VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—18.9% | |||
Advertising—0.2% | |||
Clear Channel Outdoor Holdings, Inc. | |||
144A 7.750%, 4/15/28(1)(2) | $ 155 | $ 146 | |
144A 7.500%, 6/1/29(1) | 275 | 260 | |
406 | |||
Aerospace & Defense—0.3% | |||
TransDigm, Inc. 6.375%, 6/15/26(2) | 390 | 385 | |
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1)(2) | 143 | 148 | |
144A 6.250%, 9/15/24(1)(2) | 175 | 169 | |
702 | |||
Airlines—0.3% | |||
American Airlines, Inc. 144A 11.750%, 7/15/25(1)(2) | 300 | 345 | |
Delta Air Lines, Inc. 7.375%, 1/15/26(2) | 275 | 293 | |
638 | |||
Auto Components—0.8% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(2) | 390 | 364 | |
Clarios Global LP 144A 8.500%, 5/15/27(1)(2) | 645 | 645 | |
Goodyear Tire & Rubber Co. (The) | |||
9.500%, 5/31/25 | 250 | 262 | |
5.250%, 4/30/31(2) | 265 | 230 | |
5.250%, 7/15/31 | 305 | 263 | |
Tenneco, Inc. 144A 7.875%, 1/15/29(1)(2) | 130 | 131 | |
1,895 | |||
Auto Manufacturers—0.6% | |||
Ford Motor Co. | |||
9.000%, 4/22/25(2) | 530 | 591 | |
9.625%, 4/22/30(2) | 460 | 562 | |
7.450%, 7/16/31(2) | 250 | 272 | |
1,425 | |||
Building Materials—0.3% | |||
Builders FirstSource, Inc. 144A 5.000%, 3/1/30(1)(2) | 410 | 379 | |
Griffon Corp. 5.750%, 3/1/28 | 160 | 143 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1)(2) | 305 | 295 | |
817 | |||
Chemicals—0.3% | |||
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 260 | 244 | |
Tronox, Inc. 144A 4.625%, 3/15/29(1)(2) | 300 | 267 |
Par Value | Value | ||
Chemicals—continued | |||
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1)(2) | $ 285 | $ 243 | |
754 | |||
Commercial Services—0.8% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 295 | 250 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 420 | 394 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1)(2) | 285 | 270 | |
Herc Holdings, Inc. 144A 5.500%, 7/15/27(1) | 255 | 250 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1)(2) | 435 | 381 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1)(2) | 285 | 268 | |
United Rentals North America, Inc. 5.250%, 1/15/30(2) | 310 | 301 | |
2,114 | |||
Computers—0.2% | |||
Condor Merger Sub, Inc. 144A 7.375%, 2/15/30(1) | 275 | 246 | |
NCR Corp. 144A 5.125%, 4/15/29(1)(2) | 310 | 295 | |
541 | |||
Containers & Packaging—0.4% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1)(2) | 270 | 269 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1)(2) | 385 | 379 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1)(2) | 355 | 351 | |
999 | |||
Cosmetics & Personal Care—0.2% | |||
Coty, Inc. 144A 6.500%, 4/15/26(1) | 255 | 248 | |
Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1)(2) | 300 | 290 | |
538 | |||
Diversified Financial Services—0.8% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1)(2) | 290 | 264 | |
144A 5.750%, 11/15/31(1)(2) | 145 | 129 | |
Navient Corp. | |||
6.750%, 6/15/26(2) | 375 | 368 | |
5.000%, 3/15/27(2) | 285 | 259 | |
4.875%, 3/15/28(2) | 140 | 123 | |
OneMain Finance Corp. | |||
8.250%, 10/1/23(2) | 320 | 331 | |
6.625%, 1/15/28(2) | 495 | 489 |
See Notes to Schedule of Investments
1
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Par Value | Value | ||
Diversified Financial Services—continued | |||
5.375%, 11/15/29 | $ 20 | $ 18 | |
1,981 | |||
Electronic Equipment, Instruments & Components—0.2% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1)(2) | 500 | 516 | |
Electronics—0.2% | |||
II-VI, Inc. 144A 5.000%, 12/15/29(1) | 400 | ��� 375 | |
Entertainment—1.1% | |||
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1)(2) | 430 | 435 | |
144A 4.625%, 10/15/29(1) | 425 | 364 | |
CDI Escrow Issuer, Inc. 144A 5.750%, 4/1/30(1) | 260 | 251 | |
Cedar Fair LP 5.375%, 4/15/27(2) | 465 | 452 | |
International Game Technology plc 144A 6.250%, 1/15/27(1)(2) | 450 | 457 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1)(2) | 410 | 363 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2) | 425 | 387 | |
2,709 | |||
Environmental Services—0.1% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1)(2) | 405 | 368 | |
Equity Real Estate Investment Trusts (REITs)—0.5% | |||
Iron Mountain, Inc. 144A 5.250%, 7/15/30(1)(2) | 425 | 389 | |
Park Intermediate Holdings LLC | |||
144A 5.875%, 10/1/28(1) | 260 | 252 | |
144A 4.875%, 5/15/29(1)(2) | 290 | 266 | |
