VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
U.S. Government Securities—0.8% | |||
U.S. Treasury Notes | |||
0.125%, 5/31/22 | $19,155 | $19,161 | |
0.250%, 5/31/25 | 17,675 | 17,378 | |
0.625%, 12/31/27 | 15,150 | 14,646 | |
Total U.S. Government Securities (Identified Cost $51,802) | 51,185 | ||
Municipal Bond—0.1% | |||
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 4,345 | 4,564 | |
Total Municipal Bond (Identified Cost $4,073) | 4,564 | ||
Foreign Government Securities—4.3% | |||
Arab Republic of Egypt | |||
144A 5.750%, 5/29/24(1) | 1,000 | 1,064 | |
144A 5.875%, 6/11/25(1)(2) | 5,315 | 5,668 | |
Bolivarian Republic of Venezuela | |||
RegS 7.000%, 12/1/18(3)(4) | 20,999 | 2,037 | |
RegS 7.750%, 10/13/19(3)(4) | 9,851 | 1,010 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(1) | 5,405 | 6,262 | |
144A 5.950%, 1/25/27(1) | 9,005 | 10,126 | |
Federal Republic of Brazil | |||
2.875%, 6/6/25 | 300 | 308 | |
4.625%, 1/13/28 | 8,370 | 9,042 | |
Kingdom of Saudi Arabia | |||
144A 4.000%, 4/17/25(1) | 15,800 | 17,439 | |
144A 3.250%, 10/26/26(1) | 10,800 | 11,764 | |
Mongolia Government International Bond 144A 3.500%, 7/7/27(1) | 1,800 | 1,769 | |
Republic of Angola 144A 9.500%, 11/12/25(1) | 6,400 | 7,000 | |
Republic of Argentina 0.125%, 7/9/41(5) | 12,080 | 4,307 | |
Republic of Argentine 0.125%, 7/9/30(5) | 15,215 | 5,450 | |
Republic of Colombia | |||
4.000%, 2/26/24 | 5,800 | 6,143 | |
4.500%, 1/28/26 | 9,900 | 10,806 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(1) | 4,625 | 5,088 | |
Republic of Ecuador 144A 0.500%, 7/31/30(1)(5) | 4,755 | 4,054 | |
Republic of Egypt 144A 7.500%, 1/31/27(1) | 6,075 | 6,819 | |
Republic of Ghana 144A 7.875%, 3/26/27(1)(2) | 6,650 | 7,024 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Indonesia | |||
144A 3.375%, 4/15/23(1) | $11,800 | $12,386 | |
144A 5.875%, 1/15/24(1) | 14,420 | 16,274 | |
144A 4.125%, 1/15/25(1) | 9,765 | 10,776 | |
144A 4.750%, 1/8/26(1) | 14,300 | 16,323 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 1,830 | 2,125 | |
Republic of Kenya 144A 7.000%, 5/22/27(1)(2) | 7,000 | 7,681 | |
Republic of Nigeria 144A 6.500%, 11/28/27(1) | 6,690 | 7,091 | |
Republic of Pakistan | |||
144A 8.250%, 9/30/25(1) | 3,165 | 3,501 | |
144A 6.875%, 12/5/27(1) | 3,615 | 3,752 | |
Republic of Panama 3.875%, 3/17/28 | 8,650 | 9,485 | |
Republic of Qatar 144A 3.250%, 6/2/26(1) | 4,500 | 4,924 | |
Republic of South Africa 4.850%, 9/27/27 | 9,495 | 10,195 | |
Republic of Turkey | |||
6.350%, 8/10/24 | 12,350 | 12,949 | |
7.375%, 2/5/25 | 4,510 | 4,875 | |
Sultanate of Oman | |||
144A 4.875%, 2/1/25(1) | 3,300 | 3,454 | |
144A 5.625%, 1/17/28(1) | 10,100 | 10,606 | |
Ukraine Government 144A 7.750%, 9/1/25(1) | 14,650 | 16,034 | |
United Mexican States 4.150%, 3/28/27(2) | 4,500 | 5,085 | |
Total Foreign Government Securities (Identified Cost $295,800) | 280,696 | ||
Mortgage-Backed Securities—27.3% | |||
Agency—0.9% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 1,542 | 1,639 | |
Pool #AO5149 3.000%, 6/1/27 | 184 | 193 | |
Pool #AS5927 3.000%, 10/1/30 | 6,810 | 7,193 | |
Pool #AZ4794 3.000%, 10/1/30 | 12,538 | 13,263 | |
Pool #890710 3.000%, 2/1/31 | 4,605 | 4,866 | |
Pool #254549 6.000%, 12/1/32 | 14 | 17 | |
Pool #695237 5.500%, 2/1/33 | 14 | 15 | |
Pool #773385 5.500%, 5/1/34 | 82 | 94 |
See Notes to Schedule of Investments
1
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Agency—continued | |||
Pool #725762 6.000%, 8/1/34 | $76 | $90 | |
Pool #806318 5.500%, 11/1/34 | 122 | 136 | |
Pool #806328 5.500%, 11/1/34 | 109 | 121 | |
Pool #800267 5.500%, 12/1/34 | 22 | 25 | |
Pool #808018 5.500%, 1/1/35 | 84 | 98 | |
Pool #941322 6.000%, 7/1/37 | 6 | 7 | |
Pool #889578 6.000%, 4/1/38 | 47 | 56 | |
Pool #AC6992 5.000%, 12/1/39 | 1,305 | 1,496 | |
Pool #AD3841 4.500%, 4/1/40 | 1,811 | 1,998 | |
Pool #AD4224 5.000%, 8/1/40 | 1,667 | 1,875 | |
Pool #AE4799 4.000%, 10/1/40 | 24 | 26 | |
Pool #AH4009 4.000%, 3/1/41 | 1,995 | 2,193 | |
Pool #AI2472 4.500%, 5/1/41 | 1,273 | 1,404 | |
Pool #AS6515 4.000%, 1/1/46 | 3,164 | 3,426 | |
Pool #AS9393 4.000%, 4/1/47 | 2,149 | 2,306 | |
Pool #CA4978 3.000%, 1/1/50 | 13,680 | 14,295 | |
Government National Mortgage Association Pool #563381 6.500%, 11/15/31 | 10 | 11 | |
56,843 | |||
Non-Agency—26.4% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%, Cap N/A, Floor 1.15%) 144A 1.274%, 3/15/35(1)(5) | 2,823 | 2,825 | |
Adjustable Rate Mortgage Trust 2005-1, 3A1 2.708%, 5/25/35(5) | 1,192 | 1,201 | |
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(1)(5) | 9,837 | 9,827 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(5) | 5,482 | 5,519 | |
American Homes 4 Rent Trust | |||
2014-SFR3, A 144A 3.678%, 12/17/36(1) | 19,937 | 21,225 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 10,806 | 11,462 | |
AMSR Trust | |||
2021-SFR2, C 144A 1.877%, 8/17/26(1)(6) | 4,535 | 4,535 | |
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 8,627 | 8,740 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 6,739 | 6,802 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-SFR2, D 144A 3.282%, 7/17/37(1) | $1,680 | $1,732 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 4,362 | 4,365 | |
Angel Oak Mortgage Trust I LLC | |||
2018-3, A1 144A 3.649%, 9/25/48(1)(5) | 1,598 | 1,608 | |
2019-2, A1 144A 3.628%, 3/25/49(1)(5) | 2,382 | 2,410 | |
Angel Oak Mortgage Trust LLC | |||
2019-3, A1 144A 2.930%, 5/25/59(1)(5) | 3,114 | 3,129 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(5) | 4,900 | 4,913 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(5) | 11,924 | 11,993 | |
2021-2, A1 144A 0.985%, 4/25/66(1)(5) | 3,379 | 3,376 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(1)(5) | 22,505 | 22,533 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(5) | 7,600 | 7,737 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(5) | 7,368 | 7,493 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.648%, 11/20/34(5) | 134 | 144 | |
2004-D, 5A1 2.791%, 1/25/35(5) | 1,523 | 1,565 | |
2005-1, 1A1 5.500%, 2/25/35 | 187 | 193 | |
2006-2, 3A1 6.000%, 3/25/36 | 774 | 786 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(5) | 3,962 | 4,065 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 8,108 | 8,508 | |
2017-RT1, A1 144A 3.000%, 3/28/57(1)(5) | 1,471 | 1,492 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(5) | 5,910 | 6,137 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(5) | 5,822 | 6,109 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%, Cap N/A, Floor 0.722%) 144A 0.795%, 3/15/37(1)(5) | 5,490 | 5,456 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 2/15/29(1)(5) | 1,975 | 1,975 | |
BRAVO Residential Funding Trust | |||
2021-A, A1 144A 1.991%, 1/25/24(1)(5) | 8,747 | 8,749 | |
2019-NQM1, A1 144A 2.666%, 7/25/59(1)(5) | 5,161 | 5,207 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(5) | 4,047 | 4,107 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 10/15/36(1)(5) | 7,057 | 7,063 |
See Notes to Schedule of Investments
2
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
2020-BXLP, D (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 12/15/36(1)(5) | $8,797 | $8,797 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%, Cap N/A, Floor 1.020%) 144A 1.093%, 5/15/35(1)(5) | 19,910 | 19,928 | |
2019-OC11, B 144A 3.605%, 12/9/41(1) | 5,000 | 5,473 | |
2019-OC11, D 144A 4.075%, 12/9/41(1)(5) | 5,615 | 6,008 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 10,007 | 10,168 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%, Cap N/A, Floor 1.120%) 144A 1.193%, 6/15/34(1)(5) | 17,512 | 17,523 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 2.076%, 5/25/34(5) | 356 | 358 | |
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | 8,721 | 9,075 | |
Citigroup Mortgage Loan Trust 2013-A, A 144A 3.000%, 5/25/42(1)(5) | 3,877 | 3,887 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 5,295 | 5,613 | |
2014-A, A 144A 4.000%, 1/25/35(1)(5) | 2,499 | 2,630 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(5) | 1,464 | 1,506 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(5) | 1,434 | 1,448 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(5) | 252 | 255 | |
2020-EXP1, A1B 144A 1.804%, 5/25/60(1)(5) | 6,775 | 6,804 | |
2018-RP1, A1 144A 3.000%, 9/25/64(1)(5) | 8,402 | 8,662 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(5) | 10,087 | 10,464 | |
COLT Funding LLC | |||
2021-3R, A1 144A 1.051%, 12/25/64(1)(5) | 9,027 | 9,025 | |
2021-3R, A2 144A 1.257%, 12/25/64(1)(5) | 2,097 | 2,097 | |
COLT Mortgage Loan Trust Funding LLC | |||
2020-1, A1 144A 2.488%, 2/25/50(1)(5) | 6,397 | 6,437 | |
2020-1R, A1 144A 1.255%, 9/25/65(1)(5) | 2,563 | 2,572 | |
2020-2R, A1 144A 1.325%, 10/26/65(1)(5) | 3,571 | 3,578 | |
2021-2R, A1 144A 0.798%, 7/27/54(1)(5) | 6,013 | 6,010 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(1)(5) | 15,067 | 15,051 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(5) | 11,342 | 11,411 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 719 | 720 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-4, A 144A 1.174%, 12/15/52(1) | $16,576 | $16,402 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 5,719 | 6,009 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 21,112 | 21,447 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 7,638 | 7,565 | |
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 2.562%, 1/25/34(5) | 1,410 | 1,429 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.98%) 144A 1.053%, 5/15/36(1)(5) | 27,050 | 27,122 | |
Credit Suisse Mortgage Capital Trust | |||
