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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
100 Pearl Street
Hartford, CT 06103-4506
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
100 Pearl Street
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: June 30, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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SEMIANNUAL REPORT | ||||
VIRTUS VARIABLE INSURANCE TRUST |
June 30, 2017
Virtus Duff & Phelps International Series (f/k/a Virtus International Series)
|
Virtus Duff & Phelps Real Estate Securities Series (f/k/a Virtus Real Estate Securities Series)
|
Virtus Equity Trend Series*
|
Virtus KAR Capital Growth Series (f/k/a Virtus Capital Growth Series)
|
Virtus KAR Small-Cap Growth Series (f/k/a Virtus Small-Cap Growth Series)
|
Virtus KAR Small-Cap Value Series (f/k/a Virtus Small-Cap Value Series)
|
Virtus Newfeet Multi-Sector Intermediate Bond Series (f/k/a Virtus Multi-Sector Fixed Income Series)
|
Virtus Rampart Enhanced Core Equity Series (f/k/a Virtus Enhanced Core Equity Series)
|
Virtus Strategic Allocation Series
|
* Prospectus supplement applicable to this Series appears at the back of this semiannual report.
The Semiannual Report describes one or more Series available for underlying investment through your variable contract. For information about your variable contract, including information about insurance-related expenses, see the prospectus for your variable contract. |
Not FDIC Insured
No Bank Guarantee
May Lose Value
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1 | ||||
2 | ||||
4 | ||||
6 | ||||
Series | Schedule of Investments | |||
7 | ||||
9 | ||||
10 | ||||
Virtus KAR Capital Growth Series (“KAR Capital Growth Series”) | 12 | |||
13 | ||||
14 | ||||
15 | ||||
24 | ||||
Virtus Strategic Allocation Series (“Strategic Allocation Series”) | 28 | |||
36 | ||||
39 | ||||
42 | ||||
45 | ||||
49 | ||||
Consideration of Subadvisory Agreement For Virtus Equity Trend Series by the Board of Trustees | 58 |
Proxy Voting Procedures and Voting Record (Form N-PX)
The adviser and subadvisers vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Series voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-367-5877. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Form N-Q Information
The Trust files a complete schedule of portfolio holdings for each Series with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
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Dear Virtus Variable Insurance Trust Investors:
I am pleased to present this report that reviews the performance of your fund for the six-month period ended June 30, 2017.
The Federal Reserve (“the Fed”) raised interest rates twice during the six months – first in March, then again in June – a clear signal that it believes the U.S. economy is on a growth path, as evidenced by strong employment, housing, and consumer spending data. At the same time, other major central banks renewed their commitments to monetary stimulus, adding further reassurance to global markets. Rounding out the optimistic picture, corporate earnings were generally strong for the first and second quarters of 2017. The expected pro-growth policies of the new administration, if implemented, could have continued positive impacts on earnings and the markets.
The post-election “Trump bump” that lifted equities at the end of 2016 continued through the first half of 2017. U.S. large- and small-cap stocks returned 9.34% and 4.99%, as measured by the performance of the S&P 500® Index and Russell 2000® Index, respectively. Within international equities, emerging markets outperformed their developed peers, with the MSCI Emerging Markets Index (net) up 18.43%, compared with the MSCI EAFE® Index (net), which returned 13.81%.
Demand for U.S. Treasuries remained strong, driven by foreign investors who favored their yield advantage and credit quality over many foreign government bonds. On June 30, 2017, the benchmark 10-year U.S. Treasury yielded 2.31%, as compared with 2.45% six months earlier. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, increased 2.27% for the six months, while non-investment grade bonds gained 4.93%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to both traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion against inevitable market fluctuations. Your financial advisor can help ensure that your variable investment portfolio is adequately diversified across asset classes and investment strategies.
On behalf of our investment affiliates, thank you for entrusting Virtus with your assets. Should you have questions about your account or require assistance, please visit our website at Virtus.com, or call our customer service team at 1-800-367-5877. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward
President, Virtus Variable Insurance Trust
July 2017
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above.
1
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American Depositary Receipt (ADR)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Exchange-Traded Fund (ETF)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the Fed)
The Central Bank of the United States, responsible for controlling the money supply, interest rates and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches and all national and state banks that are part of the system.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Payment-in-Kind Security (PIK)
A bond which pays interest in the form of additional bonds, or preferred stock which pays dividends in the form of additional preferred stock.
Real Estate Investment Trust (REIT)
A publicly traded company that owns, develops and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
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KEY INVESTMENT TERMS (Continued)
Sponsored ADR (American Depositary Receipt)
An ADR which is issued with the cooperation of the company whose stock will underlie the ADR. Sponsored ADRs generally carry the same rights normally given to stockholders, such as voting rights. ADRs must be sponsored to be able to trade on a major U.S. exchange such as the New York Stock Exchange (“NYSE”).
Treasury Yield
The return on investment, expressed as a percentage, on the U.S. government’s debt obligations (bonds, notes and bills). The Treasury yield is considered a bellwether of the U.S. economy; the higher the yields on 10-, 20- and 30-year Treasuries, the better the economic outlook.
3
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VIRTUS VARIABLE INSURANCE TRUST
Disclosure of Series Expenses (Unaudited)
For the six-month period of January 1, 2017 to June 30, 2017
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Series (each a “Series”) of Virtus Variable Insurance Trust (the “Trust”), you incur ongoing costs including investment advisory fees and other expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Series and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The following Expense Table illustrates a Series’ costs in two ways.
Actual Expenses
The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The expense estimate does not include the fees or expenses associated with the separate insurance accounts, and if such charges were included, your costs would have been higher.
Hypothetical Example for Comparison Purposes
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on a Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Series and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect additional fees and expenses associated with the annuity or life insurance policy through which you invest. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if the annuity or life insurance policy costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Expense Table | ||||||||||||||||
Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Duff & Phelps International Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,065.70 | 1.16 | % | $ | 5.94 | ||||||||
Class I | 1,000.00 | 1,066.20 | 0.91 | 4.66 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.04 | 1.16 | 5.81 | ||||||||||||
Class I | 1,000.00 | 1,020.28 | 0.91 | 4.56 | ||||||||||||
Duff & Phelps Real Estate Securities Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,015.80 | 1.15 | % | $ | 5.75 | ||||||||
Class I | 1,000.00 | 1,017.10 | 0.91 | 4.55 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.09 | 1.15 | 5.76 | ||||||||||||
Class I | 1,000.00 | 1,020.28 | 0.91 | 4.56 | ||||||||||||
Equity Trend Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,087.00 | 1.70 | % | $ | 8.80 | ||||||||
Class I | 1,000.00 | 1,088.10 | 1.45 | 7.51 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,016.36 | 1.70 | 8.50 | ||||||||||||
Class I | 1,000.00 | 1,017.60 | 1.45 | 7.25 | ||||||||||||
KAR Capital Growth Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,208.00 | 1.03 | % | $ | 5.64 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.69 | 1.03 | 5.16 | ||||||||||||
KAR Small-Cap Growth Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,178.90 | 1.19 | % | $ | 6.43 | ||||||||
Class I | 1,000.00 | 1,180.10 | 0.93 | 5.03 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.89 | 1.19 | 5.96 | ||||||||||||
Class I | 1,000.00 | 1,020.18 | 0.93 | 4.66 | ||||||||||||
KAR Small-Cap Value Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,069.30 | 1.20 | % | $ | 6.16 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,018.84 | 1.20 | 6.01 | ||||||||||||
Newfleet Multi-Sector Intermediate Bond Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,041.50 | 0.93 | % | $ | 4.71 | ||||||||
Class I | 1,000.00 | 1,042.90 | 0.68 | 3.44 | ||||||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,020.18 | 0.93 | 4.66 | ||||||||||||
Class I | 1,000.00 | 1,021.42 | 0.68 | 3.41 |
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VIRTUS VARIABLE INSURANCE TRUST
Disclosure of Series Expenses (Unaudited) (Continued)
For the six-month period of January 1, 2017 to June 30, 2017
Expense Table | ||||||||||||||||
Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Rampart Enhanced Core Equity Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,091.30 | 0.98 | % | $ | 5.08 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 | ||||||||||||
Strategic Allocation Series |
| |||||||||||||||
Actual |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,104.60 | 0.98 | % | $ | 5.11 | ||||||||
Hypothetical (5% return before expenses) |
| |||||||||||||||
Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. Exceptions noted below. |
A Series may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. |
You can find more information about a Series’ expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, including contractual charges associated with the separate account, refer to the Series prospectus and the contract prospectus. |
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VIRTUS VARIABLE INSURANCE TRUST
Portfolio Holdings Summary Weightings (Unaudited)
June 30, 2017
For each Series, the following tables present portfolio holdings within certain sectors and as a percentage of total investments attributable to each sector.
Duff & Phelps International Series | ||||
Industrials | 23 | % | ||
Financials | 20 | |||
Consumer Discretionary | 11 | |||
Information Technology | 9 | |||
Consumer Staples | 8 | |||
Health Care | 7 | |||
Telecommunication Services | 5 | |||
Other | 17 | |||
|
| |||
Total | 100 | % | ||
|
|
Duff & Phelps Real Estate Securities Series | ||||
Office | 17 | % | ||
Apartments | 15 | |||
Industrials | 11 | |||
Shopping Centers | 10 | |||
Data Centers | 9 | |||
Regional Malls | 8 | |||
Self Storage | 7 | |||
Other | 23 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Trend Series | ||||
Consumer Discretionary | 27 | % | ||
Information Technology | 18 | |||
Industrials | 15 | |||
Financials | 10 | |||
Materials | 8 | |||
Consumer Staples | 6 | |||
Real Estate | 6 | |||
Other | 10 | |||
|
| |||
Total | 100 | % | ||
|
|
KAR Capital Growth Series | ||||
Information Technology | 39 | % | ||
Consumer Discretionary | 26 | |||
Health Care | 11 | |||
Consumer Staples | 8 | |||
Industrials | 5 | |||
Financials | 5 | |||
Energy | 4 | |||
Materials | 2 | |||
|
| |||
Total | 100 | % | ||
|
|
KAR Small-Cap Growth Series | ||||
Information Technology | 25 | % | ||
Industrials | 22 | |||
Consumer Discretionary | 20 | |||
Financials | 15 | |||
Health Care | 11 | |||
Consumer Staples | 7 | |||
|
| |||
Total | 100 | % | ||
|
|
KAR Small-Cap Value Series | ||||
Industrials | 22 | % | ||
Information Technology | 22 | |||
Financials | 15 | |||
Consumer Discretionary | 14 | |||
Real Estate | 8 | |||
Health Care | 7 | |||
Consumer Staples | 6 | |||
Other | 6 | |||
|
| |||
Total | 100 | % | ||
|
|
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Corporate Bonds and Notes | 51 | % | ||||||
Financials | 15 | % | ||||||
Energy | 11 | |||||||
Materials | 6 | |||||||
Total of all others | 19 | |||||||
Mortgage-Backed Securities | 16 | |||||||
Foreign Government Securities | 12 | |||||||
Loan Agreements | 9 | |||||||
Asset-Backed Securities | 4 | |||||||
Preferred Stocks | 4 | |||||||
Other | 4 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
Rampart Enhanced Core Equity Series | ||||
Information Technology | 22 | % | ||
Financials | 17 | |||
Health Care | 14 | |||
Consumer Discretionary | 12 | |||
Industrials | 10 | |||
Consumer Staples | 9 | |||
Energy | 5 | |||
Other (includes purchased and written options) | 11 | |||
|
| |||
Total | 100 | % | ||
|
|
Strategic Allocation Series | ||||||||
Common Stocks | 61 | % | ||||||
Information Technology | 20 | % | ||||||
Consumer Discretionary | 13 | |||||||
Health Care | 6 | |||||||
Total of all other common stock sectors | 22 | |||||||
Corporate Bonds and Notes | 18 | |||||||
Financials | 7 | |||||||
Real Estate | 2 | |||||||
Total of all other corporate bond sectors | 9 | |||||||
Mortgage-Backed Securities | 10 | |||||||
U.S. Government Securities | 2 | |||||||
Asset-Backed Securities | 2 | |||||||
Municipal Bonds | 2 | |||||||
Preferred Stocks | 1 | |||||||
Other | 4 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
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VIRTUS DUFF & PHELPS INTERNATIONAL SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
PREFERRED STOCKS—2.9% | ||||||||
Consumer Staples—2.9% | ||||||||
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 1.507% (Brazil) | 265,345 | $ | 5,218 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $4,372) | 5,218 | |||||||
COMMON STOCKS—94.9% | ||||||||
Consumer Discretionary—10.4% | ||||||||
IMAX Corp. (Canada)(2) | 171,675 | 3,777 | ||||||
Kroton Educacional SA (Brazil) | 818,300 | 3,665 | ||||||
Sony Corp. (Japan) | 165,475 | 6,306 | ||||||
Subaru Corp. (Japan) | 140,370 | 4,725 | ||||||
|
| |||||||
18,473 | ||||||||
|
| |||||||
Consumer Staples—5.4% | ||||||||
British American Tobacco plc (United Kingdom) | 74,295 | 5,065 | ||||||
Marine Harvest ASA (Norway)(2) | 263,632 | 4,512 | ||||||
|
| |||||||
9,577 | ||||||||
|
| |||||||
Energy—4.8% | ||||||||
Statoil ASA (Norway) | 281,430 | 4,665 | ||||||
TechnipFMC plc (France)(2) | 145,970 | 3,959 | ||||||
|
| |||||||
8,624 | ||||||||
|
| |||||||
Financials—19.2% | ||||||||
BNP Paribas SA (France) | 82,870 | 5,969 | ||||||
CaixaBank SA (Spain) | 1,096,042 | 5,233 | ||||||
DBS Group Holdings Ltd. (Singapore) | 396,900 | 5,979 | ||||||
ING Groep NV (Netherlands) | 345,528 | 5,959 | ||||||
ORIX Corp. (Japan) | 371,705 | 5,750 | ||||||
UBS Group AG Registered Shares (Switzerland) | 317,663 | 5,380 | ||||||
|
| |||||||
34,270 | ||||||||
|
|
SHARES | VALUE | |||||||
Health Care—6.9% | ||||||||
Allergan plc (Ireland) | 23,366 | $ | 5,680 | |||||
Icon plc (Ireland)(2) | 67,088 | 6,561 | ||||||
|
| |||||||
12,241 | ||||||||
|
| |||||||
Industrials—22.6% | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 138,782 | 5,362 | ||||||
Airbus SE (France) | 75,935 | 6,245 | ||||||
Ashtead Group plc (United Kingdom) | 324,590 | 6,718 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 431,500 | 5,416 | ||||||
Hitachi Ltd. (Japan) | 790,000 | 4,842 | ||||||
Nidec Corp. (Japan) | 60,430 | 6,184 | ||||||
RELX plc (United Kingdom) | 251,994 | 5,448 | ||||||
|
| |||||||
40,215 | ||||||||
|
| |||||||
Information Technology—8.8% | ||||||||
Broadcom Ltd. (Singapore) | 22,442 | 5,230 | ||||||
Check Point Software Technologies Ltd. (Israel)(2) | 47,075 | 5,135 | ||||||
SAP SE (Germany) | 50,585 | 5,284 | ||||||
|
| |||||||
15,649 | ||||||||
|
| |||||||
Materials—5.2% | ||||||||
Fortescue Metals Group Ltd. (Australia) | 1,071,301 | 4,298 | ||||||
Toray Industries, Inc. (Japan) | 594,370 | 4,969 | ||||||
|
| |||||||
9,267 | ||||||||
|
| |||||||
Real Estate—3.7% | ||||||||
LendLease Group (Australia) | 512,170 | 6,554 | ||||||
|
| |||||||
Telecommunication Services—5.2% | ||||||||
Nippon Telegraph & Telephone Corp. (Japan) | 99,985 | 4,720 | ||||||
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 13,678,900 | 4,641 | ||||||
|
| |||||||
9,361 | ||||||||
|
|
SHARES | VALUE | |||||||
Utilities—2.7% | ||||||||
Veolia Environnement SA (France) | 227,142 | $ | 4,799 | |||||
TOTAL COMMON STOCKS (Identified Cost $150,780) | 169,030 | |||||||
RIGHTS—0.1% | ||||||||
Industrials—0.1% | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 138,782 | 111 | ||||||
TOTAL RIGHTS (Identified Cost $117) | 111 | |||||||
TOTAL LONG TERM INVESTMENTS—97.9% | ||||||||
(Identified Cost $155,269) | 174,359 | |||||||
TOTAL INVESTMENTS—97.9% (Identified Cost $155,269) | 174,359 | (1) | ||||||
Other assets and liabilities, net—2.1% |
| 3,809 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 178,168 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
Country Weightings† | ||||
Japan | 22 | % | ||
France | 12 | |||
United Kingdom | 10 | |||
Ireland | 7 | |||
Singapore | 6 | |||
Australia | 6 | |||
Spain | 6 | |||
Other | 31 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2017 |
|
At June 30, 2017, the Series had entered into forward currency contracts as follows (reported in 000’s):
Contracts to Buy | In Exchange for | Counterparty | Settlement Date | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
JPY 2,676,488 | USD 24,123 | JP Morgan | 7/18/2017 | 23,816 | $ | (307 | ) | |||||||||||||
Contracts to Sell |
| |||||||||||||||||||
JPY 2,676,488 | USD 23,433 | JP Morgan | 7/18/2017 | 23,050 | $ | (383 | ) | |||||||||||||
|
| |||||||||||||||||||
Total | $ | (690 | ) | |||||||||||||||||
|
|
JPY | Japanese Yen |
USD | United States Dollar |
See Notes to Financial Statements
7
Table of Contents
VIRTUS DUFF & PHELPS INTERNATIONAL SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 169,030 | $ | 169,030 | $ | — | ||||||
Preferred Stock | 5,218 | 5,218 | — | |||||||||
Rights | 111 | 111 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 174,359 | $ | 174,359 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments: | ||||||||||||
Forward Currency Contracts* | $ | (690 | ) | $ | — | $ | (690 | ) | ||||
|
|
|
|
|
|
* | Valued at the unrealized appreciation (depreciation) on the investment. |
There are no Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
See Notes to Financial Statements
8
Table of Contents
VIRTUS DUFF & PHELPS REAL ESTATE SECURITIES SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.8% | ||||||||
Real Estate Investment Trusts—98.8% | ||||||||
Data Centers—9.3% | ||||||||
CoreSite Realty Corp. | 9,400 | $ | 973 | |||||
CyrusOne, Inc. | 19,100 | 1,065 | ||||||
Digital Realty Trust, Inc. | 26,550 | 2,999 | ||||||
Equinix, Inc. | 5,375 | 2,307 | ||||||
|
| |||||||
7,344 | ||||||||
|
| |||||||
Diversified—3.8% | ||||||||
Vornado Realty Trust | 31,900 | 2,995 | ||||||
|
| |||||||
Health Care—4.9% | ||||||||
Healthcare Realty Trust, Inc. | 34,491 | 1,178 | ||||||
Healthcare Trust of America, Inc. Class A | 74,900 | 2,330 | ||||||
Welltower, Inc. | 5,510 | 412 | ||||||
|
| |||||||
3,920 | ||||||||
|
| |||||||
Industrial/Office—28.1% | ||||||||
Industrial—11.1% | ||||||||
DCT Industrial Trust, Inc. | 48,057 | 2,568 | ||||||
Duke Realty Corp. | 68,298 | 1,909 | ||||||
Prologis, Inc. | 73,764 | 4,326 | ||||||
|
| |||||||
8,803 | ||||||||
|
| |||||||
Office—17.0% | ||||||||
Alexandria Real Estate Equities, Inc. | 21,300 | 2,566 | ||||||
Boston Properties, Inc. | 15,914 | 1,958 | ||||||
Cousins Properties, Inc. | 167,180 | 1,469 | ||||||
Douglas Emmett, Inc. | 51,414 | 1,964 | ||||||
Highwoods Properties, Inc. | 31,867 | 1,616 | ||||||
Kilroy Realty Corp. | 26,664 | 2,004 | ||||||
Paramount Group, Inc. | 116,360 | 1,862 | ||||||
|
| |||||||
13,439 | ||||||||
|
| |||||||
Total Industrial / Office | 22,242 | |||||||
|
| |||||||
Lodging/Resorts—4.1% | ||||||||
Host Hotels & Resorts, Inc. | 38,604 | 705 | ||||||
Pebblebrook Hotel Trust | 33,465 | 1,079 | ||||||
RLJ Lodging Trust | 74,653 | 1,484 | ||||||
|
| |||||||
3,268 | ||||||||
|
| |||||||
Residential—22.3% | ||||||||
Apartments—14.5% | ||||||||
American Campus Communities, Inc. | 31,187 | 1,475 | ||||||
Apartment Investment & Management Co. Class A | 59,700 | 2,566 | ||||||
AvalonBay Communities, Inc. | 14,404 | 2,768 | ||||||
Equity Residential | 39,331 | 2,589 | ||||||
Essex Property Trust, Inc. | 8,155 | 2,098 | ||||||
|
| |||||||
11,496 | ||||||||
|
|
SHARES | VALUE | |||||||
Manufactured Homes—4.5% | ||||||||
Equity LifeStyle Properties, Inc. | 13,642 | $ | 1,178 | |||||
Sun Communities, Inc. | 26,850 | 2,354 | ||||||
|
| |||||||
3,532 | ||||||||
|
| |||||||
Single Family Homes—3.3% | ||||||||
American Homes 4 Rent Class A | 115,300 | 2,602 | ||||||
|
| |||||||
Total Residential | 17,630 | |||||||
|
| |||||||
Retail—19.4% | ||||||||
Free Standing—1.9% | ||||||||
STORE Capital Corp. | 68,377 | 1,535 | ||||||
|
| |||||||
Regional Malls—8.2% | ||||||||
GGP, Inc. | 25,421 | 599 | ||||||
Simon Property Group, Inc. | 36,301 | 5,872 | ||||||
|
| |||||||
6,471 | ||||||||
|
| |||||||
Shopping Centers—9.3% | ||||||||
Brixmor Property Group, Inc. | 89,802 | 1,606 | ||||||
Federal Realty Investment Trust | 13,500 | 1,706 | ||||||
Regency Centers Corp. | 39,750 | 2,490 | ||||||
Tanger Factory Outlet Centers, Inc. | 60,353 | 1,568 | ||||||
|
| |||||||
7,370 | ||||||||
|
| |||||||
Total Retail | 15,376 | |||||||
|
| |||||||
Self Storage—6.9% | ||||||||
CubeSmart | 97,400 | 2,342 | ||||||
Extra Space Storage, Inc. | 28,478 | 2,221 | ||||||
Public Storage | 4,511 | 941 | ||||||
|
| |||||||
5,504 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $56,542) | 78,279 | |||||||
TOTAL LONG TERM INVESTMENTS—98.8% | ||||||||
(Identified Cost $56,542) | 78,279 | |||||||
TOTAL INVESTMENTS—98.8% | ||||||||
(Identified Cost $56,542) | 78,279 | (1) | ||||||
Other assets and liabilities, net—1.2% |
| 961 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 79,240 | ||||||
|
|
Footnote Legend
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 78,279 | $ | 78,279 | ||||
|
|
|
| |||||
Total Investments | $ | 78,279 | $ | 78,279 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
See Notes to Financial Statements
9
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.8% | ||||||||
Consumer Discretionary—27.2% | ||||||||
Amazon.com, Inc.(2) | 44 | $ | 43 | |||||
Best Buy Co., Inc. | 1,134 | 65 | ||||||
BorgWarner, Inc. | 406 | 17 | ||||||
Carnival Corp. | 302 | 20 | ||||||
CBS Corp. Class B | 551 | 35 | ||||||
Charter Communications, Inc. Class A(2) | 50 | 17 | ||||||
Chipotle Mexican Grill, Inc.(2) | 7 | 3 | ||||||
Comcast Corp. Class A | 1,102 | 43 | ||||||
Darden Restaurants, Inc. | 31 | 3 | ||||||
Delphi Automotive plc | 548 | 48 | ||||||
Discovery Communications, Inc. Class A(2) | 226 | 6 | ||||||
Discovery Communications, Inc. Class C(2) | 319 | 8 | ||||||
DISH Network Corp. Class A(2) | 53 | 3 | ||||||
Expedia, Inc. | 14 | 2 | ||||||
Garmin Ltd. | 1,264 | 64 | ||||||
Goodyear Tire & Rubber Co. (The) | 1,849 | 65 | ||||||
H&R Block, Inc. | 2,071 | 64 | ||||||
Harley-Davidson, Inc. | 1,177 | 64 | ||||||
Home Depot, Inc. (The) | 310 | 47 | ||||||
Interpublic Group of Cos., Inc. (The) | 858 | 21 | ||||||
Leggett & Platt, Inc. | 384 | 20 | ||||||
Lowe’s Cos., Inc. | 220 | 17 | ||||||
Marriott International, Inc. Class A | 227 | 23 | ||||||
McDonald’s Corp. | 202 | 31 | ||||||
Mohawk Industries, Inc.(2) | 181 | 44 | ||||||
Netflix, Inc.(2) | 48 | 7 | ||||||
Newell Brands, Inc. | 1,207 | 65 | ||||||
Omnicom Group, Inc. | 513 | 42 | ||||||
Priceline Group, Inc. (The)(2) | 6 | 11 | ||||||
Royal Caribbean Cruises Ltd. | 121 | 13 | ||||||
Scripps Networks Interactive, Inc. Class A | 141 | 10 | ||||||
Starbucks Corp. | 360 | 21 | ||||||
TEGNA, Inc. | 318 | 5 | ||||||
TripAdvisor, Inc.(2) | 13 | — | (3) | |||||
Whirlpool Corp. | 338 | 65 | ||||||
Wyndham Worldwide Corp. | 76 | 8 | ||||||
Wynn Resorts Ltd. | 474 | 63 | ||||||
Yum! Brands, Inc. | 83 | 6 | ||||||
|
| |||||||
1,089 | ||||||||
|
| |||||||
Consumer Staples—6.4% | ||||||||
Altria Group, Inc. | 324 | 24 | ||||||
Brown-Forman Corp. Class B | 282 | 14 | ||||||
Campbell Soup Co. | 45 | 2 | ||||||
Conagra Brands, Inc. | 95 | 3 | ||||||
Constellation Brands, Inc. Class A | 275 | 53 | ||||||
General Mills, Inc. | 134 | 8 | ||||||
Hershey Co. (The) | 32 | 4 | ||||||
Hormel Foods Corp. | 62 | 2 | ||||||
J.M. Smucker Co. (The) | 27 | 3 | ||||||
Kellogg Co. | 58 | 4 | ||||||
Kraft Heinz Co.(The) | 137 | 12 | ||||||
McCormick & Co., Inc. | 26 | 3 | ||||||
Mondelez International, Inc. Class A | 352 | 15 | ||||||
Philip Morris International, Inc. | 259 | 30 | ||||||
Reynolds American, Inc. | 138 | 9 | ||||||
Sysco Corp. | 1,290 | 65 |
SHARES | VALUE | |||||||
Consumer Staples—continued | ||||||||
Tyson Foods, Inc. Class A | 66 | $ | 4 | |||||
|
| |||||||
255 | ||||||||
|
| |||||||
Energy—1.6% | ||||||||
Marathon Petroleum Corp. | 323 | 17 | ||||||
Phillips 66 | 270 | 22 | ||||||
Tesoro Corp. | 72 | 7 | ||||||
Valero Energy Corp. | 276 | 18 | ||||||
|
| |||||||
64 | ||||||||
|
| |||||||
Financials—9.7% | ||||||||
Aflac, Inc. | 137 | 11 | ||||||
Allstate Corp. (The) | 128 | 11 | ||||||
Aon plc | 162 | 22 | ||||||
Bank of America Corp. | 604 | 15 | ||||||
BB&T Corp. | 197 | 9 | ||||||
Charles Schwab Corp. (The) | 357 | 15 | ||||||
Chubb Ltd. | 163 | 24 | ||||||
Cincinnati Financial Corp. | 52 | 4 | ||||||
Citigroup, Inc. | 167 | 11 | ||||||
Citizens Financial Group, Inc. | 124 | 4 | ||||||
Comerica, Inc. | 43 | 3 | ||||||
E*Trade Financial Corp.(2) | 81 | 3 | ||||||
Fifth Third Bancorp | 183 | 5 | ||||||
Gallagher (Arthur J.) & Co. | 110 | 6 | ||||||
Goldman Sachs Group, Inc. (The) | 109 | 24 | ||||||
Huntington Bancshares, Inc. | 265 | 4 | ||||||
JPMorgan Chase & Co. | 215 | 20 | ||||||
KeyCorp | 261 | 5 | ||||||
Lincoln National Corp. | 77 | 5 | ||||||
M&T Bank Corp. | 38 | 6 | ||||||
Marsh & McLennan Cos., Inc. | 317 | 25 | ||||||
MetLife, Inc. | 372 | 20 | ||||||
Morgan Stanley | 422 | 19 | ||||||
People’s United Financial, Inc. | 84 | 1 | ||||||
PNC Financial Services Group, Inc. (The) | 119 | 15 | ||||||
Principal Financial Group, Inc. | 91 | 6 | ||||||
Progressive Corp. (The) | 203 | 9 | ||||||
Prudential Financial, Inc. | 147 | 16 | ||||||
Raymond James Financial, Inc. | 38 | 3 | ||||||
Regions Financial Corp. | 294 | 4 | ||||||
SunTrust Banks, Inc. | 120 | 7 | ||||||
Torchmark Corp. | 37 | 3 | ||||||
Travelers Cos., Inc. (The) | 98 | 12 | ||||||
U.S. Bancorp | 96 | 5 | ||||||
Unum Group | 78 | 4 | ||||||
Wells Fargo & Co. | 271 | 15 | ||||||
Willis Towers Watson plc | 78 | 11 | ||||||
XL Group Ltd. | 93 | 4 | ||||||
Zions Bancorporation | 49 | 2 | ||||||
|
| |||||||
388 | ||||||||
|
| |||||||
Health Care—4.8% | ||||||||
Abbott Laboratories | 199 | 10 | ||||||
Aetna, Inc. | 57 | 9 | ||||||
Agilent Technologies, Inc. | 137 | 8 | ||||||
Anthem, Inc. | 46 | 9 | ||||||
Bard (C.R.), Inc. | 8 | 3 | ||||||
Baxter International, Inc. | 56 | 3 | ||||||
Becton, Dickinson & Co. | 26 | 5 | ||||||
Boston Scientific Corp.(2) | 157 | 4 |
SHARES | VALUE | |||||||
Health Care—continued | ||||||||
Centene Corp.(2) | 30 | $ | 2 | |||||
Cigna Corp. | 45 | 8 | ||||||
Danaher Corp. | 70 | 6 | ||||||
Edwards Lifesciences Corp.(2) | 25 | 3 | ||||||
Hologic, Inc.(2) | 32 | 1 | ||||||
Humana, Inc. | 26 | 6 | ||||||
IDEXX Laboratories, Inc.(2) | 10 | 2 | ||||||
Illumina, Inc.(2) | 62 | 11 | ||||||
Intuitive Surgical, Inc.(2) | 4 | 4 | ||||||
Medtronic plc | 158 | 14 | ||||||
Mettler-Toledo International, Inc.(2) | 11 | 6 | ||||||
PerkinElmer, Inc. | 47 | 3 | ||||||
Stryker Corp. | 36 | 5 | ||||||
Thermo Fisher Scientific, Inc. | 166 | 29 | ||||||
UnitedHealth Group, Inc. | 167 | 31 | ||||||
Varian Medical Systems, Inc.(2) | 11 | 1 | ||||||
Waters Corp.(2) | 34 | 6 | ||||||
Zimmer Biomet Holdings, Inc. | 23 | 3 | ||||||
|
| |||||||
192 | ||||||||
|
| |||||||
Industrials—14.4% | ||||||||
3M Co. | 79 | 16 | ||||||
Alaska Air Group, Inc. | 59 | 5 | ||||||
Allegion plc | 87 | 7 | ||||||
American Airlines Group, Inc. | 240 | 12 | ||||||
Arconic, Inc. | 58 | 1 | ||||||
Boeing Co. (The) | 75 | 15 | ||||||
Cintas Corp. | 508 | 64 | ||||||
CSX Corp. | 322 | 18 | ||||||
Deere & Co. | 522 | 65 | ||||||
Delta Air Lines, Inc. | 348 | 19 | ||||||
Dover Corp. | 56 | 5 | ||||||
Flowserve Corp. | 47 | 2 | ||||||
Fortive Corp. | 108 | 7 | ||||||
Fortune Brands Home & Security, Inc. | 140 | 9 | ||||||
General Dynamics Corp. | 37 | 7 | ||||||
General Electric Co. | 1,153 | 31 | ||||||
Honeywell International, Inc. | 101 | 13 | ||||||
Illinois Tool Works, Inc. | 112 | 16 | ||||||
Ingersoll-Rand plc | 93 | 9 | ||||||
Johnson Controls International plc | 857 | 37 | ||||||
Kansas City Southern | 37 | 4 | ||||||
L3 Technologies, Inc. | 10 | 2 | ||||||
Lockheed Martin Corp. | 33 | 9 | ||||||
Masco Corp. | 293 | 11 | ||||||
Norfolk Southern Corp. | 101 | 12 | ||||||
Northrop Grumman Corp. | 23 | 6 | ||||||
Parker Hannifin Corp. | 48 | 8 | ||||||
Pentair plc | 60 | 4 | ||||||
Raytheon Co. | 38 | 6 | ||||||
Republic Services, Inc. | 290 | 19 | ||||||
Rockwell Collins, Inc. | 21 | 2 | ||||||
Roper Technologies, Inc. | 13 | 3 | ||||||
Snap-on, Inc. | 21 | 3 | ||||||
Southwest Airlines Co. | 293 | 18 | ||||||
Stanley Black & Decker, Inc. | 55 | 8 | ||||||
Stericycle, Inc.(2) | 107 | 8 | ||||||
Textron, Inc. | 35 | 2 | ||||||
TransDigm Group, Inc. | 7 | 2 | ||||||
Union Pacific Corp. | 283 | 31 | ||||||
United Continental Holdings, Inc.(2) | 136 | 10 | ||||||
United Technologies Corp. | 98 | 12 |
Refer to Footnote Legend on page 11.