Service Properties Trust 7.500%, 9/15/25 | 250 | 250 | |
1,157 | |||
Food & Beverage—0.5% | |||
Performance Food Group, Inc. 144A 4.250%, 8/1/29(1)(2) | 300 | 267 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(1)(2) | 300 | 249 | |
Simmons Foods, Inc. 144A 4.625%, 3/1/29(1)(2) | 300 | 271 | |
US Foods, Inc. | |||
144A 6.250%, 4/15/25(1)(2) | 220 | 226 | |
144A 4.750%, 2/15/29(1)(2) | 180 | 166 | |
1,179 | |||
Food Service—0.1% | |||
Aramark Services, Inc. 144A 5.000%, 2/1/28(1)(2) | 390 | 364 |
Par Value | Value | ||
Healthcare-Products—0.1% | |||
Mozart Debt Merger Sub, Inc. 144A 5.250%, 10/1/29(1)(2) | $ 415 | $ 361 | |
Healthcare-Services—0.6% | |||
Community Health Systems, Inc. 144A 6.000%, 1/15/29(1) | 535 | 505 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1)(2) | 280 | 278 | |
Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1)(2) | 805 | 773 | |
1,556 | |||
Home Builders—0.1% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1)(2) | 247 | 252 | |
Internet—0.5% | |||
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1)(2) | 395 | 385 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1)(2) | 235 | 246 | |
144A 7.500%, 9/15/27(1)(2) | 370 | 381 | |
144A 6.250%, 1/15/28(1) | 255 | 252 | |
1,264 | |||
Investment Companies—0.2% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2) | 435 | 390 | |
Iron & Steel—0.2% | |||
Cleveland-Cliffs, Inc. 5.875%, 6/1/27(2) | 455 | 453 | |
Leisure Time—0.7% | |||
Carnival Corp. | |||
144A 10.500%, 2/1/26(1)(2) | 265 | 291 | |
144A 6.000%, 5/1/29(1) | 290 | 260 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1)(2) | 300 | 277 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1)(2) | 181 | 197 | |
144A 5.375%, 7/15/27(1) | 140 | 129 | |
144A 5.500%, 4/1/28(1) | 575 | 525 | |
1,679 | |||
Lodging—0.4% | |||
Boyd Gaming Corp. 144A 8.625%, 6/1/25(1)(2) | 186 | 194 | |
Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1)(2) | 225 | 201 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 270 | 244 | |
MGM Resorts International 4.750%, 10/15/28(2) | 305 | 280 | |
919 | |||
See Notes to Schedule of Investments
2
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Par Value | Value | ||
Machinery-Construction & Mining—0.1% | |||
Terex Corp. 144A 5.000%, 5/15/29(1)(2) | $ 280 | $ 257 | |
Media—1.8% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32(2) | 290 | 244 | |
144A 5.375%, 6/1/29(1)(2) | 275 | 261 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(1)(2) | 535 | 493 | |
Directv Financing LLC 144A 5.875%, 8/15/27(1)(2) | 575 | 541 | |
DISH DBS Corp. | |||
7.375%, 7/1/28(2) | 420 | 367 | |
144A 5.750%, 12/1/28(1)(2) | 230 | 206 | |
Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1) | 275 | 237 | |
Gray Television, Inc. 144A 4.750%, 10/15/30(1)(2) | 455 | 396 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1)(2) | 445 | 433 | |
Scripps Escrow II, Inc. 144A 5.375%, 1/15/31(1) | 415 | 369 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1)(2) | 450 | 407 | |
TEGNA, Inc. 5.000%, 9/15/29(2) | 280 | 272 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1)(2) | 395 | 365 | |
4,591 | |||
Mining—0.3% | |||
Freeport-McMoRan, Inc. 5.250%, 9/1/29(2) | 260 | 261 | |
Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1)(2) | 300 | 277 | |
Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1)(2) | 180 | 193 | |
731 | |||
Oil, Gas & Consumable Fuels—1.9% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1)(2) | 250 | 265 | |
144A 5.375%, 3/1/30(1) | 150 | 147 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 300 | 310 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1)(2) | 260 | 258 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1)(2) | 295 | 302 | |
Comstock Resources, Inc. | |||
144A 6.750%, 3/1/29(1)(2) | 295 | 298 | |
144A 5.875%, 1/15/30(1) | 285 | 274 | |
Occidental Petroleum Corp. | |||
5.550%, 3/15/26(2) | 260 | 267 | |
6.625%, 9/1/30(2) | 220 | 238 | |
PDC Energy, Inc. 5.750%, 5/15/26(2) | 435 | 423 | |
Range Resources Corp. 144A 4.750%, 2/15/30(1) | 275 | 262 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
SM Energy Co. 6.500%, 7/15/28(2) | $ 530 | $ 523 | |
Southwestern Energy Co. 5.375%, 3/15/30(2) | 285 | 281 | |
Sunoco LP | |||
5.875%, 3/15/28(2) | 260 | 256 | |
144A 4.500%, 4/30/30(1)(2) | 145 | 131 | |
