VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
U.S. Government Securities—11.3% | |||
U.S. Treasury Bonds | |||
2.875%, 5/15/49 | $ 200 | $ 167 | |
1.875%, 11/15/51 | 575 | 380 | |
U.S. Treasury Notes | |||
0.125%, 3/31/23 | 490 | 481 | |
0.125%, 4/30/23 | 725 | 709 | |
0.125%, 8/31/23 | 1,660 | 1,598 | |
2.500%, 4/30/24 | 1,215 | 1,181 | |
0.250%, 5/31/25 | 1,445 | 1,300 | |
0.875%, 6/30/26 | 1,435 | 1,270 | |
0.375%, 7/31/27 | 1,985 | 1,667 | |
0.375%, 9/30/27 | 875 | 730 | |
1.875%, 2/15/32 | 1,260 | 1,068 | |
Total U.S. Government Securities (Identified Cost $11,409) | 10,551 | ||
Municipal Bonds—1.1% | |||
Florida—0.2% | |||
Broward County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 | 185 | 168 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 40 | 31 | |
New York—0.3% | |||
Metropolitan Transportation Authority Revenue Taxable Series A 5.000%, 11/15/45 | 260 | 272 | |
Virginia—0.6% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 595 | 519 | |
Total Municipal Bonds (Identified Cost $1,138) | 990 | ||
Foreign Government Securities—3.5% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 295 | 22 | |
RegS 7.650%, 4/21/25(1)(2) | 825 | 58 | |
Dominican Republic 144A 4.875%, 9/23/32(3) | 345 | 257 | |
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(2) | 400 | 341 | |
Kingdom of Morocco 144A 3.000%, 12/15/32(3) | 200 | 139 | |
Kingdom of Saudi Arabia 144A 4.500%, 10/26/46(3) | 305 | 257 | |
Republic of Angola 144A 8.250%, 5/9/28(3) | 200 | 158 | |
Republic of Argentina 3.500%, 7/9/41(4) | 440 | 94 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(3) | 200 | 177 | |
Republic of Ecuador 144A 5.500%, 7/31/30(3)(4) | 125 | 59 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Egypt 144A 7.600%, 3/1/29(3) | $ 200 | $ 140 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 210 | 179 | |
144A 4.350%, 1/8/27(3) | 240 | 230 | |
Republic of Nigeria 144A 8.375%, 3/24/29(3) | 250 | 177 | |
Republic of Panama 4.300%, 4/29/53 | 355 | 236 | |
Republic of Philippines 3.700%, 3/1/41 | 200 | 153 | |
Republic of South Africa 5.875%, 4/20/32 | 190 | 157 | |
Republic of Turkey 7.625%, 4/26/29 | 265 | 225 | |
United Mexican States 4.500%, 1/31/50 | 340 | 244 | |
Total Foreign Government Securities (Identified Cost $5,155) | 3,303 | ||
Mortgage-Backed Securities—15.7% | |||
Non-Agency—15.7% | |||
Aligned Data Centers Issuer LLC 2021-1A, A2 144A 1.937%, 8/15/46(3) | 285 | 243 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 435 | 424 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 330 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(3)(4) | 182 | 174 | |
Arroyo Mortgage Trust | |||
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 339 | 318 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 47 | 44 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 295 | 241 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(3) | 273 | 235 | |
CF Hippolyta Issuer LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 207 | 184 | |
Chase Mortgage Finance Corp. | |||
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 104 | 88 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 145 | 128 | |
CIM Trust | |||
2021-NR4, A1 144A 2.816%, 10/25/61(3)(4) | 176 | 162 | |
2022-R2, A1 144A 3.750%, 12/25/61(3)(4) | 98 | 93 | |
COLT Mortgage Loan Trust 2022-5, A1 144A 4.550%, 4/25/67(3)(4) | 243 | 232 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(3)(4) | 156 | 134 | |
CoreVest American Finance Issuer LLC 2021-RTL1, A1 144A 2.239%, 3/28/29(3)(4) | 115 | 104 |
See Notes to Schedule of Investments
1
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Trust 2020-4, A 144A 1.174%, 12/15/52(3) | $ 203 | $ 179 | |
Credit Suisse Mortgage Capital Trust 2020-RPL4, A1 144A 2.000%, 1/25/60(3)(4) | 227 | 202 | |
Dominion Mortgage Trust 2021-RTL1, A1 144A 2.487%, 7/25/27(3)(4) | 345 | 312 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 26 | 25 | |
2021-2, A3 144A 1.291%, 6/25/66(3)(4) | 218 | 181 | |
2022-1, A1 144A 2.206%, 1/25/67(3)(4) | 484 | 407 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(3) | 200 | 179 | |
2020-SFR2, B 144A 1.567%, 10/19/37(3) | 335 | 299 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 11 | 10 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 26 | 24 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 174 | 143 | |
Imperial Fund Mortgage Trust 2021-NQM4, A1 144A 2.091%, 1/25/57(3)(4) | 502 | 406 | |
JPMorgan Chase Mortgage Trust | |||
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | 31 | 29 | |
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 33 | 32 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.421%, 4/25/55(3)(4) | 150 | 134 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 98 | 96 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(3)(4) | 100 | 95 | |
2017-3, B1 144A 3.250%, 1/25/61(3)(4) | 207 | 181 | |
2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 165 | 140 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 122 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 91 | 85 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 70 | 65 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 57 | 53 | |
2016-3A, B1 144A 4.000%, 9/25/56(3)(4) | 255 | 233 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 236 | 218 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 57 | 54 | |
2019-RPL2, M2 144A 3.750%, 2/25/59(3)(4) | 220 | 186 |
Par Value | Value | ||
Non-Agency—continued | |||
2021-NQ2R, A1 144A 0.941%, 10/25/58(3)(4) | $ 70 | $ 65 | |
2022-RTL1, A1F 144A 4.336%, 12/25/26(3) | 215 | 205 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 123 | 116 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 4.134%, 5/25/55(3)(4) | 160 | 157 | |