See Notes to Financial Statements
10
Table of Contents
VIRTUS EQUITY TREND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
Industrials—continued | ||||||||
Waste Management, Inc. | 509 | $ | 37 | |||||
Xylem, Inc. | 65 | 4 | ||||||
|
| |||||||
579 | ||||||||
|
| |||||||
Information Technology—17.3% | ||||||||
Activision Blizzard, Inc. | 600 | 35 | ||||||
Adobe Systems, Inc.(2) | 155 | 22 | ||||||
Advanced Micro Devices, Inc.(2) | 77 | 1 | ||||||
Akamai Technologies, Inc.(2) | 11 | 1 | ||||||
Alliance Data Systems Corp. | 7 | 2 | ||||||
Alphabet, Inc. Class A(2) | 19 | 18 | ||||||
Alphabet, Inc. Class C(2) | 19 | 17 | ||||||
Altaba Inc.(2) | 55 | 3 | ||||||
Amphenol Corp. Class A | 385 | 28 | ||||||
Analog Devices, Inc. | 37 | 3 | ||||||
Apple, Inc. | 384 | 55 | ||||||
Applied Materials, Inc. | 816 | 34 | ||||||
Autodesk, Inc.(2) | 61 | 6 | ||||||
Automatic Data Processing, Inc. | 55 | 6 | ||||||
Broadcom Ltd. | 40 | 9 | ||||||
CA, Inc. | 27 | 1 | ||||||
Citrix Systems, Inc.(2) | 49 | 4 | ||||||
Corning, Inc. | 1,162 | 35 | ||||||
eBay, Inc.(2) | 63 | 2 | ||||||
Electronic Arts, Inc.(2) | 267 | 28 | ||||||
Facebook, Inc. Class A(2) | 148 | 22 | ||||||
Fidelity National Information Services, Inc. | 40 | 3 | ||||||
Fiserv, Inc.(2) | 26 | 3 | ||||||
FLIR Systems, Inc. | 1,840 | 64 | ||||||
Global Payments, Inc. | 19 | 2 | ||||||
Hewlett Packard Enterprise Co. | 121 | 2 | ||||||
HP, Inc. | 124 | 2 | ||||||
Intel Corp. | 475 | 16 | ||||||
Intuit, Inc. | 76 | 10 | ||||||
KLA-Tencor Corp. | 118 | 11 | ||||||
Lam Research Corp. | 123 | 17 | ||||||
Mastercard, Inc. Class A | 116 | 14 | ||||||
Microchip Technology, Inc. | 22 | 2 | ||||||
Micron Technology, Inc.(2) | 104 | 3 | ||||||
Microsoft Corp. | 674 | 46 | ||||||
NetApp, Inc. | 20 | 1 | ||||||
NVIDIA Corp. | 59 | 9 | ||||||
Oracle Corp. | 262 | 13 | ||||||
Paychex, Inc. | 39 | 2 | ||||||
PayPal Holdings, Inc.(2) | 138 | 7 | ||||||
Qorvo, Inc.(2) | 13 | 1 | ||||||
QUALCOMM, Inc. | 148 | 8 | ||||||
Red Hat, Inc.(2) | 16 | 2 | ||||||
salesforce.com, Inc.(2) | 205 | 18 | ||||||
Seagate Technology plc | 22 | 1 | ||||||
Skyworks Solutions, Inc. | 19 | 2 | ||||||
Symantec Corp. | 54 | 2 | ||||||
Synopsys, Inc.(2) | 47 | 3 | ||||||
TE Connectivity Ltd. | 816 | 64 | ||||||
Texas Instruments, Inc. | 100 | 8 | ||||||
Total System Services, Inc. | 20 | 1 | ||||||
VeriSign, Inc.(2) | 6 | 1 | ||||||
Visa, Inc. Class A | 228 | 21 | ||||||
Western Digital Corp. | 21 | 2 | ||||||
Western Union Co. (The) | 59 | 1 | ||||||
Xerox Corp. | 15 | — | (3) | |||||
Xilinx, Inc. | 25 | 2 | ||||||
|
| |||||||
696 | ||||||||
|
|
SHARES | VALUE | |||||||
Materials—7.9% | ||||||||
Albemarle Corp. | 63 | $ | 7 | |||||
Avery Dennison Corp. | 107 | 9 | ||||||
Dow Chemical Co. (The) | 469 | 30 | ||||||
Du Pont (E.I.) de Nemours & Co. | 363 | 29 | ||||||
Eastman Chemical Co. | 62 | 5 | ||||||
Ecolab, Inc. | 146 | 19 | ||||||
International Flavors & Fragrances, Inc. | 44 | 6 | ||||||
International Paper Co. | 491 | 28 | ||||||
Martin Marietta Materials, Inc. | 129 | 29 | ||||||
Nucor Corp. | 1,107 | 64 | ||||||
PPG Industries, Inc. | 143 | 16 | ||||||
Sealed Air Corp. | 231 | 10 | ||||||
Sherwin-Williams Co. (The) | 45 | 16 | ||||||
Vulcan Materials Co. | 270 | 34 | ||||||
WestRock Co. | 299 | 17 | ||||||
|
| |||||||
319 | ||||||||
|
| |||||||
Real Estate—6.3% | ||||||||
American Tower Corp. | 125 | 17 | ||||||
CBRE Group, Inc. Class A(2) | 1,734 | 63 | ||||||
Crown Castle International Corp. | 105 | 11 | ||||||
Digital Realty Trust, Inc. | 47 | 5 | ||||||
Equinix, Inc. | 23 | 10 | ||||||
Extra Space Storage, Inc. | 37 | 3 | ||||||
Host Hotels & Resorts, Inc. | 3,462 | 63 | ||||||
Iron Mountain, Inc. | 72 | 2 | ||||||
Prologis, Inc. | 1,088 | 64 | ||||||
Public Storage | 44 | 9 | ||||||
Weyerhaeuser Co. | 219 | 7 | ||||||
|
| |||||||
254 | ||||||||
|
| |||||||
Telecommunication Services—1.6% | ||||||||
Level 3 Communications, Inc.(2) | 1,060 | 63 | ||||||
|
| |||||||
63 | ||||||||
|
| |||||||
Utilities—1.6% | ||||||||
Ameren Corp. | 71 | 4 | ||||||
CenterPoint Energy, Inc. | 127 | 4 | ||||||
CMS Energy Corp. | 82 | 4 | ||||||
Consolidated Edison, Inc. | 90 | 7 | ||||||
Dominion Energy, Inc. | 185 | 14 | ||||||
DTE Energy Co. | 53 | �� | 6 | |||||
NiSource, Inc. | 95 | 2 | ||||||
Public Service Enterprise Group, Inc. | 149 | 6 | ||||||
SCANA Corp. | 42 | 3 | ||||||
Sempra Energy | 74 | 8 | ||||||
WEC Energy Group, Inc. | 93 | 6 | ||||||
|
| |||||||
64 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $3,350) | 3,963 | |||||||
TOTAL LONG TERM INVESTMENTS—98.8% | ||||||||
(Identified Cost $3,350) | 3,963 | |||||||
TOTAL INVESTMENTS—98.8% | ||||||||
(Identified Cost $3,350) | 3,963 | (1) | ||||||
Other assets and liabilities, net—1.2% |
| 47 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 4,010 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
(3) | Amount is less than $500. |
Country Weightings† | ||||
United States | 94 | % | ||
Switzerland | 2 | |||
United Kingdom | 2 | |||
Ireland | 2 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2017 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 3,963 | $ | 3,963 | ||||
|
|
|
| |||||
Total Investments | $ | 3,963 | $ | 3,963 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
See Notes to Financial Statements
11
Table of Contents
VIRTUS KAR CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.5% | ||||||||
Consumer Discretionary—25.5% | ||||||||
Amazon.com, Inc.(2) | 9,530 | $ | 9,225 | |||||
Ctrip.com International Ltd. ADR(2) | 61,610 | 3,318 | ||||||
Home Depot, Inc. (The) | 28,068 | 4,305 | ||||||
Las Vegas Sands Corp. | 103,152 | 6,590 | ||||||
Netflix, Inc.(2) | 33,350 | 4,983 | ||||||
NIKE, Inc. Class B | 76,405 | 4,508 | ||||||
Priceline Group, Inc. (The)(2) | 3,949 | 7,387 | ||||||
Ross Stores, Inc. | 74,327 | 4,291 | ||||||
Starbucks Corp. | 119,978 | 6,996 | ||||||
Walt Disney Co. (The) | 17,100 | 1,817 | ||||||
|
| |||||||
53,420 | ||||||||
|
| |||||||
Consumer Staples—7.6% | ||||||||
Costco Wholesale Corp. | 17,231 | 2,756 | ||||||
Monster Beverage Corp.(2) | 143,815 | 7,144 | ||||||
Philip Morris International, Inc. | 50,931 | 5,982 | ||||||
|
| |||||||
15,882 | ||||||||
|
| |||||||
Energy—4.4% | ||||||||
Cabot Oil & Gas Corp. | 70,663 | 1,772 | ||||||
Core Laboratories N.V. | 25,086 | 2,541 | ||||||
Pioneer Natural Resources Co. | 21,180 | 3,380 | ||||||
Schlumberger Ltd. | 22,939 | 1,510 | ||||||
|
| |||||||
9,203 | ||||||||
|
| |||||||
Financials—4.7% | ||||||||
Bank of America Corp. | 237,070 | 5,751 | ||||||
Charles Schwab Corp. (The) | 67,757 | 2,911 | ||||||
MarketAxess Holdings, Inc. | 5,570 | 1,120 | ||||||
|
| |||||||
9,782 | ||||||||
|
| |||||||
Health Care—11.2% | ||||||||
BioMarin Pharmaceutical, Inc.(2) | 37,416 | 3,398 | ||||||
Celgene Corp.(2) | 54,819 | 7,119 | ||||||
Danaher Corp. | 38,327 | 3,235 | ||||||
HealthEquity, Inc.(2) | 48,120 | 2,398 | ||||||
Illumina, Inc.(2) | 17,060 | 2,960 | ||||||
Zoetis, Inc. | 68,414 | 4,268 | ||||||
|
| |||||||
23,378 | ||||||||
|
| |||||||
Industrials—5.1% | ||||||||
Rockwell Automation, Inc. | 12,230 | 1,981 | ||||||
Roper Technologies, Inc. | 17,952 | 4,157 | ||||||
Union Pacific Corp. | 21,820 | 2,376 | ||||||
Westinghouse Air Brake Technologies Corporation | 22,930 | 2,098 | ||||||
|
| |||||||
10,612 | ||||||||
|
| |||||||
Information Technology—39.2% | ||||||||
Accenture plc Class A | 26,381 | 3,263 | ||||||
Activision Blizzard, Inc. | 64,100 | 3,690 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR(2) | 81,738 | 11,517 | ||||||
Alphabet, Inc. Class A(2) | 6,269 | 5,828 | ||||||
Amphenol Corp. Class A | 81,594 | 6,023 | ||||||
CoStar Group, Inc.(2) | 11,270 | 2,971 | ||||||
Facebook, Inc. Class A(2) | 141,122 | 21,307 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Gartner, Inc.(2) | 21,420 | $ | 2,646 | |||||
NVIDIA Corp. | 30,710 | 4,439 | ||||||
Paycom Software, Inc.(2) | 51,812 | 3,545 | ||||||
Visa, Inc. Class A | 82,108 | 7,700 | ||||||
Workday, Inc. Class A(2) | 46,220 | 4,483 | ||||||
Yandex N.V. Class A(2) | 171,275 | 4,494 | ||||||
|
| |||||||
81,906 | ||||||||
|
| |||||||
Materials—1.8% | ||||||||
Ecolab, Inc. | 27,944 | 3,710 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $117,173) | 207,893 | |||||||
TOTAL LONG TERM INVESTMENTS—99.5% | ||||||||
(Identified Cost $117,173) | 207,893 | |||||||
TOTAL INVESTMENTS—99.5% | ||||||||
(Identified Cost $117,173) | 207,893 | (1) | ||||||
Other assets and liabilities, net—0.5% |
| 976 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 208,869 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
Country Weightings† | ||||
United States | 91 | % | ||
China | 7 | |||
Russia | 2 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2017 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 207,893 | $ | 207,893 | ||||
|
|
|
| |||||
Total Investments | $ | 207,893 | $ | 207,893 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
See Notes to Financial Statements
12
Table of Contents
VIRTUS KAR SMALL-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—97.1% | ||||||||
Consumer Discretionary—19.1% | ||||||||
Emerald Expositions Events, Inc. | 6,490 | $ | 142 | |||||
Fox Factory Holding Corp.(2) | 146,425 | 5,213 | ||||||
MercadoLibre, Inc. | 11,850 | 2,973 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(2) | 125,000 | 5,325 | ||||||
|
| |||||||
13,653 | ||||||||
|
| |||||||
Consumer Staples—6.8% | ||||||||
Chefs’ Warehouse, Inc. (The)(2) | 193,500 | 2,516 | ||||||
PriceSmart, Inc. | 26,500 | 2,321 | ||||||
|
| |||||||
4,837 | ||||||||
|
| |||||||
Financials—14.8% | ||||||||
FactSet Research Systems, Inc. | 13,000 | 2,160 | ||||||
Financial Engines, Inc. | 17,450 | 639 | ||||||
Interactive Brokers Group, Inc. Class A | 92,030 | 3,444 | ||||||
MarketAxess Holdings, Inc. | 12,150 | 2,443 | ||||||
Morningstar, Inc. | 23,870 | 1,870 | ||||||
|
| |||||||
10,556 | ||||||||
|
| |||||||
Health Care—10.4% | ||||||||
Abaxis, Inc. | 56,900 | 3,017 | ||||||
National Research Corp. Class A | 164,815 | 4,433 | ||||||
|
| |||||||
7,450 | ||||||||
|
| |||||||
Industrials—21.2% | ||||||||
AAON, Inc. | 50,600 | 1,865 | ||||||
Copart, Inc.(2) | 88,700 | 2,820 | ||||||
HEICO Corp. Class A | 57,631 | 3,576 | ||||||
Old Dominion Freight Line, Inc. | 33,000 | 3,143 | ||||||
Omega Flex, Inc. | 57,399 | 3,696 | ||||||
|
| |||||||
15,100 | ||||||||
|
| |||||||
Information Technology—24.8% | ||||||||
ANSYS, Inc.(2) | 16,900 | 2,056 | ||||||
Aspen Technology, Inc.(2) | 49,000 | 2,708 | ||||||
Autohome, Inc. ADR(2) | 107,500 | 4,876 | ||||||
Ellie Mae, Inc.(2) | 20,000 | 2,198 | ||||||
Mesa Laboratories, Inc. | 7,035 | 1,008 | ||||||
NVE Corp. | 48,400 | 3,727 | ||||||
Paycom Software, Inc.(2) | 16,500 | 1,129 | ||||||
|
| |||||||
17,702 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $36,009) | 69,298 | |||||||
TOTAL LONG TERM INVESTMENTS—97.1% | ||||||||
(Identified Cost $36,009) | 69,298 | |||||||
TOTAL INVESTMENTS—97.1% | ||||||||
(Identified Cost $36,009) | 69,298 | (1) | ||||||
Other assets and liabilities, net—2.9% |
| 2,043 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 71,341 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
Country Weightings† | ||||
United States | 93 | % | ||
China | 7 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2017 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 69,298 | $ | 69,298 | ||||
|
|
|
| |||||
Total Investments | $ | 69,298 | $ | 69,298 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
See Notes to Financial Statements
13
Table of Contents
VIRTUS KAR SMALL-CAP VALUE SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—100.2% | ||||||||
Consumer Discretionary—14.0% | ||||||||
Cheesecake Factory, Inc. (The) | 58,800 | $ | 2,958 | |||||
Cinemark Holdings, Inc. | 91,700 | 3,562 | ||||||
Sally Beauty Holdings, Inc.(2) | 124,000 | 2,511 | ||||||
Thor Industries, Inc. | 35,600 | 3,721 | ||||||
|
| |||||||
12,752 | ||||||||
|
| |||||||
Consumer Staples—6.5% | ||||||||
National Beverage Corp. | 42,850 | 4,009 | ||||||
WD-40 Co. | 17,100 | 1,887 | ||||||
|
| |||||||
5,896 | ||||||||
|
| |||||||
Energy—3.4% | ||||||||
Core Laboratories N.V. | 30,900 | 3,129 | ||||||
|
| |||||||
Financials—14.9% | ||||||||
Artisan Partners Asset Management, Inc. Class A | 78,600 | 2,413 | ||||||
Bank of Hawaii Corp. | 45,070 | 3,740 | ||||||
First Financial Bankshares, Inc. | 54,870 | 2,425 | ||||||
Primerica, Inc. | 36,128 | 2,737 | ||||||
RLI Corp. | 40,450 | 2,209 | ||||||
|
| |||||||
�� | 13,524 | |||||||
|
| |||||||
Health Care—6.6% | ||||||||
Anika Therapeutics, Inc.(2) | 60,890 | 3,005 | ||||||
Patterson Cos., Inc. | 63,200 | 2,967 | ||||||
|
| |||||||
5,972 | ||||||||
|
| |||||||
Industrials—22.0% | ||||||||
Graco, Inc. | 33,392 | 3,649 | ||||||
Landstar System, Inc. | 32,200 | 2,756 | ||||||
Lincoln Electric Holdings, Inc. | 23,010 | 2,119 | ||||||
RBC Bearings, Inc.(2) | 32,600 | 3,317 | ||||||
SiteOne Landscape Supply, Inc.(2) | 71,600 | 3,728 | ||||||
Sun Hydraulics Corp. | 32,570 | 1,390 | ||||||
Watsco, Inc. | 19,400 | 2,991 | ||||||
|
| |||||||
19,950 | ||||||||
|
| |||||||
Information Technology—21.7% | ||||||||
American Software, Inc. Class A | 139,600 | 1,436 | ||||||
Badger Meter, Inc. | 80,966 | 3,227 | ||||||
Cabot Microelectronics Corp. | 30,490 | 2,251 | ||||||
Cass Information Systems, Inc. | 52,095 | 3,420 | ||||||
Cognex Corp. | 20,940 | 1,778 | ||||||
Jack Henry & Associates, Inc. | 32,300 | 3,355 | ||||||
Manhattan Associates, Inc.(2) | 31,835 | 1,530 | ||||||
Monotype Imaging Holdings, Inc. | 146,733 | 2,685 | ||||||
|
| |||||||
19,682 | ||||||||
|
| |||||||
Materials—3.5% | ||||||||
Scotts Miracle-Gro Co. (The) | 35,878 | 3,210 | ||||||
|
|
SHARES | VALUE | |||||||
Real Estate—7.6% | ||||||||
HFF, Inc. Class A | 84,800 | $ | 2,948 | |||||
RE/MAX Holdings, Inc. Class A | 71,200 | 3,991 | ||||||
|
| |||||||
6,939 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $63,916) | 91,054 | |||||||
TOTAL LONG TERM INVESTMENTS—100.2% | ||||||||
(Identified Cost $63,916) | 91,054 | |||||||
TOTAL INVESTMENTS—100.2% | ||||||||
(Identified Cost $63,916) | 91,054 | (1) | ||||||
Other assets and liabilities, net—(0.2)% |
| (147 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 90,907 | ||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 91,054 | $ | 91,054 | ||||
|
|
|
| |||||
Total Investments | $ | 91,054 | $ | 91,054 | ||||
|
|
|
|
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
See Notes to Financial Statements
14
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—1.3% | ||||||||
U.S. Treasury Note | $ | 1,185 | $ | 1,193 | ||||
1.875%, 2/28/22 | 500 | 501 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES | ||||||||
(Identified Cost $1,690) | 1,694 | |||||||
MUNICIPAL BONDS—0.6% | ||||||||
Michigan—0.2% | ||||||||
Tobacco Settlement Finance Authority Taxable Series A, | 185 | 184 | ||||||
|
| |||||||
Virginia—0.4% | ||||||||
Tobacco Settlement Financing Corp. Series A-1, Taxable | 655 | 573 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $827) | 757 | |||||||
FOREIGN GOVERNMENT SECURITIES—12.3% | ||||||||
Argentine Republic | 130 | 133 | ||||||
7.500%, 4/22/26 | 690 | 742 | ||||||
6.875%, 1/26/27 | 210 | 217 | ||||||
Series NY 8.280%, 12/31/33 | 562 | 623 | ||||||
7.125%, 7/6/36 | 265 | 263 | ||||||
7.625%, 4/22/46 | 150 | 154 | ||||||
Bolivarian Republic of Venezuela | 825 | 353 | ||||||
9.375%, 1/13/34 | 295 | 133 | ||||||
Federative Republic of Brazil | 930 | BRL | 319 | |||||
Treasury Note Series F, | 870 | BRL | 260 | |||||
8.500%, 1/5/24 | 350 | BRL | 105 | |||||
Treasury Note Series F, | 860 | BRL | 254 | |||||
10.250%, 1/10/28 | 1,450 | BRL | 467 | |||||
5.625%, 1/7/41 | 310 | 298 | ||||||
Kingdom of Bahrain 144A | 340 | 344 | ||||||
Kingdom of Jordan 144A | 420 | 417 | ||||||
Kingdom of Morocco 144A | 300 | 332 | ||||||
Kingdom of Qatar 144A | 225 | 219 | ||||||
Provincia de Buenos Aires | 280 | 315 | ||||||
144A 7.875%, 6/15/27(3) | 465 | 483 | ||||||
Republic of Chile | 231,500 | CLP | 370 | |||||
Republic of Colombia | 1,823,000 | COP | 556 | |||||
9.850%, 6/28/27 | 283,000 | COP | 119 | |||||
Republic of Costa Rica 144A 7.000%, 4/4/44(3) | 315 | 328 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—continued | ||||||||
Republic of Ecuador 144A | $ | 400 | $ | 401 | ||||
Republic of El Salvador 144A | 475 | 429 | ||||||
Republic of Ghana 144A | 225 | 279 | ||||||
Republic of Indonesia Series FR70, | 4,196,000 | IDR | 342 | |||||
Series FR56, | 6,228,000 | IDR | 517 | |||||
144A 4.350%, 1/8/27(3) | 270 | 281 | ||||||
Republic of Iraq RegS | 250 | 223 | ||||||
Republic of South Africa Series R203, | 2,375 | ZAR | 182 | |||||
Series R208, | 1,410 | ZAR | 104 | |||||
4.875%, 4/14/26 | 200 | 200 | ||||||
4.300%, 10/12/28 | 785 | 733 | ||||||
Republic of Turkey | 500 | 579 | ||||||
4.875%, 10/9/26 | 1,110 | 1,094 | ||||||
6.000%, 3/25/27 | 260 | 277 | ||||||
4.875%, 4/16/43 | 420 | 372 | ||||||
Russian Federation | 30,000 | RUB | 508 | |||||
Series 6216 | 20,000 | RUB | 332 | |||||
Sultanate of Oman 144A | 470 | 462 | ||||||
Ukraine | 275 | 276 | ||||||
144A 7.750%, 9/1/26(3) | 400 | 389 | ||||||
United Mexican States Series M, 6.500%, 6/9/22 | 6,713 | MXN | 368 | |||||
4.150%, 3/28/27 | 275 | 285 | ||||||
4.750%, 3/8/44 | 164 | 164 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||
(Identified Cost $17,351) | 16,601 | |||||||
MORTGAGE-BACKED SECURITIES—15.6% | ||||||||
Agency—4.1% | ||||||||
FNMA | 454 | 456 | ||||||
3.000%, 5/1/43 | 213 | 214 | ||||||
3.000%, 5/1/43 | 851 | 855 | ||||||
3.500%, 1/1/45 | 186 | 190 | ||||||
3.500%, 5/1/45 | 280 | 288 | ||||||
3.500%, 8/1/45 | 1,345 | 1,529 | ||||||
3.000%, 12/1/45 | 688 | 687 | ||||||
3.500%, 1/1/46 | 547 | 562 | ||||||
3.500%, 1/1/46 | 682 | 700 | ||||||
|
| |||||||
5,481 | ||||||||
|
| |||||||
Non-Agency—11.5% | ||||||||
American Homes 4 Rent Trust | 435 | 462 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
15-SFR2, C 144A | $ | 340 | $ | 362 | ||||
15-SFR1, A 144A | 327 | 337 | ||||||
Ameriquest Mortgage Securities, Inc. | 325 | 323 | ||||||
03-10, AF6 | 6 | 6 | ||||||
AMSR Trust 16-SFR1, D 144A | 335 | 340 | ||||||
Banc of America Funding Trust 05-1, 1A1 | 107 | 107 | ||||||
Bank of America (Countrywide) Asset-Backed Certificates | 423 | 438 | ||||||
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 04-22CB, 1A1 | 174 | 180 | ||||||
Bank of America (Merrill Lynch) Commercial Mortgage Securities Trust 15-200P, A 144A 3.218%, 4/14/33(3) | 295 | 298 | ||||||
Barclays (Lehman Brothers) - UBS Commercial Mortgage Trust 07-C7, A3 | 281 | 283 | ||||||
Bayview Opportunity Master Fund IVa Trust | 275 | 285 | ||||||
17-SPL1, B1 144A | 203 | 212 | ||||||
Bayview Opportunity Master Fund IVb Trust | 130 | 134 | ||||||
17-SPL3, B1 144A | 300 | 314 | ||||||
CIT Group Home Equity Loan Trust 03-1, A5 | 252 | 257 | ||||||
Citigroup Mortgage Loan Trust, Inc. | 83 | 82 | ||||||
15-A, A1 144A | 239 | 244 | ||||||
Colony American Finance Ltd. 15-1, A 144A | 255 | 255 | ||||||
Colony Starwood Homes Trust 16-2A, C 144A | 335 | 335 | ||||||
COLT Mortgage Loan Trust Funding LLC 17-1, A3 144A | 307 | 309 | ||||||
Credit Suisse Commercial Mortgage Trust 14-LVR2, A2 144A 3.842%, 4/25/44(2)(3) | 133 | 138 |
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
15
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Credit Suisse Commercial Mortgage-Backed Trust 06-08, 3A1 6.000%, 10/25/21 | $ | 123 | $ | 117 | ||||
Credit Suisse Mortgage Loan Trust 15-1, B4 144A | 135 | 126 | ||||||
Deephaven Residential Mortgage Trust 17-1A, A2 144A 2.928%, 12/26/46(2)(3) | 88 | 88 | ||||||
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A | 290 | 295 | ||||||
Galton Funding Mortgage Trust 17-1, A21 144A | 241 | 243 | ||||||
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35(2) | 122 | 123 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 04-1, 21A1 | 192 | 192 | ||||||
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust 07-PW18, AM, | 825 | 834 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust 04-CB1, 5A 5.000%, 6/25/19 | 6 | 6 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 06-LDP7, AM | 17 | 17 | ||||||
07-LDPX, AM | 102 | 102 | ||||||
JPMorgan Chase Mortgage Trust | 16 | 16 | ||||||
05-A4, 3A1 3.319%, 7/25/35(2) | 17 | 17 | ||||||
14-1, 1A1 144A | 331 | 341 | ||||||
16-1, M2 144A | 323 | 328 | ||||||
15-4, 1A4 144A | 189 | 192 | ||||||
16-2, M2 144A | 398 | 404 | ||||||
16-1, A3 144A | 214 | 217 | ||||||
16-5, A1 144A | 516 | 515 | ||||||
MASTR Alternative Loan Trust | ||||||||
05-5, 2A3 5.500%, 7/25/25 | 149 | 149 | ||||||
04-6, 7A1 6.000%, 7/25/34 | 267 | 268 | ||||||
MASTR Specialized Loan Trust 05-3, A2 144A | 212 | 219 | ||||||
Mill City Mortgage Loan Trust 16-1, M1 144A | 245 | 240 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Morgan Stanley - Bank of America (Merrill Lynch) Trust 13-C13, AS 4.266%, 11/15/46 | $ | 125 | $ | 133 | ||||
New Residential Mortgage Loan Trust | 336 | 346 | ||||||
15-2A, A1 144A | 270 | 278 | ||||||
16-1A, A1 144A | 241 | 247 | ||||||
16-4A, B1A 144A | 303 | 314 | ||||||
One Market Plaza Trust 17-1MKT, A 144A | 260 | 270 | ||||||
Pretium Mortgage Credit Partners I LLC 17-NPL2, A1, 144A 3.250%, 3/28/57(2)(3) | 247 | 248 | ||||||
Residential Asset Mortgage Products Trust | 26 | 27 | ||||||
05-SL2, A4 | 168 | 167 | ||||||
Residential Asset Securitization Trust 05-A1, A3 | 247 | 249 | ||||||
Sequoia Mortgage Trust 13-8, B1 | 195 | 196 | ||||||
14-2, A1 144A | 118 | 120 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 04-4, 3A1 3.449%, 4/25/34(2) | 187 | 186 | ||||||
Towd Point Mortgage Trust 15-1, A2 144A | 255 | 255 | ||||||
15-6, M1 144A | 130 | 131 | ||||||
15-5, A2 144A | 315 | 322 | ||||||
15-2, 1M1 144A | 855 | 855 | ||||||
Vericrest Opportunity Loan Trust LLC 17-NPL3, A1, 144A 3.500%, 3/25/47(2)(3) | 252 | 253 | ||||||
Wells Fargo Commercial Mortgage Trust 15-LC20, B | 150 | 151 | ||||||
|
| |||||||
15,498 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $20,647) | 20,979 | |||||||
ASSET-BACKED SECURITIES—3.7% | ||||||||
Carnow Auto Receivables Trust 16-1A, D 144A | 325 | 326 | ||||||
CKE Restaurant Holdings, Inc. 13-1A, A2 144A | 365 | 364 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
DB Master Finance LLC 15-A1, A2II 144A | $ | 156 | $ | 160 | ||||
Drug Royalty II LP 2 14-1, A2 144A | 252 | 250 | ||||||
Exeter Automobile Receivables Trust | 245 | 247 | ||||||
15-2A, C 144A | 380 | 386 | ||||||
14-3A, D 144A | 410 | 424 | ||||||
Fairway Outdoor Funding LLC 12-1A, A2 144A | 564 | 565 | ||||||
First Investors Auto Owner Trust 15-2A, E 144A | 400 | 401 | ||||||
Flagship Credit Auto Trust 14-1, E 144A | 305 | 313 | ||||||
16-3, D 144A | 400 | 404 | ||||||
Mariner Finance Issuance Trust 17-AA, A 144A | 325 | 327 | ||||||
Sofi Professional Loan Program LLC 16-A, A2 144A | 188 | 189 | ||||||
TGIF Funding LLC 17-1A, A2 144A | 265 | 268 | ||||||
U-Haul S Fleet LLC 10-BT1A, 1 144A | 355 | 356 | ||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $4,949) | 4,980 | |||||||
CORPORATE BONDS AND NOTES—50.7% | ||||||||
Consumer Discretionary—4.7% | ||||||||
American Greetings Corp. 144A | 125 | 135 | ||||||
Cablevision Systems Corp. | 290 | 305 | ||||||
Caesars Entertainment Operating Co., Inc. | 59 | 76 | ||||||
Caesars Entertainment Resort Properties LLC | 105 | 108 | ||||||
Caesars Growth Properties Holdings LLC | 295 | 320 | ||||||
CalAtlantic Group, Inc. | 140 | 145 | ||||||
5.000%, 6/15/27 | 215 | 215 | ||||||
Century Communities, Inc. 144A | 285 | 284 |
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
16
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Charter Communications Operating LLC | $ | 340 | $ | 367 | ||||
Clear Channel Worldwide Holdings, Inc. | 35 | 35 | ||||||
Series A 7.625%, 3/15/20 | 250 | 246 | ||||||
Cooper-Standard Automotive, Inc. 144A | 200 | 201 | ||||||
Eldorado Resorts, Inc. 144A | 40 | 42 | ||||||
Gateway Casinos & Entertainment Ltd. 144A | 250 | 260 | ||||||
Goodyear Tire & Rubber Co. (The) | 110 | 112 | ||||||
Hilton Worldwide Finance LLC | 55 | 57 | ||||||
144A 4.875%, 4/1/27(3) | 55 | 58 | ||||||
Horton (D.R.), Inc. | 260 | 281 | ||||||
Laureate Education, Inc. 144A | 55 | 59 | ||||||
McGraw-Hill Global Education Holdings LLC 144A | 210 | 203 | ||||||
MDC Holdings, Inc. | 295 | 312 | ||||||
PetSmart, Inc. 144A | 150 | 138 | ||||||
Pinnacle Entertainment, Inc. 144A | 125 | 130 | ||||||
Scientific Games International, Inc. 144A | 300 | 319 | ||||||
SFR Group S.A. 144A | 200 | 217 | ||||||
Signet UK Finance plc | 325 | 316 | ||||||
TI Group Automotive Systems LLC 144A | 150 | 159 | ||||||
TRI Pointe Group, Inc. | 270 | 285 | ||||||
Vista Outdoor, Inc. | 275 | 283 | ||||||
VTR Finance BV 144A | 345 | 366 | ||||||
Wyndham Worldwide Corp. | 325 | 335 | ||||||
|
| |||||||
6,369 | ||||||||
|
| |||||||
Consumer Staples—1.2% | ||||||||
Cumberland Farms, Inc. 144A | 125 | 132 | ||||||
Dole Food Co., Inc. 144A | 175 | 182 | ||||||
Kronos Acquisition Holdings, Inc. 144A | 140 | 140 | ||||||
MARB BondCo plc 144A | 260 | 251 |
PAR VALUE | VALUE | |||||||
Consumer Staples—continued | ||||||||
Pilgrim’s Pride Corp. 144A | $ | 115 | $ | 115 | ||||
Post Holdings, Inc. | 235 | 235 | ||||||
144A 5.750%, 3/1/27(3) | 80 | 82 | ||||||
