VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—14.1% | |||
Advertising—0.1% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1) | $ 155 | $ 161 | |
144A 7.500%, 6/1/29(1) | 275 | 281 | |
442 | |||
Aerospace & Defense—0.3% | |||
TransDigm, Inc. | |||
6.375%, 6/15/26 | 390 | 403 | |
5.500%, 11/15/27 | 345 | 353 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1) | 143 | 158 | |
144A 6.250%, 9/15/24(1) | 175 | 175 | |
1,089 | |||
Airlines—0.2% | |||
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 300 | 371 | |
144A 5.750%, 4/20/29(1) | 140 | 151 | |
Delta Air Lines, Inc. 7.375%, 1/15/26 | 375 | 441 | |
963 | |||
Auto Components—0.6% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 390 | 407 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 645 | 685 | |
Goodyear Tire & Rubber Co. (The) | |||
5.250%, 4/30/31 | 295 | 316 | |
144A 5.250%, 7/15/31(1) | 305 | 324 | |
Tenneco, Inc. | |||
5.000%, 7/15/26 | 290 | 283 | |
144A 7.875%, 1/15/29(1) | 130 | 142 | |
2,157 | |||
Par Value | Value | ||
Auto Manufacturers—0.5% | |||
Ford Motor Co. | |||
9.000%, 4/22/25 | $ 530 | $ 637 | |
9.625%, 4/22/30 | 460 | 663 | |
7.450%, 7/16/31 | 250 | 331 | |
Ford Motor Credit Co. LLC 5.125%, 6/16/25 | 150 | 163 | |
1,794 | |||
Building Materials—0.3% | |||
Builders FirstSource, Inc. 144A 5.000%, 3/1/30(1) | 410 | 433 | |
Griffon Corp. 5.750%, 3/1/28 | 230 | 241 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 305 | 312 | |
986 | |||
Chemicals—0.1% | |||
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 300 | 294 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 285 | 288 | |
582 | |||
Commercial Services—0.7% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 295 | 291 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 420 | 442 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 285 | 300 | |
HealthEquity, Inc. 144A 4.500%, 10/1/29(1) | 150 | 152 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 285 | 288 |
See Notes to Schedule of Investments
1
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Commercial Services—continued | |||
RR Donnelley & Sons Co. 6.000%, 4/1/24 | $ 915 | $ 952 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 310 | 335 | |
2,760 | |||
Computers—0.2% | |||
Dell International LLC 144A 7.125%, 6/15/24(1) | 420 | 427 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 285 | 291 | |
718 | |||
Containers & Packaging—0.3% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 270 | 283 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 385 | 412 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1) | 355 | 374 | |
1,069 | |||
Cosmetics & Personal Care—0.1% | |||
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1) | 300 | 314 | |
Diversified Financial Services—0.5% | |||
Nationstar Mortgage Holdings, Inc. 144A 5.500%, 8/15/28(1) | 290 | 297 | |
Navient Corp. | |||
6.750%, 6/15/26 | 375 | 414 | |
5.000%, 3/15/27 | 285 | 291 | |
4.875%, 3/15/28 | 140 | 140 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23 | 320 | 356 | |
6.625%, 1/15/28 | 270 | 303 | |
5.375%, 11/15/29 | 20 | 21 | |
1,822 | |||
Par Value | Value | ||
Electronic Equipment, Instruments & Components—0.1% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | $ 210 | $ 232 | |
Entertainment—0.8% | |||
AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | 885 | 655 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 430 | 452 | |
Cedar Fair LP | |||
5.375%, 6/1/24 | 250 | 252 | |
5.375%, 4/15/27 | 465 | 479 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 450 | 506 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 410 | 419 | |
Scientific Games International, Inc. 144A 8.250%, 3/15/26(1) | 430 | 456 | |
3,219 | |||
Environmental Services—0.1% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 405 | 408 | |
Equity Real Estate Investment Trusts (REITs)—0.3% | |||
Iron Mountain, Inc. 144A 5.250%, 7/15/30(1) | 425 | 444 | |
Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 290 | 293 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 125 | 126 | |
4.500%, 3/15/25 | 300 | 300 | |
1,163 | |||
See Notes to Schedule of Investments
2
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Food & Beverage—0.6% | |||
Kraft Heinz Foods Co. | |||
5.000%, 7/15/35 | $ 125 | $ 154 | |
