Virtus Global Multi-Sector Income Fund
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number
811-22608
Virtus Global Multi-Sector Income Fund
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA
01301-9683
(Address of principal executive offices) (Zip code)
William Renahan, Esq.
Vice
President, Chief Legal Officer 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: (866) 270-7788
Date of fiscal year end: December 31
Date of reporting period: September 30, 2014
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§
239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The
Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A
registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in
Form N-Q 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 the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C.
§ 3507.
Item 1. Schedule of Investments.
The Schedules of Investments are attached herewith.
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2014
(Unaudited)
($ reported in thousands)
|
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PAR VALUE |
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VALUE
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| MUNICIPAL BONDS—1.0% |
|
|
|
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|
|
| California—0.7% |
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|
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|
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|
|
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| San Diego Tobacco Settlement Revenue Funding Corp. Bond Taxable 7.125%, 6/1/32 |
|
$ |
|
|
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|
659 |
|
|
$ |
|
|
|
|
647 |
|
| State of California Build America Bond Taxable 7.500%, 4/1/34
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|
570 |
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|
813 |
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|
|
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1,460 |
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| Illinois—0.3% |
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| State of Illinois Build America Bond Taxable 6.900%, 3/1/35 |
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700 |
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774 |
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| |
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|
TOTAL MUNICIPAL BONDS
(Identified Cost $2,011) |
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2,234
|
|
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| FOREIGN GOVERNMENT SECURITIES—16.7% |
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| Argentine Republic |
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| Series X, 7.000%, 4/17/17 |
|
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|
500 |
|
|
|
|
|
|
|
449 |
|
| 8.750%, 5/7/24 |
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|
|
530 |
|
|
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|
|
|
|
481 |
|
| Series NY, 8.280%, 12/31/33(14) |
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|
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2,320 |
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|
2,007 |
|
| Bolivarian Republic of Venezuela |
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| RegS 8.250%, 10/13/24(4) |
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|
570 |
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|
366 |
|
| 7.650%, 4/21/25 |
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|
|
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|
1,845 |
|
|
|
|
|
|
|
1,144 |
|
| Commonwealth of Australia Series 130, 4.750%, 6/15/16 |
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1,645AUD |
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1,492 |
|
| Commonwealth of New Zealand |
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| Series 415, 6.000%, 4/15/15 |
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1,400NZD |
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|
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1,107 |
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| Series 1217, 6.000%, 12/15/17 |
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705NZD |
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|
|
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|
585 |
|
| Dominican Republic 144A 5.875%, 4/18/24(3) |
|
|
|
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|
1,000 |
|
|
|
|
|
|
|
1,035 |
|
| Federative Republic of Brazil 8.500%, 1/5/24 |
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3,460BRL |
|
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|
|
|
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|
1,279 |
|
| Mongolia 144A 4.125%, 1/5/18(3) |
|
|
|
|
|
|
800 |
|
|
|
|
|
|
|
760 |
|
| New South Wales, Australia Treasury Corp., Series 17 5.500%, 3/1/17 |
|
|
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|
435AUD |
|
|
|
|
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|
405 |
|
| Provincia de Neuquen, Argentina 144A 7.875%, 4/26/21(3) |
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656 |
|
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|
651 |
|
| Republic of Azerbaijan 144A 4.750%, 3/18/24(3) |
|
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|
800 |
|
|
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|
816 |
|
| Republic of Chile 5.500%, 8/5/20 |
|
|
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547,000CLP |
|
|
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|
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|
965 |
|
| Republic of Colombia Treasury Note, Series B, 11.250%, 10/24/18 |
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998,500COP |
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|
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589 |
|
| Republic of Costa Rica |
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|
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|
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| 144A 7.000%, 4/4/44(3) |
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|
800 |
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|
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|
804 |
|
| 7.000%, 4/4/44 |
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|
1,000 |
|
|
|
|
|
|
|
1,005 |
|
| Republic of Croatia 144A 6.375%, 3/24/21(3) |
|
|
|
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1,420 |
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|
|
|
|
|
1,548 |
|
| Republic of Ecuador 144A 7.950%, 6/20/24(3) |
