 1,955 | 66 | ||||||||
Teva Pharmaceutical | 959 | 58 | ||||||||
|
| |||||||||
124 | ||||||||||
|
| |||||||||
Industrials—0.9% | ||||||||||
bpost SA | 2,332 | 67 | ||||||||
Macquarie | 1,397 | 116 | ||||||||
Rexel SA | 3,903 | 74 | ||||||||
TAL International | 988 | 38 | ||||||||
Transurban Group | 6,855 | 53 | ||||||||
Yumeshin Holdings | 2,900 | 20 | ||||||||
|
| |||||||||
368 | ||||||||||
|
| |||||||||
Information Technology—1.7% |
| |||||||||
Canon, Inc. | 1,300 | 46 | ||||||||
Chicony Electronics | 8,000 | 23 | ||||||||
Cisco Systems, Inc. | 5,337 | 154 |
SHARES | VALUE | |||||||||
Information Technology—continued |
| |||||||||
Intel Corp. | 1,406 | $ | 46 | |||||||
International Business | 280 | 48 | ||||||||
Maxim Integrated | 3,187 | 105 | ||||||||
Microsoft Corp. | 770 | 37 | ||||||||
Radiant | 18,000 | 59 | ||||||||
Siliconware Precision | 10,392 | 84 | ||||||||
Taiwan Semiconductor | 4,452 | 109 | ||||||||
|
| |||||||||
711 | ||||||||||
|
| |||||||||
Materials—0.3% |
| |||||||||
International Paper | 1,232 | 66 | ||||||||
Tronox Ltd. | 2,706 | 57 | ||||||||
|
| |||||||||
123 | ||||||||||
|
| |||||||||
Telecommunication Services—1.0% |
| |||||||||
Bezeq The Israeli | 59,722 | 113 | ||||||||
CenturyLink, Inc. | 1,624 | 59 | ||||||||
Mobile Telesystems | 5,031 | 61 | ||||||||
Vodacom Group Ltd. | 6,434 | 80 | ||||||||
Vodafone Group PLC | 27,215 | 96 | ||||||||
|
| |||||||||
409 | ||||||||||
|
| |||||||||
Utilities—0.6% |
| |||||||||
DUET Group | 24,480 | 49 | ||||||||
Huaneng Power | 24,000 | 34 | ||||||||
Infinis Energy PLC | 21,576 | 63 | ||||||||
Pattern Energy Group, | 2,554 | 74 | ||||||||
Snam SpA | 7,450 | 39 | ||||||||
|
| |||||||||
259 | ||||||||||
| ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Identified Cost $4,879) | 4,672 | |||||||||
| ||||||||||
MASTER LIMITED PARTNERSHIPS—10.3% |
| |||||||||
Chemicals-Specialty—0.1% |
| |||||||||
Westlake Chemical | 2,054 | 59 | ||||||||
|
| |||||||||
Coal & Consumable Fuels—0.0% | ||||||||||
Enviva Partners LP | 219 | 5 | ||||||||
|
|
SHARES | VALUE | |||||||
Energy—0.3% |
| |||||||
Columbia Pipeline | 1,304 | $ | 35 | |||||
Tallgrass Energy | 911 | 45 | ||||||
VTTI Energy Partners | 1,172 | 28 | ||||||
|
| |||||||
108 | ||||||||
|
| |||||||
Gas-Distribution—0.1% | ||||||||
AmeriGas Partners LP | 523 | 25 | ||||||
|
| |||||||
Gas-Transportation—0.1% | ||||||||
PBF Logistics LP | 792 | 19 | ||||||
|
| |||||||
Oil & Gas Equipment & Services—0.0% | ||||||||
USA Compression | 22 | 1 | ||||||
|
| |||||||
Oil Components-Exploration and Production— 0.4% | ||||||||
Antero Midstream | 2,102 | 53 | ||||||
EV Energy Partners LP | 380 | 7 | ||||||
Summit Midstream | 2,748 | 97 | ||||||
|
| |||||||
157 | ||||||||
|
| |||||||
Oil-Field Services—0.5% |
| |||||||
CrossAmerica | 2,237 | 70 | ||||||
Exterran Partners LP | 3,680 | 99 | ||||||
Rice Midstream | 3,382 | 51 | ||||||
|
| |||||||
220 | ||||||||
|
| |||||||
Pipelines—8.7% | ||||||||
Boardwalk Pipeline | 1,611 | 28 | ||||||
Buckeye Partners LP | 3,294 | 269 | ||||||
Cheniere Energy | 11 | — | (14) | |||||
Cone Midstream | 466 | 8 | ||||||
Crestwood Midstream | 165 | 3 | ||||||
DCP Midstream | 37 | 1 | ||||||
Dominion Midstream | 740 | 30 | ||||||
Energy Transfer Equity | 6,826 | 455 | ||||||
Energy Transfer | 7,072 | 409 |
See Notes to Financial Statements.
11
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
SHARES | VALUE | |||||||||
Pipelines—continued |
| |||||||||
Enterprise Products | 19,473 | $ | 667 | |||||||
EQT Midstream | 962 | 85 | ||||||||
Magellan Midstream | 3,795 | 317 | ||||||||
MarkWest Energy | 1,706 | 115 | ||||||||
MPLX LP | 1,906 | 148 | ||||||||
NuStar Energy LP | 1,425 | 96 | ||||||||
Plains All American | 6,170 | 309 | ||||||||
Plains GP Holdings LP | 5,315 | 156 | ||||||||
QEP Midstream | 3,412 | 58 | ||||||||
Rose Rock Midstream | 1,193 | 62 | ||||||||
Shell Midstream | 5,039 | 203 | ||||||||
Spectra Energy | 23 | 1 | ||||||||
Sunoco Logistics | 1,396 | 62 | ||||||||
Targa Resources | 78 | 4 | ||||||||
Tesoro Logistics LP | 1,807 | 101 | ||||||||
Williams Partners LP | 2,067 | 102 | ||||||||
|
| |||||||||
3,689 | ||||||||||
|
| |||||||||
Transportation-Marine—0.1% |
| |||||||||
Teekay LNG Partners | 1,334 | 53 | ||||||||
| ||||||||||
TOTAL MASTER LIMITED PARTNERSHIPS | ||||||||||
(Identified Cost $4,045) | 4,336 | |||||||||
| ||||||||||
REAL ESTATE INVESTMENT TRUSTS—13.2% |
| |||||||||
Apartments—2.4% | ||||||||||
AvalonBay | 2,148 | 353 | ||||||||
Camden Property | 3,399 | 255 | ||||||||
Equity Residential | 5,708 | 422 | ||||||||
|
| |||||||||
1,030 | ||||||||||
|
| |||||||||
Diversified—0.7% | ||||||||||
Digital Realty Trust, | 896 | 57 | ||||||||
Fibra Uno Administracion SA de CV | 10,600 | 26 | ||||||||
Lexington Realty Trust | 2,155 | 20 | ||||||||
Vornado Realty Trust | 1,894 | 196 | ||||||||
|
| |||||||||
299 | ||||||||||
|
|
SHARES | VALUE | |||||||||
Financials—0.1% | ||||||||||
Spirit Realty Capital, Inc. | 4,901 | $ | 55 | |||||||
|
| |||||||||
Health Care—1.0% | ||||||||||
HCP, Inc. | 1,483 | 60 | ||||||||
Healthcare Realty | 1,976 | 51 | ||||||||
Medical Properties | 2,299 | 32 | ||||||||
Senior Housing | 2,714 | 55 | ||||||||
Ventas, Inc. | 3,248 | 224 | ||||||||
|
| |||||||||
422 | ||||||||||
|
| |||||||||
Industrial—0.3% | ||||||||||
Prologis, Inc. | 2,954 | 119 | ||||||||
Terreno Realty Corp. | 1,230 | 26 | ||||||||
|
| |||||||||
145 | ||||||||||
|
| |||||||||
Infrastructure—1.2% | ||||||||||
American Tower Corp. | 5,341 | 505 | ||||||||
|
| |||||||||
Lodging/Resort—0.8% | ||||||||||
LaSalle Hotel | 4,265 | 156 | ||||||||
RLJ Lodging Trust | 3,800 | 113 | ||||||||
Sunstone Hotel | 4,753 | 74 | ||||||||
|
| |||||||||
343 | ||||||||||
|
| |||||||||
Mixed—0.2% | ||||||||||
Duke Realty Corp. | 4,686 | 93 | ||||||||
|
| |||||||||
Mortgage—0.3% | ||||||||||
Blackstone Mortgage | 3,831 | 118 | ||||||||
|
| |||||||||
Office—0.9% | ||||||||||
Alexandria Real Estate | 15 | 1 | ||||||||
BioMed Realty Trust, | 4,565 | 95 | ||||||||
Boston Properties, | 1,724 | 228 | ||||||||
Corporate Office | 1,547 | 41 | ||||||||
|
| |||||||||
365 | ||||||||||
|
| |||||||||
Office Property—0.7% | ||||||||||
Douglas Emmett, Inc. | 895 | 25 | ||||||||
Hudson Pacific | 1,805 | 54 | ||||||||
New York REIT, Inc. | 5,185 | 51 | ||||||||
Paramount Group, Inc. | 3,635 | 67 |
SHARES | VALUE | |||||||
Office Property—continued |
| |||||||
SL Green Realty Corp. | 724 | $ | 89 | |||||
|
| |||||||
286 | ||||||||
|
| |||||||
Regional Malls—2.4% | ||||||||
CBL & Associates | 6,462 | 116 | ||||||
General Growth | 3,347 | 92 | ||||||
Simon Property | 3,643 | 661 | ||||||
Taubman Centers, Inc. | 1,767 | 127 | ||||||
|
| |||||||
996 | ||||||||
|
| |||||||
Self Storage—0.7% | ||||||||
Public Storage | 1,536 | 289 | ||||||
|
| |||||||
Shopping Centers—0.8% | ||||||||
Brixmor Property | 2,704 | 63 | ||||||
Federal Realty | 1,303 | 174 | ||||||
Ramco-Gershenson | 2,427 | 43 | ||||||
Retail Properties of | 4,285 | 65 | ||||||
|
| |||||||
345 | ||||||||
|
| |||||||
Specialized—0.2% | ||||||||
Health Care REIT, Inc. | 932 | 67 | ||||||
|
| |||||||
Timber—0.5% | ||||||||
Weyerhaeuser Co. | 6,094 | 192 | ||||||
|
| |||||||
Warehouse/Industrial—0.0% | ||||||||
EastGroup Properties, | 329 | 19 | ||||||
| ||||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS | ||||||||
(Identified Cost $5,308) | 5,569 | |||||||
| ||||||||
CONTRACTS |
| |||||||
PURCHASED OPTIONS—0.0% | ||||||||
Put Options—0.0% | ||||||||
Markit CDX North | 200 | 3 | ||||||
| ||||||||
TOTAL PURCHASED OPTIONS | ||||||||
(Identified Cost $15) | 3 | |||||||
| ||||||||
TOTAL LONG TERM INVESTMENTS—94.0% | ||||||||
(Identified Cost $40,282) | 39,752 | |||||||
|
See Notes to Financial Statements.
12
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
SHARES | VALUE | |||||||||
SHORT-TERM INVESTMENTS—5.6% |
| |||||||||
Money Market Mutual Funds—5.6% |
| |||||||||
BlackRock Liquidity | 2,364,323 | 2,364 | ||||||||
| ||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||
(Identified Cost $2,364) |
| 2,364 | ||||||||
| ||||||||||
TOTAL INVESTMENTS, BEFORE SECURITIES |
| |||||||||
(Identified Cost $42,646) |
| 42,116 | (1) | |||||||
| ||||||||||
SECURITIES SOLD SHORT—(2.4)% | ||||||||||
Exchange Traded Funds—(2.4)% | ||||||||||
Energy Select Sector | (712 | ) | (59 | ) | ||||||
JPMorgan Alerian | (17,573 | ) | (798 | ) | ||||||
SPDR S&P 500 ETF | (440 | ) | (91 | ) | ||||||
SPDR S&P Oil & Gas | (978 | ) | (54 | ) | ||||||
|
| |||||||||
(1,002 | ) | |||||||||
| ||||||||||
TOTAL SECURITIES SOLD SHORT | ||||||||||
(Proceeds $1,042) |
| (1,002 | )(1) | |||||||
| ||||||||||
TOTAL INVESTMENTS NET OF SECURITIES SOLD SHORT — 97.2% |
| |||||||||
(Identified Cost $41,604) |
| 41,114 | ||||||||
| ||||||||||
Other assets and liabilities, |
| 1,180 | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 42,294 | ||||||||
|
|
Footnote Legend: (1) Federal Income Tax Information: For tax information at April 30, 2015, see Note 11 Federal Income Tax Information in the Notes to Financial Statements. (2) Variable or step coupon security; interest rate shown reflects the rate in effect at April 30, 2015. (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) 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 April 30, 2015, these securities amounted to a value of $8,851 or 20.9% of net assets. (5) Security in default, interest payments are being received during the bankruptcy proceedings. (6) 99% of the income received was in cash and 1% in PIK. (7) Security valued at fair value as determined in good faith by or under the direction of the Trustees. (8) Illiquid security. (9) This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. (10) This loan will settle after April 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be known. (11) Non-income producing. (12) Amount shown is par value.
|
(13) | All or a portion segregated as collateral for securities sold short. |
(14) | Amount is less than $500. |
Abbreviations: | ||
ADR | American Depositary Receipt | |
CLO | Collateralized Loan Obligation | |
ETF | Exchange Traded Fund | |
ETN | Exchange Traded Note | |
GDR | Global Depositary Receipt | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
MLP | Master Limited Partnership | |
PIK | Payment in Kind | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trusts | |
S&P | Standard & Poor’s | |
SPDR | Standard & Poor’s Depositary Receipt | |
Foreign Currencies: | ||
BRL | Brazilian Real | |
EUR | European Currency Unit | |
INR | Indian Rupee | |
MXN | Mexican Peso | |
USD | United States Dollar |
Country Weightings (Unaudited)† | ||||
United States | 69 | % | ||
Canada | 4 | |||
Luxembourg | 3 | |||
United Kingdom | 3 | |||
Marshall Islands | 2 | |||
Other | 19 | |||
Total | 100 | % | ||
† % of total investments, net of securities sold short, as of April 30, 2015 |
| |||
|
See Notes to Financial Statements.
13
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
Futures contracts as of April 30, 2015 were as follows:
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||
U.S. 5 Year Treasury Note (CBT) | June 2015 | (14) | $(1,682) | $ (16) | ||||||||
Total | $ (16) | |||||||||||
|
Forward foreign currency exchange contracts as of April 30, 2015 were as follows:
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||||
EUR | 37 | USD | 40 | The Bank of New York | 6/15/15 | $ | 1 | |||||||||||||||||
EUR | 18 | USD | 20 | The Bank of New York | 6/15/15 | 1 | ||||||||||||||||||
EUR | 10 | USD | 11 | The Bank of New York | 6/15/15 | — | (a) | |||||||||||||||||
INR | 16,342 | USD | 250 | JPMorgan Chase Bank N.A. | 12/11/15 | (4) | ||||||||||||||||||
USD | 99 | EUR | 93 | The Bank of New York | 6/15/15 | (6) | ||||||||||||||||||
USD | 375 | EUR | 330 | JPMorgan Chase Bank N.A. | 7/23/15 | 4 | ||||||||||||||||||
USD | 97 | EUR | 83 | JPMorgan Chase Bank N.A. | 7/23/15 | 3 | ||||||||||||||||||
USD | 40 | EUR | 35 | JPMorgan Chase Bank N.A. | 7/23/15 | 1 | ||||||||||||||||||
USD | 34 | EUR | 29 | JPMorgan Chase Bank N.A. | 7/23/15 | 1 | ||||||||||||||||||
USD | 285 | EUR | 265 | JPMorgan Chase Bank N.A. | 10/02/15 | (12) | ||||||||||||||||||
USD | 145 | EUR | 136 | JPMorgan Chase Bank N.A. | 9/16/16 | (9) | ||||||||||||||||||
Total | $ | (20) | ||||||||||||||||||||||
|
|
Footnote Legend:
(a) | Amount is less than $500. |
See Notes to Financial Statements.
14
VIRTUS ALTERNATIVE INCOME SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Concluded)
April 30, 2015 (UNAUDITED)
($ are reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of April 30, 2015 (See Security Valuation Note 2B in the Notes to Financial Statements):
Total Value at April 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Debt Securities: | ||||||||||||||||
Foreign Government Securities | $ | 1,149 | $ | — | $ | 931 | $ | 218 | ||||||||
Municipal Bonds | 354 | — | 354 | — | ||||||||||||
Mortgaged-Backed Securities | 10 | — | 10 | — | ||||||||||||
Asset-Backed Securities | 415 | — | 415 | — | ||||||||||||
Corporate Bonds | 16,761 | — | 16,614 | 147 | ||||||||||||
Loan Agreements | 6,110 | — | 6,110 | — | ||||||||||||
Convertible Bonds | 215 | — | 215 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Warrants | 6 | 6 | — | — | ||||||||||||
Preferred Stock | 152 | 101 | 51 | — | ||||||||||||
Common Stocks | 4,672 | 3,775 | 897 | — | ||||||||||||
Master Limited Partnerships | 4,336 | 4,336 | — | — | ||||||||||||
Real Estate Investment Trusts | 5,569 | 5,569 | — | — | ||||||||||||
Short-Term Investments | 2,364 | 2,364 | — | — | ||||||||||||
Purchased Options | 3 | 3 | — | — | ||||||||||||
Forward foreign Currency Exchange Contracts | 11 | — | 11 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 42,127 | 16,154 | 25,608 | 365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Securities Sold Short | (1,002) | (1,002) | — | — | ||||||||||||
Futures Contracts | (16) | (16) | — | — | ||||||||||||
Forward foreign Currency Exchange Contracts | (31) | — | (31) | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (1,049) | $ | (1,018) | $ | (31) | $ | — | ||||||||
|
|
|
|
|
|
|
|
Securities held by the Fund with an end of period value of $681,779 were transferred from Level 1 into Level 2 based on our valuation procedures for non-US securities. (See Note 2B in the Notes to Financial Statements for more information).
The following is a reconciliation of assets of the Fund for Level 3 investments which significant unobservable inputs were used to determine fair value:
Total | Foreign Government Securities | Corporate Bonds | ||||||||||
Investments in Securities | ||||||||||||
Balance as of October 31, 2014 | $ | 386 | $ | 237 | $ | 149 | ||||||
Accrued discount/(premium) | —(a) | —(a) | —(a) | |||||||||
Realized gain (loss) | —(a) | — | —(a) | |||||||||
Change in unrealized appreciation (depreciation)(b) | (20) | (19) | (1) | |||||||||
Purchases | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Transfers into Level 3(c) | — | — | — | |||||||||
Transfers from Level 3(c) | — | — | — | |||||||||
Paydowns | (1) | — | (1) | |||||||||
|
|
|
|
|
| |||||||
Balance as of April 30, 2015 | $ | 365 | $ | 218(d) | $ | 147(d) | ||||||
|
|
|
|
|
|
Footnote Legend:
(a) | Amount is less than $500. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. The change in unrealized appreciation (depreciation) on investments still held as of April 30, 2015 was $(20). |
(c) | “Transfers into and/or from” represent the ending value as of April 30, 2015, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
(d) | The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
None of the securities in this table are internally fair valued.
See Notes to Financial Statements.
15
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR VALUE | VALUE | |||||||||
U.S. GOVERNMENT SECURITIES—19.9% |
| |||||||||
Agency—4.2% | ||||||||||
FFCB | $ | 600 | $ | 601 | ||||||
FHLB | 500 | 500 | ||||||||
FHLMC | 200 | 200 | ||||||||
0.580%, 8/26/16 | 100 | 100 | ||||||||
|
| |||||||||
1,401 | ||||||||||
|
| |||||||||
Non-Agency—15.7% | ||||||||||
United States Treasury | 3,963 | 4,015 | ||||||||
1.375%, 2/15/44 | 1,007 | 1,172 | ||||||||
|
| |||||||||
5,187 | ||||||||||
| ||||||||||
TOTAL U.S. GOVERNMENT SECURITIES |
| |||||||||
(Identified Cost $6,383) |
| 6,588 | ||||||||
| ||||||||||
MUNICIPAL BONDS—0.8% |
| |||||||||
New Jersey—0.2% |
| |||||||||
Tobacco Settlement | 70 | 54 | ||||||||
5.000%, 6/1/41 | 10 | 8 | ||||||||
|
| |||||||||
62 | ||||||||||
|
| |||||||||
Puerto Rico—0.3% |
| |||||||||
Commonwealth of | 100 | 78 | ||||||||
5.000%, 7/1/41 | 5 | 3 | ||||||||
Puerto Rico Sales | 5 | 3 | ||||||||
0.000%, 8/1/54 | 210 | 15 | ||||||||
|
| |||||||||
99 | ||||||||||
|
| |||||||||
Texas—0.3% | ||||||||||
Texas Public Finance | 100 | 100 | ||||||||
| ||||||||||
TOTAL MUNICIPAL BONDS (Identified Cost $276) |
| 261 | ||||||||
| ||||||||||
ASSET-BACKED SECURITIES—0.4% |
| |||||||||
Cutwater Ltd. CLO | 100 | 96 |
PAR VALUE | VALUE | |||||||||
Gallatin CLO VII Ltd. | $ | 25 | $ | 24 | ||||||
Gallatin CLO VII Ltd. | 25 | 24 | ||||||||
| ||||||||||
TOTAL ASSET-BACKED SECURITIES |
| |||||||||
(Identified Cost $143) |
| 144 | ||||||||
| ||||||||||
CORPORATE BONDS—13.4% |
| |||||||||
Consumer Discretionary—3.7% |
| |||||||||
American | 20 | 20 | ||||||||
APX Group, Inc. | 15 | 15 | ||||||||
8.750%, 12/1/20 | 105 | 97 | ||||||||
Bon-Ton Department | 35 | 29 | ||||||||
Caesars Entertainment | 140 | 108 | ||||||||
9.000%, 2/15/20(4) | 70 | 54 | ||||||||
Chester Downs & | 65 | 50 | ||||||||
Claire’s Stores, Inc. | 17 | 9 | ||||||||
Claire’s Stores, Inc. | 15 | 6 | ||||||||
Guitar Center, Inc. | 105 | 83 | ||||||||
iHeartCommunications, | 20 | 18 | ||||||||
iHeartCommunications, | 20 | 17 | ||||||||
JC Penney Corp., Inc. | 115 | 102 | ||||||||
Liberty Interactive LLC | 55 | 61 | ||||||||
Mohegan Tribal | 110 | 118 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued |
| |||||||
Nine West Holdings, | $ | 90 | $ | 76 | ||||
PF Chang’s China | 5 | 5 | ||||||
Scientific Games | 25 | 26 | ||||||
10.000%, 12/1/22(3) | 30 | 28 | ||||||
Shingle Springs Tribal | 75 | 85 | ||||||
Sirius XM Radio, Inc. | 65 | 66 | ||||||
Time Warner Cable, | 10 | 11 | ||||||
5.500%, 9/1/41 | 10 | 9 | ||||||
Toys R Us, Inc. | 100 | 88 | ||||||
7.375%, 10/15/18 | 60 | 43 | ||||||
|
| |||||||
1,224 | ||||||||
|
| |||||||
Consumer Staples—0.9% |
| |||||||
Albertsons Holdings | 17 | 19 | ||||||
New Albertson’s, Inc. | 100 | 97 | ||||||
7.450%, 8/1/29 | 5 | 5 | ||||||
8.700%, 5/1/30 | 5 | 5 | ||||||
8.000%, 5/1/31 | 5 | 5 | ||||||
Rite Aid Corp. 144A | 65 | 68 | ||||||
6.875%, 12/15/28(3) | 15 | 17 | ||||||
SUPERVALU, Inc. | 30 | 31 | ||||||
7.750%, 11/15/22 | 50 | 54 | ||||||
|
| |||||||
301 | ||||||||
|
| |||||||
Energy—2.1% |
| |||||||
Alpha Natural | 15 | 3 | ||||||
6.250%, 6/1/21 | 15 | 3 | ||||||
American Energy - | 20 | 12 |
See Notes to Financial Statements.
16
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
American | $ | 35 | $ | 26 | ||||||
7.375%, 11/1/21(3) | 5 | 4 | ||||||||
Basic Energy Services, | 5 | 4 | ||||||||
Citgo Holding, Inc. | 40 | 42 | ||||||||
Energy Transfer Equity LP | 60 | 63 | ||||||||
EXCO Resources, Inc. | 15 | 9 | ||||||||
Kosmos Energy, Ltd. | 25 | 24 | ||||||||
Linn Energy LLC / Linn | 10 | 8 | ||||||||
MEG Energy Corp. | 10 | 10 | ||||||||
Memorial Production | 15 | 15 | ||||||||
Memorial Production | 20 | 19 | ||||||||
Murray Energy Corp. | 50 | 51 | ||||||||
Pacific Drilling SA | 50 | 43 | ||||||||
Rockies Express | 65 | 69 | ||||||||
Sabine Pass | 190 | 193 | ||||||||
Sabine Pass | 50 | 51 |
PAR VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
SandRidge Energy, | $ | 80 | $ | 53 | ||||||
|
| |||||||||
702 | ||||||||||
|
| |||||||||
Financials—2.1% | ||||||||||
Armor Re Ltd. | 200 | 198 | ||||||||
Earls Thirteen Ltd. | 148 | 147 | ||||||||
Genworth Holdings, | 5 | 5 | ||||||||
7.625%, 9/24/21 | 25 | 27 | ||||||||
6.500%, 6/15/34 | 15 | 14 | ||||||||
6.150%, 11/15/66(2) | 20 | 13 | ||||||||
Golden State RE II, | 250 | 250 | ||||||||
Kennedy-Wilson, Inc. | 35 | 36 | ||||||||
Ocwen Financial Corp. | 20 | 19 | ||||||||
|
| |||||||||
709 | ||||||||||
|
| |||||||||
Health Care—1.0% | ||||||||||
Aurora Diagnostics | 45 | 41 | ||||||||
Immucor, Inc. | 25 | 27 | ||||||||
Kindred Healthcare, | 30 | 31 | ||||||||
Kindred Healthcare, | 35 | 38 | ||||||||
8.750%, 1/15/23(3) | 10 | 11 | ||||||||
Lantheus Medical | 35 | 34 | ||||||||
Valeant | 20 | 21 | ||||||||
5.875%, 5/15/23(3) | 60 | 62 | ||||||||
6.125%, 4/15/25(3) | 55 | 57 | ||||||||
|
| |||||||||
322 | ||||||||||
|
|
PAR VALUE | VALUE | |||||||
Industrials—0.9% | ||||||||
Apex Tool Group LLC | $ | 10 | $ | 10 | ||||
Cenveo Corp. 144A | 15 | 14 | ||||||
8.500%, 9/15/22(3) | 40 | 34 | ||||||
Harland Clarke | 70 | 68 | ||||||
Monitronics | 105 | 104 | ||||||
ServiceMaster Co., | 50 | 51 | ||||||
|
| |||||||
281 | ||||||||
|
| |||||||
Information Technology—0.5% |
| |||||||
Advanced Micro | 90 | 70 | ||||||
BMC Software | 90 | 83 | ||||||
|
| |||||||
153 | ||||||||
|
| |||||||
Materials—1.0% | ||||||||
Aruba Investments, | 20 | 20 | ||||||
Cornerstone Chemical | 55 | 57 | ||||||
Hexion, Inc. | 35 | 33 | ||||||
Hexion, Inc. 144A | 15 | 16 | ||||||
IAMGOLD Corp. 144A | 65 | 56 | ||||||
Rain CII Carbon LLC / | 85 | 79 | ||||||
Signode Industrial | 70 | 70 | ||||||
|
| |||||||
331 | ||||||||
|
|
See Notes to Financial Statements.
