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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, 2018
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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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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SEMIANNUAL REPORT VIRTUS VARIABLE INSURANCE TRUST | ||
June 30, 2018
Virtus Duff & Phelps International Series |
Virtus Duff & Phelps Real Estate Securities Series |
Virtus KAR Capital Growth Series |
Virtus KAR Small-Cap Growth Series |
Virtus KAR Small-Cap Value Series |
Virtus Newfleet Multi-Sector Intermediate Bond Series |
Virtus Rampart Enhanced Core Equity Series |
Virtus Strategic Allocation Series |
The Semiannual Report describes one or more Series available for underlying investment |
Not FDIC Insured
No Bank Guarantee
May Lose Value
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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 Board of 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 1-800-367-5877. 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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To Virtus Variable Insurance Trust Investors:
I am pleased to present this semiannual report that reviews the performance of your Series for the six months ended June 30, 2018.
U.S. economic growth and strong corporate earnings were strong themes during the period, which began on an optimistic note following the sweeping tax overhaul signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming an upward course. Meanwhile, persistent economic strength moved the Federal Reserve to hike its key interest rate in March – and again in June – to end at 2.00%, its highest level in nearly a decade.
For the six months ended June 30, 2018, U.S. small-cap stocks, as measured by the Russell 2000® Index, returned 7.66%, outpacing large-cap stocks, which returned 2.65%, as measured by the S&P 500® Index. Within international equities, both emerging and developed markets declined, with the MSCI EAFE® Index (net) down 2.75% and the MSCI Emerging Markets Index (net) down 6.66%.
Demand for U.S. Treasuries remained strong, as foreign investors continued to favor their yield advantage and credit quality over many foreign government bonds. The yield on the 10-year Treasury was 2.85% at June 30, 2018, up from 2.40% at December 31, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.62% for the six months. Non-investment grade bonds eked out a slightly positive return of 0.16%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your variable investment portfolio is adequately diversified across asset classes and investment strategies.
On behalf of our investment affiliates, thank you for entrusting assets to the Virtus Variable Insurance Trust. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-367-5877. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward
President, Virtus Variable Insurance Trust
August 2018
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above.
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VIRTUS VARIABLE INSURANCE TRUST
DISCLOSURE OF SERIES EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF JANUARY 1, 2018 TO JUNE 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Virtus Variable Insurance Trust Series (each a “Series”), you incur ongoing costs including investment advisory fees and other expenses. These 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 examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period.
Please note that the expenses shown in the accompanying tables 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, the accompanying tables are 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.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value January 1, 2018 | Ending Account Value June 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Duff & Phelps International Series | Class A | $ | 1,000.00 | $ | 997.30 | 1.18 | % | $ | 5.84 | |||||||||
Class I | 1,000.00 | 998.90 | 0.93 | 4.61 | ||||||||||||||
Duff & Phelps Real Estate Securities Series | Class A | 1,000.00 | 1,008.60 | 1.16 | 5.78 | |||||||||||||
Class I | 1,000.00 | 1,009.70 | 0.91 | 4.53 | ||||||||||||||
KAR Capital Growth Series | Class A | 1,000.00 | 1,096.00 | 1.03 | 5.35 | |||||||||||||
KAR Small-Cap Growth Series | Class A | 1,000.00 | 1,245.20 | 1.19 | 6.62 | |||||||||||||
Class I | 1,000.00 | 1,246.80 | 0.94 | 5.24 | ||||||||||||||
KAR Small-Cap Value Series | Class A | 1,000.00 | 987.70 | 1.20 | 5.91 | |||||||||||||
Newfleet Multi-Sector Intermediate Bond Series | Class A | 1,000.00 | 981.50 | 0.93 | 4.57 | |||||||||||||
Class I | 1,000.00 | 981.50 | 0.68 | 3.34 | ||||||||||||||
Rampart Enhanced Core Equity Series | Class A | 1,000.00 | 955.00 | 0.98 | 4.75 | |||||||||||||
Strategic Allocation Series | Class A | 1,000.00 | 1,041.80 | 0.98 | 4.96 |
* | 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 to reflect the one-half year period. |
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 expense ratios 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 that Series’ prospectus and the contract prospectus.
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VIRTUS VARIABLE INSURANCE TRUST
DISCLOSURE OF SERIES EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF JANUARY 1, 2018 TO JUNE 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.
Beginning Account Value January 1, 2018 | Ending Account Value June 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Duff & Phelps International Series | Class A | $ | 1,000.00 | $ | 1,018.94 | 1.18 | % | $ | 5.91 | |||||||||
Class I | 1,000.00 | 1,020.18 | 0.93 | 4.66 | ||||||||||||||
Duff & Phelps Real Estate Securities Series | Class A | 1,000.00 | 1,019.04 | 1.16 | 5.81 | |||||||||||||
Class I | 1,000.00 | 1,020.28 | 0.91 | 4.56 | ||||||||||||||
KAR Capital Growth Series | Class A | 1,000.00 | 1,019.69 | 1.03 | 5.16 | |||||||||||||
KAR Small-Cap Growth Series | Class A | 1,000.00 | 1,018.89 | 1.19 | 5.96 | |||||||||||||
Class I | 1,000.00 | 1,020.13 | 0.94 | 4.71 | ||||||||||||||
KAR Small-Cap Value Series | Class A | 1,000.00 | 1,018.84 | 1.20 | 6.01 | |||||||||||||
Newfleet Multi-Sector Intermediate Bond Series | Class A | 1,000.00 | 1,020.18 | 0.93 | 4.66 | |||||||||||||
Class I | 1,000.00 | 1,021.42 | 0.68 | 3.41 | ||||||||||||||
Rampart Enhanced Core Equity Series | Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 | |||||||||||||
Strategic Allocation Series | Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 |
* | 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 to reflect the one-half year period. |
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 expense ratios 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 that Series’ prospectus and the contract prospectus.
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American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg 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.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate 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.
Exchange-Traded Fund (“ETF”)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., 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.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks charge each other for short term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net 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.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net 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.
Payment-in-Kind Security (“PIK”)
A bond which pays interest in the form of additional bonds, or preferred stock which pays dividends in the form of additional preferred stock.
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops, and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 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.
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.
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KEY INVESTMENT TERMS (Continued)
Sponsored ADR (American Depositary Receipt)
An ADR which 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 New York Stock Exchange (“NYSE”).
Treasury Yield
The return on investment, expressed as a percentage, on the U.S. government’s debt obligations (bonds, notes and bills). The Treasury yield is considered a bellwether of the U.S. economy; the higher the yields on 10-, 20- and 30-year Treasuries, the better the economic outlook.
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VIRTUS VARIABLE INSURANCE TRUST
PORTFOLIO HOLDINGS SUMMARY WEIGHTINGS (Unaudited)
JUNE 30, 2018
For each Series, the following tables present asset allocations within certain sectors as a percentage of total investments as of June 30, 2018.
Duff & Phelps International Series | ||||
Financials | 21 | % | ||
Industrials | 18 | |||
Information Technology | 11 | |||
Consumer Discretionary | 9 | |||
Energy | 9 | |||
Health Care | 8 | |||
Materials | 7 | |||
Other (includes short-term investment) | 17 | |||
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Total | 100 | % | ||
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Duff & Phelps Real Estate Securities Series | ||||
Apartments | 17 | % | ||
Office | 16 | |||
Data Centers | 14 | |||
Industrials | 12 | |||
Lodging/Resorts | 8 | |||
Shopping Centers | 6 | |||
Self Storage | 6 | |||
Other (includes short-term investment) | 21 | |||
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Total | 100 | % | ||
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KAR Capital Growth Series | ||||
Information Technology | 38 | % | ||
Consumer Discretionary | 29 | |||
Health Care | 8 | |||
Industrials | 8 | |||
Financials | 6 | |||
Consumer Staples | 5 | |||
Energy | 4 | |||
Other (includes short-term investment) | 2 | |||
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Total | 100 | % | ||
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KAR Small-Cap Growth Series | ||||
Information Technology | 37 | % | ||
Industrials | 20 | |||
Financials | 17 | |||
Consumer Discretionary | 12 | |||
Health Care | 5 | |||
Consumer Staples | 5 | |||
Other (includes short-term investment) | 4 | |||
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Total | 100 | % | ||
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KAR Small-Cap Value Series | ||||
Industrials | 21 | % | ||
Financials | 18 | |||
Information Technology | 15 | |||
Consumer Discretionary | 15 | |||
Real Estate | 12 | |||
Consumer Staples | 7 | |||
Energy | 5 | |||
Other (includes short-term investment) | 7 | |||
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Total | 100 | % | ||
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Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Corporate Bonds and Notes | 49 | % | ||||||
Financials | 13 | % | ||||||
Energy | 9 | |||||||
Consumer Discretionary | 5 | |||||||
All other Corporate Bonds and Notes | 22 | |||||||
Mortgage-Backed Securities | 14 | |||||||
Leveraged Loans | 13 | |||||||
Foreign Government Securities | 9 | |||||||
Asset-Backed Securities | 7 | |||||||
Preferred Stocks | 3 | |||||||
Other (includes short-term investment) | 5 | |||||||
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Total | 100 | % | ||||||
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Rampart Enhanced Core Equity Series | ||||
Information Technology | 26 | % | ||
Consumer Discretionary | 13 | |||
Financials | 13 | |||
Health Care | 13 | |||
Industrials | 9 | |||
Consumer Staples | 7 | |||
Energy | 6 | |||
Other (includes purchased and written options and short-term investments) | 13 | |||
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Total | 100 | % | ||
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Strategic Allocation Series | ||||||||
Common Stocks | 62 | % | ||||||
Information Technology | 20 | % | ||||||
Consumer Discretionary | 15 | |||||||
Industrials | 6 | |||||||
All other Common Stocks | 21 | |||||||
Corporate Bonds and Notes | 16 | |||||||
Financials | 5 | |||||||
Real Estate | 2 | |||||||
Consumer Discretionary | 2 | |||||||
All other Corporate Bonds and Notes | 7 | |||||||
Mortgage-Backed Securities | 10 | |||||||
U.S. Government Securities | 3 | |||||||
Asset-Backed Securities | 3 | |||||||
Municipal Bonds | 2 | |||||||
Other (includes short-term investment) | 4 | |||||||
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Total | 100 | % | ||||||
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VIRTUS DUFF & PHELPS INTERNATIONAL SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.0% |
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Consumer Discretionary—9.4% |
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Carnival plc (United Kingdom) | 70,363 | $ | 4,037 | |||||
Ctrip.com International Ltd. ADR (China)(1) | 122,708 | 5,844 | ||||||
Sony Corp. (Japan) | 121,920 | 6,237 | ||||||
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16,118 | ||||||||
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Consumer Staples—5.0% |
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Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 52,012 | 4,566 | ||||||
Marine Harvest ASA (Norway) | 198,741 | 3,952 | ||||||
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8,518 | ||||||||
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Energy—9.2% |
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Eni SpA (Italy) | 273,668 | 5,074 | ||||||
Equinor ASA (Norway) | 210,850 | 5,576 | ||||||
TechnipFMC plc (France) | 160,896 | 5,117 | ||||||
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15,767 | ||||||||
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Financials—20.7% |
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BOC Hong Kong Holdings Ltd. (Hong Kong) | 983,000 | 4,629 | ||||||
CaixaBank SA (Spain) | 1,092,090 | 4,701 | ||||||
China Construction Bank Corp. Class H (China) | 5,720,000 | 5,286 | ||||||
Credit Agricole SA (France) | 307,425 | 4,080 | ||||||
DBS Group Holdings Ltd. (Singapore) | 352,410 | 6,883 | ||||||
ORIX Corp. (Japan) | 330,090 | 5,223 | ||||||
UBS Group AG Registered Shares (Switzerland) | 309,048 | 4,738 | ||||||
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35,540 | ||||||||
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Health Care—8.1% |
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Allergan plc (Ireland) | 34,195 | 5,701 | ||||||
Bayer AG Registered Shares (Germany) | 38,814 | 4,263 | ||||||
ICON plc (Ireland)(1) | 29,948 | 3,969 | ||||||
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13,933 | ||||||||
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Industrials—17.5% |
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Airbus SE (France) | 50,179 | 5,856 | ||||||
Ashtead Group plc (United Kingdom) | 230,536 | 6,865 | ||||||
easyJet plc (United Kingdom) | 263,264 | 5,792 | ||||||
Golden Ocean Group Ltd. (Norway) | 615,641 | 5,275 | ||||||
Nidec Corp. (Japan) | 41,535 | 6,237 | ||||||
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30,025 | ||||||||
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Information Technology—11.2% |
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Broadcom, Inc. (United States) | 19,942 | 4,839 | ||||||
Check Point Software Technologies Ltd. (Israel)(1) | 41,810 | 4,084 | ||||||
Hitachi Ltd. (Japan) | 825,215 | 5,825 | ||||||
SAP SE (Germany) | 38,289 | 4,419 | ||||||
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19,167 | ||||||||
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Materials—7.3% |
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Anhui Conch Cement Co., Ltd. Class H (China) | 1,266,500 | 7,264 | ||||||
Glencore plc (Switzerland) | 1,114,532 | 5,292 | ||||||
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12,556 | ||||||||
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SHARES | VALUE | |||||||
Real Estate—5.4% |
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British Land Co., plc (The) (United Kingdom) | 489,805 | $ | 4,333 | |||||
LendLease Group (Australia) | 335,166 | 4,914 | ||||||
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9,247 | ||||||||
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Telecommunication Services—2.0% |
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BT Group plc (United Kingdom) | 1,205,694 | 3,459 | ||||||
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Utilities—2.2% |
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Veolia Environnement SA (France) | 172,088 | 3,677 | ||||||
TOTAL COMMON STOCKS (Identified Cost $144,669) | 168,007 | |||||||
TOTAL LONG-TERM INVESTMENTS—98.0% | ||||||||
(Identified Cost $144,669) | 168,007 | |||||||
SHORT-TERM INVESTMENT—2.0% |
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Money Market Mutual Fund—2.0% |
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Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%)(2) | 3,401,759 | 3,402 | ||||||
TOTAL SHORT-TERM INVESTMENT | ||||||||
(Identified Cost $3,402) | 3,402 | |||||||
TOTAL INVESTMENTS—100.0% | ||||||||
(Identified Cost $148,071) | 171,409 | |||||||
Other assets and liabilities, net—0.0% | 16 | |||||||
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NET ASSETS—100.0% | $ | 171,425 | ||||||
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Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | ||||
United Kingdom | 14 | % | ||
Japan | 14 | |||
France | 11 | |||
China | 11 | |||
Norway | 9 | |||
Switzerland | 6 | |||
Ireland | 6 | |||
Other | 29 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2018. |
|
See Notes to Financial Statements
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VIRTUS DUFF & PHELPS INTERNATIONAL SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 168,007 | $ | 85,539 | $ | 82,468 | ||||||
Short-Term Investment | 3,402 | 3,402 | — | |||||||||
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Total Investments | $ | 171,409 | $ | 88,941 | $ | 82,468 | ||||||
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There were no securities valued using significant unobservable inputs (Level 3) at June 30, 2018.
Securities held by the Series with an end of period value of $57,731 were transferred from Level 1 to Level 2 based on our valuation procedures for non-U.S. securities.
There were no other transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
See Notes to Financial Statements
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VIRTUS DUFF & PHELPS REAL ESTATE SECURITIES SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.7% |
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Real Estate Investment Trusts—98.7% |
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Data Centers—13.8% | ||||||||
CoreSite Realty Corp. | 7,876 | $ | 873 | |||||
CyrusOne, Inc. | 32,000 | 1,867 | ||||||
Digital Realty Trust, Inc. | 38,150 | 4,257 | ||||||
Equinix, Inc. | 8,125 | 3,493 | ||||||
|
| |||||||
10,490 | ||||||||
|
| |||||||
Diversified—2.2% |
| |||||||
Vornado Realty Trust | 22,900 | 1,693 | ||||||
|
| |||||||
Health Care—4.4% | ||||||||
Healthcare Realty Trust, Inc. | 32,791 | 953 | ||||||
Healthcare Trust of America, Inc. Class A | 88,600 | 2,389 | ||||||
|
| |||||||
3,342 | ||||||||
|
| |||||||
Industrial/Office—27.4% |
| |||||||
Industrial—12.0% | ||||||||
DCT Industrial Trust, Inc. | 39,757 | 2,653 | ||||||
Duke Realty Corp. | 99,398 | 2,885 | ||||||
Prologis, Inc. | 53,964 | 3,545 | ||||||
|
| |||||||
9,083 | ||||||||
|
| |||||||
Office—15.4% |
| |||||||
Alexandria Real Estate Equities, Inc. | 22,967 | 2,898 | ||||||
Cousins Properties, Inc. | 167,180 | 1,620 | ||||||
Douglas Emmett, Inc. | 49,414 | 1,986 | ||||||
Highwoods Properties, Inc. | 31,167 | 1,581 | ||||||
Kilroy Realty Corp. | 23,164 | 1,752 | ||||||
Paramount Group, Inc. | 118,860 | 1,830 | ||||||
|
| |||||||
11,667 | ||||||||
|
| |||||||
Total Industrial/Office | 20,750 | |||||||
|
| |||||||
Lodging/Resorts—7.9% |
| |||||||
Host Hotels & Resorts, Inc. | 146,304 | 3,083 | ||||||
RLJ Lodging Trust | 83,553 | 1,842 | ||||||
Summit Hotel Properties, Inc. | 72,400 | 1,036 | ||||||
|
| |||||||
5,961 | ||||||||
|
| |||||||
Residential—25.3% |
| |||||||
Apartments—17.2% |
| |||||||
Apartment Investment & Management Co. Class A | 57,900 | 2,449 | ||||||
AvalonBay Communities, Inc. | 23,804 | 4,092 | ||||||
Equity Residential | 30,231 | 1,925 | ||||||
Essex Property Trust, Inc. | 8,205 | 1,962 | ||||||
Mid-America Apartment Communities, Inc. | 25,800 | 2,597 | ||||||
|
| |||||||
13,025 | ||||||||
|
| |||||||
Manufactured Homes—4.8% | ||||||||
Equity LifeStyle Properties, Inc. | 9,242 | 849 | ||||||
Sun Communities, Inc. | 28,950 | 2,834 | ||||||
|
| |||||||
3,683 | ||||||||
|
| |||||||
Single Family Homes—3.3% |
| |||||||
American Homes 4 Rent Class A | 113,800 | 2,524 | ||||||
|
| |||||||
Total Residential | 19,232 | |||||||
|
|
SHARES | VALUE | |||||||
Retail—11.6% | ||||||||
Regional Malls—5.2% |
| |||||||
Simon Property Group, Inc. | 23,301 | $ | 3,966 | |||||
|
| |||||||
Shopping Centers—6.4% | ||||||||
Brixmor Property Group, Inc. | 75,302 | 1,312 | ||||||
Federal Realty Investment Trust | 9,100 | 1,152 | ||||||
Regency Centers Corp. | 38,150 | 2,368 | ||||||
|
| |||||||
4,832 | ||||||||
|
| |||||||
Total Retail | 8,798 | |||||||
|
| |||||||
Self Storage—6.1% | ||||||||
CubeSmart | 79,600 | 2,565 | ||||||
Extra Space Storage, Inc. | 20,748 | 2,071 | ||||||
|
| |||||||
4,636 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $54,251) | 74,902 | |||||||
TOTAL LONG-TERM INVESTMENTS—98.7% (Identified Cost $54,251) | 74,902 | |||||||
SHORT-TERM INVESTMENT—0.9% |
| |||||||
Money Market Mutual Fund—0.9% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%)(1) | 657,652 | 658 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $658) | 658 | |||||||
TOTAL INVESTMENTS—99.6% (Identified cost $54,909) | 75,560 | |||||||
Other assets and liabilities, net—0.4% | 330 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 75,890 | ||||||
|
|
Footnote Legend:
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 74,902 | $ | 74,902 | ||||
Short-Term Investment | 658 | 658 | ||||||
|
|
|
| |||||
Total Investments | $ | 75,560 | $ | 75,560 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at June 30, 2018.
There were no transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
See Notes to Financial Statements
9
Table of Contents
VIRTUS KAR CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.3% |
| |||||||
Consumer Discretionary—28.8% |
| |||||||
Amazon.com, Inc.(1) | 10,830 | $ | 18,409 | |||||
Booking Holdings, Inc.(1) | 1,649 | 3,343 | ||||||
Ctrip.com International Ltd. ADR(1) | 75,930 | 3,617 | ||||||
Home Depot, Inc. (The) | 25,158 | 4,908 | ||||||
Las Vegas Sands Corp. | 93,302 | 7,124 | ||||||
McDonald’s Corp. | 18,690 | 2,928 | ||||||
MercadoLibre, Inc. | 6,780 | 2,027 | ||||||
Netflix, Inc.(1) | 29,550 | 11,567 | ||||||
NIKE, Inc. Class B | 64,415 | 5,133 | ||||||
Ross Stores, Inc. | 51,337 | 4,351 | ||||||
Starbucks Corp. | 71,018 | 3,469 | ||||||
|
| |||||||
66,876 | ||||||||
|
| |||||||
Consumer Staples—4.7% |
| |||||||
Monster Beverage Corp.(1) | 128,795 | 7,380 | ||||||
Philip Morris International, Inc. | 45,221 | 3,651 | ||||||
|
| |||||||
11,031 | ||||||||
|
| |||||||
Energy—4.2% |
| |||||||
Cabot Oil & Gas Corp. | 138,383 | 3,293 | ||||||
Core Laboratories N.V. | 21,446 | 2,707 | ||||||
Pioneer Natural Resources Co. | 19,220 | 3,637 | ||||||
|
| |||||||
9,637 | ||||||||
|
| |||||||
Financials—6.4% |
| |||||||
Bank of America Corp. | 249,290 | 7,028 | ||||||
Charles Schwab Corp. (The) | 64,627 | 3,302 | ||||||
MarketAxess Holdings, Inc. | 13,980 | 2,766 | ||||||
SEI Investments Co. | 29,960 | 1,873 | ||||||
|
| |||||||
14,969 | ||||||||
|
| |||||||
Health Care—8.4% |
| |||||||
Bluebird Bio, Inc.(1) | 11,020 | 1,730 | ||||||
Danaher Corp. | 34,367 | 3,391 | ||||||
HealthEquity, Inc.(1) | 62,440 | 4,689 | ||||||
Illumina, Inc.(1) | 15,990 | 4,466 | ||||||
Zoetis, Inc. | 62,014 | 5,283 | ||||||
|
| |||||||
19,559 | ||||||||
|
| |||||||
Industrials—7.5% |
| |||||||
Caterpillar, Inc. | 28,670 | 3,890 | ||||||
CoStar Group, Inc.(1) | 9,930 | 4,097 | ||||||
Kansas City Southern | 29,740 | 3,151 | ||||||
Rockwell Automation, Inc. | 11,200 | 1,862 | ||||||
Roper Technologies, Inc. | 16,122 | 4,448 | ||||||
|
| |||||||
17,448 | ||||||||
|
| |||||||
Information Technology—37.4% |
| |||||||
Accenture plc Class A | 23,321 | 3,815 | ||||||
Activision Blizzard, Inc. | 57,440 | 4,384 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR(1) | 74,958 | 13,907 | ||||||
Amphenol Corp. Class A | 72,184 | 6,291 | ||||||
Arista Networks, Inc.(1) | 12,330 | 3,175 | ||||||
Facebook, Inc. Class A(1) | 70,402 | 13,680 | ||||||
Gartner, Inc.(1) | 18,490 | 2,457 | ||||||
NVIDIA Corp. | 37,440 | 8,870 | ||||||
Paycom Software, Inc.(1) | 45,172 | 4,464 | ||||||
Tencent Holdings Ltd. ADR | 112,390 | 5,648 |
SHARES | VALUE | |||||||
Information Technology—continued |
| |||||||
Visa, Inc. Class A | 72,758 | $ | 9,637 | |||||
Workday, Inc. Class A(1) | 41,910 | 5,076 | ||||||
Yandex N.V. Class A(1) | 152,945 | 5,491 | ||||||
|
| |||||||
86,895 | ||||||||
|
| |||||||
Materials—1.9% |
| |||||||
Ecolab, Inc. | 32,014 | 4,493 | ||||||
TOTAL COMMON STOCKS |
| |||||||
(Identified Cost $117,292) | 230,908 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.3% |
| |||||||
(Identified Cost $117,292) | 230,908 | |||||||
SHORT-TERM INVESTMENT—0.2% |
| |||||||
Money Market Mutual Fund—0.2% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%)(2) | 359,384 | 359 | ||||||
TOTAL SHORT-TERM INVESTMENT |
| |||||||
(Identified Cost $359) | 359 | |||||||
TOTAL INVESTMENTS—99.5% |
| |||||||
(Identified Cost $117,651) | 231,267 | |||||||
Other assets and liabilities, net—0.5% | 1,226 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 232,493 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | ||||
United States | 88 | % | ||
China | 10 | |||
Russia | 2 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2018. |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 230,908 | $ | 230,908 | ||||
Short-Term Investment | 359 | 359 | ||||||
|
|
|
| |||||
Total Investments | $ | 231,267 | $ | 231,267 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at June 30, 2018.
There were no transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
See Notes to Financial Statements
10
Table of Contents
VIRTUS KAR SMALL-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—96.8% |
| |||||||
Consumer Discretionary—12.5% |
| |||||||
Emerald Expositions Events, Inc. | 87,850 | $ | 1,810 | |||||
Fox Factory Holding Corp.(1) | 127,925 | 5,955 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 64,340 | 4,664 | ||||||
|
| |||||||
12,429 | ||||||||
|
| |||||||
Consumer Staples—5.2% |
| |||||||
Chefs’ Warehouse, Inc. (The)(1) | 124,350 | 3,544 | ||||||
PriceSmart, Inc. | 18,500 | 1,674 | ||||||
|
| |||||||
5,218 | ||||||||
|
| |||||||
Financials—16.7% |
| |||||||
FactSet Research Systems, Inc. | 11,300 | 2,239 | ||||||
Interactive Brokers Group, Inc. Class A | 84,930 | 5,470 | ||||||
MarketAxess Holdings, Inc. | 10,150 | 2,008 | ||||||
Moelis & Co. Class A | 55,780 | 3,272 | ||||||
Morningstar, Inc. | 28,840 | 3,699 | ||||||
|
| |||||||
16,688 | ||||||||
|
| |||||||
Health Care—5.4% |
| |||||||
National Research Corp. | 83,240 | 3,113 | ||||||
U.S. Physical Therapy, Inc. | 24,000 | 2,304 | ||||||
|
| |||||||
5,417 | ||||||||
|
| |||||||
Industrials—19.6% |
| |||||||
AAON, Inc. | 91,200 | 3,032 | ||||||
Copart, Inc.(1) | 77,700 | 4,395 | ||||||
HEICO Corp. Class A | 70,078 | 4,271 | ||||||
Old Dominion Freight Line, Inc. | 30,200 | 4,499 | ||||||
Omega Flex, Inc. | 41,699 | 3,299 | ||||||
|
| |||||||
19,496 | ||||||||
|
| |||||||
Information Technology—37.4% |
| |||||||
ANSYS, Inc.(1) | 14,470 | 2,520 | ||||||
Aspen Technology, Inc.(1) | 42,920 | 3,980 | ||||||
Auto Trader Group plc | 800,000 | 4,484 | ||||||
Autohome, Inc. ADR | 89,370 | 9,026 | ||||||
DocuSign, Inc.(1) | 47,685 | 2,525 | ||||||
Ellie Mae, Inc.(1) | 20,000 | 2,077 | ||||||
Mesa Laboratories, Inc. | 7,035 | 1,485 | ||||||
NVE Corp. | 39,200 | 4,774 | ||||||
Paycom Software, Inc.(1) | 14,700 | 1,453 | ||||||
Rightmove plc | 71,000 | 4,963 | ||||||
|
| |||||||
37,287 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $43,750) | 96,535 | |||||||
TOTAL LONG-TERM INVESTMENTS—96.8% | ||||||||
(Identified Cost $43,750) | 96,535 |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENT—3.3% |
| |||||||
Money Market Mutual Fund—3.3% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%)(2) | 3,298,980 | $ | 3,299 | |||||
TOTAL SHORT-TERM INVESTMENT | ||||||||
(Identified Cost $3,299) | 3,299 | |||||||
TOTAL INVESTMENTS—100.1% | ||||||||
(Identified Cost $47,049) | 99,834 | |||||||
Other assets and liabilities, net—(0.1)% | (131 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 99,703 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | ||||
United States | 82 | % | ||
United Kingdom | 9 | |||
China | 9 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2018. |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 96,535 | $ | 87,088 | $ | 9,447 | ||||||
Short-Term Investment | 3,299 | 3,299 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 99,834 | $ | 90,387 | $ | 9,447 | | |||||
|
|
|
|
|
|
There were no securities valued using significant unobservable inputs (Level 3) at June 30, 2018.
Securities held by the Series with an end of period value of $4,963 were transferred from Level 1 to Level 2 based on our valuation procedures for non-U.S. securities.