Rite Aid Corp. 144A | 245 | 242 | ||||||
Tops Holding LLC 144A | 250 | 205 | ||||||
|
| |||||||
1,584 | ||||||||
|
| |||||||
Energy—10.4% | ||||||||
Alliance Resource Operating Partners LP 144A | 193 | 203 | ||||||
Alta Mesa Holdings LP 144A | 160 | 161 | ||||||
American Midstream Partners LP 144A | 130 | 130 | ||||||
Anadarko Finance Co. Series B | 160 | 200 | ||||||
Anadarko Petroleum Corp. | 200 | 247 | ||||||
Antero Resources Corp. | 165 | 167 | ||||||
Blue Racer Midstream LLC 144A | 125 | 126 | ||||||
Carrizo Oil & Gas, Inc. | 280 | 269 | ||||||
Cheniere Corpus Christi Holdings LLC | 260 | 290 | ||||||
Chesapeake Energy Corp. 144A | 270 | 265 | ||||||
Compagnie Generale de Geophysique-Veritas | 375 | 144 | ||||||
CONSOL Energy, Inc. | 110 | 108 | ||||||
Continental Resources, Inc. | 145 | 138 | ||||||
Denbury Resources, Inc. | 150 | 84 | ||||||
Ecopetrol S.A. | 285 | 312 | ||||||
5.375%, 6/26/26 | 725 | 754 | ||||||
Encana Corp. | 150 | 153 | ||||||
8.125%, 9/15/30 | 155 | 197 | ||||||
EP Energy LLC | 155 | 91 | ||||||
144A 8.000%, 11/29/24(3) | 180 | 180 | ||||||
FTS International, Inc. | 175 | 142 | ||||||
Gazprom Neft OAO (Via GPN Capital) 144A | 335 | 365 | ||||||
Gazprom OAO 144A | 205 | 206 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Helmerich & Payne International Drilling Co. | $ | 220 | $ | 231 | ||||
HollyFrontier Corp. | 360 | 382 | ||||||
KazMunayGas National Co. 144A | 260 | 282 | ||||||
Kinder Morgan, Inc. | 400 | 503 | ||||||
Matador Resources Co. | 330 | 342 | ||||||
MEG Energy Corp. 144A | 190 | 173 | ||||||
MPLX LP | 405 | 432 | ||||||
Nabors Industries, Inc. 144A | 340 | 322 | ||||||
NGL Energy Partners LP | 335 | 332 | ||||||
Noble Holding International Ltd. | 140 | 110 | ||||||
NuStar Logistics LP | 115 | 121 | ||||||
Oasis Petroleum, Inc. | 265 | 256 | ||||||
Odebrecht Offshore Drilling Finance Ltd. 144A | 492 | 165 | ||||||
Parker Drilling Co. | 365 | 318 | ||||||
Peabody Securities Finance Corp. 144A | 30 | 30 | ||||||
Pertamina Persero PT 144A | 370 | 383 | ||||||
Petrobras Global Finance BV | 155 | 158 | ||||||
8.375%, 5/23/21 | 155 | 174 | ||||||
8.750%, 5/23/26 | 605 | 696 | ||||||
Petroleos de Venezuela S.A. 144A | 650 | 243 | ||||||
Petroleos Mexicanos | 755 | 837 | ||||||
6.500%, 6/2/41 | 220 | 218 | ||||||
5.500%, 6/27/44 | 200 | 177 | ||||||
Regency Energy Partners LP | 425 | 456 | ||||||
RSP Permian, Inc. 144A | 275 | 275 | ||||||
SM Energy Co. | 160 | 152 | ||||||
6.500%, 1/1/23 | 150 | 143 | ||||||
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26(3) | 265 | 287 | ||||||
State Oil Co. of the Azerbaijan Republic | 320 | 337 | ||||||
Transocean, Inc. | 95 | 99 | ||||||
6.800%, 3/15/38 | 85 | 62 |
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
17
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Ultra Resources, Inc. | $ | 16 | $ | 16 | ||||
144A 7.125%, 4/15/25(3) | 51 | 50 | ||||||
Weatherford International Ltd. 144A 9.875%, 2/15/24(3) | 80 | 84 | ||||||
YPF S.A. 144A | 180 | 200 | ||||||
|
| |||||||
13,978 | ||||||||
|
| |||||||
Financials—14.5% | ||||||||
AerCap Ireland Capital Ltd. | 150 | 156 | ||||||
Akbank TAS 144A | 935 | TRY | 259 | |||||
Allstate Corp. (The) | 365 | 400 | ||||||
Ally Financial, Inc. | 200 | 211 | ||||||
Apollo Management Holdings LP 144A 4.000%, 5/30/24(3) | 440 | 447 | ||||||
Ares Capital Corp. | 210 | 212 | ||||||
Australia & New Zealand Banking Group Ltd. 144A | 335 | 346 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21(3) | 425 | 468 | ||||||
Banco de Bogota S.A. 144A | 330 | 351 | ||||||
Banco de Credito del Peru 144A 6.125%, 4/24/27(2)(3) | 520 | 573 | ||||||
Banco de Credito e Inversiones 144A | 390 | 405 | ||||||
Banco Inbursa S.A. Institucion de Banca Multiple 144A | 200 | 204 | ||||||
Banco Internacional del Peru SAA Interbank 144A | 155 | 171 | ||||||
Banco Santander Chile 144A | 505 | 523 | ||||||
Bancolombia S.A. | 545 | 570 | ||||||
Bank of America Corp. | 458 | 475 | ||||||
Bank of China Ltd. 144A | 390 | 418 | ||||||
Barclays Bank plc 144A | 435 | 442 | ||||||
Bonos del Banco Central de Chile En Pesos | 70,000 | CLP | 109 | |||||
Brookfield Finance LLC | 232 | 238 | ||||||
Capital One Financial Corp. | 405 | 395 | ||||||
Citizens Financial Group, Inc. 5.500%(2)(5)(6) | 300 | 314 | ||||||
Compass Bank | 380 | 379 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Development Bank of Kazakhstan JSC 144A | $ | 535 | $ | 535 | ||||
Drawbridge Special Opportunities Fund LP 144A | 440 | 444 | ||||||
Eurasian Development Bank 144A 4.767%, 9/20/22(3) | 475 | 492 | ||||||
Fidelity National Financial, Inc. | 130 | 138 | ||||||
FS Investment Corp. | 230 | 235 | ||||||
4.750%, 5/15/22 | 50 | 51 | ||||||
Genworth Holdings, Inc. | 230 | 191 | ||||||
GrupoSura Finance S.A. 144A | 335 | 361 | ||||||
HBOS plc 144A | 200 | 208 | ||||||
Huntington National Bank (The) 6.600%, 6/15/18 | 250 | 257 | ||||||
ICAHN Enterprises LP | 160 | 165 | ||||||
5.875%, 2/1/22 | 200 | 205 | ||||||
6.250%, 2/1/22 | 50 | 52 | ||||||
ING Groep N.V. 6.000%(2)(5)(6) | 275 | 281 | ||||||
iStar, Inc. | 140 | 141 | ||||||
6.000%, 4/1/22 | 110 | 113 | ||||||
Jefferies Group LLC | 165 | 180 | ||||||
4.850%, 1/15/27 | 60 | 63 | ||||||
JPMorgan Chase & Co. | 475 | 458 | ||||||
Kazakhstan Temir Zholy Finance BV 144A | 410 | 435 | ||||||
Korea Finance Corp. | 400 | 432 | ||||||
Leucadia National Corp. | 250 | 268 | ||||||
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 32 | ||||||
Lincoln National Corp. | 365 | 334 | ||||||
Lloyds TSB Bank plc 144A | 600 | 666 | ||||||
Navient Corp. | 85 | 91 | ||||||
6.750%, 6/25/25 | 215 | 222 | ||||||
NUVEEN FINANCE LLC (Teachers Insurance & Annuity Association Asset Management Finance Co., LLC) 144A 4.125%, 11/1/24(3) | 350 | 362 | ||||||
OM Asset Management plc | 270 | 272 | ||||||
Powszechna Kasa Oszczednosci Bank Polski S.A. 144A 4.630%, 9/26/22(3)(7) | 610 | 651 | ||||||
Prudential Financial, Inc. | 405 | 451 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Santander Bank NA | $ | 200 | $ | 212 | ||||
Santander Holdings USA, Inc. 144A 3.700%, 3/28/22(3) | 195 | 198 | ||||||
Sberbank of Russia 144A | 315 | 320 | ||||||
Springleaf Finance Corp. | 75 | 79 | ||||||
TC Ziraat Bankasi AS 144A | 335 | 336 | ||||||
Teachers Insurance & Annuity Association of America 144A | 360 | 364 | ||||||
Toronto-Dominion Bank (The) | 135 | 134 | ||||||
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22(3) | 350 | 355 | ||||||
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22(3) | 405 | 404 | ||||||
Voya Financial, Inc. | 290 | 308 | ||||||
|
| |||||||
19,562 | ||||||||
|
| |||||||
Health Care—3.5% | ||||||||
Abbott Laboratories | 405 | 413 | ||||||
Becton Dickinson & Co. | 71 | 71 | ||||||
3.700%, 6/6/27 | 420 | 421 | ||||||
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(3) | 50 | 51 | ||||||
Community Health Systems, Inc. | 75 | 66 | ||||||
6.250%, 3/31/23 | 80 | 83 | ||||||
Concordia International Corp. 144A 9.000%, 4/1/22(3) | 65 | 49 | ||||||
DJO Finco, Inc. (DJO Finance LLC) 144A | 135 | 126 | ||||||
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A | 150 | 154 | ||||||
Endo Dac 144A | 100 | 84 | ||||||
Endo Dac (Endo Finance LLC) (Endo Finco, Inc.) 144A | 190 | 155 | ||||||
Envision Healthcare Corp. 144A 6.250%, 12/1/24(3) | 60 | 64 | ||||||
HCA, Inc. | 130 | 140 | ||||||
inVentiv Group Holdings, Inc. 144A 7.500%, 10/1/24(3) | 170 | 184 | ||||||
MEDNAX, Inc. 144A | 170 | 175 | ||||||
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24(3) | 205 | 219 | ||||||
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22(3) | 205 | 196 | ||||||
Owens & Minor, Inc. | 75 | 77 | ||||||
Surgery Center Holdings, Inc. | 265 | 287 | ||||||
144A 6.750%, 7/1/25(3) | 50 | 51 |
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
18
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(3) | $ | 165 | $ | 160 | ||||
Tenet Healthcare Corp. | 70 | 71 | ||||||
144A 7.500%, 1/1/22(3) | 10 | 11 | ||||||
8.125%, 4/1/22 | 125 | 133 | ||||||
144A 4.625%, 7/15/24(3) | 31 | 31 | ||||||
THC Escrow Corp. III | 39 | 39 | ||||||
144A 5.125%, 5/1/25(3) | 135 | 135 | ||||||
144A 7.000%, 8/1/25(3) | 220 | 219 | ||||||
Valeant Pharmaceuticals International, Inc. | 145 | 140 | ||||||
144A 7.500%, 7/15/21(3) | 50 | 48 | ||||||
144A 6.500%, 3/15/22(3) | 20 | 21 | ||||||
144A 5.875%, 5/15/23(3) | 205 | 176 | ||||||
144A 7.000%, 3/15/24(3) | 30 | 32 | ||||||
Zimmer Biomet Holdings, Inc. | 405 | 409 | ||||||
|
| |||||||
4,691 | ||||||||
|
| |||||||
Industrials—3.5% | ||||||||
Bombardier, Inc. 144A | 140 | 140 | ||||||
Cemex Finance LLC 144A | 270 | 287 | ||||||
CNH Industrial N.V. | 238 | 253 | ||||||
DP World Ltd. 144A | 200 | 235 | ||||||
Embraer Netherlands Finance BV | 150 | 157 | ||||||
GATX Corp. | 60 | 58 | ||||||
Great Lakes Dredge & Dock Corp 144A 8.000%, 5/15/22(3) | 135 | 137 | ||||||
Hertz Corp. (The) 144A | 190 | 189 | ||||||
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(3) | 130 | 125 | ||||||
JBS Investments GmbH 144A | 285 | 254 | ||||||
Latam Finance Ltd. 144A | 265 | 270 | ||||||
Masco Corp. | 296 | 334 | ||||||
New Enterprise Stone & Lime Co., Inc. 144A | 20 | 22 | ||||||
Owens Corning | 330 | 325 | ||||||
Park Aerospace Holdings Ltd. 144A 5.250%, 8/15/22(3) | 40 | 42 | ||||||
144A 5.500%, 2/15/24(3) | 135 | 141 | ||||||
Pitney Bowes, Inc. | 391 | 391 | ||||||
Prime Security Services Borrower LLC 144A | 130 | 141 | ||||||
Standard Industries, Inc. 144A | 65 | 69 |
PAR VALUE | VALUE | |||||||
Industrials—continued | ||||||||
TransDigm, Inc. | $ | 90 | $ | 92 | ||||
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22 | 723 | 784 | ||||||
United Airlines Pass-Through Trust 14-1, B | 257 | 266 | ||||||
|
| |||||||
4,712 | ||||||||
|
| |||||||
Information Technology—1.5% | ||||||||
Arrow Electronics, Inc. | 340 | 339 | ||||||
Blackboard, Inc. 144A | 155 | 146 | ||||||
Broadcom Corp. | 105 | 106 | ||||||
144A 3.625%, 1/15/24(3) | 260 | 266 | ||||||
Dell International LLC | 70 | 76 | ||||||
144A 8.100%, 7/15/36(3) | 140 | 176 | ||||||
Flex Ltd. | 375 | 398 | ||||||
Rackspace Hosting, Inc. 144A | 265 | 282 | ||||||
Radiate Holdco LLC 144A | 260 | 260 | ||||||
|
| |||||||
2,049 | ||||||||
|
| |||||||
Materials—5.7% | ||||||||
AK Steel Corp. | 130 | 140 | ||||||
7.000%, 3/15/27 | 195 | 201 | ||||||
Aleris International, Inc. 144A | 200 | 206 | ||||||
Alpek SAB de C.V. 144A | 625 | 669 | ||||||
ArcelorMittal | 300 | 336 | ||||||
Ardagh Packaging Finance plc 144A | 330 | 346 | ||||||
BHP Billiton Finance USA Ltd. 144A | 225 | 257 | ||||||
BlueScope Steel Finance Ltd. 144A | 150 | 158 | ||||||
CRH America Finance, Inc. 144A | 300 | 300 | ||||||
Eldorado Gold Corp. 144A | 180 | 184 | ||||||
Equate Petrochemical BV 144A | 340 | 344 | ||||||
Fortescue Metals Group Resources August 2006 Pty Ltd. 144A | 130 | 148 | ||||||
Freeport-McMoRan, Inc. 3.550%, 3/1/22 | 120 | 112 | ||||||
3.875%, 3/15/23 | 145 | 135 |
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
Gerdau Holdings, Inc. 144A | $ | 230 | $ | 246 | ||||
Glencore Funding LLC 144A | 390 | 384 | ||||||
INEOS Group Holdings S.A. 144A | 345 | 356 | ||||||
Inversiones CMPC S.A. 144A | 300 | 311 | ||||||
Kraton Polymers LLC 144A | 390 | 409 | ||||||
NOVA Chemicals Corp. | 130 | 130 | ||||||
144A 5.000%, 5/1/25(3) | 300 | 298 | ||||||
OCP SA 144A | 320 | 346 | ||||||
Owens-Brockway Glass Container, Inc. 144A | 195 | 219 | ||||||
Rusal Capital DAC 144A | 325 | 325 | ||||||
Severstal OAO 144A | 260 | 283 | ||||||
Standard Industries, Inc. 144A | 175 | 187 | ||||||
Vale Overseas Ltd. | 205 | 220 | ||||||
6.250%, 8/10/26 | 135 | 146 | ||||||
Vedanta Resources plc 144A | 200 | 207 | ||||||
Venator Finance S.a.r.l (Venator Materials Corp.) 144A | 55 | 56 | ||||||
|
| |||||||
7,659 | ||||||||
|
| |||||||
Real Estate—1.8% | ||||||||
EPR Properties | 130 | 134 | ||||||
4.500%, 6/1/27 | 205 | 206 | ||||||
ESH Hospitality, Inc. 144A | 200 | 207 | ||||||
Healthcare Trust of America Holdings LP | 180 | 178 | ||||||
Hospitality Properties Trust | 195 | 204 | ||||||
MPT Operating Partnership LP | 165 | 172 | ||||||
Physicians Realty LP | 330 | 334 | ||||||
Select Income REIT | 385 | 386 | ||||||
Uniti Group, Inc. (Communications Sales & Leasing, Inc.) 144A | 325 | 323 | ||||||
WP Carey, Inc. | 345 | 359 | ||||||
|
| |||||||
2,503 | ||||||||
|
|
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
19
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Telecommunication Services—2.1% | ||||||||
America Movil SAB de C.V. Series 12 | 2,000 | MXN | $ | 104 | ||||
AT&T, Inc. | $ | 195 | 202 | |||||
5.250%, 3/1/37 | 65 | 69 | ||||||
4.800%, 6/15/44 | 265 | 263 | ||||||
5.650%, 2/15/47 | 135 | 149 | ||||||
Crown Castle Towers LLC 144A | 100 | 108 | ||||||
Digicel Group Ltd. 144A | 345 | 323 | ||||||
Frontier Communications Corp. | 135 | 120 | ||||||
10.500%, 9/15/22 | 135 | 129 | ||||||
GTH Finance BV 144A | 300 | 331 | ||||||
Qwest Corp. | 185 | 205 | ||||||
Sprint Communications, Inc. | 90 | 95 | ||||||
Sprint Corp. | 90 | 103 | ||||||
Sprint Spectrum Co., LLC 144A | 200 | 202 | ||||||
Verizon Communications, Inc. | 395 | 408 | ||||||
|
| |||||||
2,811 | ||||||||
|
| |||||||
Utilities—1.8% | ||||||||
AmeriGas Partners LP | 110 | 112 | ||||||
Dynegy, Inc. | 225 | 222 | ||||||
Eskom Holdings SOC Ltd. 144A | 250 | 255 | ||||||
Exelon Corp. | 540 | 554 | ||||||
Ferrellgas Partners LP | 50 | 47 | ||||||
6.750%, 6/15/23 | 270 | 251 | ||||||
Lamar Funding Ltd. 144A | 375 | 351 | ||||||
Majapahit Holding BV 144A | 300 | 335 | ||||||
Talen Energy Supply LLC 144A | 45 | 44 | ||||||
TerraForm Power Operating LLC 144A | 285 | 297 | ||||||
Texas Competitive Electric Escrow 144A | 396 | — | (15) | |||||
Vistra Operations Company LLC (Texas Competitive Electric Holdings Co. LLC) | 465 | — | (15) | |||||
|
| |||||||
2,468 | ||||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Identified Cost $67,793) | 68,386 |
PAR VALUE | VALUE | |||||||
LOAN AGREEMENTS(2)—8.5% | ||||||||
Consumer Discretionary—2.1% | ||||||||
Advantage Sales & Marketing, Inc. | $ | 140 | $ | 134 | ||||
Second Lien, 7.796%, 7/25/22 | 280 | 267 | ||||||
Affinity Gaming (Affinity Gaming LLC) | 364 | 366 | ||||||
Bass Pro Group LLC | 205 | 199 | ||||||
Caesars Entertainment Operating Co., Inc. Tranche B-6, | 243 | 288 | ||||||
0.000%, 4/4/24(8) | 50 | 50 | ||||||
Caesars Entertainment Resort Properties LLC Tranche B | 268 | 269 | ||||||
Caesars Growth Properties Holdings LLC Tranche 2017, First Lien, | 125 | 126 | ||||||
Gateway Casinos & Entertainment Ltd. Tranche B-1, | 45 | 45 | ||||||
Harbor Freight Tools USA, Inc. 2016 4.476%, 8/18/23 | 150 | 150 | ||||||
Laureate Education, Inc. Tranche 2024 | 152 | 152 | ||||||
Leslies Poolmart, Inc. Tranche B-1, | 107 | 108 | ||||||
Playa Resorts Holding B.V. | 50 | 50 | ||||||
Seminole Tribe of Florida Tranche B, | 220 | 220 | ||||||
U.S. Farathane LLC Tranche B-3, | 168 | 170 | ||||||
UFC Holdings LLC First Lien, | 176 | 176 | ||||||
Vivid Seats LLC Tranche B | 85 | 85 | ||||||
|
| |||||||
2,855 | ||||||||
|
| |||||||
Consumer Staples—0.7% | ||||||||
Albertson’s LLC 2017-1, Tranche B-4 | 228 | 225 | ||||||
Chobani LLC First Lien, | 69 | 69 | ||||||
Galleria Co. Tranche B, | 100 | 101 | ||||||
JBS USA Lux S.A. | 90 | 87 |
PAR VALUE | VALUE | |||||||
Consumer Staples—continued | ||||||||
Milk Specialties Co. | $ | 198 | $ | 199 | ||||
TKC Holdings, Inc. First Lien, | 160 | 159 | ||||||
|
| |||||||
840 | ||||||||
|
| |||||||
Energy—0.8% | ||||||||
California Resources Corp. | 190 | 200 | ||||||
Chesapeake Energy Corp. Tranche A, | 44 | 46 | ||||||
Contura Energy, Inc. | 135 | 131 | ||||||
Jonah Energy LLC Second Lien, | 206 | 196 | ||||||
Paragon Offshore Finance Co. | 187 | 72 | ||||||
Peabody Energy Corp. 2017, | 155 | 154 | ||||||
Seadrill Operating LP | 242 | 154 | ||||||
Ultra Resources, Inc. | 140 | 139 | ||||||
|
| |||||||
1,092 | ||||||||
|
| |||||||
Financials—0.4% | ||||||||
Focus Financial Partners LLC | 35 | 35 | ||||||
Fortress Investment Group LLC | 80 | 81 | ||||||
Lonestar Intermediate Super Holdings LLC | 200 | 206 | ||||||
Walter Investment Management Corp. Tranche B, | 295 | 267 | ||||||
|
| |||||||
589 | ||||||||
|
| |||||||
Health Care—0.9% | ||||||||
21st Century Oncology Holdings, Inc. Tranche B, | 42 | 39 | ||||||
American Renal Associates, Inc. Tranche B | 78 | 77 | ||||||
Change Healthcare Holdings, Inc. | 115 | 115 | ||||||
Endo Luxembourg Finance Co. S.a.r.l | 95 | 96 | ||||||
Envision Healthcare Corp. | 38 | 38 | ||||||
HLF Financing S.a.r.l. Senior Lien, | 64 | 64 | ||||||
lasis Healthcare LLC Tranche B-3, | 10 | 10 |
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
20
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
MMM Holdings, Inc. | $ | 91 | $ | 90 | ||||
MPH Acquisition Holdings LLC | 73 | 73 | ||||||
MSO of Puerto Rico, Inc. | 66 | 65 | ||||||
NVA Holdings, Inc. Second Lien, | 183 | 184 | ||||||
Quorum Health Corp. | 113 | 114 | ||||||
U.S. Renal Care, Inc. First Lien, | 203 | 196 | ||||||
|
| |||||||
1,161 | ||||||||
|
| |||||||
Industrials—0.7% | ||||||||
84 Lumber Co. | 128 | 129 | ||||||
Navistar, Inc. Tranche B, | 139 | 140 | ||||||
PAE Holding Corp. First Lien, | 120 | 121 | ||||||
Sedgwick Claims Management Services, Inc. Second Lien, | 340 | 341 | ||||||
TransDigm, Inc. Tranche F, | 205 | 205 | ||||||
Zodiac Pool Solutions LLC Tranche B-1, First Lien | 75 | 75 | ||||||
|
| |||||||
1,011 | ||||||||
|
| |||||||
Information Technology—1.1% | ||||||||
Applied Systems, Inc. Second Lien, | 76 | 77 | ||||||
Blackboard, Inc. Tranche B-4, First Lien, | 218 | 217 | ||||||
Everi Payments, Inc. Tranche B, | 65 | 65 | ||||||
First Data Corp. Tranche 2022-D, | 328 | 327 | ||||||
Kronos, Inc. Second Lien, | 84 | 87 | ||||||
NAB Holdings LLC | 100 | 100 | ||||||
Presidio LLC Tranche B, | 173 | 173 | ||||||
Rackspace Hosting, Inc. 2017 Refinancing Tranche B, First Lien | 108 | 108 | ||||||
Sungard Availability Services Capital, Inc. Tranche B, | 195 | 193 | ||||||
Veritas US, Inc. Tranche B | 177 | 178 | ||||||
|
| |||||||
1,525 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Materials—0.9% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien, 6.577%, 12/7/23 | $ | 75 | $ | 75 | ||||
Second Lien, 8.810%, 12/7/24 | 58 | 59 | ||||||
CPG International LLC (CPG International, Inc.) | 195 | 196 | ||||||
CPI Acquisition, Inc. First Lien, | 358 | 304 | ||||||
KMG Chemicals, Inc. | 45 | 45 | ||||||
MacDermid, Inc. Tranche B-5, | 154 | 155 | ||||||
New Arclin U.S. Holdings Corp. First Lien, | 130 | 131 | ||||||
Omnova Solutions, Inc. Tranche B-2, | 197 | 198 | ||||||
PQ Corp. Tranche B-1, | 43 | 43 | ||||||
|
| |||||||
1,206 | ||||||||
|
| |||||||
Real Estate—0.0% | ||||||||
Capital Automotive LP Tranche B, Second Lien, | 65 | 66 | ||||||
|
| |||||||
Telecommunication Services—0.3% | ||||||||
Digicel International Finance Ltd. Tranche B, First Lien | 20 | 20 | ||||||
Securus Technologies Holdings, Inc. | 180 | 180 | ||||||
Second Lien, | 150 | 150 | ||||||
|
| |||||||
350 | ||||||||
|
| |||||||
Utilities—0.6% | ||||||||
APLP Holdings LP | 281 | 282 | ||||||
Energy Future Intermediate Holding Co. LLC | 240 | 240 | ||||||
Helix Gen Funding LLC | 10 | 10 | ||||||
Talen Energy Supply LLC | 125 | 115 | ||||||
Vistra Operations Co. LLC | 149 | 148 | ||||||
Tranche C, 3.977%, 8/4/23 | 34 | 33 | ||||||
|
| |||||||
828 | ||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $11,662) | 11,523 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—3.5% | ||||||||
Energy—0.3% | ||||||||
PTT Exploration & Production PCL 144A, 4.875%(2)(3) | 440 | (9) | 450 | |||||
|
|
SHARES | VALUE | |||||||
Financials—2.6% | ||||||||
Bank of New York Mellon Corp. (The) Series E, 4.950%(2) | 290 | (9) | $ | 303 | ||||
Citigroup, Inc. | 15,800 | 472 | ||||||
Citigroup, Inc. | 335 | (9) | 372 | |||||
JPMorgan Chase & Co. | 70 | (9) | 73 | |||||
KeyCorp Series D, 5.000%(2) | 340 | (9) | 346 | |||||
M&T Bank Corp. | 160 | (9) | 166 | |||||
PNC Financial Services Group, Inc. (The) Series R, 4.850%(2) | 405 | (9) | 412 | |||||
PNC Financial Services Group, Inc. (The) Series S, 5.000%(2) | 405 | (9) | 417 | |||||
Wells Fargo & Co. | 440 | (9) | 459 | |||||
Zions Bancorp 6.950%(2) | 14,965 | 445 | ||||||
|
| |||||||
3,465 | ||||||||
|
| |||||||
Industrials—0.6% | ||||||||
General Electric Co. | 792 | (9) | 841 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $4,407) | 4,756 | |||||||
COMMON STOCKS—0.1% | ||||||||
Consumer Discretionary—0.0% | ||||||||
Mark IV Industries(16) | 828 | 26 | ||||||
|
| |||||||
Energy—0.0% | ||||||||
Frontera Energy Corp.(16) | 1,339 | 35 | ||||||
|
| |||||||
Utilities—0.1% | ||||||||
Vistra Energy Corp. | 7,753 | 130 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $176) | 191 | |||||||
AFFILIATED MUTUAL FUND—2.3% | ||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(13) | 310,156 | 3,077 | ||||||
TOTAL AFFILIATED MUTUAL FUND (Identified Cost $3,100) | 3,077 | |||||||
RIGHTS—0.0% | ||||||||
Utilities—0.0% | ||||||||
Vistra Energy Corp.(14) | 7,753 | 8 | ||||||
TOTAL RIGHTS (Identified Cost $7) | 8 | |||||||
TOTAL LONG TERM INVESTMENTS—98.6% | ||||||||
(Identified Cost $132,609) | 132,952 | (12) | ||||||
TOTAL INVESTMENTS—98.6% (Identified Cost $132,609) | 132,952 | (1) | ||||||
Other assets and liabilities, net—1.4% |
| 1,861 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 134,813 | ||||||
|
|
Refer to Footnote Legend on page 22.
See Notes to Financial Statements
21
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
Abbreviations:
FNMA | Federal National Mortgage Association (“Fannie Mae”) |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $56,355 or 41.8% of net assets. |
(4) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | No contractual maturity date. |
(6) | Interest payments may be deferred. |
(7) | This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(8) | This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(11) | Security in default, a portion of the interest payments are being received during the bankruptcy proceedings. |
(12) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
(13) | Shares of this fund are publicly offered and its prospectus and annual report are publicly available. |
(14) | Illiquid security. |
(15) | Amount is less than $500. |
(16) | Non-income producing. |
(17) | 100% of the income received was in cash. |
(18) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This |
security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments. |
(19) | Security in default, interest payments are being received during the bankruptcy proceedings. |
Foreign Currencies:
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
RUB | Russian Ruble |
TRY | Turkish Lira |
ZAR | South African Rand |
Country Weightings† | ||||
United States | 65 | % | ||
Turkey | 3 | |||
Brazil | 3 | |||
Mexico | 3 | |||
Argentina | 2 | |||
Colombia | 2 | |||
Canada | 2 | |||
Other | 20 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2017 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 4,980 | $ | — | $ | 4,980 | $ | — | ||||||||
Corporate Bonds and Notes | 68,386 | — | 68,386 | — | * | |||||||||||
Foreign Government Securities | 16,601 | — | 16,601 | — | ||||||||||||
Loan Agreements | 11,523 | — | 11,523 | — | ||||||||||||
Mortgage-Backed Securities | 20,979 | — | 20,979 | — | ||||||||||||
Municipal Bonds | 757 | — | 757 | — | ||||||||||||
U.S. Government Securities | 1,694 | — | 1,694 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 191 | 165 | — | 26 | ||||||||||||
Preferred Stocks | 4,756 | 917 | 3,839 | — | ||||||||||||
Rights | 8 | — | — | 8 | ||||||||||||
Affiliated Mutual Fund | 3,077 | 3,077 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 132,952 | $ | 4,159 | $ | 128,759 | $ | 34 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
* | Amount is less than $500. |
See Notes to Financial Statements
22
Table of Contents
VIRTUS NEWFLEET MULTI-SECTOR INTERMEDIATE BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
The following is a reconciliation of assets of the Series for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Investments in Securities | Corporate Bonds and Notes | Common Stocks | Loan Agreements | Asset-Backed Securities | Rights | |||||||||||||||||||
Beginning Balance December 31, 2016: | $ | 295 | $ | — |
| $ | 21 | $ | 3 | $ | 258 | $ | 13 | |||||||||||
Accrued Discount/(Premium) | — | — | — | — | — | — | ||||||||||||||||||
Realized Gain (Loss) | (193 | ) | — | — | (195 | ) | 2 | — | ||||||||||||||||
Change in Unrealized Appreciation (Depreciation)(b) | 191 | — | (a) | 5 | 192 | (8 | ) | 2 | ||||||||||||||||
Purchases | — | — | — | — | — | — | ||||||||||||||||||
(Sales)(c) | (259 | ) | — | — | — | (252 | ) | (7 | ) | |||||||||||||||
Transfers into Level 3(d) | — | — | — | — | — | — | ||||||||||||||||||
Transfers from Level 3(d) | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ending Balance June 30, 2017 | $ | 34 | $ | — | (a) | $ | 26 | $ | — | $ | — | $ | 8 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The Series’ investments that are 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 inputs could result in a significantly lower or higher value of Level 3 investments.