USA Compression Partners LP 6.875%, 9/1/27(2) | 415 | 406 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1)(2) | 150 | 149 | |
4,790 | |||
Paper & Forest Products—0.1% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1)(2) | 300 | 279 | |
Pharmaceuticals—0.8% | |||
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1)(2) | 550 | 521 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1)(2) | 450 | 340 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1)(2) | 285 | 285 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1)(2) | 555 | 511 | |
Organon & Co. 144A 5.125%, 4/30/31(1)(2) | 395 | 357 | |
2,014 | |||
Pipelines—0.8% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 290 | 272 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1)(2) | 280 | 273 | |
DCP Midstream Operating LP 5.125%, 5/15/29(2) | 370 | 364 | |
EQM Midstream Partners LP 144A 6.500%, 7/1/27(1)(2) | 290 | 293 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1)(2) | 290 | 273 | |
NuStar Logistics LP 6.375%, 10/1/30(2) | 305 | 300 | |
Targa Resources Partners LP 6.500%, 7/15/27(2) | 335 | 345 | |
2,120 | |||
Real Estate—0.1% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31(2) | 395 | 356 | |
Retail—0.5% | |||
Asbury Automotive Group, Inc. | |||
4.750%, 3/1/30(2) | 267 | 239 | |
144A 4.625%, 11/15/29(1) | 145 | 131 | |
144A 5.000%, 2/15/32(1) | 145 | 129 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1)(2) | 325 | 323 |
See Notes to Schedule of Investments
3
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Par Value | Value | ||
Retail—continued | |||
Macy’s Retail Holdings LLC | |||
144A 5.875%, 3/15/30(1) | $ 135 | $ 127 | |
144A 6.125%, 3/15/32(1) | 135 | 125 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 300 | 256 | |
1,330 | |||
Semiconductors—0.1% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1)(2) | 275 | 280 | |
Software—0.4% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 300 | 264 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 295 | 277 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1)(2) | 480 | 471 | |
1,012 | |||
Telecommunications—1.1% | |||
Avaya, Inc. 144A 6.125%, 9/15/28(1)(2) | 275 | 255 | |
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1)(2) | 265 | 242 | |
144A 6.000%, 1/15/30(1)(2) | 280 | 244 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26(2) | 400 | 398 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1)(2) | 430 | 376 | |
Lumen Technologies, Inc. 144A 5.375%, 6/15/29(1)(2) | 315 | 256 | |
Sprint Corp. 7.625%, 3/1/26(2) | 465 | 505 | |
T-Mobile USA, Inc. | |||
4.750%, 2/1/28 | 255 | 252 | |
3.500%, 4/15/31(2) | 220 | 195 | |
2,723 | |||
Transportation—0.2% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1)(2) | 265 | 270 | |
144A 5.500%, 5/1/28(1)(2) | 150 | 130 | |
400 | |||
Total Corporate Bonds and Notes (Identified Cost $50,598) | 47,235 | ||
Par Value | Value | ||
Leveraged Loans—0.1% | |||
Retail—0.1% | |||
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.256%, 3/3/28 (3) | $ 233 | $ 230 | |
Total Leveraged Loans (Identified Cost $233) | 230 | ||
Shares | ||
Convertible Preferred Stocks—10.2% | ||
Auto Components—0.3% | ||
Aptiv plc Series A, 5.500%(2) | 7,030 | 869 |
Banks—1.0% | ||
Wells Fargo & Co. Series L, 7.500% | 2,095 | 2,538 |
Capital Markets—0.4% | ||
KKR & Co., Inc. Series C, 6.000%(2) | 16,280 | 1,067 |
Commercial Services & Supplies—0.5% | ||
GFL Environmental, Inc., 6.000%(2) | 19,525 | 1,337 |
Electric Utilities—2.5% | ||
NextEra Energy, Inc., 4.872% | 18,345 | 981 |
NextEra Energy, Inc., 5.279%(2) | 58,160 | 2,728 |
Southern Co. (The), 6.750% | 45,700 | 2,508 |
6,217 | ||
Healthcare Equipment & Supplies—0.9% | ||
Boston Scientific Corp. Series A, 5.500%(2) | 18,945 | 2,138 |
Life Sciences Tools & Services—1.2% | ||
Avantor, Inc. Series A, 6.250%(2) | 11,730 | 1,138 |
Danaher Corp. Series B, 5.000% | 1,270 | 1,752 |
2,890 | ||
Semiconductors & Semiconductor Equipment—2.1% | ||
Broadcom, Inc. Series A, 8.000%(2) | 3,010 | 5,251 |
Telecommunications—1.3% | ||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1)(2) | 2,850 | 3,115 |
Total Convertible Preferred Stocks (Identified Cost $26,002) | 25,422 | |
Preferred Stocks—0.1% | ||
Entertainment—0.1% | ||
LiveStyle, Inc. Series B (4)(5)(6)(7)(8) | 3,783 | 378 |
LiveStyle, Inc. Series B (4)(5)(6)(7) | 1,250 | — |
