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: November 30
Date of reporting period: August 31, 2016
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
AUGUST 31, 2016
(Unaudited)
($ reported in thousands)
|
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| |
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|
PAR VALUE |
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VALUE
|
|
|
|
| MUNICIPAL BONDS—0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| California—0.4% |
|
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|
|
|
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|
|
|
|
|
|
|
|
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| State of California Build America Bond Taxable 7.500%, 4/1/34 |
|
$ |
|
|
570 |
|
|
$ |
|
|
880 |
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
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| Illinois—0.4% |
|
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|
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|
|
|
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|
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|
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|
|
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| State of Illinois Build America Bond Taxable 6.900%, 3/1/35 |
|
|
|
|
700 |
|
|
|
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|
774 |
|
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|
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|
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|
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|
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| |
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|
|
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| TOTAL MUNICIPAL BONDS
(Identified Cost $1,496) |
|
|
|
|
|
|
|
|
|
|
1,654 |
|
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| |
|
|
|
|
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| FOREIGN GOVERNMENT SECURITIES—19.2% |
|
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| Argentine Republic |
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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| 144A 9.125%, 3/16/24(3) |
|
|
|
|
730 |
|
|
|
|
|
816 |
|
|
|
|
|
|
|
|
|
| 144A 7.500%, 4/22/26(3) |
|
|
|
|
1,290 |
|
|
|
|
|
1,438 |
|
|
|
|
|
|
|
|
|
| 144A 7.875%, 6/15/27(3) |
|
|
|
|
1,165 |
|
|
|
|
|
1,228 |
|
|
|
|
|
|
|
|
|
| Series NY, 8.280%, 12/31/33 |
|
|
|
|
1,269 |
|
|
|
|
|
1,462 |
|
|
|
|
|
|
|
|
|
| 144A 7.125%, 7/6/36(3) |
|
|
|
|
780 |
|
|
|
|
|
828 |
|
|
|
|
|
|
|
|
|
| 144A 7.625%, 4/22/46(3) |
|
|
|
|
590 |
|
|
|
|
|
667 |
|
|
|
|
|
|
|
|
|
| Bermuda RegS 4.854%, 2/6/24(4) |
|
|
|
|
700 |
|
|
|
|
|
766 |
|
|
|
|
|
|
|
|
|
| Bolivarian Republic of Venezuela 7.650%, 4/21/25 |
|
|
|
|
1,845 |
|
|
|
|
|
799 |
|
|
|
|
|
|
|
|
|
| City of Buenos Aires 144A 7.500%, 6/1/27(3) |
|
|
|
|
320 |
|
|
|
|
|
346 |
|
|
|
|
|
|
|
|
|
| Dominican Republic 144A 6.850%, 1/27/45(3) |
|
|
|
|
800 |
|
|
|
|
|
908 |
|
|
|
|
|
|
|
|
|
| Federative Republic of Brazil |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 1/5/24 |
|
|
|
|
1,405BRL |
|
|
|
|
|
393 |
|
|
|
|
|
|
|
|
|
| Treasury Note Series F, 10.000%, 1/1/25 |
|
|
|
|
1,960BRL |
|
|
|
|
|
558 |
|
|
|
|
|
|
|
|
|
| 5.625%, 1/7/41 |
|
|
|
|
725 |
|
|
|
|
|
734 |
|
|
|
|
|
|
|
|
|
| Hungary 5.375%, 3/25/24 |
|
|
|
|
530 |
|
|
|
|
|
609 |
|
|
|
|
|
|
|
|
|
| Islamic Republic of Pakistan 144A 8.250%,
9/30/25(3) |
|
|
|
|
600 |
|
|
|
|
|
681 |
|
|
|
|
|
|
|
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| Kingdom of Morocco 144A 5.500%, 12/11/42(3) |
|
|
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|
800 |
|
|
|
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|
939 |
|
|
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|
|
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| Mongolia |
|
|
|
|
|
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|
|
|
|
|
|
|
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|
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| 144A 10.875%, 4/6/21(3) |
|
|
|
|
355 |
|
|
|
|
|
358 |
|
|
|
|
|
|
|
|
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| RegS 5.125%, 12/5/22(4) |
|
|
|
|
345 |
|
|
|
|
|
291 |
|
|
|
|
|
|
|
|
|
| 144A 5.125%, 12/5/22(3) |
|
|
|
|
345 |
|
|
|
|
|
291 |
|
|
|
|
|
|
|
|
|
| Republic of Armenia 144A 7.150%, 3/26/25(3) |
|
|
|
|
700 |
|
|
|
|
|
753 |
|
|
|
|
|
|
|
|
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| Republic of Chile 5.500%, 8/5/20 |
|
|
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|
547,000CLP |
|
|
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|
861 |
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| Republic of Colombia |
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|
|
|
|
|
|
|
|
| Treasury Note, Series B, 11.250%, 10/24/18 |
|
|
|
|
998,500COP |
|
|
|
|
|
365 |
|
|
|
|
|
|
|
|
|
| 9.850%, 6/28/27 |
|
|
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|
1,459,000COP |
|
|
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|
589 |
|
|
|
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| Republic of Costa Rica |
|
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|
|
|
|
|
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|
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| 144A 7.000%, 4/4/44(3) |
|
|
|
|
800 |
|
|
|
|
|
875 |
|
|
|
|
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| |
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|
PAR VALUE |
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VALUE
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| RegS 7.000%, 4/4/44(4) |
|
$ |
|
|
1,000 |
|
|
$ |
|
|
1,090 |
|
|
|
|
|
|
|
|
|
| Republic of Cote d’Ivoire 144A 6.375%,
3/3/28(3) |
|
|
|
|
840 |
|
|
|
|
|
878 |
|
|
|
|
|
|
|
|
|
| Republic of El Salvador 144A 6.375%,
1/18/27(3) |
|
|
|
|
1,320 |
|
|
|
|
|
1,353 |
|
|
|
|
|
|
|
|
|
| Republic of Ghana RegS 10.750%, 10/14/30(4) |
|
|
|
|
950 |
|
|
|
|
|
1,072 |
|
|
|
|
|
|
|
|
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| Republic of Indonesia |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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| Series FR63, 5.625%, 5/15/23 |
|
|
|
|
7,482,000IDR |
|
|
|
|
|
521 |
|
|
|
|
|
|
|
|
|
| Series FR56, 8.375%, 9/15/26 |
|
|
|
|
10,725,000IDR |
|
|
|
|
|
880 |
|
|
|
|
|
|
|
|
|
| Republic of Iraq RegS 5.800%, 1/15/28(4) |
|
|
|
|
890 |
|
|
|
|
|
723 |
|
|
|
|
|
|
|
|
|
| Republic of Kazakhstan 144A 5.125%,
7/21/25(3) |
|
|
|
|
260 |
|
|
|
|
|
292 |
|
|
|
|
|
|
|
|
|
| Republic of Peru 4.125%, 8/25/27 |
|
|
|
|
670 |
|
|
|
|
|
759 |
|
|
|
|
|
|
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|
| Republic of Romania |
|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
| RegS 4.875%, 1/22/24(4) |
|
|
|
|
650 |
|
|
|
|
|
742 |
|
|
|
|
|
|
|
|
|
| 144A 4.875%, 1/22/24(3) |
|
|
|
|
390 |
|
|
|
|
|
445 |
|
|
|
|
|
|
|
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|
| Republic of South Africa |
|
|
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|
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|
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|
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| Series R203, 8.250%, 9/15/17 |
|
|
|
|
8,060ZAR |
|
|
|
|
|
551 |
|
|
|
|
|
|
|
|
|
| Series R208, 6.750%, 3/31/21 |
|
|
|
|
5,820ZAR |
|
|
|
|
|
370 |
|
|
|
|
|
|
|
|
|
| Republic of Sri Lanka 144A 6.850%,
11/3/25(3) |
|
|
|
|
900 |
|
|
|
|
|
970 |
|
|
|
|
|
|
|
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|