17
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Telecommunication Services—0.6% |
| |||||||||
Frontier Communications | $ | 30 | $ | 31 | ||||||
Intelsat Luxembourg | 50 | 46 | ||||||||
Sprint Capital Corp. | 40 | 41 | ||||||||
Sprint Corp. | 45 | 44 | ||||||||
7.625%, 2/15/25 | 45 | 44 | ||||||||
|
| |||||||||
|
206 |
| ||||||||
|
| |||||||||
Utilities—0.6% |
| |||||||||
Dynegy, Inc. 144A | 40 | 43 | ||||||||
7.625%, 11/1/24(3) | 25 | 27 | ||||||||
GenOn Americas | 100 | 96 | ||||||||
Illinois Power | 35 | 33 | ||||||||
|
| |||||||||
199 | ||||||||||
| ||||||||||
TOTAL CORPORATE BONDS (Identified Cost $4,492) |
| 4,428 | ||||||||
| ||||||||||
COMMODITY LINKED NOTES—2.2% |
| |||||||||
Financials—2.2% |
| |||||||||
Canadian Imperial | 440 | 321 | ||||||||
Royal Bank of Canada | 380 | 412 | ||||||||
|
| |||||||||
|
733 |
| ||||||||
| ||||||||||
TOTAL COMMODITY LINKED NOTES | ||||||||||
(Identified Cost $820) | 733 | |||||||||
| ||||||||||
CONVERTIBLE BONDS—0.1% |
| |||||||||
Consumer Discretionary—0.1% |
| |||||||||
Liberty Interactive LLC | 57 | 36 | ||||||||
|
| |||||||||
Energy—0.0% |
| |||||||||
Alpha Natural | 25 | 9 | ||||||||
| ||||||||||
TOTAL CONVERTIBLE BONDS (Identified Cost $60) |
| 45 | ||||||||
|
PAR | ||||||||||
VALUE | VALUE | |||||||||
LOAN AGREEMENTS—5.6% |
| |||||||||
Consumer Discretionary—2.0% |
| |||||||||
AMF Bowling Centers, | $ | 30 | $ | 30 | ||||||
iHeartCommunications, Inc. | 120 | 115 | ||||||||
Indra Holdings Corp. | 20 | 19 | ||||||||
MediArena Acquisition | 40 | 40 | ||||||||
Mohegan Tribal | 45 | 45 | ||||||||
Nine West Holdings, | 50 | 46 | ||||||||
PetSmart, Inc. | 30 | 31 | ||||||||
Red Lobster | 50 | 50 | ||||||||
Scientific Games | 35 | 35 | ||||||||
Tenet Healthcare Corp. | 45 | — | (8) | |||||||
Toys ’R’ US-Delaware, Inc. | 75 | 71 | ||||||||
Tribune Publishing Co. | 68 | 68 | ||||||||
Visant Corp. | 35 | 35 | ||||||||
Wilton Brands LLC | 64 | 62 | ||||||||
|
| |||||||||
647 | ||||||||||
|
|
PAR | ||||||||
VALUE | VALUE | |||||||
Consumer Staples—0.3% |
| |||||||
Albertson’s LLC, Term | $ | 70 | $ | 71 | ||||
Vogue International | 35 | 35 | ||||||
|
| |||||||
106 | ||||||||
|
| |||||||
Energy—1.1% |
| |||||||
KCA Deutag US | 20 | 18 | ||||||
Longview Power, LLC | 65 | 66 | ||||||
Murray Energy Corp. | 100 | 99 | ||||||
OSG Bulk Ships, Inc. | 15 | 15 | ||||||
OSG International, Inc. | 115 | 115 | ||||||
Preferred Proppants | 55 | 45 | ||||||
|
| |||||||
358 | ||||||||
|
| |||||||
Health Care—0.5% |
| |||||||
CCS Intermediate | 65 | 65 | ||||||
Millennium Health, | 35 | 29 | ||||||
Onex Carestream | 70 | 70 | ||||||
|
| |||||||
164 | ||||||||
|
| |||||||
Industrials—0.3% |
| |||||||
Koosharem, LLC | 50 | 49 | ||||||
NN, Inc. | 24 | 25 | ||||||
Photonis Technologies | 25 | 24 | ||||||
|
| |||||||
98 | ||||||||
|
|
See Notes to Financial Statements.
18
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR VALUE | VALUE | |||||||||
Information Technology—0.2% |
| |||||||||
BMC Software | $ | 29 | $ | 28 | ||||||
GTCR Valor | 30 | 30 | ||||||||
|
| |||||||||
|
58 |
| ||||||||
|
| |||||||||
Materials—0.4% | ||||||||||
Albaugh, LLC | 48 | 49 | ||||||||
AZ Chem US Inc. First Lien | 60 | 60 | ||||||||
Styrolution U.S. | 35 | 35 | ||||||||
|
| |||||||||
|
144 |
| ||||||||
|
| |||||||||
Utilities—0.8% |
| |||||||||
Energy Future | 65 | 65 | ||||||||
Panda Temple | 35 | 35 | ||||||||
Texas Competitive | 250 | 153 | ||||||||
4.668%, 10/10/17(4) | 45 | 28 | ||||||||
|
| |||||||||
281 | ||||||||||
| ||||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $1,958) |
| 1,856 | ||||||||
| ||||||||||
SHARES | ||||||||||
PREFERRED STOCK—0.1% |
| |||||||||
Financials — 0.1% |
| |||||||||
Ally Financial, Inc. Series G 144A 7.000%(3) | 30 | (9) | 31 | |||||||
| ||||||||||
TOTAL PREFERRED STOCK (Identified Cost $30) |
| 31 | ||||||||
|
SHARES | VALUE | |||||||||
COMMON STOCKS—17.3% |
| |||||||||
Consumer Discretionary—1.3% |
| |||||||||
Eutelsat | 7,101 | $ | 248 | |||||||
SES SA | 5,602 | 196 | ||||||||
|
| |||||||||
444 | ||||||||||
|
| |||||||||
Energy—1.3% | ||||||||||
EnLink Midstream LLC | 66 | 2 | ||||||||
Exterran Holdings, Inc. | 48 | 2 | ||||||||
Gaslog Ltd. | 1,830 | 41 | ||||||||
Kinder Morgan, Inc. | 105 | 5 | ||||||||
ONEOK, Inc. | 814 | 39 | ||||||||
Phillips 66 | 222 | 18 | ||||||||
SemGroup Corp. | 1,148 | 97 | ||||||||
Targa Resources Corp. | 744 | 78 | ||||||||
TransCanada Corp. | 75 | 3 | ||||||||
Williams Cos, Inc. (The) | 2,919 | 149 | ||||||||
|
| |||||||||
434 | ||||||||||
|
| |||||||||
Industrials—8.1% | ||||||||||
Abertis | 7,700 | 142 | ||||||||
Aeroports de Paris | 1,066 | 131 | ||||||||
ASTM SpA | 3,700 | 53 | ||||||||
Atlantia SpA | 17,100 | 483 | ||||||||
CSX Corp. | 7,281 | 263 | ||||||||
Flughafen Wien AG | 300 | 27 | ||||||||
Flughafen Zuerich AG | 165 | 129 | ||||||||
Fraport AG Frankfurt Airport Services Worldwide | 2,131 | 135 | ||||||||
Macquarie Atlas | 26,600 | 68 | ||||||||
Macquarie | 1,622 | 134 | ||||||||
Macquarie Korea | 4,500 | 33 | ||||||||
Norfolk Southern | 2,345 | 237 | ||||||||
Societa Iniziative | 6,700 | 78 | ||||||||
Transurban Group | 42,312 | 331 | ||||||||
Vinci SA | 7,400 | 456 | ||||||||
|
| |||||||||
2,700 | ||||||||||
|
| |||||||||
Utilities—6.6% | ||||||||||
Ameren Corp. | 2,750 | 113 | ||||||||
AusNet Services | 68,700 | 80 | ||||||||
DUET Group | 84,737 | 169 | ||||||||
Great Plains Energy, Inc. | 9,000 | 236 |
SHARES | VALUE | |||||||
Utilities—continued | ||||||||
Hera SpA | 35,263 | $ | 93 | |||||
Pennon Group PLC | 16,753 | 221 | ||||||
PG&E Corp. | 1,700 | 90 | ||||||
SJW Corp. | 500 | 15 | ||||||
Snam SpA | 80,635 | 422 | ||||||
Spark Infrastructure | 70,400 | 108 | ||||||
Terna Rete Elettrica | 85,274 | 403 | ||||||
Toho Gas Co. Ltd. | 14,111 | 85 | ||||||
Tokyo Gas Co. Ltd. | 24,000 | 138 | ||||||
|
| |||||||
2,173 | ||||||||
| ||||||||
TOTAL COMMON STOCKS (Identified Cost $5,684) |
| 5,751 | ||||||
| ||||||||
MASTER LIMITED PARTNERSHIPS—15.8% |
| |||||||
Chemicals-Specialty—0.2% |
| |||||||
Westlake Chemical | 2,486 | 72 | ||||||
|
| |||||||
Coal & Consumable Fuels—0.0% |
| |||||||
Enviva Partners LP | 289 | 6 | ||||||
|
| |||||||
Energy—0.4% | ||||||||
Columbia Pipeline | 1,512 | 41 | ||||||
Tallgrass Energy | 1,046 | 51 | ||||||
VTTI Energy Partners | 1,438 | 35 | ||||||
|
| |||||||
127 | ||||||||
|
| |||||||
Gas-Distribution—0.1% |
| |||||||
AmeriGas Partners LP | 616 | 30 | ||||||
|
| |||||||
Gas-Transportation—0.1% |
| |||||||
PBF Logistics LP | 963 | 23 | ||||||
|
| |||||||
Oil & Gas Equipment & Services—0.0% |
| |||||||
USA Compression | 30 | 1 | ||||||
|
| |||||||
Oil Components-Exploration and |
| |||||||
Antero Midstream | 2,499 | 62 | ||||||
EV Energy Partners LP | 467 | 8 | ||||||
Summit Midstream | 3,540 | 126 | ||||||
|
| |||||||
196 | ||||||||
|
| |||||||
Oil-Field Services—0.8% |
| |||||||
CrossAmerica | 2,662 | 84 |
See Notes to Financial Statements.
19
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
SHARES | VALUE | |||||||||
Oil-Field Services—continued |
| |||||||||
Exterran Partners LP | 4,374 | $ | 117 | |||||||
Rice Midstream | 4,062 | 61 | ||||||||
|
| |||||||||
262 | ||||||||||
|
| |||||||||
Pipelines—13.4% |
| |||||||||
Boardwalk Pipeline | 1,920 | 34 | ||||||||
Buckeye Partners LP | 3,936 | 321 | ||||||||
Cheniere Energy | 13 | — | (8) | |||||||
Cone Midstream | 614 | 11 | ||||||||
Crestwood Midstream | 201 | 3 | ||||||||
DCP Midstream | 45 | 2 | ||||||||
Dominion Midstream | 863 | 35 | ||||||||
Energy Transfer Equity | 8,666 | 578 | ||||||||
Energy Transfer | 8,351 | 482 | ||||||||
Enterprise Products | 23,888 | 818 | ||||||||
EQT Midstream | 1,150 | 101 | ||||||||
Magellan Midstream | 4,451 | 372 | ||||||||
MarkWest Energy | 2,092 | 141 | ||||||||
MPLX LP | 2,309 | 179 | ||||||||
NuStar Energy LP | 1,653 | 111 | ||||||||
Plains All American | 7,359 | 369 | ||||||||
Plains GP Holdings LP | 6,385 | 188 | ||||||||
QEP Midstream | 3,856 | 66 | ||||||||
Rose Rock Midstream | 1,468 | 76 | ||||||||
Shell Midstream | 5,846 | 235 | ||||||||
Spectra Energy | 29 | 2 | ||||||||
Sunoco Logistics | 1,620 | 72 | ||||||||
Targa Resources | 104 | 5 | ||||||||
Tesoro Logistics LP | 2,161 | 121 | ||||||||
Williams Partners LP | 2,728 | 135 | ||||||||
|
| |||||||||
4,457 | ||||||||||
|
|
SHARES | VALUE | |||||||||
Transportation-Marine—0.2% |
| |||||||||
Teekay LNG Partners | 1,665 | $ | 66 | |||||||
| ||||||||||
TOTAL MASTER LIMITED PARTNERSHIPS |
| |||||||||
(Identified Cost $4,882) | 5,240 | |||||||||
| ||||||||||
REAL ESTATE INVESTMENT TRUSTS—17.6% |
| |||||||||
Apartments—3.4% |
| |||||||||
AvalonBay | 2,346 | 385 | ||||||||
Camden Property | 3,715 | 279 | ||||||||
Equity Residential | 6,239 | 461 | ||||||||
|
| |||||||||
1,125 | ||||||||||
|
| |||||||||
Diversified—0.8% |
| |||||||||
Digital Realty Trust, | 980 | 62 | ||||||||
Vornado Realty Trust | 2,070 | 214 | ||||||||
|
| |||||||||
276 | ||||||||||
|
| |||||||||
Financials—0.2% |
| |||||||||
Spirit Realty Capital, | 5,357 | 61 | ||||||||
|
| |||||||||
Health Care—1.3% |
| |||||||||
HCP, Inc. | 1,620 | 65 | ||||||||
Healthcare Realty | 2,159 | 55 | ||||||||
Senior Housing | 2,967 | 61 | ||||||||
Ventas, Inc. | 3,550 | 245 | ||||||||
|
| |||||||||
426 | ||||||||||
|
| |||||||||
Industrial—0.5% |
| |||||||||
Prologis, Inc. | 3,227 | 130 | ||||||||
Terreno Realty Corp. | 1,343 | 28 | ||||||||
|
| |||||||||
158 | ||||||||||
|
| |||||||||
Infrastructure—1.7% |
| |||||||||
American Tower Corp. | 5,837 | 552 | ||||||||
|
| |||||||||
Lodging/Resort—1.1% |
| |||||||||
LaSalle Hotel | 4,661 | 171 | ||||||||
RLJ Lodging Trust | 4,151 | 123 | ||||||||
Sunstone Hotel | 5,194 | 81 | ||||||||
|
| |||||||||
375 | ||||||||||
|
| |||||||||
Mixed—0.3% |
| |||||||||
Duke Realty Corp. | 5,119 | 101 | ||||||||
|
| |||||||||
Office—1.2% |
| |||||||||
Alexandria Real Estate | 16 | 1 |
SHARES | VALUE | |||||||
Office—continued |
| |||||||
BioMed Realty Trust, | 4,990 | $ | 104 | |||||
Boston Properties, | 1,884 | 249 | ||||||
Corporate Office | 1,690 | 45 | ||||||
|
| |||||||
399 | ||||||||
|
| |||||||
Office Property—0.9% |
| |||||||
Douglas Emmett, Inc. | 978 | 28 | ||||||
Hudson Pacific | 1,974 | 59 | ||||||
New York REIT, Inc. | 5,669 | 56 | ||||||
Paramount Group, Inc. | 3,970 | 73 | ||||||
SL Green Realty Corp. | 791 | 97 | ||||||
|
| |||||||
313 | ||||||||
|
| |||||||
Regional Malls—3.2% |
| |||||||
CBL & Associates | 5,931 | 107 | ||||||
General Growth | 3,658 | 100 | ||||||
Simon Property | 3,981 | 723 | ||||||
Taubman Centers, Inc. | 1,931 | 139 | ||||||
|
| |||||||
1,069 | ||||||||
|
| |||||||
Self Storage—1.0% |
| |||||||
Public Storage | 1,678 | 315 | ||||||
|
| |||||||
Shopping Centers—1.1% |
| |||||||
Brixmor Property | 2,954 | 69 | ||||||
Federal Realty | 1,424 | 190 | ||||||
Ramco-Gershenson | 2,652 | 47 | ||||||
Retail Properties of | 4,683 | 71 | ||||||
|
| |||||||
377 | ||||||||
|
| |||||||
Specialized—0.2% |
| |||||||
Health Care REIT, Inc. | 1,019 | 73 | ||||||
|
| |||||||
Timber—0.6% |
| |||||||
Weyerhaeuser Co. | 6,658 | 210 | ||||||
|
| |||||||
Warehouse/Industrial—0.1% |
| |||||||
EastGroup Properties, | 360 | 21 | ||||||
| ||||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Identified Cost $5,461) |
| 5,851 | ||||||
|
See Notes to Financial Statements.
20
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
CONTRACTS | VALUE | |||||||||
PURCHASED OPTIONS—0.0% |
| |||||||||
Put Options—0.0% | ||||||||||
Markit CDX North America High Yield Index Expiring 06/20/15 Strike price $103 | 100 | $ | 1 | |||||||
TOTAL PURCHASED OPTIONS (Identified Cost $7) |
| 1 | ||||||||
TOTAL LONG TERM INVESTMENTS — 93.2% (Identified Cost $30,196) |
| 30,929 | ||||||||
SHARES | ||||||||||
SHORT-TERM INVESTMENTS—5.9% |
| |||||||||
Money Market Mutual Funds—5.9% |
| |||||||||
BlackRock Liquidity Funds TempFund Portfolio -Institutional Shares (Seven-day effective yield 0.080%) | 1,954,788 | $ | 1,955 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,955) |
| 1,955 | ||||||||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD (Identified Cost $32,151) |
| $ | 32,884 | (1) | ||||||
SECURITIES SOLD SHORT—(3.6)% |
| |||||||||
Exchange Traded Funds—(3.6)% |
| |||||||||
Energy Select Sector | (857 | ) | (71 | ) |
SHARES | VALUE | |||||||||
Exchange Traded Funds—continued |
| |||||||||
JPMorgan Alerian | (21,038 | ) | $ | (955 | ) | |||||
SPDR S&P 500 ETF | (523 | ) | (109 | ) | ||||||
SPDR S&P Oil & Gas | (1,200 | ) | (66 | ) | ||||||
|
| |||||||||
(1,201 | ) | |||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $1,249) |
| (1,201 | )(1) | |||||||
VALUE | ||||||||||
TOTAL INVESTMENTS NET OF SECURITIES SOLD SHORT — 95.5% (Identified Cost $30,902) |
| $ | 31,683 | |||||||
Other assets and liabilities, net — 4.5% | 1,501 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 33,184 | ||||||||
|
| |||||||||
Footnote Legend: (1) Federal Income Tax Information: For tax information at April 30, 2015, see Note 11 Federal Income Tax Information in the Notes to Financial Statements. (2) Variable or step coupon security; interest rate shown reflects the rate in effect at April 30, 2015. (3) 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 April 30, 2015, these securities amounted to a value of $2,868 or 8.6% of net assets. (4) Security in default, interest payments are being received during the bankruptcy proceedings. (5) 86% of the income received was in cash and 14% in PIK. (6) Illiquid security. |
|
(7) | This loan will settle after April 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be known. |
(8) | Amount is less than $500. |
(9) | Amount shown is par value. |
(10) | All or a portion segregated as collateral for securities sold short. |
(11) | Non-income producing. |
Abbreviations:
CLO | Collateralized Loan Obligation | |
ETF | Exchange Traded Fund | |
ETN | Exchange Traded Note | |
FFCB | Federal Farm Credit Bank | |
FHLB | Federal Home Loan Bank | |
FHLMC | Federal Home Loan Mortgage Corp. | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
MLP | Master Limited Partnership | |
PIK | Payment-in-Kind Security | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust | |
S&P | Standard & Poor’s | |
SPDR | Standard & Poor’s Depositary Receipt |
Foreign Currencies:
EUR | European Currency Unit | |
USD | United States Dollar |
Country Weightings (Unaudited)† | ||
United States | 77% | |
Italy | 5 | |
Canada | 3 | |
France | 3 | |
Australia | 2 | |
Bermuda | 2 | |
Other | 8 | |
Total | 100% | |
†% of total investments, net of securities sold short, as of April 30, 2015 |
Futures contracts as of April 30, 2015 were as follows:
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Unrealized Appreciation (Depreciation) | ||||
Canada FX Currency Future | June 2015 | (1) | $ (83) | $ (3) | ||||
Euro FX Currency Future | June 2015 | (2) | (282) | (10) | ||||
U.S. 10 Year Treasury Note | June 2015 | (15) | (1,926) | (6) | ||||
U.S. 5 Year Treasury Note (CBT) | June 2015 | (2) | (240) | (2) | ||||
U.S. Ultra Bond | June 2015 | (23) | (3,784) | 85 | ||||
Total | $ 64 |
See Notes to Financial Statements.
21
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: | ||||||||||||||||||||
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
EUR | 36 | USD | 39 | The Bank of New York | 6/15/15 | $1 | ||||||||||||||
EUR | 10 | USD | 11 | The Bank of New York | 6/15/15 | — | (a) | |||||||||||||
USD | 71 | EUR | 67 | The Bank of New York | 6/15/15 | (4) | ||||||||||||||
Total | $(3) | |||||||||||||||||||
|
|
Footnote Legend:
(a) | Amount is less than $500. |
The following table provides a summary of inputs used to value the Fund’s investments as of April 30, 2015 (See Security Valuation Note 2B in the Notes to Financial Statements):
Total Value at April 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Debt Securities: | ||||||||||||||||
U.S. Government Securities | $ 6,588 | $ — | $ 6,588 | $ — | ||||||||||||
Municipal Bonds | 261 | — | 261 | — | ||||||||||||
Asset-Backed Securities | 144 | — | 144 | — | ||||||||||||
Corporate Bonds | 4,428 | — | 4,281 | 147 | ||||||||||||
Commodity Linked Notes | 733 | — | 733 | — | ||||||||||||
Convertible Bonds | 45 | — | 45 | — | ||||||||||||
Loan Agreements | 1,856 | — | 1,856 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Preferred Stock | 31 | — | 31 | — | ||||||||||||
Common Stocks | 5,751 | 4,771 | 980 | — | ||||||||||||
Master Limited Partnerships | 5,240 | 5,240 | — | — | ||||||||||||
Real Estate Investment Trusts | 5,851 | 5,851 | — | — | ||||||||||||
Short-Term Investments | 1,955 | 1,955 | — | — | ||||||||||||
Purchased Options | 1 | 1 | — | — | ||||||||||||
Futures Contracts | 85 | 85 | — | — | ||||||||||||
Forward Foreign Currency Exchange Contracts | 1 | — | 1 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 32,970 | 17,903 | 14,920 | 147 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Securities Sold Short | (1,201 | ) | (1,201 | ) | — | — | ||||||||||
Futures Contracts | (21 | ) | (21 | ) | — | — | ||||||||||
Forward Foreign Currency Exchange Contracts | (4 | ) | — | (4 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ (1,226) | $ (1,222) | $ (4) | $ — | ||||||||||||
|
|
|
|
|
|
|
|
Securities held by the Fund with an end of period value of $980,384 were transferred from Level 1 into Level 2 based on our valuation procedures for non-US securities. (See Note 2B in the Notes to Financial Statements for more information).
See Notes to Financial Statements.
22
VIRTUS ALTERNATIVE INFLATION SOLUTION FUND
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
The following is a reconciliation of assets of the Fund for Level 3 investments which significant unobservable inputs were used to determine fair value.
Corporate Bonds | ||||
Investments in Securities | ||||
Balance as of October 31, 2014 | $149 | |||
Accrued discount/(premium) | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation)(a) | (1 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3(b) | — | |||
Transfers from Level 3(b) | — | |||
Paydowns | (1 | ) | ||
|
| |||
Balance as of April 30, 2015 | $147 | (c) | ||
|
|
Footnote Legend:
(a) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. The change in unrealized appreciation (depreciation) on investments still held as of April 30, 2015 was $(1). |
(b) | “Transfers into and/or from” represent the ending value as of April 30, 2015, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
(c) | The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
None of the securities in this table are internally fair valued.
See Notes to Financial Statements.
23
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR VALUE | VALUE | |||||||||
FOREIGN GOVERNMENT |
| |||||||||
Argentine Republic Government International Bond 0.000%, 12/15/35 | 3,980 | EUR | $ | 425 | ||||||
Brazil Notas do | 320 | BRL | 105 | |||||||
Hellenic Republic | 25 | EUR | 16 | |||||||
3.000%, 2/24/24(2) | 25 | EUR | 16 | |||||||
3.000%, 2/24/25(2) | 25 | EUR | 16 | |||||||
3.000%, 2/24/26(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/27(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/28(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/29(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/30(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/31(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/32(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/33(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/34(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/35(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/36(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/37(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/38(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/39(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/40(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/41(2) | 25 | EUR | 15 | |||||||
3.000%, 2/24/42(2) | 25 | EUR | 15 | |||||||
Instituto Costarricense | $ | 200 | 172 | |||||||
Kenya Treasury Bonds
|
| 250
|
|
| 218
|
| ||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,284) |
| 1,223 | ||||||||
MUNICIPAL BONDS—0.3% |
| |||||||||
New Jersey—0.1% |
| |||||||||
Tobacco Settlement | 80 | 62 | ||||||||
5.000%, 6/1/41 | 25 | 20 | ||||||||
|
| |||||||||
|
82 |
| ||||||||
|
| |||||||||
Puerto Rico—0.1% |
| |||||||||
Commonwealth of Puerto Rico, | 120 | 93 |
PAR VALUE | VALUE | |||||||||
Puerto Rico—continued |
| |||||||||
5.000%, 7/1/41 | $ | 5 | $ | 3 | ||||||
Puerto Rico Sales Tax | 10 | 7 | ||||||||
0.000%, 8/1/54 | 230 | 16 | ||||||||
|
| |||||||||
119 | ||||||||||
|
| |||||||||
Texas—0.1% | ||||||||||
Texas Public Finance Authority | 100 | 100 | ||||||||
TOTAL MUNICIPAL BONDS (Identified Cost $317) |
| 301 | ||||||||
ASSET-BACKED SECURITIES—0.5% |
| |||||||||
Cutwater Ltd. CLO | 100 | 96 | ||||||||
Gallatin CLO VII Ltd. 14-1A, D 144A | 30 | 29 | ||||||||
Gallatin CLO VII Ltd. 14-1A, E 144A | 25 | 24 | ||||||||
THL Credit Wind River CLO Ltd. | 250 | 247 | ||||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $390) |
| 396 | ||||||||
CORPORATE BONDS—17.7% |
| |||||||||
Consumer Discretionary—2.2% |
| |||||||||
American Achievement Corp. 144A | 50 | 50 | ||||||||
APX Group, Inc. | 15 | 15 | ||||||||
8.750%, 12/1/20 | 160 | 148 | ||||||||
Bon-Ton Department Stores, Inc. (The) | 45 | 38 | ||||||||
Caesars Entertainment Operating Co., Inc. | 10 | 7 | ||||||||
9.000%, 2/15/20(5) | 205 | 158 | ||||||||
9.000%, 2/15/20(5) | 100 | 77 | ||||||||
Chester Downs & Marina LLC / Chester Downs Finance Corp. 144A | 115 | 89 |
PAR VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Claire’s Stores, Inc. | $ | 65 | $ | 33 | ||||||
Claire’s Stores, Inc. 144A | 20 | 8 | ||||||||
Edcon Pty Ltd. RegS | 150 | 120 | ||||||||
Guitar Center, Inc. 144A | 10 | 9 | ||||||||
9.625%, 4/15/20(4) | 135 | 107 | ||||||||
iHeartCommunications, Inc. | 30 | 26 | ||||||||
iHeartCommunications, Inc. PIK | 25 | 20 | ||||||||
JC Penney Corp., Inc. | 25 | 25 | ||||||||
5.650%, 6/1/20 | 135 | 120 | ||||||||
Liberty Interactive LLC | 60 | 67 | ||||||||
Mohegan Tribal Gaming Authority | 175 | 188 | ||||||||
Nine West Holdings, Inc. 144A | 115 | 97 | ||||||||
PF Chang’s China Bistro, Inc. 144A | 5 | 5 | ||||||||
Radio One, Inc. 144A | 65 | 62 | ||||||||
Scientific Games International, Inc. 144A | 35 | 37 | ||||||||
10.000%, 12/1/22(4) | 40 | 37 | ||||||||
Shingle Springs Tribal Gaming Authority 144A | 105 | 119 | ||||||||
Sirius XM Radio, Inc. 144A | 85 | 86 | ||||||||
Time Warner Cable, Inc. | 10 | 11 | ||||||||
5.500%, 9/1/41 | 15 | 14 | ||||||||
Toys R Us, Inc. | 110 | 97 | ||||||||
7.375%, 10/15/18 | 65 | 47 | ||||||||
|
| |||||||||
|
1,917 |
| ||||||||
|
|
See Notes to Financial Statements.