(a) | Amount is less than $500. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. The change in unrealized appreciation (depreciation) on investments still held as of June 30, 2017 was $7. |
(c) | Includes paydowns on securities. |
(d) | “Transfers into and/or from” Level 3 represent the ending value as of June 30, 2017, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
See Notes to Financial Statements
23
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—94.4% | ||||||||
Consumer Discretionary—11.9% | ||||||||
Advance Auto Parts, Inc. | 360 | $ | 42 | |||||
Amazon.com, Inc.(2)(4) | 1,964 | 1,901 | ||||||
AutoNation, Inc.(2) | 315 | 13 | ||||||
AutoZone, Inc.(2) | 140 | 80 | ||||||
Bed Bath & Beyond, Inc. | 724 | 22 | ||||||
Best Buy Co., Inc. | 1,310 | 75 | ||||||
BorgWarner, Inc. | 976 | 41 | ||||||
CarMax, Inc.(2) | 907 | 57 | ||||||
Carnival Corp. | 2,064 | 135 | ||||||
CBS Corp. Class B | 1,846 | 118 | ||||||
Charter Communications, Inc. Class A(2) | 1,062 | 358 | ||||||
Chipotle Mexican Grill, Inc.(2) | 139 | 58 | ||||||
Coach, Inc. | 1,378 | 65 | ||||||
Comcast Corp. Class A(4) | 23,646 | 920 | ||||||
Darden Restaurants, Inc. | 604 | 55 | ||||||
Delphi Automotive plc | 1,322 | 116 | ||||||
Discovery Communications, Inc. Class A(2) | 747 | 19 | ||||||
Discovery Communications, Inc. Class C(2) | 1,054 | 27 | ||||||
DISH Network Corp. Class A(2) | 1,145 | 72 | ||||||
Dollar General Corp. | 1,246 | 90 | ||||||
Dollar Tree, Inc.(2) | 1,152 | 81 | ||||||
Expedia, Inc. | 597 | 89 | ||||||
Foot Locker, Inc. | 643 | 32 | ||||||
Ford Motor Co.(4) | 18,916 | 212 | ||||||
Gap, Inc. (The) | 1,082 | 24 | ||||||
Garmin Ltd. | 560 | 29 | ||||||
General Motors Co.(4) | 6,602 | 231 | ||||||
Genuine Parts Co. | 728 | 67 | ||||||
Goodyear Tire & Rubber Co. (The) | 1,230 | 43 | ||||||
H&R Block, Inc. | 1,007 | 31 | ||||||
Hanesbrands, Inc. | 1,826 | 42 | ||||||
Harley-Davidson, Inc. | 868 | 47 | ||||||
Hasbro, Inc. | 551 | 61 | ||||||
Hilton Worldwide Holdings, Inc. | 104 | 6 | ||||||
Home Depot, Inc. (The)(4) | 5,968 | 915 | ||||||
Horton (D.R.), Inc. | 1,678 | 58 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,934 | 48 | ||||||
Kohl’s Corp. | 865 | 33 | ||||||
L Brands, Inc. | 1,172 | 63 | ||||||
Leggett & Platt, Inc. | 658 | 35 | ||||||
Lennar Corp. Class A | 996 | 53 | ||||||
LKQ Corp.(2) | 1,494 | 49 | ||||||
Lowe’s Cos., Inc.(4) | 4,240 | 329 | ||||||
Macy’s, Inc. | 1,496 | 35 | ||||||
Marriott International, Inc. Class A | 1,559 | 156 | ||||||
Mattel, Inc. | 1,656 | 36 | ||||||
McDonald’s Corp.(4) | 4,028 | 617 | ||||||
Michael Kors Holdings Ltd.(2) | 791 | 29 | ||||||
Mohawk Industries, Inc.(2) | 312 | 75 | ||||||
Netflix, Inc.(2) | 2,148 | 321 | ||||||
Newell Brands, Inc. | 2,371 | 127 | ||||||
News Corp. Class A | 1,907 | 26 | ||||||
News Corp. Class B | 731 | 10 | ||||||
NIKE, Inc. Class B(4) | 6,443 | 380 | ||||||
Nordstrom, Inc. | 556 | 27 | ||||||
O’Reilly Automotive, Inc.(2) | 447 | 98 |
SHARES | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Omnicom Group, Inc. | 1,148 | $ | 95 | |||||
Priceline Group, Inc. (The)(2)(4) | 243 | 454 | ||||||
PulteGroup, Inc. | 1,417 | 35 | ||||||
PVH Corp. | 384 | 44 | ||||||
Ralph Lauren Corp. | 272 | 20 | ||||||
Ross Stores, Inc. | 1,940 | 112 | ||||||
Royal Caribbean Cruises Ltd. | 828 | 90 | ||||||
Scripps Networks Interactive, Inc. Class A | 471 | 32 | ||||||
Signet Jewelers Ltd. | 332 | 21 | ||||||
Staples, Inc. | 3,120 | 31 | ||||||
Starbucks Corp.(4) | 7,191 | 419 | ||||||
Target Corp.(4) | 2,708 | 142 | ||||||
TEGNA, Inc. | 948 | 14 | ||||||
Tiffany & Co. | 530 | 50 | ||||||
Time Warner, Inc.(4) | 3,766 | 378 | ||||||
TJX Cos., Inc. (The) | 3,183 | 230 | ||||||
Tractor Supply Co. | 634 | 34 | ||||||
TripAdvisor, Inc.(2) | 554 | 21 | ||||||
Twenty-First Century Fox, Inc. Class A(4) | 5,110 | 145 | ||||||
Twenty-First Century Fox, Inc. Class B(4) | 2,374 | 66 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(2) | 285 | 82 | ||||||
Under Armour, Inc. Class A(2) | 907 | 20 | ||||||
Under Armour, Inc. Class C(2) | 903 | 18 | ||||||
VF Corp. | 1,609 | 93 | ||||||
Viacom, Inc. Class B | 1,733 | 58 | ||||||
Walt Disney Co. (The)(4) | 7,146 | 759 | ||||||
Whirlpool Corp. | 363 | 70 | ||||||
Wyndham Worldwide Corp. | 526 | 53 | ||||||
Wynn Resorts Ltd. | 398 | 53 | ||||||
Yum! Brands, Inc. | 1,651 | 122 | ||||||
|
| |||||||
12,540 | ||||||||
|
| |||||||
Consumer Staples—8.9% | ||||||||
Altria Group, Inc.(4) | 9,548 | 711 | ||||||
Archer-Daniels-Midland Co. | 2,846 | 118 | ||||||
Brown-Forman Corp. Class B | 892 | 43 | ||||||
Campbell Soup Co. | 989 | 52 | ||||||
Church & Dwight Co., Inc. | 1,260 | 65 | ||||||
Clorox Co. (The) | 652 | 87 | ||||||
Coca-Cola Co. (The)(4) | 19,080 | 856 | ||||||
Colgate-Palmolive Co.(4) | 4,382 | 325 | ||||||
Conagra Brands, Inc. | 2,111 | 76 | ||||||
Constellation Brands, Inc. Class A | 847 | 164 | ||||||
Costco Wholesale Corp.(4) | 2,178 | 348 | ||||||
Coty, Inc. Class A | 2,297 | 43 | ||||||
CVS Health Corp.(4) | 5,085 | 409 | ||||||
Dr. Pepper Snapple Group, Inc. | 925 | 84 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 1,117 | 107 | ||||||
General Mills, Inc. | 2,918 | 162 | ||||||
Hershey Co. (The) | 700 | 75 | ||||||
Hormel Foods Corp. | 1,387 | 47 | ||||||
J.M. Smucker Co. (The) | 589 | 70 | ||||||
Kellogg Co. | 1,264 | 88 | ||||||
Kimberly-Clark Corp. | 1,779 | 230 | ||||||
Kraft Heinz Co.(The)(4) | 2,980 | 255 | ||||||
Kroger Co. (The) | 4,592 | 107 | ||||||
McCormick & Co., Inc. | 589 | 57 | ||||||
Molson Coors Brewing Co. Class B | 936 | 81 |
SHARES | VALUE | |||||||
Consumer Staples—continued | ||||||||
Mondelez International, Inc. Class A(4) | 7,555 | $ | 326 | |||||
Monster Beverage Corp.(2) | 2,050 | 102 | ||||||
PepsiCo, Inc.(4) | 6,733 | 778 | ||||||
Philip Morris International, Inc.(4) | 7,697 | 904 | ||||||
Procter & Gamble Co. (The)(4) | 12,666 | 1,104 | ||||||
Reynolds American, Inc. | 4,137 | 269 | ||||||
Sysco Corp. | 2,448 | 123 | ||||||
Tyson Foods, Inc. Class A | 1,444 | 90 | ||||||
Wal-Mart Stores, Inc.(4) | 7,408 | 561 | ||||||
Walgreens Boots Alliance, Inc.(4) | 4,150 | 325 | ||||||
Whole Foods Market, Inc. | 1,582 | 67 | ||||||
|
| |||||||
9,309 | ||||||||
|
| |||||||
Energy—5.1% | ||||||||
Anadarko Petroleum Corp. | 2,356 | 107 | ||||||
Apache Corp. | 1,647 | 79 | ||||||
Baker Hughes, Inc. | 1,859 | 101 | ||||||
Cabot Oil & Gas Corp. | 2,052 | 51 | ||||||
Chesapeake Energy Corp.(2) | 3,264 | 16 | ||||||
Chevron Corp.(4) | 8,281 | 864 | ||||||
Cimarex Energy Co. | 411 | 39 | ||||||
Concho Resources, Inc.(2) | 634 | 77 | ||||||
ConocoPhillips(4) | 5,375 | 236 | ||||||
Devon Energy Corp. | 2,194 | 70 | ||||||
EOG Resources, Inc. | 2,490 | 225 | ||||||
EQT Corp. | 760 | 45 | ||||||
Exxon Mobil Corp.(4) | 18,338 | 1,480 | ||||||
Halliburton Co.(4) | 3,744 | 160 | ||||||
Helmerich & Payne, Inc. | 468 | 25 | ||||||
Hess Corp. | 1,152 | 51 | ||||||
Kinder Morgan, Inc.(4) | 8,399 | 161 | ||||||
Marathon Oil Corp. | 3,626 | 43 | ||||||
Marathon Petroleum Corp. | 2,342 | 123 | ||||||
Murphy Oil Corp. | 682 | 18 | ||||||
National Oilwell Varco, Inc. | 1,622 | 53 | ||||||
Newfield Exploration Co.(2) | 838 | 24 | ||||||
Noble Energy, Inc. | 1,951 | 55 | ||||||
Occidental Petroleum Corp.(4) | 3,325 | 199 | ||||||
ONEOK, Inc. | 908 | 47 | ||||||
Phillips 66 | 1,923 | 159 | ||||||
Pioneer Natural Resources Co. | 727 | 116 | ||||||
Range Resources Corp. | 798 | 19 | ||||||
Schlumberger Ltd.(4) | 6,066 | 399 | ||||||
TechnipFMC plc(2) | 2,041 | 56 | ||||||
Tesoro Corp. | 517 | 48 | ||||||
Transocean Ltd.(2) | 1,675 | 14 | ||||||
Valero Energy Corp. | 1,981 | 134 | ||||||
Williams Cos., Inc. (The) | 3,608 | 109 | ||||||
|
| |||||||
5,403 | ||||||||
|
| |||||||
Financials—12.4% | ||||||||
Affiliated Managers Group, Inc. | 248 | 41 | ||||||
Aflac, Inc. | 1,768 | 137 | ||||||
Allstate Corp. (The)(4) | 1,603 | 142 | ||||||
American Express Co.(4) | 3,314 | 279 | ||||||
American International Group, Inc.(4) | 3,860 | 241 | ||||||
Ameriprise Financial, Inc. | 675 | 86 | ||||||
Aon plc | 1,158 | 154 | ||||||
Assurant, Inc. | 245 | 25 | ||||||
Bank of America Corp.(4) | 42,832 | 1,039 |
Refer to Footnote Legend on page 27.
See Notes to Financial Statements
24
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
Financials—continued | ||||||||
Bank of New York Mellon Corp. (The)(4) | 4,497 | $ | 229 | |||||
BB&T Corp. | 3,475 | 158 | ||||||
Berkshire Hathaway, Inc. | 8,319 | 1,409 | ||||||
BlackRock, Inc.(4) | 538 | 227 | ||||||
Capital One Financial Corp.(4) | 2,136 | 176 | ||||||
CBOE Holdings, Inc. | 400 | 37 | ||||||
Charles Schwab Corp. (The) | 5,280 | 227 | ||||||
Chubb Ltd. | 2,045 | 297 | ||||||
Cincinnati Financial Corp. | 657 | 48 | ||||||
Citigroup, Inc.(4) | 11,744 | 785 | ||||||
Citizens Financial Group, Inc. | 2,206 | 79 | ||||||
CME Group, Inc. | 1,505 | 188 | ||||||
Comerica, Inc. | 758 | 55 | ||||||
Discover Financial Services | 1,689 | 105 | ||||||
E*Trade Financial Corp.(2) | 1,199 | 46 | ||||||
Fifth Third Bancorp | 3,208 | 83 | ||||||
Franklin Resources, Inc. | 1,516 | 68 | ||||||
Gallagher (Arthur J.) & Co. | 787 | 45 | ||||||
Goldman Sachs Group, Inc. (The)(4) | 1,609 | 357 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,634 | 86 | ||||||
Huntington Bancshares, Inc. | 4,650 | 63 | ||||||
Intercontinental Exchange, Inc. | 2,614 | 172 | ||||||
Invesco Ltd. | 1,778 | 63 | ||||||
JPMorgan Chase & Co.(4) | 15,310 | 1,399 | ||||||
KeyCorp | 4,590 | 86 | ||||||
Leucadia National Corp. | 1,420 | 37 | ||||||
Lincoln National Corp. | 972 | 66 | ||||||
Loews Corp. | 1,208 | 57 | ||||||
M&T Bank Corp. | 673 | 109 | ||||||
Marsh & McLennan Cos., Inc. | 2,279 | 178 | ||||||
MetLife, Inc.(4) | 4,690 | 258 | ||||||
Moody’s Corp. | 730 | 89 | ||||||
Morgan Stanley(4) | 6,208 | 277 | ||||||
Nasdaq, Inc. | 503 | 36 | ||||||
Navient Corp. | 1,272 | 21 | ||||||
Northern Trust Corp. | 937 | 91 | ||||||
People’s United Financial, Inc. | 1,489 | 26 | ||||||
PNC Financial Services Group, Inc. (The) | 2,088 | 261 | ||||||
Principal Financial Group, Inc. | 1,170 | 75 | ||||||
Progressive Corp. (The) | 2,567 | 113 | ||||||
Prudential Financial, Inc. | 1,858 | 201 | ||||||
Raymond James Financial, Inc. | 559 | 45 | ||||||
Regions Financial Corp. | 5,038 | 74 | ||||||
S&P Global, Inc. | 1,151 | 168 | ||||||
State Street Corp. | 1,567 | 141 | ||||||
SunTrust Banks, Inc. | 2,118 | 120 | ||||||
Synchrony Financial | 3,386 | 101 | ||||||
T. Rowe Price Group, Inc. | 1,078 | 80 | ||||||
Torchmark Corp. | 481 | 37 | ||||||
Travelers Cos., Inc. (The) | 1,235 | 156 | ||||||
U.S. Bancorp(4) | 6,968 | 362 | ||||||
Unum Group | 998 | 46 | ||||||
Wells Fargo & Co.(4) | 19,174 | 1,062 | ||||||
Willis Towers Watson plc | 559 | 81 | ||||||
XL Group Ltd. | 1,158 | 51 | ||||||
Zions Bancorporation | 861 | 38 | ||||||
|
| |||||||
13,089 | ||||||||
|
|
SHARES | VALUE | |||||||
Health Care—14.0% | ||||||||
Abbott Laboratories(4) | 8,226 | $ | 400 | |||||
AbbVie, Inc.(4) | 7,783 | 564 | ||||||
Aetna, Inc. | 1,614 | 245 | ||||||
Agilent Technologies, Inc. | 1,581 | 94 | ||||||
Alexion Pharmaceuticals, Inc.(2) | 1,124 | 137 | ||||||
Align Technology, Inc.(2) | 37 | 6 | ||||||
Allergan plc(4) | 1,653 | 402 | ||||||
AmerisourceBergen Corp. | 808 | 76 | ||||||
Amgen, Inc.(4) | 3,613 | 622 | ||||||
Anthem, Inc. | 1,290 | 243 | ||||||
Bard (C.R.), Inc. | 353 | 112 | ||||||
Baxter International, Inc. | 2,395 | 145 | ||||||
Becton, Dickinson & Co. | 1,110 | 217 | ||||||
Biogen, Inc.(2)(4) | 1,064 | 289 | ||||||
Boston Scientific Corp.(2) | 6,701 | 186 | ||||||
Bristol-Myers Squibb Co.(4) | 8,098 | 451 | ||||||
Cardinal Health, Inc. | 1,546 | 120 | ||||||
Celgene Corp.(2)(4) | 3,864 | 502 | ||||||
Centene Corp.(2) | 852 | 68 | ||||||
Cerner Corp.(2) | 1,449 | 96 | ||||||
Cigna Corp. | 1,261 | 211 | ||||||
Cooper Cos., Inc. (The) | 243 | 58 | ||||||
Danaher Corp.(4) | 2,981 | 252 | ||||||
DaVita, Inc.(2) | 763 | 49 | ||||||
DENTSPLY SIRONA, Inc. | 1,127 | 73 | ||||||
Edwards Lifesciences Corp.(2) | 1,041 | 123 | ||||||
Eli Lilly & Co.(4) | 4,741 | 390 | ||||||
Envision Healthcare Corp.(2) | 584 | 37 | ||||||
Express Scripts Holding Co.(2) | 3,010 | 192 | ||||||
Gilead Sciences, Inc.(4) | 6,453 | 457 | ||||||
HCA Healthcare, Inc.(2) | 1,401 | 122 | ||||||
Henry Schein, Inc.(2) | 388 | 71 | ||||||
Hologic, Inc.(2) | 1,367 | 62 | ||||||
Humana, Inc. | 731 | 176 | ||||||
IDEXX Laboratories, Inc.(2) | 442 | 71 | ||||||
Illumina, Inc.(2) | 729 | 127 | ||||||
Incyte Corp.(2) | 861 | 108 | ||||||
Intuitive Surgical, Inc.(2) | 181 | 169 | ||||||
Johnson & Johnson(4) | 13,267 | 1,755 | ||||||
Laboratory Corporation of America Holdings(2) | 499 | 77 | ||||||
Mallinckrodt plc(2) | 490 | 22 | ||||||
McKesson Corp. | 1,050 | 173 | ||||||
Medtronic plc(4) | 6,692 | 594 | ||||||
Merck & Co., Inc.(4) | 13,480 | 864 | ||||||
Mettler-Toledo International, Inc.(2) | 128 | 75 | ||||||
Mylan NV(2) | 2,253 | 87 | ||||||
Patterson Cos., Inc. | 400 | 19 | ||||||
PerkinElmer, Inc. | 537 | 37 | ||||||
Perrigo Co., plc | 698 | 53 | ||||||
Pfizer, Inc.(4) | 29,026 | 975 | ||||||
Quest Diagnostics, Inc. | 673 | 75 | ||||||
Regeneron Pharmaceuticals, Inc.(2) | 373 | 183 | ||||||
Stryker Corp. | 1,518 | 211 | ||||||
Thermo Fisher Scientific, Inc. | 1,915 | 334 | ||||||
UnitedHealth Group, Inc.(4) | 4,689 | 869 | ||||||
Universal Health Services, Inc. Class B | 428 | 52 | ||||||
Varian Medical Systems, Inc.(2) | 452 | 47 | ||||||
Vertex Pharmaceuticals, Inc.(2) | 1,250 | 161 | ||||||
Waters Corp.(2) | 392 | 72 | ||||||
Zimmer Biomet Holdings, Inc. | 982 | 126 |
SHARES | VALUE | |||||||
Health Care—continued | ||||||||
Zoetis, Inc. | 2,405 | $ | 150 | |||||
|
| |||||||
14,734 | ||||||||
|
| |||||||
Industrials—10.0% | ||||||||
3M Co.(4) | 2,936 | 611 | ||||||
Acuity Brands, Inc. | 194 | 39 | ||||||
Alaska Air Group, Inc. | 596 | 54 | ||||||
Allegion plc | 473 | 38 | ||||||
American Airlines Group, Inc. | 2,440 | 123 | ||||||
AMETEK, Inc. | 1,126 | 68 | ||||||
Arconic, Inc. | 2,138 | 48 | ||||||
Boeing Co. (The)(4) | 2,798 | 553 | ||||||
Caterpillar, Inc.(4) | 2,887 | 310 | ||||||
Cintas Corp. | 434 | 55 | ||||||
CSX Corp. | 4,640 | 253 | ||||||
Cummins, Inc. | 818 | 133 | ||||||
Deere & Co. | 1,458 | 180 | ||||||
Delta Air Lines, Inc. | 3,540 | 190 | ||||||
Dover Corp. | 775 | 62 | ||||||
Eaton Corp. plc | 2,251 | 175 | ||||||
Emerson Electric Co.(4) | 3,181 | 190 | ||||||
Equifax, Inc. | 613 | 84 | ||||||
Expeditors International of Washington, Inc. | 879 | 50 | ||||||
Fastenal Co. | 1,402 | 61 | ||||||
FedEx Corp.(4) | 1,206 | 262 | ||||||
Flowserve Corp. | 632 | 29 | ||||||
Fluor Corp. | 711 | 33 | ||||||
Fortive Corp. | 1,514 | 96 | ||||||
Fortune Brands Home & Security, Inc. | 756 | 49 | ||||||
General Dynamics Corp.(4) | 1,417 | 281 | ||||||
General Electric Co.(4) | 41,308 | 1,116 | ||||||
Honeywell International, Inc.(4) | 3,754 | 500 | ||||||
Hunt (JB) Transport Services, Inc. | 423 | 39 | ||||||
IHS Markit Ltd. | 153 | 7 | ||||||
Illinois Tool Works, Inc. | 1,546 | 221 | ||||||
Ingersoll-Rand plc | 1,276 | 117 | ||||||
Jacobs Engineering Group, Inc. | 592 | 32 | ||||||
Johnson Controls International plc | 4,581 | 199 | ||||||
Kansas City Southern | 521 | 55 | ||||||
L3 Technologies, Inc. | 384 | 64 | ||||||
Lockheed Martin Corp.(4) | 1,232 | 342 | ||||||
Masco Corp. | 1,603 | 61 | ||||||
Nielsen Holdings plc | 1,645 | 64 | ||||||
Norfolk Southern Corp. | 1,445 | 176 | ||||||
Northrop Grumman Corp. | 863 | 222 | ||||||
PACCAR, Inc. | 1,729 | 114 | ||||||
Parker-Hannifin Corp. | 666 | 106 | ||||||
Pentair plc | 815 | 54 | ||||||
Quanta Services, Inc.(2) | 739 | 24 | ||||||
Raytheon Co.(4) | 1,453 | 235 | ||||||
Republic Services, Inc. | 1,141 | 73 | ||||||
Robert Half International, Inc. | 651 | 31 | ||||||
Robinson (C.H.) Worldwide, Inc. | 684 | 47 | ||||||
Rockwell Automation, Inc. | 647 | 105 | ||||||
Rockwell Collins, Inc. | 808 | 85 | ||||||
Roper Technologies, Inc. | 499 | 116 | ||||||
Ryder System, Inc. | 222 | 16 | ||||||
Snap-on, Inc. | 280 | 44 | ||||||
Southwest Airlines Co. | 3,017 | 188 |
Refer to Footnote Legend on page 27.
See Notes to Financial Statements
25
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
Industrials—continued | ||||||||
Stanley Black & Decker, Inc. | 750 | $ | 106 | |||||
Stericycle, Inc.(2) | 415 | 32 | ||||||
Textron, Inc. | 1,347 | 63 | ||||||
TransDigm Group, Inc. | 243 | 65 | ||||||
Union Pacific Corp.(4) | 4,006 | 436 | ||||||
United Continental Holdings, Inc.(2) | 1,407 | 106 | ||||||
United Parcel Service, Inc. Class B(4) | 3,351 | 371 | ||||||
United Rentals, Inc.(2) | 403 | 45 | ||||||
United Technologies Corp.(4) | 3,672 | 448 | ||||||
Verisk Analytics, Inc.(2) | 756 | 64 | ||||||
W.W. Grainger, Inc. | 266 | 48 | ||||||
Waste Management, Inc. | 1,997 | 147 | ||||||
Xylem, Inc. | 874 | 48 | ||||||
|
| |||||||
10,459 | ||||||||
|
| |||||||
Information Technology—21.9% | ||||||||
Accenture plc Class A(4) | 3,033 | 375 | ||||||
Activision Blizzard, Inc. | 3,451 | 199 | ||||||
Adobe Systems, Inc.(2) | 2,439 | 345 | ||||||
Advanced Micro Devices, Inc.(2) | 3,964 | 49 | ||||||
Akamai Technologies, Inc.(2) | 852 | 42 | ||||||
Alliance Data Systems Corp. | 276 | 71 | ||||||
Alphabet, Inc. Class A(2)(4) | 1,471 | 1,368 | ||||||
Alphabet, Inc. Class C(2)(4) | 1,464 | 1,330 | ||||||
Altaba, Inc.(2) | 3,928 | 214 | ||||||
Amphenol Corp. Class A | 1,515 | 112 | ||||||
Analog Devices, Inc. | 1,797 | 140 | ||||||
ANSYS, Inc.(2) | 42 | 5 | ||||||
Apple, Inc.(4) | 25,743 | 3,707 | ||||||
Applied Materials, Inc. | 5,394 | 223 | ||||||
Autodesk, Inc.(2) | 978 | 99 | ||||||
Automatic Data Processing, Inc. | 2,196 | 225 | ||||||
Broadcom Ltd. | 2,005 | 467 | ||||||
CA, Inc. | 1,551 | 53 | ||||||
Cisco Systems, Inc.(4) | 24,667 | 772 | ||||||
Citrix Systems, Inc.(2) | 774 | 62 | ||||||
Cognizant Technology Solutions Corp. Class A | 2,978 | 198 | ||||||
Corning, Inc. | 4,505 | 135 | ||||||
CSRA, Inc. | 718 | 23 | ||||||
DXC Technology Co. | 1,371 | 105 | ||||||
eBay, Inc.(2) | 5,008 | 175 | ||||||
Electronic Arts, Inc.(2) | 1,528 | 161 | ||||||
F5 Networks, Inc.(2) | 320 | 41 | ||||||
Facebook, Inc. Class A(2)(4) | 11,552 | 1,744 | ||||||
Fidelity National Information Services, Inc. | 1,617 | 138 | ||||||
Fiserv, Inc.(2) | 1,060 | 130 | ||||||
FLIR Systems, Inc. | 671 | 23 | ||||||
Gartner, Inc.(2) | 438 | 54 | ||||||
Global Payments, Inc. | 751 | 68 | ||||||
Harris Corp. | 611 | 67 | ||||||
Hewlett Packard Enterprise Co. | 8,149 | 135 | ||||||
HP, Inc. | 8,402 | 147 | ||||||
Intel Corp.(4) | 23,216 | 783 | ||||||
International Business Machines Corp.(4) | 4,166 | 641 | ||||||
Intuit, Inc. | 1,196 | 159 | ||||||
Juniper Networks, Inc. | 1,887 | 53 | ||||||
KLA-Tencor Corp. | 790 | 72 | ||||||
Lam Research Corp. | 823 | 116 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Mastercard, Inc. Class A(4) | 4,656 | $ | 565 | |||||
Microchip Technology, Inc. | 1,090 | 84 | ||||||
Micron Technology, Inc.(2) | 5,156 | 154 | ||||||
Microsoft Corp.(4) | 38,033 | 2,622 | ||||||
Motorola Solutions, Inc. | 812 | 70 | ||||||
NetApp, Inc. | 1,329 | 53 | ||||||
NVIDIA Corp. | 2,953 | 427 | ||||||
Oracle Corp.(4) | 14,660 | 735 | ||||||
Paychex, Inc. | 1,575 | 90 | ||||||
PayPal Holdings, Inc.(2)(4) | 5,556 | 298 | ||||||
Qorvo, Inc.(2) | 638 | 40 | ||||||
QUALCOMM, Inc.(4) | 7,275 | 402 | ||||||
Red Hat, Inc.(2) | 876 | 84 | ||||||
salesforce.com, Inc.(2) | 3,222 | 279 | ||||||
Seagate Technology plc | 1,490 | 58 | ||||||
Skyworks Solutions, Inc. | 923 | 89 | ||||||
Symantec Corp. | 3,080 | 87 | ||||||
Synopsys, Inc.(2) | 740 | 54 | ||||||
TE Connectivity Ltd. | 1,738 | 137 | ||||||
Teradata Corp.(2) | 577 | 17 | ||||||
Texas Instruments, Inc.(4) | 4,895 | 377 | ||||||
Total System Services, Inc. | 814 | 47 | ||||||
VeriSign, Inc.(2) | 435 | 40 | ||||||
Visa, Inc. Class A(4) | 9,116 | 855 | ||||||
Western Digital Corp. | 1,431 | 127 | ||||||
Western Union Co. (The) | 2,344 | 45 | ||||||
Xerox Corp. | 1,041 | 30 | ||||||
Xilinx, Inc. | 1,240 | 80 | ||||||
|
| |||||||
22,972 | ||||||||
|
| |||||||
Materials—2.5% | ||||||||
Air Products & Chemicals, Inc. | 971 | 139 | ||||||
Albemarle Corp. | 502 | 53 | ||||||
Avery Dennison Corp. | 394 | 35 | ||||||
Ball Corp. | 1,550 | 65 | ||||||
CF Industries Holdings, Inc. | 1,008 | 28 | ||||||
Dow Chemical Co. (The)(4) | 4,911 | 310 | ||||||
Du Pont (E.I.) de Nemours & Co.(4) | 3,815 | 308 | ||||||
Eastman Chemical Co. | 646 | 54 | ||||||
Ecolab, Inc. | 1,161 | 154 | ||||||
FMC Corp. | 598 | 44 | ||||||
Freeport-McMoRan, Inc.(2) | 5,752 | 69 | ||||||
International Flavors & Fragrances, Inc. | 352 | 48 | ||||||
International Paper Co. | 1,809 | 102 | ||||||
LyondellBasell Industries N.V. Class A | 1,444 | 122 | ||||||
Martin Marietta Materials, Inc. | 284 | 63 | ||||||
Monsanto Co.(4) | 1,925 | 228 | ||||||
Mosaic Co. (The) | 1,528 | 35 | ||||||
Newmont Mining Corp. | 2,375 | 77 | ||||||
Nucor Corp. | 1,395 | 81 | ||||||
PPG Industries, Inc. | 1,138 | 125 | ||||||
Praxair, Inc. | 1,260 | 167 | ||||||
Sealed Air Corp. | 859 | 38 | ||||||
Sherwin-Williams Co. (The) | 363 | 127 | ||||||
Vulcan Materials Co. | 596 | 75 | ||||||
WestRock Co. | 1,104 | 63 | ||||||
|
| |||||||
2,610 | ||||||||
|
|
SHARES | VALUE | |||||||
Real Estate—2.6% | ||||||||
Alexandria Real Estate Equities, Inc. | 394 | $ | 47 | |||||
American Tower Corp. | 1,889 | 250 | ||||||
Apartment Investment & Management Co. Class A | 688 | 30 | ||||||
AvalonBay Communities, Inc. | 604 | 116 | ||||||
Boston Properties, Inc. | 673 | 83 | ||||||
CBRE Group, Inc. Class A(2) | 1,334 | 49 | ||||||
Crown Castle International Corp. | 1,598 | 160 | ||||||
Digital Realty Trust, Inc. | 714 | 81 | ||||||
Equinix, Inc. | 347 | 149 | ||||||
Equity Residential | 1,611 | 106 | ||||||
Essex Property Trust, Inc. | 287 | 74 | ||||||
Extra Space Storage, Inc. | 555 | 43 | ||||||
Federal Realty Investment Trust | 317 | 40 | ||||||
GGP, Inc. | 2,569 | 60 | ||||||
HCP, Inc. | 2,094 | 67 | ||||||
Host Hotels & Resorts, Inc. | 3,247 | 59 | ||||||
Iron Mountain, Inc. | 1,091 | 37 | ||||||
Kimco Realty Corp. | 1,858 | 34 | ||||||
Macerich Co. (The) | 531 | 31 | ||||||
Mid-America Apartment Communities, Inc. | 500 | 53 | ||||||
Prologis, Inc. | 2,332 | 137 | ||||||
Public Storage | 661 | 138 | ||||||
Realty Income Corp. | 1,209 | 67 | ||||||
Regency Centers Corp. | 640 | 40 | ||||||
Simon Property Group, Inc.(4) | 1,404 | 227 | ||||||
SL Green Realty Corp. | 440 | 47 | ||||||
UDR, Inc. | 1,167 | 45 | ||||||
Ventas, Inc. | 1,591 | 111 | ||||||
Vornado Realty Trust | 756 | 71 | ||||||
Welltower, Inc. | 1,625 | 122 | ||||||
Weyerhaeuser Co. | 3,290 | 110 | ||||||
|
| |||||||
2,684 | ||||||||
|
| |||||||
Telecommunication Services—2.0% | ||||||||
AT&T, Inc.(4) | 29,802 | 1,125 | ||||||
CenturyLink, Inc. | 2,723 | 65 | ||||||
Level 3 Communications, Inc.(2) | 1,440 | 85 | ||||||
Verizon Communications, Inc.(4) | 19,503 | 871 | ||||||
|
| |||||||
2,146 | ||||||||
|
| |||||||
Utilities—3.1% | ||||||||
AES Corp. | 3,267 | 36 | ||||||
Alliant Energy Corp. | 1,121 | 45 | ||||||
Ameren Corp. | 1,197 | 65 | ||||||
American Electric Power Co., Inc. | 2,418 | 168 | ||||||
American Water Works Co., Inc. | 888 | 69 | ||||||
CenterPoint Energy, Inc. | 2,125 | 58 | ||||||
CMS Energy Corp. | 1,375 | 64 | ||||||
Consolidated Edison, Inc. | 1,504 | 122 | ||||||
Dominion Energy, Inc. | 3,065 | 235 | ||||||
DTE Energy Co. | 878 | 93 | ||||||
Duke Energy Corp.(4) | 3,419 | 286 | ||||||
Edison International | 1,588 | 124 | ||||||
Entergy Corp. | 886 | 68 | ||||||
Eversource Energy | 1,558 | 95 | ||||||
Exelon Corp.(4) | 4,555 | 164 | ||||||
FirstEnergy Corp. | 2,178 | 63 | ||||||
NextEra Energy, Inc.(4) | 2,297 | 322 | ||||||
NiSource, Inc. | 1,586 | 40 | ||||||
NRG Energy, Inc. | 1,556 | 27 |
Refer to Footnote Legend on page 27.