|
|
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|
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|
800 |
|
|
|
|
|
|
|
843 |
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PAR VALUE |
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VALUE
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| Republic of El Salvador 144A 6.375%, 1/18/27(3) |
|
$ |
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|
910 |
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|
|
|
$ |
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|
915 |
|
| Republic of Ghana 144A 8.125%, 1/18/26(3) |
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|
400 |
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|
402 |
|
| Republic of Iceland 144A 5.875%, 5/11/22(3) |
|
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1,180 |
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|
|
|
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|
|
1,329 |
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| Republic of Indonesia |
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| Series FR30, 10.750%, 5/15/16 |
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17,941,000IDR |
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1,543 |
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| Series FR55, 7.375%, 9/15/16 |
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9,877,000IDR |
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|
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|
807 |
|
| Series FR63, 5.625%, 5/15/23 |
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7,482,000IDR |
|
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|
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|
510 |
|
| Republic of Iraq RegS 5.800%, 1/15/28(4) |
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|
890 |
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|
803 |
|
| Republic of Peru |
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| GDN 144A 7.840%, 8/12/20(3) |
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|
875PEN |
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|
|
|
|
|
345 |
|
| RegS 6.900%, 8/12/37(4) |
|
|
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|
1,700PEN |
|
|
|
|
|
|
|
|
|
594 |
|
| Republic of Slovak 144A 4.375%, 5/21/22(3) |
|
|
|
|
|
|
1,235 |
|
|
|
|
|
|
|
|
|
1,316 |
|
| Republic of South Africa Series R203, 8.250%, 9/15/17 |
|
|
|
|
|
|
8,060ZAR |
|
|
|
|
|
|
|
|
|
734 |
|
| Republic of Uruguay 4.375%, 12/15/28 |
|
|
|
|
|
|
26,551UYU |
(9) |
|
|
|
|
|
|
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|
1,200 |
|
| Russian Federation |
|
|
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|
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|
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| 144A 7.850%, 3/10/18(3) |
|
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|
55,000RUB |
|
|
|
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|
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|
1,327 |
|
| 144A 4.875%, 9/16/23(3) |
|
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|
2,000 |
|
|
|
|
|
|
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|
1,972 |
|
| United Mexican States |
|
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| Series M, 6.000%, 6/18/15 |
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|
35,100MXN |
|
|
|
|
|
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|
2,666 |
|
| Series M, 6.500%, 6/9/22 |
|
|
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|
19,000MXN |
|
|
|
|
|
|
|
|
|
1,465 |
|
|
TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $39,108) |
|
|
|
36,259 |
|
|
| MORTGAGE-BACKED SECURITIES—3.9% |
|
|
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| Non-Agency—3.9% |
|
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| Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32(2)(3) |
|
|
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|
448 |
|
|
|
|
|
|
|
|
|
456 |
|
| Banc of America Alternative Loan Trust 03-2, CB3 5.750%, 4/25/33 |
|
|
|
|
|
|
661 |
|
|
|
|
|
|
|
|
|
686 |
|
| Credit Suisse Commercial Mortgage Trust 07 - C5, A1AM 5.870%, 9/15/40(2) |
|
|
|
|
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|
490 |
|
|
|
|
|
|
|
|
|
502 |
|
| Goldman Sachs Mortgage Securities Trust 13-GC16, A2 3.033%, 11/10/46 |
|
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|
3,000 |
|
|
|
|
|
|
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|
3,097 |
|
| Hilton USA Trust 13-HLT, EFX 144A 5.609%, 11/5/30(2)(3) |
|
|
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|
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|
320 |
|
|
|
|
|
|
|
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|
325 |
|
| JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities, Inc. |
|
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
| 05-PW10, AM 5.449%,
12/11/40(2) |
|
|
|
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|
1,000 |
|
|
|
|
|
|
|
|
|
1,042 |
|
| 07-PW18, AM 6.084%, 6/11/50(2) |
|
|
|
|
|
|
1,400 |
|
|
|
|
|
|
|
|
|
1,558 |
|
| JPMorgan Chase (Washington Mutual) Commercial Mortgage Securities Trust 06-SL1, A 144A 4.465%, 11/23/43(2)(3) |
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|
|
|
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|
12 |
|
|
|
|
|
|
|
|
|
12 |
|
1
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
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PAR VALUE |
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VALUE |
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| Non-Agency—(continued) |
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|
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|
|
|
|
|
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| JPMorgan Chase Commercial Mortgage Securities Trust 07-LDPX, AM 5.464%, 1/15/49(2) |
|
$ |
|
|
|
|
820 |
|
|
|
$ |
|
|
|
858 |
|
| |
|
| TOTAL MORTGAGE-BACKED SECURITIES |
|
|
|
|
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|
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| (Identified Cost $8,502) |
|
|
|
|
|
|
|
|
|
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|
8,536 |
|
| |
|
|
|
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| ASSET-BACKED SECURITIES—3.5% |
|
|
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|
|
|
|
|
|
|
|
|
|
|
| American Homes 4 Rent 14-SFR2, C 144A 4.705%, 10/17/36(3) |
|
|
|
|
|
|
770 |
|
|
|
|
|
|
|
771 |
|
| Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43(3) |
|
|
|
|
|
|
806 |
|
|
|
|
|
|
|
814 |
|