NLT Trust 2021-INV2, A1 144A 1.162%, 8/25/56(3)(4) | 180 | 151 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 29 | 28 | |
2021-NQM3, A1 144A 1.054%, 7/25/61(3)(4) | 176 | 141 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(3)(4) | 140 | 131 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 267 | 254 | |
2021-2, A1 144A 2.115%, 3/25/26(3)(4) | 76 | 71 | |
2021-3, A1 144A 1.867%, 4/25/26(3)(4) | 173 | 158 | |
2021-9, A1 144A 2.363%, 10/25/26(3)(4) | 137 | 127 | |
2021-RPL1, A1 144A 1.319%, 7/25/51(3)(4) | 71 | 63 | |
Progress Residential Trust | |||
2021-SFR3, D 144A 2.288%, 5/17/26(3) | 115 | 98 | |
2021-SFR6, C 144A 1.855%, 7/17/38(3) | 175 | 149 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 99 | 83 | |
RCO VI Mortgage LLC 2022-1, A1 144A 3.000%, 1/25/27(3)(4) | 172 | 161 | |
RCO VII Mortgage LLC 2021-2, A1 144A 2.116%, 9/25/26(3)(4) | 101 | 95 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 32 | 31 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(3)(4) | 345 | 323 | |
Sequoia Mortgage Trust 2013-8, B1 3.488%, 6/25/43(4) | 48 | 45 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 35 | 34 | |
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(3)(4) | 58 | 47 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | 2 | 2 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 135 | 133 | |
2016-4, B1 144A 3.823%, 7/25/56(3)(4) | 300 | 275 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 135 | 126 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(4) | 405 | 365 |
See Notes to Schedule of Investments
2
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | $ 710 | $ 637 | |
2019-2, A2 144A 3.750%, 12/25/58(3)(4) | 290 | 255 | |
2019-4, A2 144A 3.250%, 10/25/59(3)(4) | 215 | 186 | |
2020-1, M1 144A 3.500%, 1/25/60(3)(4) | 110 | 91 | |
2021-1, A2 144A 2.750%, 11/25/61(3)(4) | 230 | 180 | |
2017-6, A2 144A 3.000%, 10/25/57(3)(4) | 200 | 181 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 235 | 214 | |
2020-SFR2, D 144A 2.281%, 11/17/39(3) | 225 | 186 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) | 160 | 140 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 95 | 95 | |
VCAT LLC | |||
2021-NPL3, A1 144A 1.743%, 5/25/51(3)(4) | 152 | 139 | |
2021-NPL4, A1 144A 1.868%, 8/25/51(3)(4) | 244 | 224 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(3)(4) | 87 | 79 | |
Vericrest Opportunity Loan Trust CVI LLC 2021-NP12, A1 144A 2.734%, 12/26/51(3)(4) | 112 | 104 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(3)(4) | 228 | 207 | |
Verus Securitization Trust | |||
2019-4, M1 144A 3.207%, 11/25/59(3)(4) | 110 | 100 | |
2022-5, A1 144A 3.800%, 4/25/67(3)(4) | 347 | 320 | |
2022-7, A1 144A 5.152%, 7/25/67(3)(4) | 195 | 189 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(3) | 55 | 52 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 140 | 134 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(4) | 56 | 47 | |
Total Mortgage-Backed Securities (Identified Cost $16,258) | 14,618 | ||
Asset-Backed Securities—13.4% | |||
Automobiles—6.6% | |||
ACC Auto Trust 2021-A, C 144A 3.790%, 4/15/27(3) | 365 | 343 | |
ACC Trust 2021-1, C 144A 2.080%, 12/20/24(3) | 290 | 283 | |
AmeriCredit Automobile Receivables Trust | |||
2018-1, D 3.820%, 3/18/24 | 270 | 270 |
Par Value | Value | ||
Automobiles—continued | |||
2020-3, C 1.060%, 8/18/26 | $ 230 | $ 216 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(3) | 355 | 352 | |
2019-1, D 144A 4.030%, 7/15/26(3) | 520 | 515 | |
2021-1, E 144A 3.390%, 4/17/28(3) | 115 | 102 | |
Avis Budget Rental Car Funding LLC (AESOP) 2020-2A, A 144A 2.020%, 2/20/27(3) | 285 | 254 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(3) | 223 | 222 | |
2019-3A, E 144A 4.600%, 7/15/26(3) | 265 | 253 | |
2022-N1, C 144A 3.320%, 12/11/28(3) | 270 | 260 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(3) | 29 | 29 | |
Exeter Automobile Receivables Trust | |||
2019-2A, E 144A 4.680%, 5/15/26(3) | 325 | 322 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 139 | 139 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 154 | 154 | |
Flagship Credit Auto Trust 2020-3, C 144A 1.730%, 9/15/26(3) | 285 | 272 | |
Foursight Capital Automobile Receivables Trust | |||
2019-1, E 144A 4.300%, 9/15/25(3) | 285 | 284 | |
2021-2, C 144A 1.570%, 7/15/27(3) | 230 | 213 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, B 144A 2.780%, 9/16/24(3) | 75 | 75 | |
2019-4A, D 144A 4.090%, 8/17/26(3) | 265 | 254 | |
2020-3A, D 144A 2.270%, 5/15/26(3) | 285 | 275 | |
2022-2A, D 144A 6.150%, 4/17/28(3) | 290 | 285 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | 119 | 119 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(3) | 290 | 265 | |
LAD Auto Receivables Trust 2021-1A, D 144A 3.990%, 11/15/29(3) | 290 | 261 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(3) | 151 | 150 | |
6,167 | |||
Consumer Loans—0.5% | |||
Oportun Issuance Trust 2021-C, A 144A 2.180%, 10/8/31(3) | 290 | 256 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) | 225 | 212 | |
468 | |||
See Notes to Schedule of Investments
3
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Credit Card—0.9% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) | $ 290 | $ 263 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(3) | 285 | 271 | |
Mission Lane Credit Card Master Trust 2021-A, A 144A 1.590%, 9/15/26(3) | 360 | 347 | |
881 | |||
Other—5.4% | |||
Amur Equipment Finance Receivables IX LLC 2021-1A, C 144A 1.750%, 6/21/27(3) | 345 | 316 | |
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(3) | 355 | 325 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 328 | 278 | |
Business Jet Securities LLC 2020-1A, A 144A 2.981%, 11/15/35(3) | 114 | 104 | |
