N-Q 1 b56715virtusopptrust_nq.txt VIRTUS OPPORTUNITIES TRUST NQ 12-09 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 811-07455 --------- Virtus Opportunities Trust --------------------------------------------------- (Exact name of registrant as specified in charter) 101 Munson Street Greenfield, MA 01301-9668 --------------------------------------------------- (Address of principal executive offices) (Zip code) Kevin J. Carr, Esq. Vice President, Chief Legal Officer, Counsel and Secretary for Registrant 100 Pearl Street Hartford, CT 06103-4506 --------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (800) 243-1574 -------------- Date of fiscal year end: September 30 ------------ Date of reporting period: December 31, 2009 ----------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 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. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Schedules of Investments are attached herewith. VIRTUS OPPORTUNITIES TRUST N-Q DECEMBER 31, 2009 (UNAUDITED) FOOTNOTE LEGEND --------------- (1) Federal Income Tax Information: For tax information at December 31, 2009, see the Federal Income Tax Information Note 3 in the Notes to Schedules of Investments. (2) Non-income producing. (3) Variable or step coupon security; interest rate shown reflects the rate currently in effect. (4) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. See the table below.
Fund Market Value % of Net Assets --------- ------------ --------------- Bond Fund $ 18,817 8.5% High Yield Fund 21,759 23.0 Multi-Sector Fixed Income Fund 47,868 24.8 Multi-Sector Short-Term Bond Fund 385,192 17.2 Senior Floating Rate Fund 7,362 7.7
(5) Escrowed to maturity. (6) Illiquid security (7) Illiquid and restricted security. At December 31, 2009, this security amounted to a value of $2,918 or 0 % of net assets. For acquisition information, see Note 2 "Illiquid and Restricted Securities" in the Notes to Schedules of Investments. (8) Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments. (9) At December 31, 2009, the concentration of the Fund's investments by state or territory determined as a percentage of net assets is as follows: California 96.7%. At December 31, 2009, 74.6% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. Insurers with a concentration greater than 10% of net assets are as follows: NATL-RE 28.4%, GNMA 13.1%, AMBAC 12.7%, and FSA 10.5%.D (10) Shares traded on NYSE. (11) Shares traded on Toronto exchange. (12) Security in default. (13) Amount is less than $500. (14) Affiliated Fund See Notes to Schedules of Investments VIRTUS ALPHASECTOR ALLOCATION FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE ------------ ------------ MUTUAL FUNDS(14)--25.7% FIXED INCOME FUNDS--25.7% Virtus Bond Fund Class I 876,515 $ 9,370 --------------------------------------------------- ------------ TOTAL MUTUAL FUNDS (IDENTIFIED COST $9,183) 9,370 --------------------------------------------------- ------------ EXCHANGE TRADED FUNDS--76.7% Consumer Discretionary Select Sector SPDR Fund 103,960 3,095 Consumer Staples Select Sector SPDR Fund 117,390 3,107 Energy Select Sector SPDR Fund 54,750 3,121 Financial Select Sector SPDR Fund 216,375 3,114 Health Care Select Sector SPDR Fund 98,940 3,075 Industrial Select Sector SPDR Fund 110,470 3,070 Materials Select Sector SPDR Fund 96,140 3,173 Technology Select Sector SPDR Fund 137,680 3,149 Utilities Select Sector SPDR Fund 98,110 3,041 --------------------------------------------------- ------------ TOTAL EXCHANGE TRADED FUNDS (IDENTIFIED COST $26,685) 27,945 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--102.4% (IDENTIFIED COST $35,868) 37,315 --------------------------------------------------- ------------ SHORT-TERM INVESTMENTS--1.1% MONEY MARKET MUTUAL FUNDS--1.1% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.118%) 416,087 416 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $416) 416 --------------------------------------------------- ------------ TOTAL INVESTMENTS--103.5% (IDENTIFIED COST $36,284) 37,731(1) Other assets and liabilities, net--(3.5)% (1,291) ------------ NET ASSETS--100.0% $ 36,440 ============
ABBREVIATIONS: SPDR S&P Depositary Receipt. See Notes to Schedules of Investments 1 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- -------------------------- TOTAL VALUE AT LEVEL 1 DECEMBER 31, QUOTED INVESTMENT IN SECURITIES 2009 PRICES ------------------------------------- -------------------------- Equity Securities: Exchange Traded Funds $ 27,945 $ 27,945 Mutual Funds 9,370 9,370 Short-Term Investments 416 416 Total Investments $ 37,731 $ 37,731 ------------------------------------- --------------------------
There are no Level 2 (Significant Observable Inputs) and Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS ALPHASECTOR ROTATION FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE ------------ ------------ EXCHANGE TRADED FUNDS--98.8% Consumer Discretionary Select Sector SPDR Fund 605,190 $ 18,017 Consumer Staples Select Sector SPDR Fund 682,892 18,076 Energy Select Sector SPDR Fund 318,740 18,171 Financial Select Sector SPDR Fund 1,260,425 18,138 Health Care Select Sector SPDR Fund 576,032 17,903 Industrial Select Sector SPDR Fund 643,767 17,890 Materials Select Sector SPDR Fund 559,762 18,472 Technology Select Sector SPDR Fund 801,893 18,339 Utilities Select Sector SPDR Fund 571,274 17,710 --------------------------------------------------- ------------ TOTAL EXCHANGE TRADED FUNDS (IDENTIFIED COST $158,035) 162,716 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--98.8% (IDENTIFIED COST $158,035) 162,716 --------------------------------------------------- ------------ SHORT-TERM INVESTMENTS--2.0% MONEY MARKET MUTUAL FUNDS--2.0% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.118%) 3,232,963 3,233 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $3,233) 3,233 --------------------------------------------------- ------------ TOTAL INVESTMENTS--100.8% (IDENTIFIED COST $161,268) 165,949(1) Other assets and liabilities, net--(0.8)% (1,246) ------------ NET ASSETS--100.0% $ 164,703 ============
ABBREVIATIONS: SPDR S&P Depositary Receipt. See Notes to Schedules of Investments 1 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
----------------------------------------------------------------- TOTAL VALUE AT LEVEL 1 DECEMBER 31, QUOTED INVESTMENT IN SECURITIES 2009 PRICES ----------------------------------------------------------------- Equity Securities: Exchange Traded Funds $ 162,716 $ 162,716 Short-Term Investments 3,233 3,233 Total Investments $ 165,949 $ 165,949 -----------------------------------------------------------------
There are no Level 2 (Significant Observable Inputs) and Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS ALTERNATIVES DIVERSIFIER FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE ------------ ------------ MUTUAL FUNDS(14)--65.0% EQUITY FUNDS--54.6% Virtus Global Infrastructure Fund Class I 3,890,965 $ 41,283 Virtus International Real Estate Securities Fund Class I 4,910,352 27,498 Virtus Market Neutral Fund Class I(2) 4,761,077 50,420 Virtus Real Estate Securities Class I 1,247,791 27,576 ------------ 146,777 ------------ FIXED INCOME FUNDS--10.4% Virtus Senior Floating Rate Fund Class I 2,851,649 27,804 --------------------------------------------------- ------------ TOTAL MUTUAL FUNDS (IDENTIFIED COST $178,450) 174,581 --------------------------------------------------- ------------ EXCHANGE TRADED FUNDS--35.1% iShares S&P North American Natural Resources Sector Index Fund 798,330 27,391 PowerShares DB Commodity Index Tracking Fund(2) 1,616,300 39,793 PowerShares DB G10 Currency Harvest Fund(2) 1,150,982 27,094 --------------------------------------------------- ------------ TOTAL EXCHANGE TRADED FUNDS (IDENTIFIED COST $100,579) 94,278 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--100.1% (IDENTIFIED COST $279,029) 268,859 --------------------------------------------------- ------------ TOTAL INVESTMENTS--100.1% (IDENTIFIED COST $279,029) 268,859(1) Other assets and liabilities, net--(0.1)% (244) ------------ NET ASSETS--100.0% $ 268,615 ============
See Notes to Schedules of Investments 1 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- -------------------------- TOTAL VALUE AT LEVEL 1 DECEMBER 31, QUOTED INVESTMENT IN SECURITIES 2009 PRICES ------------------------------------- -------------------------- Equity Securities: Exchange Traded Funds $ 94,278 $ 94,278 Mutual Funds 174,581 174,581 Total Investments $ 268,859 $ 268,859
There are no Level 2 (Significant Observable Inputs) and Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ U.S. GOVERNMENT SECURITIES--12.7% AGENCY--(CONTINUED) U.S. Treasury Bond 3.500%, 2/15/39 $ 7,005 $ 5,738 FNMA U.S. Treasury Note 7.000%, 5/1/14 $ 16 $ 18 0.875%, 12/31/11 600 598 6.000%, 10/1/14 226 242 2.625%, 6/30/14 4,095 4,125 8.000%, 1/1/15 4 5 3.250%, 12/31/16 6,670 6,614 6.500%, 6/1/16 167 181 4.750%, 8/15/17 3,920 4,253 6.000%, 7/1/17 77 82 3.125%, 5/15/19 7,090 6,714 5.500%, 9/1/17 197 209 --------------------------------------------------- ------------ 4.500%, 12/1/18 1,265 1,303 TOTAL U.S. GOVERNMENT SECURITIES 4.500%, 3/1/20 203 209 (IDENTIFIED COST $28,189) 28,042 5.000%, 4/1/20 304 320 --------------------------------------------------- ------------ 4.500%, 5/1/20 555 572 4.000%, 6/1/20 333 336 MUNICIPAL BONDS--0.6% 4.500%, 11/1/20 1,854 1,909 5.000%, 8/1/21 168 176 MICHIGAN--0.1% 6.454%, 3/25/29 2,086 2,280 City of Flat Rock Finance Authority 6.000%, 5/1/29 175 188 Taxable Series A, 6.750%, 10/1/16 95 100 6.500%, 7/1/29 286 310 Tobacco Settlement Finance Authority 6.500%, 5/1/30 6 7 Taxable Series 06-A, 7.309%, 6/1/34 175 140 7.500%, 3/1/31 132 148 ------------ 7.000%, 7/1/31 83 92 240 7.000%, 9/1/31 141 156 ------------ 6.500%, 2/1/32 306 331 6.500%, 3/1/32 131 141 RHODE ISLAND--0.5% 5.500%, 4/1/33 166 175 City of Woonsocket Pension Funding 5.000%, 5/1/33 1,781 1,835 Taxable (FSA Insured) 5.660%, 5.500%, 6/1/33 1,195 1,255 7/15/13 1,000 1,057 5.500%, 7/1/33 1,138 1,196 --------------------------------------------------- ------------ 5.000%, 9/1/33 284 292 TOTAL MUNICIPAL BONDS 6.000%, 11/1/34 2,332 2,488 (IDENTIFIED COST $1,298) 1,297 5.500%, 5/1/35 2,962 3,104 --------------------------------------------------- ------------ 5.000%, 7/1/35 243 250 5.500%, 12/1/35 255 267 U.S. GOVERNMENT AGENCY 5.500%, 3/1/36 567 595 OBLIGATIONS--0.0% 5.500%, 4/1/36 414 434 6.390%, 5/25/36 1,120 1,196 FHLMC 6.000%, 6/1/36 309 330 7.500%, 4/1/14 25 28 5.500%, 9/1/36 2,107 2,214 7.000%, 4/1/16 23 26 6.000%, 9/1/36 317 337 --------------------------------------------------- ------------ 5.500%, 11/1/36 406 425 TOTAL U.S. GOVERNMENT AGENCY 6.000%, 3/1/37 480 509 OBLIGATIONS (IDENTIFIED COST $48) 54 6.000%, 9/1/37 50 53 --------------------------------------------------- ------------ 6.000%, 10/1/37 426 451 MORTGAGE-BACKED SECURITIES--38.0% AGENCY--30.0% FHLMC 7.000%, 1/1/33 213 235 6.000%, 10/1/34 466 498 5.000%, 1/1/35 1,069 1,101 5.000%, 7/1/35 4,422 4,543 5.000%, 12/1/35 3,971 4,080 FHLMC REMICs JA-2777 4.500%, 11/15/17 395 409 CH-2904 4.500%, 4/15/19 1,136 1,180
See Notes to Schedules of Investments 1 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ AGENCY--(CONTINUED) NON-AGENCY--(CONTINUED) 6.000%, 1/1/38 $ 123 $ 130 Credit Suisse Mortgage Capital 5.000%, 2/1/38 960 986 Certificates 06-C1, A4 5.548%, 6.000%, 2/1/38 122 129 2/15/39 $ 1,685 $ 1,660 6.000%, 2/1/38 53 56 Crown Castle Towers LLC 05-1A, AFX 6.000%, 2/1/38 173 183 144A 4.643%, 6/15/35 (4) 450 454 6.000%, 2/1/38 230 244 DLJ Mortgage Acceptance Corp. 96-I, 5.000%, 3/1/38 605 622 (Principal Only) 144A 0.000%, 6.000%, 3/1/38 848 900 9/18/11 (4)(7) 3 3 6.500%, 3/1/38 7,129 7,691 GS Mortgage Securities Corp. II 5.000%, 4/1/38 1,165 1,197 05-GG4, A4A 4.751%, 7/10/39 490 474 6.000%, 5/1/38 247 262 07-GG10, A4 5.805%, 8/10/45 475 408 5.500%, 6/1/38 769 806 JPMorgan Chase Commercial Mortgage 6.000%, 7/1/38 4,545 4,818 Securities Corp. 5.500%, 8/1/38 1,700 1,782 04-LN2, A2 5.115%, 7/15/41 1,265 1,232 6.000%, 8/1/38 295 313 06-CB17, A4 5.429%, 12/12/43 995 940 6.000%, 8/1/38 631 669 Lehman Brothers - UBS Commercial 6.000%, 8/1/38 2,055 2,178 Mortgage Trust 6.000%, 8/13/38 165 175 04-C7, A6 4.786%, 10/15/29 1,000 966 5.000%, 12/1/38 1,009 1,037 06-C7, A3 5.347%, 11/15/38 1,955 1,792 5.000%, 12/1/38 511 525 Morgan Stanley Capital I 04-T15, A3 5.030%, 6/13/41 490 498 FNMA REMICs 03-42, HC 4.500%, 06-T23, A4 5.810%, 8/12/41 1,030 1,038 12/25/17 445 459 05-IQ9, A3 4.540%, 7/15/56 645 633 Paine Webber Mortgage Acceptance GNMA Corp. 99-C1, D 7.150%, 6/15/32 112 112 8.500%, 11/15/22 1 1 SBA Commercial Mortgage Backed 6.500%, 9/15/28 144 155 Securities Trust 06-1A, B 144A 7.500%, 9/15/29 143 161 5.451%, 11/15/36 (4) 140 143 5.000%, 7/15/33 1,655 1,715 Wachovia Bank Commercial Mortgage 6.000%, 6/15/34 291 310 Trust 05-C19, A5 4.661%, 5/15/44 2,830 2,839 ------------ ------------ 66,171 17,759 ------------ --------------------------------------------------- ------------ NON-AGENCY--8.0% TOTAL MORTGAGE-BACKED SECURITIES American Tower Trust 07-1A, AFX 144A (IDENTIFIED COST $81,713) 83,930 5.420%, 4/15/37 (4) 190 195 --------------------------------------------------- ------------ Banc of America Commercial Mortgage, Inc. ASSET-BACKED SECURITIES--0.1% 05-1, A4 5.142%, 11/10/42 290 296 04-6, A5 4.811%, 12/10/42 385 375 Capital Auto Receivables Asset Trust Banc of America Commercial Mortgage, Series 06-2, A3A 4.980%, 5/15/11 23 24 Inc. 144A 08-1, A4 6.166%, Carmax Auto Owner Trust 07-2, A3 2/10/51 (4) 1,105 993 5.230%, 12/15/11 157 159 Bear Stearns Commercial Mortgage --------------------------------------------------- ------------ Securities TOTAL ASSET-BACKED SECURITIES 06-PW12, A4 5.719%, 9/11/38 765 777 (IDENTIFIED COST $180) 183 04-T16, A6 4.750%, 2/13/46 215 208 --------------------------------------------------- ------------ Citigroup Commercial Mortgage Trust 06-C5, A4 5.431%, 10/15/49 1,855 1,723 CORPORATE BONDS--47.2% CONSUMER DISCRETIONARY--4.3% Affinion Group, Inc. 10.125%, 10/15/13 560 578
See Notes to Schedules of Investments 2 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ CONSUMER DISCRETIONARY--(CONTINUED) CONSUMER STAPLES--(CONTINUED) American Real Estate Partners LP 6.875%, 3/17/14 $ 275 $ 312 7.125%, 2/15/13 $ 650 $ 663 5.650%, 5/16/18 825 868 Comcast Corp. Procter & Gamble Co. 4.600%, 1/15/14 350 373 5.700%, 5/15/18 645 678 Reynolds American, Inc. 6.750%, 5.700%, 7/1/19 980 1,028 6/15/17 95 98 COX Communications, Inc. 144A Safeway, Inc. 6.500%, 3/1/11 375 396 6.250%, 6/1/18 (4) 140 149 ------------ Echostar DBS Corp. 7.125%, 2/1/16 530 544 9,061 Fortune Brands, Inc. 3.000%, 6/1/12 910 902 ------------ Hasbro, Inc. 6.300%, 9/15/17 135 143 Nebraska Book Co., Inc. 144A 10.000%, ENERGY--3.3% 12/1/11 (4) 1,125 1,145 Buckeye Partners LP 5.125%, 7/1/17 200 196 Scientific Games International, Inc. Chesapeake Energy Corp. 7.250%, 144A 9.250%, 6/15/19 (4) 235 248 12/15/18 245 248 Time Warner Cable, Inc. Enbridge Energy Partners LP 5.875%, 3.500%, 2/1/15 145 143 12/15/16 350 364 6.750%, 7/1/18 130 143 Encore Acquisition Co. 6.000%, 5.000%, 2/1/20 815 790 7/15/15 310 311 United Artists Theatre Circuit, Inc. Energy Transfer Partners LP Series BD-1 9.300%, 7/1/15 (6)(8) 25 23 8.500%, 4/15/14 755 871 UPC Germany GmbH 144A 8.125%, 5.950%, 2/1/15 135 143 12/1/17 (4) 1,120 1,138 6.700%, 7/1/18 570 610 Viacom, Inc. 6.250%, 4/30/16 70 76 Enterprise Products Operating LLC WMG Holdings Corp. 9.500%, 12/15/14(3) 1,165 1,186 6.300%, 9/15/17 100 108 ------------ EOG Resources, Inc. 6.875%, 10/1/18 360 414 9,577 Halliburton Co. 6.150%, 9/15/19 95 106 ------------ Kinder Morgan Energy Partners LP 5.850%, 9/15/12 415 447 CONSUMER STAPLES--4.1% 6.000%, 2/1/17 135 142 Alliance One International, Inc. 144A 9.000%, 2/1/19 500 615 10.000%, 7/15/16 (4) 725 765 Petroleos Mexicanos 144A 4.875%, Altria Group, Inc. 9.250%, 8/6/19 495 603 3/15/15 (4) 390 389 Anheuser-Busch InBev Worldwide, Inc. Petropower I Funding Trust 144A 144A 3.000%, 10/15/12 (4) 900 904 7.360%, 2/15/14 (4) 87 87 ASG Consolidated LLC/ASG Finance, Inc. Plains All American Pipeline LP / 11.500%, 11/1/11(3) 740 746 PAA Finance Corp. 4.250%, 9/1/12 215 222 Costco Wholesale Corp. 5.500%, Talisman Energy, Inc. 7.750%, 6/1/19 465 546 3/15/17 420 448 TransCanada Pipelines Ltd. CVS Caremark Corp. 6.125%, 9/15/39 395 391 7.125%, 1/15/19 230 269 Delhaize Group 6.500%, 6/15/17 725 787 6.350%, 5/15/49(3) 300 281 Kraft Foods, Inc. Williams Cos., Inc. (The) 7.125%, 5.625%, 11/1/11 1,045 1,110 9/1/11 125 134 6.125%, 8/23/18 345 364 XTO Energy, Inc. 5.900%, 8/1/12 735 805 Mead Johnson Nutrition Co. 144A ------------ 4.900%, 11/1/19 (4) 470 466 7,308 PepsiCo, Inc. 7.900%, 11/1/18 350 430 ------------ Philip Morris International, Inc. FINANCIALS--19.5% Aflac, Inc. 8.500%, 5/15/19 30 35 American Express Co. 7.250%, 5/20/14 795 897 American Express Credit Corp. 5.875%, 5/2/13 140 150 American General Finance Corp. 4.000%, 3/15/11 450 407