6.500%, 2/9/40 | 440 | 628 | |
Performance Food Group, Inc. 144A 4.250%, 8/1/29(1) | 300 | 300 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(1) | 300 | 294 | |
Simmons Foods, Inc. 144A 4.625%, 3/1/29(1) | 300 | 303 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 300 | 299 | |
US Foods, Inc. | |||
144A 6.250%, 4/15/25(1) | 220 | 230 | |
144A 4.750%, 2/15/29(1) | 180 | 182 | |
2,390 | |||
Food Service—0.1% | |||
Aramark Services, Inc. 144A 5.000%, 2/1/28(1) | 390 | 399 | |
Healthcare-Products—0.1% | |||
Mozart Debt Merger Sub, Inc. 144A 5.250%, 10/1/29(1) | 295 | 299 | |
Healthcare-Services—0.4% | |||
Centene Corp. 4.625%, 12/15/29 | 395 | 426 | |
ModivCare Escrow Issuer, Inc. 144A 5.000%, 10/1/29(1) | 175 | 178 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 280 | 293 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1) | 690 | 724 | |
1,621 | |||
Par Value | Value | ||
Home Builders—0.1% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | $ 247 | $ 260 | |
Home Furnishings—0.0% | |||
Tempur Sealy International, Inc. 144A 3.875%, 10/15/31(1) | 150 | 149 | |
Internet—0.3% | |||
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1) | 220 | 229 | |
Netflix, Inc. 144A 5.375%, 11/15/29(1) | 415 | 501 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 235 | 250 | |
144A 7.500%, 9/15/27(1) | 190 | 208 | |
1,188 | |||
Investment Companies—0.1% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 435 | 452 | |
Iron & Steel—0.2% | |||
Cleveland-Cliffs, Inc. | |||
5.875%, 6/1/27 | 455 | 473 | |
144A 9.875%, 10/17/25(1) | 250 | 286 | |
759 | |||
Leisure Time—0.4% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1) | 265 | 308 | |
144A 5.750%, 3/1/27(1) | 150 | 153 | |
144A 6.000%, 5/1/29(1) | 290 | 290 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 605 | 606 |
See Notes to Schedule of Investments
3
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Leisure Time—continued | |||
Royal Caribbean Cruises Ltd. 144A 11.500%, 6/1/25(1) | $ 181 | $ 206 | |
1,563 | |||
Lodging—0.2% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | ��� 370 | 399 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1) | 225 | 226 | |
MGM Resorts International 4.750%, 10/15/28 | 305 | 317 | |
942 | |||
Machinery-Construction & Mining—0.1% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 280 | 286 | |
Media—1.2% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32 | 380 | 382 | |
144A 5.375%, 6/1/29(1) | 275 | 296 | |
CSC Holdings LLC | |||
144A 7.500%, 4/1/28(1) | 535 | 569 | |
144A 5.750%, 1/15/30(1) | 140 | 138 | |
DIRECTV Holdings LLC 144A 5.875%, 8/15/27(1) | 575 | 596 | |
DISH DBS Corp. 7.375%, 7/1/28 | 420 | 442 | |
Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1) | 145 | 146 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 455 | 449 | |
Meredith Corp. 6.875%, 2/1/26 | 293 | 304 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 445 | 469 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 450 | 453 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 230 | 229 |
Par Value | Value | ||
Media—continued | |||
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | $ 225 | $ 237 | |
4,710 | |||
Metal Fabricate/Hardware—0.1% | |||
Park-Ohio Industries, Inc. 6.625%, 4/15/27 | 620 | 583 | |
Mining—0.3% | |||
FMG Resources August 2006 Pty Ltd. 144A 4.375%, 4/1/31(1) | 265 | 269 | |
Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 475 | 520 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1) | 300 | 299 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | 180 | 200 | |
1,288 | |||
Oil, Gas & Consumable Fuels—1.4% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1) | 300 | 332 | |
144A 5.375%, 3/1/30(1) | 150 | 159 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 300 | 302 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 135 | 139 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 295 | 314 | |
Comstock Resources, Inc. | |||
144A 6.750%, 3/1/29(1) | 295 | 317 | |
144A 5.875%, 1/15/30(1) | 285 | 296 | |
Continental Resources, Inc. | |||
4.375%, 1/15/28 | 160 | 175 | |
144A 5.750%, 1/15/31(1) | 180 | 216 | |
EQT Corp. 7.500%, 2/1/30 | 265 | 339 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26 | 510 | 563 | |
6.625%, 9/1/30 | 220 | 269 |