24
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR VALUE | VALUE | |||||||||
Consumer Staples—1.1% |
| |||||||||
Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc. 144A | $ | 17 | $ | 19 | ||||||
Cott Beverages, Inc. 144A | 50 | 53 | ||||||||
Kissner Milling Co., Ltd. 144A | 325 | 335 | ||||||||
MHP SA RegS | 200 | 163 | ||||||||
New Albertson’s, Inc. | ||||||||||
7.750%, 6/15/26 | 110 | 107 | ||||||||
7.450%, 8/1/29 | 60 | 59 | ||||||||
8.700%, 5/1/30 | 5 | 5 | ||||||||
Rite Aid Corp. 144A | ||||||||||
6.125%, 4/1/23(4) | 75 | 78 | ||||||||
6.875%, 12/15/28(4) | 40 | 45 | ||||||||
SUPERVALU, Inc. | ||||||||||
6.750%, 6/1/21 | 45 | 47 | ||||||||
7.750%, 11/15/22 | 65 | 70 | ||||||||
|
| |||||||||
981 | ||||||||||
|
| |||||||||
Energy—4.8% |
| |||||||||
Alpha Natural Resources, Inc. | ||||||||||
6.000%, 6/1/19 | 25 | 5 | ||||||||
6.250%, 6/1/21 | 15 | 3 | ||||||||
American Energy - Woodford LLC/AEW Finance Corp. 144A | 20 | 12 | ||||||||
American Energy-Permian Basin LLC / AEPB Finance Corp. 144A | ||||||||||
7.125%, 11/1/20(4) | 30 | 22 | ||||||||
7.375%, 11/1/21(4) | 15 | 11 | ||||||||
Basic Energy Services, Inc. | 10 | 9 | ||||||||
Berau Capital Resources Pte, Ltd. RegS | 100 | 55 | ||||||||
Berau Coal Energy Tbk PT RegS | 200 | 105 | ||||||||
Bumi Capital Pte, Ltd. RegS | 300 | 100 |
PAR VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
Bumi Investment Pte, Ltd. | $ | 885 | $ | 296 | ||||||
Citgo Holding, Inc. 144A | 55 | 58 | ||||||||
EDC Finance, Ltd. RegS | 200 | 180 | ||||||||
Energy Transfer Equity LP | 70 | 74 | ||||||||
EXCO Resources, Inc. | 15 | 9 | ||||||||
Forbes Energy Services Ltd. | 475 | 347 | ||||||||
Gazprom OAO Via Gaz | 200 | 183 | ||||||||
Jupiter Resources, Inc. 144A | 60 | 51 | ||||||||
Kosmos Energy, Ltd. 144A | 35 | 34 | ||||||||
Linn Energy LLC / Linn Energy Finance Corp. | 10 | 8 | ||||||||
Lukoil International | 100 | 105 | ||||||||
MEG Energy Corp. 144A | 10 | 10 | ||||||||
Memorial Production Partners LP / Memorial Production Finance Corp. | 20 | 20 | ||||||||
Memorial Production Partners LP / Memorial Production Finance Corp. 144A | 30 | 28 | ||||||||
Murray Energy Corp. 144A | 75 | 77 | ||||||||
Pacific Drilling SA 144A | 50 | 43 |
PAR VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
Pacific Drilling V, Ltd. 144A | $ | 322 | $ | 301 | ||||||
Pacific Rubiales Energy Corp. 144A | 100 | 70 | ||||||||
Pacific Rubiales Energy Corp. RegS | 100 | 79 | ||||||||
Parker Drilling Co. | 5 | 4 | ||||||||
Petrobras Global Finance BV | ||||||||||
2.631%, 3/17/17(2) | 30 | 29 | ||||||||
2.415%, 1/15/19(2) | 52 | 48 | ||||||||
Petroleos de Venezuela SA | 458 | 270 | ||||||||
Petroleos de Venezuela SA RegS | ||||||||||
9.000%, 11/17/21(3) | 160 | 79 | ||||||||
12.750%, 2/17/22(3) | 114 | 67 | ||||||||
Rockies Express Pipeline LLC 144A | 105 | 112 | ||||||||
Sabine Pass Liquefaction LLC | 205 | 208 | ||||||||
Sabine Pass Liquefaction LLC 144A | 105 | 106 | ||||||||
SandRidge Energy, Inc. | ||||||||||
7.500%, 3/15/21 | 65 | 45 | ||||||||
7.500%, 2/15/23 | 110 | 73 | ||||||||
Sanjel Corp. 144A | 350 | 262 | ||||||||
Seitel, Inc. | 355 | 316 | ||||||||
Venoco, Inc. | ||||||||||
8.875%, 2/15/19 | 33 | 13 | ||||||||
8.875%, 2/28/19(7) | 183 | 115 | ||||||||
YPF SA RegS | 132 | 138 | ||||||||
|
| |||||||||
4,180 | ||||||||||
|
| |||||||||
Financials—1.1% |
| |||||||||
Banco do Brasil SA RegS | 200 | 149 | ||||||||
Earls Thirteen Ltd. 144A | 148 | 147 |
See Notes to Financial Statements.
25
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Financials—continued |
| |||||||||
Genworth Holdings, Inc. | $ | 5 | $ | 5 | ||||||
7.625%, 9/24/21 | 25 | 27 | ||||||||
6.500%, 6/15/34 | 15 | 14 | ||||||||
6.150%, 11/15/66(2) | 25 | 16 | ||||||||
Greektown Holdings LLC/Greektown Mothership Corp. 144A | 344 | 365 | ||||||||
Kennedy-Wilson, Inc. | 35 | 35 | ||||||||
Ocwen Financial Corp. 144A | 35 | 33 | ||||||||
Ukreximbank Via Biz Finance PLC | 200 | 137 | ||||||||
|
| |||||||||
|
928 |
| ||||||||
|
| |||||||||
Health Care—0.6% |
| |||||||||
Aurora Diagnostics Holdings / Aurora Diagnostics Financing, Inc. | 50 | 45 | ||||||||
CHS/Community Health Systems, Inc. | 50 | 54 | ||||||||
Immucor, Inc. | 30 | 32 | ||||||||
Kindred Healthcare, Inc. | 15 | 16 | ||||||||
Kindred Healthcare, Inc. 144A | 75 | 81 | ||||||||
8.750%, 1/15/23(4) | 10 | 11 | ||||||||
Lantheus Medical Imaging, Inc. | 40 | 39 | ||||||||
Valeant Pharmaceuticals International, Inc. 144A | 35 | 36 | ||||||||
5.875%, 5/15/23(4) | 85 | 87 | ||||||||
6.125%, 4/15/25(4) | 70 | 73 | ||||||||
|
| |||||||||
|
474 |
| ||||||||
|
| |||||||||
Industrials—3.4% |
| |||||||||
Apex Tool Group LLC 144A | 10 | 10 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Industrials—continued |
| |||||||||
Cenveo Corp. 144A | $ | 30 | $ | 28 | ||||||
8.500%, 9/15/22(4) | 55 | 46 | ||||||||
Gol LuxCo SA RegS | 200 | 154 | ||||||||
Harland Clarke Holdings Corp. 144A | 95 | 93 | ||||||||
Lansing Trade Group LLC / Lansing Finance Co., Inc. 144A | 417 | 419 | ||||||||
Michael Baker International LLC / CDL Acquisition Co., Inc. 144A | 383 | 376 | ||||||||
Monitronics International, Inc. | 135 | 134 | ||||||||
Navigator Holdings Ltd. 144A | 328 | 344 | ||||||||
OAS Finance, Ltd. RegS | 400 | 86 | ||||||||
Red de Carreteras de Occidente SAPIB de CV RegS | 2,000 | MXN | 128 | |||||||
Ridgebury Crude Tankers LLC 144A | 293 | 305 | ||||||||
ServiceMaster Co., LLC (The) | 50 | 51 | ||||||||
Techniplas LLC 144A | 65 | 67 | ||||||||
Tervita Corp. 144A | 308 | 287 | ||||||||
Titan International, Inc. | 431 | 392 | ||||||||
|
| |||||||||
|
2,920 |
| ||||||||
|
| |||||||||
Information Technology—0.2% |
| |||||||||
Advanced Micro Devices, Inc. | 115 | 90 | ||||||||
BMC Software Finance, Inc. 144A | 120 | 111 | ||||||||
|
| |||||||||
|
201 |
| ||||||||
|
|
PAR | ||||||||
VALUE | VALUE | |||||||
Materials—1.4% |
| |||||||
Aruba Investments, Inc. 144A | $ | 25 | $ | 25 | ||||
Cimento Tupi SA 144A | 60 | 22 | ||||||
Cornerstone Chemical Co. 144A | 115 | 120 | ||||||
Ferrexpo Finance PLC RegS | 200 | 166 | ||||||
Gold Fields Orogen Holding BVI Ltd. RegS | 200 | 182 | ||||||
Hexion, Inc. | 55 | 52 | ||||||
Hexion, Inc. 144A | 20 | 21 | ||||||
IAMGOLD Corp. 144A | 90 | 77 | ||||||
Magnesita Refractories Co. RegS | 100 | 97 | ||||||
Metinvest BV | 200 | 123 | ||||||
Norbord, Inc. 144A | 65 | 66 | ||||||
Rain CII Carbon LLC / CII Carbon Corp. 144A | 150 | 139 | ||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. 144A | 95 | 95 | ||||||
|
| |||||||
|
1,185 |
| ||||||
|
| |||||||
Telecommunication Services—2.3% |
| |||||||
Avanti Communications Group PLC 144A | 608 | 581 | ||||||
Axtel SAB de CV 144A | 15 | 14 | ||||||
Axtel SAB de CV RegS | 135 | 130 | ||||||
Digicel Ltd. RegS | 200 | 195 | ||||||
Intelsat Luxembourg SA | 85 | 79 |
See Notes to Financial Statements.
26
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Telecommunication Services—continued |
| |||||||||
Mobile Telesystems OJSC via MTS International Funding, Ltd. RegS | $ | 200 | $ | 180 | ||||||
Sprint Capital Corp. | 70 | 64 | ||||||||
8.750%, 3/15/32 | 55 | 56 | ||||||||
Sprint Corp. | 50 | 49 | ||||||||
7.625%, 2/15/25 | 50 | 49 | ||||||||
Trilogy International Partners LLC / Trilogy International Finance, Inc. 144A | 620 | 605 | ||||||||
|
| |||||||||
|
2,002 |
| ||||||||
|
| |||||||||
Utilities—0.6% |
| |||||||||
AES El Salvador Trust II RegS | 200 | 183 | ||||||||
Dynegy, Inc. 144A | 75 | 80 | ||||||||
7.625%, 11/1/24(4) | 25 | 27 | ||||||||
GenOn Americas Generation LLC | 100 | 98 | ||||||||
9.125%, 5/1/31 | 100 | 96 | ||||||||
Illinois Power Generating Co. | 55 | 52 | ||||||||
|
| |||||||||
|
536 |
| ||||||||
| ||||||||||
TOTAL CORPORATE BONDS |
| 15,324 | ||||||||
| ||||||||||
CONVERTIBLE BONDS—7.9% |
| |||||||||
Consumer Discretionary—0.8% |
| |||||||||
Ascent Capital Group, Inc. | 85 | 67 | ||||||||
Blucora, Inc. | 110 | 104 | ||||||||
Carriage Services, Inc. 144A | 90 | 108 | ||||||||
JAKKS Pacific, Inc. 144A | 45 | 40 | ||||||||
K Hovnanian Enterprises, Inc. | 50 | 52 | ||||||||
Liberty Interactive LLC | 50 | 33 | ||||||||
3.750%, 2/15/30 | 62 | 39 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Navistar International Corp. 144A | $ | 125 | $ | 117 | ||||||
RAIT Financial Trust | 50 | 42 | ||||||||
Twitter, Inc. 144A | 110 | 100 | ||||||||
|
| |||||||||
|
702 |
| ||||||||
|
| |||||||||
Consumer Staples—0.2% |
| |||||||||
Vector Group Ltd. | 135 | 145 | ||||||||
|
| |||||||||
Energy—0.2% |
| |||||||||
Alon USA Energy, Inc. 144A | 95 | 118 | ||||||||
Alpha Natural Resources, Inc. | 25 | 9 | ||||||||
4.875%, 12/15/20(10) | 108 | 23 | ||||||||
|
| |||||||||
|
150 |
| ||||||||
|
| |||||||||
Financials—2.6% |
| |||||||||
AmTrust Financial Services, Inc. | 105 | 97 | ||||||||
Bank of New York Mellon Luxembourg SA/The | 300 | EUR | 225 | |||||||
Campus Crest Communities Operating Partnership LP REIT 144A | 85 | 83 | ||||||||
Colony Financial, Inc. REIT | 78 | 89 | ||||||||
Consolidated-Tomoka Land Co. 144A | 15 | 16 | ||||||||
Cowen Group, Inc. 144A | 100 | 120 | ||||||||
Empire State Realty OP LP REIT 144A | 105 | 110 | ||||||||
Forest City Enterprises, Inc. | 35 | 40 | ||||||||
FXCM, Inc. | 192 | 160 |
PAR | ||||||||
VALUE | VALUE | |||||||
Financials—continued |
| |||||||
GPT Property Trust LP REIT 144A | $ | 90 | $ | 106 | ||||
IAS Operating Partnership LP REIT 144A | 105 | 101 | ||||||
iStar Financial, Inc. REIT 144A | 105 | 106 | ||||||
MGIC Investment Corp. 144A | 100 | 131 | ||||||
New Mountain Finance Corp. 144A | 125 | 128 | ||||||
Prospect Capital Corp. 144A | 105 | 102 | ||||||
Redwood Trust, Inc. REIT | 165 | 164 | ||||||
Resource Capital Corp. REIT | 90 | 83 | ||||||
8.000%, 1/15/20(10) | 55 | 54 | ||||||
Spirit Realty Capital, Inc. | 105 | 104 | ||||||
Starwood Property Trust, Inc. | 115 | 120 | ||||||
Starwood Waypoint Residential Trust REIT 144A | 105 | 103 | ||||||
|
| |||||||
|
2,242 |
| ||||||
|
| |||||||
Health Care—1.0% |
| |||||||
ANI Pharmaceuticals, Inc. | 81 | 92 | ||||||
Exelixis, Inc. | 165 | 127 | ||||||
Hologic, Inc. | 105 | 123 | ||||||
Immunomedics, Inc. 144A | 45 | 44 | ||||||
Omnicare, Inc. | 110 | 132 | ||||||
PDL BioPharma, Inc. | 56 | 54 | ||||||
Quidel Corp. | 94 | 96 |
See Notes to Financial Statements.
27
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Health Care—continued |
| |||||||||
Sequenom, Inc. | $ | 105 | $ | 118 | ||||||
Wright Medical Group, Inc. 144A | 95 | 100 | ||||||||
|
| |||||||||
886 | ||||||||||
|
| |||||||||
Industrials—1.0% |
| |||||||||
AAR Corp. Series B | 95 | 100 | ||||||||
Aegean Marine Petroleum Network, Inc. | 60 | 74 | ||||||||
Altra Industrial Motion Corp. | 115 | 130 | ||||||||
Cenveo Corp. | 140 | 128 | ||||||||
Sandisk Corp. | 205 | 212 | ||||||||
Trinity Industries, Inc. | 190 | 248 | ||||||||
|
| |||||||||
892 | ||||||||||
|
| |||||||||
Information Technology—1.4% |
| |||||||||
AOL, Inc. 144A | 165 | 167 | ||||||||
Citrix Systems, Inc. 144A | 55 | 58 | ||||||||
Intel Corp. | 85 | 108 | ||||||||
LinkedIn Corp. 144A | 25 | 28 | ||||||||
NVIDIA Corp. | 135 | 166 | ||||||||
Photronics, Inc. | ||||||||||
3.250%, 4/1/16 | 50 | 52 | ||||||||
3.250%, 4/1/19 | 58 | 63 | ||||||||
Priceline Group , Inc. (The) | 95 | 133 | ||||||||
PROS Holdings, Inc. 144A | 95 | 94 | ||||||||
Violin Memory, Inc. 144A | 120 | 112 | ||||||||
Vishay Intertechnology, Inc. | 90 | 73 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Information Technology—continued |
| |||||||||
Workday, Inc. | $ | 95 | $ | 119 | ||||||
|
| |||||||||
1,173 | ||||||||||
|
| |||||||||
Utilities—0.7% |
| |||||||||
Amyris, Inc. 144A | 90 | 61 | ||||||||
Green Plains, Inc. | 45 | 72 | ||||||||
Renewable Energy Group, Inc. | 85 | 82 | ||||||||
SolarCity Corp. 144A | 100 | 98 | ||||||||
Solazyme, Inc. | 195 | 113 | ||||||||
SunEdison, Inc. 144A | 140 | 157 | ||||||||
Theravance, Inc. | 75 | 68 | ||||||||
|
| |||||||||
651 | ||||||||||
| ||||||||||
TOTAL CONVERTIBLE BONDS (Identified Cost $6,989) |
| 6,841 | ||||||||
| ||||||||||
LOAN AGREEMENTS—5.3% |
| |||||||||
Consumer Discretionary—1.1% |
| |||||||||
1011778 B.C. | 45 | 45 | ||||||||
AMF Bowling Centers, Inc. Term Loan B | 40 | 40 | ||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) Tranche D | 175 | 168 | ||||||||
Indra Holdings Corp. First Lien | 25 | 24 | ||||||||
MediArena Acquisition B.V. (fka AP NMT Acquisition B.V.) First Lien Term Loan B | 50 | 50 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Mohegan Tribal Gaming Authority, Term Loan B | $ | 70 | $ | 70 | ||||||
Nine West Holdings, Inc. | 60 | 55 | ||||||||
PetSmart, Inc. | 40 | 41 | ||||||||
Red Lobster Management LLC, First Lien | 55 | 55 | ||||||||
Scientific Games International, Inc. Term Loan B-2 | 40 | 40 | ||||||||
Tenet Healthcare Corp. | 65 | — | (12) | |||||||
Toys ’R’ US-Delaware, Inc. Term Loan B-4 | 155 | 146 | ||||||||
Tribune Publishing Co. | 73 | 73 | ||||||||
Visant Corp. (fka Jostens) | 35 | 35 | ||||||||
Wilton Brands LLC (fka Wilton Brands, Inc.) Tranche B | 93 | 90 | ||||||||
|
| |||||||||
932 | ||||||||||
|
| |||||||||
Consumer Staples—0.4% |
| |||||||||
Albertson’s LLC, Term Loan B-4-1 | 85 | 86 | ||||||||
North Atlantic Trading Co., Inc. First Lien | 203 | 201 | ||||||||
Roundy’s Supermarkets, Inc. Tranche B | 45 | 44 | ||||||||
Vogue International LLC Tranche B | 40 | 40 | ||||||||
|
| |||||||||
371 | ||||||||||
|
| |||||||||
Energy—0.5% |
| |||||||||
KCA Deutag US Finance LLC (KCA Deutag GMBH) | 25 | 22 |
See Notes to Financial Statements.
28
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
Longview Power, LLC Term Loan B | $ | 95 | $ | 96 | ||||||
Murray Energy Corp. Term Loan B-2 | 100 | 99 | ||||||||
OSG Bulk Ships, Inc. | 14 | 15 | ||||||||
OSG International, Inc. (OIN Delaware LLC) | 134 | 136 | ||||||||
Preferred Proppants LLC | 55 | 45 | ||||||||
|
| |||||||||
413 | ||||||||||
|
| |||||||||
Financials—0.3% |
| |||||||||
Omnitracs, LLC (Coronado Holdings, LLC) Second Lien | 308 | 303 | ||||||||
|
| |||||||||
Health Care—0.3% |
| |||||||||
American Pacific Corp. | 162 | 164 | ||||||||
Millennium Health, LLC (fka Millennium Laboratories, LLC) Tranche B | 40 | 33 | ||||||||
Onex Carestream Finance LP Second Lien | 75 | 75 | ||||||||
|
| |||||||||
272 | ||||||||||
|
| |||||||||
Industrials—0.1% |
| |||||||||
Koosharem, LLC | 50 | 49 | ||||||||
NN, Inc. | 24 | 25 | ||||||||
Photonis Technologies SAS First Lien | 25 | 24 | ||||||||
|
| |||||||||
98 | ||||||||||
|
| |||||||||
Information Technology—1.9% |
| |||||||||
BMC Software Finance, Inc. | 33 | 33 | ||||||||
Dell International LLC, Term Loan B | 84 | 85 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Information Technology—continued |
| |||||||||
Greenway Health, LLC (fka Vitera Healthcare Solutions, LLC) First Lien | $ | 609 | $ | 611 | ||||||
GTCR Valor Companies, Inc. First Lien | 40 | 40 | ||||||||
Lanyon Solutions, Inc. (Lanyon, Inc.) Second Lien | 310 | 300 | ||||||||
TelX Group, Inc., (The) Second Lien | 615 | 624 | ||||||||
|
| |||||||||
1,693 | ||||||||||
|
| |||||||||
Materials—0.2% |
| |||||||||
Albaugh, LLC | 53 | 53 | ||||||||
AZ Chem US Inc. First Lien | 64 | 65 | ||||||||
Styrolution U.S. Holdings LLC Term Loan B | 40 | 41 | ||||||||
|
| |||||||||
159 | ||||||||||
|
| |||||||||
Utilities—0.5% |
| |||||||||
Energy Future Intermediate Holding Company LLC (EFIH Finance, Inc.) | 105 | 106 | ||||||||
Panda Temple Power, LLC | 45 | 45 | ||||||||
Texas Competitive Electric Holdings Co., LLC (TXU) | ||||||||||
4.668%, 8/21/15(5) | 290 | 178 | ||||||||
0.000%, 10/10/17(5) | 105 | 65 | ||||||||
|
| |||||||||
394 | ||||||||||
| ||||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $4,757) |
| 4,635 | ||||||||
|
SHARES | VALUE | |||||||
PREFERRED STOCK—0.7% | ||||||||
Consumer Discretionary—0.1% |
| |||||||
Barnes & Noble, Inc. Series J 144A | 60 | $ | 80 | |||||
|
| |||||||
Consumer Staples—0.4% |
| |||||||
Bunge Ltd. | 850 | 91 | ||||||
Post Holdings, Inc.144A | 995 | 106 | ||||||
Universal Corp. /VA | 95 | 105 | ||||||
|
| |||||||
302 | ||||||||
|
| |||||||
Energy—0.1% |
| |||||||
PetroQuest Energy, Inc. Series B | 2,325 | 58 | ||||||
SandRidge Energy, Inc. | 390 | 15 | ||||||
|
| |||||||
73 | ||||||||
|
| |||||||
Financials—0.0% |
| |||||||
Ally Financial, Inc. Series G 144A | 38 | (13) | 39 | |||||
|
| |||||||
Retail—0.1% |
| |||||||
Ramco-Gershenson Properties Trust Series D REIT | 1,455 | 92 | ||||||
TOTAL PREFERRED STOCK (Identified Cost $652) |
| 586 | ||||||
COMMON STOCKS—23.5% |
| |||||||
Consumer Discretionary—3.8% |
| |||||||
Ainsworth Game Technology, Ltd. | 12,992 | 29 | ||||||
Aramark | 5,804 | 178 | ||||||
CBS Corp. Class B | 5,759 | 358 | ||||||
Cineplex, Inc. | 298 | 12 | ||||||
Delphi Automotive PLC | 1,688 | 140 | ||||||
DIRECTV(14) | 2,783 | 252 | ||||||
Dollar Tree, Inc.(14) | 3,819 | 292 | ||||||
Eutelsat Communications SA | 3,352 | 117 | ||||||
GrandVision NV 144A(4)(14) | 314 | 8 |
See Notes to Financial Statements.
29
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
SHARES | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Home Depot, Inc. | 2,573 | $ | 275 | |||||||
iSelect, Ltd.(14) | 8,192 | 10 | ||||||||
JAKKS Pacific, Inc.(14) | 166 | 1 | ||||||||
Liberty Global PLC | 9,607 | 485 | ||||||||
Madison Square | 2,780 | 223 | ||||||||
SES SA | 2,658 | 93 | ||||||||
Time Warner, Inc. | 4,229 | 357 | ||||||||
Ulta Salon Cosmetics | 1,158 | 175 | ||||||||
Viacom, Inc. Class B | 1,970 | 137 | ||||||||
Walt Disney Co. (The) | 1,294 | 141 | ||||||||
|
| |||||||||
3,283 | ||||||||||
|
| |||||||||
Consumer Staples—1.7% |
| |||||||||
Brown-Forman Corp. | 662 | 60 | ||||||||
Constellation Brands, | 1,879 | 218 | ||||||||
Estee Lauder Cos, Inc. | 2,649 | 215 | ||||||||
Herbalife, Ltd.(14) | 2,173 | 90 | ||||||||
Keurig Green | 5,485 | 638 | ||||||||
Molson Coors Brewing | 947 | 70 | ||||||||
Mondelez | 2,980 | 114 | ||||||||
Refresco Gerber NV | 1,553 | 24 | ||||||||
Rite Aid Corp.(14) | 10,772 | 83 | ||||||||
|
| |||||||||
1,512 | ||||||||||
|
| |||||||||
Energy—2.0% | ||||||||||
Baker Hughes, Inc. | 6,745 | 462 | ||||||||
EnLink Midstream LLC | 66 | 2 | ||||||||
Exterran Holdings, Inc. | 48 | 2 | ||||||||
Gaslog Ltd. | 1,673 | 37 | ||||||||
Halliburton Co. | 2,974 | 146 | ||||||||
Kinder Morgan, Inc. | 100 | 4 | ||||||||
ONEOK, Inc. | 810 | 39 | ||||||||
Phillips 66 | 211 | 17 | ||||||||
SandRidge Energy, | 8,237 | 16 | ||||||||
SemGroup Corp. | 1,104 | 93 | ||||||||
Solazyme, Inc.(14) | 183 | 1 | ||||||||
Targa Resources Corp. | 715 | 75 | ||||||||
TransCanada Corp. | 75 | 3 | ||||||||
Valero Energy Corp. | 5,621 | 320 |
SHARES | VALUE | |||||||||
Energy—continued | ||||||||||
Weatherford | 16,323 | $ | 237 | |||||||
Whiting Petroleum | 2,011 | 76 | ||||||||
Williams Cos, Inc. | 3,428 | 175 | ||||||||
|
| |||||||||
1,705 | ||||||||||
|
| |||||||||
Financials—0.8% | ||||||||||
Aldermore Group | 1,799 | 7 | ||||||||
Alpha Bank AE(14) | 29,050 | 10 | ||||||||
Ameriprise Financial, | 529 | 66 | ||||||||
Bank of America Corp. | 4,031 | 64 | ||||||||
BlackRock, Inc. | 141 | 51 | ||||||||
Commerzbank AG(14) | 2,553 | 35 | ||||||||
Danske Bank A/S | 2,488 | 71 | ||||||||
Great Western | 970 | 21 | ||||||||
Home Capital Group, | 248 | 10 | ||||||||
Invesco Ltd. | 3,520 | 146 | ||||||||
KeyCorp | 5,994 | 87 | ||||||||
National Bank of | 36,593 | 51 | ||||||||
Prospect Capital Corp. | 3,277 | 27 | ||||||||
Swedbank AB, Class A | 1,134 | 27 | ||||||||
|
| |||||||||
673 | ||||||||||
|
| |||||||||
Health Care—3.5% | ||||||||||
Actavis PLC(14) | 3,466 | 980 | ||||||||
Alexion | 242 | 41 | ||||||||
Baxter International, | 5,565 | 383 | ||||||||
Brookdale Sr. Living, | 485 | 18 | ||||||||
Cooper Cos, Inc. (The) | 390 | 70 | ||||||||
Exelixis, Inc.(14) | 306 | 1 | ||||||||
Hologic, Inc.(14) | 1,105 | 37 | ||||||||
Johnson & Johnson | 5,222 | 518 | ||||||||
Laboratory Corp. of | 558 | 67 | ||||||||
Mylan NV(14) | 6,219 | 449 | ||||||||
Pernix Therapeutics | 825 | 5 | ||||||||
Sequenom, Inc.(14) | 197 | 1 | ||||||||
Shire PLC ADR | 235 | 57 | ||||||||
Teva Pharmaceutical | 4,523 | 273 | ||||||||
United Therapeutics | 343 | 55 |
SHARES | VALUE | |||||||||
Health Care—continued | ||||||||||
Valeant | 314 | $ | 68 | |||||||
|
| |||||||||
3,023 | ||||||||||
|
| |||||||||
Industrials—4.5% | ||||||||||
Abertis | 5,400 | 100 | ||||||||
Aercap Holdings | 801 | 37 | ||||||||
Aeroports de Paris | 484 | 60 | ||||||||
Air Canada(14) | 5,038 | 48 | ||||||||
Alaska Air Group, Inc. | 226 | 14 | ||||||||
ASTM SpA | 1,700 | 24 | ||||||||
Atlantia SpA | 7,350 | 207 | ||||||||
CSX Corp. | 3,399 | 123 | ||||||||
Danaher Corp. | 7,312 | 599 | ||||||||
Flughafen Wien AG | 220 | 20 | ||||||||
Flughafen Zuerich AG | 70 | 55 | ||||||||
Fraport AG Frankfurt | 1,008 | 64 | ||||||||
Hertz Global Holdings, | 44,224 | 922 | ||||||||
Japan Airlines Co. Ltd | 9,600 | 320 | ||||||||
MacDonald Dettwiler & | 224 | 18 | ||||||||
Macquarie Atlas | 12,300 | 32 | ||||||||
Macquarie | 1,968 | 163 | ||||||||
Macquarie Korea | 4,500 | 33 | ||||||||
Metalico, Inc.(14) | 21,544 | 7 | ||||||||
Norfolk Southern | 1,070 | 108 | ||||||||
Societa Iniziative | 2,250 | 26 | ||||||||
SolarCity Corp.(14) | 205 | 12 | ||||||||
Southwest Airlines Co. | 724 | 29 | ||||||||
Transurban Group | 20,331 | 159 | ||||||||
Tyco International PLC | 7,052 | 278 | ||||||||
Union Pacific Corp. | 1,717 | 182 | ||||||||
Vinci SA | 3,260 | 201 | ||||||||
Waste Connections, Inc. | 2,178 | 103 | ||||||||
|
| |||||||||
3,944 | ||||||||||
|
| |||||||||
Information Technology—5.1% |
| |||||||||
Alliance Data Systems | 497 | 148 | ||||||||
ARM Holdings PLC ADR | 3,216 | 164 |
See Notes to Financial Statements.