See Notes to Schedules of Investments 3 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ FINANCIALS--(CONTINUED) FINANCIALS--(CONTINUED) 5.750%, 9/15/16 $ 490 $ 331 International Lease Finance Corp. Bank of America Corp. 4.750%, 1/13/12 $ 225 $ 190 6.500%, 8/1/16 195 210 JPMorgan Chase & Co. 5.750%, 8/15/16 715 720 5.750%, 1/2/13 1,020 1,088 5.490%, 3/15/19 300 283 5.125%, 9/15/14 860 907 Bank of New York / Mellon Corp. Series 1, 7.900%, 12/31/49(3) 395 407 (The) 4.950%, 11/1/12 115 124 Lincoln National Corp. 5.650%, Barclays Bank plc 8/27/12 1,195 1,237 Series 1, 5.000%, 9/22/16 985 1,006 Macquarie Group Ltd. 144A 7.300%, 144A 10.179%, 6/12/21(4) 560 723 8/1/14 (4) 870 940 Bear Stearns Cos., Inc. LLC (The) Merrill Lynch & Co., Inc. 7.250%, 2/1/18 785 901 6.875%, 4/25/18 695 749 Capital One Financial Corp. 6.110%, 1/29/37 150 138 5.700%, 9/15/11 620 651 MetLife, Inc. 6.750%, 6/1/16 210 235 7.375%, 5/23/14 365 413 Metropolitan Life Global Funding I 6.150%, 9/1/16 625 628 144A 2.875%, 9/17/12 (4) 980 988 5.250%, 2/21/17 70 69 Morgan Stanley Capitial One Capital VI 8.875%, 6.000%, 4/28/15 115 122 5/15/40 320 341 5.375%, 10/15/15 250 258 Chubb Corp. 6.375%, 3/29/49(3) 420 391 6.625%, 4/1/18 615 665 Citigroup, Inc. 7.300%, 5/13/19 100 112 5.500%, 8/27/12 90 94 New York Life Insurance Co. 144A 5.000%, 9/15/14 1,745 1,682 6.750%, 11/15/39 (4) 420 430 4.875%, 5/7/15 280 264 Northern Trust Corp. 5.500%, 8/15/13 75 82 5.500%, 2/15/17 95 90 PNC Bank NA 4.875%, 9/21/17 155 147 Countrywide Financial Corp. 6.250%, Protective Life Corp. 7.375%, 5/15/16 65 66 10/15/19 525 526 Countrywide Home Loan, Inc. Series L Protective Life Secured Trust 4.000%, 3/22/11 615 628 4.000%, 4/1/11 1,670 1,698 Credit Suisse First Boston 6.000%, Prudential Financial, Inc. 2/15/18 630 659 3.625%, 9/17/12 820 832 Credit Suisse Guernsey Ltd. 5.860%, 6.200%, 1/15/15 505 543 11/15/49(3) 815 709 7.375%, 6/15/19 520 583 Credit Suisse USA, Inc. 5.850%, 8.875%, 6/15/38(3) 605 641 8/16/16 135 144 Rabobank Nederland NV 144A 11.000%, CVS Pass-Through Trust 144A 7.507%, 12/31/49 (3)(4) 425 518 1/10/32 (4) 320 335 Regions Financial Corp. 0.421%, Developers Diversified Realty Corp. 6/26/12(3) 1,935 1,738 5.000%, 5/3/10 1,445 1,445 Resona Bank Ltd. 144A 5.850%, Export-Import Bank of Korea 5.500%, 9/29/49 (3)(4) 985 860 10/17/12 135 144 Royal Bank of Scotland Group plc Ford Motor Credit Co. LLC 7.500%, 6.400%, 10/21/19 490 488 8/1/12 625 631 Santander Issuances S.A Unipersonal General Electric Capital Corp. 144A 5.911%, 6/20/16 (4) 1,085 1,109 6.750%, 3/15/32 500 510 Simon Property Group LP 6.750%, General Electric Capital Corp. 5/15/14 1,090 1,162 Series A State Street Corp. 4.300%, 5/30/14 190 197 0.411%, 11/1/12(3) 1,265 1,220 SunTrust Banks, Inc. 5.250%, 11/5/12 310 322 5.450%, 1/15/13 405 431 Teachers Insurance & Annuity 6.875%, 1/10/39 1,130 1,167 Association of America 144A Genworth Global Funding Trusts 6.850%, 12/16/39 (4) 480 496 5.125%, 3/15/11 925 940 HSBC Finance Corp. 8.000%, 7/15/10 300 311 ICICI Bank Ltd. RegS 5.750%, 11/16/10 (5) 105 107
See Notes to Schedules of Investments 4 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ FINANCIALS--(CONTINUED) UDR, Inc. 5.250%, 1/15/15 $ 150 $ 143 MATERIALS--1.5% Wachovia Corp. Anglo American Capital plc 144A 4.875%, 2/15/14 200 203 9.375%, 4/8/19 (4) $ 105 $ 133 5.750%, 2/1/18 570 595 Dow Chemical Co. (The) WEA Finance LLC/WCI Finance LLC 144A 6.000%, 10/1/12 1,050 1,130 5.700%, 10/1/16 (4) 1,065 1,095 5.900%, 2/15/15 970 1,042 Wells Fargo Capital XIII 7.700%, Holcim U.S. Finance S.A.R.L. & Cie 3/26/13(3) 460 446 S.C.S 144A 6.000%, 12/30/19 (4) 435 453 Westfield Capital Corp. Ltd./ International Paper Co. 7.300%, Westfield Finance Authority 144A 11/15/39 470 499 5.125%, 11/15/14 (4) 150 155 ------------ ------------ 3,257 42,902 ------------ ------------ TELECOMMUNICATION SERVICES--7.1% Alltel Corp. 7.000%, 7/1/12 350 386 HEALTH CARE--2.0% AT&T, Inc. Abbott Laboratories 5.125%, 4/1/19 475 497 6.250%, 3/15/11 400 424 Boston Scientific Corp. 6.000%, 5.875%, 2/1/12 130 141 1/15/20 445 456 5.625%, 6/15/16 130 140 Express Scripts, Inc. 5.800%, 2/15/19 1,070 1,140 5.250%, 6/15/12 775 824 Centennial Communications Corp. 7.250%, 6/15/19 245 278 6.001%, 1/1/13(3) 1,405 1,405 Johnson & Johnson 5.150%, 7/15/18 800 860 10.000%, 1/1/13 385 404 Pfizer, Inc. 4.450%, 3/15/12 625 661 France Telecom SA 4.375%, 7/8/14 355 371 Quest Diagnostics, Inc. 6.400%, GCI, Inc. 144A 8.625%, 11/15/19 (4) 375 380 7/1/17 435 477 Global Crossing Ltd. 144A 12.000%, Thermo Fisher Scientific, Inc. 144A 9/15/15 (4) 550 606 2.150%, 12/28/12 (4) 435 429 NII Capital Corp. 144A 8.875%, ------------ 12/15/19 (4) 910 891 4,482 Qwest Corp. 7.875%, 9/1/11 1,730 1,812 ------------ Sprint Capital Corp. 8.375%, 3/15/12 1,645 1,711 Telecom Italia Capital SA INDUSTRIALS--1.4% 5.250%, 10/1/15 215 225 Allied Waste North America, Inc. 6.999%, 6/4/18 95 104 7.250%, 3/15/15 545 569 7.175%, 6/18/19 615 686 DI Finance/DynCorp International, Telefonica Emisiones SAU Inc. Series B 9.500%, 2/15/13 555 565 5.984%, 6/20/11 1,080 1,142 Hutchison Whampoa International 5.877%, 7/15/19 745 798 Ltd. 144A 5.750%, 9/11/19 (4) 435 441 Verizon Communications, Inc. ITT Corp. 6.125%, 5/1/19 480 518 4.900%, 9/15/15 130 138 Travelport LLC 9.875%, 9/1/14 975 1,012 5.500%, 4/1/17 70 74 ------------ 6.350%, 4/1/19 960 1,059 3,105 Virgin Media Finance plc ------------ Series 8.750%, 4/15/14 128 133 8.375%, 10/15/19 415 429 INFORMATION TECHNOLOGY--1.2% West Corp. 9.500%, 10/15/14 700 714 Fiserv, Inc. 6.125%, 11/20/12 920 1,002 Windstream Corp. 7.000%, 3/15/19 435 409 Intuit, Inc. 5.750%, 3/15/17 430 445 ------------ L-3 Communications Corp. 144A 5.200%, 15,722 10/15/19 (4) 210 208 ------------ Viasat, Inc. 144A 8.875%, 9/15/16 (4) 105 109 Xerox Corp. 4.250%, 2/15/15 680 675 6.750%, 2/1/17 170 182 ------------ 2,621 ------------
See Notes to Schedules of Investments 5 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE ------------ ------------ UTILITIES--2.8% Appalachian Power Co. 5.550%, 4/1/11 $ 810 $ 843 Atmos Energy Corp. 6.350%, 6/15/17 465 494 Consolidated Edison Co., of New York, Inc. Series 09-C 5.500%, 12/1/39 440 428 Dominion Resources, Inc. 8.875%, 1/15/19 180 224 FirstEnergy Solutions Corp. 144A 6.050%, 8/15/21 (4) 435 439 Florida Power Corp. 6.650%, 7/15/11 520 557 Georgia Power Co. 6.000%, 11/1/13 335 372 Nevada Power Co. Series O 6.500%, 5/15/18 730 781 Northeast Utilities 5.650%, 6/1/13 140 145 Pacific Gas & Electric Co. 8.250%, 10/15/18 650 794 Sempra Energy 6.500%, 6/1/16 40 43 South Carolina Electric & Gas Co. 6.500%, 11/1/18 310 350 Virginia Electric & Power Co. Series A 5.400%, 1/15/16 645 681 ------------ 6,151 --------------------------------------------------- ------------ TOTAL CORPORATE BONDS (IDENTIFIED COST $99,116) 104,186 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--98.6% (IDENTIFIED COST $210,544) 217,692 --------------------------------------------------- ------------
SHARES VALUE ------------ ------------ SHORT-TERM INVESTMENTS--0.5% MONEY MARKET MUTUAL FUNDS--0.5% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.118%) 1,058,763 1,059 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $1,059) 1,059 --------------------------------------------------- ------------ TOTAL INVESTMENTS--99.1% (IDENTIFIED COST $211,603) 218,751(1) Other Assets and Liabilities--0.9% 1,934 ------------ NET ASSETS--100.0% $ 220,685 ============
Abbreviations: FHLMC Federal Home Loan Mortgage Corporation ("Freddie Mac"). FNMA Federal National Mortgage Association ("Fannie Mae"). FSA Financial Security Assurance, Inc. GNMA Government National Mortgage Association ("Ginnie Mae") REMIC Real Estate Mortgage Investment Conduit SBA Small Business Administration See Notes to Schedules of Investments 6 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 93% Australia 1 Canada 1 Germany 1 Spain 1 United Kingdom 1 Other 2 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 7 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE INVESTMENT IN SECURITIES 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Debt Securities: U.S. Government Securities $ 28,042 $ -- $ 28,042 $ -- Municipal Securities 1,297 -- 1,297 -- U.S. Government Agency Obligations 54 -- 54 -- Mortgage-backed Securities 83,930 -- 83,930 -- Asset-Backed Securities 183 -- 183 -- Corporate Debt 104,186 -- 104,163 23 Equity Securities: Short-Term Investments 1,059 1,059 -- -- Total Investments $ 218,751 $ 1,059 $ 217,669 $ 23
See Notes to Schedules of Investments 1 The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable were used to determine fair value.
Mortgage- Backed Corporate INVESTMENTS IN SECURITIES TOTAL Securities Debt ----- ---------- --------- BALANCE AS OF SEPTEMBER 30, 2009: $ 248 $ 139 $ 109 Accrued Discount/(Premium) --(2) -- --(2) Realized Gain (Loss) -- -- -- Change in Unrealized Appreciation (Depreciation) 4 4 --(2) Net Purchases/(Sales) -- -- -- Transfers In and/or Out of Level 3 (1) (229) (143) (86) ----- ---------- --------- BALANCE AS OF DECEMBER 31, 2009 $ 23 $ -- $ 23 ===== ========== =========
(1) "Transfers in and/or out" represent the ending value as of December 31, 2009, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (2) Amount is less than $500. Level 3 securities are without an active market or market participants and therefore are internally fair valued. These internally fair valued securities derive their valuation based on the review of inputs such as, but not limited to, similar securities, liquidity factors, capital structure, and credit analysis. See Notes to Schedules of Investments VIRTUS CA TAX-EXEMPT BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ MUNICIPAL TAX-EXEMPT BONDS(9)--96.7% GENERAL OBLIGATION--(CONTINUED) Los Angeles Unified School District DEVELOPMENT REVENUE--5.9% Series C (FSA Insured) 5.000%, Hercules Redevelopment Agency 7/1/24 $ 500 $ 531 Tax-Allocation (AMBAC Insured) Los Angeles Unified School 5.000%, 8/1/29 $ 500 $ 445 District, Series A-1 (NATL-RE Ontario Redevelopment Financing Insured) 4.500%, 1/1/28 500 470 Authority, New Haven Unified School District Project No.1(NATL-RE Insured) (Assured Guaranteed) 0.000%, 6.900%, 8/1/10 70 71 8/1/33 1,500 318 5.250%, 8/1/13 500 517 Norwalk-La Mirada Unified School San Diego Redevelopment Agency, District Series D (FSA Insured) Center City 0.000%, 8/1/33 1,500 322 Series B (AMBAC Insured) 5.350%, Placer Union High School District 9/1/24 1,000 971 (FSA Insured) 0.000%, 8/1/32 1,500 337 Series A (AMBAC Insured) 4.750%, Rancho Santiago Community College 9/1/30 500 432 District (FSA Insured) 0.000%, Santa Clara Redevelopment Agency 9/1/27 1,200 402 Tax Allocation (NATL-RE Insured) San Rafael Elementary School 5.000%, 6/1/22 1,000 973 District, Election of 2002-B ------------ (NATL- RE, FGIC Insured) 0.000%, 3,409 8/1/26 1,000 422 ------------ Santa Ana Unified School District Pre-refunded 8/1/10 @101 (NATL- EDUCATION REVENUE--3.4% RE, FGIC Insured) 5.700%, 8/1/22 400 417 North City West School Facilities Santa Clara Unified School District Financing Authority, Series B Pre-refunded 7/1/10 @101 (NATL- (AMBAC Insured) 5.250%, 9/1/19 1,000 992 RE, FGIC Insured) 5.500%, 7/1/20 1,000 1,036 Sweetwater Unified High School Walnut Valley Unified School District, Public Financing District, Series A (NATL-RE Authority, Series A (FSA Insured) Insured) 0.000%, 8/1/19 3,095 1,655 5.000%, 9/1/29 1,000 970 ------------ ------------ 10,693 1,962 ------------ ------------ GENERAL REVENUE--16.9% GENERAL OBLIGATION--18.4% Anaheim Public Financing Authority, Antelope Valley Union High School Series C (FSA Insured) 6.000%, District, Series A (NATL- RE 9/1/16 1,600 1,814 Insured) 5.000%, 2/1/27 1,000 1,008 Golden State Tobacco Securitization Brea & Olinda Unified School Corp., Series A-1 District, Series A (NATL- RE, 5.125%, 6/1/47 1,250 844 FGIC Insured) 6.000%, 8/1/15 150 177 5.750%, 6/1/47 1,000 742 Butte-Glenn Community College Los Angeles County Public Works District, Series A (NATL-RE Financing Authority, Series A Insured) 5.500%, 8/1/19 1,000 1,059 (FSA Insured) 5.500%, 10/1/18 390 440 California State Pomona, Certificates of Participation 5.250%, 6/1/16 65 66 (AMBAC Insured) 5.500%, 6/1/28 1,365 1,445 5.500%, 3/1/26 500 509 San Diego County, Certificates of 5.000%, 12/1/37 250 225 Participation (AMBAC Insured) California State Veterans Bonds, 5.250%, 11/1/15 960 1,019 Series BG 5.150%, 12/1/14 895 902 South Bay Regional Public Series CC 4.500%, 12/1/37 330 285 Communications Authority (ACA Gilroy Unified School District Insured) 4.750%, 1/1/31 635 479 (NATL-RE, FGIC Insured) 5.000%, South Coast Air Quality Management 8/1/27 500 510 Corp. (AMBAC Insured) 6.000%, Grossmont-Cuyamaca Community 8/1/11 1,000 1,030 College District Election of 2002 Series A (NATL-RE Insured) 5.000%, 8/1/19 40 42
See Notes to Schedules of Investments 1 VIRTUS CA TAX-EXEMPT BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ GENERAL REVENUE--(CONTINUED) MUNICIPAL UTILITY DISTRICT State Public Works Board of the REVENUE--(CONTINUED) State of California Department of Sacramento Municipal Utilities Health Services, Richmond Lab District, Financing Authority Series B (XLCA Insured) 5.000%, (NATL-RE Insured) 4.750%, 7/1/26 $ 500 $ 448 11/1/17 $ 460 $ 466 ------------ Highway Patrol Series C 5.250%, 961 11/1/20 500 501 ------------ Department of General Services Buildings 8 & 9 Series A 6.125%, NATURAL GAS REVENUE--1.2% 4/1/29 500 505 Roseville Natural Gas Financing Various Capital Projects Series G-1 Authority 5.000%, 2/15/24 750 712 5.750%, 10/1/30 500 492 ------------ ------------ 9,777 POWER REVENUE--2.3% ------------ Northern California Power Agency, HIGHER EDUCATION REVENUE--1.7% Hydroelectric Project No.1 Series A University of California, (NATL-RE Insured) Series G (NATL-RE, FGIC Insured) 5.000%, 7/1/15 1,000 1,006 4.750%, 5/15/35 525 521 5.200%, 7/1/32 330 330 Series B 4.750%, 5/15/38 500 475 ------------ ------------ 1,336 996 ------------ ------------ PRE-REFUNDED--26.3% MEDICAL REVENUE--8.8% Contra Costa County Home Mortgage California Health Facilities (GNMA Collateralized) 7.500%, Financing Authority, Stanford 5/1/14 (5) 500 625 Hospital and Clinics Series A Cypress Single Family Residential 5.000%, 11/15/14 250 262 Mortgage, Series B (Private Cedars-Sinai Medical Center 5.000%, Mortgage Insurance) 7.250%, 11/15/34 500 462 1/1/12 (5) 200 226 Providence Health & Services Duarte Redevelopment Agency Single Series C 6.500%, 10/1/38 300 331 Family Mortgage, Series A (FNMA Kaiser Permanente Series A 5.250%, Collateralized) 6.875%, 11/1/11 4/1/39 500 472 (5) 300 334 California State Public Works Board, Grossmont-Cuyamaca Community College Department of Mental Health Series District Election of 2002 Series A A 5.500%, 6/1/16 1,000 1,045 Pre-refunded 8/1/13 @100 California Statewide Communities (NATL-RE Insured) 5.000%, 8/1/19 210 240 Development Authority, Kaiser Huntington Park Redevelopment Agency Permanente, Series B 5.000%, 3/1/41 500 448 Single Family Residential Mortgage, Sutter Health, Series B 5.625%, Series A (FHA/VA/PRIV MTGS Insured) 8/15/42 1,000 1,001 8.000%, 12/1/19 (5) 2,400 3,378 St. Joseph Health System (FGIC Los Angeles Harbor Department 7.600%, Insured) 5.750%, 7/1/47 500 512 10/1/18(5) 780 964 San Joaquin General Hospital Project, M-S-R Public Power Agency San Juan Certificates of Participation Project, Series D (NATL-RE Insured) (NATL-RE Insured) 5.250%, 9/1/12 100 101 6.750%, 7/1/20 (5) 1,640 1,974 Santa Clara County Financing Northern California Power Agency, Authority, Series A (AMBAC Insured) Hydroelectric Project No.1 Series A 7.750%, 11/15/11 400 447 Pre-refunded 7/1/21 @ 100 ------------ (AMBAC Insured) 7.500%, 7/1/23 195 264 5,081 Riverside County Redevelopment ------------ Agency, Pre-refunded 10/01/11 @ 102 (AMBAC Insured) 5.250%, 10/1/17 250 275 MUNICIPAL UTILITY DISTRICT Riverside County Single Family REVENUE--1.7% Series B (GNMA Collateralized) East Bay Municipal Utility District 8.625%, 5/1/16(5) 1,000 1,313 (NATL-RE Insured) 5.000%, 6/1/35 500 513
See Notes to Schedules of Investments 2 VIRTUS CA TAX-EXEMPT BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE SHARES VALUE ------------ ------------ ------------ ------------ PRE-REFUNDED--(CONTINUED) SHORT-TERM INVESTMENTS--2.2% Series A (GNMA Collateralized) 7.800%, 5/1/21(5) $ 4,000 $ 5,460 MONEY MARKET MUTUAL FUNDS--2.2% Stockton Housing Facility, O'Connor BlackRock Liquidity Funds TempFund Woods Project Series A Portfolio - Institutional Shares Pre-refunded 9/20/17 @ 100 (GNMA (seven-day effective yield 0.118%) 1,302,804 $ 1,303 Collateralized) 5.600%, 3/20/28 200 202 --------------------------------------------------- ------------ ------------ TOTAL SHORT-TERM INVESTMENTS 15,255 (IDENTIFIED COST $1,303) 1,303 ------------ --------------------------------------------------- ------------ TOTAL INVESTMENTS--98.9% TRANSPORTATION REVENUE--1.7% (IDENTIFIED COST $56,179) 57,301(1) Alameda Corridor Transportation Authority, Series A (NATL-RE Other assets and liabilities, Insured) net--1.1% 629 5.125%, 10/1/16 150 152 ------------ 5.125%, 10/1/17 125 126 NET ASSETS--100.0% $ 57,930 Bay Area Toll Authority, San ============ Fransisco Bay Area Series F-1 5.125%, 4/1/39 500 510 ABBREVATIONS San Francisco Bay Area Rapid Transit ACA American Capital Access Financial Guarantee Corp. District 5.250%, 7/1/17 180 181 AMBAC American Municipal Bond Assurance Corporation. ------------ FGIC Financial Guaranty Insurance Company 969 FHA Federal Housing Authority ------------ FNMA Federal National Mortgage Association ("Fannie Mae"). WATER & SEWER REVENUE--8.4% FSA Financial Security Assurance, Inc. California Statewide Communities GNMA Government National Mortgage Association ("Ginnie Development Authority, Mae") Anheuser-Busch Project 4.800%, NATL National Public Finance Guarantee Corp. 9/1/46 1,000 832 NATL/NATL-RE National Public Finance Guarantee Corp., formerly Delta Diablo Sanitation District, Municipal Bond Certificates of Participation Insurance Association (NATL-RE Insured) 0.000%, 12/1/16 1,070 760 XLCA XL Capital Assurance El Dorado Irrigation District, Certificates of Participation, Series A (NATL-RE, FGIC Insured) 5.250%, 3/1/16 365 391 Modesto Wastewater, Series A (FSA Insured) 5.000%, 11/1/19 245 260 Mountain View Shoreline Regional Park Community, Series A (NATL-RE Insured) 5.500%, 8/1/21 1,000 1,001 Redlands Financing Authority, Series A (FSA Insured) 5.000%, 9/1/17 1,000 1,021 Sweetwater Water Authority (AMBAC Insured) 5.250%, 4/1/10 40 40 Westlands Water District, Certificates of Participation (NATL-RE Insured) 5.250%, 9/1/14 500 542 ------------ 4,847 --------------------------------------------------- ------------ TOTAL MUNICIPAL TAX-EXEMPT BONDS (IDENTIFIED COST $54,876) 55,998 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--96.7% (IDENTIFIED COST $54,876) 55,998 --------------------------------------------------- ------------
See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ----------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE INVESTMENTS IN SECURITIES 2009 PRICES INPUTS ------------------------------------- ----------------------------------------- Debt Securities: Municipal Securities $ 55,998 $ -- $ 55,998 Equity Securities: Short-Term Investments 1,303 1,303 -- Total Investments $ 57,301 $ 1,303 $ 55,998