2021-RPL3, A1 144A 2.000%, 1/25/60(1)(5) | 4,586 | 4,650 | |
2013-HYB1, A16 144A 2.924%, 4/25/43(1)(5) | 269 | 273 | |
2014-IVR2, A2 144A 3.813%, 4/25/44(1)(5) | 3,182 | 3,251 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(5) | 17,962 | 18,414 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(5) | 7,992 | 8,043 | |
2021-AFC1, A1 144A 0.830%, 3/25/56(1)(5) | 4,163 | 4,153 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(1)(5) | 14,767 | 14,727 | |
2021-NQM2, A1 144A 1.179%, 2/25/66(1)(5) | 10,117 | 10,119 | |
CSMC Trust 2017-RPL1, A1 144A 2.750%, 7/25/57(1)(5) | 6,579 | 6,834 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(5) | 3,911 | 3,973 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(5) | 6,301 | 6,377 | |
2020-2, A1 144A 1.178%, 10/25/65(1)(5) | 12,353 | 12,376 | |
2021-1, A2 144A 1.003%, 2/25/66(1)(5) | 2,702 | 2,695 | |
2021-2, A1 144A 0.931%, 6/25/66(1)(5) | 9,919 | 9,895 | |
Extended Stay America Trust 2021-ESH, C (1 month LIBOR + 1.700%, Cap N/A, Floor 1.700%) 144A 1.775%, 7/15/38(1)(5) | 3,120 | 3,120 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(1) | 7,020 | 7,032 | |
2021-SFR1, D 144A 2.189%, 8/17/28(1) | 18,405 | 18,405 | |
2020-SFR2, A 144A 1.266%, 10/19/37(1) | 6,680 | 6,669 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 21,440 | 21,306 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(5) | 3,691 | 3,738 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(5) | 2,795 | 2,836 |
See Notes to Schedule of Investments
3
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
2018-2, A41 144A 4.500%, 10/25/58(1)(5) | $732 | $735 | |
2019-2, A52 144A 3.500%, 6/25/59(1)(5) | 11,385 | 11,584 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(5) | 2,624 | 2,669 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(5) | 11,871 | 12,085 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(5) | 6,005 | 6,026 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(1)(5) | 5,545 | 5,617 | |
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 0.873%, 2/15/38(1)(5) | 5,700 | 5,707 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | 12,721 | 12,861 | |
GS Mortgage Securities Trust | |||
2020-TWN3, A (1 month LIBOR + 2.000%, Cap N/A, Floor 2.000%) 144A 2.073%, 11/15/37(1)(5) | 8,285 | 8,327 | |
2020-GC45, AS 3.173%, 2/13/53(5) | 4,075 | 4,383 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 22,020 | 22,186 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(1) | 6,803 | 6,752 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(1)(5) | 11,266 | 11,453 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(5) | 6,343 | 6,399 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.362%, 6/25/29(1)(5) | 1,771 | 1,796 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(5) | 2,830 | 2,890 | |
2014-5, B1 144A 2.910%, 10/25/29(1)(5) | 1,882 | 1,922 | |
2014-5, B2 144A 2.910%, 10/25/29(1)(5) | 886 | 911 | |
2006-A2, 4A1 2.472%, 8/25/34(5) | 360 | 377 | |
2005-A2, 4A1 2.144%, 4/25/35(5) | 291 | 291 | |
2006-A6, 3A3L 2.679%, 10/25/36(5) | 418 | 348 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(5) | 1,387 | 1,406 | |
2015-1, AM1 144A 2.119%, 12/25/44(1)(5) | 2,349 | 2,384 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(5) | 6,739 | 6,869 | |
2015-5, A2 144A 2.462%, 5/25/45(1)(5) | 3,004 | 3,107 | |
2016-SH2, M2 144A 3.708%, 12/25/45(1)(5) | 8,352 | 8,616 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(5) | 3,347 | 3,388 | |
2017-5, A1 144A 3.090%, 10/26/48(1)(5) | 12,591 | 12,920 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 2.554%, 6/25/33(5) | $209 | $216 | |
2004-CB1, 2A 5.000%, 6/25/34 | 631 | 648 | |
KKR Industrial Portfolio Trust | |||
2021-KDIP, C (1 month LIBOR + 1.000%, Cap N/A, Floor 1.000%) 144A 1.073%, 12/15/37(1)(5) | 2,235 | 2,234 | |
2021-KDIP, D (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.323%, 12/15/37(1)(5) | 5,000 | 4,998 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 0.873%, 5/15/36(1)(5) | 5,740 | 5,744 | |
LHOME Mortgage Trust | |||
2019-RTL1, A1 144A 4.580%, 10/25/23(1)(5) | 3,767 | 3,772 | |
2021-RTL1, A1 144A 2.090%, 9/25/26(1)(5) | 10,065 | 10,049 | |
Mello Warehouse Securitization Trust | |||
2021-1, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.206%, 2/25/55(1)(5) | 7,335 | 7,353 | |
2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.192%, 4/25/55(1)(5) | 10,595 | 10,608 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.497%, 4/25/55(1)(5) | 7,930 | 8,322 | |
2018-1A, A 144A 3.750%, 3/25/57(1)(5) | 10,128 | 10,555 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(5) | 12,465 | 12,849 | |
MFA Trust | |||
2021-NQM1, A1 144A 1.153%, 4/25/65(1)(5) | 5,745 | 5,736 | |
2020-NQM3, A1 144A 1.014%, 1/26/65(1)(5) | 5,794 | 5,798 | |
2021-INV1, A1 144A 0.852%, 1/25/56(1)(5) | 3,656 | 3,640 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(1)(5) | 1,983 | 2,087 | |
2021-NMR1, A1 144A 1.125%, 11/25/60(1)(5) | 8,286 | 8,318 | |
2019-1, M2 144A 3.500%, 10/25/69(1)(5) | 12,131 | 13,072 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C10, A4 4.217%, 7/15/46(5) | 2,075 | 2,189 | |
2013-C13, AS 4.266%, 11/15/46 | 1,735 | 1,844 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%, Cap N/A, Floor 0.700%) 144A 0.773%, 11/15/34(1)(5) | 11,154 | 11,158 | |
Morgan Stanley Mortgage Loan Trust 2004-2AR, 3A 2.118%, 2/25/34(5) | 477 | 503 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.377%, 6/25/44(1)(5) | 3,973 | 4,104 |
See Notes to Schedule of Investments
4
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
MSG III Securitization Trust 2021-1, D (1 month LIBOR + 1.300%, Cap N/A, Floor 1.300%) 144A 1.391%, 6/25/54(1)(5) | $3,000 | $3,000 | |
New Residential Mortgage Loan Trust | |||
2017-2A, A3 144A 4.000%, 3/25/57(1)(5) | 13,424 | 14,331 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(5) | 10,253 | 10,929 | |
2021-NQ2R, A1 144A 0.941%, 9/25/58(1)(5) | 10,599 | 10,599 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(5) | 5,352 | 5,652 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(5) | 489 | 519 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(5) | 4,582 | 4,883 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(5) | 4,917 | 5,213 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(5) | 2,788 | 2,944 | |
2016-2A, A1 144A 3.750%, 11/26/35(1)(5) | 6,401 | 6,778 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(5) | 3,179 | 3,399 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(5) | 4,115 | 4,369 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(5) | 11,495 | 12,311 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(5) | 7,860 | 8,290 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.142%, 5/25/55(1)(5) | 10,855 | 10,862 | |
NMLT Trust 2021-INV1, A1 144A 1.185%, 5/25/56(1)(5) | 8,192 | 8,169 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%, Cap 11.00%, Floor 1.725%) 1.817%, 3/25/35(5) | 340 | 341 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(5) | 2,722 | 2,811 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 0.742%, 6/25/57(1)(5) | 2,398 | 2,399 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(5) | 2,503 | 2,518 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(5) | 3,204 | 3,265 | |
2021-NQM1, A1 144A 1.072%, 2/25/66(1)(5) | 8,129 | 8,108 | |
Onslow Bay Mortgage Loan Trust 2021-NQM2, A1 144A 1.101%, 5/25/61(1)(5)(6) | 8,830 | 8,829 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(1)(5) | 13,222 | 13,281 | |
2020-2, A1 144A 3.671%, 8/25/25(1)(5) | 4,793 | 4,825 | |
2020-3, A1 144A 2.857%, 9/25/25(1)(5) | 14,541 | 14,618 | |
2020-3, A2 144A 5.071%, 9/25/25(1)(5) | 6,164 | 6,195 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-6, A1 144A 2.363%, 11/25/25(1)(5) | $7,779 | $7,797 | |
2021-2, A1 144A 2.115%, 3/25/26(1)(5) | 3,800 | 3,807 | |
2021-3, A1 144A 1.867%, 4/25/26(1)(5) | 8,910 | 8,954 | |
Pretium Mortgage Credit Partners I LLC | |||
2020-NPL3, A1 144A 3.105%, 6/27/60(1)(5) | 15,288 | 15,437 | |
2021-NPL1, A1 144A 2.240%, 9/27/60(1)(5) | 9,597 | 9,595 | |
Progress Residential Trust | |||
2021-SFR3, D 144A 2.288%, 5/17/26(1) | 11,130 | 11,175 | |
2020-SFR2, E 144A 5.115%, 6/17/37(1) | 3,250 | 3,436 | |
2021-SFR2, D 144A 2.197%, 4/19/38(1) | 11,495 | 11,475 | |
2021-SFR6, C 144A 1.855%, 7/17/38(1) | 3,770 | 3,771 | |
2021-SFR5, D 144A 2.109%, 7/17/38(1) | 2,500 | 2,480 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 9,350 | 9,353 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 16,398 | 16,693 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 10,340 | 10,477 | |
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 3,655 | 3,639 | |
2021-SFR1, C 144A 1.555%, 4/17/38(1) | 1,430 | 1,410 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(5) | 3,517 | 3,557 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%, Cap N/A, Floor 1.150%) 144A 1.242%, 2/25/55(1)(5) | 11,350 | 11,376 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(5) | 8,385 | 8,511 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(5) | 10,240 | 10,263 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 932 | 920 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(5) | 6,000 | 6,085 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(5) | 4,510 | 4,579 | |
SBA Tower Trust 144A 1.631%, 11/15/26(1) | 9,540 | 9,538 | |
Seasoned Credit Risk Transfer Trust 2016-1, M1 144A 3.000%, 9/25/55(1)(5) | 2,434 | 2,436 | |
Sequoia Mortgage Trust 2013-8, B1 3.506%, 6/25/43(5) | 2,803 | 2,856 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(1)(5) | 9,252 | 9,292 | |
