VIRTUS HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—90.4% | |||
Advertising—0.3% | |||
Clear Channel Outdoor Holdings, Inc. 144A 7.750%, 4/15/28(1) | $ 185 | $ 134 | |
Aerospace & Defense—0.9% | |||
Triumph Group, Inc. 144A 8.875%, 6/1/24(1) | 389 | 392 | |
Airlines—1.3% | |||
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 305 | 316 | |
Delta Air Lines, Inc. 7.375%, 1/15/26 | 265 | 264 | |
580 | |||
Auto Components—3.0% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 305 | 270 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 335 | 324 | |
Goodyear Tire & Rubber Co. (The) | |||
9.500%, 5/31/25 | 430 | 445 | |
5.250%, 7/15/31 | 145 | 116 | |
Tenneco, Inc. 144A 7.875%, 1/15/29(1) | 150 | 145 | |
1,300 | |||
Auto Manufacturers—1.2% | |||
Ford Motor Co. 9.625%, 4/22/30 | 475 | 530 | |
Building Materials—1.8% | |||
Builders FirstSource, Inc. 144A 6.375%, 6/15/32(1) | 170 | 152 | |
Griffon Corp. 5.750%, 3/1/28 | 140 | 127 | |
Koppers, Inc. 144A 6.000%, 2/15/25(1) | 250 | 232 | |
Summit Materials LLC 144A 5.250%, 1/15/29(1) | 285 | 249 | |
760 | |||
Chemicals—2.0% | |||
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 360 | 307 | |
Tronox, Inc. 144A 4.625%, 3/15/29(1) | 375 | 302 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 325 | 239 | |
848 | |||
Commercial Services—4.4% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 245 | 199 |
Par Value | Value | ||
Commercial Services—continued | |||
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | $ 370 | $ 308 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 380 | 310 | |
Herc Holdings, Inc. 144A 5.500%, 7/15/27(1) | 240 | 219 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1) | 330 | 254 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 365 | 305 | |
United Rentals North America, Inc. 5.250%, 1/15/30 | 315 | 292 | |
1,887 | |||
Computers—1.3% | |||
Condor Merger Sub, Inc. 144A 7.375%, 2/15/30(1) | 320 | 260 | |
NCR Corp. | |||
144A 5.125%, 4/15/29(1) | 250 | 212 | |
144A 6.125%, 9/1/29(1) | 125 | 108 | |
580 | |||
Containers & Packaging—2.3% | |||
Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 350 | 335 | |
Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 360 | 336 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1) | 350 | 328 | |
999 | |||
Cosmetics & Personal Care—0.8% | |||
Coty, Inc. 144A 6.500%, 4/15/26(1) | 350 | 323 | |
Diversified Financial Services—2.9% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1) | 295 | 237 | |
144A 5.750%, 11/15/31(1) | 170 | 130 | |
Navient Corp. | |||
6.750%, 6/15/26 | 395 | 349 | |
4.875%, 3/15/28 | 165 | 129 | |
OneMain Finance Corp. 6.625%, 1/15/28 | 440 | 393 | |
1,238 | |||
Electronic Equipment, Instruments & Components—1.0% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 445 | 440 |
Par Value | Value | ||
Electronics—0.7% | |||
II-VI, Inc. 144A 5.000%, 12/15/29(1) | $ 365 | $ 318 | |
Entertainment—6.2% | |||
Caesars Entertainment, Inc. 144A 8.125%, 7/1/27(1) | 895 | 865 | |
CDI Escrow Issuer, Inc. 144A 5.750%, 4/1/30(1) | 240 | 218 | |
Cedar Fair LP 5.375%, 4/15/27 | 230 | 218 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 300 | 292 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 370 | 289 | |
Live Nation Entertainment, Inc. 144A 4.750%, 10/15/27(1) | 480 | 425 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) | 405 | 343 | |
2,650 | |||
Environmental Services—0.8% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 395 | 327 | |
Equity Real Estate Investment Trusts (REITs)—2.6% | |||
Iron Mountain, Inc. 144A 5.250%, 7/15/30(1) | 390 | 339 | |
Park Intermediate Holdings LLC | |||
144A 5.875%, 10/1/28(1) | 240 | 219 | |
144A 4.875%, 5/15/29(1) | 340 | 292 | |
Service Properties Trust 7.500%, 9/15/25 | 285 | 261 | |
1,111 | |||
Food & Beverage—3.6% | |||
