VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2020
($ reported in thousands)
See Notes to Schedule of
Investments
1
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
See Notes to Schedule of
Investments
2
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
See Notes to Schedule of
Investments
3
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
Open purchased option contracts as of July 31, 2020 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | ||||||
Russell 2000® Index | JPM | 36 | $5,400 | $1,500.00 | 09/18/20 | $194 |
Swiss Market Index | JPM | 10 | 1,010 | 10,100.00 | 09/18/20 | 24 |
Swiss Market Index | JPM | 2 | 204 | 10,200.00 | 09/18/20 | 3 |
Swiss Market Index | JPM | 2 | 208 | 10,400.00 | 09/18/20 | 2 |
Euro Stoxx 50® Index | JPM | 35 | 1,199 | 3,425.00 | 10/16/20 | 13 |
Swiss Market Index | JPM | 2 | 208 | 10,400.00 | 10/16/20 | 3 |
Put Options | ||||||
S&P 500® Index | JPM | 2 | 510 | 2,550.00 | 09/18/20 | 1 |
S&P 500® Index | JPM | 3 | 953 | 3,175.00 | 09/18/20 | 24 |
S&P 500® Index | JPM | 3 | 953 | 3,175.00 | 10/16/20 | 31 |
S&P 500® Index | JPM | 2 | 510 | 2,550.00 | 09/04/20 | 1 |
Total | $296 |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
See Notes to Schedule of
Investments
4
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
Open written option contracts as of July 31, 2020 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | ||||||
Russell 2000® Index | JPM | 36 | $5,508 | $1,530.00 | 09/18/20 | $(133) |
Swiss Market Index | JPM | 2 | 216 | 10,800.00 | 09/18/20 | (—)(2) |
Euro Stoxx 50® Index | JPM | 35 | 1,251 | 3,575.00 | 10/16/20 | (3) |
Swiss Market Index | JPM | 2 | 216 | 10,800.00 | 10/16/20 | (1) |
Put Options | ||||||
S&P 500® Index | JPM | 3 | 900 | 3,000.00 | 09/18/20 | (11) |
Russell 2000® Index | JPM | 6 | 780 | 1,300.00 | 09/18/20 | (13) |
Swiss Market Index | JPM | 2 | 194 | 9,700.00 | 09/18/20 | (4) |
Swiss Market Index | JPM | 10 | 1,010 | 10,100.00 | 09/18/20 | (34) |
Swiss Market Index | JPM | 2 | 204 | 10,200.00 | 09/18/20 | (8) |
S&P 500® Index | JPM | 3 | 900 | 3,000.00 | 10/16/20 | (20) |
Euro Stoxx 50® Index | JPM | 23 | 725 | 3,150.00 | 10/16/20 | (35) |
Swiss Market Index | JPM | 2 | 194 | 9,700.00 | 10/16/20 | (5) |
Total | $(267) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Futures contracts as of July 31, 2020 were as follows: | ||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value/Unrealized Appreciation (Depreciation) |
TOPIX Index Future | September 2020 | (7) | $(990) | $63 |
Euro Stoxx 50® Future | September 2020 | 5 | 188 | (6) |
MSCI All Country World Index Future | September 2020 | (41) | (1,137) | (62) |
MSCI Emerging Markets Index Future | September 2020 | 20 | 1,069 | 113 |
MSCI World Index Future | September 2020 | (21) | (1,427) | (80) |
MSCI World Industrials Future | September 2020 | (17) | (593) | (23) |
Russell 2000® Future | September 2020 | (38) | (2,808) | (180) |
S&P 500® Index E-Mini Future | September 2020 | 16 | 2,611 | 133 |
Stoxx® Europe Mid 200 Index Future | September 2020 | 16 | 401 | 5 |
Stoxx® Europe Mid 600 Index Future | September 2020 | (84) | (1,763) | 14 |
10 Year U.S. Treasury Note Future | September 2020 | 144 | 20,171 | 317 |
S&P 500® Annual Dividend Index Future | December 2021 | 15 | 190 | 4 |
S&P 500® Annual Dividend Index Future | December 2022 | 15 | 190 | 1 |
Total | $299 |
See Notes to Schedule of
Investments
5
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
Forward foreign currency exchange contracts as of July 31, 2020 were as follows: | ||||||||
Currency Purchased | Value(1) | Currency Sold | Value(1) | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |
AUD(2) | 328 | JPY | 24,599 | CITI | 08/19/20 | $2 | $— | |