2021-1, A1 144A 1.160%, 7/25/61(1)(5) | 10,931 | 10,948 | |
2021-1, A3 144A 1.560%, 7/25/61(1)(5)(6) | 5,615 | 5,615 |
See Notes to Schedule of Investments
5
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(5) | $1,508 | $1,527 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(5) | 3,128 | 3,173 | |
STAR Trust 2021-1, A1 144A 1.219%, 5/25/65(1)(5) | 13,603 | 13,639 | |
Starvest Emerging Markets CBO I | |||
2021-3, A2 144A 1.395%, 6/25/56(1)(5) | 4,770 | 4,770 | |
2021-3, A3 144A 1.518%, 6/25/56(1)(5) | 3,965 | 3,965 | |
Starwood Mortgage Residential Trust | |||
2020-1, A1 144A 2.275%, 2/25/50(1)(5) | 8,249 | 8,341 | |
2020-2, A1 144A 2.718%, 4/25/60(1)(5) | 8,550 | 8,655 | |
2020-3, A1 144A 1.486%, 4/25/65(1)(5) | 7,130 | 7,192 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 2.576%, 10/25/34(5) | 2,747 | 2,838 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2003-34A, 6A 2.464%, 11/25/33(5) | 609 | 604 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(1)(5) | 1,227 | 1,221 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.860%, 7/25/56(1)(5) | 8,095 | 8,827 | |
2017-2, A2 144A 3.250%, 4/25/57(1)(5) | 3,990 | 4,138 | |
2018-6, A1A 144A 3.750%, 3/25/58(1)(5) | 8,497 | 8,776 | |
2018-SJ1, M2 144A 4.750%, 10/25/58(1)(5) | 3,000 | 3,038 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(5) | 3,901 | 3,933 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(5) | 3,665 | 3,872 | |
2018-6, A1B 144A 3.750%, 3/25/58(1)(5) | 1,705 | 1,818 | |
2020-MH1, A2 144A 2.500%, 2/25/60(1)(5) | 14,281 | 14,633 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(5) | 925 | 989 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(5) | 8,448 | 8,678 | |
Towd Point Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 0.992%, 4/25/48(1)(5) | 8,782 | 8,797 | |
2021-HE1, M1 144A 1.500%, 2/25/63(1)(5) | 4,496 | 4,515 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 10,393 | 10,427 | |
2020-SFR2, D 144A 2.281%, 11/17/39(1) | 5,243 | 5,208 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 7,960 | 8,021 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.754%, 5/10/45(1)(5) | 7,206 | 6,904 |
Par Value | Value | ||
Non-Agency—continued | |||
VCAT LLC | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(5) | $3,997 | $4,016 | |
2021-NPL1, A1 144A 2.289%, 12/26/50(1)(5) | 10,969 | 10,998 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(1)(5) | 1,600 | 1,599 | |
2021-NPL2, A1 144A 2.115%, 3/27/51(1)(5) | 11,593 | 11,597 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(1)(5) | 11,208 | 11,208 | |
Velocity Commercial Capital Loan Trust 2020-1, AFX 144A 2.610%, 2/25/50(1)(5) | 10,143 | 10,328 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(1)(5) | 5,787 | 5,789 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(5) | 13,875 | 13,876 | |
Vericrest Opportunity Loan Trust XCIV LLC 2021-NPL3, A1 144A 2.240%, 2/27/51(1)(5) | 6,681 | 6,688 | |
Vericrest Opportunity Loan Trust XCV LLC 2021-NPL4, A1 144A 2.240%, 3/27/51(1)(5) | 6,922 | 6,922 | |
Vericrest Opportunity Loan Trust XCVIII LLC 2021-NPL7, A1 144A 2.116%, 4/25/51(1)(5) | 7,696 | 7,699 | |
Verus Securitization Trust | |||
2019-4, M1 144A 3.207%, 11/25/59(1)(5) | 6,070 | 6,185 | |
2021-R3, A1 144A 1.020%, 4/25/64(1)(5) | 13,788 | 13,773 | |
2021-2, A1 144A 1.031%, 2/25/66(1)(5) | 15,695 | 15,700 | |
2021-3, A1 144A 1.046%, 6/25/66(1)(5) | 16,247 | 16,246 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(5) | 10,957 | 11,140 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(5) | 8,202 | 8,309 | |
2020-4, A1 144A 1.502%, 5/25/65(1)(5) | 18,392 | 18,498 | |
2021-1, A1 144A 0.815%, 1/25/66(1)(5) | 3,146 | 3,143 | |
2021-R1, A1 144A 0.820%, 10/25/63(1)(5) | 13,112 | 13,101 | |
2021-R2, A1 144A 0.918%, 2/25/64(1)(5) | 8,841 | 8,851 | |
Visio Trust 2021-1R, A1 144A 1.280%, 5/25/56(1) | 14,884 | 14,856 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 6,689 | 7,062 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-U, A1 2.898%, 10/25/34(5) | 207 | 205 |
See Notes to Schedule of Investments
6
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Non-Agency—continued | |||
2020-4, A1 144A 3.000%, 7/25/50(1)(5) | $4,389 | $4,474 | |
1,704,822 | |||
Total Mortgage-Backed Securities (Identified Cost $1,746,454) | 1,761,665 | ||
Asset-Backed Securities—25.0% | |||
Automobiles—13.1% | |||
ACC Trust | |||
2019-1, B 144A 4.470%, 10/20/22(1) | 3,174 | 3,201 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 771 | 775 | |
2019-2, B 144A 3.630%, 8/21/23(1) | 8,030 | 8,156 | |
2020-A, A 144A 6.000%, 3/20/23(1) | 5,554 | 5,698 | |
2021-1, C 144A 2.080%, 12/20/24(1) | 1,465 | 1,463 | |
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(1) | 382 | 383 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 5,029 | 5,083 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 9,524 | 9,627 | |
2020-4, D 144A 1.770%, 12/14/26(1) | 13,725 | 13,929 | |
2021-1, C 144A 0.830%, 3/15/27(1) | 11,335 | 11,341 | |
2021-2, C 144A 0.970%, 7/13/27(1) | 9,785 | 9,780 | |
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | 198 | 198 | |
2018-1, D 3.820%, 3/18/24 | 8,090 | 8,409 | |
2019-1, C 3.360%, 2/18/25 | 8,800 | 9,142 | |
Arivo Acceptance Auto Loan Receivables Trust 2021-1A, A 144A 1.190%, 1/15/27(1) | 14,688 | 14,715 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(1) | 3,180 | 3,271 | |
2019-1, D 144A 4.030%, 7/15/26(1) | 1,615 | 1,648 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 2,260 | 2,322 | |
(AESOP) 2019-2A, D 144A 3.040%, 9/22/25(1) | 7,205 | 7,172 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 8,205 | 8,585 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 8,025 | 8,363 | |
(AESOP) 2020-2A, A 144A 2.020%, 2/20/27(1) | 9,980 | 10,277 | |
(AESOP) 2021-1A, A 144A 1.380%, 8/20/27(1) | 1,870 | 1,867 |
Par Value | Value | ||
Automobiles—continued | |||
(AESOP) 2021-1A, D 144A 3.710%, 8/20/27(1) | $6,500 | $6,483 | |
California Republic Auto Receivables Trust 2017-1, B 2.910%, 12/15/22 | 3,325 | 3,328 | |
Capital Auto Receivables Asset Trust | |||
2017-1, C 144A 2.700%, 9/20/22(1) | 2,460 | 2,462 | |
2017-1, D 144A 3.150%, 2/20/25(1) | 1,980 | 1,983 | |
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(1) | 4,140 | 4,238 | |
CarNow Auto Receivables Trust | |||
2020-1A, B 144A 2.710%, 7/17/23(1) | 3,320 | 3,350 | |
2021-1A, C 144A 2.160%, 2/17/26(1) | 3,100 | 3,112 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 6,620 | 6,848 | |
2019-1A, E 144A 5.640%, 1/15/26(1) | 6,400 | 6,772 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 8,750 | 9,041 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 6,990 | 7,137 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 4,340 | 4,487 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 11,730 | 12,227 | |
2020-P1, C 1.320%, 11/9/26 | 2,250 | 2,245 | |
2021-N1, C 1.300%, 1/10/28 | 8,500 | 8,573 | |
2021-N2, C 1.070%, 3/10/28 | 6,055 | 6,070 | |
CIG Auto Receivables Trust | |||
2020-1A, D 144A 2.350%, 1/12/26(1) | 7,910 | 8,023 | |
2020-1A, E 144A 4.430%, 2/12/27(1) | 2,415 | 2,480 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 1,440 | 1,473 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 4,200 | 4,268 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 3,995 | 4,059 | |
2021-A, B 144A 0.610%, 2/18/25(1) | 5,110 | 5,116 | |
2021-A, C 144A 0.830%, 9/15/26(1) | 6,500 | 6,495 | |
Credit Acceptance Auto Loan Trust | |||
2018-2A, B 144A 3.940%, 7/15/27(1) | 1,214 | 1,216 | |
2019-1A, A 144A 3.330%, 2/15/28(1) | 1,679 | 1,692 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 10,550 | 10,924 | |
2020-1A, B 144A 2.390%, 4/16/29(1) | 4,650 | 4,776 | |
2020-3A, B 144A 1.770%, 12/17/29(1) | 11,195 | 11,367 |
See Notes to Schedule of Investments
7
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Automobiles—continued | |||
2021-2A, A 144A 0.960%, 2/15/30(1) | $7,715 | $7,720 | |
Credito Real USA Auto Receivables Trust 2021-1A, A 144A 1.350%, 2/16/27(1) | 5,185 | 5,187 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 13,505 | 13,844 | |
2019-3, C 2.900%, 8/15/25 | 8,240 | 8,394 | |
2019-4, C 2.510%, 11/17/25 | 6,410 | 6,502 | |
DT Auto Owner Trust | |||
2019-1A, C 144A 3.610%, 11/15/24(1) | 2,725 | 2,748 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 598 | 599 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 3,655 | 3,704 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 13,370 | 13,624 | |
2021-1A, D 144A 1.160%, 11/16/26(1) | 3,930 | 3,915 | |
2021-1A, E 144A 2.380%, 1/18/28(1) | 2,000 | 1,990 | |
2021-2A, C 144A 1.100%, 2/16/27(1) | 5,985 | 6,004 | |
2021-2A, D 144A 1.500%, 2/16/27(1) | 4,350 | 4,372 | |
Exeter Automobile Receivables Trust | |||
2017-3A, D 144A 5.280%, 10/15/24(1) | 2,430 | 2,507 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 775 | 777 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 13,444 | 13,868 | |
2019-1A, D 144A 4.130%, 12/16/24(1) | 14,555 | 15,044 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 5,813 | 5,876 | |
2019-2A, E 144A 4.680%, 5/15/26(1) | 16,905 | 17,869 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 4,580 | 4,638 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 5,020 | 5,086 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 8,775 | 9,017 | |
2021-1A, C 0.740%, 1/15/26 | 9,100 | 9,094 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 7,689 | 7,751 | |
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | 2,057 | 2,069 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 4,690 | 4,803 | |