There are no Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS FOREIGN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ PREFERRED STOCK--2.2% FINANCIALS--(CONTINUED) Muenchener CONSUMER STAPLES--1.2% Rueckversicherungs-Gesellschaft Companhia de Bebidas das Americas AG Registered Shares 69,357 $ 10,803 ADR Pfd. 3.50% 152,028 $ 15,369 Power Corp. of Canada 471,176 13,160 ------------ QBE Insurance Group Ltd. 1,091,651 24,912 ------------ UTILITIES--1.0% 165,830 AES Tiete SA Pfd. 12.580% 1,037,831 11,922 ------------ --------------------------------------------------- ------------ TOTAL PREFERRED STOCK HEALTH CARE--16.4% (IDENTIFIED COST $16,265) 27,291 Cie Generale D'optique Essilor --------------------------------------------------- ------------ International SA 357,654 21,392 COMMON STOCKS--97.0% Cipla Ltd. 2,226,847 15,972 Covidien plc 384,626 18,420 CONSUMER DISCRETIONARY--0.8% Fresenius Medical Care AG & Co KGaA 119,016 6,313 Nitori Co., Ltd. 125,700 9,356 Novartis AG Registered Shares 580,206 31,685 ------------ Novo Nordisk A/S Class B 600,767 38,354 Roche Holding AG Registered Shares 280,160 47,911 CONSUMER STAPLES--39.3% Synthes, Inc. 119,208 15,627 British American Tobacco plc 1,852,821 60,149 ------------ Coca-Cola Amatil Ltd. 1,005,538 10,368 195,674 Colruyt SA 74,544 17,984 ------------ Diageo plc 1,551,217 27,063 Hindustan Unilever Ltd. 2,685,040 15,218 INDUSTRIALS--4.6% Imperial Tobacco Group plc 1,739,174 54,866 Bharat Heavy Electricals Ltd. 171,136 8,810 ITC Ltd. 3,462,289 18,593 Capita Group plc/The 1,521,537 18,398 Lindt & Spruengli AG 2,562 5,501 De La Rue plc 834,640 13,265 Nestle India Ltd. 147,288 8,048 G4S plc 1,454,264 6,096 Nestle S.A. Registered Shares 1,009,800 49,009 Secom Co. Ltd. 185,200 8,796 Philip Morris International, Inc. 1,177,088 56,724 ------------ Reckitt Benckiser Group plc 698,717 37,822 55,365 Shoppers Drug Mart Corp. 402,714 17,485 ------------ Souza Cruz SA 607,011 20,138 Tesco plc 5,796,880 39,991 INFORMATION TECHNOLOGY--3.1% Woolworths Ltd. 1,229,237 30,830 Cielo SA 1,601,900 14,114 ------------ Nintendo Co. Ltd. 27,400 6,544 469,789 Redecard SA 1,016,660 16,935 ------------ ------------ 37,593 ------------ ENERGY--6.9% BG Group plc 486,857 8,791 UTILITIES--12.0% Canadian Natural Resources Ltd. 175,981 12,788 Companhia Energetica de Minas Gerais 540,528 9,811 Core Laboratories N.V. 284,068 33,554 CPFL Energia SA 582,200 11,808 Total SA 418,738 26,896 Enagas S.A. 1,567,585 34,751 ------------ Red Electrica Corp. S.A. 510,400 28,481 82,029 RWE AG 155,680 15,108 ------------ Scottish & Southern Energy plc 999,242 18,703 Terna Rete Elettrica Nazionale S.p.A. 5,806,700 24,972 FINANCIALS--13.9% ------------ Amlin plc 2,111,532 12,192 143,634 Deutsche Boerse AG 73,053 6,049 --------------------------------------------------- ------------ HDFC Bank Ltd. 1,410,250 51,386 TOTAL COMMON STOCKS Housing Development Finance Corp. 827,194 47,328 (IDENTIFIED COST $972,625) 1,159,270 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--99.2% (IDENTIFIED COST $988,890) 1,186,561 --------------------------------------------------- ------------
See Notes to Schedules of Investments 1 VIRTUS FOREIGN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE ------------ ------------ SHORT-TERM INVESTMENTS--1.4% MONEY MARKET MUTUAL FUNDS--1.4% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.080%) 16,312,457 $ 16,312 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $16,312) 16,312 --------------------------------------------------- ------------ TOTAL INVESTMENTS--100.6% (IDENTIFIED COST $1,005,202) 1,202,873(1) Other assets and liabilities, net--(0.6)% (7,677) ------------ NET ASSETS--100.0% $ 1,195,196 ============
ABBREVIATIONS: ADR American Depositary Receipt. FOREIGN CURRENCIES: AUD Australian Dollar BRL Brazil Real CHF Swiss Franc EUR European Currency Unit GBP United Kingdom Pound Sterling At December 31, 2009, the Fund had entered into forward currency contracts as follows (reported in thousands):
Unrealized Appreciation Contracts to Sell In Exchange For Settlement Date Value (Depreciation) ----------------- --------------- --------------- ------- -------------- AUD 13,939 USD 12,407 6/10/10 $12,300 $ 107 BRL 59,140 USD 31,897 6/21/10 $32,763 $(866) CHF 19,682 USD 19,239 6/10/10 $19,051 $ 188 CHF 11,175 USD 10,722 6/10/10 $10,817 $ (95) EUR 17,543 USD 25,846 6/10/10 $25,137 $ 709 EUR 9,135 USD 13,069 6/10/10 $13,090 $ (21) EUR 7,023 USD 10,026 6/10/10 $10,063 $ (37) GBP 25,885 USD 41,594 3/29/10 $41,786 $(192) GBP 25,369 USD 40,246 3/29/10 $40,953 $(707) ----- (914) =====
See Notes to Schedules of Investments 2 VIRTUS FOREIGN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United Kingdom 25% Switzerland 17 India 14 Brazil 8 Australia 6 Spain 5 France 4 Other 21 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ----------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT INVESTMENT IN SECURITIES DECEMBER 31, QUOTED OBSERVABLE ASSET TABLE 2009 PRICES INPUTS ------------------------------------- ----------------------------------------- Equity Securities: Common Stocks $ 1,159,270 $ 224,937 $ 934,333 Preferred Stock 27,291 27,291 -- Short-Term Investments 16,312 16,312 -- Total Investments $ 1,202,873 $ 268,540 $ 934,333 Other Financial Instruments:* Forward Currency Contracts $ 1,004 $ -- $ 1,004 ------------------------------------- -----------------------------------------
LIABILITIES TABLE ------------------------------------- ----------------------------------------- Other Financial Instruments:* Forward Currency Contracts $ (1,918) $ -- $ (1,918) Total Liabilities $ (1,918) $ -- $ (1,918)
There are no Level 3 (Significant Unobservable Inputs) priced securities. * Valued at the unrealized appreciation ( depreciation) on the investments. See Notes to Schedules of Investments 1 VIRTUS GLOBAL INFRASTRUCTURE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--98.6% UTILITIES--28.9% CenterPoint Energy, Inc. CONSUMER DISCRETIONARY--1.3% (United States) 73,100 $ 1,061 SES SA (Luxembourg) 51,350 $ 1,157 CMS Energy Corp. (United States) 62,380 977 ------------ DTE Energy Co. (United States) 25,200 1,098 E.ON AG (Germany) 55,350 2,323 ENERGY--17.9% Energias de Portugal SA (Portugal) 234,550 1,044 Enbridge, Inc. (Canada) 117,250 5,419 Exelon Corp. (United States) 14,500 709 Spectra Energy Corp. (United States) 142,850 2,930 FirstEnergy Corp. (United States) 25,880 1,202 TransCanada Corp. (Canada) 124,880 4,292 FPL Group, Inc. (United States) 31,020 1,638 Williams Cos., Inc. (The) National Grid plc (United Kingdom) 71,630 782 (United States) 156,940 3,308 Northeast Utilities (United States) 25,490 657 ------------ Northwest Natural Gas Co. (United 15,949 States) 18,730 844 ------------ NSTAR (United States) 24,990 920 NV Energy, Inc. (United States) 70,860 877 INDUSTRIALS--17.1% ONEOK, Inc. (United States) 16,230 723 Abertis Infraestructuras S.A. (Spain) 123,363 2,789 Public Service Enterprise Group, Inc. Atlantia S.p.A. (Italy) 113,220 2,961 (United States) 42,790 1,423 Brisa Auto-Estradas de Portugal SA Questar Corp. (United States) 30,600 1,272 (Portugal) 160,030 1,644 Red Electrica Corp. S.A. (Spain) 16,080 897 Fraport AG Frankfurt Airport Services RWE AG (Germany) 12,600 1,223 Worldwide (Germany) 28,090 1,450 Scottish & Southern Energy plc Hamburger Hafen Und Logistik AG (United Kingdom) 36,200 678 (Germany) 23,970 926 Sempra Energy (United States) 30,990 1,735 Koninklijke Vopak NV (Netherlands) 22,490 1,783 Southern Co. (The) (United States) 25,740 858 Transurban Group (Australia) 502,800 2,488 Tokyo Electric Power Co., Inc. (The) Vinci SA (France) 21,070 1,186 (Japan) 36,000 903 ------------ Wisconsin Energy Corp. 15,227 (United States) 19,080 951 ------------ Xcel Energy, Inc. (United States) 43,390 921 ------------ TELECOMMUNICATION SERVICES--33.4% 25,716 American Tower Corp. Class A --------------------------------------------------- ------------ (United States)(2) 36,240 1,566 TOTAL COMMON STOCKS AT&T, Inc. (United States) 193,620 5,427 (IDENTIFIED COST $86,294) 87,857 CenturyTel, Inc. (United States) 34,840 1,262 --------------------------------------------------- ------------ Chunghwa Telecom Co., Ltd. ADR TOTAL LONG TERM INVESTMENTS--98.6% (Taiwan) 43,981 817 (IDENTIFIED COST $86,294) 87,857 Crown Castle International Corp. --------------------------------------------------- ------------ (United States)(2) 44,600 1,741 France Telecom SA Sponsored ADR SHORT-TERM INVESTMENTS--1.7% (France) 61,030 1,540 KDDI Corp. (Japan) 219 1,160 MONEY MARKET MUTUAL FUNDS--1.7% Koninklijke KPN N.V. (Netherlands) 72,760 1,237 Dreyfus Cash Management Fund - Nippon Telegraph & Telephone Corp. Institutional Shares (seven-day Sponsored ADR (Japan) 40,130 792 effective yield 0.080%) 1,542,941 1,543 Rogers Communications, Inc. Class B --------------------------------------------------- ------------ (Canada) 37,430 1,170 TOTAL SHORT-TERM INVESTMENTS Singapore Telecommunications Ltd. (IDENTIFIED COST $1,543) 1,543 (Singapore) 470,400 1,036 --------------------------------------------------- ------------ Telefonica S.A. Sponsored ADR (Spain) 32,570 2,720 TELUS Corp. (Canada) 27,980 913 Verizon Communications, Inc. (United States) 91,320 3,025 Vodafone Group plc Sponsored ADR (United Kingdom) 162,970 3,763 Windstream Corp. (United States) 149,130 1,639 ------------ 29,808 ------------
See Notes to Schedules of Investments 1 VIRTUS GLOBAL INFRASTRUCTURE FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands) TOTAL INVESTMENTS--100.3% (IDENTIFIED COST $87,837) 89,400(1) Other assets and liabilities, net--(0.3)% (239) ------------ NET ASSETS--100.0% $ 89,161 ============
ABBREVIATIONS: ADR American Depositary Receipt. See Notes to Schedules of Investments 2 VIRTUS GLOBAL INFRASTRUCTURE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 45% Canada 13 Germany 7 Spain 7 United Kingdom 6 Italy 3 Netherlands 3 Other 16 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE INVESTMENTS IN SECURITIES 2009 PRICES INPUTS ------------------------------------------------------------------------- Equity Securities: Common Stocks $87,857 $60,190 $27,667 Short-Term Investments 1,543 1,543 -- Total Investments $89,400 $61,733 $27,667
There are no Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS GLOBAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--91.3% HEALTH CARE--(CONTINUED) Roche Holding AG Registered Shares 6,862 $ 1,174 CONSUMER DISCRETIONARY--4.1% Synthes, Inc. 2,285 300 Techne Corp. 9,283 637 AutoZone, Inc.(2) 3,950 $ 624 ------------ McDonald's Corp. 28,154 1,758 10,081 Norstar Founders Group Ltd.(2)(6)(8) 272,000 0 ------------ ------------ INDUSTRIALS--3.5% 2,382 Capita Group plc/The 47,819 578 ------------ De La Rue plc 28,029 445 L-3 Communications Holdings, Inc. 5,554 483 CONSUMER STAPLES--40.6% Robinson (C.H.) Worldwide, Inc. 8,745 514 ------------ Altria Group, Inc. 44,490 873 2,020 British American Tobacco plc 91,780 2,980 ------------ Coca-Cola Co. (The) 35,262 2,010 INFORMATION TECHNOLOGY--8.4% Colgate-Palmolive Co. 9,814 806 Cielo SA 57,825 509 Costco Wholesale Corp. 13,890 822 Cognizant Technology Solutions Diageo plc 44,641 779 Corp. Class A(2) 14,705 666 Imperial Tobacco Group plc 82,330 2,597 Google, Inc. Class A(2) 2,638 1,636 Mead Johnson Nutrition Co. Class A 42,076 1,839 Redecard SA 52,509 875 Nestle S.A. Registered Shares 33,903 1,645 Visa, Inc. Class A 13,666 1,195 Philip Morris International, Inc. 75,710 3,648 ------------ Reckitt Benckiser Group plc 34,024 1,842 4,881 Shoppers Drug Mart Corp. 15,512 674 ------------ Tesco plc 144,615 998 UTILITIES--9.0% Wal-Mart Stores, Inc. 21,150 1,130 Companhia Energetica de Minas Woolworths Ltd. 37,026 929 Gerais - Gemig ADR 44,507 804 ------------ CPFL Energia SA ADR 10,765 665 23,572 Enagas S.A. 47,598 1,055 ------------ FPL Group, Inc. 13,900 734 ENERGY--3.9% Red Electrica Corp. S.A. 16,291 909 Core Laboratories N.V. 9,162 1,082 Terna Rete Elettrica Nazionale Imperial Oil Ltd. 30,200 1,174 S.p.A. 247,536 1,065 ------------ ------------ 2,256 5,232 ------------ ----------------------------------------------------------------- FINANCIALS--4.5% TOTAL COMMON STOCKS Bank of New York Mellon Corp. (The) 18,680 523 (IDENTIFIED COST $42,311) 53,061 Markel Corp.(2) 1,665 566 ----------------------------------------------------------------- Progressive Corp. (The)(2) 55,866 1,005 WARRANTS--6.4% RLI Corp. 10,200 543 Deutsche Bank AG - HDFC Bank Ltd. ------------ Exercise price $0.001 USD exp. 2,637 1/24/17(2) 19,875 727 ------------ HSBC Bank plc - Hindustan Unilever HEALTH CARE--17.3% Ltd. Exercise price $0.001 USD Abbott Laboratories 50,532 2,728 exp. 4/11/18(2) 46,503 265 Bard (C.R.), Inc. 9,247 720 HSBC Bank plc - Housing Development Baxter International, Inc. 13,515 793 Finance Corp. Exercise price Becton, Dickinson & Co. 13,415 1,058 $0.001 USD exp. 2/20/18(2) 15,900 914 Celgene Corp.(2) 16,890 940 HSBC Bank plc - Nestle India Ltd. Novartis AG Registered Shares 14,380 785 Exercise price $0.001 USD exp. Novo Nordisk A/S Class B 14,823 946 11/19/18(2) 12,820 702 HSBC Bank plc- ITC Ltd. Exercise price $0.001 USD exp. 2/20/18(2) 133,735 721
See Notes to Schedules of Investments 1 VIRTUS GLOBAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE ------------ ------------ JPMorgan International - Housing Development Financial Corp. Exercise price $0.001 USD exp. 5/7/14(2) 6,460 $ 371 --------------------------------------------------- ------------ TOTAL WARRANTS (IDENTIFIED COST $2,473) 3,700 --------------------------------------------------- ------------ EQUITY-LINKED CERTIFICATES--1.4% CLSA Financial Products Ltd. - Cipla Ltd. Strike price $0.001 USD exp. 5/23/11(2) 111,558 804 --------------------------------------------------- ------------ TOTAL EQUITY-LINKED CERTIFICATES (IDENTIFIED COST $480) 804 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--99.1% (IDENTIFIED COST $45,264) 57,565 --------------------------------------------------- ------------ SHORT-TERM INVESTMENTS--0.8% MONEY MARKET MUTUAL FUNDS--0.8% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.080%) 481,240 481 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $481) 481 --------------------------------------------------- ------------ TOTAL INVESTMENTS--99.9% (IDENTIFIED COST $45,745) 58,046(1) Other assets and liabilities, net--0.1% 69 ------------ NET ASSETS--100.0% $ 58,115 ============
ABBREVIATIONS: ADR American Depositary Receipt. FOREIGN CURRENCIES: AUD Australian Dollar CHF Swiss Franc EUR European Currency Unit GBP United Kingdom Pound Sterling At December 31, 2009, the Fund had entered into forward currency contracts as follows (reported in thousands):
Unrealized Appreciation Contracts to Sell In Exchange for Settlement Date Value (Depreciation) ----------------- --------------- --------------- ----- -------------- AUD 203 USD 181 6/10/10 $ 179 $ 2 CHF 516 USD 504 6/10/10 $ 499 $ 5 CHF 288 USD 277 6/10/10 $ 279 $ (2) EUR 111 USD 159 6/10/10 $ 159 $ -- EUR 112 USD 159 6/10/10 $ 160 $ (1) EUR 324 USD 477 6/10/10 $ 464 $ 13 GBP 987 USD 1,565 3/29/10 $1,593 $(28) GBP 960 USD 1,543 3/29/10 $1,550 $ (7) ---- (18) ====
See Notes to Schedules of Investments 2 VIRTUS GLOBAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 43% United Kingdom 21 Switzerland 13 Brazil 5 Spain 4 Canada 3 India 3 Other 8 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFACANT INVESTMENTS IN SECURITIES DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE ASSET TABLE 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Equity Securities: Common Stocks** $ 53,061 $ 34,035 $ 19,026 0 Warrants 3,700 -- 3,700 -- Equity-Linked Certificates 804 -- 804 -- Short-Term Investments 481 481 -- -- Total Investments $ 58,046 $ 34,516 $ 23,530 0 Other Financial Instruments:* Forward Currency Contracts 20 -- 20 --
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFACANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE LIABILITIES TABLE 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Other Financial Instruments:* Forward Currency Contracts $ (38) $ -- $ (38) -- Total Liabilities $ (38) $ -- $ (38) --
* Valued at the unrealized appreciation (depreciation) on the investments ** Level 3 Common Stock valued at zero at the beginning and end of period. See Notes to Schedules of Investments 1 VIRTUS GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--96.7% OFFICE REITS--(CONTINUED) DIVERSIFIED REITS--12.7% Mack-Cali Realty Corp. 634 $ 22 BGP Holdings plc(2)(6)(8) 13,566 $ 0 Nippon Building Fund, Inc. 3 23 British Land Co. plc 4,571 35 Nomura Real Estate Office Fund, Inc. 3 16 Canadian Real Estate Investment Trust 525 14 ORIX JREIT, Inc. 2 10 Cominar Real Estate Investment Trust 650 12 SL Green Realty Corp. 371 19 Dexus Property Group 41,140 31 Societe Immobiliere de Location First Capital Realty, Inc. 340 7 Pour L'industrie Et Le Commerce 150 18 Fonciere Des Regions 180 18 ------------ Gecina SA 90 10 425 GPT Group 44,500 24 ------------ Kenedix Realty Investment Corp. 4 11 Land Securities Group plc 5,275 58 REAL ESTATE OPERATING COMPANIES--8.0% Liberty Property Trust 830 27 AEON Mall Co. Ltd. 850 16 Vornado Realty Trust 951 66 Brookfield Properties Corp. 2,225(11) 27 ------------ Brookfield Properties Corp. 355(10) 4 313 Castellum AB 2,125 21 ------------ Citycon Oyj 3,550 15 Deutsche Euroshop AG 350 12 INDUSTRIAL REITS--4.9% Fabege AB 900 6 AMB Property Corp. 931 24 GAGFAH S.A. 500 5 Ascendas Real Estate Investment Trust 18,700 29 Hongkong Land Holdings Ltd. 10,900 54 EastGroup Properties, Inc. 140 5 Multiplan Empreendimentos Goodman Group 60,000 34 Imobiliarios SA 335 6 ProLogis 281 4 PSP Swiss Property AG(2) 320 18 SEGRO plc 4,405 25 Safestore Holdings plc 4,360 12 ------------ ------------ 121 196 ------------ ------------ OFFICE REITS--17.3% RESIDENTIAL REITS--9.2% Alexandria Real Estate Equities, Inc. 200 13 American Campus Communities, Inc. 195 5 Allied Properties Real Estate Apartment Investment & Management Co. Investment Trust 400 7 Class A 985 16 BioMed Realty Trust, Inc. 990 16 AvalonBay Communities, Inc. 420 35 Boston Properties, Inc. 808 54 Boardwalk Real Estate Investment CapitaCommercial Trust 14,000 12 Trust 256 9 Champion Reit 41,418 17 BRE Properties, Inc. 482 16 Commonwealth Property Office Fund 4,500 4 Equity Lifestyle Properties, Inc. 219 11 Corporate Office Properties Trust 373 14 Equity Residential 2,041 69 Derwent London plc 950 20 Essex Property Trust, Inc. 254 21 Digital Realty Trust, Inc. 1,090 55 Home Properties, Inc. 253 12 Douglas Emmett, Inc. 316 4 UDR, Inc. 1,974 32 Duke Realty Corp. 1,285 16 ------------ Great Portland Estates plc 3,171 15 226 Highwoods Properties, Inc. 545 18 ------------ ING Office Fund 34,908 20 Japan Prime Realty Investment Corp. 5 10 RETAIL REITS--31.1% Japan Real Estate Investment Corp. 3 22 CapitaMall Trust 14,300 18 CBL & Associates Properties, Inc. 302 3 CFS Retail Property Trust 11,200 19 Corio N.V. 370 25 Eurocommercial Properties N.V. 435 18 Federal Realty Investments Trust 398 27