30
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
SHARES | VALUE | |||||||||
Information Technology—continued |
| |||||||||
ASML Holding NV | 974 | $ | 104 | |||||||
Broadcom Corp. | 3,513 | 155 | ||||||||
CDK Global, Inc. | 3,104 | 149 | ||||||||
eBay, Inc.(14) | 12,380 | 721 | ||||||||
Facebook, Inc. | 1,501 | 118 | ||||||||
Fiserv, Inc.(14) | 792 | 61 | ||||||||
Google, Inc. | 694 | 381 | ||||||||
Google, Inc. | 90 | 48 | ||||||||
Juniper Networks, Inc. | 9,895 | 262 | ||||||||
Keysight | 3,367 | 113 | ||||||||
Micron Technology, | 1,008 | 28 | ||||||||
Microsoft Corp. | 7,471 | 363 | ||||||||
Motorola Solutions, | 4,332 | 259 | ||||||||
Rovi Corp.(14) | 939 | 17 | ||||||||
VeriSign, Inc.(14) | 3,464 | 220 | ||||||||
Violin Memory, Inc.(14) | 2,497 | 9 | ||||||||
Visa, Inc. Class A | 1,284 | 85 | ||||||||
Yahoo!, Inc.(10)(14) | 23,201 | 988 | ||||||||
|
| |||||||||
4,393 | ||||||||||
|
| |||||||||
Materials—0.4% | ||||||||||
Barrick Gold Corp. | 728 | 9 | ||||||||
Cemex SAB de CV | 6,544 | 63 | ||||||||
Dow Chemical Co. | 1,029 | 52 | ||||||||
Eastman Chemical Co. | 616 | 47 | ||||||||
First Quantum | 236 | 4 | ||||||||
LyondellBasell | 1,234 | 128 | ||||||||
MeadWestvaco Corp. | 1,030 | 50 | ||||||||
Pact Group Holdings, Ltd. | 4,578 | 15 | ||||||||
|
| |||||||||
368 | ||||||||||
|
| |||||||||
Telecommunication Services—0.5% |
| |||||||||
HKBN, Ltd.(14) | 22,475 | 29 | ||||||||
SoftBank Corp. | 5,800 | 363 | ||||||||
|
| |||||||||
392 | ||||||||||
|
| |||||||||
Utilities—1.2% | ||||||||||
Ameren Corp. | 1,700 | 70 | ||||||||
AusNet Services | 33,000 | 38 | ||||||||
DUET Group | 37,575 | 75 | ||||||||
Great Plains Energy, Inc. | 4,200 | 110 |
SHARES | VALUE | |||||||||
Utilities—continued | ||||||||||
Hera SpA | 16,706 | $ | 44 | |||||||
Malakoff Corp. Bhd(14) | 36,200 | 18 | ||||||||
Pennon Group PLC | 7,965 | 105 | ||||||||
PG&E Corp. | 900 | 48 | ||||||||
SJW Corp. | 330 | 10 | ||||||||
Snam SpA | 38,300 | 200 | ||||||||
Spark Infrastructure | 31,500 | 48 | ||||||||
Terna Rete Elettrica | 40,489 | 192 | ||||||||
Toho Gas Co. Ltd. | 6,000 | 36 | ||||||||
Tokyo Gas Co. Ltd. | 11,000 | 64 | ||||||||
|
| |||||||||
1,058 | ||||||||||
| ||||||||||
TOTAL COMMON STOCKS (Identified Cost $20,336) | 20,351 | |||||||||
| ||||||||||
RIGHTS—0.0% | ||||||||||
Health Care—0.0% | ||||||||||
Community Health | 6,335 | — | (12) | |||||||
| ||||||||||
TOTAL RIGHTS (Identified Cost $1) | — | (12) | ||||||||
| ||||||||||
WARRANTS—0.0% | ||||||||||
Financials—0.0% | ||||||||||
Piraeus Bank SA(14) | 49,522 | 5 | ||||||||
| ||||||||||
TOTAL WARRANTS (Identified Cost $43) | 5 | |||||||||
| ||||||||||
EXCHANGE-TRADED FUNDS—0.2% |
| |||||||||
Exchange Traded Funds—0.2% |
| |||||||||
iShares MSCI Mexico | 1,100 | 64 | ||||||||
ProShares Short 20+ Year Treasury(14) | 3,050 | 76 | ||||||||
|
| |||||||||
140 | ||||||||||
| ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $155) | 140 | |||||||||
| ||||||||||
MASTER LIMITED PARTNERSHIPS—5.8% |
| |||||||||
Chemicals-Specialty—0.1% |
| |||||||||
Westlake Chemical Partners LP | 2,275 | 66 | ||||||||
|
| |||||||||
Coal & Consumable Fuels—0.0% |
| |||||||||
Enviva Partners LP | 287 | 6 | ||||||||
|
| |||||||||
Energy—0.2% | ||||||||||
Columbia Pipeline Partners LP | 1,451 | 39 |
SHARES | VALUE | |||||||||
Energy—continued | ||||||||||
Tallgrass Energy | 1,106 | $ | 54 | |||||||
VTTI Energy | 1,431 | 35 | ||||||||
|
| |||||||||
128 | ||||||||||
|
| |||||||||
Gas-Distribution—0.0% |
| |||||||||
AmeriGas Partners LP | 592 | 29 | ||||||||
|
| |||||||||
Gas-Transportation—0.0% |
| |||||||||
PBF Logistics LP | 912 | 22 | ||||||||
|
| |||||||||
Oil & Gas Equipment & Services—0.0% |
| |||||||||
USA Compression | 30 | 1 | ||||||||
|
| |||||||||
Oil Components-Exploration and |
| |||||||||
Antero Midstream | 2,365 | 59 | ||||||||
EV Energy | 465 | 8 | ||||||||
Summit Midstream | 3,455 | 123 | ||||||||
|
| |||||||||
190 | ||||||||||
|
| |||||||||
Oil-Field Services—0.3% |
| |||||||||
CrossAmerica Partners | 2,520 | 79 | ||||||||
Exterran Partners LP | 4,143 | 111 | ||||||||
Rice Midstream Partners LP | 3,845 | 58 | ||||||||
|
| |||||||||
248 | ||||||||||
|
| |||||||||
Pipelines—4.9% | ||||||||||
Boardwalk Pipeline | 1,918 | 34 | ||||||||
Buckeye Partners LP | 3,728 | 304 | ||||||||
Cheniere Energy | 13 | — | (12) | |||||||
Cone Midstream | 611 | 11 | ||||||||
Crestwood Midstream | 200 | 3 | ||||||||
DCP Midstream | 43 | 2 | ||||||||
Dominion Midstream | 829 | 34 | ||||||||
Energy Transfer | 7,930 | 529 | ||||||||
Energy Transfer | 8,058 | 466 | ||||||||
Enterprise Products | 23,753 | 813 | ||||||||
EQT Midstream | 1,088 | 96 |
See Notes to Financial Statements.
31
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
SHARES | VALUE | |||||||||
Pipelines—continued | ||||||||||
Magellan Midstream | 4,280 | $ | 357 | |||||||
MarkWest Energy | 2,080 | 140 | ||||||||
MPLX LP | 2,186 | 170 | ||||||||
NuStar Energy LP | 1,646 | 111 | ||||||||
Plains All American | 7,074 | 354 | ||||||||
Plains GP Holdings LP | 5,888 | 173 | ||||||||
QEP Midstream | 3,707 | 64 | ||||||||
Rose Rock | 1,409 | 73 | ||||||||
Shell Midstream | 5,760 | 231 | ||||||||
Spectra Energy | 27 | 1 | ||||||||
Sunoco Logistics | 1,556 | 69 | ||||||||
Targa Resources | 104 | 5 | ||||||||
Tesoro Logistics LP | 1,939 | 109 | ||||||||
Williams Partners LP | 2,712 | 134 | ||||||||
|
| |||||||||
4,283 | ||||||||||
|
| |||||||||
Transportation-Marine—0.1% |
| |||||||||
Teekay LNG Partners Ltd. | 1,601 | 63 | ||||||||
| ||||||||||
TOTAL MASTER LIMITED PARTNERSHIPS | ||||||||||
(Identified Cost $4,727) | 5,036 | |||||||||
| ||||||||||
REAL ESTATE INVESTMENT TRUSTS—8.9% |
| |||||||||
Apartments—1.7% | ||||||||||
AvalonBay | 3,067 | 504 | ||||||||
Camden Property | 4,858 | 365 | ||||||||
Equity Residential | 8,120 | 600 | ||||||||
|
| |||||||||
1,469 | ||||||||||
Diversified—0.4% | ||||||||||
Digital Realty Trust, Inc. | 1,280 | 81 | ||||||||
Vornado Realty Trust | 2,705 | 280 | ||||||||
|
| |||||||||
361 | ||||||||||
|
| |||||||||
Financials—0.1% | ||||||||||
Spirit Realty Capital, Inc. | 9,629 | 109 | ||||||||
|
| |||||||||
Health Care—0.6% | ||||||||||
HCP, Inc. | 2,045 | 82 | ||||||||
Healthcare Realty | 2,815 | 72 |
SHARES | VALUE | |||||||||
Health Care—continued | ||||||||||
Senior Housing | 3,889 | $ | 80 | |||||||
Ventas, Inc. | 4,639 | 320 | ||||||||
|
| |||||||||
554 | ||||||||||
|
| |||||||||
Industrial—0.2% | ||||||||||
Prologis, Inc. | 4,207 | 169 | ||||||||
Terreno Realty Corp. | 1,709 | 37 | ||||||||
|
| |||||||||
206 | ||||||||||
|
| |||||||||
Infrastructure—0.8% | ||||||||||
American Tower Corp. | 7,629 | 721 | ||||||||
|
| |||||||||
Lodging/Resort—0.6% | ||||||||||
LaSalle Hotel | 6,094 | 224 | ||||||||
RLJ Lodging Trust | 5,438 | 161 | ||||||||
Sunstone Hotel | 6,825 | 106 | ||||||||
|
| |||||||||
491 | ||||||||||
|
| |||||||||
Mixed—0.2% | ||||||||||
Duke Realty Corp. | 6,707 | 133 | ||||||||
|
| |||||||||
Mortgage—0.1% | ||||||||||
Apollo Commercial | 1,599 | 27 | ||||||||
NorthStar Realty | 631 | 12 | ||||||||
|
| |||||||||
39 | ||||||||||
|
| |||||||||
Office—0.6% | ||||||||||
Alexandria Real Estate | 21 | 2 | ||||||||
BioMed Realty Trust, | 6,522 | 135 | ||||||||
Boston Properties, | 2,463 | 326 | ||||||||
Corporate Office | 2,211 | 59 | ||||||||
|
| |||||||||
522 | ||||||||||
|
| |||||||||
Office Property—0.5% | ||||||||||
Douglas Emmett, Inc. | 1,279 | 36 | ||||||||
Hudson Pacific | 2,580 | 78 | ||||||||
New York REIT, Inc. | 7,486 | 74 | ||||||||
Paramount Group, Inc. | 5,619 | 103 | ||||||||
SL Green Realty Corp. | 1,028 | 126 | ||||||||
|
| |||||||||
417 | ||||||||||
|
| |||||||||
Regional Malls—1.6% | ||||||||||
CBL & Associates | 7,778 | 140 |
SHARES | VALUE | |||||||||
Regional Malls—continued | ||||||||||
General Growth | 4,781 | $ | 131 | |||||||
Simon Property | 5,203 | 944 | ||||||||
Taubman Centers, Inc. | 2,522 | 182 | ||||||||
|
| |||||||||
1,397 | ||||||||||
|
| |||||||||
Self Storage—0.5% | ||||||||||
Public Storage | 2,194 | 412 | ||||||||
|
| |||||||||
Shopping Centers—0.6% |
| |||||||||
Brixmor Property | 3,847 | 90 | ||||||||
Federal Realty | 1,862 | 249 | ||||||||
Ramco-Gershenson | 3,471 | 61 | ||||||||
Retail Properties of | 6,109 | 92 | ||||||||
|
| |||||||||
492 | ||||||||||
|
| |||||||||
Specialized—0.1% | ||||||||||
Health Care REIT, Inc. | 1,333 | 96 | ||||||||
|
| |||||||||
Timber—0.3% | ||||||||||
Weyerhaeuser Co. | 8,705 | 274 | ||||||||
|
| |||||||||
Warehouse/Industrial—0.0% |
| |||||||||
EastGroup Properties, | 462 | 26 | ||||||||
| ||||||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS | ||||||||||
(Identified Cost $7,775) | 7,719 | |||||||||
| ||||||||||
CONTRACTS |
| |||||||||
PURCHASED OPTIONS—0.0% |
| |||||||||
Call Options—0.0% | ||||||||||
Babies R US | 5 | $ | 1 | |||||||
Barrick Gold Corp. | 10 | — | (12) | |||||||
EMC Corp. | 34 | 5 | ||||||||
iShares Russell 2000 | 100 | — | (12) | |||||||
Mylan, Inc. | 2 | — | (12) |
See Notes to Financial Statements.
32
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
CONTRACTS | VALUE | |||||||||
Call Options—continued |
| |||||||||
SanDisk Corp. | 11 | $ | 2 | |||||||
SanDisk Corp. | 10 | 1 | ||||||||
Spirit Airlines, Inc. | 17 | — | (12) | |||||||
Spirit Airlines, Inc. | 25 | 3 | ||||||||
Tivo, Inc. | 10 | 1 | ||||||||
Twitter, Inc. | 10 | 1 | ||||||||
|
| |||||||||
14 | ||||||||||
|
| |||||||||
Put Options—0.0% |
| |||||||||
iShares MSCI Emerging Markets Index (ETF) Expiring 05/15/15 Strike Price $42 | 5 | — | (12) | |||||||
Markit CDX North America High Yield Index Expiring 06/20/15 Strike price $103 | 200 | 3 | ||||||||
|
| |||||||||
3 | ||||||||||
| ||||||||||
TOTAL PURCHASED OPTIONS (Identified Cost $48) |
| 17 | ||||||||
| ||||||||||
TOTAL LONG TERM INVESTMENTS — 72.2% (Identified Cost $63,165) |
| 62,574 | ||||||||
| ||||||||||
SHARES | ||||||||||
SHORT-TERM INVESTMENTS—27.7% |
| |||||||||
Money Market Mutual Funds—27.7% |
| |||||||||
BlackRock Liquidity | 23,965,615 | $ | 23,966 | |||||||
| ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $23,966) |
| 23,966 | ||||||||
|
VALUE | ||||||||||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS — 99.9% (Identified Cost $87,131) |
| 86,540 | (1) | |||||||
| ||||||||||
SHARES | ||||||||||
SECURITIES SOLD SHORT—(8.7)% |
| |||||||||
Consumer Discretionary—(0.2)% |
| |||||||||
Barnes & Noble, Inc.(14) | (865 | ) | $ | (19 | ) | |||||
Carriage Services, Inc. | (2,433 | ) | (57 | ) | ||||||
Hovnanian Enterprises, Inc. Class A(14) | (3,695 | ) | (12 | ) | ||||||
JAKKS Pacific, Inc.(14) | (3,014 | ) | (20 | ) | ||||||
Priceline Group , Inc. (The)(14) | (74 | ) | (92 | ) | ||||||
|
| |||||||||
(200 | ) | |||||||||
|
| |||||||||
Consumer Staples—(0.2)% |
| |||||||||
Bunge Ltd. | (334 | ) | (29 | ) | ||||||
Post Holdings, Inc.(14) | (1,835 | ) | (86 | ) | ||||||
Universal Corp./VA | (1,474 | ) | (69 | ) | ||||||
Vector Group, Ltd. | (1,030 | ) | (23 | ) | ||||||
|
| |||||||||
(207 | ) | |||||||||
|
| |||||||||
Energy—(0.3)% |
| |||||||||
Alon USA Energy, Inc. | (5,041 | ) | (81 | ) | ||||||
Alpha Natural Resources, Inc.(14) | (7,517 | ) | (6 | ) | ||||||
Amyris, Inc.(14) | (364 | ) | (1 | ) | ||||||
Green Plains, Inc. | (1,687 | ) | (53 | ) | ||||||
PetroQuest Energy, Inc.(14) | (3,162 | ) | (8 | ) | ||||||
Renewable Energy Group, Inc.(14) | (4,389 | ) | (40 | ) | ||||||
SandRidge Energy, Inc.(14) | (8,195 | ) | (16 | ) | ||||||
Solazyme, Inc.(14) | (3,694 | ) | (14 | ) | ||||||
|
| |||||||||
(219 | ) | |||||||||
|
| |||||||||
Exchange Traded Funds—(4.7)% |
| |||||||||
Energy Select Sector SPDR Fund | (812 | ) | (67 | ) | ||||||
iShares Russell 2000 ETF | (12,748 | ) | (1,545 | ) | ||||||
JPMorgan Alerian MLP Index ETN | (19,921 | ) | (904 | ) | ||||||
SPDR S&P 500 ETF Trust | (7,002 | ) | (1,460 | ) | ||||||
SPDR S&P Oil & Gas Exploration & Production ETF | (1,136 | ) | (63 | ) | ||||||
|
| |||||||||
(4,039 | ) | |||||||||
|
|
SHARES | VALUE | |||||||||
Financials—(0.2)% |
| |||||||||
AmTrust Financial Services, Inc. | (504 | ) | $ | (30 | ) | |||||
Cowen Group, Inc., Class A(14) | (13,760 | ) | (77 | ) | ||||||
Forest City Enterprises, Inc. Class A(14) | (650 | ) | (15 | ) | ||||||
|
| |||||||||
(122 | ) | |||||||||
|
| |||||||||
Health Care—(0.4)% |
| |||||||||
ANI Pharmaceuticals, Inc.(14) | (913 | ) | (56 | ) | ||||||
Exact Sciences Corp.(14) | (543 | ) | (11 | ) | ||||||
Exelixis, Inc.(14) | (20,534 | ) | (53 | ) | ||||||
Halyard Health, Inc.(14) | (276 | ) | (13 | ) | ||||||
Immunomedics, Inc.(14) | (2,247 | ) | (8 | ) | ||||||
Omnicare, Inc. | (471 | ) | (42 | ) | ||||||
PDL BioPharma, Inc. | (1,284 | ) | (9 | ) | ||||||
Quidel Corp.(14) | (616 | ) | (14 | ) | ||||||
Sequenom, Inc.(14) | (14,706 | ) | (65 | ) | ||||||
Theravance, Inc. | (2,510 | ) | (41 | ) | ||||||
Wright Medical Group, Inc.(14) | (1,385 | ) | (35 | ) | ||||||
|
| |||||||||
(347 | ) | |||||||||
|
| |||||||||
Industrials—(0.5)% |
| |||||||||
AAR Corp. | (1,185 | ) | (36 | ) | ||||||
Aegean Marine Petroleum Network, Inc. | (1,476 | ) | (22 | ) | ||||||
Altra Industrial Motion Corp. | (2,800 | ) | (74 | ) | ||||||
Ascent Capital Group, Inc. Class A(14) | (273 | ) | (11 | ) | ||||||
Deere & Co. | (414 | ) | (37 | ) | ||||||
Navistar International Corp.(14) | (1,156 | ) | (35 | ) | ||||||
SolarCity Corp.(14) | (828 | ) | (50 | ) | ||||||
Spirit Airlines, Inc.(14) | (276 | ) | (19 | ) | ||||||
Trinity Industries, Inc. | (5,402 | ) | (146 | ) | ||||||
|
| |||||||||
(430 | ) | |||||||||
|
| |||||||||
Information Technology—(1.4)% |
| |||||||||
Alibaba Group Holding, Ltd. ADR(14) | (8,458 | ) | (687 | ) | ||||||
AOL, Inc.(14) | (765 | ) | (30 | ) | ||||||
Citrix Systems, Inc.(14) | (240 | ) | (16 | ) | ||||||
EMC Corp. | (887 | ) | (24 | ) | ||||||
Intel Corp. | (1,406 | ) | (46 | ) | ||||||
LinkedIn Corp. Class A(14) | (34 | ) | (9 | ) | ||||||
Nintendo Co., Ltd. | (500 | ) | (84 | ) | ||||||
NVIDIA Corp. | (4,601 | ) | (102 | ) |
See Notes to Financial Statements.
33
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
SHARES | VALUE | |||||||||
Information Technology—continued |
| |||||||||
Photronics, Inc.(14) | (2,645 | ) | $ | (23 | ) | |||||
PROS Holdings, Inc.(14) | (494 | ) | (11 | ) | ||||||
SunEdison, Inc.(14) | (3,476 | ) | (88 | ) | ||||||
Twitter, Inc.(14) | (711 | ) | (28 | ) | ||||||
Violin Memory, Inc.(14) | (7,840 | ) | (27 | ) | ||||||
Vishay Intertechnology, Inc. | (2,016 | ) | (26 | ) | ||||||
Workday, Inc., | (364 | ) | (33 | ) | ||||||
|
| |||||||||
(1,234 | ) | |||||||||
|
| |||||||||
Mortgage—0.0% |
| |||||||||
Colony Capital, Inc., Class A | (724 | ) | (19 | ) | ||||||
iStar Financial, Inc.(14) | (304 | ) | (4 | ) | ||||||
Redwood Trust, Inc. | (570 | ) | (10 | ) | ||||||
|
| |||||||||
(33 | ) | |||||||||
|
| |||||||||
Office—0.0% |
| |||||||||
Gramercy Property Trust, Inc. | (1,285 | ) | (35 | ) | ||||||
|
| |||||||||
Residential—0.0% |
| |||||||||
Campus Crest Communities, Inc. | (1,102 | ) | (7 | ) | ||||||
Starwood Waypoint Residential Trust | (860 | ) | (22 | ) | ||||||
|
| |||||||||
(29 | ) | |||||||||
|
| |||||||||
Retail—(0.1)% |
| |||||||||
Ramco-Gershenson Properties Trust | (2,298 | ) | (40 | ) | ||||||
|
| |||||||||
Telecommunication Services—(0.2)% |
| |||||||||
AT&T, Inc. | (4,840 | ) | (168 | ) | ||||||
|
| |||||||||
PAR | ||||||||||
U.S. Government Securities—(0.5)% |
| |||||||||
United States Treasury Note/Bond | ||||||||||
2.250%, 11/15/24 | (134,000 | ) | (137 | ) | ||||||
1.375%, 2/29/20 | (283,000 | ) | (282 | ) | ||||||
|
| |||||||||
(419 | ) | |||||||||
| ||||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $7,737) |
| (7,522 | )(1) | |||||||
| ||||||||||
CONTRACTS | VALUE | |||||||||
WRITTEN OPTIONS—(0.1)% |
| |||||||||
Put Options—(0.1)% |
| |||||||||
EMC Corp. | (23 | ) | $ | (3 | ) |
CONTRACTS | VALUE | |||||||||
Put Options—continued |
| |||||||||
iShares MSCI Emerging Markets Index (ETF) | (5 | ) | $ | — | (12) | |||||
iShares Russell 2000 ETF | (100 | ) | (48 | ) | ||||||
SanDisk Corp. | (10 | ) | (2 | ) | ||||||
SanDisk Corp. | (11 | ) | (3 | ) | ||||||
Spirit Airlines, Inc. | (7 | ) | — | (12) | ||||||
Spirit Airlines, Inc. | (9 | ) | (2 | ) | ||||||
Spirit Airlines, Inc. | (9 | ) | (2 | ) | ||||||
Spirit Airlines, Inc. | (10 | ) | (4 | ) | ||||||
Tivo, Inc. | (10 | ) | (1 | ) | ||||||
Twitter, Inc. | (10 | ) | (1 | ) | ||||||
|
| |||||||||
(66 | ) | |||||||||
| ||||||||||
TOTAL WRITTEN OPTIONS (Proceeds $31) |
| (66 | )(1) | |||||||
| ||||||||||
TOTAL INVESTMENTS NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS — 91.1% (Identified Cost $79,363) |
| $ | 78,952 | |||||||
Other assets and liabilities, net — 8.9% | 7,716 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% |
| $ | 86,668 | |||||||
|
| |||||||||
Footnote Legend:
(1) Federal Income Tax Information: For tax information at April 30, 2015, see Note 11 Federal Income Tax Information in the Notes to Financial Statements. (2) Variable or step coupon security; interest rate shown reflects the rate in effect at April 30, 2015. (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) | 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 April 30, 2015, these securities amounted to a value of $10,603 or 12.2% of net assets. |
(5) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(6) | 86% of the income received was in cash and 14% in PIK. |
(7) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. |
(8) | Illiquid security. |
(9) | This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(10) | All or a portion segregated as collateral for securities sold short. |
(11) | This loan will settle after April 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be known. |
(12) | Amount is less than $500. |
(13) | Amount shown is par value. |
(14) | Non-income producing. |
See Notes to Financial Statements.
34
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
Abbreviations: | ||
ADR | American Depositary Receipt | |
CLO | Collateralized Loan Obligation | |
ETF | Exchange Traded Fund | |
ETN | Exchange Traded Note | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
MLP | Master Limited Partnership | |
PIK | Payment in Kind | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trusts | |
S&P | Standard & Poor’s | |
SPDR | Standard & Poor’s Depositary Receipt |
Currencies: | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
EUR | European Currency Unit | |
GBP | British Pound | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
USD | United States Dollar |
Country Weightings (Unaudited)† | ||||
United States | 81 | % | ||
United Kingdom | 2 | |||
Ireland | 2 | |||
Canada | 2 | |||
Luxembourg | 2 | |||
Netherlands | 1 | |||
Marshall Islands | 1 | |||
Other | 9 | |||
Total | 100 | % | ||
†% of total investments, net of securities sold short, as of April 30, 2015. | ||||
See Notes to Financial Statements.
35
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Futures contracts as of April 30, 2015 were as follows: | ||||||||||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Brent Crude Futures | May 2015 | 1 | $67 | $ 1 | ||||||||||
Cac40 10 Euro Future | May 2015 | 3 | 169 | (6) | ||||||||||
Hang Seng Index Futures | May 2015 | 3 | 544 | 2 | ||||||||||
10-Year Mini JGB Future | June 2015 | 4 | 494 | 1 | ||||||||||
Australian 10-Year Bond Future | June 2015 | 6 | 4,723 | (3) | ||||||||||
Canada 10-Year Bond Future | June 2015 | 3 | 347 | (7) | ||||||||||
DJIA E-Mini (CBOT) | June 2015 | 1 | 89 | (1) | ||||||||||
Dollar Index | June 2015 | (1) | (95) | 5 | ||||||||||
Euro - Bund Future | June 2015 | 3 | 527 | (10) | ||||||||||
Euro - Bund Future | June 2015 | 1 | 144 | (1) | ||||||||||
Euro STOXX 50 | June 2015 | 3 | 120 | (1) | ||||||||||
FTSE 100 Index Future | June 2015 | 3 | 319 | 1 | ||||||||||
Gas Oil Future (Ice) | June 2015 | 1 | 60 | 1 | ||||||||||
Gold 100 Ounce Future | June 2015 | (1) | (118) | 1 | ||||||||||
LME Copper Future | June 2015 | 1 | 159 | 12 | ||||||||||
LME Copper Future | June 2015 | (4) | (635) | (45) | ||||||||||
LME Primary Aluminum Futures | June 2015 | (5) | (240) | (15) | ||||||||||
LME Zinc | June 2015 | 6 | 353 | 30 | ||||||||||
LME Zinc | June 2015 | (6) | (353) | (42) | ||||||||||
Long Gilt Future | June 2015 | 2 | 363 | (2) | ||||||||||
NASDAQ 100 E-Mini | June 2015 | 7 | 617 | 1 | ||||||||||
Natural Gas Future | June 2015 | (6) | (165) | (3) | ||||||||||
Nikkei 225 | June 2015 | 3 | 245 | 9 | ||||||||||
Russell 2000 E-Mini Index | June 2015 | 2 | 243 | (8) | ||||||||||
S&P 500 E-Mini Future | June 2015 | 2 | 208 | (2) | ||||||||||
TOPIX Index Future | June 2015 | 3 | 398 | 19 | ||||||||||
U.S. 10-Year Note (CBT) | June 2015 | 15 | 1,926 | (11) | ||||||||||
U.S. Long Bond (CBT) | June 2015 | 2 | 319 | (6) | ||||||||||
Cocoa Futures | July 2015 | 4 | 123 | 3 | ||||||||||
Coffee ’C’ Future | July 2015 | (4) | (206) | 4 | ||||||||||
Corn Future | July 2015 | (4) | (73) | —(a) | ||||||||||
KC HRW Wheat Future | July 2015 | (1) | (25) | 3 | ||||||||||
Silver Future | July 2015 | (3) | (242) | (3) | ||||||||||
Soybean Future | July 2015 | (3) | (146) | —(a) | ||||||||||
Soybean Meal Future | July 2015 | (2) | (63) | 1 | ||||||||||
Soybean Oil Future | July 2015 | (2) | (38) | (1) | ||||||||||
Sugar #11 (World) | July 2015 | (4) | (59) | (4) | ||||||||||
Wheat Future (CBT) | July 2015 | (6) | (142) | 13 | ||||||||||
3-Month Euro Euribor | September 2016 | 31 | 8,681 | EUR | (2) | |||||||||
90 Days Euro Bond | September 2016 | 65 | 16,057 | EUR | 4 | |||||||||
90 Days Sterling Bond | September 2016 | 23 | 4,367 | GBP | 3 | |||||||||
Total | $(59) | |||||||||||||
|
Footnote Legend:
(a) | Amount is less than $500. |
See Notes to Financial Statements.
