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, 2015
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, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
| U.S. GOVERNMENT SECURITIES—1.7% |
|
|
|
|
|
|
| U.S. Treasury Bond 3.000%, 11/15/44
|
|
$ 430 |
|
$ 439 |
|
|
| U.S. Treasury Note |
|
|
|
|
|
|
|
|
|
|
| 1.500%, 5/31/20 |
|
425 |
|
429 |
|
|
|
|
|
|
| 2.250%, 11/15/24 |
|
2,220 |
|
2,262 |
|
|
| |
|
|
|
| TOTAL U.S. GOVERNMENT SECURITIES
(Identified Cost $3,130) |
|
|
|
3,130
|
|
|
|
|
|
|
| MUNICIPAL BONDS—1.2% |
|
|
|
|
|
|
|
|
|
|
| California—0.8%
|
|
|
|
|
|
|
|
|
|
|
| San Diego Tobacco Settlement Revenue Funding
Corp. Bond Taxable 7.125%, 6/1/32
|
|
629 |
|
643 |
|
|
|
|
|
|
| State of California Build America Bond Taxable
7.500%, 4/1/34
|
|
570 |
|
799 |
|
|
|
|
|
|
|
|
|
|
|
1,442 |
|
|
|
|
|
|
|
|
|
|
|
| Illinois—0.4%
|
|
|
|
|
|
|
|
|
|
|
| State of Illinois Build America Bond Taxable
6.900%, 3/1/35 |
|
700 |
|
716 |
|
|
|
|
|
|
|
| |
|
|
|
| TOTAL MUNICIPAL BONDS
(Identified Cost $1,985) |
|
|
|
2,158
|
|
|
|
|
| FOREIGN GOVERNMENT SECURITIES—11.2% |
|
|
|
|
|
|
| Argentine Republic Series NY,
8.280%,
12/31/33(12) |
|
1,269 |
|
1,297 |
|
|
| Bermuda RegS 4.854%, 2/6/24(4)
|
|
700 |
|
731 |
|
|
| Bolivarian Republic of Venezuela
|
|
|
|
|
|
|
| RegS 5.750%, 2/26/16(4)
|
|
290 |
|
245 |
|
|
| RegS 8.250%, 10/13/24(4)
|
|
570 |
|
194 |
|
|
| 7.650%, 4/21/25 |
|
1,845 |
|
618 |
|
|
| Dominican Republic 144A 6.850%, 1/27/45(3)
|
|
800 |
|
770 |
|
|
| Islamic Republic of Pakistan 144A
8.250%,
9/30/25(3) |
|
600 |
|
614 |
|
|
| Mongolia 144A 4.125%, 1/5/18(3)
|
|
570 |
|
529 |
|
|
| Republic of Armenia 144A 7.150%, 3/26/25(3)
|
|
700 |
|
660 |
|
|
| Republic of Azerbaijan 144A 4.750%, 3/18/24(3)
|
|
800 |
|
748 |
|
|
| Republic of Chile 5.500%, 8/5/20
|
|
547,000CLP |
|
813 |
|
|
| Republic of Colombia Treasury Note, Series B,
11.250%, 10/24/18
|
|
998,500COP |
|
364 |
|
|
| Republic of Costa Rica |
|
|
|
|
|
|
| 144A 7.000%, 4/4/44(3)
|
|
800 |
|
709 |
|
|
| RegS 7.000%, 4/4/44(4)
|
|
1,000 |
|
886 |
|
|
|
|
|
|
| Republic of Cote d’Ivoire 144A 6.375%,
3/3/28(3) |
|
840 |
|
745 |
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
| Republic of Croatia RegS 6.000%, 1/26/24(4)
|
|
$ 500 |
|
$ 527 |
|
|
| Republic of El Salvador 144A 6.375%, 1/18/27(3)
|
|
1,320 |
|
1,165 |
|
|
| Republic of Indonesia Series FR63, 5.625%,
5/15/23
|
|
7,482,000IDR |
|
399 |
|
|
| Republic of Iraq RegS 5.800%, 1/15/28(4)
|
|
890 |
|
617 |
|
|
| Republic of Panama 3.750%, 3/16/25
|
|
1,020 |
|
987 |
|
|
| Republic of Peru 4.125%, 8/25/27
|
|
670 |
|
660 |
|
|
| Republic of Romania |
|
|
|
|
|
|
| RegS 4.875%, 1/22/24 |
|
650 |
|
701 |
|
|
| 144A 4.875%, 1/22/24(3)
|
|
390 |
|
421 |
|
|
| Republic of South Africa Series R203, 8.250%, 9/15/17
|
|
8,060ZAR |
|
592 |
|
|
| Republic of Uruguay |
|
|
|
|
|
|
| 4.500%, 8/14/24 |
|
650 |
|
656 |
|
|
| 5.100%, 6/18/50 |
|
500 |
|
439 |
|
|
| Russian Federation |
|
|
|
|
|
|
| 144A 7.850%, 3/10/18(3)
|
|
55,000RUB |
|
785 |
|
|
| 144A 4.875%, 9/16/23(3)
|
|
2,000 |
|
2,017 |
|
|
|
|
|
|
| United Mexican States Series M, 6.500%, 6/9/22
|
|
16,625MXN |
|
1,020 |
|
|
| |
|
|
|
| TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $25,233)
|
|
|
|
20,909
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES—12.3% |
|
|
|
|
|
|
| Agency—4.2% |
|
|
|
|
|
|
| FNMA |
|
|
|
|
|
|
| 3.500%, 11/1/42 |
|
770 |
|
805 |
|
|
| 3.500%, 1/1/45 |
|
1,519 |
|
1,586 |
|
|
| 3.500%, 8/1/45 |
|
2,726 |
|
2,848 |
|
|
|
|
|
|
| 3.500%, 9/1/45 |
|
2,478 |
|
2,588 |
|
|
|
|
|
|
|
|
|
|
|
7,827 |
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency—8.1%
|
|
|
|
|
|
|
| American Homes 4 Rent 14-SFR2, C 144A
4.705%,
10/17/36(3) |
|
770 |
|
785 |
|
|
| Ameriquest Mortgage Securities, Inc. 03-AR3, M4
6.04%, 6/25/33(2) |
|
475 |
|
460 |
|
|
| Aventura Mall Trust 13-AVM, C 144A
3.867%,
12/5/32(2)(3) |
|
448 |
|
466 |
|
|
| Banc of America Alternative Loan Trust 03-2, CB3
5.750%, 4/25/33 |
|
551 |
|
571 |
|
|
| CIT Group Home Equity Loan Trust 03-1, A5
4.980%, 7/20/34(2) |
|
1,450 |
|
1,462 |
|
|
|
|
|
|
| Credit Suisse Commercial Mortgage Trust 07 - C5,
A1AM 5.870%, 9/15/40(2) |
|
490 |
|
498 |
|
|
1
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in thousands)
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
|
| Non-Agency—(continued)
|
|
|
|
|
| Deutsche Bank-UBS Mortgage Trust 11-LC3A, D
144A 5.583%,
8/10/44(2)(3) |
|
$ 660 |
|
$ 705 |
| GAHR Commercial Mortgage Trust 15-NRF, CFX
144A 3.495%, 12/15/19(2)(3) |
|
525 |
|
523 |
| GSAA Home Equity Trust 05-12, AF3W
4.999%,
9/25/35(2) |
|
472 |
|
485 |
| Hilton USA Trust 13-HLT, EFX 144A
4.602%,
11/5/30(2)(3) |
|
320 |
|
323 |
| Home Equity Loan Trust 07-HSA3, AI4
6.110%,
6/25/37(2) |
|
1,131 |
|
1,145 |
| JPMorgan Chase (Bear Stearns) Commercial
Mortgage Securities, Inc.