| Republic of Turkey |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 9.000%, 3/8/17 |
|
|
|
|
1,090TRY |
|
|
|
|
|
371 |
|
|
|
|
|
|
|
|
|
| 6.250%, 9/26/22 |
|
|
|
|
340 |
|
|
|
|
|
377 |
|
|
|
|
|
|
|
|
|
| 4.875%, 10/9/26 |
|
|
|
|
1,760 |
|
|
|
|
|
1,813 |
|
|
|
|
|
|
|
|
|
| 4.875%, 4/16/43 |
|
|
|
|
935 |
|
|
|
|
|
894 |
|
|
|
|
|
|
|
|
|
| Republic of Uruguay 5.100%, 6/18/50 |
|
|
|
|
500 |
|
|
|
|
|
527 |
|
|
|
|
|
|
|
|
|
| Russian Federation 144A 7.850%, 3/10/18(3) |
|
|
|
|
55,000RUB |
|
|
|
|
|
830 |
|
|
|
|
|
|
|
|
|
| Sultanate of Oman 144A 4.750%, 6/15/26(3) |
|
|
|
|
1,280 |
|
|
|
|
|
1,324 |
|
|
|
|
|
|
|
|
|
| Ukraine 144A 7.750%, 9/1/26(3) |
|
|
|
|
730 |
|
|
|
|
|
701 |
|
|
|
|
|
|
|
|
|
| United Mexican States |
|
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|
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| Series M, 6.500%, 6/9/22 |
|
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|
24,898MXN |
|
|
|
|
|
1,378 |
|
|
|
|
|
|
|
|
|
| 4.750%, 3/8/44 |
|
|
|
|
1,006 |
|
|
|
|
|
1,108 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $38,076) |
|
|
|
|
|
|
|
|
|
|
37,524 |
|
|
|
|
|
| |
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES—11.4% |
|
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|
|
|
|
|
|
|
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|
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| Agency—6.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FHLMC 3.500%, 4/1/46 |
|
|
|
|
436 |
|
|
|
|
|
459 |
|
|
|
|
|
|
|
|
|
| FNMA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 11/1/42 |
|
|
|
|
667 |
|
|
|
|
|
705 |
|
|
|
|
|
|
|
|
|
| 3.000%, 5/1/43 |
|
|
|
|
675 |
|
|
|
|
|
701 |
|
|
|
|
|
|
|
|
|
| 3.500%, 1/1/45 |
|
|
|
|
1,278 |
|
|
|
|
|
1,346 |
|
|
|
|
|
|
|
|
|
| 3.500%, 8/1/45 |
|
|
|
|
881 |
|
|
|
|
|
929 |
|
|
|
|
|
|
|
|
|
| 3.500%, 9/1/45 |
|
|
|
|
2,224 |
|
|
|
|
|
2,343 |
|
|
|
|
|
|
|
|
|
| 3.000%, 12/1/45 |
|
|
|
|
2,173 |
|
|
|
|
|
2,255 |
|
|
|
|
|
|
|
|
|
| 3.500%, 12/1/45 |
|
|
|
|
1,346 |
|
|
|
|
|
1,418 |
|
|
|
See Notes to Schedules of
Investments
1
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Agency—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 12/1/45 |
|
$ |
|
|
577 |
|
|
$ |
|
|
608 |
|
|
|
|
|
|
|
|
|
| 3.000%, 2/1/46 |
|
|
|
|
1,130 |
|
|
|
|
|
1,173 |
|
|
|
|
|
|
|
|
|
| 3.000%, 5/1/46 |
|
|
|
|
613 |
|
|
|
|
|
636 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency—5.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Homes 4 Rent 14-SFR2, C 144A 4.705%,
10/17/36(3) |
|
|
|
|
770 |
|
|
|
|
|
837 |
|
|
|
|
|
|
|
|
|
| Ameriquest Mortgage Securities, Inc. 03-AR3, M4 4.450%, 6/25/33(2) |
|
|
|
|
855 |
|
|
|
|
|
819 |
|
|
|
|
|
|
|
|
|
| CIT Group Home Equity Loan Trust 03-1, A5 5.480%,
7/20/34(2) |
|
|
|
|
1,450 |
|
|
|
|
|
1,459 |
|
|
|
|
|
|
|
|
|
| Credit Suisse Commercial Mortgage Trust 07-C5, A1AM 5.870%,
9/15/40(2) |
|
|
|
|
490 |
|
|
|
|
|
446 |
|
|
|
|
|
|
|
|
|
| Credit Suisse Mortgage Trust 06-08, 3A1 6.000%, 10/25/21 |
|
|
|
|
347 |
|
|
|
|
|
332 |
|
|
|
|
|
|
|
|
|
| Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.510%,
8/10/44(2)(3) |
|
|
|
|
660 |
|
|
|
|
|
694 |
|
|
|
|
|
|
|
|
|
| GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.495%,
12/15/34(2)(3) |
|
|
|
|
525 |
|
|
|
|
|
535 |
|
|
|
|
|
|
|
|
|
| GSAA Home Equity Trust 05-12, AF3W 4.999%,
9/25/35(2) |
|
|
|
|
410 |
|
|
|
|
|
414 |
|
|
|
|
|
|
|
|
|
| Home Equity Loan Trust 07-HSA3, AI4 6.110%,
6/25/37(2) |
|
|
|
|
1,131 |
|
|
|
|
|
1,137 |
|
|
|
|
|
|
|
|
|
| JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust 07-PWR15, AMFX 144A 5.363%, 2/11/44(3) |
|
|
|
|
220 |
|
|
|
|
|
200 |
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust 07-LDPX, AM 5.464%, 1/15/49(2) |
|
|
|
|
367 |
|
|
|
|
|
357 |
|
|
|
|
|
|
|
|
|
| MASTR Alternative Loan Trust 04-6, 7A1 6.000%, 7/25/34 |
|
|
|
|
879 |
|
|
|
|
|
858 |
|
|
|
|
|
|
|
|
|
| Towd Point Mortgage Trust 15-2, 1M1 144A 3.250%,
11/25/60(2)(3) |
|
|
|
|
915 |
|
|
|
|
|
892 |
|
|
|
|
|
|
|
|
|
| Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50 |
|
|
|
|
690 |
|
|
|
|
|
733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,713 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $22,057) |
|
|
|
|
|
|
|
|
|
|
22,286 |
|
|
|
|
|
| |
|
|
|
|
|
| ASSET-BACKED SECURITIES—4.6% |
|
|
|
|
|
|
|
|
|
| CarFinance Capital Auto Trust 14-1A, D 144A 4.900%,
4/15/20(3) |
|
|
|
|
1,750 |
|
|
|
|
|
1,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43(3) |
|
$ |
|
|
785 |
|
|
$ |
|
|
786 |
|
|
|
|
|
|
|
|
|
| Citi Held For Asset Issuance 15-PM3, B 144A 4.310%,
5/16/22(3) |
|
|
|
|
1,000 |
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
| DB Master Finance LLC 15-A1, A2II 144A 3.980%,
2/20/45(3) |
|
|
|
|
286 |
|
|
|
|
|
292 |
|
|
|
|
|
|
|
|
|
| DT Auto Owner Trust 15-3A, C 144A 3.250%,
7/15/21(3) |
|
|
|
|
645 |
|
|
|
|
|
647 |
|
|
|
|
|
|
|
|
|
| Exeter Automobile Receivables Trust 14-3A, D 144A 5.690%, 4/15/21(3) |
|
|
|
|
730 |
|
|
|
|
|
727 |
|
|
|
|
|
|
|
|
|
| Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%,
10/15/42(3) |
|
|
|
|
428 |
|
|
|
|
|
433 |
|
|
|
|
|
|
|
|
|
| Flagship Credit Auto Trust 16-3, D 144A 3.890%,
11/15/22(3) |
|
|
|
|
785 |
|
|
|
|
|
781 |
|
|
|
|
|
|
|
|
|
| Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25 |
|
|
|
|
420 |
|
|
|
|
|
422 |
|
|
|
|
|
|
|
|
|
| LEAF Receivables Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10 LLC 15-1, E2 144A 6.000%, 6/15/23(3) |
|
|
|
|
425 |
|
|
|
|
|
414 |
|
|
|
|
|
|
|
|
|
| 11 LLC 16-1, E2 144A 6.000%, 6/15/24(3) |
|
|
|
|
250 |
|
|
|
|
|
231 |
|
|
|
|
|
|
|
|
|
| Taco Bell Funding LLC 16-1A, A21 144A 3.832%,
5/25/46(3) |
|
|
|
|
760 |
|
|
|
|
|
770 |
|
|
|
|
|
|
|
|
|
| Wendy’s Funding LLC 15-1A, A2II 144A 4.080%,
6/15/45(3) |
|
|
|
|
779 |
|
|
|
|
|
786 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $9,054) |
|
|
|
|
|
|
|
|
|
|
9,029 |
|
|
|
|
|
| |
|
|
|
|
|
| CORPORATE BONDS AND NOTES—80.9% |
|
|
|
|
|
|
|
|
|
| Consumer Discretionary—7.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Argos Merger Sub, Inc. 144A 7.125%,
3/15/23(3) |
|
|
|
|
595 |
|
|
|
|
|
627 |
|
|
|
|
|
|
|
|
|
| Beazer Homes USA, Inc. 5.750%, 6/15/19 |
|
|
|
|
415 |
|
|
|
|
|
418 |
|
|
|
|
|
|
|
|
|
| Boyd Gaming Corp. 6.875%, 5/15/23 |
|
|
|
|
320 |
|
|
|
|
|
347 |
|
|
|
|
|
|
|
|
|
| Brookfield Residential Properties, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.500%, 12/15/20(3) |
|
|
|
|
645 |
|
|
|
|
|
666 |
|
|
|
|
|
|
|
|
|
| 144A 6.125%, 7/1/22(3) |
|
|
|
|
215 |
|
|
|
|
|
217 |
|
|
|
|
|
|
|
|
|
| Caesars Entertainment Operating Co., Inc. 9.000%,
2/15/20(15) |
|
|
|
|
750 |
|
|
|
|
|
744 |
|
|
|
|
|
|
|
|
|
| Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20 |
|
|
|
|
500 |
|
|
|
|
|
510 |
|
|
|
|
|
|
|
|
|
| Caesars Growth Properties Holdings LLC Finance, Inc. 9.375%, 5/1/22 |
|
|
|
|
540 |
|
|
|
|
|
547 |
|
|
|
|
|
|
|
|
|
| Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20 |
|
|
|
|
655 |
|
|
|
|
|
663 |
|
|
|
|
|
|
|
|
|
| Dakota Merger Sub, Inc. 144A 7.750%,
9/1/23(3) |
|
|
|
|
55 |
|
|
|
|
|
56 |
|
|
|
See Notes to
Schedules of Investments
2
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
|
|
| Consumer Discretionary—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Dana Financing Luxembourg S.a.r.l. 144A 6.500%,
6/1/26(3) |
|
$ |
|
|
200 |
|
|
$ |
|
|
210 |
|
|
|
|
|
|
| DISH DBS Corp. 144A 7.750%, 7/1/26(3) |
|
|
|
|
40 |
|
|
|
|
|
43 |
|
|
|
|
|
|
| Grupo Televisa SAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.625%, 1/30/26 |
|
|
|
|
525 |
|
|
|
|
|
580 |