BXG Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(3) | 158 | 143 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) | 346 | 294 | |
Conn’s Receivables Funding LLC 2022-A, B 144A 9.520%, 12/15/26(3) | 245 | 244 | |
Diamond Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(3) | 109 | 99 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(3) | 290 | 279 | |
Foundation Finance Trust 2021-1A, A 144A 1.270%, 5/15/41(3) | 158 | 141 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(3) | 280 | 240 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) | 162 | 148 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(3) | 267 | 231 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 213 | 193 | |
Lendmark Funding Trust 2021-1A, A 144A 1.900%, 11/20/31(3) | 290 | 244 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(3) | 285 | 275 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(3) | 240 | 237 | |
Octane Receivables Trust 2020-1A, B 144A 1.980%, 6/20/25(3) | 335 | 324 | |
Pawneee Equipment Receivables LLC 2022-1, B 144A 5.400%, 7/17/28(3) | 245 | 236 | |
Purchasing Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(3) | 345 | 323 | |
VFI ABS LLC 2022-1A, B 144A 3.040%, 7/24/28(3) | 360 | 338 | |
5,012 | |||
Total Asset-Backed Securities (Identified Cost $13,342) | 12,528 | ||
Par Value | Value | ||
Corporate Bonds and Notes—38.6% | |||
Communication Services—2.4% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | $ 250 | $ 159 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 240 | 188 | |
CCO Holdings LLC | |||
144A 6.375%, 9/1/29(3) | 24 | 22 | |
144A 4.750%, 3/1/30(3) | 190 | 154 | |
CT Trust 144A 5.125%, 2/3/32(3) | 200 | 150 | |
DISH DBS Corp. 7.750%, 7/1/26 | 120 | 92 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(3) | 160 | 125 | |
144A 3.625%, 1/15/29(3) | 60 | 44 | |
McGraw-Hill Education, Inc. 144A 8.000%, 8/1/29(3) | 135 | 111 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(3) | 115 | 91 | |
Nexstar Media, Inc. 144A 4.750%, 11/1/28(3) | 125 | 106 | |
Northwest Fiber LLC 144A 10.750%, 6/1/28(3) | 115 | 107 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(3) | 180 | 85 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 200 | 196 | |
Telesat Canada 144A 6.500%, 10/15/27(3) | 90 | 33 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 285 | 253 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3) | 195 | 183 | |
VZ Secured Financing B.V. 144A 5.000%, 1/15/32(3) | 200 | 149 | |
2,248 | |||
Consumer Discretionary—3.5% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 360 | 330 | |
At Home Group, Inc. | |||
144A 4.875%, 7/15/28(3) | 35 | 24 | |
144A 7.125%, 7/15/29(3) | 205 | 121 | |
Brunswick Corp. 2.400%, 8/18/31 | 265 | 184 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(3) | 60 | 58 | |
144A 8.125%, 7/1/27(3) | 45 | 43 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(3) | 120 | 95 | |
Clarios Global LP 144A 8.500%, 5/15/27(3) | 100 | 95 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(3) | 65 | 67 | |
Dick’s Sporting Goods, Inc. 3.150%, 1/15/32 | 308 | 235 | |
Dornoch Debt Merger Sub, Inc. 144A 6.625%, 10/15/29(3) | 105 | 76 | |
Ford Motor Co. | |||
3.250%, 2/12/32 | 73 | 53 | |
4.750%, 1/15/43 | 60 | 40 |
See Notes to Schedule of Investments
4
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Consumer Discretionary—continued | |||
Jacobs Entertainment, Inc. 144A 6.750%, 2/15/29(3) | $ 130 | $ 111 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 175 | 146 | |
Mclaren Finance plc 144A 7.500%, 8/1/26(3) | 200 | 161 | |
Metis Merger Sub LLC 144A 6.500%, 5/15/29(3) | 85 | 66 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(3) | 125 | 104 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(3) | 175 | 161 | |
Nordstrom, Inc. 4.250%, 8/1/31(5) | 200 | 137 | |
Premier Entertainment Sub LLC 144A 5.625%, 9/1/29(3) | 205 | 142 | |
PulteGroup, Inc. | |||
7.875%, 6/15/32 | 135 | 140 | |
6.375%, 5/15/33 | 140 | 132 | |
Royal Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(3) | 7 | 7 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(3) | 45 | 42 | |
Station Casinos LLC 144A 4.500%, 2/15/28(3) | 145 | 119 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(3) | 150 | 148 | |
Under Armour, Inc. 3.250%, 6/15/26 | 185 | 160 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(3) | 115 | 93 | |
3,290 | |||
Consumer Staples—0.9% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 1/23/29 | 265 | 258 | |
BAT Capital Corp. 4.906%, 4/2/30 | 300 | 265 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(3) | 90 | 77 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(3) | 245 | 213 | |
813 | |||
Energy—7.2% | |||
Aker BP ASA 144A 2.000%, 7/15/26(3) | 235 | 203 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 245 | 239 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(3) | 115 | 105 | |
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(3) | 23 | 23 | |
144A 5.375%, 3/1/30(3) | 40 | 36 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(3) | 170 | 163 | |
BP Capital Markets plc 4.875% (6) | 275 | 236 | |
Callon Petroleum Co. 144A 7.500%, 6/15/30(3) | 115 | 101 | |
Calumet Specialty Products Partners LP 144A 8.125%, 1/15/27(3) | 120 | 110 |
Par Value | Value | ||
Energy—continued | |||
CITGO Petroleum Corp. 144A 7.000%, 6/15/25(3) | $ 120 | $ 115 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(3) | 208 | 216 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 110 | 105 | |
DCP Midstream Operating LP 3.250%, 2/15/32 | 110 | 87 | |
Earthstone Energy Holdings LLC 144A 8.000%, 4/15/27(3) | 115 | 108 | |
Ecopetrol S.A. 4.625%, 11/2/31 | 305 | 212 | |
Enbridge, Inc. 7.625%, 1/15/83 | 265 | 256 | |
Energy Transfer LP | |||
4.200%, 4/15/27 | 345 | 319 | |
