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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
100 Pearl Street
Hartford, CT 06103-4506
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
100 Pearl Street
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: June 30, 2014
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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VIRTUS VARIABLE INSURANCE TRUST
SEMIANNUAL REPORT
Virtus Capital Growth Series
Virtus Growth & Income Series
Virtus International Series
Virtus Multi-Sector Fixed Income Series
Virtus Premium AlphaSector® Series
Virtus Real Estate Securities Series
Virtus Small-Cap Growth Series
Virtus Small-Cap Value Series
Virtus Strategic Allocation Series
June 30, 2014 | ||||||
The Semiannual Report describes one or more Series available for underlying investment through your variable contract. For information about your variable contract, including information about insurance-related expenses, see the prospectus for your variable contract. |
| Not FDIC Insured No Bank Guarantee May Lose Value |
|
Table of Contents
1 | ||||
2 | ||||
3 | ||||
5 | ||||
Series | Schedule of Investments | |||
6 | ||||
7 | ||||
8 | ||||
Virtus Multi-Sector Fixed Income Series (“Multi-Sector Fixed Income Series”) | 9 | |||
Virtus Premium AlphaSector® Series (“Premium AlphaSector Series”) | 17 | |||
Virtus Real Estate Securities Series (“Real Estate Securities Series”) | 18 | |||
19 | ||||
20 | ||||
Virtus Strategic Allocation Series (“Strategic Allocation Series”) | 21 | |||
28 | ||||
31 | ||||
34 | ||||
37 | ||||
40 |
Proxy Voting Procedures and Voting Record (Form N-PX)
The adviser and subadvisers vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Series voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 800-367-5877. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Form N-Q Information
The Trust files a complete schedule of portfolio holdings for each Series with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
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Dear Virtus Variable Investment Trust Investors:
The first six months of 2014 were generally strong for equities, despite some volatility at the beginning of the year. Several events during January and February, including uncertainty around the emerging markets economies, the Russia-Ukraine crisis, a winter-related slowing of U.S. growth, and the Federal Reserve’s (the “Fed”) asset purchase tapering prompted investors to seek “safety” in other investments, such as bonds. As March drew to a close, worries eased and stocks regained their footing.
For the six-month period ended June 30, 2014, the U.S. stock market had moderate gains. The S&P 500® Index returned 7.14%, the Dow Jones Industrial Average rose 2.68%, and the NASDAQ® Composite Index was up 6.18%. Within international equities, developed markets led by Europe, generally posted strong returns, while emerging markets had a slow first quarter but rebounded strongly in the second quarter to surpass developed market stocks for the six-month period.
The year-end 2013 rally in the bond market continued into 2014 as worries about rising interest rates subsided. The broad fixed income market, as measured by the Barclays U.S. Aggregate Bond Index, rose 3.93% for the six-month period. The 10-year U.S. Treasury yield, which had risen above 3.00% at the end of 2013 for the first time since July 2011, was at 2.53% as of June 30.
Looking ahead, the prospect of higher interest rates will likely resurface, particularly as the Fed ends its bond purchases later this year. However, higher rates signify an improving economy, and should give investors reason for optimism. The U.S. is showing signs of a return to growth in hiring, consumer spending, and housing. Future market direction will be determined largely by the ability of corporations to continue to produce robust earnings. Globally, optimism is spreading, as Europe’s economy is gaining strength, and China’s recovery appears to be advancing slowly.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification. While diversification cannot guarantee a profit or prevent loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your variable product portfolio is adequately diversified across asset classes and investment strategies.
Thank you for entrusting Virtus with your assets. Should you have questions or require assistance, our customer service team is here to help at 1-866-270-7788. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward
President, Virtus Variable Insurance Trust
July 2014
Variable insurance products are sold by prospectus. You should carefully consider investment objectives, charges, expenses and risks before you invest. The contract prospectuses and underlying Series prospectuses contain this and other important information about the variable insurance product. You may obtain contract prospectuses from your registered representative. You may obtain Series prospectuses by contacting us at 1-800-367-5877 or Virtus.com. Please read the prospectuses carefully before you invest.
1
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JUNE 30, 2014 (Unaudited)
American Depositary Receipt (ADR)
Represents shares of non-U.S. companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or trust. Non-U.S. companies use ADRs in order to make it easier for Americans to buy their shares. An ADR is likely to be traded over the counter.
Barclays U.S. Aggregate Bond Index
The Barclays U.S. Aggregate Bond Index measures the U.S. investment grade fixed rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Dow Jones Industrial Average (DJIA)
A market indicator composed of 30 actively traded blue chip U.S. stocks. While the index attempts to be representative of the U.S. economy as a whole, it is somewhat heavily weighted toward industrials. It is a price-weighted average, which means that the price movement of each stock is weighted equally regardless of its market capitalization. The index is unmanaged, its returns do not reflect any fees, expenses or sales charges, and it is not available for direct investment.
Exchange-Traded Fund (ETF)
An open-end investment company that is traded like a stock.
Federal Reserve (the “Fed”)
The central bank of the United States, responsible for controlling the money supply, interest rates and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches and all national and state banks that are part of the system.
NASDAQ® Composite Index (NASDAQ)
A market-capitalization weighted index of the more than 3,000 common equities listed on the Nasdaq stock exchange. Unlike other market indexes, the NASDAQ® Composite Index is not limited to companies that have U.S. headquarters. The index is unmanaged, its returns do not reflect any fees, expenses or sales charges and it is not available for direct investment.
PIK (Payment-in-Kind)
A bond which pays interest in the form of additional bonds, or preferred stock that pays dividends in the form of additional preferred stock.
Real Estate Investment Trust (REIT)
A publicly traded company that owns, develops and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers and other commercial properties.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Sponsored American Depositary Receipt (Sponsored ADR)
An ADR that is issued with the cooperation of the company whose stock will underlie the ADR. Sponsored ADRs generally carry the same rights normally given to stockholders, such as voting rights. ADRs must be sponsored to be able to trade on a major U.S. exchange such as the NYSE.
2
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VIRTUS VARIABLE INSURANCE TRUST
Disclosure of Series Expenses (Unaudited)
For the six-month period of January 1, 2014 to June 30, 2014
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Series (each a “Series”) of Virtus Variable Insurance Trust (the “Trust”), you incur ongoing costs including investment advisory fees and other expenses. These expense examples are intended to help you understand your ongoing costs (in dollars) of investing in a Series and to compare these costs with the ongoing costs of investing in other mutual funds. These expense examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The following Expense Table illustrates a Series’ costs in two ways.
Actual Expenses
This section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The expense estimate does not include the fees or expenses associated with the separate insurance accounts, and if such charges were included, your costs would have been higher.
Hypothetical Example for Comparison Purposes
This section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on a Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Series and other mutual funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect additional fees and expenses associated with the annuity or life insurance policy through which you invest. Therefore, this section of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if the annuity or life insurance policy costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Expense Table | ||||||||||||||||
Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Capital Growth Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,033.00 | 1.03 | % | $ | 5.19 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.62 | 1.03 | 5.17 | ||||||||||||
Growth & Income Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,076.10 | 0.98 | % | $ | 5.04 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.87 | 0.98 | 4.92 | ||||||||||||
International Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,081.80 | 1.18 | % | $ | 6.09 | ||||||||
Class I | 1,000.00 | 1,082.60 | 0.93 | 4.80 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.87 | 1.18 | 5.92 | ||||||||||||
Class I | 1,000.00 | 1,020.13 | 0.93 | 4.67 | ||||||||||||
Multi-Sector Fixed Income Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,056.60 | 0.94 | % | $ | 4.79 | ||||||||
Class I | 1,000.00 | 1,057.90 | 0.69 | 3.52 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,020.08 | 0.94 | 4.72 | ||||||||||||
Class I | 1,000.00 | 1,021.33 | 0.69 | 3.46 | ||||||||||||
Premium AlphaSector® Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,065.60 | 1.70 | % | $ | 8.71 | ||||||||
Class I | 1,000.00 | 1,066.50 | 1.45 | 7.43 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,016.26 | 1.70 | 8.53 | ||||||||||||
Class I | 1,000.00 | 1,017.51 | 1.45 | 7.28 | ||||||||||||
Real Estate Securities Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,180.80 | 1.16 | % | $ | 6.27 | ||||||||
Class I | 1,000.00 | 1,182.50 | 0.91 | 4.92 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.97 | 1.16 | 5.82 | ||||||||||||
Class I | 1,000.00 | 1,020.23 | 0.91 | 4.57 | ||||||||||||
Small-Cap Growth Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 965.50 | 1.19 | % | $ | 5.80 | ||||||||
Class I | 1,000.00 | 966.90 | 0.94 | 4.58 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.82 | 1.19 | 5.97 | ||||||||||||
Class I | 1,000.00 | 1,020.08 | 0.94 | 4.72 |
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VIRTUS VARIABLE INSURANCE TRUST
Disclosure of Series Expenses (Unaudited) (Continued)
For the six-month period of January 1, 2014 to June 30, 2014
Expense Table—continued | ||||||||||||||||
Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Small-Cap Value Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 966.90 | 1.20 | % | $ | 5.85 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.77 | 1.20 | 6.02 | ||||||||||||
Strategic Allocation Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,062.70 | 0.98 | % | $ | 5.01 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.87 | 0.98 | 4.92 |
* | Expenses are equal to the relevant Series’ annualized expense ratio which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 days to reflect the one-half year period. Exceptions noted below. |
A Series may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. |
You can find more information about a Series’ expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, including contractual charges associated with the separate account, refer to the Series prospectus and the contract prospectus. |
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VIRTUS VARIABLE INSURANCE TRUST
Portfolio Holdings Summary Weightings
June 30, 2014 (Unaudited)
For each Series, the following tables present portfolio holdings within certain sectors and as a percentage of total investments attributable to each sector.
Capital Growth Series | ||||
Information Technology | 34 | % | ||
Consumer Discretionary | 18 | |||
Industrials | 13 | |||
Health Care | 11 | |||
Consumer Staples | 11 | |||
Financials | 5 | |||
Materials | 4 | |||
Other (includes short-term investments) | 4 | |||
|
| |||
Total | 100 | % | ||
|
|
Growth & Income Series | ||||
Information Technology | 20 | % | ||
Financials | 18 | |||
Industrials | 16 | |||
Consumer Discretionary | 14 | |||
Energy | 14 | |||
Health Care | 8 | |||
Materials | 4 | |||
Other (includes securities lending collateral) | 6 | |||
|
| |||
Total | 100 | % | ||
|
|
International Series | ||||
Financials | 21 | % | ||
Energy | 15 | |||
Consumer Staples | 15 | |||
Industrials | 12 | |||
Materials | 11 | |||
Health Care | 8 | |||
Information Technology | 8 | |||
Other (includes short-term investments) | 10 | |||
|
| |||
Total | 100 | % | ||
|
|
Multi-Sector Fixed Income Series | ||||||||
Corporate Bonds | 55 | % | ||||||
Financials | 22 | % | ||||||
Energy | 8 | |||||||
Consumer Discretionary | 7 | |||||||
Industrials | 5 | |||||||
Total of all others | 13 | |||||||
Mortgage-Backed Securities | 12 | |||||||
Loan Agreements | 12 | |||||||
Foreign Government Securities | 11 | |||||||
Asset-Backed Securities | 4 | |||||||
Preferred Stock | 4 | |||||||
Other (includes short-term investments) | 2 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
Premium AlphaSector® Series | ||||
Health Care | 13 | % | ||
Information Technology | 13 | |||
Materials | 13 | |||
Utilities | 13 | |||
Consumer Staples | 12 | |||
Energy | 12 | |||
Financials | 12 | |||
Industrial | 12 | |||
|
| |||
Total | 100 | % | ||
|
|
Real Estate Securities Series | ||||
Regional Malls | 20 | % | ||
Apartments | 18 | |||
Office | 12 | |||
Self Storage | 10 | |||
Industrials | 10 | |||
Shopping Centers | 9 | |||
Lodging/Resorts | 7 | |||
Other (includes short-term investments) | 14 | |||
|
| |||
Total | 100 | % | ||
|
|
Small-Cap Growth Series | ||||
Information Technology | 32 | % | ||
Consumer Discretionary | 16 | |||
Health Care | 15 | |||
Industrials | 14 | |||
Financials | 8 | |||
Consumer Staples | 8 | |||
Materials | 3 | |||
Other (includes short-term investments) | 4 | |||
|
| |||
Total | 100 | % | ||
|
|
Small-Cap Value Series | ||||
Information Technology | 25 | % | ||
Financials | 19 | |||
Industrials | 18 | |||
Consumer Discretionary | 11 | |||
Consumer Staples | 9 | |||
Health Care | 6 | |||
Energy | 5 | |||
Other (includes short-term investments) | 7 | |||
|
| |||
Total | 100 | % | ||
|
|
Strategic Allocation Series | ||||||||
Common Stock | 59 | % | ||||||
Information Technology | 12 | % | ||||||
Financials | 11 | |||||||
Industrials | 9 | |||||||
Energy | 8 | |||||||
Consumer Discretionary | 8 | |||||||
Total of all other common stock sectors | 11 | |||||||
Corporate Bonds | 18 | |||||||
Financials | 9 | % | ||||||
Energy | 2 | |||||||
Total of all other corporate bond sectors | 7 | |||||||
Mortgage-Backed Securities | 14 | |||||||
Municipal Bonds | 2 | |||||||
Asset-Backed Securities | 2 | |||||||
Foreign Government Securities | 1 | |||||||
Loan Agreements | 1 | |||||||
Other (includes short-term investments and securities lending collateral) | 3 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
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Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.5% | ||||||||
Consumer Discretionary—18.0% | ||||||||
Home Depot, Inc. (The) | 57,030 | $ | 4,617 | |||||
Las Vegas Sands Corp. | 27,500 | 2,096 | ||||||
NIKE, Inc. Class B | 68,960 | 5,348 | ||||||
Priceline® Group, Inc.(2) | 6,430 | 7,735 | ||||||
Ross Stores, Inc. | 62,960 | 4,164 | ||||||
Starbucks Corp. | 81,270 | 6,289 | ||||||
Time Warner, Inc. | 41,230 | 2,896 | ||||||
TripAdvisor, Inc.(2) | 46,530 | 5,056 | ||||||
|
| |||||||
38,201 | ||||||||
|
| |||||||
Consumer Staples—10.7% | ||||||||
Coca-Cola Co. (The) | 128,550 | 5,445 | ||||||
Colgate-Palmolive Co. | 101,140 | 6,896 | ||||||
Costco Wholesale Corp. | 34,007 | 3,916 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 38,290 | 2,843 | ||||||
Monster Beverage Corp.(2) | 51,001 | 3,623 | ||||||
|
| |||||||
22,723 | ||||||||
|
| |||||||
Energy—3.9% | ||||||||
Core Laboratories N.V. | 16,790 | 2,805 | ||||||
Schlumberger Ltd. | 45,210 | 5,333 | ||||||
|
| |||||||
8,138 | ||||||||
|
| |||||||
Financials—5.0% | ||||||||
Charles Schwab Corp. (The) | 109,820 | 2,957 | ||||||
Fifth Third Bancorp | 83,100 | 1,774 | ||||||
T. Rowe Price Group, Inc. | 69,420 | 5,860 | ||||||
|
| |||||||
10,591 | ||||||||
|
| |||||||
Health Care—10.9% | ||||||||
Celgene Corp.(2) | 44,040 | 3,782 | ||||||
Cerner Corp.(2) | 51,224 | 2,642 | ||||||
Gilead Sciences, Inc.(2) | 60,340 | 5,003 | ||||||
HealthSouth Corp. | 1,533 | 55 | ||||||
Intuitive Surgical, Inc.(2) | 7,160 | 2,949 | ||||||
Medidata Solutions, Inc.(2) | 36,690 | 1,571 | ||||||
Perrigo Co. plc | 26,800 | 3,906 | ||||||
Zoetis, Inc. | 101,490 | 3,275 | ||||||
|
| |||||||
23,183 | ||||||||
|
| |||||||
Industrials—13.2% | ||||||||
Danaher Corp. | 55,430 | 4,364 | ||||||
Expeditors International of Washington, Inc. | 122,150 | 5,394 | ||||||
Fastenal Co. | 94,394 | 4,672 | ||||||
MSC Industrial Direct Co., Inc. Class A | 52,417 | 5,013 | ||||||
Precision Castparts Corp. | 15,670 | 3,955 | ||||||
Roper Industries, Inc. | 31,710 | 4,630 | ||||||
|
| |||||||
28,028 | ||||||||
|
| |||||||
Information Technology—33.6% | ||||||||
Accenture plc Class A | 53,110 | 4,293 | ||||||
Amphenol Corp. Class A | 91,260 | 8,792 | ||||||
ANSYS, Inc.(2) | 61,230 | 4,642 | ||||||
Apple, Inc. | 150,640 | 13,999 | ||||||
Applied Materials, Inc. | 272,580 | 6,147 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Baidu, Inc. Sponsored ADR(2) | 28,870 | $ | 5,393 | |||||
CoStar Group, Inc.(2) | 22,823 | 3,613 | ||||||
Facebook, Inc. Class A(2) | 182,770 | 12,299 | ||||||
Fleetmatics Group plc(2) | 48,610 | 1,572 | ||||||
Visa, Inc. Class A | 28,360 | 5,976 | ||||||
Xilinx, Inc. | 95,590 | 4,522 | ||||||
|
| |||||||
71,248 | ||||||||
|
| |||||||
Materials—4.2% | ||||||||
Ecolab, Inc. | 40,680 | 4,529 | ||||||
Praxair, Inc. | 32,180 | 4,275 | ||||||
|
| |||||||
8,804 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $142,329) | 210,916 | |||||||
TOTAL LONG TERM INVESTMENTS—99.5% | ||||||||
(Identified Cost $142,329) | 210,916 | |||||||
SHORT-TERM INVESTMENTS—0.7% | ||||||||
Money Market Mutual Funds—0.7% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 1,442,378 | 1,442 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,442) | 1,442 | |||||||
TOTAL INVESTMENTS—100.2% (Identified Cost $143,771) | 212,358 | (1) | ||||||
Other assets and liabilities, net—(0.2)% |
| (368 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 211,990 | ||||||
|
|
Abbreviations:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 210,916 | $ | 210,916 | ||||
Short-Term Investments | 1,442 | 1,442 | ||||||
|
|
|
| |||||
Total Investments | $ | 212,358 | $ | 212,358 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
6
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.5% | ||||||||
Consumer Discretionary—14.1% | ||||||||
Comcast Corp. Class A | 55,000 | $ | 2,952 | |||||
Ford Motor Co. | 180,000 | 3,103 | ||||||
Goodyear Tire & Rubber Co. (The) | 107,000 | 2,973 | ||||||
Lear Corp. | 34,000 | 3,037 | ||||||
Macy's, Inc. | 49,000 | 2,843 | ||||||
Michael Kors Holdings Ltd. | 30,000 | 2,660 | ||||||
Time Warner, Inc. | 44,000 | 3,091 | ||||||
Time, Inc.(2) | 5,500 | 133 | ||||||
|
| |||||||
20,792 | ||||||||
|
| |||||||
Consumer Staples—3.9% | ||||||||
Archer-Daniels-Midland Co.(The) | 64,000 | 2,823 | ||||||
PepsiCo, Inc. | 33,000 | 2,948 | ||||||
|
| |||||||
5,771 | ||||||||
|
| |||||||
Energy—14.0% | ||||||||
Chevron Corp. | 23,000 | 3,003 | ||||||
Continental Resources, Inc.(2)(3) | 19,000 | 3,003 | ||||||
Helmerich & Payne, Inc. | 27,000 | 3,135 | ||||||
Noble Corp. plc | 88,000 | 2,953 | ||||||
Schlumberger Ltd. | 25,000 | 2,949 | ||||||
Suncor Energy, Inc. | 69,000 | 2,941 | ||||||
Valero Energy Corp. | 54,000 | 2,705 | ||||||
|
| |||||||
20,689 | ||||||||
|
| |||||||
Financials—18.0% | ||||||||
Aflac, Inc. | 47,000 | 2,926 | ||||||
BB&T Corp. | 76,000 | 2,997 | ||||||
BlackRock, Inc. | 9,200 | 2,940 | ||||||
Blackstone Group LP (The) | 91,000 | 3,043 | ||||||
Goldman Sachs Group, Inc. (The) | 16,000 | 2,679 | ||||||
JPMorgan Chase & Co. | 52,000 | 2,996 | ||||||
Lincoln National Corp. | 58,000 | 2,984 | ||||||
T. Rowe Price Group, Inc. | 35,000 | 2,954 | ||||||
US Bancorp | 70,000 | 3,033 | ||||||
|
| |||||||
26,552 | ||||||||
|
| |||||||
Health Care—8.1% | ||||||||
Abbott Laboratories | 75,000 | 3,067 | ||||||
Biogen Idec, Inc.(2) | 9,900 | 3,122 | ||||||
UnitedHealth Group, Inc. | 36,000 | 2,943 | ||||||
Zimmer Holdings, Inc. | 27,000 | 2,804 | ||||||
|
| |||||||
11,936 | ||||||||
|
| |||||||