|
|
|
|
|
|
| 7.250%, 5/14/43 |
|
|
|
|
8,000MXN |
|
|
|
|
|
369 |
|
|
|
|
|
|
| International Game Technology plc 144A 6.250%,
2/15/22(3) |
|
|
|
|
400 |
|
|
|
|
|
433 |
|
|
|
|
|
|
| Landry’s, Inc. 144A
9.375%,
5/1/20(3) |
|
|
|
|
285 |
|
|
|
|
|
300 |
|
|
|
|
|
|
| M/I Homes, Inc. 6.750%, 1/15/21 |
|
|
|
|
395 |
|
|
|
|
|
415 |
|
|
|
|
|
|
| MDC Holdings, Inc. 5.500%, 1/15/24 |
|
|
|
|
655 |
|
|
|
|
|
688 |
|
|
|
|
|
|
| MGM Growth Properties Operating Partnership LP (MGP Finance Co-Issuer, Inc.) 144A 5.625%, 5/1/24(3) |
|
|
|
|
100 |
|
|
|
|
|
108 |
|
|
|
|
|
|
| MGM Resorts International 6.000%, 3/15/23 |
|
|
|
|
730 |
|
|
|
|
|
794 |
|
|
|
|
|
|
| Mohegan Tribal Gaming Authority 9.750%, 9/1/21 |
|
|
|
|
480 |
|
|
|
|
|
517 |
|
|
|
|
|
|
| MPG Holdco I, Inc. 7.375%, 10/15/22 |
|
|
|
|
100 |
|
|
|
|
|
104 |
|
|
|
|
|
|
| New York University 4.142%, 7/1/48 |
|
|
|
|
420 |
|
|
|
|
|
436 |
|
|
|
|
|
|
| Numericable Group S.A. 144A 7.375%,
5/1/26(3) |
|
|
|
|
200 |
|
|
|
|
|
207 |
|
|
|
|
|
|
| QVC, Inc. 5.125%, 7/2/22 |
|
|
|
|
690 |
|
|
|
|
|
736 |
|
|
|
|
|
|
| Scientific Games International, Inc. 144A 7.000%,
1/1/22(3) |
|
|
|
|
465 |
|
|
|
|
|
496 |
|
|
|
|
|
|
| SFR Group S.A. 144A 6.000%, 5/15/22(3) |
|
|
|
|
845 |
|
|
|
|
|
867 |
|
|
|
|
|
|
| Sirius XM Radio, Inc. 144A 5.375%,
7/15/26(3) |
|
|
|
|
630 |
|
|
|
|
|
650 |
|
|
|
|
|
|
| TI Group Automotive Systems LLC 144A 8.750%,
7/15/23(3) |
|
|
|
|
415 |
|
|
|
|
|
435 |
|
|
|
|
|
|
| Toll Brothers Finance Corp. 4.875%, 11/15/25 |
|
|
|
|
740 |
|
|
|
|
|
778 |
|
|
|
|
|
|
| TRI Pointe Group, Inc. 5.875%, 6/15/24 |
|
|
|
|
830 |
|
|
|
|
|
871 |
|
|
|
|
|
|
| VTR Finance BV 144A 6.875%, 1/15/24(3) |
|
|
|
|
555 |
|
|
|
|
|
584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,416
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples—1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pilgrim’s Pride Corp. 144A 5.750%,
3/15/25(3) |
|
|
|
|
270 |
|
|
|
|
|
280 |
|
|
|
|
|
|
| Rite Aid Corp. 144A 6.125%, 4/1/23(3) |
|
|
|
|
195 |
|
|
|
|
|
211 |
|
|
|
|
|
|
| Safeway, Inc. 7.250%, 2/1/31 |
|
|
|
|
655 |
|
|
|
|
|
656 |
|
|
|
|
|
|
| Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%,
6/15/22(3) |
|
|
|
|
795 |
|
|
|
|
|
718 |
|
|
|
|
|
|
| Whole Foods Market, Inc. 144A 5.200%,
12/3/25(3) |
|
|
|
|
427 |
|
|
|
|
|
464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,329
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—18.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Afren plc |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 10.250%, 4/8/19(3)(14) |
|
|
|
|
635 |
|
|
|
|
|
—(17) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Energy—(continued) |
|
|
|
|
|
|
| 144A 6.625%, 12/9/20(3)(14) |
|
$ |
|
|
732 |
|
|
$ |
|
|
—(17) |
|
|
|
|
|
|
| Alberta Energy Co., Ltd. 8.125%, 9/15/30 |
|
|
|
|
280 |
|
|
|
|
|
322 |
|
|
|
|
|
|
| Anadarko Petroleum Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.850%, 3/15/21 |
|
|
|
|
130 |
|
|
|
|
|
138 |
|
|
|
|
|
|
| 5.550%, 3/15/26 |
|
|
|
|
180 |
|
|
|
|
|
199 |
|
|
|
|
|
|
| 6.600%, 3/15/46 |
|
|
|
|
390 |
|
|
|
|
|
466 |
|
|
|
|
|
|
| Blue Racer Midstream LLC 144A 6.125%,
11/15/22(3) |
|
|
|
|
235 |
|
|
|
|
|
227 |
|
|
|
|
|
|
| Carrizo Oil & Gas, Inc. 6.250%, 4/15/23 |
|
|
|
|
565 |
|
|
|
|
|
561 |
|
|
|
|
|
|
| Cheniere Corpus Christi Holdings LLC 144A 7.000%,
6/30/24(3) |
|
|
|
|
360 |
|
|
|
|
|
387 |
|
|
|
|
|
|
| Cimarex Energy Co. 4.375%, 6/1/24 |
|
|
|
|
380 |
|
|
|
|
|
398 |
|
|
|
|
|
|
| Concho Resources, Inc. 5.500%, 4/1/23 |
|
|
|
|
255 |
|
|
|
|
|
265 |
|
|
|
|
|
|
| Continental Resources, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 9/15/22 |
|
|
|
|
435 |
|
|
|
|
|
423 |
|
|
|
|
|
|
| 4.500%, 4/15/23 |
|
|
|
|
260 |
|
|
|
|
|
246 |
|
|
|
|
|
|
| Ecopetrol S.A. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, 9/18/23 |
|
|
|
|
535 |
|
|
|
|
|
581 |
|
|
|
|
|
|
| 4.125%, 1/16/25 |
|
|
|
|
865 |
|
|
|
|
|
837 |
|
|
|
|
|
|
| 5.375%, 6/26/26 |
|
|
|
|
280 |
|
|
|
|
|
288 |
|
|
|
|
|
|
| Enbridge Energy Partners LP 4.375%, 10/15/20 |
|
|
|
|
155 |
|
|
|
|
|
162 |
|
|
|
|
|
|
| Encana Corp. 3.900%, 11/15/21 |
|
|
|
|
275 |
|
|
|
|
|
272 |
|
|
|
|
|
|
| EnLink Midstream Partners LP 4.850%, 7/15/26 |
|
|
|
|
65 |
|
|
|
|
|
65 |
|
|
|
|
|
|
| EnQuest plc 144A 7.000%,
4/15/22(3) |
|
|
|
|
930 |
|
|
|
|
|
507 |
|
|
|
|
|
|
| Fermaca Enterprises S de RL de CV 144A 6.375%,
3/30/38(3) |
|
|
|
|
1,354 |
|
|
|
|
|
1,410 |
|
|
|
|
|
|
| FTS International, Inc. 6.250%, 5/1/22 |
|
|
|
|
620 |
|
|
|
|
|
220 |
|
|
|
|
|
|
| Gazprom OAO (Gaz Capital S.A.) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.000%, 11/27/23(3)(7) |
|
|
|
|
335 |
|
|
|
|
|
360 |
|
|
|
|
|
|
| 144A 4.950%, 2/6/28(3)(7) |
|
|
|
|
1,300 |
|
|
|
|
|
1,305 |
|
|
|
|
|
|
| Helmerich & Payne International Drilling Co. 4.650%, 3/15/25 |
|
|
|
|
405 |
|
|
|
|
|
430 |
|
|
|
|
|
|
| Holly Energy Partners LP (Holly Energy Finance Corp.) 144A 6.000%, 8/1/24(3) |
|
|
|
|
70 |
|
|
|
|
|
72 |
|
|
|
|
|
|
| KazMunayGas National Co. 144A 6.375%,
4/9/21(3) |
|
|
|
|
460 |
|
|
|
|
|
505 |
|
|
|
|
|
|
| Kinder Morgan, Inc. 7.750%, 1/15/32 |
|
|
|
|
795 |
|
|
|
|
|
960 |
|
|
|
|
|
|
| Kunlun Energy Co., Ltd. 144A 3.750%,
5/13/25(3) |
|
|
|
|
700 |
|
|
|
|
|
740 |
|
|
|
|
|
|
| Lukoil OAO International Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.125%, 11/9/20(3)(7) |
|
|
|
|
1,100 |
|
|
|
|
|
1,203 |
|
|
|
|
|
|
| 144A 4.563%, 4/24/23(3) |
|
|
|
|
800 |
|
|
|
|
|
824 |
|
|
| See Notes to Schedules of Investments |
3
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Energy—(continued) |
|
|
|
|
|
|
|
|
|
| Midcontinent Express Pipeline LLC 144A 6.700%,
9/15/19(3)(11) |
|
$ |
|
|
1,000 |
|
|
$ |
|
|
1,045 |
|
|
|
|
|
|
|
|
|
| MPLX LP 144A 4.875%, 12/1/24(3) |
|
|
|
|
1,025 |
|
|
|
|
|
1,048 |
|
|
|
|
|
|
|
|
|
| Murphy Oil Corp. 6.875%, 8/15/24 |
|
|
|
|
60 |
|
|
|
|
|
63 |
|
|
|
|
|
|
|
|
|
| Newfield Exploration Co. 5.625%, 7/1/24 |
|
|
|
|
745 |
|
|
|
|
|
769 |
|
|
|
|
|
|
|
|
|
| NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19 |
|
|
|
|
520 |
|
|
|
|
|
490 |
|
|
|
|
|
|
|
|
|
| Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%,
10/1/22(3) |
|
|
|
|
1,327 |
|
|
|
|
|
199 |
|
|
|
|
|
|
|
|
|
| Pacific Exploration and Production Corp. 144A 5.375%,
1/26/19(3)(14) |
|
|
|
|
690 |
|
|
|
|
|
124 |
|
|
|
|
|
|
|
|
|
| Parker Drilling Co. 6.750%, 7/15/22 |
|
|
|
|
350 |
|
|
|
|
|
275 |
|
|
|
|
|
|
|
|
|
| Parsley Energy LLC (Parsley Finance Corp.) 144A 6.250%,
6/1/24(3) |
|
|
|
|
855 |
|
|
|
|
|
887 |
|
|
|
|
|
|
|
|
|
| Pertamina Persero PT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 4.300%, 5/20/23(3) |
|
|
|
|
1,200 |
|
|
|
|
|
1,254 |
|
|
|
|
|
|
|
|
|
| 144A 6.000%, 5/3/42(3) |
|
|
|
|
1,200 |
|
|
|
|
|
1,326 |
|
|
|
|
|
|
|
|
|
| 144A 5.625%, 5/20/43(3) |
|
|
|
|
410 |
|
|
|
|
|
433 |
|
|
|
|
|
|
|
|
|
| Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8.750%, 5/23/26 |
|
|
|
|
520 |
|
|
|
|
|
572 |
|
|
|
|
|
|
|
|
|
| 6.750%, 1/27/41 |
|
|
|
|
1,800 |
|
|
|
|
|
1,573 |
|
|
|
|
|
|
|
|
|
| Petroleos de Venezuela SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RegS 8.500%, 11/2/17(4) |
|
|
|
|
1,307 |
|
|
|
|
|
960 |
|
|
|
|
|
|
|
|
|
| 144A 6.000%, 5/16/24(3) |
|
|
|
|
2,120 |
|
|
|
|
|
790 |
|
|
|
|
|
|
|
|
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 1/15/25 |
|
|
|
|
700 |
|
|
|
|
|
700 |
|
|
|
|
|
|
|
|
|
| 144A 6.875%, 8/4/26(3) |
|
|
|
|
350 |
|
|
|
|
|
407 |
|
|
|
|
|
|
|
|
|
| 6.500%, 6/2/41 |
|
|
|
|
700 |
|
|
|
|
|
742 |
|
|
|
|
|
|
|
|
|
| 6.375%, 1/23/45 |
|
|
|
|
800 |
|
|
|
|
|
842 |