Series H 6.500%(6) | 125 | 109 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(3) | 205 | 159 | |
HF Sinclair Corp. 144A 5.875%, 4/1/26(3) | 245 | 240 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(3) | 180 | 157 | |
144A 6.000%, 2/1/31(3) | 110 | 95 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 225 | 243 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(3) | 125 | 120 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(3)(7)(8) | 120 | 1 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(3) | 70 | 61 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(3) | 130 | 121 | |
Occidental Petroleum Corp. 6.125%, 1/1/31 | 240 | 236 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(6) | 60 | —(9) | |
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | 110 | 100 | |
Pertamina Persero PT 144A 2.300%, 2/9/31(3) | 245 | 185 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(3)(8) | 650 | 14 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 605 | 507 | |
7.690%, 1/23/50 | 215 | 131 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 220 | 199 | |
Reliance Industries Ltd. 144A 2.875%, 1/12/32(3) | 295 | 231 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 175 | 160 | |
Saudi Arabian Oil Co. 144A 2.250%, 11/24/30(3) | 235 | 191 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 200 | 193 | |
Targa Resources Partners LP 4.875%, 2/1/31 | 45 | 39 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(3) | 115 | 103 |
See Notes to Schedule of Investments
5
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Energy—continued | |||
Transcanada Trust 5.600%, 3/7/82 | $ 335 | $ 291 | |
Transocean, Inc. 144A 11.500%, 1/30/27(3) | 64 | 59 | |
USA Compression Partners LP 6.875%, 4/1/26 | 60 | 55 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(3) | 15 | 13 | |
144A 4.125%, 8/15/31(3) | 100 | 83 | |
6,730 | |||
Financials—10.4% | |||
Acrisure LLC 144A 7.000%, 11/15/25(3) | 180 | 164 | |
AerCap Ireland Capital DAC 2.450%, 10/29/26 | 150 | 127 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 280 | 258 | |
Ally Financial, Inc. Series B 4.700% (6) | 276 | 215 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(3) | 285 | 238 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 335 | 318 | |
Banco de Credito e Inversiones S.A. 144A 3.500%, 10/12/27(3) | 215 | 194 | |
Banco Mercantil del Norte S.A. 144A 6.625% (3)(6) | 255 | 200 | |
Banco Santander Chile 144A 3.177%, 10/26/31(3) | 285 | 226 | |
Bank of America Corp. | |||
1.734%, 7/22/27 | 290 | 249 | |
2.482%, 9/21/36 | 295 | 213 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (6) | 165 | 158 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(3) | 275 | 227 | |
Blackstone Private Credit Fund 2.625%, 12/15/26 | 155 | 127 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(3) | 245 | 174 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30 | 270 | 253 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(3) | 120 | 95 | |
Charles Schwab Corp. (The) Series H 4.000% (6) | 285 | 209 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 235 | 219 | |
Citigroup, Inc. 3.980%, 3/20/30 | 495 | 439 | |
Cobra Acquisition Co. LLC 144A 6.375%, 11/1/29(3) | 125 | 87 | |
Corebridge Financial, Inc. 144A 6.875%, 12/15/52(3) | 160 | 146 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(3) | 152 | 150 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(3) | 345 | 313 | |
Goldman Sachs Group, Inc. (The) | |||
3.850%, 1/26/27 | 280 | 260 | |
1.992%, 1/27/32 | 115 | 85 |
Par Value | Value | ||
Financials—continued | |||
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3) | $ 235 | $ 190 | |
Itau Unibanco Holding S.A. 144A 3.875%, 4/15/31(3) | 200 | 171 | |
Jefferies Group LLC 2.625%, 10/15/31 | 310 | 225 | |
JPMorgan Chase & Co. | |||
2.956%, 5/13/31 | 485 | 384 | |
1.953%, 2/4/32 | 570 | 422 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 140 | 113 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(3) | 255 | 197 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 26 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.750%, 4/20/67(4) | 365 | 276 | |
MetLife, Inc. Series G 3.850% (6) | 245 | 219 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(3) | 200 | 171 | |
Morgan Stanley 3.950%, 4/23/27 | 345 | 321 | |
Navient Corp. 6.750%, 6/25/25 | 130 | 122 | |
OWL Rock Core Income Corp. 4.700%, 2/8/27 | 159 | 139 | |
Prudential Financial, Inc. | |||
5.625%, 6/15/43 | 115 | 113 | |
5.125%, 3/1/52 | 73 | 63 | |
6.000%, 9/1/52 | 44 | 41 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 200 | 184 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 345 | 297 | |
Wells Fargo & Co. Series BB 3.900% (6) | 440 | 372 | |
Zions Bancorp NA 3.250%, 10/29/29 | 350 | 287 | |
9,677 | |||
Health Care—2.2% | |||
1375209 BC Ltd. 144A 9.000%, 1/30/28(3) | 44 | 44 | |
Akumin, Inc. 144A 7.000%, 11/1/25(3) | 135 | 111 | |
Bausch Health Cos., Inc. | |||
144A 6.125%, 2/1/27(3) | 20 | 14 | |
144A 11.000%, 9/30/28(3) | 78 | 63 | |
144A 14.000%, 10/15/30(3) | 15 | 8 | |
Bio-Rad Laboratories, Inc. 3.700%, 3/15/32 | 73 | 61 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(3) | 200 | 165 | |
Community Health Systems, Inc. | |||
144A 6.875%, 4/15/29(3) | 20 | 10 | |
144A 6.125%, 4/1/30(3) | 155 | 73 | |
144A 4.750%, 2/15/31(3) | 125 | 84 | |
DENTSPLY SIRONA, Inc. 3.250%, 6/1/30 | 260 | 201 | |
Endo Dac 144A 6.000%, 7/15/23(3)(8) | 100 | 5 |
See Notes to Schedule of Investments
6
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Health Care—continued | |||
HCA, Inc. 5.625%, 9/1/28 | $ 90 | $ 86 | |
Illumina, Inc. 2.550%, 3/23/31 | 245 | 188 | |
Lannett Co., Inc. 144A 7.750%, 4/15/26(3) | 50 | 14 | |