| CIT Group Home Equity Loan Trust 03-1, A5 4.980%,
7/20/34(2) |
|
|
|
|
|
|
1,450 |
|
|
|
|
|
|
|
1,461 |
|
| Domino’s Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42(3) |
|
|
|
|
|
|
1,449 |
|
|
|
|
|
|
|
1,531 |
|
| Drug Royalty LP I 12-1, A2 144A 5.800%, 7/15/24(3) |
|
|
|
|
|
|
639 |
|
|
|
|
|
|
|
659 |
|
| Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%,
10/15/42(3) |
|
|
|
|
|
|
455 |
|
|
|
|
|
|
|
453 |
|
| GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35(2) |
|
|
|
|
|
|
1,049 |
|
|
|
|
|
|
|
1,068 |
|
| Residential Asset Mortgage Trust 04-RZ1, M1 4.820%, 3/25/34(2) |
|
|
|
|
|
|
772 |
|
|
|
|
|
|
|
775 |
|
| |
|
| TOTAL ASSET-BACKED SECURITIES |
|
|
|
|
|
|
|
|
|
| (Identified Cost $7,273) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,532 |
|
| |
|
|
| CORPORATE BONDS AND NOTES—92.3% |
|
|
|
|
| Consumer Discretionary—5.1% |
|
|
|
|
|
|
|
|
|
| Arcos Dorados Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 10.250%, 7/13/16(3) |
|
|
|
|
|
|
1,115BRL |
|
|
|
|
|
|
|
433 |
|
| 144A 6.625%, 9/27/23(3) |
|
|
|
|
|
|
600 |
|
|
|
|
|
|
|
596 |
|
| Boyd Gaming Corp. 9.000%, 7/1/20 |
|
|
|
|
|
|
325 |
|
|
|
|
|
|
|
342 |
|
| Brookfield Residential Properties, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.500%, 12/15/20(3) |
|
|
|
|
|
|
960 |
|
|
|
|
|
|
|
1,001 |
|
| 144A 6.125%, 7/1/22(3) |
|
|
|
|
|
|
215 |
|
|
|
|
|
|
|
217 |
|
| Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20 |
|
|
|
|
|
|
750 |
|
|
|
|
|
|
|
583 |
|
| Caesars Entertainment Resort Properties LLC 144A 11.000%, 10/1/21(3) |
|
|
|
|
|
|
525 |
|
|
|
|
|
|
|
495 |
|
| Caesars Growth Properties Holdings LLC 144A 9.375%, 5/1/22(3) |
|
|
|
|
|
|
540 |
|
|
|
|
|
|
|
475 |
|
| CCO Holdings LLC 5.250%, 9/30/22 |
|
|
|
|
|
|
952 |
|
|
|
|
|
|
|
935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE |
|
|
|
|
| Consumer Discretionary—(continued) |
|
|
|
|
|
|
|
|
|
| Columbus International, Inc. 144A 7.375%, 3/30/21(3) |
|
$ |
|
|
|
|
225 |
|
|
|
$ |
|
|
|
235 |
|
| Grupo Televisa SAB 7.250%, 5/14/43 |
|
|
|
|
|
|
8,000MXN |
|
|
|
|
|
|
|
501 |
|
| Guitar Center, Inc. 144A 9.625%, 4/15/20(3) |
|
|
|
|
|
|
175 |
|
|
|
|
|
|
|
135 |
|
| iHeartCommunications, Inc. 10.000%, 1/15/18 |
|
|
|
|
|
|
845 |
|
|
|
|
|
|
|
711 |
|
| JC Penney Corp., Inc. 8.125%, 10/1/19 |
|
|
|
|
|
|
205 |
|
|
|
|
|
|
|
201 |
|
| MHGE Parent LLC 144A 8.500%, 8/1/19(3) |
|
|
|
|
|
|
620 |
|
|
|
|
|
|
|
588 |
|
| Numericable Group SA 144A 6.000%, 5/15/22(3) |
|
|
|
|
|
|
670 |
|
|
|
|
|
|
|
676 |
|
| Penn National Gaming, Inc. 5.875%, 11/1/21 |
|
|
|
|
|
|
395 |
|
|
|
|
|
|
|
365 |
|
| QVC, Inc. 5.125%, 7/2/22 |
|
|
|
|
|
|
690 |
|
|
|
|
|
|
|
725 |
|
| Toll Brothers Finance Corp. 6.750%, 11/1/19 |
|
|
|
|
|
|
615 |
|
|
|
|
|
|
|
690 |
|
| VTR Finance B.V. 144A 6.875%, 1/15/24(3) |
|
|
|
|
|
|
555 |
|
|
|
|
|
|
|
576 |
|
| Wynn Macau Ltd. 144A 5.250%, 10/15/21(3) |
|
|
|
|
|
|
565 |
|
|
|
|
|
|
|
548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples—0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cosan Luxembourg SA 144A 5.000%, 3/14/23(3) |
|
|
|
|
|
|
300 |
|
|
|
|
|
|
|
288 |
|
| Elizabeth Arden, Inc. 7.375%, 3/15/21 |
|
|
|
|
|
|
405 |
|
|
|
|
|
|
|
362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—20.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Afren plc |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 10.250%, 4/8/19(3) |
|
|
|
|
|
|
651 |
|
|
|
|
|
|
|
697 |
|
| 144A 6.625%, 12/9/20(3) |
|
|
|
|
|
|
750 |
|
|
|
|
|
|
|
714 |
|
| California Resources Corp. 144A 6.000%, 11/15/24(3) |
|
|
|
|
|
|
630 |
|
|
|
|
|
|
|
649 |
|
| Calumet Specialty Products Partners LP 144A 6.500%, 4/15/21(3) |
|
|
|
|
|
|
1,415 |
|
|
|
|
|
|
|
1,351 |
|
| CITGO Petroleum Corp. 144A 6.250%, 8/15/22(3) |
|
|
|
|
|
|
470 |
|
|
|
|
|
|
|
490 |
|
| Denbury Resources, Inc. 5.500%, 5/1/22 |
|
|
|
|
|
|
770 |
|
|
|
|
|
|
|
765 |
|
| Dolphin Energy Ltd. 144A 5.500%, 12/15/21(3) |
|
|
|
|
|
|
2,000 |
|
|
|
|
|
|
|
2,235 |
|
| Ecopetrol SA 4.125%, 1/16/25 |
|
|
|
|
|
|
865 |
|
|
|
|
|
|
|
837 |
|
| Energy XXI Gulf Coast, Inc. 7.500%, 12/15/21 |
|
|
|
|
|
|
805 |
|
|
|
|
|
|
|
793 |
|
| EnQuest plc 144A 7.000%, 4/15/22(3) |
|
|
|
|
|
|
930 |
|
|
|
|
|
|
|
879 |
|
| Fermaca Enterprises S de RL de CV 144A 6.375%, 3/30/38(3) |
|
|
|
|
|
|
1,400 |
|
|
|
|
|
|
|
1,466 |
|
| FTS International, Inc. 144A 6.250%, 5/1/22(3) |
|
|
|
|
|
|
620 |
|
|
|
|
|
|
|
612 |
|
| Gazprom Neft OAO (GPN Capital SA) 144A 6.000%, 11/27/23(3)(7) |
|
|
|
|
|
|
335 |
|
|
|
|
|
|
|
317 |
|
| Gazprom OAO (Gaz Capital SA) 144A 4.950%, 2/6/28(3)(7) |
|
|
|
|
|
|
1,300 |
|
|
|
|
|
|
|
1,157 |
|
| Gulfmark Offshore, Inc. 6.375%, 3/15/22 |
|
|
|
|
|
|
1,700 |
|
|
|
|
|
|
|
1,649 |
|
| Hercules Offshore, Inc. 144A 10.250%, 4/1/19(3) |
|
|
|
|
|
|
625 |
|
|
|
|
|
|
|
595 |
|
2
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Energy—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| KazMunayGas National Co. JSC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 4.400%, 4/30/23(3) |
|
$ |
|
|
|
|
1,275 |
|
|
$ |
|
|
|
|
1,226 |
|
| 144A 5.750%, 4/30/43(3) |
|
|
|
|
|
|
300 |
|
|
|
|
|
|
|
281 |
|
| Lukoil OAO International Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.125%, 11/9/20(3)(7) |
|
|
|
|
|
|
1,100 |
|
|
|
|
|
|
|
1,105 |
|
| 144A 4.563%, 4/24/23(3) |
|
|
|
|
|
|
800 |
|
|
|
|
|
|
|
718 |
|
| MEG Energy Corp. 144A 7.000%, 3/31/24(3) |
|
|
|
|
|
|
500 |
|
|
|
|
|
|
|
519 |
|
| Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19(3) |
|
|
|
|
|
|
2,000 |
|
|
|
|
|
|
|
2,270 |
|
| New Field Exploration Co.(The) 5.625%, 7/1/24 |
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
1,287 |
|
| NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19(3) |
|
|
|
|
|
|
520 |
|
|
|
|
|
|
|
512 |
|
| Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22(3) |
|
|
|
|
|
|
1,459 |
|
|
|
|
|
|
|
1,514 |
|
| Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19(3) |
|
|
|
|
|
|
1,040 |
|
|
|
|
|
|
|
1,057 |
|
| Parker Drilling Co.(The) 144A 6.750%, 7/15/22(3) |
|
|
|
|
|
|
350 |
|
|
|
|
|
|
|
353 |
|
| Pertamina Persero PT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 4.300%, 5/20/23(3) |
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
1,143 |
|
| 144A 6.000%, 5/3/42(3) |
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
1,152 |
|
| Petrobras Global Finance BV 6.250%, 3/17/24 |
|
|
|
|
|
|
770 |
|
|
|
|
|
|
|
805 |
|
| Petrobras International Finance Co. 6.750%, 1/27/41(13) |
|
|
|
|
|
|
3,275 |
|
|
|
|
|
|
|
3,293 |
|
| Petroleos de Venezuela SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015, 5.000%, 10/28/15 |
|
|
|
|
|
|
325 |
|
|
|
|
|
|
|