There were no other transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
See Notes to Financial Statements
11
Table of Contents
VIRTUS KAR SMALL-CAP VALUE SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.7% |
| |||||||
Consumer Discretionary—15.0% |
| |||||||
Cheesecake Factory, Inc. (The) | 82,750 | $ | 4,556 | |||||
Cinemark Holdings, Inc. | 84,900 | 2,978 | ||||||
Sally Beauty Holdings, Inc.(1) | 149,752 | 2,401 | ||||||
Thor Industries, Inc. | 32,100 | 3,126 | ||||||
|
| |||||||
13,061 | ||||||||
|
| |||||||
Consumer Staples—6.7% |
| |||||||
National Beverage Corp.(1) | 35,450 | 3,790 | ||||||
WD-40 Co. | 14,000 | 2,047 | ||||||
|
| |||||||
5,837 | ||||||||
|
| |||||||
Energy—4.6% |
| |||||||
Core Laboratories N.V. | 31,800 | 4,014 | ||||||
|
| |||||||
Financials—18.5% |
| |||||||
Artisan Partners Asset Management, Inc. Class A | 73,200 | 2,207 | ||||||
Bank of Hawaii Corp. | 40,170 | 3,351 | ||||||
First Financial Bankshares, Inc. | 46,720 | 2,378 | ||||||
Houlihan Lokey, Inc. | 57,520 | 2,946 | ||||||
Primerica, Inc. | 30,728 | 3,061 | ||||||
RLI Corp. | 32,850 | 2,174 | ||||||
|
| |||||||
16,117 | ||||||||
|
| |||||||
Health Care—2.1% |
| |||||||
Anika Therapeutics, Inc.(1) | 56,830 | 1,819 | ||||||
|
| |||||||
Industrials—20.9% |
| |||||||
Graco, Inc. | 63,610 | 2,877 | ||||||
Landstar System, Inc. | 25,730 | 2,810 | ||||||
Lincoln Electric Holdings, Inc. | 20,010 | 1,756 | ||||||
RBC Bearings, Inc.(1) | 29,100 | 3,748 | ||||||
SiteOne Landscape Supply, Inc.(1) | 50,448 | 4,236 | ||||||
Watsco, Inc. | 16,050 | 2,861 | ||||||
|
| |||||||
18,288 | ||||||||
|
| |||||||
Information Technology—15.0% |
| |||||||
American Software, Inc. Class A | 102,600 | 1,495 | ||||||
Badger Meter, Inc. | 65,566 | 2,931 | ||||||
Brooks Automation, Inc. | 91,470 | 2,984 | ||||||
Cass Information Systems, Inc. | 43,254 | 2,976 | ||||||
Jack Henry & Associates, Inc. | 21,090 | 2,749 | ||||||
|
| |||||||
13,135 | ||||||||
|
| |||||||
Materials—4.2% |
| |||||||
Scotts Miracle-Gro Co. (The) | 44,592 | 3,708 | ||||||
|
| |||||||
Real Estate—11.7% |
| |||||||
HFF, Inc. Class A | 71,500 | 2,456 | ||||||
MGM Growth Properties LLC Class A | 145,040 | 4,418 | ||||||
RE/MAX Holdings, Inc. Class A | 63,600 | 3,336 | ||||||
|
| |||||||
10,210 | ||||||||
TOTAL COMMON STOCKS |
| |||||||
(Identified Cost $58,179) | 86,189 | |||||||
TOTAL LONG-TERM INVESTMENTS—98.7% |
| |||||||
(Identified Cost $58,179) | 86,189 |
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENT—1.3% |
| |||||||
Money Market Mutual Fund—1.3% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%)(2) | 1,107,295 | $ | 1,107 | |||||
TOTAL SHORT-TERM INVESTMENT |
| |||||||
(Identified Cost $1,107) | 1,107 | |||||||
TOTAL INVESTMENTS—100.0% |
| |||||||
(Identified Cost $59,286) | 87,296 | |||||||
Other assets and liabilities, net—0.0% | (42 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 87,254 | ||||||
|
|
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 86,189 | $ | 86,189 | ||||
Short-Term Investment | 1,107 | 1,107 | ||||||
|
|
|
| |||||
Total Investments | $ | 87,296 | $ | 87,296 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at June 30, 2018.
There were no transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
See Notes to Financial Statements
12
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—1.4% |
| |||||||
U.S. Treasury Note | $ | 1,725 | $ | 1,690 | ||||
TOTAL U.S. GOVERNMENT SECURITIES |
| |||||||
(Identified Cost $1,694) | 1,690 | |||||||
MUNICIPAL BONDS—0.7% |
| |||||||
Michigan—0.2% |
| |||||||
Tobacco Settlement Finance Authority Revenue Taxable Series A, | 180 | 184 | ||||||
|
| |||||||
Virginia—0.5% |
| |||||||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable | 650 | 642 | ||||||
TOTAL MUNICIPAL BONDS |
| |||||||
(Identified Cost $824) | 826 | |||||||
FOREIGN GOVERNMENT SECURITIES—9.4% |
| |||||||
Argentine Republic |
| |||||||
5.625%, 1/26/22 | 130 | 122 | ||||||
7.500%, 4/22/26 | 540 | 498 | ||||||
5.875%, 1/11/28 | 205 | 167 | ||||||
Series NY, | 562 | 525 | ||||||
7.125%, 7/6/36 | 265 | 213 | ||||||
7.625%, 4/22/46 | 150 | 121 | ||||||
6.875%, 1/11/48 | 135 | 102 | ||||||
Bolivarian Republic of Venezuela |
| |||||||
RegS, 7.650%, 4/21/25(4)(9) | 825 | 226 | ||||||
9.375%, 1/13/34(9) | 295 | 85 | ||||||
Dominican Republic 144A, | 335 | 331 | ||||||
Federal Republic of Nigeria |
| |||||||
12.500%, 1/22/26 | 100,000 | NGN | 258 | |||||
144A, 6.500%, 11/28/27(3) | 315 | 293 | ||||||
Federative Republic of Brazil |
| |||||||
12.500%, 1/5/22 | 930 | BRL | 266 | |||||
Notas do Tesouro Nacional Serie F, | 870 | BRL | 219 | |||||
10.000%, 1/1/25 | 170 | BRL | 41 | |||||
10.250%, 1/10/28 | 450 | BRL | 119 | |||||
Kingdom of Bahrain 144A, | 340 | 304 | ||||||
Kingdom of Morocco 144A, | 300 | 304 | ||||||
Provincia de Buenos Aires |
| |||||||
144A, 9.125%, 3/16/24(3) | 280 | 270 | ||||||
144A, 7.875%, 6/15/27(3) | 465 | 409 | ||||||
Republic of Chile | 231,500 | CLP | 367 | |||||
Republic of Colombia | 1,438,000 | COP | 466 | |||||
Republic of Costa Rica 144A, | 315 | 307 | ||||||
Republic of Ecuador 144A, | 275 | 243 | ||||||
Republic of Ghana 144A, | 225 | 273 | ||||||
Republic of Indonesia FR70 | 5,071,000 | IDR | 361 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—continued |
| |||||||
Republic of South Africa |
| |||||||
Series 2023, 7.750%, 2/28/23 | 3,700 | ZAR | $ | 265 | ||||
4.875%, 4/14/26 | $ | 200 | 192 | |||||
4.300%, 10/12/28 | 785 | 699 | ||||||
Republic of Turkey |
| |||||||
4.875%, 10/9/26 | 570 | 501 | ||||||
4.875%, 4/16/43 | 420 | 312 | ||||||
Russian Federation Series 6216 | 25,760 | RUB | 410 | |||||
Sultanate of Oman |
| |||||||
144A, 5.375%, 3/8/27(3) | 455 | 429 | ||||||
144A, 5.625%, 1/17/28(3) | 405 | 381 | ||||||
Ukraine |
| |||||||
144A, 7.750%, 9/1/23(3) | 270 | 260 | ||||||
144A, 7.750%, 9/1/26(3) | 655 | 607 | ||||||
United Mexican States |
| |||||||
Series M, | 6,713 | MXN | 324 | |||||
4.150%, 3/28/27 | 275 | 271 | ||||||
4.750%, 3/8/44 | 164 | 153 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES |
| |||||||
(Identified Cost $13,357) | 11,694 | |||||||
MORTGAGE-BACKED SECURITIES—14.2% |
| |||||||
Agency—3.2% |
| |||||||
Federal National Mortgage Association |
| |||||||
Pool #AT2016, 3.000%, 4/1/43 | 399 | 390 | ||||||
Pool #AT7621, 3.000%, 5/1/43 | 750 | 732 | ||||||
Pool #AS4992, 3.500%, 5/1/45 | 240 | 239 | ||||||
Pool #AS5696, 3.500%, 8/1/45 | 1,163 | 1,161 | ||||||
Pool #AS9393, 4.000%, 4/1/47 | 135 | 138 | ||||||
Pool #MA3058, 4.000%, 7/1/47 | 102 | 104 | ||||||
Pool #MA3088, 4.000%, 8/1/47 | 817 | 834 | ||||||
Pool #MA3121, 4.000%, 9/1/47 | 300 | 306 | ||||||
|
| |||||||
3,904 | ||||||||
|
| |||||||
Non-Agency—11.0% |
| |||||||
American Homes 4 Rent Trust |
| |||||||
2014-SFR2, C 144A, 4.705%, 10/17/36(3) | 435 | 450 | ||||||
2015-SFR2, C 144A, 4.691%, 10/17/45(3) | 340 | 354 | ||||||
2015-SFR1, A 144A, 3.467%, 4/17/52(3) | 320 | 317 | ||||||
Ameriquest Mortgage Securities, Inc. 2003-10, AF6 | 3 | 4 | ||||||
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 2003-AR3, M4 , (1 month LIBOR + 5.850%) | 300 | 298 | ||||||
AMSR Trust 2016-SFR1, D 144A, (1 month LIBOR + | 335 | 336 | ||||||
Angel Oak Mortgage Trust I LLC 2018-2, A1 144A, | 100 | 100 | ||||||
Banc of America Funding Trust 2005-1, 1A1 | 85 | 85 | ||||||
Bank of America (Countrywide) Asset-Backed Certificates 2005-1, AF5A | 324 | 332 | ||||||
Bank of America (Merrill Lynch—Countrywide) Alternative Loan Trust 2004-22CB, 1A1 | 143 | 148 | ||||||
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A, | 275 | 282 | ||||||
Bayview Opportunity Master Fund IVb Trust | ||||||||
2016-SPL2, B1 144A, 4.250%, 6/28/53(2)(3) | 130 | 133 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
13
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued |
| |||||||
2017-SPL3, B1 144A, 4.250%, 11/28/53(2)(3) | $ | 300 | $ | 309 | ||||
Caesars Palace Las Vegas Trust 2017-VICI, C 144A, | 215 | 217 | ||||||
CIT Home Equity Loan Trust 2003-1, A5 | 164 | 166 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 144A, | 167 | 166 | ||||||
Colony American Finance Ltd. 2015-1, A 144A, | 182 | 181 | ||||||
Colony Starwood Homes Trust 2016-2A, C 144A,, (1 month LIBOR + 2.150%) | 335 | 335 | ||||||
COLT Mortgage Loan Trust Funding LLC |
| |||||||
2017-1, A3 144A, 3.074%, 5/27/47(2)(3) | 159 | 158 | ||||||
2018-1, A1 144A, 2.930%, 2/25/48(2)(3) | 225 | 224 | ||||||
Credit Suisse Commercial Mortgage-Backed Trust 2006-8, 3A1 | 77 | 71 | ||||||
Credit Suisse Mortgage Capital Trust 2014-IVR2, A2 144A, | 112 | 112 | ||||||
Deephaven Residential Mortgage Trust |
| |||||||
2017-1A, A2 144A, 2.928%, 12/26/46(2)(3) | 45 | 45 | ||||||
2018-1A, A1 144A, 2.976%, 12/25/57(2)(3) | 174 | 173 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A, | 290 | 289 | ||||||
Galton Funding Mortgage Trust |
| |||||||
2017-1, A21 144A, 3.500%, 7/25/56(2)(3) | 169 | 168 | ||||||
2018-1, A23 144A, 3.500%, 11/25/57(2)(3) | 292 | 287 | ||||||
GSAA Home Equity Trust 2005-12, AF3W | 101 | 102 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 2004-1, 21A1 | 122 | 122 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust 2004-CB1, 5A | 2 | 2 | ||||||
JPMorgan Chase Mortgage Trust |
| |||||||
2005-A1, 4A1, 4.006%, 2/25/35(2) | 11 | 11 | ||||||
2005-A4, 3A1, 4.095%, 7/25/35(2) | 11 | 11 | ||||||
2014-1, 2A12 144A, 3.500%, 1/25/44(2)(3) | 198 | 194 | ||||||
2016-1, M2 144A, 3.750%, 4/25/45(2)(3) | 283 | 281 | ||||||
2016-2, M2 144A, 3.750%, 12/25/45(2)(3) | 353 | 350 | ||||||
2017-5, A1 144A, 3.173%, 10/26/48(2)(3) | 436 | 431 | ||||||
2017-4, A3 144A, 3.500%, 11/25/48(2)(3) | 287 | 282 | ||||||
MASTR Alternative Loan Trust 2005-5, 2A3 | 114 | 115 | ||||||
MASTR Specialized Loan Trust 2005-3, A2 144A, | 145 | 147 | ||||||
MetLife Securitization Trust 2017-1A, M1 144A, | 150 | 150 | ||||||
Morgan Stanley—Bank of America (Merrill Lynch) Trust 2013-C13, AS | 125 | 128 | ||||||
New Residential Mortgage Loan Trust |
| |||||||
2014-1A, A 144A, 3.750%, 1/25/54(2)(3) | 254 | 255 | ||||||
2015-2A, A1 144A, 3.750%, 8/25/55(2)(3) | 211 | 211 | ||||||
2016-1A, A1 144A, 3.750%, 3/25/56(2)(3) | 185 | 186 | ||||||
2016-4A, B1A 144A, 4.500%, 11/25/56(2)(3) | 291 | 298 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A, | 199 | 197 | ||||||
One Market Plaza Trust 2017-1MKT, A 144A, | 260 | 259 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued |
| |||||||
Pretium Mortgage Credit Partners I LLC |
| |||||||
2017-NPL5, A1 144A, 3.327%, 12/30/32(2)(3) | $ | 109 | $ | 108 | ||||
2017-NPL2, A1 144A, 3.250%, 3/28/57(3) | 151 | 151 | ||||||
Progress Residential Trust 2018-SFR1, B 144A, | 270 | 265 | ||||||
Residential Asset Mortgage Products Trust |
| |||||||
2004-SL1, A8, 6.500%, 11/25/31 | 19 | 20 | ||||||
2005-SL2, A4, 7.500%, 2/25/32 | 151 | 143 | ||||||
Residential Asset Securitization Trust 2005-A1, A3 | 218 | 224 | ||||||
RETL 2018-RVP, C 144A,, (1 month LIBOR + 2.050%) | 188 | 189 | ||||||
Sequoia Mortgage Trust 2013-8, B1 | 189 | 184 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2004-4, 3A1 | 134 | 134 | ||||||
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A, | 75 | 75 | ||||||
Towd Point Mortgage Trust |
| |||||||
2015-1, A2 144A, 3.250%, 10/25/53(2)(3) | 255 | 253 | ||||||
2016-1, M1 144A, 3.500%, 2/25/55(2)(3) | 135 | 134 | ||||||
2015-6, M1 144A, 3.750%, 4/25/55(2)(3) | 130 | 131 | ||||||
2015-5, A2 144A, 3.500%, 5/25/55(2)(3) | 315 | 313 | ||||||
2017-1, M1 144A, 3.750%, 10/25/56(2)(3) | 135 | 135 | ||||||
2015-2, 1M1 144A, 3.250%, 11/25/60(2)(3) | 855 | 835 | ||||||
Vericrest Opportunity Loan Trust LVI LLC 2017-NPL3, A1 144A, | 204 | 203 | ||||||
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A, | 364 | 362 | ||||||
Verus Securitization Trust 2018-1, A1 144A, | 235 | 233 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC20, B | 150 | 146 | ||||||
|
| |||||||
13,710 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $17,766) | 17,614 | |||||||
ASSET-BACKED SECURITIES—6.8% |
| |||||||
Automobiles—3.8% |
| |||||||
American Credit Acceptance Receivables Trust 2018-1, C 144A, | 400 | 400 | ||||||
Capital Auto Receivables Asset Trust 2017-1, D 144A, | 340 | 337 | ||||||
Carnow Auto Receivables Trust 2016-1A, D 144A, | 325 | 328 | ||||||
DT Auto Owner Trust 2018-1A, C 144A, | 335 | 335 | ||||||
Exeter Automobile Receivables Trust |
| |||||||
2015-2A, C 144A, 3.900%, 3/15/21(3) | 380 | 383 | ||||||
2018-1A, C 144A, 3.030%, 1/17/23(3) | 410 | 406 | ||||||
Flagship Credit Auto Trust |
| |||||||
2014-1, E 144A, 5.710%, 8/16/21(3) | 305 | 307 | ||||||
2016-3, D 144A, 3.890%, 11/15/22(3) | 400 | 400 | ||||||
Foursight Capital Automobile Receivables Trust 2017-1, B 144A, | 320 | 316 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
14
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Automobiles—continued |
| |||||||
GLS Auto Receivables Trust |
| |||||||
2017-1A, B 144A, 2.980%, 12/15/21(3) | $ | 405 | $ | 402 | ||||
2018-1A, B 144A, 3.520%, 8/15/23(3) | 410 | 405 | ||||||
Hertz Vehicle Financing II LP 2016-4A, A 144A, | 405 | 394 | ||||||
Tesla Auto Lease Trust 2018-A, D 144A, | 340 | 339 | ||||||
|
| |||||||
4,752 | ||||||||
|
| |||||||
Other—2.9% |
| |||||||
AXIS Equipment Finance Receivables IV LLC 2018-1A, A2 144A, | 335 | 334 | ||||||
DB Master Finance LLC 2017-1A, A2I 144A, | 338 | 332 | ||||||
Diamond Resorts Owner Trust 2017-1A, A 144A, | 230 | 225 | ||||||
Drug Royalty II LP 2 2014-1, A2 144A, | 139 | 138 | ||||||
HOA Funding LLC 2014-1A, A2 144A, | 375 | 366 | ||||||
Mariner Finance Issuance Trust 2017-AA, A 144A, | 325 | 326 | ||||||
OneMain Financial Issuance Trust 2018-1A, A 144A, | 335 | 334 | ||||||
Oportun Funding VIII LLC 2018-A, A 144A, | 335 | 333 | ||||||
Prosper Marketplace Issuance Trust 2017-2A, B 144A, | 340 | 339 | ||||||
Taco Bell Funding LLC 2016-1A, A21 144A, | 330 | 330 | ||||||
TGIF Funding LLC 2017-1A, A2 144A, | 260 | 261 | ||||||
Upstart Securitization Trust 2018-1, B 144A, | 265 | 265 | ||||||
|
| |||||||
3,583 | ||||||||
|
| |||||||
Student Loans—0.1% |
| |||||||
SoFi Professional Loan Program LLC 2016-A, A2 144A, | 133 | 132 | ||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $8,497) | 8,467 | |||||||
CORPORATE BONDS AND NOTES—48.8% |
| |||||||
Consumer Discretionary—5.3% |
| |||||||
American Axle & Manufacturing, Inc. | 10 | 10 | ||||||
Beazer Homes USA, Inc. |
| |||||||
6.750%, 3/15/25 | 100 | 96 | ||||||
5.875%, 10/15/27 | 170 | 148 | ||||||
Boyd Gaming Corp. 144A, | 65 | 64 | ||||||
Caesars Resort Collection LLC 144A, | 215 | 203 | ||||||
Cequel Communications Holdings I LLC 144A, | 200 | 202 | ||||||
Charter Communications Operating LLC |
| |||||||
4.500%, 2/1/24 | 190 | 190 | ||||||
4.908%, 7/23/25 | 340 | 343 | ||||||
Clear Channel Worldwide Holdings, Inc. Series A | 210 | 208 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued |
| |||||||
CSC Holdings LLC |
| |||||||
5.250%, 6/1/24 | $ | 165 | $ | 156 | ||||
144A, 5.375%, 2/1/28(3) | 200 | 185 | ||||||
Discovery Communications LLC | 325 | 308 | ||||||
DISH DBS Corp. | 105 | 92 | ||||||
Dollar Tree, Inc. | 189 | 185 | ||||||
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A, | 75 | 77 | ||||||
Gateway Casinos & Entertainment Ltd. 144A, | 200 | 211 | ||||||
GLP Capital LP | 185 | 185 | ||||||
Graham Holdings Co. 144A, | 285 | 288 | ||||||
Hilton Domestic Operating Co., Inc. 144A, | 280 | 275 | ||||||
Horton (D.R.), Inc. | 260 | 268 | ||||||
L Brands, Inc. | 182 | 162 | ||||||
Lear Corp. | 405 | 380 | ||||||
Lennar Corp. | 230 | 215 | ||||||
M/I Homes, Inc. | 180 | 168 | ||||||
McGraw-Hill Global Education Holdings LLC 144A, | 170 | 157 | ||||||
MDC Holdings, Inc. | 245 | 248 | ||||||
Meredith Corp. 144A, | 145 | 143 | ||||||
MGM Resorts International | 240 | 240 | ||||||
Tenneco, Inc. | 270 | 241 | ||||||
Viking Cruises Ltd. 144A, | 230 | 217 | ||||||
Vista Outdoor, Inc. | 235 | 224 | ||||||
Weekley Homes LLC 144A, | 215 | 204 | ||||||
William Lyon Homes, Inc. 144A, | 285 | 281 | ||||||
|
| |||||||
6,574 | ||||||||
|
| |||||||
Consumer Staples—1.9% |
| |||||||
Albertsons’s Cos LLC | 125 | 111 | ||||||
Anheuser-Busch InBev Finance, Inc. | 210 | 206 | ||||||
Bacardi Ltd. 144A, | 320 | 314 | ||||||
BAT Capital Corp. 144A, | 275 | 256 | ||||||
CVS Health Corp. | 390 | 384 | ||||||
JBS Investments GmbH 144A, | 285 | 276 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
15
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Staples—continued |
| |||||||
Kronos Acquisition Holdings, Inc. 144A, | $ | 240 | $ | 216 | ||||
MARB BondCo plc 144A, | 260 | 250 | ||||||
Sigma Finance Netherlands BV 144A, | 295 | 282 | ||||||
Tops Holding LLC 144A, | 195 | 104 | ||||||
|
| |||||||
2,399 | ||||||||
|
| |||||||
Energy—9.2% |
| |||||||
Alliance Resource Operating Partners LP 144A, | 158 | 168 | ||||||
Alta Mesa Holdings LP | 135 | 143 | ||||||
American Midstream Partners LP 144A, | 105 | 103 | ||||||
Anadarko Finance Co. Series B | 160 | 198 | ||||||
Anadarko Petroleum Corp. | 200 | 240 | ||||||
Blue Racer Midstream LLC 144A, | 260 | 257 | ||||||
Bristow Group, Inc. 144A, | 105 | 103 | ||||||
Callon Petroleum Co. | 213 | 216 | ||||||
Cheniere Corpus Christi Holdings LLC | 260 | 283 | ||||||
Chesapeake Energy Corp. | 215 | 219 | ||||||
Continental Resources, Inc. | 145 | 147 | ||||||
Denbury Resources, Inc. 144A, | 64 | 68 | ||||||
Ecopetrol S.A. | 345 | 354 | ||||||
Encana Corp. | 155 | 198 | ||||||
Energy Transfer Equity LP | 150 | 145 | ||||||
Energy Transfer Partners LP | 425 | 440 | ||||||
EP Energy LLC |
| |||||||
6.375%, 6/15/23 | 155 | 107 | ||||||
144A, 8.000%, 11/29/24(3) | 160 | 162 | ||||||
144A, 7.750%, 5/15/26(3) | 115 | 118 | ||||||
Geopark Ltd. 144A, | 270 | 259 | ||||||
HollyFrontier Corp. | 360 | 388 | ||||||
Jagged Peak Energy LLC 144A, | 265 | 260 | ||||||
KazMunayGas National Co. JSC 144A, | 395 | 385 | ||||||
Kinder Morgan, Inc. | 400 | 488 | ||||||
MPLX LP | 148 | 141 | ||||||
Nabors Industries, Inc. | 110 | 105 |
PAR VALUE | VALUE | |||||||
Energy—continued |
| |||||||
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization, 144A, | $ | 387 | $ | 100 | ||||
Odebrecht Oil & Gas Finance Ltd. 144A, | 60 | 1 | ||||||
Petrobras Global Finance BV |
| |||||||
144A, 5.299%, 1/27/25(3) | 364 | 336 | ||||||
7.375%, 1/17/27 | 570 | 569 | ||||||
144A, 5.999%, 1/27/28(3) | 180 | 163 | ||||||
Petroleos de Venezuela S.A. 144A, | 650 | 137 | ||||||
Petroleos Mexicanos |
| |||||||
6.500%, 3/13/27 | 795 | 813 | ||||||
6.500%, 6/2/41 | 220 | 207 | ||||||
6.375%, 1/23/45 | 185 | 170 | ||||||
Range Resources Corp. | 115 | 108 | ||||||
RSP Permian, Inc. | 250 | 267 | ||||||
Sanchez Energy Corp. 144A, | 120 | 119 | ||||||
SESI LLC | 210 | 215 | ||||||
Seven Generations Energy Ltd. 144A, | 215 | 207 | ||||||
Southern Gas Corridor CJSC 144A, | 265 | 286 | ||||||
State Oil Co. of the Azerbaijan Republic RegS | 320 | 342 | ||||||
Sunoco LP |
| |||||||
144A, 5.500%, 2/15/26(3) | 70 | 66 | ||||||
144A, 5.875%, 3/15/28(3) | 85 | 80 | ||||||
Targa Resources Partners LP 144A, | 215 | 217 | ||||||
TransMontaigne Partners LP | 125 | 126 | ||||||
Transocean, Inc. |
| |||||||
144A, 9.000%, 7/15/23(3) | 85 | 91 | ||||||
6.800%, 3/15/38 | 70 | 57 | ||||||
Ultra Resources, Inc. |
| |||||||
144A, 6.875%, 4/15/22(3) | 16 | 12 | ||||||
144A, 7.125%, 4/15/25(3) | 51 | 36 | ||||||
USA Compression Partners LP 144A, | 215 | 222 | ||||||
Valero Energy Partners LP | 325 | 319 | ||||||
Vine Oil & Gas LP 144A, | 165 | 153 | ||||||
Weatherford International Ltd. | 65 | 66 | ||||||
YPF S.A. |
| |||||||
144A, 8.750%, 4/4/24(3) | 45 | 44 | ||||||
144A, 6.950%, 7/21/27(3) | 295 | 253 | ||||||
|
| |||||||
11,477 | ||||||||
|
| |||||||
Financials—13.3% |
| |||||||
Acrisure LLC 144A, | 270 | 246 | ||||||
AerCap Ireland Capital DAC | 310 | 282 | ||||||
AerCap Ireland Capital Ltd. | 150 | 149 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
16
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued |
| |||||||
Allstate Corp. (The) Series B | $ | 365 | $ | 375 | ||||
Apollo Management Holdings LP 144A, | 440 | 437 | ||||||
Ares Capital Corp. |
| |||||||
3.625%, 1/19/22 | 210 | 205 | ||||||
3.500%, 2/10/23 | 205 | 195 | ||||||
Athene Holding Ltd. | 325 | 300 | ||||||
Australia & New Zealand Banking Group Ltd. 144A, | 335 | 328 | ||||||
Aviation Capital Group LLC 144A, | 355 | 325 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. |
| |||||||
144A, 6.500%, 3/10/21(3) | 425 | 443 | ||||||
144A, 5.125%, 1/18/33(3) | 275 | 244 | ||||||
Banco de Credito e Inversiones 144A, | 415 | 375 | ||||||
Banco Internacional del Peru SAA Interbank 144A, | 120 | 127 | ||||||
Banco Santander Chile 144A, | 505 | 501 | ||||||
Bancolombia S.A. | 545 | 558 | ||||||
Bank of America Corp. |
| |||||||
4.200%, 8/26/24 | 458 | 460 | ||||||
(3 month LIBOR + 0.770%) | 79 | 78 | ||||||
Bank of China Ltd. 144A, | 390 | 398 | ||||||
Bank of Montreal | 71 | 66 | ||||||
Brighthouse Financial, Inc. | 410 | 365 | ||||||
BrightSphere Investment Group plc | 270 | 265 | ||||||
Capital One Financial Corp. | 405 | 376 | ||||||
Compass Bank | 380 | 366 | ||||||
Development Bank of Kazakhstan JSC |
| |||||||