|
|
|
|
|
| 05-PW10, AM 5.449%, 12/11/40(2)
|
|
1,000 |
|
1,003 |
| 07- PW15, AM 5.363%, 2/11/44
|
|
510 |
|
524 |
| 07-PW18, AM 6.084%, 6/11/50(2)
|
|
1,400 |
|
1,510 |
| JPMorgan Chase Commercial Mortgage
Securities Trust 07-LDP10, AM 5.464%,
1/15/49(2) |
|
1,084 |
|
1,114 |
| MASTR Alternative Loan Trust 04-6, 7A1 6.000%,
7/25/34
|
|
991 |
|
1,008 |
| Morgan Stanley Bank of America (Merrill Lynch)
Trust 15-C22, AS 3.561%, 4/15/48
|
|
1,153 |
|
1,162 |
| Residential Asset Mortgage Trust 04-RZ1, M1
4.820%, 3/25/34(2) |
|
772 |
|
786 |
| Wells Fargo (Wachovia Bank) Commercial
Mortgage Trust 15-LC20, B 3.719%, 4/15/50 |
|
690 |
|
670 |
|
|
|
|
|
|
|
|
|
15,200 |
| |
| TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $22,865) |
|
|
|
23,027 |
| |
|
|
|
| ASSET-BACKED SECURITIES—2.9%
|
|
|
|
|
| CarFinance Capital Auto Trust 14-1A, D 144A
4.900%, 4/15/20(3) |
|
1,750 |
|
1,763 |
| Cheesecake Restaurant Holdings, Inc. 13-1A, A2
144A 4.474%, 3/20/43(3) |
|
794 |
|
823 |
| DB Master Finance LLC 15-A1, A2II 144A
3.980%,
2/20/45(3) |
|
289 |
|
291 |
| Domino’s Pizza Master Issuer LLC 12-1A, A2
144A 5.216%, 1/25/42(3) |
|
454 |
|
468 |
| Fairway Outdoor Funding LLC 12-1A, A2 144A
4.212%, 10/15/42(3) |
|
441 |
|
445 |
| Greater Capital Association of Realtors 15-1A, C
9.790%, 10/15/25
|
|
420 |
|
419 |
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
|
| LEAF Receivables Funding 10 LLC 15-1, E2 144A
6.000%, 6/15/23(3) |
|
$ 425 |
|
$ 410 |
| Wendy’s Funding LLC 15-1A, A2II 144A 4.080%,
6/15/45(3) |
|
850 |
|
858 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Identified Cost $5,461) |
|
|
|
5,477 |
| |
|
|
|
| CORPORATE BONDS AND NOTES—88.3%
|
|
|
|
|
|
|
|
| Consumer Discretionary—7.7%
|
|
|
|
|
| Argos Merger Sub, Inc. 144A 7.125%, 3/15/23(3)
|
|
595 |
|
603 |
| Boyd Gaming Corp. |
|
|
|
|
| 9.000%, 7/1/20 |
|
325 |
|
347 |
| 6.875%, 5/15/23 |
|
320 |
|
326 |
| Brookfield Residential Properties, Inc.
|
|
|
|
|
| 144A 6.500%, 12/15/20(3)
|
|
645 |
|
640 |
| 144A 6.125%, 7/1/22(3)
|
|
215 |
|
206 |
| Caesars Entertainment Operating Co., Inc.
9.000%,
2/15/20(12) |
|
750 |
|
619 |
| Caesars Entertainment Resort Properties LLC
8.000%, 10/1/20
|
|
700 |
|
668 |
| Caesars Growth Properties Holdings LLC
(Caesars Growth Properties Finance, Inc.)
9.375%,
5/1/22 |
|
540 |
|
425 |
| CCO Holdings LLC 5.250%, 9/30/22
|
|
452 |
|
425 |
| CCO Safari II LLC 144A 4.908%, 7/23/25(3)
|
|
205 |
|
204 |
| Fiat Chrysler Automobiles NV 5.250%, 4/15/23
|
|
600 |
|
562 |
| Grupo Televisa SAB 7.250%, 5/14/43
|
|
8,000MXN |
|
400 |
| iHeartCommunications, Inc. 10.000%, 1/15/18
|
|
395 |
|
211 |
| International Game Technology plc 144A
6.250%,
2/15/22(3) |
|
400 |
|
374 |
| Landry’s, Inc. 144A 9.375%, 5/1/20(3)
|
|
285 |
|
305 |
| MDC Holdings, Inc. 5.500%, 1/15/24
|
|
655 |
|
665 |
| MGM Resorts International 6.000%, 3/15/23
|
|
730 |
|
710 |
| Mohegan Tribal Gaming Authority 144A
9.750%,
9/1/21(3) |
|
235 |
|
240 |
| MPG Holdco I, Inc. 7.375%, 10/15/22
|
|
100 |
|
105 |
| Myriad International Holdings BV 144A
5.500%,
7/21/25(3) |
|
1,035 |
|
1,015 |
| New York University 4.142%, 7/1/48
|
|
420 |
|
402 |
| Numericable Group SA 144A 6.000%, 5/15/22(3)
|
|
340 |
|
329 |
| Omega US Sub LLC 144A 8.750%, 7/15/23(3)
|
|
415 |
|
369 |
| Penn National Gaming, Inc. 5.875%, 11/1/21 |
|
395 |
|
400 |
| QVC, Inc. 5.125%, 7/2/22 |
|
690 |
|
710 |
2
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
|
| Consumer Discretionary—(continued)
|
|
|
|
|
| Scientific Games International, Inc. 144A
7.000%,
1/1/22(3) |
|
$ 465 |
|
$ 462 |
| Tempur Sealy International, Inc. 144A
5.625%,
10/15/23(3) |
|
275 |
|
276 |
| Toll Brothers Finance Corp. 6.750%, 11/1/19
|
|
615 |
|
701 |
| TRI Pointe Holdings, Inc. 5.875%, 6/15/24
|
|
830 |
|
818 |
| UPCB Finance IV Ltd. 144A 5.375%, 1/15/25(3)
|
|
375 |
|
354 |
| VTR Finance B.V. 144A 6.875%, 1/15/24(3) |
|
555 |
|
505 |
|
|
|
|
|
|
|
|
|
14,376 |
|
|
|
|
|
|
|
|
| Consumer Staples—0.7%
|
|
|
|
|
| Pilgrim’s Pride Corp. 144A 5.750%,
3/15/25(3) |
|
270 |
|
266 |
| Rite Aid Corp. 144A 6.125%, 4/1/23(3)
|
|
195 |
|
194 |
| Tops Holding LLC (Tops Markets II Corp.) 144A
8.000%, 6/15/22(3) |
|
795 |
|
799 |
|
|
|
|
|
|
|
|
|
1,259 |
|
|
|
|
|
|
|
|
| Energy—18.8% |
|
|
|
|
| Afren plc |
|
|
|
|
| 144A 10.250%, 4/8/19(3)(12)
|
|
651 |
|
10 |
| 144A 6.625%, 12/9/20(3)(12)
|
|
750 |
|
11 |
| Blue Racer Midstream LLC ( Blue Racer Finance
Corp.) 144A 6.125%, 11/15/22(3) |
|
235 |
|
224 |
| CNOOC Finance USA LLC 3.500%, 5/5/25
|
|
1,000 |
|
952 |
| Denbury Resources, Inc. 5.500%, 5/1/22
|
|
385 |
|
230 |
| Dolphin Energy Ltd. 144A 5.500%,
12/15/21(3)(11) |
|
2,000 |
|
2,257 |
| Ecopetrol SA |
|
|
|
|
| 4.125%, 1/16/25 |
|
865 |
|
729 |
| 5.375%, 6/26/26 |
|
280 |
|
244 |
| Empresa Nacional del Petroleo 144A
4.375%,
10/30/24(3) |
|
900 |
|
876 |
| EnQuest plc 144A 7.000%, 4/15/22(3)
|
|
930 |
|
581 |
| Fermaca Enterprises S de RL de CV 144A
6.375%,
3/30/38(3) |
|
1,371 |
|
1,296 |
| FTS International, Inc. 6.250%, 5/1/22
|
|
620 |
|
195 |
| Gazprom OAO (Gaz Capital SA)
|
|
|
|
|
| 144A 6.000%, 11/27/23(3)(7)
|
|
335 |
|
311 |
| 144A 4.950%, 2/6/28(3)(7)
|
|
1,300 |
|
1,084 |
| Gulfmark Offshore, Inc. 6.375%, 3/15/22
|
|
1,700 |
|
1,024 |
| Helmerich & Payne International Drilling Co.