2021-1A, C 144A 1.170%, 3/15/27(1) | 3,000 | 2,998 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(1) | 2,360 | 2,438 |
Par Value | Value | ||
Automobiles—continued | |||
2020-1, C 144A 2.240%, 1/15/26(1) | $13,865 | $14,248 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 3,490 | 3,554 | |
2020-4, C 144A 1.280%, 2/16/27(1) | 5,284 | 5,310 | |
2021-1, C 144A 0.910%, 3/15/27(1) | 2,930 | 2,907 | |
Foursight Capital Automobile Receivables Trust | |||
2018-1, D 144A 4.190%, 11/15/23(1) | 1,630 | 1,658 | |
2018-2, D 144A 4.330%, 7/15/24(1) | 4,650 | 4,808 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, A 144A 3.060%, 4/17/23(1) | 47 | 47 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 12,130 | 12,298 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 3,495 | 3,556 | |
2019-3A, D 144A 3.840%, 5/15/26(1) | 3,000 | 3,095 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 9,835 | 10,036 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 14,775 | 15,307 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 3,500 | 3,648 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 2,560 | 2,655 | |
2020-3A, D 144A 2.270%, 5/15/26(1) | 11,735 | 12,024 | |
2020-3A, E 144A 4.310%, 7/15/27(1) | 18,060 | 18,944 | |
2020-4A, C 144A 1.140%, 11/17/25(1) | 6,955 | 6,987 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 14 | 14 | |
2018-1A, B 144A 3.520%, 8/15/23(1) | 8,015 | 8,081 | |
2018-3A, B 144A 3.780%, 8/15/23(1) | 992 | 999 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 4,740 | 4,877 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 2,188 | 2,197 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 864 | 867 | |
2018-1A, A 144A 3.290%, 2/25/24(1) | 615 | 617 | |
Hertz Vehicle Financing III LP 2021-2A, A 144A 1.680%, 12/27/27(1) | 20,130 | 20,177 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(1) | 3,955 | 3,964 | |
Hyundai Auto Receivables Trust 2017-B, B 2.230%, 2/15/23 | 3,560 | 3,569 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 11,840 | 11,985 |
See Notes to Schedule of Investments
8
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Automobiles—continued | |||
Prestige Auto Receivables Trust | |||
2017-1A, C 144A 2.810%, 1/17/23(1) | $1,739 | $1,742 | |
2018-1A, D 144A 4.140%, 10/15/24(1) | 3,785 | 3,901 | |
2019-1A, D 144A 3.010%, 8/15/25(1) | 7,060 | 7,236 | |
2020-1A, C 144A 1.310%, 11/16/26(1) | 10,295 | 10,386 | |
Santander Drive Auto Receivables Trust | |||
2018-2, C 3.350%, 7/17/23 | 897 | 898 | |
2020-4, C 1.010%, 1/15/26 | 7,500 | 7,543 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 10,125 | 10,335 | |
TCF Auto Receivables Owner Trust 2016-PT1A, C 144A 3.210%, 1/17/23(1) | 4,492 | 4,497 | |
Tesla Auto Lease Trust | |||
2018-B, B 144A 4.120%, 10/20/21(1) | 1,495 | 1,498 | |
2018-B, C 144A 4.360%, 10/20/21(1) | 3,250 | 3,260 | |
2020-A, C 144A 1.680%, 2/20/24(1) | 3,045 | 3,089 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | 10,470 | 10,646 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 13,576 | 13,663 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 4,605 | 4,662 | |
2020-1, C 144A 2.150%, 2/10/25(1) | 3,990 | 4,029 | |
2021-1, C 144A 0.840%, 6/10/26(1) | 6,280 | 6,275 | |
2021-1, D 144A 1.140%, 6/10/26(1) | 10,160 | 10,166 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 5,018 | 5,053 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(1) | 16,200 | 16,488 | |
2020-1A, C 144A 5.940%, 8/15/24(1) | 3,338 | 3,493 | |
Veros Auto Receivables Trust 2021-1, B 144A 1.490%, 10/15/26(1) | 4,235 | 4,226 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 17,745 | 17,886 | |
Westlake Automobile Receivables Trust | |||
2018-2A, D 144A 4.000%, 1/16/24(1) | 6,443 | 6,499 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 306 | 307 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 10,900 | 11,083 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 10,355 | 10,551 | |
2020-3A, C 144A 1.240%, 11/17/25(1) | 11,365 | 11,470 | |
847,399 | |||
Par Value | Value | ||
Consumer Loans—0.6% | |||
CFMT Issuer Trust 2021-GRN1, A 144A 1.100%, 3/20/41(1) | $2,961 | $2,957 | |
Lendmark Funding Trust 2019-2A, A 144A 2.780%, 4/20/28(1) | 8,000 | 8,218 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 2,233 | 2,249 | |
Marlette Funding Trust | |||
2019-4A, A 144A 2.390%, 12/17/29(1) | 1,628 | 1,637 | |
2021-1A, B 144A 1.000%, 6/16/31(1) | 1,460 | 1,462 | |
Oportun Funding XIV LLC 2021-A, A 144A 1.210%, 3/8/28(1) | 9,015 | 9,041 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 283 | 283 | |
Regional Management Issuance Trust 2021-1, A 144A 1.680%, 3/17/31(1) | 2,610 | 2,607 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 6,835 | 6,957 | |
Upstart Securitization Trust | |||
2019-3, A 144A 2.684%, 1/21/30(1) | 647 | 651 | |
2020-3, A 144A 1.702%, 11/20/30(1) | 4,968 | 4,997 | |
41,059 | |||
Credit Card—0.8% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 25,795 | 26,076 | |
Genesis Sales Finance Master Trust | |||
2020-AA, A 144A 1.650%, 9/22/25(1) | 10,425 | 10,497 | |
2021-AA, A 144A 1.200%, 12/21/26(1) | 9,020 | 8,996 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(1) | 5,470 | 5,487 | |
51,056 | |||
Equipment—0.7% | |||
Amur Equipment Finance Receivables VIII LLC 2020-1A, C 144A 3.060%, 4/20/26(1) | 2,122 | 2,197 | |
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 8,410 | 8,491 | |
BCC Funding XVII LLC 2020-1, B 144A 1.460%, 9/22/25(1) | 4,575 | 4,583 | |
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | 9,200 | 9,270 | |
NMEF Funding LLC 2019-A, B 144A 3.060%, 8/17/26(1) | 5,620 | 5,700 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 3,635 | 3,671 | |
2020-1, A 144A 1.370%, 11/17/25(1) | 10,986 | 11,039 | |
44,951 | |||
See Notes to Schedule of Investments
9
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Other—9.5% | |||
Amur Equipment Finance Receivables IX LLC | |||
2021-1A, B 144A 1.380%, 2/22/27(1) | $1,830 | $1,828 | |
2021-1A, C 144A 1.750%, 6/21/27(1) | 4,945 | 4,940 | |
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 7 | 7 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 4,131 | 4,243 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 8,023 | 8,242 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 22,210 | 23,420 | |
2020-AA, D 144A 7.150%, 7/17/46(1) | 7,435 | 7,749 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 14,818 | 15,483 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(1) | 3,385 | 3,437 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(1) | 3,900 | 3,939 | |
BCC Funding XVII LLC 2020-1, D 144A 4.890%, 9/22/25(1) | 3,554 | 3,559 | |
BHG Securitization Trust 2021-A, A 144A 1.420%, 11/17/33(1) | 9,437 | 9,433 | |
BRE Grand Islander Timeshare Issuer LLC 2017-1A, A 144A 2.940%, 5/25/29(1) | 3,279 | 3,359 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(1) | 8,042 | 8,271 | |
2020-1A, A 144A 2.981%, 11/15/35(1) | 4,394 | 4,474 | |
2021-1A, A 144A 2.162%, 4/15/36(1) | 4,659 | 4,695 | |
BXG Receivables Note Trust | |||
2013-A, A 144A 3.010%, 12/4/28(1) | 1,060 | 1,061 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 1,272 | 1,288 | |
2017-A, A 144A 2.950%, 10/4/32(1) | 5,586 | 5,705 | |
2020-A, B 144A 2.490%, 2/28/36(1) | 5,723 | 5,752 | |
CCG Receivables Trust | |||
2019-2, B 144A 2.550%, 3/15/27(1) | 8,620 | 8,856 | |
2021-1, C 144A 0.840%, 6/14/27(1) | 1,415 | 1,409 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(1) | 7,018 | 7,075 | |
Consumer Loan Underlying Bond CLUB Credit Trust | |||
2019-P2, A 144A 2.470%, 10/15/26(1) | 441 | 442 | |
2019-P2, B 144A 2.830%, 10/15/26(1) | 5,250 | 5,294 | |
2020-P1, B 144A 2.920%, 3/15/28(1) | 4,000 | 4,058 |
Par Value | Value | ||
Other—continued | |||
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | $2,477 | $2,507 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(1) | 4,703 | 4,724 | |
2020-1, B 144A 1.920%, 11/15/27(1) | 1,525 | 1,536 | |
2020-1, D 144A 7.210%, 2/15/28(1) | 6,258 | 6,299 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 2,449 | 2,489 | |
2018-1, B 144A 4.190%, 1/21/31(1) | 2,284 | 2,379 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 4,137 | 4,273 | |
2021-1A, A 144A 1.510%, 11/21/33(1) | 3,418 | 3,431 | |
2021-1A, B 144A 2.050%, 11/21/33(1) | 1,532 | 1,546 | |
Drug Royalty III LP 1 2017-1A, A1 (3 month LIBOR + 2.500%, Cap N/A, Floor 2.500%) 144A 2.741%, 4/15/27(1)(5) | 188 | 188 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(1) | 11,870 | 11,914 | |
Foundation Finance Trust | |||
2016-1A, A 144A 3.960%, 6/15/35(1) | 100 | 101 | |
2017-1A, A 144A 3.300%, 7/15/33(1) | 2,472 | 2,508 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 3,182 | 3,286 | |
2021-1A, A 144A 1.270%, 5/15/41(1) | 17,698 | 17,720 | |
FREED ABS Trust | |||
2018-2, B 144A 4.610%, 10/20/25(1) | 6,662 | 6,699 | |
2019-1, B 144A 3.870%, 6/18/26(1) | 1,125 | 1,133 | |
2019-2, B 144A 3.190%, 11/18/26(1) | 7,320 | 7,405 | |
GCI Funding I LLC 2021-1, A 144A 2.380%, 6/18/46(1) | 5,390 | 5,396 | |
Global SC Finance VII Srl 2020-1A, A 144A 2.170%, 10/17/40(1) | 9,213 | 9,319 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 859 | 870 | |
GoldentTree Loan Management US CLO 1 Ltd. 2021-9A, A (3 month LIBOR + 1.070%, Cap N/A, Floor 1.070%) 144A 1.195%, 1/20/33(1)(5) | 18,315 | 18,304 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 17,378 | 18,389 | |
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | 1,840 | 1,884 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 3,431 | 3,608 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 3,169 | 3,293 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 20,230 | 21,665 |