36
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: | ||||||||||||||||||
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date |
| Unrealized Appreciation (Depreciation) |
| ||||||||||
AUD* | 130 | USD | 100 | Bank of America N.A. | 6/19/15 | 3 | ||||||||||||
AUD* | 107 | USD | 82 | Bank of America N.A. | 6/19/15 | 3 | ||||||||||||
AUD* | 97 | USD | 75 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
AUD* | 81 | USD | 63 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
AUD* | 59 | USD | 46 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
AUD* | 46 | USD | 37 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 41 | USD | 31 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
AUD* | 33 | USD | 26 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 15 | USD | 12 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 7 | USD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 7 | USD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 5 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 3 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 3 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 2 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
AUD* | 1 | USD | �� | 1 | Bank of America N.A. | 6/19/15 | — | (a) | ||||||||||
CAD* | 19 | USD | 16 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 15 | USD | 12 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
CAD* | 14 | USD | 11 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 8 | USD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 7 | USD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 5 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 5 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 3 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CAD* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 188 | USD | 187 | Bank of America N.A. | 6/19/15 | 15 | ||||||||||||
CHF* | 128 | USD | 128 | Bank of America N.A. | 6/19/15 | 10 | ||||||||||||
CHF* | 124 | USD | 129 | Bank of America N.A. | 6/19/15 | 4 | ||||||||||||
CHF* | 86 | USD | 90 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
CHF* | 79 | USD | 84 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
CHF* | 77 | USD | 81 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
CHF* | 76 | USD | 80 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
CHF* | 67 | USD | 70 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
CHF* | 41 | USD | 42 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
CHF* | 26 | USD | 27 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
CHF* | 25 | USD | 26 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
CHF* | 25 | USD | 26 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 24 | USD | 25 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
CHF* | 21 | USD | 22 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
CHF* | 15 | USD | 16 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 13 | USD | 14 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 6 | USD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 6 | USD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 4 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 4 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 4 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 4 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 2 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 2 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
CHF* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR | 36 | USD | 39 | The Bank of New York | 6/15/15 | 1 | ||||||||||||
EUR | 10 | USD | 11 | The Bank of New York | 6/15/15 | — | (a) | |||||||||||
EUR* | 217 | USD | 231 | Bank of America N.A. | 6/19/15 | 13 | ||||||||||||
EUR* | 98 | USD | 103 | Bank of America N.A. | 6/19/15 | 7 | ||||||||||||
EUR* | 48 | USD | 51 | Bank of America N.A. | 6/19/15 | 3 |
See Notes to Financial Statements.
37
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: (continued)
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date |
| Unrealized Appreciation (Depreciation) |
| ||||||||||
EUR* | 41 | USD | 46 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 32 | USD | 35 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
EUR* | 31 | USD | 33 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
EUR* | 29 | USD | 31 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
EUR* | 27 | USD | 30 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
EUR* | 16 | USD | 17 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
EUR* | 13 | USD | 14 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
EUR* | 13 | USD | 14 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 8 | USD | 9 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 6 | USD | 7 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 5 | USD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 5 | USD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 4 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
EUR* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 132 | USD | 197 | Bank of America N.A. | 6/19/15 | 5 | ||||||||||||
GBP* | 116 | USD | 169 | Bank of America N.A. | 6/19/15 | 9 | ||||||||||||
GBP* | 110 | USD | 164 | Bank of America N.A. | 6/19/15 | 5 | ||||||||||||
GBP* | 105 | USD | 162 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||||
GBP* | 69 | USD | 102 | Bank of America N.A. | 6/19/15 | 4 | ||||||||||||
GBP* | 63 | USD | 93 | Bank of America N.A. | 6/19/15 | 4 | ||||||||||||
GBP* | 60 | USD | 90 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
GBP* | 51 | USD | 76 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
GBP* | 46 | USD | 70 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
GBP* | 45 | USD | 68 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
GBP* | 42 | USD | 62 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
GBP* | 41 | USD | 63 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 25 | USD | 37 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
GBP* | 23 | USD | 34 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
GBP* | 8 | USD | 12 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 8 | USD | 12 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 7 | USD | 10 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 5 | USD | 7 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 3 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 2 | USD | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 2 | USD | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
GBP* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY | 20,000 | USD | 167 | JPMorgan Chase Bank N.A. | 6/17/15 | — | (a) | |||||||||||
JPY | 20,000 | USD | 168 | JPMorgan Chase Bank N.A. | 6/17/15 | (1) | ||||||||||||
JPY* | 19,494 | USD | 162 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
JPY* | 15,721 | USD | 132 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 13,922 | USD | 115 | Bank of America N.A. | 6/19/15 | 2 | ||||||||||||
JPY* | 12,745 | USD | 106 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
JPY* | 7,264 | USD | 60 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
JPY* | 6,548 | USD | 54 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
JPY* | 5,652 | USD | 48 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 4,495 | USD | 37 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 4,299 | USD | 36 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 3,855 | USD | 32 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 3,391 | USD | 28 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 2,815 | USD | 23 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 1,751 | USD | 15 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 1,549 | USD | 13 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 888 | USD | 7 | Bank of America N.A. | 6/19/15 | — | (a) |
See Notes to Financial Statements.
38
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: (continued) | ||||||||||||||||||
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||
JPY* | 460 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 280 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 131 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 79 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
JPY* | 38 | USD | — | (a) | Bank of America N.A. | 6/19/15 | — | (a) | ||||||||||
MXN* | 102 | USD | 7 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 82 | USD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 65 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 57 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 49 | USD | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 40 | USD | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 25 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 10 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
MXN* | 5 | USD | — | (a) | Bank of America N.A. | 6/19/15 | — | (a) | ||||||||||
MXN* | 4 | USD | — | (a) | Bank of America N.A. | 6/19/15 | — | (a) | ||||||||||
MXN* | 1 | USD | — | (a) | Bank of America N.A. | 6/19/15 | — | (a) | ||||||||||
MXN* | 1 | USD | — | (a) | Bank of America N.A. | 6/19/15 | — | (a) | ||||||||||
NZD* | 156 | USD | 119 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 124 | USD | 93 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
NZD* | 117 | USD | 88 | Bank of America N.A. | 6/19/15 | 1 | ||||||||||||
NZD* | 75 | USD | 58 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||||
NZD* | 69 | USD | 52 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 56 | USD | 42 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 26 | USD | 20 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 19 | USD | 14 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 13 | USD | 10 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 12 | USD | 9 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 11 | USD | 8 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 11 | USD | 8 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 6 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 6 | USD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 4 | USD | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 3 | USD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 2 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
NZD* | 1 | USD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
USD | 71 | EUR | 67 | The Bank of New York | 6/15/15 | (4 | ) | |||||||||||
USD* | 752 | JPY | 90,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (2 | ) | |||||||||||
USD | 100 | JPY | 12,000 | JPMorgan Chase Bank N.A. | 6/17/15 | — | (a) | |||||||||||
USD* | 531 | AUD | 692 | Bank of America N.A. | 6/19/15 | (15 | ) | |||||||||||
USD* | 199 | AUD | 263 | Bank of America N.A. | 6/19/15 | (8 | ) | |||||||||||
USD* | 119 | AUD | 156 | Bank of America N.A. | 6/19/15 | (4 | ) | |||||||||||
USD* | 70 | AUD | 92 | Bank of America N.A. | 6/19/15 | (3 | ) | |||||||||||
USD* | 56 | AUD | 73 | Bank of America N.A. | 6/19/15 | (2 | ) | |||||||||||
USD* | 44 | AUD | 58 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||||
USD* | 29 | AUD | 38 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||||
USD* | 23 | AUD | 30 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||||
USD* | 20 | AUD | 26 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||||
USD* | 11 | AUD | 15 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||||
USD* | 11 | AUD | 14 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
USD* | 10 | AUD | 13 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
USD* | 6 | AUD | 8 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||||
USD* | 4 | AUD | 5 | Bank of America N.A. | 6/19/15 | — | (a) |
See Notes to Financial Statements.
39
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: (continued) | ||||||||||||||||
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||||
USD* | 2 | AUD | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 91 | CAD | 116 | Bank of America N.A. | 6/19/15 | (5) | ||||||||||
USD* | 71 | CAD | 89 | Bank of America N.A. | 6/19/15 | (3) | ||||||||||
USD* | 34 | CAD | 43 | Bank of America N.A. | 6/19/15 | (2) | ||||||||||
USD* | 22 | CAD | 28 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 13 | CAD | 16 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 12 | CAD | 16 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 6 | CAD | 8 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 5 | CAD | 7 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 5 | CAD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 5 | CAD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 4 | CAD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 4 | CAD | 5 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 3 | CAD | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 2 | CAD | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | CAD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | CAD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | CAD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 576 | CHF | 576 | Bank of America N.A. | 6/19/15 | (43) | ||||||||||
USD* | 96 | CHF | 96 | Bank of America N.A. | 6/19/15 | (7) | ||||||||||
USD* | 48 | CHF | 46 | Bank of America N.A. | 6/19/15 | (2) | ||||||||||
USD* | 38 | CHF | 37 | Bank of America N.A. | 6/19/15 | (2) | ||||||||||
USD* | 29 | CHF | 28 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 19 | CHF | 19 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 3 | CHF | 3 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | CHF | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 55 | EUR | 52 | Bank of America N.A. | 6/19/15 | (3) | ||||||||||
USD* | 53 | EUR | 50 | Bank of America N.A. | 6/19/15 | (3) | ||||||||||
USD* | 33 | EUR | 30 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 31 | EUR | 29 | Bank of America N.A. | 6/19/15 | (2) | ||||||||||
USD* | 27 | EUR | 25 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 20 | EUR | 18 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 16 | EUR | 15 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 8 | EUR | 7 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 7 | EUR | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 2 | EUR | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 2 | EUR | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | EUR | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | EUR | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 961 | GBP | 643 | Bank of America N.A. | 6/19/15 | (25) | ||||||||||
USD* | 152 | GBP | 102 | Bank of America N.A. | 6/19/15 | (4) | ||||||||||
USD* | 142 | GBP | 96 | Bank of America N.A. | 6/19/15 | (6) | ||||||||||
USD* | 116 | GBP | 78 | Bank of America N.A. | 6/19/15 | (4) | ||||||||||
USD* | 45 | GBP | 30 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 37 | GBP | 25 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 28 | GBP | 19 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 22 | GBP | 15 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 16 | GBP | 11 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 6 | GBP | 4 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 3 | GBP | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | GBP | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 943 | JPY | 114,174 | Bank of America N.A. | 6/19/15 | (13) | ||||||||||
USD* | 170 | JPY | 20,251 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 89 | JPY | 10,813 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 73 | JPY | 8,691 | Bank of America N.A. | 6/19/15 | — | (a) |
See Notes to Financial Statements.
40
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: (continued) | ||||||||||||||||
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD* | 38 | JPY | 4,521 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 35 | JPY | 4,132 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 29 | JPY | 3,479 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 23 | JPY | 2,723 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 22 | JPY | 2,571 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 18 | JPY | 2,126 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 9 | JPY | 1,035 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 5 | JPY | 565 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | JPY | 173 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | —(a) | JPY | 8 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | —(a) | JPY | 2 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 334 | MXN | 5,175 | Bank of America N.A. | 6/19/15 | (2) | ||||||||||
USD* | 18 | MXN | 287 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 15 | MXN | 226 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 9 | MXN | 144 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 6 | MXN | 97 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 5 | MXN | 72 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 4 | MXN | 69 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 4 | MXN | 60 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 4 | MXN | 53 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 2 | MXN | 35 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 2 | MXN | 26 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 2 | MXN | 23 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | MXN | 15 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 372 | NZD | 506 | Bank of America N.A. | 6/19/15 | (13) | ||||||||||
USD* | 26 | NZD | 35 | Bank of America N.A. | 6/19/15 | (1) | ||||||||||
USD* | 22 | NZD | 30 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 18 | NZD | 25 | Bank of America N.A. | 6/19/15 | (1 | ) | |||||||||
USD* | 15 | NZD | 20 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 13 | NZD | 18 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 8 | NZD | 11 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 5 | NZD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 4 | NZD | 6 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD* | 1 | NZD | 1 | Bank of America N.A. | 6/19/15 | — | (a) | |||||||||
USD | 415 | EUR | 365 | JPMorgan Chase Bank N.A. | 7/23/15 | 4 | ||||||||||
USD | 100 | EUR | 86 | JPMorgan Chase Bank N.A. | 7/23/15 | 3 | ||||||||||
USD | 33 | EUR | 28 | JPMorgan Chase Bank N.A. | 7/23/15 | 1 | ||||||||||
USD | 25 | EUR | 21 | JPMorgan Chase Bank N.A. | 7/23/15 | 1 | ||||||||||
USD | 315 | EUR | 292 | JPMorgan Chase Bank N.A. | 10/02/15 | (14) | ||||||||||
USD | 214 | EUR | 201 | JPMorgan Chase Bank N.A. | 9/16/16 | (14) | ||||||||||
Total | $ (87) | |||||||||||||||
|
|
Footnote Legend:
(a) | Amount is less than $500. |
* | Non deliverable forward. See Note 3B in the Notes to Financial Statements. |
See Notes to Financial Statements.
41
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Over-the-counter total return swap outstanding as of April 30, 2015 was as follows: | ||||||||||||||||||||||||||
Reference Entity | Floating Rate(a) | Counterparty | Expiration Date | Notional Amount | Market Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Aldermore Group PLC | 1-month LIBOR | Bank of America N.A. | 9/12/16 | $9 | USD | $ 1 | $— | $ 1 | ||||||||||||||||||
Arrow Global Group PLC | 1-month LIBOR | Bank of America N.A. | 8/15/16 | 36 | USD | 3 | — | 3 | ||||||||||||||||||
Auto Trader Group PLC | 1-month LIBOR | Bank of America N.A. | 9/21/16 | 11 | USD | 2 | — | 2 | ||||||||||||||||||
BB Seguridade Participation | 1-month CDI | Bank of America N.A. | 9/12/16 | 12 | USD | — (b) | — | — (b) | ||||||||||||||||||
Card Factory PLC | 1-month LIBOR | Bank of America N.A. | 8/15/16 | 20 | USD | 4 | — | 4 | ||||||||||||||||||
CRH PLC | 1-month EURIBOR | Bank of America N.A. | 8/26/16 | 8 | USD | — (b) | — | — (b) | ||||||||||||||||||
Energy Transfer Equity LP | Federal Funds Effective Rate | Morgan Stanley | 5/28/16 | 365 | USD | 3 | — | 3 | ||||||||||||||||||
Galliford TRY PLC | 1-month LIBOR | Bank of America N.A. | 8/15/16 | 12 | USD | 1 | — | 1 | ||||||||||||||||||
Ingenico | Federal Funds Effective Rate | Morgan Stanley | 5/09/16 | 51 | USD | 4 | — | 4 | ||||||||||||||||||
John Laing Group PLC | 1-month LIBOR | Bank of America N.A. | 9/06/16 | 23 | USD | 2 | — | 2 | ||||||||||||||||||
Naver Corp. | 1-month LIBOR | JPMorgan Chase Bank N.A. | 4/06/17 | 192 | USD | (3) | — | (3) | ||||||||||||||||||
Northstar Realty Finance | Federal Funds Effective Rate | Morgan Stanley | 4/21/17 | 451 | USD | (5) | — | (5) | ||||||||||||||||||
NOS SGPS | 1-month EURIBOR | Bank of America N.A. | 8/15/16 | 5 | USD | 1 | — | 1 | ||||||||||||||||||
Origin Enterprises PLC | 1-month EURIBOR | Bank of America N.A. | 9/30/16 | 34 | USD | — (b) | — | — (b) | ||||||||||||||||||
Permanent TSB Group | 1-month EURIBOR | Bank of America N.A. | 11/01/16 | 31 | USD | 5 | — | 5 | ||||||||||||||||||
Phillips 66 Partners LP | Federal Funds Effective Rate | Morgan Stanley | 9/26/16 | 44 | USD | 3 | — | 3 | ||||||||||||||||||
Polypipe Group PLC | 1-month LIBOR | Bank of America N.A. | 8/15/16 | 28 | USD | 1 | — | 1 | ||||||||||||||||||
RPC Group PLC | 1-month LIBOR | Bank of America N.A. | 8/15/16 | 28 | USD | 2 | — | 2 | ||||||||||||||||||
Saeta Yield SA | 1-month EURIBOR | Bank of America N.A. | 9/30/16 | 6 | USD | — (b) | — | — (b) | ||||||||||||||||||
Shawbrook Group, Ltd. | 1-month LIBOR | Bank of America N.A. | 10/07/16 | 21 | USD | 2 | — | 2 | ||||||||||||||||||
UBM PLC | 1-month LIBOR | Bank of America N.A. | 8/15/16 | 22 | USD | 1 | — | 1 | ||||||||||||||||||
Vinci SA | 1-month EURIBOR | Bank of America N.A. | 8/19/16 | 14 | USD | — (b) | — | — (b) | ||||||||||||||||||
Total | $ 27 | $— | $ 27 | |||||||||||||||||||||||
|
|
|
|
|
|
Footnote Legend:
(a) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(b) | Amount is less than $500. |
Over-the-counter total return basket swap(a) outstanding at April 30, 2015 was as follows: | ||||||||||||||
Counterparty | Description | Notional | Termination Date | Value | ||||||||||
Morgan Stanley | The Fund pays the total return on a portfolio of short positions and receives the Federal Funds Effective Rate (+/- a spread), which is denominated in U.S. Dollars based on the local currencies of the positions within the swap. The portfolio consists of about 200 short positions in U.S. Equities and ADRs which are diversified across all sectors and have a market cap restricted to the top 700 positions in the Russell 3000. There are no embedded fees. | 7,225 | 4/28/16 | $ | (5 | ) | ||||||||
|
|
Footnote Legend:
(a) | Net payment made at reset date. |
See Notes to Financial Statements.
42
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of April 30, 2015 (See Security Valuation Note 2B in the Notes to Financial Statements):
Total Value at April 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Debt Securities: | ||||||||||||||||
Foreign Government Securities | $ | 1,223 | $ | — | $1,005 | $ | 218 | |||||||||
Municipal Bonds | 301 | — | 301 | — | ||||||||||||
Asset-Backed Securities | 396 | — | 396 | — | ||||||||||||
Corporate Bonds | 15,324 | — | 15,177 | 147 | ||||||||||||
Convertible Bonds | 6,841 | — | 6,841 | — | ||||||||||||
Loan Agreements | 4,635 | — | 4,635 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Preferred Stock | 586 | 288 | 298 | — | ||||||||||||
Common Stocks | 20,351 | 19,154 | 1,197 | — | ||||||||||||
Rights | —(a) | —(a) | — | — | ||||||||||||
Warrants | 5 | 5 | — | — | ||||||||||||
Exchange-Traded Funds | 140 | 140 | — | — | ||||||||||||
Master Limited Partnerships | 5,036 | 5,036 | — | — | ||||||||||||
Real Estate Investment Trusts | 7,719 | 7,719 | — | — | ||||||||||||
Short-Term Investments | 23,966 | 23,966 | — | — | ||||||||||||
Purchased Options | 17 | 17 | — | — | ||||||||||||
Futures Contracts | 114 | 114 | — | — | ||||||||||||
Foreign currency exchange contracts | 142 | — | 142 | — | ||||||||||||
Over-the-Counter Total Return Swap | 35 | — | 35 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 86,831 | 56,439 | 30,027 | 365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Securities Sold Short | (7,522) | (7,019) | (503) | — | ||||||||||||
Written Options | (66) | (66) | — | — | ||||||||||||
Futures Contracts | (173) | (173) | — | — | ||||||||||||
Foreign currency exchange contracts | (229) | — | (229) | — | ||||||||||||
Over-the-Counter Total Return Swap | (8) | — | (8) | — | ||||||||||||
Over-the-Counter Total Return Basket Swap | (5) | — | (5) | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (8,003) | $ | (7,258) | $(745) | $ — | ||||||||||
|
|
|
|
|
|
|
|
Footnote Legend:
(a) | Amount is less than $500. |
Securities held by the Fund with an end of period value of $510,305 were transferred from Level 1 into Level 2 based on our valuation procedures for non-US securities. (See Note 2B in the Notes to Financial Statements).
Securities held by the Fund with an end of period value of $196,639 were transferred from level 2 to level 1 since an exchange price became available.
See Notes to Financial Statements.
43
VIRTUS ALTERNATIVE TOTAL SOLUTION FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (Continued)
APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
The following is a reconciliation of assets of the Fund for Level 3 investments which significant unobservable inputs were used to determine fair value.
Total | Foreign Government Securities | Corporate Bonds | Convertible Bonds | |||||||||||||
Investments in Securities | ||||||||||||||||
Balance as of October 31, 2014 | $ 452 | $ 236 | $ 149 | $ 67 | ||||||||||||
Accrued discount/(premium) | —(a) | —(a) | — | —(a) | ||||||||||||
Realized gain (loss) | (16) | — | — | (16) | ||||||||||||
Change in unrealized appreciation (depreciation)(b) | 5 | (18) | (1) | 24 | ||||||||||||
Purchases | — | — | — | — | ||||||||||||
Sales | (75) | — | — | (75) | ||||||||||||
Transfers into Level 3(c) | — | — | — | — | ||||||||||||
Transfers from Level 3(c) | — | — | — | — | ||||||||||||
Paydowns | (1) | — | (1) | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of April 30, 2015 | $ 365 | $ 218 (d) | $ 147 (d) | $ — | ||||||||||||
|
|
|
|
|
|
|
|
Footnote Legend:
(a) | Amount is less than $500. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. The change in unrealized appreciation (depreciation) on investments still held as of April 30, 2015 was $(19). |
(c) | “Transfers into and/or from” represent the ending value as of April 30, 2015, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
(d) | The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. None of the securities in this table are internally fair valued. |
See Notes to Financial Statements.
44
SCHEDULE OF INVESTMENTS
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
U.S. GOVERNMENT SECURITIES—0.8% |
| |||||||||
Non-Agency—0.8% |
| |||||||||
United States Treasury Notes | $ | 200 | $ | 200 | ||||||
| ||||||||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $200) | 200 | |||||||||
| ||||||||||
FOREIGN GOVERNMENT SECURITIES—1.3% |
| |||||||||
El Salvador Government International Bond 144A | 125 | 128 | ||||||||
Sri Lanka Government International Bond 144A | 200 | 207 | ||||||||
| ||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $338) |
| 335 | ||||||||
| ||||||||||
MUNICIPAL BONDS—1.9% | ||||||||||
Massachusetts—0.5% | ||||||||||
Massachusetts Clean Water Trust/The 5.000%, 2/1/45 | 105 | 119 | ||||||||
|
| |||||||||
New York—1.2% |
| |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Series B-1 | 100 | 113 | ||||||||
New York State Dormitory Authority, Series A | 175 | 195 | ||||||||
|
| |||||||||
308 | ||||||||||
|
| |||||||||
Texas—0.2% | ||||||||||
University of Texas System/The | 50 | 63 | ||||||||
| ||||||||||
TOTAL MUNICIPAL BONDS (Identified Cost $506) | 490 | |||||||||
|
PAR | ||||||||||
VALUE | VALUE | |||||||||
MORTGAGED-BACKED SECURITIES—4.5% |
| |||||||||
Non-Agency—4.5% | ||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates 03-AR3, M4 | $ | 45 | $ | 44 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 07-PW15, AM | 125 | 129 | ||||||||
Citigroup Mortgage Loan Trust, Inc. 03-UP3, A2 | 50 | 52 | ||||||||
Citigroup Mortgage Loan Trust, Inc. 04-UST1, A3 | 18 | 18 | ||||||||
Credit Suisse Commercial Mortgage Trust 07-C5, A1AM | 200 | 204 | ||||||||
FNMA Connecticut Avenue Securities 14-C02, 2M2 | 250 | 233 | ||||||||
GSR Mortgage Loan Trust 05-5F, B1 | 197 | 196 | ||||||||
GSR Mortgage Loan Trust 07-1F, 2A2 | 27 | 26 | ||||||||
Hilton USA Trust 13-HLT, EFX 144A | 250 | 256 | ||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 03-34A, 6A | 12 | 12 | ||||||||
| ||||||||||
TOTAL MORTGAGED-BACKED SECURITIES (Identified Cost $1,173) | 1,170 | |||||||||
| ||||||||||
ASSET-BACKED SECURITIES—6.1% |
| |||||||||
American Homes 4 Rent 14-SFR2, C 144A | 280 | 300 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued |
| |||||||
Carnow Auto Receivables Trust 14-1A, D 144A | $ | 250 | $ | 248 | ||||
Domino’s Pizza Master Issuer LLC 12-1A, A2 144A | 145 | 151 | ||||||
Drive Auto Receivables Trust 15-AA, D 144A | 130 | 131 | ||||||
Exeter Automobile Receivables Trust 14-3A, D 144A | 125 | 126 | ||||||
Foursight Capital Automobile Receivables Trust 14-1, B 144A | 250 | 253 | ||||||
Leaf Receivables Funding 10 LLC 15-1, E2 144A | 100 | 98 | ||||||
New Century Home Equity Loan Trust 05-A, A4W | 41 | 43 | ||||||
Structured Asset Securities Corp. Pass-Through Certificates Series 02-AL1, A3 | 35 | 35 | ||||||
VOLT XXII LLC 15-NPL4, A1 144A | 90 | 90 | ||||||
VOLT XXXI LLC 15-NPL2, A1 144A | 97 | 97 | ||||||
| ||||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,549) | 1,572 | |||||||
| ||||||||
CORPORATE BONDS—68.2% |
| |||||||
Consumer Discretionary—12.8% | ||||||||
Acosta, Inc. 144A | 125 | 128 | ||||||
Argos Merger Sub, Inc. 144A | 145 | 153 | ||||||
Boyd Gaming Corp. | 135 | 147 |
See Notes to Financial Statements.
45
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A | $ | 150 | $ | 151 | ||||||
Clear Channel Worldwide Holdings, Inc. | 145 | 153 | ||||||||
CSC Holdings LLC 144A | 125 | 131 | ||||||||
Cumulus Media Holdings, Inc. | 155 | 150 | ||||||||
Family Tree Escrow LLC 144A | 60 | 63 | ||||||||
Intelsat Jackson Holdings SA | 130 | 123 | ||||||||
International Game Technology PLC 144A | 200 | 198 | ||||||||
Isle of Capri Casinos, Inc. | 140 | 145 | ||||||||
Landry’s, Inc. 144A | 175 | 188 | ||||||||
Lear Corp. | 120 | 123 | ||||||||
MDC Holdings, Inc. | 65 | 65 | ||||||||
Meritor, Inc. | 125 | 131 | ||||||||
MGM Resorts International | 130 | 135 | ||||||||
MPG Holdco I, Inc. 144A | 60 | 64 | ||||||||
NCL Corp., Ltd. 144A | 15 | 16 | ||||||||
New York University | 25 | 25 | ||||||||
Penn National Gaming, Inc. | 70 | 70 | ||||||||
Pinnacle Entertainment, Inc. | 150 | 160 | ||||||||
RCN Telecom Services LLC / RCN Capital Corp. 144A | 85 | 91 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
RHP Hotel Properties LP / RHP Finance Corp. 144A | $ | 10 | $ | 10 | ||||||
RSI Home Products, Inc. 144A | 30 | 31 | ||||||||
Scientific Games International, Inc. 144A | 145 | 152 | ||||||||
Signet UK Finance PLC | 75 | 78 | ||||||||
Standard Pacific Corp. | 40 | 42 | ||||||||
Station Casinos LLC | 150 | 162 | ||||||||
Taylor Morrison Communities, Inc. / Monarch Communities, Inc. 144A | 60 | 61 | ||||||||
Tenneco, Inc. | 35 | 37 | ||||||||
TRI Pointe Holdings, Inc. 144A | 130 | 129 | ||||||||
|
| |||||||||
|
3,312 |
| ||||||||
|
| |||||||||
Consumer Staples—1.0% | ||||||||||
Dole Food Co., Inc. 144A | 85 | 87 | ||||||||
Pilgrim’s Pride Corp. 144A | 25 | 26 | ||||||||
Rite Aid Corp. | 120 | 127 | ||||||||
Rite Aid Corp. 144A | 20 | 21 | ||||||||
|
| |||||||||
|
261 |
| ||||||||
|
| |||||||||
Energy—8.3% | ||||||||||
Antero Resources Corp. 144A | 70 | 72 | ||||||||
Blue Racer Midstream LLC / Blue Racer Finance Corp. 144A | 90 | 94 | ||||||||
Carrizo Oil & Gas, Inc. | 65 | 69 |
PAR VALUE | VALUE | |||||||
Energy—continued |
| |||||||
Chesapeake Energy Corp. | $ | 80 | $ | 83 | ||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. | 105 | 110 | ||||||
Ensco PLC | 12 | 12 | ||||||
Gulfport Energy Corp. | 45 | 48 | ||||||
Halcon Resources Corp. | 155 | 122 | ||||||
Helmerich & Payne International Drilling Co. 144A | 55 | 58 | ||||||
Kinder Morgan, Inc./DE | 55 | 66 | ||||||
Kinder Morgan, Inc./DE 144A | 60 | 66 | ||||||
Laredo Petroleum, Inc. | 25 | 26 | ||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp. | 120 | 125 | ||||||
MEG Energy Corp. 144A | 90 | 90 | ||||||
Newfield Exploration Co. | 130 | 135 | ||||||
NGL Energy Partners LP / NGL Energy Finance Corp. | 100 | 99 | ||||||
Odebrecht Offshore Drilling Finance Ltd. 144A | 195 | 168 | ||||||
Pacific Rubiales Energy Corp. | 155 | 122 | ||||||
Petroleos Mexicanos 144A | 100 | 100 | ||||||
5.500%, 6/27/44(2) | 100 | 99 |
See Notes to Financial Statements.