4.650%, 3/15/25
|
|
405 |
|
403 |
| Hercules Offshore, Inc. 144A 10.250%,
4/1/19(3)(12) |
|
625 |
|
131 |
| KazMunayGas National Co. JSC |
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
|
| Energy—(continued)
|
|
|
|
|
| 144A 4.400%, 4/30/23(3)
|
|
$ 1,275 |
|
$ 1,076 |
| 144A 5.750%, 4/30/43(3)
|
|
300 |
|
218 |
| Kinder Morgan, Inc. 7.750%, 1/15/32
|
|
795 |
|
836 |
| Kunlun Energy Co., Ltd. 144A 3.750%, 5/13/25(3)
|
|
700 |
|
673 |
| Laredo Petroleum, Inc. 6.250%, 3/15/23
|
|
210 |
|
192 |
| Lukoil OAO International Finance BV
|
|
|
|
|
| 144A 6.125%, 11/9/20(3)(7)
|
|
1,100 |
|
1,107 |
| 144A 4.563%, 4/24/23(3)
|
|
800 |
|
710 |
| MarkWest Energy Partners LP (MarkWest Energy
Finance Corp.) 4.875%, 12/1/24
|
|
1,025 |
|
943 |
| Midcontinent Express Pipeline LLC 144A
6.700%,
9/15/19(3)(11) |
|
2,000 |
|
1,960 |
| Newfield Exploration Co. 5.625%, 7/1/24
|
|
1,200 |
|
1,140 |
| NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19
|
|
520 |
|
476 |
| Odebrecht Offshore Drilling Finance Ltd. 144A
6.750%, 10/1/22(3) |
|
1,386 |
|
365 |
| Pacific Exploration and Production Corp. 144A
5.375%, 1/26/19(3) |
|
690 |
|
264 |
| Parker Drilling Co. 6.750%, 7/15/22
|
|
350 |
|
275 |
| Pertamina Persero PT |
|
|
|
|
| 144A 4.300%, 5/20/23(3)
|
|
1,200 |
|
1,099 |
| 144A 6.000%, 5/3/42(3)
|
|
1,200 |
|
998 |
| Petrobras Global Finance BV
|
|
|
|
|
| 3.000%, 1/15/19 |
|
605 |
|
437 |
| 6.750%, 1/27/41 |
|
2,500 |
|
1,600 |
| Petroleos de Venezuela SA
|
|
|
|
|
| RegS 8.500%, 11/2/17(4)
|
|
1,960 |
|
1,318 |
| 144A 6.000%, 5/16/24(3)
|
|
2,120 |
|
688 |
| RegS 6.000%, 11/15/26(4)
|
|
1,270 |
|
410 |
| Petroleos Mexicanos 6.375%, 1/23/45
|
|
1,500 |
|
1,348 |
| QEP Resources, Inc. 6.875%, 3/1/21
|
|
850 |
|
786 |
| QGOG Constellation SA 144A 6.250%, 11/9/19(3)
|
|
955 |
|
425 |
| Sabine Pass Liquefaction LLC 5.625%, 2/1/21
|
|
675 |
|
629 |
| SM Energy Co. 6.125%, 11/15/22
|
|
1,050 |
|
978 |
| Sunoco LP (Sunoco Finance Corp.) 144A
6.375%,
4/1/23(3) |
|
1,015 |
|
997 |
| Transocean, Inc. 4.300%, 10/15/22
|
|
1,005 |
|
621 |
| Transportadora de Gas del Peru SA 144A
4.250%,
4/30/28(3) |
|
1,350 |
|
1,264 |
| Whiting Petroleum Corp. 6.250%, 4/1/23 |
|
835 |
|
726 |
|
|
|
|
|
|
|
|
|
35,117 |
|
|
|
|
|
3
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
|
|
| Financials—32.0% |
|
|
|
|
|
|
| Africa Finance Corp. 144A 4.375%,
4/29/20(3) |
|
$ 800 |
|
$ |
804 |
|
| Akbank TAS 144A 7.500%, 2/5/18(3) |
|
1,145TRY |
|
|
329 |
|
| Allstate Corp. (The)
5.750%,
8/15/53(2)(6) |
|
2,460 |
|
|
2,547 |
|
| ALROSA Finance S.A. 144A 7.750%,
11/3/20(3) |
|
750 |
|
|
786 |
|
| Apollo Management Holdings LP 144A
4.000%, 5/30/24(3) |
|
785 |
|
|
792 |
|
| Ares Finance Co., LLC Finance Co.,
LLC 144A 4.000%, 10/8/24(3) |
|
830 |
|
|
807 |
|
| Banco Bilbao Vizcaya Argentaria
Bancomer S.A. 144A 6.500%, 3/10/21(3)(11) |
|
1,750 |
|
|
1,868 |
|
| Banco Continental S.A. RegS
5.500%,
11/18/20(4)(7) |
|
2,000 |
|
|
2,148 |
|
| Banco de Credito del Peru 144A
6.125%, 4/24/27(2)(3) |
|
1,225 |
|
|
1,262 |
|
| Banco de Credito e Inversiones 144A
4.000%, 2/11/23(3) |
|
1,860 |
|
|
1,847 |
|
| Banco Internacional del Peru SAA
144A 6.625%, 3/19/29(2)(3) |
|
1,260 |
|
|
1,254 |
|
| Banco Santander Brasil SA 144A
8.000%, 3/18/16(3) |
|
600BRL |
|
|
144 |
|
| Banco Santander Chile 144A 3.875%,
9/20/22(3) |
|
1,750 |
|
|
1,744 |
|
| Banco Santander Mexico SA 144A
5.950%, 1/30/24(3)(6) |
|
1,000 |
|
|
1,031 |
|
| Banco Votorantim S.A. 144A 7.375%,
1/21/20(3) |
|
381 |
|
|
368 |
|
| Bancolombia S.A. 5.125%,
9/11/22 |
|
1,220 |
|
|
1,153 |
|
| Bank of China Hong Kong Ltd. 144A
5.550%, 2/11/20(3) |
|
1,500 |
|
|
1,621 |
|
| Bank of China Ltd. 144A 5.000%,
11/13/24(3) |
|
675 |
|
|
686 |
|
| Bank of Georgia JSC 144A 7.750%,
7/5/17(3) |
|
745 |
|
|
774 |
|
| Block Financial LLC 4.125%,
10/1/20 |
|
370 |
|
|
370 |
|
| Brixmor Operating Partnership LP
3.875%, 8/15/22 |
|
190 |
|
|
192 |
|
| China Cinda Finance Ltd. 144A
4.000%,
5/14/19(3) |
|
1,250 |
|
|
1,262 |
|
| Citizens Financial Group, Inc. 144A
5.500% (3)(5) |
|
845 |
|
|
824 |
|
| Compass Bank 3.875%,
4/10/25 |
|
945 |
|
|
881 |
|
| Corp Andina de Fomento 8.125%,
6/4/19 |
|
1,000 |
|
|
1,221 |
|
| Corrections Corp of America 5.000%,
10/15/22 |
|
1,120 |
|
|
1,128 |
|
| Development Bank of Kazakhstan OJSC
144A 4.125%, 12/10/22(3) |
|
845 |
|
|
721 |
|
| Drawbridge Special Opportunities
Fund LP 144A 5.000%, 8/1/21(3) |
|
925 |
|
|
904 |
|
| Eurasian Development Bank 144A
4.767%, 9/20/22(3) |
|
1,600 |
|
|
1,514 |
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
VALUE |
|
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
| First Cash Financial Services, Inc.