144A, 4.125%, 12/10/22(3) | 200 | 196 | ||||||
144A, 8.950%, 5/4/23(3) | 85,000 | KZT | 246 | |||||
Drawbridge Special Opportunities Fund LP 144A, | 440 | 443 | ||||||
E*TRADE Financial Corp. | 400 | 400 | ||||||
Fairfax Financial Holdings Ltd. 144A, | 365 | 362 | ||||||
FS Investment Corp. |
| |||||||
4.250%, 1/15/20 | 230 | 231 | ||||||
4.750%, 5/15/22 | 50 | 50 | ||||||
Goldman Sachs Group, Inc. (The), (3 month LIBOR + | 510 | 504 | ||||||
GrupoSura Finance S.A. 144A, | 335 | 342 | ||||||
ICAHN Enterprises LP | 270 | 270 | ||||||
Jefferies Financial Group, Inc. | 250 | 258 | ||||||
Jefferies Group LLC |
| |||||||
6.875%, 4/15/21 | 41 | 44 |
PAR VALUE | VALUE | |||||||
Financials—continued |
| |||||||
5.125%, 1/20/23 | $ | 66 | $ | 69 | ||||
4.850%, 1/15/27 | 60 | 58 | ||||||
JPMorgan Chase & Co. | 475 | 441 | ||||||
Kazakhstan Temir Zholy National Co. JSC 144A, | 435 | 421 | ||||||
Liberty Mutual Insurance Co. 144A, | 25 | 31 | ||||||
Lincoln National Corp. , (3 month LIBOR + 2.040%) | 365 | 339 | ||||||
Lloyds Bank plc 144A, | 600 | 635 | ||||||
Navient Corp. | 165 | 163 | ||||||
Nuveen Finance LLC 144A, | 350 | 348 | ||||||
Prudential Financial, Inc. | 405 | 428 | ||||||
Santander Holdings USA, Inc. |
| |||||||
3.700%, 3/28/22 | 195 | 192 | ||||||
4.400%, 7/13/27 | 200 | 192 | ||||||
Sberbank of Russia 144A, | 315 | 315 | ||||||
Springleaf Finance Corp. |
| |||||||
6.875%, 3/15/25 | 110 | 109 | ||||||
7.125%, 3/15/26 | 110 | 109 | ||||||
Synchrony Financial | 295 | 272 | ||||||
Teachers Insurance & Annuity Association of America 144A, | 360 | 361 | ||||||
Toronto-Dominion Bank (The) | 135 | 127 | ||||||
Turkiye Vakiflar Bankasi TAO 144A, | 405 | 366 | ||||||
Voya Financial, Inc. | 240 | 241 | ||||||
Wells Fargo & Co. Series S | 475 | 477 | ||||||
|
| |||||||
16,504 | ||||||||
|
| |||||||
Health Care—3.5% |
| |||||||
Abbott Laboratories | 405 | 398 | ||||||
Anthem, Inc. | 90 | 85 | ||||||
Avantor, Inc. |
| |||||||
144A, 6.000%, 10/1/24(3) | 100 | 99 | ||||||
144A, 9.000%, 10/1/25(3) | 190 | 192 | ||||||
Bayer US Finance II LLC 144A, | 395 | 395 | ||||||
Becton Dickinson & Co. | 420 | 397 | ||||||
Centene Corp. 144A, | 75 | 76 | ||||||
Concordia International Corp. 144A, | 65 | 58 | ||||||
DJO Finco, Inc. 144A, | 110 | 111 | ||||||
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A, | 125 | 126 | ||||||
Endo Dac |
| |||||||
144A, 6.000%, 7/15/23(3) | 100 | 82 | ||||||
144A, 6.000%, 2/1/25(3) | 190 | 148 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
17
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Health Care—continued |
| |||||||
Envision Healthcare Corp. 144A, | $ | 45 | $ | 48 | ||||
HCA, Inc. | 130 | 129 | ||||||
MPH Acquisition Holdings LLC 144A, | 85 | 87 | ||||||
Mylan NV | 335 | 320 | ||||||
Surgery Center Holdings, Inc. |
| |||||||
144A, 8.875%, 4/15/21(3) | 215 | 221 | ||||||
144A, 6.750%, 7/1/25(3) | 35 | 33 | ||||||
Tenet Healthcare Corp. |
| |||||||
8.125%, 4/1/22 | 60 | 63 | ||||||
144A, 4.625%, 7/15/24(3) | 70 | 66 | ||||||
144A, 7.000%, 8/1/25(3) | 180 | 179 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 210 | 169 | ||||||
Valeant Pharmaceuticals International, Inc. |
| |||||||
144A, 7.500%, 7/15/21(3) | 50 | 51 | ||||||
144A, 6.500%, 3/15/22(3) | 20 | 21 | ||||||
144A, 7.000%, 3/15/24(3) | 30 | 31 | ||||||
144A, 5.500%, 11/1/25(3) | 160 | 158 | ||||||
144A, 9.250%, 4/1/26(3) | 90 | 94 | ||||||
West Street Merger Sub, Inc. 144A, | 140 | 134 | ||||||
Zimmer Biomet Holdings, Inc. | 405 | 385 | ||||||
|
| |||||||
4,356 | ||||||||
|
| |||||||
Industrials—3.0% |
| |||||||
Ashtead Capital, Inc. 144A, | 540 | 502 | ||||||
Bombardier, Inc. 144A, | 230 | 231 | ||||||
CNH Industrial N.V. |
| |||||||
4.500%, 8/15/23 | 280 | 281 | ||||||
3.850%, 11/15/27 | 180 | 168 | ||||||
DP World Ltd. 144A, | 200 | 228 | ||||||
Masco Corp. | 296 | 317 | ||||||
New Enterprise Stone & Lime Co., Inc. 144A, | 20 | 21 | ||||||
Oshkosh Corp. | 424 | 423 | ||||||
Owens Corning | 330 | 301 | ||||||
Pitney Bowes, Inc. | 391 | 354 | ||||||
Standard Industries, Inc. |
| |||||||
144A, 6.000%, 10/15/25(3) | 170 | 170 | ||||||
144A, 4.750%, 1/15/28(3) | 100 | 92 | ||||||
Topaz Marine S.A. 144A, | 200 | 201 | ||||||
TransDigm, Inc. |
| |||||||
6.500%, 7/15/24 | 120 | 122 | ||||||
6.500%, 5/15/25 | 75 | 76 | ||||||
Wrangler Buyer Corp. 144A, | 238 | 225 | ||||||
|
| |||||||
3,712 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Information Technology—2.1% |
| |||||||
Arrow Electronics, Inc. | $ | 340 | $ | 319 | ||||
Broadcom Corp. |
| |||||||
3.000%, 1/15/22 | 105 | 102 | ||||||
3.625%, 1/15/24 | 260 | 252 | ||||||
CDK Global, Inc. | 250 | 255 | ||||||
Citrix Systems, Inc. | 320 | 310 | ||||||
Dell International LLC |
| |||||||
144A, 5.450%, 6/15/23(3) | 70 | 73 | ||||||
144A, 8.100%, 7/15/36(3) | 140 | 164 | ||||||
Everi Payments, Inc. 144A, | 50 | 50 | ||||||
Jabil, Inc. | 340 | 321 | ||||||
Rackspace Hosting, Inc. 144A, | 60 | 60 | ||||||
Radiate Holdco LLC |
| |||||||
144A, 6.875%, 2/15/23(3) | 50 | 48 | ||||||
144A, 6.625%, 2/15/25(3) | 220 | 201 | ||||||
VMware, Inc. |
| |||||||
2.950%, 8/21/22 | 217 | 208 | ||||||
3.900%, 8/21/27 | 230 | 212 | ||||||
|
| |||||||
2,575 | ||||||||
|
| |||||||
Materials—4.7% |
| |||||||
AK Steel Corp. | 105 | 109 | ||||||
Alpek SAB de C.V. 144A, | 425 | 429 | ||||||
Anglo American Capital plc 144A, | 435 | 405 | ||||||
ArcelorMittal | 280 | 302 | ||||||
BHP Billiton Finance USA Ltd. 144A, | 425 | 461 | ||||||
CRH America Finance, Inc. 144A, | 300 | 282 | ||||||
Equate Petrochemical BV 144A, | 340 | 329 | ||||||
Fibria Overseas Finance Ltd. | 136 | 126 | ||||||
FMG Resources August 2006 Pty Ltd. 144A, | 170 | 165 | ||||||
Glencore Funding LLC 144A, | 390 | 368 | ||||||
Hexion, Inc. | 135 | 126 | ||||||
Inversiones CMPC S.A. 144A, | 300 | 298 | ||||||
Kraton Polymers LLC 144A, | 155 | 160 | ||||||
NOVA Chemicals Corp. |
| |||||||
144A, 4.875%, 6/1/24(3) | 105 | 100 | ||||||
144A, 5.000%, 5/1/25(3) | 245 | 232 | ||||||
OCP SA 144A, | 320 | 327 | ||||||
Platform Specialty Products Corp. 144A, | 200 | 196 | ||||||
PQ Corp. 144A, | 75 | 74 | ||||||
Rusal Capital DAC 144A, | 325 | 191 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
18
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Materials—continued |
| |||||||
Severstal OAO Via Steel Capital S.A. 144A, | $ | 260 | $ | 270 | ||||
Syngenta Finance N.V. 144A, | 400 | 398 | ||||||
Teck Resources Ltd. 144A, | 80 | 88 | ||||||
Trident Merger Sub, Inc. 144A, | 130 | 127 | ||||||
United States Steel Corp. | 215 | 213 | ||||||
|
| |||||||
5,776 | ||||||||
|
| |||||||
Real Estate—1.9% |
| |||||||
EPR Properties |
| |||||||
4.750%, 12/15/26 | 130 | 127 | ||||||
4.500%, 6/1/27 | 205 | 196 | ||||||
Healthcare Trust of America Holdings LP | 180 | 171 | ||||||
Hospitality Properties Trust |
| |||||||
4.950%, 2/15/27 | 195 | 192 | ||||||
4.375%, 2/15/30 | 135 | 125 | ||||||
LifeStorage LP | 135 | 128 | ||||||
MPT Operating Partnership LP |
| |||||||
5.500%, 5/1/24 | 140 | 142 | ||||||
5.000%, 10/15/27 | 125 | 119 | ||||||
Physicians Realty LP | 330 | 319 | ||||||
Select Income REIT | 385 | 374 | ||||||
Welltower, Inc. | 94 | 92 | ||||||
WP Carey, Inc. | 345 | 348 | ||||||
|
| |||||||
2,333 | ||||||||
|
| |||||||
Telecommunication Services—3.1% |
| |||||||
America Movil SAB de C.V. | 2,000 | MXN | 92 | |||||
AT&T, Inc. |
| |||||||
5.250%, 3/1/37 | 65 | 64 | ||||||
4.800%, 6/15/44 | 265 | 240 | ||||||
5.650%, 2/15/47 | 135 | 136 | ||||||
Cincinnati Bell, Inc. 144A, | 205 | 187 | ||||||
Consolidated Communications, Inc. | 210 | 196 | ||||||
Digicel Group Ltd. 144A, | 345 | 260 | ||||||
Frontier Communications Corp. |
| |||||||
8.500%, 4/15/20 | 110 | 112 | ||||||
7.625%, 4/15/24 | 265 | 183 | ||||||
144A, 8.500%, 4/1/26(3) | 110 | 106 | ||||||
GTH Finance BV 144A, | 300 | 311 | ||||||
Level 3 Financing, Inc. | 210 | 206 | ||||||
Sprint Corp. |
| |||||||
7.875%, 9/15/23 | 95 | 99 | ||||||
7.625%, 3/1/26 | 80 | 82 | ||||||
Sprint Spectrum Co., LLC |
| |||||||
144A, 3.360%, 9/20/21(3) | 163 | 161 | ||||||
144A, 5.152%, 3/20/28(3) | 200 | 196 |
PAR VALUE | VALUE | |||||||
Telecommunication Services—continued |
| |||||||
Telenet Finance Luxembourg Notes S.a.r.l. 144A, | $ | 200 | $ | 182 | ||||
Verizon Communications, Inc. |
| |||||||
(3 month LIBOR + 1.100%) | 190 | 190 | ||||||
4.125%, 3/16/27 | 395 | 389 | ||||||
West Corp. 144A, | 65 | 59 | ||||||
Wind Tre SpA 144A, | 200 | 158 | ||||||
Windstream Services LLC |
| |||||||
7.750%, 10/15/20 | 140 | 126 | ||||||
144A, 8.625%, 10/31/25(3) | 175 | 166 | ||||||
|
| |||||||
3,901 | ||||||||
|
| |||||||
Utilities—0.8% |
| |||||||
Eskom Holdings SOC Ltd. 144A, | 250 | 239 | ||||||
Exelon Corp. | 540 | 534 | ||||||
Ferrellgas Partners LP | 50 | 48 | ||||||
TerraForm Power Operating LLC 144A, | 190 | 180 | ||||||
Texas Competitive Electric Escrow Series A | 396 | — | ||||||
Texas Competitive Electric Holdings Co. 144A, | 465 | — | (12) | |||||
|
| |||||||
1,001 | ||||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Identified Cost $62,711) | 60,608 | |||||||
LEVERAGED LOANS(2)—13.0% |
| |||||||
Aerospace—0.2% |
| |||||||
TransDigm, Inc. |
| |||||||
2018, Tranche F, (1 month LIBOR + 2.500%) | 202 | 201 | ||||||
Tranche G, (1 month LIBOR + 2.500%) | 30 | 30 | ||||||
2018, Tranche E, (1 month LIBOR + 2.500%) | 55 | 54 | ||||||
|
| |||||||
285 | ||||||||
|
| |||||||
Chemicals—0.3% |
| |||||||
New Arclin U.S. Holding Corp. First Lien , (3 month LIBOR + 3.500%) | 149 | 149 | ||||||
Omnova Solutions, Inc. Tranche B-2 , (1 month LIBOR + 3.250%) | 172 | 172 | ||||||
|
| |||||||
321 | ||||||||
|
| |||||||
Consumer Durables—0.1% |
| |||||||
Global Appliance, Inc. Tranche B , (1 month LIBOR + 4.000%) | 189 | 190 | ||||||
|
| |||||||
Consumer Non-Durables—0.8% |
| |||||||
American Greetings Corp. , (1 month LIBOR + 4.500%) | 190 | 191 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
19
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Non-Durables—continued |
| |||||||
Coty, Inc. Tranche B , (1 month LIBOR + 2.250%) | $ | 100 | $ | 98 | ||||
Energizer Holdings, Inc. Tranche B , (3 month LIBOR + 2.250%) | 65 | 65 | ||||||
HLF Financing S.a.r.l. Senior Lien , (1 month LIBOR + 5.500%) | 59 | 59 | ||||||
Isagenix International LLC Senior Lien , (3 month LIBOR + 5.750%) | 175 | 175 | ||||||
Kronos Acquisition Intermediate, Inc. , (3 month LIBOR + 4.000%) | 121 | 120 | ||||||
Parfums Holdings Co., Inc. First Lien , (1 month LIBOR + 4.750%) | 144 | 145 | ||||||
Rodan & Fields LLC Tranche B , (1 month LIBOR + 4.000%) | 155 | 155 | ||||||
|
| |||||||
1,008 | ||||||||
|
| |||||||
Energy—0.6% |
| |||||||
California Resources Corp. , (1 month LIBOR + 10.375%) | 190 | 210 | ||||||
Chesapeake Energy Corp. Tranche A , (1 month LIBOR + 7.500%) | 44 | 46 | ||||||
Delek US Holdings, Inc. , (1 month LIBOR + 2.500%) | 70 | 69 | ||||||
Medallion Midland Acquisition LLC , (1 month LIBOR + 3.250%) | 189 | 187 | ||||||
Paragon Offshore Finance Co. , (3 month LIBOR + 2.750%) | 2 | — | ||||||
Seadrill Operating LP , (3 month LIBOR + 6.000%) | 170 | 152 | ||||||
Traverse Midstream Partners LLC , (3 month LIBOR + 4.000%) | 110 | 110 | ||||||
|
| |||||||
774 | ||||||||
|
| |||||||
Financial—0.6% |
| |||||||
Asurion LLC Tranche B-2, Second Lien , (1 month LIBOR + 6.000%) | 110 | 112 | ||||||
Blackhawk Network Holdings, Inc. First Lien , (3 month LIBOR + 3.000%) | 170 | 169 | ||||||
Ditech Holding Corp. Tranche B , (1 month LIBOR + 6.000%) | 224 | 214 | ||||||
FinCo I LLC 2018 Replacement , (1 month LIBOR + 2.000%) | 69 | 69 | ||||||
Genworth Holdings, Inc. , (1 month LIBOR + 4.500%) | 20 | 20 | ||||||
iStar, Inc. , (1 month LIBOR + 3.000%) | 220 | 219 | ||||||
|
| |||||||
803 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Food and Drug—0.2% |
| |||||||
Albertson’s LLC 2017-1, Tranche B-4 , (1 month LIBOR + 2.750%) | $ | 226 | $ | 224 | ||||
|
| |||||||
Food/Tobacco—0.2% |
| |||||||
Chobani LLC First Lien , (1 month LIBOR + 3.500%) | 116 | 116 | ||||||
H-Food Holdings, LLC , (1 month LIBOR + 3.000%) | 35 | 35 | ||||||
JBS USA Lux S.A. , (3 month LIBOR + 2.500%) | 89 | 88 | ||||||
|
| |||||||
239 | ||||||||
|
| |||||||
Forest Prod/Containers—0.2% |
| |||||||
Anchor Glass Container Corp. Second Lien , (1 month LIBOR + 7.750%) | 58 | 38 | ||||||
Berlin Packaging LLC First Lien , (1 month LIBOR + 3.000%) | 130 | 129 | ||||||
Spectrum Holdings III Corp. |
| |||||||
First Lien, (3 month LIBOR + 1.000%) | 8 | 8 | ||||||
First Lien, (1 month LIBOR + 3.250%) | 82 | 82 | ||||||
|
| |||||||
257 | ||||||||
|
| |||||||
Gaming/Leisure—1.3% |
| |||||||
Affinity Gaming , (1 month LIBOR + 3.250%) | 356 | 350 | ||||||
Aristocrat Leisure Ltd. Tranche B-3 , (3 month LIBOR + 1.750%) | 399 | 396 | ||||||
Everi Payments, Inc. Tranche B , (1 month LIBOR + 3.000%) | 64 | 64 | ||||||
Playa Resorts Holding B.V. , (1 month LIBOR + 2.750%) | 293 | 289 | ||||||
Scientific Games International, Inc. Tranche B-5 , (2 month LIBOR + 2.750%) | 130 | 129 | ||||||
Seminole Tribe of Florida 2018, Tranche B , (1 month LIBOR + 1.750%) | 218 | 219 | ||||||
UFC Holdings LLC First Lien , (1 month LIBOR + 3.250%) | 174 | 174 | ||||||
Wyndham Hotels & Resorts, Inc. Tranche B , (weekly LIBOR + 1.750%) | 55 | 55 | ||||||
|
| |||||||
1,676 | ||||||||
|
| |||||||
Healthcare—0.5% |
| |||||||
21st Century Oncology, Inc. Tranche B , (3 month LIBOR + 6.125%) | 42 | 40 | ||||||
AHP Health Partners, Inc. , (3 month LIBOR + 4.500%) | 190 | 189 | ||||||
CHG Healthcare Services, Inc. 2017, First Lien , (2 month LIBOR + 3.000%) | 55 | 55 |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
20
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Healthcare—continued |
| |||||||
Ortho-Clinical Diagnostics, Inc. , (1 month LIBOR + 3.250%) | $ | 195 | $ | 194 | ||||
PharMerica Corp. Second Lien , (1 month LIBOR + 7.750%) | 20 | 20 | ||||||
U.S. Renal Care, Inc. First Lien , (3 month LIBOR + 4.250%) | 68 | 66 | ||||||
Valeant Pharmaceuticals International, Inc. , (1 month LIBOR + 3.000%) | 40 | 40 | ||||||
|
| |||||||
604 | ||||||||
|
| |||||||
Housing—0.7% |
| |||||||
84 Lumber Co. Tranche B-1 , (1 month LIBOR + 5.250%) | 123 | 123 | ||||||
American Builders & Contractors Supply Co., Inc. Tranche B-2 , (1 month LIBOR + 2.000%) | 324 | 321 | ||||||
Capital Automotive LP Tranche B, Second Lien , (1 month LIBOR + 6.000%) | 61 | 61 | ||||||
CPG International LLC , (3 month LIBOR + 3.750%) | 193 | 193 | ||||||
GGP, Inc. Tranche B , (3 month LIBOR + 2.500%) | 155 | 152 | ||||||
|
| |||||||
850 | ||||||||
|
| |||||||
Information Technology—1.6% |
| |||||||
Applied Systems, Inc. Second Lien , (3 month LIBOR + 7.000%) | 25 | 26 | ||||||
BMC Software Finance, Inc. , (3 month LIBOR + 4.250%) | 255 | 253 | ||||||
Kronos, Inc. |
| |||||||
First Lien, (2 month LIBOR + 3.000%) | 319 | 318 | ||||||
Second Lien, (3 month LIBOR + 8.250%) | 84 | 86 | ||||||
Presidio Holdings, Inc. Tranche B , (3 month LIBOR + 2.750%) | 281 | 281 | ||||||
Renaissance Holding Corp. First Lien , (3 month LIBOR + 3.250%) | 260 | 258 | ||||||
SS&C Technologies Holdings, Inc. |
| |||||||
Tranche B-3, (1 month LIBOR + 2.500%) | 364 | 364 | ||||||
Tranche B-4, (1 month LIBOR + 2.500%) | 138 | 138 | ||||||
Vertafore, Inc. Tranche B , (3 month LIBOR + 3.250%) | 230 | 229 | ||||||
|
| |||||||
1,953 | ||||||||
|
| |||||||
Manufacturing—0.9% |
| |||||||
Accudyne Industries Borrower S.C.A. , (1 month LIBOR + 3.250%) | 258 | 257 | ||||||
CPI Acquisition, Inc. First Lien , (3 month LIBOR + 4.500%) | 358 | 209 | ||||||
Deliver Buyer, Inc., (3 month LIBOR + 5.000%) | 110 | 110 |
PAR VALUE | VALUE | |||||||
Manufacturing—continued |
| |||||||
Filtration Group Corp. , (1 month LIBOR + 3.000%) | $ | 195 | $ | 194 | ||||
Hillman Group, Inc. , (3 month LIBOR + 3.500%) | 103 | 103 | ||||||
Hillman Group, Inc. (The) , (3 month LIBOR + 3.500%) | 32 | 32 | ||||||
U.S. Farathane LLC Tranche B-4 , (3 month LIBOR + 3.500%) | 162 | 161 | ||||||
|
| |||||||
1,066 | ||||||||
|
| |||||||
Media/Telecom - Cable/Wireless Video—0.3% |
| |||||||
Altice US Finance I Corp. 2017 Refinancing , (1 month LIBOR + 2.250%) | 195 | 193 | ||||||
Telenet Financing USD LLC , (1 month LIBOR + 2.250%) | 195 | 193 | ||||||
|
| |||||||
386 | ||||||||
|
| |||||||
Media/Telecom - Diversified Media—0.3% |
| |||||||
Crown Finance US, Inc. , (1 month LIBOR + 2.500%) | 145 | 144 | ||||||
Meredith Corp. , (1 month LIBOR + 3.000%) | 190 | 189 | ||||||
|
| |||||||
333 | ||||||||
|
| |||||||
Media/Telecom - Telecommunications—0.9% |
| |||||||
CenturyLink, Inc. Tranche B , (1 month LIBOR + 2.750%) 4.844%, 1/31/25 | 389 | 380 | ||||||
Securus Technologies Holdings, Inc. |
| |||||||
First Lien, (1 month LIBOR + 4.500%) | 244 | 245 | ||||||
Second Lien, (1 month LIBOR + 8.250%) | 150 | 150 | ||||||
TDC A/S , (3 month LIBOR + 3.500%) | 85 | 85 | ||||||
West Corp. |
| |||||||
Tranche B-1, (1 month LIBOR + 3.500%) | 90 | 89 | ||||||
Tranche B, (1 month LIBOR + 4.000%) | 196 | 195 | ||||||
|
| |||||||
1,144 | ||||||||
|
| |||||||
Media/Telecom - Wireless Communications—0.0% |
| |||||||
Digicel International Finance Ltd. Tranche B, First Lien, (3 month LIBOR + 3.250%) | 25 | 24 | ||||||
|
| |||||||
Metals/Minerals—0.5% |
| |||||||
Contura Energy, Inc. , (1 month LIBOR + 5.000%) | 129 | 129 | ||||||
Covia Holdings Corp. , (3 month LIBOR + 3.750%) | 195 | 195 | ||||||
Graftech International Ltd. , (1 month LIBOR + 3.500%) | 285 | 283 | ||||||
|
| |||||||
607 | ||||||||
|
|
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
21
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Retail—0.2% |
| |||||||
BJ’s Wholesale Club, Inc. Second Lien , (1 month LIBOR + 7.500%) | $ | 119 | $ | 121 | ||||
Neiman Marcus Group Ltd. LLC , (1 month LIBOR + 3.250%) | 164 | 145 | ||||||
|
| |||||||
266 | ||||||||
|
| |||||||
Service—2.1% |
| |||||||
Advantage Sales & Marketing, Inc. |
| |||||||
Tranche B-2, First Lien, (1 month LIBOR + 3.250%) | 173 | 163 | ||||||
Second Lien, (1 month LIBOR + 6.500%) | 130 | 118 | ||||||
Carlisle Food Service Products, Inc. |
| |||||||
First Lien, (3 month LIBOR + 1.000%) | 4 | 4 | ||||||
First Lien, (1 month LIBOR + 3.000%) | 16 | 16 | ||||||
Hoya Midco LLC First Lien , (1 month LIBOR + 3.500%) | 254 | 252 | ||||||
Laureate Education, Inc. 2024 , (1 month LIBOR + 3.500%) | 118 | 117 | ||||||
NAB Holdings LLC 2018 Refinancing , (3 month LIBOR + 3.000%) | 239 | 237 | ||||||
One Call Corp. First Lien , (1 month LIBOR + 5.250%) | 161 | 154 | ||||||
Pearl Intermediate Parent LLC |
| |||||||
First Lien, (1 month LIBOR + 2.750%) | 143 | 140 | ||||||
First Lien, (3 month LIBOR + 2.750%) | 12 | 11 | ||||||
First Lien, (3 month LIBOR + 2.750%) | 30 | 30 | ||||||
PI UK Holdco II Ltd. Tranche B-1 , (1 month LIBOR + 3.500%) | 349 | 344 | ||||||
Red Ventures LLC First Lien , (1 month LIBOR + 4.000%) | 333 | 335 | ||||||
Sedgwick Claims Management Services, Inc. Second Lien , (3 month LIBOR + 5.750%) | 340 | 341 | ||||||
TKC Holdings, Inc. First Lien , (1 month LIBOR + 3.750%) | 173 | 172 | ||||||
University Support Services LLC |
| |||||||
(3 month LIBOR + 3.500%) | 30 | 30 | ||||||
Tranche B, (3 month LIBOR + 3.500%) | 95 | 95 | ||||||
|
| |||||||
2,559 | ||||||||
|
| |||||||
Utility—0.5% |
| |||||||
APLP Holdings LP , (1 month LIBOR + 3.000%) | 235 | 234 | ||||||
Talen Energy Supply LLC , (1 month LIBOR + 4.000%) | 123 | 123 | ||||||
Vistra Operations Co., LLC (1 month LIBOR + 2.000%) |
| |||||||
4.094%, 8/4/23 | 148 | 147 |
PAR VALUE | VALUE | |||||||
Utility—continued |
| |||||||
2018, (weekly LIBOR + 2.000%) | $ | 145 | $ | 144 | ||||
|
| |||||||
648 | ||||||||
TOTAL LEVERAGED LOANS |
| |||||||
(Identified Cost $16,424) | 16,217 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—2.6% |
| |||||||
Financials—2.0% |
| |||||||
Bank of New York Mellon Corp. (The) | 290 | (8) | 297 | |||||
Huntington Bancshares, Inc. | 225 | (8) | 222 | |||||
JPMorgan Chase & Co. | 70 | (8) | 71 | |||||
KeyCorp | 535 | (8) | 521 | |||||
M&T Bank Corp. | 355 | (8) | 353 | |||||
MetLife, Inc. | 173 | (8) | 176 | |||||
PNC Financial Services Group, Inc. (The) | 405 | (8) | 401 | |||||
PNC Financial Services Group, Inc. (The) | 405 | (8) | 401 | |||||
|
| |||||||
2,442 | ||||||||
|
| |||||||
Industrials—0.6% |
| |||||||
General Electric Co. | 792 | (8) | 781 | |||||
TOTAL PREFERRED STOCKS |
| |||||||
(Identified Cost $3,175) | 3,223 | |||||||
COMMON STOCKS—0.1% |
| |||||||
Consumer Discretionary—0.0% |
| |||||||
Mark IV Industries(15) | 828 | 29 | ||||||
|
| |||||||
Energy—0.1% |
| |||||||
Frontera Energy Corp.(1) | 2,618 | 38 | ||||||
TOTAL COMMON STOCKS |
| |||||||
(Identified Cost $53) | 67 | |||||||
AFFILIATED MUTUAL FUND(11)—2.4% |
| |||||||
Virtus Newfleet Credit Opportunities Fund – Class R6 | 310,156 | 2,981 | ||||||
TOTAL AFFILIATED MUTUAL FUND |
| |||||||
(Identified Cost $3,100) | 2,981 | |||||||
RIGHTS—0.0% |
| |||||||
Utilities—0.0% |
| |||||||
Vistra Energy Corp.(15) | 7,753 | 4 | ||||||
TOTAL RIGHTS |
| |||||||
(Identified Cost $7) | 4 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.4% |
| |||||||
(Identified Cost $127,608) | 123,391 | (10) |
Refer to Footnote Legend on page 23.
