VIRTUS CONVERTIBLE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2022
($ reported in thousands)
Shares | Value | ||
Convertible Preferred Stocks—12.1% | |||
Auto Components—0.4% | |||
Aptiv plc Series A, 5.500% | 70,115 | $ 7,389 | |
Banks—1.6% | |||
Wells Fargo & Co. Series L, 7.500% | 23,400 | 28,443 | |
Capital Markets—0.5% | |||
KKR & Co., Inc. Series C, 6.000% | 138,135 | 8,077 | |
Commercial Services & Supplies—0.6% | |||
GFL Environmental, Inc., 6.000% | 190,745 | 11,332 | |
Diversified Financial Services—0.3% | |||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 5,480 | 4,640 | |
Electric Utilities—3.7% | |||
NextEra Energy, Inc., 4.872% | 333,940 | 18,804 | |
NextEra Energy, Inc., 5.279% | 522,100 | 25,923 | |
Southern Co. (The), 6.750% | 363,875 | 19,278 | |
64,005 | |||
Healthcare Equipment & Supplies—0.4% | |||
Boston Scientific Corp. Series A, 5.500% | 72,750 | 7,380 | |
Life Sciences Tools & Services—0.9% | |||
Danaher Corp. Series B, 5.000% | 12,385 | 16,388 | |
Semiconductors & Semiconductor Equipment—2.1% | |||
Broadcom, Inc. Series A, 8.000% | 24,080 | 36,196 |
Shares | Value | ||
Telecommunications—1.6% | |||
T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 24,055 | $ 27,581 | |
Total Convertible Preferred Stocks (Identified Cost $197,952) | 211,431 | ||
Par Value | ||
Convertible Bonds and Notes—83.4% | ||
Airlines—1.9% | ||
American Airlines Group, Inc. 6.500%, 7/1/25 | $ 7,485 | 7,864 |
Southwest Airlines Co. 1.250%, 5/1/25 | 21,725 | 25,581 |
33,445 | ||
Auto Manufacturers—0.8% | ||
Ford Motor Co. 0.000%, 3/15/26 | 11,820 | 10,780 |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 4,855 | 2,846 |
13,626 | ||
Banks—1.6% | ||
Barclays Bank plc 0.000%, 2/18/25(2) | 8,650 | 9,055 |
BofA Finance LLC 0.600%, 5/25/27 | 17,790 | 18,046 |
27,101 | ||
Biotechnology—3.6% | ||
BioMarin Pharmaceutical, Inc. | ||
0.599%, 8/1/24 | 1,210 | 1,198 |
1.250%, 5/15/27 | 17,030 | 16,924 |
Global Blood Therapeutics, Inc. 144A 1.875%, 12/15/28(1) | 4,860 | 5,723 |
Halozyme Therapeutics, Inc. 0.250%, 3/1/27 | 32,525 | 28,693 |
Sarepta Therapeutics, Inc. 1.500%, 11/15/24 | 8,590 | 10,759 |
63,297 | ||
Commercial Services—7.5% | ||
Block, Inc. | ||
0.125%, 3/1/25 | 18,715 | 17,545 |
Par Value | Value | ||
Commercial Services—continued | |||
0.000%, 5/1/26 | $ 16,070 | $ 12,711 | |
0.250%, 11/1/27 | 19,730 | 14,464 | |
Chegg, Inc. 0.125%, 3/15/25 | 24,375 | 20,609 | |
Euronet Worldwide, Inc. 0.750%, 3/15/49 | 11,420 | 11,549 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1) | 12,160 | 9,378 | |
Shift4 Payments, Inc. | |||
0.000%, 12/15/25 | 13,220 | 10,596 | |
144A 0.500%, 8/1/27(1) | 22,090 | 15,408 | |
Stride, Inc. 1.125%, 9/1/27 | 19,635 | 19,390 | |
131,650 | |||
Computers—5.0% | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | 12,140 | 12,815 | |
KBR, Inc. 2.500%, 11/1/23 | 7,105 | 13,699 | |
Lumentum Holdings, Inc. | |||
0.500%, 12/15/26 | 17,365 | 17,789 | |
144A 0.500%, 6/15/28(1) | 10,300 | 8,827 | |