Industrials—15.9% | ||||||||
Alaska Air Group, Inc. | 30,000 | 2,851 | ||||||
Cummins, Inc. | 19,000 | 2,932 | ||||||
Deere & Co. | 31,000 | 2,807 | ||||||
Dover Corp. | 34,000 | 3,092 | ||||||
L-3 Communications Holdings, Inc. | 24,000 | 2,898 | ||||||
Parker Hannifin Corp. | 24,000 | 3,018 | ||||||
Trinity Industries, Inc. | 68,000 | 2,973 | ||||||
Union Pacific Corp. | 30,000 | 2,992 | ||||||
|
| |||||||
23,563 | ||||||||
|
|
SHARES | VALUE | |||||||
Information Technology—19.7% | ||||||||
Apple, Inc. | 33,600 | $ | 3,122 | |||||
Cisco Systems, Inc. | 116,000 | 2,883 | ||||||
EMC Corp. | 106,000 | 2,792 | ||||||
Google, Inc. Class A(2) | 2,600 | 1,520 | ||||||
Google, Inc. Class C(2) | 2,600 | 1,496 | ||||||
Intel Corp. | 97,000 | 2,997 | ||||||
Jabil Circuit, Inc. | 147,000 | 3,072 | ||||||
MasterCard, Inc. Class A | 38,000 | 2,792 | ||||||
NetApp, Inc. | 79,000 | 2,885 | ||||||
Oracle Corp. | 69,000 | 2,797 | ||||||
QUALCOMM, Inc. | 36,000 | 2,851 | ||||||
|
| |||||||
29,207 | ||||||||
|
| |||||||
Materials—3.9% | ||||||||
CF Industries Holdings, Inc. | 11,200 | 2,694 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 85,000 | 3,103 | ||||||
|
| |||||||
5,797 | ||||||||
|
| |||||||
Telecommunication Services—1.9% | ||||||||
Verizon Communications, Inc. | 57,000 | 2,789 | ||||||
TOTAL COMMON STOCKS (Identified Cost $99,667) | 147,096 | |||||||
TOTAL LONG TERM INVESTMENTS—99.5% | ||||||||
(Identified Cost $99,667) | 147,096 | |||||||
SECURITIES LENDING COLLATERAL—2.0% | ||||||||
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)(4) | 2,886,730 | 2,887 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||
(Identified Cost $2,887) | 2,887 | |||||||
TOTAL INVESTMENTS—101.5% (Identified Cost $102,554) | 149,983 | (1) | ||||||
Other assets and liabilities, net—(1.5)% |
| (2,148 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 147,835 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
(3) | All or a portion of security is on loan. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | ||||
United States | 94 | % | ||
Canada | 2 | |||
Switzerland | 2 | |||
United Kingdom | 2 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2014 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 147,096 | $ | 147,096 | ||||
Securities Lending Collateral | 2,887 | 2,887 | ||||||
|
|
|
| |||||
Total Investments | $ | 149,983 | $ | 149,983 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
7
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
PREFERRED STOCK—9.4% | ||||||||
Financials—3.1% | ||||||||
Banco Bradesco S.A. Sponsored ADR 0.62% (Brazil) | 674,000 | $ | 9,787 | |||||
|
| |||||||
Information Technology—3.8% | ||||||||
Samsung Electronics Co., Ltd.1.36% (South Korea) | 11,400 | 11,943 | ||||||
|
| |||||||
Materials—2.5% | ||||||||
Vale S.A. ADR 6.53% (Brazil) | 673,100 | 8,010 | ||||||
TOTAL PREFERRED STOCK (Identified Cost $22,584) | 29,740 | |||||||
COMMON STOCKS—90.1% | ||||||||
Consumer Staples—14.7% | ||||||||
British American Tobacco plc (United Kingdom) | 240,000 | 14,285 | ||||||
Casino Guichard Perrachon S.A. (France) | 57,400 | 7,611 | ||||||
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR (Mexico) | 91,100 | 8,531 | ||||||
Japan Tobacco, Inc. (Japan) | 136,500 | 4,976 | ||||||
Nestle S.A. Registered Shares (Switzerland) | 143,200 | 11,094 | ||||||
|
| |||||||
46,497 | ||||||||
|
| |||||||
Energy—14.9% | ||||||||
ENI SpA (Italy) | 395,300 | 10,815 | ||||||
John Wood Group plc (United Kingdom) | 355,800 | 4,911 | ||||||
PetroChina Co., Ltd. Class H (China) | 4,194,000 | 5,297 | ||||||
Petroleo Brasileiro S.A. ADR (Brazil) | 340,200 | 5,321 | ||||||
Royal Dutch Shell plc B Shares (United Kingdom) | 234,900 | 10,221 | ||||||
Tenaris S.A. Sponsored ADR (Italy) | 224,500 | 10,585 | ||||||
|
| |||||||
47,150 | ||||||||
|
| |||||||
Financials—17.6% | ||||||||
AIA Group Ltd. (Hong Kong) | 1,340,000 | 6,734 | ||||||
City Developments Ltd. (Singapore) | 485,000 | 3,979 | ||||||
Daito Trust Construction Co., Ltd. (Japan) | 34,800 | 4,091 | ||||||
Experian plc (United Kingdom) | 269,000 | 4,548 | ||||||
HSBC Holdings plc (United Kingdom) | 622,900 | 6,321 | ||||||
Nordea Bank AB (Sweden) | 323,700 | 4,569 | ||||||
Oversea-Chinese Banking Corp., Ltd. (Singapore) | 757,330 | 5,800 | ||||||
Standard Chartered plc (United Kingdom) | 358,559 | 7,327 | ||||||
Swire Pacific Ltd. Class B (Hong Kong) | 1,405,000 | 3,238 | ||||||
Zurich Financial Services AG (Switzerland) | 30,900 | 9,314 | ||||||
|
| |||||||
55,921 | ||||||||
|
|
SHARES | VALUE | |||||||
Health Care—8.5% | ||||||||
Novartis AG Registered Shares (Switzerland) | 146,300 | $ | 13,247 | |||||
Roche Holding AG (Switzerland) | 46,300 | 13,810 | ||||||
|
| |||||||
27,057 | ||||||||
|
| |||||||
Industrials—11.6% | ||||||||
Atlas Copco AB Class A (Sweden) | 204,260 | 5,903 | ||||||
Canadian National Railway Co. (Canada) | 114,200 | 7,427 | ||||||
FANUC Corp. (Japan) | 38,700 | 6,674 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 55,600 | 3,298 | ||||||
Schindler Holding AG (Switzerland) | 23,600 | 3,587 | ||||||
Schneider Electric SA (France) | 37,400 | 3,521 | ||||||
Weir Group plc (The) (United Kingdom) | 141,600 | 6,347 | ||||||
|
| |||||||
36,757 | ||||||||
|
| |||||||
Information Technology—4.6% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 538,700 | 11,523 | ||||||
Telefonaktiebolaget LM Ericsson Class B (Sweden) | 266,400 | 3,219 | ||||||
|
| |||||||
14,742 | ||||||||
|
| |||||||
Materials—9.0% | ||||||||
BHP Billiton plc (United Kingdom) | 248,700 | 8,042 | ||||||
Linde AG (Germany) | 23,500 | 4,998 | ||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 176,500 | 6,712 | ||||||
Shin-Etsu Chemical Co., Ltd. (Japan) | 142,500 | 8,662 | ||||||
|
| |||||||
28,414 | ||||||||
|
| |||||||
Telecommunication Services—6.6% | ||||||||
MTN Group Ltd. (South Africa) | 241,600 | 5,088 | ||||||
Singapore Telecommunications Ltd. (Singapore) | 2,245,000 | 6,932 | ||||||
TELUS Corp. (Canada) | 108,200 | 4,033 | ||||||
Vodafone Group plc (United Kingdom) | 1,490,127 | 4,973 | ||||||
|
| |||||||
21,026 | ||||||||
|
| |||||||
Utilities—2.6% | ||||||||
Centrica plc (United Kingdom) | 837,100 | 4,479 | ||||||
GDF Suez (France) | 142,800 | 3,931 | ||||||
|
| |||||||
8,410 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $174,291) | 285,974 | |||||||
TOTAL LONG TERM INVESTMENTS—99.5% | ||||||||
(Identified Cost $196,875) | 315,714 |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—0.3% | ||||||||
Money Market Mutual Funds—0.3% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 949,385 | $ | 949 | |||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $949) | 949 | |||||||
TOTAL INVESTMENTS—99.8% (Identified Cost $197,824) | 316,663 | (1) | ||||||
Other assets and liabilities, net—0.2% |
| 577 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 317,240 | ||||||
|
|
Abbreviations:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
Country Weightings† | ||||
United Kingdom | 21 | % | ||
Switzerland | 16 | |||
Japan | 8 | |||
Brazil | 7 | |||
Italy | 7 | |||
Canada | 6 | |||
Singapore | 5 | |||
Other | 30 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2014 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 285,974 | $ | 285,974 | ||||
Preferred Stock | 29,740 | 29,740 | ||||||
Short-Term Investments | 949 | 949 | ||||||
|
|
|
| |||||
Total Investments | $ | 316,663 | $ | 316,663 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
8
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MUNICIPAL BONDS—1.4% | ||||||||
Alabama—0.2% | ||||||||
County of Jefferson, Sewer Revenue Sub-Lien Warrants, Series D | $ | 330 | $ | 361 | ||||
|
| |||||||
California—0.6% | ||||||||
Alameda Corridor Transportation Authority Taxable Series 99-C, | 875 | 988 | ||||||
|
| |||||||
Iowa—0.1% | ||||||||
State Finance Authority Midwestern Disaster Area, Iowa Fertilizer Co. LLC Project Taxable | 270 | 281 | ||||||
|
| |||||||
Michigan—0.1% | ||||||||
Tobacco Settlement Finance Authority Taxable Series 06-A, | 200 | 173 | ||||||
|
| |||||||
Texas—0.1% | ||||||||
City of Houston Airport System Revenue United Airline, Inc. Terminal | 100 | 102 | ||||||
|
| |||||||
Virginia—0.3% | ||||||||
Tobacco Settlement Financing Corp. Taxable Series 07-A1, | 665 | 494 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $2,404) | 2,399 | |||||||
FOREIGN GOVERNMENT SECURITIES—10.6% | ||||||||
Argentine Republic |
| |||||||
7.000%, 4/17/17 | 280 | 263 | ||||||
8.750%, 5/7/24 | 100 | 94 | ||||||
8.280%, 12/31/33 | 562 | 472 | ||||||
Bolivarian Republic of Venezuela | ||||||||
RegS 7.000%, 12/1/18(4) | 220 | 193 | ||||||
7.650%, 4/21/25 | 825 | 639 | ||||||
9.250%, 9/15/27 | 470 | 404 | ||||||
9.375%, 1/13/34 | 750 | 632 | ||||||
Commonwealth of Australia Series 130, 4.750%, 6/15/16 | 905 | AUD | 889 | |||||
Commonwealth of New Zealand Series 415, | 805 | NZD | 718 | |||||
Federative Republic of Brazil | 2,770 | BRL | 1,213 | |||||
Hungary | 168 | 186 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—continued | ||||||||
Kingdom of Morocco 144A | $ | 505 | $ | 506 | ||||
Mongolia 144A | 340 | 299 | ||||||
Provincia de Neuquen, Argentina 144A | 406 | 405 | ||||||
Republic of Chile | 231,500 | CLP | 437 | |||||
Republic of Colombia | ||||||||
12.000%, 10/22/15 | 309,000 | COP | 179 | |||||
Treasury Note, Series B, | 422,000 | COP | 268 | |||||
4.375%, 3/21/23 | 994,000 | COP | 485 | |||||
Republic of Costa Rica 144A | 540 | 508 | ||||||
Republic of Croatia 144A | 565 | 621 | ||||||
Republic of Iceland 144A | 570 | 629 | ||||||
Republic of Indonesia | ||||||||
Series FR30, | 8,333,000 | IDR | 745 | |||||
Series FR55, | 2,420,000 | IDR | 204 | |||||
Series FR63, | 2,221,000 | IDR | 157 | |||||
Republic of Iraq RegS | 250 | 227 | ||||||
Republic of Peru | ||||||||
GDN 144A | 530 | PEN | 217 | |||||
RegS 6.900%, 8/12/37(4) | 870 | PEN | 325 | |||||
Republic of Philippines | 11,000 | PHP | 269 | |||||
Republic of Slovak 144A | 515 | 549 | ||||||
Republic of South Africa | ||||||||
Series R203, | 2,375 | ZAR | 229 | |||||
Series R208, | 1,310 | ZAR | 115 | |||||
Republic of Sri Lanka 144A | 430 | 454 | ||||||
Republic of Uruguay | 10,261 | UYU(9) | 497 | |||||
Romania 144A | 530 | 564 | ||||||
Russian Federation | ||||||||
144A 7.850%, | 30,000 | RUB | 879 | |||||
144A 4.875%, | 800 | 826 | ||||||
United Mexican States | ||||||||
Series M, 6.000%, 6/18/15 | 12,065 | MXN | 955 | |||||
Series M, 6.500%, 6/9/22 | 15,755 | MXN | 1,291 | |||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||
(Identified Cost $18,738) | 18,543 | |||||||
MORTGAGE-BACKED SECURITIES—12.4% | ||||||||
Agency—0.2% | ||||||||
FHLMC 14-DN2, M2 | 350 | 353 | ||||||
|
|
PAR VALUE | VALUE | |||||||
Non-Agency—12.2% | ||||||||
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32(2)(3) | $ | 400 | $ | 415 | ||||
Banc of America Alternative Loan Trust 03-10, 2A1 | 60 | 65 | ||||||
Banc of America Funding 2005-1 Trust 05-1, | 239 | 248 | ||||||
Bank of America (Merrill Lynch-Countrywide) Alternative Loan Trust | 312 | 327 | ||||||
Bank of America (Merrill Lynch-Countrywide) Home Loan Mortgage Pass-Through-Trust 03-4, 1A15 | 258 | 266 | ||||||
Bank of America (Merrill Lynch-Countrywide) Mortgage Trust 06-C1, AM | 350 | 376 | ||||||
Bank of America (Merrill Lynch) Mortgage Investors Trust 98-C1, CTL | 465 | 532 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
04-1, 21A1 2.284%, 4/25/34(2) | 440 | 440 | ||||||
04-10, 12A3 | 520 | 521 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. 06-PW12, AM | 750 | 809 | ||||||
05-PW10, AM | 725 | 765 | ||||||
07-PW18, AM | 1,475 | 1,668 | ||||||
Citigroup Mortgage Loan Trust, Inc. 05-5, 2A3 5.000%, 8/25/35 | 232 | 234 | ||||||
Commercial Mortgage Trust 07-GG11, AM | 771 | 852 | ||||||
Credit Suisse Commercial Mortgage Trust | ||||||||
07-C1, A1A | 323 | 347 | ||||||
07-C2, A3 | 740 | 810 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. 04-AR8, 6A1 | 501 | 506 | ||||||
Goldman Sachs Mortgage Securities Corp. II | 577 | 638 | ||||||
GSR Mortgage Loan Trust 05-5F, 2A8 | 19 | 20 |
Refer to Footnote Legend on page 15.
See Notes to Financial Statements
9
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust 04-CB1, 5A | $ | 25 | $ | 25 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust | 100 | 116 | ||||||
06-LDP7, AM | 780 | 850 | ||||||
06-LDP9, A3 | 350 | 380 | ||||||
07-LDPX, AM | 450 | 479 | ||||||
JPMorgan Chase Mortgage Trust | 27 | 28 | ||||||
05-A4, 3A1 | 45 | 45 | ||||||
14-1, 1A1 144A | 713 | 734 | ||||||
Lehman Brothers-UBS Commercial Mortgage Trust 07-C7, A3 5.866%, 9/15/45(2) | 452 | 509 | ||||||
Lehman Brothers Commercial Mortgage Trust 07-C3, A4 6.090%, 7/15/44(2) | 400 | 444 | ||||||
MASTR Reperforming Loan Trust 05-1, 1A2 144A 6.500%, | 403 | 414 | ||||||
Morgan Stanley Capital I Trust 07-IQ14, AM | 360 | 383 | ||||||
Motel 6 Trust 12-MTL6 D 144A 3.781%, 10/5/25(3) | 550 | 558 | ||||||
New Residential Mortgage Loan Trust 14-1A, A 144A 3.750%, 1/25/54(2)(3) | 281 | 290 | ||||||
Nomura Asset Acceptance Corp. | 622 | 650 | ||||||
04-R3, A1 144A | 374 | 386 | ||||||
Residential Accredit Loans, Inc. 03-QS6, A4 | 37 | 38 | ||||||
Residential Asset Mortgage Products, Inc. | 43 | 44 | ||||||
05-SL2, A4 | 301 | 318 | ||||||
Residential Funding Mortgage Securities I, Inc. 05-S9, A9 5.500%, 12/25/35 | 528 | 526 | ||||||
06-S4, A2 | 35 | 33 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
SBA Tower Trust 144A | $ | 115 | $ | 118 | ||||
Sequoia Mortgage Trust | 310 | 321 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | 405 | 405 | ||||||
SunTrust Adjustable Rate Mortgage Loan Trust | 387 | 386 | ||||||
Wells Fargo (Wachovia Bank Commercial Mortgage Trust) | 670 | 721 | ||||||
07-C30, A5 | 970 | 1,058 | ||||||
07-C32, A3 | 775 | 848 | ||||||
Wells Fargo Mortgage Backed Securities Trust 06-17, A1 | 7 | 7 | ||||||
WinWater Mortgage Loan Trust 14-1, A1 144A 4.000%, | 385 | 398 | ||||||
|
| |||||||
21,351 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Identified Cost $20,285) | 21,704 | |||||||
ASSET-BACKED SECURITIES—3.7% | ||||||||
Ameriquest Mortgage Securities, Inc. 03-10, AF6 | 21 | 21 | ||||||
Bank of America (Merrill Lynch - Countrywide) Asset-Backed Certificates | ||||||||
05-1 AF5A | 588 | 571 | ||||||
05-12, 2A4 | 340 | 328 | ||||||
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43(3) | 540 | 554 | ||||||
CIT Group Home Equity Loan Trust 03-1, A5 | 300 | 302 | ||||||
Conseco Financial Corp. | ||||||||
94-1, A5 7.650%, 4/15/19 | 18 | 19 | ||||||
01-3, A4 6.910%, 5/1/33(2) | 661 | 733 | ||||||
Drug Royalty II LP | 525 | 525 | ||||||
Exeter Automobile Receivables Trust 14-1A, C 144A 3.570%, 7/15/19(3) | 340 | 350 | ||||||
Fairway Outdoor Funding LLC 12-1A, A2 144A | 620 | 629 | ||||||
GSAA Home Equity Trust | 388 | 395 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
LEAF Receivables Funding 9 LLC 13-1, E1 144A | $ | 398 | $ | 408 | ||||
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35(2)(3) | 381 | 385 | ||||||
Origen Manufactured Housing Contract Trust | 296 | 310 | ||||||
Residential Funding Mortgage Securities II Home Loan Trust 07-HI1, A3 | 218 | 224 | ||||||
Santander Drive Auto Receivables Trust 11-2, C 3.280%, 6/15/16 | 220 | 222 | ||||||
SVO VOI Mortgage Corp. 10-AA, A 144A | 38 | 39 | ||||||
Terwin Mortgage Trust 04-15AL, A1 144A | 251 | 244 | ||||||
U-Haul S Fleet LLC 10-BT1A, 1 144A | 281 | 293 | ||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $6,349) | 6,552 | |||||||
CORPORATE BONDS—55.4% | ||||||||
Consumer Discretionary—6.9% | ||||||||
Arcelik AS 144A | 200 | 193 | ||||||
Ashton Woods USA LLC (Ashton Woods Finance Co.) 144A | 405 | 406 | ||||||
Boyd Gaming Corp. | 260 | 288 | ||||||
Brookfield Residential Properties, Inc. 144A | 410 | 436 | ||||||
Caesars Entertainment Operating Co., Inc. | 270 | 227 | ||||||
Caesars Entertainment Resort Properties LLC 144A | 105 | 110 | ||||||
Caesars Growth Properties Holdings LLC 144A 9.375%, 5/1/22(3) | 230 | 234 | ||||||
Chrysler Group LLC | 425 | 482 | ||||||
Churchill Downs, Inc. 144A | 335 | 344 | ||||||
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18(3) | 90 | 87 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
Series B 7.625%, 3/15/20 | 440 | 477 | ||||||
Series A 7.625%, 3/15/20 | 250 | 269 |
Refer to Footnote Legend on page 15.
See Notes to Financial Statements
10
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
GLP Capital LP (GLP Financing II, Inc.) | ||||||||
144A 4.375%, | $ | 15 | $ | 16 | ||||
144A 4.875%, | 285 | 294 | ||||||
144A 5.375%, | 10 | 10 | ||||||
GRD Holdings III Corp. 144A | 320 | 360 | ||||||
Hot Topic, Inc. 144A | 190 | 212 | ||||||
Intelsat Jackson Holdings SA 5.500%, 8/1/23 | 285 | 284 | ||||||
International Game Technology | ||||||||
7.500%, 6/15/19 | 160 | 182 | ||||||
5.500%, 6/15/20 | 125 | 133 | ||||||
Isle of Capri Casinos, Inc. | 400 | 407 | ||||||
Kohl’s Corp. | 480 | 512 | ||||||
Landry’s, Inc. 144A | 300 | 332 | ||||||
Lear Corp. 5.375%, 3/15/24 | 255 | 263 | ||||||
Meritor, Inc. | 325 | 351 | ||||||
MGM Resorts International | 425 | 475 | ||||||
Mohegan Tribal Gaming Authority 9.750%, 9/1/21 | 325 | 362 | ||||||
Numericable Group SA 144A | 200 | 208 | ||||||
ONO Finance II plc 144A | 150 | 165 | ||||||
Penn National Gaming, Inc. 144A 5.875%, 11/1/21(3) | 220 | 208 | ||||||
Pinnacle Entertainment, Inc. 6.375%, 8/1/21 | 355 | 376 | ||||||
Seminole Hard Rock Entertainment, Inc. 144A 5.875%, | 405 | 408 | ||||||
Signet UK Finance plc | 460 | 468 | ||||||
Sirius XM Radio, Inc. 144A | 400 | 396 | ||||||
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21(3) | 440 | 452 | ||||||
Station Casinos LLC | 320 | 351 | ||||||
Taylor Morrison Communities, Inc. 144A 5.250%, | 490 | 500 | ||||||
Toll Brothers Finance Corp. 6.750%, 11/1/19 | 350 | 405 | ||||||
VTR Finance B.V. 144A | 345 | 371 | ||||||
|
| |||||||
12,054 | ||||||||
|
| |||||||
Consumer Staples—0.6% | ||||||||
Darling Escrow Corp. 144A 5.375%, | 345 | 359 | ||||||
Elizabeth Arden, Inc. | 175 | 186 | ||||||
Ingles Markets, Inc. | 295 | 300 |
PAR VALUE | VALUE | |||||||
Consumer Staples—continued | ||||||||
Smithfield Foods, Inc. 144A 5.875%, 8/1/21(3) | $ | 175 | $ | 186 | ||||
|
| |||||||
1,031 | ||||||||
|
| |||||||
Energy—8.3% | ||||||||
Atlas Energy Holdings Operating Co. LLC 144A | 130 | 135 | ||||||
Calumet Specialty Products Partners LP 144A | 390 | 400 | ||||||
CHC Helicopter SA | 293 | 320 | ||||||
Compagnie Generale de Geophysique-Veritas | 375 | 374 | ||||||
CONSOL Energy, Inc. 144A 5.875%, 4/15/22(3) | 225 | 236 | ||||||
Denbury Resources, Inc. | 345 | 353 | ||||||
Ecopetrol S.A. | 260 | 292 | ||||||
Endeavor Energy Resources LP 144A 7.000%, 8/15/21(3) | 100 | 107 | ||||||
Energy XXI Gulf Coast, Inc. 144A 6.875%, 3/15/24(3) | 455 | 465 | ||||||
EnQuest plc 144A | 345 | 357 | ||||||
EPL Oil & Gas, Inc. | 500 | 538 | ||||||
Forest Oil Corp. | 360 | 358 | ||||||
FTS International, Inc. 144A | 175 | 180 | ||||||
Gazprom Neft OAO (GPN Capital SA) 144A | 335 | 344 | ||||||
Gazprom OAO | ||||||||
144A 8.146%, | 505 | 580 | ||||||
144A 6.510%, | 520 | 563 | ||||||
Lukoil OAO International Finance BV 144A | 300 | 340 | ||||||
MEG Energy Corp. 144A | 180 | 199 | ||||||
Memorial Production Partners LP | 325 | 343 | ||||||
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19(3) | 185 | 186 | ||||||
Novatek OAO (Novatek Finance Ltd.) 144A | 540 | 502 | ||||||
Odebrecht Offshore Drilling Finance Ltd. 144A | 574 | 614 | ||||||
Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19(3) | 340 | 355 | ||||||
Parker Drilling Co. (The) | 365 | 396 | ||||||
Petrobras Global Finance BV 6.250%, 3/17/24 | 345 | 367 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Petrobras International Finance Co. | $ | 355 | $ | 370 | ||||
Petroleos de Venezuela SA | ||||||||
5.000%, 10/28/15 | 185 | 174 | ||||||
RegS 8.500%, | 1,365 | 1,268 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 1/21/21 | 350 | 393 | ||||||
144A 4.875%, | 145 | 156 | ||||||
5.500%, 6/27/44 | 200 | 208 | ||||||
PHI, Inc. 144A | 85 | 87 | ||||||
QGOG Constellation SA 144A 6.250%, | 400 | 406 | ||||||
Regency Energy Partners LP 5.875%, 3/1/22 | 170 | 185 | ||||||
Rosetta Resources, Inc. | 355 | 371 | ||||||
Sabine Pass Liquefaction LLC | 315 | 335 | ||||||
Targa Resources Partners LP 6.375%, 8/1/22 | 375 | 410 | ||||||
Tullow Oil plc 144A | 350 | 365 | ||||||
Venoco, Inc. | 185 | 181 | ||||||
Williams Cos., Inc. (The) | ||||||||
3.700%, 1/15/23 | 375 | 361 | ||||||
4.550%, 6/24/24 | 450 | 455 | ||||||
|
| |||||||
14,629 | ||||||||
|
| |||||||
Financials—21.7% | ||||||||
Air Lease Corp. | 405 | 437 | ||||||
Aircastle Ltd. | 355 | 367 | ||||||
Akbank TAS 144A | 530 | TRY | 232 | |||||
Allstate Corp. (The) | 625 | 671 | ||||||
ALROSA Finance S.A. 144A 7.750%, | 455 | 508 | ||||||
Apollo Management Holdings LP 144A 4.000%, | 440 | 443 | ||||||
Banco ABC Brasil S.A. 144A | 425 | 462 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, | 425 | 479 | ||||||
Banco Bradesco S.A. 144A 5.900%, | 600 | 632 | ||||||
Banco de Credito del Peru 144A 6.125%, | 520 | 554 | ||||||
Banco de Credito e Inversiones 144A | 390 | 388 | ||||||
Banco Inbursa SA Institucion de Banca Multiple 144A 4.125%, 6/6/24(3) | 200 | 195 | ||||||
Banco Internacional del Peru SAA | ||||||||
144A 5.750%, 10/7/20(3) | 500 | 538 | ||||||
144A 6.625%, | 155 | 165 |
Refer to Footnote Legend on page 15.