See Notes to Schedule of Investments
10
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Other—continued | |||
Lendmark Funding Trust | |||
2018-2A, A 144A 4.230%, 4/20/27(1) | $8,445 | $8,535 | |
2019-1A, A 144A 3.000%, 12/20/27(1) | 8,835 | 9,031 | |
2021-1A, A 144A 1.900%, 11/20/31(1) | 7,815 | 7,885 | |
MAPS Trust 2021-1A, A 144A 2.521%, 6/15/46(1) | 12,170 | 12,200 | |
Mariner Finance Issuance Trust | |||
2019-AA, A 144A 2.960%, 7/20/32(1) | 7,255 | 7,437 | |
2020-AA, A 144A 2.190%, 8/21/34(1) | 1,954 | 1,987 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 665 | 667 | |
MVW LLC 2021-1WA, B 144A 1.440%, 1/22/41(1) | 2,278 | 2,275 | |
MVW Owner Trust | |||
2016-1A, A 144A 2.250%, 12/20/33(1) | 1,101 | 1,112 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 3,783 | 3,887 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(1) | 9,145 | 9,350 | |
Oasis LLC | |||
2020-1A, A 144A 3.820%, 1/15/32(1) | 3,176 | 3,190 | |
2020-2A, A 144A 4.262%, 5/15/32(1) | 1,582 | 1,595 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(1) | 4,161 | 4,170 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 4,097 | 4,133 | |
2019-1A, B 144A 3.770%, 7/22/24(1) | 5,000 | 5,141 | |
2019-1A, C 144A 4.740%, 6/20/25(1) | 17,822 | 18,630 | |
2020-1A, A 144A 1.710%, 2/20/25(1) | 11,817 | 11,919 | |
2021-1A, A 144A 0.930%, 3/22/27(1) | 10,914 | 10,920 | |
2021-1A, B 144A 1.530%, 4/20/27(1) | 3,700 | 3,707 | |
OnDeck Asset Securitization Trust III LLC 2021-1A, A 144A 1.590%, 5/17/27(1) | 7,000 | 7,040 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 15,778 | 15,828 | |
Oportun Funding XIV LLC 2021-A, B 144A 1.760%, 3/8/28(1) | 6,795 | 6,768 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 1,051 | 1,057 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 1,974 | 2,032 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 7,075 | 7,301 | |
Palmer Square Loan Funding Ltd. 2021-1A, A1 (3 month LIBOR + 0.900%, Cap 11.00%, Floor 0.900%) 144A 1.055%, 4/20/29(1)(5) | 3,360 | 3,357 |
Par Value | Value | ||
Other—continued | |||
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | $13,912 | $14,512 | |
Purchasing Power Funding LLC | |||
2021-A, A 144A 1.570%, 10/15/25(1) | 12,425 | 12,423 | |
2021-A, B 144A 1.920%, 10/15/25(1) | 5,465 | 5,463 | |
Sierra Timeshare Receivables Funding LLC | |||
2017-1A, A 144A 2.910%, 3/20/34(1) | 1,464 | 1,481 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 1,909 | 1,972 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 1,784 | 1,846 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 6,223 | 6,369 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 4,903 | 4,982 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 174 | 174 | |
2020-A, A 144A 2.620%, 12/15/26(1) | 956 | 959 | |
SoFi Consumer Loan Program LLC 2017-5, A2 144A 2.780%, 9/25/26(1) | 570 | 571 | |
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(5) | 1,515 | 1,542 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 15,968 | 16,612 | |
TRP LLC 2021-1,A 144A 2.070%, 6/19/51(1) | 5,100 | 5,072 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1) | 1,642 | 1,686 | |
Upstart Pass-Through Trust Series 2021-ST2, A 144A 2.500%, 4/20/27(1) | 6,635 | 6,709 | |
Upstart Securitization Trust | |||
2019-2, A 144A 2.897%, 9/20/29(1) | 490 | 491 | |
2019-2, B 144A 3.734%, 9/20/29(1) | 7,487 | 7,593 | |
2021-1, A 144A 0.870%, 3/20/31(1) | 1,231 | 1,233 | |
2021-2, B 144A 1.750%, 6/20/31(1) | 7,140 | 7,140 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 1,488 | 1,492 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 3,120 | 3,189 | |
Welk Resorts LLC 2019-AA, B 144A 2.990%, 6/15/38(1) | 4,298 | 4,407 | |
Westgate Resorts LLC | |||
2018-1A, A 144A 3.380%, 12/20/31(1) | 2,013 | 2,039 | |
2020-1A, A 144A 2.713%, 3/20/34(1) | 3,149 | 3,216 | |
ZAXBY’S Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(1) | 16,595 | 16,887 | |
612,099 | |||
See Notes to Schedule of Investments
11
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Student Loan—0.3% | |||
Commonbond Student Loan Trust | |||
2019-AGS, A1 144A 2.540%, 1/25/47(1) | $6,419 | $6,580 | |
2020-1, A 144A 1.690%, 10/25/51(1) | 4,210 | 4,206 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 735 | 738 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 1,592 | 1,615 | |
Navient Private Education Refi Loan Trust 2021-A, A 144A 0.840%, 5/15/69(1) | 4,849 | 4,840 | |
17,979 | |||
Total Asset-Backed Securities (Identified Cost $1,590,602) | 1,614,543 | ||
Corporate Bonds and Notes—26.2% | |||
Communication Services—2.6% | |||
Altice France S.A. | |||
144A 7.375%, 5/1/26(1) | 5,065 | 5,267 | |
144A 5.125%, 7/15/29(1) | 5,660 | 5,688 | |
AT&T, Inc. (3 month LIBOR + 0.890%) 1.044%, 2/15/23(5) | 8,918 | 9,020 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.750%, 4/15/28(1) | 185 | 194 | |
Clear Channel Worldwide Holdings, Inc. 144A 5.125%, 8/15/27(1) | 3,265 | 3,347 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 7,330 | 7,885 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 4,545 | 2,943 | |
144A 6.625%, 8/15/27(1)(2) | 4,370 | 2,146 | |
DISH DBS Corp. | |||
5.000%, 3/15/23 | 6,445 | 6,746 | |
7.750%, 7/1/26 | 5,230 | 5,923 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 213 | 228 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 5,835 | 6,056 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 3,005 | 3,129 | |
144A 4.750%, 10/15/27(1) | 9,355 | 9,694 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 1,425 | 1,475 | |
144A 6.500%, 9/15/28(1) | 4,645 | 4,880 | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 3,565 | 3,659 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(1) | 1,247 | 1,254 | |
144A 4.738%, 3/20/25(1) | 7,697 | 8,258 | |
Telesat Canada | |||
144A 5.625%, 12/6/26(1) | 550 | 552 | |
144A 6.500%, 10/15/27(1) | 9,635 | 9,177 | |
T-Mobile USA, Inc. | |||
1.500%, 2/15/26 | 6,072 | 6,119 | |
2.050%, 2/15/28 | 5,892 | 5,982 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 5,505 | 5,923 |
Par Value | Value | ||
Communication Services—continued | |||
Twitter, Inc. 144A 3.875%, 12/15/27(1) | $8,270 | $8,787 | |
Univision Communications, Inc. 144A 6.625%, 6/1/27(1) | 5,330 | 5,775 | |
Verizon Communications, Inc. | |||
1.450%, 3/20/26 | 10,712 | 10,803 | |
2.100%, 3/22/28 | 8,062 | 8,231 | |
(3 month LIBOR + 1.100%) 1.256%, 5/15/25(5) | 16,061 | 16,564 | |
VTR Comunicaciones SpA 144A 5.125%, 1/15/28(1) | 3,100 | 3,235 | |
168,940 | |||
Consumer Discretionary—1.8% | |||
Adtalem Global Education, Inc. 144A 5.500%, 3/1/28(1) | 6,060 | 6,154 | |
American Axle & Manufacturing, Inc. | |||
6.250%, 4/1/25 | 6,440 | 6,652 | |
6.500%, 4/1/27(2) | 2,965 | 3,143 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 3,465 | 3,673 | |
Carnival Corp. 144A 7.625%, 3/1/26(1) | 555 | 603 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(1) | 2,870 | 2,866 | |
Ford Motor Co. | |||
8.500%, 4/21/23 | 11,400 | 12,722 | |
9.000%, 4/22/25 | 1,137 | 1,402 | |
Goodyear Tire & Rubber Co. (The) 144A 5.000%, 7/15/29(1) | 1,350 | 1,414 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 11,440 | 12,112 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 4,780 | 4,888 | |
International Game Technology plc | |||
144A 4.125%, 4/15/26(1) | 1,000 | 1,041 | |
144A 5.250%, 1/15/29(1) | 840 | 901 | |
LCM Investments Holdings II LLC 144A 4.875%, 5/1/29(1) | 290 | 297 | |
Legends Hospitality Holding Co. LLC 144A 5.000%, 2/1/26(1) | 6,195 | 6,458 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 5,890 | 6,145 | |
Magic Mergeco, Inc. 144A 5.250%, 5/1/28(1) | 745 | 764 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 6,230 | 6,384 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 6,370 | 7,087 | |
144A 4.625%, 6/15/25(1) | 1,305 | 1,394 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 6,680 | 6,997 | |
Raptor Acquisition Corp. 144A 4.875%, 11/1/26(1) | 470 | 477 | |
Royal Caribbean Cruises Ltd. | |||
144A 9.125%, 6/15/23(1) | 3,385 | 3,715 | |
144A 4.250%, 7/1/26(1) | 340 | 340 | |
144A 5.500%, 4/1/28(1) | 295 | 309 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 7,150 | 7,382 | |
144A 8.250%, 3/15/26(1) | 5,935 | 6,365 |
See Notes to Schedule of Investments
12
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Consumer Discretionary—continued | |||
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | $2,885 | $2,986 | |
Wynn Macau Ltd. 144A 5.500%, 1/15/26(1) | 3,000 | 3,144 | |
117,815 | |||
Consumer Staples—0.9% | |||
Albertsons Cos., Inc. | |||
5.750%, 3/15/25 | 1,026 | 1,049 | |
144A 3.250%, 3/15/26(1) | 15,065 | 15,280 | |
144A 4.625%, 1/15/27(1) | 2,830 | 2,960 | |
Altria Group, Inc. 2.350%, 5/6/25 | 4,959 | 5,185 | |
BAT Capital Corp. | |||
4.700%, 4/2/27 | 11,000 | 12,430 | |
2.259%, 3/25/28 | 5,870 | 5,826 | |
HLF Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(1) | 2,980 | 3,002 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(1) | 3,120 | 3,221 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 6,175 | 6,291 | |
55,244 | |||
Energy—3.9% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 9,060 | 9,543 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(1) | 5,910 | 6,219 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 5,720 | 6,292 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 12,645 | 14,134 | |
BP Capital Markets plc 4.875% (7) | 8,705 | 9,558 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 4,327 | 4,266 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 7,350 | 7,626 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(1) | 9,555 | 10,081 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(1) | 3,050 | 3,111 | |