279 |
|
| RegS 8.500%, 11/2/17(4) |
|
|
|
|
|
|
4,260 |
|
|
|
|
|
|
|
3,365 |
|
| 144A 6.000%, 5/16/24(3) |
|
|
|
|
|
|
2,120 |
|
|
|
|
|
|
|
1,100 |
|
| Petroleos Mexicanos 144A 6.375%, 1/23/45(3) |
|
|
|
|
|
|
1,500 |
|
|
|
|
|
|
|
1,696 |
|
| QGOG Constellation SA 144A 6.250%, 11/9/19(3) |
|
|
|
|
|
|
955 |
|
|
|
|
|
|
|
957 |
|
| Rosetta Resources, Inc. 5.875%, 6/1/24 |
|
|
|
|
|
|
945 |
|
|
|
|
|
|
|
930 |
|
| Sabine Pass Liquefaction LLC 5.625%, 2/1/21 |
|
|
|
|
|
|
675 |
|
|
|
|
|
|
|
697 |
|
| Transocean, Inc. 3.800%, 10/15/22 |
|
|
|
|
|
|
1,005 |
|
|
|
|
|
|
|
923 |
|
| Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28(3) |
|
|
|
|
|
|
1,350 |
|
|
|
|
|
|
|
1,279 |
|
| Tullow Oil plc 144A 6.000%, 11/1/20(3) |
|
|
|
|
|
|
930 |
|
|
|
|
|
|
|
935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,602 |
|
|
|
|
|
|
| Financials—40.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aircastle Ltd. 5.125%, 3/15/21 |
|
|
|
|
|
|
1,470 |
|
|
|
|
|
|
|
1,455 |
|
| Akbank TAS 144A 7.500%,
2/5/18(3) |
|
|
|
|
|
|
1,145TRY |
|
|
|
|
|
|
|
447 |
|
| Alfa Bank OJSC (Alfa Bond Issuance plc) 144A 7.750%, 4/28/21(3)(7) |
|
|
|
|
|
|
925 |
|
|
|
|
|
|
|
927 |
|
| Allstate Corp. (The) 5.750%, 8/15/53(2)(6) |
|
|
|
|
|
|
2,460 |
|
|
|
|
|
|
|
2,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ALROSA Finance S.A. 144A 7.750%, 11/3/20(3) |
|
$ |
|
|
|
|
750 |
|
|
$ |
|
|
|
|
775 |
|
| Apollo Management Holdings LP 144A 4.000%, 5/30/24(3) |
|
|
|
|
|
|
785 |
|
|
|
|
|
|
|
790 |
|
| Banco ABC Brasil S.A. 144A 7.875%, 4/8/20(3) |
|
|
|
|
|
|
800 |
|
|
|
|
|
|
|
859 |
|
| Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21(3) |
|
|
|
|
|
|
1,750 |
|
|
|
|
|
|
|
1,908 |
|
| Banco Bradesco S.A. 144A 5.750%, 3/1/22(3)(6) |
|
|
|
|
|
|
2,000 |
|
|
|
|
|
|
|
2,065 |
|
| Banco Continental S.A. RegS 5.500%, 11/18/20(4)(7) |
|
|
|
|
|
|
2,000 |
|
|
|
|
|
|
|
2,160 |
|
| Banco de Credito del Peru 144A 6.125%, 4/24/27(2)(3) |
|
|
|
|
|
|
1,225 |
|
|
|
|
|
|
|
1,308 |
|
| Banco de Credito e Inversiones 144A 4.000%, 2/11/23(3) |
|
|
|
|
|
|
1,860 |
|
|
|
|
|
|
|
1,836 |
|
| Banco do Brasil SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RegS 5.375%, 1/15/21(4) |
|
|
|
|
|
|
525 |
|
|
|
|
|
|
|
536 |
|
| 144A 9.250%, 10/31/49(2)(3)(5)(6) |
|
|
|
|
|
|
1,425 |
|
|
|
|
|
|
|
1,468 |
|
| Banco Internacional del Peru SAA 144A 6.625%, 3/19/29(2)(3) |
|
|
|
|
|
|
1,260 |
|
|
|
|
|
|
|
1,367 |
|
| Banco Santander Brasil SA 144A 8.000%, 3/18/16(3) |
|
|
|
|
|
|
600BRL |
|
|
|
|
|
|
|
234 |
|
| Banco Santander Chile 144A 3.875%, 9/20/22(3) |
|
|
|
|
|
|
1,750 |
|
|
|
|
|
|
|
1,724 |
|
| Banco Santander Mexico SA 144A 5.950%, 1/30/24(2)(3)(6) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
1,058 |
|
| Banco Votorantim S.A. 144A 7.375%, 1/21/20(3) |
|
|
|
|
|
|
1,900 |
|
|
|
|
|
|
|
2,103 |
|
| Bancolombia S.A. 5.125%, 9/11/22 |
|
|
|
|
|
|
1,220 |
|
|
|
|
|
|
|
1,224 |
|
| Bank of China Hong Kong Ltd. 144A 5.550%, 2/11/20(3) |
|
|
|
|
|
|
1,500 |
|
|
|
|
|
|
|
1,613 |
|
| Bank of Georgia JSC 144A 7.750%, 7/5/17(3) |
|
|
|
|
|
|
745 |
|
|
|
|
|
|
|
798 |
|
| Braskem Finance Ltd. 144A 5.750%, 4/15/21(3) |
|
|
|
|
|
|
2,200 |
|
|
|
|
|
|
|
2,251 |
|
| Brazil Loan Trust 1 144A 5.477%, 7/24/23(3) |
|
|
|
|
|
|
1,100 |
|
|
|
|
|
|
|
1,144 |
|
| Caixa Economica Federal 144A 7.250%, 7/23/24(2)(3) |
|
|
|
|
|
|
920 |
|
|
|
|
|
|
|
925 |
|
| Carlyle Holdings Finance LLC 144A 3.875%, 2/1/23(3) |
|
|
|
|
|
|
810 |
|
|
|
|
|
|
|
832 |
|
| China Cinda Finance Ltd. 144A 4.000%, 5/14/19(3) |
|
|
|
|
|
|
1,250 |
|
|
|
|
|
|
|
1,255 |
|
| Chubb Corp. (The) 6.375%, 3/29/67(2)(13) |
|
|
|
|
|
|
2,175 |
|
|
|
|
|
|
|
2,384 |
|
| Corp Andina de Fomento 8.125%, 6/4/19 |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
1,232 |
|
| CorpGroup Banking S.A. 144A 6.750%, 3/15/23(3) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
1,004 |
|
| Country Garden Holdings Co., Ltd. 144A 7.250%, 4/4/21(3) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
983 |
|
| Credit Bank of Moscow 144A 7.700%, 2/1/18(3)(7) |
|
|
|
|
|
|
220 |
|
|
|
|
|
|
|
216 |
|
| Development Bank of Kazakhstan OJSC 144A 4.125%,
12/10/22(3) |
|
|
|
|
|
|
845 |
|
|
|
|
|
|
|
799 |
|
3
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Drawbridge Special Opportunities Fund LP 144A 5.000%,
8/1/21(3) |
|
$ |
|
|
|
|
925 |
|
|
$ |
|
|
|
|
916 |
|
| Eurasian Development Bank 144A 4.767%, 9/20/22(3) |
|
|
|
|
|
|
1,600 |
|
|
|
|
|
|
|
1,550 |
|
| Evergrande Real Estate Group Ltd. 144A 8.750%, 10/30/18(3) |
|
|
|
|
|
|
635 |
|
|
|
|
|
|
|
595 |
|
| First Cash Financial Services, Inc. 6.750%, 4/1/21 |
|
|
|
|
|
|
465 |
|
|
|
|
|
|
|
486 |
|
| First Niagara Financial Group, Inc. 7.250%, 12/15/21 |
|
|
|
|
|
|
1,400 |
|
|
|
|
|
|
|
1,615 |
|
| Genworth Holdings, Inc. 4.900%, 8/15/23 |
|
|
|
|
|
|
1,060 |
|
|
|
|
|
|
|
1,093 |
|
| GLP Capital LP (GLP Financing II, Inc.) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, 11/1/18 |
|
|
|
|
|
|
25 |
|
|
|
|
|
|
|
25 |
|
| 4.875%, 11/1/20 |
|
|
|
|
|
|
710 |
|
|
|
|
|
|
|
724 |
|
| 5.375%, 11/1/23 |
|
|
|
|
|
|
20 |
|
|
|
|
|
|
|
20 |
|
| Guanay Finance Ltd. 144A 6.000%, 12/15/20(3) |
|
|
|
|
|
|
950 |
|
|
|
|
|
|
|
1,008 |
|
| Hospitality Properties Trust 4.500%, 3/15/25 |
|
|
|
|
|
|
745 |
|
|
|
|
|
|
|
734 |
|
| HSBC Finance Corp. 6.676%, 1/15/21 |
|
|
|
|
|
|
1,900 |
|
|
|
|
|
|
|
2,228 |
|
| Hutchison Whampoa International Ltd. Series 12, 144A
6.000% (2)(3)(5)(6) |
|
|
|
|
|
|
1,560 |
|
|
|
|
|
|
|
1,675 |
|
| International Lease Finance Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.875%, 4/15/18 |
|
|
|
|
|
|
195 |
|
|
|
|
|
|
|
194 |
|
| 5.875%, 8/15/22 |
|
|
|
|
|
|
2,310 |
|
|
|
|
|
|
|
2,414 |
|
| Itau Unibanco Holding SA RegS 5.650%, 3/19/22(4) |
|
|
|
|
|
|
900 |
|
|
|
|
|
|
|
905 |
|
| Kaisa Group Holdings Ltd. 144A 8.875%, 3/19/18(3) |
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
1,221 |
|
| Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(3) |
|
|
|
|
|
|
800 |
|
|
|
|
|
|
|
866 |
|
| Macquarie Group Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.000%, 1/14/20(3) |
|
|
|
|
|
|
1,100 |
|
|
|
|
|
|
|
1,235 |
|
| 144A 6.250%, 1/14/21(3) |
|
|
|
|
|
|
325 |
|
|
|
|
|
|
|
368 |
|
| Magyar Fejlesztesi Bank Zrt. 144A 6.250%, 10/21/20(3) |
|
|
|
|
|
|
400 |
|
|
|
|
|
|
|
444 |
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 10.090%, 5/3/17(3) |
|
|
|
|
|
|
6,050BRL |
|
|
|
|
|
|
|
2,412 |
|
| Series H, 5.450%, 12/29/49(2) |
|
|
|
|
|
|
120 |
|
|
|
|
|
|
|
119 |
|
| Navient LLC 5.500%, 1/25/23 |
|
|
|
|
|
|
1,515 |
|
|
|
|
|
|
|
1,456 |
|
| Nordea Bank AB 144A 4.250%, 9/21/22(3) |
|
|
|
|
|
|