378 | ||
Total Preferred Stocks (Identified Cost $1,621) | 378 | |
See Notes to Schedule of Investments
4
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Shares | Value | ||
Common Stocks—32.2% | |||
Air Freight & Logistics—0.2% | |||
United Parcel Service, Inc. Class B(9) | 2,920 | $ 526 | |
Automobiles—1.4% | |||
Tesla, Inc.(7)(9) | 3,996 | 3,480 | |
Banks—1.4% | |||
CCF Holdings LLC(6)(7) | 1,026,972 | 483 | |
CCF Holdings LLC Class M(6)(7) | 219,990 | 103 | |
JPMorgan Chase & Co.(9) | 12,660 | 1,511 | |
Wells Fargo & Co. | 34,255 | 1,495 | |
3,592 | |||
Biotechnology—0.8% | |||
AbbVie, Inc.(9) | 7,045 | 1,035 | |
Horizon Therapeutics plc(7) | 6,540 | 645 | |
Vertex Pharmaceuticals, Inc.(7) | 1,630 | 445 | |
2,125 | |||
Capital Markets—1.0% | |||
Charles Schwab Corp. (The)(9) | 11,755 | 780 | |
CME Group, Inc. Class A(9) | 4,690 | 1,029 | |
S&P Global, Inc. | 1,720 | 647 | |
2,456 | |||
Chemicals—0.7% | |||
DuPont de Nemours, Inc. | 13,615 | 897 | |
Sherwin-Williams Co. (The) | 2,665 | 733 | |
1,630 | |||
Commercial Services & Supplies—0.6% | |||
Waste Management, Inc.(9) | 8,915 | 1,466 | |
Communications Equipment—0.3% | |||
Cisco Systems, Inc.(9) | 16,520 | 809 | |
Electric Utilities—0.4% | |||
Exelon Corp. | 23,440 | 1,097 | |
Electrical Equipment—0.2% | |||
Generac Holdings, Inc.(7) | 2,070 | 454 | |
Energy Equipment & Services—0.4% | |||
Schlumberger N.V.(9) | 28,415 | 1,109 | |
Entertainment—0.0% | |||
LiveStyle, Inc.(4)(5)(6)(7)(8) | 13,574 | —(10) | |
Equity Real Estate Investment—0.5% | |||
Crown Castle International Corp.(9) | 6,190 | 1,146 | |
Food & Staples Retailing—0.7% | |||
Costco Wholesale Corp. | 3,340 | 1,776 | |
Healthcare Equipment & Supplies—1.1% | |||
Abbott Laboratories(9) | 7,550 | 857 | |
Dexcom, Inc.(7)(9) | 1,670 | 682 |
Shares | Value | ||
Healthcare Equipment & Supplies—continued | |||
Intuitive Surgical, Inc.(7) | 4,555 | $ 1,090 | |
2,629 | |||
Healthcare Providers & Services—1.0% | |||
McKesson Corp.(9) | 1,560 | 483 | |
UnitedHealth Group, Inc. | 3,787 | 1,926 | |
2,409 | |||
Hotels, Restaurants & Leisure—1.4% | |||
Booking Holdings, Inc.(7) | 700 | 1,547 | |
Chipotle Mexican Grill, Inc. Class A(7) | 605 | 881 | |
MGM Resorts International(9) | 23,125 | 949 | |
3,377 | |||
Insurance—0.4% | |||
Aon plc Class A | 3,175 | 914 | |
Interactive Media & Services—2.2% | |||
Alphabet, Inc. Class A(7)(9) | 1,865 | 4,256 | |
Meta Platforms, Inc. Class A(7) | 6,135 | 1,230 | |
5,486 | |||
Internet & Direct Marketing Retail—1.2% | |||
Amazon.com, Inc.(7) | 1,180 | 2,933 | |
IT Services—2.0% | |||
Accenture plc Class A | 5,220 | 1,568 | |
EPAM Systems, Inc.(7) | 1,062 | 281 | |
Mastercard, Inc. Class A(9) | 4,380 | 1,592 | |
Visa, Inc. Class A(9) | 7,100 | 1,513 | |
4,954 | |||
Life Sciences Tools & Services—0.8% | |||
IQVIA Holdings, Inc.(7) | 4,935 | 1,076 | |
Thermo Fisher Scientific, Inc.(9) | 1,755 | 970 | |
2,046 | |||
Machinery—0.4% | |||
Deere & Co.(9) | 2,705 | 1,021 | |
Metals & Mining—0.2% | |||
Freeport-McMoRan, Inc.(9) | 14,240 | 577 | |
Multiline Retail—0.3% | |||
Target Corp. | 2,770 | 633 | |
Oil, Gas & Consumable Fuels—1.5% | |||
ConocoPhillips | 20,440 | 1,952 | |
Devon Energy Corp. | 32,575 | 1,895 | |
3,847 | |||
Pharmaceuticals—1.1% | |||
Eli Lilly & Co.(9) | 3,875 | 1,132 | |
Merck & Co., Inc. | 9,770 | 867 |
See Notes to Schedule of Investments
5
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Shares | Value | ||
Pharmaceuticals—continued | |||
Zoetis, Inc. Class A | 4,685 | $ 830 | |
2,829 | |||
Road & Rail—0.7% | |||
Union Pacific Corp. | 7,160 | 1,678 | |
Semiconductors & Semiconductor Equipment—1.8% | |||
Enphase Energy, Inc.(7)(9) | 5,455 | 880 | |
Lam Research Corp.(9) | 2,035 | 948 | |
Marvell Technology, Inc. | 9,465 | 550 | |
Micron Technology, Inc. | 10,735 | 732 | |
NVIDIA Corp. | 7,270 | 1,348 | |
4,458 | |||
Software—4.2% | |||
Adobe, Inc. (7) | 720 | 285 | |
Atlassian Corp. plc Class A(7)(9) | 2,720 | 612 | |
Crowdstrike Holdings, Inc. Class A(7)(9) | 6,215 | 1,235 | |
Intuit, Inc.(9) | 2,970 | 1,244 | |
Microsoft Corp.(9) | 19,655 | 5,455 | |
Salesforce, Inc.(7) | 2,320 | 408 | |
ServiceNow, Inc.(7)(9) | 2,460 | 1,176 | |
10,415 | |||
Specialty Retail—0.8% | |||
Home Depot, Inc. (The)(9) | 5,100 | 1,532 | |
TJX Cos., Inc. (The) | 9,270 | 568 | |