CITGO Petroleum Corp. 144A 7.000%, 6/15/25(1) | 8,530 | 8,889 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(1) | 5,855 | 6,060 | |
144A 5.000%, 5/1/29(1) | 260 | 273 | |
Energy Transfer LP 4.200%, 4/15/27 | 16,025 | 17,698 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 5,385 | 5,856 | |
144A 6.500%, 7/1/27(1) | 2,620 | 2,921 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(1) | 4,740 | 4,953 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/24/25(1) | 3,000 | 3,360 | |
KazMunayGas National Co., JSC 144A 4.750%, 4/19/27(1) | 3,400 | 3,878 | |
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(1) | 9,880 | 10,884 |
Par Value | Value | ||
Energy—continued | |||
Lundin Energy Finance B.V. 144A 2.000%, 7/15/26(1) | $9,925 | $9,941 | |
Midwest Connector Capital Co. LLC 144A 3.625%, 4/1/22(1) | 6,145 | 6,249 | |
Occidental Petroleum Corp. | |||
5.875%, 9/1/25 | 6,480 | 7,209 | |
5.500%, 12/1/25 | 3,620 | 4,000 | |
Pertamina Persero PT 144A 4.300%, 5/20/23(1) | 6,000 | 6,375 | |
Petrobras Global Finance B.V. | |||
7.375%, 1/17/27 | 4,360 | 5,374 | |
5.999%, 1/27/28 | 5,125 | 5,881 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 9,545 | 406 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 18,695 | 19,508 | |
6.500%, 3/13/27 | 20,845 | 22,002 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 11,580 | 11,878 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 5,555 | 5,834 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 2,867 | 2,788 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 655 | 700 | |
USA Compression Partners LP 6.875%, 4/1/26 | 6,910 | 7,238 | |
250,985 | |||
Financials—7.0% | |||
Ares Capital Corp. | |||
3.250%, 7/15/25 | 5,975 | 6,285 | |
2.875%, 6/15/28 | 9,725 | 9,871 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 14,530 | 14,993 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 14,195 | 15,997 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(4) | 6,162 | 6,398 | |
Banco Internacional del Peru SAA Interbank 144A 3.250%, 10/4/26(1) | 5,500 | 5,620 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 4,800 | 5,011 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 9,510 | 10,790 | |
Bank of America Corp. | |||
1.734%, 7/22/27 | 19,345 | 19,494 | |
(3 month LIBOR + 0.770%) 0.946%, 2/5/26(5) | 11,312 | 11,463 | |
(3 month LIBOR + 1.000%) 1.176%, 4/24/23(5) | 14,445 | 14,550 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 9,490 | 10,591 | |
Burford Capital Global Finance LLC 144A 6.250%, 4/15/28(1) | 755 | 793 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 6,325 | 6,977 | |
Charles Schwab Corp. (The) | |||
Series G 5.375%(7) | 4,332 | 4,788 |
See Notes to Schedule of Investments
13
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Financials—continued | |||
Series H 4.000%(7) | $8,541 | $8,737 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 6,370 | 6,882 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 24,642 | 26,694 | |
(3 month LIBOR + 1.430%) 1.565%, 9/1/23(5) | 7,115 | 7,215 | |
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25(1) | 3,197 | 3,509 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 5,657 | 5,682 | |
Doric Nimrod Air Finance Alpha Pass-Through Trust 2012-1, A 144A 5.125%, 11/30/22(1) | 3,465 | 3,481 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 15,930 | 16,479 | |
F&G Global Funding 144A 1.750%, 6/30/26(1) | 13,125 | 13,179 | |
Goldman Sachs Group, Inc. (The) | |||
4.250%, 10/21/25 | 24,315 | 27,182 | |
3.850%, 1/26/27 | 21,430 | 23,614 | |
Icahn Enterprises LP 6.250%, 5/15/26 | 10,030 | 10,642 | |
ICAHN Enterprises LP 4.750%, 9/15/24 | 12,395 | 12,953 | |
Industrial & Commercial Bank of China Ltd. 2.957%, 11/8/22 | 9,450 | 9,723 | |
JPMorgan Chase & Co. 1.578%, 4/22/27 | 19,090 | 19,189 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 13,000 | 12,982 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.228%, 4/20/67(5) | 12,860 | 10,947 | |
Mizuho Financial Group, Inc. 3.922%, 9/11/24 | 5,000 | 5,356 | |
Navient Corp. 5.875%, 10/25/24 | 8,642 | 9,322 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 8,580 | 9,683 | |
7.125%, 3/15/26 | 2,695 | 3,139 | |
Prudential Financial, Inc. 5.625%, 6/15/43 | 13,774 | 14,782 | |
Santander Holdings USA, Inc. 3.244%, 10/5/26 | 13,830 | 14,772 | |
Spirit Realty LP | |||
4.450%, 9/15/26 | 6,686 | 7,456 | |
2.100%, 3/15/28 | 5,295 | 5,273 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 6,360 | 6,608 | |
Wells Fargo & Co. 4.100%, 6/3/26 | 8,375 | 9,405 | |
448,507 | |||
Health Care—1.4% | |||
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 6,675 | 7,255 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 8,250 | 8,456 | |
Community Health Systems, Inc. | |||
144A 6.625%, 2/15/25(1) | 2,910 | 3,077 |
Par Value | Value | ||
Health Care—continued | |||
144A 6.125%, 4/1/30(1) | $1,280 | $1,299 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 5,270 | 5,616 | |
144A 4.375%, 2/15/27(1) | 6,170 | 6,244 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 2,000 | 2,154 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(1) | 975 | 1,056 | |
Royalty Pharma plc | |||
144A 1.200%, 9/2/25(1) | 2,749 | 2,724 | |
144A 1.750%, 9/2/27(1) | 11,909 | 11,721 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 4,350 | 4,414 | |
144A 4.875%, 1/1/26(1) | 8,215 | 8,521 | |
144A 5.125%, 11/1/27(1) | 2,750 | 2,884 | |
144A 7.500%, 4/1/25(1) | 915 | 988 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24 | 800 | 848 | |
3.150%, 10/1/26 | 6,295 | 5,988 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 12,770 | 14,067 | |
87,312 | |||
Industrials—1.5% | |||
Alaska Airlines Pass-Through Trust 144A 4.800%, 8/15/27(1) | 12,593 | 13,933 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 7,985 | 8,466 | |
American Airlines, Inc. | |||
144A 5.500%, 4/20/26(1) | 1,205 | 1,276 | |
144A 5.750%, 4/20/29(1) | 590 | 638 | |
Ashtead Capital, Inc. 144A 5.250%, 8/1/26(1) | 12,525 | 13,058 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 9,447 | 9,898 | |
Boeing Co. (The) | |||
2.350%, 10/30/21 | 5,740 | 5,776 | |
4.875%, 5/1/25 | 4,191 | 4,696 | |
GFL Environmental, Inc. 144A 4.000%, 8/1/28(1) | 3,280 | 3,240 | |
Navistar International Corp. 144A 6.625%, 11/1/25(1) | 6,040 | 6,240 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 11,835 | 12,575 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 16,812 | 17,887 | |
United Airlines, Inc. | |||
144A 4.375%, 4/15/26(1) | 515 | 533 | |
144A 4.625%, 4/15/29(1) | 515 | 533 | |
98,749 | |||
Information Technology—2.0% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 5,350 | 5,631 | |
Broadcom, Inc. | |||
3.150%, 11/15/25 | 15,630 | 16,752 | |
144A 1.950%, 2/15/28(1) | 8,066 | 8,062 | |
Dell International LLC 4.900%, 10/1/26 | 6,420 | 7,409 | |
Elastic N.V. 144A 4.125%, 7/15/29(1) | 1,415 | 1,415 |
See Notes to Schedule of Investments
14
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Information Technology—continued | |||
Flex Ltd. 3.750%, 2/1/26 | $11,130 | $12,172 | |
ION Trading Technologies S.a.r.l. 144A 5.750%, 5/15/28(1) | 1,120 | 1,163 | |
Leidos, Inc. 3.625%, 5/15/25 | 10,350 | 11,247 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 5,400 | 5,569 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 10,905 | 11,055 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(1) | 12,305 | 12,138 | |
Square, Inc. 144A 2.750%, 6/1/26(1) | 8,735 | 8,888 | |
Viasat, Inc. 144A 5.625%, 9/15/25(1) | 10,250 | 10,445 | |
Vontier Corp. | |||
144A 1.800%, 4/1/26(1) | 5,276 | 5,240 | |
144A 2.400%, 4/1/28(1) | 6,156 | 6,115 | |
Xerox Holdings Corp. 144A 5.000%, 8/15/25(1) | 7,600 | 8,023 | |
131,324 | |||
Materials—1.9% | |||
Anglo American Capital plc 144A 2.250%, 3/17/28(1) | 12,820 | 12,962 | |
Ardagh Packaging Finance plc 144A 5.250%, 8/15/27(1) | 12,065 | 12,306 | |
Avient Corp. 144A 5.750%, 5/15/25(1) | 11,748 | 12,403 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 9,870 | 10,546 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 7,105 | 7,601 | |
Cleveland-Cliffs, Inc. | |||
144A 6.750%, 3/15/26(1) | 2,585 | 2,788 | |
144A 4.625%, 3/1/29(1) | 3,215 | 3,383 | |
CVR Partners LP 144A 6.125%, 6/15/28(1) | 165 | 169 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 14,745 | 14,912 | |
International Flavors & Fragrances, Inc. | |||
144A 1.230%, 10/1/25(1) | 7,666 | 7,625 | |
144A 1.832%, 10/15/27(1) | 8,106 | 8,083 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 3,110 | 3,048 | |
NOVA Chemicals Corp. 144A 5.000%, 5/1/25(1) | 7,820 | 8,367 | |
OCP SA | |||
144A 5.625%, 4/25/24(1) | 3,065 | 3,366 | |
RegS 5.625%, 4/25/24(4) | 2,800 | 3,075 | |
Silgan Holdings, Inc. 144A 1.400%, 4/1/26(1) | 11,513 | 11,398 | |
122,032 | |||
Real Estate—1.6% | |||
GLP Capital LP | |||
5.250%, 6/1/25 | 13,175 | 14,830 | |
5.750%, 6/1/28 | 1,863 | 2,217 | |
5.300%, 1/15/29 | 2,731 | 3,182 |
Par Value | Value | ||
Real Estate—continued | |||
iStar, Inc. 4.250%, 8/1/25 | $9,325 | $9,593 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 18,910 | 19,203 | |
4.000%, 7/15/22 | 7,345 | 7,584 | |
2.650%, 6/15/26 | 5,087 | 5,161 | |
Retail Opportunity Investments Partnership LP 5.000%, 12/15/23 | 10,874 | 11,753 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 10,780 | 11,050 | |
4.350%, 10/1/24 | 9,585 | 9,652 | |
Uniti Group LP | |||
144A 7.125%, 12/15/24(1) | 2,910 | 3,008 | |
144A 7.875%, 2/15/25(1) | 5,455 | 5,844 | |