|
|
|
|
|
|
|
|
|
| QEP Resources, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 3/1/21 |
|
|
|
|
340 |
|
|
|
|
|
357 |
|
|
|
|
|
|
|
|
|
| 5.250%, 5/1/23 |
|
|
|
|
325 |
|
|
|
|
|
320 |
|
|
|
|
|
|
|
|
|
| Range Resources Corp. 5.000%, 3/15/23 |
|
|
|
|
700 |
|
|
|
|
|
695 |
|
|
|
|
|
|
|
|
|
| Regency Energy Partners LP 5.000%, 10/1/22 |
|
|
|
|
650 |
|
|
|
|
|
690 |
|
|
|
|
|
|
|
|
|
| Sabine Pass Liquefaction LLC 5.625%, 2/1/21 |
|
|
|
|
675 |
|
|
|
|
|
712 |
|
|
|
|
|
|
|
|
|
| SM Energy Co. 6.125%, 11/15/22 |
|
|
|
|
290 |
|
|
|
|
|
283 |
|
|
|
|
|
|
|
|
|
| Southern Gas Corridor CJSC 144A 6.875%,
3/24/26(3) |
|
|
|
|
655 |
|
|
|
|
|
737 |
|
|
|
|
|
|
|
|
|
| State Oil Co. (Republic of Azerbaijan) 4.750%, 3/13/23 |
|
|
|
|
850 |
|
|
|
|
|
836 |
|
|
|
|
|
|
|
|
|
| Sunoco LP (Sunoco Finance Corp.) 144A 6.375%,
4/1/23(3) |
|
|
|
|
1,015 |
|
|
|
|
|
1,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Energy—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Transocean, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6.800%, 12/15/16(2) |
|
$ |
|
|
255 |
|
|
$ |
|
|
258 |
|
|
|
|
|
|
|
|
|
| 144A 9.000%, 7/15/23(3) |
|
|
|
|
185 |
|
|
|
|
|
180 |
|
|
|
|
|
|
|
|
|
| 6.800%, 3/15/38 |
|
|
|
|
215 |
|
|
|
|
|
140 |
|
|
|
|
|
|
|
|
|
| Transportadora de Gas del Peru SA 144A 4.250%,
4/30/28(3) |
|
|
|
|
1,350 |
|
|
|
|
|
1,397 |
|
|
|
|
|
|
|
|
|
| YPF S.A. 144A 8.500%, 3/23/21(3) |
|
|
|
|
510 |
|
|
|
|
|
553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,081
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials—27.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Africa Finance Corp. 144A 4.375%, 4/29/20(3) |
|
|
|
|
800 |
|
|
|
|
|
836 |
|
|
|
|
|
|
|
|
|
| Akbank TAS 144A 7.500%, 2/5/18(3) |
|
|
|
|
1,900TRY |
|
|
|
|
|
600 |
|
|
|
|
|
|
|
|
|
| Allstate Corp. (The)
5.750%,
8/15/53(2)(6) |
|
|
|
|
1,710 |
|
|
|
|
|
1,847 |
|
|
|
|
|
|
|
|
|
| ALROSA Finance S.A. 144A 7.750%, 11/3/20(3) |
|
|
|
|
750 |
|
|
|
|
|
857 |
|
|
|
|
|
|
|
|
|
| Apollo Management Holdings LP 144A 4.000%,
5/30/24(3) |
|
|
|
|
785 |
|
|
|
|
|
810 |
|
|
|
|
|
|
|
|
|
| Ares Finance Co., LLC 144A 4.000%,
10/8/24(3) |
|
|
|
|
830 |
|
|
|
|
|
814 |
|
|
|
|
|
|
|
|
|
| Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) |
|
|
|
|
755 |
|
|
|
|
|
800 |
|
|
|
|
|
|
|
|
|
| Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21(3)(11) |
|
|
|
|
1,750 |
|
|
|
|
|
1,938 |
|
|
|
|
|
|
|
|
|
| Banco Continental S.A. RegS 5.500%,
11/18/20(4)(7) |
|
|
|
|
2,000 |
|
|
|
|
|
2,225 |
|
|
|
|
|
|
|
|
|
| Banco de Credito del Peru 144A 6.125%,
4/24/27(2)(3) |
|
|
|
|
1,225 |
|
|
|
|
|
1,365 |
|
|
|
|
|
|
|
|
|
| Banco de Credito e Inversiones 144A 4.000%,
2/11/23(3) |
|
|
|
|
1,860 |
|
|
|
|
|
1,965 |
|
|
|
|
|
|
|
|
|
| Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29(2)(3) |
|
|
|
|
1,260 |
|
|
|
|
|
1,387 |
|
|
|
|
|
|
|
|
|
| Banco Nacional de Comercio 144A 4.375%,
10/14/25(3) |
|
|
|
|
510 |
|
|
|
|
|
544 |
|
|
|
|
|
|
|
|
|
| Banco Santander Chile 144A 3.875%,
9/20/22(3)(11) |
|
|
|
|
1,600 |
|
|
|
|
|
1,689 |
|
|
|
|
|
|
|
|
|
| Banco Santander Mexico SA 144A 5.950%,
1/30/24(2)(3)(6) |
|
|
|
|
1,000 |
|
|
|
|
|
1,060 |
|
|
|
|
|
|
|
|
|
| Banco Votorantim S.A. 144A 7.375%,
1/21/20(3) |
|
|
|
|
381 |
|
|
|
|
|
402 |
|
|
|
|
|
|
|
|
|
| Bancolombia S.A. 5.125%, 9/11/22 |
|
|
|
|
1,220 |
|
|
|
|
|
1,279 |
|
|
|
|
|
|
|
|
|
| Bank of China Hong Kong Ltd. 144A 5.550%,
2/11/20(3) |
|
|
|
|
1,500 |
|
|
|
|
|
1,653 |
|
|
|
|
|
|
|
|
|
| Bank of China Ltd. 144A 5.000%, 11/13/24(3) |
|
|
|
|
675 |
|
|
|
|
|
739 |
|
|
|
|
|
|
|
|
|
| Barclays plc 3.200%, 8/10/21 |
|
|
|
|
450 |
|
|
|
|
|
453 |
|
|
|
|
|
|
|
|
|
| Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20 |
|
|
|
|
160,000CLP |
|
|
|
|
|
243 |
|
|
|
See Notes to
Schedules of Investments
4
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
|
| Citizens Financial Group, Inc. 5.500% (2) |
|
$ |
|
|
845 |
|
|
$ |
|
|
837 |
|
|
|
|
|
|
|
|
|
| Compass Bank 3.875%, 4/10/25 |
|
|
|
|
945 |
|
|
|
|
|
919 |
|
|
|
|
|
|
|
|
|
| Development Bank of Kazakhstan OJSC 144A 4.125%,
12/10/22(3) |
|
|
|
|
845 |
|
|
|
|
|
825 |
|
|
|
|
|
|
|
|
|
| Drawbridge Special Opportunities Fund LP 144A 5.000%,
8/1/21(3) |
|
|
|
|
925 |
|
|
|
|
|
881 |
|
|
|
|
|
|
|
|
|
| Eurasian Development Bank 144A 4.767%,
9/20/22(3) |
|
|
|
|
1,600 |
|
|
|
|
|
1,664 |
|
|
|
|
|
|
|
|
|
| First Niagara Financial Group, Inc. 7.250%, 12/15/21 |
|
|
|
|
1,400 |
|
|
|
|
|
1,714 |
|
|
|
|
|
|
|
|
|
| FS Investment Corp. 4.750%, 5/15/22 |
|
|
|
|
225 |
|
|
|
|
|
230 |
|
|
|
|
|
|
|
|
|
| Genworth Holdings, Inc. 4.900%, 8/15/23 |
|
|
|
|
530 |
|
|
|
|
|
435 |
|
|
|
|
|
|
|
|
|
| GrupoSura Finance SA 144A 5.500%, 4/29/26(3) |
|
|
|
|
755 |
|
|
|
|
|
818 |
|
|
|
|
|
|
|
|
|
| Guanay Finance Ltd. 144A 6.000%, 12/15/20(3) |
|
|
|
|
1,476 |
|
|
|
|
|
1,513 |
|
|
|
|
|
|
|
|
|
| Healthcare Realty Trust, Inc. 3.875%, 5/1/25 |
|
|
|
|
360 |
|
|
|
|
|
369 |
|
|
|
|
|
|
|
|
|
| Hospitality Properties Trust 4.500%, 3/15/25 |
|
|
|
|
745 |
|
|
|
|
|
758 |
|
|
|
|
|
|
|
|
|
| HSBC Finance Corp. 6.676%, 1/15/21(11) |
|
|
|
|
1,400 |
|
|
|
|
|
1,615 |
|
|
|
|
|
|
|
|
|
| ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) 5.875%, 2/1/22 |
|
|
|
|
680 |
|
|
|
|
|
638 |
|
|
|
|
|
|
|
|
|
| ICICI Bank Ltd. Dubai 144A 4.000%,
3/18/26(3) |
|
|
|
|
530 |
|
|
|
|
|
553 |
|
|
|
|
|
|
|
|
|
| ING Groep NV 6.000% (2)(5)(6) |
|
|
|
|
815 |
|
|
|
|
|
808 |
|
|
|
|
|
|
|
|
|
| Kazakhstan Temir Zholy Finance BV 144A 6.950%,
7/10/42(3) |
|
|
|
|
800 |
|
|
|
|
|
868 |
|
|
|
|
|
| Macquarie Group Ltd. |
|
|
|
|
|
|
|
|
|
| 144A 6.000%, 1/14/20(3)(11) |
|
|
|
|
1,100 |
|
|
|
|
|
1,219 |
|
|
|
|
|
|
|
|
|
| 144A 6.250%, 1/14/21(3) |
|
|
|
|
325 |
|
|
|
|
|
370 |
|
|
|
|
|
|
|
|
|
| Manulife Financial Corp. 4.150%, 3/4/26 |
|
|
|
|
600 |
|
|
|
|
|
654 |
|
|
|
|
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
|
| 144A 10.090%, 5/3/17(3) |
|
|
|
|
3,050BRL |
|
|
|
|
|
921 |
|
|
|
|
|
|
|
|
|
| 4.350%, 9/8/26 |
|
|
|
|
360 |
|
|
|
|
|
385 |
|
|
|
|
|
| MPT Operating Partnership LP |
|
|
|
|
|
|
|
|
|
| 6.375%, 3/1/24 |
|
|
|
|
140 |
|
|
|
|
|
154 |
|
|
|
|
|
|
|
|
|
| 5.500%, 5/1/24 |
|
|
|
|
145 |
|
|
|
|
|
153 |
|
|
|
|
|
|
|
|
|
| 5.250%, 8/1/26 |
|
|
|
|
35 |
|
|
|
|
|
37 |
|
|
|
|
|
|
|
|
|
| OM Asset Management plc 4.800%, 7/27/26 |
|
|
|
|
675 |
|
|
|
|
|
677 |
|
|
|
|
|
|
|
|
|
| Oversea-Chinese Banking Corp Ltd. 144A 4.250%,
6/19/24(3) |
|
|
|
|
1,500 |
|
|
|
|
|
1,623 |
|
|
|
|
|
|
|
|
|
| PKO Finance AB 144A 4.630%,
9/26/22(3)(7)(11) |
|
|
|
|
1,805 |
|
|
|
|
|
1,943 |
|
|
|
|
|
|
|
|
|
| Prudential Financial, Inc. 5.875%,
9/15/42(2) |
|
|
|
|
1,385 |
|
|
|
|
|
1,534 |
|
|
|
|
|
|
|
|
|
| Sberbank of Russia Via SB Capital S.A. 144A 5.500%,
2/26/24(2)(3)(7) |
|
|
|
|
650 |
|
|
|
|
|
647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Financials—(continued) |
|
|
|
|
|
|
|
|
|
| Select Income REIT 4.500%, 2/1/25 |
|
$ |
|
|
690 |
|
|
$ |
|
|
681 |
|
|
|
|
|
|
|
|
|
| Teachers Insurance & Annuity Association Asset Management Finance Co. LLC 144A 4.125%, 11/1/24(3) |
|
|
|
|
985 |
|
|
|
|
|
1,037 |
|
|
|
|
|
|
|
|
|
| Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(2)(3) |
|
|
|
|
640 |
|
|
|
|
|
647 |
|
|
|
|
|
|
|
|
|
| Trinity Acquisition plc 4.400%, 3/15/26 |
|
|
|
|
610 |
|
|
|
|
|
642 |
|
|
|
|
|
|
|
|
|
| Turkiye Garanti Bankasi AS 144A 5.250%,
9/13/22(3) |
|
|
|
|
1,095 |
|
|
|
|
|
1,114 |
|
|
|
|
|
|
|
|
|
| Ukreximbank Via Biz Finance plc 144A 9.625%,
4/27/22(3) |
|
|
|
|
870 |
|
|
|
|
|
859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care—1.7% |