2,100 | |||
Technology Hardware, Storage & Peripherals—2.1% | |||
Apple, Inc.(9) | 33,805 | 5,329 | |
Textiles, Apparel & Luxury Goods—0.4% | |||
NIKE, Inc. Class B | 7,310 | 912 | |
Total Common Stocks (Identified Cost $88,631) | 80,213 | ||
Warrant—0.0% | |||
Banks—0.0% | |||
CCF Holdings LLC(6)(7) | 363,920 | 91 | |
Total Warrant (Identified Cost $—) | 91 | ||
Par Value | ||
Convertible Bonds and Notes—70.8% | ||
Airlines—1.8% | ||
American Airlines Group, Inc. 6.500%, 7/1/25 | $ 775 | 1,081 |
Southwest Airlines Co. 1.250%, 5/1/25(2) | 2,420 | 3,304 |
4,385 | ||
Par Value | Value | ||
Auto Manufacturers—1.3% | |||
Ford Motor Co. 0.000%, 3/15/26(2) | $ 1,425 | $ 1,512 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 1,165 | 804 | |
Tesla, Inc. 2.000%, 5/15/24 | 60 | 841 | |
3,157 | |||
Banks—0.2% | |||
Barclays Bank plc 0.000%, 2/18/25 | 395 | 434 | |
Biotechnology—3.1% | |||
BioMarin Pharmaceutical, Inc. | |||
0.599%, 8/1/24 | 120 | 122 | |
1.250%, 5/15/27 | 1,875 | 1,927 | |
Global Blood Therapeutics, Inc. 144A 1.875%, 12/15/28(1) | 915 | 1,104 | |
Guardant Health, Inc. 0.000%, 11/15/27(2) | 1,035 | 827 | |
Halozyme Therapeutics, Inc. 0.250%, 3/1/27 | 2,945 | 2,527 | |
Sarepta Therapeutics, Inc. 1.500%, 11/15/24(2) | 1,040 | 1,292 | |
7,799 | |||
Commercial Services—4.8% | |||
Block, Inc. | |||
0.125%, 3/1/25 | 2,220 | 2,474 | |
0.000%, 5/1/26(2) | 650 | 559 | |
Chegg, Inc. 0.125%, 3/15/25 | 1,640 | 1,457 | |
Euronet Worldwide, Inc. 0.750%, 3/15/49 | 1,105 | 1,219 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 885 | 718 | |
Shift4 Payments, Inc. | |||
0.000%, 12/15/25(2) | 1,625 | 1,563 | |
144A 0.500%, 8/1/27(1) | 1,820 | 1,482 | |
Stride, Inc. 1.125%, 9/1/27(2) | 2,495 | 2,571 | |
12,043 | |||
Computers—4.6% | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | 1,330 | 1,576 | |
KBR, Inc. 2.500%, 11/1/23 | 850 | 1,673 | |
Lumentum Holdings, Inc. | |||
0.500%, 12/15/26(2) | 2,275 | 2,379 | |
144A 0.500%, 6/15/28(1) | 745 | 659 | |
Pure Storage, Inc. 0.125%, 4/15/23(2) | 1,905 | 2,333 | |
Rapid7, Inc. 0.250%, 3/15/27 | 875 | 974 | |
Varonis Systems, Inc. 1.250%, 8/15/25 | 350 | 539 |
See Notes to Schedule of Investments
6
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Par Value | Value | ||
Computers—continued | |||
Zscaler, Inc. 0.125%, 7/1/25(2) | $ 880 | $ 1,306 | |
11,439 | |||
Cosmetics & Personal Care—0.6% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 1,650 | 1,384 | |
Diversified Financial Services—1.1% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 1,380 | 1,105 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 | 1,210 | 1,217 | |
Upstart Holdings, Inc. 144A 0.250%, 8/15/26(1) | 730 | 558 | |
2,880 | |||
Electronics—0.5% | |||
II-VI, Inc. 0.250%, 9/1/22 | 860 | 1,137 | |
Energy-Alternate Sources—1.7% | |||
Enphase Energy, Inc. | |||
0.250%, 3/1/25 | 195 | 405 | |
0.000%, 3/1/26(2) | 2,800 | 2,635 | |
0.000%, 3/1/28(2) | 1,325 | 1,260 | |
4,300 | |||
Entertainment—3.1% | |||
Live Nation Entertainment, Inc. 2.000%, 2/15/25(2) | 3,930 | 4,708 | |
Penn National Gaming, Inc. 2.750%, 5/15/26 | 425 | 739 | |
Vail Resorts, Inc. 0.000%, 1/1/26(2) | 2,535 | 2,384 | |
7,831 | |||
Equity Real Estate Investment Trusts (REITs)—2.6% | |||
Apollo Commercial Real Estate Finance, Inc. 4.750%, 8/23/22 | 2,655 | 2,653 | |
HAT Holdings I LLC 144A 0.000%, 5/1/25(1) | 905 | 893 | |
Pebblebrook Hotel Trust 1.750%, 12/15/26(2) | 2,655 | 3,004 | |
6,550 | |||
Healthcare-Products—2.0% | |||
CONMED Corp. 2.625%, 2/1/24(2) | 840 | 1,316 | |
Envista Holdings Corp. 2.375%, 6/1/25 | 245 | 480 | |
Insulet Corp. 0.375%, 9/1/26(2) | 1,380 | 1,697 | |
Natera, Inc. 2.250%, 5/1/27 | 230 | 282 |
Par Value | Value | ||
Healthcare-Products—continued | |||
Tandem Diabetes Care, Inc. 144A 1.500%, 5/1/25(1) | $ 1,030 | $ 1,146 | |
4,921 | |||
Healthcare-Services—0.6% | |||
Anthem, Inc. 2.750%, 10/15/42 | 210 | 1,498 | |
Internet—10.7% | |||
Airbnb, Inc. 0.000%, 3/15/26(2) | 3,770 | 3,455 | |
Booking Holdings, Inc. 0.750%, 5/1/25(2) | 1,145 | 1,592 | |
Etsy, Inc. 144A 0.250%, 6/15/28(1)(2) | 1,705 | 1,355 | |
Expedia Group, Inc. 0.000%, 2/15/26(2) | 3,125 | 3,664 | |
Lyft, Inc. 1.500%, 5/15/25(2) | 670 | 751 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1)(2) | 880 | 1,006 | |
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23(2) | 795 | 1,683 | |