See Notes to Schedules of Investments 1 VIRTUS GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ---------- ------------ ---------- ------------ RETAIL REITS--(CONTINUED) Hammerson plc 3,875 $ 27 SHORT-TERM INVESTMENTS--2.4% Kimco Realty Corp. 3,028 41 Klepierre 665 27 MONEY MARKET MUTUAL FUNDS--2.4% Liberty International plc 2,201 18 Link (The) 16,405 42 Dreyfus Cash Management Fund - Macerich Co. (The) 825 30 Institutional Shares (seven-day National Retail Properties, Inc. 327 7 effective yield 0.080%) 58,016 $ 58 Regency Centers Corp. 204 7 ------------------------------------------------ ------------ RioCan Real Estate Investment Trust 1,607 31 TOTAL SHORT-TERM INVESTMENTS Simon Property Group, Inc. 1,671 133 (IDENTIFIED COST $58) 58 Tanger Factory Outlet Centers 595 23 ------------------------------------------------ ------------ Taubman Centers, Inc. 215 8 TOTAL INVESTMENTS--99.1% Unibail-Rodamco 528 116 (IDENTIFIED COST $1,616) 2,433(1) Westfield Group 12,800 143 ------------------------------------------------ ------------ ------------ 763 Other assets and liabilities, ------------ net--0.9% 23 ------------ SPECIALIZED REITS--13.5% NET ASSETS--100.0% $ 2,456 Big Yellow Group plc(2) 2,155 12 ============ Entertainment Properties Trust 293 10 Extra Space Storage, Inc. 1,615 19 HCP, Inc. 1,599 49 Health Care REIT, Inc. 788 35 Host Hotels & Resorts, Inc.(2) 3,868 45 LaSalle Hotel Properties 660 14 Nationwide Health Properties, Inc. 825 29 Public Storage 830 68 Sunstone Hotel Investors, Inc.(2) 254 2 U-Store-It Trust 271 2 Ventas, Inc. 1,048 46 ------------ 331 ------------------------------------------------- ------------ TOTAL COMMON STOCKS (IDENTIFIED COST $1,558) 2,375 ------------------------------------------------- ------------ WARRANTS--0.0% DIVERSIFIED REITS--0.0% Fonciere Des Regions Exercise price 65.00 EUR exp. 12/31/10(2) 100 --(13) ------------------------------------------------- ------------ TOTAL WARRANTS (IDENTIFIED COST $0) -- ------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--96.7% (IDENTIFIED COST $1,558) 2,375 ------------------------------------------------- ------------
ABBREVIATIONS: REITs Real Estate Investment Trust See Notes to Schedules of Investments 2 VIRTUS GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 51% Australia 11 United Kingdom 9 France 8 Japan 5 Canada 4 Hong Kong 2 Other 10 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ---------------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE INVESTMENT IN SECURITIES 2009 PRICES INPUTS INPUTS ------------------------------------- ---------------------------------------------------------------- Equity Securities: Common Stocks $ 2,375 $ 1,343 $ 1,032 $ 0(1) Warrants --(2) --(2) -- -- Short-Term Investments 58 58 -- -- Total Investments $ 2,433 $ 1,401 $ 1,032 $ 0
(1) Level 3 Common Stock valued at zero at beginning and end of period. (2) Amount is less than $500. See Notes to Schedules of Investments 1 VIRTUS GREATER ASIA EX JAPAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--74.1% CONSUMER DISCRETIONARY--4.9% BEC World plc 93,300 $ 69 INDUSTRIALS--(CONTINUED) Berjaya Sports Toto Bhd 27,100 34 Singapore Airport Terminal Servises Genting Malaysia Bhd 79,500 65 Ltd. 38,400 $ 75 Kangwon Land, Inc. 5,400 77 Singapore Post Ltd. 181,800 130 Megastudy Co. Ltd. 170 35 Singapore Technologies Engineering Super Cheap Auto Group Ltd. 8,780 42 Ltd. 38,100 88 Woongjin Thinkbig Co. Ltd.(2) 1,920 36 SMRT Corp. Ltd. 65,000 88 ------------ Taiwan Secom Co., Ltd. 44,000 74 358 ------------ ------------ 869 ------------ CONSUMER STAPLES--21.6% AmorePacific Corp. 170 136 INFORMATION TECHNOLOGY--2.8% British American Tobacco Bhd 9,100 114 NetEase.Com, Inc. ADR(2) 2,700 102 Coca-Cola Amatil Ltd. 18,551 191 NHN Corp.(2) 600 99 Dairy Farm International Holdings ------------ Ltd. 12,900 77 201 Guinness Anchor Bhd 24,700 50 ------------ Hengan International Group Co., Ltd. 29,300 217 KT&G Corp. 1,730 96 MATERIALS--3.8% LG Household & Health Care Ltd.(2) 350 87 AMVIG Holdings Ltd. 132,104 54 Nestle Malaysia Bhd 6,800 66 Fauji Fertilizer Co., Ltd. 31,700 39 Thai Beverage plc 388,300 68 Semen Gresik (Persero) Tbk PT 187,700 150 Unilever Indonesia Tbk PT 105,700 123 Yingde Gases Group Co., Ltd.(2) 32,270 33 Want Want China Holdings Ltd. 107,900 75 ------------ Woolworths Ltd. 10,400 261 276 ------------ ------------ 1,561 ------------ TELECOMMUNICATION SERVICES--6.1% Philippine Long Distance Telephone ENERGY--2.3% Co. Sponsored ADR 2,760 156 CNOOC Ltd. 35,200 55 Singapore Telecommunications Ltd. 28,000 62 PTT Exploration & Production plc 26,000 114 Telekomunikasi Indonesia Tbk PT 149,600 149 ------------ Telstra Corp. Ltd. 23,900 73 169 ------------ ------------ 440 ------------ FINANCIALS--9.6% UTILITIES--9.8% HDFC Bank Ltd. ADR 2,965 386 Cheung Kong Infrastructure Holdings QBE Insurance Group Ltd. 8,126 185 Ltd. 19,600 75 Samsung Fire & Marine Insurance Co., CLP Holdings Ltd. 7,500 51 Ltd. 710 122 HongKong Electric Holdings Ltd. 22,100 120 ------------ Tanjong plc 66,100 325 693 Xinao Gas Holdings Ltd. 53,300 136 ------------ ------------ 707 HEALTH CARE--1.2% ------------------------------------------------- ------------ Yuhan Corp. 567 87 TOTAL COMMON STOCKS ------------ (IDENTIFIED COST $4,143) 5,361 ------------------------------------------------- ------------ INDUSTRIALS--12.0% Beijing Enterprises Holdings Ltd. 31,100 225 WARRANTS--12.0% Jardine Matheson Holdings Ltd. 2,600 78 HSBC Bank plc - Sun Pharmaceutical Jardine Strategic Holdings Ltd 2,800 49 Industries Ltd. Exercise price PLUS Expressways Bhd 64,700 62 $0.001 USD exp. 10/24/18(2) 2,300 75 HSBC Bank plc - Cipla Ltd. Exercise price $0.001 USD exp. 12/17/18 11,700 84 HSBC Bank plc - Hindustan Unilever Ltd. Exercise price $0.001 USD exp. 4/11/18(2) 24,000 137
See Notes to Schedules of Investments 1 VIRTUS GREATER ASIA EX JAPAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ---------- ------------ HSBC Bank plc - Nestle India Ltd. MUTUAL FUNDS--1.0% Exercise price $0.001 USD exp. Macquarie Korea Infrastructure Fund 17,850 $ 75 11/19/18(2) 4,300 $ 235 ----------------------------------------------- ------------ JPMorgan International - Housing TOTAL MUTUAL FUNDS Development Financial Corp. (IDENTIFIED COST $69) 75 Exercise price $0.001 USD exp. ----------------------------------------------- ------------ 5/7/14(2) 5,300 305 TOTAL LONG TERM INVESTMENTS--99.5% Macquarie Bank Ltd. - Marico Ltd. (IDENTIFIED COST $5,436) 7,197 Exercise price $0.0001 USD exp. ----------------------------------------------- ------------ 2/18/13 14,000 31 --------------------------------------------------- ------------ SHORT-TERM INVESTMENTS--0.6% TOTAL WARRANTS (IDENTIFIED COST $603) 867 MONEY MARKET MUTUAL FUNDS--0.6% --------------------------------------------------- ------------ Dreyfus Cash Management Fund - Institutional Shares (seven-day EQUITY-LINKED CERTIFICATES--11.4% effective yield 0.080%) 42,136 42 CLSA Financial Products Ltd. - ----------------------------------------------- ------------ Bharat Electron. Strike price TOTAL SHORT-TERM INVESTMENTS $0.001 USD exp. 7/12/10(2) 1,067 45 (IDENTIFIED COST $42) 42 CLSA Financial Products Ltd. - ----------------------------------------------- ------------ Bharat Heavy Electricals Ltd. TOTAL INVESTMENTS--100.1% Strike price $0.001 USD exp. (IDENTIFIED COST $5,478) 7,239(1) 7/20/10(2) 2,100 109 ----------------------------------------------- ------------ CLSA Financial Products Ltd. - Other assets and liabilities, Dabur India Ltd. Strike price net--(0.1)% (5) 0.001 USD exp. 1/18/12(2) 19,100 65 ------------ CLSA Financial Products Ltd. - Hero NET ASSETS--100.0% $ 7,234 Honda Motors Ltd. Strike price ============ 0.001 USD exp. 6/9/10(2) 1,900 70 CLSA Financial Products Ltd. - ITC ABBREVIATIONS: Ltd. Strike price 0.001 USD exp. ADR American Depositary Receipt. 5/5/10(2) 45,000 243 CLSA Financial Products Ltd. - Jain FOREIGN CURRENCIES: Irrigation Systems Ltd. Strike AUD Australian Dollar price 0.001 USD exp. 8/15/11(2) 4,600 86 IDR Indonesian Rupiah CLSA Financial Products Ltd. - MYR Malaysian Ringgit Jammu & Kashmir Bank Ltd. Strike TWD Taiwan Dollar price 0.001 USD exp. 7/8/10(2) 8,800 110 CLSA Financial Products Ltd. - Lupin Ltd. Strike price $0.001 exp. 6/7/10 1,400 44 CLSA Financial Products Ltd. - Mahindra & Mahindra Financial Services Strike price 0.001 USD exp. 2/23/11(2) 7,100 52 --------------------------------------------------- ------------ TOTAL EQUITY-LINKED CERTIFICATES (IDENTIFIED COST $542) 824 --------------------------------------------------- ------------ EXCHANGE TRADED FUNDS--1.0% Ultrashort Ftse Xinhua China 25 Proshares(2) 3,550 30 Ultrashort MSCI Emerging Markets ProShares(2) 3,678 40 --------------------------------------------------- ------------ TOTAL EXCHANGE TRADED FUNDS (IDENTIFIED COST $79) 70 --------------------------------------------------- ------------
See Notes to Schedules of Investments 2 VIRTUS GREATER ASIA EX JAPAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- India 25% China 12 Australia 11 Malaysia 10 Korea 8 Hong Kong 6 Singapore 6 Other 22 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
-------------------------------------------------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE INVESTMENT IN SECURITIES 2009 PRICES INPUTS -------------------------------------------------------------------------------- Equity Securities: Common Stocks $ 5,361 $ 1,393 $ 3,968 Warrants 867 -- 867 Equity-Linked Certificates 824 -- 824 Exchange Traded Funds 70 70 -- Mutual Funds 75 -- 75 Short-Term Investments 42 42 -- Total Investments $ 7,239 $ 1,505 $ 5,734
There are no Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS GREATER EUROPEAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ----------- ------------ COMMON STOCKS--97.8% INDUSTRIALS--(CONTINUED) De La Rue plc 7,421 $ 119 CONSUMER DISCRETIONARY--2.4% G4S plc 33,825 142 Domino's Pizza plc 18,475 $ 89 Vossloh AG 895 89 SES SA 3,564 80 ------------ ------------ 666 169 ------------ ------------ INFORMATION TECHNOLOGY--3.4% CONSUMER STAPLES--36.4% Indra Sistemas SA 4,615 109 British American Tobacco plc 11,953 389 Xchanging plc 37,506 125 Colruyt SA 478 115 ------------ Diageo plc 12,074 212 234 Imperial Tobacco Group plc 11,400 361 ------------ Lindt & Spruengli AG 23 49 Nestle S.A. Registered Shares 7,722 375 MATERIALS--1.3% Philip Morris International, Inc. 6,962 336 Air Liquide SA 778 93 Reckitt Benckiser Group plc 5,113 277 ------------ Tesco plc 40,240 278 Unilever N.V. 3,882 127 UTILITIES--11.1% ------------ Enagas S.A. 9,783 216 2,519 Red Electrica Corp. S.A. 3,492 194 ------------ RWE AG 1,113 109 Scottish & Southern Energy plc 5,695 107 ENERGY--6.2% Terna Rete Elettrica Nazionale S.p.A. 33,748 145 BG Group plc 2,857 52 ------------ Core Laboratories N.V. 1,849 218 771 Total SA 2,431 157 -------------------------------------------------- ------------ ------------ TOTAL COMMON STOCKS 427 (IDENTIFIED COST $5,196) 6,772 ------------ -------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--97.8% FINANCIALS--8.0% (IDENTIFIED COST $5,196) 6,772 Amlin plc 14,900 86 -------------------------------------------------- ------------ Deutsche Boerse AG 2,159 179 Muenchener SHORT-TERM INVESTMENTS--2.1% Rueckversicherungs-Gesellschaft AG Registered Shares 1,032 161 MONEY MARKET MUTUAL FUNDS--2.1% Reinet Investments SCA(2) 8,036 127 Dreyfus Cash Management Fund - ------------ Institutional Shares (seven-day 553 effective yield 0.080%) 147,607 148 ------------ -------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS HEALTH CARE--19.4% (IDENTIFIED COST $148) 148 Cie Generale D'optique Essilor -------------------------------------------------- ------------ International SA 3,029 181 TOTAL INVESTMENTS--99.9% Covidien plc 2,400 115 (IDENTIFIED COST $5,344) 6,920(1) Fresenius Medical Care AG & Co KGaA 3,711 196 Novartis AG Registered Shares 3,297 180 Other assets and liabilities, net--0.1% 5 Novo Nordisk A/S Class B 3,730 239 ------------ Roche Holding AG Registered Shares 1,783 303 NET ASSETS--100.0% $ 6,925 Synthes, Inc. 962 126 ============ ------------ 1,340 FOREIGN CURRENCIES: ------------ CHF Swiss Franc EUR European Currency Unit INDUSTRIALS--9.6% GBP United Kingdom Pound Sterling Bureau Veritas SA 2,390 125 Capita Group plc/The 15,767 191
See Notes to Schedules of Investments 1 VIRTUS GREATER EUROPEAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) At December 31, 2009, the Fund had entered into forward currency contracts as follows (reported in thousands):
Unrealized Appreciation Contracts to Sell In Exchange for Settlement Date Value (Depreciation) ----------------- --------------- --------------- ----- -------------- CHF 135 USD 132 6/10/10 $131 $ 1 EUR 199 USD 284 6/10/10 $285 $(1) EUR 214 USD 315 6/10/10 $307 $ 8 GBP 416 USD 681 5/04/10 $671 $ 9 --- 17 ===
See Notes to Schedules of Investments 2 VIRTUS GREATER EUROPEAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United Kingdom 35% Switzerland 20 Germany 11 France 8 Spain 7 Netherlands 5 Denmark 3 Other 11 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
------------------------------------- ----------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT INVESTMENT IN SECURITIES DECEMBER 31, QUOTED OBSERVABLE ASSET TABLE 2009 PRICES INPUTS ------------------------------------- ----------------------------------------- Equity Securities: Common Stocks $ 6,772 $ 6,772 $ -- Short-Term Investments 148 148 -- Total Investments $ 6,920 $ 6,920 $ -- Other Financial Instruments:* Forward Currency Contracts $ 18 $ -- $ 18
------------------------------------- ----------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE LIABILITIES TABLE 2009 PRICES INPUTS ------------------------------------- ----------------------------------------- Other Financial Instruments:* Forward Currency Contracts $ (1) $ -- $ (1) Total Liabilities $ (1) $ -- $ (1)
There are no Level 3 (Significant Unobservable Inputs) priced securities. * Valued at the unrealized appreciation ( depreciation) on the investments See Notes to Schedules of Investments 1 VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ CORPORATE BONDS--94.7% CONSUMER DISCRETIONARY--(CONTINUED) CONSUMER DISCRETIONARY--29.6% Series AW-0 9.300%, 7/1/15(6)(8) $ 2 $ 1 Affinion Group, Inc. Series BE-9 9.300%, 7/1/15(6)(8) 11 10 10.125%, 10/15/13 $ 645 $ 666 UPC Germany GmbH 144A 8.125%, 11.500%, 10/15/15 1,555 1,637 12/1/17 (4) 835 849 AMC Entertainment, Inc. 8.000%, Valassis Communications, Inc. 3/1/14 1,255 1,205 8.250%, 3/1/15 1,005 1,007 American Real Estate Partners LP Videotron Ltee Series 9.125%, 8.125%, 6/1/12 1,515 1,545 4/15/18 1,490 1,646 7.125%, 2/15/13 480 490 WMG Holdings Corp. 9.500%, Bon-Ton Stores, Inc. (The) 10.250%, 12/15/14(3) 1,385 1,409 3/15/14(4) 775 719 ------------ Caesars Entertainment, Inc. 7.875%, 28,076 3/15/10 900 900 ------------ Cengage Learning Acquisitions, Inc. 144A 13.250%, 7/15/15 (3)(4) 750 732 CONSUMER STAPLES--12.5% Cinemark USA, Inc. 144A 8.625%, Ingles Markets, Inc. Series 8.875%, 6/15/19 (4) 685 716 5/15/17 1,200 1,254 CSC Holdings, Inc. 144A 8.625%, Alliance One International, Inc. 2/15/19 (4) 2,050 2,217 144A 10.000%, 7/15/16 (4) 1,365 1,440 Dollar General Corp. PIK Interest ASG Consolidated LLC/ASG Finance, Capitalization 11.875%, 7/15/17 536 622 Inc. 11.500%, 11/1/11(3) 1,000 1,007 Echostar DBS Corp. 6.625%, 10/1/14 410 415 Bumble Bee Foods LLC 144A 7.750%, Education Management LLC/Education 12/15/15 (4) 340 342 Management Finance Corp. 10.250%, Central Garden & Pet Co. 9.125%, 6/1/16 82 88 2/1/13 935 953 Goodyear Tire & Rubber Co. (The) Constellation Brands, Inc. 7.250%, 10.500%, 5/15/16 1,210 1,343 9/1/16 1,185 1,209 Hanesbrands, Inc. 8.000%, 12/15/16 305 312 Cott Beverages, Inc. 144A 8.375%, Intelsat Corp. 9.250%, 8/15/14 1,285 1,327 11/15/17 (4) 340 352 Levi Strauss & Co. 8.875%, 4/1/16 755 794 Del Monte Corp. 144A 7.500%, Mediacom Broadband LLC/Mediacom 10/15/19 (4) 65 67 Broadband Corp. 8.500%, 10/15/15 50 51 Dole Food Co., Inc. Peninsula Gaming LLC 144A 10.750%, 8.750%, 7/15/13 65 67 8/15/17 (4) 910 919 144A 13.875%, 3/15/14(4) 536 647 Sally Holdings LLC/Sally Capital, 144A 8.000%, 10/1/16(4) 340 347 Inc. 10.500%, 11/15/16 720 778 Jarden Corp. 7.500%, 5/1/17 925 927 Scientific Games International, Pantry, Inc. (The) 7.750%, 2/15/14 895 864 Inc. Series 9.250%, 6/15/19 1,495 1,577 Stater Brothers Holdings, Inc. Service Corp. International 7.750%, 4/15/15 565 576 7.625%, 10/1/18 1,000 995 SUPERVALU, Inc. 8.000%, 5/1/16 930 949 8.000%, 11/15/21 305 302 Tops Markets LLC 144A 10.125%, Speedway Motorsports, Inc. 10/15/15 (4) 840 869 6.750%, 6/1/13 1,110 1,110 ------------ 8.750%, 6/1/16 315 334 11,870 Susser Holdings LLC/Susser Finance ------------ Corp. 10.625%, 12/15/13 765 801 United Artists Theatre Circuit, Inc. ENERGY--7.7% Series 95-A 9.300%, 7/1/15(6)(8) 298 269 Chesapeake Energy Corp. Series BD-1 9.300%, 7/1/15(6)(8) 321 290 9.500%, 2/15/15 285 314 6.625%, 1/15/16 1,240 1,234 Comstock Resources, Inc. 8.375%, 10/15/17 755 776 El Paso Corp. 6.875%, 6/15/14 665 668 8.250%, 2/15/16 515 552 Encore Acquisition Co. 6.000%, 7/15/15 555 558 Pioneer Natural Resources Co. 6.650%, 3/15/17 100 99 6.875%, 5/1/18 930 925 Plains Exploration & Production Co.