|
|
|
|
|
|
|
|
|
| Concordia Healthcare Corp. 144A 7.000%,
4/15/23(3) |
|
|
|
|
110 |
|
|
|
|
|
86 |
|
|
|
|
|
|
|
|
|
| MEDNAX, Inc. 144A 5.250%, 12/1/23(3) |
|
|
|
|
310 |
|
|
|
|
|
326 |
|
|
|
|
|
|
|
|
|
| MPH Acquisition Holdings LLC 144A 7.125%,
6/1/24(3) |
|
|
|
|
35 |
|
|
|
|
|
38 |
|
|
|
|
|
|
|
|
|
| Quorum Health Corp. 144A 11.625%, 4/15/23(3) |
|
|
|
|
170 |
|
|
|
|
|
145 |
|
|
|
|
|
|
|
|
|
| Surgery Center Holdings, Inc. 144A 8.875%,
4/15/21(3) |
|
|
|
|
495 |
|
|
|
|
|
530 |
|
|
|
|
|
|
|
|
|
| Teleflex, Inc. 4.875%, 6/1/26 |
|
|
|
|
325 |
|
|
|
|
|
340 |
|
|
|
|
|
| Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
|
| 5.500%, 3/1/19 |
|
|
|
|
435 |
|
|
|
|
|
428 |
|
|
|
|
|
|
|
|
|
| 8.125%, 4/1/22 |
|
|
|
|
300 |
|
|
|
|
|
305 |
|
|
|
|
|
| Universal Health Services, Inc. |
|
|
|
|
|
|
|
|
|
| 144A 4.750%, 8/1/22(3) |
|
|
|
|
120 |
|
|
|
|
|
124 |
|
|
|
|
|
|
|
|
|
| 144A 5.000%, 6/1/26(3) |
|
|
|
|
285 |
|
|
|
|
|
296 |
|
|
|
|
|
|
|
|
|
| Valeant Pharmaceuticals International, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 6.375%, 10/15/20(3) |
|
|
|
|
695 |
|
|
|
|
|
667 |
|
|
|
|
|
|
|
|
|
| 144A 5.875%, 5/15/23(3) |
|
|
|
|
80 |
|
|
|
|
|
71 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials—7.7% |
|
|
|
|
|
|
|
|
|
| Air Canada Pass-Through-Trust
13-1, B 144A 5.375%,
5/15/21(3) |
|
|
|
|
1,110 |
|
|
|
|
|
1,148 |
|
|
|
|
|
|
|
|
|
| Alfa SAB de CV 144A 5.250%, 3/25/24(3) |
|
|
|
|
1,200 |
|
|
|
|
|
1,320 |
|
|
|
|
|
|
|
|
|
| America West Airlines Pass-Through-Trust 01-1, G 7.100%, 4/2/21 |
|
|
|
|
1,162 |
|
|
|
|
|
1,257 |
|
|
|
|
|
| Bombardier, Inc. |
|
|
|
|
|
|
|
|
|
| 144A 4.750%, 4/15/19(3) |
|
|
|
|
295 |
|
|
|
|
|
297 |
|
|
|
|
|
|
|
|
|
| 144A 6.125%, 1/15/23(3) |
|
|
|
|
555 |
|
|
|
|
|
524 |
|
|
|
See Notes to
Schedules of Investments
5
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Industrials—(continued) |
|
|
|
|
|
|
|
|
|
| Builders FirstSource, Inc. 144A 10.750%,
8/15/23(3) |
|
$ |
|
|
375 |
|
|
$ |
|
|
427 |
|
|
|
|
|
|
|
|
|
| Cemex Finance LLC 144A 6.000%, 4/1/24(3) |
|
|
|
|
645 |
|
|
|
|
|
682 |
|
|
|
|
|
|
|
|
|
| DP World Ltd. 144A 6.850%,
7/2/37(3) |
|
|
|
|
1,000 |
|
|
|
|
|
1,164 |
|
|
|
|
|
|
|
|
|
| Harland Clarke Holdings Corp. 144A 6.875%,
3/1/20(3) |
|
|
|
|
940 |
|
|
|
|
|
909 |
|
|
|
|
|
|
|
|
|
| JBS Investments GmbH 144A 7.250%, 4/3/24(3) |
|
|
|
|
780 |
|
|
|
|
|
830 |
|
|
|
|
|
|
|
|
|
| Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21 |
|
|
|
|
498 |
|
|
|
|
|
541 |
|
|
|
|
|
|
|
|
|
| Pelabuhan Indonesia II PT 144A 4.250%,
5/5/25(3) |
|
|
|
|
870 |
|
|
|
|
|
890 |
|
|
|
|
|
|
|
|
|
| Prime Security Services Borrower LLC (Prime Finance, Inc.) 144A 9.250%, 5/15/23(3) |
|
|
|
|
265 |
|
|
|
|
|
290 |
|
|
|
|
|
|
|
|
|
| SCF Capital Ltd. 144A 5.375%, 6/16/23(3) |
|
|
|
|
430 |
|
|
|
|
|
445 |
|
|
|
|
|
| Standard Industries, Inc. |
|
|
|
|
|
|
|
|
|
| 144A 5.125%, 2/15/21(3) |
|
|
|
|
25 |
|
|
|
|
|
26 |
|
|
|
|
|
|
|
|
|
| 144A 5.500%, 2/15/23(3) |
|
|
|
|
190 |
|
|
|
|
|
201 |
|
|
|
|
|
|
|
|
|
| Transnet SOC Ltd. 144A 4.000%, 7/26/22(3) |
|
|
|
|
1,000 |
|
|
|
|
|
963 |
|
|
|
|
|
|
|
|
|
| UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22 |
|
|
|
|
1,879 |
|
|
|
|
|
2,002 |
|
|
|
|
|
|
|
|
|
| United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22 |
|
|
|
|
499 |
|
|
|
|
|
509 |
|
|
|
|
|
| Wheels Up Finance I LLC |
|
|
|
|
|
|
|
|
|
| 16-01, A 7.342%, 6/30/17(2)(16) |
|
|
|
|
197 |
|
|
|
|
|
195 |
|
|
|
|
|
|
|
|
|
| 16-01, A 7.500%, 6/30/17 |
|
|
|
|
558 |
|
|
|
|
|
552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology—1.6% |
|
|
|
|
|
|
|
|
|
| Blackboard, Inc. 144A 7.750%, 11/15/19(3) |
|
|
|
|
420 |
|
|
|
|
|
397 |
|
|
|
|
|
|
|
|
|
| Diamond 1 Finance Corp. (Diamond 2 Finance Corp.) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144A 5.875%, 6/15/21(3) |
|
|
|
|
65 |
|
|
|
|
|
69 |
|
|
|
|
|
|
|
|
|
| 144A 5.450%, 6/15/23(3) |
|
|
|
|
135 |
|
|
|
|
|
144 |
|
|
|
|
|
|
|
|
|
| 144A 7.125%, 6/15/24(3) |
|
|
|
|
140 |
|
|
|
|
|
152 |
|
|
|
|
|
|
|
|
|
| 144A 6.020%, 6/15/26(3) |
|
|
|
|
125 |
|
|
|
|
|
134 |
|
|
|
|
|
|
|
|
|
| 144A 8.100%, 7/15/36(3) |
|
|
|
|
120 |
|
|
|
|
|
139 |
|
|
|
|
|
|
|
|
|
| 144A 8.350%, 7/15/46(3) |
|
|
|
|
135 |
|
|
|
|
|
157 |
|
|
|
|
|
|
|
|
|
| Flextronics International Ltd. 4.750%, 6/15/25 |
|
|
|
|
850 |
|
|
|
|
|
902 |
|
|
|
|
|
|
|
|
|
| Hewlett Packard Enterprise Co. 144A 4.900%,
10/15/25(3) |
|
|
|
|
325 |
|
|
|
|
|
346 |
|
|
|
|
|
|
|
|
|
| Infor US, Inc. 6.500%, 5/15/22 |
|
|
|
|
365 |
|
|
|
|
|
372 |
|
|
|
|
|
|
|
|
|
| Western Digital Corp. 144A 10.500%,
4/1/24(3) |
|
|
|
|
375 |
|
|
|
|
|
425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Materials—7.4% |
|
|
|
|
|
|
|
|
|
| AK Steel Corp. 7.500%, 7/15/23 |
|
$ |
|
|
340 |
|
|
$ |
|
|
370 |
|
|
|
|
|
|
|
|
|
| Aleris International, Inc. 144A 9.500%,
4/1/21(3) |
|
|
|
|
420 |
|
|
|
|
|
462 |
|
|
|
|
|
|
|
|
|
| Alpek SAB de C.V. 144A 5.375%, 8/8/23(3) |
|
|
|
|
1,230 |
|
|
|
|
|
1,358 |
|
|
|
|
|
|
|
|
|
| ArcelorMittal 6.125%, 6/1/25 |
|
|
|
|
865 |
|
|
|
|
|
934 |
|
|
|
|
|
|
|
|
|
| Ardagh Packaging Finance plc (Ardagh Holdings USA, Inc.) 144A 4.625%, 5/15/23(3) |
|
|
|
|
400 |
|
|
|
|
|
407 |
|
|
|
|
|
|
|
|
|
| BHP Billiton Finance USA Ltd. 144A 6.750%,
10/19/75(2)(3)(6) |
|
|
|
|
405 |
|
|
|
|
|
462 |
|
|
|
|
|
|
|
|
|
| Boise Cascade Co. 144A 5.625%, 9/1/24(3) |
|
|
|
|
525 |
|
|
|
|
|
538 |
|
|
|
|
|
|
|
|
|
| Cascades, Inc. 144A 5.500%, 7/15/22(3) |
|
|
|
|
710 |
|
|
|
|
|
717 |
|
|
|
|
|
|
|
|
|
| Eldorado Gold Corp. 144A 6.125%, 12/15/20(3) |
|
|
|
|
415 |
|
|
|
|
|
425 |
|
|
|
|
|
|
|
|
|
| Fibria Overseas Finance Ltd. 5.250%, 5/12/24 |
|
|
|
|
435 |
|
|
|
|
|
451 |
|
|
|
|
|
|
|
|
|
| Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22(3) |
|
|
|
|
510 |
|
|
|
|
|
592 |
|
|
|
|
|
| Freeport-McMoRan Copper & Gold, Inc. |
|
|
|
|
|
|
|
|
|
| 3.550%, 3/1/22 |
|
|
|
|
400 |
|
|
|
|
|
350 |
|
|
|
|
|
|
|
|
|
| 3.875%, 3/15/23 |
|
|
|
|
330 |
|
|
|
|
|
285 |
|
|
|
|
|
|
|
|
|
| Gerdau Trade, Inc.144A 5.750%, 1/30/21(3) |
|
|
|
|
500 |
|
|
|
|
|
510 |
|
|
|
|
|
|
|
|
|
| Gerdau Holdings, Inc. 144A 7.000%,
1/20/20(3) |
|
|
|
|
585 |
|
|
|
|
|
637 |
|
|
|
|
|
|
|
|
|
| Inversiones CMPC S.A. 144A 4.375%,
5/15/23(3) |
|
|
|
|
1,000 |
|
|
|
|
|
1,044 |
|
|
|
|
|
|
|
|
|
| Novelis Corp. 144A 6.250%,
8/15/24(3) |
|
|
|
|
50 |
|
|
|
|
|
52 |
|
|
|
|
|
|
|
|
|
| Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%,
4/25/24(3) |
|
|
|
|
1,500 |
|
|
|
|
|
1,651 |
|
|
|
|
|
| Reynolds Group Issuer, Inc. |
|
|
|
|
|
|
|
|
|
| 144A 5.125%, 7/15/23(3) |
|
|
|
|
135 |
|
|
|
|
|
140 |
|
|
|
|
|
|
|
|
|
| 144A 7.000%, 7/15/24(3) |
|
|
|
|
20 |
|
|
|
|
|
21 |
|
|
|
|
|
|
|
|
|
| Severstal OAO Via Steel Capital SA 144A 5.900%,
10/17/22(3)(7) |
|
|
|
|
1,100 |
|
|
|
|
|
1,203 |
|
|
|
|
|
| Teck Resources Ltd. |
|
|
|
|
|
|
|
|
|
| 144A 8.000%, 6/1/21(3) |
|
|
|
|
60 |
|
|
|
|
|
65 |
|
|
|
|
|
|
|
|
|
| 144A 8.500%, 6/1/24(3) |
|
|
|
|
165 |
|
|
|
|
|
186 |
|
|
|
|
|
|
|
|
|
| United States Steel Corp. 7.375%, 4/1/20 |
|
|
|
|
66 |
|
|
|
|
|
65 |
|
|
|
|
|
|
|
|
|
| Vale Overseas Ltd. 5.875%, 6/10/21 |
|
|
|
|
585 |
|
|
|
|
|
608 |
|
|
|
|
|
|
|
|
|
| Valvoline, Inc. 144A 5.500%, 7/15/24(3) |
|
|
|
|
90 |
|
|
|
|
|
95 |
|
|
|
|
|
|
|
|
|
| Vedanta Resources plc 144A 6.000%,
1/31/19(3) |
|
|
|
|
825 |
|
|
|
|
|
778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services—4.4% |
|
|
|
|
|
|
|
|
|
| Altice Financing S.A. 144A 6.625%,
2/15/23(3) |
|
|
|
|
700 |
|
|
|
|
|
731 |
|
|
|
|
|
|
|
|
|