103,077 | |||
Utilities—1.6% | |||
Dominion Energy, Inc. Series A 1.450%, 4/15/26 | 15,850 | 15,962 | |
DPL, Inc. 4.125%, 7/1/25 | 1,591 | 1,707 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | 10,350 | 10,919 | |
Ferrellgas LP 144A 5.375%, 4/1/26(1) | 3,050 | 3,023 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 14,667 | 15,624 | |
Pacific Gas and Electric Co. (3 month LIBOR + 1.375%) 1.531%, 11/15/21(5) | 15,708 | 15,740 | |
Puget Energy, Inc. 144A 2.379%, 6/15/28(1) | 9,794 | 9,894 | |
Southern Co. (The) Series A 3.750%, 9/15/51 | 13,578 | 13,665 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 18,640 | 19,129 | |
105,663 | |||
Total Corporate Bonds and Notes (Identified Cost $1,639,076) | 1,689,648 | ||
Leveraged Loans(5)—14.9% | |||
Aerospace—0.8% | |||
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(5) | 10,340 | 10,772 | |
Brown Group Holding LLC (3 month LIBOR + 2.750%) 3.250%, 6/7/28(5) | 9,240 | 9,189 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(5) | 8,790 | 9,381 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.354%, 5/30/25(5) | 11,028 | 10,864 | |
Tranche F (1 month LIBOR + 2.250%) 2.354%, 12/9/25(5) | 6,513 | 6,412 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(5) | 1,965 | 1,989 | |
48,607 | |||
See Notes to Schedule of Investments
15
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Chemicals—0.7% | |||
Gemini HDPE LLC 2027 (3 month LIBOR + 3.000%) 3.500%, 12/31/27(5) | $3,469 | $3,462 | |
Ineos U.S. Finance LLC 2024 (3 month LIBOR + 2.000%) 2.104%, 4/1/24(5) | 9,889 | 9,771 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (1 month LIBOR + 2.750%) 3.250%, 1/29/26(5) | 8,055 | 8,027 | |
Starfruit Finco B.V. (1 month LIBOR + 1.750%) 2.843% - 5.000%, 10/1/25(5) | 14,207 | 14,092 | |
Trinseo Materials Operating SCA 2021 (1 month LIBOR + 2.500%) 2.604%, 5/3/28(5) | 10,310 | 10,226 | |
45,578 | |||
Consumer Durables—0.2% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.750%, 2/11/28(5) | 5,571 | 5,557 | |
Weber-Stephen Products LLC Tranche B (1 month LIBOR + 3.250%) 4.000%, 10/30/27(5) | 6,617 | 6,625 | |
12,182 | |||
Consumer Non-Durables—0.2% | |||
HLF Financing SaRL LLC Tranche B (1 month LIBOR + 2.500%) 2.604%, 8/18/25 | 2,970 | 2,950 | |
Kronos Acquisition Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.750%) 4.250%, 12/22/26 | 7,930 | 7,867 | |
SRAM LLC (1 month LIBOR + 2.750%) 3.250%, 5/18/28(5) | 4,989 | 4,964 | |
15,781 | |||
Energy—0.1% | |||
DT Midstream, Inc. (3 month LIBOR + 2.000%) 0.000%, 6/12/28(5)(8) | 3,620 | 3,623 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(3)(6) | 66 | — | |
3,623 | |||
Financial—0.8% | |||
Asurion LLC | |||
Tranche B-6 (1 month LIBOR + 3.000%) 3.104%, 11/3/23 | 4,562 | 4,536 | |
Tranche B-8 (1 month LIBOR + 3.250%) 3.354%, 12/23/26 | 5,973 | 5,902 | |
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27(5) | 17,278 | 17,264 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.104%, 6/16/25 | 3,947 | 3,898 | |
Citadel Securities LP 2021 (1 month LIBOR + 2.500%) 2.604%, 2/2/28(5) | 13,072 | 12,928 | |
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 1.897%, 10/6/23(5) | 5,775 | 5,767 |
Par Value | Value | ||
Financial—continued | |||
Zebra Buyer LLC (3 month LIBOR + 3.500%) 0.000%, 4/21/28(5)(8) | $1,205 | $1,208 | |
51,503 | |||
Food / Tobacco—1.0% | |||
Aramark Services, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.854%, 3/11/25 | 1,909 | 1,886 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.854%, 1/15/27(5) | 3,446 | 3,402 | |
Tranche B-5 (1 month LIBOR + 2.500%) 2.604%, 4/6/28 | 5,297 | 5,268 | |
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.250%, 11/24/27(5) | 6,711 | 6,720 | |
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/25/27(5) | 3,285 | 3,291 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.354%, 1/29/27 | 12,103 | 11,912 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(5) | 8,797 | 8,753 | |
JBS USA Lux S.A. (1 month LIBOR + 2.000%) 2.104%, 5/1/26(5) | 9,352 | 9,318 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 3.500%) 4.250%, 9/23/27(5) | 6,439 | 6,441 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.000%, 3/31/28(5) | 9,495 | 9,482 | |
66,473 | |||
Forest Prod / Containers—0.5% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 1.827%, 7/1/26(5) | 8,651 | 8,580 | |
BWay Holding Co. (1 month LIBOR + 3.250%) 3.354%, 4/3/24(5) | 8,312 | 8,105 | |
Graham Packaging Co., Inc. (1 month LIBOR + 3.000%) 3.750%, 8/4/27(5) | 6,479 | 6,470 | |
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 2.854%, 2/6/23(5) | 9,500 | 9,476 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.250%, 1/31/25(5) | 2,615 | 2,502 | |
35,133 | |||
Gaming / Leisure—1.3% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24(5) | 1,583 | 1,585 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.338%, 9/15/23 | 6,069 | 6,059 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 2.854%, 12/23/24(5) | 9,005 | 8,924 |
See Notes to Schedule of Investments
16
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Gaming / Leisure—continued | |||
Carnival Corp. Tranche B (3 month LIBOR + 3.000%) 3.750%, 6/30/25(5) | $1,584 | $1,620 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.000%, 4/18/24(5) | 9,456 | 9,373 | |
Hilton Grand Vacations Borrower LLC First Lien (3 month LIBOR + 3.250%) 0.000%, 5/19/28(5)(8) | 2,730 | 2,731 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.842%, 6/22/26(5) | 12,796 | 12,682 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24(5) | 9,528 | 9,149 | |
Playtika Holding Corp. Tranche B-1 (1 month LIBOR + 2.750%) 2.854%, 3/13/28(5) | 7,461 | 7,423 | |
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 0.000%, 11/1/26(5)(8) | 2,550 | 2,553 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.854%, 8/14/24(5) | 4,178 | 4,146 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.854%, 7/8/24(5) | 9,148 | 9,132 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27(5) | 3,150 | 3,111 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 3.000%) 3.750%, 4/29/26(5) | 8,241 | 8,227 | |
86,715 | |||
Healthcare—1.4% | |||
Agiliti Health, Inc. | |||
(1 month LIBOR + 2.750%) 2.875%, 1/4/26 | 3,990 | 3,965 | |
(1 month LIBOR + 2.750%) 3.500%, 1/5/26(5) | 2,045 | 2,040 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.843%, 11/27/25 | 1,582 | 1,570 | |
(1 month LIBOR + 3.000%) 3.104%, 6/2/25(5) | 5,015 | 4,992 | |
Catalent Pharma Solutions, Inc. Tranche B-3 (1 month LIBOR + 2.000%) 2.500%, 2/22/28 | 1,654 | 1,655 | |
Change Healthcare Holdings LLC (1 month LIBOR + 2.500%) 3.500%, 3/1/24(5) | 8,066 | 8,055 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.842%, 8/1/27(5) | 8,524 | 8,390 | |
HCA, Inc. (3 month LIBOR + 1.750%) 0.000%, 6/23/28(5)(8) | 1,460 | 1,463 | |
Horizon Therapeutics USA, Inc Tranche B-2 (1 month LIBOR + 2.000%) 2.500%, 3/15/28 | 9,446 | 9,378 | |
ICON Luxembourg S.a.r.l. | |||
Tranche B (3 month LIBOR + 2.500%) 0.000%, 6/16/28(5)(8) | 2,197 | 2,201 | |
Tranche B-1 (3 month LIBOR + 2.500%) 0.000%, 6/16/28(5)(8) | 548 | 548 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.897%, 6/11/25(5) | 7,558 | 7,506 |
Par Value | Value | ||
Healthcare—continued | |||
Jazz Financing Lux S.a.r.l. (1 month LIBOR + 3.500%) 4.000%, 5/5/28 | $4,835 | $4,849 | |
Parexel International Corp. (3 month LIBOR + 2.750%) 2.854%, 9/27/24(5) | 9,955 | 9,894 | |
Phoenix Guarantor, Inc. Tranche B3 (1 month LIBOR + 3.500%) 3.573%, 3/5/26(5) | 7,224 | 7,178 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28(5) | 9,342 | 9,325 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 2.360%, 3/6/25 | 6,265 | 6,198 | |
Sterigenics-Nordion Holdings LLC (3 month LIBOR + 2.750%) 3.250%, 12/11/26(5) | 2,650 | 2,638 | |
91,845 | |||
Housing—0.7% | |||
84 Lumber Co. Tranche B-1 (1 month LIBOR + 3.000%) 3.750%, 11/13/26(5) | 9,455 | 9,445 | |
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24 | 9,938 | 9,924 | |
Quikrete Holdings, Inc. Tranche B1 (3 month LIBOR + 3.000%) 0.000%, 6/11/28(5)(8) | 11,885 | 11,785 | |
SRS Distribution, Inc. 2021 (1 month LIBOR + 3.750%) 4.250%, 6/4/28 | 3,390 | 3,386 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.093%, 11/21/24(5) | 9,539 | 9,500 | |
44,040 | |||
Information Technology—1.2% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.250%) 3.750%, 9/19/24 | 14,515 | 14,477 | |
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.854%, 10/2/25(5) | 5,530 | 5,496 | |
Dell International LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.000%, 9/19/25(5) | 12,981 | 12,975 | |
RealPage, Inc. First Lien (3 month LIBOR + 3.250%) 3.750%, 4/24/28(5) | 5,525 | 5,506 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.854%, 4/16/25 | 2,163 | 2,136 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.854%, 4/16/25 | 1,644 | 1,623 | |
Tranche B-5 (1 month LIBOR + 1.750%) 1.854%, 4/16/25 | 9,303 | 9,191 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26(5) | 14,034 | 14,042 | |
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27(5) | 235 | 239 |
See Notes to Schedule of Investments
17
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Information Technology—continued | |||
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.836%, 3/2/27 | $11,125 | $11,049 | |
76,734 | |||
Manufacturing—1.0% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(5) | 9,498 | 9,506 | |
Backyard Acquireco, Inc. (3 month LIBOR + 3.750%) 4.500%, 11/2/27(5) | 7,806 | 7,818 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27(5) | 12,437 | 12,405 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.854%, 3/1/27(5) | 7,041 | 6,955 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.690%, 8/28/26(5) | 7,897 | 7,798 | |