Legacy LifePoint Health LLC 144A 6.750%, 4/15/25(3) | 55 | 52 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3)(10) | 85 | 67 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 40 | 37 | |
144A 10.000%, 4/15/27(3) | 110 | 107 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(3) | 155 | 115 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 170 | 138 | |
Universal Health Services, Inc. 144A 2.650%, 1/15/32(3) | 300 | 212 | |
Viatris, Inc. 2.700%, 6/22/30 | 285 | 212 | |
2,067 | |||
Industrials—2.8% | |||
Alaska Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 8/15/27(3) | 232 | 219 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3) | 210 | 187 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 355 | 295 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 188 | 168 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(3) | 125 | 98 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 175 | 162 | |
3.750%, 2/1/50 | 85 | 55 | |
5.930%, 5/1/60 | 69 | 59 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(3) | 285 | 225 | |
Deluxe Corp. 144A 8.000%, 6/1/29(3) | 65 | 53 | |
Global Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(3) | 175 | 133 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26 | 75 | 70 | |
5.250%, 5/15/27 | 25 | 22 | |
OT Merger Corp. 144A 7.875%, 10/15/29(3) | 65 | 44 | |
Pentair Finance S.a.r.l. 5.900%, 7/15/32 | 240 | 227 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3) | 120 | 107 | |
Sempra Global 144A 3.250%, 1/15/32(3) | 297 | 236 | |
SRS Distribution, Inc. 144A 6.125%, 7/1/29(3) | 120 | 96 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(3) | 130 | 103 | |
2,559 | |||
Par Value | Value | ||
Information Technology—2.6% | |||
Broadcom, Inc. | |||
4.150%, 11/15/30 | $ 266 | $ 230 | |
144A 2.450%, 2/15/31(3) | 220 | 166 | |
CDW LLC 3.569%, 12/1/31 | 349 | 272 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(3) | 30 | 26 | |
144A 6.500%, 10/15/28(3) | 40 | 34 | |
Dell International LLC 8.100%, 7/15/36 | 228 | 241 | |
Entegris Escrow Corp. 144A 4.750%, 4/15/29(3) | 243 | 214 | |
HP, Inc. 5.500%, 1/15/33 | 300 | 266 | |
Kyndryl Holdings, Inc. 3.150%, 10/15/31 | 285 | 191 | |
Leidos, Inc. 2.300%, 2/15/31 | 205 | 152 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 165 | 156 | |
4.600%, 5/23/29 | 120 | 111 | |
TD SYNNEX Corp. 2.375%, 8/9/28 | 355 | 286 | |
Viasat, Inc. 144A 5.625%, 9/15/25(3) | 80 | 62 | |
2,407 | |||
Materials—3.3% | |||
Albemarle Corp. 5.050%, 6/1/32 | 270 | 250 | |
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(3)(11) | 235 | 161 | |
Avient Corp. 144A 7.125%, 8/1/30(3) | 30 | 28 | |
Bayport Polymers LLC 144A 5.140%, 4/14/32(3) | 330 | 300 | |
Celanese U.S. Holdings LLC | |||
5.900%, 7/5/24 | 90 | 89 | |
6.165%, 7/15/27 | 75 | 71 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 185 | 182 | |
Eldorado Gold Corp. 144A 6.250%, 9/1/29(3) | 155 | 118 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 225 | 188 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(3) | 290 | 223 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | 350 | 282 | |
LSB Industries, Inc. 144A 6.250%, 10/15/28(3) | 180 | 154 | |
New Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(3) | 180 | 152 | |
Suzano Austria GmbH 2.500%, 9/15/28 | 190 | 148 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(3) | 250 | 199 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 260 | 244 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 125 | 115 | |
144A 6.625%, 11/1/25(3) | 140 | 120 |
See Notes to Schedule of Investments
7
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Materials—continued | |||
WR Grace Holdings LLC 144A 5.625%, 8/15/29(3) | $ 60 | $ 45 | |
3,069 | |||
Real Estate—1.9% | |||
EPR Properties | |||
4.750%, 12/15/26 | 130 | 115 | |
3.600%, 11/15/31 | 150 | 107 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 185 | 179 | |
5.750%, 6/1/28 | 64 | 60 | |
3.250%, 1/15/32 | 24 | 18 | |
Kite Realty Group Trust 4.750%, 9/15/30 | 295 | 256 | |
MPT Operating Partnership LP 4.625%, 8/1/29 | 50 | 40 | |
Office Properties Income Trust 4.500%, 2/1/25 | 385 | 342 | |
Ontario Teachers’ Cadillac Fairview Properties Trust 144A 2.500%, 10/15/31(3) | 200 | 156 | |
Phillips Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31 | 300 | 218 | |
Service Properties Trust 4.950%, 2/15/27 | ��� 125 | 93 | |
VICI Properties LP | |||
4.950%, 2/15/30 | 65 | 59 | |
5.125%, 5/15/32 | 65 | 58 | |
144A 4.625%, 6/15/25(3) | 25 | 24 | |
144A 5.750%, 2/1/27(3) | 85 | 80 | |
1,805 | |||
Utilities—1.4% | |||
CMS Energy Corp. 4.750%, 6/1/50 | 445 | 376 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 220 | 195 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(3) | 45 | 39 | |
144A 5.875%, 4/1/29(3) | 45 | 37 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(3) | 390 | 359 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 307 | 249 | |
Vistra Corp. 144A 8.000% (3)(6) | 90 | 83 | |
1,338 | |||
Total Corporate Bonds and Notes (Identified Cost $43,694) | 36,003 | ||
Leveraged Loans—10.4% | |||
Aerospace—0.6% | |||
Air Canada (3 month LIBOR + 3.500%) 6.421%, 8/11/28(4) | 31 | 29 | |
Amentum Government Services Holdings LLC Tranche B-3 (3-6 month Term SOFR + 4.000%) 7.206% - 7.558%, 2/15/29(4) | 65 | 62 | |
Brown Group Holding LLC (1 month LIBOR + 2.500%) 5.615%, 6/7/28(4) | 103 | 97 |
Par Value | Value | ||
Aerospace—continued | |||
KKR Apple Bidco LLC | |||
(1 month LIBOR + 2.750%) 5.865%, 9/22/28(4) | $ 134 | $ 128 | |
Second Lien (1 month LIBOR + 5.750%) 8.865%, 9/21/29(4) | 10 | 10 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 8.777%, 6/21/27(4) | 114 | 114 | |
TransDigm, Inc. | |||
Tranche E (3 month LIBOR + 2.750%) 5.924%, 5/30/25(4) | 72 | 69 | |
Tranche F (3 month LIBOR + 2.750%) 5.924%, 12/9/25(4) | 59 | 56 | |