See Notes to Financial Statements
11
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Banco Santander Brasil SA 144A 8.000%, | 600 | BRL | $ | 259 | ||||
Banco Santander Chile | ||||||||
144A 3.750%, 9/22/15(3) | $ | 100 | 103 | |||||
144A 3.875%, 9/20/22(3) | 505 | 508 | ||||||
Banco Votorantim S.A. 144A 7.375%, 1/21/20(3) | 450 | 496 | ||||||
Bancolombia S.A. | 545 | 548 | ||||||
Bank of Baroda 144A 4.875%, 7/23/19(3) | 430 | 453 | ||||||
Bank of Georgia JSC 144A 7.750%, 7/5/17(3) | 290 | 313 | ||||||
Bank of India | ||||||||
144A 3.250%, 4/18/18(3) | 500 | 503 | ||||||
144A 3.625%, 9/21/18(3) | 250 | 252 | ||||||
Barclays Bank plc | ||||||||
144A 6.050%, | 435 | 493 | ||||||
144A | 600 | 645 | ||||||
Braskem Finance Ltd. 144A 5.750%, | 490 | 512 | ||||||
Brazil Loan Trust 1 144A 5.477%, 7/24/23(3) | 460 | 474 | ||||||
Caretrust Partnership LP 144A 5.875%, 6/1/21(3) | 285 | 289 | ||||||
Chubb Corp. (The) | 1,390 | 1,545 | ||||||
City National Corp. | 425 | 478 | ||||||
CorpGroup Banking S.A. 144A 6.750%, | 425 | 423 | ||||||
Credit Bank of Moscow 144A 7.700%, | 200 | 205 | ||||||
Development Bank of Kazakhstan OJSC 144A 4.125%, | 535 | 506 | ||||||
Eurasian Development Bank 144A 4.767%, 9/20/22(3) | 475 | 469 | ||||||
Evergrande Real Estate Group Ltd. 144A | 345 | 330 | ||||||
Excel Trust LP | 175 | 178 | ||||||
Fidelity National Financial, Inc. 5.500%, 9/1/22 | 130 | 142 | ||||||
First Cash Financial Services, Inc. 144A 6.750%, 4/1/21(3) | 200 | 214 | ||||||
First Niagara Financial Group, Inc. 6.750%, 3/19/20 | 610 | 705 | ||||||
General Motors Financial Co., Inc. 4.750%, 8/15/17 | 735 | 784 | ||||||
Genworth Holdings, Inc. 4.900%, 8/15/23 | 620 | 663 | ||||||
Glen Meadow Pass-Through Trust 144A | 450 | 448 | ||||||
HBOS plc 144A | 200 | 230 | ||||||
Huntington National Bank (The) 6.600%, 6/15/18 | 250 | 284 | ||||||
Hutchison Whampoa International Ltd. Series 12, 144A | 610 | 658 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) | $ | 30 | $ | 31 | ||||
6.000%, 8/1/20 | 175 | 188 | ||||||
5.875%, 2/1/22 | 355 | 372 | ||||||
ICICI Bank Ltd. 144A 4.800%, 5/22/19(3) | 435 | 460 | ||||||
iStar Financial, Inc. | 195 | 196 | ||||||
Itau Unibanco Holding S.A. 144A 5.125%, 5/13/23(3) | 560 | 558 | ||||||
Kazakhstan Temir Zholy Finance BV 144A | 410 | 449 | ||||||
Korea Finance Corp. | 400 | 439 | ||||||
Leucadia National Corp. 5.500%, 10/18/23 | 250 | 265 | ||||||
Level 3 Financing, Inc. 7.000%, 6/1/20 | 400 | 439 | ||||||
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 32 | ||||||
Lincoln National Corp. 6.050%, 4/20/67(2)(6) | 365 | 369 | ||||||
Lloyds TSB Bank plc 144A 6.500%, 9/14/20(3) | 600 | 704 | ||||||
Macquarie Bank Ltd. 144A 6.625%, 4/7/21(3) | 330 | 379 | ||||||
Magyar Fejlesztesi Bank Zrt. 144A 6.250%, | 300 | 334 | ||||||
Morgan Stanley | ||||||||
144A 10.090%, 5/3/17 | 1,250 | BRL | 559 | |||||
Series H, 5.450%(2)(5) | 350 | 357 | ||||||
MPT Operating Partnership LP 5.500%, 5/1/24 | 115 | 119 | ||||||
Nationstar Mortgage LLC | 275 | 276 | ||||||
Navient Corp. (SLM Corp.) | 420 | 416 | ||||||
Nordea Bank AB 144A | 600 | 621 | ||||||
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, | 360 | 357 | ||||||
PKO Finance AB 144A | 610 | 634 | ||||||
Progressive Corp. (The) | 750 | 834 | ||||||
Prudential Financial, Inc. | ||||||||
5.875%, 9/15/42(2) | 1,100 | 1,195 | ||||||
5.625%, 6/15/43(2)(6) | 190 | 203 | ||||||
Regency Energy Partners LP 4.500%, 11/1/23 | 385 | 383 | ||||||
Royal Bank of Scotland Group plc (The) | ||||||||
5.625%, 8/24/20 | 375 | 430 | ||||||
7.648%(2)(5)(6) | 450 | 547 | ||||||
Russian Agricultural Bank OJSC (RSHB Capital SA) | ||||||||
144A 6.299%, 5/15/17(3) | 715 | 754 | ||||||
144A 5.298%, 12/27/17(3) | 130 | 133 | ||||||
Sovereign Bank | 200 | 244 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
SunTrust Bank, Inc. | $ | 250 | $ | 281 | ||||
Telecom Italia Capital SA | 200 | 231 | ||||||
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22(3) | 705 | 709 | ||||||
UPCB Finance Ltd. Series VI 144A 6.875%, 1/15/22(3) | 260 | 285 | ||||||
Voya Financial, Inc. (NG (U.S.), Inc.) | 395 | 404 | ||||||
VTB Bank OJSC (VTB Capital SA) 144A | 700 | 738 | ||||||
Walter Investment Management Corp. 144A | 435 | 456 | ||||||
Willis Group Holdings plc | 440 | 494 | ||||||
WP Carey, Inc. | 345 | 358 | ||||||
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20(3) | 510 | 488 | ||||||
Zions Bancorporation | 170 | 175 | ||||||
|
| |||||||
38,077 | ||||||||
|
| |||||||
Health Care—1.6% | ||||||||
Acadia Healthcare Co., Inc. 144A 5.125%, 7/1/22(3) | 115 | 116 | ||||||
Catamaran Corp. | 235 | 238 | ||||||
Centene Corp. | 270 | 274 | ||||||
Community Health Systems, Inc. (CHS) | ||||||||
144A 5.125%, 8/1/21(3) | 100 | 103 | ||||||
144A 6.875%, 2/1/22(3) | 70 | 75 | ||||||
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22(3) | 265 | 263 | ||||||
HCA, Inc. 6.500%, 2/15/20 | 330 | 372 | ||||||
IASIS Healthcare LLC | 165 | 176 | ||||||
MPH Acquisition Holdings LLC 144A 6.625%, 4/1/22(3) | 245 | 257 | ||||||
Salix Pharmaceuticals Ltd. 144A 6.000%, 1/15/21(3) | 60 | 65 | ||||||
Select Medical Corp. 144A | 115 | 121 | ||||||
Tenet Healthcare Corp. | ||||||||
4.500%, 4/1/21 | 330 | 333 | ||||||
8.125%, 4/1/22 | 345 | 400 | ||||||
Valeant Pharmaceuticals International, Inc. Escrow Corp. 144A | 50 | 56 | ||||||
|
| |||||||
2,849 | ||||||||
|
| |||||||
Industrials—5.4% | ||||||||
AAR Corp. 7.250%, 1/15/22 | 365 | 401 | ||||||
ADT Corp.(The) | 435 | 462 |
Refer to Footnote Legend on page 15.
See Notes to Financial Statements
12
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Industrials—continued | ||||||||
Ahern Rentals, Inc. 144A | $ | 290 | $ | 321 | ||||
Air Canada | 425 | 463 | ||||||
Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21(3) | 219 | 227 | ||||||
Atlas Air Pass-Through-Trust 00-1, A 8.707%, 1/2/19 | 455 | 477 | ||||||
Bombardier, Inc. 144A 6.125%, 1/15/23(3) | 245 | 254 | ||||||
Carpenter Technology Corp. 5.200%, 7/15/21 | 425 | 457 | ||||||
Continental Airlines Pass-Through-Trust | ||||||||
98-, A 6.648%, 9/15/17 | 317 | 337 | ||||||
99-, A 6.545%, 2/2/19 | 729 | 808 | ||||||
00-1, A1 8.048%, 11/1/20 | 391 | 450 | ||||||
CPG Merger Sub LLC 144A 8.000%, | 105 | 111 | ||||||
Delta Air Lines Pass-Through-Trust 12-1A, 1A 4.750%, 5/7/20 | 448 | 487 | ||||||
DP World Ltd. 144A | 200 | 223 | ||||||
ESAL GmbH 144A | 410 | 404 | ||||||
KOC Holding AS 144A | 305 | 290 | ||||||
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21 | 380 | 411 | ||||||
Odebrecht Finance Ltd. 144A | 400 | BRL | 163 | |||||
Ply Gem Industries, Inc. 144A 6.500%, | 345 | 334 | ||||||
Rexel SA 144A | 395 | 413 | ||||||
Sappi Papier Holding GmbH 144A 8.375%, | 200 | 222 | ||||||
Spirit AeroSystems, Inc. 144A 5.250%, | 100 | 102 | ||||||
TransDigm, Inc. 144A | 355 | 365 | ||||||
UAL Pass-Through-Trust | ||||||||
09-2 9.750%, 1/15/17 | 180 | 206 | ||||||
07-01, A 6.636%, 7/2/22 | 928 | 1,025 | ||||||
|
| |||||||
9,413 | ||||||||
|
| |||||||
Information Technology—2.4% | ||||||||
Avaya, Inc. 144A | 735 | 739 | ||||||
Ceridian LLC (Comdata, Inc.) 144A 8.125%, 11/15/17(3) | 15 | 15 | ||||||
Equinix, Inc. 4.875%, 4/1/20 | 180 | 185 | ||||||
Fidelity National Financial, Inc. 6.600%, 5/15/17 | 600 | 676 | ||||||
First Data Corp. | ||||||||
144A 8.250%, | 230 | 253 | ||||||
11.750%, 8/15/21 | 935 | 1,113 | ||||||
PIK Interest Capitalization, 144A 8.750%, 1/15/22(3)(11) | 260 | 288 |
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21(3)(11) | $ | 130 | $ | 134 | ||||
Interactive Data Corp. 144A | 265 | 271 | ||||||
Sanmina Corp. 144A | 70 | 70 | ||||||
SunGard Availability Services Capital, Inc. 144A | 180 | 168 | ||||||
VeriSign, Inc. 4.625%, 5/1/23 | 290 | 288 | ||||||
|
| |||||||
4,200 | ||||||||
|
| |||||||
Materials—5.0% | ||||||||
Alpek SA de C.V. 144A | 625 | 650 | ||||||
Ardagh Packaging Finance plc | ||||||||
144A 6.250%, | 200 | 205 | ||||||
144A 6.750%, | 260 | 269 | ||||||
Beverage Packaging Holdings Luxembourg II SA 144A | 625 | 642 | ||||||
Cemex SAB de CV | ||||||||
144A 9.500%, | 395 | 454 | ||||||
144A 7.250%, | 275 | 303 | ||||||
Eldorado Gold Corp. 144A | 180 | 183 | ||||||
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, | 270 | 273 | ||||||
Gerdau Holdings, Inc. | ||||||||
144A 7.000%, | 375 | 424 | ||||||
144A 4.750%, | 200 | 198 | ||||||
Hexion U.S. Finance Corp. | ||||||||
8.875%, 2/1/18 | 230 | 240 | ||||||
6.625%, 4/15/20 | 225 | 240 | ||||||
INEOS Group Holdings SA 144A 5.875%, | 200 | 206 | ||||||
Inversiones CMPC S.A. 144A | 600 | 596 | ||||||
Nufarm Australia Ltd. 144A | 220 | 231 | ||||||
Rayonier AM Products, Inc. 144A 5.500%, | 220 | 224 | ||||||
Sappi Papier Holding GmbH 144A 6.625%, | 780 | 827 | ||||||
Severstal OAO (Steel Capital SA) 144A 6.700%, | 500 | 536 | ||||||
Tronox Finance LLC | 305 | 316 | ||||||
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20(3) | 400 | 388 | ||||||
United States Steel Corp. | 490 | 524 | ||||||
Vale Overseas Ltd. | 525 | 539 | ||||||
Vedanta Resources plc 144A | 345 | 399 | ||||||
|
| |||||||
8,867 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Telecommunication Services—2.3% | ||||||||
America Movil SAB de C.V. | 2,000 | MXN | $ | 153 | ||||
Bharti Airtel International Netherlands BV 144A | $ | 400 | 412 | |||||
CenturyLink, Inc. Series T | 350 | 366 | ||||||
Cincinnati Bell, Inc. | 375 | 413 | ||||||
Crown Castle Towers LLC | ||||||||
144A 3.214%, 8/15/15(3) | 50 | 51 | ||||||
144A 5.495%, 1/15/17(3) | 85 | 92 | ||||||
Digicel Group Ltd. 144A | 345 | 378 | ||||||
Koninklijke KPN NV 144A | 385 | 408 | ||||||
Sprint Corp. 144A 7.250%, 9/15/21(3) | 340 | 376 | ||||||
T-Mobile USA, Inc. | ||||||||
6.125%, 1/15/22 | 190 | 202 | ||||||
6.731%, 4/28/22 | 60 | 65 | ||||||
6.500%, 1/15/24 | 140 | 150 | ||||||
Wind Acquisition Finance SA 144A 4.750%, 7/15/20(3) | 220 | 222 | ||||||
Windstream Corp. 7.750%, 10/15/20 | 650 | 708 | ||||||
|
| |||||||
3,996 | ||||||||
|
| |||||||
Utilities—1.2% | ||||||||
Calpine Corp. | ||||||||
144A 7.500%, 2/15/21(3) | 214 | 232 | ||||||
144A 6.000%, 1/15/22(3) | 20 | 22 | ||||||
Electricite de France SA 144A | 635 | 648 | ||||||
FirstEnergy Transmission LLC 144A | 460 | 464 | ||||||
Israel Electric Corp. Ltd. 144A 5.625%, | 275 | 294 | ||||||
Majapahit Holding BV 144A 7.750%, 1/20/20(3) | 300 | 353 | ||||||
NRG Energy, Inc. | 55 | 60 | ||||||
Texas Competitive Electric Holdings Co., LLC Series A | 396 | 64 | ||||||
|
| |||||||
2,137 | ||||||||
TOTAL CORPORATE BONDS (Identified Cost $92,775) | 97,253 | |||||||
LOAN AGREEMENTS(2)—11.5% | ||||||||
Consumer Discretionary—2.5% | ||||||||
Affinity Gaming LLC 4.250%, 11/9/17 | 377 | 378 | ||||||
Bauer Performance Sports Ltd. 4.500%, 4/15/21 | 181 | 181 | ||||||
Brickman Group Holdings, Inc. Second Lien, | 166 | 169 |
Refer to Footnote Legend on page 15.
See Notes to Financial Statements
13
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Caesars Entertainment Operating Co., Inc. | $ | 272 | $ | 254 | ||||
Tranche B-7, | 19 | 19 | ||||||
Caesars Growth Partners Term B, First Lien 6.250%, 5/8/21 | 129 | 129 | ||||||
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20 | 202 | 210 | ||||||
Clear Channel Communications, Inc. Tranche D, 6.900%, 1/30/19 | 409 | 408 | ||||||
Cumulus Media Holdings, Inc. 4.250%, 12/23/20 | 118 | 118 | ||||||
Fitness International LLC Tranche B, | 318 | 317 | ||||||
Granite Broadcasting Corp. | 139 | 140 | ||||||
Landry’s, Inc. Tranche B, | 651 | 654 | ||||||
Liberty Cablevision of Puerto Rico LLC Second Lien, 0.000%, 6/26/23(8) | 26 | 26 | ||||||
Marina District Finance Co., Inc. 6.750%, 8/15/18 | 196 | 199 | ||||||
Peppermill Casinos, Inc. Tranche B, | 399 | 409 | ||||||
SEASAC, Inc. First Lien, 5.000%, 2/7/19 | 202 | 204 | ||||||
Shingle Springs Tribal Gaming Authority 6.250%, 8/29/19 | 226 | 234 | ||||||
Transtar Holding Co. Second Lien, | 197 | 196 | ||||||
TWCC Holding Corp. | 184 | 183 | ||||||
|
| |||||||
4,428 | ||||||||
|
| |||||||
Consumer Staples—0.5% | ||||||||
AdvancePierre Foods, Inc. | ||||||||
First Lien, 5.750%, 7/10/17 | 45 | 45 | ||||||
Second Lien, 9.500%, 10/10/17 | 330 | 321 | ||||||
New Hostess Brand Acquisition LLC Tranche B, 6.750%, 4/9/20 | 265 | 276 | ||||||
Shearer’s Foods 0.000%, 6/17/22(8) | 198 | 200 | ||||||
|
| |||||||
842 | ||||||||
|
| |||||||
Energy—1.0% | ||||||||
Chief Exploration & Development LLC | 257 | 264 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Fieldwood Energy LLC Second Lien, | $ | 341 | $ | 352 | ||||
Jonah Energy LLC Second Lien, 7.500%, 5/12/21 | 206 | 208 | ||||||
NGPL Pipeco LLC 6.750%, 9/15/17 | 297 | 298 | ||||||
Seadrill Operating LP (Seadrill Partners Finco LLC) Tranche B | 250 | 249 | ||||||
Templar Energy LLC Second Lien, | 345 | 343 | ||||||
|
| |||||||
1,714 | ||||||||
|
| |||||||
Financials—0.6% | ||||||||
Altisource Solutions S.A.R.L Tranche B, 4.500%, 12/9/20 | 457 | 458 | ||||||
Asurion LLC Second Lien, | 170 | 177 | ||||||
Capital Automotive LP Second Lien, | 35 | 36 | ||||||
Nuveen Investments, Inc. Tranche B, Second Lien, 6.500%, 2/28/19 | 395 | 399 | ||||||
|
| |||||||
1,070 | ||||||||
|
| |||||||
Health Care—1.3% | ||||||||
American Renal Holdings, Inc. Second Lien, 8.500%, 3/20/20 | 307 | 308 | ||||||
Ardent Medical Services, Inc. | ||||||||
First Lien, 6.750%, 7/2/18 | 119 | 120 | ||||||
Second Lien, | 101 | 102 | ||||||
Curo Health Services LLC | 54 | 53 | ||||||
Gentiva Health Services, Inc. Tranche B, | 341 | 342 | ||||||
INC Research LLC | 109 | 109 | ||||||
InVentiv Health, Inc. | 262 | 264 | ||||||
MMM Holdings, Inc. | 131 | 132 | ||||||
MSO of Puerto Rico, Inc. | 95 | 96 | ||||||
PharMEDium Healthcare Corp. Second Lien, | 67 | 68 | ||||||
Regional Care, Inc. 6.000%, 4/23/19 | 153 | 153 | ||||||
Sheridan Holdings, Inc. Second Lien, 8.250%, 12/20/21 | 238 | 244 | ||||||
Surgery Center Holdings, Inc. | ||||||||
First Lien, 6.000%, 4/11/19 | 103 | 103 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Second Lien, | $ | 196 | $ | 200 | ||||
|
| |||||||
2,294 | ||||||||
|
| |||||||
Industrials—1.9% | ||||||||
Alliance Laundry Systems LLC Second Lien, | 37 | 38 | ||||||
American Airlines, Inc. Tranche B, | 416 | 417 | ||||||
AWAS Finance Luxembourg SA 3.500%, 7/16/18 | 437 | 438 | ||||||
Brock Holdings Ill, Inc. Second Lien, | 265 | 268 | ||||||
Ceridian Corp. | 550 | 552 | ||||||
CHG Healthcare Services, Inc. Second Lien, | 107 | 109 | ||||||
Commercial Barge Line Co. First Lien, 7.500%, 9/22/19 | 291 | 293 | ||||||
Filtration Group Corp. Second Lien, 8.250%, 11/22/21 | 260 | 267 | ||||||
Harland Clarke Holdings Corp. | ||||||||
Tranche B-3, | 156 | 159 | ||||||
Tranche B-4, | 67 | 68 | ||||||
International Equipment Solutions Global B.V. 6.750%, 8/16/19 | 181 | 184 | ||||||
Landmark Aviation 0.000%, 10/25/20(8) | 265 | 268 | ||||||
Navistar, Inc. Tranche B, | 281 | 287 | ||||||
|
| |||||||
3,348 | ||||||||
|
| |||||||
Information Technology—2.9% | ||||||||
Active Network, Inc. (Lanyon Solutions, Inc. First Lien, 5.500%, 11/13/20 | 227 | 226 | ||||||
Alcatel-Lucent USA, Inc. | 620 | 621 | ||||||
Allflex Holdings III, Inc. Second Lien, | 200 | 202 | ||||||
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22 | 17 | 17 | ||||||
Avago Technologies | 337 | 338 | ||||||
Blue Coat Systems, Inc. Second Lien, | 339 | 345 | ||||||
Deltek, Inc. | ||||||||
First Lien, | 394 | 397 | ||||||
Second Lien, | 236 | 242 |
Refer to Footnote Legend on page 15.