Ozark Holdings LLC 2020 (1 month LIBOR + 4.000%) 4.750%, 12/10/27(5) | 6,224 | 6,224 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.104%, 10/1/25(5) | 5,967 | 5,895 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.167%, 3/28/25 | 6,299 | 6,184 | |
62,785 | |||
Media / Telecom - Broadcasting—0.4% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.360%, 8/24/26(5) | 3,606 | 2,159 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.592%, 9/18/26(5) | 10,956 | 10,926 | |
Sinclair Television Group, Inc. Tranche B-3 (1 month LIBOR + 3.000%) 3.110%, 4/1/28 | 6,734 | 6,667 | |
Univision Communications, Inc. 2017 (3 month LIBOR + 2.750%) 0.000%, 3/15/24(8) | 6,625 | 6,613 | |
26,365 | |||
Media / Telecom - Cable/Wireless Video—0.6% | |||
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.860%, 2/1/27(5) | 9,308 | 9,238 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.323%, 7/17/25(5) | 4,355 | 4,290 | |
2018 (1 month LIBOR + 2.250%) 2.323%, 1/15/26(5) | 7,165 | 7,055 | |
2019 (1 month LIBOR + 2.500%) 2.573%, 4/15/27(5) | 3,917 | 3,876 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26(5) | 1,087 | 1,087 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.353%, 1/31/29(5) | 9,320 | 9,306 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 2.573%, 4/30/28(5) | $3,145 | $3,110 | |
37,962 | |||
Media / Telecom - Diversified Media—0.3% | |||
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.686%, 8/21/26 | 6,357 | 6,201 | |
UPC Financing Partnership Tranche AX (1 month LIBOR + 3.000%) 3.073%, 1/31/29(5) | 9,965 | 9,895 | |
16,096 | |||
Media / Telecom - Telecommunications—0.5% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/15/27(5) | 9,398 | 9,264 | |
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.250%, 10/2/27(5) | 3,784 | 3,789 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.854%, 3/1/27(5) | 9,084 | 8,939 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.104%, 3/9/27 | 7,982 | 7,893 | |
29,885 | |||
Metals / Minerals—0.0% | |||
Atkore International, Inc. (3 month LIBOR + 2.000%) 2.500%, 5/18/28(5) | 1,590 | 1,587 | |
Retail—0.3% | |||
Harbor Freight Tools USA, Inc. 2020 (1 month LIBOR + 3.000%) 3.750%, 10/19/27(5) | 9,025 | 9,019 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.000%, 4/15/28(5) | 6,780 | 6,805 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(5) | 6,040 | 6,041 | |
21,865 | |||
Service—1.9% | |||
Adtalem Global Education, Inc. Tranche B, First Lien (3 month LIBOR + 4.500%) 0.000%, 2/14/28 | 6,570 | 6,552 | |
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28(5) | 5,646 | 5,620 | |
Allied Universal Holdco LLC (3 month LIBOR + 3.750%) 4.250%, 5/12/28(5) | 2,635 | 2,642 | |
Asplundh Tree Expert, LLC 2021 (3 month LIBOR + 1.750%) 0.000%, 9/7/27(8) | 9,775 | 9,737 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.345%, 2/6/26(5) | 9,259 | 9,211 |
See Notes to Schedule of Investments
18
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Par Value | Value | ||
Service—continued | |||
GFL Environmental, Inc. 2020 (1 month LIBOR + 3.000%) 3.500%, 5/30/25(5) | $8,324 | $8,325 | |
Hertz Corp. (The) | |||
Tranche B (3 month LIBOR + 3.500%) 0.000%, 6/30/28(5)(8) | 2,291 | 2,288 | |
Tranche C (3 month LIBOR + 3.500%) 0.000%, 6/30/28(5)(8) | 432 | 431 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 4.500%, 6/30/24(5) | 8,178 | 8,121 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.500%, 2/1/28(5) | 8,039 | 8,055 | |
Pike Corp. 2028 (1 month LIBOR + 3.000%) 3.110%, 1/21/28(5) | 12,286 | 12,254 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(5) | 12,948 | 12,915 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 3.854%, 9/3/26(5) | 12,907 | 12,879 | |
St. George’s University Scholastic Services LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 6/29/28(5)(8) | 5,319 | 5,305 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.854%, 11/16/26 | 10,860 | 10,780 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/31/28(5) | 5,022 | 4,982 | |
120,097 | |||
Transportation - Automotive—0.1% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.354%, 4/30/26 | 6,315 | 6,252 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 10/28/27(5) | 1,456 | 1,459 | |
7,711 | |||
Transportation - Land Transportation—0.2% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 2.147%, 12/30/26(5) | 9,746 | 9,675 | |
Utility—0.7% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 12/10/27 | 4,137 | 4,128 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(5) | 13,941 | 13,798 | |
Calpine Corp. | |||
2019 (1 month LIBOR + 2.000%) 2.110%, 4/5/26(5) | 9,653 | 9,521 | |
2020 (1 month LIBOR + 2.500%) 2.610%, 12/16/27(5) | 1,906 | 1,892 | |
PG&E Corp. Tranche B (3 month LIBOR + 3.000%) 3.500%, 6/23/25(5) | 1,920 | 1,893 |
Par Value | Value | ||
Utility—continued | |||
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 1.850%, 12/31/25 | $16,786 | $16,660 | |
47,892 | |||
Total Leveraged Loans (Identified Cost $961,311) | 960,134 | ||
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.3% | ||
Bank of New York Mellon Corp. (The) Series E, 3.554% | 12,070(9) | 12,158 |
JPMorgan Chase & Co. Series Z, 3.976% | 3,985(9) | 3,995 |
JPMorgan Chase & Co. Series HH, 4.600% | 4,159(9) | 4,310 |
20,463 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 3.449%(5) | 6,235(9) | 6,110 |
Total Preferred Stocks (Identified Cost $26,162) | 26,573 | |
Common Stock—0.0% | ||
Energy—0.0% | ||
Frontera Energy Corp.(10) | 148,014 | 918 |
Total Common Stock (Identified Cost $2,594) | 918 | |
Exchange-Traded Fund—0.5% | ||
VanEck Vectors High Yield Muni ETF(11) | 510,900 | 32,498 |
Total Exchange-Traded Fund (Identified Cost $32,008) | 32,498 | |
Rights—0.0% | ||
Utilities—0.0% | ||
Vistra Energy Corp.(6)(10) | 98,789 | 116 |
Total Rights (Identified Cost $84) | 116 | |
Total Long-Term Investments—99.5% (Identified Cost $6,349,966) | 6,422,540 | |
Short-Term Investment—1.0% | ||
Money Market Mutual Fund—1.0% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11) | 66,321,718 | 66,322 |
Total Short-Term Investment (Identified Cost $66,322) | 66,322 | |
See Notes to Schedule of Investments
19
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
Shares | Value | ||
Securities Lending Collateral—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11)(12) | 20,241,296 | $20,241 | |
Total Securities Lending Collateral (Identified Cost $20,241) | 20,241 | ||
TOTAL INVESTMENTS—100.8% (Identified Cost $6,436,529) | $6,509,103 | ||
Other assets and liabilities, net—(0.8)% | (49,899) | ||
NET ASSETS—100.0% | $6,459,204 |
Abbreviations: | |
ABS | Asset-Backed Securities |
CBO | Collateralized Bond Obligation |
CLO | Collateralized Loan Obligation |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
SBA | Small Business Administration |
WaMu | Washington Mutual |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities amounted to a value of $4,202,933 or 65.1% of net assets. |
(2) | All or a portion of security is on loan. |
(3) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(4) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | Variable rate security. Rate disclosed is as of June 30, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | No contractual maturity date. |
(8) | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | Non-income producing. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 89% |
Canada | 1 |
Indonesia | 1 |
Mexico | 1 |
Netherlands | 1 |
United Kingdom | 1 |
Cayman Islands | 1 |
Other | 5 |
Total | 100% |
† % of total investments as of June 30, 2021. |
See Notes to Schedule of Investments
20
VIRTUS Newfleet Multi-Sector Short Term Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2021
($ reported in thousands)
The following table summarizes the market value of the Fund’s investments as of June 30, 2021, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at June 30, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $1,614,543 | $— | $1,614,543 | $— | |||
Corporate Bonds and Notes | 1,689,648 | — | 1,689,648 | — | |||
Foreign Government Securities | 280,696 | — | 280,696 | — | |||
Leveraged Loans | 960,134 | — | 960,134 | —(1) | |||
Mortgage-Backed Securities | 1,761,665 | — | 1,742,686 | 18,979 | |||
Municipal Bond | 4,564 | — | 4,564 | — | |||
U.S. Government Securities | 51,185 | — | 51,185 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 26,573 | — | 26,573 | — | |||
Common Stock | 918 | 918 | — | — | |||
Rights | 116 | — | — | 116 | |||
Securities Lending Collateral | 20,241 | 20,241 | — | — | |||
Exchange-Traded Fund | 32,498 | 32,498 | — | — | |||
Money Market Mutual Fund | 66,322 | 66,322 | — | — | |||
Total Investments | $6,509,103 | $119,979 | $6,370,029 | $19,095 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Security held by the Fund with an end of period value of $116 was transferred from Level 2 to Level 3 due to a decrease in trading activities at period end.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended June 30, 2021.
See Notes to Schedule of Investments
21
VIRTUS NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2021
Note 1. Security Valuation
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Funds calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund’s 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 American Depository Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
22