See Notes to Schedules of Investments 1 VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ ENERGY--(CONTINUED) INFORMATION TECHNOLOGY--(CONTINUED) 7.000%, 3/15/17 $ 715 $ 706 JDA Software Group, Inc. 144A 7.625%, 6/1/18 540 555 8.000%, 12/15/14 (4) $ 170 $ 174 SandRidge Energy, Inc. 144A 8.750%, Lender Processing Services, Inc. 1/15/20 (4) 855 859 8.125%, 7/1/16 1,085 1,160 ------------ SunGard Data Systems, Inc. 7,246 9.125%, 8/15/13 655 675 ------------ 10.250%, 8/15/15 985 1,054 Viasat, Inc. 144A 8.875%, 9/15/16 FINANCIALS--5.7% (4) 45 46 CEDC Finance Corp International, ------------ Inc. 144A 9.125%, 12/1/16 (4) 690 714 4,496 Ford Motor Credit Co. LLC 7.500%, ------------ 8/1/12 1,435 1,448 GMAC, Inc. 144A 6.750%, 12/1/14 (4) 1,230 1,181 MATERIALS--1.2% Host Hotels & Resorts LP Series O Boise Paper Holdings LLC 144A 6.375%, 3/15/15 1,220 1,202 9.000%, 11/1/17 (4) 345 359 NBC Acquisition Corp. 11.000%, Cascades, Inc. 144A 7.875%, 1/15/20 3/15/13(3) 1,185 735 (4) 70 72 Ventas Realty LP/Ventas Capital Freeport-McMoRan Copper & Gold, Corp. Series 1 6.500%, 6/1/16 155 149 Inc. 8.375%, 4/1/17 625 684 ------------ ------------ 5,429 1,115 ------------ ------------ HEALTH CARE--4.8% TELECOMMUNICATION SERVICES--17.8% Bio-Rad Laboratories, Inc. 144A Cincinnati Bell, Inc. 8.250%, 8.000%, 9/15/16 (4) 330 349 10/15/17 885 903 Community Health Systems, Inc. Citizens Communications Corp. 8.875%, 7/15/15 1,205 1,250 7.125%, 3/15/19 415 394 HCA, Inc. Crown Castle International Corp. 9.250%, 11/15/16 2,000 2,153 7.125%, 11/1/19 65 65 144A 8.500%, 4/15/19(4) 690 747 Frontier Communications Corp. ------------ 8.125%, 10/1/18 595 605 4,499 GCI, Inc. 144A 8.625%, 11/15/19 (4) 1,640 1,663 ------------ Global Crossing Ltd. 144A 12.000%, 9/15/15 (4) 1,200 1,323 INDUSTRIALS--9.1% Hughes Network Systems LLC/Hughes ARAMARK Corp. 8.500%, 2/1/15 725 750 Network Systems Finance Corp. Biomet, Inc. 11.625%, 10/15/17 2,120 2,353 9.500%, 4/15/14 1,770 1,836 Casella Waste Systems, Inc. 9.750%, NII Capital Corp. 144A 8.875%, 2/1/13 1,200 1,191 12/15/19 (4) 2,165 2,119 Corrections Corp. of America PAETEC Holding Corp. 9.500%, 7/15/15 1,085 1,050 7.750%, 6/1/17 610 631 Poland Telecom Finance BV Series B DI Finance/DynCorp International, 14.000%, 12/1/10 (7)(8)(12) 4,942 62 Inc. Series B 9.500%, 2/15/13 1,950 1,984 Qwest Corp. Goodman Global Group, Inc. 144A 8.375%, 5/1/16 175 188 0.000%, 12/15/14 (4) 675 387 6.500%, 6/1/17 735 722 Travelport LLC 9.875%, 9/1/14 1,280 1,328 Sprint Capital Corp. 8.375%, 3/15/12 890 926 ------------ Stratos Global Corp. 9.875%, 2/15/13 615 652 8,624 Virgin Media Finance plc ------------ Series 8.750%, 4/15/14 430 446 8.375%, 10/15/19 695 718 INFORMATION TECHNOLOGY--4.8% West Corp. 9.500%, 10/15/14 1,135 1,158 Advanced Micro Devices, Inc. 144A Wind Acquisition Holdings Finance 8.125%, 12/15/17 (4) 165 165 S.p.A. 144A 12.250%, 7/15/17 (4) 675 668 Dycom Industries, Inc. 8.125%, Windstream Corp. 7.000%, 3/15/19 1,475 1,386 10/15/15 985 911 ------------ Jabil Circuit, Inc. 7.750%, 7/15/16 295 311 16,884 ------------
See Notes to Schedules of Investments 2 VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE ------------ ------------ UTILITIES--1.5% Ferrellgas Partners LP 144A 9.125%, 10/1/17 (4) $ 675 $ 717 NRG Energy, Inc. 7.375%, 1/15/17 695 699 ------------ 1,416 --------------------------------------------------- ------------ TOTAL CORPORATE BONDS (IDENTIFIED COST $88,251) 89,655 --------------------------------------------------- ------------ LOAN AGREEMENTS(3)--2.3% CONSUMER DISCRETIONARY--2.3% Education Management LLC/ Education Management Finance Corp. Tranche B 2.063%, 6/3/13 1,250 1,177 KAR Holdings, Inc. Tranche 2.745%, 10/21/13 583 554 Rental Services Corp. Tranche 3.790%, 11/30/13 485 455 --------------------------------------------------- ------------ TOTAL LOAN AGREEMENTS (IDENTIFIED COST $1,803) 2,186 --------------------------------------------------- ------------
SHARES VALUE ------------ ------------ COMMON STOCKS--0.0% INDUSTRIALS--0.0% ACG Holdings, Inc.(6)(8) 76 0 --------------------------------------------------- ------------ TOTAL COMMON STOCKS (IDENTIFIED COST $358) 0 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--97.0% (IDENTIFIED COST $90,412) 91,841 --------------------------------------------------- ------------ SHORT-TERM INVESTMENTS--1.1% MONEY MARKET MUTUAL FUNDS--1.1% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.118%) 1,039,255 1,039 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $1,039) 1,039 --------------------------------------------------- ------------ TOTAL INVESTMENTS--98.1% (IDENTIFIED COST $91,451) 92,880(1) Other Assets and Liabilities--1.9% 1,837 ------------ NET ASSETS--100.0% $ 94,717 ============
ABBREVIATIONS: PIK Payment-in-Kind Security See Notes to Schedules of Investments 3 VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 94% Canada 2 Bermuda 1 Germany 1 Italy 1 United Kingdom 1 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 4 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE INVESTMENT IN SECURITIES 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Debt Securities: Corporate Debt $ 91,841 $ -- $ 91,209 $ 632 Equity Securities: Common Stocks* -- -- -- 0 Short-Term Investments 1,039 1,039 -- -- Total Investments $ 92,880 $ 1,039 $ 91,209 $ 632
* Level 3 Common Stock valued at zero at the beginning and end of period. See Notes to Schedules of Investments 1 The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable were used to determine fair value.
Corporate INVESTMENTS IN SECURITIES TOTAL Debt ----- --------- BALANCE AS OF SEPTEMBER 30, 2009: $ 634 $634 Accrued Discount/(Premium) -- -- Realized Gain (Loss) -- -- Change in Unrealized Appreciation (Depreciation) (2) (2) Net Purchases/(Sales) -- -- Transfers In and/or Out of Level 3(1) -- -- ----- ---- BALANCE AS OF DECEMBER 31, 2009 $ 632 $632 ===== ====
(1) "Transfers in and/or out" represent the ending value as of December 31, 2009, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. Level 3 securities are without an active market or market participants and therefore are internally fair valued. These internally fair valued securities derive their valuation based on the review of inputs such as, but not limited to, similar securities, liquidity factors, capital structure, and credit analysis. See Notes to Schedules of Investments VIRTUS INTERNATIONAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--98.0% REAL ESTATE OPERATING COMPANIES--(CONTINUED) DIVERSIFIED REITS--18.0% GAGFAH S.A. 13,701 $ 124 BGP Holdings plc(2)(6)(8) 588,920 $ 0 Hongkong Land Holdings Ltd. 277,100 1,372 British Land Co. plc 112,975 870 Multiplan Empreendimentos Canadian Real Estate Investment Trust 14,695 381 Imobiliarios SA 7,558 141 Cominar Real Estate Investment Trust 17,000 315 PSP Swiss Property AG(2) 7,751 438 Dexus Property Group 1,023,415 776 Safestore Holdings plc 107,459 284 First Capital Realty, Inc. 5,000 104 ------------ Fonciere Des Regions 4,105 420 4,787 Gecina SA 1,885 205 ------------ GPT Group 1,094,500 588 Kenedix Realty Investment Corp. 107 293 RESIDENTIAL REITS--0.8% Land Securities Group plc 128,673 1,416 Boardwalk Real Estate Investment ------------ Trust 6,460 229 5,368 ------------ ------------ RETAIL REITS--39.6% INDUSTRIAL REITS--7.1% CapitaMall Trust 358,800 458 Ascendas Real Estate Investment Trust 460,300 723 CFS Retail Property Trust 274,252 467 Goodman Group 1,463,280 828 Corio N.V. 10,321 703 SEGRO plc 101,757 564 Eurocommercial Properties N.V. 10,222 423 ------------ Hammerson plc 95,109 647 2,115 Klepierre 16,988 688 ------------ Liberty International plc 55,564 460 Link (The) 404,542 1,032 OFFICE REITS--15.5% RioCan Real Estate Investment Trust 35,150 667 Allied Properties Real Estate Unibail-Rodamco 12,765 2,804 Investment Trust 9,395 174 Westfield Group 312,673 3,500 CapitaCommercial Trust 361,000 299 ------------ Champion Reit 1,030,576 436 11,849 Commonwealth Property Office Fund 81,416 71 ------------ Derwent London plc 21,246 451 Great Portland Estates plc 76,918 356 SPECIALIZED REITS--1.0% ING Office Fund 869,650 494 Big Yellow Group plc(2) 52,361 298 Japan Prime Realty Investment Corp. 128 266 --------------------------------------------------- ------------ Japan Real Estate Investment Corp. 58 428 TOTAL COMMON STOCKS Nippon Building Fund, Inc. 79 600 (IDENTIFIED COST $25,248) 29,272 Nomura Real Estate Office Fund, Inc. 63 343 --------------------------------------------------- ------------ ORIX JREIT, Inc. 61 305 Societe Immobiliere de Location WARRANTS--0.0% Pour L'industrie Et Le Commerce 3,307 403 ------------ Fonciere Des Regions Exercise price 4,626 65.00 EUR exp. 12/31/10(2) 3,885 3 ------------ --------------------------------------------------- ------------ TOTAL WARRANTS REAL ESTATE OPERATING COMPANIES--16.0% (IDENTIFIED COST $1) 3 AEON Mall Co. Ltd. 20,950 406 --------------------------------------------------- ------------ Brookfield Properties Corp. 57,650 706 TOTAL LONG TERM INVESTMENTS--98.0% Castellum AB 52,666 533 (IDENTIFIED COST $25,249) 29,275 Citycon Oyj 86,066 360 --------------------------------------------------- ------------ Deutsche Euroshop AG 8,218 278 Fabege AB 23,179 145 SHORT-TERM INVESTMENTS--1.5% MONEY MARKET MUTUAL FUNDS--1.5% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.080%) 451,566 452 --------------------------------------------------- ------------ TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $452) 452 --------------------------------------------------- ------------
See Notes to Schedules of Investments 1 VIRTUS INTERNATIONAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands) TOTAL INVESTMENTS--99.5% (IDENTIFIED COST $25,701) 29,727(1) Other assets and liabilities, net--0.5% 163 ------------ NET ASSETS--100.0% $ 29,890 ============
ABBREVIATIONS: REIT Real Estate Investment Trust See Notes to Schedules of Investments 2 VIRTUS INTERNATIONAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- Australia 22% United Kingdom 18 France 15 Canada 9 Japan 9 Hong Kong 5 Singapore 5 Other 17 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 3 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE INVESTMENT IN SECURITIES: 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Equity Securities: Common Stocks** $ 29,272 $ 4,087 $ 25,185 $ 0 Warrants 3 3 -- -- Short-Term Investments 452 452 -- -- ------------------------------------- ------------------------------------------------------- Total Investments $ 29,727 $ 4,542 $ -- 0
** Level 3 Common Stock valued at zero at the beginning and end of period. See Notes to Schedules of Investments 1 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--90.0% CONSUMER STAPLES--(CONTINUED) Energizer Holdings, Inc.(2) 4,260 $ 261 CONSUMER DISCRETIONARY--19.0% Estee Lauder Cos., Inc. (The) Class Abercrombie & Fitch Co. Class A 9,560 $ 333 A 3,440 166 AnnTaylor Stores Corp.(2) 46,600 636 Imperial Tobacco Group plc 16,740 528 Autoliv, Inc. 19,990 867 Kroger Co. (The) 16,590 341 Broadview Security, Inc.(2) 19,840 648 Metro AG 12,150 742 Denway Motors Ltd. 498,000 315 Nestle S.A. Registered Shares 15,500 752 Dick's Sporting Goods, Inc.(2) 16,970 422 PepsiCo, Inc. 17,300 1,052 Drew Industries, Inc.(2) 16,890 349 Philip Morris International, Inc. 10,210 492 Electrolux AB Series B(2) 40,700 956 Seven & I Holdings Co., Ltd. 19,600 400 Esprit Holdings Ltd. 34,300 227 Unilever N.V. 19,220 626 Ethan Allen Interiors, Inc. 24,630 330 Whole Foods Market, Inc.(2) 31,422 862 Foschini Ltd. 16,120 265 ------------ Home Depot, Inc. (The) 11,100 321 9,449 Johnson Controls, Inc. 9,250 252 ------------ Kohl's Corp.(2) 9,420 508 Liberty Media Corp. - Starz Series ENERGY--3.3% A(2) 4,370 202 Anadarko Petroleum Corp. 3,720 232 LVMH Moet Hennessy Louis Vuitton Cameron International Corp.(2) 10,310 431 S.A. 7,170 804 Concho Resources, Inc.(2) 12,290 552 Newell Rubbermaid, Inc. 30,620 460 Ensco International plc Sponsored News Corp. Class A 44,840 614 ADR 10,180 407 Nordstrom, Inc. 12,980 488 Halliburton Co. 6,620 199 OfficeMax, Inc.(2) 93,430 1,186 LUKOIL O.A.O Sponsored ADR 5,980 337 Omnicom Group, Inc. 15,720 615 Occidental Petroleum Corp. 3,010 245 Saks, Inc.(2) 47,950 314 Yanzhou Coal Mining Co., Ltd. Sodexo 4,550 259 Sponsored ADR 23,650 516 Staples, Inc. 32,780 806 ------------ Target Corp. 20,210 977 2,919 Thomas Cook Group plc 129,740 479 ------------ Timberland Co. (The) Class A(2) 32,730 587 Time Warner, Inc.(2) 19,923 580 FINANCIALS--6.5% Whirlpool Corp. 3,630 293 Arch Capital Group Ltd.(2) 7,250 519 Williams-Sonoma, Inc. 43,068 895 City National Corp. 17,060 778 WPP plc 74,430 728 Fidelity National Financial, Inc. ------------ Class A 51,050 687 16,716 First American Corp. 23,020 762 ------------ Investment Technology Group, Inc.(2) 31,086 612 MFA Financials, Inc. 53,010 390 CONSUMER STAPLES--10.7% Muenchener Rueckversicherungs-Gesellschaft BJ's Wholesale Club, Inc.(2) 21,640 708 AG Registered Shares 2,600 405 Clorox Co. (The) 8,890 542 National Penn Bancshares, Inc. 39,200 227 Coca-Cola Enterprises, Inc. 46,730 991 Piper Jaffray Cos.(2) 7,700 390 CVS Caremark Corp. 14,370 463 SunTrust Banks, Inc. 21,460 435 Dean Foods Co.