6.750%, 4/1/21 |
|
$ 465 |
|
$ |
467 |
|
| First Niagara Financial Group, Inc.
7.250%, 12/15/21 |
|
1,400 |
|
|
1,576 |
|
| FS Investment Corp. |
|
|
|
|
|
|
| 4.250%, 1/15/20 |
|
650 |
|
|
661 |
|
| 4.750%, 5/15/22 |
|
320 |
|
|
316 |
|
| Genworth Holdings, Inc. 4.900%,
8/15/23 |
|
1,060 |
|
|
829 |
|
| GLP Capital LP (GLP Financing II,
Inc.) 5.375%, 11/1/23 |
|
20 |
|
|
20 |
|
| Guanay Finance Ltd. 144A
6.000%,
12/15/20(3) |
|
1,615 |
|
|
1,593 |
|
| Healthcare Realty Trust, Inc.
3.875%, 5/1/25 |
|
360 |
|
|
350 |
|
| Hospitality Properties Trust
4.500%, 3/15/25 |
|
745 |
|
|
730 |
|
| HSBC Finance Corp. 6.676%,
1/15/21 |
|
1,900 |
|
|
2,223 |
|
| Hutchison Whampoa International
Ltd. Series 12, 144A 6.000% (2)(3)(5)(6) |
|
1,560 |
|
|
1,622 |
|
| ING Groep NV 6.000% (2)(5)(6) |
|
815 |
|
|
804 |
|
| Itau Unibanco Holding SA RegS
5.650%, 3/19/22 |
|
625 |
|
|
561 |
|
| JPMorgan Chase & Co.
Series Z,
5.300%(2)(5)(6) |
|
160 |
|
|
158 |
|
| Kazakhstan Temir Zholy Finance BV
144A 6.950%, 7/10/42(3) |
|
800 |
|
|
629 |
|
| Macquarie Group Ltd. |
|
|
|
|
|
|
| 144A 6.000%, 1/14/20(3) |
|
1,100 |
|
|
1,234 |
|
| 144A 6.250%, 1/14/21(3) |
|
325 |
|
|
370 |
|
| McGraw Hill Financial, Inc. 144A
4.000%, 6/15/25(3) |
|
560 |
|
|
558 |
|
| Morgan Stanley 144A
10.090%,
5/3/17(3) |
|
3,050BRL |
|
|
715 |
|
| MPT Operating Partnership LP
5.500%, 5/1/24 |
|
145 |
|
|
148 |
|
| Navient LLC 5.500%,
1/25/23 |
|
1,515 |
|
|
1,202 |
|
| Nordea Bank AB 144A 4.250%, 9/21/22(3)(11) |
|
2,035 |
|
|
2,084 |
|
| Oversea-Chinese Banking Corp Ltd.
144A 4.250%, 6/19/24(3) |
|
1,500 |
|
|
1,512 |
|
| PKO Finance AB 144A
4.630%,
9/26/22(3)(7)(11) |
|
1,805 |
|
|
1,862 |
|
| Prudential Financial, Inc. |
|
|
|
|
|
|
| 5.875%, 9/15/42(2) |
|
1,385 |
|
|
1,465 |
|
| 5.625%, 6/15/43(2)(6) |
|
400 |
|
|
413 |
|
| Select Income REIT 4.500%,
2/1/25 |
|
690 |
|
|
664 |
|
| Teachers Insurance &
Annuity Association of America 144A 4.375%, 9/15/54(2)(3) |
|
640 |
|
|
648 |
|
| TIAA Asset Management Finance Co.
LLC 144A 4.125%, 11/1/24(3) |
|
985 |
|
|
1,004 |
|
| Turkiye Garanti Bankasi AS 144A
5.250%, 9/13/22(3) |
|
1,095 |
|
|
1,052 |
|
4
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
|
VALUE |
|
|
|
|
| Financials—(continued)
|
|
|
|
|
|
|
|
|
| Ukreximbank Via Biz Finance plc 144A 9.625%,
4/27/22(3) |
|
$ |
870 |
|
|
$ |
766 |
|
| Walter Investment Management Corp. 7.875%, 12/15/21
|
|
|
490 |
|
|
|
421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care—1.3%
|
|
|
|
|
|
|
|
|
| Hill-Rom Holdings, Inc. 144A 5.750%, 9/1/23(3)
|
|
|
420 |
|
|
|
423 |
|
| Jaguar Holding Co. II (Pharmaceutical Product Development LLC) 144A 6.375%, 8/1/23(3) |
|
|
415 |
|
|
|
405 |
|
| Mallinckrodt International Finance S.A.