Pure Storage, Inc. 0.125%, 4/15/23 | 10,720 | 12,012 | |
Rapid7, Inc. 0.250%, 3/15/27 | 13,845 | 12,474 | |
Zscaler, Inc. 0.125%, 7/1/25 | 8,230 | 9,962 | |
87,578 | |||
Cosmetics & Personal Care—0.7% | |||
Beauty Health Co. (The) 144A 1.250%, 10/1/26(1) | 14,080 | 11,306 | |
Diversified Financial Services—1.6% | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. 0.000%, 8/15/23 | 11,130 | 10,913 | |
JPMorgan Chase Financial Co. LLC 0.500%, 6/15/27 | 16,400 | 17,220 | |
28,133 | |||
Electronics—0.5% | |||
II-VI, Inc. 0.250%, 9/1/22 | 8,335 | 9,248 |
See Notes to Schedule of Investments
1
VIRTUS CONVERTIBLE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Energy-Alternate Sources—2.0% | |||
Enphase Energy, Inc. | |||
0.000%, 3/1/26 | $ 24,625 | $ 24,403 | |
0.000%, 3/1/28 | 10,980 | 10,898 | |
35,301 | |||
Entertainment—3.0% | |||
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 31,265 | 32,515 | |
Vail Resorts, Inc. 0.000%, 1/1/26 | 22,195 | 19,310 | |
51,825 | |||
Equity Real Estate Investment Trusts (REITs)—3.0% | |||
Apollo Commercial Real Estate Finance, Inc. 4.750%, 8/23/22 | 31,505 | 31,348 | |
HAT Holdings I LLC 144A 0.000%, 5/1/25(1) | 9,100 | 8,719 | |
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 14,150 | 12,600 | |
52,667 | |||
Healthcare-Products—2.6% | |||
CONMED Corp. 144A 2.250%, 6/15/27(1) | 6,835 | 6,377 | |
Envista Holdings Corp. 2.375%, 6/1/25 | 2,250 | 4,296 | |
Exact Sciences Corp. 0.375%, 3/15/27 | 8,035 | 5,856 | |
Insulet Corp. 0.375%, 9/1/26 | 9,580 | 10,921 | |
Natera, Inc. 2.250%, 5/1/27 | 2,470 | 3,032 | |
Novocure Ltd. 0.000%, 11/1/25 | 4,305 | 3,683 | |
Tandem Diabetes Care, Inc. 144A 1.500%, 5/1/25(1) | 11,720 | 10,853 | |
45,018 | |||
Healthcare-Services—0.7% | |||
Elevance Health, Inc. 2.750%, 10/15/42 | 1,810 | 12,417 | |
Internet—12.8% | |||
Airbnb, Inc. 0.000%, 3/15/26 | 14,115 | 11,730 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 9,615 | 11,526 | |
Etsy, Inc. 0.250%, 6/15/28 | 23,005 | 16,851 | |
Expedia Group, Inc. 0.000%, 2/15/26 | 13,225 | 11,936 | |
Okta, Inc. 0.125%, 9/1/25 | 16,770 | 14,691 |
Par Value | Value | ||
Internet—continued | |||
Palo Alto Networks, Inc. | |||
0.750%, 7/1/23 | $ 8,415 | $ 15,643 | |
0.375%, 6/1/25 | 16,925 | 29,009 | |
Perficient, Inc. 144A 0.125%, 11/15/26(1) | 19,570 | 15,843 | |
Shopify, Inc. 0.125%, 11/1/25 | 10,075 | 8,387 | |
Snap, Inc. 144A 0.125%, 3/1/28(1) | 42,760 | 29,740 | |
TechTarget, Inc. 144A 0.000%, 12/15/26(1) | 18,750 | 14,952 | |
Uber Technologies, Inc. 0.000%, 12/15/25 | 26,395 | 21,056 | |
Zendesk, Inc. 0.625%, 6/15/25 | 7,490 | 7,254 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 15,510 | 14,610 | |
223,228 | |||
Leisure Time—1.6% | |||
NCL Corp., Ltd. 144A 1.125%, 2/15/27(1) | 29,480 | 19,088 | |
Royal Caribbean Cruises Ltd. 2.875%, 11/15/23 | 10,595 | 9,582 | |
28,670 | |||
Machinery-Diversified—0.7% | |||
Chart Industries, Inc. 144A 1.000%, 11/15/24(1) | 2,950 | 8,474 | |
Middleby Corp. (The) 1.000%, 9/1/25 | 3,660 | 4,134 | |