See Notes to Financial Statements
14
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
Excelitas Technologies Corp. Tranche B, | $ | 261 | $ | 264 | ||||
IPC Systems, Inc. First Lien, | 239 | 240 | ||||||
Kronos, Inc. | ||||||||
First Lien, | 3 | 3 | ||||||
Second Lien, 9.750%, 4/30/20 | 293 | 306 | ||||||
Novell, Inc. (Attachmate Corp.) First Lien, | 192 | 194 | ||||||
RP Crown Parent LLC | ||||||||
First Lien, | 288 | 288 | ||||||
Second Lien, | 175 | 177 | ||||||
SkillSoft Corp. 7.750%, 4/28/22 | 189 | 188 | ||||||
SRA International, Inc. 6.500%, 7/20/18 | 309 | 310 | ||||||
Sungard Availability Services Capital, Inc. Tranche B, 6.000%, 3/29/19 | 180 | 179 | ||||||
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16 | 334 | 334 | ||||||
Wall Street Systems, Inc. 4.500%, 4/30/21 | 155 | 156 | ||||||
|
| |||||||
5,027 | ||||||||
|
| |||||||
Materials—0.3% | ||||||||
Fortescue Metals Group Ltd. (FMG Resources Ltd.) 3.750%, 6/28/19 | 273 | 274 | ||||||
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20 | 310 | 318 | ||||||
|
| |||||||
592 | ||||||||
|
| |||||||
Telecommunication Services—0.2% | ||||||||
Integra Telecom Holdings, Inc. Tranche B, | 218 | 220 | ||||||
Securus Technologies Holdings, Inc. Second Lien, 9.000%, 4/30/21 | 200 | 203 | ||||||
|
| |||||||
423 | ||||||||
|
| |||||||
Utilities—0.3% | ||||||||
Atlantic Power LP 4.750%, 2/24/21 | 76 | 77 | ||||||
ExGen Renewables I LLC 5.250%, 2/6/21 | 89 | 91 | ||||||
Texas Competitive Electric Holdings Co. LLC 2017 Extended, 4.625%, 10/10/17(13) | 470 | 386 | ||||||
|
| |||||||
554 | ||||||||
TOTAL LOAN AGREEMENTS | ||||||||
(Identified Cost $19,993) | 20,292 |
SHARES | VALUE | |||||||
PREFERRED STOCK—3.7% | ||||||||
Energy—0.2% | ||||||||
PTT Exploration & Production PCL 144A | 440 | (10) | $ | 443 | ||||
Financials—3.2% | ||||||||
Ally Financial, Inc. | 20,000 | 552 | ||||||
Series G, 144A, 7.000% | 439 | 440 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%(2) | 380 | (10) | 396 | |||||
Banco do Brasil S.A. 144A, | 200 | (10) | 223 | |||||
Citigroup, Inc. | 15,800 | 437 | ||||||
General Electric Capital Corp. Series B, | 300 | (10) | 334 | |||||
Series C, | 400 | (10) | 405 | |||||
Goldman Sachs Group, Inc. (The) Series L, | 440 | (10) | 455 | |||||
JPMorgan Chase & Co. Series V, | 595 | (10) | 591 | |||||
PNC Financial Services Group, Inc. (The) | 405 | (10) | 389 | |||||
Saul Centers, Inc. | 171 | 5 | ||||||
U.S. Bancorp | 14,600 | 400 | ||||||
Wells Fargo & Co. | 440 | (10) | 500 | |||||
Zions Bancorp, 6.950%(2) | 17,215 | 456 | ||||||
|
| |||||||
5,583 | ||||||||
|
| |||||||
Industrials—0.3% | ||||||||
Seaspan Corp. | 20,000 | 554 | ||||||
TOTAL PREFERRED STOCK | ||||||||
(Identified Cost $5,948) | 6,580 | |||||||
COMMON STOCKS—0.0% | ||||||||
Consumer Discretionary—0.0% | ||||||||
Mark IV Industries | 828 | 37 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $7) | 37 | |||||||
TOTAL LONG TERM INVESTMENTS—98.7% | ||||||||
(Identified Cost $166,499) | 173,360 | (14) |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—1.3% | ||||||||
Money Market Mutual Funds—1.3% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 2,224,875 | $ | 2,225 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $2,225) | 2,225 | |||||||
TOTAL INVESTMENTS—100.0% | ||||||||
(Identified Cost $168,724) | 175,585 | (1) | ||||||
Other assets and liabilities, net—0.0% |
| 35 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 175,620 | ||||||
|
|
Abbreviations:
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”) |
NATL | National Public Finance Guarantee Corp. |
PIK | Payment-in-Kind Security |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $67,129 or 38.2% of net assets. |
(4) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. |
(5) | No contractual maturity date. |
(6) | Interest payments may be deferred. |
(7) | This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(8) | This loan will settle after June 30, 2014, at which time the interest rate based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(9) | Principal amount is adjusted daily pursuant to the change in the Consumer Price Index. |
(10) | Value shown as par value. |
(11) | 100% of the income received was in cash. |
(12) | Security in default, a portion of the interest payments are being received during the bankruptcy proceedings. |
(13) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(14) | All or a portion of Series portfolio has been segregated for delayed delivery security. |
See Notes to Financial Statements
15
Table of Contents
VIRTUS MULTI-SECTOR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
Foreign Currencies:
AUD | Australian Dollar |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PHP | Philippines Peso |
RUB | Russian Ruble |
TRY | Turkish Lira |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Country Weightings† | ||||
United States | 62 | % | ||
Luxembourg | 4 | |||
Brazil | 3 | |||
Mexico | 3 | |||
United Kingdom | 3 | |||
Venezuela | 2 | |||
Ireland | 1 | |||
Other | 22 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2014 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | Level 2 – Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 6,552 | $ | — | $ | 6,552 | $ | — | ||||||||
Corporate Bonds and Notes | 97,253 | — | 97,253 | — | ||||||||||||
Foreign Government Securities | 18,543 | — | 18,543 | — | ||||||||||||
Loan Agreements | 20,292 | — | 20,292 | — | ||||||||||||
Mortgage-Backed Securities | 21,704 | — | 21,704 | — | ||||||||||||
Municipal Bonds | 2,399 | — | 2,399 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 37 | — | — | 37 | ||||||||||||
Preferred Stocks | 6,580 | 2,404 | 4,176 | — | ||||||||||||
Short-Term Investments | 2,225 | 2,225 | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 175,585 | $ | 4,629 | $ | 170,919 | $ | 37 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 for this period.
Investments in Securities | Asset-Backed Securities | Common Stocks | ||||||||||
Beginning Balance December 31, 2013: | $ | 505 | $ | 474 | $ | 31 | ||||||
Accrued Discount/(Premium) | — | (c) | — | (c) | — | |||||||
Realized Gain (Loss) | 9 | 9 | — | |||||||||
Change in Unrealized Appreciation (Depreciation) | 8 | 2 | 6 | |||||||||
Purchases | — | — | — | |||||||||
(Sales)(b) | (485 | ) | (485 | ) | — | |||||||
Transfers into Level 3(a) | — | — | — | |||||||||
Transfers from Level 3(a) | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Ending Balance June 30, 2014 | $ | 37 | $ | 0 | $ | 37 | ||||||
|
|
|
|
|
|
(a) | “Transfers into and/or from” represent the ending value as of June 30, 2014, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
(b) | Includes paydowns on securities. |
(c) | Amount is less than $500. |
See Notes to Financial Statements
16
Table of Contents
VIRTUS PREMIUM ALPHASECTOR® SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
EXCHANGE-TRADED FUNDS—99.8% | ||||||||
Consumer Staples Select Sector SPDR Fund | 87,930 | $ | 3,923 | |||||
Energy Select Sector SPDR Fund | 39,360 | 3,940 | ||||||
Financial Select Sector SPDR Fund | 174,130 | 3,960 | ||||||
Health Care Select Sector SPDR Fund | 65,535 | 3,987 | ||||||
Industrial Select Sector SPDR Fund | 72,270 | 3,907 | ||||||
Materials Select Sector SPDR Fund | 80,040 | 3,973 | ||||||
Technology Select Sector SPDR Fund | 104,390 | 4,003 | ||||||
Utilities Select Sector SPDR Fund | 91,470 | 4,048 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Identified Cost $28,748) | 31,741 | |||||||
TOTAL LONG TERM INVESTMENTS—99.8% | ||||||||
(Identified Cost $28,748) | 31,741 | |||||||
TOTAL INVESTMENTS—99.8% | ||||||||
(Identified Cost $28,748) | 31,741 | (1) | ||||||
Other assets and liabilities, net—0.2% |
| 49 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 31,790 | ||||||
|
|
Abbreviations:
SPDR | S&P Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Exchange-traded Funds | $ | 31,741 | $ | 31,741 | ||||
|
|
|
| |||||
Total Investments | $ | 31,741 | $ | 31,741 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
17
Table of Contents
VIRTUS REAL ESTATE SECURITIES SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.4% | ||||||||
Real Estate Investment Trusts—98.4% | ||||||||
Health Care—5.6% | ||||||||
HCP, Inc. | 74,446 | $ | 3,080 | |||||
Ventas, Inc. | 40,666 | 2,607 | ||||||
|
| |||||||
5,687 | ||||||||
|
| |||||||
Industrial/Office—27.4% | ||||||||
Industrial—9.7% | ||||||||
DCT Industrial Trust, Inc. | 471,119 | 3,868 | ||||||
Eastgroup Properties, Inc. | 2,621 | 169 | ||||||
Prologis, Inc. | 142,571 | 5,858 | ||||||
|
| |||||||
9,895 | ||||||||
|
| |||||||
Mixed—5.3% | ||||||||
Duke Realty Corp. | 129,200 | 2,346 | ||||||
Liberty Property Trust | 80,001 | 3,035 | ||||||
|
| |||||||
5,381 | ||||||||
|
| |||||||
Office—12.4% | ||||||||
Boston Properties, Inc. | 32,714 | 3,866 | ||||||
Douglas Emmett, Inc. | 83,873 | 2,367 | ||||||
Highwoods Properties, Inc. | 12,947 | 543 | ||||||
Kilroy Realty Corp. | 69,280 | 4,315 | ||||||
SL Green Realty Corp. | 13,925 | 1,523 | ||||||
|
| |||||||
12,614 | ||||||||
|
| |||||||
Total Industrial/Office | 27,890 | |||||||
|
| |||||||
Lodging/Resorts—7.2% | ||||||||
Host Hotels & Resorts, Inc. | 120,761 | 2,658 | ||||||
LaSalle Hotel Properties | 54,178 | 1,912 | ||||||
Pebblebrook Hotel Trust | 75,105 | 2,776 | ||||||
|
| |||||||
7,346 | ||||||||
|
| |||||||
Residential—19.3% | ||||||||
Apartments—18.5% | ||||||||
American Campus Communities, Inc. | 54,187 | 2,072 | ||||||
AvalonBay Communities, Inc. | 26,779 | 3,808 | ||||||
Camden Property Trust | 43,200 | 3,073 | ||||||
Equity Residential | 79,954 | 5,037 | ||||||
Essex Property Trust, Inc. | 26,121 | 4,830 | ||||||
|
| |||||||
18,820 | ||||||||
|
| |||||||
Manufactured Homes—0.8% | ||||||||
Equity Lifestyle Properties, Inc. | 18,067 | 798 | ||||||
|
| |||||||
Total Residential | 19,618 | |||||||
|
| |||||||
Retail—29.0% | ||||||||
Regional Malls—20.3% | ||||||||
General Growth Properties, Inc. | 209,621 | 4,939 | ||||||
Macerich Co. (The) | 66,597 | 4,445 | ||||||
Simon Property Group, Inc. | 63,176 | 10,505 | ||||||
Washington Prime Group, Inc.(2) | 38,288 | 717 | ||||||
|
| |||||||
20,606 | ||||||||
|
|
SHARES | VALUE | |||||||
Shopping Centers—8.7% | ||||||||
Brixmor Property Group, Inc. | 37,352 | $ | 857 | |||||
DDR Corp. | 148,454 | 2,617 | ||||||
Kimco Realty Corp. | 94,384 | 2,169 | ||||||
Tanger Factory Outlet Centers | 90,400 | 3,162 | ||||||
|
| |||||||
8,805 | ||||||||
|
| |||||||
Total Retail | 29,411 | |||||||
|
| |||||||
Self Storage—9.9% | ||||||||
Extra Space Storage, Inc. | 66,255 | 3,528 | ||||||
Public Storage | 38,427 | 6,585 | ||||||
|
| |||||||
10,113 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $53,830) | 100,065 | |||||||
TOTAL LONG TERM INVESTMENTS—98.4% | ||||||||
(Identified Cost $53,830) | 100,065 | |||||||
SHORT-TERM INVESTMENTS—1.4% | ||||||||
Money Market Mutual Funds—1.4% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 1,432,182 | 1,432 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,432) | 1,432 | |||||||
TOTAL INVESTMENTS—99.8% (Identified Cost $55,262) | 101,497 | (1) | ||||||
Other assets and liabilities, net—0.2% |
| 176 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 101,673 | ||||||
|
|
Footnote Legend
(1) | Federal Income Tax Information : For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 100,065 | $ | 100,065 | ||||
Short-term Investments | 1,432 | 1,432 | ||||||
|
|
|
| |||||
Total Investments | $ | 101,497 | $ | 101,497 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
18
Table of Contents
VIRTUS SMALL-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.9% | ||||||||
Consumer Discretionary—16.5% | ||||||||
Aaron’s, Inc. | 36,400 | $ | 1,297 | |||||
Hibbett Sports, Inc.(2) | 50,800 | 2,752 | ||||||
HomeAway, Inc.(2) | 37,000 | 1,289 | ||||||
Monro Muffler Brake, Inc. | 27,000 | 1,436 | ||||||
Morningstar, Inc. | 32,600 | 2,341 | ||||||
Pool Corp. | 23,900 | 1,352 | ||||||
|
| |||||||
10,467 | ||||||||
|
| |||||||
Consumer Staples—8.5% | ||||||||
Chefs’ Warehouse, Inc. (The)(2) | 192,000 | 3,796 | ||||||
PriceSmart, Inc. | 18,100 | 1,575 | ||||||
|
| |||||||
5,371 | ||||||||
|
| |||||||
Financials—8.6% | ||||||||
Cohen & Steers, Inc. | 27,900 | 1,210 | ||||||
Financial Engines, Inc. | 53,400 | 2,418 | ||||||
MarketAxess Holdings, Inc. | 33,000 | 1,784 | ||||||
|
| |||||||
5,412 | ||||||||
|
| |||||||
Health Care—15.1% | ||||||||
Abaxis, Inc. | 66,200 | 2,933 | ||||||
National Research Corp.(2) | 132,504 | 1,854 | ||||||
Sirona Dental Systems, Inc.(2) | 35,700 | 2,944 | ||||||
Techne Corp. | 19,900 | 1,842 | ||||||
|
| |||||||
9,573 | ||||||||
|
| |||||||
Industrials—14.2% | ||||||||
AAON, Inc. | 32,900 | 1,103 | ||||||
Copart, Inc.(2) | 64,200 | 2,309 | ||||||
Heartland Express, Inc. | 41,500 | 886 | ||||||
HEICO Corp. Class A | 34,905 | 1,417 | ||||||
HUB Group, Inc. Class A(2) | 43,600 | 2,197 | ||||||
Omega Flex, Inc. | 53,300 | 1,046 | ||||||
|
| |||||||
8,958 | ||||||||
|
| |||||||
Information Technology—32.5% | ||||||||
ANSYS, Inc.(2) | 27,000 | 2,047 | ||||||
Ellie Mae, Inc.(2) | 72,000 | 2,241 | ||||||
FactSet Research Systems, Inc. | 19,400 | 2,334 | ||||||
FLIR Systems, Inc. | 44,600 | 1,549 | ||||||
Forrester Research, Inc. | 58,800 | 2,227 | ||||||
Hittite Microwave Corp. | 43,900 | 3,422 | ||||||
MercadoLibre, Inc. | 29,150 | 2,781 | ||||||
Mesa Laboratories, Inc. | 7,035 | 591 | ||||||
NVE Corp.(2) | 49,400 | 2,746 | ||||||
Shutterstock, Inc.(2) | 7,500 | 622 | ||||||
|
| |||||||
20,560 | ||||||||
|
| |||||||
Materials—3.5% | ||||||||
UFP Technologies, Inc.(2) | 90,800 | 2,187 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $44,288) | 62,528 | |||||||
TOTAL LONG TERM INVESTMENTS—98.9% | ||||||||
(Identified Cost $44,288) | 62,528 |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—2.0% | ||||||||
Money Market Mutual Funds—2.0% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 1,260,865 | $ | 1,261 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $1,261) | 1,261 | |||||||
TOTAL INVESTMENTS—100.9% | ||||||||
(Identified Cost $45,549) | 63,789 | (1) | ||||||
Other assets and liabilities, net—(0.9)% |
| (560 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 63,229 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 62,528 | $ | 62,528 | ||||
Short-term Investments | 1,261 | 1,261 | ||||||
|
|
|
| |||||
Total Investments | $ | 63,789 | $ | 63,789 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
19
Table of Contents
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—97.2% | ||||||||
Consumer Discretionary—10.5% | ||||||||
Cheesecake Factory, Inc. (The) | 37,400 | $ | 1,736 | |||||
Cinemark Holdings, Inc. | 120,000 | 4,243 | ||||||
Interval Leisure Group, Inc. | 191,000 | 4,191 | ||||||
Wolverine World Wide, Inc. | 84,600 | 2,205 | ||||||
|
| |||||||
12,375 | ||||||||
|
| |||||||
Consumer Staples—8.5% | ||||||||
National Beverage Corp.(2) | 194,700 | 3,684 | ||||||
Village Super Market, Inc. | 36,000 | 851 | ||||||
WD-40 Co. | 73,000 | 5,491 | ||||||
|
| |||||||
10,026 | ||||||||
|
| |||||||
Energy—5.3% | ||||||||
CARBO Ceramics, Inc. | 40,400 | 6,226 | ||||||
|
| |||||||
Financials—18.5% | ||||||||
Bank of Hawaii Corp. | 29,000 | 1,702 | ||||||
Eaton Vance Corp. | 121,600 | 4,595 | ||||||
First Cash Financial Services, Inc.(2) | 86,520 | 4,983 | ||||||
Primerica, Inc. | 42,700 | 2,043 | ||||||
RLI Corp. | 113,200 | 5,182 | ||||||
Westamerica Bancorp | 62,200 | 3,252 | ||||||
|
| |||||||
21,757 | ||||||||
|
| |||||||
Health Care—5.8% | ||||||||
Owens & Minor, Inc. | 92,300 | 3,136 | ||||||
Patterson Cos., Inc. | 95,000 | 3,754 | ||||||
|
| |||||||
6,890 | ||||||||
|
| |||||||
Industrials—18.1% | ||||||||
CLARCOR, Inc. | 60,200 | 3,723 | ||||||
Corporate Executive Board Co. (The) | 73,100 | 4,987 | ||||||
Graco, Inc. | 70,700 | 5,520 | ||||||
Landstar System, Inc. | 85,900 | 5,498 | ||||||
Sun Hydraulics Corp. | 40,000 | 1,624 | ||||||
|
| |||||||
21,352 | ||||||||
|
| |||||||
Information Technology—25.1% | ||||||||
American Software, Inc. Class A | 165,763 | 1,635 | ||||||
Badger Meter, Inc. | 70,783 | 3,727 | ||||||
Cabot Microelectronics Corp.(2) | 82,000 | 3,661 | ||||||
Cass Information Systems, Inc. | 91,895 | 4,547 | ||||||
Cognex Corp.(2) | 70,500 | 2,707 | ||||||
Computer Services, Inc. | 59,274 | 2,024 | ||||||
Jack Henry & Associates, Inc. | 80,900 | 4,808 | ||||||
Monotype Imaging Holdings, Inc. | 63,733 | 1,797 | ||||||
Syntel Co.(2) | 54,500 | 4,685 | ||||||
|
| |||||||
29,591 | ||||||||
|
| |||||||
Materials—1.7% | ||||||||
Balchem Corp. | 37,400 | 2,003 | ||||||
|
|
SHARES | VALUE | |||||||
Utilities—3.7% | ||||||||
Questar Corp. | 175,000 | $ | 4,340 | |||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $82,543) | 114,560 | |||||||
TOTAL LONG TERM INVESTMENTS—97.2% | ||||||||
(Identified Cost $82,543) | 114,560 | |||||||
SHORT-TERM INVESTMENTS—2.6% | ||||||||
Money Market Mutual Funds—2.6% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 3,010,333 | 3,010 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $3,010) | 3,010 | |||||||
TOTAL INVESTMENTS—99.8% | ||||||||
(Identified Cost $85,553) | 117,570 | (1) | ||||||
Other assets and liabilities, net—0.2% |
| 251 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 117,821 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 114,560 | $ | 114,560 | ||||
Short-term Investments | 3,010 | 3,010 | ||||||
|
|
|
| |||||
Total Investments | $ | 117,570 | $ | 117,570 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
20
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—0.9% | ||||||||
U.S. Treasury Bond 3.125%, 11/15/41 | $ | 640 | $ | 619 | ||||
U.S. Treasury Note | ||||||||
0.625%, 11/30/17 | 215 | 212 | ||||||
1.750%, 5/15/23 | 400 | 378 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $1,204) | 1,209 | |||||||
MUNICIPAL BONDS—1.9% | ||||||||
Alabama—0.1% | ||||||||
County of Jefferson, Sewer Revenue Sub-Lien Warrants, Series D 6.000%, 10/1/42 | 105 | 115 | ||||||
|
| |||||||
California—0.5% | ||||||||
Alameda Corridor Transportation Authority Taxable Series 99 – C, (NATL Insured) 6.600%, 10/1/29 | 250 | 282 | ||||||
Kern County Pension Obligation Taxable (NATL-RE Insured) 7.260%, 8/15/14 | 125 | 125 | ||||||
San Diego County Regional Airport Authority Rental Car Center Project Series B – Taxable 5.594%, 7/1/43 | 275 | 295 | ||||||
|
| |||||||
702 | ||||||||
|
| |||||||
Florida—0.1% | ||||||||
Miami-Dade County Educational Facilities Authority Taxable Series C 5.480%, 4/1/16 | 105 | 111 | ||||||
|
| |||||||
Iowa—0.0% | ||||||||
State Finance Authority Midwestern Disaster Area, Iowa Fertilizer Co. LLC Project Taxable 5.500%, 12/1/22 | 70 | 73 | ||||||
|
| |||||||
Kentucky—0.1% | ||||||||
Commonwealth of Kentucky Taxable 3.165%, 4/1/18 | 91 | 94 | ||||||
|
| |||||||
Pennsylvania—1.0% | ||||||||
City of Pittsburgh Pension Obligation Taxable Series C (NATL- RE, FGIC Insured) 6.500%, 3/1/17 | 1,250 | 1,416 | ||||||
|
| |||||||
Virginia—0.1% | ||||||||
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46 | 215 | 160 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $2,462) | 2,671 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—1.3% | ||||||||
Bolivarian Republic of Venezuela | ||||||||
9.250%, 9/15/27 | $ | 45 | $ | 39 | ||||
9.375%, 1/13/34 | 65 | 55 | ||||||
Commonwealth of Australia Series 130, 4.750%, 6/15/16 | 115 | AUD | 113 | |||||
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15 | 120 | NZD | 107 | |||||
Hungary 5.750%, 11/22/23 | 42 | 47 | ||||||
Republic of Chile 5.500%, 8/5/20 | 52,000 | CLP | 98 | |||||
Republic of Iceland 144A 5.875%, 5/11/22(4) | 135 | 149 | ||||||
Republic of Indonesia Series FR30, | 1,127,000 | IDR | 101 | |||||
Republic of Latvia RegS 2.750%, 1/12/20(5) | 200 | 198 | ||||||
Republic of Peru RegS 6.900%, 8/12/37(5) | 120 | PEN | 45 | |||||
Republic of Poland 4.000%, 1/22/24 | 90 | 94 | ||||||
Republic of Slovak 144A 4.375%, 5/21/22(4) | 200 | 213 | ||||||
Russian Federation | ||||||||
144A 7.850%, 3/10/18(4) | 5,000 | RUB | 146 | |||||
144A 4.875%, 9/16/23(4) | 200 | 206 | ||||||
United Mexican States | ||||||||
Series M, 6.000%, 6/18/15 | 575 | MXN | 46 | |||||
Series M, 6.500%, 6/9/22 | 890 | MXN | 73 | |||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,722) | 1,730 | |||||||
MORTGAGE-BACKED SECURITIES—13.8% | ||||||||
Agency—4.6% | ||||||||
FHLMC 14-DN2, M2 1.800%, 4/25/24(3) | 250 | 252 | ||||||
FNMA | ||||||||
4.000%, 6/1/20 | 42 | 45 | ||||||
4.500%, 7/1/20 | 5 | 5 | ||||||
3.000%, 2/1/27 | 207 | 215 | ||||||
2.500%, 5/1/28 | 928 | 944 | ||||||
6.500%, 10/1/31 | 6 | 7 | ||||||
6.000%, 9/1/32 | 14 | 15 | ||||||
5.000%, 10/1/35 | 68 | 76 | ||||||
6.000%, 9/1/36 | 10 | 12 | ||||||
5.500%, 4/1/37 | 23 | 25 | ||||||
5.500%, 7/1/37 | 64 | 71 | ||||||
6.000%, 10/1/37 | 29 | 33 | ||||||
5.000%, 6/1/38 | 52 | 57 | ||||||
5.500%, 6/1/38 | 13 | 15 | ||||||
5.500%, 6/1/38 | 14 | 16 | ||||||
5.500%, 11/1/38 | 38 | 42 | ||||||
4.000%, 1/1/39 | 85 | 90 | ||||||
5.000%, 1/1/39 | 21 | 24 | ||||||
6.000%, 1/1/39 | 36 | 40 | ||||||
4.500%, 3/1/39 | 37 | 40 | ||||||
5.000%, 3/1/39 | 31 | 35 | ||||||
6.000%, 3/1/39 | 27 | 31 | ||||||
4.500%, 4/1/39 | 164 | 179 |
PAR VALUE | VALUE | |||||||
Agency—continued | ||||||||
4.000%, 5/1/39 | $ | 176 | $ | 187 | ||||
4.500%, 2/1/40 | 111 | 121 | ||||||
4.000%, 10/1/40 | 268 | 284 | ||||||
3.500%, 2/1/41 | 571 | 588 | ||||||
4.500%, 4/1/41 | 601 | 650 | ||||||
4.000%, 7/1/41 | 137 | 146 | ||||||
3.500%, 1/1/42 | 175 | 180 | ||||||
3.500%, 4/1/42 | 439 | 452 | ||||||
3.000%, 11/1/42 | 222 | 220 | ||||||
3.000%, 6/1/43 | 379 | 376 | ||||||
3.000%, 7/1/43 | 259 | 256 | ||||||
GNMA | ||||||||
6.500%, 11/15/23 | 43 | 50 | ||||||
6.500%, 12/15/23 | 1 | 1 | ||||||
6.500%, 2/15/24 | 37 | 42 | ||||||
6.500%, 6/15/28 | 80 | 91 | ||||||
6.500%, 7/15/31 | 25 | 29 | ||||||
6.500%, 11/15/31 | 21 | 24 | ||||||
6.500%, 2/15/32 | 48 | 55 | ||||||
6.500%, 4/15/32 | 35 | 40 | ||||||
GNMA 12-147, AK 2.586%, 4/16/54 | 263 | 272 | ||||||
|
| |||||||
6,333 | ||||||||
|
| |||||||
Non-Agency—9.2% | ||||||||
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32(3)(4) | 300 | 311 | ||||||
Banc of America Alternative Loan Trust 03-2, CB3 5.750%, 4/25/33 | 120 | 124 | ||||||
Banc of America Commercial Mortgage Trust 07-2, A4 | 120 | 132 | ||||||
Bank of America (Merrill Lynch—Countrywide) Home Loan Mortgage Pass-Through-Trust 03-4, 1A15 5.500%, 4/25/33 | 81 | 84 | ||||||
Bank of America (Merrill Lynch—Countrywide) Mortgage Trust 06-C1, AM 5.862%, 5/12/39(3) | 195 | 209 | ||||||
Bank of America (Merrill Lynch) Mortgage Investors Trust 98-C1, CTL 6.750%, 11/15/26(3) | 125 | 143 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
04-1, 21A1 | 127 | 127 | ||||||
04-10, 12A3 | 144 | 145 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
06-T22, AM | 80 | 86 | ||||||
06-PW12, A4 | 670 | 721 | ||||||
07- PW17, A4 | 425 | 473 | ||||||
07-PW18, AM | 550 | 622 |
Refer to Footnote Legend on page 26.