AUD(2) | 657 | JPY | 49,266 | GS | 08/19/20 | 4 | — | |
AUD(2) | 329 | JPY | 24,599 | JPM | 08/19/20 | 3 | — | |
AUD(2) | 1,315 | JPY | 98,505 | Soc Gen | 08/19/20 | 9 | — | |
CAD(2) | 92 | USD | 68 | CITI | 08/19/20 | —(3) | — | |
CAD(2) | 102 | USD | 75 | JPM | 08/19/20 | 1 | — | |
CHF(2) | 43 | USD | 46 | ML | 08/19/20 | 1 | — | |
CNH(2) | 4,200 | USD | 599 | CITI | 10/15/20 | — | (1) | |
CNH(2) | 3,763 | USD | 531 | GS | 10/15/20 | 4 | — | |
EUR(2) | 198 | USD | 227 | CITI | 08/19/20 | 7 | — | |
EUR(2) | 198 | USD | 227 | GS | 08/19/20 | 6 | — | |
EUR(2) | 793 | USD | 907 | JPM | 08/19/20 | 27 | — | |
EUR(2) | 712 | USD | 813 | ML | 08/19/20 | 26 | — | |
EUR(2) | 3 | USD | 3 | JPM | 10/21/20 | —(3) | — | |
EUR(2) | 2,275 | USD | 2,609 | ML | 10/21/20 | 76 | — | |
GBP(2) | 169 | USD | 213 | JPM | 08/19/20 | 8 | — | |
JPY(2) | 200,688 | AUD | 2,630 | GS | 08/19/20 | 17 | — | |
JPY(2) | 188,725 | USD | 1,755 | GS | 08/19/20 | 28 | — | |
JPY(2) | 8,895 | USD | 84 | JPM | 08/19/20 | — | (—)(3) | |
JPY(2) | 195,652 | USD | 1,820 | Soc Gen | 08/19/20 | 29 | — | |
MXN(2) | 11,144 | USD | 496 | GS | 10/15/20 | —(3) | — | |
MXN(2) | 3,518 | USD | 157 | GS | 10/15/20 | — | (—)(3) | |
MXN(2) | 1,761 | USD | 78 | ML | 10/15/20 | —(3) | — | |
SEK(2) | 216 | USD | 24 | ML | 08/19/20 | —(3) | — | |
USD(2) | 894 | AUD | 1,285 | ML | 08/19/20 | — | (24) | |
USD(2) | 144 | CAD | 193 | JPM | 08/19/20 | — | (—)(3) | |
USD(2) | 56 | CHF | 53 | BNP | 08/19/20 | — | (2) | |
USD(2) | 76 | CHF | 72 | ML | 08/19/20 | — | (3) | |
USD(2) | 41 | EUR | 36 | GS | 08/19/20 | — | (1) | |
USD(2) | 201 | EUR | 178 | JPM | 08/19/20 | — | (9) | |
USD(2) | 1,920 | EUR | 1,677 | ML | 08/19/20 | — | (56) | |
USD(2) | 401 | GBP | 315 | BNP | 08/19/20 | — | (11) | |
USD(2) | 773 | GBP | 605 | CITI | 08/19/20 | — | (18) | |
USD(2) | 64 | GBP | 51 | JPM | 08/19/20 | — | (3) | |
USD(2) | 61 | GBP | 49 | Soc Gen | 08/19/20 | — | (3) | |
USD(2) | 48 | INR | 3,633 | BNP | 08/19/20 | — | (—)(3) | |
USD(2) | 112 | JPY | 11,996 | GS | 08/19/20 | — | (2) | |
USD(2) | 62 | JPY | 6,700 | JPM | 08/19/20 | — | (1) | |
USD(2) | 127 | JPY | 13,772 | ML | 08/19/20 | — | (3) | |
USD(2) | 112 | JPY | 11,996 | Soc Gen | 08/19/20 | — | (2) | |
USD(2) | 107 | SEK | 1,000 | GS | 08/19/20 | — | (7) | |
USD(2) | 900 | SGD | 1,250 | BNP | 08/19/20 | — | (9) | |
USD(2) | 86 | TWD | 2,500 | JPM | 08/19/20 | —(3) | — | |
USD(2) | 94 | TWD | 2,754 | Soc Gen | 08/19/20 | — | (—)(3) | |
USD(2) | 1,094 | KRW | 1,306,412 | GS | 09/14/20 | — | (2) | |
USD(2) | 2,025 | CNH | 14,350 | CITI | 10/15/20 | — | (18) | |
USD(2) | 4,336 | EUR | 3,833 | JPM | 10/21/20 | — | (186) | |
Total | $248 | $(361) |
Footnote Legend: | |
(1) | Reported in thousands. |
(2) | Non deliverable forward. |
(3) | Amount is less than $500. |
See Notes to Schedule of
Investments
6
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
Centrally Cleared credit default swaps - sell protection(1) outstanding as of July 31, 2020 was as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized (Depreciation) | ||||
CDX North American High Yield Index | QTR | JPM | 5.000% | 06/20/25 | 2,000 | USD | $69 | $(117) | $185 | $— | |||
iTRAXX Europe | QTR | JPM | 5.000% | 06/20/25 | 2,194 | EUR | 152 | 92 | 60 | — | |||
Total | $221 | $(25) | $245 | $— |
Footnote Legend: | |
(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. |
Centrally cleared inflation swaps outstanding as of July 31, 2020 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
3.591%(1) | 1-Month-UKRPI | TERM | JPM | 05/15/29 | 1,492 | GBP | $84 | $— | $84 | $— | |||
3.513%(1) | 1-Month-UKRPI | TERM | JPM | 12/15/29 | 500 | GBP | 18 | — | 18 | — | |||