Tranche G (3 month LIBOR + 2.250%) 5.924%, 8/22/24(4) | 28 | 28 | |
593 | |||
Chemicals—0.4% | |||
Aruba Investments Holdings LLC First Lien (1 month LIBOR + 4.000%) 7.084%, 11/24/27(4) | 94 | 86 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 5.115%, 4/1/24(4) | 266 | 257 | |
343 | |||
Consumer Non-Durables—0.3% | |||
DS Parent, Inc. Tranche B (3-6 month LIBOR + 5.750%) 9.424% - 9.200%, 12/8/28(4) | 110 | 106 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 7.115%, 6/30/24(4) | 77 | 71 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 7.674%, 8/12/24(4) | 102 | 88 | |
265 | |||
Energy—0.7% | |||
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 9.365%, 3/28/24(4) | 92 | 92 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.500%) 8.174%, 6/17/27(4) | 101 | 99 | |
Medallion Midland Acquisition LLC (3 month LIBOR + 3.750%) 7.424%, 10/18/28(4) | 104 | 100 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 6.211%, 10/5/28(4) | 114 | 110 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 3.250%, 7/16/21(7)(8) | 1 | —(9) | |
Traverse Midstream Partners LLC (3 month Term SOFR + 4.250%) 5.950%, 9/27/24(4) | 224 | 219 | |
620 | |||
Financials—0.2% | |||
Asurion LLC Tranche B-9 (1 month LIBOR + 3.250%) 6.365%, 7/31/27(4) | 98 | 83 | |
Blackhawk Network Holdings, Inc. First Lien (1 month Term SOFR + 3.000%) 6.034%, 6/15/25(4) | 84 | 78 |
See Notes to Schedule of Investments
8
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Financials—continued | |||
Citadel Securities LP Tranche B (1 month Term SOFR + 3.114%) 6.149%, 2/2/28(4) | $ 59 | $ 58 | |
219 | |||
Food / Tobacco—0.4% | |||
H-Food Holdings LLC (1 month LIBOR + 3.688%) 6.803%, 5/23/25(4) | 136 | 105 | |
Pegasus Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.250%) 6.962%, 7/12/29(4) | 75 | 71 | |
Shearer’s Foods LLC First Lien (1 month LIBOR + 3.500%) 6.615%, 9/23/27(4) | 99 | 92 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 7.174%, 3/31/28(4) | 69 | 62 | |
330 | |||
Forest Prod / Containers—0.5% | |||
Anchor Glass Container Corp. 2017 (1-3 month LIBOR + 2.750%) 6.424% - 6.534%, 12/7/23(4) | 49 | 38 | |
Klockner Pentaplast of America, Inc. Tranche B (6 month Term SOFR + 4.750%) 8.259%, 2/12/26(4) | 88 | 74 | |
Mauser Packaging Solutions Holding Co. (1 month LIBOR + 3.250%) 5.814%, 4/3/24(4) | 258 | 240 | |
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 6.365%, 1/31/25(4) | 78 | 71 | |
TricorBraun, Inc. (1 month LIBOR + 3.250%) 6.365%, 3/3/28(4) | 84 | 79 | |
502 | |||
Gaming / Leisure—1.0% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 5.865%, 12/23/24(4) | 222 | 216 | |
Carnival Corp. Tranche B (3 month LIBOR + 3.000%) 5.877%, 6/30/25(4) | 39 | 35 | |
ECL Entertainment LLC Tranche B (1 month LIBOR + 7.500%) 10.615%, 5/1/28(4) | 84 | 83 | |
J&J Ventures Gaming LLC (3 month LIBOR + 4.000%) 7.674%, 4/26/28(4) | 79 | 75 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 5.870%, 4/29/24(4) | 270 | 260 | |
PUG LLC Tranche B (1 month LIBOR + 3.500%) 6.615%, 2/12/27(4) | 92 | 80 | |
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 7.602%, 11/1/26(4) | 35 | 33 | |
Scientific Games Holdings LP (3 month Term SOFR + 3.500%) 5.617%, 4/4/29(4) | 25 | 23 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 2.750%) 5.520%, 4/29/26(4) | 154 | 148 | |
953 | |||
Par Value | Value | ||
Health Care—1.5% | |||
CHG Healthcare Services, Inc. First Lien (1 month LIBOR + 3.250%) 6.365%, 9/29/28(4) | $ 105 | $ 100 | |
Gainwell Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 7.674%, 10/1/27(4) | 103 | 97 | |
Heartland Dental LLC 2021 (1 month LIBOR + 4.000%) 7.084%, 4/30/25(4) | 99 | 92 | |
Hunter Holdco 3 Ltd. First Lien (3 month LIBOR + 4.250%) 7.924%, 8/19/28(4) | 66 | 63 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 6.871%, 11/16/25(4) | 55 | 51 | |
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 8.313%, 4/22/27(4) | 93 | 68 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 7.424%, 11/30/27(4) | 118 | 112 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 5.865%, 2/14/25(4) | 122 | 112 | |
Phoenix Guarantor, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 6.365%, 3/5/26(4) | 185 | 175 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.250%) 6.365%, 11/15/28(4) | 50 | 47 | |
Precision Medicine Group LLC (3 month LIBOR + 3.000%) 6.674%, 11/18/27(4) | 123 | 113 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 7.424%, 10/1/26(4) | 59 | 55 | |
Surgery Center Holdings, Inc. 2021 (1 month LIBOR + 3.750%) 6.510%, 8/31/26(4) | 108 | 103 | |
Upstream Newco, Inc. 2021 (3 month Term SOFR + 4.250%) 8.065%, 11/20/26(4) | 58 | 54 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 6.865%, 7/2/25(4) | 120 | 111 | |
1,353 | |||
Housing—0.1% | |||
Quikrete Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 6.115%, 6/9/28(4) | 124 | 119 | |
SRS Distribution, Inc. 2022 (3 month Term SOFR + 3.500%) 6.177%, 6/2/28(4) | 15 | 14 | |
133 | |||
Information Technology—1.5% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 5.500%) 9.174%, 9/19/25(4) | 129 | 126 | |
BMC Software 2021 (1 month LIBOR + 3.750%) 6.865%, 10/2/25(4) | 105 | 99 | |
CDK Global, Inc. (3 month Term SOFR + 4.500%) 6.610%, 7/6/29(4) | 45 | 43 | |
ConnectWise LLC (3 month LIBOR + 3.500%) 7.174%, 9/29/28(4) | 54 | 50 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 6.365%, 7/30/27(4) | 106 | 99 |
See Notes to Schedule of Investments
9
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Information Technology—continued | |||
Greeneden U.S. Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 7.115%, 12/1/27(4) | $ 103 | $ 98 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 6.615%, 7/1/24(4) | 226 | 218 | |
Infinite Bidco LLC First Lien (3 month LIBOR + 3.250%) 6.924%, 3/2/28(4) | 84 | 79 | |