See Notes to Financial Statements
21
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Citigroup—Deutsche Bank Commercial Mortgage Trust 06-CD2, A4 5.480%, 1/15/46(3) | $ | 590 | $ | 623 | ||||
Citigroup Commercial Mortgage Trust | ||||||||
07-C6, A1A | 270 | 299 | ||||||
07-6, A4 | 120 | 133 | ||||||
08-C7, AM | 95 | 107 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
04-UST1, A3 | 152 | 153 | ||||||
04-MCL2, 2CB2 | 100 | 110 | ||||||
14-A, A 144A 4.000%, 1/25/35(3)(4) | 161 | 167 | ||||||
Credit Suisse Commercial Mortgage Trust 07-C1, A1A 5.361%, 2/15/40 | 122 | 131 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. 04-AR8, 6A1 2.479%, 9/25/34(3) | 81 | 82 | ||||||
Extended Stay America Trust 13-ESH7, A27 144A 2.958%, 12/5/31(4) | 300 | 304 | ||||||
GMAC Mortgage Corp. Loan Trust 04-AR1, 12A | 91 | 93 | ||||||
Goldman Sachs Mortgage Securities Corp. II 07-GG10, A4 5.997%, 8/10/45(3) | 331 | 367 | ||||||
JPMorgan Mortgage Trust 14-2, 2A2 144A | 115 | 119 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | ||||||||
03-AR6, A1 | 111 | 112 | ||||||
03-AR4, 2A1 | 166 | 166 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
10-CNTR, A1 144A | 222 | 232 | ||||||
10-CNTR, A2 144A | 300 | 328 | ||||||
06-LDP7, AM | 125 | 136 | ||||||
06-LDP9, A3 | 237 | 257 | ||||||
07-LD12, A4 | 425 | 471 | ||||||
JPMorgan Chase Mortgage Trust 14-1, 1A1 144A 4.000%, 1/25/44(3)(4) | 260 | 268 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Leaf II Receivables Funding LLC 13-1, C 144A | $ | 150 | $ | 151 | ||||
Lehman Brothers—UBS Commercial Mortgage Trust | ||||||||
06-C3, AM | 130 | 139 | ||||||
06-C6, A4 5.372%, 9/15/39 | 325 | 352 | ||||||
07-C6, A4 | 231 | 248 | ||||||
MASTR Alternative Loan Trust 03-8, 2A1 | 228 | 239 | ||||||
MASTR Asset Securitization Trust 04-6, 4A1 | 121 | 125 | ||||||
Morgan Stanley Capital I Trust |
| |||||||
06-IQ12, A4 | 509 | 548 | ||||||
07-IQ14, A4 | 240 | 265 | ||||||
07-IQ14, AM | 130 | 138 | ||||||
Motel 6 Trust 12-MTL6 D 144A 3.781%, 10/5/25(4) | 155 | 157 | ||||||
New Residential Mortgage Loan Trust 14-1A, A 144A 3.750%, 1/25/54(3)(4) | 103 | 107 | ||||||
Nomura Asset Acceptance Corp. 04-R3, A1 144A 6.500%, 2/25/35(4) | 133 | 137 | ||||||
Residential Asset Mortgage Products, Inc. 05-SL2, A4 7.500%, 2/25/32 | 90 | 95 | ||||||
Residential Asset Securitization Trust 13-LT2, A 144A 2.833%, 5/22/28(4) | 57 | 57 | ||||||
SBA Tower Trust 144A 4.254%, 4/15/15(4) | 225 | 231 | ||||||
Sequoia Mortgage Trust 12-3, A1 144A | 199 | 206 | ||||||
Springleaf Mortgage Loan Trust 12-3A, A 144A 1.570%, 12/25/59(3)(4) | 271 | 271 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 04-1, 6A 2.437%, 2/25/34(3) | 168 | 166 | ||||||
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 3.868%, 1/25/37(3) | 99 | 99 | ||||||
Wells Fargo (Wachovia Bank Commercial Mortgage Trust) | ||||||||
07-C30, A5 | 285 | 311 | ||||||
07-C30, AM | 160 | 174 | ||||||
07-C31, A4 | 250 | 271 | ||||||
07-C33, A5 | 140 | 156 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
WinWater Mortgage Loan Trust 14-1, A1 144A 4.000%, 6/27/44(4) | $ | 120 | $ | 124 | ||||
|
| |||||||
12,602 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $17,862) | 18,935 | |||||||
ASSET-BACKED SECURITIES—1.9% | ||||||||
AmeriCredit Automobile Receivables Trust |
| |||||||
12-4, D 2.680%, 10/9/18 | 140 | 144 | ||||||
13-2, D 2.420%, 5/8/19 | 275 | 278 | ||||||
Bayview Financial Mortgage-Pass-Through Trust 06-A, 1A2 5.483%, 2/28/41(3) | 88 | 89 | ||||||
Beacon Container Finance LLC 12-1A, A 144A 3.720%, 9/20/27(4) | 227 | 232 | ||||||
BXG Receivables Note Trust 12-A, A 144A | 95 | 94 | ||||||
CIT Group Home Equity Loan Trust 03-1, A5 | 250 | 252 | ||||||
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42(4) | 217 | 234 | ||||||
Exeter Automobile Receivables Trust 14-1A, B 144A 2.420%, 1/15/19(4) | 135 | 136 | ||||||
Fairway Outdoor Funding LLC 12-1A, A2 144A | 81 | 82 | ||||||
GSAA Home Equity Trust 05-12, AF3W | 105 | 107 | ||||||
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28 | 134 | 135 | ||||||
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35(3)(4) | 120 | 122 | ||||||
Orange Lake Timeshare Trust 12-AA, B 144A | 74 | 76 | ||||||
Origen Manufactured Housing Contract Trust 04-B, M1 | 81 | 84 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
11-2, C 3.280%, 6/15/16 | 100 | 101 | ||||||
10-B, C 144A | 39 | 39 | ||||||
Structured Asset Securities Corp. 01-SB1, A2 | 116 | 115 | ||||||
Terwin Mortgage Trust 04-15AL, A1 144A | 63 | 62 |
Refer to Footnote Legend on page 26.
See Notes to Financial Statements
22
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
Trip Rail Master Funding LLC 11-1A, A1A 144A | $ | 169 | $ | 179 | ||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $2,503) | 2,561 | |||||||
CORPORATE BONDS—18.3% | ||||||||
Consumer Discretionary—1.6% | ||||||||
Chrysler Group LLC | 200 | 227 | ||||||
GLP Capital LP (GLP Financing II, Inc.) | 5 | 5 | ||||||
144A 4.875%, 11/1/20(4) | 90 | 93 | ||||||
144A 5.375%, 11/1/23(4) | 5 | 5 | ||||||
Hyatt Hotels Corp. | 115 | 112 | ||||||
International Game Technology 7.500%, 6/15/19 | 150 | 170 | ||||||
Kohl’s Corp. | 160 | 171 | ||||||
Numericable Group SA 144A 6.000%, 5/15/22(4) | 200 | 208 | ||||||
Penn National Gaming, Inc. 144A 5.875%, 11/1/21(4) | 50 | 47 | ||||||
Pinnacle Entertainment, Inc. 6.375%, 8/1/21 | 80 | 85 | ||||||
QVC, Inc. 5.125%, 7/2/22 | 135 | 144 | ||||||
Seminole Hard Rock Entertainment, Inc. 144A 5.875%, 5/15/21(4) | 90 | 91 | ||||||
Sinclair Television Group, Inc. 5.375%, 4/1/21 | 110 | 111 | ||||||
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20(4) | 115 | 114 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 200 | 191 | ||||||
Taylor Morrison Communities, Inc. 144A 5.250%, 4/15/21(4) | 110 | 112 | ||||||
Time Warner Cable, Inc. 6.750%, 7/1/18 | 185 | 219 | ||||||
Wyndham Worldwide Corp. 5.625%, 3/1/21 | 125 | 140 | ||||||
|
| |||||||
2,245 | ||||||||
|
| |||||||
Consumer Staples—0.6% | ||||||||
Altria Group, Inc. | 140 | 134 | ||||||
Flowers Foods, Inc. | 120 | 126 | ||||||
Reynolds American, Inc. 3.250%, 11/1/22 | 150 | 145 | ||||||
Smithfield Foods, Inc. 144A 5.875%, 8/1/21(4) | 50 | 53 | ||||||
Tate & Lyle International Finance plc 144A | 275 | 303 | ||||||
|
| |||||||
761 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Energy—1.7% | ||||||||
Calumet Specialty Products Partners LP 144A | $ | 95 | $ | 97 | ||||
CHC Helicopter SA | 90 | 99 | ||||||
Denbury Resources, Inc. 5.500%, 5/1/22 | 80 | 82 | ||||||
Ecopetrol S.A. | 65 | 73 | ||||||
Frontier Oil Corp. | 45 | 47 | ||||||
Gazprom Neft OAO (GPN Capital SA) 144A 6.000%, 11/27/23(4)(11) | 200 | 205 | ||||||
Lukoil OAO International Finance BV 144A | 175 | 199 | ||||||
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19(4) | 45 | 45 | ||||||
Pacific Rubiales Energy Corp. 144A | 100 | 105 | ||||||
Petrobras Global Finance BV 6.250%, 3/17/24 | 135 | 144 | ||||||
Petrobras International Finance Co. | 100 | 104 | ||||||
Petroleos de Venezuela SA RegS 8.500%, 11/2/17(5) | 35 | 33 | ||||||
Petroleos Mexicanos | ||||||||
144A 4.875%, 1/18/24(4) | 45 | 48 | ||||||
5.500%, 6/27/44 | 150 | 156 | ||||||
PHI, Inc. 144A | 35 | 36 | ||||||
QEP Resources, Inc. | 105 | 118 | ||||||
QGOG Constellation SA 144A 6.250%, 11/9/19(4) | 200 | 203 | ||||||
Rowan Cos., Inc. | 140 | 150 | ||||||
Targa Resources Partners LP 6.375%, 8/1/22 | 98 | 107 | ||||||
Weatherford International Ltd. 9.625%, 3/1/19 | 45 | 59 | ||||||
Williams Cos., Inc. (The) 3.700%, 1/15/23 | 100 | 96 | ||||||
Williams Partners LP 3.900%, 1/15/25 | 145 | 146 | ||||||
|
| |||||||
2,352 | ||||||||
|
| |||||||
Financials—9.0% | ||||||||
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14(4) | 150 | 151 | ||||||
Air Lease Corp. | 80 | 86 | ||||||
Aircastle Ltd. | 55 | 57 | ||||||
Allstate Corp. (The) | 135 | 145 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
American International Group, Inc. | ||||||||
2.375%, 8/24/15 | $ | 85 | $ | 87 | ||||
3.375%, 8/15/20 | 55 | 57 | ||||||
Apollo Management Holdings LP 144A 4.000%, 5/30/24(4) | 135 | 136 | ||||||
Associated Banc Corp. 5.125%, 3/28/16 | 85 | 91 | ||||||
Avis Budget Car Rental LLC 5.500%, 4/1/23 | 105 | 108 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21(4) | 150 | 169 | ||||||
Banco Bradesco S.A. 144A 5.900%, 1/16/21(4) | 150 | 158 | ||||||
Banco de Credito del Peru 144A 4.250%, 4/1/23(4) | 164 | 164 | ||||||
Banco de Credito e Inversiones 144A | 200 | 199 | ||||||
Banco do Brasil S.A. 144A | 150 | 153 | ||||||
Banco Internacional del Peru SAA 144A | 115 | 122 | ||||||
Banco Santander Brasil SA 144A 4.500%, 4/6/15(4) | 100 | 102 | ||||||
Banco Santander Chile 144A | 100 | 103 | ||||||
Banco Votorantim S.A. 144A | 130 | 143 | ||||||
Bancolombia S.A. | 150 | 151 | ||||||
Bank of America Corp. 5.650%, 5/1/18 | 400 | 453 | ||||||
Bank of New York Mellon Corp. (The) | 100 | 101 | ||||||
Barclays Bank plc 144A 5.926%(3)(4)(6)(7) | 100 | 108 | ||||||
Brazil Loan Trust 1 144A | 150 | 155 | ||||||
Capital One Financial Corp. | 125 | 138 | ||||||
Carlyle Holdings Finance LLC 144A | 135 | 138 | ||||||
City National Corp. | 100 | 113 | ||||||
CNOOC Finance 2013 Ltd. | 200 | 189 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA NY 2.250%, 1/14/19 | 250 | 253 | ||||||
Corporate Office Properties LP 3.700%, 6/15/21 | 90 | 90 | ||||||
3.600%, 5/15/23 | 150 | 143 | ||||||
Excel Trust LP | 55 | 56 | ||||||
Fidelity National Financial, Inc. 5.500%, 9/1/22 | 40 | 44 | ||||||
Fifth Third Bancorp | 150 | 164 |
Refer to Footnote Legend on page 26.
See Notes to Financial Statements
23
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
First Niagara Financial Group, Inc. | $ | 125 | $ | 144 | ||||
Ford Motor Credit Co. LLC | 75 | 87 | ||||||
General Electric Capital Corp. 5.625%, 5/1/18 | 235 | 269 | ||||||
Genworth Holdings, Inc. | 135 | 144 | ||||||
Glen Meadow Pass-Through Trust 144A | 135 | 134 | ||||||
Goldman Sachs Group, Inc. (The) 5.950%, 1/18/18 | 165 | 188 | ||||||
HCP, Inc. | 60 | 64 | ||||||
5.375%, 2/1/21 | 60 | 68 | ||||||
Health Care REIT, Inc. 4.700%, 9/15/17 | 150 | 164 | ||||||
Healthcare Trust of America Holdings LP | 50 | 50 | ||||||
Highwoods Realty LP 3.625%, 1/15/23 | 135 | 133 | ||||||
HSBC USA, Inc. | 135 | 135 | ||||||
Huntington Bancshares, Inc. | 95 | 115 | ||||||
Hutchison Whampoa International Ltd. | 160 | 173 | ||||||
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) | 10 | 10 | ||||||
6.000%, 8/1/20 | 55 | 59 | ||||||
5.875%, 2/1/22 | 115 | 120 | ||||||
iStar Financial, Inc. | 45 | 45 | ||||||
Jefferies Group LLC | 150 | 175 | ||||||
JPMorgan Chase & Co. | ||||||||
5.250%, 5/1/15 | 250 | 260 | ||||||
6.125%, 6/27/17 | 270 | 305 | ||||||
KeyCorp 5.100%, 3/24/21 | 165 | 187 | ||||||
Kimco Realty Corp. | 150 | 180 | ||||||
Korea Finance Corp. | 200 | 220 | ||||||
Lazard Group LLC | 135 | 141 | ||||||
Legg Mason, Inc. | 130 | 150 | ||||||
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23(4) | 135 | 140 | ||||||
Lincoln National Corp. | 50 | 51 | ||||||
Lloyds TSB Bank plc 144A | 150 | 176 | ||||||
Macquarie Bank Ltd. 144A | 100 | 115 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Morgan Stanley | $ | 120 | $ | 133 | ||||
4.100%, 5/22/23 | 80 | 81 | ||||||
Series H, | 85 | 87 | ||||||
National Retail Properties, Inc. 5.500%, 7/15/21 | 150 | 171 | ||||||
Nationstar Mortgage LLC | 135 | 136 | ||||||
Navient Corp. (SLM Corp.) | 130 | 129 | ||||||
Nordea Bank AB 144A | 200 | 207 | ||||||
ORIX Corp. | 86 | 91 | ||||||
Penske Truck Leasing Co. LP (PTL Finance Corp.) 144A 2.875%, 7/17/18(4) | 65 | 67 | ||||||
PKO Finance AB 144A | 200 | 208 | ||||||
Progressive Corp. (The) | 160 | 178 | ||||||
Prudential Financial, Inc. | ||||||||
5.875%, 9/15/42(3) | 140 | 152 | ||||||
5.625%, 6/15/43(3)(6) | 60 | 64 | ||||||
Royal Bank of Scotland Group plc (The) | 150 | 172 | ||||||
Sabra Health Care LP 5.500%, 2/1/21 | 40 | 42 | ||||||
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15(4) | 145 | 147 | ||||||
Senior Housing Properties Trust 4.300%, 1/15/16 | 125 | 130 | ||||||
SunTrust Bank Atlanta GA 2.750%, 5/1/23 | 200 | 192 | ||||||
Swedbank AB 144A | 200 | 200 | ||||||
Unum Group | 125 | 142 | ||||||
Ventas Realty LP (Ventas Capital Corp.) | 155 | 153 | ||||||
Voya Financial, Inc. | ||||||||
( f.k.a. ING (U.S.), Inc.) | 110 | 126 | ||||||
5.650%, 5/15/53(3) | 110 | 113 | ||||||
Wells Fargo & Co. | 115 | 114 | ||||||
Willis Group Holdings plc | 125 | 140 | ||||||
WP Carey, Inc. | 105 | 109 | ||||||
XL Group plc Series E, | 100 | 99 | ||||||
Zions Bancorporation | 40 | 41 | ||||||
|
| |||||||
12,353 | ||||||||
|
| |||||||
Health Care—0.9% | ||||||||
Cardinal Health, Inc. | 70 | 69 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Carefusion Corp. | $ | 135 | $ | 130 | ||||
Catamaran Corp. | 70 | 71 | ||||||
Community Health Systems, Inc. (CHS) | 30 | 31 | ||||||
144A 6.875%, 2/1/22(4) | 15 | 16 | ||||||
Endo Finance LLC (Endo Finco, Inc.) 144A 5.375%, 1/15/23(4) | 85 | 85 | ||||||
Express Scripts Holding Co. 3.900%, 2/15/22 | 140 | 146 | ||||||
Forest Laboratories, Inc. 144A 4.875%, 2/15/21(4) | 80 | 88 | ||||||
HCA, Inc. 6.500%, 2/15/20 | 105 | 118 | ||||||
Mylan, Inc. 144A | 150 | 144 | ||||||
Tenet Healthcare Corp. 4.500%, 4/1/21 | 105 | 106 | ||||||
Valeant Pharmaceuticals International, Inc. Escrow Corp. | ||||||||
144A 6.750%, 8/15/18(4) | 45 | 49 | ||||||
144A 7.500%, 7/15/21(4) | 15 | 17 | ||||||
144A 5.625%, 12/1/21(4) | 25 | 26 | ||||||
Zoetis, Inc. 3.250%, 2/1/23 | 70 | 69 | ||||||
|
| |||||||
1,165 | ||||||||
|
| |||||||
Industrials—1.5% | ||||||||
AAR Corp. 7.250%, 1/15/22 | 80 | 88 | ||||||
ADT Corp.(The) 6.250%, 10/15/21 | 110 | 117 | ||||||
Atlas Air Pass-Through-Trust 00-1, A | 79 | 83 | ||||||
Bombardier, Inc. 144A | 75 | 78 | ||||||
British Airways plc 144A | 60 | 64 | ||||||
Carpenter Technology Corp. | 150 | 161 | ||||||
Continental Airlines Pass-Through-Trust | ||||||||
98-, A 6.648%, 9/15/17 | 146 | 155 | ||||||
99-, A 6.545%, 2/2/19 | 171 | 190 | ||||||
01-1, A1 6.703%, 6/15/21 | 171 | 186 | ||||||
Deluxe Corp. | ||||||||
7.000%, 3/15/19 | 60 | 64 | ||||||
6.000%, 11/15/20 | 40 | 42 | ||||||
KOC Holding AS 144A 3.500%, 4/24/20(4) | 200 | 190 | ||||||
Norfolk Southern Corp. | 140 | 136 | ||||||
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21 | 122 | 132 | ||||||
Spirit AeroSystems, Inc. 144A 5.250%, 3/15/22(4) | 25 | 25 | ||||||
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22 | 242 | 268 |
Refer to Footnote Legend on page 26.