See Notes to Financial Statements
26
Table of Contents
VIRTUS RAMPART ENHANCED CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
Utilities—continued | ||||||||
PG&E Corp. | 2,476 | $ | 164 | |||||
Pinnacle West Capital Corp. | 553 | 47 | ||||||
PPL Corp. | 3,328 | 129 | ||||||
Public Service Enterprise Group, Inc. | 2,483 | 107 | ||||||
SCANA Corp. | 701 | 47 | ||||||
Sempra Energy | 1,222 | 138 | ||||||
Southern Co. (The)(4) | 4,923 | 236 | ||||||
WEC Energy Group, Inc. | 1,555 | 95 | ||||||
Xcel Energy, Inc. | 2,498 | 115 | ||||||
|
| |||||||
3,222 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $97,853) | 99,168 | |||||||
EXCHANGE-TRADED FUND—3.7% | ||||||||
PowerShares S&P 500 Low Volatility Portfolio(3) | 88,016 | 3,937 | ||||||
TOTAL EXCHANGE-TRADED FUND | ||||||||
(Identified Cost $3,859) | 3,937 | |||||||
CONTRACTS | ||||||||
PURCHASED OPTIONS—0.1% | ||||||||
Call Options—0.0% | ||||||||
S&P 500® Index expiration 7/3/17 strike price $2,550 | 139 | — | ||||||
S&P 500® Index expiration 7/5/17 strike price $2,540 | 140 | — | ||||||
S&P 500® Index expiration 7/7/17 strike price $2,535 | 139 | 1 | ||||||
S&P 500® Index expiration 7/10/17 strike price $2,530 | 139 | — | ||||||
S&P 500® Index expiration 7/12/17 strike price $2,540 | 137 | — | ||||||
S&P 500® Index expiration 7/14/17 strike price $2,535 | 205 | 2 | ||||||
|
| |||||||
3 | ||||||||
|
|
CONTRACTS | VALUE | |||||||
Put Options—0.1% | ||||||||
S&P 500® Index expiration 7/3/17 strike price $2,345 | 139 | $ | 1 | |||||
S&P 500® Index expiration 7/5/17 strike price $2,325 | 140 | 4 | ||||||
S&P 500® Index expiration 7/7/17 strike price $2,330 | 139 | 8 | ||||||
S&P 500® Index expiration 7/10/17 strike price $2,340 | 139 | 13 | ||||||
S&P 500® Index expiration 7/12/17 strike price $2,335 | 137 | 19 | ||||||
S&P 500® Index expiration 7/14/17 strike price $2,305 | 205 | 29 | ||||||
|
| |||||||
74 | ||||||||
TOTAL PURCHASED OPTIONS—0.1% | ||||||||
(Premiums Paid $142) | 77 | |||||||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—98.2% (Identified Cost $101,854) | 103,182 | (1) | ||||||
WRITTEN OPTIONS—(0.2)% | ||||||||
Call Options—(0.0)% | ||||||||
S&P 500® Index expiration 7/3/17 strike price $2,500 | 139 | (1 | ) | |||||
S&P 500® Index expiration 7/5/17 strike price $2,490 | 140 | (1 | ) | |||||
S&P 500® Index expiration 7/7/17 strike price $2,485 | 139 | (1 | ) | |||||
S&P 500® Index expiration 7/10/17 strike price $2,490 | 139 | — | (5) | |||||
S&P 500® Index expiration 7/12/17 strike price $2,490 | 137 | (2 | ) | |||||
S&P 500® Index expiration 7/14/17 strike price $2,485 | 205 | (4 | ) | |||||
|
| |||||||
(9 | ) | |||||||
|
| |||||||
Put Options—(0.2)% | ||||||||
S&P 500® Index expiration 7/3/17 strike price $2,395 | 139 | (8 | ) |
CONTRACTS | VALUE | |||||||
Put Options—continued | ||||||||
S&P 500® Index expiration 7/5/17 strike price $2,375 | 140 | $ | (9 | ) | ||||
S&P 500® Index expiration 7/7/17 strike price $2,380 | 139 | (26 | ) | |||||
S&P 500® Index expiration 7/10/17 strike price $2,390 | 139 | (61 | ) | |||||
S&P 500® Index expiration 7/12/17 strike price $2,385 | 137 | (56 | ) | |||||
S&P 500® Index expiration 7/14/17 strike price $2,355 | 205 | (63 | ) | |||||
|
| |||||||
(223 | ) | |||||||
TOTAL WRITTEN OPTIONS—(0.2)% | ||||||||
(Premiums Received $309) | (232 | )(1) | ||||||
TOTAL INVESTMENTS NET OF WRITTEN OPTIONS—98.0% (Identified Cost $101,545) | 102,950 | |||||||
Other assets and liabilities, net—2.0% |
| 2,146 | ||||||
|
| |||||||
NET ASSETS—100.0% | $105,096 | |||||||
|
|
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
(3) | Shares of this fund are publicly offered and its prospectus and annual report are publicly available. |
(4) | All or a portion of the security is segregated as collateral for written options. |
(5) | Amount is less than $500. |
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 99,168 | $ | 99,168 | $ | — | ||||||
Exchange-Traded Funds | 3,937 | 3,937 | — | |||||||||
Purchased Options | 77 | 77 | 0 | (a) | ||||||||
|
|
|
|
|
| |||||||
Total Investments before Written Options | $ | 103,182 | $ | 103,182 | $ | — | ||||||
|
|
|
|
|
| |||||||
Written Options | (232 | ) | (232 | ) | — | (b) | ||||||
|
|
|
|
|
| |||||||
Total Investments Net of Written Options | $ | 102,950 | $ | 102,950 | $ | — | (b) | |||||
|
|
|
|
|
|
There are no Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
(a) | Purchased options valued at zero above are considered to be Level 2 investments in this table. |
(b) | Amount is less than $500. |
See Notes to Financial Statements
27
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—2.4% | ||||||||
U.S. Treasury Bond | $ | 2,505 | $ | 2,335 | ||||
TOTAL U.S. GOVERNMENT SECURITIES | ||||||||
(Identified Cost $2,405) | 2,335 | |||||||
MUNICIPAL BONDS—2.0% | ||||||||
California—0.8% | ||||||||
San Diego County Regional Airport Authority Rental Car Center Project Series B – Taxable | 275 | 306 | ||||||
State of California, Build America Bonds Taxable | 265 | 412 | ||||||
|
| |||||||
718 | ||||||||
|
| |||||||
New York—0.8% | ||||||||
New York City Transitional Finance Authority Tax Secured Revenue | 345 | 398 | ||||||
Port Authority of New York & New Jersey, Consolidate Revenue Bonds | 335 | 384 | ||||||
|
| |||||||
782 | ||||||||
|
| |||||||
Texas—0.2% | ||||||||
State of Texas | 200 | 202 | ||||||
|
| |||||||
Virginia—0.2% | ||||||||
Tobacco Settlement Financing Corp. Series A-1, Taxable | 210 | 184 | ||||||
TOTAL MUNICIPAL BONDS | ||||||||
(Identified Cost $1,892) | 1,886 | |||||||
FOREIGN GOVERNMENT SECURITIES—0.7% | ||||||||
Argentine Republic |
| |||||||
6.875%, 1/26/27 | 65 | 67 | ||||||
7.625%, 4/22/46 | 150 | 153 | ||||||
Bolivarian Republic of Venezuela | 65 | 29 | ||||||
Republic of Chile | 52,000 | CLP | 83 | |||||
Republic of El Salvador 144A | 75 | 68 | ||||||
Republic of Turkey | 110 | 117 | ||||||
Russian Federation 144A | 5,000 | RUB | 85 | |||||
United Mexican States | ||||||||
Series M, 6.500%, 6/9/22 | 925 | MXN | 51 | |||||
4.750%, 3/8/44 | 54 | 54 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||
(Identified Cost $829) | 707 |
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES—10.4% | ||||||||
Agency—3.4% | ||||||||
FHLMC | $ | 151 | $ | 155 | ||||
FNMA | ||||||||
4.000%, 6/1/20 | 9 | 9 | ||||||
4.500%, 7/1/20 | 1 | 1 | ||||||
3.000%, 2/1/27 | 117 | 120 | ||||||
2.500%, 5/1/28 | 163 | 165 | ||||||
6.500%, 10/1/31 | 3 | 4 | ||||||
6.000%, 9/1/32 | 9 | 10 | ||||||
5.000%, 10/1/35 | 30 | 32 | ||||||
6.000%, 9/1/36 | 1 | 1 | ||||||
5.500%, 4/1/37 | 8 | 9 | ||||||
5.500%, 7/1/37 | 26 | 28 | ||||||
6.000%, 10/1/37 | 8 | 9 | ||||||
5.000%, 6/1/38 | 22 | 24 | ||||||
5.500%, 6/1/38 | 4 | 5 | ||||||
5.500%, 6/1/38 | 4 | 5 | ||||||
5.500%, 11/1/38 | 15 | 17 | ||||||
4.000%, 1/1/39 | 46 | 49 | ||||||
5.000%, 1/1/39 | 6 | 7 | ||||||
6.000%, 1/1/39 | 12 | 14 | ||||||
4.500%, 3/1/39 | 13 | 14 | ||||||
5.000%, 3/1/39 | 12 | 13 | ||||||
6.000%, 3/1/39 | 13 | 15 | ||||||
4.500%, 4/1/39 | 88 | 96 | ||||||
4.000%, 5/1/39 | 85 | 90 | ||||||
4.500%, 2/1/40 | 63 | 69 | ||||||
4.000%, 10/1/40 | 126 | 133 | ||||||
4.500%, 4/1/41 | 135 | 146 | ||||||
4.000%, 7/1/41 | 96 | 101 | ||||||
3.500%, 1/1/42 | 63 | 65 | ||||||
3.500%, 4/1/42 | 284 | 293 | ||||||
3.500%, 12/1/42 | 164 | 169 | ||||||
3.000%, 5/1/43 | 81 | 82 | ||||||
3.000%, 7/1/43 | 188 | 188 | ||||||
4.000%, 10/1/44 | 279 | 293 | ||||||
3.500%, 9/1/45 | 165 | 170 | ||||||
3.500%, 1/1/46 | 82 | 84 | ||||||
4.000%, 1/1/46 | 239 | 251 | ||||||
3.000%, 6/1/46 | 153 | 153 | ||||||
3.000%, 7/1/46 | 86 | 86 | ||||||
GNMA | 22 | 24 | ||||||
6.500%, 12/15/23 | 1 | 1 | ||||||
6.500%, 2/15/24 | 17 | 18 | ||||||
6.500%, 11/15/31 | 18 | 20 | ||||||
6.500%, 2/15/32 | 22 | 24 | ||||||
|
| |||||||
3,262 | ||||||||
|
| |||||||
Non-Agency—7.0% | ||||||||
Agate Bay Mortgage Trust 13-1, A1 144A | 141 | 143 | ||||||
American Homes 4 Rent Trust 15-SFR2, C 144A | 110 | 117 | ||||||
15-SFR1, A 144A | 106 | 109 | ||||||
Ameriquest Mortgage Securities, Inc. 03-AR3, M4 | 155 | 154 | ||||||
AMSR Trust 16-SFR1, C 144A | 100 | 102 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Aventura Mall Trust 13-AVM, C 144A | $ | 300 | $ | 310 | ||||
Banc of America Commercial Mortgage Trust 07-4, AM | 5 | 5 | ||||||
Bank of America (Merrill Lynch) Commercial Mortgage Securities Trust 15-200P, A 144A | 100 | 101 | ||||||
Bayview Opportunity Master Fund IVa Trust | 100 | 104 | ||||||
17-SPL1, B1 144A | 100 | 104 | ||||||
Bayview Opportunity Master Fund IVb Trust 16-SPL2, B1 144A | 100 | 104 | ||||||
CIT Group Home Equity Loan Trust 03-1, A5 | 210 | 214 | ||||||
Citigroup Commercial Mortgage Trust | 100 | 99 | ||||||
08-C7, AM | 95 | 96 | ||||||
Citigroup Mortgage Loan Trust, Inc. | 61 | 61 | ||||||
04-NCM2, 2CB2 | 65 | 70 | ||||||
14-A, A 144A | 53 | 55 | ||||||
15-A, A1 144A | 83 | 84 | ||||||
Cold Storage Trust 17-ICE3, A 144A | 115 | 115 | ||||||
Colony Multi-Family Mortgage Trust 14-1, A 144A | 57 | 57 | ||||||
Colony Starwood Homes Trust 16-2A, C 144A | 100 | 100 | ||||||
Credit Suisse Mortgage Capital Trust 13-HYB1, A16, 144A | 44 | 44 | ||||||
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A | 100 | 102 | ||||||
Galton Funding Mortgage Trust 17-1, A21 144A | 91 | 92 | ||||||
GMAC Mortgage Corp. Loan Trust 04-AR1, 12A | 35 | 35 | ||||||
Goldman Sachs Mortgage Securities Trust 12-ALOH, A 144A | 100 | 105 |
Refer to Footnote Legend on page 33.
See Notes to Financial Statements
28
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
GSAA Home Equity Trust 05-12, AF3W | $ | 33 | $ | 33 | ||||
IMC Home Equity Loan Trust 97-5, A9 | 73 | 73 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 04-1, 21A1 | 55 | 55 | ||||||
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust 07-PW18, AM, | 450 | 455 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | 53 | 53 | ||||||
03-AR4, 2A1 | 82 | 81 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 14-C22, A4 | 150 | 157 | ||||||
07-LDPX, AM | 29 | 29 | ||||||
JPMorgan Chase Mortgage Trust 14-2, 2A2 144A | 56 | 57 | ||||||
14-1, 1A1 144A | 121 | 125 | ||||||
16-1, M2 144A | 79 | 80 | ||||||
16-2, M2 144A | 86 | 87 | ||||||
16-1, A3 144A | 79 | 80 | ||||||
11-C4, A4, 144A | 225 | 240 | ||||||
16-5, A1 144A | 188 | 187 | ||||||
MASTR Alternative Loan Trust 03-8, 2A1 | 110 | 114 | ||||||
MASTR Specialized Loan Trust 05-3, A2 144A | 67 | 69 | ||||||
Morgan Stanley—Bank of America (Merrill Lynch) Trust 15-C22, AS | 225 | 227 | ||||||
Morgan Stanley Capital Barclays Bank Trust 16-MART, A 144A | 155 | 153 | ||||||
Motel 6 Trust 15-MTL6, D 144A | 155 | 155 | ||||||
New Residential Mortgage Loan Trust | 88 | 91 | ||||||
15-2A, A1 144A | 74 | 77 | ||||||
16-1A, A1 144A | 72 | 74 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
16-3A, A1 144A | $ | 85 | $ | 87 | ||||
16-4A, B1A 144A | 98 | 101 | ||||||
NovaStar Mortgage Funding Trust Series 04-4, M5 | 120 | 119 | ||||||
One Market Plaza Trust 17-1MKT, A 144A | 100 | 104 | ||||||
Residential Asset Mortgage Products Trust 05-SL2, A4 | 51 | 50 | ||||||
Sequoia Mortgage Trust 14-2, A1 144A | 76 | 78 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 04-1, 6A | 97 | 95 | ||||||
Towd Point Mortgage Trust 15-1, A2 144A | 100 | 100 | ||||||
15-6, M1 144A | 100 | 101 | ||||||
15-5, A2 144A | 100 | 102 | ||||||
16-4, A1 144A | 83 | 83 | ||||||
15-2, 1M1 144A | 145 | 145 | ||||||
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 07-C33, A5 | 36 | 36 | ||||||
Wells Fargo Commercial Mortgage Trust 15-LC20, B | 50 | 50 | ||||||
|
| |||||||
6,685 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Identified Cost $9,809) | 9,947 | |||||||
ASSET-BACKED SECURITIES—2.4% | ||||||||
American Credit Acceptance Receivables Trust 17-2, C 144A | 95 | 95 | ||||||
AmeriCredit Automobile Receivables Trust 13-2, D | 275 | 275 | ||||||
BXG Receivables Note Trust 12-A, A 144A | 39 | 39 | ||||||
Centre Point Funding LLC 12-2A,1 144A | 63 | 62 | ||||||
Conn’s Receivables Funding LLC 16-B, A 144A | 24 | 24 | ||||||
DB Master Finance LLC 15-A1, A2II 144A | 49 | 50 | ||||||
Drive Auto Receivables Trust 15-AA, C 144A | 126 | 127 |
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—continued | ||||||||
DT Auto Owner Trust 16-4A, C 144A | $ | 125 | $ | 125 | ||||
Earnest Student Loan Program LLC 17-A A2 144A | 100 | 100 | ||||||
Exeter Automobile Receivables Trust | 135 | 138 | ||||||
14-3A, D 144A | 115 | 119 | ||||||
Fairway Outdoor Funding LLC 12-1A, A2 144A | 74 | 74 | ||||||
Flagship Credit Auto Trust 16-1, A 144A | 70 | 70 | ||||||
GLS Auto Receivables Trust 17-1A, B 144A | 115 | 115 | ||||||
Mariner Finance Issuance Trust 17-AA, A 144A | 100 | 101 | ||||||
Navistar Financial Dealer Note Master Owner Trust II 16-1, B 144A | 165 | 165 | ||||||
OneMain Financial Issuance Trust 15-1A, A 144A | 125 | 126 | ||||||
Sofi Professional Loan Program LLC 16-A, A2 144A | 71 | 72 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 01-SB1, A2 | 53 | 52 | ||||||
TCF Auto Receivables Owner Trust 14-1A, C 144A | 165 | 166 | ||||||
Trip Rail Master Funding LLC 11-1A, A1A 144A | | 94 | | 95 | ||||
U-Haul S Fleet LLC 10-BT1A, 1 144A | 83 | 84 | ||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $2,264) | 2,274 | |||||||
CORPORATE BONDS AND NOTES—18.3% | ||||||||
Consumer Discretionary—1.5% | ||||||||
American Greetings Corp. 144A | 40 | 43 | ||||||
Cooper-Standard Automotive, Inc. 144A | 80 | 80 | ||||||
Delphi Automotive plc | 90 | 92 | ||||||
Hilton Worldwide Finance LLC 144A | 95 | 99 | ||||||
Horton (D.R.), Inc. | 115 | 124 |
Refer to Footnote Legend on page 33.
See Notes to Financial Statements
29
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Hyatt Hotels Corp. | $ | 115 | $ | 117 | ||||
Marriott International, Inc. | 160 | 160 | ||||||
Priceline Group, Inc. (The) | 130 | 133 | ||||||
QVC, Inc. | 135 | 143 | ||||||
SFR Group S.A. 144A | 200 | 217 | ||||||
Sirius XM Radio, Inc. 144A | 75 | 76 | ||||||
TRI Pointe Group, Inc. | 35 | 37 | ||||||
Wyndham Worldwide Corp. | 130 | 141 | ||||||
|
| |||||||
1,462 | ||||||||
|
| |||||||
Consumer Staples—0.4% | ||||||||
CVS Health Corp. | 110 | 107 | ||||||
Flowers Foods, Inc. | 120 | 128 | ||||||
Kraft Heinz Foods Co. (The) 2.800%, 7/2/20 | 20 | 20 | ||||||
3.500%, 7/15/22 | 25 | 26 | ||||||
Safeway, Inc. | 70 | 66 | ||||||
Smithfield Foods, Inc. 144A | 21 | 21 | ||||||
|
| |||||||
368 | ||||||||
|
| |||||||
Energy—2.0% | ||||||||
Anadarko Petroleum Corp. | 20 | 22 | ||||||
Blue Racer Midstream LLC 144A | 20 | 20 | ||||||
Ecopetrol S.A. | 125 | 130 | ||||||
EP Energy LLC 144A | 35 | 35 | ||||||
Gazprom Neft OAO (Via GPN Capital) 144A | 200 | 218 | ||||||
Helmerich & Payne International Drilling Co. | 70 | 73 | ||||||
HollyFrontier Corp. | 100 | 106 | ||||||
Kinder Morgan, Inc. | ||||||||
4.300%, 6/1/25 | 150 | 156 | ||||||
7.750%, 1/15/32 | 60 | 76 | ||||||
Lukoil International Finance BV 144A | 200 | 205 | ||||||
MPLX LP | 110 | 117 | ||||||
NGL Energy Partners LP | 95 | 94 | ||||||
NuStar Logistics LP | 30 | 32 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Occidental Petroleum Corp. | $ | 80 | $ | 83 | ||||
Petrobras Global Finance BV | ||||||||
5.375%, 1/27/21 | 55 | 56 | ||||||
8.750%, 5/23/26 | 30 | 35 | ||||||
7.375%, 1/17/27 | 70 | 74 | ||||||
Petroleos Mexicanos | ||||||||
6.875%, 8/4/26 | 35 | 39 | ||||||
6.500%, 6/2/41 | 90 | 89 | ||||||
5.500%, 6/27/44 | 60 | 53 | ||||||
Regency Energy Partners LP | 135 | 145 | ||||||
SM Energy Co. | 45 | 43 | ||||||
|
| |||||||
1,901 | ||||||||
|
| |||||||
Financials—7.4% | ||||||||
Allstate Corp. (The) | 135 | 148 | ||||||
Ally Financial, Inc. | 60 | 63 | ||||||
Apollo Management Holdings LP 144A | 135 | 137 | ||||||
Ares Capital Corp. | ||||||||
4.875%, 11/30/18 | 18 | 19 | ||||||
3.875%, 1/15/20 | 49 | 50 | ||||||
Ares Finance Co., LLC 144A | 140 | 134 | ||||||
Aviation Capital Group Corp. 144A | 25 | 25 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A | 150 | 165 | ||||||
Banco de Credito del Peru 144A | 164 | 174 | ||||||
Banco de Credito e Inversiones 144A | 200 | 208 | ||||||
Banco Internacional del Peru SAA Interbank 144A | 115 | 127 | ||||||
Bank of America Corp. | ||||||||
5.650%, 5/1/18 | 400 | 413 | ||||||
4.200%, 8/26/24 | 155 | 161 | ||||||
Brookfield Finance LLC | 82 | 84 | ||||||
Capital One Financial Corp. | 105 | 102 | ||||||
Citigroup Inc. | 150 | 146 | ||||||
CNOOC Finance 2013 Ltd. | 200 | 198 | ||||||
Fidelity National Financial, Inc. | 40 | 43 | ||||||
Fifth Third Bancorp | 150 | 154 | ||||||
First Horizon National Corp. | 110 | 113 | ||||||
Ford Motor Credit Co., LLC | 275 | 303 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
FS Investment Corp. | ||||||||
4.250%, 1/15/20 | $ | 115 | $ | 117 | ||||
4.750%, 5/15/22 | 35 | 36 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.500%, 7/10/19 | 120 | 123 | ||||||
4.200%, 3/1/21 | 40 | 42 | ||||||
Goldman Sachs Group, Inc. (The) | 180 | 186 | ||||||
HSBC USA, Inc. | 135 | 135 | ||||||
Huntington Bancshares, Inc. | 95 | 109 | ||||||
ICAHN Enterprises LP | ||||||||
6.000%, 8/1/20 | 55 | 57 | ||||||
5.875%, 2/1/22 | 45 | 46 | ||||||
6.250%, 2/1/22 | 10 | 10 | ||||||
iStar, Inc. | ||||||||
5.000%, 7/1/19 | 30 | 30 | ||||||
6.000%, 4/1/22 | 30 | 31 | ||||||
Jefferies Group LLC | 150 | 163 | ||||||
KeyCorp | 165 | 181 | ||||||
Korea Finance Corp. | 200 | 216 | ||||||
Liberty Mutual Group, Inc. 144A | 135 | 144 | ||||||
Lincoln National Corp. | 50 | 46 | ||||||
Lloyds TSB Bank plc 144A | 150 | 166 | ||||||
Manulife Financial Corp. | 100 | 106 | ||||||
Morgan Stanley | ||||||||
4.100%, 5/22/23 | 80 | 83 | ||||||
3.125%, 7/27/26 | 115 | 112 | ||||||
Navient Corp. | 20 | 21 | ||||||
Nordea Bank AB 144A | 200 | 200 | ||||||
NUVEEN FINANCE LLC (Teachers Insurance & Annuity Association Asset Management Finance Co., LLC) 144A 4.125%, 11/1/24(4) | 125 | 129 | ||||||
OM Asset Management plc | 60 | 60 | ||||||
Powszechna Kasa Oszczednosci Bank Polski S.A. 144A | 200 | 213 | ||||||
Prudential Financial, Inc. | ||||||||
5.875%, 9/15/42(3) | 90 | 100 | ||||||
5.625%, 6/15/43(3)(5) | 60 | 66 | ||||||
S&P Global, Inc. | 125 | 131 | ||||||
Santander Holdings USA, Inc. 144A | 115 | 116 | ||||||
SBA Tower Trust 144A | 100 | 100 | ||||||
Teachers Insurance & Annuity Association of America 144A | 110 | 111 | ||||||
Toronto-Dominion Bank (The) | ||||||||
2.125%, 4/7/21 | 65 | 65 | ||||||
3.625%, 9/15/31(3) | 25 | 25 |
Refer to Footnote Legend on page 33.
See Notes to Financial Statements
30
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Trinity Acquisition plc | $ | 80 | $ | 84 | ||||
Turkiye Vakiflar Bankasi TAO 144A | 200 | 199 | ||||||
Wells Fargo & Co. | 40 | 41 | ||||||
Series M, | 115 | 118 | ||||||
Willis Towers Watson plc | 125 | 138 | ||||||
Zions Bancorporation | 40 | 42 | ||||||
|
| |||||||
7,065 | ||||||||
|
| |||||||
Health Care—1.6% | ||||||||
Abbott Laboratories | ||||||||
3.400%, 11/30/23 | 25 | 26 | ||||||
3.750%, 11/30/26 | 105 | 107 | ||||||
AbbVie, Inc. | ||||||||
3.600%, 5/14/25 | 45 | 46 | ||||||
3.200%, 5/14/26 | 65 | 64 | ||||||
Becton Dickinson and Co. | 135 | 136 | ||||||
Cardinal Health, Inc. | ||||||||
3.200%, 3/15/23 | 70 | 71 | ||||||
3.079%, 6/15/24 | 5 | 5 | ||||||
3.410%, 6/15/27 | 40 | 40 | ||||||
Endo Finance LLC 144A | 50 | 42 | ||||||
Express Scripts Holding Co. | 140 | 147 | ||||||
Forest Laboratories LLC 144A | 38 | 41 | ||||||
Fresenius U.S. Finance II, Inc. 144A | 15 | 16 | ||||||
HCA, Inc. | 20 | 21 | ||||||
MEDNAX, Inc. 144A | 55 | 57 | ||||||
Mylan NV | ||||||||
3.000%, 12/15/18 | 35 | 35 | ||||||
3.150%, 6/15/21 | 20 | 20 | ||||||
Shire Acquisitions Investments | 120 | 119 | ||||||
Tenet Healthcare Corp. | 35 | 35 | ||||||
144A 4.625%, 7/15/24(4) | 42 | 42 | ||||||
Teva Pharmaceutical Finance III BV | 60 | 57 | ||||||
4.100%, 10/1/46 | 60 | 55 | ||||||
THC Escrow Corp. III 144A | 53 | 53 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
144A 7.500%, 7/15/21(4) | 15 | 14 | ||||||
144A 5.625%, 12/1/21(4) | 25 | 23 | ||||||
144A 5.875%, 5/15/23(4) | 10 | 9 | ||||||
144A 7.000%, 3/15/24(4) | 15 | 16 | ||||||
Zimmer Biomet Holdings, Inc. | 130 | 131 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Zoetis, Inc. | $ | 70 | $ | 72 | ||||
|
| |||||||
1,500 | ||||||||
|
| |||||||
Industrials—0.7% | ||||||||
British Airways Pass-Through-Trust 13-1, B 144A | 32 | 33 | ||||||
CNH Industrial N.V. | 68 | 72 | ||||||
Continental Airlines Pass-Through-Trust 01-1, A1 | 30 | 33 | ||||||
Embraer Netherlands Finance BV | 45 | 47 | ||||||
GATX Corp. | 15 | 14 | ||||||
Hertz Corp. (The) 144A | 30 | 30 | ||||||
Owens Corning | 80 | 79 | ||||||
Park Aerospace Holdings Ltd. 144A | 40 | 42 | ||||||
Penske Truck Leasing Co., LP 144A | 50 | 51 | ||||||
Pitney Bowes, Inc. | 91 | 91 | ||||||
UAL Pass-Through-Trust 07-01, A | 189 | 205 | ||||||
|
| |||||||
697 | ||||||||
|
| |||||||
Information Technology—0.8% | ||||||||
Apple, Inc. | ||||||||
3.250%, 2/23/26 | 80 | 81 | ||||||
3.350%, 2/9/27 | 80 | 82 | ||||||
Applied Materials, Inc. | 95 | 97 | ||||||
Arrow Electronics, Inc. | 95 | 95 | ||||||
Broadcom Corp. | ||||||||
144A 3.000%, 1/15/22(4) | 45 | 45 | ||||||
144A 3.625%, 1/15/24(4) | 80 | 82 | ||||||
Dell International LLC | ||||||||
144A 5.450%, 6/15/23(4) | 15 | 16 | ||||||
144A 6.020%, 6/15/26(4) | 10 | 11 | ||||||
Hewlett Packard Enterprise Co. | 60 | 63 | ||||||
Microsoft Corp. | 115 | 118 | ||||||
Verisk Analytics, Inc. | 125 | 129 | ||||||
|
| |||||||
819 | ||||||||
|
| |||||||
Materials—0.6% | ||||||||
Freeport-McMoRan, Inc. | 55 | 51 | ||||||
Gerdau Holdings, Inc. 144A | 100 | 107 | ||||||
Glencore Funding LLC 144A | 95 | 97 |
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
NewMarket Corp. | $ | 142 | $ | 147 | ||||
NOVA Chemicals Corp. | ||||||||
144A 4.875%, 6/1/24(4) | 35 | 35 | ||||||
144A 5.000%, 5/1/25(4) | 60 | 60 | ||||||
Vulcan Materials Co. | 95 | 97 | ||||||
|
| |||||||
594 | ||||||||
|
| |||||||
Real Estate—2.3% | ||||||||
Alexandria Real Estate Equities, Inc. | 60 | 61 | ||||||
Brixmor Operating Partnership LP | 35 | 36 | ||||||
Corporate Office Properties LP | 90 | 92 | ||||||
3.600%, 5/15/23 | 150 | 149 | ||||||
Digital Realty Trust LP | 50 | 51 | ||||||
3.950%, 7/1/22 | 65 | 68 | ||||||
Education Realty Operating Partnership LP | 150 | 152 | ||||||
EPR Properties | 110 | 113 | ||||||
HCP, Inc. | 50 | 51 | ||||||
Healthcare Realty Trust, Inc. | 80 | 81 | ||||||
Healthcare Trust of America Holdings LP | 50 | 51 | ||||||
3.750%, 7/1/27 | 100 | 99 | ||||||
Highwoods Realty LP | 135 | 137 | ||||||
Hospitality Properties Trust | 130 | 133 | ||||||
Kilroy Realty LP | 110 | 115 | ||||||
LifeStorage LP | 50 | 48 | ||||||
National Retail Properties, Inc. | 150 | 165 | ||||||
Physicians Realty LP | 95 | 96 | ||||||
Retail Opportunity Investments Partnership LP | 105 | 102 | ||||||
Select Income REIT | 125 | 125 | ||||||
Welltower, Inc. | 135 | 140 | ||||||
WP Carey, Inc. | 105 | 109 | ||||||
|
| |||||||
2,174 | ||||||||
|
| |||||||
Telecommunication Services—0.4% | ||||||||
AT&T, Inc. | 50 | 50 | ||||||
4.250%, 3/1/27 | 60 | 62 | ||||||
5.250%, 3/1/37 | 20 | 21 | ||||||
4.800%, 6/15/44 | 80 | 80 |
Refer to Footnote Legend on page 33.