See Notes to Schedule of Investments
4
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
PBF Holding Co. LLC 6.000%, 2/15/28 | $ 145 | $ 105 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 435 | 448 | |
SM Energy Co. 6.500%, 7/15/28 | 305 | 320 | |
Southwestern Energy Co. 5.375%, 3/15/30 | 285 | 301 | |
Sunoco LP | |||
5.875%, 3/15/28 | 120 | 127 | |
144A 4.500%, 4/30/30(1) | 145 | 146 | |
USA Compression Partners LP 6.875%, 9/1/27 | 415 | 431 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1) | 150 | 154 | |
5,453 | |||
Paper & Forest Products—0.1% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 300 | 298 | |
Pharmaceuticals—0.6% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1) | 455 | 450 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 550 | 584 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | 450 | 456 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 285 | 300 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 305 | 314 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 295 | 304 | |
2,408 | |||
Par Value | Value | ||
Pipelines—0.6% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | $ 290 | $ 303 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | 280 | 290 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 370 | 419 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1) | 290 | 323 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 290 | 294 | |
NuStar Logistics LP 6.375%, 10/1/30 | 305 | 334 | |
Targa Resources Partners LP 6.500%, 7/15/27 | 335 | 359 | |
2,322 | |||
Real Estate—0.1% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 395 | 402 | |
Retail—0.3% | |||
Asbury Automotive Group, Inc. 4.750%, 3/1/30 | 267 | 272 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | 325 | 364 | |
Carvana Co. 144A 4.875%, 9/1/29(1) | 295 | 285 | |
Foot Locker, Inc. 144A 4.000%, 10/1/29(1) | 145 | 144 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 300 | 291 | |
1,356 | |||
See Notes to Schedule of Investments
5
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Semiconductors—0.1% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | $ 275 | $ 292 | |
Software—0.4% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 440 | 438 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 295 | 307 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(1) | 315 | 303 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 480 | 505 | |
1,553 | |||
Telecommunications—1.0% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1) | 420 | 437 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 330 | 336 | |
CommScope Technologies LLC 144A 5.000%, 3/15/27(1) | 235 | 218 | |
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1) | 265 | 269 | |
144A 6.000%, 1/15/30(1) | 150 | 151 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26 | 400 | 453 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 430 | 430 | |
Lumen Technologies, Inc. | |||
144A 4.500%, 1/15/29(1) | 305 | 295 | |
144A 5.375%, 6/15/29(1) | 425 | 427 | |
Sprint Corp. 7.625%, 3/1/26 | 465 | 558 | |
T-Mobile USA, Inc. 3.500%, 4/15/31 | 295 | 305 | |
3,879 | |||
Par Value | Value | ||
Transportation—0.1% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | $ 265 | $ 299 | |
144A 5.500%, 5/1/28(1) | 150 | 150 | |
449 | |||
Total Corporate Bonds and Notes (Identified Cost $53,674) | 55,019 | ||
Leveraged Loans—0.1% | |||
Healthcare-Services—0.1% | |||
Aveanna Healthcare LLC | |||
0.000%, 6/30/28 (2)(3) | 55 | 55 | |
2021, First Lien (1 month LIBOR + 3.750%) 4.250%, 7/17/28 (3) | 225 | 224 | |
279 | |||
Retail—0.0% | |||
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (3) | 234 | 234 | |
Total Leveraged Loans (Identified Cost $513) | 513 |
Shares | ||
Convertible Preferred Stocks—12.8% | ||
Auto Components—0.9% | ||
Aptiv plc Series A, 5.500% | 18,610 | 3,595 |
Capital Markets—0.9% | ||
KKR & Co., Inc. Series C, 6.000% | 35,005 | 3,502 |
Commercial Services & Supplies—0.5% | ||
GFL Environmental, Inc., 6.000% | 20,170 | 1,903 |
See Notes to Schedule of Investments
6
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Shares | Value | ||
Communications Equipment—0.5% | |||
T-Mobile US, 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 1,920 | $ 2,009 | |