2,035 |
|
|
|
|
|
|
|
2,093 |
|
| Oversea-Chinese Banking Corp Ltd. 144A 4.250%, 6/19/24(3) |
|
|
|
|
|
|
1,500 |
|
|
|
|
|
|
|
1,498 |
|
| PennantPark Investment Corp. 4.500%, 10/1/19 |
|
|
|
|
|
|
650 |
|
|
|
|
|
|
|
654 |
|
| PKO Finance AB 144A 4.630%, 9/26/22(3)(7) |
|
|
|
|
|
|
1,805 |
|
|
|
|
|
|
|
1,875 |
|
| Progressive Corp. (The) 6.700%, 6/15/37(2) |
|
|
|
|
|
|
2,160 |
|
|
|
|
|
|
|
2,367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Prudential Financial, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, 9/15/42(2) |
|
$ |
|
|
|
|
2,500 |
|
|
$ |
|
|
|
|
2,650 |
|
| 5.625%, 6/15/43(2)(6) |
|
|
|
|
|
|
400 |
|
|
|
|
|
|
|
417 |
|
| Russian Agricultural Bank OJSC (RSHB Capital SA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 5.298%, 12/27/17(3) |
|
|
|
|
|
|
650 |
|
|
|
|
|
|
|
635 |
|
| 144A 5.100%, 7/25/18(3)(7) |
|
|
|
|
|
|
750 |
|
|
|
|
|
|
|
725 |
|
| Severstal OAO Via Steel Capital SA 144A 5.900%, 10/17/22(3)(7) |
|
|
|
|
|
|
2,200 |
|
|
|
|
|
|
|
2,107 |
|
| Teachers Insurance & Annuity Association of America 144A 4.375%,
9/15/54(2)(3) |
|
|
|
|
|
|
640 |
|
|
|
|
|
|
|
645 |
|
| Telecom Italia Capital SA 7.175%, 6/18/19 |
|
|
|
|
|
|
725 |
|
|
|
|
|
|
|
819 |
|
| Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22(3) |
|
|
|
|
|
|
1,095 |
|
|
|
|
|
|
|
1,082 |
|
| Ukreximbank Via Biz Finance plc RegS 8.375%, 4/27/15(4)(7) |
|
|
|
|
|
|
470 |
|
|
|
|
|
|
|
397 |
|
| Vnesheconombank (VEB Finance plc) 144A 6.800%, 11/22/25(3)(7) |
|
|
|
|
|
|
1,400 |
|
|
|
|
|
|
|
1,365 |
|
| VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17(3)(7) |
|
|
|
|
|
|
525 |
|
|
|
|
|
|
|
524 |
|
| Walter Investment Management Corp. 144A 7.875%, 12/15/21(3) |
|
|
|
|
|
|
780 |
|
|
|
|
|
|
|
772 |
|
|
|
|
|
|
|
|
|
87,228 |
|
|
|
|
|
|
| Health Care—0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Catamaran Corp. 4.750%, 3/15/21 |
|
|
|
|
|
|
520 |
|
|
|
|
|
|
|
502 |
|
| Mallinckrodt International Finance S.A. 144A 5.750%, 8/1/22(3) |
|
|
|
|
|
|
365 |
|
|
|
|
|
|
|
369 |
|
| Tenet Healthcare Corp. 144A 5.500%, 3/1/19(3) |
|
|
|
|
|
|
435 |
|
|
|
|
|
|
|
438 |
|
|
|
|
|
|
|
|
|
1,309 |
|
|
|
|
|
|
| Industrials—7.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AAR Corp. 7.250%, 1/15/22 |
|
|
|
|
|
|
710 |
|
|
|
|
|
|
|
767 |
|
| ADT Corp. (The) 6.250%, 10/15/21 |
|
|
|
|
|
|
920 |
|
|
|
|
|
|
|
955 |
|
| Air Canada Pass-Through-Trust, 13-1, B 144A 5.375%,
5/15/21(3) |
|
|
|
|
|
|
360 |
|
|
|
|
|
|
|
369 |
|
| Alfa SAB de CV 144A 5.250%, 3/25/24(3) |
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
1,278 |
|
| America West Airlines Pass-Through-Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 99-1, G 7.930%, 1/2/19 |
|
|
|
|
|
|
747 |
|
|
|
|
|
|
|
831 |
|
| 01-1, G 7.100%, 4/2/21 |
|
|
|
|
|
|
1,507 |
|
|
|
|
|
|
|
1,680 |
|
| American Airlines Pass-Through-Trust 14-1, B 4.375%, 10/1/22 |
|
|
|
|
|
|
1,050 |
|
|
|
|
|
|
|
1,066 |
|
4
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Industrials—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Avianca Holdings SA (Avianca Leasing LLC) 144A 8.375%, 5/10/20(3) |
|
$ |
|
|
|
|
900 |
|
|
$ |
|
|
|
|
965 |
|
| Bombardier, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 4.750%, 4/15/19(3) |
|
|
|
|
|
|
455 |
|
|
|
|
|
|
|
454 |
|
| 144A 6.125%, 1/15/23(3) |
|
|
|
|
|
|
900 |
|
|
|
|
|
|
|
906 |
|
| DP World Ltd. 144A 6.850%, 7/2/37(3) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
1,121 |
|
| ESAL GmbH 144A 6.250%, 2/5/23(3) |
|
|
|
|
|
|
980 |
|
|
|
|
|
|
|
955 |
|
| Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21 |
|
|
|
|
|
|
638 |
|
|
|
|
|
|
|
690 |
|
| Odebrecht Finance Ltd. 144A 8.250%, 4/25/18(3) |
|
|
|
|
|
|
350BRL |
|
|
|
|
|
|
|
129 |
|
| Spirit AeroSystems, Inc. 144A 5.250%, 3/15/22(3) |
|
|
|
|
|
|
220 |
|
|
|
|
|
|
|
221 |
|
| Transnet SOC Ltd. 144A 4.000%, 7/26/22(3) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
941 |
|
| U.S. Airways Pass-Through-Trust 11-1, A 7.125%, 10/22/23 |
|
|
|
|
|
|
846 |
|
|
|
|
|
|
|
982 |
|
| UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22 |
|
|
|
|
|
|
837 |
|
|
|
|
|
|
|
904 |
|
|
|
|
|
|
|
|
|
15,214 |
|
|
|
|
| Information Technology—2.1% |
|
|
|
|
|
|
|
|
|
| Avaya, Inc. 144A 7.000%, 4/1/19(3) |
|
|
|
|
|
|
1,285 |
|
|
|
|
|
|
|
1,257 |
|
| First Data Corp. 11.750%, 8/15/21 |
|
|
|
|
|
|
850 |
|
|
|
|
|
|
|
988 |
|
| Sensata Technologies BV 144A 4.875%, 10/15/23(3) |
|
|
|
|
|
|
970 |
|
|
|
|
|
|
|
941 |
|
| Sungard Availability Services Capital, Inc. 144A 8.750%, 4/1/22(3) |
|
|
|
|
|
|
570 |
|
|
|
|
|
|
|
428 |
|
| VeriSign, Inc. 4.625%, 5/1/23 |
|
|
|
|
|
|
950 |
|
|
|
|
|
|
|
921 |
|
|
|
|
|
|
|
|
|
4,535 |
|
|
|
|
|
|
| Materials—8.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Alpek SA de C.V. 144A 5.375%, 8/8/23(3) |
|
|
|
|
|
|
1,230 |
|
|
|
|
|
|
|
1,273 |
|
| Cascades, Inc. 144A 5.500%, 7/15/22(3) |
|
|
|
|
|
|
710 |
|
|
|
|
|
|
|
691 |
|
| Cemex SAB de CV 144A 9.500%, 6/15/18(3) |
|
|
|
|
|
|
695 |
|
|
|
|
|
|
|
777 |
|
| Corp Nacional del Cobre de Chile 144A 3.750%, 11/4/20(3) |
|
|
|
|
|
|
940 |
|
|
|
|
|
|
|
966 |
|
| Eldorado Gold Corp. 144A 6.125%, 12/15/20(3) |
|
|
|
|
|
|
415 |
|
|
|
|
|
|
|
414 |
|
| EuroChem Mineral & Chemical Co. OJSC 144A 5.125%,
12/12/17(3)(7) |
|
|
|
|
|
|
425 |
|
|
|
|
|
|
|
416 |
|
| Evraz Group S.A. 144A 6.500%, 4/22/20(3) |
|
|
|
|
|
|
775 |
|
|
|
|
|
|
|
712 |
|
| FMG Resources Property Ltd. 144A 8.250%, 11/1/19(3) |
|
|
|
|
|
|
1,050 |
|
|
|
|
|
|
|
1,089 |
|
| Gerdau Holdings, Inc. 144A 7.000%, 1/20/20(3) |
|
|
|
|
|
|
1,040 |
|
|
|
|
|
|
|
1,170 |
|
| Gerdau Trade, Inc. 144A 5.750%, 1/30/21(3) |
|
|
|
|
|
|
600 |
|
|
|
|
|
|
|
619 |
|
| Hexion U.S. Finance Corp. 6.625%, 4/15/20 |
|
|
|
|
|
|
720 |
|
|
|
|
|
|
|
727 |
|
| Inversiones CMPC S.A. 144A 4.375%, 5/15/23(3) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Materials—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24(3) |
|
$ |
|
|
|
|
1,500 |
|
|
$ |
|
|
|
|
1,560 |
|
| Samarco Mineracao SA 144A 5.375%, 9/26/24(3) |
|
|
|
|
|
|
925 |
|
|
|
|
|
|
|
914 |
|
| Sappi Papier Holding GmbH 144A 6.625%, 4/15/21(3) |
|
|
|
|
|
|
1,500 |
|
|
|
|
|
|
|
1,560 |
|
| Tronox Finance LLC 6.375%, 8/15/20 |
|
|
|
|
|
|
805 |
|
|
|
|
|
|
|
813 |
|
| United States Steel Corp. 6.875%, 4/1/21 |
|
|
|
|
|
|
965 |
|
|
|
|
|
|
|
1,033 |
|
| Vale Overseas Ltd. 4.375%, 1/11/22 |
|
|
|
|
|
|
1,315 |
|
|
|
|
|
|
|
1,325 |
|
| Vedanta Resources plc 144A 9.500%, 7/18/18(3) |
|
|
|
|
|
|
1,650 |
|
|
|
|
|
|
|
1,897 |
|
|
|
|
|
|
|
|
|
18,927 |
|
|
|
| Telecommunication Services—4.6% |
|
|
|
|
|
| America Movil SAB de C.V. Series 12 6.450%, 12/5/22 |