Performance Food Group, Inc. 144A 5.500%, 10/15/27(1) | 300 | 278 | |
Post Holdings, Inc. 144A 5.500%, 12/15/29(1) | 495 | 443 | |
Simmons Foods, Inc. 144A 4.625%, 3/1/29(1) | 360 | 304 | |
US Foods, Inc. | |||
144A 6.250%, 4/15/25(1) | 235 | 234 | |
144A 4.750%, 2/15/29(1) | 325 | 284 | |
1,543 | |||
Food Service—0.8% | |||
Aramark Services, Inc. 144A 5.000%, 2/1/28(1) | 375 | 340 |
See Notes to Schedule of Investments
1
VIRTUS HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Healthcare-Products—0.7% | |||
Medline Borrower LP 144A 5.250%, 10/1/29(1) | $ 390 | $ 320 | |
Healthcare-Services—3.0% | |||
Centene Corp. 4.625%, 12/15/29 | 230 | 215 | |
Community Health Systems, Inc. 144A 6.000%, 1/15/29(1) | 255 | 211 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 345 | 322 | |
Tenet Healthcare Corp. | |||
144A 6.125%, 10/1/28(1) | 510 | 436 | |
144A 6.125%, 6/15/30(1) | 115 | 106 | |
1,290 | |||
Home Builders—1.3% | |||
Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 360 | 351 | |
Taylor Morrison Communities, Inc. 144A 5.750%, 1/15/28(1) | 225 | 202 | |
553 | |||
Internet—2.3% | |||
Match Group Holdings II LLC 144A 5.000%, 12/15/27(1) | 365 | 338 | |
Uber Technologies, Inc. | |||
144A 7.500%, 9/15/27(1) | 445 | 431 | |
144A 6.250%, 1/15/28(1) | 230 | 213 | |
982 | |||
Investment Companies—0.7% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 390 | 322 | |
Iron & Steel—1.0% | |||
Cleveland-Cliffs, Inc. | |||
5.875%, 6/1/27 | 200 | 187 | |
144A 6.750%, 3/15/26(1) | 225 | 223 | |
410 | |||
Leisure Time—3.2% | |||
Carnival Corp. 144A 10.500%, 2/1/26(1) | 440 | 438 | |
NCL Corp., Ltd. 144A 7.750%, 2/15/29(1) | 310 | 237 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1) | 589 | 605 | |
144A 5.500%, 4/1/28(1) | 130 | 91 | |
1,371 | |||
Lodging—1.3% | |||
Hilton Domestic Operating Co., Inc. 4.875%, 1/15/30 | 115 | 104 |
Par Value | Value | ||
Lodging—continued | |||
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | $ 310 | $ 251 | |
MGM Resorts International 4.750%, 10/15/28 | 245 | 206 | |
561 | |||
Machinery-Construction & Mining—0.6% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 325 | 276 | |
Media—8.3% | |||
CCO Holdings LLC | |||
4.500%, 5/1/32 | 265 | 215 | |
144A 5.375%, 6/1/29(1) | 500 | 447 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(1) | 420 | 351 | |
DirecTV Financing LLC 144A 5.875%, 8/15/27(1) | 400 | 341 | |
DISH DBS Corp. 7.375%, 7/1/28 | 430 | 292 | |
Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1) | 245 | 196 | |
Gray Television, Inc. | |||
144A 7.000%, 5/15/27(1) | 335 | 322 | |
144A 4.750%, 10/15/30(1) | 245 | 192 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 275 | 219 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 360 | 329 | |
Scripps Escrow II, Inc. 144A 5.375%, 1/15/31(1) | 450 | 359 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 365 | 326 | |
3,589 | |||
Mining—0.7% | |||
Hudbay Minerals, Inc. 144A 6.125%, 4/1/29(1) | 385 | 312 | |
Oil, Gas & Consumable Fuels—9.7% | |||
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(1) | 324 | 330 | |
144A 5.375%, 3/1/30(1) | 175 | 160 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 440 | 423 | |
CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 355 | 328 | |
CNX Resources Corp. 144A 7.250%, 3/14/27(1) | 275 | 269 | |
Comstock Resources, Inc. 144A 6.750%, 3/1/29(1) | 475 | 425 | |
Occidental Petroleum Corp. | |||
8.875%, 7/15/30 | 150 | 172 | |
6.625%, 9/1/30 | 380 | 391 |
Par Value | Value | ||
Oil, Gas & Consumable Fuels—continued | |||
Range Resources Corp. 144A 4.750%, 2/15/30(1) | $ 305 | $ 273 | |
SM Energy Co. 6.500%, 7/15/28 | 360 | 331 | |
Southwestern Energy Co. 5.375%, 3/15/30 | 325 | 299 | |
Sunoco LP 5.875%, 3/15/28 | 235 | 214 | |
USA Compression Partners LP 6.875%, 9/1/27 | 355 | 315 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1) | 325 | 270 | |