See Notes to Financial Statements
24
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Industrials—continued | ||||||||
Virgin Australia Trust 13-1A 144A 5.000%, 10/23/23(4) | $ | 129 | $ | 138 | ||||
|
| |||||||
2,117 | ||||||||
|
| |||||||
Information Technology—0.3% | ||||||||
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22 | 135 | 138 | ||||||
Fidelity National Financial, Inc. 6.600%, 5/15/17 | 175 | 197 | ||||||
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21(4)(13) | 30 | 31 | ||||||
Sanmina Corp. 144A 4.375%, 6/1/19(4) | 20 | 20 | ||||||
|
| |||||||
386 | ||||||||
|
| |||||||
Materials—1.5% | ||||||||
Corp Nacional del Cobre de Chile 144A | 100 | 104 | ||||||
CRH America, Inc. | ||||||||
6.000%, 9/30/16 | 255 | 283 | ||||||
8.125%, 7/15/18 | 150 | 184 | ||||||
Gerdau Holdings, Inc. 144A | 100 | 113 | ||||||
Hexion U.S. Finance Corp. | ||||||||
8.875%, 2/1/18 | 65 | 68 | ||||||
6.625%, 4/15/20 | 80 | 85 | ||||||
NewMarket Corp. 4.100%, 12/15/22 | 142 | 142 | ||||||
Nufarm Australia Ltd. 144A | 70 | 74 | ||||||
PTT Global Chemical plc 144A 4.250%, 9/19/22(4) | 200 | 202 | ||||||
Rayonier AM Products, Inc. 144A 5.500%, 6/1/24(4) | 70 | 71 | ||||||
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21(4) | 230 | 244 | ||||||
Severstal OAO (Steel Capital SA) 144A | 100 | 107 | ||||||
Tronox Finance LLC | 55 | 57 | ||||||
Vale Overseas Ltd. | 130 | 133 | ||||||
Vedanta Resources plc 144A | 100 | 116 | ||||||
|
| |||||||
1,983 | ||||||||
|
| |||||||
Telecommunication Services—0.4% | ||||||||
CenturyLink, Inc. Series V | 65 | 69 | ||||||
Crown Castle Towers LLC 144A 4.883%, 8/15/20(4) | 250 | 276 | ||||||
T-Mobile USA, Inc. 6.731%, 4/28/22 | 30 | 32 | ||||||
Verizon Communications, Inc. 2.550%, 6/17/19 | 100 | 102 | ||||||
Windstream Corp. 7.750%, 10/15/20 | 80 | 87 | ||||||
|
| |||||||
566 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Utilities—0.8% | ||||||||
Electricite de France SA 144A 5.250%(3)(4)(6)(7) | $ | 170 | $ | 173 | ||||
Energy Transfer Partners LP 4.150%, 10/1/20 | 130 | 138 | ||||||
Entergy Mississippi, Inc. | 175 | 174 | ||||||
Kansas City Power & Light Co. 3.150%, 3/15/23 | 110 | 110 | ||||||
NRG Energy, Inc. 6.625%, 3/15/23 | 10 | 11 | ||||||
United Energy Distribution Holdings Property Ltd. 144A 5.450%, 4/15/16(4)(8) | 500 | 520 | ||||||
|
| |||||||
1,126 | ||||||||
TOTAL CORPORATE BONDS | ||||||||
(Identified Cost $23,909) | 25,054 | |||||||
LOAN AGREEMENTS(3)—1.1% | ||||||||
Consumer Discretionary—0.3% | ||||||||
Bauer Performance Sports Ltd. 4.500%, 4/15/21 | 43 | 43 | ||||||
Landry’s, Inc. Tranche B, | 102 | 103 | ||||||
PVH Corp. Tranche B | 79 | 79 | ||||||
Seminole Hard Rock Entertainment, Inc. Tranche B, 3.500%, 5/14/20 | 45 | 45 | ||||||
SRAM Corp. 0.000%, 4/10/20(10) | 26 | 25 | ||||||
TI Group Auto Systems LLC | 46 | 47 | ||||||
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20 | 32 | 32 | ||||||
|
| |||||||
374 | ||||||||
|
| |||||||
Energy—0.1% | ||||||||
NGPL Pipeco LLC 6.750%, 9/15/17 | 69 | 69 | ||||||
Seadrill Operating LP (Seadrill Partners Finco LLC) Tranche B 0.000%, 2/21/21(10) | 52 | 52 | ||||||
|
| |||||||
121 | ||||||||
|
| |||||||
Financials—0.2% | ||||||||
Altisource Solutions S.A.R.L Tranche B, | 104 | 104 | ||||||
Walter Investment Management Corp. Tranche B 4.750%, 12/18/20 | 119 | 118 | ||||||
|
| |||||||
222 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Health Care—0.0% | ||||||||
Community Health Systems, Inc. (CHS) Tranche D, 4.250%, 1/27/21 | $ | 10 | $ | 10 | ||||
ConvaTec, Inc. 0.000%, 12/22/16(10) | 12 | 12 | ||||||
PharMEDium Healthcare Corp. Second Lien, 7.750%, 1/28/22 | 28 | 28 | ||||||
|
| |||||||
50 | ||||||||
|
| |||||||
Industrials—0.1% | ||||||||
American Airlines, Inc. Tranche B, | 104 | 104 | ||||||
AWAS Finance Luxembourg SA 3.500%, 7/16/18 | 40 | 41 | ||||||
Brock Holdings Ill, Inc. First Lien, 6.000%, 3/16/17 | 18 | 18 | ||||||
Ceridian Corp. | 46 | 47 | ||||||
|
| |||||||
210 | ||||||||
|
| |||||||
Information Technology—0.3% | ||||||||
Alcatel-Lucent USA, Inc. | 138 | 139 | ||||||
Applied Systems, Inc. Second Lien, | 3 | 3 | ||||||
CCC Information Services | 33 | 33 | ||||||
IPC Systems, Inc. First Lien, | 50 | 50 | ||||||
Mitchell International, Inc. | 27 | 27 | ||||||
Novell, Inc. (Attachmate Corp.) First Lien, | 36 | 36 | ||||||
Sungard Availability Services Capital, Inc. Tranche B, | 72 | 72 | ||||||
|
| |||||||
360 | ||||||||
|
| |||||||
Materials—0.1% | ||||||||
Fortescue Metals Group Ltd. (FMG Resources Ltd.) 3.750%, 6/28/19 | 63 | 63 | ||||||
Houghton International, Inc. Holding Corp. (HII Holding Corp.) First Lien, | 79 | 79 | ||||||
|
| |||||||
142 | ||||||||
|
| |||||||
Utilities—0.0% | ||||||||
Texas Competitive Electric Holdings Co. LLC 2017 Extended, | 66 | 54 | ||||||
TOTAL LOAN AGREEMENTS (Identified Cost $1,522) | 1,533 |
Refer to Footnote Legend on page 26.
See Notes to Financial Statements
25
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
SHARES | VALUE | |||||||
PREFERRED STOCK—0.6% | ||||||||
Financials—0.6% | ||||||||
Ally Financial, Inc. Series G, 144A, 7.000%(4) | 84 | $ | 84 | |||||
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%(3) | 110 | (9) | 115 | |||||
Goldman Sachs Group, Inc. | 80 | (9) | 83 | |||||
JPMorgan Chase & Co., Series V, 5.000%(3) | 100 | (9) | 99 | |||||
Series Q, 5.150%(3) | 105 | (9) | 101 | |||||
PNC Financial Services Group, Inc. (The) | 95 | (9) | 91 | |||||
Wells Fargo & Co. | 95 | (9) | 108 | |||||
Zions Bancorp, 6.950%(3) | 4,250 | 113 | ||||||
TOTAL PREFERRED STOCK (Identified Cost $704) | 794 | |||||||
COMMON STOCKS—59.6% | ||||||||
Consumer Discretionary—8.3% | ||||||||
Comcast Corp. Class A | 30,000 | 1,610 | ||||||
Ford Motor Co. | 97,000 | 1,672 | ||||||
Goodyear Tire & Rubber Co. (The) | 59,000 | 1,639 | ||||||
Lear Corp. | 18,000 | 1,608 | ||||||
Macy’s, Inc. | 27,000 | 1,567 | ||||||
Michael Kors Holdings Ltd.(2) | 17,000 | 1,507 | ||||||
Time Warner, Inc. | 24,000 | 1,686 | ||||||
Time, Inc.(2) | 3,000 | 73 | ||||||
|
| |||||||
11,362 | ||||||||
|
| |||||||
Consumer Staples—2.3% | ||||||||
Archer-Daniels-Midland Co. (The) | 36,000 | 1,588 | ||||||
PepsiCo, Inc. | 18,000 | 1,608 | ||||||
|
| |||||||
3,196 | ||||||||
|
| |||||||
Energy—8.4% | ||||||||
Chevron Corp. | 13,000 | 1,697 | ||||||
Continental Resources, Inc.(2)(14) | 10,000 | 1,580 | ||||||
Helmerich & Payne, Inc. | 15,000 | 1,742 | ||||||
Noble Corp. plc | 50,000 | 1,678 | ||||||
Schlumberger Ltd. | 14,000 | 1,651 | ||||||
Suncor Energy, Inc. | 38,000 | 1,620 | ||||||
Valero Energy Corp. | 30,000 | 1,503 | ||||||
|
| |||||||
11,471 | ||||||||
|
| |||||||
Financials—10.9% | ||||||||
Aflac, Inc. | 26,000 | 1,618 | ||||||
BB&T Corp. | 41,000 | 1,617 | ||||||
BlackRock, Inc. | 5,300 | 1,694 | ||||||
Blackstone Group LP (The) | 50,000 | 1,672 | ||||||
Goldman Sachs Group, Inc. (The) | 10,000 | 1,674 |
SHARES | VALUE | |||||||
Financials—continued | ||||||||
JPMorgan Chase & Co. | 29,000 | $ | 1,671 | |||||
Lincoln National Corp. | 32,000 | 1,646 | ||||||
T. Rowe Price Group, Inc. | 19,000 | 1,604 | ||||||
US Bancorp | 40,000 | 1,733 | ||||||
|
| |||||||
14,929 | ||||||||
|
| |||||||
Health Care—4.8% | ||||||||
Abbott Laboratories | 41,000 | 1,677 | ||||||
Biogen Idec, Inc.(2) | 5,500 | 1,734 | ||||||
UnitedHealth Group, Inc. | 20,000 | 1,635 | ||||||
Zimmer Holdings, Inc. | 15,000 | 1,558 | ||||||
|
| |||||||
6,604 | ||||||||
|
| |||||||
Industrials—9.5% | ||||||||
Alaska Air Group, Inc. | 17,000 | 1,616 | ||||||
Cummins, Inc. | 10,000 | 1,543 | ||||||
Deere & Co. | 18,000 | 1,630 | ||||||
Dover Corp. | 18,000 | 1,637 | ||||||
L-3 Communications Holdings, Inc. | 14,000 | 1,691 | ||||||
Parker Hannifin Corp. | 13,000 | 1,634 | ||||||
Trinity Industries, Inc. | 38,000 | 1,661 | ||||||
Union Pacific Corp. | 16,000 | 1,596 | ||||||
|
| |||||||
13,008 | ||||||||
|
| |||||||
Information Technology—11.9% | ||||||||
Apple, Inc. | 18,900 | 1,756 | ||||||
Cisco Systems, Inc. | 65,000 | 1,615 | ||||||
EMC Corp. | 59,000 | 1,554 | ||||||
Google, Inc. Class A(2) | 1,300 | 760 | ||||||
Google, Inc. Class C(2) | 1,300 | 748 | ||||||
Intel Corp. | 54,000 | 1,669 | ||||||
Jabil Circuit, Inc. | 82,000 | 1,714 | ||||||
MasterCard, Inc. Class A | 21,000 | 1,543 | ||||||
NetApp, Inc. | 44,000 | 1,607 | ||||||
Oracle Corp. | 39,000 | 1,581 | ||||||
QUALCOMM, Inc. | 21,000 | 1,663 | ||||||
|
| |||||||
16,210 | ||||||||
|
| |||||||
Materials—2.4% | ||||||||
CF Industries Holdings, Inc. | 6,200 | 1,491 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 47,000 | 1,716 | ||||||
|
| |||||||
3,207 | ||||||||
|
| |||||||
Telecommunication Services—1.1% | ||||||||
Verizon Communications, Inc. | 32,000 | 1,566 | ||||||
TOTAL COMMON STOCKS (Identified Cost $55,763) | 81,553 | |||||||
TOTAL LONG TERM INVESTMENTS—99.4% | ||||||||
(Identified Cost $107,651) | 136,040 |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—0.2% | ||||||||
Money Market Mutual Funds—0.2% | ||||||||
Fidelity Money Market Portfolio – Institutional Shares (Seven-day effective yield 0.090%) | 224,730 | $ | 225 | |||||
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $225) | 225 | |||||||
SECURITIES LENDING COLLATERAL—1.2% | ||||||||
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)(15) | 1,586,474 | 1,586 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $1,586) | 1,586 | |||||||
TOTAL INVESTMENTS—100.8% | ||||||||
(Identified Cost $109,462) | 137,851 | (1) | ||||||
Other assets and liabilities, net—(0.8)% |
| (1,130 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 136,721 | ||||||
|
|
Abbreviations:
FGIC | Financial Guaranty Insurance Company |
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”) |
FNMA | Federal National Mortgage Association (“Fannie Mae”) |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
NATL | National Public Finance Guarantee Corp. |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2014, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
(3) | Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $13,762 or 10.1% of net assets. |
(5) | Regulation S security. Security is offered and sold outside of the United States. Therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. |
(6) | Interest payments may be deferred. |
(7) | No contractual maturity date. |
(8) | Illiquid security. |
See Notes to Financial Statements
26
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Continued)
JUNE 30, 2014 (Unaudited)
($ reported in thousands)
(9) | Value shown as par value. |
(10) | This loan will settle after June 30, 2014, at which time the interest rate based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(11) | This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(12) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(13) | 100% of the income received was in cash. |
(14) | All or a portion of security is on loan. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Foreign Currencies:
AUD | Australian Dollar |
CLP | Chilean Peso |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
RUB | Russian Ruble |
Country Weightings† | ||||
United States | 89 | % | ||
Australia | 1 | |||
Brazil | 1 | |||
Canada | 1 | |||
Luxembourg | 1 | |||
Switzerland | 1 | |||
United Kingdom | 1 | |||
Other | 5 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2014 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2014 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2014 | Level 1 – Quoted Prices | Level 2 – Significant Observable Inputs | ||||||||||
Debt Securities: | ||||||||||||
Asset-Backed Securities | $ | 2,561 | $ | — | $ | 2,561 | ||||||
Corporate Bonds and Notes | 25,054 | — | 25,054 | |||||||||
Foreign Government Securities | 1,730 | — | 1,730 | |||||||||
Loan Agreements | 1,533 | — | 1,533 | |||||||||
Mortgage-Backed Securities | 18,935 | — | 18,935 | |||||||||
Municipal Bonds | 2,671 | — | 2,671 | |||||||||
U.S. Government Securities | 1,209 | — | 1,209 | |||||||||
Equity Securities: | ||||||||||||
Common Stocks | 81,553 | 81,553 | — | |||||||||
Preferred Stock | 794 | 113 | 681 | |||||||||
Securities Lending Collateral | 1,586 | 1,586 | — | |||||||||
Short-Term Investments | 225 | 225 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 137,851 | $ | 83,477 | $ | 54,374 | ||||||
|
|
|
|
|
|
There are no Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
See Notes to Financial Statements
27
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2014 (Unaudited)
(Reported in thousands except shares and per share amounts)
Capital Growth Series | Growth & Income Series | International Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1)(2) | $ | 212,358 | $ | 149,983 | $ | 316,663 | ||||||
Receivables | ||||||||||||
Investment securities sold | — | 956 | — | |||||||||
Dividends and interest | 121 | 108 | 657 | |||||||||
Tax reclaims | 4 | — | 754 | |||||||||
Prepaid expenses | 2 | 1 | 4 | |||||||||
Prepaid trustee retainer | 11 | 8 | 16 | |||||||||
Other assets | 231 | 161 | 343 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 212,727 | 151,217 | 318,437 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Cash overdraft | — | 13 | — | |||||||||
Payables | ||||||||||||
Series shares repurchased | 288 | 171 | 490 | |||||||||
Collateral for securities on loan | — | 2,887 | — | |||||||||
Investment advisory fee | 91 | 57 | 179 | |||||||||
Administration fees | 22 | 15 | 32 | |||||||||
Transfer agent fees and expenses | — | (3) | — | (3) | — | (3) | ||||||
Trustees’ fees and expenses | 3 | 2 | 4 | |||||||||
Professional fees | 29 | 26 | 39 | |||||||||
Distribution and service fees | 43 | 30 | 65 | |||||||||
Trustee deferred compensation plan | 231 | 161 | 343 | |||||||||
Other accrued expenses | 30 | 20 | 45 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 737 | 3,382 | 1,197 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 211,990 | $ | 147,835 | $ | 317,240 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 192,041 | $ | 91,894 | $ | 202,307 | ||||||
Accumulated undistributed net investment income (loss) | (123 | ) | 67 | 5,149 | ||||||||
Accumulated undistributed net realized gain (loss) | (48,515 | ) | 8,445 | (9,069 | ) | |||||||
Net unrealized appreciation (depreciation) | 68,587 | 47,429 | 118,853 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 211,990 | $ | 147,835 | $ | 317,240 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 21.07 | $ | 18.09 | $ | 19.42 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 10,061,612 | 8,173,340 | 16,329,919 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 211,990 | $ | 147,835 | $ | 317,125 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | — | $ | — | $ | 19.40 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | — | — | 5,917 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | — | $ | — | $ | 115 | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | 143,771 | 102,554 | 197,824 | |||||||||
(2) Market value of securities on loan | — | 2,834 | — | |||||||||
(3) Amount is less than $500. |
See Notes to Financial Statements
28
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 2014 (Unaudited)
(Reported in thousands except shares and per share amounts)
Multi-Sector Fixed Income Series | Premium AlphaSector® Series | Real Estate Securities Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 175,585 | $ | 31,741 | $ | 101,497 | ||||||
Cash | 155 | — | — | |||||||||
Receivables | ||||||||||||
Investment securities sold | 350 | 1,140 | 419 | |||||||||
Series shares sold | 3 | 47 | 16 | |||||||||
Dividends and interest | 2,072 | — | (2) | 326 | ||||||||
Tax reclaims | 2 | — | — | |||||||||
Prepaid expenses | 1 | 1 | 1 | |||||||||
Prepaid trustee retainer | 10 | 2 | 6 | |||||||||
Other assets | 191 | 26 | 108 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 178,369 | 32,957 | 102,373 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Cash overdraft | — | 90 | — | |||||||||
Payables | ||||||||||||
Series shares repurchased | 190 | — | (2) | 211 | ||||||||
Investment securities purchased | 2,181 | 1,000 | 251 | |||||||||
Investment advisory fee | 63 | 30 | 54 | |||||||||
Administration fees | 17 | 2 | 9 | |||||||||
Transfer agent fees and expenses | — | (2) | — | (2) | 1 | |||||||
Trustees’ fees and expenses | 2 | — | (2) | 1 | ||||||||
Professional fees | 32 | 13 | 23 | |||||||||
Distribution and service fees | 36 | 6 | 21 | |||||||||
Trustee deferred compensation plan | 191 | 26 | 108 | |||||||||
Other accrued expenses | 37 | — | 21 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 2,749 | 1,167 | 700 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 175,620 | $ | 31,790 | $ | 101,673 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 171,208 | $ | 27,628 | $ | 52,511 | ||||||
Accumulated undistributed net investment income (loss) | 724 | (1 | ) | 445 | ||||||||
Accumulated undistributed net realized gain (loss) | (3,177 | ) | 1,170 | 2,482 | ||||||||
Net unrealized appreciation (depreciation) | 6,865 | 2,993 | 46,235 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 175,620 | $ | 31,790 | $ | 101,673 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 9.84 | $ | 14.12 | $ | 26.48 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 17,830,915 | 2,241,551 | 3,835,123 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 175,491 | $ | 31,650 | $ | 101,553 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | 9.83 | $ | 14.12 | $ | 26.45 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 13,141 | 9,909 | 4,555 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 129 | $ | 140 | $ | 120 | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | 168,724 | 28,748 | 55,262 | |||||||||
(2) Amount is less than $500. |
See Notes to Financial Statements
29
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 2014 (Unaudited)
(Reported in thousands except shares and per share amounts)
Small-Cap Growth Series | Small-Cap Value Series | Strategic Allocation Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1)(2) | $ | 63,789 | $ | 117,570 | $ | 137,851 | ||||||
Receivables | ||||||||||||
Investment securities sold | — | 2,261 | 654 | |||||||||
Series shares sold | 11 | 28 | — | |||||||||
Dividends and interest | 14 | 23 | 536 | |||||||||
Tax reclaims | — | — | — | (3) | ||||||||
Prepaid expenses | 1 | 1 | 1 | |||||||||
Prepaid trustee retainer | 3 | 6 | 7 | |||||||||
Other assets | 71 | 133 | 149 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 63,889 | 120,022 | 139,198 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Cash overdraft | — | — | 168 | |||||||||
Payables | ||||||||||||
Series shares repurchased | 59 | 28 | 277 | |||||||||
Investment securities purchased | 443 | 1,887 | 151 | |||||||||
Collateral for securities on loan | — | — | 1,586 | |||||||||
Investment advisory fee | 32 | 63 | 54 | |||||||||
Administration fees | 7 | 13 | 11 | |||||||||
Transfer agent fees and expenses | — | (3) | — | (3) | — | (3) | ||||||
Trustees’ fees and expenses | 1 | 2 | 2 | |||||||||
Professional fees | 22 | 25 | 28 | |||||||||
Distribution and service fees | 13 | 24 | 28 | |||||||||
Trustee deferred compensation plan | 71 | 133 | 149 | |||||||||
Other accrued expenses | 12 | 26 | 23 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 660 | 2,201 | 2,477 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 63,229 | $ | 117,821 | $ | 136,721 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 43,458 | $ | 83,836 | $ | 103,521 | ||||||
Accumulated undistributed net investment income (loss) | (293 | ) | (36 | ) | 142 | |||||||
Accumulated undistributed net realized gain (loss) | 1,824 | 2,004 | 4,669 | |||||||||
Net unrealized appreciation (depreciation) | 18,240 | 32,017 | 28,389 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 63,229 | $ | 117,821 | $ | 136,721 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 20.43 | $ | 17.10 | $ | 14.95 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 3,083,578 | 6,889,385 | 9,145,409 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 63,000 | $ | 117,821 | $ | 136,721 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | 20.49 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 11,186 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 229 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | 45,549 | 85,553 | 109,462 | |||||||||
(2) Market value of securities on loan | — | — | 1,558 | |||||||||
(3) Amount is less than $500. |
See Notes to Financial Statements
30
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)
($ Reported in thousands)
Capital Growth Series | Growth & Income Series | International Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 1,166 | $ | 1,368 | $ | 11,973 | ||||||
Security lending | — | (1) | 4 | 25 | ||||||||
Foreign taxes withheld | (3 | ) | — | (629 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 1,163 | 1,372 | 11,369 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fee | 729 | 508 | 1,146 | |||||||||
Administration fee | 129 | 90 | 190 | |||||||||
Distribution and service fees | 260 | 181 | 387 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Custodian fees | 2 | 1 | 34 | |||||||||
Printing fees and expenses | 15 | 10 | 21 | |||||||||
Professional fees | 28 | 24 | 39 | |||||||||
Trustees’ fees and expenses | 45 | 32 | 68 | |||||||||
Miscellaneous expenses | 21 | 14 | 38 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,230 | 861 | 1,924 | |||||||||
Less expenses reimbursed by investment advisor | (158 | ) | (150 | ) | (97 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,072 | 711 | 1,827 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 91 | 661 | 9,542 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 7,727 | 8,744 | 6,692 | |||||||||
Net realized gain (loss) on foreign currency transactions | — | — | 22 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | (1,241 | ) | 1,200 | 8,235 | ||||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | — | — | (7 | ) | ||||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investments | 6,486 | 9,944 | 14,942 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 6,577 | $ | 10,605 | $ | 24,484 | ||||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
31
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF OPERATIONS (Continued)
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)
($ Reported in thousands)
Multi-Sector Fixed Income Series | Premium AlphaSector® Series | Real Estate Securities Series | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 4,980 | $ | — | $ | — | ||||||
Dividends | 120 | 269 | 1,457 | |||||||||
Foreign taxes withheld | (5 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 5,095 | 269 | 1,457 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fee | 430 | 130 | 365 | |||||||||
Administration fee | 105 | 13 | 59 | |||||||||
Distribution and service fees | 215 | 29 | 121 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Custodian fees | 4 | 1 | 1 | |||||||||
Printing fees and expenses | 15 | 2 | 11 | |||||||||
Professional fees | 29 | 10 | 20 | |||||||||
Trustees’ fees and expenses | 38 | 4 | 21 | |||||||||
Miscellaneous expenses | 21 | 2 | 11 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 858 | 192 | 610 | |||||||||
Less expenses reimbursed by investment advisor | (50 | ) | — | (46 | ) | |||||||
Plus expenses recaptured by investment advisor | — | 9 | — | |||||||||
|
|
|
|
|
| |||||||
Net expenses | 808 | 201 | 564 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 4,287 | 68 | 893 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 439 | 1,256 | 4,344 | |||||||||
Net realized gain (loss) on foreign currency transactions | (14 | ) | — | — | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 4,822 | 399 | 10,887 | |||||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | 8 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investments | 5,255 | 1,655 | 15,231 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 9,542 | $ | 1,723 | $ | 16,124 | ||||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
32
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF OPERATIONS (Continued)
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)
($ Reported in thousands)
Small-Cap Growth Series | Small-Cap Value Series | Strategic Allocation Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 149 | $ | 875 | $ | 759 | ||||||
Interest | — | — | 1,168 | |||||||||
Security lending | — | — | 2 | |||||||||
Foreign taxes withheld | — | — | — | (1) | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 149 | 875 | 1,929 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fee | 273 | 541 | 403 | |||||||||
Administration fee | 40 | 75 | 83 | |||||||||
Distribution and service fees | 80 | 150 | 168 | |||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Custodian fees | 1 | 1 | 2 | |||||||||
Printing fees and expenses | 7 | 12 | 10 | |||||||||
Professional fees | 19 | 23 | 26 | |||||||||
Trustees’ fees and expenses | 15 | 28 | 30 | |||||||||
Miscellaneous expenses | 7 | 14 | 14 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 443 | 845 | 737 | |||||||||