0.375%, 6/1/25(2) | 2,355 | 4,515 | |
Perficient, Inc. 144A 0.125%, 11/15/26(1) | 2,000 | 1,717 | |
Snap, Inc. | |||
0.000%, 5/1/27(2) | 1,225 | 972 | |
144A 0.125%, 3/1/28(1) | 2,740 | 2,402 | |
TechTarget, Inc. 144A 0.000%, 12/15/26(1) | 2,185 | 1,843 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 555 | 479 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,220 | 1,258 | |
26,692 | |||
Leisure Time—1.9% | |||
NCL Corp., Ltd. 144A 1.125%, 2/15/27(1)(2) | 3,325 | 2,904 | |
Royal Caribbean Cruises Ltd. 2.875%, 11/15/23(2) | 1,640 | 1,887 | |
4,791 | |||
Machinery-Diversified—1.1% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1)(2) | 715 | 2,069 | |
Middleby Corp. (The) 1.000%, 9/1/25(2) | 480 | 627 | |
2,696 | |||
Media—4.0% | |||
DISH Network Corp. 0.000%, 12/15/25(2) | 2,565 | 2,315 | |
Liberty Broadband Corp. | |||
144A 1.250%, 9/30/50(1) | 2,625 | 2,468 | |
144A 2.750%, 9/30/50(1) | 2,340 | 2,246 | |
Liberty Media Corp. 1.375%, 10/15/23(2) | 1,385 | 1,801 |
See Notes to Schedule of Investments
7
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Par Value | Value | ||
Media—continued | |||
World Wrestling Entertainment, Inc. 3.375%, 12/15/23 | $ 460 | $ 1,093 | |
9,923 | |||
Mining—1.8% | |||
Lithium Americas Corp. 144A 1.750%, 1/15/27(1) | 1,245 | 1,157 | |
MP Materials Corp. 144A 0.250%, 4/1/26(1)(2) | 1,835 | 2,028 | |
SSR Mining, Inc. 2.500%, 4/1/39 | 930 | 1,299 | |
4,484 | |||
Oil, Gas & Consumable Fuels—2.3% | |||
EQT Corp. 1.750%, 5/1/26(2) | 770 | 2,096 | |
Helix Energy Solutions Group, Inc. 6.750%, 2/15/26 | 115 | 119 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25(2) | 1,590 | 3,500 | |
5,715 | |||
Pharmaceuticals—4.3% | |||
Dexcom, Inc. 0.250%, 11/15/25(2) | 5,145 | 5,380 | |
Jazz Investments I Ltd. 2.000%, 6/15/26(2) | 3,415 | 4,169 | |
Pacira BioSciences, Inc. 0.750%, 8/1/25 | 1,020 | 1,227 | |
10,776 | |||
Retail—0.3% | |||
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 270 | 810 | |
Semiconductors—3.3% | |||
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26(2) | 1,810 | 1,695 | |
Microchip Technology, Inc. 0.125%, 11/15/24(2) | 2,120 | 2,245 | |
ON Semiconductor Corp. 144A 0.000%, 5/1/27(1)(2) | 940 | 1,122 | |
Silicon Laboratories, Inc. 0.625%, 6/15/25(2) | 525 | 666 | |
Wolfspeed, Inc. 144A 0.250%, 2/15/28(1) | 2,405 | 2,405 | |
8,133 | |||
Software—11.8% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 1,525 | 1,909 | |
Bill.com Holdings, Inc. | |||
0.000%, 12/1/25(2) | 650 | 845 | |
144A 0.000%, 4/1/27(1) | 1,780 | 1,500 | |
Box, Inc. 0.000%, 1/15/26 | 1,020 | 1,346 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 3,270 | 2,853 |
Par Value | Value | ||
Software—continued | |||
Confluent, Inc. 144A 0.000%, 1/15/27(1) | $ 1,880 | $ 1,440 | |
Coupa Software, Inc. 0.125%, 6/15/25 | 1,210 | 1,111 | |
Datadog, Inc. 0.125%, 6/15/25(2) | 555 | 825 | |
Evolent Health, Inc. 1.500%, 10/15/25 | 1,525 | 1,629 | |
Jamf Holding Corp. 144A 0.125%, 9/1/26(1)(2) | 1,820 | 1,681 | |
MongoDB, Inc. 0.250%, 1/15/26(2) | 1,020 | 1,826 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(1)(2) | 1,440 | 1,152 | |
Sailpoint Technologies Holdings, Inc. 0.125%, 9/15/24 | 275 | 622 | |
ServiceNow, Inc. 0.000%, 6/1/22(2) | 225 | 797 | |
Splunk, Inc. | |||
0.500%, 9/15/23(2) | 2,550 | 2,687 | |
1.125%, 9/15/25 | 1,050 | 1,139 | |
1.125%, 6/15/27 | 430 | 386 | |
Tyler Technologies, Inc. 0.250%, 3/15/26(2) | 2,110 | 2,146 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1)(2) | 2,860 | 2,212 | |
Workday, Inc. 0.250%, 10/1/22(2) | 995 | 1,409 | |
29,515 | |||
Telecommunications—0.7% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24(2) | 1,450 | 1,730 | |
Transportation—0.6% | |||
Air Transport Services Group, Inc. 1.125%, 10/15/24 | 1,265 | 1,440 | |
Total Convertible Bonds and Notes (Identified Cost $184,955) | 176,463 | ||
Total Long-Term Investments—132.3% (Identified Cost $352,040) | 330,032 | ||
Shares | ||
Short-Term Investment—10.9% | ||
Money Market Mutual Fund—10.9% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.239%)(11) | 27,230,747 | 27,231 |
Total Short-Term Investment (Identified Cost $27,231) | 27,231 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—143.2% (Identified Cost $379,271) | 357,263 | |
See Notes to Schedule of Investments
8