|
|
|
|
|
|
|
|
|
| 144A 5.750%, 8/1/22(3)
|
|
|
365 |
|
|
|
354 |
|
| 144A 5.625%, 10/15/23(3)
|
|
|
675 |
|
|
|
617 |
|
| 144A 5.500%, 4/15/25(3)
|
|
|
45 |
|
|
|
40 |
|
| Tenet Healthcare Corp. 5.500%, 3/1/19
|
|
|
435 |
|
|
|
432 |
|
| Valeant Pharmaceuticals International, Inc. 144A 5.875%, 5/15/23(3) |
|
|
80 |
|
|
|
77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials—7.3%
|
|
|
|
|
|
|
|
|
| ADT Corp. (The) 6.250%, 10/15/21
|
|
|
920 |
|
|
|
953 |
|
| Ahern Rentals, Inc. 144A 7.375%, 5/15/23(3)
|
|
|
710 |
|
|
|
621 |
|
| Air Canada Pass-Through-Trust, 13-1, B 144A 5.375%,
5/15/21(3) |
|
|
331 |
|
|
|
341 |
|
| Alfa SAB de CV 144A 5.250%, 3/25/24(3)
|
|
|
1,200 |
|
|
|
1,224 |
|
| America West Airlines Pass-Through-Trust
|
|
|
|
|
|
|
|
|
| 99-1, G 7.930%, 1/2/19 |
|
|
632 |
|
|
|
679 |
|
| 01-1, G 7.100%, 4/2/21 |
|
|
1,375 |
|
|
|
1,501 |
|
| American Airlines Pass-Through-Trust 14-1, B 4.375%, 10/1/22
|
|
|
1,002 |
|
|
|
1,003 |
|
| Bombardier, Inc. |
|
|
|
|
|
|
|
|
| 144A 4.750%, 4/15/19(3)
|
|
|
295 |
|
|
|
239 |
|
| 144A 6.125%, 1/15/23(3)
|
|
|
555 |
|
|
|
411 |
|
| Builders FirstSource, Inc. 144A 10.750%,
8/15/23(3) |
|
|
375 |
|
|
|
376 |
|
| CEB, Inc. 144A 5.625%, 6/15/23(3)
|
|
|
275 |
|
|
|
275 |
|
| DP World Ltd. 144A 6.850%, 7/2/37(3)
|
|
|
1,000 |
|
|
|
1,058 |
|
| Harland Clarke Holdings Corp. 144A
6.875%,
3/1/20(3) |
|
|
670 |
|
|
|
606 |
|
| JBS Investments GmbH 144A 7.250%,
4/3/24(3)
|
|
|
515 |
|
|
|
497 |
|
| Latam Airlines Group SA 144A
7.250%,
6/9/20(3) |
|
|
800 |
|
|
|
708 |
|
| Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21
|
|
|
578 |
|
|
|
602 |
|
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
|
VALUE |
|
|
|
|
| Industrials—(continued)
|
|
|
|
|
|
|
|
|
| Pelabuhan Indonesia II PT 144A 4.250%,
5/5/25(3) |
|
$ |
870 |
|
|
$ |
760 |
|
| Transnet SOC Ltd. 144A 4.000%, 7/26/22(3)
|
|
|
1,000 |
|
|
|
924 |
|
| UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22
|
|
|
788 |
|
|
|
839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology—2.3%
|
|
|
|
|
|
|
|
|
| First Data Corp. 11.750%, 8/15/21
|
|
|
850 |
|
|
|
946 |
|
| Flextronics International Ltd. 144A 4.750%,
6/15/25(3) |
|
|
850 |
|
|
|
823 |
|
| Hewlett Packard Enterprise Co.
|
|
|
|
|
|
|
|
|
| 144A 4.400%, 10/15/22(3)
|
|
|
155 |
|
|
|
155 |
|
| 144A 4.900%, 10/15/25(3)
|
|
|
155 |
|
|
|
154 |
|
| Riverbed Technology, Inc. 144A 8.875%,
3/1/23(3) |
|
|
560 |
|
|
|
511 |
|
| Tencent Holdings Ltd. 144A
3.800%,
2/11/25(3) |
|
|
800 |
|
|
|
770 |
|
| VeriSign, Inc. 4.625%, 5/1/23
|
|
|
950 |
|
|
|
929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials—9.8%
|
|
|
|
|
|
|
|
|
| Alpek SA de C.V. 144A 5.375%, 8/8/23(3)
|
|
|
1,230 |
|
|
|
1,267 |
|
| ArcelorMittal 6.125%, 6/1/25
|
|
|
865 |
|
|
|
703 |
|
| Braskem America Finance Co. RegS 7.125%,
7/22/41(4) |
|
|
2,275 |
|
|
|
1,588 |
|
| Cascades, Inc. 144A 5.500%, 7/15/22(3)
|
|
|
710 |
|
|
|
677 |
|
| Corp Nacional del Cobre de Chile 144A 3.750%,
11/4/20(3) |
|
|
940 |
|
|
|
940 |
|
| Eldorado Gold Corp. 144A 6.125%,
12/15/20(3)
|
|
|
415 |
|
|
|
365 |
|
| EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17(3)(7) |
|
|
425 |
|
|
|
424 |
|
| Evraz Group S.A. 144A 6.500%, 4/22/20(3)
|
|
|
775 |
|
|
|
724 |
|
| Fibria Overseas Finance Ltd. 5.250%, 5/12/24
|
|
|
835 |
|
|
|
806 |
|
| Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%,
3/1/22(3) |
|
|
410 |
|
|
|
383 |
|
| Gerdau Trade, Inc.144A 5.750%, 1/30/21(3)
|
|
|
500 |
|
|
|
435 |
|
| Gerdau Holdings, Inc. 144A
7.000%,
1/20/20(3) |
|
|
685 |
|
|
|
643 |
|
| Hexion U.S. Finance Corp. 6.625%, 4/15/20
|
|
|
720 |
|
|
|
616 |
|
| Inversiones CMPC S.A. 144A 4.375%, 5/15/23(3)
|
|
|
1,000 |
|
|
|
978 |
|
| Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24(3) |
|
|
1,500 |
|
|
|
1,530 |
|
| Owens-Brockway Glass Container, Inc. 144A 6.375%,
8/15/25(3) |
|
|
680 |
|
|
|
688 |
|
| Sappi Papier Holding GmbH 144A 6.625%,
4/15/21(3) |
|
|
1,100 |
|
|
|
1,118 |
|
5
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
|
VALUE |
|
|
|
|
| Materials—(continued)
|
|
|
|
|
|
|
|
|
| Severstal OAO Via Steel Capital SA 144A 5.900%,
10/17/22(3)(7) |
|
$ |
2,200 |
|
|
$ |
2,123 |
|
| Tronox Finance LLC 6.375%, 8/15/20
|
|
|
520 |
|
|
|
333 |
|
| Union Andina de Cementos SAA 144A 5.875%,
10/30/21(3) |
|
|
155 |
|
|
|
149 |
|
| United States Steel Corp. 6.875%,
4/1/21(11)
|
|
|
550 |
|
|
|
421 |
|
| Vedanta Resources plc 144A 9.500%, 7/18/18(3)(11) |
|
|
1,650 |
|
|
|
1,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services—4.6%
|
|
|
|
|
|
|
|
|
| Altice Financing SA 144A 6.625%,
2/15/23(3)
|
|
|
700 |
|
|
|
674 |
|
| America Movil SAB de C.V. Series 12 6.450%, 12/5/22
|
|
|
8,000MXN |
|
|
|
451 |
|
| Axtel SAB de CV 144A 9.000%,
1/31/20(2)(3)
|
|
|
360 |
|
|
|
327 |
|
| Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23(3) |
|
|
1,430 |
|
|
|
1,513 |
|
| Comcel Trust 144A 6.875%, 2/6/24(3)
|
|
|
570 |
|
|
|
563 |
|
| Digicel Group Ltd. 144A 8.250%,
9/30/20(3)
|
|
|
1,075 |
|
|
|
1,000 |
|
| Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24(3) |
|
|
415 |
|
|
|
413 |
|
| Frontier Communications Corp.