(2) 14,670 265 Washington Federal, Inc. 27,150 525 Diageo plc 14,810 258 ------------ 5,730 ------------ HEALTH CARE--12.2% Abbott Laboratories 1,600 86 Alcon, Inc. 1,530 252 Alexion Pharmaceuticals, Inc.(2) 5,960 291
See Notes to Schedules of Investments 1 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ HEALTH CARE--(CONTINUED) INDUSTRIALS--(CONTINUED) Amedisys, Inc.(2) 8,730 $ 424 FedEx Corp. 3,870 $ 323 AmerisourceBergen Corp. 9,830 256 Finmeccanica SpA 25,940 415 Amgen, Inc.(2) 5,490 311 Harbin Power Equipment Co., Ltd. 444,000 393 Amylin Pharmaceuticals, Inc.(2) 11,670 166 Hutchison Whampoa Ltd. 16,500 568 Celgene Corp.(2) 2,450 136 IDEX Corp. 7,710 240 CIGNA Corp. 5,810 205 Kennametal, Inc. 23,380 606 Covidien plc 24,620 1,179 McDermott International, Inc.(2) 11,200 269 Emergency Medical Services Corp. Navistar International Corp.(2) 12,730 492 Class A(2) 1,380 75 Old Dominion Freight Line, Inc.(2) 12,580 386 Emergent Biosolutions, Inc.(2) 29,460 400 Snap-On, Inc. 5,360 227 Hospira, Inc.(2) 13,400 683 Stanley Works (The) 8,380 432 Human Genome Sciences, Inc.(2) 8,500 260 Steelcase, Inc. Class A 68,530 436 Ipsen SA 11,020 611 Sumitomo Corp. 42,900 437 King Pharmaceuticals, Inc.(2) 39,650 487 Teledyne Technologies, Inc.(2) 12,707 487 MAP Pharmaceuticals, Inc.(2) 12,110 115 Timken Co. (The) 20,350 482 McKesson Corp. 4,330 271 TNT N.V. 17,690 543 Medicines Co. (The)(2) 43,210 360 Toro Co. (The) 8,360 350 Medicis Pharmaceutical Corp. Class A 7,720 209 Tyco International Ltd. 6,930 247 Mednax, Inc.(2) 3,950 237 ------------ Merck & Co., Inc. 6,820 249 10,818 Mettler-Toledo International, ------------ Inc.(2) 890 94 Omnicell, Inc.(2) 15,514 181 INFORMATION TECHNOLOGY--16.1% PerkinElmer, Inc. 2,390 49 Amphenol Corp. Class A 12,710 587 Pfizer, Inc. 10,590 193 AOL, Inc.(2) 5,297 123 Protalix BioTherapeutics, Inc.(2) 21,540 143 Broadcom Corp. Class A(2) 14,750 464 Salix Pharmaceuticals Ltd.(2) 5,090 129 Cisco Systems, Inc.(2) 79,630 1,906 Sanofi-Aventis SA 8,270 650 Cybersource Corp.(2) 2,610 52 Sanofi-Aventis SA ADR 4,270 168 Dell, Inc.(2) 15,780 227 Schein (Henry), Inc.(2) 3,190 168 Emulex Corp.(2) 26,660 291 Thermo Fisher Scientific, Inc.(2) 4,300 205 Equinix, Inc.(2) 6,490 689 United Therapeutics Corp.(2) 1,270 67 Flextronics International Ltd.(2) 79,710 583 Universal Health Services, Inc. Forrester Research, Inc.(2) 15,450 401 Class B 13,420 409 Fujitsu Ltd. 112,570 730 Vertex Pharmaceuticals, Inc.(2) 18,860 808 Hewlett-Packard Co. 5,180 267 Zimmer Holdings, Inc.(2) 3,950 234 HON HAI Precision Industry Co., Ltd. 71,820 664 ------------ Informatica Corp.(2) 19,490 504 10,761 Juniper Networks, Inc.(2) 14,100 376 ------------ LSI Corp.(2) 37,560 226 Maxim Integrated Products, Inc. 23,590 479 INDUSTRIALS--12.3% Motorola, Inc.(2) 142,480 1,106 Actuant Corp. Class A 35,920 666 NetApp, Inc.(2) 16,890 581 Altra Holdings, Inc.(2) 52,294 646 Quest Software, Inc.(2) 17,250 317 BAE Systems plc 45,240 262 Research In Motion Ltd.(2) 9,750 658 Cummins, Inc. 8,860 406 Curtiss-Wright Corp. 14,350 449 Delta Air Lines, Inc.(2) 92,820 1,056
See Notes to Schedules of Investments 2 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ INFORMATION TECHNOLOGY--(CONTINUED) SHORT-TERM INVESTMENTS--10.0% Rovi Corp.(2) 11,940 $ 380 MONEY MARKET MUTUAL FUNDS--10.0% Sybase, Inc.(2) 21,050 914 BlackRock Liquidity Funds TempFund Teradata Corp.(2) 17,613 554 Portfolio - Institutional Shares Tyco Electronics Ltd. 16,460 404 (seven-day effective yield 0.118%) 8,793,725 $ 8,794 Vishay Intertechnology, Inc.(2) 79,490 664 ------------------------------------------------- ------------ ------------ TOTAL SHORT-TERM INVESTMENTS 14,147 (IDENTIFIED COST $8,794) 8,794 ------------ ------------------------------------------------- ------------ TOTAL INVESTMENTS--100.0% MATERIALS--5.1% (IDENTIFIED COST $72,209) 88,011(1) Asia Cement China Holdings Corp. 377,500 224 SECURITIES SOLD SHORT--(89.6)% Du Pont (E.I.) de Nemours & Co. 14,960 504 (PROCEEDS ($73,610)) (78,867) Freeport-McMoRan Copper & Gold, Inc. 5,440 437 Other assets and liabilities, Impala Platinum Holdings Ltd. net--89.6% 78,863 Sponsored ADR 10,800 295 ------------ International Paper Co. 14,140 379 NET ASSETS--100.0% $ 88,007 Pacific Metals Co., Ltd. 81,860 621 ============ Packaging Corp. of America 42,940 988 Salzgitter AG 7,510 736 SECURITIES SOLD SHORT--89.6% Tokyo Ohka Kogyo Co., Ltd. 17,090 318 ------------ COMMON STOCKS SOLD SHORT--(89.6)% 4,502 ------------ CONSUMER DISCRETIONARY--(20.6)% Advance Auto Parts, Inc. (10,640) (431) TELECOMMUNICATION SERVICES--2.0% Aeropostale, Inc. (23,880) (813) America Movil S.A.B. de C.V. ADR BorgWarner, Inc. (21,590) (717) Series L 11,020 518 Compass Group plc (35,370) (253) Cable & Wireless plc 108,360 247 Dongfeng Motor Group Co., Ltd. (212,000) (303) Leap Wireless International, Inc.(2) 11,930 209 DreamWorks Animation SKG, Inc. NTELOS Holdings Corp. 30,400 542 Class A (11,720) (468) Telefonica Moviles S.A.(6)(8) 1,400 0 Family Dollar Stores, Inc. (47,190) (1,313) Vivo Participacoes SA ADR 7,070 219 Garmin Ltd. (25,230) (775) ------------ Genuine Parts Co. (8,890) (337) 1,735 Hermes International (4,190) (558) ------------ Husqvarna AB (107,260) (787) Intercontinental Hotels Group plc (55,240) (794) UTILITIES--2.8% ITV plc (1,359,250) (1,145) Ameren Corp. 19,500 545 Jarden Corp. (26,290) (813) Cia Paranaense de Energia ADR 16,460 353 Li & Fung Ltd. (60,000) (248) Great Plains Energy, Inc. 31,580 612 LKQ Corp. (42,729) (837) PNM Resources, Inc. 40,600 514 McDonald's Corp. (6,970) (435) Portland General Electric Co. 20,370 416 O'Reilly Automotive, Inc. (26,090) (994) ------------ Panera Bread Co. Class A (8,330) (558) 2,440 Penney (J.C.) Co., Inc. (26,780) (713) -------------------------------------------------- ------------ Ross Stores, Inc. (9,760) (417) TOTAL COMMON STOCKS Royal Caribbean Cruises Ltd. (23,350) (590) (IDENTIFIED COST $63,415) 79,217 Sonic Corp. (90,700) (913) -------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--90.0% (IDENTIFIED COST $63,415) 79,217 -------------------------------------------------- ------------
See Notes to Schedules of Investments 3 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ CONSUMER DISCRETIONARY--(CONTINUED) FINANCIALS--(CONTINUED) Starbucks Corp. (29,650) $ (684) Westamerica Bancorp (23,080) $ (1,278) Starwood Hotels & Resorts ------------ Worldwide, Inc. (12,180) (445) (5,128) Tim Hortons, Inc. (14,320) (437) ------------ TJX Cos., Inc. (The) (13,040) (477) Woolworths Holdings Ltd. (10,650) (258) HEALTH CARE--(11.5)% Wynn Resorts Ltd. (10,230) (596) Allergan, Inc. (4,520) (285) ------------ AMAG Pharmaceuticals, Inc. (7,670) (292) (18,109) AstraZeneca plc Sponsored ADR (20,100) (944) ------------ Bard (C.R.), Inc. (10,080) (785) Becton, Dickinson & Co. (9,060) (714) CONSUMER STAPLES--(10.9)% CareFusion Corp. (16,820) (421) Avon Products, Inc. (10,260) (323) Coventry Health Care, Inc. (10,500) (255) Brown-Forman Corp. Class B (16,745) (897) CSL Ltd. (14,400) (419) Carrefour SA (14,470) (694) Eisai Co., Ltd. (17,350) (638) Church & Dwight Co., Inc. (6,890) (416) Eli Lilly & Co. (11,730) (419) Constellation Brands, Inc. Class A (28,550) (455) Gen-Probe, Inc. (15,360) (659) Flowers Foods, Inc. (52,990) (1,259) Haemonetics Corp. (11,160) (615) General Mills, Inc. (3,680) (261) Healthways, Inc. (23,780) (436) Green Mountain Coffee, Inc. (15,890) (1,295) Hologic, Inc. (23,010) (334) Hain Celestial Group, Inc. (The) (32,710) (556) Invacare Corp. (8,600) (214) Hormel Foods Corp. (7,880) (303) Landauer, Inc. (9,550) (586) L'Oreal SA (6,250) (698) Lundbeck (H) A/S (32,790) (592) Lawson, Inc. (9,600) (424) MannKind Corp. (9,740) (85) Lindt & Spruengli AG (310) (666) Novo Nordisk A/S (2,660) (170) Pernod-Ricard SA (7,497) (641) Patterson Cos., Inc. (8,550) (239) SABMiller plc (8,570) (252) Stryker Corp. (4,150) (209) Smucker (J.M.) Co. (The) (7,636) (471) Takeda Pharmaceutical Co., Ltd. (11,500) (474) ------------ Techne Corp. (2,405) (165) (9,611) VCA Antech, Inc. (6,440) (161) ------------ ------------ (10,111) ENERGY--(2.9)% ------------ Baker Hughes, Inc. (10,540) (427) Berry Petroleum Co. Class A (17,760) (518) INDUSTRIALS--(12.7)% CNOOC Ltd. ADR (2,270) (353) Baldor Electric Co. (56,690) (1,592) Exxon Mobil Corp. (8,680) (592) Briggs & Stratton Corp. (21,630) (405) Oceaneering International, Inc. (10,360) (606) China National Materials Co. Ltd (292,000) (216) ------------ Cobham plc (106,150) (429) (2,496) Deere & Co. (14,410) (779) ------------ Donaldson Co., Inc. (12,830) (546) FINANCIALS--(5.8)% Dongfang Electric Corp., Ltd. (73,600) (392) BB&T Corp. (26,660) (676) First Solar, Inc. (11,033) (1,494) Hannover Rueckversicherung AG GATX Corp. (23,220) (668) Registered Shares (8,480) (396) Graco, Inc. (25,000) (714) People's United Financial, Inc. (28,230) (472) ITT Corp. (10,630) (529) Prosperity Bancshares, Inc. (38,200) (1,546) Valley National Bancorp (53,760) (760) Mitsubishi Corp. (18,900) (471)
See Notes to Schedules of Investments 4 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ----------- ------------ ----------- INDUSTRIALS--(CONTINUED) MATERIALS--(CONTINUED) Rolls-Royce Group plc(8) (2,049,600) $ (3) Toray Industries, Inc. (51,370)$ (279) Rolls-Royce Group plc (34,160) (266) Weyerhaeuser Co. (28,870) (1,245) Southwest Airlines Co. (65,030) (743) ----------- Stericycle, Inc. (6,690) (369) (4,328) Trinity Industries, Inc. (41,320) (721) ----------- Wabtec Corp. (20,870) (852) ----------- TELECOMMUNICATION SERVICES--(2.5)% (11,189) China Mobile Ltd. Sponsored ADR (13,640) (633) ----------- General Communication, Inc. Class A (61,810) (394) Telefonica S.A. (8,430) (236) INFORMATION TECHNOLOGY--(15.0)% Telefonos de Mexico S.A.B. de C.V. Adobe Systems, Inc. (12,480) (459) ADR Series L (35,450) (588) Alcatel - Lucent SA (118,800) (400) Verizon Communications, Inc. (10,640) (353) Alcatel - Lucent SA Sponsored ADR (280,676) (932) ----------- Amdocs Ltd. (6,480) (185) (2,204) Automatic Data Processing, Inc. (4,390) (188) ----------- Ciena Corp. (32,920) (357) Corning, Inc. (23,770) (459) UTILITIES--(2.8)% Infosys Technologies Ltd. Sponsored Dominion Resources, Inc. (13,510) (526) ADR (11,150) (616) FPL Group, Inc. (9,300) (491) Intuit, Inc. (10,890) (334) Huaneng Power International, Inc. Linear Technology Corp. (14,800) (452) Sponsored ADR (4,890) (110) McAfee, Inc. (9,910) (402) OGE Energy Corp. (14,450) (533) National Instruments Corp. (16,020) (472) RRI Energy, Inc. (103,920) (594) National Semiconductor Corp. (17,250) (265) Tractebel Energia SA Sponsored ADR (18,960) (234) Nokia Oyj Sponsored ADR (18,690) (240) ----------- Palm, Inc. (89,070) (894) (2,488) QLogic Corp. (54,780) (1,033) --------------------------------------------------- ----------- Salesforce.com, Inc. (10,070) (743) TOTAL COMMON STOCKS SOLD SHORT--(89.6)% SAP AG Sponsored ADR (20,810) (974) (PROCEEDS ($73,610)) (78,867) Skyworks Solutions, Inc. (21,900) (311) --------------------------------------------------- ----------- Telefonaktiebolaget LM Ericsson TOTAL SECURITIES SOLD SHORT--(89.6)% Class B (46,460) (428) (PROCEEDS ($73,610)) (78,867)(1) Telefonaktiebolaget LM Ericsson --------------------------------------------------- ----------- Sponsored ADR (146,140) (1,343) TeleTech Holdings, Inc. (23,700) (475) Abbreviations Western Digital Corp. (18,750) (828) ADR American Depositary Receipt. Yahoo!, Inc. (24,620) (413) ----------- (13,203) ----------- MATERIALS--(4.9)% Aluminum Corp. of China Ltd. ADR (13,100) (357) Anglo Platinum Ltd. ADR (3,900) (417) Kobe Steel Ltd. (390,980) (709) OJI Paper Co., Ltd. (88,980) (373) Sensient Technologies Corp. (29,640) (780) Sigma-Aldrich Corp. (3,320) (168)
See Notes to Schedules of Investments 5 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS - LONG as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 74% France 3 Japan 3 United Kingdom 3 Germany 2 Sweden 2 Switzerland 2 Other 11 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 6 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS - SHORT as of 12/31/09 + --------------------------------------------------- -------- United States 70% United Kingdom 6 France 5 Japan 4 China 3 Sweden 3 Germany 2 Other 7 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
% of total investments as of December 31, 2009 See Notes to Schedules of Investments 7 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT INVESTMENT IN SECURITIES: DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE ASSETS TABLE 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Equity Securities: Common Stocks $ 79,217 $ 65,549 $ 13,668 $ 0(1) Short-Term Investments 8,794 8,794 -- -- Total Investment $ 88,011 $ 74,343 $ 13,668 $ 0 ------------------------------------- -------------------------------------------------------
LIABILITIES TABLE ------------------------------------- ------------------------------------------------------- Equity Securities: Common Stocks Sold Short $ (78,867) $ (64,684) $ (14,180) $ (3) Total Liabilities $ (78,867) $ (64,684) $ (14,180) $ (3)
(1) Level 3 Common Stock valued at zero at the beginning and end of period. See Notes to Schedules of Investments 1 The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable were used to determine fair value.