Less expenses reimbursed by investment advisor | (60 | ) | (124 | ) | (79 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 383 | 721 | 658 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (234 | ) | 154 | 1,271 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 1,828 | 9,019 | 4,879 | |||||||||
Net realized gain (loss) on foreign currency transactions | — | — | (2 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investments | (4,195 | ) | (13,905 | ) | 2,094 | |||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | — | — | — | (1) | ||||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investments | (2,367 | ) | (4,886 | ) | 6,971 | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,601 | ) | $ | (4,732 | ) | $ | 8,242 | ||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
33
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(Reported in thousands)
Capital Growth Series | Growth & Income Series | International Series | ||||||||||||||||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 91 | $ | 380 | $ | 661 | $ | 1,199 | $ | 9,542 | $ | 6,493 | ||||||||||||
Net realized gain (loss) | 7,727 | 15,987 | 8,744 | 23,083 | 6,714 | 21,510 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (1,241 | ) | 35,890 | 1,200 | 15,419 | 8,228 | (3,040 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from operations | 6,577 | 52,257 | 10,605 | 39,701 | 24,484 | 24,963 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | (131 | ) | (655 | ) | (639 | ) | (1,206 | ) | (4,835 | ) | (7,001 | ) | ||||||||||||
Net investment income, Class I | — | — | — | — | (2 | ) | (2 | ) | ||||||||||||||||
Net realized long-term gains, Class A | — | — | (2,949 | ) | (11,002 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets from distributions to shareholders | (131 | ) | (655 | ) | (3,588 | ) | (12,208 | ) | (4,837 | ) | (7,003 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 1,594 | 3,923 | 589 | 1,555 | 3,048 | 4,543 | ||||||||||||||||||
Class I | — | — | — | — | 2 | 103 | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 131 | 655 | 3,588 | 12,208 | 4,835 | 7,001 | ||||||||||||||||||
Class I | — | — | — | — | 2 | 2 | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (14,445 | ) | (27,891 | ) | (13,742 | ) | (28,258 | ) | (28,124 | ) | (53,496 | ) | ||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets from share transactions | (12,720 | ) | (23,313 | ) | (9,565 | ) | (14,495 | ) | (20,237 | ) | (41,847 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (6,274 | ) | 28,289 | (2,548 | ) | 12,998 | (590 | ) | (23,887 | ) | ||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 218,264 | 189,975 | 150,383 | 137,385 | 317,830 | 341,717 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 211,990 | $ | 218,264 | $ | 147,835 | $ | 150,383 | $ | 317,240 | $ | 317,830 | ||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | (123 | ) | (84 | ) | 67 | 45 | 5,149 | 443 | ||||||||||||||||
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| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 79 | 222 | 33 | 95 | 162 | 255 | ||||||||||||||||||
Class I | — | — | — | — | — | (2) | 6 | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 7 | 36 | 199 | 716 | 250 | 408 | ||||||||||||||||||
Class I | — | — | — | — | — | (2) | — | (2) | ||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (716 | ) | (1,571 | ) | (785 | ) | (1,738 | ) | (1,508 | ) | (2,993 | ) | ||||||||||||
Class I | — | — | — | — | — | (2) | — | |||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase/(Decrease) | (630 | ) | (1,313 | ) | (553 | ) | (927 | ) | (1,096 | ) | (2,324 | ) | ||||||||||||
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|
|
(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
34
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST SERIES
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
(Reported in thousands)
Multi-Sector Fixed Income Series | Premium AlphaSector® Series | Real Estate Securities Series | ||||||||||||||||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 4,287 | $ | 9,716 | $ | 68 | $ | 55 | $ | 893 | $ | 1,204 | ||||||||||||
Net realized gain (loss) | 425 | 4,676 | 1,256 | 123 | 4,344 | 14,501 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 4,830 | (10,289 | ) | 399 | 2,416 | 10,887 | (14,293 | ) | ||||||||||||||||
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|
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| |||||||||||||
Increase (decrease) in net assets resulting from operations | 9,542 | 4,103 | 1,723 | 2,594 | 16,124 | 1,412 | ||||||||||||||||||
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| |||||||||||||
From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | (4,185 | ) | (9,966 | ) | (65 | ) | (57 | ) | (555 | ) | (1,464 | ) | ||||||||||||
Net investment income, Class I | (3 | ) | (6 | ) | — | (1 | ) | (1 | ) | (2 | ) | |||||||||||||
Net realized short-term gains, Class A | — | — | (45 | ) | — | (1) | (85 | ) | (354 | ) | ||||||||||||||
Net realized short-term gains, Class I | — | — | — | (1) | — | — | (1) | — | (1) | |||||||||||||||
Net realized long-term gains, Class A | — | — | (7 | ) | (55 | ) | (3,291 | ) | (14,262 | ) | ||||||||||||||
Net realized long-term gains, Class I | — | — | — | (1) | — | (1) | (4 | ) | (16 | ) | ||||||||||||||
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|
| |||||||||||||
Decrease in net assets from distributions to shareholders | (4,188 | ) | (9,972 | ) | (117 | ) | (113 | ) | (3,936 | ) | (16,098 | ) | ||||||||||||
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|
| |||||||||||||
From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 6,624 | 15,854 | 14,912 | 15,954 | 3,411 | 4,467 | ||||||||||||||||||
Class I | — | 128 | 2 | 125 | — | 113 | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 4,185 | 9,966 | 116 | 113 | 3,930 | 16,080 | ||||||||||||||||||
Class I | 3 | 6 | 1 | 1 | 5 | 18 | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (12,663 | ) | (51,738 | ) | (3,686 | ) | (4,778 | ) | (8,757 | ) | (17,495 | ) | ||||||||||||
Class I | (2 | ) | (3 | ) | (11 | ) | (3 | ) | — | — | ||||||||||||||
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|
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|
|
|
| |||||||||||||
Increase (decrease) in net assets from share transactions | (1,853 | ) | (25,787 | ) | 11,334 | 11,411 | (1,411 | ) | 3,183 | |||||||||||||||
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|
|
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|
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|
| |||||||||||||
Net increase (decrease) in net assets | 3,501 | (31,656 | ) | 12,940 | 13,892 | 10,777 | (11,503 | ) | ||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 172,119 | 203,775 | 18,850 | 4,958 | 90,896 | 102,399 | ||||||||||||||||||
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| |||||||||||||
End of period | $ | 175,620 | $ | 172,119 | $ | 31,790 | $ | 18,850 | $ | 101,673 | $ | 90,896 | ||||||||||||
|
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|
|
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|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | 724 | 625 | (1 | ) | (4 | ) | 445 | 107 | ||||||||||||||||
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|
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| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 674 | 1,613 | 1,100 | 1,313 | 132 | 158 | ||||||||||||||||||
Class I | — | 13 | — | 11 | — | 4 | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 425 | 1,054 | 8 | 9 | 149 | 660 | ||||||||||||||||||
Class I | — | (2) | 1 | — | — | 3 | 1 | |||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (1,293 | ) | (5,259 | ) | (273 | ) | (392 | ) | (339 | ) | (612 | ) | ||||||||||||
Class I | — | (2) | (1 | ) | — | (2) | — | (2 | ) | — | ||||||||||||||
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|
| |||||||||||||
Net Increase/(Decrease) | (194 | ) | (2,579 | ) | 835 | 941 | (57 | ) | 211 | |||||||||||||||
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|
(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
35
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Reported in thousands)
Small-Cap Growth Series | Small-Cap Value Series | Strategic Allocation Series | ||||||||||||||||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | (234 | ) | $ | (415 | ) | $ | 154 | $ | 313 | $ | 1,271 | $ | 2,552 | ||||||||||
Net realized gain (loss) | 1,828 | 8,789 | 9,019 | 9,947 | 4,877 | 14,428 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (4,195 | ) | 13,726 | (13,905 | ) | 33,453 | 2,094 | 5,528 | ||||||||||||||||
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| |||||||||||||
Increase (decrease) in net assets resulting from operations | (2,601 | ) | 22,100 | (4,732 | ) | 43,713 | 8,242 | 22,508 | ||||||||||||||||
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| |||||||||||||
From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | — | (177 | ) | (227 | ) | (725 | ) | (1,450 | ) | (2,599 | ) | |||||||||||||
Net investment income Class I | — | (1) | — | — | — | — | — | |||||||||||||||||
Net realized long-term gains, Class A | (1,612 | ) | (567 | ) | — | — | (1,800 | ) | (10,364 | ) | ||||||||||||||
Net realized long-term gains, Class I | (6 | ) | (1 | ) | — | — | — | — | ||||||||||||||||
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|
|
|
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| |||||||||||||
Decrease in net assets from distributions to shareholders | (1,618 | ) | (745 | ) | (227 | ) | (725 | ) | (3,250 | ) | (12,963 | ) | ||||||||||||
�� |
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| ||||||||||||
From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 473 | 1,187 | 363 | 932 | 251 | 1,106 | ||||||||||||||||||
Class I | 106 | 110 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 1,615 | 744 | 227 | 725 | 3,250 | 12,963 | ||||||||||||||||||
Class I | 6 | 1 | — | — | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (5,827 | ) | (12,210 | ) | (13,162 | ) | (28,034 | ) | (9,225 | ) | (21,207 | ) | ||||||||||||
Class I | (10 | ) | — | — | — | — | — | |||||||||||||||||
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| |||||||||||||
Increase (decrease) in net assets from share transactions | (3,637 | ) | (10,168 | ) | (12,572 | ) | (26,377 | ) | (5,724 | ) | (7,138 | ) | ||||||||||||
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|
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| |||||||||||||
Net increase (decrease) in net assets | (7,856 | ) | 11,187 | (17,531 | ) | 16,611 | (732 | ) | 2,407 | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 71,085 | 59,898 | 135,352 | 118,741 | 137,453 | 135,046 | ||||||||||||||||||
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| |||||||||||||
End of period | $ | 63,229 | $ | 71,085 | $ | 117,821 | $ | 135,352 | $ | 136,721 | $ | 137,453 | ||||||||||||
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|
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| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | (293 | ) | (59 | ) | (36 | ) | 37 | 142 | 321 | |||||||||||||||
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| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 23 | 63 | 22 | 63 | 17 | 77 | ||||||||||||||||||
Class I | 5 | 6 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 79 | 36 | 13 | 47 | 218 | 906 | ||||||||||||||||||
Class I | — | (2) | — | (2) | — | — | — | — | ||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (286 | ) | (657 | ) | (783 | ) | (1,855 | ) | (630 | ) | (1,464 | ) | ||||||||||||
Class I | — | (2) | — | — | — | — | — | |||||||||||||||||
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|
|
|
|
|
| |||||||||||||
Net Increase/(Decrease) | (179 | ) | (552 | ) | (748 | ) | (1,745 | ) | (395 | ) | (481 | ) | ||||||||||||
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|
(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
36
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(4) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 20.41 | 0.01 | 0.66 | 0.67 | (0.01 | ) | — | (0.01 | ) | 0.66 | $ | 21.07 | 3.30 | %(7) | $ | 211,990 | 1.03 | %(6) | 1.18 | %(6) | 0.09 | %(6) | 11 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 15.82 | 0.04 | 4.61 | 4.65 | (0.06 | ) | — | (0.06 | ) | 4.59 | 20.41 | 29.44 | 218,264 | 1.03 | 1.14 | 0.19 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 13.99 | 0.11 | 1.81 | 1.92 | (0.09 | ) | — | (0.09 | ) | 1.83 | 15.82 | 13.76 | 189,975 | 0.96 | (8) | 1.13 | 0.68 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 14.67 | 0.01 | (0.68 | ) | (0.67 | ) | (0.01 | ) | — | (0.01 | ) | (0.68 | ) | 13.99 | (4.60 | ) | 189,689 | 0.95 | 1.15 | 0.04 | 127 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 12.83 | 0.05 | 1.85 | 1.90 | (0.06 | ) | — | (0.06 | ) | 1.84 | 14.67 | 14.88 | 228,109 | 0.95 | 1.05 | 0.36 | 166 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 9.95 | 0.09 | 2.89 | 2.98 | (0.10 | ) | — | (0.10 | ) | 2.88 | 12.83 | 29.93 | 236,409 | 0.95 | 1.07 | 0.85 | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Growth & Income Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 17.23 | 0.08 | 1.23 | 1.31 | (0.08 | ) | (0.37 | ) | (0.45 | ) | 0.86 | $ | 18.09 | 7.61 | %(7) | $ | 147,835 | 0.98 | %(6) | 1.19 | %(6) | 0.91 | %(6) | 15 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 14.23 | 0.11 | 4.39 | 4.50 | (0.14 | ) | (1.36 | ) | (1.50 | ) | 3.00 | 17.23 | 31.81 | 150,383 | 0.98 | 1.14 | 0.84 | 54 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 12.51 | 0.12 | 1.73 | 1.85 | (0.13 | ) | — | (0.13 | ) | 1.72 | 14.23 | 14.77 | 137,385 | 0.91 | (8) | 1.14 | 0.83 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 12.82 | 0.09 | (0.30 | ) | (0.21 | ) | (0.10 | ) | — | (0.10 | ) | (0.31 | ) | 12.51 | (1.66 | ) | 148,283 | 0.90 | 1.16 | 0.69 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 11.49 | 0.11 | 1.34 | 1.45 | (0.12 | ) | — | (0.12 | ) | 1.33 | 12.82 | 12.83 | 189,361 | 0.90 | 1.07 | 0.98 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 9.45 | 0.13 | 2.07 | 2.20 | (0.16 | ) | — | (0.16 | ) | 2.04 | 11.49 | 23.50 | 90,300 | 0.94 | 1.11 | 1.35 | 109 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 18.23 | 0.57 | 0.92 | 1.49 | (0.30 | ) | — | (0.30 | ) | 1.19 | $ | 19.42 | 8.18 | %(7) | $ | 317,125 | 1.18 | %(6) | 1.24 | %(6) | 6.16 | %(6) | 4 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 17.30 | 0.35 | 0.97 | 1.32 | (0.39 | ) | — | (0.39 | ) | 0.93 | 18.23 | 7.78 | 317,726 | 1.18 | (2) | 1.18 | 1.97 | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 15.28 | 0.41 | 2.06 | 2.47 | (0.45 | ) | — | (0.45 | ) | 2.02 | 17.30 | 16.52 | 341,717 | 1.06 | (8) | 1.18 | 2.53 | 13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 16.45 | 0.47 | (1.21 | ) | (0.74 | ) | (0.43 | ) | — | (0.43 | ) | (1.17 | ) | 15.28 | (4.57 | ) | 335,529 | 1.03 | 1.19 | 2.91 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 14.86 | 0.35 | 1.61 | 1.96 | (0.37 | ) | — | (0.37 | ) | 1.59 | 16.45 | 13.47 | 403,607 | 1.03 | 1.08 | 2.36 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 10.95 | 0.31 | 4.01 | 4.32 | (0.41 | ) | — | (0.41 | ) | 3.91 | 14.86 | 39.87 | 421,706 | 1.03 | 1.08 | 2.55 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 18.22 | 0.59 | 0.91 | 1.50 | (0.32 | ) | — | (0.32 | ) | 1.18 | $ | 19.40 | 8.26 | %(7) | $ | 115 | 0.93 | %(6) | 0.99 | %(6) | 6.37 | %(6) | 4 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(5) to 12/31/13 | 18.40 | 0.18 | 0.08 | 0.26 | (0.44 | ) | — | (0.44 | ) | (0.18 | ) | 18.22 | 1.17 | (7) | 104 | 0.93 | (6)(2) | 0.93 | (6) | 1.54 | (6) | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Multi-Sector Fixed Income Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 9.54 | 0.24 | 0.30 | 0.54 | (0.24 | ) | — | (0.24 | ) | 0.30 | $ | 9.84 | 5.66 | %(7) | $ | 175,491 | 0.94 | %(6) | 1.00 | %(6) | 4.99 | %(6) | 28 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 9.88 | 0.51 | (0.30 | ) | 0.21 | (0.55 | ) | — | (0.55 | ) | (0.34 | ) | 9.54 | 2.25 | 171,995 | 0.94 | 0.96 | 5.23 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 9.18 | 0.58 | 0.74 | 1.32 | (0.62 | ) | — | (0.62 | ) | 0.70 | 9.88 | 14.69 | 203,775 | 0.78 | (8) | 0.94 | 5.94 | 85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 9.55 | 0.63 | (0.34 | ) | 0.29 | (0.66 | ) | — | (0.66 | ) | (0.37 | ) | 9.18 | 2.99 | 197,016 | 0.75 | 0.97 | 6.50 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 8.98 | 0.61 | 0.65 | 1.26 | (0.69 | ) | — | (0.69 | ) | 0.57 | 9.55 | 14.36 | 227,860 | 0.75 | 0.85 | 6.48 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 6.86 | 0.57 | 2.15 | 2.72 | (0.60 | ) | — | (0.60 | ) | 2.12 | 8.98 | 40.13 | 206,107 | 0.75 | 0.84 | 7.06 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 9.53 | 0.25 | 0.30 | 0.55 | (0.25 | ) | — | (0.25 | ) | 0.30 | $ | 9.83 | 5.79 | %(7) | $ | 129 | 0.69 | %(6) | 0.75 | %(6) | 5.24 | %(6) | 28 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(5) to 12/31/13 | 10.19 | 0.36 | (0.44 | ) | (0.08 | ) | (0.58 | ) | — | (0.58 | ) | (0.66 | ) | 9.53 | (0.89 | )(7) | 124 | 0.69 | (6) | 0.71 | (6) | 5.54 | (6) | 56 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
37
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(4) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Premium AlphaSector® Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 13.30 | 0.04 | 0.83 | 0.87 | (0.03 | ) | (0.02 | ) | (0.05 | ) | 0.82 | $ | 14.12 | 6.56 | %(7) | $ | 31,650 | 1.70 | %(6)(10) | — | %(11) | 0.56 | %(6) | 121 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.41 | 0.06 | 2.92 | 2.98 | (0.05 | ) | (0.04 | ) | (0.09 | ) | 2.89 | 13.30 | 28.71 | 18,710 | 1.70 | 1.79 | 0.52 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 9.49 | 0.15 | 0.86 | 1.01 | (0.09 | ) | — | (0.09 | ) | 0.92 | 10.41 | 10.69 | 4,958 | 1.70 | 2.07 | 1.50 | 272 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2/14/11(5) to 12/31/11 | 10.00 | 0.08 | (0.52 | ) | (0.44 | ) | (0.07 | ) | — | (0.07 | ) | (0.51 | ) | 9.49 | (4.47 | )(7) | 1,250 | 1.70 | (6) | 7.31 | (6) | 0.98 | (6) | 249 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 13.30 | 0.03 | 0.85 | 0.88 | (0.04 | ) | (0.02 | ) | (0.06 | ) | 0.82 | $ | 14.12 | 6.55 | %(7) | $ | 140 | 1.45 | %(6)(10) | — | %(11) | 0.00 | %(6) | 121 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(5) to 12/31/13 | 11.69 | 0.07 | 1.66 | 1.73 | (0.08 | ) | (0.04 | ) | (0.12 | ) | 1.61 | 13.30 | 14.64 | (7) | 140 | 1.45 | (6) | 1.50 | (6) | 0.89 | (6) | 108 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 23.33 | 0.23 | 3.98 | 4.21 | (0.15 | ) | (0.91 | ) | (1.06 | ) | 3.15 | $ | 26.48 | 18.08 | %(7) | $ | 101,553 | 1.16 | %(6) | 1.26 | %(6) | 1.84 | %(6) | 7 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 27.78 | 0.34 | (0.05 | ) | 0.29 | (0.43 | ) | (4.31 | ) | (4.74 | ) | (4.45 | ) | 23.33 | 0.90 | 90,794 | 1.16 | 1.22 | 1.20 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 26.18 | 0.30 | 4.10 | 4.40 | (0.29 | ) | (2.51 | ) | (2.80 | ) | 1.60 | 27.78 | 16.98 | 102,399 | 1.11 | (8) | 1.20 | 1.03 | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 25.43 | 0.24 | 2.25 | 2.49 | (0.19 | ) | (1.55 | ) | (1.74 | ) | 0.75 | 26.18 | 9.87 | 103,114 | 1.10 | 1.22 | 0.90 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 20.25 | 0.28 | 5.35 | 5.63 | (0.45 | ) | — | (0.45 | ) | 5.18 | 25.43 | 28.00 | 110,769 | 1.10 | 1.11 | 1.23 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 16.26 | 0.44 | 4.12 | 4.56 | (0.57 | ) | — | (0.57 | ) | 3.99 | 20.25 | 29.11 | 112,750 | 1.10 | 1.11 | 2.80 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 23.30 | 0.26 | 3.98 | 4.24 | (0.18 | ) | (0.91 | ) | (1.09 | ) | 3.15 | $ | 26.45 | 18.25 | %(7) | $ | 120 | 0.91 | %(6) | 1.01 | %(6) | 2.07 | %(6) | 7 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(5) to 12/31/13 | 30.96 | 0.23 | (3.08 | ) | (2.85 | ) | (0.50 | ) | (4.31 | ) | (4.81 | ) | (7.66 | ) | 23.30 | (10.45 | )(7) | 102 | 0.91 | (6) | 0.98 | (6) | 1.23 | (6) | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 21.72 | (0.07 | ) | (0.68 | ) | (0.75 | ) | — | (0.54 | ) | (0.54 | ) | (1.29 | ) | $ | 20.43 | (3.45 | )%(7) | $ | 63,000 | 1.19 | %(6) | 1.38 | %(6) | (0.73 | )%(6) | 10 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 15.66 | (0.12 | ) | 6.39 | 6.27 | (0.05 | ) | (0.16 | ) | (0.21 | ) | 6.06 | 21.72 | 40.20 | 70,948 | 1.19 | 1.33 | (0.63 | ) | 28 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 14.03 | 0.07 | 1.59 | 1.66 | (0.03 | ) | — | (0.03 | ) | 1.63 | 15.66 | 11.81 | 59,898 | 1.07 | (8) | 1.32 | 0.44 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 13.24 | (0.02 | ) | 2.23 | 2.21 | — | (1.42 | ) | (1.42 | ) | 0.79 | 14.03 | 16.59 | 64,868 | 1.05 | 1.35 | (0.15 | ) | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 11.66 | (0.07 | ) | 1.65 | 1.58 | — | — | — | 1.58 | 13.24 | 13.53 | 68,463 | 1.05 | 1.33 | (0.55 | ) | 179 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 9.53 | (0.08 | ) | 2.21 | 2.13 | — | — | — | 2.13 | 11.66 | 22.39 | 26,310 | 1.05 | 1.41 | (0.83 | ) | 262 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 21.75 | (0.05 | ) | (0.67 | ) | (0.72 | ) | — | (0.54 | ) | (0.54 | ) | (1.26 | ) | $ | 20.49 | (3.31 | )%(7) | $ | 229 | 0.94 | %(6) | 1.13 | %(6) | (0.47 | )%(6) | 10 | %(7) | ||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(5) to 12/31/13 | 17.29 | (0.03 | ) | 4.70 | 4.67 | (0.05 | ) | (0.16 | ) | (0.21 | ) | 4.46 | 21.75 | 26.28 | (7) | 137 | 0.94 | (6) | 1.07 | (6) | (0.23 | )(6) | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Value Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 17.72 | 0.02 | (0.61 | ) | (0.59 | ) | (0.03 | ) | — | (0.03 | ) | (0.62 | ) | $ | 17.10 | (3.31 | )%(7) | $ | 117,821 | 1.20 | %(6) | 1.41 | %(6) | 0.26 | %(6) | 12 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 12.66 | 0.04 | 5.11 | 5.15 | (0.09 | ) | — | (0.09 | ) | 5.06 | 17.72 | 40.77 | 135,352 | 1.20 | 1.35 | 0.25 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 11.99 | 0.29 | 0.67 | 0.96 | (0.29 | ) | — | (0.29 | ) | 0.67 | 12.66 | 8.13 | 118,741 | 1.29 | (8) | 1.34 | 2.29 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 12.33 | 0.12 | 0.48 | 0.60 | (0.10 | ) | (0.84 | ) | (0.94 | ) | (0.34 | ) | 11.99 | 4.54 | 129,907 | 1.30 | 1.36 | 0.95 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 10.55 | 0.15 | 1.69 | 1.84 | (0.06 | ) | — | (0.06 | ) | 1.78 | 12.33 | 17.40 | 151,281 | 1.30 | 1.41 | 1.34 | 69 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 8.77 | 0.01 | 1.81 | 1.82 | (0.04 | ) | — | (0.04 | ) | 1.78 | 10.55 | 20.90 | 38,421 | 1.30 | 1.51 | 0.14 | 153 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
38
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(4) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Allocation Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 6/30/14(9) | $ | 14.41 | 0.14 | 0.76 | 0.90 | (0.16 | ) | (0.20 | ) | (0.36 | ) | 0.54 | $ | 14.95 | 6.27 | %(7) | $ | 136,721 | 0.98 | %(6) | 1.10 | %(6) | 1.89 | %(6) | 17 | %(7) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 13.48 | 0.27 | 2.13 | 2.40 | (0.29 | ) | (1.18 | ) | (1.47 | ) | 0.93 | 14.41 | 17.99 | 137,453 | 0.98 | 1.06 | 1.88 | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 12.17 | 0.29 | 1.33 | 1.62 | (0.31 | ) | — | (0.31 | ) | 1.31 | 13.48 | 13.42 | 135,046 | 0.87 | (8) | 1.05 | 2.18 | 72 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/11 to 12/31/11 | 12.22 | 0.30 | (0.06 | ) | 0.24 | (0.29 | ) | — | (0.29 | ) | (0.05 | ) | 12.17 | 1.91 | 138,124 | 0.85 | 1.07 | 2.39 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/10 to 12/31/10 | 11.11 | 0.30 | 1.14 | 1.44 | (0.33 | ) | — | (0.33 | ) | 1.11 | 12.22 | 13.20 | 158,322 | 0.85 | 0.96 | 2.61 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/09 to 12/31/09 | 9.25 | 0.29 | 1.94 | 2.23 | (0.37 | ) | — | (0.37 | ) | 1.86 | 11.11 | 24.51 | 170,247 | 0.85 | 0.95 | 2.98 | 89 |
Footnote Legend:
(1) | Computed using average shares outstanding. |
(2) | Series is currently under its expense limitation. |
(3) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(4) | Each Series will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(5) | Inception date |
(6) | Annualized |
(7) | Not Annualized |
(8) | Blended net expense ratio. |
(9) | Unaudited. |
(10) | See Note 3D in the Notes to Financial Statements for information on recapture of expenses previously waived. |
(11) | Prior to recapture of previously waived expenses, the gross ratio was 1.62% and 1.38% for Class A and Class I respectively. |
See Notes to Financial Statements
39
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2014 (Unaudited)
Note 1—Organization
Virtus Variable Insurance Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust was formed on February 18, 1986 as a Massachusetts business trust, commenced operations on December 5, 1986 and was reorganized as a Delaware statutory trust on February 14, 2011.