46
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Energy—continued |
| |||||||||
QGOG Constellation SA 144A | $ | 200 | $ | 145 | ||||||
SM Energy Co. 144A | 100 | 105 | ||||||||
Sunoco LP / Sunoco Finance Corp. 144A | 55 | 57 | ||||||||
Whiting Petroleum Corp. 144A | 80 | 83 | ||||||||
|
| |||||||||
|
2,154 |
| ||||||||
|
| |||||||||
Financials—16.5% | ||||||||||
Aircastle, Ltd. | 155 | 163 | ||||||||
Allstate Corp. (The) | 115 | 125 | ||||||||
Ally Financial, Inc. | 25 | 25 | ||||||||
4.125%, 3/30/20 | 45 | 45 | ||||||||
4.125%, 2/13/22 | 40 | 39 | ||||||||
4.625%, 3/30/25 | 40 | 40 | ||||||||
Ares Capital Corp. | 55 | 56 | ||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 144A | 130 | 129 | ||||||||
Banco Internacional del Peru SAA 144A | 115 | 127 | ||||||||
Bank of America Corp. | 60 | 61 | ||||||||
Bank of Georgia JSC 144A | 200 | 211 | ||||||||
Braskem America Finance Co. RegS | 200 | 193 | ||||||||
Citizens Financial Group, Inc. 144A | 70 | 69 | ||||||||
Corpbanca SA 144A | 200 | 205 | ||||||||
Corporate Office Properties LP | 65 | 63 | ||||||||
Discover Financial Services | 75 | 76 | ||||||||
DuPont Fabros Technology LP | 65 | 68 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Financials—continued |
| |||||||||
E*TRADE Financial Corp. | $ | 125 | $ | 133 | ||||||
First Cash Financial Services, Inc. | 60 | 62 | ||||||||
First Niagara Financial Group, Inc. | 130 | 143 | ||||||||
FS Investment Corp. | 130 | 132 | ||||||||
Genworth Holdings, Inc. | 90 | 79 | ||||||||
GLP Capital LP / GLP Financing II, Inc. | 85 | 87 | ||||||||
Guanay Finance, Ltd. 144A | 250 | 263 | ||||||||
Healthcare Realty Trust, Inc. | 40 | 40 | ||||||||
Hertz Corp./The | 111 | 115 | ||||||||
Hospitality Properties Trust | 125 | 127 | ||||||||
ICICI Bank Ltd/Dubai 144A | 200 | 215 | ||||||||
iStar Financial, Inc. | 110 | 110 | ||||||||
JPMorgan Chase & Co. | 25 | 25 | ||||||||
MPT Operating Partnership LP / MPT Finance Corp. | 10 | 11 | ||||||||
Nationstar Mortgage LLC / Nationstar Capital Corp. | 65 | 64 | ||||||||
Nordea Bank AB 144A | 200 | 209 | ||||||||
PKO Finance AB (PKO Bank PL) 144A | 200 | 214 | ||||||||
Select Income REIT | 100 | 100 | ||||||||
Springleaf Finance Corp. | 125 | 126 |
PAR | ||||||||
VALUE | VALUE | |||||||
Financials—continued |
| |||||||
TIAA Asset Management Finance Co. LLC 144A | $ | 110 | $ | 115 | ||||
Voya Financial, Inc. | 100 | 105 | ||||||
York Risk Services Holding Corp. | 80 | 76 | ||||||
|
| |||||||
|
4,246 |
| ||||||
|
| |||||||
Health Care—5.3% | ||||||||
Amsurg Corp. | 60 | 61 | ||||||
Centene Corp. | 100 | 105 | ||||||
Concordia Healthcare Corp. 144A | 100 | 102 | ||||||
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp. 144A | 50 | 51 | ||||||
Endo Finance LLC / Endo Finco, Inc. 144A | 80 | 79 | ||||||
ExamWorks Group, Inc. | 25 | 26 | ||||||
HCA, Inc. | 55 | 63 | ||||||
7.500%, 2/15/22 | 85 | 100 | ||||||
5.375%, 2/1/25 | 40 | 42 | ||||||
JLL/Delta Dutch Pledgeco BV PIK 144A | 60 | 61 | ||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC 144A | 5 | 5 | ||||||
5.500%, 4/15/25(2) | 5 | 5 | ||||||
Owens & Minor, Inc. | 20 | 21 | ||||||
Surgical Care Affiliates, Inc. 144A | 109 | 112 | ||||||
Tenet Healthcare Corp. | 75 | 76 | ||||||
8.125%, 4/1/22 | 65 | 71 |
See Notes to Financial Statements.
47
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR | ||||||||||
VALUE | VALUE | |||||||||
Health Care—continued |
| |||||||||
Tenet Healthcare Corp. 144A | $ | 75 | $ | 76 | ||||||
Valeant Pharmaceuticals International, Inc. 144A | 50 | 51 | ||||||||
7.250%, 7/15/22(2) | 125 | 134 | ||||||||
5.500%, 3/1/23(2) | 35 | 35 | ||||||||
5.875%, 5/15/23(2) | 50 | 51 | ||||||||
6.125%, 4/15/25(2) | 40 | 42 | ||||||||
|
| |||||||||
|
1,369 |
| ||||||||
|
| |||||||||
Industrials—8.7% | ||||||||||
ADT Corp./The | 155 | 167 | ||||||||
Ahern Rentals, Inc. 144A | 135 | 146 | ||||||||
7.375%, 5/15/23(2) | 70 | 71 | ||||||||
Air Canada 144A 6.750%, 10/1/19(2) | 140 | 150 | ||||||||
Air Canada Pass-Through-Trust 13-1, B 144A | 148 | 156 | ||||||||
American Airlines Group, Inc. 144A | 35 | 35 | ||||||||
American Airlines Pass Through Trust 14-1, B 4.375%, 10/1/22 | 238 | 247 | ||||||||
Bombardier, Inc. 144A | 130 | 125 | ||||||||
Builders FirstSource, Inc. 144A | 120 | 126 | ||||||||
Building Materials Corp. of America 144A | 60 | 62 | ||||||||
Harland Clarke Holdings Corp. 144A 6.875%, 3/1/20(2) | 35 | 36 | ||||||||
9.250%, 3/1/21(2) | 50 | 49 | ||||||||
HD Supply, Inc. 144A | 150 | 156 | ||||||||
Huntington Ingalls Industries, Inc. 144A | 60 | 62 | ||||||||
Masco Corp. | 135 | 152 |
PAR | ||||||||||
VALUE | VALUE | |||||||||
Industrials—continued |
| |||||||||
Masonite International Corp. 144A | $ | 30 | $ | 32 | ||||||
NCI Building Systems, Inc. 144A | 75 | 80 | ||||||||
Nortek, Inc. | 75 | 81 | ||||||||
Oshkosh Corp. 144A | 35 | 36 | ||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. 144A | 35 | 35 | ||||||||
United Rentals North America, Inc. | 110 | 112 | ||||||||
US Airways 12-2 Class C Pass Through Trust | 125 | 129 | ||||||||
|
| |||||||||
|
2,245 |
| ||||||||
|
| |||||||||
Information Technology—2.3% |
| |||||||||
First Data Corp. | 115 | 133 | ||||||||
First Data Corp. 144A | 115 | 122 | ||||||||
Interactive Data Corp. 144A | 85 | 86 | ||||||||
Juniper Networks, Inc. | 15 | 15 | ||||||||
KLA-Tencor Corp. | 65 | 67 | ||||||||
Project Homestake Merger Corp. 144A | 65 | 66 | ||||||||
SunGard Data Systems, Inc. | 90 | 94 | ||||||||
|
| |||||||||
|
583 |
| ||||||||
|
| |||||||||
Materials—6.6% | ||||||||||
Alpek SAB de CV 144A | 200 | 216 | ||||||||
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II 144A | 150 | 152 | ||||||||
Cascades, Inc. 144A | 125 | 127 |
PAR | ||||||||
VALUE | VALUE | |||||||
Materials—continued |
| |||||||
Cemex SAB de CV 144A | $ | 200 | $ | 217 | ||||
FMG Resources August 2006 Property Ltd. 144A | 90 | 79 | ||||||
9.750%, 3/1/22(2) | 25 | 26 | ||||||
INEOS Group Holdings SA 144A | 200 | 203 | ||||||
Mercer International, Inc. | 45 | 48 | ||||||
Methanex Corp. | 65 | 66 | ||||||
Sappi Papier Holding GmbH 144A | 200 | 210 | ||||||
Tronox Finance LLC | 55 | 54 | ||||||
United States Steel Corp. | 115 | 116 | ||||||
Vedanta Resources plc 144A | 200 | 191 | ||||||
|
| |||||||
|
1,705 |
| ||||||
|
| |||||||
Telecommunication Services—4.8% | ||||||||
Altice SA 144A | 200 | 203 | ||||||
AT&T, Inc. | 25 | 25 | ||||||
CenturyLink, Inc. | 145 | 153 | ||||||
Frontier Communications Corp. | 150 | 149 | ||||||
Level 3 Financing, Inc. | 145 | 156 | ||||||
Sprint Communications, | 175 | 165 | ||||||
T-Mobile USA, Inc. | 120 | 124 | ||||||
West Corp. 144A | 100 | 97 | ||||||
Windstream Corp. | 150 | 155 | ||||||
|
| |||||||
|
1,227 |
| ||||||
|
|
See Notes to Financial Statements.
48
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
Utilities—1.9% |
| |||||||||
AmeriGas Finance LLC / AmeriGas Finance Corp. | $ | 135 | $ | 145 | ||||||
Calpine Corp. | 64 | 65 | ||||||||
Dynegy, Inc. 144A | 55 | 59 | ||||||||
7.625%, 11/1/24(2) | 30 | 32 | ||||||||
Majapahit Holding BV 144A | 100 | 118 | ||||||||
TerraForm Power Operating LLC 144A | 60 | 63 | ||||||||
|
| |||||||||
|
482
|
| ||||||||
TOTAL CORPORATE BONDS (Identified Cost $17,553) | 17,584 | |||||||||
LOAN AGREEMENTS—13.7% |
| |||||||||
Consumer Discretionary—4.4% |
| |||||||||
Aristocrat Leisure Ltd. | 122 | 123 | ||||||||
Caesars Entertainment Operating Company, Inc. (fka Harrah’s Operating Company, Inc.), Term Loan B-7 | 159 | 147 | ||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B | 65 | 62 | ||||||||
CBAC Borrower LLC, Term Loan B | 145 | 143 | ||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) Tranche D | 95 | 91 | ||||||||
Laureate Education, Inc. | 65 | 63 | ||||||||
Mohegan Tribal Gaming Authority, Term Loan B | 105 | 105 | ||||||||
Peppermill Casinos, Inc., Term Loan B | 125 | 126 |
PAR VALUE | VALUE | |||||||||
Consumer Discretionary—continued |
| |||||||||
Shingle Springs Tribal Gaming Authority | $ | 129 | $ | 130 | ||||||
TWCC Holding Corp., Second Lien | 150 | 141 | ||||||||
|
| |||||||||
|
1,131 |
| ||||||||
|
| |||||||||
Consumer Staples—0.4% | ||||||||||
Albertson’s LLC, Term Loan B-4-1 | 101 | 102 | ||||||||
|
| |||||||||
Energy—1.8% | ||||||||||
Drillships Financing Holding, Inc. (Ocean Rig), Tranche B-1 | 124 | 101 | ||||||||
Fieldwood Energy LLC, Second Lien | 145 | 114 | ||||||||
Jonah Energy LLC, Second Lien | 155 | 144 | ||||||||
Templar Energy LLC, Second Lien | 155 | 118 | ||||||||
|
| |||||||||
|
477 |
| ||||||||
|
| |||||||||
Financials—0.6% | ||||||||||
Capital Automotive LP, Second Lien | 40 | 41 | ||||||||
Walter Investment Management Corp., Tranche B | 114 | 109 | ||||||||
|
| |||||||||
|
150 |
| ||||||||
|
| |||||||||
Health Care—1.3% | ||||||||||
21St Century Oncology Holdings, Inc. | 26 | 26 | ||||||||
American Renal Holdings, Second Lien | 100 | 100 | ||||||||
Ardent Medical Services, Inc. Second Lien | 60 | 61 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Inventiv Health, Inc. (fka Ventive Health, Inc.), Term Loan B-4 | $ | 155 | $ | 155 | ||||
|
| |||||||
|
342 |
| ||||||
|
| |||||||
Industrials—1.3% | ||||||||
CHG Healthcare Services, Inc. (fka CHG Buyer Corp.), Second Lien | 133 | 134 | ||||||
DynCorp International, Inc. | 79 | 79 | ||||||
Sedgwick Claims Management Services, Inc. Second Lien | 125 | 124 | ||||||
|
| |||||||
|
337 |
| ||||||
|
| |||||||
Information Technology—2.8% | ||||||||
Applied Systems, Inc., Second Lien | 96 | 97 | ||||||
Blue Coat Systems, Inc., Second Lien | 105 | 107 | ||||||
Deltek, Inc., Second Lien | 14 | 14 | ||||||
Evergreen Skills Lux S.À R.L., First Lien | 66 | 66 | ||||||
Kronos, Inc., Second Lien | 150 | 155 | ||||||
Mitchell International, Inc., Second Lien | 150 | 150 | ||||||
Presidio, Inc., Term Loan B | 100 | 101 | ||||||
Riverbed Technology, Inc. | 30 | 31 | ||||||
|
| |||||||
|
721 |
| ||||||
|
| |||||||
Materials—0.5% | ||||||||
Noranda Aluminum Acquisition Corp., Term Loan B | 129 | 121 | ||||||
|
|
See Notes to Financial Statements.
49
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
PAR VALUE | VALUE | |||||||||
Telecommunication Services—0.6% |
| |||||||||
Global Tel*Link Corp., Second Lien | $ | 160 | $ | 154 | ||||||
| ||||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $3,658) | 3,535 | |||||||||
| ||||||||||
SHARES | ||||||||||
PREFERRED STOCK—0.6% |
| |||||||||
Financials—0.6% |
| |||||||||
Citigroup, Inc. | 125 | (10) | 126 | |||||||
SunTrust Banks, Inc. | 30 | (10) | 30 | |||||||
|
| |||||||||
|
156 |
| ||||||||
| ||||||||||
TOTAL PREFERRED STOCK (Identified Cost $156) | 156 | |||||||||
| ||||||||||
CONTRACTS | ||||||||||
PURCHASED OPTIONS—0.1% |
| |||||||||
Call Options—0.0% |
| |||||||||
S&P 500 Index Expiring 05/01/15 Strike Price $2,225 | 85 | — | ||||||||
S&P 500 Index Expiring 05/08/15 Strike Price $2,235 | 102 | — | ||||||||
|
| |||||||||
|
— |
| ||||||||
|
| |||||||||
Put Options—0.1% |
| |||||||||
S&P 500 Index | 85 | 1 | ||||||||
S&P 500 Index | 102 | 17 | ||||||||
|
| |||||||||
|
18 |
| ||||||||
| ||||||||||
TOTAL PURCHASED OPTIONS (Identified Cost $24) | 18 | |||||||||
| ||||||||||
TOTAL LONG TERM INVESTMENTS — 97.2% | ||||||||||
(Identified Cost $25,157) | $ | 25,060 |
SHARES | VALUE | |||||||||
SHORT-TERM INVESTMENTS—0.9% |
| |||||||||
Money Market Mutual Funds—0.9% |
| |||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (Seven-day effective yield 0.080%) | 232,788 | $ | 233 | |||||||
| ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $233) | 233 | |||||||||
| ||||||||||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS — 98.1% | ||||||||||
(Identified Cost $25,390) | 25,293 | (1) | ||||||||
| ||||||||||
CONTRACTS | ||||||||||
WRITTEN OPTIONS—(0.2)% |
| |||||||||
Call Options—0.0% |
| |||||||||
S&P 500 Index | (85 | ) | — | (11) | ||||||
S&P 500 Index | (102 | ) | (1 | ) | ||||||
|
| |||||||||
|
(1 |
) | ||||||||
|
| |||||||||
Put Options—(0.2)% |
| |||||||||
S&P 500 Index | (85 | ) | (2 | ) | ||||||
S&P 500 Index | (102 | ) | (58 | ) | ||||||
|
| |||||||||
|
(60 |
) | ||||||||
| ||||||||||
TOTAL WRITTEN OPTIONS (Proceeds $69) | (61 | )(1) | ||||||||
| ||||||||||
TOTAL INVESTMENTS NET OF WRITTEN OPTIONS — 97.9% |
| |||||||||
(Identified Cost $25,321) | $ | 25,232 | ||||||||
Other assets and liabilities, net — 2.1% | 548 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 25,780 | ||||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at April 30, 2015, see Note 11 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2015, these securities amounted to a value of $11,415 or 44.3% of net assets. |
(3) | Variable or step coupon security; interest rate shown reflects the rate in effect at April 30, 2015. |
(4) | All or a portion segregated as collateral for written options and over-the-counter credit default swaps. |
(5) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. |
(6) | This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(7) | 0% of the income received was in cash and 0% in PIK. |
(8) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(9) | This loan will settle after April 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be known. |
(10) | Amount shown is par value. |
(11) | Amount is less than $500. |
See Notes to Financial Statements.
50
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
Abbreviations:
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment in Kind |
PLC | Public Limited Company |
REIT | Real Estate Investment Trusts |
S&P | Standard & Poor’s |
Foreign Currencies:
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | European Currency Unit |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings (Unaudited)† | ||||||
United States | 77 | % | ||||
Canada | 4 | |||||
Mexico | 3 | |||||
Luxembourg | 2 | |||||
Cayman Islands | 2 | |||||
United Kingdom | 2 | |||||
Sweden | 2 | |||||
Other | 8 | |||||
Total | 100 | % | ||||
†% of total investments, net of securities sold short, as of April 30, 2015 | ||||||
Forward foreign currency exchange contracts as of April 30, 2015 were as follows: | ||||||||||||||||||||
Currency Purchased | Value | Currency Sold | Value | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
AUD | 74 | USD | 57 | JPMorgan Chase Bank N.A. | 6/15/15 | $ 1 | ||||||||||||||
CAD | 70 | USD | 56 | JPMorgan Chase Bank N.A. | 6/12/15 | 2 | ||||||||||||||
EUR | 48 | USD | 56 | JPMorgan Chase Bank N.A. | 6/15/15 | (2 | ) | |||||||||||||
USD | 60 | AUD | 74 | JPMorgan Chase Bank N.A. | 6/15/15 | 2 | ||||||||||||||
USD | 60 | CAD | 70 | JPMorgan Chase Bank N.A. | 6/15/15 | 2 | ||||||||||||||
USD | 60 | EUR | 48 | JPMorgan Chase Bank N.A. | 6/15/15 | 6 | ||||||||||||||
USD | 60 | JPY | 7,156 | JPMorgan Chase Bank N.A. | 6/15/15 | — | (a) | |||||||||||||
Total | $ | 11 | ||||||||||||||||||
|
|
Footnote Legend:
(a) | Amount is less than $500. |
Over-the-counter credit default swaps- sell protection(1) outstanding as of April 30, 2015 were as follows: | ||||||||||||||||||||||||||||||
Reference Entity | Counterparty | Fixed Receive Rate | Expiration Date | Notional Amount(2) | Market Value | Premiums (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
iHeartCommunications, Inc. | JPMorgan Chase Bank N.A. | 5 | % | 12/20/16 | 100 | USD | $(4) | $(8) | $4 | |||||||||||||||||||||
Total | $(4) | $(8) | $4 | |||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
See Notes to Financial Statements.
51
VIRTUS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
APRIL 30, 2015 (UNAUDITED)
($ are reported in thousands)
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
Type of Reference Asset of which the Fund Sold Protection | Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) | Amount Recoverable* | Reference Asset Rating Range** | |||
iHeartCommunications, Inc. 2 Year CDS | $100 | $— | CCC+ |
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds collateral which can offset or reduce potential payments under a triggering event. |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
The following table provides a summary of inputs used to value the Fund’s investments as of April 30, 2015 (See Security Valuation Note 2B in the Notes to Financial Statements):
Total Value at April 30, 2015 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Debt Securities: | ||||||||||||||||
U.S. Government Securities | $ | 200 | $ | — | $ | 200 | $— | |||||||||
Foreign Government Securities | 335 | — | 335 | — | ||||||||||||
Municipal Bonds | 490 | — | 490 | — | ||||||||||||
Mortgaged-Backed Securities | 1,170 | — | 1,170 | — | ||||||||||||
Asset-Backed Securities | 1,572 | — | 1,572 | — | ||||||||||||
Corporate Bonds | 17,584 | — | 17,584 | — | ||||||||||||
Loan Agreements | 3,535 | — | 3,535 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Preferred Stock | 156 | — | 156 | — | ||||||||||||
Purchased Options | 18 | 18 | — | — | ||||||||||||
Short-Term Investments | 233 | 233 | — | — | ||||||||||||
Foreign currency exchange contracts | 13 | — | 13 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 25,306 | 251 | 25,055 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Written Options | (61) | (61) | — | — | ||||||||||||
Foreign currency exchange contracts | (2) | — | (2) | — | ||||||||||||
Credit Default Swaps | (4) | — | (4) | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (67) | $ | (61) | $ | (6) | $— | |||||||||
|
|
|
|
|
|
|
|
There were no transfers between level 1 and level 2 related to securities held at April 30, 2015.
There are no Level 3 (significant unobservable input) priced securities.
See Notes to Financial Statements.
52
VIRTUS ALTERNATIVE SOLUTIONS TRUST
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2015 (UNAUDITED)
(Reported in thousands except shares and per share amounts)
Virtus Alternative Income Solution Fund | Virtus Alternative Inflation Solution Fund | Virtus Alternative Total Solution Fund(1) | Virtus Strategic Income | |||||||||||||
Assets | ||||||||||||||||
Investment in securities at value(2) | $ | 42,116 | $ | 32,884 | $ | 86,540 | $25,293 | |||||||||
Foreign currency at value(3) | 6 | 9 | — | — | ||||||||||||
Cash | 15 | — | — | 12 | ||||||||||||
Cash pledged for futures contracts | 38 | 404 | 689 | — | ||||||||||||
Cash pledged as collateral for swaps | — | — | 1,320 | 16 | ||||||||||||
Cash pledged as collateral for securities sold short and options | 29 | 30 | 74 | 12 | ||||||||||||
Deposits with prime broker | 940 | 1,127 | 4,954 | 250 | ||||||||||||
Variation margin receivable on futures contracts | 1 | 5 | 4 | — | ||||||||||||
Swaps at value | — | — | 35 | — | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 11 | 1 | 142 | 13 | ||||||||||||
Receivables | ||||||||||||||||
Investment securities sold | 311 | 162 | 3,164 | 309 | ||||||||||||
Swaps premium receivable | — | — | 90 | — | ||||||||||||
Fund shares sold | 16 | — | (a) | 981 | 2 | |||||||||||
Dividends and interest receivable | 407 | 132 | 416 | 313 | ||||||||||||
From adviser | — | — | — | 3 | ||||||||||||
Tax Reclaims | 2 | 2 | 2 | — | ||||||||||||
Prepaid expenses | 21 | 19 | 37 | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 43,913 | 34,775 | 98,448 | 26,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Foreign currency overdraft | — | — | 3 | — | ||||||||||||
Cash overdraft | — | — | 72 | — | ||||||||||||
Written options at value(4) | — | — | 66 | 61 | ||||||||||||
Securities sold short at value(5) | 1,002 | 1,201 | 7,522 | — | ||||||||||||
Dividends payable for securities sold short | — | — | 4 | — | ||||||||||||
Variation margin payable on futures contracts | — | — | 105 | — | ||||||||||||
Swaps at value (6) | — | — | 13 | 4 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 31 | 4 | 229 | 2 | ||||||||||||
Payables | ||||||||||||||||
Fund shares repurchased | — | — | 18 | — | (a) | |||||||||||
Investment securities purchased | 308 | 100 | 3,516 | 345 | ||||||||||||
Investment advisory fee | 21 | 9 | 78 | — | ||||||||||||
Distribution and service fees | 1 | — | (a) | 4 | — | (a) | ||||||||||
Administration and sub-administration fees | 40 | 39 | 51 | 19 | ||||||||||||
Transfer agent fees and expenses | — | (a) | — | (a) | 2 | — | (a) | |||||||||
Trustees’ fees and expenses | 9 | 7 | 14 | 1 | ||||||||||||
Professional fees | 43 | 28 | 55 | 30 | ||||||||||||
Other accrued expenses | 164 | 203 | 28 | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 1,619 | 1,591 | 11,780 | 462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 42,294 | $ | 33,184 | $ | 86,668 | $25,780 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Capital paid in on shares of beneficial interest | $ | 43,013 | $ | 32,959 | $ | 85,880 | $25,644 | |||||||||
Accumulated undistributed net investment income (loss) | 177 | (73 | ) | 128 | (19 | ) | ||||||||||
Accumulated undistributed net realized gain (loss) | (375 | ) | (545 | ) | 1,388 | 229 | ||||||||||
Net unrealized appreciation (depreciation) on investments | (521 | ) | 843 | (728 | ) | (74 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 42,294 | $ | 33,184 | $ | 86,668 | $25,780 | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements
53
VIRTUS ALTERNATIVE SOLUTIONS TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
April 30, 2015 (UNAUDITED)
(Reported in thousands except shares and per share amounts)
Virtus Alternative Income Solution Fund | Virtus Alternative Inflation Solution Fund | Virtus Alternative Total Solution Fund(1) | Virtus Strategic Income | |||||||||||||
Class A | ||||||||||||||||
Net asset value (net assets/shares outstanding) per share* | $9.84 | $10.06 | $10.12 | $10.03 | ||||||||||||
Maximum offering price per share NAV/(1-5.75%) (NAV/(1-3.75%) for Strategic Income) | $10.44 | $10.67 | $10.74 | $10.42 | ||||||||||||
Shares of beneficial interest outstanding, no par value, unlimited authorization | 77,394 | 77,131 | 1,195,100 | 10,621 | ||||||||||||
Net Assets | $761 | $776 | $12,092 | $107 | ||||||||||||
Class C | ||||||||||||||||
Net asset value (net assets/shares outstanding) and offering price per share* | $9.82 | $10.00 | $10.06 | $10.04 | ||||||||||||
Shares of beneficial interest outstanding, no par value, unlimited authorization | 63,964 | 17,774 | 253,178 | 17,545 | ||||||||||||
Net Assets | $628 | $178 | $2,546 | $176 | ||||||||||||
Class I | ||||||||||||||||
Net asset value (net assets/shares outstanding), offering price and redemption per share | $9.84 | $10.07 | $10.14 | $10.04 | ||||||||||||
Shares of beneficial interest outstanding, no par value, unlimited authorization | 4,155,650 | 3,199,852 | 7,090,298 | 2,540,006 | ||||||||||||
Net Assets | $40,905 | $32,230 | $71,928 | $25,497 | ||||||||||||
Class R6 | ||||||||||||||||
Net asset value (net assets/shares outstanding), offering price and redemption per share | $— | $— | $10.15 | $— | ||||||||||||
Shares of beneficial interest outstanding, no par value, unlimited authorization | — | — | 10,026 | — | ||||||||||||
Net Assets | $— | $— | $102 | $— | ||||||||||||
(1) Consolidated Statement of Assets and Liabilities | ||||||||||||||||
(2) Investment in unaffiliated securities at cost | $42,646 | $32,151 | $87,131 | $25,390 | ||||||||||||
(3) Foreign currency at cost | 6 | 8 | (3 | ) | — | |||||||||||
(4) Proceeds from written options | — | — | (31 | ) | 69 | |||||||||||
(5) Proceeds from securities sold short | (1,042 | ) | (1,249 | ) | (7,737 | ) | — | |||||||||
(6) Includes premiums received on over-the-counter swaps | — | — | — | (8 | ) |
* Redemption price per share is equal to the Net Asset Value per share, less any applicable contingent deferred sales charges.
Footnote Legend:
(a) Amount is less than $500.