|
|
|
|
|
|
8,000MXN |
|
|
|
|
|
|
|
576 |
|
| Axtel SAB de CV 144A 8.000%, 1/31/20(2)(3) |
|
|
|
|
|
|
360 |
|
|
|
|
|
|
|
358 |
|
| Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23(3) |
|
|
|
|
|
|
1,430 |
|
|
|
|
|
|
|
1,511 |
|
| Comcel Trust 144A 6.875%,
2/6/24(3) |
|
|
|
|
|
|
570 |
|
|
|
|
|
|
|
603 |
|
| Digicel Group Ltd. 144A 8.250%, 9/30/20(3) |
|
|
|
|
|
|
1,075 |
|
|
|
|
|
|
|
1,113 |
|
| Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24(3) |
|
|
|
|
|
|
415 |
|
|
|
|
|
|
|
425 |
|
| Koninklijke KPN NV 144A 7.000%, 3/28/73(2)(3)(6) |
|
|
|
|
|
|
955 |
|
|
|
|
|
|
|
990 |
|
| Millicom International Cellular SA 144A 6.625%, 10/15/21(3) |
|
|
|
|
|
|
250 |
|
|
|
|
|
|
|
261 |
|
| Sprint Corp. 144A 7.250%,
9/15/21(3) |
|
|
|
|
|
|
710 |
|
|
|
|
|
|
|
741 |
|
| T-Mobile USA, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6.125%, 1/15/22 |
|
|
|
|
|
|
450 |
|
|
|
|
|
|
|
454 |
|
| 6.836%, 4/28/23 |
|
|
|
|
|
|
290 |
|
|
|
|
|
|
|
299 |
|
| 6.500%, 1/15/24 |
|
|
|
|
|
|
325 |
|
|
|
|
|
|
|
330 |
|
| Vimpel Communications OJSC 144A 7.748%, 2/2/21(3)(7) |
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
1,035 |
|
| Windstream Corp. 7.750%, 10/15/20 |
|
|
|
|
|
|
1,150 |
|
|
|
|
|
|
|
1,216 |
|
|
|
|
|
|
|
|
|
9,912 |
|
|
|
|
|
|
| Utilities—3.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AmeriGas Partners LP 6.750%, 5/20/20 |
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
1,254 |
|
| Calpine Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.000%, 1/15/22(3) |
|
|
|
|
|
|
50 |
|
|
|
|
|
|
|
53 |
|
| 144A 7.875%, 1/15/23(3) |
|
|
|
|
|
|
678 |
|
|
|
|
|
|
|
741 |
|
| Electricite de France SA 144A 5.250% (2)(3)(5)(6) |
|
|
|
|
|
|
1,325 |
|
|
|
|
|
|
|
1,347 |
|
| Enel SpA 144A 8.750%,
9/24/73(2)(3)(6) |
|
|
|
|
|
|
380 |
|
|
|
|
|
|
|
442 |
|
| Israel Electric Corp Ltd. 144A 6.875%, 6/21/23(3) |
|
|
|
|
|
|
725 |
|
|
|
|
|
|
|
826 |
|
| Majapahit Holding BV 144A 7.750%, 1/20/20(3) |
|
|
|
|
|
|
540 |
|
|
|
|
|
|
|
628 |
|
5
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Utilities—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RJS Power Holdings LLC 144A 5.125%, 7/15/19(3) |
|
$ |
|
|
|
|
525 |
|
|
$ |
|
|
|
|
522 |
|
| State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24(3) |
|
|
|
|
|
|
990 |
|
|
|
|
|
|
|
1,015 |
|
|
|
|
|
|
|
|
|
6,828 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS AND NOTES
(Identified Cost $200,659) |
|
|
|
|
|
|
|
200,233 |
|
|
|
| LOAN AGREEMENTS(2)—15.2% |
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary—3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Caesars Entertainment Operating Co., Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tranche B-4, 10.500%, 10/31/16 |
|
|
|
|
|
|
571 |
|
|
|
|
|
|
|
550 |
|
| Tranche B-7, 9.750%, 1/28/18 |
|
|
|
|
|
|
230 |
|
|
|
|
|
|
|
219 |
|
| Caesars Growth Properties Holdings LLC Tranche B, First Lien 6.250%, 5/8/21 |
|
|
|
|
|
|
314 |
|
|
|
|
|
|
|
299 |
|
| CBAC Borrower LLC Tranche B, 8.250%, 7/2/20 |
|
|
|
|
|
|
675 |
|
|
|
|
|
|
|
690 |
|
| Cumulus Media Holdings, Inc. 4.250%, 12/23/20 |
|
|
|
|
|
|
841 |
|
|
|
|
|
|
|
828 |
|
| Granite Broadcasting Corp. Tranche B, First Lien 6.750%, 5/23/18 |
|
|
|
|
|
|
197 |
|
|
|
|
|
|
|
197 |
|
| Landry’s, Inc. Tranche B, 4.000%, 4/24/18 |
|
|
|
|
|
|
1,077 |
|
|
|
|
|
|
|
1,070 |
|
| Marina District Finance Co., Inc. 6.750%, 8/15/18 |
|
|
|
|
|
|
430 |
|
|
|
|
|
|
|
431 |
|
| Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18 |
|
|
|
|
|
|
630 |
|
|
|
|
|
|
|
640 |
|
| Radio One, Inc. Tranche 2011, 7.500%, 3/31/16 |
|
|
|
|
|
|
1,005 |
|
|
|
|
|
|
|
1,022 |
|
| Scientific Games International, Inc. Tranche B-2, 0.000%, 9/17/21(8) |
|
|
|
|
|
|
535 |
|
|
|
|
|
|
|
525 |
|
| Shingle Springs Tribal Gaming Authority 6.250%, 8/29/19 |
|
|
|
|
|
|
472 |
|
|
|
|
|
|
|
484 |
|
| TWCC Holding Corp. Second Lien, 7.000%, 6/26/20 |
|
|
|
|
|
|
881 |
|
|
|
|
|
|
|
866 |
|
|
|
|
|
|
|
|
|
7,821 |
|
| Energy—2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Arch Coal, Inc. 0.000%, 5/16/18(8) |
|
|
|
|
|
|
934 |
|
|
|
|
|
|
|
857 |
|
| Chief Exploration & Development LLC Second Lien 7.500%, 5/16/21 |
|
|
|
|
|
|
682 |
|
|
|
|
|
|
|
683 |
|
| Drillships Ocean Ventures, Inc. 5.500%, 7/25/21 |
|
|
|
|
|
|
479 |
|
|
|
|
|
|
|
466 |
|
| Fieldwood Energy LLC Closing Date Loan, Second Lien, 8.375%, 9/30/20 |
|
|
|
|
|
|
913 |
|
|
|
|
|
|
|
918 |
|
| Jonah Energy LLC Second Lien, 7.500%, 5/12/21 |
|
|
|
|
|
|
456 |
|
|
|
|
|
|
|
453 |
|
| Sabine Oil & Gas LLC Second Lien, 8.750%, 12/31/18 |
|
|
|
|
|
|
825 |
|
|
|
|
|
|
|
826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Energy—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Templar Energy LLC Second Lien, 8.500%, 11/25/20 |
|
$ |
|
|
|
|
915 |
|
|
$ |
|
|
|
|
889 |
|
|
|
|
|
|
|
|
|
5,092 |
|
|
|
|
|
|
| Financials—1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Altisource Solutions S.A.R.L. Tranche B, 4.500%, 12/9/20 |
|
|
|
|
|
|
363 |
|
|
|
|
|
|
|
345 |
|
| Asurion LLC Second Lien, 0.000%, 3/3/21(8) |
|
|
|
|
|
|
810 |
|
|
|
|
|
|
|
821 |
|
| Capital Automotive LP Second Lien, 0.000%, 4/30/20(8) |
|
|
|
|
|
|
454 |
|
|
|
|
|
|
|
461 |
|
| iStar Financial, Inc. Tranche A-2, 7.000%, 3/19/17 |
|
|
|
|
|
|
1,220 |
|
|
|
|
|
|
|
1,254 |
|
|
|
|
|
|
|
|
|
2,881 |
|
|
|
|
|
|
| Health Care—1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ardent Medical Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien, 6.750%, 7/2/18 |
|
|
|
|
|
|
249 |
|
|
|
|
|
|
|
250 |
|
| Second Lien, 11.000%, 1/2/19 |
|
|
|
|
|
|
161 |
|
|
|
|
|
|
|
163 |
|
| Gentiva Health Services, Inc. Tranche B, 6.500%, 10/18/19 |
|
|
|
|
|
|
757 |
|
|
|
|
|
|
|
759 |
|
| InVentiv Health, Inc. Tranche B-4 7.750%, 5/15/18 |
|
|
|
|
|
|
755 |
|
|
|
|
|
|
|
750 |
|
| MMM Holdings, Inc. 9.750%, 12/12/17 |
|
|
|
|
|
|
224 |
|
|
|
|
|
|
|
224 |
|
| MSO of Puerto Rico, Inc. 9.750%, 12/12/17 |
|
|
|
|
|
|
163 |
|
|
|
|
|
|
|
163 |
|
| Regional Care, Inc. (RCHP, Inc.) First Lien, 6.000%, 4/23/19 |
|
|
|
|
|
|
552 |
|
|
|
|
|
|
|
553 |
|
| Surgery Center Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Second Lien, 9.750%, 4/10/20 |
|
|
|
|
|
|
342 |
|
|
|
|
|
|
|
343 |
|
| 0.000%, 7/24/20(8) |
|
|
|
|
|
|
64 |
|
|
|
|
|
|
|
64 |
|
| Second Lien, 0.000%,
7/23/21(8) |
|
|
|
|
|
|
241 |
|
|
|
|
|
|
|
238 |
|
|
|
|
|
|
|
|
|
3,507 |
|
|
|
|
|
|
| Industrials—2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brock Holdings Ill, Inc. First Lien, 6.000%, 3/16/17 |
|
|
|
|
|
|
613 |
|
|
|
|
|
|
|
601 |
|
| Commercial Barge Line Co. First Lien, 7.500%, 9/22/19 |
|
|
|
|
|
|
793 |
|
|
|
|
|
|
|
798 |
|