Diversified Financial Services—0.4% | |||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 865 | 1,482 | |
Electric Utilities—2.0% | |||
NextEra Energy, Inc., 5.279% | 105,235 | 5,732 | |
NextEra Energy, Inc., 6.219% | 39,025 | 2,139 | |
7,871 | |||
Healthcare Equipment & Supplies—2.6% | |||
Boston Scientific Corp. Series A, 5.500% | 31,905 | 3,734 | |
Danaher Corp. Series A, 4.750% | 3,125 | 6,517 | |
10,251 | |||
Life Sciences Tools & Services—0.8% | |||
Avantor, Inc. Series A, 6.250% | 26,095 | 3,230 | |
Machinery—1.6% | |||
Colfax Corp., 5.750% | 9,000 | 1,878 | |
RBC Bearings, Inc. Series A, 5.000% | 15,165 | 1,814 | |
Stanley Black & Decker, Inc., 5.250% | 21,640 | 2,335 | |
6,027 | |||
Pharmaceuticals—0.4% | |||
Elanco Animal Health, Inc., 5.000% | 32,620 | 1,653 | |
Professional Services—0.4% | |||
Clarivate plc Series A, 5.250% | 15,725 | 1,446 |
Shares | Value | ||
Semiconductors & Semiconductor Equipment—1.8% | |||
Broadcom, Inc. Series A, 8.000% | 4,220 | $ 7,078 | |
Total Convertible Preferred Stocks (Identified Cost $41,099) | 50,047 | ||
Preferred Stocks—0.1% | |||
Entertainment—0.1% | |||
LiveStyle, Inc. Series B(4)(5)(6)(7)(8) | 3,783 | 379 | |
LiveStyle, Inc. Series B(4)(5)(6)(7) | 1,250 | — | |
379 | |||
Total Preferred Stocks (Identified Cost $1,621) | 379 | ||
Common Stocks—31.0% | |||
Automobiles—1.3% | |||
Tesla, Inc.(7) | 4,550 | 5,069 | |
Banks—1.4% | |||
CCF Holdings LLC(6)(7) | 1,026,972 | 801 | |
CCF Holdings LLC Class M(6)(7) | 219,990 | 172 | |
JPMorgan Chase & Co.(9) | 14,575 | 2,476 | |
Wells Fargo & Co. | 39,640 | 2,028 | |
5,477 | |||
Biotechnology—0.5% | |||
AbbVie, Inc. | 10,225 | 1,172 | |
Horizon Therapeutics plc(7) | 7,530 | 903 | |
2,075 | |||
Capital Markets—0.7% | |||
Charles Schwab Corp. (The) | 16,520 | 1,355 |
See Notes to Schedule of Investments
7
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Shares | Value | ||
Capital Markets—continued | |||
S&P Global, Inc. | 3,195 | $ 1,515 | |
2,870 | |||
Chemicals—0.3% | |||
Sherwin-Williams Co. (The) | 3,270 | 1,035 | |
Electrical Equipment—0.3% | |||
Generac Holdings, Inc.(7) | 2,370 | 1,182 | |
Energy Equipment & Services—0.3% | |||
Schlumberger N.V. | 33,240 | 1,072 | |
Entertainment—0.7% | |||
LiveStyle, Inc.(4)(5)(6)(7)(8) | 13,574 | —(10) | |
Netflix, Inc.(7)(9) | 2,450 | 1,691 | |
Roku, Inc. Class A (7) | 2,225 | 679 | |
Walt Disney Co. (The)(7) | 1,640 | 277 | |
2,647 | |||
Equity Real Estate Investment—0.4% | |||
Crown Castle International Corp. | 7,700 | 1,388 | |
Food & Staples Retailing—0.5% | |||
Costco Wholesale Corp. | 3,665 | 1,801 | |
Healthcare Equipment & Supplies—1.1% | |||
Abbott Laboratories | 5,070 | 653 | |
Align Technology, Inc.(7)(9) | 905 | 565 | |
Dexcom, Inc.(7) | 2,735 | 1,705 | |
Intuitive Surgical, Inc.(7)(9) | 3,990 | 1,441 | |
4,364 | |||
Healthcare Providers & Services—0.5% | |||
UnitedHealth Group, Inc. | 3,837 | 1,767 | |
Hotels, Restaurants & Leisure—1.3% | |||
Booking Holdings, Inc.(7) | 745 | 1,803 | |
Chipotle Mexican Grill, Inc. Class A(7) | 465 | 827 | |
Darden Restaurants, Inc.(9) | 4,085 | 589 | |
MGM Resorts International | 18,540 | 874 | |
Starbucks Corp. | 8,113 | 861 | |
4,954 | |||
Household Durables—0.3% | |||
DR Horton, Inc. | 14,260 | 1,273 |
Shares | Value | ||
Industrial Conglomerates—0.3% | |||
Honeywell International, Inc. | 4,800 | $ 1,049 | |
Insurance—0.3% | |||
Aon plc Class A | 3,960 | 1,267 | |
Interactive Media & Services—3.0% | |||
Alphabet, Inc. Class A(7) | 2,210 | 6,544 | |
Match Group, Inc.(7) | 6,284 | 947 | |
Meta Platforms, Inc. Class A(7)(9) | 12,470 | 4,035 | |
11,526 | |||
Internet & Direct Marketing Retail—1.2% | |||
Amazon.com, Inc.(7) | 1,360 | 4,587 | |
IT Services—2.1% | |||
Accenture plc Class A | 5,665 | 2,032 | |
EPAM Systems, Inc.(7) | 980 | 660 | |
Mastercard, Inc. Class A | 4,095 | 1,374 | |
PayPal Holdings, Inc.(7) | 7,885 | 1,834 | |
Square, Inc. Class A(7) | 2,415 | 615 | |
Visa, Inc. Class A | 8,190 | 1,734 | |
8,249 | |||
Life Sciences Tools & Services—1.2% | |||
Agilent Technologies, Inc. | 10,152 | 1,599 | |
IQVIA Holdings, Inc.(7) | 5,910 | 1,545 | |
Thermo Fisher Scientific, Inc. | 2,295 | 1,453 | |
4,597 | |||
Machinery—0.2% | |||
Deere & Co. | 2,800 | 958 | |
Metals & Mining—0.1% | |||
Freeport-McMoRan, Inc. | 9,490 | 358 | |