Common Stocks INVESTMENTS IN SECURITIES TOTAL Common Stocks Sold Short ----- ------------- ------------- BALANCE AS OF SEPTEMBER 30, 2009: $ 0 $ 0(2) $-- Accrued Discount/(Premium) -- -- -- Realized Gain (Loss) -- -- -- Change in Unrealized Appreciation (Depreciation) -- -- -- Net Purchases/(Sales) -- -- -- Transfers In and/or Out of Level 3 (1) (3) -- (3) ---- --- --- BALANCE AS OF DECEMBER 31, 2009 $(3) $ 0 $(3) ==== === ===
(1) "Transfers in and/or out" represent the ending value as of December 31, 2009, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (2) Level 3 Common Stock valued at zero at the beginning and end of the period. Level 3 securities are without an active market or market participants and therefore are internally fair valued. These internally fair valued securities derive their valuation based on the review of inputs such as, but not limited to, similar securities, liquidity factors, capital structure, and credit analysis. See Notes to Schedules of Investments VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- U.S. GOVERNMENT SECURITIES--0.6% Series FR-23, 11.000%, 12/15/12 6,200,000IDR $ 705 Series FR-30, 10.750%, 5/15/16 3,500,000IDR 401 U.S. Treasury Note 2.625%, 12/31/14 $ 1,250 $ 1,246 RegS 6.625%, 2/17/37(5) $ 765 752 ------------------------------------------------------ --------- Republic of Korea Series 1112, TOTAL U.S. GOVERNMENT SECURITIES 4.750%, 12/10/11 775,000KRW 671 (IDENTIFIED COST $1,246) 1,246 Republic of Poland ------------------------------------------------------ --------- Series 0414, 5.750%, 4/25/14 2,300PLZ 806 6.375%, 7/15/19 285 311 MUNICIPAL BONDS--0.3% Republic of South Africa Series R-201 8.750%, 12/21/14 10,535ZAR 1,444 MICHIGAN--0.1% Republic of Turkey Tobacco Settlement Finance 0.000%, 2/2/11 1,860TRY 1,144 Authority Taxable Series 06-A, 7.500%, 7/14/17 400 456 7.309%, 6/1/34 165 132 Republic of Ukraine --------- RegS 7.650%, 6/11/13(5) 500 431 144A 6.580%, 11/21/16(4) 250 189 SOUTH DAKOTA--0.1% Russian Federation RegS 7.500%, Educational Enhancement Funding 3/31/30 (3)(5) 141 159 Corp. Taxable Series 02-A, ------------------------------------------------------ --------- 6.720%, 6/1/25 218 191 TOTAL FOREIGN GOVERNMENT SECURITIES --------- (IDENTIFIED COST $25,077) 28,114 ------------------------------------------------------ --------- VIRGINIA--0.1% Tobacco Settlement Financing Corp. MORTGAGE-BACKED SECURITIES--10.9% Taxable Series 07-A1, 6.706%, 6/1/46 345 249 NON-AGENCY--10.9% ------------------------------------------------------ --------- American Tower Trust 07-1A, C 144A TOTAL MUNICIPAL BONDS 5.615%, 4/15/37 (4) 750 765 (IDENTIFIED COST $694) 572 Bear Stearns Commercial Mortgage ------------------------------------------------------ --------- Securities FOREIGN GOVERNMENT SECURITIES--14.6% 06-PW12, A4 5.719%, 9/11/38(3) 790 804 05-PW10, A4 5.405%, 12/11/40(3) 950 933 Bolivarian Republic of Venezuela 05-T20, A4A 5.150%, 10/12/42(3) 600 590 8.500%, 10/8/14 410 325 07-PW18, A4 5.700%, 6/11/50 750 656 9.250%, 9/15/27 385 283 07-PW18, AM 6.084%, 6/11/50(3) 725 527 9.375%, 1/13/34 950 644 Bear Stearns Commercial Mortgage Commonwealth of Australia Series Securities, Inc. 06-PW14, A4 121, 5.250%, 8/15/10 3,997AUD 3,613 5.201%, 12/11/38 350 337 Commonwealth of Canada 2.750%, Citigroup-Deutsche Bank Commercial 12/1/10 2,324CND 2,264 Mortgage Trust Commonwealth of New Zealand Series 05-CD1, AM 5.224%, 7/15/44(3) 610 515 1111, 6.000%, 11/15/11 3,678NZD 2,752 07-CD4, A4 5.322%, 12/11/49 475 413 Federative Republic of Brazil Credit Suisse First Boston Mortgage 12.500%, 1/5/16 1,625BRL 1,055 Securities Corp. 04-C5, A3 4.499%, 12.500%, 1/5/22 1,125BRL 725 11/15/37 825 799 10.250%, 1/10/28 2,895BRL 1,659 Credit Suisse Mortgage Capital Kingdom of Norway Certificates 06-C1, A3 5.548%, 6.000%, 5/16/11 10,355NOK 1,874 2/15/39 (3) 650 656 5.000%, 5/15/15 3,285NOK 602 Crown Castle Towers LLC 05-1A, B Kingdom of Sweden Series 1045, 144A 4.878%, 6/15/35 (4) 500 505 5.250%, 3/15/11 2,800SEK 414 GE Capital Commercial Mortgage Republic of Argentina Corp. 03-C1, C 4.975%, 1/10/38 (3) 595 579 PIK Interest Capitalization 8.280%, 12/31/33 3,851 2,898 Series GDP 3.169%, 12/15/35(3) 3,200 222 Republic of Colombia 12.000%, 10/22/15 1,825,000COP 1,099 Republic of Croatia 144A 6.750%, 11/5/19 (4) 200 216 Republic of Indonesia
See Notes to Schedules of Investments 1 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- NON-AGENCY--(CONTINUED) ASSET-BACKED SECURITIES--2.0% GMAC Commercial Mortgage Securities, Inc. 04-C2, A3 5.134%, 8/10/38 $ 450 $ 449 Bombardier Capital Mortgage Greenwich Capital Commercial Securitization Corp. 99-A, A3 Funding Corp. 04-GG1, A7 5.317%, 5.980%, 1/15/18 $ 776 $ 658 6/10/36 (3) 550 559 Carmax Auto Owner Trust 07-2, B GS Mortgage Securities Corp. II 5.370%, 3/15/13 350 354 07-GG10, A4 5.805%, 8/10/45 (3) 915 788 Conseco Finance Securitizations Corp. JPMorgan Chase Commercial Mortgage 01-3, A4 6.910%, 5/1/33 719 690 Securities Corp. Dunkin Securitization 06-1, M1 144A 05-LDP5, AM 5.221%, 12/15/44(3) 350 295 8.285%, 6/20/31 (4) 690 583 06-LDP7, A4 5.875%, 4/15/45(3) 1,000 966 FMAC Loan Receivables Trust 98-CA, 06-LDP9, A3 5.336%, 5/15/47 700 609 A2 144A 6.660%, 9/15/20 (4) 27 26 07-LD12, A4 5.882%, 2/15/51(3) 750 651 Harley-Davidson Motorcycle Trust Lehman Brothers - UBS Commercial 07-2, C 5.410%, 8/15/15 1,075 1,072 Mortgage Trust IndyMac Manufactured Housing Contract 07-C2, A3 5.430%, 2/15/40 1,100 950 98-1, A3 6.370%, 9/25/28 569 392 07-C2, H 144A 5.992%, ------------------------------------------------------ --------- 2/15/40(3)(4) 850 108 TOTAL ASSET-BACKED SECURITIES 05-C3, AM 4.794%, 7/15/40 350 296 (IDENTIFIED COST $3,905) 3,775 07-C7, A3 5.866%, 9/15/45(3) 600 528 ------------------------------------------------------ --------- Merrill Lynch Mortgage Trust 06-C1, CORPORATE BONDS--57.8% AM 5.656%, 5/12/39 (3) 715 568 Merrill Lynch-Countrywide Commercial CONSUMER DISCRETIONARY--7.2% Mortgage Trust 06-4, A3 5.172%, 12/12/49 (3) 650 576 Affinia Group, Inc. 144A 10.750%, Morgan Stanley Capital I 8/15/16 (4) 240 261 05-HQ5, A3 5.007%, 1/14/42 200 202 American Axle & Manufacturing 06-IQ12, A4 5.332%, 12/15/43 1,300 1,209 Holdings, Inc. 144A 9.250%, 07-IQ14, A4 5.692%, 4/15/49(3) 820 693 1/15/17 (4) 350 357 Residential Accredit Loans, Inc. Ameristar Casinos, Inc. 144A 9.250%, 02-QS12, B1 6.250%, 9/25/32 344 65 6/1/14 (4) 60 63 Salomon Brothers Mortgage Securities Arcos Dorados B.V. 144A 7.500%, VII, Inc. 01-C1, D 10/1/19 (4) 375 374 6.831%, 12/18/35 (3) 650 635 Blockbuster, Inc. 144A 11.750%, Timberstar Trust 06-1A, C 144A 10/1/14 (4) 775 740 5.884%, 10/15/36 (4) 1,000 930 COX Communications, Inc. 144A 8.375%, Wachovia Bank Commercial Mortgage 3/1/39 (4) 350 437 Trust DigitalGlobe, Inc. 144A 10.500%, 04-C12, A4 5.237%, 7/15/41(3) 450 447 5/1/14 (4) 65 70 07-C30, A5 5.342%, 12/15/43 410 318 DIRECTV Holdings LLC/DIRECTV 07-C33, A4 5.902%, 2/15/51(3) 550 453 Financing Co., Inc. 6.375%, 6/15/15 600 626 Wells Fargo Mortgage Backed DuPont Fabros Technology LP 144A Securities Trust 06-AR10, 5A3 8.500%, 12/15/17 (4) 700 715 5.589%, 7/25/36 (3) 911 701 Eastman Kodak Co. 7.250%, 11/15/13 500 415 ------------------------------------------------------ --------- Echostar DBS Corp. 6.625%, 10/1/14 600 607 TOTAL MORTGAGE-BACKED SECURITIES Equity One, Inc. 6.250%, 12/15/14 375 369 (IDENTIFIED COST $20,992) 21,075 Ford Motor Credit Co. LLC 8.000%, ------------------------------------------------------ --------- 6/1/14 400 411 Harrah's Operating Co., Inc. 144A 11.250%, 6/1/17 (4) 425 447 Hasbro, Inc. 6.300%, 9/15/17 275 291 Hyatt Hotels Corp. 144A 5.750%, 8/15/15 (4) 100 101 International Game Technology 7.500%, 6/15/19 580 630 Korea Expressway Corp. 144A 4.500%, 3/23/15 (4) 230 235
See Notes to Schedules of Investments 2 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- CONSUMER DISCRETIONARY--(CONTINUED) CONSUMER STAPLES--(CONTINUED) Smithfield Foods, Inc. 144A 10.000%, Landry's Restaurants, Inc. 144A 7/15/14 (4) $ 600 $ 654 11.625%, 12/1/15 (4) $ 334 $ 356 Tyson Foods, Inc. 7.850%, 4/1/16 650 670 McJunkin Red Man Corp. 144A 9.500%, UST, Inc. 5.750%, 3/1/18 500 488 12/15/16 (4) 360 354 Yankee Acquisition Corp. Mediacom LLC / Mediacom Capital Series B, 8.500%, 2/15/15 400 399 Corp. 144A 9.125%, 8/15/19 (4) 750 769 Series B, 9.750%, 2/15/17 535 530 MGM MIRAGE 144A 11.125%, 11/15/17 (4) 225 250 --------- Mobile Mini, Inc. 6.875%, 5/1/15 350 332 5,307 NCL Corp., Ltd. 144A 11.750%, --------- 11/15/16 (4) 500 496 ENERGY--7.1% Nebraska Book Co., Inc. 144A Adaro Indonesia PT 144A 7.625%, 10.000%, 12/1/11 (4) 500 509 10/22/19 (4) 435 432 Pokagon Gaming Authority 144A Antero Resources Finance Corp. 144A 10.375%, 6/15/14 (4) 117 122 9.375%, 12/1/17 (4) 250 256 QVC, Inc. 144A 7.500%, 10/1/19 (4) 520 533 Buckeye Partners LP 6.050%, 1/15/18 225 233 River Rock Entertainment Authority Cenovus Energy, Inc. 144A 5.700%, (The) 9.750%, 11/1/11 250 237 10/15/19 (4) 115 120 Royal Caribbean Cruises Ltd. Denbury Resources, Inc. 7.500%, 6.875%, 12/1/13 1,250 1,234 12/15/15 510 511 Scientific Games Corp. 144A 7.875%, Expro Finance Luxembourg SCA 144A 6/15/16 (4) 55 56 8.500%, 12/15/16 (4) 750 748 Scientific Games International, Inc. Gazprom International SA 144A Series 9.250%, 6/15/19 170 179 7.201%, 2/1/20 (4) 696 713 Seminole Hard Rock Entertainment, Gazprom OAO (Gaz Capital SA) Inc./Seminole Hard Rock 144A 6.212%, 11/22/16(4) 935 900 International LLC 144A 2.754%, 144A 8.146%, 4/11/18(4) 100 106 3/15/14 (3)(4) 75 62 144A 6.510%, 3/7/22(4) 315 291 Seneca Gaming Corp. Series B Helix Energy Solutions Group, Inc. 7.250%, 5/1/12 19 19 144A 9.500%, 1/15/16 (4) 200 206 Starwood Hotels & Resorts Hercules Offshore, Inc. 144A Worldwide, Inc. 7.150%, 12/1/19 275 275 10.500%, 10/15/17 (4) 225 239 Toys R US Property Co., LLC 144A Holly Corp. 144A 9.875%, 6/15/17 (4) 88 93 8.500%, 12/1/17 (4) 600 613 KazMunaiGaz Finance Sub BV 144A TRW Automotive, Inc. 144A 8.875%, 9.125%, 7/2/18 (4) 400 446 12/1/17 (4) 140 146 Kinder Morgan Energy Partners LP Videotron Ltee 6.850%, 2/15/20 230 256 6.375%, 12/15/15 180 177 Kinder Morgan Finance Co. 5.700%, Series 9.125%, 4/15/18 82 91 1/5/16 400 386 --------- Korea National Oil Corp. 144A 13,959 5.375%, 7/30/14 (4) 225 238 --------- OPTI Canada, Inc. 7.875%, 12/15/14 600 495 Pacific Rubiales Energy Corp. 144A CONSUMER STAPLES--2.8% 8.750%, 11/10/16 (4) 230 243 Bunge Limited Finance Corp. 8.500%, Petro-Canada 6.050%, 5/15/18 140 151 6/15/19 250 285 Petrohawk Energy Corp. 10.500%, Constellation Brands, Inc. 8.375%, 8/1/14 475 521 12/15/14 165 177 Petroleos de Venezuela SA 5.250%, Georgia-Pacific LLC 144A 7.125%, 4/12/17 950 525 1/15/17 (4) 875 890 Petropower I Funding Trust 144A Great Atlantic & Pacific Tea Co. 7.360%, 2/15/14 (4) 506 504 144A 11.375%, 8/1/15 (4) 250 264 Pride International, Inc. 8.500%, Reynolds American, Inc. 6/15/19 330 383 7.300%, 7/15/15 500 541 Questar Market Resources, Inc. 7.625%, 6/1/16 375 409 6.800%, 3/1/20 600 627 SEACOR Holdings, Inc. 7.375%, 10/1/19 600 608
See Notes to Schedules of Investments 3 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- ENERGY--(CONTINUED) FINANCIALS--(CONTINUED) Smith International, Inc. 9.750%, Deutsche Bank Financial LLC 5.375%, 3/15/19 $ 200 $ 254 3/2/15 $ 165 $ 172 Swift Energy Co. 8.875%, 1/15/20 500 515 Discover Bank 8.700%, 11/18/19 250 268 TengizChevroil Finance Co. S.A.R.L. Export-Import Bank of Korea 144A 6.124%, 11/15/14 (4) 715 718 8.125%, 1/21/14 180 209 Tesoro Corp. 6.500%, 6/1/17 480 449 5.875%, 1/14/15 275 296 Venoco, Inc. 144A 11.500%, 10/1/17 Fibria Overseas Finance Ltd. 144A (4) 600 633 9.250%, 10/30/19 (4) 150 169 Weatherford International Ltd. Fifth Third Bancorp 9.625%, 3/1/19 318 397 6.250%, 5/1/13 200 206 Western Refining, Inc. 144A 11.250%, 4.500%, 6/1/18 800 654 6/15/17 (4) 600 546 First Tennessee Bank N.A. --------- 0.413%, 2/14/11(3) 325 312 13,743 4.625%, 5/15/13 450 419 --------- FMR LLC 144A 5.350%, 11/15/21 (4) 750 717 Ford Motor Credit Co. LLC FINANCIALS--22.6% 7.875%, 6/15/10 385 391 ABH Financial Ltd. (Alfa Markets 8.625%, 11/1/10 395 407 Ltd.) 144A 8.200%, 6/25/12 (4) 150 151 9.875%, 8/10/11 345 361 ADCB Finance Cayman Ltd. 144A 4.750%, 7.500%, 8/1/12 100 101 10/8/14 (4) 560 521 8.700%, 10/1/14 125 131 Aflac, Inc. 8.500%, 5/15/19 300 346 Genworth Financial, Inc. Agile Property Holdings Ltd. 144A 5.750%, 6/15/14 500 479 10.000%, 11/14/16 (4) 240 245 6.515%, 5/22/18 700 642 Alfa Invest Ltd. 144A 9.250%, Glen Meadow Pass-Through Trust 144A 6/24/13 (4) 350 353 6.505%, 2/12/67 (3)(4) 770 572 Allstate Corp. 6.125%, 5/15/37(3) 680 595 Glencore Funding LLC 144A 6.000%, American Express Credit Corp. 5.125%, 4/15/14 (4) 1,000 1,024 8/25/14 135 142 GMAC, Inc. Assurant, Inc. 5.625%, 2/15/14 345 354 144A 7.250%, 3/2/11(4) 633 633 Atlantic Finance Ltd. 144A 8.750%, 144A 6.875%, 9/15/11(4) 253 252 5/27/14 (4) 450 463 144A 6.000%, 12/15/11(4) 633 627 BAC Capital Trust XI 6.625%, 5/23/36 525 476 Goldman Sachs Group, Inc. (The) Banco do Brasil SA 144A 8.500%, 5.950%, 1/18/18 300 317 10/29/49 (4) 600 642 7.500%, 2/15/19 365 426 Bank of America Corp. HBOs plc 144A 6.750%, 5/21/18 (4) 115 107 5.420%, 3/15/17 700 692 Health Care REIT, Inc. 5.875%, Series K, 8.000%, 12/29/49(3) 375 362 5/15/15 1,000 980 Barclays Bank plc 6.750%, 5/22/19 330 369 Hertz Corp. (The) BBVA International Preferred SA 8.875%, 1/1/14 350 360 Unipersonal 5.919%, 12/31/49(3) 375 302 10.500%, 1/1/16 100 107 Bear Stearns Cos., Inc. LLC (The) Host Hotels & Resorts LP 144A 7.250%, 2/1/18 700 805 9.000%, 5/15/17 (4) 125 136 BlackRock, Inc. Series 2, 5.000%, Hyundai Capital Services, Inc. 144A 12/10/19 450 443 6.000%, 5/5/15 (4) 325 340 Blackstone Holdings Finance Co. LLC ICICI Bank Ltd. 144A 6.375%, 144A 6.625%, 8/15/19 (4) 385 377 4/30/22 (3)(4) 375 338 Brandywine Operating Partnership LP International Lease Finance Corp. 7.500%, 5/15/15 500 509 5.300%, 5/1/12 625 531 Capitial One Capital VI 8.875%, 5/15/40 500 536 Cemex Finance LLC 144A 9.500%, 12/14/16 (4) 245 258 Chubb Corp. 6.375%, 3/29/49(3) 680 639 Citigroup, Inc. 5.000%, 9/15/14 365 352 4.875%, 5/7/15 1,100 1,038
See Notes to Schedules of Investments 4 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- FINANCIALS--(CONTINUED) Jefferies Group, Inc. 8.500%, 7/15/19 $ 500 $ 547 FINANCIALS--(CONTINUED) JPMorgan Chase & Co. 6.300%, 4/23/19 525 579 Royal Bank of Scotland Group plc Series 1, 7.900%, 12/31/49(3) 247 256 6.400%, 10/21/19 $ 370 $ 369 JPMorgan Chase Capital XXVII Russian Agricultural Bank OJSC 7.000%, 11/1/39 500 506 (RSHB Capital SA) Kazkommerts International BV RegS 144A 9.000%, 6/11/14(4) 100 114 8.500%, 4/16/13(5) 500 450 144A 6.299%, 5/15/17(4) 380 385 8.000%, 11/3/15(5) 250 212 SLM Corp. KeyBank NA 5.450%, 4/25/11 300 299 5.800%, 7/1/14 250 244 8.450%, 6/15/18 1,050 1,038 4.950%, 9/15/15 500 466 Sovereign Bank 8.750%, 5/30/18 400 466 Kimco Realty Corp. 6.875%, 10/1/19 550 560 TNK-BP Finance SA 144A 7.500%, Kookmin Bank 144A 7.250%, 5/14/14 (4) 300 337 3/13/13 (4) 325 342 Korea Development Bank 5.300%, Universal City Development Partners 1/17/13 187 197 Ltd. Lincoln National Corp. 144A 8.875%, 11/15/15(4) 60 59 8.750%, 7/1/19 300 343 144A 10.875%, 11/15/16(4) 200 201 6.050%, 4/20/67(3) 300 235 Unum Group 7.125%, 9/30/16 450 467 Lukoil International Finance BV 144A UOB Cayman Ltd. 144A 5.796%, 7.250%, 11/5/19 (4) 525 529 12/29/49 (3)(4) 500 455 Macquarie Group Ltd. 144A 7.625%, Wachovia Bank NA 5.000%, 8/15/15 250 256 8/13/19 (4) 500 558 WEA Finance LLC / WT Finance MetLife, Inc. 6.750%, 6/1/16 72 81 Australia 144A 6.750%, 9/2/19 (4) 1,000 1,076 Metropolitan Life Global Funding I Willis North America, Inc. 7.000%, 144A 5.125%, 6/10/14 (4) 100 106 9/29/19 500 510 Morgan Stanley Woori Bank 144A 6.125%, 5/3/16 (3)(4) 1,000 996 6.000%, 5/13/14 165 178 XL Capital Ltd. 5.250%, 9/15/14 350 343 4.200%, 11/20/14 280 281 Zions Bancorp 7.750%, 9/23/14 225 199 144A 10.090%, 5/3/17(4) 1,000BRL 531 --------- OJSC AK Transneft 43,708 (TransCapitalInvest Ltd.) 144A --------- 5.670%, 3/5/14 (4) 390 393 Petroplus Finance Ltd. 144A 6.750%, HEALTH CARE--1.0% 5/1/14 (4) 375 354 Psychiatric Solutions, Inc. Series Pinnacle Foods Finance LLC / 1, 7.750%, 7/15/15 375 365 Pinnacle Foods Finance Corp. 144A Quest Diagnostics, Inc. 6.400%, 9.250%, 4/1/15 (4) 175 178 7/1/17 450 495 PNC Financial Services Group, Inc. Select Medical Corp. 7.625%, 2/1/15 425 414 8.250%, 5/29/49(3) 350 357 U.S. Oncology, Inc. 9.125%, 8/15/17 300 316 PNC Funding Corp. 5.625%, 2/1/17 300 298 Valeant Pharmaceuticals International Principal Financial Group, Inc. 144A 8.375%, 6/15/16 (4) 35 36 8.875%, 5/15/19 850 982 Viant Holdings, Inc. 144A 10.125%, ProLogis 7/15/17 (4) 295 295 7.625%, 8/15/14 500 523 --------- 6.625%, 5/15/18 185 176 1,921 Prudential Financial, Inc. 8.875%, --------- 6/15/38(3) 450 481 Realty Income Corp. 6.750%, 8/15/19 425 417 INDUSTRIALS--4.0% Regions Financial Corp. 7.750%, American Airlines, Inc. 01-1, 11/10/14 475 469 6.977%, 5/23/21 714 575 Resona Bank Ltd. 144A 5.850%, Continental Airlines, Inc. 98-1A, 9/29/49 (3)(4) 750 655 6.648%, 9/15/17 373 360 Delta Air Lines, Inc. 00-A1, 7.379%, 5/18/10 105 105 DRS Technologies, Inc. 6.625%, 2/1/16 500 480 Esco Corp. 144A 8.625%, 12/15/13 (4) 600 600 General Cable Corp. 7.125%, 4/1/17 500 494