4,200 | |||
Paper & Forest Products—0.7% | |||
Mercer International, Inc. 5.125%, 2/1/29 | 370 | 316 | |
Pharmaceuticals—4.2% | |||
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 500 | 351 | |
Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | 365 | 198 | |
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 325 | 313 | |
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 345 | 307 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 405 | 350 | |
Prestige Brands, Inc. 144A 5.125%, 1/15/28(1) | 295 | 274 | |
1,793 | |||
Pipelines—3.7% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 325 | 291 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | 395 | 345 | |
EQM Midstream Partners LP | |||
144A 6.500%, 7/1/27(1) | 110 | 102 | |
144A 7.500%, 6/1/30(1) | 330 | 317 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 405 | 365 | |
NuStar Logistics LP 6.375%, 10/1/30 | 205 | 178 | |
1,598 | |||
Real Estate—0.7% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 370 | 287 |
See Notes to Schedule of Investments
2
VIRTUS HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
Par Value | Value | ||
Retail—2.4% | |||
Asbury Automotive Group, Inc. | |||
144A 4.625%, 11/15/29(1) | $ 170 | $ 140 | |
144A 5.000%, 2/15/32(1) | 170 | 139 | |
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | 295 | 255 | |
Macy’s Retail Holdings LLC | |||
144A 5.875%, 3/15/30(1) | 150 | 126 | |
144A 6.125%, 3/15/32(1) | 135 | 113 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 345 | 277 | |
1,050 | |||
Semiconductors—1.5% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 445 | 421 | |
Entegris Escrow Corp. 144A 5.950%, 6/15/30(1) | 240 | 228 | |
649 | |||
Software—1.9% | |||
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 340 | 279 | |
Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 305 | 252 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 320 | 298 | |
829 | |||
Telecommunications—3.5% | |||
Frontier Communications Holdings LLC | |||
144A 5.000%, 5/1/28(1) | 300 | 255 | |
144A 6.000%, 1/15/30(1) | 240 | 185 | |
144A 8.750%, 5/15/30(1) | 225 | 227 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26 | 365 | 324 | |
LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 300 | 209 | |
Lumen Technologies, Inc. 144A 5.375%, 6/15/29(1) | 380 | 301 | |
1,501 | |||
Transportation—1.1% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | 325 | 318 | |
144A 5.500%, 5/1/28(1) | 170 | 140 | |
458 | |||
Total Corporate Bonds and Notes (Identified Cost $44,471) | 38,967 | ||
Shares | Value | ||
Preferred Stock—4.4% | |||
Entertainment—4.4% | |||
LiveStyle, Inc. Series B (2)(3)(4)(5)(6) | 18,941 | $ 1,888 | |
Total Preferred Stock (Identified Cost $1,857) | 1,888 | ||
Common Stocks—1.4% | |||
Banks—1.2% | |||
CCF Holdings LLC Class M(4)(5) | 293,320 | 82 | |
CCF Holdings LLC(4)(5) | 1,570,753 | 440 | |
522 | |||
Consumer Finance—0.2% | |||
Erickson, Inc.(4)(5) | 2,675 | 53 | |
Entertainment—0.0% | |||
LiveStyle, Inc. (2)(3)(4)(5)(6) | 67,983 | —(7) | |
Total Common Stocks (Identified Cost $4,945) | 575 | ||
Warrants—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(4)(5) | 485,227 | 53 | |
Media—0.0% | |||
Affinion Group Holdings(4)(5)(6) | 3,898 | — | |
Total Warrants (Identified Cost $770) | 53 | ||
Total Long-Term Investments—96.3% (Identified Cost $52,043) | 41,483 | ||
Short-Term Investment—1.5% | |||
Money Market Mutual Fund—1.5% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.316%) | 663,704 | 664 | |
Total Short-Term Investment (Identified Cost $664) | 664 | ||
TOTAL INVESTMENTS—97.8% (Identified Cost $52,707) | $42,147 | ||
Other assets and liabilities, net—2.2% | 954 | ||
NET ASSETS—100.0% | $43,101 |
Abbreviations: | |
EV | Enterprise Value |