Multiline Retail—0.4% | |||
Target Corp. | 5,350 | 1,389 | |
Oil, Gas & Consumable Fuels—0.7% | |||
Exxon Mobil Corp. | 24,060 | 1,551 | |
Occidental Petroleum Corp. | 8,170 | 274 | |
Valero Energy Corp. | 12,680 | 981 | |
2,806 | |||
See Notes to Schedule of Investments
8
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Shares | Value | ||
Pharmaceuticals—0.8% | |||
Eli Lilly & Co. | 8,260 | $ 2,105 | |
Zoetis, Inc. Class A | 4,895 | 1,058 | |
3,163 | |||
Road & Rail—0.2% | |||
Union Pacific Corp. | 3,725 | 899 | |
Semiconductors & Semiconductor Equipment—3.1% | |||
Advanced Micro Devices, Inc.(7)(9) | 13,330 | 1,603 | |
Broadcom, Inc. | 2,075 | 1,103 | |
Enphase Energy, Inc.(7)(9) | 6,165 | 1,428 | |
Global Foundries, Inc.(7) | 23,950 | 1,167 | |
Lam Research Corp. | 2,220 | 1,251 | |
Marvell Technology, Inc. | 19,115 | 1,310 | |
NVIDIA Corp. | 14,265 | 3,647 | |
QUALCOMM, Inc. | 4,380 | 583 | |
12,092 | |||
Software—4.7% | |||
Adobe, Inc. (7) | 3,915 | 2,546 | |
Atlassian Corp. plc Class A(7) | 3,385 | 1,551 | |
Crowdstrike Holdings, Inc. Class A(7)(9) | 5,415 | 1,526 | |
DocuSign, Inc.(7) | 1,085 | 302 | |
Intuit, Inc. | 3,650 | 2,285 | |
Microsoft Corp. | 21,345 | 7,078 | |
salesforce.com, Inc.(7) | 5,255 | 1,575 | |
ServiceNow, Inc.(7) | 2,295 | 1,601 | |
18,464 | |||
Specialty Retail—1.2% | |||
Carvana Co. Class A(7) | 2,295 | 696 | |
Home Depot, Inc. (The) | 8,800 | 3,271 | |
TJX Cos., Inc. (The) | 8,970 | 588 | |
4,555 | |||
Shares | Value | ||
Technology Hardware, Storage & Peripherals—1.5% | |||
Apple, Inc. | 39,859 | $ 5,971 | |
Textiles, Apparel & Luxury Goods—0.4% | |||
NIKE, Inc. Class B | 10,360 | 1,733 | |
Total Common Stocks (Identified Cost $87,582) | 120,637 | ||
Warrants—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(6)(7) | 363,920 | 189 | |
Entertainment—0.0% | |||
LiveStyle, Inc. Series C(4)(5)(6)(7) | 3,000 | —(10) | |
Total Warrants (Identified Cost $—) | 189 |
Par Value | ||
Convertible Bonds and Notes—64.4% | ||
Airlines—1.0% | ||
Southwest Airlines Co. 1.250%, 5/1/25 | $ 2,710 | 3,804 |
Auto Manufacturers—2.0% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(1) | 2,170 | 2,567 |
NIO, Inc. 144A 0.500%, 2/1/27(1) | 1,735 | 1,462 |
Tesla, Inc. 2.000%, 5/15/24 | 220 | 3,947 |
7,976 | ||
Biotechnology—1.4% | ||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | 1,845 | 1,647 |
See Notes to Schedule of Investments
9
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Biotechnology—continued | |||
Exact Sciences Corp. 0.375%, 3/15/27 | $ 1,435 | $ 1,622 | |
Guardant Health, Inc. 144A 0.000%, 11/15/27(1) | 1,035 | 1,140 | |
NeoGenomics, Inc. 0.250%, 1/15/28 | 1,060 | 1,071 | |
5,480 | |||
Commercial Services—2.8% | |||
Chegg, Inc. 0.000%, 9/1/26 | 1,555 | 1,452 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 1,560 | 1,440 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(1) | 1,495 | 1,621 | |
144A 0.500%, 8/1/27(1) | 320 | 295 | |
Square, Inc. | |||
0.500%, 5/15/23 | 295 | 964 | |
144A 0.000%, 5/1/26(1) | 1,470 | 1,721 | |
144A 0.250%, 11/1/27(1) | 2,855 | 3,449 | |
10,942 | |||
Computers—2.4% | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | 1,450 | 1,875 | |
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 1,325 | 1,441 | |
Pure Storage, Inc. 0.125%, 4/15/23 | 2,715 | 3,241 | |
Zscaler, Inc. 0.125%, 7/1/25 | 1,340 | 2,891 | |
9,448 | |||
Cosmetics & Personal Care—0.7% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 2,265 | 2,571 | |
Diversified Financial Services—1.9% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 2,565 | 3,042 | |
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(1) | 2,375 | 2,779 |
Par Value | Value | ||
Diversified Financial Services—continued | |||
Upstart Holdings, Inc. 144A 0.250%, 8/15/26(1) | $ 1,170 | $ 1,634 | |
7,455 | |||
Energy-Alternate Sources—2.1% | |||
Enphase Energy, Inc. | |||
144A 0.250%, 3/1/25(1) | 195 | 564 | |
144A 0.000%, 3/1/26(1) | 1,765 | 1,910 | |
144A 0.000%, 3/1/28(1) | 1,880 | 2,107 | |
Plug Power, Inc. 3.750%, 6/1/25 | 160 | 1,226 | |
Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(1) | 1,660 | 2,358 | |
8,165 | |||
Entertainment—2.8% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 3,910 | 3,409 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 3,990 | 4,860 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(1) | 2,480 | 2,724 | |