The Trust is organized with series, which are currently available only to separate accounts of participating insurance companies to fund variable accumulation annuity contracts and variable universal life insurance policies. As of the date of this report the Trust is comprised of nine series (each a “Series”), each having a distinct investment objective as outlined below.
Series Name | Each Series Seeks to Provide | |
Capital Growth Series | Long-term growth of capital | |
Growth and Income Series | Capital appreciation and current income | |
International Series | High total return consistent with reasonable risk | |
Multi-Sector Fixed Income Series | Long-term total return | |
Premium AlphaSector® Series | Long-term capital appreciation | |
Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis | |
Small-Cap Growth Series | Long-term capital growth | |
Small-Cap Value Series | Long-term capital appreciation | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk |
Each Series offers Class A shares, and the International Series, Multi-Sector Fixed Income Series, Premium AlphaSector® Series, Real Estate Securities Series and Small-Cap Growth Series also offer Class I shares.
Note 2—Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
Security valuation procedures for each Series, which include nightly price variance as well as back-testing such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board” or the “Trustees”). All internally fair valued securities are approved by a valuation committee (the “Valuation Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified to the Board, and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of any model inputs and any changes to the model. Fair valuations are reviewed by the Board at least quarterly.
Each Series utilizes a fair value hierarchy, which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.
Ÿ Level 1 – | quoted prices in active markets for identical securities | |
Ÿ Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | |
Ÿ Level 3 – | prices determined using significant unobservable inputs (including the valuation committee’s own assumptions in determining the fair value of investments) |
A description of the valuation techniques applied to a Series’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the valuation committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Series calculates its net asset value (“NAV”) (generally 4 p.m. Eastern time, the close of the New York Stock Exchange (“NYSE”)) that may impact the value of securities traded in these non-U.S. markets. In such cases a Series fair values non-U.S. securities using an external pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, 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
40
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2014 (Unaudited)
categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives 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 are valued as of the close of regular trading on the NYSE each business day. Both types of investment companies are categorized as Level 1 in the hierarchy.
Short-term notes having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market, and are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value a Series’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Series. The inputs or methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from sales of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date, or in the case of certain non-U.S. securities, as soon as the Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method.
Dividend income from investments in real estate investment trusts (“REITs”) is recorded using management’s estimate of the income included in distributions received from such investments, distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
Each Series is treated as a separate taxable entity. Each Series intends to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
Certain Series may be subject to non-U.S. taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements.
As of June 30, 2014, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2010 forward (with limited exceptions).
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences may include the treatment of non-taxable dividends, market premium and discount, non-deductible expenses, expiring capital loss carryovers, non-U.S. currency gain or loss, gain or loss on futures contracts, partnerships, operating losses and losses deferred due to wash sales. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital paid in on shares of beneficial interest.
E. | Expenses |
Expenses incurred together by a Series and other affiliated mutual funds are allocated in proportion to the net assets of each such Series/fund, except where allocation of direct expense to each Series/fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro-rata expenses of any underlying mutual funds in which the Series invests.
F. | Foreign Currency Translation |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and paid is treated as a gain or loss on foreign currency. The Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
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JUNE 30, 2014 (Unaudited)
G. | Loan Agreements |
Certain Series may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan Agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Series may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Series’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Series has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Series generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Series may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Series purchases assignments from lenders it acquires direct rights against the borrower on the loan.
A Series may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased the Series may pay an assignment fee. On an ongoing basis, the Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
At June 30, 2014, all loan agreements held by the Series are assignment loans.
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable a Series to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Series records when-issued and delayed delivery securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or delayed delivery basis begin earning interest on the settlement date.
I. | Securities Lending |
Certain Series may loan securities to qualified brokers through an agreement with Brown Brothers Harriman (“BBH”), as a third party lending agent. Under the terms of the agreement, a Series is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Series net of fees and rebates charged by BBH for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. At June 30, 2014, the following Series had securities on loan ($ reported in thousands):
Market Value | Cash Collateral | |||||||
Growth and Income Series | $ | 2,834 | $ | 2,887 | ||||
Strategic Allocation Series | 1,558 | 1,586 |
Securities lending for all Series was suspended effective June 23, 2014. All recalls were initiated as of that date and all loans were returned after the period ended June 30, 2014.
Note 3—Investment Advisory Fees and Related Party Transactions
($ reported in thousands except as noted)
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the Adviser to the Trust. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadvisers.
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JUNE 30, 2014 (Unaudited)
As compensation for its service to the Series, the Adviser is entitled to a fee based upon the following annual rates as a percentage of the average daily net assets of each Series:
Series | First $250 Million | Next $250 Million | Over $500 Million | |||||||||
Capital Growth Series | 0.70 | % | 0.65 | % | 0.60 | % | ||||||
Growth & Income Series | 0.70 | 0.65 | 0.60 | |||||||||
International Series | 0.75 | 0.70 | 0.65 | |||||||||
Multi-Sector Fixed Income Series | 0.50 | 0.45 | 0.40 | |||||||||
Strategic Allocation Series | 0.60 | 0.55 | 0.50 | |||||||||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||||||||
Real Estate Securities Series | 0.75 | % | 0.70 | % | 0.65 | % | ||||||
First $1 Billion | $1+ Billion | |||||||||||
Small-Cap Growth Series | 0.85 | % | 0.80 | % | ||||||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||||||||
Small-Cap Value Series | 0.90 | % | 0.85 | % | 0.80 | % | ||||||
Rate | ||||||||||||
Premium AlphaSector® Series | 1.10 | % |
B. | Subadvisers |
The subadvisers manage the investments of each Series, for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve is as follows:
Series | Subadviser | |
Capital Growth Series | Kayne Anderson Rudnick Investment Management LLC (“KAR”)* | |
Growth & Income Series | Euclid Advisors LLC (“Euclid”)* | |
International Series | Aberdeen Asset Management, Inc. | |
Multi-Sector Fixed Income Series | Newfleet Asset Management, LLC (“NF”)* |
Series | Subadviser | |
Premium AlphaSector® Series | F-Squared Institutional Advisors, LLC and Euclid* | |
Real Estate Securities Series | Duff & Phelps Investment Management Co.* | |
Small-Cap Growth Series | KAR* | |
Small-Cap Value Series | KAR* | |
Strategic Allocation Series : | ||
Equity Portfolio | Euclid* | |
Fixed Income Portfolio | NF* |
* | An indirect wholly-owned subsidiary of Virtus. |
C. | Expense Limits |
The Adviser has extended the contractual agreement to limit total operating expenses of certain Series of the Trust through April 30, 2015, (excluding interest, taxes, extraordinary expenses and acquired fund fees and expenses, if any) so that such expenses do not exceed the following percentages of average net assets:
Maximum Total Operating Expenses | ||||||||
Class A | Class I | |||||||
Capital Growth Series | 1.03 | % | — | |||||
Growth & Income Series | 0.98 | — | ||||||
International Series | 1.18 | 0.93 | % | |||||
Multi-Sector Fixed Income Series | 0.94 | 0.69 | ||||||
Premium AlphaSector® Series | 1.70 | 1.45 | ||||||
Real Estate Securities Series | 1.16 | 0.91 | ||||||
Small-Cap Growth Series | 1.19 | 0.94 | ||||||
Small-Cap Value Series | 1.20 | — | ||||||
Strategic Allocation Series | 0.98 | — |
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NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2014 (Unaudited)
D. | Expense Recapture |
The Adviser may recapture operating expenses waived or reimbursed under this arrangement, within three fiscal years following the end of the fiscal year in which such waiver or reimbursement occurred. Each Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with applicable expense limitations. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending:
Expiration Date | ||||||||||||||||
2014 | 2015 | 2016 | Total | |||||||||||||
Capital Growth Series | $ | 423 | $ | 334 | $ | 211 | $ | 968 | ||||||||
Growth & Income Series | 449 | 335 | 231 | 1,015 | ||||||||||||
International Series | 613 | 407 | — | 1,020 | ||||||||||||
Multi-Sector Fixed Income Series | 466 | 327 | 34 | 827 | ||||||||||||
Premium AlphaSector® Series* | 49 | 8 | 9 | 66 | ||||||||||||
Real Estate Securities Series | 133 | 95 | 57 | 285 | ||||||||||||
Small-Cap Growth Series | 205 | 155 | 88 | 448 | ||||||||||||
Small-Cap Value Series | 91 | 69 | 194 | 354 | ||||||||||||
Strategic Allocation Series | 330 | 253 | 112 | 695 |
* | The Adviser is currently recapturing previously waived or reimbursed expenses. |
E. | Administrator and Distributor |
Virtus Fund Services, LLC, an indirect wholly-owned subsidiary of Virtus serves as Administrator to the Series.
For the six months ended June 30, 2014 (the “period”), the Series incurred administration fees, totaling $632, which are included in the Statement of Operations. A portion of these fees was paid to an outside entity that also provides services to the Series.
VP Distributors LLC (“VP Distributors”), an indirect wholly-owned subsidiary of Virtus serves as the distributor for all the Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended June 30, 2014, the Series incurred distribution fees totaling $1,591, which are included in the Statement of Operations. A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners.
F. | Affiliated Accounts |
At June 30, 2014, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of certain Series which may be redeemed at any time that aggregate the following:
Shares | Aggregate Net Asset Value | |||||||
International Series | ||||||||
Class I | 5,645 | $ | 110 | |||||
Multi-Sector Fixed Income Series | ||||||||
Class I | 10,666 | 105 | ||||||
Premium AlphaSector® Series | ||||||||
Class I | 8,659 | 122 | ||||||
Real Estate Securities Series | ||||||||
Class I | 4,003 | 106 | ||||||
Small-Cap Growth Series | ||||||||
Class I | 5,959 | 122 |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds or variable annuities selected by the Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at June 30, 2014.
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NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2014 (Unaudited)
Note 4—Purchases and Sales of Securities
($ reported in thousands except as noted)
Purchases and sales of securities (excluding U.S. Government and agency securities and short-term investments) during the period ended June 30, 2014, were as follows:
Purchases | Sales | |||||||
Capital Growth Series | $ | 23,915 | $ | 35,610 | ||||
Growth and Income Series | 22,347 | 34,669 | ||||||
International Series | 13,530 | 29,436 | ||||||
Multi-Sector Fixed Income Series | 48,047 | 49,717 | ||||||
Premium AlphaSector® Series | 40,436 | 28,984 | ||||||
Real Estate Securities Series | 7,067 | 11,576 | ||||||
Small-Cap Growth Series | 6,129 | 11,273 | ||||||
Small-Cap Value Series | 14,803 | 29,872 | ||||||
Strategic Allocation Series | 21,218 | 26,348 |
Purchases and sales of long-term U.S. Government and agency securities during the period ended June 30, 2014, were as follows:
Purchases | Sales | |||||||
Strategic Allocation Series | $ | 1,148 | $ | 2,487 |
Note 5—Credit Risk and Asset Concentrations
In countries with limited or developing markets, investments may present greater risks than in more developed markets, and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Series’ ability to repatriate such amounts.
High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadvisers to accurately predict risk.
Certain Series may invest in ETFs, which may expose the Series to the risk that the value of an ETF will be more volatile than the underlying portfolio of securities the ETF is designed to track, or that the costs to the Series of owning shares of the ETF will exceed those the Series would incur by investing in such securities directly.
Investing in sector funds or non-diversified funds may be more volatile than investing in broadly diversified funds, and may be more susceptible to adverse economic, political or regulatory developments affecting a single issuer than would be the case if it were more broadly diversified.
Certain Series may invest a high percentage of their assets in specific sectors of the market in the pursuit of their investments objectives. Fluctuations in these sectors of concentration may have a greater impact on a Series, positive or negative, than if the Series did not concentrate its investments in such sectors.
At June 30, 2014, the Series below held securities in specific sectors as detailed below:
Series | Sector | Percentage of Total Investments | ||||
Capital Growth Series | Information Technology | 34 | % | |||
Small-Cap Growth Series | Information Technology | 32 | ||||
Small-Cap Value Series | Information Technology | 25 |
Note 6—Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of in seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Series. Additionally, the following information is also considered in determining illiquidity: the frequency of trades and quotes for the investment; whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price; the extent of market making activity in the investment; and the nature of the market for investment. Illiquid securities are noted as such within each Series’ Schedule of Investments where applicable. However, a portion of such footnoted securities could be liquid where the subadviser determines that some, not all of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Series.
Restricted securities are illiquid securities as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Series will bear any costs, including those involved in registration under the 1933 Act in connection with the disposition of such securities.
At June 30, 2014, the Series did not hold any securities that were both illiquid and restricted.
Note 7—Indemnifications
Under the Trust’s organizational documents and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its Series. In addition in the normal course of business, the Series
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NOTES TO FINANCIAL STATEMENTS (Continued)
JUNE 30, 2014 (Unaudited)
enter into contracts that provide a variety of indemnifications to other parties. The Series’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Series and that have not occurred. However, the Series have not had prior claims or losses pursuant to these arrangements and expect the risk of loss to be remote.
Note 8—Manager of Managers
The Trust and the Adviser have each received an exemptive order from the SEC that permits the Adviser, subject to certain conditions and without the approval of shareholders to: (a) employ a new unaffiliated subadviser for a Series pursuant to the terms of a new subadvisory agreement, in each case either as a replacement for an existing subadviser or as an additional subadviser; (b) change the terms of any subadvisory agreement; and (c) continue the employment of an existing subadviser on the same subadvisory agreement terms where an agreement has been assigned because of a change in control of the subadviser. In such circumstances, shareholders would receive notice of such action, including the information concerning the new subadviser that normally is provided in a proxy statement.
Note 9—Mixed and Shared Funding
Shares of the Series are not directly offered to the public. Shares of the Series are currently offered through separate accounts to fund variable accumulation annuity contracts and variable universal life insurance policies issued by participating insurance companies.
The interests of variable annuity contract owners and variable life policy owners could diverge based on differences in U.S. federal and state regulatory requirements, tax laws, investment management or other unanticipated developments. The Trust’s Trustees do not foresee any such differences or disadvantages at this time. However, the Trust’s Trustees intend to monitor for any material conflicts and will determine what action, if any, should be taken in response to such conflicts. If such a conflict should occur, one or more separate accounts may be required to withdraw its investment in the Series, or shares of another Series may be substituted.
Note 10—Federal Income Tax Information
($ reported in thousands except as noted)
At June 30, 2014, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by each Series were as follows:
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Capital Growth Series | $ | 143,831 | $ | 70,038 | $ | (1,511 | ) | $ | 68,527 | |||||||
Growth & Income Series | 99,943 | 47,617 | (464 | ) | 47,153 | |||||||||||
International Series | 198,409 | 123,536 | (5,282 | ) | 118,254 | |||||||||||
Multi-Sector Fixed Income Series | 168,935 | 8,747 | (2,097 | ) | 6,650 | |||||||||||
Premium AlphaSector® Series | 28,868 | 2,952 | (79 | ) | 2,873 | |||||||||||
Real Estate Securities Series | 56,935 | 44,841 | (279 | ) | 44,562 | |||||||||||
Small-Cap Growth Series | 45,549 | 18,254 | (14 | ) | 18,240 | |||||||||||
Small-Cap Value Series | 85,553 | 33,113 | (1,096 | ) | 32,017 | |||||||||||
Strategic Allocation Series | 109,665 | 28,684 | (498 | ) | 28,186 |
(1) | Amount less than $500. |
The following Series have capital loss carryovers, which may be used to offset future capital gains, as follows:
Expiration Year | ||||||||||||
Series | 2016 | 2017 | Total | |||||||||
Capital Growth Series | $ | 29,867 | $ | 26,333 | $ | 56,200 | ||||||
International Series | — | 15,194 | 15,194 | |||||||||
Multi-Sector Fixed Income Series | — | 3,391 | 3,391 | |||||||||
Small-Cap Value Series | 7,014 | — | 7,014 |
The Trust may not realize the benefit of these losses to the extent each Series does not realize gains on investments prior to the expiration of the capital loss carryovers. The Small-Cap Value Series amount includes losses acquired in connection with mergers. Utilization of this capital loss carryover is subject to annual limits.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
Note 11—Subsequent Events
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were available for issuance, and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements:
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VIRTUS VARIABLE INSURANCE TRUST
100 Pearl Street
Hartford, CT 06103-4506
Trustees
George R. Aylward
Thomas J. Brown
Roger A. Gelfenbien
Eunice S. Groark
John R. Mallin
Hassell H. McClellan
Philip R. McLoughlin
Officers
George R. Aylward, President
Francis G. Waltman, Executive Vice President
W. Patrick Bradley, Senior Vice President, Chief Financial Officer and Treasurer
Nancy J. Engberg, Vice President and Chief Compliance Officer
Jennifer Fromm, Vice President, Chief Legal Officer, Counsel and Secretary
Yvonne I. Pytlik, Anti-Money Laundering Compliance Officer
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Transfer Agent
Bank of New York Mellon
4400 Computer Drive
Westborough, MA 01581-1722
Custodian
JPMorgan Chase Bank NA
1 Chase Manhattan Plaza
New York, NY 10005-1401
How to Contact Us
Mutual Fund Services1-800-367-5877
Web sitewww.Virtus.com
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
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For more information about the Virtus Variable Insurance Trust, please contact us at 1-800-367-5877 or Virtus.com.
8508 | 08-14 |
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Variable Insurance Trust
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date 09/05/14
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date 09/05/14
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Senior Vice President, Chief Financial Officer and Treasurer | ||
(principal financial officer) |
Date 09/05/14
* Print the name and title of each signing officer under his or her signature.