3.538%(1) | 1-Month-UKRPI | TERM | JPM | 12/15/29 | 325 | GBP | 13 | — | 13 | — | |||
1.808%(2) | 1-Month-USCPI | TERM | JPM | 01/14/25 | 938 | USD | (25) | — | — | (25) | |||
1.805%(2) | 1-Month-USCPI | TERM | JPM | 01/14/25 | 285 | USD | (7) | — | — | (7) | |||
1.821%(2) | 1-Month-USCPI | TERM | JPM | 01/15/25 | 2,767 | USD | (74) | — | — | (74) | |||
1.807%(2) | 1-Month-USCPI | TERM | JPM | 07/28/50 | 144 | USD | —(3) | — | —(3) | — | |||
1.828%(2) | 1-Month-USCPI | TERM | JPM | 07/28/50 | 144 | USD | (1) | — | — | (1) | |||
1.810%(2) | 1-Month-USCPI | TERM | JPM | 07/29/50 | 144 | USD | —(3) | — | —(3) | — | |||
Total | $8 | $— | $115 | $(107) |
Footnote Legend: | |
(1) | Fund pays the floating rate and receives the fixed rate. |
(2) | Fund pays the fixed rate and receives the floating rate. |
(3) | Amount is less than $500. |
Centrally cleared interest rate swaps outstanding as of July 31, 2020 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
2.998%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 03/18/25 | 3,600 | CNY | $10 | $— | $10 | $— | |||
2.975%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 03/18/25 | 7,300 | CNY | 19 | — | 19 | — | |||
2.300%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 03/18/25 | 5,100 | CNY | (9) | — | — | (9) | |||
1.968%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 06/17/25 | 12,000 | CNY | (50) | — | — | (50) | |||
2.260%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 06/17/25 | 4,000 | CNY | (9) | — | — | (9) | |||
2.255%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 06/17/25 | 9,000 | CNY | (20) | — | — | (20) | |||
2.660%(1) | China Fixing Repo Rates 7 Days | TERM | JPM | 09/16/25 | 12,800 | CNY | 5 | — | 5 | — | |||
Total | $(54) | $— | $34 | $(88) |
Footnote Legend: | |
(1) | Fund pays the floating rate and receives the fixed rate. |
See Notes to Schedule of
Investments
7
VIRTUS Aviva Multi-Strategy Target Return
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
July 31, 2020
($ reported in thousands)
Over-the-counter total return swaps outstanding as of July 31, 2020 were as follows: | |||||||||||||
Referenced Entity | Floating Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
MSCI World Industrials Net Total Return USD Index | 1-Month LIBOR | Monthly | CITI | 09/08/20 | 668 | USD | $(16) | $— | $— | $(16) | |||
CenturyLink, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 33 | USD | 10 | — | 10 | — | |||
Walt Disney Co. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 38 | USD | 7 | — | 7 | — | |||
Fox Corp. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 36 | USD | 11 | — | 11 | — | |||
Netflix, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 39 | USD | (17) | — | — | (17) | |||
AT&T, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 73 | USD | 17 | — | 17 | — | |||
Verizon Communications, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 76 | USD | 2 | — | 2 | — | |||
ViacomCBS, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 37 | USD | 14 | — | 14 | — | |||
Discovery, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 36 | USD | 13 | — | 13 | — | |||
Philadelphia Stock Exchange Semiconductor Index | 1-Month LIBOR | Monthly | CITI | 11/04/20 | 381 | USD | (33) | — | — | (33) | |||
MSCI EMU Net Total Return EUR Index | 1-Month LIBOR | Monthly | ML | 07/13/21 | 1,212 | EUR | 34 | — | 34 | — | |||
Total | $42 | $— | $108 | $(66) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
The following table
summarizes the market value of the Fund’s investments as of July 31, 2020, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at July 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $11,943 | $11,917 | $26 | ||
Money Market Mutual Fund | 14,902 | 14,902 | — | ||