12,608 | |||
Media—5.5% | |||
DISH Network Corp. 0.000%, 12/15/25 | 32,185 | 22,533 | |
Liberty Broadband Corp. | |||
144A 1.250%, 9/30/50(1) | 25,060 | 23,406 | |
144A 2.750%, 9/30/50(1) | 20,005 | 19,028 | |
Liberty Media Corp. 1.375%, 10/15/23 | 11,025 | 12,905 | |
Liberty Media Corp-Liberty Formula One 1.000%, 1/30/23 | 2,875 | 4,956 | |
World Wrestling Entertainment, Inc. 3.375%, 12/15/23 | 5,030 | 12,716 | |
95,544 | |||
Mining—2.6% | |||
Lithium Americas Corp. 144A 1.750%, 1/15/27(1) | 14,280 | 11,831 |
Par Value | Value | ||
Mining—continued | |||
Livent Corp. 4.125%, 7/15/25 | $ 2,375 | $ 6,480 | |
MP Materials Corp. 144A 0.250%, 4/1/26(1) | 18,790 | 18,168 | |
SSR Mining, Inc. 2.500%, 4/1/39 | 8,075 | 9,189 | |
45,668 | |||
Oil, Gas & Consumable Fuels—2.2% | |||
EQT Corp. 1.750%, 5/1/26 | 3,090 | 7,278 | |
Helix Energy Solutions Group, Inc. 6.750%, 2/15/26 | 1,250 | 1,195 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 13,485 | 29,155 | |
37,628 | |||
Pharmaceuticals—4.3% | |||
Dexcom, Inc. 0.250%, 11/15/25 | 37,200 | 34,038 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 27,095 | 31,769 | |
Pacira BioSciences, Inc. 0.750%, 8/1/25 | 8,245 | 8,517 | |
74,324 | |||
Semiconductors—4.3% | |||
Impinj, Inc. 144A 1.125%, 5/15/27(1) | 7,200 | 5,982 | |
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26 | 15,805 | 13,750 | |
Microchip Technology, Inc. 0.125%, 11/15/24 | 19,715 | 19,617 | |
ON Semiconductor Corp. 0.000%, 5/1/27 | 6,955 | 8,005 | |
Silicon Laboratories, Inc. 0.625%, 6/15/25 | 7,755 | 10,023 | |
Wolfspeed, Inc. 144A 0.250%, 2/15/28(1) | 20,720 | 17,198 | |
74,575 | |||
Software—13.2% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 12,965 | 14,190 | |
Avalara, Inc. 144A 0.250%, 8/1/26(1) | 10,645 | 8,255 | |
Bill.com Holdings, Inc. | |||
0.000%, 12/1/25 | 5,255 | 5,263 | |
144A 0.000%, 4/1/27(1) | 19,165 | 14,719 | |
Box, Inc. 0.000%, 1/15/26 | 9,820 | 11,151 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 44,665 | 34,477 |
See Notes to Schedule of Investments
2
VIRTUS CONVERTIBLE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Software—continued | |||
Confluent, Inc. 144A 0.000%, 1/15/27(1) | $ 11,135 | $ 8,094 | |
Coupa Software, Inc. 0.125%, 6/15/25 | 20,175 | 16,654 | |
Datadog, Inc. 0.125%, 6/15/25 | 3,800 | 4,805 | |
Evolent Health, Inc. 1.500%, 10/15/25 | 17,705 | 19,929 | |
HubSpot, Inc. 0.375%, 6/1/25 | 4,275 | 5,507 | |
Jamf Holding Corp. 144A 0.125%, 9/1/26(1) | 15,830 | 13,384 | |
MongoDB, Inc. 0.250%, 1/15/26 | 5,230 | 7,314 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 18,920 | 18,106 | |
1.125%, 9/15/25 | 10,230 | 9,591 | |
1.125%, 6/15/27 | 4,710 | 3,886 | |
Tyler Technologies, Inc. 0.250%, 3/15/26 | 19,360 | 18,150 | |
Unity Software, Inc. 144A 0.000%, 11/15/26(1) | 22,700 | 16,684 | |
230,159 | |||
Telecommunications—0.8% | |||
Viavi Solutions, Inc. 1.000%, 3/1/24 | 12,375 | 13,953 |
Par Value | Value | ||
Transportation—0.9% | |||
Air Transport Services Group, Inc. 1.125%, 10/15/24 | $ 14,945 | $ 16,133 | |