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Value | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $126) | $ (63) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—143.2% (Identified Cost $379,145) | $357,200 | |
Other assets and liabilities, net—(43.2)% | (107,804) | |
NET ASSETS—100.0% | $249,396 |
Abbreviations: | |
EV | Enterprise Value |
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 April 30, 2022, these securities amounted to a value of $82,582 or 33.1% of net assets. |
(2) | All or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $136,415. |
(3) | Variable rate security. Rate disclosed is as of April 30, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | During the reporting period, a member of the Fund’s portfolio management team was a member of the board of directors of LiveStyle, Inc. As of the reporting period end, this is no longer the case. |
(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% |
Bermuda | 2 |
Canada | 2 |
United Kingdom | 1 |
Liberia | 1 |
Israel | 1 |
Total | 100% |
† % of total investments, net of written options, as of April 30, 2022. |
Open Written Options contracts as of April 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Abbott Laboratories | (15) | $(195) | $130.00 | 05/20/22 | $(—)(3) |
AbbVie, Inc. | (35) | (595) | 170.00 | 05/20/22 | (1) |
Accenture plc | (20) | (680) | 340.00 | 05/20/22 | (1) |
Alphabet, Inc. | (8) | (2,280) | 2,850.00 | 05/20/22 | (1) |
Apple, Inc. | (170) | (3,102) | 182.50 | 05/20/22 | (3) |
Atlassian Corp. plc | (16) | (560) | 350.00 | 05/20/22 | (—)(3) |
Booking Holdings, Inc. | (3) | (795) | 2,650.00 | 05/20/22 | (4) |
Charles Schwab Corp. (The) | (35) | (341) | 97.50 | 05/20/22 | — |
Cisco Systems, Inc. | (115) | (690) | 60.00 | 06/17/22 | (1) |
CME Group, Inc. | (15) | (364) | 242.50 | 05/20/22 | (1) |
ConocoPhillips | (82) | (943) | 115.00 | 05/20/22 | (2) |
Costco Wholesale Corp. | (20) | (1,200) | 600.00 | 05/20/22 | (2) |
Crowdstrike Holdings, Inc. | (32) | (928) | 290.00 | 05/20/22 | (—)(3) |
Crown Castle International Corp. | (33) | (693) | 210.00 | 05/20/22 | (1) |
Deere & Co. | (15) | (720) | 480.00 | 05/20/22 | (—)(3) |
Devon Energy Corp. | (90) | (675) | 75.00 | 05/20/22 | (2) |
Dexcom, Inc. | (7) | (385) | 550.00 | 05/20/22 | (—)(3) |
Eli Lilly & Co. | (25) | (775) | 310.00 | 05/20/22 | (5) |
Enphase Energy, Inc. | (13) | (273) | 210.00 | 05/20/22 | (1) |
See Notes to Schedule of Investments
9
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
Open Written Options contracts as of April 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Freeport-McMoRan, Inc. | (100) | $(500) | $50.00 | 05/20/22 | $(2) |
Home Depot, Inc. (The) | (9) | (306) | 340.00 | 05/20/22 | (1) |
Intuit, Inc. | (7) | (361) | 515.00 | 05/20/22 | (—)(3) |
JPMorgan Chase & Co. | (45) | (630) | 140.00 | 05/20/22 | (—)(3) |
Lam Research Corp. | (15) | (982) | 655.00 | 06/17/22 | (1) |
Marvell Technology, Inc. | (47) | (334) | 71.00 | 05/20/22 | (2) |
Mastercard, Inc. | (17) | (688) | 405.00 | 05/20/22 | (2) |
McKesson Corp. | (10) | (335) | 335.00 | 05/20/22 | (2) |
MGM Resorts International | (45) | (225) | 50.00 | 05/20/22 | (1) |
Micron Technology, Inc. | (47) | (411) | 87.50 | 06/17/22 | (2) |
Microsoft Corp. | (100) | (3,200) | 320.00 | 05/20/22 | (3) |
S&P Global, Inc. | (15) | (638) | 425.00 | 05/20/22 | (2) |
Schlumberger N.V. | (200) | (1,020) | 51.00 | 05/20/22 | (1) |
ServiceNow, Inc. | (4) | (236) | 590.00 | 05/20/22 | (1) |
Target Corp. | (20) | (540) | 270.00 | 05/20/22 | (1) |
Tesla, Inc. | (20) | (2,450) | 1,225.00 | 05/20/22 | (3) |
Thermo Fisher Scientific, Inc. | (10) | (600) | 600.00 | 05/20/22 | (3) |
TJX Cos., Inc. (The) | (45) | (320) | 71.00 | 05/20/22 | (1) |
Union Pacific Corp. | (35) | (910) | 260.00 | 05/20/22 | (1) |
United Parcel Service, Inc. | (20) | (460) | 230.00 | 05/20/22 | (—)(3) |
UnitedHealth Group, Inc. | (25) | (1,412) | 565.00 | 05/20/22 | (1) |
Visa, Inc. | (35) | (875) | 250.00 | 05/20/22 | (—)(3) |
Waste Management, Inc. | (15) | (248) | 165.00 | 05/20/22 | (7) |
Zoetis, Inc. | (10) | (200) | 200.00 | 05/20/22 | (1) |
Total Written Options | $(63) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options | |
(3) Amount is less than $500. |