LLC | Limited Liability Company |
LP | Limited Partnership |
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 $31,308 or 72.6% of net assets. |
(2) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 4.38% of net assets. |
(3) | Affiliated Investment. |
(4) | 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. |
(5) | Non-income producing. |
(6) | All or a portion of the security is restricted. |
(7) | Amount is less than $500. |
Country Weightings† | |
United States | 90% |
Canada | 3 |
Liberia | 2 |
United Kingdom | 1 |
Bermuda | 1 |
Panama | 1 |
Netherlands | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of June 30, 2022. |
See Notes to Schedule of Investments
3
VIRTUS HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
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: | |||||||
Corporate Bonds and Notes | $38,967 | $— | $38,967 | $— | |||
Equity Securities: | |||||||
Common Stocks | 575 | — | — | 575 | |||
Preferred Stock | 1,888 | — | — | 1,888 | |||
Warrants | 53 | — | — | 53(1) | |||
Money Market Mutual Fund | 664 | 664 | — | — | |||
Total Investments | $42,147 | $664 | $38,967 | $2,516 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
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.
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 | Common Stocks | Preferred Stocks | Warrants | ||||
Investments in Securities | |||||||
Balance as of September 30, 2021: | $ 3,539 | $ 1,417 | $ 1,894 | $ 228(a) | |||
Net realized gain (loss) | —(b) | — | — | —(b) | |||
Net change in unrealized appreciation (depreciation)(c) | (1,023) | (842) | (6) | (175) | |||
Sales | —(b) | — | — | —(b) | |||
Balance as of June 30, 2022 | $ 2,516 | $ 575 | $ 1,888 | $ 53(a) |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) Amount is less than $500.
(c) The net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022, was $(1,023).
See Notes to Schedule of Investments
4
VIRTUS HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2022
($ reported in thousands)
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at June 30, 2022:
Investments in Securities – Assets | Ending Balance at June 30, 2022 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $1,888 | Market and Company Comparables | EV Multiples | 1.37x (0.24x - 2.80x) | ||||
Illiquidity Discount | -75% - 30% | |||||||
Common Stocks: | ||||||||
CCF Holdings LLC | $440 | Market and Company Comparables | EV Multiples | 1.05x (0.60x - 1.49x) | ||||
0.60x (0.37x - 0.82x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $82 | Market and Company Comparables | EV Multiples | 1.05x (0.60x - 1.49x) | ||||
0.60x (0.37x - 0.82x) | ||||||||
Illiquidity Discount | 20% | |||||||
Erickson, Inc. | $53 | Market and Company Comparables | EV Multiples | 1.10x (0.64x - 2.41x) | ||||
10.56x (8.45x - 11.95x) | ||||||||
0.84x (0.45x - 1.45x) | ||||||||
M&A Transaction Multiples | 0.96x (0.41x - 1.96x) | |||||||
Illiquidity Discount | 20% | |||||||
LiveStyle, Inc. | $—(1) | Market and Company Comparables | EV Multiples | 1.37x (0.24x - 2.80x) | ||||
Illiquidity Discount | -75% - 30% | |||||||
Warrants: | ||||||||
CCF Holdings LLC | $53 | Market and Company Comparables | EV Multiples | 1.05x (0.60x - 1.49x) | ||||
0.60x (0.37x - 0.82x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 51.03% | ||||||
}(1) Amount is less than $500. |
See Notes to Schedule of Investments
5
VIRTUS High Yield Bond 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, Seix Investment Advisors, a division of Virtus Fixed Income Advisers LLC and an affiliate of Virtus Investment Advisers, Inc., replaced AllianzGI U.S. as subadviser of the Virtus High Yield Bond Fund. Effective July 25, 2022, the Virtus High Yield Fund was renamed the Virtus Seix High Yield Income Fund.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
6