See Notes to Financial Statements
22
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
SHORT-TERM INVESTMENT(11)—1.2% |
| |||||||
Money Market Mutual Fund—1.2% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%) | 1,483,203 | $ | 1,483 | |||||
TOTAL SHORT-TERM INVESTMENT |
| |||||||
(Identified Cost $1,483) | 1,483 | |||||||
TOTAL INVESTMENTS—100.6% |
| |||||||
(Identified Cost $129,091) | 124,874 | |||||||
Other assets and liabilities, net—(0.6)% | (688 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 124,186 | ||||||
|
|
Abbreviations:
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
(1) | Non-income producing. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(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, 2018, these securities amounted to a value of $52,024 or 41.9% 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) | Interest payments may be deferred. |
(6) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(7) | This loan will settle after June 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Value shown as par value. |
(9) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(10) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
(11) | Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available. |
(12) | Amount is less than $500. |
(13) | 100% of the income received was in cash. |
(14) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(15) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments. |
(16) | 100% of the income received was PIK. |
(17) | Represents unfunded portion of security and commitment fee earned on this portion. |
(18) | No contractual maturity date. |
Foreign Currencies:
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
IDR | Indonesian Rupiah |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
NGN | Nigerian Naira |
RUB | Russian Ruble |
ZAR | South African Rand |
Country Weightings† | ||||
United States | 72 | % | ||
Netherlands | 3 | |||
Mexico | 3 | |||
Canada | 2 | |||
Argentina | 2 | |||
Colombia | 1 | |||
United Kingdom | 1 | |||
Other | 16 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2018. |
|
See Notes to Financial Statements
23
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 8,467 | $ | — | $ | 8,467 | $ | — | ||||||||
Corporate Bond and Notes | 60,608 | — | 60,416 | 192 | ||||||||||||
Foreign Government Securities | 11,694 | — | 11,694 | — | ||||||||||||
Leveraged Loans | 16,217 | — | 16,217 | — | * | |||||||||||
Mortgage-Backed Securities | 17,614 | — | 17,614 | — | ||||||||||||
Municipal Bonds | 826 | — | 826 | — | ||||||||||||
U.S. Government Securities | 1,690 | — | 1,690 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 67 | 38 | — | 29 | ||||||||||||
Preferred Stocks | 3,223 | — | 3,223 | — | ||||||||||||
Rights | 4 | — | — | 4 | ||||||||||||
Affiliated Mutual Fund | 2,981 | 2,981 | — | — | ||||||||||||
Short-Term Investment | 1,483 | 1,483 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 124,874 | $ | 4,502 | $ | 120,147 | $ | 225 | ||||||||
|
|
|
|
|
|
|
|
* Amount is less than $500.
Securities held by the Series with an end of period value of $192 were transferred from Level 2 to Level 3 due to a decrease in trading activities at period end.
There were no other transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended June 30, 2018.
See Notes to Financial Statements
24
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—95.5% |
| |||||||
Consumer Discretionary—13.0% |
| |||||||
Advance Auto Parts, Inc. | 318 | $ | 43 | |||||
Amazon.com, Inc.(1)(3) | 1,753 | 2,980 | ||||||
Aptiv plc | 1,154 | 106 | ||||||
AutoZone, Inc.(1) | 118 | 79 | ||||||
Best Buy Co., Inc. | 1,109 | 83 | ||||||
Booking Holdings, Inc.(1)(3) | 212 | 430 | ||||||
BorgWarner, Inc. | 863 | 37 | ||||||
CarMax, Inc.(1) | 787 | 57 | ||||||
Carnival Corp. | 1,761 | 101 | ||||||
CBS Corp. Class B | 1,491 | 84 | ||||||
Charter Communications, Inc. Class A(1) | 800 | 235 | ||||||
Chipotle Mexican Grill, Inc.(1) | 106 | 46 | ||||||
Comcast Corp. Class A(3) | 19,900 | 653 | ||||||
Darden Restaurants, Inc. | 537 | 58 | ||||||
Discovery, Inc. Class A(1) | 671 | 18 | ||||||
Discovery, Inc. Class C(1) | 1,465 | 37 | ||||||
DISH Network Corp. Class A(1) | 989 | 33 | ||||||
Dollar General Corp. | 1,114 | 110 | ||||||
Dollar Tree, Inc.(1) | 1,024 | 87 | ||||||
Expedia Group, Inc. | 528 | 63 | ||||||
Foot Locker, Inc. | 526 | 28 | ||||||
Ford Motor Co.(3) | 16,976 | 188 | ||||||
Gap, Inc. (The) | 950 | 31 | ||||||
Garmin Ltd. | 487 | 30 | ||||||
General Motors Co.(3) | 5,512 | 217 | ||||||
Genuine Parts Co. | 636 | 58 | ||||||
Goodyear Tire & Rubber Co. (The) | 1,041 | 24 | ||||||
H&R Block, Inc. | 904 | 21 | ||||||
Hanesbrands, Inc. | 1,562 | 34 | ||||||
Harley-Davidson, Inc. | 716 | 30 | ||||||
Hasbro, Inc. | 489 | 45 | ||||||
Hilton Worldwide Holdings, Inc. | 1,225 | 97 | ||||||
Home Depot, Inc. (The)(3) | 5,077 | 991 | ||||||
Horton (D.R.), Inc. | 1,475 | 61 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,668 | 39 | ||||||
Kohl’s Corp. | 730 | 53 | ||||||
L Brands, Inc. | 1,059 | 39 | ||||||
Leggett & Platt, Inc. | 572 | 26 | ||||||
Lennar Corp. Class A | 1,175 | 62 | ||||||
LKQ Corp.(1) | 1,347 | 43 | ||||||
Lowe’s Cos., Inc.(3) | 3,610 | 345 | ||||||
Macy’s, Inc. | 1,323 | 50 | ||||||
Marriott International, Inc. Class A | 1,301 | 165 | ||||||
Mattel, Inc. | 1,487 | 24 | ||||||
McDonald’s Corp.(3) | 3,460 | 542 | ||||||
MGM Resorts International | 2,224 | 65 | ||||||
Michael Kors Holdings Ltd.(1) | 658 | 44 | ||||||
Mohawk Industries, Inc.(1) | 276 | 59 | ||||||
Netflix, Inc.(1) | 1,899 | 743 | ||||||
Newell Brands, Inc. | 2,099 | 54 | ||||||
News Corp. Class A | 1,666 | 26 | ||||||
News Corp. Class B | 530 | 8 | ||||||
NIKE, Inc. Class B(3) | 5,617 | 448 | ||||||
Nordstrom, Inc. | 509 | 26 | ||||||
Norwegian Cruise Line Holdings Ltd.(1) | 899 | 43 | ||||||
O’Reilly Automotive, Inc.(1) | 363 | 99 | ||||||
Omnicom Group, Inc. | 1,001 | 76 | ||||||
PulteGroup, Inc. | 1,140 | 33 | ||||||
PVH Corp. | 334 | 50 | ||||||
Ralph Lauren Corp. | 241 | 30 | ||||||
Ross Stores, Inc. | 1,654 | 140 | ||||||
Royal Caribbean Cruises Ltd. | 739 | 77 |
SHARES | VALUE | |||||||
Consumer Discretionary—continued |
| |||||||
Starbucks Corp.(3) | 6,121 | $ | 299 | |||||
Tapestry, Inc. | 1,238 | 58 | ||||||
Target Corp.(3) | 2,353 | 179 | ||||||
Tiffany & Co. | 444 | 58 | ||||||
TJX Cos., Inc. (The) | 2,736 | 260 | ||||||
Tractor Supply Co. | 542 | 41 | ||||||
TripAdvisor, Inc.(1) | 474 | 26 | ||||||
Twenty-First Century Fox, Inc. Class A(3) | 4,576 | 227 | ||||||
Twenty-First Century Fox, Inc. Class B(3) | 1,909 | 94 | ||||||
Ulta Beauty, Inc.(1) | 251 | 59 | ||||||
Under Armour, Inc. Class A(1) | 813 | 18 | ||||||
Under Armour, Inc. Class C(1) | 804 | 17 | ||||||
VF Corp. | 1,430 | 117 | ||||||
Viacom, Inc. Class B | 1,529 | 46 | ||||||
Walt Disney Co. (The)(3) | 6,555 | 687 | ||||||
Whirlpool Corp. | 281 | 41 | ||||||
Wynn Resorts Ltd. | 372 | 62 | ||||||
Yum! Brands, Inc. | 1,444 | 113 | ||||||
|
| |||||||
13,006 | ||||||||
|
| |||||||
Consumer Staples—6.5% |
| |||||||
Altria Group, Inc.(3) | 7,410 | 421 | ||||||
Archer-Daniels-Midland Co. | 2,189 | 100 | ||||||
Brown-Forman Corp. Class B | 1,028 | 50 | ||||||
Campbell Soup Co. | 750 | 30 | ||||||
Church & Dwight Co., Inc. | 951 | 51 | ||||||
Clorox Co. (The) | 504 | 68 | ||||||
Coca-Cola Co. (The)(3) | 14,996 | 658 | ||||||
Colgate-Palmolive Co.(3) | 3,412 | 221 | ||||||
Conagra Brands, Inc. | 1,566 | 56 | ||||||
Constellation Brands, Inc. Class A | 674 | 148 | ||||||
Costco Wholesale Corp.(3) | 1,702 | 356 | ||||||
Coty, Inc. Class A | 1,837 | 26 | ||||||
CVS Health Corp.(3) | 3,953 | 254 | ||||||
Dr. Pepper Snapple Group, Inc. | 702 | 86 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 871 | 124 | ||||||
General Mills, Inc. | 2,216 | 98 | ||||||
Hershey Co. (The) | 549 | 51 | ||||||
Hormel Foods Corp. | 1,055 | 39 | ||||||
J.M. Smucker Co. (The) | 441 | 47 | ||||||
Kellogg Co. | 968 | 68 | ||||||
Kimberly-Clark Corp. | 1,368 | 144 | ||||||
Kraft Heinz Co.(The)(3) | 2,324 | 146 | ||||||
Kroger Co. (The) | 3,150 | 90 | ||||||
McCormick & Co., Inc. | 472 | 55 | ||||||
Molson Coors Brewing Co. Class B | 724 | 49 | ||||||
Mondelez International, Inc. Class A(3) | 5,808 | 238 | ||||||
Monster Beverage Corp.(1) | 1,624 | 93 | ||||||
PepsiCo, Inc.(3) | 5,537 | 603 | ||||||
Philip Morris International, Inc.(3) | 6,080 | 491 | ||||||
Procter & Gamble Co. (The)(3) | 9,814 | 766 | ||||||
Sysco Corp. | 1,884 | 129 | ||||||
Tyson Foods, Inc. Class A | 1,162 | 80 | ||||||
Walgreens Boots Alliance, Inc.(3) | 3,323 | 199 | ||||||
Walmart, Inc.(3) | 5,663 | 485 | ||||||
|
| |||||||
6,520 | ||||||||
|
| |||||||
Energy—6.3% |
| |||||||
Anadarko Petroleum Corp. | 2,248 | 165 | ||||||
Andeavor | 618 | 81 | ||||||
Apache Corp. | 1,670 | 78 | ||||||
Baker Hughes a GE Co. | 1,847 | 61 | ||||||
Cabot Oil & Gas Corp. | 2,011 | 48 |
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
25
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Energy—continued |
| |||||||
Chevron Corp.(3) | 8,262 | $ | 1,045 | |||||
Cimarex Energy Co. | 416 | 42 | ||||||
Concho Resources, Inc.(1) | 649 | 90 | ||||||
ConocoPhillips(3) | 5,071 | 353 | ||||||
Devon Energy Corp. | 2,296 | 101 | ||||||
EOG Resources, Inc. | 2,512 | 313 | ||||||
EQT Corp. | 1,062 | 59 | ||||||
Exxon Mobil Corp.(3) | 18,295 | 1,514 | ||||||
Halliburton Co.(3) | 3,813 | 172 | ||||||
Helmerich & Payne, Inc. | 476 | 30 | ||||||
Hess Corp. | 1,176 | 79 | ||||||
Kinder Morgan, Inc.(3) | 8,253 | 146 | ||||||
Marathon Oil Corp. | 3,702 | 77 | ||||||
Marathon Petroleum Corp. | 2,068 | 145 | ||||||
National Oilwell Varco, Inc. | 1,669 | 72 | ||||||
Newfield Exploration Co.(1) | 874 | 26 | ||||||
Noble Energy, Inc. | 2,147 | 76 | ||||||
Occidental Petroleum Corp.(3) | 3,334 | 279 | ||||||
ONEOK, Inc. | 1,784 | 125 | ||||||
Phillips 66 | 1,827 | 205 | ||||||
Pioneer Natural Resources Co. | 742 | 140 | ||||||
Range Resources Corp. | 993 | 17 | ||||||
Schlumberger Ltd.(3) | 6,046 | 405 | ||||||
TechnipFMC plc | 1,968 | 62 | ||||||
Valero Energy Corp. | 1,888 | 209 | ||||||
Williams Cos., Inc. (The) | 3,598 | 97 | ||||||
|
| |||||||
6,312 | ||||||||
|
| |||||||
Financials—12.6% |
| |||||||
Affiliated Managers Group, Inc. | 214 | 32 | ||||||
Aflac, Inc. | 3,056 | 131 | ||||||
Allstate Corp. (The)(3) | 1,384 | 126 | ||||||
American Express Co.(3) | 2,826 | 277 | ||||||
American International Group, Inc.(3) | 3,504 | 186 | ||||||
Ameriprise Financial, Inc. | 571 | 80 | ||||||
AON plc | 964 | 132 | ||||||
Assurant, Inc. | 206 | 21 | ||||||
Bank of America Corp.(3) | 37,711 | 1,063 | ||||||
Bank of New York Mellon Corp. (The)(3) | 3,954 | 213 | ||||||
BB&T Corp. | 3,050 | 154 | ||||||
Berkshire Hathaway, Inc. Class B(1)(3) | 7,515 | 1,403 | ||||||
BlackRock, Inc.(3) | 485 | 242 | ||||||
Brighthouse Financial, Inc.(1)(3) | 373 | 15 | ||||||
Capital One Financial Corp.(3) | 1,890 | 174 | ||||||
Cboe Global Markets, Inc. | 443 | 46 | ||||||
Charles Schwab Corp. (The) | 4,675 | 239 | ||||||
Chubb Ltd. | 1,808 | 230 | ||||||
Cincinnati Financial Corp. | 584 | 39 | ||||||
Citigroup, Inc.(3) | 10,060 | 673 | ||||||
Citizens Financial Group, Inc. | 1,913 | 74 | ||||||
CME Group, Inc. | 1,340 | 220 | ||||||
Comerica, Inc. | 678 | 62 | ||||||
Discover Financial Services | 1,391 | 98 | ||||||
E*TRADE Financial Corp.(1) | 1,048 | 64 | ||||||
Everest Re Group Ltd. | 160 | 37 | ||||||
Fifth Third Bancorp | 2,724 | 78 | ||||||
Franklin Resources, Inc. | 1,275 | 41 | ||||||
Gallagher (Arthur J.) & Co. | 708 | 46 | ||||||
Goldman Sachs Group, Inc. (The)(3) | 1,391 | 307 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,393 | 71 | ||||||
Huntington Bancshares, Inc. | 4,354 | 64 | ||||||
Intercontinental Exchange, Inc. | 2,283 | 168 | ||||||
Invesco Ltd. | 1,596 | 42 |
SHARES | VALUE | |||||||
Financials—continued |
| |||||||
Jefferies Financial Group, Inc. | 1,236 | $ | 28 | |||||
JPMorgan Chase & Co.(3) | 13,462 | 1,403 | ||||||
KeyCorp | 4,178 | 82 | ||||||
Lincoln National Corp. | 863 | 54 | ||||||
Loews Corp. | 1,055 | 51 | ||||||
M&T Bank Corp. | 588 | 100 | ||||||
Marsh & McLennan Cos., Inc. | 1,978 | 162 | ||||||
MetLife, Inc.(3) | 4,079 | 178 | ||||||
Moody’s Corp. | 649 | 111 | ||||||
Morgan Stanley(3) | 5,421 | 257 | ||||||
MSCI, Inc. | 352 | 58 | ||||||
Nasdaq, Inc. | 457 | 42 | ||||||
Northern Trust Corp. | 835 | 86 | ||||||
People’s United Financial, Inc. | 1,364 | 25 | ||||||
PNC Financial Services Group, Inc. (The) | 1,843 | 249 | ||||||
Principal Financial Group, Inc. | 1,055 | 56 | ||||||
Progressive Corp. (The) | 2,273 | 134 | ||||||
Prudential Financial, Inc. | 1,662 | 155 | ||||||
Raymond James Financial, Inc. | 511 | 46 | ||||||
Regions Financial Corp. | 4,421 | 79 | ||||||
S&P Global, Inc. | 996 | 203 | ||||||
State Street Corp. | 1,434 | 133 | ||||||
SunTrust Banks, Inc. | 1,838 | 121 | ||||||
SVB Financial Group(1) | 207 | 60 | ||||||
Synchrony Financial | 2,802 | 93 | ||||||
T. Rowe Price Group, Inc. | 956 | 111 | ||||||
Torchmark Corp. | 416 | 34 | ||||||
Travelers Cos., Inc. (The) | 1,064 | 130 | ||||||
U.S. Bancorp(3) | 6,145 | 307 | ||||||
Unum Group | 867 | 32 | ||||||
Wells Fargo & Co.(3) | 17,226 | 955 | ||||||
Willis Towers Watson plc | 525 | 80 | ||||||
XL Group Ltd. | 1,005 | 56 | ||||||
Zions Bancorporation | 772 | 41 | ||||||
|
| |||||||
12,560 | ||||||||
|
| |||||||
Health Care—12.5% |
| |||||||
Abbott Laboratories(3) | 6,790 | 414 | ||||||
AbbVie, Inc.(3) | 6,219 | 576 | ||||||
ABIOMED, Inc.(1) | 164 | 67 | ||||||
Aetna, Inc. | 1,276 | 234 | ||||||
Agilent Technologies, Inc. | 1,263 | 78 | ||||||
Alexion Pharmaceuticals, Inc.(1) | 861 | 107 | ||||||
Align Technology, Inc.(1) | 283 | 97 | ||||||
Allergan plc(3) | 1,291 | 215 | ||||||
AmerisourceBergen Corp. | 635 | 54 | ||||||
Amgen, Inc.(3) | 2,616 | 483 | ||||||
Anthem, Inc. | 1,001 | 238 | ||||||
Baxter International, Inc. | 1,944 | 144 | ||||||
Becton, Dickinson & Co. | 1,040 | 249 | ||||||
Biogen, Inc.(1)(3) | 825 | 239 | ||||||
Boston Scientific Corp.(1) | 5,373 | 176 | ||||||
Bristol-Myers Squibb Co.(3) | 6,326 | 350 | ||||||
Cardinal Health, Inc. | 1,226 | 60 | ||||||
Celgene Corp.(1)(3) | 2,919 | 232 | ||||||
Centene Corp.(1) | 769 | 95 | ||||||
Cerner Corp.(1) | 1,230 | 74 | ||||||
Cigna Corp. | 945 | 161 | ||||||
Cooper Cos., Inc. (The) | 191 | 45 | ||||||
Danaher Corp.(3) | 2,403 | 237 | ||||||
DaVita, Inc.(1) | 568 | 39 | ||||||
DENTSPLY SIRONA, Inc. | 897 | 39 | ||||||
Edwards Lifesciences Corp.(1) | 817 | 119 |
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
26
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Health Care—continued |
| |||||||
Eli Lilly & Co.(3) | 3,765 | $ | 321 | |||||
Envision Healthcare Corp.(1) | 472 | 21 | ||||||
Express Scripts Holding Co.(1) | 2,211 | 171 | ||||||
Gilead Sciences, Inc.(3) | 5,096 | 361 | ||||||
HCA Healthcare, Inc. | 1,092 | 112 | ||||||
Henry Schein, Inc.(1) | 602 | 44 | ||||||
Hologic, Inc.(1) | 1,081 | 43 | ||||||
Humana, Inc. | 537 | 160 | ||||||
IDEXX Laboratories, Inc.(1) | 339 | 74 | ||||||
Illumina, Inc.(1) | 574 | 160 | ||||||
Incyte Corp.(1) | 682 | 46 | ||||||
Intuitive Surgical, Inc.(1) | 440 | 210 | ||||||
IQVIA Holdings, Inc.(1) | 569 | 57 | ||||||
Johnson & Johnson(3) | 10,493 | 1,273 | ||||||
Laboratory Corp. of America Holdings(1) | 399 | 72 | ||||||
McKesson Corp. | 804 | 107 | ||||||
Medtronic plc(3) | 5,289 | 453 | ||||||
Merck & Co., Inc.(3) | 10,530 | 639 | ||||||
Mettler-Toledo International, Inc.(1) | 99 | 57 | ||||||
Mylan NV(1) | 1,996 | 72 | ||||||
Nektar Therapeutics(1) | 629 | 31 | ||||||
PerkinElmer, Inc. | 432 | 32 | ||||||
Perrigo Co., plc | 513 | 37 | ||||||
Pfizer, Inc.(3) | 23,203 | 842 | ||||||
Quest Diagnostics, Inc. | 531 | 58 | ||||||
Regeneron Pharmaceuticals, Inc.(1) | 298 | 103 | ||||||
ResMed, Inc. | 558 | 58 | ||||||
Stryker Corp. | 1,257 | 212 | ||||||
Thermo Fisher Scientific, Inc. | 1,569 | 325 | ||||||
UnitedHealth Group, Inc.(3) | 3,808 | 934 | ||||||
Universal Health Services, Inc. Class B | 339 | 38 | ||||||
Varian Medical Systems, Inc.(1) | 357 | 41 | ||||||
Vertex Pharmaceuticals, Inc.(1) | 990 | 168 | ||||||
Waters Corp.(1) | 309 | 60 | ||||||
Zimmer Biomet Holdings, Inc. | 792 | 88 | ||||||
Zoetis, Inc. | 1,905 | 162 | ||||||
|
| |||||||
12,464 | ||||||||
|
| |||||||
Industrials—8.7% |
| |||||||
3M Co.(3) | 2,334 | 459 | ||||||
A.O. Smith Corp. | 570 | 34 | ||||||
Acuity Brands, Inc. | 167 | 19 | ||||||
Alaska Air Group, Inc. | 480 | 29 | ||||||
Allegion plc | 374 | 29 | ||||||
American Airlines Group, Inc. | 1,648 | 63 | ||||||
AMETEK, Inc. | 905 | 65 | ||||||
Arconic, Inc. | 1,676 | 28 | ||||||
Boeing Co. (The)(3) | 2,208 | 741 | ||||||
Caterpillar, Inc.(3) | 2,371 | 322 | ||||||
Cintas Corp. | 338 | 63 | ||||||
CSX Corp. | 3,479 | 222 | ||||||
Cummins, Inc. | 611 | 81 | ||||||
Deere & Co. | 1,277 | 178 | ||||||
Delta Air Lines, Inc. | 2,549 | 126 | ||||||
Dover Corp. | 603 | 44 | ||||||
Eaton Corp. plc | 1,725 | 129 | ||||||
Emerson Electric Co.(3) | 2,481 | 171 | ||||||
Equifax, Inc. | 469 | 59 | ||||||
Expeditors International of Washington, Inc. | 692 | 51 | ||||||
Fastenal Co. | 1,126 | 54 | ||||||
FedEx Corp.(3) | 966 | 219 | ||||||
Flowserve Corp. | 513 | 21 | ||||||
Fluor Corp. | 546 | 27 |
SHARES | VALUE | |||||||
Industrials—continued |
| |||||||
Fortive Corp. | 1,202 | $ | 93 | |||||
Fortune Brands Home & Security, Inc. | 595 | 32 | ||||||
General Dynamics Corp.(3) | 1,087 | 203 | ||||||
General Electric Co.(3) | 34,214 | 466 | ||||||
Harris Corp. | 465 | 67 | ||||||
Honeywell International, Inc.(3) | 2,954 | 425 | ||||||
Hunt (JB) Transport Services, Inc. | 336 | 41 | ||||||
Huntington Ingalls Industries, Inc. | 178 | 39 | ||||||
IHS Markit Ltd.(1) | 1,419 | 73 | ||||||
Illinois Tool Works, Inc. | 1,202 | 166 | ||||||
Ingersoll-Rand plc | 981 | 88 | ||||||
Jacobs Engineering Group, Inc. | 473 | 30 | ||||||
Johnson Controls International plc | 3,614 | 121 | ||||||
Kansas City Southern | 402 | 43 | ||||||
L3 Technologies, Inc. | 308 | 59 | ||||||
Lockheed Martin Corp.(3) | 971 | 287 | ||||||
Masco Corp. | 1,233 | 46 | ||||||
Nielsen Holdings plc | 1,330 | 41 | ||||||
Norfolk Southern Corp. | 1,105 | 167 | ||||||
Northrop Grumman Corp. | 683 | 210 | ||||||
PACCAR, Inc. | 1,383 | 86 | ||||||
Parker-Hannifin Corp. | 523 | 81 | ||||||
Pentair plc | 650 | 27 | ||||||
Quanta Services, Inc.(1) | 603 | 20 | ||||||
Raytheon Co.(3) | 1,131 | 218 | ||||||
Republic Services, Inc. | 879 | 60 | ||||||
Robert Half International, Inc. | 487 | 32 | ||||||
Robinson (C.H.) Worldwide, Inc. | 549 | 46 | ||||||
Rockwell Automation, Inc. | 500 | 83 | ||||||
Rockwell Collins, Inc. | 641 | 86 | ||||||
Roper Technologies, Inc. | 401 | 111 | ||||||
Snap-on, Inc. | 221 | 35 | ||||||
Southwest Airlines Co. | 2,114 | 108 | ||||||
Stanley Black & Decker, Inc. | 601 | 80 | ||||||
Stericycle, Inc.(1) | 336 | 22 | ||||||
Textron, Inc. | 1,025 | 68 | ||||||
TransDigm Group, Inc. | 190 | 66 | ||||||
Union Pacific Corp.(3) | 3,068 | 435 | ||||||
United Continental Holdings, Inc.(1) | 948 | 66 | ||||||
United Parcel Service, Inc. Class B(3) | 2,698 | 287 | ||||||
United Rentals, Inc.(1) | 334 | 49 | ||||||
United Technologies Corp.(3) | 2,902 | 363 | ||||||
Verisk Analytics, Inc.(1) | 605 | 65 | ||||||
W.W. Grainger, Inc. | 199 | 61 | ||||||
Waste Management, Inc. | 1,556 | 127 | ||||||
Xylem, Inc. | 705 | 47 | ||||||
|
| |||||||
8,660 | ||||||||
|
| |||||||
Information Technology—26.0% |
| |||||||
Accenture plc Class A(3) | 2,669 | 437 | ||||||
Activision Blizzard, Inc. | 3,283 | 251 | ||||||
Adobe Systems, Inc.(1) | 2,184 | 532 | ||||||
Advanced Micro Devices, Inc.(1) | 3,587 | 54 | ||||||
Akamai Technologies, Inc.(1) | 735 | 54 | ||||||
Alliance Data Systems Corp. | 211 | 49 | ||||||
Alphabet, Inc. Class A(1)(3) | 1,285 | 1,451 | ||||||
Alphabet, Inc. Class C(1)(3) | 1,312 | 1,464 | ||||||
Amphenol Corp. Class A | 1,307 | 114 | ||||||
Analog Devices, Inc. | 1,601 | 154 | ||||||
ANSYS, Inc.(1) | 360 | 63 | ||||||
Apple, Inc.(3) | 21,933 | 4,060 | ||||||
Applied Materials, Inc. | 4,597 | 212 | ||||||
Autodesk, Inc.(1) | 958 | 126 |
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
27
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Information Technology—continued |
| |||||||
Automatic Data Processing, Inc. | 1,912 | $ | 256 | |||||
Broadcom, Inc. | 1,771 | 430 | ||||||
CA, Inc. | 1,351 | 48 | ||||||
Cadence Design Systems, Inc.(1) | 1,221 | 53 | ||||||
Cisco Systems, Inc.(3) | 20,952 | 902 | ||||||
Citrix Systems, Inc.(1) | 558 | 58 | ||||||
Cognizant Technology Solutions Corp. Class A | 2,505 | 198 | ||||||
Corning, Inc. | 3,733 | 103 | ||||||
DXC Technology Co. | 1,232 | 99 | ||||||
eBay, Inc.(1) | 4,068 | 147 | ||||||
Electronic Arts, Inc.(1) | 1,319 | 186 | ||||||
F5 Networks, Inc.(1) | 267 | 46 | ||||||
Facebook, Inc. Class A(1)(3) | 10,386 | 2,018 | ||||||
Fidelity National Information Services, Inc. | 1,430 | 152 | ||||||
Fiserv, Inc.(1) | 1,775 | 131 | ||||||
FLIR Systems, Inc. | 598 | 31 | ||||||
Gartner, Inc.(1) | 390 | 52 | ||||||
Global Payments, Inc. | 685 | 76 | ||||||
Hewlett Packard Enterprise Co. | 6,770 | 99 | ||||||
HP, Inc. | 7,091 | 161 | ||||||
Intel Corp.(3) | 20,315 | 1,010 | ||||||
International Business Machines Corp.(3) | 3,701 | 517 | ||||||
Intuit, Inc. | 1,050 | 214 | ||||||
IPG Photonics Corp.(1) | 164 | 36 | ||||||
Juniper Networks, Inc. | 1,478 | 40 | ||||||
KLA-Tencor Corp. | 679 | 70 | ||||||
Lam Research Corp. | 711 | 123 | ||||||
Mastercard, Inc. Class A(3) | 3,966 | 779 | ||||||
Microchip Technology, Inc. | 1,020 | 93 | ||||||
Micron Technology, Inc.(1) | 5,022 | 263 | ||||||
Microsoft Corp.(3) | 33,174 | 3,271 | ||||||
Motorola Solutions, Inc. | 697 | 81 | ||||||
NetApp, Inc. | 1,157 | 91 | ||||||
NVIDIA Corp. | 2,628 | 623 | ||||||
Oracle Corp.(3) | 13,056 | 575 | ||||||
Paychex, Inc. | 1,376 | 94 | ||||||
PayPal Holdings, Inc.(1)(3) | 4,913 | 409 | ||||||
Qorvo, Inc.(1) | 545 | 44 | ||||||
QUALCOMM, Inc.(3) | 6,344 | 356 | ||||||
Red Hat, Inc.(1) | 766 | 103 | ||||||
salesforce.com, Inc.(1) | 2,993 | 408 | ||||||
Seagate Technology plc | 1,240 | 70 | ||||||
Skyworks Solutions, Inc. | 789 | 76 | ||||||
Symantec Corp. | 2,676 | 55 | ||||||
Synopsys, Inc.(1) | 641 | 55 | ||||||
Take-Two Interactive Software, Inc.(1) | 495 | 59 | ||||||
TE Connectivity Ltd. | 1,510 | 136 | ||||||
Texas Instruments, Inc.(3) | 4,252 | 469 | ||||||
Total System Services, Inc. | 716 | 60 | ||||||
Twitter, Inc.(1) | 2,810 | 123 | ||||||
VeriSign, Inc.(1) | 413 | 57 | ||||||
Visa, Inc. Class A(3) | 7,728 | 1,024 | ||||||
Western Digital Corp. | 1,294 | 100 | ||||||
Western Union Co. (The) | 1,974 | 40 | ||||||
Xerox Corp. | 924 | 22 | ||||||
Xilinx, Inc. | 1,100 | 72 | ||||||
|
| |||||||
25,885 | ||||||||
|
| |||||||
Materials—2.4% |
| |||||||
Air Products & Chemicals, Inc. | 854 | 133 | ||||||
Albemarle Corp. | 434 | 41 | ||||||
Avery Dennison Corp. | 344 | 35 | ||||||
Ball Corp. | 1,377 | 49 | ||||||
CF Industries Holdings, Inc. | 913 | 41 |
SHARES | VALUE | |||||||
Materials—continued |
| |||||||
DowDuPont, Inc.(3) | 9,190 | $ | 606 | |||||
Eastman Chemical Co. | 558 | 56 | ||||||
Ecolab, Inc. | 1,016 | 143 | ||||||
FMC Corp. | 524 | 47 | ||||||
Freeport-McMoRan, Inc. | 5,344 | 92 | ||||||
International Flavors & Fragrances, Inc. | 307 | 38 | ||||||
International Paper Co. | 1,633 | 85 | ||||||
LyondellBasell Industries N.V. Class A | 1,224 | 134 | ||||||
Martin Marietta Materials, Inc. | 245 | 55 | ||||||
Mosaic Co. (The) | 1,375 | 39 | ||||||
Newmont Mining Corp. | 2,112 | 80 | ||||||
Nucor Corp. | 1,240 | 77 | ||||||
Packaging Corp. of America | 373 | 42 | ||||||
PPG Industries, Inc. | 987 | 102 | ||||||
Praxair, Inc. | 1,126 | 178 | ||||||
Sealed Air Corp. | 653 | 28 | ||||||
Sherwin-Williams Co. (The) | 325 | 132 | ||||||
Vulcan Materials Co. | 518 | 67 | ||||||
WestRock Co. | 1,009 | 57 | ||||||
|
| |||||||
2,357 | ||||||||
|
| |||||||
Real Estate—2.8% |
| |||||||
Alexandria Real Estate Equities, Inc. | 437 | 55 | ||||||
American Tower Corp. | 1,898 | 274 | ||||||
Apartment Investment & Management Co. Class A | 681 | 29 | ||||||
AvalonBay Communities, Inc. | 597 | 103 | ||||||
Boston Properties, Inc. | 668 | 84 | ||||||
CBRE Group, Inc. Class A(1) | 1,314 | 63 | ||||||
Crown Castle International Corp. | 1,789 | 193 | ||||||
Digital Realty Trust, Inc. | 887 | 99 | ||||||
Duke Realty Corp. | 1,544 | 45 | ||||||
Equinix, Inc. | 344 | 148 | ||||||
Equity Residential | 1,586 | 101 | ||||||
Essex Property Trust, Inc. | 286 | 68 | ||||||
Extra Space Storage, Inc. | 544 | 54 | ||||||
Federal Realty Investment Trust | 316 | 40 | ||||||
GGP, Inc. | 2,731 | 56 | ||||||
HCP, Inc. | 2,025 | 52 | ||||||
Host Hotels & Resorts, Inc. | 3,168 | 67 | ||||||
Iron Mountain, Inc. | 1,230 | 43 | ||||||
Kimco Realty Corp. | 1,821 | 31 | ||||||
Macerich Co. (The) | 471 | 27 | ||||||
Mid-America Apartment Communities, Inc. | 489 | 49 | ||||||
Prologis, Inc. | 2,307 | 152 | ||||||
Public Storage | 648 | 147 | ||||||
Realty Income Corp. | 1,230 | 66 | ||||||
Regency Centers Corp. | 645 | 40 | ||||||
SBA Communications, Corp.(1) | 503 | 83 | ||||||
Simon Property Group, Inc.(3) | 1,342 | 228 | ||||||
SL Green Realty Corp. | 392 | 39 | ||||||
UDR, Inc. | 1,156 | 43 | ||||||
Ventas, Inc. | 1,541 | 88 | ||||||
Vornado Realty Trust | 747 | 55 | ||||||
Welltower, Inc. | 1,596 | 100 | ||||||
Weyerhaeuser Co. | 3,262 | 119 | ||||||
|
| |||||||
2,841 | ||||||||
|
| |||||||
Telecommunication Services—2.0% |
| |||||||
AT&T, Inc.(3) | 31,304 | 1,005 | ||||||
CenturyLink, Inc. | 4,189 | 78 | ||||||
Verizon Communications, Inc.(3) | 17,726 | 892 | ||||||
|
| |||||||
1,975 | ||||||||
|
|
Refer to Footnote Legend on page 29.