See Notes to Financial Statements
54
VIRTUS ALTERNATIVE SOLUTIONS TRUST
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED APRIL 30, 2015 (UNAUDITED)
($ reported in thousands)
Virtus Alternative Income Solution Fund | Virtus Alternative Inflation Solution Fund | Virtus Alternative Total Solution Fund(1) | Virtus Strategic Income Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ 181 | $ 189 | $ 270 | $ — | ||||||||||||
Interest | 1,024 | 177 | 910 | 661 | ||||||||||||
Foreign taxes withheld | (8 | ) | (10 | ) | (11 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,197 | 356 | 1,169 | 661 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 374 | 284 | 764 | 101 | ||||||||||||
Distribution and service fees, Class A | 1 | 1 | 12 | 1 | ||||||||||||
Distribution and service fees, Class C | 3 | 1 | 9 | 1 | ||||||||||||
Administration fees | 21 | 16 | 38 | 13 | ||||||||||||
Sub-administration Fees | 116 | 116 | 153 | 53 | ||||||||||||
Transfer agent fees and expenses | 8 | 6 | 24 | 5 | ||||||||||||
Registration fees | 31 | 31 | 35 | 27 | ||||||||||||
Printing fees and expenses | 7 | 6 | 12 | 2 | ||||||||||||
Custodian fees | 22 | 9 | 32 | 3 | ||||||||||||
Professional fees | 42 | 45 | 50 | 30 | ||||||||||||
Trustee’s fees and expenses | 37 | 29 | 60 | 23 | ||||||||||||
Offering expenses | 5 | 5 | 5 | — | ||||||||||||
Miscellaneous expenses | 22 | 15 | 38 | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 689 | 564 | 1,232 | 275 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividend expense on securities sold short | 37 | 41 | 98 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Interest expense on securities sold short, written options and borrowings | — | — | 10 | 8 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses, including dividend expense on securities sold short, and interest expense on securities sold short, written options and borrowings | 726 | 605 | 1,340 | 283 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less expenses reimbursed and/or waived by investment adviser | (190 | ) | (173 | ) | (291 | ) | (98 | ) | ||||||||
Less expenses waived by sub-administrator | (39 | ) | (41 | ) | (31 | ) | (31 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 497 | 391 | 1,018 | 154 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 700 | (35 | ) | 151 | 507 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net realized gain (loss) on investments | (452 | ) | (60 | ) | 781 | (599 | ) | |||||||||
Net realized gain (loss) on foreign currency transactions | 151 | 15 | 522 | — | ||||||||||||
Net realized gain (loss) on futures | (55 | ) | (327 | ) | 1,015 | — | ||||||||||
Net realized gain (loss) on written options | — | — | 36 | 938 | ||||||||||||
Net realized gain (loss) on swaps | — | — | (430 | ) | 31 | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | (434 | ) | 66 | (1,050 | ) | (32 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on securities sold short | 127 | 141 | 483 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | (43 | ) | (7 | ) | (208 | ) | 11 | |||||||||
Net change in unrealized appreciation (depreciation) on futures | 10 | 129 | (304 | ) | — | |||||||||||
Net change in unrealized appreciation (depreciation) on written options | — | — | (35 | ) | (8 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on swaps | — | — | 25 | (27 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain (loss) on investments | (696 | ) | (43 | ) | 835 | 314 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ 4 | $ (78 | ) | $ 986 | $ 821 | |||||||||||
|
|
|
|
|
|
|
|
Footnote Legend:
(1) Consolidated Statement of Operations.
See Notes to Financial Statements
55
VIRTUS ALTERNATIVE SOLUTIONS TRUST
STATEMENTS OF CHANGES IN NET ASSETS
Virtus Alternative Income Solution Fund | Virtus Alternative Inflation Solution Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | From Inception April 23, 2014 to October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | From Inception April 23, 2014 to October 31, 2014 | |||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||
From Operations | ||||||||||||||||
Net investment income (loss) | $ | 700 | $ | 604 | $ | (35 | ) | $ | 50 | |||||||
Net realized gain (loss) | (356 | ) | 316 | (372 | ) | (172 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (340 | ) | (181 | ) | 329 | 514 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 4 | 739 | (78 | ) | 392 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
From Distributions to Shareholders | ||||||||||||||||
Net investment income, Class A | (9 | ) | (7 | ) | (1 | ) | — | |||||||||
Net investment income, Class C | (5 | ) | (3 | ) | — | — | ||||||||||
Net investment income, Class I | (501 | ) | (592 | ) | (87 | ) | — | |||||||||
Net realized short-term gains, Class A | (5 | ) | (1 | ) | — | — | ||||||||||
Net realized short-term gains, Class C | (4 | ) | — | (1) | — | — | ||||||||||
Net realized short-term gains, Class I | (256 | ) | (62 | ) | — | — | ||||||||||
Net realized long-term gains, Class A | — | (1) | — | — | — | |||||||||||
Net realized long-term gains, Class C | — | (1) | — | — | — | |||||||||||
Net realized long-term gains, Class I | (16 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in net assets from distributions to shareholders | (796 | ) | (665 | ) | (88 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
From Share Transactions (See Note 6) | ||||||||||||||||
Change in net assets from share transactions, Class A | 30 | 759 | 278 | 503 | ||||||||||||
Change in net assets from share transactions, Class C | 247 | 392 | 27 | 151 | ||||||||||||
Change in net assets from share transactions, Class I | 229 | 41,355 | 100 | 31,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from share transactions | 506 | 42,506 | 405 | 32,553 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (286 | ) | 42,580 | 239 | 32,945 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 42,580 | — | 32,945 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 42,294 | $ | 42,580 | $ | 33,184 | $ | 32,945 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 177 | $ | (8 | ) | $ | (73 | ) | $ | 50 |
Footnote Legend:
(1) Amount is less than $500.
See Notes to Financial Statements
56
VIRTUS ALTERNATIVE SOLUTIONS TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
Virtus Alternative Total Solution Fund(1) | Virtus Strategic Income Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | From Inception April 23, 2014 to October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | From Inception September 8, 2014 to October 31, 2014 | |||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||
From Operations | ||||||||||||||||
Net investment income (loss) | $ | 151 | $ | (17 | ) | $ | 507 | $ | 74 | |||||||
Net realized gain (loss) | 1,924 | 450 | 370 | (139 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | (1,089 | ) | 559 | (56 | ) | (18 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 986 | 992 | 821 | (83 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
From Distributions to Shareholders | ||||||||||||||||
Net investment income, Class A | (20 | ) | — | (10 | ) | — | (2) | |||||||||
Net investment income, Class C | (2 | ) | — | (2 | ) | — | (2) | |||||||||
Net investment income, Class I | (160 | ) | — | (541 | ) | (49 | ) | |||||||||
Net investment income, Class R6 | — | (2) | — | — | — | |||||||||||
Net realized short-term gains, Class A | (121 | ) | — | — | — | |||||||||||
Net realized short-term gains, Class C | (22 | ) | — | — | — | |||||||||||
Net realized short-term gains, Class I | (832 | ) | — | — | — | |||||||||||
Net realized short-term gains, Class R6 | (2 | ) | — | — | — | |||||||||||
Net realized long-term gains, Class A | (4 | ) | — | — | — | |||||||||||
Net realized long-term gains, Class C | (1 | ) | — | — | — | |||||||||||
Net realized long-term gains, Class I | (25 | ) | — | — | — | |||||||||||
Net realized long-term gains, Class R6 | — | (2) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in net assets from distributions to shareholders | (1,189 | ) | — | (553 | ) | (49 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
From Share Transactions (See Note 6) | ||||||||||||||||
Change in net assets from share transactions, Class A | 4,956 | 7,142 | (42 | ) | 120 | |||||||||||
Change in net assets from share transactions, Class C | 1,224 | 1,328 | 75 | 100 | ||||||||||||
Change in net assets from share transactions, Class I | 8,228 | 62,899 | 539 | 24,852 | ||||||||||||
Change in net assets from share transactions, Class R6 | 102 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from share transactions | 14,510 | 71,369 | 572 | 25,072 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 14,307 | 72,361 | 840 | 24,940 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 72,361 | — | 24,940 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 86,668 | $ | 72,361 | $ | 25,780 | $ | 24,940 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 128 | $ | 159 | $ | (19 | ) | $ | 27 |
Footnote Legend:
(1) Consolidated Statement of Changes in Net Assets. (2) Amount is less than $500.
See Notes to Financial Statements
57
VIRTUS ALTERNATIVE SOLUTIONS TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Realized Short- term Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses (including dividend expense on securities sold short, interest expense on securities sold short, written options/ borrowings after expense waivers/ reimbursements) to Average Net Assets(3)(4)(5) | Ratio of Total Expenses (including dividend expense on securities sold short, interest expense on securities sold short, written options/borrowings before expense waivers/ reimbursements) to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Virtus Alternative Income Solution Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | $ | 10.03 | $ | 0.15 | $ | (0.16 | ) | $ | (0.01 | ) | $ | (0.11 | ) | $ | (0.07 | ) | $ | (0.18 | ) | $ | (0.19 | ) | $ | 9.84 | (0.11 | %)(7) | $ | 761 | 2.63 | %(8) | 3.75 | %(8) | 3.13 | %(8) | 33 | %(7) | |||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | 0.14 | 0.04 | 0.18 | (0.14 | ) | (0.01 | ) | (0.15 | ) | 0.03 | 10.03 | 1.82 | (7) | 747 | 2.65 | (8) | 3.76 | (8) | 2.56 | (8) | 49 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 10.01 | 0.11 | (0.15 | ) | (0.04 | ) | (0.08 | ) | (0.07 | ) | (0.15 | ) | (0.19 | ) | 9.82 | (0.42 | )(7) | 628 | 3.38 | (8) | 4.53 | (8) | 2.38 | (8) | 33 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | 0.10 | 0.04 | 0.14 | (0.12 | ) | (0.01 | ) | (0.13 | ) | 0.01 | 10.01 | 1.38 | (7) | 387 | 3.40 | (8) | 4.39 | (8) | 1.81 | (8) | 49 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 10.03 | 0.16 | (0.16 | ) | — | (0.12 | ) | (0.07 | ) | (0.19 | ) | (0.19 | ) | 9.84 | 0.01 | (7) | 40,905 | 2.38 | (8) | 3.48 | (8) | 3.39 | (8) | 33 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | 0.15 | 0.04 | 0.19 | (0.14 | ) | (0.02 | ) | (0.16 | ) | 0.03 | 10.03 | 1.90 | (7) | 41,446 | 2.43 | (8) | 3.70 | (8) | 2.79 | (8) | 49 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Virtus Alternative | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | $ | 10.11 | $ | (0.02 | ) | $ | (0.01 | ) | $ | (0.03 | ) | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | (0.05 | ) | $ | 10.06 | (0.33 | %)(7) | $ | 776 | 2.66 | %(8) | 4.00 | %(8) | (0.46 | )%(8) | 34 | %(7) | |||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | — | (10) | 0.11 | 0.11 | — | — | — | 0.11 | 10.11 | 1.10 | (7) | 500 | 2.69 | (8) | 4.03 | (8) | 0.04 | (8) | 31 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 10.08 | (0.06 | ) | (0.02 | ) | (0.08 | ) | — | — | — | (0.08 | ) | 10.00 | (0.70 | %)(7) | 178 | 3.41 | (8) | 4.75 | (8) | (1.20 | )(8) | 34 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | (0.04 | ) | 0.12 | 0.08 | — | — | — | 0.08 | 10.08 | 0.80 | (7) | 152 | 3.45 | (8) | 4.88 | (8) | (0.71 | )(8) | 31 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | �� | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 10.12 | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.03 | ) | — | (0.03 | ) | (0.05 | ) | 10.07 | (0.22 | %)(7) | 32,230 | 2.41 | (8) | 3.73 | (8) | (0.20 | )(8) | 34 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | 0.02 | 0.10 | 0.12 | — | — | — | 0.12 | 10.12 | 1.20 | (7) | 32,293 | 2.46 | (8) | 3.97 | (8) | 0.29 | (8) | 31 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Virtus Alternative Total Solution Fund(11) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | $ | 10.17 | $ | 0.01 | $ | 0.10 | $ | 0.11 | $ | (0.02 | ) | $ | (0.14 | ) | $ | (0.16 | ) | $ | (0.05 | ) | $ | 10.12 | 1.13 | %(7) | $ | 12,092 | 2.88 | %(8) | 3.76 | %(8) | 0.22 | %(8) | 167 | %(7) | |||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | (0.02 | ) | 0.19 | 0.17 | — | — | — | 0.17 | 10.17 | 1.70 | (7) | 7,136 | 3.02 | (8) | 3.93 | (8) | (0.30 | )(8) | 195 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 10.13 | (0.03 | ) | 0.11 | 0.08 | (0.01 | ) | (0.14 | ) | (0.15 | ) | (0.07 | ) | 10.06 | 0.83 | (7) | 2,546 | 3.63 | (8) | 4.51 | (8) | (0.51 | )(8) | 167 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | (0.06 | ) | 0.19 | 0.13 | — | — | — | 0.13 | 10.13 | 1.30 | (7) | 1,325 | 3.76 | (8) | 4.66 | (8) | (1.04 | )(8) | 195 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 10.18 | 0.02 | 0.11 | 0.13 | (0.03 | ) | (0.14 | ) | (0.17 | ) | (0.04 | ) | 10.14 | 1.26 | (7) | 71,928 | 2.63 | (8) | 3.48 | (8) | 0.45 | (8) | 167 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(9) | 10.00 | — | (10) | 0.18 | 0.18 | — | — | — | 0.18 | 10.18 | 1.80 | (7) | 63,900 | 2.75 | (8) | 3.85 | (8) | (0.04 | )(8) | 195 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6)(12) | 10.00 | 0.02 | 0.30 | 0.32 | (0.03 | ) | (0.14 | ) | (0.17 | ) | 0.15 | 10.15 | 1.76 | (7) | 102 | 2.61 | (8) | 3.55 | (8) | 0.42 | (8) | 167 | (7) |
See Notes to Financial Statements
58
VIRTUS ALTERNATIVE SOLUTIONS TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Realized Short-term Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses (after expense waivers and reimbursements) to Average Net Assets(13) | Ratio of Total Expenses (before expense waivers and reimbursements) to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Virtus Strategic Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | $ | 9.95 | $ | 0.18 | $ | 0.10 | $ | 0.28 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 0.08 | $ | 10.03 | 2.99 | %(7) | $ | 107 | 1.41 | %(8) | 2.43 | %(8) | 3.75 | %(8) | 56 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||
10/31/14(14) | 10.00 | 0.03 | (0.06 | ) | (0.03 | ) | (0.02 | ) | — | (0.02 | ) | (0.05 | ) | 9.95 | (0.33 | )(7) | 119 | 1.40 | (8) | 3.71 | (8) | 1.84 | (8) | 83 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 9.95 | 0.15 | 0.11 | 0.26 | (0.17 | ) | — | (0.17 | ) | 0.09 | 10.04 | 2.62 | (7) | 176 | 2.21 | (8) | 3.25 | (8) | 3.07 | (8) | 56 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(14) | 10.00 | 0.02 | (0.06 | ) | (0.04 | ) | (0.01 | ) | — | (0.01 | ) | (0.05 | ) | 9.95 | (0.43 | )(7) | 100 | 2.15 | (8) | 4.85 | (8) | 1.09 | (8) | 83 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15(6) | 9.95 | 0.20 | 0.10 | 0.30 | (0.21 | ) | — | (0.21 | ) | 0.09 | 10.04 | 3.12 | (7) | 25,497 | 1.21 | (8) | 2.24 | (8) | 4.04 | (8) | 56 | (7) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/14(14) | 10.00 | 0.03 | (0.06 | ) | (0.03 | ) | (0.02 | ) | — | (0.02 | ) | (0.05 | ) | 9.95 | (0.29 | )(7) | 24,721 | 1.15 | (8) | 3.85 | (8) | 2.09 | (8) | 83 | (7) |
Footnote Legend
(1) | Computed using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short for the Alternative Income Solution Fund for Class A is 2.45%, for Class C is 3.21% and for Class I is 2.20% for the six months ended April 30, 2015. |
(4) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short for the Alternative Inflation Solution Fund for Class A is 2.41%, for Class C is 3.15% and for Class I is 2.15% for the six months ended April 30, 2015. |
(5) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short for the Alternative Total Solution Fund for Class A is 2.60%, for Class C is 3.35%, for Class I is 2.35% and for Class R6 is 2.35% for the six months ended April 30, 2015. |
(6) | Unaudited. |
(7) | Not annualized. |
(8) | Annualized. |
(9) | Inception date April 23, 2014. |
(10) | Amount is less than $0.005 or 0.005%. |
(11) | Consolidated Financial Highlights. |
(12) | Inception date November 19, 2014. |
(13) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short for the Strategic Income Fund for Class A is 1.40%, for Class C is 2.15% and for Class I is 1.15% for the period ended April 30, 2015. |
(14) | Inception date September 8, 2014. |
See Notes to Financial Statements
59
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
Note 1. Organization
Virtus Alternative Solutions Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of the date of this report the Trust is comprised of three non-diversified funds (Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund) and one diversified fund (Strategic Income Fund) each having a distinct investment objective outlined below.
The Funds have the following investment objectives:
Investment Objective(s)
| ||
Alternative Income Solution Fund | Maximizing current income while considering capital appreciation
| |
Alternative Inflation Solution Fund | Total return in excess of inflation
| |
Alternative Total Solution Fund | Long-term capital appreciation through investments that have a low correlation to traditional asset classes | |
Strategic Income Fund | Seeking total return comprised of income and capital appreciation |
There is no guarantee that a Fund will achieve its objective(s).
All of the Funds offer Class A shares, Class C shares and Class I shares.
Effective November 19, 2014, the Alternative Total Solution Fund began offering Class R6 Shares.
Class A shares are sold with a front-end sales charge of up to 5.75% (up to 3.75% for Strategic Income Fund) with some exceptions. Generally, Class A shares are not subject to any charges by the Funds when redeemed; however, a 1% (0.50% for Strategic Income Fund) contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which the CDSC applies for the Funds is 18 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Class C shares are generally sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class I shares and Class R6 shares are sold without a sales charge or CDSC.
Virtus Mutual Funds may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived In certain circumstances, as disclosed in the prospectus and/or statement of additional information. The fees collected will be used to offset certain expenses of the Funds.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears different distribution and/or service fees under a Rule 12b-1 and/or shareholder service plan (“12b-1 plan”) approved by the Trust’s Board of Trustees (the “Board”) and has exclusive voting rights with respect to such plan(s). Class I and Class R6 shares are not subject to a 12b-1 plan. Income and other expenses and realized and unrealized gains and losses of each Fund are borne pro rata by the holders of each class of shares.
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The significant accounting policies consistently followed by the Trust in the preparation of its financial statements are summarized below and for derivatives, included in Note 3 below. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and those differences could be significant.
A. Basis of Consolidation
The accompanying consolidated financial statements of Alternative Total Solution Fund include the account of VATS Offshore Fund, Ltd (the “Subsidiary”), which is a wholly-owned subsidiary of Alternative Total Solution Fund and is organized as a company under the laws of the Cayman Islands and primarily invests in commodity-related instruments. The Subsidiary is not registered under the 1940 Act. The Subsidiary enables Alternative Total Solution Fund to hold these commodity-related instruments and satisfy regulated investment company tax requirements. Alternative Total Solution Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2015 were $8,069 and 9.3% of Alternative Total Solution Fund’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to Alternative Total Solution Fund, except that the Subsidiary may invest without limitation in commodity-related instruments.
B. Security Valuation
Security valuation procedures for each Fund, which include nightly price variance as well as back-testing such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board. All internally fair valued securities are approved by a valuation committee (the “Valuation Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified to the Board, and convenes independently from portfolio management. All internally fair valued securities, are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of any model inputs and any changes to the model. Fair valuations are reviewed by the Board at least quarterly.
60
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
Each 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 transfer between levels 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 a Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a 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 Funds fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter (OTC) derivative contracts, which include forward currency contracts, swaps and equity linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end mutual funds are valued as of the close of regular trading on the NYSE, generally 4 p.m. Eastern time, each business day. Both are categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Funds’ net assets by each major security type is disclosed at the end of the Schedule of Investments and Securities Sold Short for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
61
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
C. Security Transactions and Investment Income
Security transactions are recorded on the trade date. Realized gains and losses from sales of securities for the Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund are determined on the first-in, first-out basis.
Realized gains and losses from sales of securities for the Strategic Income Fund are determined on the highest-in, first-out basis.
Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method.
Dividend income from REIT and MLP investments is recorded using Management’s estimate of the percentage of income included in distributions received from such investments based on historical dividend results. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments (i.e. a return of capital) or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT and MLP after its fiscal year-end, and may differ from the estimated amounts.
D. Income Taxes
Each Fund is treated as a separate taxable entity. It is the intention of each Fund in the Trust to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. The Subsidiary is classified as a controlled foreign corporation under Subchapter M of the Internal Revenue Code. Therefore, the Alternative Total Solution Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the Alternative Total Solution Fund in the current period nor carried forward to offset taxable income in future periods.
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
E. Distributions to Shareholders
Distributions are recorded by each Fund on the ex-dividend date and distributed quarterly for the Alternative Income Solution Fund, semi-annually for the Alternative Inflation Solution Fund and Alternative Total Solution Fund and monthly for the Strategic Income Fund. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences may include the treatment of non-taxable dividends, market premium and discount, non-deductible expenses, expiring capital loss carryovers, foreign currency gain or loss, gain or loss on futures contracts, partnerships, operating losses and losses deferred due to wash sales. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital paid in on shares of beneficial interest.
F. Expenses
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which a Fund invests.
G. Foreign Currency Translation
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
H. When-issued Purchases and Forward Commitments (Delayed Delivery)
Certain Funds may engage in when-issued or forward commitment transactions. Transactions on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable a Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Fund records when-issued and delayed delivery securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or delayed delivery basis begin earning interest on the settlement date.
62
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
I. | Short Sales |
Certain Funds may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund may receive rebate income or be charged a fee on borrowed securities which is under Interest expense on short sales on the Statements of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
J. | Loan Agreements |
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade, and often involve borrowers that are highly leveraged. A Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan.
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased the Fund may pay an assignment fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
K. | Unfunded Commitments |
The Funds may invest in floating rate loans. In connection with these investments, the Funds may also enter into unfunded corporate loan commitments (“commitments”). Commitments may obligate a Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, a Fund earns a commitment fee, typically set as a percentage of the commitment amount. As of April 30, 2015, the Funds had no unfunded loan commitments.
L. | Organizational and Offering Costs |
Virtus Alternative Investment Advisers, Inc. (the “Adviser”) has agreed to pay all organizational costs associated with the establishment of the Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund. Offering costs will be paid by the Funds, and were amortized over a 12-month period beginning with the commencement of operations.
Note | 3. Derivative Financial Instruments |
Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by certain Funds.
A. | Futures Contracts |
A futures contract is an agreement between two parties to purchase (long) or sell (short) a security at a set price for delivery on a future date. Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash and/or securities equal to the “initial margin” requirements of the futures exchange on which the contract is traded. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund for financial statement purposes on a daily basis as unrealized appreciation or depreciation. When the contract expires or is closed, gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed is realized. This is presented in the Statement of Operations as net realized gain (loss) on futures contracts.
63
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund utilize futures to optimize performance by gaining exposure to broad markets or to hedge the risk of securities within the portfolios. The potential risks to each such Fund are that 1) the use of futures may result in larger losses or smaller gains than the use of more traditional investments, 2) the prices of futures and the price movements of the securities that the future is intended to simulate may not correlate well, 3) the Fund’s success in using futures will be dependent upon the subadviser’s ability to correctly predict such price movements, 4) liquidity of futures can be adversely affected by market factors, and the prices of such securities may move in unexpected ways, and 5) if the Fund cannot close out a futures position, it may be compelled to continue to make daily cash payments to the broker to meet margin requirements, thus increasing transaction costs.
B. | Forward Foreign Currency Exchange Contracts |
Alternative Income Solution Fund, Alternative Inflation Solution Fund, Alternative Total Solution Fund and Strategic Income Fund enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollar without the delivery of foreign currency.
C. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund use options contracts to hedge against market and idiosyncratic risk. The Strategic Income Fund pursues an option income strategy whereby it purchases and sells out-of-the-money puts and calls, creating an options spread designed to generate a consistent level of option cash flow which should result in additional yield.
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment securities at value” in the Statement of Assets and Liabilities. Written options are reported as a liability within “Written options at value”. Changes in value of the purchased option is included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options is included in “Net change in unrealized appreciation (depreciation) on written options” in the Statement of Operations.
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statement of Operations.
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.
64
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
The Funds had transactions in written options during the six months ended April 30, 2015 as follows:
Alternative Total Solution Fund | ||||||||
Numbers of Contracts | Premiums Received | |||||||
Options outstanding at October 31, 2014 | 13 | $ 1 | ||||||
Options written | 629 | 95 | ||||||
Options closed | (209) | (34) | ||||||
Options expired | (221) | (30) | ||||||
Options exercised | (8) | (1) | ||||||
|
|
|
| |||||
Options outstanding at April 30, 2015 | 204 | $ 31 | ||||||
|
|
|
| |||||
Strategic Income Fund | ||||||||
Numbers of Contracts | Premiums Received | |||||||
Options outstanding at October 31, 2014 | 362 | $ 78 | ||||||
Options written | 4,456 | 951 | ||||||
Options closed | (3,280) | (682) | ||||||
Options expired | (1,164) | (278) | ||||||
Options exercised | — | — | ||||||
|
|
|
| |||||
Options outstanding at April 30, 2015 | 374 | $ 69 | ||||||
|
|
|
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D. | Swaps |
Certain Funds enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statements of Assets and Liabilities as “Swaps at value”. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statements of Operations.
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Swaps at value” in the Statements of Assets and Liabilities and amortized over the term of the swap. When a swap is terminated, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between the Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statements of Operations. Swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments and Securities Sold Short.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap.
Securities deposited as margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as “Cash pledged as collateral for swaps”.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Credit default swaps – The Funds may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on a combination or basket of single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to any of the referenced entities (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount
65
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
The Strategic Income Fund may utilize both single name credit default swaps and credit index swaps to gain exposure to short individual securities or to gain exposure to a credit or asset-backed index.
Total return swaps – Certain Funds may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
Certain Funds may enter into equity basket swaps to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly.
During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the ISDA Master Agreement (defined below in “Derivative Risks”) between the Fund and the counterparty.
The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s).
The Alternative Total Solution Fund utilizes total return swaps to gain exposure to broad markets or to hedge the risk of individual securities within the portfolios, obtain long or short exposure to the underlying reference instrument, obtain leverage and gain exposure to restricted markets in order to avoid the operational burden of ownership filing requirements. Swap Baskets are entered into to implement custom index exposure in one convenient trading instrument.
Interest rate swaps – Certain Funds may enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Funds did not enter into any interest rate swaps during the current reporting period.
66
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
The following is a summary of derivative instruments categorized by primary risk exposure as of April 30, 2015:
Fair Values of Derivative Financial Instruments as of April 30, 2015 | ||||||||||||||||||
Derivative Assets | ||||||||||||||||||
| Alternative Income Solution Fund | | | Alternative Inflation Solution Fund | | | Alternative Total Solution Fund | | | Strategic Income Fund | | |||||||
Primary Risk | Statements of Assets and Liabilities Location | Value | Value | Value | Value | |||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation on investments1 | $— | $85 | $8 | $— | |||||||||||||
| ||||||||||||||||||
Foreign currency exchange contracts | Net unrealized appreciation/depreciation on investments1; Unrealized appreciation on forward foreign currency exchange contracts | 11 | 1 | 147 | 13 | |||||||||||||
| ||||||||||||||||||
Equity contracts | Net unrealized appreciation/depreciation on investments1; Investment in securities at value2; Swaps at value | — | — | 81 | 18 | |||||||||||||
| ||||||||||||||||||
Commodity contracts | Net unrealized appreciation/depreciation on investments1 | — | — | 69 | — | |||||||||||||
| ||||||||||||||||||
Credit contracts | Investment in Securities at value2 | 3 | 1 | 3 | — | |||||||||||||
| ||||||||||||||||||
Total | $14 | $87 | $308 | $31 | ||||||||||||||
|
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|
|
|
|
|
| |||||||||||
Fair Values of Derivative Financial Instruments as of April 30, 2015 | ||||||||||||||||||
Derivative Liabilities | ||||||||||||||||||
Alternative Income Solution Fund | Alternative Inflation Solution Fund | Alternative Total Solution Fund | Strategic Income Fund | |||||||||||||||
Primary Risk | Statements of Assets and Liabilities Location | Value | Value | Value | Value | |||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation on investments1 | $16 | $8 | $38 | $— | |||||||||||||
| ||||||||||||||||||
Foreign currency exchange contracts | Net unrealized appreciation/depreciation on investments1; Unrealized depreciation on forward foreign currency exchange contracts | 31 | 17 | 233 | 2 | |||||||||||||
| ||||||||||||||||||
Equity contracts | Net unrealized appreciation/depreciation on investments1; Investment in securities at value2; Written options at value; Swaps at value | — | — | 97 | 61 | |||||||||||||
| ||||||||||||||||||
Commodity contracts | Net unrealized appreciation/depreciation on investments1 | — | — | 113 | — | |||||||||||||
| ||||||||||||||||||
Credit contracts | Swaps at value | — | — | — | 4 | |||||||||||||
| ||||||||||||||||||
Total | $47 | $25 | $481 | $67 | ||||||||||||||
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|
|
1Includes cumulative appreciation/depreciation on futures contracts and purchased options at value as reported in the Schedules of Investments. For futures contracts only current day’s variation margin is reported within the Statements of Assets and Liabilities.
2Includes purchased options at value as reported in the Schedules of Investments.