10,993 | |||
Equity Real Estate Investment Trusts (REITs)—0.5% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 1,885 | 2,098 | |
Healthcare-Products—3.6% | |||
CONMED Corp. 2.625%, 2/1/24 | 1,205 | 2,063 | |
Envista Holdings Corp. 2.375%, 6/1/25 | 765 | 1,492 | |
Insulet Corp. 0.375%, 9/1/26 | 1,535 | 2,277 | |
Natera, Inc. 2.250%, 5/1/27 | 895 | 2,740 | |
Novocure Ltd. 144A 0.000%, 11/1/25(1) | 850 | 866 |
See Notes to Schedule of Investments
10
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Healthcare-Products—continued | |||
Omnicell, Inc. 0.250%, 9/15/25 | $ 1,390 | $ 2,582 | |
Repligen Corp. 0.375%, 7/15/24 | 735 | 1,860 | |
13,880 | |||
Healthcare-Services—1.3% | |||
Anthem, Inc. 2.750%, 10/15/42 | 395 | 2,433 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 1,600 | 1,494 | |
Teladoc Health, Inc. 1.250%, 6/1/27 | 1,135 | 1,161 | |
5,088 | |||
Internet—13.5% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 3,370 | 3,299 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,825 | 2,707 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 2,145 | 3,171 | |
144A 0.250%, 6/15/28(1) | 2,585 | 3,302 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(1) | 1,500 | 1,619 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 2,460 | 4,469 | |
NortonLifeLock, Inc. 144A 2.000%, 8/15/22(1) | 1,055 | 1,373 | |
Okta, Inc. 0.375%, 6/15/26 | 1,750 | 2,189 | |
Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(1) | 1,070 | 1,485 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | 1,075 | 2,068 | |
0.375%, 6/1/25 | 2,835 | 4,956 | |
Sea Ltd. 0.250%, 9/15/26 | 2,835 | 2,977 | |
Shopify, Inc. 0.125%, 11/1/25 | 1,175 | 1,491 | |
Snap, Inc. 144A 0.000%, 5/1/27(1) | 4,085 | 4,137 | |
TechTarget, Inc. 144A 0.125%, 12/15/25(1) | 1,175 | 1,723 |
Par Value | Value | ||
Internet—continued | |||
Twitter, Inc. | |||
0.250%, 6/15/24 | $ 685 | $ 808 | |
144A 0.000%, 3/15/26(1) | 905 | 829 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(1) | 3,390 | 3,261 | |
Upwork, Inc. 144A 0.250%, 8/15/26(1) | 1,770 | 1,895 | |
Wayfair, Inc. | |||
0.625%, 10/1/25 | 1,450 | 1,428 | |
1.000%, 8/15/26 | 425 | 772 | |
Zendesk, Inc. 0.625%, 6/15/25 | 810 | 953 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 955 | 1,663 | |
52,575 | |||
Iron & Steel—0.3% | |||
Cleveland-Cliffs, Inc. 1.500%, 1/15/25 | 440 | 1,369 | |
Leisure Time—1.6% | |||
Callaway Golf Co. 2.750%, 5/1/26 | 1,140 | 1,961 | |
NCL Corp., Ltd. 5.375%, 8/1/25 | 940 | 1,566 | |
Royal Caribbean Cruises Ltd. 144A 2.875%, 11/15/23(1) | 2,180 | 2,723 | |
6,250 | |||
Machinery-Diversified—1.2% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1) | 770 | 2,336 | |
Middleby Corp. (The) 1.000%, 9/1/25 | 1,450 | 2,183 | |
4,519 | |||
Media—2.1% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 1,345 | 1,370 | |
144A 0.000%, 12/15/25(1) | 2,435 | 2,794 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(1) | 1,620 | 1,686 |
See Notes to Schedule of Investments
11
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Media—continued | |||
Liberty Media Corp. 1.375%, 10/15/23 | $ 1,645 | $ 2,378 | |
8,228 | |||
Mining—0.8% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(1) | 1,945 | 2,034 | |
SSR Mining, Inc. 2.500%, 4/1/39 | 810 | 952 | |
2,986 | |||
Oil, Gas & Consumable Fuels—1.5% | |||
EQT Corp. 1.750%, 5/1/26 | 1,070 | 1,672 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 2,345 | 4,145 | |
5,817 | |||
Pharmaceuticals—2.5% | |||
Dexcom, Inc. | |||
0.750%, 12/1/23 | 290 | 1,099 | |
0.250%, 11/15/25 | 4,310 | 5,502 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 1,515 | 1,764 | |
Sarepta Therapeutics, Inc. 1.500%, 11/15/24 | 985 | 1,332 | |
9,697 | |||
Private Equity—0.6% | |||
Digitalbridge Operating Co. LLC 144A 5.750%, 7/15/25(1) | 735 | 2,229 | |
Retail—1.2% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 935 | 1,340 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 435 | 1,656 | |
National Vision Holdings, Inc. 2.500%, 5/15/25 | 500 | 1,030 |
Par Value | Value | ||
Retail—continued | |||
RH 0.000%, 9/15/24 | $ 235 | $ 732 | |
4,758 | |||
Semiconductors—2.9% | |||