See Notes to Financial Statements
31
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Telecommunication Services—continued | ||||||||
Qwest Corp. | $ | 55 | $ | 61 | ||||
T-Mobile USA, Inc. | 40 | 43 | ||||||
Verizon Communications, Inc. | 95 | 98 | ||||||
|
| |||||||
415 | ||||||||
|
| |||||||
Utilities—0.6% | ||||||||
Dominion Energy, Inc. | 10 | 10 | ||||||
Entergy Mississippi, Inc. | 175 | 177 | ||||||
Exelon Corp. | 135 | 139 | ||||||
Kansas City Power & Light Co. | 110 | 111 | ||||||
Southern Power Co. | 145 | 151 | ||||||
Vistra Operations Company LLC (Texas Competitive Electric Holdings Co. LLC) 144A | 65 | — | (11) | |||||
|
| |||||||
588 | ||||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Identified Cost $17,121) | 17,583 | |||||||
LOAN AGREEMENTS(3)—1.0% | ||||||||
Consumer Discretionary—0.4% | ||||||||
Advantage Sales & Marketing, Inc. Tranche B-2, First Lien, | 35 | 34 | ||||||
Boyd Gaming Corp. Refinancing Tranche B, 3.688%, 9/15/23 | 20 | 20 | ||||||
El Dorado Resorts, Inc. Tranche B, 3.375%, 4/17/24 | 10 | 10 | ||||||
Harbor Freight Tools USA, Inc. 2016 4.476%, 8/18/23 | 104 | 104 | ||||||
PetSmart, Inc. Tranche B-2, | 62 | 57 | ||||||
Seminole Tribe of Florida Tranche B, | 60 | 60 | ||||||
UFC Holdings LLC First Lien, | 48 | 48 | ||||||
|
| |||||||
333 | ||||||||
|
| |||||||
Consumer Staples—0.0% | ||||||||
Galleria Co. Tranche B, | 27 | 28 | ||||||
|
| |||||||
Energy—0.0% | ||||||||
Paragon Offshore Finance Co. | 33 | 13 | ||||||
Seadrill Operating LP | 50 | 32 | ||||||
|
| |||||||
45 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Financials—0.1% | ||||||||
Delos Finance S.a.r.l. | $ | 80 | $ | 80 | ||||
|
| |||||||
Health Care—0.1% | ||||||||
Envision Healthcare Corp. | 11 | 10 | ||||||
HLF Financing S.a.r.l. Senior Lien, | 15 | 15 | ||||||
Team Health Holdings, Inc. | 37 | 37 | ||||||
|
| |||||||
62 | ||||||||
|
| |||||||
Information Technology—0.2% | ||||||||
First Data Corp. | 21 | 21 | ||||||
2024, 3.716%, 4/26/24 | 68 | 68 | ||||||
Rackspace Hosting, Inc. 2017 Refinancing Tranche B, First Lien 4.172%, 11/3/23 | 83 | 83 | ||||||
SS&C Technologies Holdings, Inc. | 21 | 21 | ||||||
2017 Refinancing Tranche B-2, | 1 | 1 | ||||||
Western Digital Corp. Tranche B-2, | 26 | 26 | ||||||
|
| |||||||
220 | ||||||||
|
| |||||||
Materials—0.1% | ||||||||
Anchor Glass Container Corp. First Lien, | 14 | 14 | ||||||
CPI Acquisition, Inc. First Lien, | 36 | 30 | ||||||
Huntsman International LLC Tranche B, 4.121%, 4/1/23 | 22 | 22 | ||||||
|
| |||||||
66 | ||||||||
|
| |||||||
Real Estate—0.0% | ||||||||
ESH Hospitality, Inc. | 11 | 11 | ||||||
|
| |||||||
Telecommunication Services—0.0% | ||||||||
Digicel International Finance Ltd. Tranche B, First Lien | 10 | 10 | ||||||
|
| |||||||
Utilities—0.1% | ||||||||
Energy Future Intermediate Holding Co. LLC | 60 | 60 | ||||||
Vistra Operations Co. LLC | 24 | 24 | ||||||
Tranche C, 3.977%, 8/4/23 | 6 | 6 | ||||||
|
| |||||||
90 | ||||||||
TOTAL LOAN AGREEMENTS (Identified Cost $992) | 945 |
SHARES | VALUE | |||||||
PREFERRED STOCKS—1.1% | ||||||||
Financials—0.9% | ||||||||
Bank of New York Mellon Corp. (The) Series E, | 40 | (6) | $ | 42 | ||||
Citigroup, Inc. Series T, | 125 | (6) | 139 | |||||
JPMorgan Chase & Co. Series V, | 50 | (6) | 51 | |||||
KeyCorp Series D, | 100 | (6) | 102 | |||||
PNC Financial Services Group, Inc. (The) Series R, | 95 | (6) | 97 | |||||
PNC Financial Services Group, Inc. (The) Series S, | 100 | (6) | 103 | |||||
Wells Fargo & Co. Series K, | 95 | (6) | 99 | |||||
XLIT Ltd. Series E, | 100 | (6) | 93 | |||||
Zions Bancorp | 4,250 | 126 | ||||||
|
| |||||||
852 | ||||||||
|
| |||||||
Industrials—0.2% | ||||||||
General Electric Co. Series D, | 150 | (6) | 159 | |||||
TOTAL PREFERRED STOCKS | ||||||||
(Identified Cost $973) | 1,011 | |||||||
COMMON STOCKS—60.6% | ||||||||
Consumer Discretionary—13.3% | ||||||||
Amazon.com, Inc.(2) | 2,020 | 1,955 | ||||||
Ctrip.com International Ltd. ADR(2) | 13,050 | 703 | ||||||
Home Depot, Inc. (The) | 5,910 | 906 | ||||||
IMAX Corp.(2) | 14,030 | 309 | ||||||
Kroton Educacional S.A. Sponsored ADR | 66,045 | 297 | ||||||
Las Vegas Sands Corp. | 21,860 | 1,397 | ||||||
Netflix, Inc.(2) | 7,060 | 1,055 | ||||||
NIKE, Inc. Class B | 15,770 | 930 | ||||||
Priceline Group, Inc. (The)(2) | 835 | 1,562 | ||||||
Ross Stores, Inc. | 15,800 | 912 | ||||||
Sony Corp. Sponsored ADR | 13,455 | 514 | ||||||
Starbucks Corp. | 25,400 | 1,481 | ||||||
Subaru Corp. ADR | 22,441 | 378 | ||||||
Walt Disney Co. (The) | 3,620 | 385 | ||||||
|
| |||||||
12,784 | ||||||||
|
| |||||||
Consumer Staples—4.7% | ||||||||
British American Tobacco plc Sponsored ADR | 5,985 | 410 | ||||||
Companhia Brasileira de Distribuicao Grupo Pao de Acucar Sponsored ADR(2) | 21,590 | 422 | ||||||
Costco Wholesale Corp. | 3,640 | 582 | ||||||
Marine Harvest ASA Sponsored ADR(2) | 20,919 | 358 |
Refer to Footnote Legend on page 33.
See Notes to Financial Statements
32
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
SHARES | VALUE | |||||||
Consumer Staples—continued | ||||||||
Monster Beverage Corp.(2) | 30,460 | $ | 1,513 | |||||
Philip Morris International, Inc. | 10,790 | 1,268 | ||||||
|
| |||||||
4,553 | ||||||||
|
| |||||||
Energy—2.8% | ||||||||
Cabot Oil & Gas Corp. | 15,520 | 389 | ||||||
Core Laboratories N.V. | 5,310 | 538 | ||||||
Frontera Energy Corp.(2) | 557 | 14 | ||||||
Pioneer Natural Resources Co. | 4,480 | 715 | ||||||
Schlumberger Ltd. | 4,820 | 317 | ||||||
Statoil ASA Sponsored ADR | 22,335 | 369 | ||||||
TechnipFMC plc(2) | 11,787 | 321 | ||||||
|
| |||||||
2,663 | ||||||||
|
| |||||||
Financials—5.1% | ||||||||
Bank of America Corp. | 50,050 | 1,214 | ||||||
BNP Paribas S.A. ADR | 13,100 | 476 | ||||||
CaixaBank S.A. ADR | 265,133 | 424 | ||||||
Charles Schwab Corp. (The) | 14,910 | 641 | ||||||
DBS Group Holdings Ltd. Sponsored ADR | 7,976 | 483 | ||||||
ING Groep N.V. Sponsored ADR | 27,896 | 485 | ||||||
MarketAxess Holdings, Inc. | 1,180 | 237 | ||||||
ORIX Corp. Sponsored ADR | 6,017 | 469 | ||||||
UBS Group AG(2) | 25,706 | 437 | ||||||
|
| |||||||
4,866 | ||||||||
|
| |||||||
Health Care—6.2% | ||||||||
Allergan plc | 1,884 | 458 | ||||||
BioMarin Pharmaceutical, Inc.(2) | 7,920 | 719 | ||||||
Celgene Corp.(2) | 11,610 | 1,508 | ||||||
Danaher Corp. | 8,110 | 684 | ||||||
HealthEquity, Inc.(2) | 10,170 | 507 | ||||||
Icon plc(2) | 5,355 | 524 | ||||||
Illumina, Inc.(2) | 3,610 | 626 | ||||||
Zoetis, Inc. | 14,550 | 908 | ||||||
|
| |||||||
5,934 | ||||||||
|
| |||||||
Industrials—5.7% | ||||||||
ACS Actividades de Construccion y Servicios S.A. ADR(2) | 57,381 | 443 | ||||||
Airbus SE ADR | 25,185 | 521 | ||||||
Ashtead Group plc ADR | 6,465 | 539 | ||||||
CK Hutchison Holdings Ltd. ADR | 34,784 | 436 | ||||||
Hitachi Ltd. ADR | 6,230 | 384 | ||||||
Nidec Corp. Sponsored ADR | 19,735 | 505 | ||||||
RELX plc Sponsored ADR | 20,150 | 441 | ||||||
Rockwell Automation, Inc. | 2,570 | 416 | ||||||
Roper Technologies, Inc. | 3,800 | 880 | ||||||
Union Pacific Corp. | 4,590 | 500 | ||||||
Westinghouse Air Brake Technologies Corporation | 4,859 | 445 | ||||||
|
| |||||||
5,510 | ||||||||
|
| |||||||
Information Technology—19.5% | ||||||||
Accenture plc Class A | 5,680 | 703 | ||||||
Activision Blizzard, Inc. | 13,580 | 782 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR(2) | 17,490 | 2,464 | ||||||
Alphabet, Inc. Class A(2) | 1,330 | 1,237 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Amphenol Corp. Class A | 17,280 | $ | 1,276 | |||||
Broadcom Ltd. | 1,814 | 423 | ||||||
Check Point Software Technologies Ltd.(2) | 3,900 | 425 | ||||||
CoStar Group, Inc.(2) | 2,390 | 630 | ||||||
Facebook, Inc. Class A(2) | 29,890 | 4,513 | ||||||
Gartner, Inc.(2) | 4,440 | 548 | ||||||
NVIDIA Corp. | 6,560 | 948 | ||||||
Paycom Software, Inc.(2) | 10,970 | 750 | ||||||
SAP SE Sponsored ADR | 4,089 | 428 | ||||||
Visa, Inc. Class A | 17,390 | 1,631 | ||||||
Workday, Inc. Class A(2) | 9,870 | 957 | ||||||
Yandex N.V. Class A(2) | 36,290 | 952 | ||||||
|
| |||||||
18,667 | ||||||||
|
| |||||||
Materials—1.6% | ||||||||
Ecolab, Inc. | 5,920 | 786 | ||||||
Fortescue Metals Group Ltd. Sponsored ADR | 43,605 | 350 | ||||||
Toray Industries, Inc. ADR | 23,875 | 402 | ||||||
|
| |||||||
1,538 | ||||||||
|
| |||||||
Real Estate—0.5% | ||||||||
Lendlease Group Sponsored ADR | 40,310 | 519 | ||||||
|
| |||||||
Telecommunication Services—0.8% | ||||||||
Nippon Telegraph & Telephone Corp. ADR | 8,067 | 380 | ||||||
Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 10,958 | 369 | ||||||
|
| |||||||
749 | ||||||||
|
| |||||||
Utilities—0.4% | ||||||||
Veolia Environnement S.A. ADR | 18,295 | 388 | ||||||
Vistra Energy Corp. | 1,084 | 18 | ||||||
|
| |||||||
406 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $50,257) | 58,189 | |||||||
AFFILIATED MUTUAL FUND—0.3% | ||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(9) | 33,447 | 332 | ||||||
TOTAL AFFILIATED MUTUAL FUND | ||||||||
(Identified Cost $334) | 332 | |||||||
RIGHTS—0.0% | ||||||||
Vistra Energy Corp.(15) | 1,084 | 1 | ||||||
TOTAL RIGHTS | ||||||||
(Identified Cost $1) | 1 | |||||||
TOTAL LONG TERM INVESTMENTS—99.2% | ||||||||
(Identified Cost $86,877) | 95,210 | (10) | ||||||
TOTAL INVESTMENTS—99.2% | ||||||||
(Identified Cost $86,877) | 95,210 | (1) | ||||||
Other assets and liabilities, net—0.8% |
| 774 | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 95,984 | ||||||
|
|
Abbreviations:
ADR | American Depositary Receipt |
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”) |
FNMA | Federal National Mortgage Association (“Fannie Mae”) |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Federal Income Tax Information: For tax information at June 30, 2017, see Note 10 Federal Income Tax Information in the Notes to Financial Statements. |
(2) | Non-income producing. |
(3) | Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017. |
(4) | 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, 2017, these securities amounted to a value of $10,807 or 11.3% of net assets. |
(5) | Interest payments may be deferred. |
(6) | Value shown as par value. |
(7) | This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(8) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(9) | Shares of this fund are publicly offered and its prospectus and annual report are publicly available. |
(10) | All or a portion of the Fund’s assets have been segregated for delayed delivery securities. |
(11) | Amount is less than $500. |
(12) | This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(13) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments. |
(14) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(15) | Illiquid security. |
Foreign Currencies:
CLP | Chilean Peso |
MXN | Mexican Peso |
RUB | Russian Ruble |
See Notes to Financial Statements
33
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
Country Weightings† | ||||
United States | 76 | % | ||
China | 3 | |||
Japan | 3 | |||
France | 2 | |||
United Kingdom | 2 | |||
Russia | 2 | |||
Ireland | 1 | |||
Other | 11 | |||
Total | 100 | % | ||
† % of total investments as of June 30, 2017 |
|
The following table provides a summary of inputs used to value the Series’ investments as of June 30, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at June 30, 2017 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 2,274 | $ | — | $ | 2,274 | $ | — | ||||||||
Corporate Bonds and Notes | 17,583 | — | 17,583 | — | * | |||||||||||
Foreign Government Securities | 707 | — | 707 | — | ||||||||||||
Loan Agreements | 945 | — | 945 | — | ||||||||||||
Mortgage-Backed Securities | 9,947 | — | 9,947 | — | ||||||||||||
Municipal Bonds | 1,886 | — | 1,886 | — | ||||||||||||
U.S. Government Securities | 2,335 | — | 2,335 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 58,189 | 58,189 | — | — | ||||||||||||
Preferred Stocks | 1,011 | 126 | 885 | — | ||||||||||||
Rights | 1 | — | — | 1 | ||||||||||||
Affiliated Mutual Fund | 332 | 332 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 95,210 | $ | 58,647 | $ | 36,562 | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.
* | Amount is less than $500. |
See Notes to Financial Statements
34
Table of Contents
VIRTUS STRATEGIC ALLOCATION SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
JUNE 30, 2017
($ reported in thousands)
The following is a reconciliation of assets of the Series for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Investments in Securities | Rights | Corporate Bonds and Notes | ||||||||||
Beginning Balance December 31, 2016: | $ | 2 | $ | 2 | $ | — | ||||||
Accrued Discount/(Premium) | — | — | — | |||||||||
Realized Gain (Loss) | — | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation)(b) | — | (a) | — | (a) | — | (a) | ||||||
Purchases | — | — | — | |||||||||
(Sales)(c) | (1 | ) | (1 | ) | — | |||||||
Transfers into Level 3(d) | — | — | — | |||||||||
Transfers from Level 3(d) | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Ending Balance June 30, 2017 | $ | 1 | $ | 1 | $ | — | (a) | |||||
|
|
|
|
|
|
The Series’ investments that are 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 inputs could result in a significantly lower or higher value of Level 3 investments.
(a) | Amount is less than $500. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. The change in unrealized appreciation (depreciation) on investments still held as of June 30, 2017 was $(1). |
(c) | Includes paydowns on securities. |
(d) | “Transfers into and/or from” Level 3 represent the ending value as of June 30, 2017, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. |
See Notes to Financial Statements
35
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2017
(Reported in thousands except shares and per share amounts)
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | Equity Trend Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 174,359 | $ | 78,279 | $ | 3,963 | ||||||
Cash | 4,531 | 1,026 | 53 | |||||||||
Receivables | ||||||||||||
Investment securities sold | 721 | — | 196 | |||||||||
Series shares sold | 28 | 147 | — | |||||||||
Dividends and interest | 1 | 310 | 6 | |||||||||
Tax reclaims | 41 | — | — | |||||||||
Prepaid expenses | — | (2) | — | (2) | — | (2) | ||||||
Prepaid trustee retainer | 6 | 2 | — | (2) | ||||||||
Other assets | 435 | 192 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 180,122 | 79,956 | 4,228 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Series shares repurchased | 49 | 3 | — | (2) | ||||||||
Investment securities purchased | 565 | 414 | 194 | |||||||||
Investment advisory fees | 81 | 39 | 2 | |||||||||
Administration fees | 19 | 8 | — | (2) | ||||||||
Transfer agent fees and expenses | 1 | 1 | 1 | |||||||||
Professional fees | 20 | 18 | 9 | |||||||||
Distribution and service fees | 37 | 16 | 1 | |||||||||
Trustee deferred compensation plan | 435 | 192 | 10 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 690 | — | — | |||||||||
Other accrued expenses | 57 | 25 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,954 | 716 | 218 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 178,168 | $ | 79,240 | $ | 4,010 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 175,995 | $ | 53,167 | $ | 6,137 | ||||||
Accumulated undistributed net investment income (loss) | 308 | 413 | (51 | ) | ||||||||
Accumulated undistributed net realized gain (loss) | (16,536 | ) | 3,923 | (2,689 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | 18,401 | 21,737 | 613 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 178,168 | $ | 79,240 | $ | 4,010 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 11.59 | $ | 19.75 | $ | 12.25 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 15,365,166 | 4,001,849 | 316,857 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 178,076 | $ | 79,048 | $ | 3,881 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | 11.57 | $ | 19.71 | $ | 12.35 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 7,952 | 9,741 | 10,493 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 92 | $ | 192 | $ | 129 | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | $ | 155,269 | $ | 56,542 | $ | 3,350 | ||||||
(2) Amount is less than $500. |
See Notes to Financial Statements
36
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
JUNE 30, 2017
(Reported in thousands except shares and per share amounts)
KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 207,893 | $ | 69,298 | $ | 91,054 | ||||||
Cash | 1,303 | 1,960 | 922 | |||||||||
Receivables | ||||||||||||
Investment securities sold | — | 358 | 1,639 | |||||||||
Series shares sold | — | — | 5 | |||||||||
Dividends and interest | 114 | 44 | 122 | |||||||||
Prepaid expenses | — | (2) | — | (2) | — | (2) | ||||||
Prepaid trustee retainer | 7 | 3 | 3 | |||||||||
Other assets | 512 | 173 | 222 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 209,829 | 71,836 | 93,967 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Series shares repurchased | 222 | 87 | 30 | |||||||||
Investment securities purchased | — | 143 | 2,686 | |||||||||
Investment advisory fees | 87 | 37 | 49 | |||||||||
Administration fees | 22 | 7 | 10 | |||||||||
Transfer agent fees and expenses | — | (2) | — | (2) | — | (2) | ||||||
Professional fees | 17 | 18 | 18 | |||||||||
Distribution and service fees | 45 | 14 | 19 | |||||||||
Trustee deferred compensation plan | 512 | 173 | 222 | |||||||||
Other accrued expenses | 55 | 16 | 26 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 960 | 495 | 3,060 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 208,869 | $ | 71,341 | $ | 90,907 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 117,354 | $ | 37,302 | $ | 56,919 | ||||||
Accumulated undistributed net investment income (loss) | (359 | ) | (262 | ) | (102 | ) | ||||||
Accumulated undistributed net realized gain (loss) | 1,154 | 1,012 | 6,952 | |||||||||
Net unrealized appreciation (depreciation) on investments | 90,720 | 33,289 | 27,138 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 208,869 | $ | 71,341 | $ | 90,907 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 29.11 | $ | 25.35 | $ | 17.08 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 7,176,009 | 2,761,063 | 5,322,203 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 208,869 | $ | 69,997 | $ | 90,907 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | — | $ | 25.67 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | — | 52,362 | — | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | — | $ | 1,344 | $ | — | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | $ | 117,173 | $ | 36,009 | $ | 63,916 | ||||||
(2) Amount is less than $500. |
See Notes to Financial Statements
37
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
JUNE 30, 2017
(Reported in thousands except shares and per share amounts)
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | Strategic Allocation Series | ||||||||||
Assets | ||||||||||||
Investment in unaffiliated securities at value(1) | $ | 129,875 | $ | 103,182 | $ | 94,878 | ||||||
Investment in affiliated funds at value(2) | 3,077 | — | 332 | |||||||||
Cash | 2,147 | 932 | 756 | |||||||||
Deposits with broker for written options | — | 806 | — | |||||||||
Receivables | ||||||||||||
Investment securities sold | 815 | 35,071 | 175 | |||||||||
Series shares sold | 102 | — | — | |||||||||
Receivable from adviser | — | — | 15 | |||||||||
Dividends and interest | 1,393 | 62 | 328 | |||||||||
Tax reclaims | — | — | 1 | |||||||||
Prepaid expenses | 6 | — | (4) | — | (4) | |||||||
Prepaid trustee retainer | 4 | 4 | 3 | |||||||||
Other assets | 328 | 256 | 234 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 137,747 | 140,313 | 96,722 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Written options at value(3) | — | 232 | — | |||||||||
Payables | ||||||||||||
Series shares repurchased | 29 | 46 | 65 | |||||||||
Investment securities purchased | 2,432 | 34,570 | 358 | |||||||||
Investment advisory fees | 42 | 37 | — | |||||||||
Administration fees | 14 | 11 | 12 | |||||||||
Transfer agent fees and expenses | 1 | — | (4) | 1 | ||||||||
Professional fees | 19 | 17 | 20 | |||||||||
Distribution and service fees | 28 | 22 | 20 | |||||||||
Trustee deferred compensation plan | 328 | 256 | 234 | |||||||||
Other accrued expenses | 41 | 26 | 28 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 2,934 | 35,217 | 738 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 134,813 | $ | 105,096 | $ | 95,984 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 138,983 | $ | 90,132 | $ | 87,829 | ||||||
Accumulated undistributed net investment income (loss) | 347 | (80 | ) | 6 | ||||||||
Accumulated undistributed net realized gain (loss) | (4,858 | ) | 13,640 | (183 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | 341 | 1,327 | 8,332 | |||||||||
Net unrealized appreciation (depreciation) on written options | — | 77 | — | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 134,813 | $ | 105,096 | $ | 95,984 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net asset value and offering price per share | $ | 9.33 | $ | 12.59 | $ | 11.86 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 14,324,806 | 8,346,714 | 8,093,608 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 133,633 | $ | 105,096 | $ | 95,984 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net asset value per share | $ | 9.32 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding, $1 par value, unlimited authorization | 126,686 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 1,180 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
(1) Investments in securities at cost | $ | 129,509 | $ | 101,854 | $ | 86,543 | ||||||
(2) Investment in affiliated funds at cost | $ | 3,100 | $ | — | $ | 334 | ||||||
(3) Written options at cost | $ | — | $ | 309 | $ | — | ||||||
(4) Amount is less than $500. |
See Notes to Financial Statements
38
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF OPERATIONS (Unaudited)
SIX MONTHS ENDED JUNE 30, 2017
($ reported in thousands)
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | Equity Trend Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 3,024 | $ | 1,304 | $ | 34 | ||||||
Foreign taxes withheld | (251 | ) | — | — | (1) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 2,773 | 1,304 | 34 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 670 | 298 | 21 | |||||||||
Administration fees | 123 | 55 | 3 | |||||||||
Distribution and service fees | 223 | 99 | 5 | |||||||||
Transfer agent fees and expenses | 1 | 2 | 1 | |||||||||
Custodian fees | 27 | 1 | 1 | |||||||||
Printing fees and expenses | 23 | 11 | 1 | |||||||||
Professional fees | 18 | 15 | 9 | |||||||||
Trustees’ fees and expenses | 12 | 6 | — | (1) | ||||||||
Miscellaneous expenses | 16 | 6 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,113 | 493 | 42 | |||||||||
Less expenses reimbursed and/or waived by investment advisor | (59 | ) | (31 | ) | (7 | ) | ||||||
Custody fees reimbursed (Note 14) | — | (1) | — | (1) | — | |||||||
Earnings credit from custodian | (17 | ) | (2 | ) | — | (1) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,037 | 460 | 35 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,736 | 844 | (1 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | (1,160 | ) | 4,508 | 160 | ||||||||
Net realized gain (loss) on foreign currency transactions | (434 | ) | — | — | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 12,457 | (4,080 | ) | 213 | ||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | (1,183 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 9,680 | 428 | 373 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 11,416 | $ | 1,272 | $ | 372 | ||||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
39
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
SIX MONTHS ENDED JUNE 30, 2017
($ reported in thousands)
KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 1,033 | $ | 246 | $ | 550 | ||||||
Foreign taxes withheld | (4 | ) | — | (5 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 1,029 | 246 | 545 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 695 | 284 | 417 | |||||||||
Administration fees | 136 | 45 | 63 | |||||||||
Distribution and service fees | 248 | 82 | 116 | |||||||||
Transfer agent fees and expenses | — | (1) | 1 | — | (1) | |||||||
Custodian fees | 3 | 3 | 1 | |||||||||
Printing fees and expenses | 22 | 7 | 11 | |||||||||
Professional fees | 16 | 15 | 15 | |||||||||
Trustees’ fees and expenses | 13 | 4 | 6 | |||||||||
Miscellaneous expenses | 15 | 4 | 5 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,148 | 445 | 634 | |||||||||
Less expenses reimbursed and/or waived by investment advisor | (124 | ) | (48 | ) | (79 | ) | ||||||
Custody fees reimbursed (Note 14) | — | (1) | — | (1) | — | (1) | ||||||
Earnings credit from custodian | — | (2 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 1,024 | 395 | 555 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 5 | (149 | ) | (10 | ) | |||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments | 6,754 | 1,016 | 7,052 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 30,736 | 10,224 | (766 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 37,490 | 11,240 | 6,286 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 37,495 | $ | 11,091 | $ | 6,276 | ||||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
40
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
SIX MONTHS ENDED JUNE 30, 2017
($ reported in thousands)
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | Strategic Allocation Series | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 3,466 | $ | — | $ | 766 | ||||||
Dividends | 16 | 1,003 | 457 | |||||||||
Dividends from affiliated funds | 86 | — | 9 | |||||||||
Foreign taxes withheld | (2 | ) | — | (27 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 3,566 | 1,003 | 1,205 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 329 | 367 | 261 | |||||||||
Administration fees | 90 | 72 | 103 | |||||||||
Distribution and service fees | 164 | 131 | 119 | |||||||||
Transfer agent fees and expenses | 2 | — | (1) | 1 | ||||||||
Custodian fees | 4 | 7 | 15 | |||||||||
Printing fees and expenses | 16 | 12 | 11 | |||||||||
Professional fees | 18 | 15 | 18 | |||||||||
Trustees’ fees and expenses | 9 | 7 | 6 | |||||||||
Miscellaneous expenses | 11 | 7 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 643 | 618 | 540 | |||||||||
Less expenses reimbursed and/or waived by investment advisor | (33 | ) | (104 | ) | (75 | ) | ||||||
Custody fees reimbursed (Note 14) | — | (1) | — | (1) | — | (1) | ||||||
Earnings credit from custodian | (2 | ) | (2 | ) | (1 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 608 | 512 | 464 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 2,958 | 491 | 741 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on unaffiliated investments | (54 | ) | 10,464 | (142 | ) | |||||||
Net realized gain (loss) on foreign currency transactions | (7 | ) | — | — | (1) | |||||||
Net realized gain (loss) on written options | — | 3,760 | — | |||||||||
Net change in unrealized appreciation (depreciation) on unaffiliated investments | 2,491 | (5,616 | ) | 8,924 | ||||||||
Net change in unrealized appreciation (depreciation) on affiliated investments | 3 | — | 1 | |||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | (1 | ) | — | — | (1) | |||||||
Net change in unrealized appreciation (depreciation) on written options | — | 116 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2,432 | 8,724 | 8,783 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,390 | $ | 9,215 | $ | 9,524 | ||||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
41
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in thousands)
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | Equity Trend Series | ||||||||||||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,736 | $ | 1,253 | $ | 844 | $ | 1,237 | $ | (1 | ) | $ | (11 | ) | ||||||||||
Net realized gain (loss) | (1,594 | ) | (14,918 | ) | 4,508 | 13,447 | 160 | (518 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 11,274 | 9,833 | (4,080 | ) | (9,047 | ) | 213 | 147 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from operations | 11,416 | (3,832 | ) | 1,272 | 5,637 | 372 | (382 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | (1,221 | ) | (1,466 | ) | (536 | ) | (1,520 | ) | — | — | ||||||||||||||
Net investment income, Class I | (1 | ) | (1 | ) | (1 | ) | (4 | ) | — | — | ||||||||||||||
Net realized short-term gains, Class A | — | — | (299 | ) | (476 | ) | — | — | ||||||||||||||||
Net realized short-term gains, Class I | — | — | (1 | ) | (1 | ) | — | — | ||||||||||||||||
Net realized long-term gains, Class A | — | (36,139 | ) | (2,567 | ) | (12,222 | ) | — | — | |||||||||||||||
Net realized long-term gains, Class I | — | (16 | ) | (6 | ) | (28 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets from distributions to shareholders | (1,222 | ) | (37,622 | ) | (3,410 | ) | (14,251 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 1,524 | 2,480 | 2,637 | 8,088 | 106 | 178 | ||||||||||||||||||