See Notes to Financial Statements
28
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Utilities—2.7% |
| |||||||
AES Corp. | 2,586 | $ | 35 | |||||
Alliant Energy Corp. | 903 | 38 | ||||||
Ameren Corp. | 949 | 58 | ||||||
American Electric Power Co., Inc. | 1,916 | 133 | ||||||
American Water Works Co., Inc. | 698 | 60 | ||||||
CenterPoint Energy, Inc. | 1,687 | 47 | ||||||
CMS Energy Corp. | 1,102 | 52 | ||||||
Consolidated Edison, Inc. | 1,211 | 94 | ||||||
Dominion Energy, Inc. | 2,542 | 173 | ||||||
DTE Energy Co. | 707 | 73 | ||||||
Duke Energy Corp.(3) | 2,730 | 216 | ||||||
Edison International | 1,269 | 80 | ||||||
Entergy Corp. | 705 | 57 | ||||||
Evergy, Inc. | 1,058 | 59 | ||||||
Eversource Energy | 1,236 | 73 | ||||||
Exelon Corp.(3) | 3,773 | 161 | ||||||
FirstEnergy Corp. | 1,735 | 62 | ||||||
NextEra Energy, Inc.(3) | 1,834 | 306 | ||||||
NiSource, Inc. | 1,316 | 35 | ||||||
NRG Energy, Inc. | 1,179 | 36 | ||||||
PG&E Corp. | 2,009 | 86 | ||||||
Pinnacle West Capital Corp. | 438 | 35 | ||||||
PPL Corp. | 2,710 | 77 | ||||||
Public Service Enterprise Group, Inc. | 1,969 | 107 | ||||||
SCANA Corp. | 557 | 22 | ||||||
Sempra Energy | 1,000 | 116 | ||||||
Southern Co. (The)(3) | 3,939 | 182 | ||||||
WEC Energy Group, Inc. | 1,231 | 80 | ||||||
Xcel Energy, Inc. | 1,978 | 90 | ||||||
|
| |||||||
2,643 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $82,564) | 95,223 | |||||||
EXCHANGE-TRADED FUND(2)—3.1% |
| |||||||
Invesco S&P 500 High Beta ETF | 71,045 | 3,053 | ||||||
TOTAL EXCHANGE-TRADED FUND | ||||||||
(Identified Cost $3,206) | 3,053 | |||||||
TOTAL LONG-TERM INVESTMENTS—98.6% | ||||||||
(Identified Cost $85,770) | 98,276 | |||||||
SHORT-TERM INVESTMENTS—1.6% |
| |||||||
PURCHASED OPTIONS—0.1% |
| |||||||
(See the open purchased options table on page 30 for the detailed information.) |
| |||||||
TOTAL PURCHASED OPTIONS—0.1% |
| |||||||
(Premiums Paid $223) |
| 87 |
SHARES | VALUE | |||||||
Money Market Mutual Fund(2)—1.5% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%) | 1,523,232 | $ | 1,523 | |||||
TOTAL MONEY MARKET MUTUAL FUND | ||||||||
(Identified Cost $1,523) | 1,523 | |||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $1,746) | 1,610 | |||||||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—100.2% |
| |||||||
(Identified Cost $87,516) | 99,886 | |||||||
WRITTEN OPTIONS—(0.2)% |
| |||||||
(See the open written options table on page 30 for the detailed information.) |
| |||||||
TOTAL WRITTEN OPTIONS—(0.2)% | ||||||||
(Premiums Received $436) | (239 | ) | ||||||
TOTAL INVESTMENTS NET OF WRITTEN OPTIONS—100.0% | ||||||||
(Identified Cost $87,080) | 99,647 | |||||||
Other assets and liabilities, net—0.0% | 14 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 99,661 | ||||||
|
|
Abbreviation:
ETF | Exchange-Traded Fund |
(1) | Non-income producing. |
(2) | Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available. |
(3) | All or a portion of the security is segregated as collateral for written options. |
See Notes to Financial Statements
29
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
Open Purchased Options contracts as of June 30, 2018, were as follows: |
| |||||||||||||||||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value | |||||||||||||||
Call Options | ||||||||||||||||||||
S&P 500® Index | 143 | $ | 41,828 | $ | 2,925 | 7/2/18 | $ | — | ||||||||||||
S&P 500® Index | 145 | 42,268 | 2,915 | 7/3/18 | — | |||||||||||||||
S&P 500® Index | 168 | 48,552 | 2,890 | 7/6/18 | 1 | |||||||||||||||
S&P 500® Index | 144 | 41,472 | 2,880 | 7/9/18 | — | |||||||||||||||
S&P 500® Index | 142 | 40,967 | 2,885 | 7/11/18 | — | |||||||||||||||
S&P 500® Index | 132 | 38,280 | 2,900 | 7/13/18 | — | |||||||||||||||
|
| |||||||||||||||||||
1 | ||||||||||||||||||||
|
| |||||||||||||||||||
Put Options | ||||||||||||||||||||
S&P 500® Index | 143 | 37,037 | 2,590 | 7/2/18 | 3 | |||||||||||||||
S&P 500® Index | 145 | 37,700 | 2,600 | 7/3/18 | 6 | |||||||||||||||
S&P 500® Index | 168 | 43,344 | 2,580 | 7/6/18 | 18 | |||||||||||||||
S&P 500® Index | 144 | 36,288 | 2,520 | 7/9/18 | 11 | |||||||||||||||
S&P 500® Index | 142 | 35,571 | 2,505 | 7/11/18 | 17 | |||||||||||||||
S&P 500® Index | 132 | 3,462 | 2,535 | 7/13/18 | 31 | |||||||||||||||
|
| |||||||||||||||||||
86 | ||||||||||||||||||||
Total | $ | 87 | ||||||||||||||||||
|
|
Open Written Options contracts as of June 30, 2018, were as follows: |
| |||||||||||||||||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value | |||||||||||||||
Call Options | ||||||||||||||||||||
S&P 500® Index | 143 | $ | 40,827 | $ | 2,855 | 7/2/18 | $ | (1 | ) | |||||||||||
S&P 500® Index | 145 | 41,398 | 2,855 | 7/3/18 | — | |||||||||||||||
S&P 500® Index | 168 | 47,544 | 2,830 | 7/6/18 | (1 | ) | ||||||||||||||
S&P 500® Index | 144 | 40,464 | 2,810 | 7/9/18 | (4 | ) | ||||||||||||||
S&P 500® Index | 142 | 39,973 | 2,815 | 7/11/18 | (11 | ) | ||||||||||||||
S&P 500® Index | 132 | 37,290 | 2,825 | 7/13/18 | (2 | ) | ||||||||||||||
|
| |||||||||||||||||||
(19 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Put Options | ||||||||||||||||||||
S&P 500® Index | 143 | 38,038 | 2,660 | 7/2/18 | (11 | ) | ||||||||||||||
S&P 500® Index | 145 | 38,715 | 2,670 | 7/3/18 | (32 | ) | ||||||||||||||
S&P 500® Index | 168 | 44,352 | 2,640 | 7/6/18 | (46 | ) | ||||||||||||||
S&P 500® Index | 144 | 37,296 | 2,590 | 7/9/18 | (24 | ) | ||||||||||||||
S&P 500® Index | 142 | 36,565 | 2,575 | 7/11/18 | (32 | ) | ||||||||||||||
S&P 500® Index | 132 | 34,452 | 2,610 | 7/13/18 | (75 | ) | ||||||||||||||
|
| |||||||||||||||||||
(220 | ) | |||||||||||||||||||
Total | $ | (239 | ) | |||||||||||||||||
|
|
Footnote Legend:
(1) | Strike price not reported in thousands. |
See Notes to Financial Statements
30
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 95,223 | $ | 95,223 | $ | — | ||||||
Exchange-Traded Fund | 3,053 | 3,053 | — | |||||||||
Purchased Options | 87 | 28 | 59 | (a) | ||||||||
Money Market Mutual Fund | 1,523 | 1,523 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments before Written Options | $ | 99,886 | $ | 99,827 | $ | 59 | (a) | |||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Written Options | (239 | ) | (138 | ) | (101 | )(a) | ||||||
|
|
|
|
|
| |||||||
Total Investments Net of Written Options | $ | 99,647 | $ | 99,689 | $ | (42 | )(a) | |||||
|
|
|
|
|
|
There were no securities valued using significant unobservable inputs (Level 3) at June 30, 2018.
There were no transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
(a) | Purchased and written options valued at zero above are considered to be Level 2 investments in this table |
See Notes to Financial Statements
31
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—2.8% |
| |||||||
U.S. Treasury Bond | $ | 2,924 | $ | 2,656 | ||||
TOTAL U.S. GOVERNMENT SECURITIES |
| |||||||
(Identified Cost $2,724) | 2,656 | |||||||
MUNICIPAL BONDS—2.2% |
| |||||||
California—0.8% |
| |||||||
San Diego County Regional Airport Authority Rental Car Center Project Series B—Taxable | 275 | 303 | ||||||
State of California, Build America Bonds Taxable | 265 | 398 | ||||||
University of California, Taxable Series B-A | 75 | 76 | ||||||
|
| |||||||
777 | ||||||||
|
| |||||||
New York—0.8% |
| |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Series A-3 | 315 | 362 | ||||||
Port Authority of New York & New Jersey, Consolidated Bonds Revenue | 335 | 380 | ||||||
|
| |||||||
742 | ||||||||
|
| |||||||
Texas—0.2% |
| |||||||
State of Texas | 200 | 195 | ||||||
|
| |||||||
Virginia—0.4% |
| |||||||
City of Bristol, General Obligation Taxable | 135 | 137 | ||||||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable | 205 | 202 | ||||||
|
| |||||||
339 | ||||||||
TOTAL MUNICIPAL BONDS |
| |||||||
(Identified Cost $2,049) | 2,053 | |||||||
FOREIGN GOVERNMENT SECURITIES—0.6% |
| |||||||
Argentine Republic | 35 | 28 | ||||||
7.625%, 4/22/46 | 150 | 121 | ||||||
6.875%, 1/11/48 | 35 | 26 | ||||||
Bolivarian Republic of Venezuela | 65 | 19 | ||||||
Kingdom of Abu Dhabi 144A | 200 | 192 | ||||||
Republic of Chile | 52,000 | CLP | 83 | |||||
United Mexican States | ||||||||
Series M, | 925 | MXN | 45 | |||||
4.750%, 3/8/44 | 54 | 50 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES |
| |||||||
(Identified Cost $670) | 564 |
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES—9.9% |
| |||||||
Agency—2.8% |
| |||||||
Federal Home Loan Mortgage Corporation | $ | 130 | $ | 130 | ||||
Federal National Mortgage Association | 6 | 6 | ||||||
Pool #825985, 4.500%, 7/1/20 | 1 | 1 | ||||||
Pool #254007, 6.500%, 10/1/31 | 3 | 3 | ||||||
Pool #656288, 6.000%, 9/1/32 | 8 | 9 | ||||||
Pool #835144, 5.000%, 10/1/35 | 24 | 25 | ||||||
Pool #882224, 6.000%, 9/1/36 | 1 | 1 | ||||||
Pool #914724, 5.500%, 4/1/37 | 7 | 7 | ||||||
Pool #940524, 5.500%, 7/1/37 | 20 | 21 | ||||||
Pool #949301, 6.000%, 10/1/37 | 6 | 6 | ||||||
Pool #975097, 5.000%, 6/1/38 | 18 | 19 | ||||||
Pool #986012, 5.500%, 6/1/38 | 3 | 3 | ||||||
Pool #929637, 5.500%, 6/1/38 | 3 | 4 | ||||||
Pool #994383, 5.500%, 11/1/38 | 12 | 13 | ||||||
Pool #930486, 4.000%, 1/1/39 | 40 | 41 | ||||||
Pool #991124, 5.000%, 1/1/39 | 5 | 6 | ||||||
Pool #994322, 6.000%, 1/1/39 | 3 | 4 | ||||||
Pool #AA4418, 4.500%, 3/1/39 | 10 | 10 | ||||||
Pool #AA4434, 5.000%, 3/1/39 | 9 | 10 | ||||||
Pool #AA4436, 6.000%, 3/1/39 | 5 | 5 | ||||||
Pool #930919, 4.500%, 4/1/39 | 74 | 78 | ||||||
Pool #993579, 4.000%, 5/1/39 | 72 | 74 | ||||||
Pool #AC9564, 4.500%, 2/1/40 | 55 | 57 | ||||||
Pool #AE4799, 4.000%, 10/1/40 | 112 | 115 | ||||||
Pool #AH8935, 4.500%, 4/1/41 | 116 | 122 | ||||||
Pool #AH7627, 4.000%, 7/1/41 | 80 | 82 | ||||||
Pool #AJ5753, 3.500%, 1/1/42 | 49 | 49 | ||||||
Pool #AK8634, 3.500%, 4/1/42 | 248 | 249 | ||||||
Pool #AL3000, 3.500%, 12/1/42 | 145 | 146 | ||||||
Pool #AB9809, 3.000%, 7/1/43 | 167 | 164 | ||||||
Pool #AX2491, 4.000%, 10/1/44 | 225 | 230 | ||||||
Pool #AS5722, 3.500%, 9/1/45 | 145 | 144 | ||||||
Pool #MA2495, 3.500%, 1/1/46 | 71 | 71 | ||||||
Pool #AS6515, 4.000%, 1/1/46 | 200 | 204 | ||||||
Pool #BC1217, 3.000%, 7/1/46 | 75 | 73 | ||||||
Pool #AS9393, 4.000%, 4/1/47 | 42 | 43 | ||||||
Pool #MA3058, 4.000%, 7/1/47 | 147 | 150 | ||||||
Pool #MA3088, 4.000%, 8/1/47 | 160 | 163 | ||||||
Government National Mortgage Association | ||||||||
Pool #368053, 6.500%, 11/15/23 | 19 | 21 | ||||||
Pool #351336, 6.500%, 12/15/23 | 1 | 1 | ||||||
Pool #385198, 6.500%, 2/15/24 | 13 | 15 | ||||||
Pool #563381, 6.500%, 11/15/31 | 17 | 19 | ||||||
Pool #581072, 6.500%, 2/15/32 | 19 | 21 | ||||||
|
| |||||||
2,615 | ||||||||
|
| |||||||
Non-Agency—7.1% |
| |||||||
American Homes 4 Rent Trust | 110 | 114 | ||||||
2015-SFR1, A 144A, 3.467%, 4/17/52(3) | 104 | 103 | ||||||
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 2003-AR3, M4 , (1 month LIBOR + 5.850%) | 143 | 142 | ||||||
AMSR Trust 2016-SFR1, C 144A , (1 month LIBOR + 2.250%) | 100 | 100 | ||||||
Angel Oak Mortgage Trust I LLC | 51 | 51 | ||||||
2018-2, A1 144A, 3.674%, 7/27/48(2)(3) | 50 | 50 |
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
32
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—(continued) |
| |||||||
Arroyo Mortgage Trust 2018-1, A1 144A | $ | 97 | $ | 97 | ||||
Aventura Mall Trust 2013-AVM, C 144A | 300 | 305 | ||||||
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A | 100 | 103 | ||||||
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A | 100 | 102 | ||||||
BX Trust 2018-GW, B 144A , (1 month LIBOR + 1.020%) | 125 | 125 | ||||||
CIT Home Equity Loan Trust 2003-1, A5 | 136 | 138 | ||||||
Citigroup Commercial Mortgage Trust 2016-SMPL, A 144A | 100 | 97 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2004-NCM2, 2CB2, 6.750%, 8/25/34 | 58 | 62 | ||||||
2014-A, A 144A, 4.000%, 1/25/35(2)(3) | 38 | 39 | ||||||
2015-A, A1 144A, 3.500%, 6/25/58(2)(3) | 58 | 57 | ||||||
2018-RP1, A1 144A, 3.000%, 9/25/64(2)(3) | 142 | 140 | ||||||
Cold Storage Trust 2017-ICE3, A 144A , (1 month LIBOR + 1.000%) | 115 | 115 | ||||||
Colony Multi-Family Mortgage Trust 2014-1, A 144A | 11 | 11 | ||||||
Colony Starwood Homes Trust 2016-2A, C 144A , (1 month LIBOR + 2.150%) | 100 | 100 | ||||||
COLT Mortgage Loan Trust Funding LLC | 80 | 80 | ||||||
2018-2, A1 144A, 3.470%, 7/27/48(2)(3) | 99 | 99 | ||||||
Credit Suisse Mortgage Capital Trust 2013-HYB1, A16 144A | 29 | 29 | ||||||
Deephaven Residential Mortgage Trust 2018-1A, A1 144A | 85 | 84 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A | 100 | 100 | ||||||
Galton Funding Mortgage Trust 2017-1, A21 144A | 64 | 63 | ||||||
GMAC Mortgage Corp. Loan Trust 2004-AR1, 12A | 24 | 24 | ||||||
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A | 100 | 101 | ||||||
GSAA Home Equity Trust 2005-12, AF3W | 27 | 28 | ||||||
IMC Home Equity Loan Trust 1997-5, A9 | 64 | 63 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 2004-1, 21A1 | 35 | 35 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | 38 | 38 | ||||||
2003-AR4, 2A1, 3.235%, 8/25/33(2) | 58 | 58 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C22, A4 | 150 | 152 | ||||||
JPMorgan Chase Mortgage Trust | 46 | 47 | ||||||
2016-1, M2 144A, 3.750%, 4/25/45(2)(3) | 69 | 69 | ||||||
2016-2, M2 144A, 3.750%, 12/25/45(2)(3) | 76 | 75 | ||||||
2011-C4, A4 144A, 4.388%, 7/15/46(3) | 225 | 231 |
PAR VALUE | VALUE | |||||||
Non-Agency—(continued) |
| |||||||
2017-5, A1 144A, 3.173%, 10/26/48(2)(3) | $ | 248 | $ | 245 | ||||
2017-4, A3 144A, 3.500%, 11/25/48(2)(3) | 90 | 88 | ||||||
MASTR Alternative Loan Trust 2003-8, 2A1 | 91 | 93 | ||||||
MASTR Specialized Loan Trust 2005-3, A2 144A | 46 | 47 | ||||||
MetLife Securitization Trust 2017-1A, M1 144A | 100 | 100 | ||||||
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2015-C22, AS | 225 | 221 | ||||||
Morgan Stanley Capital I Trust 2017-CLS, A 144A , (1 month LIBOR + 0.700%) | 108 | 108 | ||||||
Motel 6 Trust 2017-MTL6, A 144A , (1 month LIBOR + 0.920%) | 127 | 127 | ||||||
New Residential Mortgage Loan Trust | 153 | 153 | ||||||
2014-1A, A 144A, 3.750%, 1/25/54(2)(3) | 67 | 67 | ||||||
2015-2A, A1 144A, 3.750%, 8/25/55(2)(3) | 126 | 127 | ||||||
2016-1A, A1 144A, 3.750%, 3/25/56(2)(3) | 55 | 55 | ||||||
2016-3A, A1 144A, 3.750%, 9/25/56(2)(3) | 67 | 67 | ||||||
2016-4A, A1 144A, 3.750%, 11/25/56(2)(3) | 104 | 104 | ||||||
2016-4A, B1A 144A, 4.500%, 11/25/56(2)(3) | 94 | 96 | ||||||
NovaStar Mortgage Funding Trust 2004-4, M5 , (1 month LIBOR + 1.725%) | 97 | 99 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A | 93 | 92 | ||||||
One Market Plaza Trust 2017-1MKT, A 144A | 100 | 100 | ||||||
Progress Residential Trust 2018-SFR1, B 144A | 110 | 108 | ||||||
Residential Asset Mortgage Products Trust 2005-SL2, A4 | 45 | 43 | ||||||
RETL 2018-RVP, C144A , (1 month LIBOR + 2.050%) | 75 | 76 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2004-1, 6A | 76 | 76 | ||||||
Towd Point Mortgage Trust | 100 | 99 | ||||||
2015-6, M1 144A, 3.750%, 4/25/55(2)(3) | 100 | 101 | ||||||
2015-5, A1B 144A, 2.750%, 5/25/55(2)(3) | 74 | 73 | ||||||
2015-5, A2 144A, 3.500%, 5/25/55(2)(3) | 100 | 99 | ||||||
2016-4, A1 144A, 2.250%, 7/25/56(2)(3) | 66 | 64 | ||||||
2015-2, 1M1 144A, 3.250%, 11/25/60(2)(3) | 145 | 142 | ||||||
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A | 134 | 133 | ||||||
Verus Securitization Trust 2018-1, A1 144A | 156 | 155 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC20, B | 50 | 49 | ||||||
|
| |||||||
6,634 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| |||||||
(Identified Cost $9,281) | 9,249 | |||||||
ASSET-BACKED SECURITIES—2.6% |
| |||||||
Auto Floor Plan—0.2% |
| |||||||
Navistar Financial Dealer Note Master Owner Trust II 2016-1, B 144A , (1 month LIBOR + 1.750%) | 165 | 165 | ||||||
|
|
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
33
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Automobiles—1.3% |
| |||||||
American Credit Acceptance Receivables Trust 2017-2, C 144A | $ | 95 | $ | 94 | ||||
Avis Budget Rental Car Funding LLC (AESOP) 2015-2A, A 144A | 180 | 178 | ||||||
Capital Auto Receivables Asset Trust 2017-1, C 144A | 90 | 88 | ||||||
Centre Point Funding LLC 2012-2A, 1 144A | 51 | 50 | ||||||
DT Auto Owner Trust 2016-4A, C 144A | 125 | 125 | ||||||
Exeter Automobile Receivables Trust | 124 | 125 | ||||||
2014-3A, D 144A, 5.690%, 4/15/21(3) | 115 | 117 | ||||||
Flagship Credit Auto Trust 2016-1, A 144A | 27 | 27 | ||||||
GLS Auto Receivables Trust 2017-1A, B 144A | 115 | 114 | ||||||
Hertz Vehicle Financing II LP 2015-1A, A 144A | 110 | 109 | ||||||
Skopos Auto Receivables Trust 2018-1A, A 144A | 81 | 81 | ||||||
Westlake Automobile Receivables Trust 2017-2A, C 144A | 110 | 109 | ||||||
|
| |||||||
1,217 | ||||||||
|
| |||||||
Home Equity Loans—0.0% |
| |||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2001-SB1, A2 | 39 | 38 | ||||||
|
| |||||||
Other—0.9% |
| |||||||
BXG Receivables Note Trust 2012-A, A 144A | 26 | 26 | ||||||
CCG Receivables Trust 2018-1, A2 144A | 115 | 115 | ||||||
Dell Equipment Finance Trust 2017-2, A3 144A | 100 | 99 | ||||||
Diamond Resorts Owner Trust 2017-1A, A 144A | 68 | 66 | ||||||
Mariner Finance Issuance Trust 2017-AA, A 144A | 100 | 100 | ||||||
MVW Owner Trust 2017-1A, A 144A | 95 | 92 | ||||||
OneMain Financial Issuance Trust 2015-1A, A 144A | 70 | 70 | ||||||
Prosper Marketplace Issuance Trust 2017-2A, B 144A | 100 | 100 | ||||||
SoFi Consumer Loan Program LLC | 90 | 90 | ||||||
2017-1, A 144A, 3.280%, 1/26/26(3) | 54 | 54 | ||||||
|
| |||||||
812 | ||||||||
|
| |||||||
Student Loans—0.2% |
| |||||||
Earnest Student Loan Program LLC 2017-A, A2 144A | 70 | 68 | ||||||
Laurel Road Prime Student Loan Trust 2017-B, A2FX 144A | 110 | 107 | ||||||
SoFi Professional Loan Program LLC 2016-A, A2 144A | 50 | 50 | ||||||
|
| |||||||
225 | ||||||||
TOTAL ASSET-BACKED SECURITIES |
| |||||||
(Identified Cost $2,474) | 2,457 |
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES—16.4% |
| |||||||
Consumer Discretionary—1.6% |
| |||||||
Aptiv plc | $ | 90 | $ | 89 | ||||
Discovery Communications LLC | 100 | 95 | ||||||
Dollar General Corp. | 111 | 109 | ||||||
Ford Motor Credit Co., LLC | 275 | 289 | ||||||
General Motors Financial Co., Inc. | 130 | 131 | ||||||
4.200%, 3/1/21 | 45 | 45 | ||||||
3.550%, 4/9/21 | 17 | 17 | ||||||
GLP Capital LP | 100 | 101 | ||||||
Graham Holdings Co. 144A | 80 | 81 | ||||||
Horton (D.R.), Inc. | 115 | 119 | ||||||
L Brands, Inc. | 37 | 33 | ||||||
Lear Corp. | 120 | 112 | ||||||
Lennar Corp. | 60 | 56 | ||||||
Meredith Corp. 144A | 10 | 10 | ||||||
QVC, Inc. | 145 | 148 | ||||||
William Lyon Homes, Inc. 144A | 65 | 64 | ||||||
|
| |||||||
1,499 | ||||||||
|
| |||||||
Consumer Staples—0.6% |
| |||||||
Anheuser-Busch Inbev Worldwide, Inc. | 110 | 110 | ||||||
CVS Health Corp. | 120 | 109 | ||||||
4.300%, 3/25/28 | 83 | 82 | ||||||
Flowers Foods, Inc. | 130 | 133 | ||||||
Kraft Heinz Foods Co. (The) | 53 | 52 | ||||||
4.000%, 6/15/23 | 40 | 40 | ||||||
Safeway, Inc. | 60 | 56 | ||||||
|
| |||||||
582 | ||||||||
|
| |||||||
Energy—1.4% |
| |||||||
CNOOC Finance 2013 Ltd. | 200 | 193 | ||||||
Enbridge Energy Partners LP | 105 | 114 | ||||||
EP Energy LLC 144A | 30 | 30 | ||||||
Helmerich & Payne International Drilling Co. | 80 | 82 | ||||||
HollyFrontier Corp. | 100 | 108 | ||||||
Kinder Morgan, Inc. | 165 | 164 | ||||||
7.750%, 1/15/32 | 65 | 79 |
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
34
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Energy—(continued) |
| |||||||
MPLX LP | $ | 120 | $ | 124 | ||||
NuStar Logistics LP | 70 | 68 | ||||||
Petrobras Global Finance BV | 105 | 105 | ||||||
Petroleos Mexicanos | 90 | 85 | ||||||
6.375%, 1/23/45 | 55 | 51 | ||||||
Sunoco LP 144A | 30 | 28 | ||||||
Valero Energy Partners LP | 90 | 88 | ||||||
|
| |||||||