MACOM Technology Solutions Holdings, Inc. Class A 144A 0.250%, 3/15/26(1) | 2,220 | 2,432 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 2,305 | 2,576 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1) | 2,430 | 2,921 | |
Silicon Laboratories, Inc. 0.625%, 6/15/25 | 200 | 322 | |
Teradyne, Inc. 1.250%, 12/15/23 | 365 | 1,568 | |
Wolfspeed, Inc. 1.750%, 5/1/26 | 595 | 1,543 | |
11,362 | |||
Software—13.1% | |||
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 2,185 | 2,282 | |
Bentley Systems, Inc. 144A 0.125%, 1/15/26(1) | 1,555 | 1,765 | |
Bill.com Holdings, Inc. | |||
144A 0.000%, 12/1/25(1) | 1,035 | 1,999 | |
144A 0.000%, 4/1/27(1) | 1,520 | 1,625 | |
Blackline, Inc. 144A 0.000%, 3/15/26(1) | 1,895 | 1,932 | |
Cerence, Inc. 3.000%, 6/1/25 | 545 | 1,578 | |
Ceridian HCM Holding, Inc. 144A 0.250%, 3/15/26(1) | 1,695 | 1,947 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 2,320 | 2,920 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 1,390 | 1,521 |
See Notes to Schedule of Investments
12
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Software—continued | |||
Datadog, Inc. 0.125%, 6/15/25 | $ 905 | $ 1,714 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1) | 1,985 | 2,090 | |
Five9, Inc. 0.500%, 6/1/25 | 1,370 | 1,833 | |
HubSpot, Inc. 0.375%, 6/1/25 | 995 | 2,865 | |
Jamf Holding Corp. 144A 0.125%, 9/1/26(1) | 1,935 | 2,254 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,140 | 2,864 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(1) | 4,023 | 3,801 | |
Porch Group, Inc. 144A 0.750%, 9/15/26(1) | 3,090 | 3,394 | |
ServiceNow, Inc. 0.000%, 6/1/22 | 190 | 983 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 1,210 | 1,510 | |
1.125%, 9/15/25 | 1,200 | 1,567 | |
Tyler Technologies, Inc. 144A 0.250%, 3/15/26(1) | 2,580 | 3,144 | |
Workday, Inc. 0.250%, 10/1/22 | 1,640 | 3,237 | |
Workiva, Inc. 1.125%, 8/15/26 | 625 | 1,233 | |
Zynga, Inc. 144A 0.000%, 12/15/26(1) | 1,005 | 965 | |
51,023 | |||
Telecommunications—0.6% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | 1,885 | 2,417 | |
Total Convertible Bonds and Notes (Identified Cost $223,513) | 251,130 | ||
Total Long-Term Investments—122.6% (Identified Cost $408,002) | 477,914 |
Shares | Value | ||
Short-Term Investment—4.4% | |||
Money Market Mutual Fund—4.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11) | 17,290,990 | $ 17,291 | |
Total Short-Term Investment (Identified Cost $17,291) | 17,291 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—127.0% (Identified Cost $425,293) | 495,205 | ||
Written Options—(0.0)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $33) | (54) | ||
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—127.0% (Identified Cost $425,260) | $495,151 | ||
Other assets and liabilities, net—(27.0)% | (105,179) | ||
NET ASSETS—100.0% | $389,972 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2021, these securities amounted to a value of $156,704 or 40.2% of net assets. |
See Notes to Schedule of Investments
13
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
(2) | This loan will settle after October 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(3) | Variable rate security. Rate disclosed is as of October 31, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.10% of net assets. |
(5) | Affiliated investment. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | Non-income producing. |
(8) | Security is restricted from resale. |
(9) | All or a portion of the security is segregated as collateral for written options. |
(10) | Amount is less than $500. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Jersey | 1 |
Canada | 1 |
Cayman Islands | 1 |
Bermuda | 1 |
United Kingdom | 1 |
Liberia | 1 |
Other | 1 |
Total | 100% |
† % of total investments, net of written options, as of October 31, 2021. |
See Notes to Schedule of Investments
14
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Open Written Options Contracts as of October 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Advanced Micro Device, Inc. | 48 | $672 | $140.00 | 11/19/21 | $(2) |
Align Technology, Inc. | 7 | 469 | 670.00 | 11/19/21 | (3) |
Crowdstrike Holdings, Inc. | 20 | 650 | 325.00 | 11/19/21 | (2) |
Darden Restaurants, Inc. | 17 | 264 | 155.00 | 11/19/21 | (1) |
Enphase Energy, Inc. | 22 | 583 | 265.00 | 11/19/21 | (5) |