| DynCorp International, Inc. 0.000%, 7/7/16(8) |
|
|
|
|
|
|
625 |
|
|
|
|
|
|
|
622 |
|
| Filtration Group Corp. Second Lien, 8.250%, 11/22/21 |
|
|
|
|
|
|
785 |
|
|
|
|
|
|
|
788 |
|
| Harland Clarke Holdings Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tranche B-3, 7.000%, 5/22/18 |
|
|
|
|
|
|
517 |
|
|
|
|
|
|
|
523 |
|
| Tranche B-4, 6.000%, 8/4/19 |
|
|
|
|
|
|
148 |
|
|
|
|
|
|
|
149 |
|
| Husky Injection Molding Systems Ltd. (Yukon Acquisition, Inc.) 4.250%, 6/30/21 |
|
|
|
|
|
|
1,026 |
|
|
|
|
|
|
|
1,013 |
|
| Navistar, Inc. Tranche B, 5.750%, 8/17/17 |
|
|
|
|
|
|
507 |
|
|
|
|
|
|
|
510 |
|
|
|
|
|
|
|
|
|
5,004 |
|
6
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
PAR VALUE |
|
|
|
|
|
VALUE |
|
|
|
|
| Information Technology—3.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Applied Systems, Inc. Second Lien, 7.500%, 1/24/22 |
|
$ |
|
|
|
|
48 |
|
|
$ |
|
|
|
|
48 |
|
| Attachmate Group, Inc. (The) First Lien, 7.250%, 11/22/17 |
|
|
|
|
|
|
480 |
|
|
|
|
|
|
|
481 |
|
| Blue Coat Systems, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 5/31/19 |
|
|
|
|
|
|
467 |
|
|
|
|
|
|
|
459 |
|
| Second Lien, 9.500%, 6/26/20 |
|
|
|
|
|
|
585 |
|
|
|
|
|
|
|
585 |
|
| Deltek, Inc. Second Lien, 0.000%, 10/10/19 |
|
|
|
|
|
|
1,087 |
|
|
|
|
|
|
|
1,104 |
|
| Excelitas Technologies Corp. Tranche B, 6.000%, 11/2/20 |
|
|
|
|
|
|
572 |
|
|
|
|
|
|
|
573 |
|
| First Data Corp. 3.655%, 3/23/18 |
|
|
|
|
|
|
1,125 |
|
|
|
|
|
|
|
1,105 |
|
| Kronos, Inc. Second Lien, 9.750%, 4/30/20 |
|
|
|
|
|
|
959 |
|
|
|
|
|
|
|
991 |
|
| Mitchell International, Inc. Second Lien, 8.500%, 10/11/21 |
|
|
|
|
|
|
300 |
|
|
|
|
|
|
|
301 |
|
| RP Crown Parent LLC Second Lien, 11.250%, 12/21/19 |
|
|
|
|
|
|
872 |
|
|
|
|
|
|
|
833 |
|
| Wall Street Systems, Inc. 4.500%, 4/30/21 |
|
|
|
|
|
|
251 |
|
|
|
|
|
|
|
249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials—0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 12.250%, 11/15/14 |
|
|
|
|
|
|
1,297 |
|
|
|
|
|
|
|
1,301 |
|
| Fortescue Metals Group (FMG) Resources Property Ltd. 3.750%, 6/30/19 |
|
|
|
|
|
|
464 |
|
|
|
|
|
|
|
455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities—0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ExGen Renewables I LLC 5.250%, 2/6/21 |
|
|
|
|
|
|
188 |
|
|
|
|
|
|
|
190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LOAN AGREEMENTS
(Identified Cost $33,147) |
|
|
|
|
|
|
|
32,980 |
|
| |
|
|
|
|
SHARES |
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS—3.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PTT Exploration & Production PCL, 144A, 4.875%(2)(3) |
|
|
|
|
|
|
1,100(10) |
|
|
|
|
|
|
|
1,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials—2.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Citigroup, Inc. Series J, 7.125% |
|
|
|
|
|
|
30,800 |
|
|
|
|
|
|
|
823 |
|
| General Electric Capital Corp. Series B, 6.250%(2) |
|
|
|
|
|
|
500(10) |
|
|
|
|
|
|
|
539 |
|
| General Electric Capital Corp. Series C, 5.250%(2) |
|
|
|
|
|
|
600(10) |
|
|
|
|
|
|
|
601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
|
VALUE |
|
|
|
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs Group, Inc. (The) Series L, 5.700%(2) |
|
|
|
|
210(10) |
|
|
$ |
|
|
|
|
213 |
|
| JPMorgan Chase & Co., Series Q, 5.150%(2) |
|
|
|
|
960(10) |
|
|
|
|
|
|
|
914 |
|
| PNC Financial Services Group, Inc. (The) Series R, 4.850%(2) |
|
|
|
|
890(10) |
|
|
|
|
|
|
|
843 |
|
| Wells Fargo & Co. Series K, 7.980%(2) |
|
|
|
|
840(10) |
|
|
|
|
|
|
|
919 |
|
| Zions Bancorp, 6.950% |
|
|
|
|
47,150 |
|
|
|
|
|
|
|
1,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,108 |
|
|
TOTAL PREFERRED STOCKS
(Identified Cost $7,238) |
|
|
|
|
|
|
|
7,219 |
|
|
|
|
| PURCHASED OPTIONS—0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Call Options—0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/3/14 strike price $2,100(11) |
|
|
|
|
1,012 |
|
|
|
|
|
|
|
0 |
|
| S&P 500® Index Fund expiration 10/3/14 strike price $2,100(11) |
|
|
|
|
931 |
|
|
|
|
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put Options—0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/3/14 strike price $1,825(11) |
|
|
|
|
931 |
|
|
|
|
|
|
|
98 |
|
| S&P 500® Index Fund expiration 10/3/14 strike price $1,895(11) |
|
|
|
|
1,012 |
|
|
|
|
|
|
|
76 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
174 |
|
|
TOTAL PURCHASED OPTIONS —0.1%
(Premiums Received $326) |
|
|
|
|
|
|
|
183 |
|
|
TOTAL LONG TERM INVESTMENTS—136.0%
(Identified Cost $298,264) |
|
|
|
|
|
|
|
295,176(12) |
|
|
|
|
| TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS — 136.0%
(Identified Cost $298,264) |
|
|
|
|
|
|
|
295,176(1) |
|
|
|
|
| WRITTEN OPTIONS—(0.4)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Call Options—0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/10/14 strike price $2,050(11) |
|
|
|
|
931 |
|
|
|
|
|
|
|
(23) |
|
| S&P 500® Index Fund expiration 10/3/14 strike price $2,060(11) |
|
|
|
|
1,012 |
|
|
|
|
|
|
|
(5) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(28) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE |
|
| Put Options—(0.4)% |
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/10/14 strike price $1,890(11) |
|
|
931 |
|
|
$ |
(391) |
|
| S&P 500® Index Fund expiration 10/3/14 strike price $1,955(11) |
|
|
1,012 |
|
|
|
(537) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(928) |
|
| |
|
| TOTAL WRITTEN
OPTIONS—(0.4)% (Premiums Received $845)
|
|
|
|
|
|
|
(956)(1) |
|
| |
|
|
|
|
| TOTAL INVESTMENTS NET OF WRITTEN OPTIONS — 135.6%
(Identified Cost $297,419) |
|
|
|
|
|
|
294,220(1) |
|
|
|
|
| Other assets and liabilities, net—(36.0)% |
|
|
|
|
|
|
(78,137) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS—100.0% |
|
|
$ |
|
|
|
217,039 |
|
|
|
|
|
|
|
|
|
|
Abbreviations:
| GDN |
Global Depository Notes |
| PIK |
Payment-in-Kind Security |
Footnote Legend:
| (1) |
Federal Income Tax Information: For tax information at September 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments. |
| (2) |
Variable or step coupon security; interest rate shown reflects the rate in effect at September 30, 2014. |
| (3) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30,
2014, these securities amounted to a value of $150,149 or 69.2% of net assets. |
| (4) |
Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. |
| (5) |
No contractual maturity date. |
| (6) |
Interest payments may be deferred. |
| (7) |
This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the
borrower. |
| (8) |
This loan will settle after September 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.