1,319 | ||||||||
|
| |||||||
Financials—5.4% |
| |||||||
Allstate Corp. (The) Series B | 145 | 149 | ||||||
Apollo Management Holdings LP 144A | 150 | 149 | ||||||
Ares Capital Corp. | 45 | 43 | ||||||
Ares Finance Co., LLC 144A | 140 | 133 | ||||||
Athene Holding Ltd. | 95 | 88 | ||||||
Aviation Capital Group LLC | 108 | 108 | ||||||
144A, 3.500%, 11/1/27(3) | 100 | 92 | ||||||
Banco de Credito e Inversiones 144A | 215 | 194 | ||||||
Bank of America Corp. | 170 | 171 | ||||||
Bank of Montreal | 156 | 145 | ||||||
BrightSphere Investment Group plc | 65 | 64 | ||||||
Brookfield Finance LLC | 92 | 91 | ||||||
Capital One Financial Corp. | 115 | 107 | ||||||
Citigroup, Inc. | 160 | 160 | ||||||
3.200%, 10/21/26 | 66 | 61 | ||||||
E*TRADE Financial Corp. | 110 | 110 | ||||||
FS Investment Corp. | 125 | 125 | ||||||
4.750%, 5/15/22 | 35 | 35 | ||||||
Goldman Sachs Group, Inc. (The) | 195 | 192 | ||||||
Huntington Bancshares, Inc. | 95 | 102 | ||||||
ICAHN Enterprises LP | 15 | 15 | ||||||
Jefferies Group LLC | 42 | 45 | ||||||
JPMorgan Chase & Co. | 165 | 158 | ||||||
KeyCorp | 180 | 188 | ||||||
Liberty Mutual Group, Inc. 144A | 150 | 152 |
PAR VALUE | VALUE | |||||||
Financials—(continued) |
| |||||||
Lincoln National Corp. , (3 month LIBOR + 2.040%) | $ | 55 | $ | 51 | ||||
Lloyds Bank plc 144A | 150 | 159 | ||||||
Manulife Financial Corp. | 110 | 110 | ||||||
Morgan Stanley | 90 | 90 | ||||||
3.125%, 7/27/26 | 125 | 116 | ||||||
Navient Corp. | 15 | 16 | ||||||
Nuveen Finance LLC 144A | 135 | 134 | ||||||
Prudential Financial, Inc. | 100 | 106 | ||||||
5.625%, 6/15/43(4) | 65 | 67 | ||||||
S&P Global, Inc. | 135 | 135 | ||||||
Santander Holdings USA, Inc. | 115 | 113 | ||||||
SBA Tower Trust 144A | 100 | 97 | ||||||
Teachers Insurance & Annuity Association of America 144A | 120 | 120 | ||||||
Toronto-Dominion Bank (The) | 155 | 146 | ||||||
Trinity Acquisition plc | 90 | 89 | ||||||
Turkiye Vakiflar Bankasi TAO 144A | 200 | 181 | ||||||
Wells Fargo & Co. | ||||||||
Series M, 3.450%, 2/13/23 | 125 | 122 | ||||||
(3 month LIBOR + 1.230%) | 5 | 5 | ||||||
Series S, 5.900%, 8/15/27 | 140 | 140 | ||||||
Willis Towers Watson plc | 135 | 142 | ||||||
Zions Bancorporation | 40 | 40 | ||||||
|
| |||||||
5,056 | ||||||||
|
| |||||||
Health Care—1.5% |
| |||||||
Abbott Laboratories | 150 | 147 | ||||||
AbbVie, Inc. | 50 | 48 | ||||||
3.200%, 5/14/26 | 75 | 70 | ||||||
Allergan Sales LLC 144A | 38 | 39 | ||||||
AmerisourceBergen Corp. | 75 | 69 | ||||||
Anthem, Inc. | 29 | 28 | ||||||
4.101%, 3/1/28 | 95 | 93 | ||||||
Becton Dickinson and Co. | 150 | 146 | ||||||
Cardinal Health, Inc. | 70 | 68 | ||||||
3.410%, 6/15/27 | 40 | 37 | ||||||
Centene Corp. 144A | 15 | 15 | ||||||
Endo Finance LLC 144A | 45 | 36 |
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
35
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Health Care—(continued) |
| |||||||
Fresenius U.S. Finance II, Inc. 144A | $ | 15 | $ | 15 | ||||
HCA, Inc. | 15 | 15 | ||||||
Mylan NV | 20 | 20 | ||||||
3.950%, 6/15/26 | 85 | 81 | ||||||
Shire Acquisitions Investments Ireland DAC | 130 | 124 | ||||||
Valeant Pharmaceuticals International, Inc. | 10 | 10 | ||||||
144A, 5.625%, 12/1/21(3) | 25 | 25 | ||||||
144A, 7.000%, 3/15/24(3) | 15 | 16 | ||||||
144A, 5.500%, 11/1/25(3) | 30 | 30 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
(3 month LIBOR + 0.750%) | 110 | 110 | ||||||
3.550%, 4/1/25 | 145 | 138 | ||||||
|
| |||||||
1,380 | ||||||||
|
| |||||||
Industrials—0.6% |
| |||||||
Bombardier, Inc. 144A | 50 | 50 | ||||||
British Airways Pass-Through-Trust 2013-1, B 144A | 21 | 21 | ||||||
CNH Industrial N.V. | 89 | 89 | ||||||
3.850%, 11/15/27 | 49 | 46 | ||||||
General Dynamics Corp. | 37 | 37 | ||||||
3.000%, 5/11/21 | 22 | 22 | ||||||
Oshkosh Corp. | 117 | 117 | ||||||
Penske Truck Leasing Co LP 144A | 90 | 90 | ||||||
Pitney Bowes, Inc. | 101 | 92 | ||||||
|
| |||||||
564 | ||||||||
|
| |||||||
Information Technology—1.1% |
| |||||||
Apple, Inc. | 75 | 72 | ||||||
3.250%, 2/23/26 | 90 | 88 | ||||||
3.350%, 2/9/27 | 90 | 88 | ||||||
Applied Materials, Inc. | 105 | 102 | ||||||
Arrow Electronics, Inc. | 105 | 98 | ||||||
Broadcom Corp. | 45 | 44 | ||||||
3.625%, 1/15/24 | 80 | 77 | ||||||
CDK Global, Inc. | 70 | 72 | ||||||
Citrix Systems, Inc. | 100 | 97 | ||||||
Dell International LLC 144A | 10 | 11 | ||||||
Hewlett Packard Enterprise Co. | 65 | 66 | ||||||
Jabil, Inc. | 80 | 75 | ||||||
Verisk Analytics, Inc. | 135 | 133 | ||||||
|
| |||||||
1,023 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Materials—0.8% |
| |||||||
Anglo American Capital plc 144A | $ | 200 | $ | 186 | ||||
ArcelorMittal | 75 | 81 | ||||||
Glencore Funding LLC 144A | 105 | 105 | ||||||
NewMarket Corp. | 157 | 159 | ||||||
NOVA Chemicals Corp. | 30 | 28 | ||||||
144A, 5.000%, 5/1/25(3) | 55 | 52 | ||||||
Vulcan Materials Co. | 105 | 101 | ||||||
|
| |||||||
712 | ||||||||
|
| |||||||
Real Estate—2.3% |
| |||||||
Alexandria Real Estate Equities, Inc. | 58 | 58 | ||||||
3.950%, 1/15/27 | 65 | 63 | ||||||
Brixmor Operating Partnership LP | 35 | 35 | ||||||
Corporate Office Properties LP | 165 | 160 | ||||||
Education Realty Operating Partnership LP | 150 | 151 | ||||||
EPR Properties | 120 | 117 | ||||||
Healthcare Realty Trust, Inc. | 90 | 88 | ||||||
Healthcare Trust of America Holdings LP | 55 | 55 | ||||||
3.750%, 7/1/27 | 110 | 104 | ||||||
Highwoods Realty LP | 150 | 147 | ||||||
Hospitality Properties Trust | 140 | 137 | ||||||
Kilroy Realty LP | 120 | 120 | ||||||
LifeStorage LP | 55 | 52 | ||||||
3.875%, 12/15/27 | 40 | 38 | ||||||
MPT Operating Partnership LP | 35 | 33 | ||||||
National Retail Properties, Inc. | 165 | 174 | ||||||
Physicians Realty LP | 105 | 101 | ||||||
Retail Opportunity Investments Partnership LP | 105 | 99 | ||||||
Select Income REIT | 135 | 131 | ||||||
Welltower, Inc. | 150 | 147 | ||||||
WP Carey, Inc. | 105 | 106 | ||||||
|
| |||||||
2,116 | ||||||||
|
| |||||||
Telecommunication Services—0.4% |
| |||||||
AT&T, Inc. | 20 | 20 | ||||||
4.800%, 6/15/44 | 90 | 82 |
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
36
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Telecommunication Services—(continued) |
| |||||||
Level 3 Financing, Inc. | $ | 60 | $ | 59 | ||||
Verizon Communications, Inc. | 105 | 103 | ||||||
Wind Tre SpA 144A | 200 | 158 | ||||||
|
| |||||||
422 | ||||||||
|
| |||||||
Utilities—0.7% |
| |||||||
American Electric Power Co., Inc. | 95 | 89 | ||||||
Exelon Corp. | 150 | 149 | ||||||
Kansas City Power & Light Co. | 120 | 117 | ||||||
PNM Resources, Inc. | 85 | 84 | ||||||
PSEG Power LLC | 30 | 30 | ||||||
Southern Power Co. | 160 | 160 | ||||||
TerraForm Power Operating LLC 144A | 55 | 52 | ||||||
Texas Competitive Electric Holdings Co. 144A | 65 | — | (7) | |||||
|
| |||||||
681 | ||||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Identified Cost $15,703) | 15,354 | |||||||
LEVERAGED LOANS(2)—1.8% |
| |||||||
Aerospace—0.0% |
| |||||||
TransDigm, Inc. 2018, Tranche E , (1 month LIBOR + 2.500%) | 35 | 34 | ||||||
|
| |||||||
Consumer Durables—0.1% |
| |||||||
Fluidra, S.A. , (3 month LIBOR + 2.250%) | 20 | 20 | ||||||
Global Appliance, Inc. Tranche B , (1 month LIBOR + 4.000%) | 30 | 30 | ||||||
|
| |||||||
50 | ||||||||
|
| |||||||
Consumer Non-Durables—0.0% |
| |||||||
Energizer Holdings, Inc. Tranche B Tranche B , (3 month LIBOR + 2.250%) | 15 | 15 | ||||||
HLF Financing S.a.r.l. Senior Lien , (1 month LIBOR + 5.500%) | 14 | 14 | ||||||
|
| |||||||
29 | ||||||||
|
| |||||||
Energy—0.0% |
| |||||||
Delek US Holdings, Inc. , (1 month LIBOR + 2.500%) | 30 | 30 | ||||||
Paragon Offshore Finance Co. , (3 month LIBOR + 2.750%) | — | (7) | — | (7) | ||||
|
| |||||||
30 | ||||||||
|
| |||||||
Financial—0.1% |
| |||||||
Delos Finance S.a.r.l. 2018 , (3 month LIBOR + 1.750%) | 80 | 80 | ||||||
|
|
PAR VALUE | VALUE | |||||||
Food/Tobacco—0.0% |
| |||||||
Aramark Intermediate HoldCo Corp. Tranche B-3 , (3 month LIBOR + 1.750%) | $ | 35 | $ | 35 | ||||
|
| |||||||
Gaming/Leisure—0.3% |
| |||||||
Aristocrat Leisure Ltd. Tranche B-3 , (3 month LIBOR + 1.750%) | 75 | 74 | ||||||
GVC Holdings plc Tranche B2 , (1 month LIBOR + 2.500%) | 50 | 50 | ||||||
Seminole Indian Tribe of Florida 2018, Tranche B , (1 month LIBOR + 1.750%) | 60 | 60 | ||||||
UFC Holdings LLC First Lien , (1 month LIBOR + 3.250%) | 47 | 47 | ||||||
Wyndham Hotels & Resorts, Inc. Tranche B , (weekly LIBOR + 1.750%) | 90 | 90 | ||||||
|
| |||||||
321 | ||||||||
|
| |||||||
Healthcare—0.1% |
| |||||||
Iqvia, Inc. Tranche B-3 , (3 month LIBOR + 1.750%) | 70 | 69 | ||||||
Valeant Pharmaceuticals International, Inc. , (1 month LIBOR + 3.000%) | 5 | 5 | ||||||
|
| |||||||
74 | ||||||||
|
| |||||||
Housing—0.2% |
| |||||||
American Builders & Contractors Supply Co., Inc. Tranche B-2, (1 month LIBOR + 2.000%) | 90 | 89 | ||||||
Beacon Roofing Supply, Inc. , (1 month LIBOR + 2.250%) | 60 | 59 | ||||||
GGP, Inc. Tranche B , (3 month LIBOR + 2.500%) | 55 | 54 | ||||||
|
| |||||||
202 | ||||||||
|
| |||||||
Information Technology—0.2% |
| |||||||
Kronos, Inc. First Lien , (3 month LIBOR + 3.000%) | 55 | 55 | ||||||
Rackspace Hosting, Inc. Tranche B, First Lien , (3 month LIBOR + 3.000%) | 107 | 105 | ||||||
|
| |||||||
160 | ||||||||
|
| |||||||
Manufacturing—0.0% |
| |||||||
Accudyne Industries Borrower S.C.A. , (1 month LIBOR + 3.250%) | 33 | 33 | ||||||
|
| |||||||
Media/Telecom - Broadcasting—0.1% |
| |||||||
Sinclair Television Group, Inc. Tranche B , (3 month LIBOR + 2.500%) | 45 | 45 | ||||||
|
| |||||||
Media/Telecom - Cable/Wireless Video—0.1% |
| |||||||
Altice US Finance I Corp. 2017 Refinancing , (1 month LIBOR + 2.250%) | 70 | 69 | ||||||
|
|
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
37
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Media/Telecom - Diversified Media—0.1% |
| |||||||
Crown Finance US, Inc. , (1 month LIBOR + 2.500%) | $ | 75 | $ | 74 | ||||
Meredith Corp. , (1 month LIBOR + 3.000%) | 45 | 45 | ||||||
|
| |||||||
119 | ||||||||
|
| |||||||
Media Telecom - Telecommunications—0.1% |
| |||||||
CenturyLink, Inc. Tranche B , (1 month LIBOR + 2.750%) | 90 | 88 | ||||||
|
| |||||||
Media/Telecom - Wireless Communications—0.1% |
| |||||||
Digicel International Finance Ltd. Tranche B, First Lien , (3 month LIBOR + 3.250%) | 10 | 9 | ||||||
SBA Senior Finance II LLC , (1 month LIBOR + 2.000%) | 40 | 40 | ||||||
|
| |||||||
49 | ||||||||
|
| |||||||
Metals/Minerals—0.1% |
| |||||||
Covia Holdings Corp. , (3 month LIBOR + 3.750%) | 55 | 55 | ||||||
|
| |||||||
Service—0.1% |
| |||||||
Advantage Sales & Marketing, Inc. Tranche B-2, First Lien , (1 month LIBOR + 3.250%)(8) | 45 | 42 | ||||||
ASGN, Inc. Tranche B-2 , (1 month LIBOR + 2.000%) | 14 | 14 | ||||||
Red Ventures LLC First Lien , (1 month LIBOR + 4.000%) | 70 | 70 | ||||||
|
| |||||||
126 | ||||||||
|
| |||||||
Utility—0.1% |
| |||||||
Vistra Operations Co., LLC | 24 | 24 | ||||||
2018, (weekly LIBOR + 2.000%) | 40 | 40 | ||||||
|
| |||||||
64 | ||||||||
TOTAL LEVERAGED LOANS | ||||||||
(Identified Cost $1,676) | 1,663 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—0.8% |
| |||||||
Financials—0.6% |
| |||||||
Bank of New York Mellon Corp. (The) | 45 | (5) | 46 | |||||
JPMorgan Chase & Co. | 55 | (5) | 55 | |||||
JPMorgan Chase & Co. | 105 | (5) | 107 | |||||
M&T Bank Corp. | 90 | (5) | 89 | |||||
MetLife, Inc. | 40 | (5) | 41 | |||||
PNC Financial Services Group, Inc. (The) | 105 | (5) | 104 | |||||
PNC Financial Services Group, Inc. (The) | 110 | (5) | 109 | |||||
|
| |||||||
551 | ||||||||
|
|
SHARES | VALUE | |||||||
Industrials—0.2% |
| |||||||
General Electric Co. | 165 | (5) | $ | 163 | ||||
TOTAL PREFERRED STOCKS | ||||||||
(Identified Cost $729) | 714 | |||||||
COMMON STOCKS—61.6% |
| |||||||
Consumer Discretionary—15.1% |
| |||||||
Amazon.com, Inc.(1) | 2,080 | 3,536 | ||||||
Booking Holdings, Inc.(1) | 315 | 639 | ||||||
Carnival Corp. | 5,550 | 318 | ||||||
Ctrip.com International Ltd. ADR(1) | 24,321 | 1,158 | ||||||
Home Depot, Inc. (The) | 4,830 | 942 | ||||||
Las Vegas Sands Corp. | 17,930 | 1,369 | ||||||
McDonald’s Corp. | 3,570 | 559 | ||||||
MercadoLibre, Inc. | 1,300 | 389 | ||||||
Netflix, Inc.(1) | 5,680 | 2,223 | ||||||
NIKE, Inc. Class B | 12,380 | 986 | ||||||
Ross Stores, Inc. | 9,890 | 838 | ||||||
Sony Corp. Sponsored ADR | 9,493 | 487 | ||||||
Starbucks Corp. | 13,750 | 672 | ||||||
|
| |||||||
14,116 | ||||||||
|
| |||||||
Consumer Staples—3.0% |
| |||||||
Fomento Economico Mexicano SAB de C.V. Sponsored ADR | 4,085 | 359 | ||||||
Marine Harvest ASA Sponsored ADR | 15,747 | 314 | ||||||
Monster Beverage Corp.(1) | 24,750 | 1,418 | ||||||
Philip Morris International, Inc. | 8,820 | 712 | ||||||
|
| |||||||
2,803 | ||||||||
|
| |||||||
Energy—3.3% |
| |||||||
Cabot Oil & Gas Corp. | 26,840 | 639 | ||||||
Core Laboratories N.V. | 4,160 | 525 | ||||||
ENI SpA. Sponsored ADR | 10,742 | 399 | ||||||
Equinor ASA. Sponsored ADR | 16,426 | 434 | ||||||
Frontera Energy Corp.(1) | 1,088 | 16 | ||||||
Pioneer Natural Resources Co. | 3,690 | 698 | ||||||
TechnipFMC plc | 12,704 | 403 | ||||||
|
| |||||||
3,114 | ||||||||
|
| |||||||
Financials—6.0% |
| |||||||
Bank of America Corp. | 47,910 | 1,351 | ||||||
BOC Hong Kong Holdings Ltd. Sponsored ADR | 3,908 | 370 | ||||||
CaixaBank S.A. ADR | 252,190 | 358 | ||||||
Charles Schwab Corp. (The) | 12,400 | 634 | ||||||
China Construction Bank Corp. ADR | 22,497 | 412 | ||||||
Credit Agricole S.A. ADR | 48,658 | 319 | ||||||
DBS Group Holdings Ltd. Sponsored ADR | 6,946 | 546 | ||||||
MarketAxess Holdings, Inc. | 2,710 | 536 | ||||||
ORIX Corp. Sponsored ADR | 5,247 | 414 | ||||||
SEI Investments Co. | 5,690 | 356 | ||||||
UBS Group AG Registered Shares | 24,391 | 374 | ||||||
|
| |||||||
5,670 | ||||||||
|
| |||||||
Health Care—5.2% |
| |||||||
Allergan plc | 2,741 | 457 | ||||||
Bayer AG. Sponsored ADR | 11,601 | 320 | ||||||
Bluebird Bio, Inc.(1) | 2,115 | 332 | ||||||
Danaher Corp. | 6,620 | 653 | ||||||
HealthEquity, Inc.(1) | 11,940 | 897 | ||||||
ICON plc(1) | 2,385 | 316 |
Refer to Footnote Legend on page 39.
See Notes to Financial Statements
38
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Health Care—(continued) |
| |||||||
Illumina, Inc.(1) | 3,070 | $ | 857 | |||||
Zoetis, Inc. | 11,970 | 1,020 | ||||||
|
| |||||||
4,852 | ||||||||
|
| |||||||
Industrials—6.1% |
| |||||||
Airbus SE ADR | 16,022 | 466 | ||||||
Ashtead Group plc ADR | 4,482 | 543 | ||||||
Caterpillar, Inc. | 5,530 | 750 | ||||||
CoStar Group, Inc.(1) | 1,900 | 784 | ||||||
easyJet plc Sponsored ADR | 20,802 | 462 | ||||||
Golden Ocean Group Ltd. | 49,329 | 429 | ||||||
Kansas City Southern | 5,710 | 605 | ||||||
Nidec Corp. Sponsored ADR | 13,016 | 489 | ||||||
Rockwell Automation, Inc. | 2,130 | 354 | ||||||
Roper Technologies, Inc. | 3,100 | 855 | ||||||
|
| |||||||
5,737 | ||||||||
|
| |||||||
Information Technology—19.5% |
| |||||||
Accenture plc Class A | 4,510 | 738 | ||||||
Activision Blizzard, Inc. | 11,110 | 848 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR(1) | 14,410 | 2,673 | ||||||
Amphenol Corp. Class A | 13,910 | 1,212 | ||||||
Arista Networks, Inc.(1) | 2,350 | 605 | ||||||
Broadcom, Inc. | 1,594 | 387 | ||||||
Check Point Software Technologies Ltd.(1) | 3,405 | 333 | ||||||
Facebook, Inc. Class A(1) | 13,530 | 2,629 | ||||||
Gartner, Inc.(1) | 3,530 | 469 | ||||||
Hitachi Ltd. ADR | 6,479 | 457 | ||||||
NVIDIA Corp. | 7,190 | 1,703 | ||||||
Paycom Software, Inc.(1) | 8,730 | 863 | ||||||
SAP SE Sponsored ADR | 3,041 | 352 | ||||||
Tencent Holdings Ltd. ADR | 21,470 | 1,079 | ||||||
Visa, Inc. Class A | 13,980 | 1,852 | ||||||
Workday, Inc. Class A(1) | 8,050 | 975 | ||||||
Yandex N.V. Class A(1) | 29,400 | 1,055 | ||||||
|
| |||||||
18,230 | ||||||||
|
| |||||||
Materials—2.0% |
| |||||||
Anhui Conch Cement Co., Ltd. ADR | 20,337 | 585 | ||||||
Ecolab, Inc. | 6,170 | 866 | ||||||
Glencore plc ADR | 44,249 | 420 | ||||||
|
| |||||||
1,871 | ||||||||
|
| |||||||
Real Estate—0.8% |
| |||||||
British Land Co. plc (The) | 37,650 | 336 | ||||||
LendLease Group Sponsored ADR | 26,283 | 388 | ||||||
|
| |||||||
724 | ||||||||
|
| |||||||
Telecommunication Services—0.3% |
| |||||||
BT Group plc Sponsored ADR | 18,712 | 271 | ||||||
|
| |||||||
Utilities—0.3% |
| |||||||
Veolia Environnement S.A. ADR | 13,512 | 287 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $41,990) | 57,675 | |||||||
EXCHANGE-TRADED FUND—0.1% |
| |||||||
iShares iBoxx $ Investment Grade Corporate Bond Index Fund | 1,222 | 140 | ||||||
TOTAL EXCHANGE-TRADED FUND | ||||||||
(Identified Cost $140) | 140 |
SHARES | VALUE | |||||||
AFFILIATED MUTUAL FUND(6)—0.3% |
| |||||||
Virtus Newfleet Credit Opportunities Fund – Class R6 | 33,447 | $ | 321 | |||||
TOTAL AFFILIATED MUTUAL FUND | ||||||||
(Identified Cost $334) | 321 | |||||||
RIGHTS—0.0% |
| |||||||
Vistra Energy Corp.(11) | 1,084 | 1 | ||||||
TOTAL RIGHTS (Identified Cost $1) | 1 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.1% | ||||||||
(Identified Cost $77,771) | 92,847 | |||||||
SHORT-TERM INVESTMENT—0.7% |
| |||||||
Money Market Mutual Fund(6)—0.7% |
| |||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.810%) | 633,236 | 633 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $633) | 633 | |||||||
TOTAL INVESTMENTS—99.8% (Identified Cost $78,404) | 93,480 | |||||||
Other assets and liabilities, net—0.2% | 161 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 93,641 | ||||||
|
|
Abbreviations:
ADR | American Depositary Receipt |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
(1) | Non-income producing. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(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, 2018, these securities amounted to a value of $10,595 or 11.3% of net assets. |
(4) | Interest payments may be deferred. |
(5) | Value shown as par value. |
(6) | Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available. |
(7) | Amount is less than $500. |
(8) | This loan will settle after June 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(10) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(11) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments. |
See Notes to Financial Statements
39
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2018
($ reported in thousands)
Foreign Currencies:
CLP | Chilean Peso |
MXN | Mexican Peso |
Country Weightings † | ||||
United States | 75 | % | ||
China | 6 | |||
United Kingdom | 2 | |||
Japan | 2 | |||
Switzerland | 2 | |||
France | 2 | |||
Norway | 1 | |||
Other | 10 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2018. |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 2,457 | $ | — | $ | 2,457 | $ | — | ||||||||
Corporate Bond and Notes | 15,354 | — | 15,354 | — | * | |||||||||||
Foreign Government Securities | 564 | — | 564 | — | ||||||||||||
Leveraged Loans | 1,663 | — | 1,663 | — | * | |||||||||||
Mortgage-Backed Securities | 9,249 | — | 9,249 | — | ||||||||||||
Municipal Bonds | 2,053 | — | 2,053 | — | ||||||||||||
U.S. Government Securities | 2,656 | — | 2,656 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 57,675 | 57,675 | — | — | ||||||||||||
Preferred Stocks | 714 | — | 714 | — | ||||||||||||
Rights | 1 | — | — | 1 | ||||||||||||
Exchange-Traded Fund | 140 | 140 | — | — | ||||||||||||
Affiliated Mutual Fund | 321 | 321 | — | — | ||||||||||||
Short-Term Investments | 633 | 633 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 93,480 | $ | 58,769 | $ | 34,710 | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
* | Amount is less than $500. |
There were no transfers between Level 1, Level 2, or Level 3 related to securities held at June 30, 2018.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended June 30, 2018.