| America Movil SAB de C.V. Series 12 6.450%, 12/5/22 |
|
|
|
|
8,000MXN |
|
|
|
|
|
412 |
|
|
|
See Notes to
Schedules of Investments
6
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
| Telecommunication Services—(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bharti Airtel International Netherlands
BV 144A 5.125%, 3/11/23(3)(11) |
|
$ |
|
|
1,430 |
|
|
$ |
|
|
1,576 |
|
|
|
|
|
|
|
|
|
| CenturyLink, Inc. Series Y 7.500%, 4/1/24 |
|
|
|
|
450 |
|
|
|
|
|
489 |
|
|
|
|
|
|
|
|
|
| Digicel Group Ltd. 144A 8.250%, 9/30/20(3) |
|
|
|
|
720 |
|
|
|
|
|
652 |
|
|
|
|
|
|
|
|
|
| Empresa Nacional de Telecomunicaciones S.A.
144A 4.875%, 10/30/24(3) |
|
|
|
|
415 |
|
|
|
|
|
426 |
|
|
|
|
|
|
|
|
|
| Frontier Communications Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 9/15/21 |
|
|
|
|
330 |
|
|
|
|
|
323 |
|
|
|
|
|
|
|
|
|
| 10.500%, 9/15/22 |
|
|
|
|
165 |
|
|
|
|
|
180 |
|
|
|
|
|
|
|
|
|
| GTH Finance BV 144A 7.250%, 4/26/23(3) |
|
|
|
|
600 |
|
|
|
|
|
649 |
|
|
|
|
|
|
|
|
|
| Neptune Finance Corp. 144A 10.125%,
1/15/23(3) |
|
|
|
|
200 |
|
|
|
|
|
229 |
|
|
|
|
|
|
|
|
|
| Qwest Corp. 7.250%, 9/15/25 |
|
|
|
|
345 |
|
|
|
|
|
373 |
|
|
|
|
|
|
|
|
|
| Sprint Communications, Inc. 6.000%, 11/15/22 |
|
|
|
|
335 |
|
|
|
|
|
306 |
|
|
|
|
|
|
|
|
|
| Sprint Corp. 7.250%, 9/15/21 |
|
|
|
|
710 |
|
|
|
|
|
706 |
|
|
|
|
|
|
|
|
|
| T-Mobile USA, Inc. 6.500%, 1/15/26 |
|
|
|
|
315 |
|
|
|
|
|
346 |
|
|
|
|
|
|
|
|
|
| Windstream Corp. 7.750%, 10/15/20 |
|
|
|
|
1,150 |
|
|
|
|
|
1,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,582
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities—2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel Electric Corp Ltd. 144A 6.875%,
6/21/23(3) |
|
|
|
|
725 |
|
|
|
|
|
870 |
|
|
|
|
|
|
|
|
|
| Lamar Funding Ltd. 144A 3.958%, 5/7/25(3) |
|
|
|
|
715 |
|
|
|
|
|
695 |
|
|
|
|
|
|
|
|
|
| Majapahit Holding BV 144A 7.750%, 1/20/20(3) |
|
|
|
|
540 |
|
|
|
|
|
630 |
|
|
|
|
|
|
|
|
|
| State Grid Overseas Investment Ltd. 144A 4.125%,
5/7/24(3) |
|
|
|
|
990 |
|
|
|
|
|
1,106 |
|
|
|
|
|
|
|
|
|
| Talen Energy Supply LLC 144A 4.625%,
7/15/19(3) |
|
|
|
|
525 |
|
|
|
|
|
496 |
|
|
|
|
|
|
|
|
|
| TerraForm Power Operating LLC 144A 5.875%,
2/1/23(3) |
|
|
|
|
750 |
|
|
|
|
|
757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,554
|
|
|
|
| |
|
|
|
| TOTAL CORPORATE BONDS
AND NOTES (Identified Cost $157,799)
|
|
|
|
|
|
158,381
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| LOAN AGREEMENTS(2)—11.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary—1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Caesars Entertainment Operating Co., Inc. Tranche B-4, 6.500%, 10/31/16(15) |
|
|
|
|
571 |
|
|
|
|
|
623 |
|
|
|
|
|
|
|
|
|
| Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21 |
|
|
|
|
309 |
|
|
|
|
|
299 |
|
|
|
|
|
|
|
|
|
| Cengage Learning, Inc. 5.250%, 6/7/23 |
|
|
|
|
212 |
|
|
|
|
|
212 |
|
|
|
|
|
|
|
|
|
| El Dorado Resorts, Inc. 4.250%,
7/25/22 |
|
|
|
|
156 |
|
|
|
|
|
157 |
|
|
|
|
|
|
|
|
|
| Graton Resort & Casino Tranche B, 4.750%, 9/1/22 |
|
|
|
|
192 |
|
|
|
|
|
193 |
|
|
|
|
|
|
|
|
|
| Harbor Freight Tools USA, Inc. 4.000%, 8/21/23 |
|
|
|
|
295 |
|
|
|
|
|
296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Consumer Discretionary—(continued) |
|
|
|
|
|
|
|
|
|
| Laureare Education, Inc. 2021 Extended, 8.157%, 3/17/21 |
|
$ |
|
|
468 |
|
|
$ |
|
|
466 |
|
|
|
|
|
|
|
|
|
| Leslie’s Poolmart, Inc. Tranche B 0.000%,
8/16/23(8) |
|
|
|
|
264 |
|
|
|
|
|
266 |
|
|
|
|
|
|
|
|
|
| PetSmart, Inc. Tranche B-1, 4.250%, 3/11/22 |
|
|
|
|
115 |
|
|
|
|
|
115 |
|
|
|
|
|
|
|
|
|
| Scientific Games International, Inc. Tranche B-2, 6.000%, 10/1/21 |
|
|
|
|
527 |
|
|
|
|
|
528 |
|
|
|
|
|
|
|
|
|
| UFC Holdings LLC Tranche B, 5.000%, 7/22/23 |
|
|
|
|
318 |
|
|
|
|
|
319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,474
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples—0.9% |
|
|
|
|
|
|
|
|
|
| Albertsons LLC Tranche B-5, 4.750%, 12/21/22 |
|
|
|
|
516 |
|
|
|
|
|
519 |
|
|
|
|
|
|
|
|
|
| Amplify Snack Brands, Inc. 0.000%,
8/24/23(8) |
|
|
|
|
675 |
|
|
|
|
|
672 |
|
|
|
|
|
|
|
|
|
| ASP MSG Acquisitions, Co., Inc. 6.000%, 8/16/23 |
|
|
|
|
136 |
|
|
|
|
|
137 |
|
|
|
|
|
|
|
|
|
| Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.) Second Lien, 9.750%, 4/30/20 |
|
|
|
|
390 |
|
|
|
|
|
399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,727
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—0.5% |
|
|
|
|
|
|
|
|
|
| California Resources Corp. 0.000%,
12/31/21(8) |
|
|
|
|
360 |
|
|
|
|
|
378 |
|
|
|
|
|
|
|
|
|
| Chesapeake Energy Corp. 0.000%, 8/17/21(8) |
|
|
|
|
106 |
|
|
|
|
|
110 |
|
|
|
|
|
|
|
|
|
| Jonah Energy LLC Second Lien, 7.500%, 5/12/21 |
|
|
|
|
456 |
|
|
|
|
|
401 |
|
|
|
|
|
|
|
|
|
| Sabine Oil & Gas LLC Second Lien, 12.000%,
12/31/18(14) |
|
|
|
|
825 |
|
|
|
|
|
33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
922
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials—1.0% |
|
|
|
|
|
|
|
|
|
| Capital Automotive LP Second Lien, 6.000%, 4/30/20 |
|
|
|
|
454 |
|
|
|
|
|
458 |
|
|
|
|
|
|
|
|
|
| iStar Financial, Inc. 5.500%, 7/1/20 |
|
|
|
|
1,032 |
|
|
|
|
|
1,041 |
|
|
|
|
|
|
|
|
|
| Walter Investment Management Corp. Tranche B, 0.000%,
12/18/20(8) |
|
|
|
|
580 |
|
|
|
|
|
534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,033
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care—1.9% |
|
|
|
|
|
|
|
|
|
| 21st Century Oncology, Inc. Tranche B, 7.125%, 4/30/22 |
|
|
|
|
228 |
|
|
|
|
|
218 |
|
|
|
|
|
|
|
|
|
| Amneal Pharmaceuticals LLC Tranche B, 5.250%, 11/1/19 |
|
|
|
|
530 |
|
|
|
|
|
530 |
|
|
|
|
|
|
|
|
|
| Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21 |
|
|
|
|
389 |
|
|
|
|
|
390 |
|
|
|
|
|
|
|
|
|
| CHG Healthcare Services, Inc. First Lien, 4.750%, 6/7/23 |
|
|
|
|
378 |
|
|
|
|
|
381 |
|
|
|
|
|
|
|
|
|
| InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18 |
|
|
|
|
755 |
|
|
|
|
|
757 |
|
|
|
|
| See Notes to Schedules of Investments |
7
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Health Care—(continued) |
|
|
|
|
|
|
|
|
|
| MMM Holdings, Inc.
9.750%,
12/12/17(12)(15) |
|
$ |
|
|
198 |
|
|
$ |
|
|
173 |
|
|
|
|
|
|
|
|
|
| MSO of Puerto Rico, Inc.
9.750%,
12/12/17(12)(15) |
|
|
|
|
144 |
|
|
|
|
|
126 |
|
|
|
|
|
|
|
|
|
| Multiplan, Inc. 5.000%, 6/7/23 |
|
|
|
|
187 |
|
|
|
|
|
189 |
|
|
|
|
|
|
|
|
|
| Quorum Health Corp. 6.750%, 4/29/22 |
|
|
|
|
355 |
|
|
|
|
|
341 |
|
|
|
|
|
|
|
|
|
| Surgery Center Holdings, Inc. First Lien, 5.250%, 11/3/20 |
|
|
|
|
483 |
|
|
|
|
|
484 |
|
|
|
|
|
|
|
|
|
| U.S. Renal Care, Inc. 5.250%, 12/30/22
|
|
|
|
|
151 |
|
|
|
|
|
146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,735
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials—1.3% |
|
|
|
|
|
|
|
|
|
| Brock Holdings III, Inc. First Lien, 6.000%, 3/16/17 |
|
|
|
|
411 |
|
|
|
|
|
402 |
|
|
|
|
|
|
|
|
|
| Filtration Group Corp. Second Lien, 8.250%, 11/22/21 |
|
|
|
|
206 |
|
|
|
|
|
203 |
|
|
|
|
|
|
|
|
|
| Husky Injection Molding Systems Ltd. 4.250%, 6/30/21 |
|
|
|
|
1,018 |
|
|
|
|
|
1,017 |
|
|
|
|
|
|
|
|
|
| McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22 |
|
|
|
|
385 |
|
|
|
|
|
387 |
|
|
|
|
|
|
|
|
|
| Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22
|
|
|
|
|
570 |
|
|
|
|
|
565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,574
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology—1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Applied Systems, Inc. Second Lien, 7.500%, 1/24/22 |
|
|
|
|
235 |
|
|
|
|
|
237 |
|
|