Total Convertible Bonds and Notes (Identified Cost $1,554,319) | 1,455,102 | ||
Total Long-Term Investments—95.5% (Identified Cost $1,752,271) | 1,666,533 | ||
Shares | ||
Short-Term Investment—4.6% | ||
Money Market Mutual Fund—4.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.316%)(3) | 81,329,932 | 81,330 |
Total Short-Term Investment (Identified Cost $81,330) | 81,330 | |
TOTAL INVESTMENTS—100.1% (Identified Cost $1,833,601) | $1,747,863 | |
Other assets and liabilities, net—(0.1)% | (2,398) | |
NET ASSETS—100.0% | $1,745,465 |
Abbreviations: | |
LLC | Limited Liability Company |
REIT | Real Estate Investment Trust |
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, 2022, these securities amounted to a value of $390,981 or 22.4% of net assets. |
(2) | 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. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 92% |
Bermuda | 3 |
Canada | 2 |
United Kingdom | 1 |
Israel | 1 |
Liberia | 1 |
Total | 100% |
† % of total investments as of June 30, 2022. |
The following table summarizes the value of the Fund’s investments as of June 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 June 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Convertible Bonds and Notes | $1,455,102 | $— | $1,446,047 | $9,055 | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 211,431 | 179,210 | 32,221 | — | |||
Money Market Mutual Fund | 81,330 | 81,330 | — | — | |||
Total Investments | $1,747,863 | $260,540 | $1,478,268 | $9,055 |
There were no transfers into or out of Level 3 related to securities held at June 30, 2022.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
3
VIRTUS CONVERTIBLE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
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 | Convertible Bonds and Notes | ||
Investments in Securities | |||
Balance as of September 30, 2021: | $— | $— | |
Net change in unrealized appreciation (depreciation)(a) | (259) | (259) | |
Purchases | 9,314 | 9,314 | |
Balance as of June 30, 2022 | $9,055 | $9,055 |
(a) The net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022, was $(259).
See Notes to Schedule of Investments
4
VIRTUS Convertible Fund
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2022
Note 1. Security Valuation
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. 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 Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued 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 the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Note 2. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the schedule of investments will be available for issuance, and has determined that the following subsequent events require recognition or disclosure in this Schedule of Investments:
Effective July 25, 2022, Voya Investment Management replaced AllianzGI U.S. as subadviser of the Virtus Convertible Fund.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
5