See Notes to Financial Statements
40
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2018
(Reported in thousands except shares and per share amounts)
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||
Assets |
| |||||||||||
Investment in securities at value(1) | $ | 171,409 | $ | 75,560 | $ | 231,267 | ||||||
Foreign currency at value(2) | 61 | — | — | |||||||||
Receivables |
| |||||||||||
Investment securities sold | — | 150 | 1,353 | |||||||||
Series shares sold | — | 4 | 20 | |||||||||
Dividends and interest | 141 | 282 | 113 | |||||||||
Tax reclaims | 99 | — | — | |||||||||
Prepaid trustee retainer | 3 | 1 | 5 | |||||||||
Other assets | 460 | 194 | 622 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 172,173 | 76,191 | 233,380 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payables |
| |||||||||||
Series shares repurchased | 56 | 11 | 16 | |||||||||
Investment advisory fees | 110 | 45 | 119 | |||||||||
Administration and accounting fees | 15 | 6 | 21 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 1 | 1 | — | (3) | ||||||||
Professional fees | 10 | 11 | 8 | |||||||||
Distribution and service fees | 36 | 15 | 50 | |||||||||
Trustee deferred compensation plan | 460 | 194 | 622 | |||||||||
Other accrued expenses | 60 | 18 | 51 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 748 | 301 | 887 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 171,425 | $ | 75,890 | $ | 232,493 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Capital paid in on shares of beneficial interest | $ | 157,212 | $ | 52,543 | $ | 107,671 | ||||||
Accumulated undistributed net investment income (loss) | (212 | ) | 607 | (781 | ) | |||||||
Accumulated undistributed net realized gain (loss) | (8,916 | ) | 2,089 | 11,987 | ||||||||
Net unrealized appreciation (depreciation) | 23,341 | 20,651 | 113,616 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 171,425 | $ | 75,890 | $ | 232,493 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 171,325 | $ | 75,671 | $ | 232,493 | ||||||
Class I | $ | 100 | $ | 219 | $ | — | ||||||
Shares of Beneficial Interest Outstanding, $1 par value, unlimited authorization: |
| |||||||||||
Class A | 13,872,806 | 3,975,423 | 6,886,681 | |||||||||
Class I | 8,108 | 11,511 | — | |||||||||
Net Asset Value Per Share: |
| |||||||||||
Class A | $ | 12.35 | $ | 19.03 | $ | 33.76 | ||||||
Class I | $ | 12.35 | $ | 19.01 | $ | — | ||||||
(1) Investments in securities at cost | $ | 148,071 | $ | 54,909 | $ | 117,651 | ||||||
(2) Foreign currency at cost | $ | 61 | $ | — | $ | — | ||||||
(3) Amount is less than $500. |
|
See Notes to Financial Statements
41
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
JUNE 30, 2018
(Reported in thousands except shares and per share amounts)
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||||||
Assets |
| |||||||||||
Investment in unaffiliated securities at value(1) | $ | 99,834 | $ | 87,296 | $ | 121,893 | ||||||
Investment in affiliated fund at value(2) Cash | | — — |
| | — — |
| | 2,981 21 |
| |||
Receivables |
| |||||||||||
Investment securities sold | — | — | 567 | |||||||||
Series shares sold | 2 | — | 178 | |||||||||
Dividends and interest | 36 | 93 | 1,228 | |||||||||
Prepaid trustee retainer | 2 | 2 | 2 | |||||||||
Other assets | 263 | 232 | 331 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 100,137 | 87,623 | 127,201 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payables |
| |||||||||||
Series shares repurchased | 48 | 24 | 25 | |||||||||
Investment securities purchased | — | — | 2,521 | |||||||||
Investment advisory fees | 64 | 57 | 52 | |||||||||
Administration and accounting fees | 9 | 8 | 11 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 1 | — | (3) | 1 | ||||||||
Professional fees | 10 | 10 | 12 | |||||||||
Distribution and service fees | 20 | 18 | 26 | |||||||||
Trustee deferred compensation plan | 263 | 232 | 331 | |||||||||
Other accrued expenses | 19 | 20 | 36 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 434 | 369 | 3,015 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 99,703 | $ | 87,254 | $ | 124,186 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Capital paid in on shares of beneficial interest | $ | 39,616 | $ | 54,919 | $ | 129,707 | ||||||
Accumulated undistributed net investment income (loss) | (173 | ) | 137 | 2,367 | ||||||||
Accumulated undistributed net realized gain (loss) | 7,475 | 4,188 | (3,666 | ) | ||||||||
Net unrealized appreciation (depreciation) | 52,785 | 28,010 | (4,222 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 99,703 | $ | 87,254 | $ | 124,186 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 95,796 | $ | 87,254 | $ | 123,201 | ||||||
Class I | $ | 3,907 | $ | — | $ | 985 | ||||||
Shares of Beneficial Interest Outstanding, $1 par value, unlimited authorization: |
| |||||||||||
Class A | 2,759,154 | 5,216,314 | 13,471,669 | |||||||||
Class I | 110,734 | — | 107,735 | |||||||||
Net Asset Value Per Share: |
| |||||||||||
Class A | $ | 34.72 | $ | 16.73 | $ | 9.15 | ||||||
Class I | $ | 35.29 | $ | — | $ | 9.14 | ||||||
(1) Investments in unaffiliated securities at cost | $ | 47,049 | $ | 59,286 | $ | 125,991 | ||||||
(2) Investments in affiliated fund at cost | $ | — | $ | — | $ | 3,100 | ||||||
(3) Amount is less than $500. |
|
See Notes to Financial Statements
42
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
JUNE 30, 2018
(Reported in thousands except shares and per share amounts)
Rampart Enhanced Core Equity Series | Strategic Allocation Series | |||||||
Assets |
| |||||||
Investment in unaffiliated securities at value(1) | $ | 99,886 | $ | 93,159 | ||||
Investment in affiliated fund at value(2) Cash | | — 1 |
| | 321 — |
| ||
Receivables |
| |||||||
Investment securities sold | 66 | 206 | ||||||
Series shares sold | 18 | — | ||||||
Dividends and interest | 79 | 319 | ||||||
Tax reclaims | — | 6 | ||||||
Prepaid trustee retainer | 2 | 2 | ||||||
Other assets | 264 | 249 | ||||||
|
|
|
| |||||
Total assets | 100,316 | 94,262 | ||||||
|
|
|
| |||||
Liabilities |
| |||||||
Cash overdraft | — | — | (4) | |||||
Written options at value(3) | 239 | — | ||||||
Payables |
| |||||||
Series shares repurchased | 20 | 15 | ||||||
Investment securities purchased | 32 | 263 | ||||||
Investment advisory fees | 47 | 37 | ||||||
Administration and accounting fees | 9 | 9 | ||||||
Transfer agent and sub-transfer agent fees and expenses | — | (4) | — | (4) | ||||
Professional fees | 9 | 11 | ||||||
Distribution and service fees | 21 | 20 | ||||||
Trustee deferred compensation plan | 264 | 249 | ||||||
Other accrued expenses | 14 | 17 | ||||||
|
|
|
| |||||
Total liabilities | 655 | 621 | ||||||
|
|
|
| |||||
Net Assets | $ | 99,661 | $ | 93,641 | ||||
|
|
|
| |||||
Net Assets Consist of: |
| |||||||
Capital paid in on shares of beneficial interest | $ | 93,411 | $ | 76,272 | ||||
Accumulated undistributed net investment income (loss) | 182 | 229 | ||||||
Accumulated undistributed net realized gain (loss) | (6,499 | ) | 2,064 | |||||
Net unrealized appreciation (depreciation) on investments Net unrealized appreciation (depreciation) on written options | | 12,370 197 |
| | 15,076 — |
| ||
|
|
|
| |||||
Net Assets | $ | 99,661 | $ | 93,641 | ||||
|
|
|
| |||||
Net Assets: |
| |||||||
Class A | $ | 99,661 | $ | 93,641 | ||||
Shares of Beneficial Interest Outstanding, $1 par value, unlimited authorization: |
| |||||||
Class A | 8,696,540 | 7,183,160 | ||||||
Net Asset Value Per Share: |
| |||||||
Class A | $ | 11.46 | $ | 13.04 | ||||
(1) Investments in unaffiliated securities at cost | $ | 87,516 | $ | 78,070 | ||||
(2) Investments in affiliated fund at cost | $ | — | $ | 334 | ||||
(3) Premiums received | $ | 436 | $ | — | ||||
(4) Amount is less than $500. |
|
See Notes to Financial Statements
43
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF OPERATIONS (Unaudited)
SIX MONTHS ENDED JUNE 30, 2018
($ reported in thousands)
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 3,279 | $ | 1,237 | $ | 876 | ||||||
Interest | — | (1) | — | (1) | — | |||||||
Foreign taxes withheld | (309 | ) | — | (4 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 2,970 | 1,237 | 872 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 680 | 268 | 814 | |||||||||
Administration and accounting fees | 97 | 38 | 124 | |||||||||
Distribution and service fees | 226 | 89 | 291 | |||||||||
Transfer agent fees and expenses | 1 | 2 | — | (1) | ||||||||
Custodian fees | 14 | 1 | 3 | |||||||||
Printing fees and expenses | 19 | 8 | 25 | |||||||||
Professional fees | 14 | 12 | 13 | |||||||||
Trustees’ fees and expenses | 8 | 3 | 9 | |||||||||
Miscellaneous expenses | 7 | 3 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,066 | 424 | 1,285 | |||||||||
Less expenses reimbursed and/or waived by investment advisor Plus expenses recaptured | | — 3 |
| | (9 — | )
| | (87 — | )
| |||
|
|
|
|
|
| |||||||
Net expenses | 1,069 | 415 | 1,198 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,901 | 822 | (326 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: |
| |||||||||||
Net realized gain (loss) from: |
| |||||||||||
Investments | 1,768 | 2,570 | 12,460 | |||||||||
Foreign currency transactions | (7 | ) | — | — | ||||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||
Investments | (3,747 | ) | (2,879 | ) | 9,072 | |||||||
Foreign currency transactions | (2 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | (1,988 | ) | (309 | ) | 21,532 | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (87 | ) | $ | 513 | $ | 21,206 | |||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
44
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
SIX MONTHS ENDED JUNE 30, 2018
($ reported in thousands)
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||||||
Investment Income |
| |||||||||||
Interest | $ | — | (1) | $ | — | (1) | $ | 3,170 | ||||
Dividends | 498 | 832 | 102 | |||||||||
Dividends from affiliated fund Foreign taxes withheld | | — — |
| | — (5 | ) | | 90 (8 | ) | |||
|
|
|
|
|
| |||||||
Total investment income | 498 | 827 | 3,354 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Investment advisory fees | 379 | 401 | 328 | |||||||||
Administration and accounting fees | 47 | 48 | 69 | |||||||||
Distribution and service fees | 108 | 111 | 162 | |||||||||
Transfer agent fees and expenses | 1 | — | (1) | 2 | ||||||||
Custodian fees | 1 | 1 | 4 | |||||||||
Printing fees and expenses | 9 | 10 | 14 | |||||||||
Professional fees | 11 | 11 | 14 | |||||||||
Trustees’ fees and expenses | 3 | 4 | 6 | |||||||||
Miscellaneous expenses | 2 | 3 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 561 | 589 | 605 | |||||||||
Less expenses reimbursed and/or waived by investment advisor Plus expenses recaptured | | (35 — | )
| | (54 — | )
| | — 3 |
| |||
|
|
|
|
|
| |||||||
Net expenses | 526 | 535 | 608 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (28 | ) | 292 | 2,746 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: |
| |||||||||||
Net realized gain (loss) from: |
| |||||||||||
Investments | 7,495 | 4,135 | (871 | ) | ||||||||
Foreign currency transactions | (4 | ) | — | 8 | ||||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||
Unaffiliated investments | 12,124 | (5,647 | ) | (4,319 | ) | |||||||
Affiliated fund Foreign currency transactions | | — — |
| | — — |
| | (21 (5 | ) ) | |||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 19,615 | (1,512 | ) | (5,208 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 19,587 | $ | (1,220 | ) | $ | (2,462 | ) | ||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
45
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
SIX MONTHS ENDED JUNE 30, 2018
($ reported in thousands)
Rampart Enhanced Core Equity Series | Strategic Allocation Series | |||||||
Investment Income |
| |||||||
Dividends | $ | 980 | $ | 430 | ||||
Dividends from affiliated fund | — | 10 | ||||||
Interest | — | (1) | 676 | |||||
Foreign taxes withheld | — | (22 | ) | |||||
|
|
|
| |||||
Total investment income | 980 | 1,094 | ||||||
|
|
|
| |||||
Expenses |
| |||||||
Investment advisory fees | 358 | 263 | ||||||
Administration and accounting fees | 55 | 61 | ||||||
Distribution and service fees | 128 | 120 | ||||||
Transfer agent fees and expenses | — | (1) | 1 | |||||
Custodian fees | 1 | 14 | ||||||
Printing fees and expenses | 10 | 10 | ||||||
Professional fees | 11 | 14 | ||||||
Trustees’ fees and expenses | 4 | 4 | ||||||
Miscellaneous expenses | 4 | 3 | ||||||
|
|
|
| |||||
Total expenses | 571 | 490 | ||||||
Less expenses reimbursed and/or waived by investment advisor | (71 | ) | (21 | ) | ||||
|
|
|
| |||||
Net expenses | 500 | 469 | ||||||
|
|
|
| |||||
Net investment income (loss) | 480 | 625 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) on Investments: |
| |||||||
Net realized gain (loss) from: |
| |||||||
Unaffiliated investments | 3,483 | 2,138 | ||||||
Written options | (9,654 | ) | — | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Unaffiliated investments | 687 | 1,192 | ||||||
Affiliated fund | — | (3 | ) | |||||
Foreign currency transactions | — | — | (1) | |||||
Written options | 121 | — | ||||||
|
|
|
| |||||
Net realized and unrealized gain (loss) on investments | (5,363 | ) | 3,327 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | (4,883 | ) | $ | 3,952 | |||
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
46
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in thousands)
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,901 | $ | 2,250 | $ | 822 | $ | 985 | $ | (326 | ) | $ | (340 | ) | ||||||||||
Net realized gain (loss) | 1,761 | 4,614 | 2,570 | 5,909 | 12,460 | 19,080 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (3,749 | ) | 19,963 | (2,879 | ) | (2,287 | ) | 9,072 | 44,560 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from operations | (87 | ) | 26,827 | 513 | 4,607 | 21,206 | 63,300 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (1,679 | ) | (2,824 | ) | (189 | ) | (1,113 | ) | — | — | ||||||||||||||
Class I | (1 | ) | (2 | ) | (1 | ) | (3 | ) | — | — | ||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||
Class A | — | — | (1,212 | ) | (7,444 | ) | (4,525 | ) | (9,483 | ) | ||||||||||||||
Class I | — | — | (3 | ) | (19 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders | (1,680 | ) | (2,826 | ) | (1,405 | ) | (8,579 | ) | (4,525 | ) | (9,483 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Assets From Capital Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 1,887 | 2,956 | 2,429 | 4,023 | 1,399 | 3,454 | ||||||||||||||||||
Class I | — | — | 29 | 53 | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 1,679 | 2,824 | 1,401 | 8,557 | 4,525 | 9,483 | ||||||||||||||||||
Class I | 1 | 2 | 4 | 22 | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (13,878 | ) | (24,234 | ) | (4,832 | ) | (12,298 | ) | (14,365 | ) | (28,020 | ) | ||||||||||||
Class I | — | — | (20 | ) | (56 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets from capital transactions | (10,311 | ) | (18,452 | ) | (989 | ) | 301 | (8,441 | ) | (15,083 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (12,078 | ) | 5,549 | (1,881 | ) | (3,671 | ) | 8,240 | 38,734 | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 183,503 | 177,954 | 77,771 | 81,442 | 224,253 | 185,519 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 171,425 | $ | 183,503 | $ | 75,890 | $ | 77,771 | $ | 232,493 | $ | 224,253 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (212 | ) | $ | (433 | ) | $ | 607 | $ | (25 | ) | $ | (781 | ) | $ | (455 | ) | |||||||
|
|
|
|
|
|
| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 145 | 251 | 134 | 197 | 41 | 116 | ||||||||||||||||||
Class I | — | — | 2 | 3 | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 130 | 233 | 75 | 440 | 132 | 301 | ||||||||||||||||||
Class I | — | (1) | — | (1) | — | (1) | 1 | — | — | |||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (1,074 | ) | (2,051 | ) | (267 | ) | (604 | ) | (427 | ) | (976 | ) | ||||||||||||
Class I | — | — | (1 | ) | (3 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) | (799 | ) | (1,567 | ) | (57 | ) | 34 | (254 | ) | (559 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount is less than 500 shares. |
See Notes to Financial Statements
47
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | (28 | ) | $ | (346 | ) | $ | 292 | $ | 244 | $ | 2,746 | $ | 5,822 | ||||||||||
Net realized gain (loss) | 7,491 | 7,396 | 4,135 | 11,084 | (863 | ) | 530 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | 12,124 | 17,596 | (5,647 | ) | 5,753 | (4,345 | ) | 2,275 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from operations | 19,587 | 24,646 | (1,220 | ) | 17,081 | (2,462 | ) | 8,627 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | — | — | — | (600 | ) | (238 | ) | (5,734 | ) | |||||||||||||||
Class I | — | — | — | — | (2 | ) | (59 | ) | ||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||
Class A | (2,604 | ) | (4,641 | ) | (2,165 | ) | (12,415 | ) | — | — | ||||||||||||||
Class I | (101 | ) | (106 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders | (2,705 | ) | (4,747 | ) | (2,165 | ) | (13,015 | ) | (240 | ) | (5,793 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Assets From Capital Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 2,720 | 1,300 | 355 | 1,167 | 4,886 | 17,075 | ||||||||||||||||||
Class I | 2,062 | 1,671 | — | — | — | (1) | 1,404 | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 2,604 | 4,642 | 2,165 | 13,015 | 238 | 5,734 | ||||||||||||||||||
Class I | 101 | 105 | — | — | 2 | 59 | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (5,477 | ) | (8,897 | ) | (6,519 | ) | (18,576 | ) | (12,675 | ) | (21,187 | ) | ||||||||||||
Class I | (644 | ) | (626 | ) | — | — | (371 | ) | (322 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets from capital transactions | 1,366 | (1,805 | ) | (3,999 | ) | (4,394 | ) | (7,920 | ) | 2,763 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 18,248 | 18,094 | (7,384 | ) | (328 | ) | (10,622 | ) | 5,597 | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 81,455 | 63,361 | 94,638 | 94,966 | 134,808 | 129,211 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 99,703 | $ | 81,455 | $ | 87,254 | $ | 94,638 | $ | 124,186 | $ | 134,808 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (173 | ) | $ | (145 | ) | $ | 137 | $ | (155 | ) | $ | 2,367 | $ | (139 | ) | ||||||||
|
|
|
|
|
|
| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 82 | 51 | 21 | 66 | 525 | 1,809 | ||||||||||||||||||
Class I | 65 | 69 | — | — | — | (2) | 149 | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 75 | 163 | 128 | 751 | 26 | 614 | ||||||||||||||||||
Class I | 3 | 4 | — | — | — | (2) | 6 | |||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (175 | ) | (352 | ) | (383 | ) | (1,057 | ) | (1,372 | ) | (2,246 | ) | ||||||||||||
Class I | (21 | ) | (25 | ) | — | — | (41 | ) | (34 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) | 29 | (90 | ) | (234 | ) | (240 | ) | (862 | ) | 298 | ||||||||||||||
|
|
|
|
|
|
|
|
|
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(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
48
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Rampart Enhanced Core Equity Series | Strategic Allocation Series | |||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 480 | $ | 1,024 | $ | 625 | $ | 1,259 | ||||||||
Net realized gain (loss) | (6,171 | ) | 16,205 | 2,138 | 998 | |||||||||||
Net change in unrealized appreciation (depreciation) | 808 | 4,855 | 1,189 | 14,479 | ||||||||||||
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Increase (decrease) in net assets resulting from operations | (4,883 | ) | 22,084 | 3,952 | 16,736 | |||||||||||
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Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | — | (1,783 | ) | (150 | ) | (1,796 | ) | |||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | (18,760 | ) | (630 | ) | (646 | ) | |||||||||
Return of Capital: | ||||||||||||||||
Class A | — | (531 | ) | — | — | |||||||||||
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Dividends and distributions to shareholders | — | (21,074 | ) | (780 | ) | (2,442 | ) | |||||||||
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Change in Net Assets From Capital Transactions | ||||||||||||||||
Sale of shares | ||||||||||||||||
Class A | 569 | 907 | 284 | 531 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Class A | — | 21,074 | 780 | 2,442 | ||||||||||||
Shares repurchased | ||||||||||||||||
Class A | (7,411 | ) | (16,192 | ) | (7,623 | ) | (13,515 | ) | ||||||||
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Increase (decrease) in net assets from capital transactions | (6,842 | ) | 5,789 | (6,559 | ) | (10,542 | ) | |||||||||
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Net increase (decrease) in net assets | (11,725 | ) | 6,799 | (3,387 | ) | 3,752 | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 111,386 | 104,587 | 97,028 | 93,276 | ||||||||||||
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End of period | $ | 99,661 | $ | 111,386 | $ | 93,641 | $ | 97,028 | ||||||||
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Accumulated undistributed net investment income (loss) at end of period | $ | 182 | $ | (298 | ) | $ | 229 | $ | (246 | ) | ||||||
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Shares | ||||||||||||||||
Sales of shares | ||||||||||||||||
Class A | 50 | 70 | 22 | 43 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Class A | — | 1,735 | 59 | 199 | ||||||||||||
Shares repurchased | ||||||||||||||||
Class A | (637 | ) | (1,255 | ) | (584 | ) | (1,131 | ) | ||||||||
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Net Increase (Decrease) | (587 | ) | 550 | (503 | ) | (889 | ) | |||||||||
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See Notes to Financial Statements
49
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
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(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps International Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 12.50 | 0.13 | (0.16 | ) | (0.03 | ) | (0.12 | ) | — | (0.12 | ) | (0.15 | ) | $ | 12.35 | | (0.27 | )% | $ | 171,325 | 1.18 | % | 1.18 | % | 2.10 | % | 19 | % | ||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 10.95 | 0.15 | 1.59 | 1.74 | (0.19 | ) | — | (0.19 | ) | 1.55 | 12.50 | 15.95 | 183,403 | 1.18 | 1.21 | 1.24 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 14.01 | 0.08 | (0.44 | ) | (0.36 | ) | (0.09 | ) | (2.61 | ) | (2.70 | ) | (3.06 | ) | 10.95 | (1.61 | )(13) | 177,868 | 1.18 | (11)(13) | 1.26 | 0.62 | (13) | 83 | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 16.67 | 0.35 | (2.04 | ) | (1.69 | ) | (0.37 | ) | (0.60 | ) | (0.97 | ) | (2.66 | ) | 14.01 | (10.48 | ) | 209,990 | 1.19 | (11) | 1.30 | 2.16 | 104 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 18.23 | 0.67 | (1.34 | ) | (0.67 | ) | (0.71 | ) | (0.18 | ) | (0.89 | ) | (1.56 | ) | 16.67 | (3.90 | ) | 261,281 | 1.18 | 1.26 | 3.60 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 1.18 | 1.97 | 11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 12.48 | 0.15 | (0.16 | ) | (0.01 | ) | (0.12 | ) | — | (0.12 | ) | (0.13 | ) | $ | 12.35 | (0.11 | )% | $ | 100 | 0.93 | % | 0.92 | % | 2.38 | % | 19 | % | |||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 10.94 | 0.17 | 1.59 | 1.76 | (0.22 | ) | — | (0.22 | ) | 1.54 | 12.48 | 16.17 | 100 | 0.93 | 0.96 | 1.48 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 13.99 | 0.11 | (0.42 | ) | (0.31 | ) | (0.13 | ) | (2.61 | ) | (2.74 | ) | (3.05 | ) | 10.94 | (1.28 | )(13) | 86 | 0.93 | (11)(13) | 1.01 | 0.88 | (13) | 83 | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 16.65 | 0.38 | (2.03 | ) | (1.65 | ) | (0.41 | ) | (0.60 | ) | (1.01 | ) | (2.66 | ) | 13.99 | (10.26 | ) | 87 | 0.94 | (11) | 1.05 | 2.39 | 104 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 18.22 | 0.69 | (1.32 | ) | (0.63 | ) | (0.76 | ) | (0.18 | ) | (0.94 | ) | (1.57 | ) | 16.65 | (3.71 | ) | 97 | 0.93 | 1.01 | 3.71 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 18.40 | 0.18 | 0.08 | 0.26 | (0.44 | ) | — | (0.44 | ) | (0.18 | ) | 18.22 | 1.17 | 104 | 0.93 | 0.93 | 1.54 | 11 | (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps Real Estate Securities Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 19.23 | 0.21 | (0.05 | ) | 0.16 | (0.05 | ) | (0.31 | ) | (0.36 | ) | (0.20 | ) | $ | 19.03 | 0.86 | % | $ | 75,671 | 1.16 | % | 1.19 | % | 2.30 | % | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 20.31 | 0.25 | 0.92 | 1.17 | (0.29 | ) | (1.96 | ) | (2.25 | ) | (1.08 | ) | 19.23 | 5.97 | 77,564 | 1.16 | 1.21 | 1.24 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 22.85 | 0.34 | 1.17 | 1.51 | (0.43 | ) | (3.62 | ) | (4.05 | ) | (2.54 | ) | 20.31 | 6.82 | (13) | 81,243 | 1.17 | (11)(13) | 1.25 | 1.42 | (13) | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 27.05 | 0.44 | 0.17 | 0.61 | (0.37 | ) | (4.44 | ) | (4.81 | ) | (4.20 | ) | 22.85 | 2.38 | 87,899 | 1.18 | (11) | 1.29 | 1.64 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 23.33 | 0.29 | 7.00 | 7.29 | (0.31 | ) | (3.26 | ) | (3.57 | ) | 3.72 | 27.05 | 31.62 | 105,508 | 1.16 | 1.27 | 1.10 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 19.19 | 0.22 | (0.04 | ) | 0.18 | (0.05 | ) | (0.31 | ) | (0.36 | ) | (0.18 | ) | $ | 19.01 | 0.97 | % | $ | 219 | 0.91 | % | 0.94 | % | 2.50 | % | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 20.27 | 0.30 | 0.93 | 1.23 | (0.35 | ) | (1.96 | ) | (2.31 | ) | (1.08 | ) | 19.19 | 6.25 | 207 | 0.91 | 0.96 | 1.49 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 22.81 | 0.35 | 1.22 | 1.57 | (0.49 | ) | (3.62 | ) | (4.11 | ) | (2.54 | ) | 20.27 | 7.10 | (13) | 199 | 0.92 | (11)(13) | 1.00 | 1.46 | (13) | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 27.02 | 0.48 | 0.19 | 0.67 | (0.44 | ) | (4.44 | ) | (4.88 | ) | (4.21 | ) | 22.81 | 2.62 | 158 | 0.94 | (11) | 1.05 | 1.79 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 23.30 | 0.34 | 7.02 | 7.36 | (0.38 | ) | (3.26 | ) | (3.64 | ) | 3.72 | 27.02 | 31.98 | 134 | 0.91 | 1.02 | 1.30 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 30.96 | 0.23 | (3.08 | ) | (2.85 | ) | (0.50 | ) | (4.31 | ) | (4.81 | ) | (7.66 | ) | 23.30 | (10.45 | ) | 102 | 0.91 | 0.98 | 1.23 | 26 | (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Capital Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 31.40 | (0.05 | ) | 3.08 | 3.03 | — | (0.67 | ) | (0.67 | ) | 2.36 | $ | 33.76 | 9.60 | % | $ | 232,493 | 1.03 | % | 1.11 | % | (0.28 | )% | 7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 24.09 | (0.05 | ) | 8.75 | 8.70 | — | (1.39 | ) | (1.39 | ) | 7.31 | 31.40 | 36.07 | 224,253 | 1.03 | 1.13 | (0.16 | ) | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 24.91 | — | (12) | (0.22 | ) | (0.22 | ) | (0.60 | ) | — | (0.60 | ) | (0.82 | ) | 24.09 | (0.86 | )(13) | 185,519 | 1.04 | (11)(13) | 1.18 | (0.10 | )(13) | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 22.79 | (0.01 | ) | 2.13 | 2.12 | — | — | — | 2.12 | 24.91 | 9.26 | 210,094 | 1.04 | (11) | 1.21 | (0.04 | ) | 19 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 20.41 | (0.00 | ) | 2.39 | 2.39 | (0.01 | ) | — | (0.01 | ) | 2.38 | 22.79 | 11.73 | 217,038 | 1.03 | 1.19 | (0.01 | ) | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
50
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 | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Small-Cap Growth Series | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 28.66 | (0.01 | ) | 7.04 | 7.03 | — | (0.97 | ) | (0.97 | ) | — | 6.06 | $ | 34.72 | 24.52 | % | $ | 95,796 | 1.19 | % | 1.27 | % | (0.07 | )% | 12 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 21.61 | (0.12 | ) | 8.93 | 8.81 | — | (1.76 | ) | (1.76 | ) | — | 7.05 | 28.66 | 40.85 | 79,597 | 1.19 | 1.30 | (0.49 | ) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 18.75 | (0.06 | ) | 4.85 | 4.79 | — | (1.93 | ) | (1.93 | ) | — | 2.86 | 21.61 | 25.92 | (13) | 63,008 | 1.20 | (11)(13) | 1.37 | (0.37 | )(13) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 20.73 | (0.04 | ) | 0.23 | 0.19 | — | (2.17 | ) | (2.17 | ) | — | (1.98 | ) | 18.75 | 0.73 | 55,872 | 1.20 | (11) | 1.41 | (0.17 | ) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 21.72 | (0.13 | ) | 1.29 | 1.16 | — | (2.15 | ) | (2.15 | ) | — | (0.99 | ) | 20.73 | 5.50 | 63,483 | 1.19 | 1.38 | (0.62 | ) | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 29.08 | 0.02 | 7.16 | 7.18 | — | (0.97 | ) | (0.97 | ) | — | 6.21 | $ | 35.29 | 24.68 | % | $ | 3,907 | 0.94 | % | 1.02 | % | 0.12 | % | 12 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 21.86 | (0.06 | ) | 9.04 | 8.98 | — | (1.76 | ) | (1.76 | ) | — | 7.22 | 29.08 | 41.16 | 1,858 | 0.94 | 1.05 | (0.24 | ) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 18.90 | 0.01 | 4.88 | 4.89 | — | (1.93 | ) | (1.93 | ) | — | 2.96 | 21.86 | 26.25 | (13) | 353 | 0.95 | (11)(13) | 1.12 | (0.10 | )(13) | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 20.82 | — | (12) | 0.25 | 0.25 | — | (2.17 | ) | (2.17 | ) | — | (1.92 | ) | 18.90 | 1.01 | 179 | 0.96 | (11) | 1.17 | (0.02 | ) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 21.75 | (0.07 | ) | 1.29 | 1.22 | — | (2.15 | ) | (2.15 | ) | — | (0.93 | ) | 20.82 | 5.78 | 275 | 0.94 | 1.14 | (0.34 | ) | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 17.29 | (0.03 | ) | 4.70 | 4.67 | (0.05 | ) | (0.16 | ) | (0.21 | ) | — | 4.46 | 21.75 | 26.28 | 137 | 0.94 | 1.07 | (0.23 | ) | 28 | (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Small-Cap Value Series | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 17.36 | 0.06 | (0.27 | ) | (0.21 | ) | — | (0.42 | ) | (0.42 | ) | — | (0.63 | ) | $ | 16.73 | (1.23 | )% | $ | 87,254 | 1.20 | % | 1.32 | % | 0.65 | % | 8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 16.69 | 0.05 | 3.23 | 3.28 | (0.12 | ) | (2.49 | ) | (2.61 | ) | — | 0.67 | 17.36 | 20.16 | 94,638 | 1.20 | 1.34 | 0.26 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 15.17 | 0.32 | 3.66 | 3.98 | (0.34 | ) | (2.12 | ) | (2.46 | ) | — | 1.52 | 16.69 | 26.54 | (13) | 94,966 | 1.21 | (11)(13) | 1.40 | 1.85 | (13) | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 17.03 | 0.09 | (0.29 | ) | (0.20 | ) | (0.09 | ) | (1.57 | ) | (1.66 | ) | — | (1.86 | ) | 15.17 | (1.37 | ) | 92,834 | 1.22 | (11) | 1.43 | 0.56 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 17.72 | 0.10 | 0.24 | 0.34 | (0.11 | ) | (0.92 | ) | (1.03 | ) | — | (0.69 | ) | 17.03 | 1.83 | 113,030 | 1.20 | 1.41 | 0.61 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Multi-Sector | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 9.34 | 0.19 | (0.36 | ) | (0.17 | ) | (0.02 | ) | — | (0.02 | ) | — | (0.19 | ) | $ | 9.15 | (1.85 | )% | $ | 123,201 | 0.93 | % | 0.92 | % | 4.19 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 9.14 | 0.41 | 0.20 | 0.61 | (0.41 | ) | — | (0.41 | ) | — | 0.20 | 9.34 | 6.72 | 133,430 | 0.93 | 0.96 | 4.35 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 8.75 | 0.44 | 0.37 | 0.81 | (0.42 | ) | — | (0.42 | ) | — | 0.39 | 9.14 | 9.29 | (13) | 128,969 | 0.94 | (11)(13) | 1.00 | 4.82 | (13) | 68 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.25 | 0.45 | (0.56 | ) | (0.11 | ) | (0.39 | ) | — | (0.39 | ) | — | (10) | (0.50 | ) | 8.75 | (1.26 | ) | 134,558 | 0.95 | (11) | 1.03 | 4.89 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.54 | 0.48 | (0.29 | ) | 0.19 | (0.48 | ) | — | (0.48 | ) | — | (0.29 | ) | 9.25 | 1.90 | 154,915 | 0.94 | 1.01 | 4.93 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 9.32 | 0.20 | (0.36 | ) | (0.16 | ) | (0.02 | ) | — | (0.02 | ) | — | (0.18 | ) | $ | 9.14 | (1.85 | )% | $ | 985 | 0.68 | % | 0.67 | % | 4.43 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 9.12 | 0.43 | 0.20 | 0.63 | (0.43 | ) | — | (0.43 | ) | — | 0.20 | 9.32 | 7.00 | 1,378 | 0.68 | 0.70 | 4.54 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 8.74 | 0.47 | 0.35 | 0.82 | (0.44 | ) | — | (0.44 | ) | — | 0.38 | 9.12 | 9.46 | (13) | 242 | 0.69 | (11)(13) | 0.75 | 5.08 | (13) | 68 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.24 | 0.47 | (0.56 | ) | (0.09 | ) | (0.41 | ) | — | (0.41 | ) | — | (10) | (0.50 | ) | 8.74 | (1.00 | ) | 213 | 0.70 | (11) | 0.78 | 5.11 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.53 | 0.51 | (0.29 | ) | 0.22 | (0.51 | ) | — | (0.51 | ) | — | (0.29 | ) | 9.24 | 2.16 | 223 | 0.69 | 0.76 | 5.19 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 10.19 | 0.36 | (0.44 | ) | (0.08 | ) | (0.58 | ) | — | (0.58 | ) | — | (0.66 | ) | 9.53 | (0.89 | ) | 124 | 0.69 | 0.71 | 5.54 | 56 | (9) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