|
|
|
|
|
|
|
| First Data Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2021 Extended, 4.522%, 3/24/21 |
|
|
|
|
1,299 |
|
|
|
|
|
1,307 |
|
|
|
|
|
|
|
|
|
| 2022 Extended, 4.272%, 7/8/22 |
|
|
|
|
482 |
|
|
|
|
|
484 |
|
|
|
|
|
|
|
|
|
| Mitchell International, Inc. Second Lien, 8.500%, 10/11/21 |
|
|
|
|
259 |
|
|
|
|
|
253 |
|
|
|
|
|
|
|
|
|
| NXP BV (NXP Funding LLC) Tranche B, 3.750%, 12/7/20 |
|
|
|
|
284 |
|
|
|
|
|
286 |
|
|
|
|
|
|
|
|
|
| ON Semiconductor Corp. 5.250%, 3/31/23 |
|
|
|
|
194 |
|
|
|
|
|
197 |
|
|
|
|
|
|
|
|
|
| Presidio, Inc. Refinancing, Term, 5.250%, 2/2/22 |
|
|
|
|
642 |
|
|
|
|
|
642 |
|
|
|
|
|
|
|
|
|
| Western Digital Corp. Tranche B-1, 4.500%, 4/29/23
|
|
|
|
|
47 |
|
|
|
|
|
47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,453
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials—1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Anchor Glass Container Corp. Tranche B, 4.750%, 7/1/22 |
|
|
|
|
450 |
|
|
|
|
|
453 |
|
|
|
|
|
|
|
|
|
| CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22 |
|
|
|
|
405 |
|
|
|
|
|
395 |
|
|
|
|
|
|
|
|
|
| Fortescue Metals Group (FMG) Resources Property Ltd. 3.750%, 6/30/19 |
|
|
|
|
253 |
|
|
|
|
|
252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PAR VALUE |
|
|
|
|
VALUE
|
|
|
| Materials—(continued) |
|
|
|
|
|
|
|
|
|
| Macdermid, Inc. (Platform Speciality Products Corp.) Tranche B-3, 5.500%, 6/7/20 |
|
$ |
|
|
633 |
|
|
$ |
|
|
635 |
|
|
|
|
|
|
|
|
|
| Omnova Solutions, Inc. Tranche
B-2, 5.250%, 8/17/23 |
|
|
|
|
519 |
|
|
|
|
|
518 |
|
|
|
|
|
|
|
|
|
| PQ Corp. Tranche B-1, 5.750%, 11/4/22
|
|
|
|
|
107 |
|
|
|
|
|
108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,361
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities—1.2% |
|
|
|
|
|
|
|
|
|
| Atlantic Power LP 6.000%, 4/13/23 |
|
|
|
|
612 |
|
|
|
|
|
617 |
|
|
|
|
|
|
|
|
|
| Dynegy Finance IV, Inc. 5.000%, 6/27/23 |
|
|
|
|
647 |
|
|
|
|
|
649 |
|
|
|
|
|
|
|
|
|
| NRG Energy, Inc. 3.500%, 6/30/23 |
|
|
|
|
714 |
|
|
|
|
|
715 |
|
|
|
|
|
|
|
|
|
| Texas Competitive Electric Holdings Co. LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 10/31/17 |
|
|
|
|
286 |
|
|
|
|
|
287 |
|
|
|
|
|
|
|
|
|
| 5.000%, 10/31/17 |
|
|
|
|
66 |
|
|
|
|
|
66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,334
|
|
|
|
| |
|
|
|
| TOTAL LOAN
AGREEMENTS (Identified Cost $23,350)
|
|
|
22,613 |
|
|
|
| |
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
VALUE |
|
|
|
|
|
|
| PREFERRED STOCKS—3.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PTT Exploration & Production PCL 144A,
4.875%(2)(3)(11) |
|
|
|
|
1,100(9) |
|
|
|
|
|
1,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials—2.1% |
|
|
|
|
|
|
|
|
|
| Citigroup, Inc. 6.250% (2)(5) |
|
|
|
|
875(9) |
|
|
|
|
|
946 |
|
|
|
|
|
|
|
|
|
| Citigroup, Inc. Series J, 7.125%(2) |
|
|
|
|
30,800 |
|
|
|
|
|
931 |
|
|
|
|
|
|
|
|
|
| JPMorgan Chase & Co. Series
Z,
5.300%(2) |
|
|
|
|
160(9) |
|
|
|
|
|
164 |
|
|
|
|
|
|
|
|
|
| SunTrust Bank, Inc. 5.625%(2) |
|
|
|
|
60(9) |
|
|
|
|
|
62 |
|
|
|
|
|
|
|
|
|
| Wells Fargo & Co. Series K,
7.980%(2) |
|
|
|
|
840(9) |
|
|
|
|
|
888 |
|
|
|
|
|
|
|
|
|
| Zions Bancorp. 6.950%(2)
|
|
|
|
|
47,150 |
|
|
|
|
|
1,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials—0.7% |
|
|
|
|
|
|
|
|
|
| General Electric Co. Series D, 5.000%(2)
|
|
|
|
|
1,248(9) |
|
|
|
|
|
1,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| TOTAL PREFERRED
STOCKS (Identified Cost $6,267) |
|
|
6,862 |
|
|
|
| |
|
|
|
|
|
|
|
|
|
| COMMON STOCKS—0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy—0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hercules Offshore, Inc.(13)
|
|
|
|
|
10,017 |
|
|
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| TOTAL COMMON STOCKS
(Identified Cost $625) |
|
|
|
|
|
|
|
|
|
|
13 |
|
|
|
| |
|
|
|
See Notes to
Schedules of Investments
8
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
|
|
| PURCHASED OPTIONS—0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Call Options—0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/02/16 strike price $2,290 |
|
|
|
|
685 |
|
|
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/07/16 strike price $2,295 |
|
|
|
|
369 |
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/09/16 strike price $2,290 |
|
|
|
|
685 |
|
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/14/16 strike price $2,285 |
|
|
|
|
369 |
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put Options—0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/02/16 strike price $2,070 |
|
|
|
|
685 |
|
|
|
|
|
10 |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/07/16 strike price $2,060 |
|
|
|
|
369 |
|
|
|
|
|
26 |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/09/16 strike price $2,040 |
|
|
|
|
685 |
|
|
|
|
|
62 |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/14/16 strike price $2,035 |
|
|
|
|
369 |
|
|
|
|
|
48 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
146 |
|
|
|
| |
|
|
|
|
|
|
| TOTAL PURCHASED OPTIONS—0.1%
(Premiums Paid $393) |
|
|
151 |
|
|
|
|
|
| |
|
|
|
|
|
|
| TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—132.0%
(Identified Cost $259,117) |
|
|
258,513 |
(1)(10) |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| WRITTEN OPTIONS—(0.2)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Call Options—(0.0)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/02/16 strike price $2,240 |
|
|
|
|
685 |
|
|
|
|
|
(4 |
) |
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/07/16 strike price $2,245 |
|
|
|
|
369 |
|
|
|
|
|
— |
(17) |
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/09/16 strike price $2,240 |
|
|
|
|
685 |
|
|
|
|
|
(10 |
) |
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/14/16 strike price $2,235 |
|
|
|
|
369 |
|
|
|
|
|
(10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(24 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
CONTRACTS |
|
|
|
|
VALUE
|
|
|
|
|
|
|
| Put Options—(0.2)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/02/16 strike price $2,120 |
|
|
|
|
685 |
|
|
$ |
|
|
(45) |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/07/16 strike price $2,110 |
|
|
|
|
369 |
|
|
|
|
|
(54) |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/09/16 strike price $2,090 |
|
|
|
|
685 |
|
|
|
|
|
(113) |
|
|
|
|
|
|
|
|
|
| S&P 500 ® Index expiration 09/14/16 strike price $2,085 |
|
|
|
|
369 |
|
|
|
|
|
(139) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(351) |
|
|
|
| |
|
|
|
| TOTAL WRITTEN
OPTIONS—(0.2)% (Premiums Received $835)
|
|
|
(375)(1) |
|
|
|
| |
|
|
|
|
|
|
| TOTAL INVESTMENTS NET OF WRITTEN OPTIONS—131.8%
(Identified Cost $258,282) |
|
|
258,138 |
|
|
|
| |
|
|
|
| Other assets and liabilities, net—(31.8)% |
|
|
(62,266) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS—100.0% |
|
|
|
|
|
|
|
$ |
|
|
195,872
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbreviations:
| FHLMC |
Federal Home Loan Mortgage Corporation (“Freddie Mac”). |
| FNMA |
Federal National Mortgage Association (“Fannie Mae”). |
| REIT |
Real Estate Investment Trust |
Footnote Legend:
| (1) |
Federal Income Tax Information: For tax information at August 31, 2016, 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 August 31, 2016. |
| (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
August 31, 2016, these securities amounted to a value of $125,021 or 63.8% of net assets. |
|
| (4) |
Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
| (5) |
No contractual maturity date. |
| (6) |
Interest payments may be deferred. |