Magenta Buyer LLC First Lien (1 month LIBOR + 4.750%) 7.870%, 7/27/28(4) | — | — | |
Project Ruby Ultimate Parent Corp. First Lien (1 month LIBOR + 3.250%) 6.365%, 3/10/28(4) | 128 | 119 | |
Proofpoint, Inc. (3 month LIBOR + 3.250%) 6.320%, 8/31/28(4) | 54 | 51 | |
Quest Software U.S. Holdings, Inc. First Lien (3 month Term SOFR + 4.400%) 6.977%, 2/1/29(4) | 75 | 55 | |
RealPage, Inc. First Lien (1 month LIBOR + 3.000%) 6.115%, 4/24/28(4) | 103 | 97 | |
Sophia LP | |||
2022, Tranche B-1 (1 month Term SOFR + 4.000%) 7.034%, 10/7/27(4) | 35 | 34 | |
Tranche B (3 month LIBOR + 3.500%) 7.174%, 10/7/27(4) | 103 | 99 | |
UKG, Inc. | |||
2021, Second Lien (3 month LIBOR + 5.250%) 7.535%, 5/3/27(4) | 5 | 5 | |
2021-2, First Lien (3 month LIBOR + 3.250%) 5.535%, 5/4/26(4) | 104 | 99 | |
1,371 | |||
Manufacturing—0.5% | |||
Alliance Laundry Systems LLC Tranche B (1 month LIBOR + 3.500%) 5.955%, 10/8/27(4) | 86 | 82 | |
Arcline FM Holdings LLC | |||
First Lien (1 month LIBOR + 4.750%) 8.392%, 6/23/28(4) | 94 | 87 | |
Second Lien (1 month LIBOR + 8.250%) 10.500%, 6/25/29(4) | 45 | 42 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 6.115%, 3/31/25(4) | 104 | 99 | |
Safe Fleet Holdings LLC 2022 (1 month Term SOFR + 3.850%) 6.926%, 2/23/29(4) | 35 | 33 | |
Star U.S. Bidco LLC (1 month LIBOR + 4.250%) 7.365%, 3/17/27(4) | 96 | 91 | |
434 | |||
Media / Telecom - Cable/Wireless Video—0.1% | |||
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 8.115%, 8/2/27(4) | 99 | 92 | |
Media / Telecom - Diversified Media—0.3% | |||
Cinemark USA, Inc. (1-3 month LIBOR + 1.750%) 4.560% - 5.430%, 3/31/25(4) | 118 | 111 | |
McGraw-Hill Education, Inc. (3-6 month LIBOR + 4.750%) 7.820% - 8.316%, 7/28/28(4) | 91 | 84 |
Par Value | Value | ||
Media / Telecom - Diversified Media—continued | |||
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 5.870%, 5/18/25(4) | $ 76 | $ 72 | |
267 | |||
Media / Telecom - Telecommunications—0.0% | |||
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 6.063%, 10/2/27(4) | 53 | 46 | |
Metals / Minerals—0.2% | |||
Covia Holdings Corp. (3 month LIBOR + 4.000%) 6.285%, 7/31/26(4) | 115 | 109 | |
Peabody Energy Corp. Tranche B (1 month LIBOR + 2.750%) 5.834%, 3/31/25(4) | 109 | 103 | |
212 | |||
Retail—0.3% | |||
CNT Holdings I Corp. First Lien (1 month Term SOFR + 3.500%) 6.248%, 11/8/27(4) | 83 | 79 | |
Great Outdoors Group LLC Tranche B-2 (1 month LIBOR + 3.750%) 6.865%, 3/6/28(4) | 83 | 77 | |
PetsMart LLC (1 month LIBOR + 3.750%) 6.870%, 2/11/28(4) | 84 | 79 | |
Rising Tide Holdings, Inc. First Lien (1 month LIBOR + 4.750%) 7.865%, 6/1/28(4) | 59 | 50 | |
285 | |||
Service—1.1% | |||
Apex Group Treasury Ltd. First Lien (3 month LIBOR + 3.750%) 6.557%, 7/27/28(4) | 79 | 75 | |
Carlisle Foodservice Products, Inc. First Lien (3 month LIBOR + 3.000%) 6.566%, 3/20/25(4) | 178 | 159 | |
Dun & Bradstreet Corp. (The) | |||
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 6.282%, 1/18/29(4) | 10 | 10 | |
Tranche B (1 month LIBOR + 3.250%) 6.330%, 2/6/26(4) | 102 | 98 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 7.865%, 12/23/27(4) | 98 | 93 | |
Garda World Security Corp. Tranche B-2 (3 month LIBOR + 4.250%) 7.240%, 10/30/26(4) | 40 | 37 | |
Grab Holdings, Inc. (1 month LIBOR + 4.500%) 7.620%, 1/29/26(4) | 98 | 91 | |
NAB Holdings LLC First Lien (3 month Term SOFR + 3.150%) 6.703%, 11/23/28(4) | 74 | 71 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 6.865%, 2/1/28(4) | 136 | 129 | |
PODS LLC (1 month LIBOR + 3.000%) 6.115%, 3/31/28(4) | 83 | 78 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 6.365%, 2/10/29(4) | 103 | 98 |
See Notes to Schedule of Investments
10
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Service—continued | |||
Weld North Education LLC 2021 (1 month LIBOR + 3.750%) 6.870%, 12/21/27(4) | $ 102 | $ 98 | |
1,037 | |||
Transportation - Automotive—0.4% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 5.115%, 11/2/23(4) | 224 | 206 | |
Mavis Tire Express Services Topco Corp. First Lien (1 month Term SOFR + 4.000%) 7.250%, 5/4/28(4) | 111 | 104 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.750%) 6.556%, 10/28/27(4) | 49 | 47 | |
357 | |||
Utilities—0.3% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 5.865%, 8/1/25(4) | 102 | 98 | |
Generation Bridge II LLC | |||
Tranche B (1 month LIBOR + 5.000%) 8.149%, 2/23/29(4) | 45 | 44 | |
Tranche C (1 month LIBOR + 5.000%) 8.149%, 2/23/29(4) | 6 | 5 | |
Lightstone Holdco LLC | |||
Tranche B (1 month Term SOFR + 5.750%) 8.784%, 2/1/27(4) | 114 | 104 | |
Tranche C (1 month Term SOFR + 5.750%) 8.784%, 2/1/27(4) | 6 | 6 | |
257 | |||
Total Leveraged Loans (Identified Cost $10,206) | 9,669 | ||
Shares | ||
Preferred Stocks—1.2% | ||
Financials—0.8% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(3) | 250(12) | 218 |
JPMorgan Chase & Co. Series HH, 4.600% | 103(12) | 90 |
MetLife, Inc. Series D, 5.875%(5) | 173(12) | 158 |
Truist Financial Corp. Series Q, 5.100% | 270(12) | 239 |
705 | ||
Industrials—0.4% | ||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 6.623%(4) | 397(12) | 371 |
Total Preferred Stocks (Identified Cost $1,159) | 1,076 | |
Common Stocks—0.1% | ||
Consumer Discretionary—0.1% | ||
Mark IV Industries(7)(13) | 828 | 2 |
NMG Parent LLC(7)(13) | 271 | 48 |
50 | ||
Shares | Value | ||
Energy—0.0% | |||
Frontera Energy Corp.(13) | 437 | $ 3 | |
Total Common Stocks (Identified Cost $29) | 53 | ||
Exchange-Traded Fund—0.9% | |||
iShares JP Morgan USD Emerging Markets Bond ETF(14) | 11,093 | 881 | |
Total Exchange-Traded Fund (Identified Cost $1,001) | 881 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(7)(13) | 7,753 | 9 | |
Total Rights (Identified Cost $7) | 9 | ||
Total Long-Term Investments—96.2% (Identified Cost $103,398) | 89,681 | ||