51
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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 | Return of Capital | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Enhanced Core Equity Series | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 12.00 | 0.05 | (0.59 | ) | (0.54 | ) | — | — | — | — | (0.54 | ) | $ | 11.46 | (4.50 | )% | $ | 99,661 | 0.98 | % | 1.12 | % | 0.94 | % | 12 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 11.97 | 0.12 | 2.58 | 2.70 | (0.21 | ) | (2.39 | ) | (.07 | ) | (2.67 | ) | 0.03 | 12.00 | 22.96 | 111,386 | 0.98 | 1.16 | 0.96 | 241 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 13.67 | 0.25 | 1.01 | 1.26 | (0.18 | ) | (2.78 | ) | — | (2.96 | ) | (1.70 | ) | 11.97 | 9.41 | (13) | 104,587 | 0.99 | (11)(13) | 1.20 | 1.41 | (13) | 241 | (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 16.91 | 0.13 | (1.55 | ) | (1.42 | ) | (0.14 | ) | (1.68 | ) | — | (1.82 | ) | (3.24 | ) | 13.67 | (8.91 | ) | 109,913 | 0.99 | (11) | 1.23 | 0.83 | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 17.23 | 0.16 | 1.51 | 1.67 | (0.17 | ) | (1.82 | ) | — | (1.99 | ) | (0.32 | ) | 16.91 | 9.64 | 139,122 | 0.98 | 1.20 | 0.91 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Strategic | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/18 to 6/30/18(8) | $ | 12.62 | 0.08 | 0.45 | 0.53 | (0.02 | ) | (0.09 | ) | — | (0.11 | ) | 0.42 | $ | 13.04 | 4.18 | % | $ | 93,641 | 0.98 | % | 1.02 | % | 1.30 | % | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 12/31/17 | 10.88 | 0.16 | 1.89 | 2.05 | (0.23 | ) | (0.08 | ) | — | (0.31 | ) | 1.74 | 12.62 | 18.97 | 97,028 | 0.98 | 1.06 | 1.31 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 12.34 | 0.24 | (0.14 | ) | 0.10 | (0.21 | ) | (1.35 | ) | — | (1.56 | ) | (1.46 | ) | 10.88 | 0.82 | (13) | 93,276 | 0.99 | (11)(13) | 1.09 | 1.96 | (13) | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 14.30 | 0.25 | (0.98 | ) | (0.73 | ) | (0.24 | ) | (0.99 | ) | — | (1.23 | ) | (1.96 | ) | 12.34 | (5.38 | ) | 106,825 | 0.99 | (11) | 1.13 | 1.79 | 75 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 14.41 | 0.28 | 0.80 | 1.08 | (0.32 | ) | (0.87 | ) | — | (1.19 | ) | (0.11 | ) | 14.30 | 7.51 | 129,473 | 0.98 | 1.11 | 1.89 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
52
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Footnote Legend:
(1) | Calculated using average shares outstanding. |
(2) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(3) | 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. |
(4) | Inception date. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | The increase in the portfolio turnover rate is due to a change in the subadviser associated with a strategy change on the Series. |
(8) | Unaudited. |
(9) | Portfolio turnover is representative of the Series for the entire period. |
(10) | Amount is less than $.005 per share and payment from affiliate had no impact on total performance. |
(11) | Net expense ratios include proxy expenses. |
(12) | Amount is less than $.005 per share. |
(13) | State Street Bank & Trust, custodian for some of the Series through January 29, 2010, reimbursed the Series for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets as follows: |
Duff & Phelps International Series 0.04%, |
Duff & Phelps Real Estate Securities Series 0.02% (Class A) and 0.03% (Class I), |
KAR Capital Growth Series 0.10%, |
KAR Small-Cap Growth Series 0.09% (Class A) and 0.14% (Class I), |
KAR Small-Cap Value Series 0.08%, |
Newfleet Multi-Sector Intermediate Bond Series 0.04% (Class A) and 0.05% (Class I), |
Rampart Enhanced Core Equity Series 0.46%, |
Strategic Allocation Series 0.03%. |
Custody fees reimbursed were included in Total Return. If excluded the impact would have been to lower the Total Return as follows: |
Duff & Phelps International Series 0.04%, |
Duff & Phelps Real Estate Securities Series 0.03%, |
KAR Capital Growth Series 0.10%, |
KAR Small-Cap Growth Series 0.08%, |
KAR Small-Cap Value Series 0.08%, |
Newfleet Multi-Sector Intermediate Bond Series 0.04%, |
Rampart Enhanced Core Equity Series 0.44%, |
Strategic Allocation Series 0.03%. |
The amounts reflected in the Statements of Operations for 2017 were immaterial and do not impact the financial highlights. |
See Notes to Financial Statements
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited)
JUNE 30, 2018
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 (the “1940 Act”), as an open-end management investment company. It 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 eight series (each a “Series”), each reported in this semiannual report.
Series | Investment Objective | |
Duff & Phelps International Series | High total return consistent with reasonable risk. | |
Duff & Phelps Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis. | |
KAR Capital Growth Series | Long-term growth of capital. | |
KAR Small-Cap Growth Series | Long-term capital growth. | |
KAR Small-Cap Value Series | Long-term capital appreciation. | |
Newfleet Multi-Sector Intermediate Bond Series | Long-term total return. | |
Rampart Enhanced Core Equity Series | Capital appreciation and current income. | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk. |
Each Series offers Class A shares. The Duff & Phelps International Series, Duff & Phelps Real Estate Securities Series, KAR Small-Cap Growth Series, and Newfleet Multi-Sector Intermediate Bond Series also offer Class I shares.
Note 2—Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements, and for derivatives, included in Note 6 below. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) 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 items such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board. All internally fair valued securities are approved by a valuation committee appointed by the Board (the “Valuation Committee”). 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. The Series’ policy is to recognize transfers between levels at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). | |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to a 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 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”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases the Series fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, 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
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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
JUNE 30, 2018
supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Series. The inputs or methodologies used for valuing securities are 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 the 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 foreign securities, as soon as a Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds.
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from the REIT investments based on historical information and other industry sources. 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. It is the intention of each Series 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 foreign 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, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2014 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 U.S. GAAP.
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 expenses 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 Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The 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.
G. | Leveraged Loans |
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. Leveraged loans 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. Leveraged loans 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 leveraged loan. 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
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JUNE 30, 2018
of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Series generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a 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. Leveraged loans 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 leveraged loans 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, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
As of June 30, 2018, the Series had unfunded loan commitments as follows:
Series | Borrower | Unfunded Loan Commitment | ||||
Newfleet Multi-Sector Intermediate Bond Series | Carlisle Food Service Products, Inc. | $ | 4 | |||
Pearl Intermediate Parent LLC | 41 | |||||
Spectrum Holdings III Corp. | 8 |
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. | Interest-Only and Principal-Only Securities |
Certain Funds may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income.
Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any pay down gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities.
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 investment adviser to the Series. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadvisers.
As compensation for its services to the Series, the Adviser is entitled to a fee, which is calculated daily and paid monthly, 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 | |||||||||
Duff & Phelps International Series | 0.75 | % | 0.70 | % | 0.65 | % | ||||||
KAR Capital Growth Series | 0.70 | 0.65 | 0.60 | |||||||||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||||||||
Rampart Enhanced Core Equity Series | 0.70 | 0.65 | 0.60 | |||||||||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||||||||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||||||||
Duff & Phelps Real Estate Securities Series | 0.75 | % | 0.70 | % | 0.65 | % |
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Series | First $1 Billion | $1+ Billion | ||||||||||
KAR Small-Cap Growth Series | 0.85 | % | 0.80 | % | ||||||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||||||||
KAR Small-Cap Value Series | 0.90 | % | 0.85 | % | 0.80 | % |
During the period covered by these financial statements, each of Newfleet Multi-Sector Intermediate Bond Series and Strategic Allocation Series invested a portion of its assets in Virtus Newfleet Credit Opportunities Fund, an affiliated mutual fund. In order to avoid any duplication of advisory fees, the Adviser has voluntarily waived its advisory fees in an amount equal to that which would otherwise be paid by the Series on the assets invested in the Virtus Newfleet Credit Opportunities Fund. For the period covered by these financial statements, the waivers amounted to $7 and $1, respectively. These waivers are in addition to the expense limitation and/or fee waiver covered elsewhere in these financial statements and are included in the Statements of Operations in “expenses reimbursed and/or waived by investment advisor.”
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 | |
Duff & Phelps International Series | Duff & Phelps Investment Management Co. (“DPIM”)* | |
Duff & Phelps Real Estate Securities Series | DPIM* | |
KAR Capital Growth Series | Kayne Anderson Rudnick Investment Management, LLC (“KAR”)* | |
KAR Small-Cap Growth Series | KAR* | |
KAR Small-Cap Value Series | KAR* | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet Asset Management, LLC (“NF”)* |
Series | Subadviser | |
Rampart Enhanced Core Equity Series | Rampart Investment Management Company, LLC* | |
Strategic Allocation Series: | ||
Equity Portfolio (domestic) | KAR* | |
Equity Portfolio (international) | DPIM* | |
Fixed Income Portfolio | NF* |
* | An indirect wholly owned subsidiary of Virtus. |
C. | Expense Limits |
The Adviser has contractually agreed to limit the total annual operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any) of each Series, so that such expenses do not exceed, on an annualized basis, the percentages of the respective Series’ average daily net assets as listed below through April 30, 2019. The waivers and reimbursements are accrued daily and received monthly.
Maximum Total Operating Expenses | ||||||||
Class A | Class I | |||||||
Duff & Phelps International Series | 1.18 | % | 0.93 | % | ||||
Duff & Phelps Real Estate Securities Series | 1.16 | 0.91 | ||||||
KAR Capital Growth Series | 1.03 | — | ||||||
KAR Small-Cap Growth Series | 1.19 | 0.94 | ||||||
KAR Small-Cap Value Series | 1.20 | — | ||||||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 | 0.69 | ||||||
Rampart Enhanced Core Equity Series | 0.98 | — | ||||||
Strategic Allocation Series | 0.98 | — |
D. | Expense Recapture |
($ reported in thousands)
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser-reimbursed expenses may be recaptured by the fiscal year ending:
Expiration | ||||||||||||||||||||
2018 | 2019 | 2020 | 2021 | Total | ||||||||||||||||
Duff & Phelps International Series | ||||||||||||||||||||
Class A | 145 | 126 | 63 | 2 | 336 | |||||||||||||||
Class I | — | * | — | * | — | * | — | * | — | * | ||||||||||
Duff & Phelps Real Estate Securities Series | ||||||||||||||||||||
Class A | 56 | 72 | 40 | 9 | 177 | |||||||||||||||
Class I | — | * | — | * | — | * | — | * | — | * |
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Expiration | ||||||||||||||||||||
2018 | 2019 | 2020 | 2021 | Total | ||||||||||||||||
KAR Capital Growth Series | ||||||||||||||||||||
Class A | 201 | 275 | 212 | 87 | 775 | |||||||||||||||
KAR Small-Cap Growth Series | ||||||||||||||||||||
Class A | 67 | 100 | 80 | 34 | 281 | |||||||||||||||
Class I | — | * | — | * | 2 | 1 | 3 | |||||||||||||
KAR Small-Cap Value Series | ||||||||||||||||||||
Class A | 109 | 172 | 134 | 54 | 469 | |||||||||||||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||||||||
Class A | 62 | 71 | 26 | — | * | 159 | ||||||||||||||
Class I | — | * | — | * | — | * | — | * | — | * | ||||||||||
Rampart Enhanced Core Equity Series | ||||||||||||||||||||
Class A | 151 | 209 | 196 | 71 | 627 | |||||||||||||||
Strategic Allocation Series | ||||||||||||||||||||
Class A | 88 | 102 | 75 | 21 | 286 |
* | Amount is less than $500. |
E. | Administrator and Distributor |
($ reported in thousands)
Virtus Fund Services, LLC, an indirect wholly owned subsidiary of Virtus, serves as administrator to the Series.
For the six months ended June 30, 2018 (the “period”), the Series incurred administration fees totaling $470 which are included in the Statements of Operations within the line item “Administration and accounting fees.” A portion of these fees was paid to an outside entity that also provides services to the Series. The fees are calculated daily and paid monthly.
VP Distributors, LLC (“VP Distributors”), an indirect wholly owned subsidiary of Virtus, serves as the distributor of each 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, 2018, the Series incurred distribution fees totaling $1,235 which are included in the Statements of Operations within the line item “Distribution and service fees.” A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners. The fees are calculated daily and paid monthly.
F. | Affiliated Accounts |
($ reported in thousands)
At June 30, 2018, 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 aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Duff & Phelps International Series | ||||||||
Class I | 8,109 | $ | 100 | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class I | 7,330 | 139 | ||||||
KAR Small-Cap Growth Series | ||||||||
Class I | 8,496 | 300 | ||||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class I | 12,622 | 115 |
G. | Investments in Affiliates |
($ reported in thousands)
A summary of the total long-term and short-term purchases and sales of an affiliated underlying fund, Virtus Newfleet Credit Opportunities Fund, during the period ended June 30, 2018, is as follows:
Value, beginning of period | Purchases | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Shares | Value, end of period | Dividend Income | Distributions of Realized Gains | ||||||||||||||||||||||||||||
Newfleet Multi-Sector Intermediate Bond Series, Class R6 | $ | 3,002 | $ | — | $ | — | $ | — |
| $ | (21 | ) | 310 | $ | 2,981 | $ | 90 | $ | — | |||||||||||||||||
Strategic Allocation Series, Class R6 | 324 | — | — | — | (3 | ) | 33 | 321 | 10 | — |
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H. | 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 selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at June 30, 2018.
Note 4—Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities, written options, and short-term securities) during the period ended June 30, 2018, were as follows:
Purchases | Sales | |||||||
Duff & Phelps International Series | $ | 33,882 | $ | 44,962 | ||||
Duff & Phelps Real Estate Securities Series | 7,013 | 8,648 | ||||||
KAR Capital Growth Series | 15,416 | 29,989 | ||||||
KAR Small-Cap Growth Series | 10,380 | 11,213 | ||||||
KAR Small-Cap Value Series | 7,123 | 13,091 | ||||||
Newfleet Multi-Sector Intermediate Bond Series | 44,345 | 43,455 | ||||||
Rampart Enhanced Core Equity Series | 12,171 | 25,328 | ||||||
Strategic Allocation Series | 15,427 | 21,768 |
Purchases and sales of long-term U.S. Government and agency securities during the period ended June 30, 2018, were as follows:
Purchases | Sales | |||||||
Newfleet Multi-Sector Intermediate Bond Series | $ | 4,546 | $ | 8,989 | ||||
Strategic Allocation Series | 1,786 | 1,835 |
Note 5—Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a 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/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadvisers to accurately predict risk.
Certain Series may invest in ETFs, which may expose a 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 investment 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, 2018, the Series below held securities in specific sectors as detailed below:
Series | Sector | Percentage of Total Investments | ||||||
KAR Capital Growth Series | Information Technology | 38 | % | |||||
KAR Capital Growth Series | Consumer Discretionary | 29 | ||||||
KAR Small-Cap Growth Series | Information Technology | 37 | ||||||
Rampart Enhanced Core Equity Series | Information Technology | 26 |
Note 6—Derivative Financial Instruments and Transactions
($ reported in thousands)
Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Series uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Series’ results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by certain Series.
Forward Currency Contracts: A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Series, help to manage the overall exposure to the currencies in which some of the investments held by the Series are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
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Options Contracts: An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. Certain Series may purchase or write both put and call options on portfolio securities for hedging purposes or to facilitate the rapid implementation of investment strategies if the Series anticipates a significant market or sector advance. A Series doing so is subject to equity price risk in the normal course of pursuing its investment objective(s).
When a Series purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Series writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Series designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in unaffiliated securities at value” on the Statements of Assets and Liabilities. Options written are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options” in the Statements of Operations.
If an option expires unexercised, the Series realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statements of Operations.
The risk in writing call options is that the Series gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Series may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Series pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.
The Rampart Enhanced Core Equity Series invests in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains.
The following is a summary of the Rampart Enhanced Core Equity Series’ derivative instrument holdings categorized by primary risk exposure (equity contracts) in the financial statements as of June 30, 2018:
Statements of Assets and Liabilities | ||||
Rampart Enhanced Core Equity | ||||
Assets: Purchased options at value | $ | 87 | (1) | |
Liabilities: Written options at value | (239 | ) | ||
|
| |||
Net asset (liability) balance | $ | (152 | ) | |
|
|
Statements of Operations | ||||
Rampart Enhanced Core Equity | ||||
Net realized gain (loss) from purchased options | $ | 2,630 | (2) | |
Net realized gain (loss) from written options | (9,654 | ) | ||
Net change in unrealized appreciation (depreciation) on purchased options | 98 | (3) | ||
Net change in unrealized appreciation (depreciation) on written options | 121 | |||
|
| |||
Total net realized and unrealized gain (loss) | $ | (6,805 | ) | |
|
|
(1) | Amount included in Investment in unaffiliated securities at value. |
(2) | Amount included in Net realized gain (loss) from unaffiliated investments. |
(3) | Amount included in Net change in unrealized appreciation (depreciation) on unaffiliated investments. |
For the period ended June 30, 2018, Rampart Enhanced Core Equity Series’ average daily premiums paid by the Series for purchased options were $144 and the average daily premiums received for written options by the Series were $288.
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 Trust and the Series enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Series’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust or the Series and that have not occurred. However, neither the Trust nor the Series have had prior claims or losses pursuant to these arrangements, and they each expect the risk of loss to be remote.
Note 8—Manager of Managers
The Trust and the Adviser have received an exemptive order from the SEC that permits the Adviser, subject to certain conditions and without the approval of shareholders to: (a) select both unaffiliated subadvisers and certain wholly-owned affiliated subadvisers to manage all or a portion of the assets of a Series, and enter into subadvisory agreements with such subadvisers, and (b) materially amend subadvisory agreements with such subadvisers. In such circumstances, shareholders would receive notice of such action.
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.
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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)
At June 30, 2018, 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) | ||||||||||||
Duff & Phelps International Series | $ | 150,943 | $ | 27,730 | $ | (7,264 | ) | $ | 20,466 | |||||||
Duff & Phelps Real Estate Securities Series | 55,398 | 21,549 | (1,387 | ) | 20,162 | |||||||||||
KAR Capital Growth Series | 117,964 | 114,820 | (1,517 | ) | 113,303 | |||||||||||
KAR Small-Cap Growth Series | 47,049 | 52,928 | (143 | ) | 52,785 | |||||||||||
KAR Small-Cap Value Series | 59,318 | 30,569 | (2,591 | ) | 27,978 | |||||||||||
Newfleet Multi-Sector Intermediate Bond Series | 129,151 | 1,030 | (5,307 | ) | (4,277 | ) | ||||||||||
Rampart Enhanced Core Equity Series (Including Purchased Options) | 87,869 | 15,374 | (3,357 | ) | 12,017 | |||||||||||
Rampart Enhanced Core Equity Series (Written Options) | (436 | ) | 214 | (17 | ) | 197 | ||||||||||
Strategic Allocation Series | 78,578 | 16,837 | (1,935 | ) | 14,902 |
Certain Series have capital loss carryovers available to offset future realized capital gains, through the indicated expiration dates shown below:
No Expiration | Total | |||||||||||
Series | Short-Term | Long-Term | ||||||||||
Duff & Phelps International Series | $ | 9,367 | $ | — | $ | 9,367 | ||||||
Newfleet Multi-Sector Intermediate Bond Series | 101 | 2,619 | 2,720 |
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. Capital loss carryover may be subject to limits on use of losses.
Note 11—Illiquid and Restricted Securities
($ reported in thousands)
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Series. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Series will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
The following Series held securities considered to be illiquid at June 30, 2018:
Series | Aggregate Value | % of Series’ net assets | ||||||
Newfleet Multi-Sector Intermediate Bond Series | $ | 4 | 0.0 | % | ||||
Strategic Allocation Series | 1 | 0.0 |
At June 30, 2018, the Series did not hold any securities that were restricted.
Note | 12—10% Shareholders |
As of June 30, 2018, each Series had individual shareholder account(s) (comprised of participating insurance companies to fund variable accumulation annuity contracts and variable universal life insurance policies), which individually amounted to more than 10% of the total shares outstanding of each such Series as detailed below:
% of Total Shares Outstanding | Number of Accounts | |||||||
Duff & Phelps International Series | 98 | % | 2 | |||||
Duff & Phelps Real Estate Securities Series | 86 | 2 | ||||||
KAR Capital Growth Series | 100 | 2 | ||||||
KAR Small-Cap Growth Series | 95 | 2 |
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% of Total Shares Outstanding | Number of Accounts | |||||||
KAR Small-Cap Value Series | 100 | % | 2 | |||||
Newfleet Multi-Sector Intermediate Bond Series | 90 | 3 | ||||||
Rampart Enhanced Core Equity Series | 99 | 2 | ||||||
Strategic Allocation Series | 100 | 2 |
Note 13—Redemption Facility
($ reported in thousands)
On September 18, 2017, the Series and certain other affiliated funds entered into a $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Series to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third or one-fifth of each Series’ total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days. Interest is charged at the higher of the LIBOR or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Series and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
No Series made borrowings under this Credit Agreement during the period and no Series had any outstanding borrowings under this Credit Agreement as of June 30, 2018.
Note 14—Regulatory Matters and Litigation
From time to time, the Trust, the Series, the Series’ Adviser and/or subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Series’ Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
Note 15—Recent Accounting Pronouncement
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
Note 16—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
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Jennifer Fromm, Vice President, Chief Legal Officer, Counsel and Secretary
Julia Short, Senior Vice President
Francis G. Waltman, Executive Vice President
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
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
How to Contact Us
Mutual Fund Services1-800-367-5877
WebsiteVirtus.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.
Table of Contents
For more information about the Virtus Variable Insurance Trust, please contact us at 1-800-367-5877 or Virtus.com.
8508 | 08-18 |
Table of Contents
Item 2. | Code of Ethics. |
Response not required for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Response not required for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Response not required for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Response not required for semi-annual report.
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 last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | 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. |
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(a)(3) | Not applicable. | |
(a)(4) | 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 | 9/7/2018 |
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 | 9/7/2018 |
By (Signature and Title)* | /s/ W. Patrick Bradley W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer (principal financial officer) |
Date | 9/7/2018 |
* | Print the name and title of each signing officer under his or her signature. |