Class I | — | — | 43 | 89 | — | (1) | — | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 1,221 | 37,605 | 3,402 | 14,218 | — | — | ||||||||||||||||||
Class I | 1 | 17 | 8 | 33 | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (12,726 | ) | (30,771 | ) | (6,102 | ) | (20,375 | ) | (1,031 | ) | (6,285 | ) | ||||||||||||
Class I | — | — | (52 | ) | (54 | ) | — | (1) | (3 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets from share transactions | (9,980 | ) | 9,331 | (64 | ) | 1,999 | (925 | ) | (6,110 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 214 | (32,123 | ) | (2,202 | ) | ) | (553 | ) | (6,492 | ) | ||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 177,954 | 210,077 | 81,442 | 88,057 | 4,563 | 11,055 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 178,168 | $ | 177,954 | $ | 79,240 | $ | 81,442 | $ | 4,010 | $ | 4,563 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 308 | $ | (207 | ) | $ | 413 | $ | (51 | ) | $ | (50 | ) | |||||||||||
|
|
|
|
|
|
| ||||||||||||||||||
Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 134 | 209 | 129 | 340 | 9 | 16 | ||||||||||||||||||
Class I | — | — | 2 | 4 | — | (2) | — | |||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 105 | 3,585 | 171 | 683 | — | — | ||||||||||||||||||
Class I | — | (2) | 2 | — | (2) | 1 | — | — | ||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (1,112 | ) | (2,543 | ) | (297 | ) | (870 | ) | (86 | ) | (582 | ) | ||||||||||||
Class I | — | — | (3 | ) | (2 | ) | — | (2) | — | (2) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase/(Decrease) | (873 | ) | 1,253 | 2 | 156 | (77 | ) | (566 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount is less than $500. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
42
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||||||||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 5 | $ | (7 | ) | $ | (149 | ) | $ | (163 | ) | $ | (10 | ) | $ | 1,764 | ||||||||
Net realized gain (loss) | 6,754 | 18,654 | 1,016 | 4,817 | 7,052 | 13,250 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 30,736 | (20,728 | ) | 10,224 | 8,834 | (766 | ) | 6,544 | ||||||||||||||||
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Increase (decrease) in net assets resulting from operations | 37,495 | (2,081 | ) | 11,091 | 13,488 | 6,276 | 21,558 | |||||||||||||||||
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From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | — | (4,514 | ) | — | — | (204 | ) | (1,727 | ) | |||||||||||||||
Net realized short-term gains, Class A | — | — | (94 | ) | (673 | ) | (627 | ) | (700 | ) | ||||||||||||||
Net realized short-term gains, Class I | — | — | (2 | ) | (4 | ) | — | — | ||||||||||||||||
Net realized long-term gains, Class A | — | — | (256 | ) | (4,609 | ) | (3,111 | ) | (10,074 | ) | ||||||||||||||
Net realized long-term gains, Class I | — | — | (5 | ) | (24 | ) | — | — | ||||||||||||||||
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Decrease in net assets from distributions to shareholders | — | (4,514 | ) | (357 | ) | (5,310 | ) | (3,942 | ) | (12,501 | ) | |||||||||||||
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From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 1,022 | 3,451 | 589 | 2,658 | 436 | 1,445 | ||||||||||||||||||
Class I | — | — | 1,056 | 247 | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | — | 4,514 | 350 | 5,282 | 3,942 | 12,501 | ||||||||||||||||||
Class I | — | — | 7 | 28 | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (15,167 | ) | (25,945 | ) | (4,517 | ) | (8,957 | ) | (10,771 | ) | (20,871 | ) | ||||||||||||
Class I | — | — | (239 | ) | (126 | ) | — | — | ||||||||||||||||
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Increase (decrease) in net assets from share transactions | (14,145 | ) | (17,980 | ) | (2,754 | ) | (868 | ) | (6,393 | ) | (6,925 | ) | ||||||||||||
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Net increase (decrease) in net assets | 23,350 | (24,575 | ) | 7,980 | 7,310 | (4,059 | ) | 2,132 | ||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 185,519 | 210,094 | 63,361 | 56,051 | 94,966 | 92,834 | ||||||||||||||||||
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End of period | $ | 208,869 | $ | 185,519 | $ | 71,341 | $ | 63,361 | $ | 90,907 | $ | 94,966 | ||||||||||||
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Accumulated undistributed net investment income (loss) at end of period | $ | (359 | ) | $ | (364 | ) | $ | (262 | ) | $ | (113 | ) | $ | (102 | ) | $ | 112 | |||||||
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Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 38 | 141 | 26 | 128 | 25 | 85 | ||||||||||||||||||
Class I | — | — | 46 | 12 | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | — | 186 | 14 | 250 | 229 | 754 | ||||||||||||||||||
Class I | — | — | — | (1) | 1 | — | — | |||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (562 | ) | (1,062 | ) | (194 | ) | (443 | ) | (622 | ) | (1,270 | ) | ||||||||||||
Class I | — | — | (10 | ) | (6 | ) | — | — | ||||||||||||||||
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Net Increase/(Decrease) | (524 | ) | (735 | ) | (118 | ) | (58 | ) | (368 | ) | (431 | ) | ||||||||||||
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(1) | Amount is less than 500 shares. |
See Notes to Financial Statements
43
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | Strategic Allocation Series | ||||||||||||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
From Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 2,958 | $ | 6,486 | $ | 491 | $ | 1,903 | $ | 741 | $ | 1,989 | ||||||||||||
Net realized gain (loss) | (61 | ) | (1,865 | ) | 14,224 | 20,692 | (142 | ) | 10,276 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,493 | 7,154 | (5,500 | ) | (13,640 | ) | 8,925 | (11,468 | ) | |||||||||||||||
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Increase (decrease) in net assets resulting from operations | 5,390 | 11,775 | 9,215 | 8,955 | 9,524 | 797 | ||||||||||||||||||
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From Distributions to Shareholders | ||||||||||||||||||||||||
Net investment income, Class A | (2,666 | ) | (5,840 | ) | (967 | ) | (1,308 | ) | (959 | ) | (1,648 | ) | ||||||||||||
Net investment income, Class I | (25 | ) | (11 | ) | — | — | — | — | ||||||||||||||||
Net realized short-term gains, Class A | — | — | (322 | ) | (358 | ) | — | — | ||||||||||||||||
Net realized long-term gains, Class A | — | — | (2,554 | ) | (19,641 | ) | (312 | ) | (10,307 | ) | ||||||||||||||
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Decrease in net assets from distributions to shareholders | (2,691 | ) | (5,851 | ) | (3,843 | ) | (21,307 | ) | (1,271 | ) | (11,955 | ) | ||||||||||||
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From Share Transactions | ||||||||||||||||||||||||
Sale of shares | ||||||||||||||||||||||||
Class A | 11,558 | 12,757 | 302 | 1,665 | 111 | 1,292 | ||||||||||||||||||
Class I | 1,014 | 9 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 2,666 | 5,840 | 3,843 | 21,307 | 1,271 | 11,955 | ||||||||||||||||||
Class I | 25 | 11 | — | — | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (12,263 | ) | (30,100 | ) | (9,008 | ) | (15,946 | ) | (6,927 | ) | (15,638 | ) | ||||||||||||
Class I | (97 | ) | (1 | ) | — | — | — | — | ||||||||||||||||
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Increase (decrease) in net assets from share transactions | 2,903 | (11,484 | ) | (4,863 | ) | 7,026 | (5,545 | ) | (2,391 | ) | ||||||||||||||
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Net increase (decrease) in net assets | 5,602 | (5,560 | ) | 509 | (5,326 | ) | 2,708 | (13,549 | ) | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 129,211 | 134,771 | 104,587 | 109,913 | 93,276 | 106,825 | ||||||||||||||||||
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End of period | $ | 134,813 | $ | 129,211 | $ | 105,096 | $ | 104,587 | $ | 95,984 | $ | 93,276 | ||||||||||||
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Accumulated undistributed net investment income (loss) at end of period | $ | 347 | $ | 80 | $ | (80 | ) | $ | 396 | $ | 6 | $ | 224 | |||||||||||
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Shares | ||||||||||||||||||||||||
Sales of shares | ||||||||||||||||||||||||
Class A | 1,225 | 1,391 | 24 | 123 | 10 | 104 | ||||||||||||||||||
Class I | 108 | 1 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 285 | 642 | 303 | 1,759 | 106 | 1,085 | ||||||||||||||||||
Class I | 3 | 1 | — | — | — | — | ||||||||||||||||||
Shares repurchased | ||||||||||||||||||||||||
Class A | (1,302 | ) | (3,292 | ) | (714 | ) | (1,190 | ) | (598 | ) | (1,271 | ) | ||||||||||||
Class I | (10 | ) | — | (1) | — | — | — | — | ||||||||||||||||
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Net Increase/(Decrease) | 309 | (1,257 | ) | (387 | ) | 692 | (482 | ) | (82 | ) | ||||||||||||||
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(1) | Amount is less than 500 shares. |
See Notes to Financial Statements
44
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps International Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 10.95 | 0.11 | 0.61 | 0.72 | (0.08 | ) | — | (0.08 | ) | 0.64 | $ | 11.59 | 6.57 | %(6) | $ | 178,076 | 1.16 | %(5) | 1.25 | %(5) | 1.95 | %(5) | 42 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 14.01 | 0.08 | (0.44 | ) | (0.36 | ) | (0.09 | ) | (2.61 | ) | (2.70 | ) | (3.06 | ) | 10.95 | (1.61 | )(13) | 177,868 | 1.18 | (11)(13) | 1.26 | 0.62 | (13) | 83 | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 16.67 | 0.35 | (2.04 | ) | (1.69 | ) | (0.37 | ) | (0.60 | ) | (0.97 | ) | (2.66 | ) | 14.01 | (10.48 | ) | 209,990 | 1.19 | (11) | 1.30 | 2.16 | 104 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 18.23 | 0.67 | (1.34 | ) | (0.67 | ) | (0.71 | ) | (0.18 | ) | (0.89 | ) | (1.56 | ) | 16.67 | (3.90 | ) | 261,281 | 1.18 | 1.26 | 3.60 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 17.30 | 0.35 | 0.97 | 1.32 | (0.39 | ) | — | (0.39 | ) | 0.93 | 18.23 | 7.78 | 317,726 | 1.18 | 1.18 | 1.97 | 11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 15.28 | 0.41 | 2.06 | 2.47 | (0.45 | ) | — | (0.45 | ) | 2.02 | 17.30 | 16.52 | 341,717 | 1.06 | (7) | 1.18 | 2.53 | 13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 10.94 | 0.13 | 0.60 | 0.73 | (0.10 | ) | — | (0.10 | ) | 0.63 | $ | 11.57 | 6.62 | %(6) | $ | 92 | 0.91 | %(5) | 0.99 | %(5) | 2.22 | %(5) | 42 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 13.99 | 0.11 | (0.42 | ) | (0.31 | ) | (0.13 | ) | (2.61 | ) | (2.74 | ) | (3.05 | ) | 10.94 | (1.28 | )(13) | 86 | 0.93 | (11)(13) | 1.01 | 0.88 | (13) | 83 | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 16.65 | 0.38 | (2.03 | ) | (1.65 | ) | (0.41 | ) | (0.60 | ) | (1.01 | ) | (2.66 | ) | 13.99 | (10.26 | ) | 87 | 0.94 | (11) | 1.05 | 2.39 | 104 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 18.22 | 0.69 | (1.32 | ) | (0.63 | ) | (0.76 | ) | (0.18 | ) | (0.94 | ) | (1.57 | ) | 16.65 | (3.71 | ) | 97 | 0.93 | 1.01 | 3.71 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 18.40 | 0.18 | 0.08 | 0.26 | (0.44 | ) | — | (0.44 | ) | (0.18 | ) | 18.22 | 1.17 | (6) | 104 | 0.93 | (5) | 0.93 | (5) | 1.54 | (5) | 11 | (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps Real Estate Securities Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 20.31 | 0.22 | 0.11 | 0.33 | (0.14 | ) | (0.75 | ) | (0.89 | ) | (0.56 | ) | $ | 19.75 | 1.58 | %(6) | $ | 79,048 | 1.15 | %(5) | 1.24 | %(5) | 2.12 | %(5) | 14 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 22.85 | 0.34 | 1.17 | 1.51 | (0.43 | ) | (3.62 | ) | (4.05 | ) | (2.54 | ) | 20.31 | 6.82 | (13) | 81,243 | 1.17 | (11)(13) | 1.25 | 1.42 | (13) | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 27.05 | 0.44 | 0.17 | 0.61 | (0.37 | ) | (4.44 | ) | (4.81 | ) | (4.20 | ) | 22.85 | 2.38 | 87,899 | 1.18 | (11) | 1.29 | 1.64 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 23.33 | 0.29 | 7.00 | 7.29 | (0.31 | ) | (3.26 | ) | (3.57 | ) | 3.72 | 27.05 | 31.62 | 105,508 | 1.16 | 1.27 | 1.10 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 27.78 | 0.34 | (0.05 | ) | 0.29 | (0.43 | ) | (4.31 | ) | (4.74 | ) | (4.45 | ) | 23.33 | 0.90 | 90,794 | 1.16 | 1.22 | 1.20 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 26.18 | 0.30 | 4.10 | 4.40 | (0.29 | ) | (2.51 | ) | (2.80 | ) | 1.60 | 27.78 | 16.98 | 102,399 | 1.11 | (7) | 1.20 | 1.03 | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 20.27 | 0.24 | 0.12 | 0.36 | (0.17 | ) | (0.75 | ) | (0.92 | ) | (0.56 | ) | $ | 19.71 | 1.71 | %(6) | $ | 192 | 0.91 | %(5) | 0.99 | %(5) | 2.40 | %(5) | 14 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 22.81 | 0.35 | 1.22 | 1.57 | (0.49 | ) | (3.62 | ) | (4.11 | ) | (2.54 | ) | 20.27 | 7.10 | (13) | 199 | 0.92 | (11)(13) | 1.00 | 1.46 | (13) | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 27.02 | 0.48 | 0.19 | 0.67 | (0.44 | ) | (4.44 | ) | (4.88 | ) | (4.21 | ) | 22.81 | 2.62 | 158 | 0.94 | (11) | 1.05 | 1.79 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 23.30 | 0.34 | 7.02 | 7.36 | (0.38 | ) | (3.26 | ) | (3.64 | ) | 3.72 | 27.02 | 31.98 | 134 | 0.91 | 1.02 | 1.30 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 30.96 | 0.23 | (3.08 | ) | (2.85 | ) | (0.50 | ) | (4.31 | ) | (4.81 | ) | (7.66 | ) | 23.30 | (10.45 | )(6) | 102 | 0.91 | (5) | 0.98 | (5) | 1.23 | (5) | 26 | (9) | |||||||||||||||||||||||||||||||||||||||||||||||||
Equity Trend Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 11.27 | — | (12) | 0.98 | 0.98 | — | — | — | 0.98 | $ | 12.25 | 8.70 | %(6) | $ | 3,881 | 1.70 | %(5) | 2.01 | %(5) | (0.08 | )%(5) | 46 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 11.38 | (0.02 | ) | (0.09 | ) | (0.11 | ) | — | — | — | (0.11 | ) | 11.27 | (0.97 | ) | 4,444 | 1.70 | (11) | 1.92 | (0.19 | ) | 187 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 12.55 | (0.11 | ) | (1.06 | ) | (1.17 | ) | — | — | — | (1.17 | ) | 11.38 | (9.32 | ) | 10,932 | 1.71 | (11) | 2.23 | (0.92 | ) | 366 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 13.30 | 0.04 | 0.27 | 0.31 | (0.05 | ) | (1.01 | ) | (1.06 | ) | (0.75 | ) | 12.55 | 2.23 | 36,680 | 1.70 | (8) | 1.65 | 0.32 | 473 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.41 | 0.06 | 2.92 | 2.98 | (0.05 | ) | (0.04 | ) | (0.09 | ) | 2.89 | 13.30 | 28.71 | 18,710 | 1.70 | 1.79 | 0.52 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 9.49 | 0.15 | 0.86 | 1.01 | (0.09 | ) | — | (0.09 | ) | 0.92 | 10.41 | 10.69 | 4,958 | 1.70 | 2.07 | 1.50 | 272 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 11.35 | 0.01 | 0.99 | 1.00 | — | — | — | 1.00 | $ | 12.35 | 8.81 | %(6) | $ | 129 | 1.45 | %(5) | 1.76 | %(5) | 0.18 | %(5) | 46 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 11.43 | 0.02 | (0.10 | ) | (0.08 | ) | — | — | — | (0.08 | ) | 11.35 | (0.70 | ) | 119 | 1.46 | (11) | 1.65 | 0.20 | 187 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 12.57 | (0.08 | ) | (1.06 | ) | (1.14 | ) | — | — | — | (1.14 | ) | 11.43 | (9.00 | ) | 123 | 1.46 | (11) | 2.06 | (0.57 | ) | 366 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 13.30 | 0.05 | 0.29 | 0.34 | (0.06 | ) | (1.01 | ) | (1.07 | ) | (0.73 | ) | 12.57 | 2.39 | 277 | 1.45 | (8) | 1.41 | 0.40 | 473 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 11.69 | 0.07 | 1.66 | 1.73 | (0.08 | ) | (0.04 | ) | (0.12 | ) | 1.61 | 13.30 | 14.64 | (6) | 140 | 1.45 | (5) | 1.50 | (5) | 0.89 | (5) | 108 | (9) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
45
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Capital Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 24.09 | — | (12) | 5.02 | 5.02 | — | — | — | 5.02 | $ | 29.11 | 20.80 | %(6) | $ | 208,869 | 1.03 | %(5) | 1.15 | %(5) | 0.01 | %(5) | 9 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 24.91 | — | (12) | (0.22 | ) | (0.22 | ) | (0.60 | ) | — | (0.60 | ) | (0.82 | ) | 24.09 | (0.86 | )(13) | 185,519 | 1.04 | (11)(13) | 1.18 | (0.10 | )(13) | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 22.79 | (0.01 | ) | 2.13 | 2.12 | — | — | — | 2.12 | 24.91 | 9.26 | 210,094 | 1.04 | (11) | 1.21 | (0.04 | ) | 19 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 20.41 | (0.00 | ) | 2.39 | 2.39 | (0.01 | ) | — | (0.01 | ) | 2.38 | 22.79 | 11.73 | 217,038 | 1.03 | 1.19 | (0.01 | ) | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 15.82 | 0.04 | 4.61 | 4.65 | (0.06 | ) | — | (0.06 | ) | 4.59 | 20.41 | 29.44 | 218,264 | 1.03 | 1.14 | 0.19 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 13.99 | 0.11 | 1.81 | 1.92 | (0.09 | ) | — | (0.09 | ) | 1.83 | 15.82 | 13.76 | 189,975 | 0.96 | (7) | 1.13 | 0.68 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Small-Cap Growth Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 21.61 | (0.05 | ) | 3.92 | 3.87 | — | (0.13 | ) | (0.13 | ) | 3.74 | $ | 25.35 | 17.89 | %(6) | $ | 69,997 | 1.19 | %(5) | 1.34 | %(5) | (0.45 | )%(5) | 6 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 18.75 | (0.06 | ) | 4.85 | 4.79 | — | (1.93 | ) | (1.93 | ) | 2.86 | 21.61 | 25.92 | (13) | 63,008 | 1.20 | (11)(13) | 1.37 | (0.37 | )(13) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 20.73 | (0.04 | ) | 0.23 | 0.19 | — | (2.17 | ) | (2.17 | ) | (1.98 | ) | 18.75 | 0.73 | 55,872 | 1.20 | (11) | 1.41 | (0.17 | ) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 21.72 | (0.13 | ) | 1.29 | 1.16 | — | (2.15 | ) | (2.15 | ) | (0.99 | ) | 20.73 | 5.50 | 63,483 | 1.19 | 1.38 | (0.62 | ) | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 15.66 | (0.12 | ) | 6.39 | 6.27 | (0.05 | ) | (0.16 | ) | (0.21 | ) | 6.06 | 21.72 | 40.20 | 70,948 | 1.19 | 1.33 | (0.63 | ) | 28 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 14.03 | 0.07 | 1.59 | 1.66 | (0.03 | ) | — | (0.03 | ) | 1.63 | 15.66 | 11.81 | 59,898 | 1.07 | (7) | 1.32 | 0.44 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 21.86 | (0.02 | ) | 3.96 | 3.94 | — | (0.13 | ) | (0.13 | ) | 3.81 | $ | 25.67 | 18.01 | %(6) | $ | 1,344 | 0.93 | %(5) | 1.09 | %(5) | (0.20 | )%(5) | 6 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 18.90 | 0.01 | 4.88 | 4.89 | — | (1.93 | ) | (1.93 | ) | 2.96 | 21.86 | 26.25 | (13) | 353 | 0.95 | (11)(13) | 1.12 | (0.10 | )(13) | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 20.82 | — | (12) | 0.25 | 0.25 | — | (2.17 | ) | (2.17 | ) | (1.92 | ) | 18.90 | 1.01 | 179 | 0.96 | (11) | 1.17 | (0.02 | ) | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 21.75 | (0.07 | ) | 1.29 | 1.22 | — | (2.15 | ) | (2.15 | ) | (0.93 | ) | 20.82 | 5.78 | 275 | 0.94 | 1.14 | (0.34 | ) | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 17.29 | (0.03 | ) | 4.70 | 4.67 | (0.05 | ) | (0.16 | ) | (0.21 | ) | 4.46 | 21.75 | 26.28 | (6) | 137 | 0.94 | (5) | 1.07 | (5) | (0.23 | )(5) | 28 | (9) | |||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Small-Cap Value Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 16.69 | — | (12) | 1.16 | 1.16 | (0.04 | ) | (0.73 | ) | (0.77 | ) | 0.39 | $ | 17.08 | 6.93 | %(6) | $ | 90,907 | 1.20 | %(5) | 1.37 | %(5) | (0.02 | )%(5) | 13 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 15.17 | 0.32 | 3.66 | 3.98 | (0.34 | ) | (2.12 | ) | (2.46 | ) | 1.52 | 16.69 | 26.54 | (13) | 94,966 | 1.21 | (11)(13) | 1.40 | 1.85 | (13) | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 17.03 | 0.09 | (0.29 | ) | (0.20 | ) | (0.09 | ) | (1.57 | ) | (1.66 | ) | (1.86 | ) | 15.17 | (1.37 | ) | 92,834 | 1.22 | (11) | 1.43 | 0.56 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 17.72 | 0.10 | 0.24 | 0.34 | (0.11 | ) | (0.92 | ) | (1.03 | ) | (0.69 | ) | 17.03 | 1.83 | 113,030 | 1.20 | 1.41 | 0.61 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 12.66 | 0.04 | 5.11 | 5.15 | (0.09 | ) | — | (0.09 | ) | 5.06 | 17.72 | 40.77 | 135,352 | 1.20 | 1.35 | 0.25 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 11.99 | 0.29 | 0.67 | 0.96 | (0.29 | ) | — | (0.29 | ) | 0.67 | 12.66 | 8.13 | 118,741 | 1.29 | (7) | 1.34 | 2.29 | 17 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
46
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Multi-Sector | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 9.14 | 0.21 | 0.17 | 0.38 | (0.19 | ) | — | (0.19 | ) | — | 0.19 | $ | 9.33 | 4.15 | %(6) | $ | 133,633 | 0.93 | %(5) | 0.98 | %(5) | 4.50 | %(5) | 35 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 8.75 | 0.44 | 0.37 | 0.81 | (0.42 | ) | — | (0.42 | ) | — | 0.39 | 9.14 | 9.29 | (13) | 128,969 | 0.94 | (11)(13) | 1.00 | 4.82 | (13) | 68 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.25 | 0.45 | (0.56 | ) | (0.11 | ) | (0.39 | ) | — | (0.39 | ) | — | (10) | (0.50 | ) | 8.75 | (1.26 | ) | 134,558 | 0.95 | (11) | 1.03 | 4.89 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.54 | 0.48 | (0.29 | ) | 0.19 | (0.48 | ) | — | (0.48 | ) | — | (0.29 | ) | 9.25 | 1.90 | 154,915 | 0.94 | 1.01 | 4.93 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 9.88 | 0.51 | (0.30 | ) | 0.21 | (0.55 | ) | — | (0.55 | ) | — | (0.34 | ) | 9.54 | 2.25 | 171,995 | 0.94 | 0.96 | 5.23 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 9.18 | 0.58 | 0.74 | 1.32 | (0.62 | ) | — | (0.62 | ) | — | 0.70 | 9.88 | 14.69 | 203,775 | 0.78 | (7) | 0.94 | 5.94 | 85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 9.12 | 0.22 | 0.18 | 0.40 | (0.20 | ) | — | (0.20 | ) | — | 0.20 | $ | 9.32 | 4.29 | %(6) | $ | 1,180 | 0.68 | %(5) | 0.73 | %(5) | 4.72 | %(5) | 35 | %(6) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 8.74 | 0.47 | 0.35 | 0.82 | (0.44 | ) | — | (0.44 | ) | — | 0.38 | 9.12 | 9.46 | (13) | 242 | 0.69 | (11)(13) | 0.75 | 5.08 | (13) | 68 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.24 | 0.47 | (0.56 | ) | (0.09 | ) | (0.41 | ) | — | (0.41 | ) | — | (10) | (0.50 | ) | 8.74 | (1.00 | ) | 213 | 0.70 | (11) | 0.78 | 5.11 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.53 | 0.51 | (0.29 | ) | 0.22 | (0.51 | ) | — | (0.51 | ) | — | (0.29 | ) | 9.24 | 2.16 | 223 | 0.69 | 0.76 | 5.19 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/13(4) to 12/31/13 | 10.19 | 0.36 | (0.44 | ) | (0.08 | ) | (0.58 | ) | — | (0.58 | ) | — | (0.66 | ) | 9.53 | (0.89 | )(6) | 124 | 0.69 | (5) | 0.71 | (5) | 5.54 | (5) | 56 | (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Enhanced Core Equity Series | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 11.97 | 0.06 | 1.04 | 1.10 | (0.12 | ) | (0.36 | ) | (0.48 | ) | — | 0.62 | $ | 12.59 | 9.13 | %(6) | $ | 105,096 | 0.98 | %(5) | 1.18 | %(5) | 0.93 | %(5) | 226 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 13.67 | 0.25 | 1.01 | 1.26 | (0.18 | ) | (2.78 | ) | (2.96 | ) | — | (1.70 | ) | 11.97 | 9.41 | (13) | 104,587 | 0.99 | (11)(13) | 1.20 | 1.41 | (13) | 241 | (14) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 16.91 | 0.13 | (1.55 | ) | (1.42 | ) | (0.14 | ) | (1.68 | ) | (1.82 | ) | — | (3.24 | ) | 13.67 | (8.91 | ) | 109,913 | 0.99 | (11) | 1.23 | 0.83 | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 17.23 | 0.16 | 1.51 | 1.67 | (0.17 | ) | (1.82 | ) | (1.99 | ) | — | (0.32 | ) | 16.91 | 9.64 | 139,122 | 0.98 | 1.20 | 0.91 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 14.23 | 0.11 | 4.39 | 4.50 | (0.14 | ) | (1.36 | ) | (1.50 | ) | — | 3.00 | 17.23 | 31.81 | 150,383 | 0.98 | 1.14 | 0.84 | 54 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 12.51 | 0.12 | 1.73 | 1.85 | (0.13 | ) | — | (0.13 | ) | — | 1.72 | 14.23 | 14.77 | 137,385 | 0.91 | (7) | 1.14 | 0.83 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Allocation Series | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/17 to 6/30/17(15) | $ | 10.88 | 0.09 | 1.05 | 1.14 | (0.12 | ) | (0.04 | ) | (0.16 | ) | — | 0.98 | $ | 11.86 | 10.46 | %(6) | $ | 95,984 | 0.98 | %(5) | 1.14 | %(5) | 1.56 | %(5) | 20 | %(6) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 12/31/16 | 12.34 | 0.24 | (0.14 | ) | 0.10 | (0.21 | ) | (1.35 | ) | (1.56 | ) | — | (1.46 | ) | 10.88 | 0.82 | (13) | 93,276 | 0.99 | (11)(13) | 1.09 | 1.96 | (13) | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 14.30 | 0.25 | (0.98 | ) | (0.73 | ) | (0.24 | ) | (0.99 | ) | (1.23 | ) | — | (1.96 | ) | 12.34 | (5.38 | ) | 106,825 | 0.99 | (11) | 1.13 | 1.79 | 75 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 14.41 | 0.28 | 0.80 | 1.08 | (0.32 | ) | (0.87 | ) | (1.19 | ) | — | (0.11 | ) | 14.30 | 7.51 | 129,473 | 0.98 | 1.11 | 1.89 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 13.48 | 0.27 | 2.13 | 2.40 | (0.29 | ) | (1.18 | ) | (1.47 | ) | — | 0.93 | 14.41 | 17.99 | 137,453 | 0.98 | 1.06 | 1.88 | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/12 to 12/31/12 | 12.17 | 0.29 | 1.33 | 1.62 | (0.31 | ) | — | (0.31 | ) | — | 1.31 | 13.48 | 13.42 | 135,046 | 0.87 | (7) | 1.05 | 2.18 | 72 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
47
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Footnote Legend:
(1) | Computed using average shares outstanding. |
(2) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(3) | Each Series will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(4) | Inception date. |
(5) | Annualized. |
(6) | Not Annualized. |
(7) | Blended net expense ratio due to a change in expense limitation agreements during the fiscal year. |
(8) | See Note 3D in the Notes to Financial Statements for information on recapture of expense previously waived. |
(9) | Portfolio turnover is representative of the Series for the entire period. |
(10) | Amount is less than $.005 per share and payment from affiliate had no impact on total performance. |
(11) | Net expense ratios include proxy expenses. |
(12) | Amount is less than $.005 per share. |
(13) | Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: |
Duff & Phelps International Series 0.04%, |
Duff & Phelps Real Estate Securities Series 0.02% (Class A) and 0.03% (Class I), |
KAR Capital Growth Series 0.10%, |
KAR Small-Cap Growth Series 0.09% (Class A) and 0.14% (Class I), |
KAR Small-Cap Value Series 0.08%, |
Newfleet Multi-Sector Intermediate Bond Series 0.04% (Class A) and 0.05% (Class I), |
Rampart Enhanced Core Equity Series 0.46%, |
Strategic Allocation Series 0.03%. |
Custody fees reimbursed were included in Total Return. If excluded the impact would have been to lower the Total Return as follows: |
Duff & Phelps International Series 0.04%, |
Duff & Phelps Real Estate Securities Series 0.03%, |
KAR Capital Growth Series 0.10%, |
KAR Small-Cap Growth Series 0.08%, |
KAR Small-Cap Value Series 0.08%, |
Newfleet Multi-Sector Intermediate Bond Series 0.04%, |
Rampart Enhanced Core Equity Series 0.44%, |
Strategic Allocation Series 0.03%. |
The amounts reflected in the Statements of Operations for 2017 were immaterial and do not impact the financial highlights. |
Please refer to Note 14 in the Notes to Financial Statements for a further explanation on the custody fees reimbursed. |
(14) | The increase in the portfolio turnover rate is due to a change in the subadviser associated with a strategy change on the Series. |
(15) | Unaudited. |
See Notes to Financial Statements
48
Table of Contents
VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited)
JUNE 30, 2017
Note 1—Organization
Virtus Variable Insurance Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. It was formed on February 18, 1986, as a Massachusetts business trust, commenced operations on December 5, 1986, and was reorganized as a Delaware statutory trust on February 14, 2011.
The Trust is organized with series, which are currently available only to separate accounts of participating insurance companies to fund variable accumulation annuity contracts and variable universal life insurance policies. As of the date of this report the Trust is comprised of nine series (each a “Series”), each reported in this semiannual report.
Series Name | Each Series Seeks to Provide | |
Duff & Phelps International Series | High total return consistent with reasonable risk | |
Duff & Phelps Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis | |
Equity Trend Series | Long-term capital appreciation | |
KAR Capital Growth Series | Long-term growth of capital | |
KAR Small-Cap Growth Series | Long-term capital growth | |
KAR Small-Cap Value Series | Long-term capital appreciation | |
Newfleet Multi-Sector Intermediate Bond Series | Long-term total return | |
Rampart Enhanced Core Equity Series | Capital appreciation and current income | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk |
Each Series offers Class A shares. The Duff & Phelps International Series, Duff & Phelps Real Estate Securities Series, Equity Trend Series, KAR Small-Cap Growth Series, and Newfleet Multi-Sector Intermediate Bond Series also offer Class I shares.
Note 2—Significant Accounting Policies
The significant accounting policies consistently followed by the Trust in the preparation of its financial statements are summarized below, and for derivatives, included in Note 6 below. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and those differences could be significant.