67
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
The Effect of Derivative Financial Instruments in the Statement of Operations Six Months Ended April 30, 2015 | ||||||||||||||||||
Net Realized Gain (Loss) From | ||||||||||||||||||
Alternative Income Solution Fund | Alternative Inflation Solution Fund | Alternative Total Solution Fund | Strategic Income Fund | |||||||||||||||
Interest rate contracts: | ||||||||||||||||||
Futures contracts6 | $(55) | $(379) | $ 246 | $ — | ||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||
Forward foreign currency transactions1 | 157 | 12 | 522 | — | ||||||||||||||
Futures Contracts6 | — | 52 | 94 | — | ||||||||||||||
Equity contracts: | ||||||||||||||||||
Futures contracts6 | — | — | 423 | — | ||||||||||||||
Purchased options2 | — | — | (35) | (416) | ||||||||||||||
Written options4 | — | — | 36 | 938 | ||||||||||||||
Swaps5 | — | — | (430) | — | ||||||||||||||
Commodity contracts: | ||||||||||||||||||
Futures contracts6 | — | — | 252 | — | ||||||||||||||
Credit contracts: | ||||||||||||||||||
Swaps5 | — | — | — | 31 | ||||||||||||||
Purchased options2 | (31) | (17) | (15) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ 71 | $(332) | $1,093 | $ 553 | ||||||||||||||
|
|
|
|
|
|
|
|
The Effect of Derivative Financial Instruments in the Statement of Operations Six Months Ended April 30, 2015 | ||||||||||||||||||
Net Change in Unrealized Appreciation/(Depreciation) on | ||||||||||||||||||
Alternative Income Solution Fund | Alternative Inflation Solution Fund | Alternative Total Solution Fund | Strategic Income Fund | |||||||||||||||
Interest rate contracts: | ||||||||||||||||||
Futures contracts6 | $ 10 | $151 | $(102) | $ — | ||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||
Futures contracts6 | — | (22) | — | — | ||||||||||||||
Forward foreign currency transactions1 | (43) | (3) | (211) | 11 | ||||||||||||||
Equity contracts: | ||||||||||||||||||
Futures contracts6 | — | — | (93) | — | ||||||||||||||
Purchased options2 | — | — | (14) | 5 | ||||||||||||||
Written options4 | — | — | (35) | (8) | ||||||||||||||
Swaps5 | — | — | 25 | — | ||||||||||||||
Commodity contracts: | ||||||||||||||||||
Futures contracts6 | — | — | (109) | — | ||||||||||||||
Credit contracts: | ||||||||||||||||||
Purchased options2 | (4) | (1) | (11) | — | ||||||||||||||
Swaps5 | — | — | — | (27) | ||||||||||||||
|
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|
|
|
|
|
| |||||||||||
Total | $(37) | $125 | $(550) | $(19) | ||||||||||||||
|
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|
|
|
|
|
|
1Included in net realized gain (loss) on foreign currency transactions and net change in unrealized appreciation (depreciation) on foreign currency transactions within the Statement of Operations.
2Included in net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments within the Statement of Operations.
3Amount less than $500.
4Included in net realized gain (loss) on written options and net change in unrealized appreciation (depreciation) on written options within the Statement of Operations.
5Included in net realized gain (loss) on swaps and net change in unrealized appreciation (depreciation) on swaps within the Statement of Operations.
6Included in net realized gain (loss) on futures and net change in unrealized appreciation (depreciation) on futures within the Statement of Operations.
68
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
The derivative investments held as of April 30, 2015 as disclosed in the Schedule of Investments and Securities Sold Short, and the amounts of realized gains and losses and changes in unrealized appreciation and depreciation on derivative investments as disclosed in the Statements of Operations, serve as indicators of the volume of derivative activity for each applicable Fund for the six months ended April 30, 2015.
E. Derivative Risks
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC purchased options, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform.
With exchange traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, each Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
F. Collateral Requirements and Master Netting Agreements (“MNA”)
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
69
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
At April 30, 2015, the Funds’ derivative assets and liabilities (by type) are as follows: | ||||||||||||||||||||||||||||||||
Alternative Income Solution Fund | Alternative Inflation Solution Fund | Alternative Total Solution Fund | Strategic Income Fund | |||||||||||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | Assets | Liabilities | Assets | Liabilities | |||||||||||||||||||||||||
Derivative Financial Instruments: | ||||||||||||||||||||||||||||||||
Futures contracts | $ | 1 | $ | — | $ | 5 | $ | — | $ | 4 | $ | 105 | $ | — | $ | — | ||||||||||||||||
Forward foreign currency exchange contracts | 11 | 31 | 1 | 4 | 142 | 229 | 13 | 2 | ||||||||||||||||||||||||
Swaps | — | — | — | — | 35 | 13 | — | 4 | ||||||||||||||||||||||||
Purchased options1 | 3 | — | 1 | — | 17 | — | 18 | — | ||||||||||||||||||||||||
Written options | — | — | — | — | — | 66 | — | 61 | ||||||||||||||||||||||||
|
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|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 15 | $ | 31 | $ | 7 | $ | 4 | $ | 198 | $ | 413 | $ | 31 | $ | 67 | ||||||||||||||||
|
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| |||||||||||||||||
Derivatives not subject to a MNA or similar agreement | (1 | ) | — | (5 | ) | — | (18 | ) | (171 | ) | (18 | ) | (61 | ) | ||||||||||||||||||
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| |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 14 | $ | 31 | $ | 2 | $ | 4 | $ | 180 | $ | 242 | $ | 13 | $ | 6 | ||||||||||||||||
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1Includes purchased options at value as reported in the Schedule of Investments
The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by the Funds as of April 30, 2015:
Alternative Income Solution Fund | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives for Offset | Non-cash Collateral Received1 | Cash Collateral | Net Amount of Assets2 | |||||||||||||||
JPMorgan Chase Bank N.A. | $ | 12 | $ | (12 | ) | $ | — | $ | — | $ | — | |||||||||
The Bank of New York | 2 | (2 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 14 | $ | (14 | ) | $ | — | $ | — | $ | — | |||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives for Offset | Non-cash Collateral Pledged3 | Cash Collateral | Net Amount of Derivative Liabilities4 | |||||||||||||||
JPMorgan Chase Bank N.A. | $ | 25 | $ | (12 | ) | $ | — | $ | — | $ | 13 | |||||||||
The Bank of New York | 6 | (2 | ) | — | — | 4 | ||||||||||||||
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|
|
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|
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| |||||||||||
Total | $ | 31 | $ | (14 | ) | $ | — | $ | — | $ | 17 | |||||||||
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|
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|
| |||||||||||
Alternative Inflation Solution Fund | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received1 | Cash Collateral Received1 | Net Amount of Derivative Assets2 | |||||||||||||||
JPMorgan Chase Bank N.A. | $ | 1 | $ | — | $ | — | $ | — | $ | 1 | ||||||||||
The Bank of New York | 1 | (1 | ) | — | — | — | ||||||||||||||
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| |||||||||||
Total | $ | 2 | $ | (1 | ) | $ | — | $ | — | $ | 1 | |||||||||
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|
|
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|
|
|
|
70
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received3 | Cash Collateral Received1 | Net Amount of Derivative Liabilities4 | |||||||||||||||
The Bank of New York | $ | 4 | $ | (1 | ) | $ | — | $ | — | $ | 3 | |||||||||
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| |||||||||||
Total | $ | 4 | $ | (1 | ) | $ | — | $ | — | $ | 3 | |||||||||
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| |||||||||||
Alternative Total Solution Fund | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received1 | Cash Collateral Received1 | Net Amount of Derivative Assets2 | |||||||||||||||
Bank of America N.A. | $ | 157 | $ | (157 | ) | $ | — | $ | — | $ | — | |||||||||
JPMorgan Chase Bank N.A. | 12 | (12 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 10 | (10 | ) | — | — | — | ||||||||||||||
The Bank of New York | 1 | (1 | ) | — | — | — | ||||||||||||||
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| |||||||||||
Total | $ | 180 | $ | (180 | ) | $ | — | $ | — | $ | — | |||||||||
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| |||||||||||
Counterparty | Derivative a MNA by | Derivatives Available for Offset | Non-cash Collateral Pledged3 | Cash Collateral Pledged3 | Net Amount of Derivative Liabilities4 | |||||||||||||||
Bank of America N.A. | $ | 194 | $ | (157 | ) | $ | — | $ | — | $ | 37 | |||||||||
JPMorgan Chase Bank N.A. | 34 | (12 | ) | — | (22 | ) | — | |||||||||||||
Morgan Stanley | 10 | (10 | ) | — | — | — | ||||||||||||||
The Bank of New York | 4 | (1 | ) | — | — | 3 | ||||||||||||||
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| |||||||||||
Total | $ | 242 | $ | (180 | ) | $ | — | $ | (22 | ) | $ | 40 | ||||||||
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1 Excess of collateral received from the individual counterparty may not be shown for financial reporting purposes.
2 Net amount represents the net amount receivable from the counterparty in the event of default.
3 Excess of collateral pledged to the individual counterparty may not be shown for financial reporting purposes.
4 Net amount represents the net amount payable due to the counterparty in the event of default.
Strategic Income Fund | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received1 | Cash Collateral Received1 | Net Amount of Derivative Assets2 | |||||||||||||||
JPMorgan Chase Bank N.A. | $ | 13 | $ | (6 | ) | $ | — | $ | — | $ | 7 | |||||||||
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| |||||||||||
Total | $ | 13 | $ | (6 | ) | $ | — | $ | — | $ | 7 | |||||||||
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71
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Strategic Income Fund | ||||||||||||||||||||
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged3 | Cash Collateral Pledged3 | Net Amount of Derivative Liabilities4 | |||||||||||||||
JPMorgan Chase Bank N.A. | $ | 6 | $ | (6 | ) | $ | — | $ | — | $ | — | |||||||||
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| |||||||||||
Total | $ | 6 | $ | (6 | ) | $ | — | $ | — | $ | — | |||||||||
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1 Excess of collateral received from the individual counterparty may not be shown for financial reporting purposes.
2 Net amount represents the net amount receivable from the counterparty in the event of default.
3 Excess of collateral pledged to the individual counterparty may not be shown for financial reporting purposes.
4 Net amount represents the net amount payable due to the counterparty in the event of default.
Note 4. Investment Advisory Fee and Related Party Transactions
A. Adviser
Virtus Alternative Investment Advisers, Inc. (“VAIA”) is an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”). The Adviser manages the Funds’ investment program and general operations of the Funds, including oversight of the Funds’ subadvisers.
As compensation for its services to the Funds, the Adviser is entitled to a fee based upon the following annual rates as a percentage of the average daily managed assets of each Fund. “Managed assets” means the total assets of the Fund including any assets attributable to borrowings minus the Fund’s accrued liabilities other than such borrowings:
1st $5 Billion | $5+ Billion | |||
Alternative Income Solution Fund | 1.80% | 1.75% | ||
Alternative Inflation Solution Fund | 1.75 | 1.70 | ||
Alternative Total Solution Fund | 1.95 | 1.90 | ||
Strategic Income Fund | 0.80 | 0.75 |
For Alternative Total Solution Fund, the assets of the Subsidiary are excluded from the assets on which the above-described management fee is calculated. However, under the terms of a separate investment advisory agreement, the Subsidiary pays the Adviser an investment management fee calculated on the value of the Subsidiary’s average daily managed assets at the same annual rates.
B. Subadvisers
The Adviser has appointed and oversees the activities of each of the subadvisers for the Funds as listed below. For Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund, Cliffwater Investments LLC (“Cliffwater”), a joint venture of Cliffwater LLC and Virtus Partners, Inc., an affiliate of VAIA, makes recommendations to the Adviser with respect to hiring and terminating the Funds’ other subadvisers. Based on these recommendations, the Adviser makes decisions of the hiring and termination of subadvisers, and recommends such decisions to the Board. The subadvisers other than Cliffwater each manage a portion of the investments of each Fund, for which they are paid a fee by the Adviser.
At April 30, 2015, Subadvisers with respect to the Funds they serve are as follows:
Subadviser | ||||||||||||||||||||||||||
Fund | Cliffwater (1) | Armored Wolf (2) | Ascend (3) | Brigade (4) | Credit Suisse (5) | Graham (6) | Harvest (7) | ICE Canyon (8) | LaSalle (9) | Lazard (10) | MAST (11) | Newfleet (12) | Owl Creek (13) | |||||||||||||
Alternative Income Solution Fund | X | X | X | X | X | X | X | |||||||||||||||||||
Alternative Inflation Solution Fund | X | X | X | X | X | X | X | |||||||||||||||||||
Alternative Total Solution Fund | X | X | X | X | X | X | X | X | X | X | X | |||||||||||||||
Strategic Income Fund | X |
(1) | Cliffwater |
(2) | Armored Wolf, LLC (“Armored Wolf”) |
(3) | Ascend Capital, LLC (“Ascend”) |
(4) | Brigade Capital Management, LLC (“Brigade”) |
(5) | Credit Suisse Asset Management, LLC (“Credit Suisse”) |
(6) | Graham Capital Management, L.P. (“Graham”) |
(7) | Harvest Fund Advisors LLC (“Harvest”) |
(8) | ICE Canyon LLC (“ICE Canyon”) |
(9) | LaSalle Investment Management Securities, LLC (“LaSalle”) |
(10) | Lazard Asset Management LLC (“Lazard”) |
72
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Subadviser | ||||||||||||||||||||||||||
Fund | Cliffwater (1) | Armored (2) | Ascend (3) | Brigade (4) | Credit Suisse (5) | Graham (6) | Harvest (7) | ICE Canyon | LaSalle (9) | Lazard (10) | MAST (11) | Newfleet (12) | Owl (13) |
(11) MAST Capital Management, LLC (“MAST”)
(12) Newfleet Asset Management, LLC (“Newfleet”) an indirect wholly-owned subsidiary of Virtus
(13) Owl Creek Asset Management, L.P. (“Owl Creek”)
Out of its investment management fee, the Adviser pays each subadviser a subadvisory fee. For its services to the Alternative Income Solution Fund, Alternative Inflation Solution Fund and Alternative Total Solution Fund, Cliffwater receives as its subadvisory fee 50% of the net investment management fee, which is the portion of the fee remaining after the Adviser pays the other subadvisers and waives and/or pays the Funds any amounts applicable under the fee waiver and expense reimbursement arrangements. For its services to the Strategic Income Fund, Newfleet receives as its Subadvisory fee 50% of the net investment management fee.
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit each Fund’s operating expenses (excluding front-end or contingent deferred loads, dividend and interest expenses, taxes, brokerage commissions, expenses incurred in connection with any merger or reorganization, extraordinary expenses and acquired fund fees and expenses, if any), so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily managed assets from inception through February 29, 2016:
Following the contractual period, the Adviser may discontinue these expense caps and/or fee waivers at any time.
Fund | Class A | Class C | Class I | Class R6 | ||||
Alternative Income Solution Fund | 2.45% | 3.20% | 2.20% | — | ||||
Alternative Inflation Solution Fund | 2.40 | 3.15 | 2.15 | — | ||||
Alternative Total Solution Fund | 2.60 | 3.35 | 2.35 | 2.34% | ||||
Strategic Income Fund | 1.40 | 2.15 | 1.15 | — |
Under certain conditions, the Adviser may recapture operating expenses reimbursed within three fiscal years following the end of the fiscal year in which such waiver or reimbursement occurred. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations, or if none, the expense limitation in effect at the time of the waver or reimbursement. All or portion of the following Adviser-reimbursed expenses ($ reported in thousands) may be recaptured by the fiscal year ending:
Expiration Date | ||||||
2017 | ||||||
Alternative Income Solution Fund | $234 | |||||
Alternative Inflation Solution Fund | 215 | |||||
Alternative Total Solution Fund | 324 | |||||
Strategic Income Fund | 86 |
D. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months ended April 30, 2015, there were $25 in commissions for Class A shares and less than $1 in CDSC for Class A shares and Class C shares, respectively.
In addition, each Fund pays VP Distributors distribution and/or service fees under a 12b-1 plan as a percentage of the average daily net assets of each respective class at the annual rates as follows: a service fee at a rate of 0.25% for Class A and Class C shares and a distribution fee of 0.75% for Class C shares. Class I and Class R6 shares are not subject to a 12b-1 plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
73
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
E. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect wholly-owned subsidiary of Virtus, serves as the Administrator and Transfer Agent of the Trust. BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) services as Sub-Administrative and Accounting Agent of the Trust.
For the six months ended April 30, 2015, the Funds incurred administration fees totaling $88 which are included in the Statements of Operations.
For the six months ended April 30, 2015, the Funds incurred sub-administration fees of $438 of which $142 was voluntarily waived by BNY Mellon.
For the six months ended April 30, 2015, the Funds incurred transfer agent fees totaling $43 which are included in the Statements of Operations. A portion of these fees was paid to outside entities that also provide services to the Funds.
F. | Affiliated Shareholders |
At April 30, 2015, Virtus and its affiliates held shares of the Funds which may be redeemed at any time that aggregated the following:
Shares | Aggregate Net Asset Value | |||
Alternative Income Solution Fund | ||||
Class A | 10,336 | $ 102 | ||
Class C | 10,281 | 101 | ||
Class I | 4,121,984 | 40,560 | ||
Alternative Inflation Solution Fund | ||||
Class A | 10,016 | 101 | ||
Class C | 10,000 | 100 | ||
Class I | 3,188,684 | 32,110 | ||
Alternative Total Solution Fund | ||||
Class A | 10,163 | 103 | ||
Class C | 10,153 | 102 | ||
Class I | 5,367,739 | 54,429 | ||
Class R6 | 10,026 | 102 | ||
Strategic Income Fund | ||||
Class A | 10,224 | 103 | ||
Class C | 10,177 | 102 | ||
Class I | 2,539,822 | 25,500 |
Note 5. Purchase and Sales of Securities
Purchases and sales of securities (excluding U.S. Government and agency securities, and short-term securities) during the six months ended April 30, 2015, were as follows:
Purchases | Sales | |||||
Alternative Income Solution Fund | $ 15,339 | $ 13,255 | ||||
Alternative Inflation Solution Fund | 8,191 | 6,631 | ||||
Alternative Total Solution Fund | 114,910 | 110,594 | ||||
Strategic Income Fund | 14,222 | 9,403 |
Purchases and sales of long-term U.S. Government and agency securities for the Funds during the six months ended April 30, 2015, were as follows:
Purchases | Sales | |||||
Alternative Income Solution Fund | $ — | $ — | ||||
Alternative Inflation Solution Fund | 4,129 | 4,231 | ||||
Alternative Total Solution Fund | — | — | ||||
Strategic Income Fund | 90 | 4,589 |
74
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Note 6. Capital Shares Transactions
Transactions in shares of capital stock, during the periods ended as indicated below, were as follows:
Alternative Income Solution Fund | ||||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | From Inception April 23, 2014 to October 31, 2014 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Class A | ||||||||||||||||
Sale of shares | 36 | $ | 352 | 74 | $ | 762 | ||||||||||
Reinvestment of distributions | 2 | 14 | 1 | 8 | ||||||||||||
Shares repurchased | (35 | ) | (336 | ) | (1 | ) | (11 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 3 | $ | 30 | 74 | $ | 759 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Sale of shares | 31 | $ | 306 | 39 | $ | 389 | ||||||||||
Reinvestment of distributions | 1 | 8 | — | (a) | 3 | |||||||||||
Shares repurchased | (7 | ) | (67 | ) | — | (a) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 25 | $ | 247 | 39 | $ | 392 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Sale of shares | 7 | $ | 66 | 4,075 | $ | 40,775 | ||||||||||
Reinvestment of distributions | 80 | 773 | 64 | 654 | ||||||||||||
Shares repurchased | (63 | ) | (610 | ) | (7 | ) | (74 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 24 | $ | 229 | 4,132 | $ | 41,355 | ||||||||||
|
|
|
|
|
|
|
|
Alternative Inflation Solution Fund | ||||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | From Inception April 23, 2014 to October 31, 2014 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Class A | ||||||||||||||||
Sale of shares | 32 | $ | 322 | 57 | $ | 588 | ||||||||||
Reinvestment of distributions | — | (a) | 1 | — | — | |||||||||||
Shares repurchased | (4 | ) | (45 | ) | (8 | ) | (85 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 28 | $ | 278 | 49 | $ | 503 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Sale of shares | 4 | $ | 36 | 15 | $ | 151 | ||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares repurchased | (1 | ) | (9 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 3 | $ | 27 | 15 | $ | 151 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Sale of shares | 6 | $ | 62 | 3,190 | $ | 31,899 | ||||||||||
Reinvestment of distributions | 9 | 87 | — | — | ||||||||||||
Shares repurchased | (5 | ) | (49 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 10 | $ | 100 | 3,190 | $ | 31,899 | ||||||||||
|
|
|
|
|
|
|
|
75
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Alternative Total Solution Fund | ||||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | From Inception April 23, 2014 to October 31, 2014 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Class A | ||||||||||||||||
Sale of shares | 610 | $ 6,129 | 779 | $ 7,919 | ||||||||||||
Reinvestment of distributions | 14 | 144 | — | — | ||||||||||||
Shares repurchased. | (131 | ) | (1,317 | ) | (77 | ) | (777 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 493 | $ 4,956 | 702 | $ 7,142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Sale of shares | 132 | $ 1,316 | 131 | $ 1,328 | ||||||||||||
Reinvestment of distributions | 2 | 24 | — | — | ||||||||||||
Shares repurchased. | (12 | ) | (116 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 122 | $ 1,224 | 131 | $ 1,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Sale of shares | 1,523 | $15,402 | 6,395 | $64,095 | ||||||||||||
Reinvestment of distributions | 102 | 1,011 | — | — | ||||||||||||
Shares repurchased. | (812 | ) | (8,185 | ) | (118 | ) | (1,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 813 | $ 8,228 | 6,277 | $62,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6(1) | ||||||||||||||||
Sale of shares | 10 | $ 100 | — | $ — | ||||||||||||
Reinvestment of distributions | — | (a) | 2 | — | — | |||||||||||
Shares repurchased. | — | (a) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 10 | $ 102 | — | $ — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Income Fund | ||||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | From Inception September 8, 2014 to October 31, 2014 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Class A | ||||||||||||||||
Sale of shares | 101 | $ 979 | 12 | $ 120 | ||||||||||||
Reinvestment of distributions | 1 | 10 | — | — | ||||||||||||
Shares repurchased. | (103 | ) | (1,031 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | (1 | ) | $ (42 | ) | 12 | $ 120 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Sale of shares | 8 | $ 73 | 10 | $ 100 | ||||||||||||
Reinvestment of distributions | — | (a) | 2 | — | — | |||||||||||
Shares repurchased. | — | (a) | — | (a) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 8 | $ 75 | 10 | $ 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Sale of shares | — | (a) | $ 2 | 2,480 | $24,800 | |||||||||||
Reinvestment of distributions | 55 | 537 | 5 | 52 | ||||||||||||
Shares repurchased. | — | — | (a) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase / (Decrease) | 55 | $ 539 | 2,485 | $24,852 | ||||||||||||
|
|
|
|
|
|
|
|
Footnote Legend:
(1) | Inception date November 19, 2014. |
(a) | Amount is less than $500. |
76
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Note 7. 10% Shareholders
As of April 30, 2015, each Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of each such Fund as detailed below:
% of Shares Outstanding | Number of Accounts | |||
Alternative Income Solution Fund | 96% | 1* | ||
Alternative Inflation Solution Fund | 97 | 1* | ||
Alternative Total Solution Fund | 79 | 2* | ||
Strategic Income Fund | 100 | 1* | ||
*Shareholder account is affiliated. |
Note 8. Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.
High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadvisers to accurately predict risk.
Many municipalities insure repayment for their obligations. Although bond insurance reduces the risk of loss due to default by an issuer, such bonds remain subject to the risk that the market may fluctuate for other reasons, and there is no assurance that the insurance company will meet its obligations. Insured securities have been identified in the Schedule of Investments. A real or perceived decline in creditworthiness of a bond insurer can have an adverse impact on the value of insured bonds held in the Funds.
Certain Funds may invest a high percentage of their assets in specific sectors or countries of the market in their pursuit of a greater investment return. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
Note 9. Borrowings
The Alternative Total Solution Fund employs leverage in the form of using proceeds from shorts, which allows the Alternative Total Solution Fund to use its long positions as collateral, in order to purchase additional securities. Proceeds from shorts are secured by assets of the Alternative Total Solution Fund that are held with the Fund’s custodian in a separate account. The Alternative Total Solution Fund is permitted to borrow up to 33.33% of its total assets.
During the six months ended April 30, 2015, the Alternative Total Solution Fund used proceeds from shorts for 181 days at an average interest rate of 0.68% and with an average daily borrowing balance during that period of $2,797. For the six months ended April 30, 2015, the interest costs related to borrowing amounted to $9 and are included within the “Interest Expense” on the Statement of Operations.
As of April 30, 2015, outstanding borrowing amounted to $3,374, which is included in the balance of “Deposits with prime broker” on the Statement of Assets and Liabilities.
Note 10. Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Fund’s Schedule of Investments and Securities Sold Short where applicable. However, a portion of such footnoted securities could be liquid where the subadviser determines that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund.
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At April 30, 2015, the Funds did not hold any securities that were both illiquid and restricted.
77
VIRTUS ALTERNATIVE SOLUTIONS TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2015 (UNAUDITED)
($ reported in thousands)
Note 11. Federal Income Tax Information
At April 30, 2015, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Funds were as follows:
Fund | Federal Tax Cost (Proceeds) | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Alternative Income Solution Fund - Investments | $42,646 | $1,598 | $(2,128 | ) | $(530 | ) | ||||||||||
Alternative Income Solution Fund - Short Sales | (1,042 | ) | 49 | (9 | ) | 40 | ||||||||||
Alternative Inflation Solution Fund - Investments | 32,151 | 1,582 | (849 | ) | 733 | |||||||||||
Alternative Inflation Solution Fund - Short Sales | (1,249 | ) | 59 | (11 | ) | 48 | ||||||||||
Alternative Total Solution Fund - Investments | 87,131 | 1,881 | (2,472 | ) | (591 | ) | ||||||||||
Alternative Total Solution Fund - Short Sales and Written Options | (7,768 | ) | 307 | (127 | ) | 180 | ||||||||||
Strategic Income Fund - Investments | 25,390 | 356 | (453 | ) | (97 | ) | ||||||||||
Strategic Income Fund - Written Options | (69 | ) | 35 | (27 | ) | 8 |
The differences between book basis cost and tax basis cost were attributable primarily to the tax deferral of losses on wash sales, passive activity losses and the investment in the wholly-owned Subsidiary.
Certain Funds have capital-loss carryforwards available to offset future realized capital gains.
Short-Term | Long-Term | |||||
Alternative Inflation Solution Fund | 62 | 165 | ||||
Strategic Income Fund | 106 | 23 |
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses.
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation) which are disclosed in the beginning of this note) consist of the following:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | |||||
Alternative Income Solution Fund | $ 263 | $ 17 | ||||
Alternative Inflation Solution Fund | 49 | — | ||||
Alternative Total Solution Fund | 1,138 | 29 | ||||
Strategic Income Fund | 49 | — |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any, are reported as ordinary income for federal tax purposes, reversal of consolidation entries, disallowed expenses from short sales, swap income reclass and gain/loss reclass of forward contracts. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and distributions paid during the period ended October 31, 2014 was as follows:
Ordinary Income | ||||||
Alternative Income Solution Fund | 2014 | $665 | ||||
Strategic Income Fund | 2014 | 49 |
Note 12. Indemnifications
Under the Trust’s organizational documents, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Each Trustee has entered into an indemnification agreement with the Trust. In addition, in the normal course of business, the Funds enter into contracts that provide a variety of indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds and that have not occurred. However, the Funds have not had prior claims or losses pursuant to these arrangements and expect the risk of loss to be remote.
Note 13. Subsequent Event Evaluation
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issuance, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
78
Virtus Alternative Solutions Trust
101 Munson Street
Greenfield, MA 01301-9668
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas F. Mann
William R. Moyer
James M. Oates
Officers
George R. Aylward, President
Francis G. Waltman, Executive Vice President
W. Patrick Bradley, Senior Vice President,
Chief Financial Officer and Treasurer
Jennifer Fromm, Vice President, Chief Legal
Officer, Counsel and Secretary
Nancy J. Engberg, Vice President and
Chief Compliance Officer
Investment Adviser
Virtus Alternative Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
Bank of New York Mellon
One Wall Street
New York, NY 10286
How to Contact Us | ||
Mutual Fund Services | 1-800-243-1574 | |
Adviser Consulting Group | 1-800-243-4361 | |
Telephone Orders | 1-800-367-5877 | |
Text Telephone | 1-800-243-1926 | |
Web site | http://Virtus.com |
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
P.O. Box 9874
Providence, RI 02940-8074
For more information about Virtus Mutual Funds,
please call your financial representative, or contact us
at 1-800-243-1574 or Virtus.com.
8554 | 06-15 |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Alternative Solutions Trust | ||||
By (Signature and Title)* /s/ George R. Aylward | ||||
George R. Aylward, President (principal executive officer) | ||||
Date 07/08/15 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ George R. Aylward | ||||
George R. Aylward, President (principal executive officer) | ||||
Date 07/08/15 |
By (Signature and Title)* /s/ W. Patrick Bradley | ||||
W. Patrick Bradley, Senior Vice President, Chief Financial Officer and Treasurer (principal financial and accounting officer) | ||||
Date 07/08/15 |
* Print the name and title of each signing officer under his or her signature.