Facebook, Inc. | 65 | 2,437 | 375.00 | 11/19/21 | (3) |
Intuitive Surgical, Inc. | 15 | 555 | 370.00 | 11/19/21 | (7) |
JPMorgan Chase & Co. | 50 | 875 | 175.00 | 11/19/21 | (6) |
Netflix, Inc. | 14 | 966 | 690.00 | 11/19/21 | (25) |
Total Written Options | $(54) | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options |
See Notes to Schedule of Investments
15
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
The following table summarizes the market value of the Fund’s investments as of October 31, 2021, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at October 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $55,019 | $— | $55,019 | $— | |||
Leveraged Loans | 513 | — | 513 | — | |||
Convertible Bonds and Notes | 251,130 | — | 251,130 | — | |||
Equity Securities: | |||||||
Common Stocks | 120,637 | 119,664 | — | 973 | |||
Convertible Preferred Stocks | 50,047 | 46,556 | 3,491 | — | |||
Preferred Stocks | 379 | — | — | 379(1) | |||
Warrants | 189 | — | — | 189 | |||
Money Market Mutual Fund | 17,291 | 17,291 | — | — | |||
Total Investments, before Written Options | 495,205 | 183,511 | 310,153 | 1,541 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (54) | (54) | — | — | |||
Total Investments, Net of Written Options | $495,151 | $183,457 | $310,153 | $1,541 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
There were no transfers into or out of Level 3 related to securities held at October 31, 2021.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
16
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Common Stocks | Preferred Stock | Warrants | ||||
Investments in Securities | |||||||
Balance as of January 31, 2021: | $ 2,951 | $ 1,843 | $ 1,108 | $ —(a) | |||
Accrued discount/(premium) | 6 | 6 | — | — | |||
Realized gain (loss) | 23 | — | 23 | — | |||
Change in unrealized appreciation (depreciation)(b) | 830 | 562 | 79 | 189 | |||
Purchases | 1,918 | 1,918 | — | — | |||
Sales | (4,187) | (3,356) | (831) | — | |||
Balance as of October 31, 2021 | $ 1,541 | $ 973 | $ 379(c) | $ 189 |
(a) Amount is less than $500.
(b) The change in unrealized appreciation (depreciation) on investments still held at October 31, 2021, was $677.
(c) Includes internally fair valued security currently priced at zero ($0).
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at October 31, 2021:
Investments in Securities – Assets | Ending Balance at October 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $801 | Market and Company Comparables | EV Multiples Illiquidity Discount | 1.11x (0.33x - 1.99x) 0.58x (0.20x - 0.88x) 20% | ||||
CCF Holdings LLC Series M | $172 | Market and Company Comparables | EV Multiples Illiquidity Discount | 1.11x (0.33x - 1.99x) 0.58x (0.20x - 0.88x) 20% | ||||
LiveStyle, Inc. | $— 1 | Market and Company Comparables | EV Multiples Illiquidity Discount | 4.71x (0.38x - 19.46x) 30% | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $379 | Market and Company Comparables | EV Multiples | 4.71x (0.38x - 19.46x) | ||||
Illiquidity Discount | 30% | |||||||
See Notes to Schedule of Investments
17
VIRTUS AllianzGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Investments in Securities – Assets | Ending Balance at October 31, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Warrants: | ||||||||
CCF Holdings LLC | $189 | Market and Company Comparables | EV Multiples | 1.11x (0.33x - 1.99x) 0.58x (0.20x - 0.88x) | ||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 53.81% | ||||||
LiveStyle, Inc. Series C | $— 1 | Market and Company Comparables | EV Multiples | 4.71x (0.38x - 19.46x) | ||||
Illiquidity Discount | 30% | |||||||
(1)Amount is less than $500.
See Notes to Schedule of Investments
18
VIRTUS ALLIANZGI DIVERSIFIED INCOME & CONVERTIBLE FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
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 fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including convertible bonds and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities, and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in
See Notes to Schedule of Investments
19
VIRTUS ALLIANZGI DIVERSIFIED INCOME & CONVERTIBLE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
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