|
|
|
|
|
|
|
|
|
| 6.250%, 9/15/21 |
|
|
515 |
|
|
|
431 |
|
| 144A 10.500%, 9/15/22(3)
|
|
|
165 |
|
|
|
161 |
|
| Neptune Finco Corp. 144A 10.125%,
1/15/23(3)
|
|
|
200 |
|
|
|
202 |
|
| Sprint Corp. 7.250%, 9/15/21
|
|
|
710 |
|
|
|
583 |
|
| T-Mobile USA, Inc. |
|
|
|
|
|
|
|
|
| 6.836%, 4/28/23 |
|
|
290 |
|
|
|
288 |
|
| 6.500%, 1/15/24 |
|
|
325 |
|
|
|
316 |
|
| Verizon Communications, Inc. 4.400%, 11/1/34
|
|
|
685 |
|
|
|
638 |
|
| Windstream Corp. 7.750%, 10/15/20 |
|
|
1,150 |
|
|
|
982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities—3.8% |
|
|
|
|
|
|
|
|
| Abengoa Yield plc 144A 7.000%,
11/15/19(3)
|
|
|
775 |
|
|
|
682 |
|
| Calpine Corp. 5.375%, 1/15/23
|
|
|
503 |
|
|
|
472 |
|
| Electricite de France SA
144A
5.250%(2)(3)(5)(6) |
|
|
1,325 |
|
|
|
1,275 |
|
| Enel SpA 144A 8.750%, 9/24/73(2)(3)
|
|
|
380 |
|
|
|
437 |
|
| Israel Electric Corp Ltd. 144A 6.875%,
6/21/23(3) |
|
|
725 |
|
|
|
823 |
|
| Lamar Funding Ltd. 144A 3.958%,
5/7/25(3)
|
|
|
715 |
|
|
|
669 |
|
| Majapahit Holding BV 144A 7.750%,
1/20/20(3)
|
|
|
540 |
|
|
|
602 |
|
| State Grid Overseas Investment Ltd. 144A 4.125%,
5/7/24(3) |
|
|
990 |
|
|
|
1,043 |
|
| Talen Energy Supply LLC 144A 4.625%, 7/15/19(3)
|
|
|
525 |
|
|
|
480 |
|
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
|
VALUE |
|
|
|
|
| Utilities—(continued) |
|
|
|
|
|
|
|
|
| TerraForm Power Operating LLC 144A 5.875%, 2/1/23(3) |
|
$ |
750 |
|
|
$ |
666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,149 |
|
| |
|
|
TOTAL CORPORATE BONDS AND NOTES
(Identified Cost $181,273)
|
|
|
|
|
|
|
164,633 |
|
| |
|
|
|
|
| LOAN AGREEMENTS(2)—13.5% |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary—3.4%
|
|
|
|
|
|
|
|
|
| Caesars Entertainment Operating Co., Inc.
|
|
|
|
|
|
|
|
|
| Tranche B-4, 11.250%, 10/31/16(12)
|
|
|
571 |
|
|
|
537 |
|
| Tranche B-7, 11.500%, 1/28/18(12)
|
|
|
230 |
|
|
|
209 |
|
| Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21
|
|
|
311 |
|
|
|
274 |
|
| CBAC Borrower LLC Tranche B, 8.250%, 7/2/20
|
|
|
465 |
|
|
|
439 |
|
| El Dorado Resorts, Inc. 4.250%, 7/25/22
|
|
|
158 |
|
|
|
158 |
|
| Graton Resort & Casino Tranche B, 4.750%, 9/1/22
|
|
|
210 |
|
|
|
210 |
|
| Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, 4.000%, 4/24/18
|
|
|
984 |
|
|
|
986 |
|
| Laureate Education, Inc. 2018 Extended, 5.000%, 6/15/18
|
|
|
587 |
|
|
|
493 |
|
| Marina District Finance Co., Inc. 6.500%, 8/15/18
|
|
|
274 |
|
|
|
277 |
|
| Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18
|
|
|
623 |
|
|
|
625 |
|
| PetSmart, Inc. Tranche B-1 4.250%, 3/11/22
|
|
|
116 |
|
|
|
116 |
|
| Scientific Games International, Inc. Tranche B-2, 6.000%, 10/1/21
|
|
|
531 |
|
|
|
525 |
|
| Shingle Springs Tribal Gaming Authority 6.250%, 8/29/19
|
|
|
402 |
|
|
|
405 |
|
| Staples, Inc. First Lien, 0.000%, 4/23/21(8)
|
|
|
532 |
|
|
|
530 |
|
| TWCC Holding Corp. Second Lien, 7.000%, 6/26/20 |
|
|
635 |
|
|
|
594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples—0.9%
|
|
|
|
|
|
|
|
|
| Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.)
|
|
|
|
|
|
|
|
|
| Second Lien, 9.750%, 4/30/20
|
|
|
999 |
|
|
|
1,020 |
|
| 6.000%, 8/26/22 |
|
|
681 |
|
|
|
668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—1.4% |
|
|
|
|
|
|
|
|
| Arch Coal, Inc. 6.250%, 5/16/18 |
|
|
923 |
|
|
|
527 |
|
6
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
|
VALUE
|
|
|
|
|
| Energy—(continued)
|
|
|
|
|
|
|
|
|
| Chelsea Petroleum I LLC 0.000%,
7/22/22(8)
|
|
$ |
607 |
|
|
$ |
602 |
|
| Chief Exploration & Development LLC Second Lien, 7.500%, 5/16/21
|
|
|
682 |
|
|
|
566 |
|
| Drillships Ocean Ventures, Inc. 5.500%, 7/25/21
|
|
|
474 |
|
|
|
319 |
|
| Jonah Energy LLC Second Lien, 7.500%, 5/12/21
|
|
|
456 |
|
|
|
369 |
|
| Sabine Oil & Gas LLC Second Lien, 8.750%, 12/31/18(12) |
|
|
825 |
|
|
|
147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials—0.8%
|
|
|
|
|
|
|
|
|
| Capital Automotive LP Second Lien, 6.000%, 4/30/20
|
|
|
454 |
|
|
|
458 |
|
| iStar Financial, Inc. Tranche A-2, 7.000%, 3/19/17 |
|
|
1,085 |
|
|
|
1,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care—1.9%
|
|
|
|
|
|
|
|
|
| 21st Century Oncology, Inc. Tranche B 6.500%, 4/30/22
|
|
|
229 |
|
|
|
218 |
|
| AMAG Pharmaceuticals, Inc. 4.750%, 8/17/21
|
|
|
117 |
|
|
|
117 |
|
| Amneal Pharmaceuticals LLC Tranche B, 5.750%, 11/1/19
|
|
|
299 |
|
|
|
299 |
|
| Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21
|
|
|
392 |
|
|
|
393 |
|
| InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18
|
|
|
755 |
|
|
|
757 |
|
| MMM Holdings, Inc. 9.750%, 12/12/17
|
|
|
204 |
|
|
|
156 |
|
| MSO of Puerto Rico, Inc. 9.750%, 12/12/17
|
|
|
149 |
|
|
|
113 |
|
| Regional Care, Inc. (RCHP, Inc.) First Lien, 5.250%, 4/23/19
|
|
|
774 |
|
|
|
768 |
|
| Surgery Center Holdings, Inc.