Short-Term Investment—2.1% | |||
Money Market Mutual Fund—2.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.748%)(14) | 1,913,807 | 1,914 | |
Total Short-Term Investment (Identified Cost $1,914) | 1,914 | ||
Securities Lending Collateral—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.748%)(14)(15) | 303,614 | 304 | |
Total Securities Lending Collateral (Identified Cost $304) | 304 | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $105,616) | $91,899 | ||
Other assets and liabilities, net—1.4% | 1,272 | ||
NET ASSETS—100.0% | $93,171 |
Abbreviations: | ||
ABS | Asset-Backed Securities | |
ACA | American Capital Access Financial Guarantee Corp. | |
BAM | Build America Municipal Insured | |
ETF | Exchange-Traded Fund | |
LIBOR | London Interbank Offered Rate | |
LLC | Limited Liability Company | |
LLLP | Limited Liability Limited Partnership | |
LP | Limited Partnership | |
NA | National Association | |
PIK | Payment-in-Kind Security | |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | ||
(1) | Security in default; no interest payments are being received. | |
(2) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
See Notes to Schedule of Investments
11
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
(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 September 30, 2022, these securities amounted to a value of $46,401 or 49.8% of net assets. |
(4) | Variable rate security. Rate disclosed is as of September 30, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | All or a portion of security is on loan. |
(6) | No contractual maturity date. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(9) | Amount is less than $500. |
(10) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(11) | 100% of the income received was in cash. |
(12) | Value shown as par value. |
(13) | Non-income producing. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 89% |
Canada | 2 |
Mexico | 2 |
Netherlands | 1 |
Australia | 1 |
Chile | 1 |
United Arab Emirates | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of September 30, 2022. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
Precision Medicine Group LLC, (3 month LIBOR + 3.000%) 3.000%, 11/18/27 | $4 | $4 | $4 | $—(1) |
(1) | Amount is less than $500. |
See Notes to Schedule of Investments
12
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
The following table summarizes the value of the Series’ investments as of September 30, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at September 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $12,528 | $— | $12,528 | $— | |||
Corporate Bonds and Notes | 36,003 | — | 36,002 | 1 | |||
Foreign Government Securities | 3,303 | — | 3,303 | — | |||
Leveraged Loans | 9,669 | — | 9,669 | —(1) | |||
Mortgage-Backed Securities | 14,618 | — | 14,618 | — | |||
Municipal Bonds | 990 | — | 990 | — | |||
U.S. Government Securities | 10,551 | — | 10,551 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 1,076 | — | 1,076 | — | |||
Common Stocks | 53 | 3 | — | 50 | |||
Rights | 9 | — | — | 9 | |||
Exchange-Traded Fund | 881 | 881 | — | — | |||
Money Market Mutual Fund | 1,914 | 1,914 | — | — | |||
Securities Lending Collateral | 304 | 304 | — | — | |||
Total Investments | $91,899 | $3,102 | $88,737 | $60 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Security held by the Fund with an end of period value of $49 was transferred from Level 2 to Level 3 due to an decrease in trading activities at period end.
Security held by the Fund with an end of period value of $397 was transferred from Level 3 to Level 2 due to an increase in trading activities at period end.
Some of the Series’ investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Mortgaged-Backed Securities | Rights | ||||||
Investments in Securities | |||||||||||
Balance as of December 31, 2021: | $ 601 | $ —(a)(b) | $ —(a)(b) | $ 3 | $ 588 | $ 10 | |||||
Accrued discount/(premium) | 2 | 1 | —(b) | —(b) | — | ||||||
Net Realized gain (loss) | —(b) | —(b) | — | — | —(b) | — | |||||
Net change in unrealized appreciation (depreciation)(c) | (33) | (1) | —(b) | (1) | (30) | (1) | |||||
Sales(d) | (161) | —(b) | — | — | (161) | — | |||||
Transfers into Level 3(e) | 49 | 1 | — | 48 | — | — | |||||
Transfers from Level 3(e) | (397) | —(b) | — | — | (397) | — | |||||
Balance as of September 30, 2022 | $ 60 | $ 1 | $ —(a) | $ 50 | $ — | $ 9 |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) Amount is less than $500.
(c) The net change in unrealized appreciation (depreciation) on investments still held at September 30, 2022, was $(33).
(d) Includes paydowns on securities.
(e) “Transfers into and/or from” represent the ending value as of September 30, 2022, for any investment security where a change in the pricing level occured from the beginning to the end of the period.
See Notes to Schedule of Investments
13
VIRTUS Newfleet Multi-Sector Intermediate Bond Series
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
Note 1. Security Valuation
The 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 into or out of Level 3 at the end of the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the 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. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the 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 values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments 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 at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value theSeries’ net assets by each major security type is disclosed at the end of the Schedule of Investments for the Series. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Series’ most recent semi or annual report.
14