Other Financial Instruments: | |||||
Purchased Options | 296 | 265 | 31 | ||
Futures Contracts | 650 | 650 | — | ||
Forward Foreign Currency Exchange Contracts | 248 | — | 248 | ||
Centrally Cleared Inflation Swaps | 115 | — | 115 | ||
Centrally Cleared Interest Rate Swaps | 34 | — | 34 | ||
Over-the-Counter Total Return Swaps | 108 | — | 108 | ||
Centrally Cleared Credit Default Swap | 221 | — | 221 | ||
Total Assets | 28,517 | 27,734 | 783 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Written Options | (267) | (267) | — | ||
Futures Contracts | (351) | (351) | — | ||
Forward Foreign Currency Exchange Contracts | (361) | — | (361) | ||
Centrally Cleared Inflation Swaps | (107) | — | (107) | ||
Centrally Cleared Interest Rate Swaps | (88) | — | (88) | ||
Over-the-Counter Total Return Swaps | (66) | — | (66) | ||
Total Liabilities | (1,240) | (618) | (622) | ||
Total Investments | $27,277 | $27,116 | $161 |
There were no securities
valued using significant unobservable inputs (Level 3) at July 31, 2020.
There were no transfers into
or out of Level 3 related to securities held at July 31, 2020.
See Notes to Schedule of Investments
8
VIRTUS Aviva Multi-Strategy Target Return
Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2020
Note 1. Security
Valuation
The Fund utilizes
a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of
the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of
the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities
are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in
the hierarchy. Restricted equity securities and private placements that are illiquid or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S.
securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S.
securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value
(“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such
cases, the Fund’s fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets
for investments such as American Depository Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized
as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities,
including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service
utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as
dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis
and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized
which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are
generally categorized as Level 3 in the hierarchy.
Listed
derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy.
Over-the-counter (“OTC”) derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent
pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited
to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps
listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally
categorized as Level 2 within the hierarchy.
Investments in
open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the
inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not
necessarily an indication of the risk associated with investing in those securities.
Note 2. Restricted
Securities
($ reported in
thousands)
Restricted
securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category. The Fund will bear any costs, including those
involved in registration under the 1933 Act, in connection with the disposition of such securities. The following Fund held securities that were considered to be restricted at July 31, 2020.
Fund | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
Aviva Multi-Strategy Target Return Fund | Safran SA | 2/16/2018 | $27 | $26 | 0.1% |
For additional information about
significant accounting policies, refer to Fund’s most recent semi or annual report.
9