|
|
|
|
|
|
|
|
|
| First Lien, 5.250%, 11/3/20
|
|
|
486 |
|
|
|
487 |
|
| Second Lien, 8.500%, 11/3/21 |
|
|
241 |
|
|
|
244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials—2.1%
|
|
|
|
|
|
|
|
|
| Brock Holdings III, Inc. First Lien, 6.000%, 3/16/17
|
|
|
552 |
|
|
|
536 |
|
| Ceridian HCM Holding, Inc. 4.500%, 9/15/20
|
|
|
567 |
|
|
|
539 |
|
| DynCorp International, Inc. 6.250%, 7/7/16
|
|
|
607 |
|
|
|
594 |
|
| Filtration Group Corp. Second Lien, 8.250%, 11/22/21
|
|
|
206 |
|
|
|
206 |
|
| Husky Injection Molding Systems Ltd. 4.250%, 6/30/21
|
|
|
1,025 |
|
|
|
1,013 |
|
| Navistar, Inc. 6.500%, 8/7/20
|
|
|
507 |
|
|
|
496 |
|
|
|
|
|
|
|
|
|
|
| |
|
PAR VALUE |
|
|
VALUE |
|
|
|
|
| Industrials—(continued)
|
|
|
|
|
|
|
|
|
| Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22
|
|
$ |
570 |
|
|
$ |
540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology—2.4%
|
|
|
|
|
|
|
|
|
| Applied Systems, Inc. Second Lien, 7.500%, 1/24/22
|
|
|
547 |
|
|
|
543 |
|
| Deltek, Inc. Second Lien 9.500%, 6/26/23
|
|
|
497 |
|
|
|
498 |
|
| Excelitas Technologies Corp. Tranche B, 6.000%, 11/2/20
|
|
|
417 |
|
|
|
405 |
|
| First Data Corp. 2018 Term Loan 3.696%, 3/23/18
|
|
|
1,680 |
|
|
|
1,669 |
|
| Mitchell International, Inc. Second Lien, 8.500%, 10/11/21
|
|
|
300 |
|
|
|
300 |
|
| Presidio, Inc. Refinancing Term 5.250%, 2/2/22
|
|
|
647 |
|
|
|
647 |
|
| Riverbed Technologies, Inc. 6.000%, 4/25/22 |
|
|
314 |
|
|
|
315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials—0.2%
|
|
|
|
|
|
|
|
|
| Fortescue Metals Group (FMG) Resources Property Ltd. 3.750%, 6/30/19
|
|
|
459 |
|
|
|
377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities—0.4% |
|
|
|
|
|
|
|
|
| NRG Energy, Inc. 0.028%, 7/1/18 |
|
|
718 |
|
|
|
704 |
|
|
|
|
|
|
|
|
|
|
| |
|
| TOTAL LOAN
AGREEMENTS (Identified Cost $27,026)
|
|
|
|
|
|
|
25,100 |
|
| |
|
|
|
|
| |
|
SHARES |
|
|
VALUE
|
|
|
| PREFERRED STOCKS—3.7% |
|
|
|
|
| Energy—0.6% |
|
|
|
|
|
|
|
|
| PTT Exploration & Production PCL 144A, 4.875%(2)(3)(11) |
|
|
1,100 |
(9) |
|
|
1,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials—3.1%
|
|
|
|
|
|
|
|
|
| Bank of New York Mellon Corp. (The) Series E,
4.950%(2) |
|
|
545 |
(9) |
|
|
537 |
|
| Citigroup, Inc. Series J, 7.125%(2)
|
|
|
30,800 |
|
|
|
829 |
|
| General Electric Capital Corp. Series B,
6.25%(2) |
|
|
500 |
(9) |
|
|
543 |
|
| General Electric Capital Corp. Series C,
5.25%(2) |
|
|
600 |
(9) |
|
|
617 |
|
| Goldman Sachs Group, Inc. (The) Series
L,
5.700%(2) |
|
|
150 |
(9) |
|
|
150 |
|
| PNC Financial Services Group, Inc. (The) Series R,
4.850%(2) |
|
|
890 |
(9) |
|
|
833 |
|
| SunTrust Bank, Inc. 5.625%(2)(6)
|
|
|
60 |
(9) |
|
|
60 |
|
| Wells Fargo & Co. Series K, 7.980%(2) |
|
|
840 |
(9) |
|
|
887 |
|
7
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in
thousands)
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE |
|
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
| Zions Bancorp 6.950%(2) |
|
|
47,150 |
|
|
$ |
1,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,781 |
|
| |
|
| TOTAL PREFERRED STOCKS
(Identified Cost $6,758)
|
|
|
|
|
|
|
6,841 |
|
| |
|
| |
|
CONTRACTS |
|
|
VALUE
|
|
|
|
|
| PURCHASED OPTIONS—0.1% |
|
|
|
|
|
|
|
|
|
|
|
| Call Options—0.0% |
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/02/15 strike price $2,165 |
|
|
689 |
|
|
|
0 |
|
| S&P 500® Index Fund expiration 10/09/15 strike price $2,130 |
|
|
788 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put Options—0.1% |
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/02/15 strike price $1,760 |
|
|
689 |
|
|
|
11 |
|
| S&P 500® Index Fund expiration 10/09/15 strike price $1,760 |
|
|
788 |
|
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
129 |
|
| |
|
| TOTAL PURCHASED
OPTIONS—0.1% (Premiums Paid $280)
|
|
|
|
|
|
|
129 |
|
| |
|
| TOTAL LONG TERM
INVESTMENTS—134.9% (Identified Cost $274,011)
|
|
|
|
|
|
|
251,404 |
|
| |
|
| |
|
SHARES |
|
|
VALUE |
|
|
|
|
| SHORT-TERM INVESTMENTS—1.1% |
|
|
|
|
|
|
|
|
|
|
|
| Money Market Mutual Fund—1.1%
|
|
|
|
|
|
|
|
|
| Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.170%) |
|
|
2,067,014 |
|
|
|
2,067 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,067) |
|
|
|
|
|
|
2,067 |
|
| |
|
|
|
|
| TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS— 135.9%
(Identified Cost $276,078) |
|
|
|
|
|
|
253,471(1)( |
10) |
| |
|
|
|
|
CONTRACTS |
|
|
|
VALUE |
|
|
|
|
| WRITTEN OPTIONS—(0.4)% |
|
|
|
|
|
|
|
|
|
|
|
| Call Options—0.0% |
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiraiton 10/02/15 strike price $2,090 |
|
|
689 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
|
|
| |
|
CONTRACTS |
|
|
VALUE |
|
|
|
|
| Call Options—(continued)
|
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/09/15
strike price $2,065 |
|
|
788 |
|
|
$ |
(8) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(11) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put Options—(0.4)%
|
|
|
|
|
|
|
|
|
| S&P 500® Index Fund expiration 10/02/15
strike price $1,835 |
|
|
689 |
|
|
|
(102) |
|
| S&P 500® Index Fund expiration 10/09/15
strike price $1,825 |
|
|
788 |
|
|
|
(528) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(630) |
|
| |
|
| TOTAL WRITTEN
OPTIONS—(0.4)% (Premiums Received $717)
|
|
|
|
|
|
|
(641)(1)
|
|
| |
|
|
TOTAL INVESTMENTS NET OF WRITTEN OPTIONS— 135.6%
(Identified Cost $275,361) |
|
|
|
|
|
|
252,830 |
|
| |
|
| Other assets and liabilities,
net—(35.9)% |
|
|
|
|
|
|
(66,978) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS—100.0% |
|
|
|
|
|
$ |
186,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Abbreviations: |
| FNMA |
|
Federal National Mortgage Association (“Fannie Mae”). |
| REIT |
|
Real Estate Investment Trust |
Footnote Legend:
| (1) |
Federal Income Tax Information: For tax information at September 30, 2015, 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, 2015. |
| (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, 2015, these securities amounted to a value of $118,570 or 63.6% of net assets. |
| (4) |
Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of
the Securities Act of 1933. |
| (5) |
No contractual maturity date. (6) Interest payments may be deferred. |
| (7) |
This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the
borrower, the name represented here is that of the borrower. |
| (8) |
This loan will settle after September 30, 2015, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed
upon spread on trade date, will be reflected. |
| (9) |
Value shown as par value. |
| (10) |
All or a portion of the portfolio is segregated as collateral for the borrowings. |
| (11) |
All or a portion of the security is segregated as collateral for written options. |
| (12) |
Security in default. |
|
|
|
| Foreign Currencies: |
| BRL |
|
Brazilian Real |
| CLP |
|
Chilean Peso |
| COP |
|
Colombian Peso |
| IDR |
|
Indonesian Rupiah |
| MXN |
|
Mexican Peso |
| RUB |
|
Russian Ruble |
8
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015 (Unaudited)
($ reported in thousands)
9
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015 (Unaudited)
($ reported in thousands)
|
|
|
|
|
| Country Weightings † |
|
|
|
|
| United States |
|
|
52% |
|
| Chile |
|
|
4 |
|
| Mexico |
|
|
4 |
|
| Brazil |
|
|
3 |
|
| China |
|
|
2 |
|
| Luxembourg |
|
|
2 |
|
| Russia |
|
|
2 |
|
| Other |
|
|
31 |
|
|
Total |
|
|
100%
|
|
† % of total investments net of options as of September 30, 2015
10
The following table provides a summary of inputs used to value the Fund’s investments as of
September 30, 2015 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
|
|
|
|
|
|
|
|
|
| |
|
Total Value at
September 30,
2015 |
|
Level 1
Quoted Prices |
|
Level 2
Significant Observable
Inputs |
|
Level 3
Significant
Unobservable
Inputs |
| Debt Securities: |
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ 5,477 |
|
$ — |
|
$ 5,058 |
|
$ 419 |
| Corporate Bonds And Notes |
|
164,633 |
|
— |
|
164,633 |
|
— |
| Foreign Government Securities |
|
20,909 |
|
— |
|
20,909 |
|
— |
| Loan Agreements |
|
25,100 |
|
— |
|
25,100 |
|
— |
| Mortgage-Backed Securities |
|
23,027 |
|
— |
|
23,027 |
|
— |