| (7) |
This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of
the borrower. |
| (8) |
This loan will settle after August 31, 2016, 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 borrowings. |
| (11) |
All or a portion of the security is segregated as collateral for written options. |
| (13) |
Non-income producing. |
| (14) |
Security in default, no interest payments are being received. |
| (15) |
Security in default, interest payments are being received during the bankruptcy proceedings. |
| (16) |
Coupon represents commitment fee for unfunded portion of the loan. |
| (17) |
Amount is less than $500 (not reported in 000s). |
See Notes to
Schedules of Investments
9
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
AUGUST
31, 2016 (Unaudited)
($ reported in thousands)
Foreign Currencies:
See Notes to
Schedules of Investments
10
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
SCHEDULE OF INVESTMENTS
AUGUST 31, 2016
(Unaudited)
($ reported in thousands)
|
|
|
| Country Weightings † |
|
|
| United States |
|
49% |
|
|
| Mexico |
|
6 |
|
|
| Argentina |
|
3 |
|
|
| Brazil |
|
3 |
|
|
| Chile |
|
3 |
|
|
| Canada |
|
2 |
|
|
| Indonesia |
|
2 |
|
|
| Other |
|
32 |
| |
|
| Total |
|
100% |
† % of total investments net of written options as of August 31, 2016
See Notes to
Schedules of Investments
11
The following table provides a summary of inputs used to value the Fund’s investments as of August 31, 2016 (See
Security Valuation Note 1A in the Notes to Schedule of Investments):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Total Value
at August 31,
2016 |
|
|
Level 1
Quoted Prices |
|
|
Level 2
Significant
Observable
Inputs |
|
|
Level 3
Significant
Unobservable
Inputs |
|
| Debt Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
9,029 |
|
|
$ |
— |
|
|
$ |
8,607 |
|
|
$ |
422 |
|
| Corporate Bonds and Notes |
|
|
158,381 |
|
|
|
— |
|
|
|
157,633 |
|
|
|
748 |
|
| Foreign Government Securities |
|
|
37,524 |
|
|
|
— |
|
|
|
37,524 |
|
|
|
— |
|
| Loan Agreements |
|
|
22,613 |
|
|
|
— |
|
|
|
22,580 |
|
|
|
33 |
|
| Mortgage-Backed Securities |
|
|
22,286 |
|
|
|
— |
|
|
|
22,286 |
|
|
|
— |
|
| Municipal Bonds |
|
|
1,654 |
|
|
|
— |
|
|
|
1,654 |
|
|
|
— |
|
| Equity Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
13 |
|
|
|
13 |
|
|
|
— |
|
|
|
— |
|
| Preferred Stocks |
|
|
6,862 |
|
|
|
2,340 |
|
|
|
4,522 |
|
|
|
— |
|
| Purchased Options |
|
|
151 |
|
|
|
151 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
| Total Investments before Written Options |
|
$ |
258,513 |
|
|
$ |
2,504 |
|
|
$ |
254,806 |
|
|
$ |
1,203 |
|
|
|
|
|
|
| Written Options |
|
$ |
(375) |
|
|
$ |
(375) |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
| Total Investments Net of Written Options |
|
$ |
258,138 |
|
|
$ |
2,129 |
|
|
$ |
254,806 |
|
|
$ |
1,203 |
|
|
|
|
|
|
There were no transfers from Level 1 to Level 2 related to securities held as of August 31, 2016. Securities held by the Fund with an end
of period Value of $1,409 were transferred from Level 2 to Level 1 since starting to use an exchange price.
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
|
Loan
Agreements |
|
|
|
|
Asset-
Backed
Securities |
|
|
|
|
Corporate
Bonds
and Notes |
|
|
|
|
|
|
|
|
|
| Balance as of November 30, 2015:
|
|
|
$ 1,851 |
|
|
$ |
|
|
1,435 |
|
|
$ |
|
|
416 |
|
|
$ |
|
|
— |
|
|
|
|
|
|
|
|
|
| Accrued discount/(premium) |
|
|
1 |
|
|
|
|
|
— |
|
|
(c) |
|
|
— |
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
| Realized gain (loss) |
|
|
2 |
|
|
|
|
|
2 |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
| Change in unrealized appreciation (depreciation)
|
|
|
56 |
|
|
|
|
|
51 |
|
|
|
|
|
6 |
|
|
|
|
|
(1) |
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
1,300 |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
1,300 |
|
|
|
|
|
|
|
|
|
| Sales(b)
|
|
|
(1,639) |
|
|
|
|
|
(1,087) |
|
|
|
|
|
— |
|
|
|
|
|
(552) |
|
|
|
|
|
|
|
|
|
| Transfers into Level 3 (a)(d)
|
|
|
33 |
|
|
|
|
|
33 |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
| Transfers from Level 3 (a)(d)
|
|
|
(401) |
|
|
|
|
|
(401) |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance as of August 31, 2016 |
|
|
$ 1,203 |
|
|
|
|
|
$ 33 |
|
|
|
|
|
$ 422 |
|
|
|
|
|
$ 748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
“Transfers into and/or from” represent the ending value as of August 31, 2016, 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. |
| |
(d) |
The transfers to/from Level 3 are due to an increase and/or decrease in trading activities at period end. |
None of the securities in this table are internally fair valued. The Fund’s investments that are categorized as Level 3 were valued utilizing third
party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS
AUGUST 31, 2016 (Unaudited)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
The
significant accounting policies consistently 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 of the Schedule of Investments 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.
Other information regarding the
Fund is available in the Fund’s most recent Report to Shareholders
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS
AUGUST 31, 2016 (Unaudited) (Continued)
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, 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 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 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 Fund’s 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.
Other information regarding the
Fund is available in the Fund’s most recent Report to Shareholders
VIRTUS GLOBAL MULTI-SECTOR INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS
AUGUST 31, 2016 (Unaudited) (Continued)
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as
an asset. 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 August 31, 2016, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Net
Unrealized |
| |
|
Federal |
|
Unrealized |
|
Unrealized |
|
Appreciation |
| |
|
Tax Cost |
|
Appreciation |
|
(Depreciation) |
|
(Depreciation) |
| Investments (before written options) |
|
$259,216 |
|
$11,597 |
|
$(12,300) |
|
$(703) |
| Written Options |
|
(835) |
|
462 |
|
(2) |
|
460 |
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 INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS
AUGUST 31, 2016 (Unaudited) (Continued)
NOTE 4 — 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 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 is determined that some, though not all, of the position could be disposed of within
seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the 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.
The Fund held securities considered to be illiquid at August 31, 2016, with an aggregate value of $299 representing 0.2% of the Fund’s net assets.
At August 31, 2016, 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, the Fund’s investment adviser and/or subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with,
among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the 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.
NOTE 6 —
SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the Schedule of Investments was filed, and has
determined that there are no subsequent events requiring recognition or disclosure in these 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, Executive Vice President, Chief Financial
Officer, and Treasurer |
|
|
(principal financial officer) |
* Print the name and title of each signing officer under his or her
signature.