A. | Security Valuation |
Security valuation procedures for each Series, which include nightly price variance, as well as back-testing items such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees of the Series (the “Board”, or the “Trustees”). All internally fair valued securities are approved by a valuation committee appointed by the Board (the “Valuation Committee”). The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of the model inputs and any changes to the model. Fair valuations are reviewed quarterly by the Board.
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ policy is to recognize transfers between levels at the end of the reporting period.
•Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). | |
•Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |
•Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to a Series’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Series calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases the Series fair 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 ADRs, financial futures, 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
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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 not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are categorized as Level 1 in the hierarchy.
A summary of the inputs used to value a Series’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Series. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from sales of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method.
Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. Dividend income from REIT investments is recorded using management’s estimate of the income included in distributions received from the REIT investments. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
Certain Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of June 30, 2017, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2013 forward (with limited exceptions).
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by a Series and other affiliated open- and closed-end funds are allocated in proportion to the net assets of each such Series/fund, except where allocation of direct expense to each Series/fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro rata expenses of any underlying open- and closed-end funds in which the Series invests.
F. | Foreign Currency Translation |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | Loan Agreements |
Certain Series may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Series may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Series’ investments in loans may be in the form of participations in
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loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Series has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Series generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Series purchases assignments from lenders it acquires direct rights against the borrower on the loan.
A Series may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased a Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
At June 30, 2017, all loan agreements held by the Series were assignment loans.
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable a Series to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Series records when-issued and delayed delivery securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or delayed delivery basis begin earning interest on the settlement date.
I. | Earnings Credit and Interest |
Through arrangements with the Series’ custodian, most Series either receive an earnings credit or interest on agreed upon target un-invested cash balances to reduce each Series’ custody expenses. The credits are reflected as “Earnings credit from custodian” and the interest is reflected under “Interest income” in the Series’ Statements of Operations for the period, as applicable.
Note 3—Investment Advisory Fees and Related Party Transactions
($ reported in thousands except as noted)
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser of the Series. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadvisers.
As compensation for its services to the Series, the Adviser is entitled to a fee based upon the following annual rates as a percentage of the average daily net assets of each Series:
Series | First $250 Million | Next $250 Million | Over $500 Million | |||||||||
Duff & Phelps International Series | 0.75 | % | 0.70 | % | 0.65 | % | ||||||
KAR Capital Growth Series | 0.70 | 0.65 | 0.60 | |||||||||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||||||||
Rampart Enhanced Core Equity Series | 0.70 | 0.65 | 0.60 | |||||||||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||||||||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||||||||
Duff & Phelps Real Estate Securities Series | 0.75 | % | 0.70 | % | 0.65 | % | ||||||
First $1 Billion | $1+ Billion | |||||||||||
KAR Small-Cap Growth Series | 0.85 | % | 0.80 | % | ||||||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||||||||
KAR Small-Cap Value Series | 0.90 | % | 0.85 | % | 0.80 | % | ||||||
Rate | ||||||||||||
Equity Trend Series | 1.00 | % |
During the period covered by these financial statements, each of Newfleet Multi-Sector Intermediate Bond Series and Strategic Allocation Series invested a portion of its assets in Virtus Newfleet Credit Opportunities Fund, an affiliated mutual fund. In order to avoid any duplication of advisory
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fees, the Adviser has voluntarily waived its advisory fees in an amount equal to that which would otherwise be paid by the Series on the assets invested in the Virtus Newfleet Credit Opportunities Fund. For the period covered by these financial statements, the waivers amounted to $8 and $1, respectively. These waivers are in addition to the expense limitation and/or fee waiver covered elsewhere in these financial statements and are included in the Statements of Operations in “expenses reimbursed and/or waived by investment adviser.”
B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve is as follows:
Series | Subadviser | |
Duff & Phelps International Series | Duff & Phelps Investment Management Co. (“DPIM”)* | |
Duff & Phelps Real Estate Securities Series | DPIM* | |
KAR Capital Growth Series | Kayne Anderson Rudnick Investment Management, LLC (“KAR”)* | |
KAR Small-Cap Growth Series | KAR* | |
KAR Small-Cap Value Series | KAR* |
Series | Subadviser | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet Asset Management, LLC (“NF”)* | |
Rampart Enhanced Core Equity Series | Rampart Investment Management Company, LLC* | |
Strategic Allocation Series: | ||
Equity Portfolio (domestic) | KAR* | |
Equity Portfolio (international) | DPIM* | |
Fixed Income Portfolio | NF* |
* | An indirect wholly owned subsidiary of Virtus. |
Equity Trend Series does not have a subadviser.
C. | Expense Limits |
The Adviser has extended the contractual agreement to limit total operating expenses of each Series of the Trust through April 30, 2018 (excluding front-end or contingent deferred loads, interest, taxes, leverage expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any), so that such expenses do not exceed the following percentages of average net assets:
Maximum Total Operating Expenses | ||||||||
Class A | Class I | |||||||
Duff & Phelps International Series | 1.18 | % | 0.93 | % | ||||
Duff & Phelps Real Estate Securities Series | 1.16 | 0.91 | ||||||
Equity Trend Series | 1.70 | 1.45 | ||||||
KAR Capital Growth Series | 1.03 | — | ||||||
KAR Small-Cap Growth Series | 1.19 | 0.94 | ||||||
KAR Small-Cap Value Series | 1.20 | — | ||||||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 | 0.69 | ||||||
Rampart Enhanced Core Equity Series | 0.98 | — | ||||||
Strategic Allocation Series | 0.98 | — |
D. | Expense Recapture |
The Adviser may recapture operating expenses waived or reimbursed under this arrangement within three years after the date on which such amounts were incurred or waived. A Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending:
Expiration Date | ||||||||||||||||||||
2017 | 2018 | 2019 | 2020 | Total | ||||||||||||||||
Duff & Phelps International Series | $ | 155 | $ | 265 | $ | 126 | $ | 59 | $ | 605 | ||||||||||
Duff & Phelps Real Estate Securities Series | 63 | 105 | 72 | 31 | 271 | |||||||||||||||
Equity Trend Series | 4 | 103 | 14 | 7 | 128 | |||||||||||||||
KAR Capital Growth Series | 178 | 375 | 275 | 124 | 952 | |||||||||||||||
KAR Small-Cap Growth Series | 61 | 126 | 100 | 48 | 335 | |||||||||||||||
KAR Small-Cap Value Series | 121 | 219 | 172 | 79 | 591 | |||||||||||||||
Newfleet Multi-Sector Intermediate Bond Series | 64 | 118 | 71 | 25 | 278 | |||||||||||||||
Rampart Enhanced Core Equity Series | 161 | 300 | 210 | 104 | 775 | |||||||||||||||
Strategic Allocation Series | 92 | 168 | 102 | 74 | 436 |
E. | Administrator and Distributor |
Virtus Fund Services, LLC, an indirect wholly owned subsidiary of Virtus, serves as administrator to the Series.
For the six months ended June 30, 2017 (the “period”), the Series incurred administration fees totaling $468 which are included in the Statements of Operations. A portion of these fees was paid to an outside entity that also provides services to the Series.
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VP Distributors, LLC (“VP Distributors” or the “Distributor”), an indirect wholly owned subsidiary of Virtus, serves as the distributor for all the Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended June 30, 2017, the Series incurred distribution fees totaling $1,187 which are included in the Statements of Operations. A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners.
F. | Affiliated Accounts |
At June 30, 2017, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of certain Series which may be redeemed at any time, that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Duff & Phelps International Series | ||||||||
Class I | 7,952 | $ | 92 | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class I | 6,703 | 132 | ||||||
Equity Trend Series | ||||||||
Class I | 9,345 | 115 | ||||||
KAR Small-Cap Growth Series | ||||||||
Class I | 7,831 | 201 | ||||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class I | 12,292 | 115 |
G. | Investments in Affiliates |
A summary of the total long-term and short-term purchases and sales of an affiliated fund, Virtus Newfleet Credit Opportunities Fund, during the period ended June 30, 2017, is as follows:
Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Newfleet Multi-Sector Intermediate Bond Series | $ | 3,074 | $ | — | $ | — | $ | 3,077 | $ | 86 | $ | — | ||||||||||||
Strategic Allocation Series | 332 | — | — | 332 | 9 | — |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at June 30, 2017.
Note 4—Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities, forward currency contracts, written options, and short-term investments) during the period ended June 30, 2017, were as follows:
Purchases | Sales | |||||||
Duff & Phelps International Series | $ | 72,717 | $ | 75,180 | ||||
Duff & Phelps Real Estate Securities Series | 11,038 | 12,540 | ||||||
Equity Trend Series | 1,937 | 2,828 | ||||||
KAR Capital Growth Series | 17,763 | 26,501 | ||||||
KAR Small-Cap Growth Series | 4,027 | 7,702 | ||||||
KAR Small-Cap Value Series | 11,577 | 16,728 | ||||||
Newfleet Multi-Sector Intermediate Bond Series | 42,467 | 39,906 | ||||||
Rampart Enhanced Core Equity Series | 231,492 | 239,331 | ||||||
Strategic Allocation Series | 17,072 | 21,660 |
Purchases and sales of long-term U.S. Government and agency securities during the period ended June 30, 2017, were as follows:
Purchases | Sales | |||||||
Newfleet Multi-Sector Intermediate Bond Series | $ | 5,437 | $ | 6,414 | ||||
Strategic Allocation Series | 1,588 | 2,296 |
Note 5—Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Series’ ability to repatriate such amounts.
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High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadvisers to accurately predict risk.
Certain Series may invest in ETFs, which may expose the Series to the risk that the value of an ETF will be more volatile than the underlying portfolio of securities the ETF is designed to track, or that the costs to the Series of owning shares of the ETF will exceed those the Series would incur by investing in such securities directly.
Investing in sector funds or non-diversified funds may be more volatile than investing in broadly diversified funds, and may be more susceptible to adverse economic, political or regulatory developments affecting a single issuer than would be the case if it were more broadly diversified.
Certain Series may invest a high percentage of their assets in specific sectors of the market in the pursuit of their investment objectives. Fluctuations in these sectors of concentration may have a greater impact on a Series, positive or negative, than if the Series did not concentrate its investments in such sectors.
At June 30, 2017, the Series below held securities in specific sectors as detailed below:
Series | Sector | Percentage of Total Investments | ||||
Equity Trend Series | Consumer Discretionary | 27 | % | |||
KAR Capital Growth Series | Information Technology | 39 | ||||
KAR Capital Growth Series | Consumer Discretionary | 26 | ||||
KAR Small-Cap Growth Series | Information Technology | 25 |
Note 6—Derivative Financial Instruments and Transactions
($ reported in thousands)
Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Series uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Series’ results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by certain Series.
Forward Currency Contracts: A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Series, help to manage the overall exposure to the currencies in which some of the investments held by the Series are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollar without the delivery of foreign currency.
During the fiscal period, the Duff & Phelps International Series entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk).
These foreign currency contracts were executed under the ISDA 2002 Master Agreement without any Schedule thereto and without the requirement of posting any collateral to the counterparty.
The following is a summary of the Series’ foreign currency exchange contracts which have a primary risk exposure as of June 30, 2017:
Statements of Assets and Liabilities | ||||
Assets | ||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | ||
Liabilities | ||||
Unrealized depreciation on forward foreign currency exchange contracts | (690 | ) | ||
|
| |||
$ | (690 | ) | ||
|
|
Statements of Operations | ||||
Net realized gain (loss) on forward foreign currency exchange contracts1 | $ | (452 | ) | |
Net Change in Unrealized Appreciation / (Depreciation) on forward foreign currency exchange contracts2 | (1,186 | ) | ||
|
| |||
$ | (1,638 | ) | ||
|
|
1 | Included in Net realized gain (loss) on foreign currency transactions within the Statements of Operations. |
2 | Included in Net change in unrealized appreciation (depreciation) on foreign currency transactions within the Statement of Operations. |
For the period ended June 30, 2017, the average daily cost of foreign currency exchange contracts purchased were $34,431 and the average daily cost of foreign currency exchange contracts sold were $40,737.
Options Contracts: An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. Certain Series may purchase or write both put and call options on portfolio securities for hedging purposes or to facilitate the rapid implementation of investment strategies if the Series anticipates a significant market or sector advance. The Series are subject to equity price risk in the normal course of pursuing their investment objectives. The Series may use options contracts to hedge against changes in the values of equities.
When a Series purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Series writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market
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value of the option. Holdings of the Series designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in unaffiliated securities at value” on the Statements of Assets and Liabilities. Options written are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options” in the Statements of Operations.
If an option expires unexercised, the Series realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statements of Operations.
The risk in writing call options is that the Series gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Series may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Series pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.
The Rampart Enhanced Core Equity Series invests in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains.
Written options transactions held by Rampart Enhanced Core Equity Series, during the period ended June 30, 2017, were as follows:
Calls | Puts | |||||||||||||||
Number of Contracts | Premiums received | Number of Contracts | Premiums received | |||||||||||||
Written Options outstanding at December 31, 2016 | 841 | $ | 67 | 841 | $ | 204 | ||||||||||
Options written | 12,413 | 877 | 12,587 | 3,630 | ||||||||||||
Options closed | (4,270 | ) | (344 | ) | (3,568 | ) | (958 | ) | ||||||||
Options expired | (8,085 | ) | (572 | ) | (8,961 | ) | (2,595 | ) | ||||||||
Options exercised | — | — | — | — | ||||||||||||
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| |||||||||
Written Options outstanding at June 30, 2017 | 899 | 28 | 899 | 281 | ||||||||||||
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The following is a summary of the Rampart Enhanced Core Equity Series’ derivative instrument holdings categorized by primary risk exposure (equity contracts) in the financial statements as of June 30, 2017:
Statements of Assets and Liabilities | ||||
Rampart Enhanced Core Equity | ||||
Assets: Purchased options at value | $ | 77 | (1) | |
Liabilities: Written options at value | (232 | ) | ||
|
| |||
Net asset (liability) balance | $ | (155 | ) | |
|
|
Statements of Operations | ||||
Rampart Enhanced Core Equity | ||||
Net realized gain (loss) on purchased options | $ | (2,041 | )(2) | |
Net realized gain (loss) on written options | 3,760 | |||
Net change in unrealized appreciation (depreciation) on purchased options | (82 | )(3) | ||
Net change in unrealized appreciation (depreciation) on written options | 116 | |||
|
| |||
Total net realized and unrealized gain (loss) | $ | 1,753 | ||
|
|
(1) | Amount included in Investment in securities at value. |
(2) | Amount included in Net realized gain (loss) on investments. |
(3) | Amount included in Net change in unrealized appreciation (depreciation) on investments. |
For the period ended June 30, 2017, Rampart Enhanced Core Equity Series’ average daily premiums paid by the Series for purchased options were $134 and the average daily premiums received for written call options by the Series were $289.
Note 7—Indemnifications
Under the Trust’s organizational documents and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its Series. In addition, in the normal course of business, the Trust and the Series enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Series’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust or the Series and that have not occurred. However, neither the Trust nor the Series has had prior claims or losses pursuant to these arrangements and they each expect the risk of loss to be remote.
Note 8—Manager of Managers
The Trust and the Adviser have received an exemptive order from the SEC that permits the Adviser, subject to certain conditions and without the approval of shareholders to: (a) select both unaffiliated subadvisers and certain wholly-owned affiliated subadvisers to manage all or a portion of the
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
JUNE 30, 2017
assets of a Series, and enter into subadvisory agreements with such subadvisers, and (b) materially amend subadvisory agreements with such subadvisers. In such circumstances, shareholders would receive notice of such action.
Note 9—Mixed and Shared Funding
Shares of the Series are not directly offered to the public. Shares of the Series are currently offered through separate accounts to fund variable accumulation annuity contracts and variable universal life insurance policies issued by participating insurance companies.
The interests of variable annuity contract owners and variable life policy owners could diverge based on differences in U.S. federal and state regulatory requirements, tax laws, investment management or other unanticipated developments. The Trust’s Trustees do not foresee any such differences or disadvantages at this time. However, the Trust’s Trustees intend to monitor for any material conflicts and will determine what action, if any, should be taken in response to such conflicts. If such a conflict should occur, one or more separate accounts may be required to withdraw its investment in the Series, or shares of another Series may be substituted.
Note 10—Federal Income Tax Information
($ reported in thousands)
At June 30, 2017, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by each Series were as follows:
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Duff & Phelps International Series | $ | 156,864 | $ | 20,955 | $ | (3,460 | ) | $ | 17,495 | |||||||
Duff & Phelps Real Estate Securities Series | 57,062 | 23,590 | (2,373 | ) | 21,217 | |||||||||||
Equity Trend Series | 3,378 | 610 | (25 | ) | 585 | |||||||||||
KAR Capital Growth Series | 117,700 | 91,284 | (1,091 | ) | 90,193 | |||||||||||
KAR Small-Cap Growth Series | 36,009 | 33,959 | (670 | ) | 33,289 | |||||||||||
KAR Small-Cap Value Series | 63,917 | 29,766 | (2,629 | ) | 27,137 | |||||||||||
Newfleet Multi-Sector Intermediate Bond Series | 132,718 | 3,960 | (3,726 | ) | 234 | |||||||||||
Rampart Enhanced Core Equity Series (Including Purchased Options) | 101,850 | 2,506 | (1,174 | ) | 1,332 | |||||||||||
Rampart Enhanced Core Equity Series (Written Options) | (309 | ) | 107 | (30 | ) | 77 | ||||||||||
Strategic Allocation Series | 86,956 | 9,323 | (1,069 | ) | 8,254 |
Certain Series have capital loss carryovers available to offset future realized capital gains, through the indicated expiration dates shown below:
2018 | No Expiration | Total | ||||||||||||||
Series | Short-Term | Short-Term | Long-Term | |||||||||||||
Duff & Phelps International Series | — | $ | 13,074 | $ | — | $ | 13,074 | |||||||||
Equity Trend Series | — | 2,780 | — | 2,780 | ||||||||||||
Newfleet Multi-Sector Intermediate Bond Series | — | 415 | 2,292 | 2,707 |
The Trust may not realize the benefit of these losses to the extent each Series does not realize gains on investments prior to the expiration of the capital loss carryovers. Utilization of this capital loss carryover is subject to annual limits.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. Capital loss carryover may be subject to limits on use of losses.
Note 11—Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Series. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Series’ Schedule of Investments, where applicable. However, a portion of such footnoted securities could be liquid where it is determined that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the applicable Series.
Restricted securities are illiquid securities, as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Series will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
The following Series held securities considered to be illiquid at June 30, 2017:
($ reported in thousands)
Series | Aggregate Value | % of Series’ Net Assets | ||||||
Newfleet Multi-Sector Intermediate Bond Series | $ | 8 | 0.0 | % | ||||
Strategic Allocation Series | 1 | 0.0 |
At June 30, 2017, the Series did not hold any securities that were both illiquid and restricted.
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VIRTUS VARIABLE INSURANCE TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
JUNE 30, 2017
Note | 12—10% Shareholders |
As of June 30, 2017, each Series had individual shareholder account(s) (comprised of participating insurance companies to fund variable accumulation annuity contracts and variable universal life insurance policies), which individually amounted to more than 10% of the total shares outstanding of each such Series as detailed below:
% of Total Shares Outstanding | Number of Accounts | |||||||
Duff & Phelps International Series | 99 | % | 2 | |||||
Duff & Phelps Real Estate Securities Series | 87 | 2 | ||||||
Equity Trend Series | 94 | 3 | ||||||
KAR Capital Growth Series | 100 | 2 | ||||||
KAR Small-Cap Growth Series | 98 | 2 | ||||||
KAR Small-Cap Value Series | 100 | 2 | ||||||
Newfleet Multi-Sector Intermediate Bond Series | 80 | 2 | ||||||
Rampart Enhanced Core Equity Series | 100 | 2 | ||||||
Strategic Allocation Series | 100 | 2 |
Note 13—Borrowings
($ reported in thousands)
On June 29, 2016, the Series and other affiliated funds renewed a $50,000 secured line of credit. The Credit Agreement (the “Agreement”) is with a commercial bank (the “Bank”) that allows the Series to borrow cash from the Bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of each Series’ total net assets in accordance with the Agreement. The Agreement has a term of 364 days and is renewable by the Series with the Bank’s consent and approval of the Board. Interest is charged at the higher of the LIBOR (London Interbank Offered Rate) or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Series and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The Bank has the ability to require repayment of outstanding borrowings under the Agreement upon certain circumstances such as an event of default. On June 14, 2017, the term of the Agreement was extended to September 29, 2017.
The Series had no outstanding borrowings at any time during the period ended June 30, 2017.
Note 14—Custody Fees Reimbursed
State Street Bank & Trust, custodian for some of the Series through January 29, 2010, reimbursed the Series for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Amounts were reimbursed during both fiscal years ended 2016 and 2017. The amounts reimbursed, including interest, are shown in the Statement of Operations under “Custody fees reimbursed.”
Note 15—Regulatory Matters and Litigation
From time to time, the Trust, the Series’ Adviser and/or subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Series’ Adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.
Note 16—Recent Accounting Pronouncements
On October 13, 2016, the SEC amended existing rules intended to modernize reporting and disclosure of information. Certain of these amendments relate to Regulation S-X which sets forth the requisite form and content of financial statements. At this time, management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
Note 17—Subsequent Events
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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CONSIDERATION OF SUBADVISORY AGREEMENT
FOR VIRTUS EQUITY TREND SERIES
BY THE BOARD OF TRUSTEES
The Board of Trustees (the “Board”) of Virtus Variable Insurance Trust (the “Trust”) is responsible for the consideration and approval of advisory and subadvisory agreements for the Trust. At an in-person Board meeting held on June 1-2, 2017, the Board, including a majority of the Trustees who are not interested persons of the Trust as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (such Act, the “1940 Act” and such Trustees, the “Independent Trustees”), authorized the appointment of Rampart Investment Management Company, LLC (the “Subadviser”) as subadviser to Virtus Equity Trend Series (the “Series”) and approved a new subadvisory agreement with the Subadviser (the “Subadvisory Agreement”). The Board also considered and approved the name change of the Series to Virtus Rampart Equity Trend Series.
In considering the proposal to appoint the Subadviser, the Board requested and evaluated information provided by Virtus Investment Advisers, Inc. (the “Adviser”) and the Subadviser which, in the Board’s view, constituted information necessary for the Board to form a judgment as to whether appointment of the Subadviser would be in the best interests of the Series and its shareholders. The Board also took into account discussions with management and information provided to the Board in its meetings throughout the year with respect to the services provided by the Subadviser and its representatives to the Series and other Virtus Funds. The Board noted the affiliation of the Subadviser with the Adviser and any potential conflicts of interest.
The Independent Trustees were separately advised by independent legal counsel throughout the process. The Board considered all the criteria separately with respect to the Series and its shareholders. In their deliberations, the Trustees considered various factors, including those discussed below, none of which were controlling, and each Trustee may have attributed different weights to the various factors. The Independent Trustees also discussed the proposed approval of the Subadvisory Agreement in private sessions with their independent legal counsel at which no representatives of management were present.
Basis for the Board’s Recommendation
In making its determination with respect to the Subadvisory Agreement, the Board considered various factors, including:
• | Nature, Extent, and Quality of the Services to be provided by the Subadviser. The Trustees received in advance of the meeting information in the form of an extensive questionnaire completed by the Subadviser concerning a number of topics, including its investment philosophy, resources, operations and compliance structure. The Trustees noted that the Subadviser would provide portfolio management, compliance with the Series’ investment policies and procedures, compliance with applicable securities laws, and assurances thereof. The Trustees reviewed biographical information for the portfolio managers who would provide services under the Subadvisory Agreement, noting that they were already providing such services as representatives of the Adviser. In considering the approval of the Subadvisory Agreement, the Trustees considered the Subadviser’s investment management process, including (a) the experience, capability and integrity of the Subadviser’s management and other personnel committed by the Subadviser to the Series; (b) the quality and commitment of the Subadviser’s regulatory and legal compliance policies, procedures and systems; and (c) the Subadviser’s brokerage and trading practices. The Board concluded that the nature, extent and quality of the services to be provided by the Subadviser to the Series were reasonable. |
• | Investment Performance. The Board took into account that the proposed portfolio managers, in addition to already managing the Series on behalf of the Adviser, managed other Virtus Funds on behalf of the Subadviser, and the Board considered the performance of each such fund relative to its benchmark and comparable accounts. The Board concluded that the performance of each such fund was satisfactory. |
• | Subadvisory Fee. The Board took into account that the Series’ subadvisory fees are paid by the Adviser and not by the Series, so that the Series’ shareholders would not be directly impacted by those fees. The Board also noted that the proposed subadvisory fee schedule under the Subadvisory Agreement was the same as the subadvisory fee schedule for subadvisers of the Trust’s other series. The Board concluded that the proposed subadvisory fees were fair and reasonable in light of services to be provided by the Subadviser and all factors considered. |
• | Profitability and Economies of Scale. In considering the expected profitability to the Subadviser in connection with its relationship to the Series, the Board noted that the fees under the Subadvisory Agreement would be paid by the Adviser out of the advisory fees that it receives under the Advisory Agreement and not by the Series. In considering the reasonableness of the fees payable by the Adviser to the Subadviser, the Board noted that, because the Subadviser is an affiliate of the Adviser, such profitability might be directly or indirectly shared by the Adviser, and therefore the Board considered the profitability together. As a result, the expected profitability to the Subadviser of its relationship with the Series was not a material factor in the Board’s deliberations at this time. For similar reasons, the Board did not consider the potential economies of scale in the Subadviser’s management of the Series to be a material factor in its consideration at this time. |
• | Other Benefits. The Board considered other benefits that may be realized by the Subadviser and its affiliates from their relationships with the Series. Among them, the Board recognized that VP Distributors, LLC, an affiliate of the Adviser, serves as the principal underwriter for the Trust, and, as such, receives payments pursuant to Rule 12b-1 from the Series to compensate it for providing selling activities, which could lead to growth in the Series’ assets and corresponding benefits from such growth, including economies of scale. The Board also noted that an affiliate of the Adviser provides administrative services to the Trust. The Board noted management’s discussion of the fact that, while the Subadviser is an affiliate of the Adviser, there are no other direct benefits to the Subadviser in providing subadvisory services to the Series, other than the fee to be earned under the Subadvisory Agreement. There may be certain intangible benefits gained to the extent that serving the Series could provide the opportunity to provide subadvisory services to additional series of the Trust or certain reputational benefits. |
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CONSIDERATION OF SUBADVISORY AGREEMENT
FOR VIRTUS EQUITY TREND SERIES
BY THE BOARD OF TRUSTEES (Continued)
Conclusion
Based on all of the foregoing considerations, the Board, including a majority of the Independent Trustees, determined that approval of the Subadvisory Agreement was in the best interests of the Series and its shareholders. Accordingly, the Board, and the Independent Trustees voting separately, approved the Subadvisory Agreement with respect to the Series.
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Virtus Equity Trend Series,
a series of Virtus Variable Insurance Trust (the “Trust”)
Supplement dated July 21, 2017 to the Summary Prospectus and Statutory Prospectus, each dated May 1, 2017
IMPORTANT NOTICETO INVESTORS
Effective August 25, 2017, Rampart Investment Management Company, LLC (“Rampart”) will begin serving as subadviser to Virtus Equity Trend Series. At a meeting held on June 1-2, 2017, upon recommendation by Virtus Investment Advisers, Inc. (“VIA”), the Series’ investment adviser, the Board of Trustees of the Trust voted to approve an investment subadvisory agreement between VIA and Rampart. In accordance with certain provisions of the Investment Advisers Act of 1940, as amended, the Investment Company Act of 1940, as amended, and the rules thereunder, and/or certain exemptive orders obtained by VIA on behalf of the Series, shareholder approval is not required for this action.
No changes to the Series’ principal investment strategies or the risks related to principal investment strategies will occur as a result of implementing Rampart as a subadviser. There will be no changes to the Series’ portfolio management team except that each of the portfolio managers will provide their services as representatives of Rampart rather than VIA.
Changes to the Series’ current prospectuses are more fully described below and will be effective on August 25, 2017.
Actions described in the Series’ principal investment strategies as being taken by the Series’ adviser will be deemed to be described as being taken by the subadviser.
The following disclosure will be added under the heading “Management” in the Series’ summary prospectus and summary section of the statutory prospectus:
The Series’ subadviser is Rampart Investment Management Company, LLC (“Rampart”).
Under the subheading “Portfolio Managers” in the Series’ summary prospectus and summary section of the statutory prospectus, the disclosure for each portfolio manager will be revised by replacing “VIA” with “Rampart.”
The second paragraph under the heading “The Adviser” in the section “Management of the Series” on page 6 of the statutory prospectus will be replaced with the following:
Pursuant to the Investment Advisory Agreement with the Series and subject to the direction of the Trust’s Board of Trustees, VIA is responsible for managing the Series’ investment program in conformity with the stated policies of the Series as described in this prospectus. VIA, with the approval of the Trust’s Board of Trustees, has selected Rampart to serve as subadviser and perform the day-to-day portfolio management of the Series. Rampart is responsible for deciding which securities to purchase and sell for the Series and for placing the Series’ transactions.
Under the heading “The Adviser” in the section “Management of the Series” on page 7 of the statutory prospectus, the second paragraph will be replaced with the following:
The Trust and VIA have each received an exemptive order from the Securities and Exchange Commission (“SEC”) that permits VIA, subject to certain conditions, and without the approval of shareholders, to: (a) select both unaffiliated subadvisers and certain wholly-owned affiliated subadvisers to manage all or a portion of the assets of a fund, and enter into subadvisory agreements with such subadvisers, and (b) materially amend subadvisory agreements with such subadvisers. In such circumstances, shareholders would receive notice of such action.
VIA serves as a manager of managers of the Series. In this capacity, VIA: (i) sets the Series’ overall investment strategies; (ii) evaluates, selects, and recommends to the Board the hiring, termination and replacement of one or more subadvisers needed to manage all or part of the assets of the Series; (iii) monitors and evaluates the subadvisers’ investment programs and results as well as the performance of the subadvisers relative to the applicable benchmark indexes; and (iv) reviews the Series’ compliance with its investment objectives, policies and restrictions.
The following subsection will be added following the second paragraph on page 7 of the statutory prospectus:
The Subadviser
Rampart, an affiliate of VIA, is located at 100 Pearl Street, 9th Floor, Hartford, CT 06103. Rampart has been an investment adviser since 1983 and provides investment management services to mutual funds, institutional and high net worth investors. As of December 31, 2016, Rampart had approximately $751 million in assets under management.
From its investment advisory fee, VIA, and not the Series, pays Rampart for its subadvisory services at the rate of 50% of the net advisory fee.
The subheading “Board of Trustees’ Approval of Investment Advisory Agreement” will be replaced with “Board of Trustees’ Approval of Investment Advisory and Subadvisory Agreements” and the following sentence will be added after the existing sentence: “The Trust’s semiannual report for the period ended June 30, 2017 is expected to contain a discussion regarding the basis for the Trust’s Board of Trustees’ approval of the subadvisory agreement for the Series.”
Under the subheading “Portfolio Management” on page 7 of the statutory prospectus, the disclosure for each portfolio manager will be revised by replacing “VIA” with “Rampart.”
Additionally, effective September 26, 2017, the Series’ name will change to Virtus Rampart Equity Trend Series and all references to the Series using its current name will be deemed to be using its new name.
Investors should retain this supplement with the Prospectuses for future reference.
VVIT 8510/EquityTrend-Rampart (7/2017)
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VIRTUS VARIABLE INSURANCE TRUST
100 Pearl Street
Hartford, CT 06103-4506
Trustees
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Philip R. McLoughlin, Chairman
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Ferdinand L. J. Verdonck
Officers
George R. Aylward, President
Francis G. Waltman, Executive Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Jennifer Fromm, Vice President, Chief Legal Officer, Counsel and Secretary
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Transfer Agent
Bank of New York Mellon
4400 Computer Drive
Westborough, MA 01581-1722
Custodian
JPMorgan Chase Bank, NA
1 Chase Manhattan Plaza
New York, NY 10005-1401
How to Contact Us
Mutual Fund Services1-800-367-5877
WebsiteVirtus.com
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
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100 Pearl Street
Hartford, CT 06103
For more information about the Virtus Variable Insurance Trust, please contact us at 1-800-367-5877 or Virtus.com.
8508 | 06-17 |
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Variable Insurance Trust |
By (Signature and Title)* /s/ George R. Aylward | ||
George R. Aylward, President | ||
(principal executive officer) | ||
Date 9/07/2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ George R. Aylward | ||
George R. Aylward, President | ||
(principal executive officer) | ||
Date 9/07/2017 |
By (Signature and Title)* /s/ W. Patrick Bradley | ||
W. Patrick Bradley, Executive Vice President, | ||
Chief Financial Officer and Treasurer | ||
(principal financial officer) | ||
Date 9/07/2017 |
* Print the name and title of each signing officer under his or her signature.