| Municipal Bonds |
|
2,158 |
|
— |
|
2,158 |
|
— |
| U.S. Government Securities |
|
3,130 |
|
— |
|
3,130 |
|
— |
| Equity Securities: |
|
|
|
|
|
|
|
|
| Preferred Stocks |
|
6,841 |
|
829 |
|
6,012 |
|
— |
| Purchased Options |
|
129 |
|
129 |
|
— |
|
— |
| Short-Term Investments |
|
2,067 |
|
2,067 |
|
— |
|
— |
| Total Investments Before Written Options |
|
$ 253,471 |
|
$ 3,025 |
|
$ 250,027 |
|
$ 419 |
|
|
|
|
|
| Written Options |
|
(641) |
|
(641) |
|
— |
|
— |
|
|
|
|
|
| Total Investments Net of Written Options |
|
$252,830 |
|
$ 2,384 |
|
$ 250,027 |
|
$ 419 |
Securities held by the Fund with an end of period Value of $ 1,325 were transferred from level 1 to level 2 since an exchange
price was no longer available.
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.
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Total |
|
|
Asset-Backed
Securities |
|
|
Loan
Agreements |
|
|
|
|
|
| Balance as of December 31, 2014: |
|
|
$ 395 |
|
|
|
$ -- |
|
|
|
$ 395 |
|
| Accrued discount/(premium) |
|
|
- (c) |
|
|
|
- |
|
|
|
- (c) |
|
| Realized gain (loss) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Change in unrealized appreciation (depreciation) |
|
|
(29) |
|
|
|
(3) |
|
|
|
(26) |
|
|
|
|
|
| Purchases |
|
|
422 |
|
|
|
422 |
|
|
|
- |
|
| Sales(b) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Transfers into Level 3 (a) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Transfers from Level 3 (a) |
|
|
(369)(d) |
|
|
|
- |
|
|
|
(369)(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance as of September 30,
2015 |
|
|
$ 419 |
|
|
|
$ 419 |
|
|
|
$ - |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) “Transfers into and/or from” represent the ending value
as of September 30, 2015, 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 less than $500. |
|
|
|
|
|
|
|
|
|
|
|
|
| (d) The transfer is due to an increase in trading activity at period end. |
|
|
|
|
|
|
|
|
|
|
|
|
VIRTUS GLOBAL MULTI-SECTOR FIXED INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015 (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 are summarized below and for derivatives, included in Note 2 below. The preparation in conformity with accounting principles
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.
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 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. Quarterly fair valuations are reviewed by the Board.
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation
techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers 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 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 a 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
VIRTUS GLOBAL MULTI-SECTOR FIXED INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2015
(Unaudited)
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, exchange-traded funds 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 which
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 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 the Funds’ net assets by
each major security type is disclosed at the end of the Schedule of Investments for each 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— DERIVATIVE FINANCIAL INSTRUMENTS
Disclosures
about derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a fund’s results of operations and
financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by the Fund.
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. The Fund pursues an option income strategy whereby it purchases and sells out-of-the-money puts
and calls, creating an options spread designed to generate a consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives.
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset.
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, 2015
(Unaudited)
When the Fund 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 value of the option.
Holdings of the Fund designated to cover outstanding written options
are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statement of Assets and Liabilities. Options written are reported as a liability within “Written
options outstanding at value”. Changes in value of the purchased option is included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options is
included in “Net change in unrealized appreciation (depreciation) on written options”.
If an option expires unexercised, the Fund
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
Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statement of Operations.
The risk in writing covered call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the
option is exercised.
The risk in writing covered put options is that the Fund 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 Fund 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 normally 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. However, the Fund may limit its risk of loss when writing an option by purchasing an option by purchasing an option similar to the one that is sold except for the fact it is further “out of the money”.
NOTE 3 — FEDERAL INCOME TAX INFORMATION
($ reported in
thousands)
At September 30, 2015, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as
follows:
|
|
|
|
|
|
|
|
|
|
|
| Federal
Tax Cost |
|
|
Unrealized
Appreciation |
|
Unrealized
(Depreciation) |
|
Net
Appreciation
(Depreciation) |
|
|
|
|
|
| Investments (before written options) |
|
|
$276,396 |
|
|
$2,753 |
|
$(25,678) |
|
$(22,925) |
| Written Options |
|
|
(716) |
|
|
258 |
|
(183) |
|
75 |
The differences between book basis cost and tax basis cost were attributable primarily to the tax deferral of losses on wash sales.
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, 2015
(Unaudited)
NOTE 4--ILLIQUID AND RESTRICTED SECURITIES
Investments generally are 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 Fund. 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 the Fund’s Schedule of Investments where applicable. However, a portion of such footnoted securities could be liquid where it’s 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 Fund.
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.
The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At September 30, 2015, the Fund did not hold any securities that are both illiquid and restricted.
NOTE 5 — REGULATORY MATTERS AND LITIGATION
From time to time, the
Fund’s investment adviser and/or its affiliates and/or subadvisers 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 Fund’s investment adviser believes that the
outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.
As part of an SEC non-public,
confidential investigation of a matter entitled – In the Matter of F-Squared Investments Inc., the SEC staff informed the Fund’s investment adviser that it was inquiring into whether it had violated securities laws or regulations with
respect to circumstances related to that matter. On November 16, 2015, without admitting or denying the SEC’s findings, the Fund’s investment adviser consented to the entry of an order providing that it cease and desist from
committing or causing any violations and future violations of Sections 204, 206(2) and 206(4) of the Investment Advisers Act of 1940, as amended, and Rules 204-2, 206(4)-1, 206(4)-7 and 206(4)-8 thereunder, and Section 34(b) of the Investment
Company Act of 1940, as amended; agreed to a censure; and paid $16.5 million, which included a civil money penalty of $2 million, disgorgement of $13.4 million and prejudgment interest of $1.1 million.
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, 2015
(Unaudited)
NOTE 6— SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the Schedule of Investments were issued, 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) |
|
| Date 11/25/2015
|
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 11/25/2015
|
|
|
|
| By (Signature and Title)* /s/ W. Patrick
Bradley
|
|
W. Patrick Bradley, Senior Vice President, Chief Financial Officer,
and Treasurer |
|
(principal financial
officer) |
|
| Date 11/25/2015
|
*
Print the name and title of each signing officer under his or her signature.