|
| (9) |
Principal amount is adjusted according to local inflation Index. |
| (10) |
Value shown as par value. |
| (11) |
Non-income producing. |
| (12) |
All or a portion of the security is segregated as collateral for the borrowings. |
| (13) |
All or a portion of the security is segregated as collateral for written options. |
| (14) |
Security in default. |
Foreign Currencies:
8
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2014
(Unaudited)
($ reported in thousands)
|
|
|
|
|
| Country Weightings † |
|
|
|
| United States |
|
|
42% |
|
| Brazil |
|
|
6 |
|
| Mexico |
|
|
5 |
|
| Cayman Islands |
|
|
3 |
|
| Chile |
|
|
3 |
|
| Luxembourg |
|
|
3 |
|
| Venezuela |
|
|
3 |
|
| Other |
|
|
35 |
|
| Total |
|
|
100% |
|
† % of total investments net of written options
as of September 30, 2014
9
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2014
(See Security Valuation Note 1A in the Notes to Schedules of Investments):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Total Value
at
September 30,
2014 |
|
|
Level 1
Quoted
Prices |
|
|
Level 2
Significant
Observable
Inputs |
|
|
|
| Debt Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
7,532 |
|
|
$ |
— |
|
|
$ |
7,532 |
|
|
| Corporate Bonds |
|
|
200,233 |
|
|
|
— |
|
|
|
200,233 |
|
|
| Foreign Government Securities |
|
|
36,259 |
|
|
|
— |
|
|
|
36,259 |
|
|
| Loan Agreements |
|
|
32,980 |
|
|
|
— |
|
|
|
32,980 |
|
|
| Mortgage-Backed Securities |
|
|
8,536 |
|
|
|
— |
|
|
|
8,536 |
|
|
| Municipal Bonds |
|
|
2,234 |
|
|
|
— |
|
|
|
2,234 |
|
|
| Equity Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Preferred Stock |
|
|
7,219 |
|
|
|
2,079 |
|
|
|
5,140 |
|
|
| Purchased Options |
|
|
183 |
|
|
|
183 |
|
|
|
— |
|
|
| Total Investments before Written Options |
|
$ |
295,176 |
|
|
$ |
2,262 |
|
|
$ |
292,914 |
|
|
| Written Options |
|
$ |
(956) |
|
|
$ |
(956) |
|
|
$ |
— |
|
|
| Total Investments Net of Written Options |
|
$ |
294,220 |
|
|
$ |
1,306 |
|
|
$ |
292,914 |
|
|
There are no Level 3 (significant unobservable inputs) priced securities.
There were no transfers between Level 1 and Level 2 for the period.
The
following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
|
|
|
|
|
|
|
| |
|
Asset-
Backed
Securities |
|
|
|
| Beginning Balance December 31, 2013: |
|
$ |
474 |
|
|
|
|
|
|
| Accrued Discount/(Premium) |
|
|
- |
|
|
(c) |
|
|
|
| Realized Gain (Loss) |
|
|
9 |
|
|
|
|
|
|
| Change in Unrealized Appreciation (Depreciation) |
|
|
2 |
|
|
|
| Purchases |
|
|
(485) |
|
|
|
| (Sales)(b) |
|
|
- |
|
|
|
| Transfers Into Level 3 (a) |
|
|
- |
|
|
|
| Transfers from Level 3 (a) |
|
|
- |
|
|
|
|
|
|
|
| Ending Balance September 30, 2014 |
|
$
|
-
|
|
|
|
|
|
|
|
(a) “Transfers into and/or from” represent the ending value as of September 30, 2014, for any investment security where a
change in the pricing level occurred from the beginning to the end of the period.
(b) Includes paydowns
on securities.
(c) Amount is less than $500.
VIRTUS GLOBAL MULTI-SECTOR FIXED INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2014 (Unaudited)
NOTE 1— SIGNIFICANT ACCOUNTING POLICIES
The following
is a summary of significant accounting policies followed by the Fund in the preparation of its Schedule of Investments in conformity with accounting principals generally accepted in the United States of America 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 Schedule of Investments. Actual results could differ from those estimates and those differences could
be significant.
A. SECURITY VALUATION
Security valuation procedures for the Fund, which include, nightly price variance, as well as back-testing such as bi-weekly unchanged price, monthly
secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board” or the “Trustees”). All internally fair valued securities are approved by a valuation committee (the “Valuation
Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified by 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 any model inputs and any changes to the model. Fair valuations are ratified by the Board at least
quarterly.
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three
broad levels.
| |
• |
|
Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
| |
• |
|
Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
| |
• |
|
Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring
basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are
primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are 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 the Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”) generally
4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases the Fund fair values non- U.S. securities using an independent pricing service which considers the correlation of the trading patterns of
the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes as well as
VIRTUS GLOBAL MULTI-SECTOR FIXED INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014
(Unaudited)
prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S.
common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received
from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable
quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured Debt Instruments such as mortgage-backed
and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore
indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are 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 (“OTC”) 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 mutual 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.
Short-term notes having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market and are generally categorized as
Level 2 in the hierarchy.
A summary of the inputs used to value the Fund’s major categories of assets and liabilities, which primarily include
investments of the Fund, by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
NOTE 2—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 noted as such in each Series’ Schedule of Investments, where applicable.
Restricted securities are not registered under the
Securities Act of 1933 as amended. Generally 144A, securities are excluded from this category, except where defined as illiquid.
At
September 30, 2014 the Fund did not hold any illiquid and restricted securities.
Other information regarding the
Fund is available in the Fund’s most recent Report to Shareholders
VIRTUS GLOBAL MULTI-SECTOR FIXED INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2014
(Unaudited)
NOTE 3— FEDERAL INCOME TAX INFORMATION
($ reported in thousands)
At September 30, 2014, federal
tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:
|
|
|
|
|
|
|
| |
|
|
|
|
|
Net |
| Federal |
|
Unrealized |
|
Unrealized |
|
Appreciation |
| Tax Cost |
|
Appreciation |
|
(Depreciation) |
|
(Depreciation) |
| Investments $298,269 |
|
$ 6,528 |
|
$(9,621) |
|
$(3,093) |
| Written
Options (845) |
|
56 |
|
(167) |
|
(111) |
NOTE 4— SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the Schedule of Investments was available for issuance, and
has determined that there are no subsequent events requiring recognition or disclosure in the Notes to Schedule of Investments.
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders
Item 2. 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 the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 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 last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
Certifications
pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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 Global Multi-Sector Income Fund |
|
|
|
|
|
|
|
|
|
|
| By (Signature and Title)* |
|
/s/ George R.
Aylward |
|
|
|
|
George R. Aylward, President |
|
|
|
|
(principal executive officer) |
|
|
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) |
|
|
|
|
|
|
|
|
|
|
| By (Signature and Title)* |
|
/s/ W. Patrick Bradley |
|
|
|
|
|
|
|
|
|
W. Patrick Bradley, Senior Vice President, Chief
Financial Officer, and Treasurer |
|
|
|
|
(principal financial officer) |
|
|
* Print the name and title of each signing officer under
his or her signature.