The following table summarizes the market value of the Fund’s investments as of April 30, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at April 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $47,235 | $— | $47,235 | $— | |||
Leveraged Loans | 230 | — | 230 | — | |||
Convertible Bonds and Notes | 176,463 | — | 176,463 | — | |||
Equity Securities: | |||||||
Common Stocks | 80,213 | 79,627 | — | 586 | |||
Convertible Preferred Stocks | 25,422 | 22,307 | 3,115 | — | |||
Preferred Stocks | 378 | — | — | 378(1) | |||
Warrant | 91 | — | — | 91 | |||
Money Market Mutual Fund | 27,231 | 27,231 | — | — | |||
Total Investments, before Written Options | 357,263 | 129,165 | 227,043 | 1,055 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (63) | (59) | (4) | — | |||
Total Investments, Net of Written Options | $357,200 | $129,106 | $227,039 | $1,055 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
See Notes to Schedule of Investments
10
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
($ reported in thousands)
There were no transfers into or out of Level 3 related to securities held at April 30, 2022.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Common Stocks | Preferred Stocks | Warrants | ||||
Investments in Securities | |||||||
Balance as of January 31, 2022: | $ 1,011 | $ 549 | $ 378(a) | $ 84 | |||
Change in unrealized appreciation (depreciation)(b) | 44 | 37 | — | 7 | |||
Balance as of April 30, 2022 | $ 1,055 | $ 586 | $ 378(a) | $ 91 |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) The change in unrealized appreciation (depreciation) on investments still held at April 30, 2022, was $44.
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 April 30, 2022:
Investments in Securities – Assets | Ending Balance at April 30, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $378 | Market and Company Comparables | EV Multiples | 2.71x (0.23x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Common Stocks: | ||||||||
CCF Holdings LLC | $483 | Market and Company Comparables | EV Multiples | 1.22x (0.62x - 1.82x) | ||||
0.67x (0.37x - 0.90x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $103 | Market and Company Comparables | EV Multiples | 1.22x (0.62x - 1.82x) | ||||
0.67x (0.37x - 0.90x) | ||||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $—(1) | Market and Company Comparables | EV Multiples | 2.71x (0.23x - 7.15x) | ||||
Illiquidity Discount | -20% - 30% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $91 | Market and Company Comparables | EV Multiples | 1.22x (0.62x - 1.82x) | ||||
0.67x (0.37x - 0.90x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 50.76% | ||||||
(1) Amount is less than $500. |
See Notes to Schedule of Investments
11
VIRTUS ALLIANZGI Diversified Income & Convertible Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Note 1. Security Valuation
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. 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 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.
Note 2. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the schedule of investments will be available for issuance, and has determined that the following subsequent events require recognition or disclosure in this Schedule of Investments:
On May 18, 2022, the Fund had been informed by AllianzGI U.S., the subadviser to the Fund, that AllianzGI U.S. will no longer act as a subadviser to the Fund after a transition period of up to four months. Consequently, in the coming weeks, the Board of each Fund will consider possible options and alternatives, including a potential proposal to Fund shareholders to approve a new subadviser. Concurrently, AllianzGI announced its intention to enter into an agreement with Voya Investment Management (“Voya”) to transfer the investment team who currently manage the Fund to Voya. AllianzGI will bear all expenses associated with the transition of the Fund, including expenses associated with obtaining necessary shareholder approvals.
Effective June 22, 2022, the Fund’s name will be changed to Virtus Diversified Income & Convertible Fund. No change to the Fund’s investment objective, investment strategies, CUSIP, or New York Stock Exchange (NYSE) ticker symbol is expected in connection with the name change.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
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