See Notes to Schedules of Investments 5 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- INDUSTRIALS--(CONTINUED) MATERIALS--(CONTINUED) General Maritime Corp. 144A Ball Corp. 7.125%, 9/1/16 $ 1,000 $ 1,030 12.000%, 11/15/17 (4) $ 470 $ 492 Bemis Co., Inc. 6.800%, 8/1/19 120 132 Global Aviation Holdings Ltd. 144A Building Materials Corp. of America 14.000%, 8/15/13 (4) 800 799 7.750%, 8/1/14 390 388 Hutchison Whampoa International Ltd. Catalyst Paper Corp. 7.375%, 3/1/14 750 461 144A 5.750%, 9/11/19 (4) 460 468 Celulosa Arauco 7.250%, 7/29/19 350 382 MISC Capital LtdMISC Capital Ltd Commercial Metals Co. 7.350%, 8/15/18 730 780 MISC Capital Ltd. 144A 6.125%, CRH America, Inc. 8.125%, 7/15/18 650 759 7/1/14 (4) 750 812 Domtar Corp. Moog, Inc. 7.250%, 6/15/18 100 97 5.375%, 12/1/13 388 376 Noble Group Ltd. 144A 6.750%, 7.125%, 8/15/15 322 325 1/29/20 (4) 880 906 Dow Chemical Co. (The) 8.550%, Owens Corning, Inc. 6.500%, 12/1/16 595 610 5/15/19 800 956 Smiths Group plc 144A 7.200%, Edgen Murray Corp. 144A 12.250%, 5/15/19 (4) 150 168 1/15/15 (4) 650 642 United Airlines, Inc. 00-2A, 7.032%, Georgia Gulf Corp. 144A 9.000%, 10/1/10 61 61 1/15/17 (4) 275 279 United Rentals North America, Inc. Gerdau Holdings, Inc. 144A 7.000%, 6.500%, 2/15/12 440 441 1/20/20 (4) 250 258 10.875%, 6/15/16 198 216 Ineos Group Holdings plc 144A USG Corp. 144A 9.750%, 8/1/14 (4) 100 107 8.500%, 2/15/16 (4) 1,050 711 --------- International Paper Co. 9.375%, 7,791 5/15/19 508 625 --------- JonhsonDiversey, Inc. 144A 8.250%, 11/15/19 (4) 50 51 INFORMATION TECHNOLOGY--1.9% Nalco Co. 8.875%, 11/15/13 180 186 Agilent Technologies, Inc. 5.500%, Nova Chemicals Corp. 3.649%, 9/14/15 205 215 11/15/13(3) 1,000 920 Broadridge Financial Solutions, Inc. Plastipak Holdings, Inc. 144A 8.500%, 6.125%, 6/1/17 525 512 12/15/15 (4) 500 516 Corning, Inc. 6.625%, 5/15/19 77 84 Steel Dynamics, Inc. 7.375%, 11/1/12 225 233 Crown Castle Holdings GS V Vale Overseas Ltd. 5.625%, 9/15/19 550 558 LLC/Crown Castle GS III Corp. Vedanta Resources plc 144A 9.500%, 144A 7.750%, 5/1/17 (4) 400 426 7/18/18 (4) 375 383 Jabil Circuit, Inc. 8.250%, 3/15/18 600 645 Verso Paper Holdings LLC / Verso National Semiconductor Corp. Paper, Inc. 6.600%, 6/15/17 400 411 144A 11.500%, 7/1/14(4) 300 332 Seagate Technology HDD Holdings, Inc. Series B, 11.375%, 8/1/16 750 608 6.375%, 10/1/11 280 286 --------- SunGard Data Systems, Inc. 9.125%, 13,190 8/15/13 574 591 --------- Xerox Corp. 8.250%, 5/15/14 56 64 TELECOMMUNICATION SERVICES--2.5% 6.750%, 2/1/17 350 376 Axtel SAB de C.V. 144A 9.000%, --------- 9/22/19 (4) 200 206 3,610 Cincinnati Bell, Inc. 8.250%, --------- 10/15/17 180 184 Clearwire Communications MATERIALS--6.8% LLC/Clearwire Finance, Inc. 144A Allegheny Technologies, Inc. 9.375%, 12.000%, 12/1/15 (4) 200 204 6/1/19 590 680 Frontier Communications Corp. Anglo American Capital plc 144A 8.125%, 10/1/18 275 280 9.375%, 4/8/19 (4) 120 153 Nextel Communications, Inc. ArcelorMittal Series E 6.875%, 10/31/13 175 171 9.000%, 2/15/15 150 177 Series D 7.375%, 8/1/15 650 635 6.125%, 6/1/18 280 289 OJSC Vimpel Communications (UBS Luxembourg SA) 144A 8.375%, 10/22/11 (4) 500 532 Qwest Corp. 8.375%, 5/1/16 200 216 6.500%, 6/1/17 215 212
See Notes to Schedules of Investments 6 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- TELECOMMUNICATION SERVICES-- LOAN AGREEMENTS(3)--11.5% (CONTINUED) Telecom Italia Capital SA CONSUMER DISCRETIONARY--4.3% 6.999%, 6/4/18 $ 350 $ 386 AMF Bowling Worldwide, Inc. Tranche 7.175%, 6/18/19 500 558 B, 2.742%, 5/7/13 $ 487 $ 419 Virgin Media Finance plc Series 1, Cengage Learning Acquisitions, Inc. 9.500%, 8/15/16 410 442 Tranche 2.745%, 7/3/14 794 715 Wind Acquisition Finance SA 144A Ceridian Corp. Tranche 3.265%, 11.750%, 7/15/17 (4) 350 384 11/8/14 945 857 Windstream Corp. Charter Communications Operating LLC 144A 7.875%, 11/1/17(4) 230 228 Tranche B, 6.250%, 3/6/14 729 685 7.000%, 3/15/19 250 235 Ford Motor Co. Tranche B-1, 3.350%, --------- 12/15/13 364 338 4,873 Getty Images, Inc. Tranche B, 6.250%, --------- 7/2/15 448 450 Harrah's Operating Co., Inc. UTILITIES--1.9% Tranche B-2, 3.282%, 1/28/15 346 282 Allegheny Energy Supply Co. LLC Intelsat Jackson Holding Ltd. 144A 8.250%, 4/15/12 (4) 145 159 Tranche 3.246%, 2/1/14 575 522 AmeriGas Partners LP 7.250%, 5/20/15 500 502 Isle of Capri Casinos, Inc. Centrais Eletricas Brasileiras SA Tranche B-DD, 2.035%, 11/25/13 75 70 144A 6.875%, 7/30/19 (4) 100 109 Tranche A-DD, 2.348%, 11/25/13 66 62 Israel Electric Corp. Ltd. 144A Tranche 2.348%, 11/25/13 186 176 7.250%, 1/15/19 (4) 200 217 Landry's Restaurant, Inc. Tranche Korea Electric Power Corp. 144A 9.500%, 11/30/13 189 191 5.500%, 7/21/14 (4) 380 405 Mark IV Industries Majapahit Holding BV Tranche 10.500%, 5/13/14(8) 133 121 144A 7.250%, 6/28/17(4) 725 745 Tranche 12.500%, 11/13/14(8) 19 17 144A 7.750%, 1/20/20(4) 200 211 Mediacom Illinois LLC Tranche D, Midwest Generation LLC Series B 5.500%, 3/31/17 284 286 8.560%, 1/2/16 121 122 Neiman-Marcus Group, Inc. (The) Northeast Utilities 5.650%, 6/1/13 270 280 Tranche 2.283%, 4/6/13 1,193 1,081 Sempra Energy 6.000%, 10/15/39 500 495 Nielsen Finance LLC/ Nielsen Texas Competitive Electric Holdings Finance Co. Co. LLC Series A 10.250%, 11/1/15 200 163 Tranche 2.256%, 8/9/13 354 333 TransAlta Corp. 4.750%, 1/15/15 280 282 Tranche B, 4.006%, 5/1/16 207 196 --------- PTI Group, Inc. Tranche 9.250%, 3,690 2/18/13 160 137 ------------------------------------------------------ --------- Totes Isotoner Corp. Tranche TOTAL CORPORATE BONDS 6.322%, 1/16/14 500 247 (IDENTIFIED COST $107,268) 111,792 Univision Communications, Inc. ------------------------------------------------------ --------- Tranche B, 2.533%, 9/29/14 1,085 945 CONVERTIBLE BONDS--0.1% VWR Funding, Inc. Tranche 2.745%, 6/29/14 313 283 MATERIALS--0.1% --------- Vale Capital Ltd. Series RIO Cv. 8,413 0.069%, 0/0/04 216 --------- ------------------------------------------------------ --------- TOTAL CONVERTIBLE BONDS CONSUMER STAPLES--0.1% (IDENTIFIED COST $200) 216 Reynolds Group Holdings Ltd. ------------------------------------------------------ --------- Tranche 6.250%, 11/5/15 200 201 --------- ENERGY--0.4% ATP Oil & Gas Corp.
See Notes to Schedules of Investments 7 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- ENERGY--(CONTINUED) INFORMATION TECHNOLOGY--2.3% Tranche B-2, 11.750%, 1/15/11 $ 84 $ 81 Tranche B-1, 8.500%, 7/15/14 539 526 Allen Systems Group, Inc. Western Refining, Inc. Tranche Tranche 8.500%, 10/20/13 $ 540 $ 541 8.250%, 5/30/14 139 133 Tranche 11.000%, 4/20/14 251 244 --------- Avaya, Inc. Tranche B-1, 3.137%, 740 10/26/14 746 648 --------- Dresser, Inc. PIK Loan 6.013%, 5/4/15 834 776 First Data Corp. FINANCIALS--0.2% Tranche B-1, 3.014%, 9/24/14 393 350 Hertz Corp. Tranche B-3, 3.026%, 9/24/14 628 558 Tranche B, 2.013%, 12/21/12 232 223 Freescale Semiconductor, Inc. Letter of Credit 2.042%, 12/21/12 50 48 Tranche 2.000%, 12/1/13 492 432 Universal City Tranche 0.000%, Reynolds & Reynolds Co. (The) 11/6/14 75 75 Tranche 2.285%, 10/24/12 716 666 --------- Skype Technologies SA Tranche 346 9.000%, 11/19/14 230 237 --------- --------- 4,452 HEALTH CARE--0.4% --------- Health Management Associates, Inc. Tranche B, 2.033%, 2/28/14 182 171 MATERIALS--1.1% Psychiatric Solutions, Inc. Tranche Anchor Glass Container Corp. B, 2.014%, 7/1/12 173 165 Tranche B, 6.750%, 6/20/14 307 308 RehabCare Group, Inc. Tranche B, Ashland, Inc. Tranche B, 7.650%, 0.000%, 11/24/15 215 213 5/13/14 225 229 Select Medical Corp. Tranche B-1, Berry Plastics Group, Inc. Tranche C, 4.874%, 8/22/14 208 202 2.300%, 4/3/15 759 665 --------- Building Materials Corp. of America 751 Tranche B, 6.063%, 9/15/14 360 328 --------- Gentek Holding LLC Tranche 7.000%, 10/29/14 150 152 INDUSTRIALS--1.9% Nalco Co. Tranche B, 6.500%, 5/13/16 119 121 Harland Clarke Holdings Corp. Solutia, Inc. Tranche 7.250%, 2/28/14 296 301 Tranche B, 2.757%, 6/30/14 994 829 --------- Hawker Beechcraft, Inc. 2,104 Letter of Credit, 0.000%, 3/26/14 34 25 --------- Tranche B, 2.258%, 3/26/14 565 427 Language Line Holdings LLC Tranche TELECOMMUNICATION SERVICES--0.4% 5.750%, 11/4/15 300 300 Level 3 Communications, Inc. Protection One Alarm Monitoring, Inc. Tranche A, 2.593%, 3/13/14 525 478 Tranche B-2, 0.000%, 3/31/14 110 109 Tranche B, 11.500%, 3/13/14 130 139 Reynolds & Reynolds Co. (The) Sinclair Telecommunication Tranche Tranche 0.000%, 10/24/13 280 242 0.000%, 10/29/15 200 201 ServiceMaster Co. (The) --------- Tranche DD, 2.750%, 7/24/14 99 89 818 Tranche B, 2.795%, 7/24/14 990 898 --------- Trans Network Services Tranche 0.000%, 11/18/15 470 471 UTILITIES--0.4% Zuffa LLC Tranche 7.500%, 6/19/15 212 211 NRG Energy, Inc. --------- Tranche B, 2.013%, 2/1/13 38 36 3,601 Letter of Credit 2.033%, 2/1/13 437 417 --------- Texas Competitive Electric Holdings Co. LLC Tranche B-2, 3.763%, 10/10/14 259 211
See Notes to Schedules of Investments 8 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------- UTILITIES--(CONTINUED) Tranche B-3, 3.763%, 10/10/14 $ 138 $ 112 --------- 776 ------------------------------------------------------ --------- TOTAL LOAN AGREEMENTS (IDENTIFIED COST $21,572) 22,202 ------------------------------------------------------ ---------
SHARES VALUE --------------- --------- PREFERRED STOCK--0.1% FINANCIALS--0.1% FNMA Pfd. 8.250% 38,000 42 GMAC, Inc. (Pfd.) Series G 144A 7.00%(4) 321 212 ------------------------------------------------------ --------- TOTAL PREFERRED STOCK (IDENTIFIED COST $757) 254 ------------------------------------------------------ --------- COMMON STOCKS--0.1% CONSUMER DISCRETIONARY--0.1% Mark IV Industries(8) 117 1 Mark IV Industries(8) 6,003 123 --------- 124 --------- TELECOMMUNICATION SERVICES--0.0% AT&T Latin America Corp. Classs A(2)(6)(8) 137,550 0 ------------------------------------------------------ --------- TOTAL COMMON STOCKS (IDENTIFIED COST $718) 124 ------------------------------------------------------ --------- SHORT-TERM INVESTMENTS--1.3% MONEY MARKET MUTUAL FUNDS--1.3% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.118%) 2,570,533 2,571 ------------------------------------------------------ --------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $2,571) 2,571 ------------------------------------------------------ --------- TOTAL LONG TERM INVESTMENTS--99.3% (IDENTIFIED COST $185,000) 191,941 ------------------------------------------------------ --------- TOTAL INVESTMENTS--99.3% (IDENTIFIED COST $185,000) 191,941(1) Other Assets and Liabilities--0.7% 1,346 --------- NET ASSETS--100.0% $ 193,287 =========
ABBREVIATIONS: FNMA Federal National Mortgage Association ("Fannie Mae"). PIK Payment-in-Kind Security REIT Real Estate Investment Trust FOREIGN CURRENCIES: AUD Australian Dollar BRL Brazil Real CAD Canadian Dollar COP Colombian Peso IDR Indonesian Rupiah KRW Korean Won NOK Norwegian Krone NZD New Zealand Dollar PLZ Polish Zloty SEK Swedish Krona TRY Turkish Lira ZAR South Africa Rand See Notes to Schedules of Investments 9 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + ---------------------------------------------------- ------- United States (includes short-term investments) 69% Canada 3 Australia 2 Brazil 2 Russia 2 South Korea 2 United Kingdom 2 Other 18 ---------------------------------------------------- ------- Total 100% ---------------------------------------------------- -------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 10 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE INVESTMENT IN SECURITIES: 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Debt Securities: U.S. Government Securities $ 1,246 -- $ 1,246 $ -- Municipal Bonds 572 -- 572 -- Foreign Government Securities 28,114 -- 28,114 -- Mortgage-Backed Securities 21,075 -- 21,075 -- Asset-Backed Securities 3,775 $ -- 3,775 -- Corporate Debt 134,210 -- 134,210 -- Equity Securities: Common Stocks 124 -- -- 124 Preferred Stock 254 254 -- -- Short-Term Investments 2,571 2,571 -- -- Total Investments $ 191,941 $ 2,825 $ 188,992 $ 124
See Notes to Schedules of Investments 1 The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable were used to determine fair value.
Mortgage- Asset- Backed Backed Corporate Common INVESTMENTS IN SECURITIES TOTAL Securities Securities Debt Stocks ---------------------------------- ------- ---------- ---------- --------- ------ BALANCE AS OF SEPTEMBER 30, 2009: $ 1,598 $ 890 $ 54 $ 654 $ 0(4) Accrued Discount/(Premium) 1 -- --(2) 1 -- Realized Gain (Loss) --(2) -- --(2) --(2) -- Change in Unrealized Appreciation (Depreciation) 28 40 2 (14) -- Net Purchases/(Sales) (3) (30) -- (30) --(2) -- Transfers In and/or Out of Level 3 (1) (1,473) (930) (26) (641) 124 ------- ------- ---------- --------- ------ BALANCE AS OF DECEMBER 31, 2009 $ 124 $ -- $ -- $ -- $ 124 ======= ======= ========== ========= ======
(1) "Transfers in and/or out" represent the ending value as of December 31, 2009, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (2) Amount is less than $500. (3) Includes paydowns on securities. (4) Level 3 Common Stock valued at zero at the beginning of the period. Level 3 securities are without an active market or market participants and therefore are internally fair valued. These internally fair valued securities derive their valuation based on the review of inputs such as, but not limited to, similar securities, liquidity factors, capital structure, and credit analysis. See Notes to Schedules of Investments VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- U.S. GOVERNMENT SECURITIES--1.1% Republic of Colombia 12.000%, 10/22/15 $ 21,685,000COP $ 13,062 U.S. Treasury Note Republic of Indonesia 2.875%, 6/30/10 $ 1,000 $ 1,013 Series FR-23, 11.000%, 12/15/12 80,600,000IDR 9,170 1.750%, 8/15/12 23,150 23,300 Series FR-30, 10.750%, 5/15/16 40,550,000IDR 4,649 ------------------------------------------------------ --------- Republic of Korea Series 1112, TOTAL U.S. GOVERNMENT SECURITIES 4.750%, 12/10/11 9,050,000KRW 7,827 (IDENTIFIED COST $24,256) 24,313 Republic of Lithuania 144A 6.750%, ------------------------------------------------------ --------- 1/15/15 (4) 4,000 4,072 MUNICIPAL BONDS--0.2% Republic of Poland Series 0414, 5.750%, 4/25/14 23,825PLZ 8,330 CONNECTICUT--0.1% 6.375%, 7/15/19 2,075 2,257 Mashantucket Western Pequot Tribe Republic of South Africa Taxable Series A, 144A ( NATL- RE Series R-201 8.750%, 12/21/14 111,065ZAR 15,207 Insured) 6.910%, 9/1/12 (4) 2,515 1,804 6.875%, 5/27/19 660 741 --------- Republic of Turkey 0.000%, 2/2/11 22,335TRY 13,700 Russian Federation SOUTH DAKOTA--0.0% RegS 8.250%, 3/31/10(5) 135 137 Educational Enhancement Funding RegS 7.500%, 3/31/30(3)(5) 1,880 2,122 Corp. Taxable Series 02-A, ------------------------------------------------------ --------- 6.720%, 6/1/25 112 98 TOTAL FOREIGN GOVERNMENT SECURITIES --------- (IDENTIFIED COST $269,761) 290,324 ------------------------------------------------------ --------- VIRGINIA--0.1% MORTGAGE-BACKED SECURITIES--24.2% Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, AGENCY--4.3% 6/1/46 4,850 3,499 FHLMC 6.000%, 8/1/34 1,495 1,596 ------------------------------------------------------ --------- FNMA TOTAL MUNICIPAL BONDS 5.500%, 1/1/17 525 558 (IDENTIFIED COST $7,133) 5,401 6.000%, 5/1/17 151 162 ------------------------------------------------------ --------- 5.500%, 8/1/17 109 116 4.500%, 4/1/18 1,123 1,170 FOREIGN GOVERNMENT SECURITIES--12.9% 5.000%, 10/1/19 2,021 2,127 Bolivarian Republic of Venezuela 5.500%, 2/1/20 773 823 10.750%, 9/19/13 4,920 4,354 5.500%, 3/1/20 819 872 8.500%, 10/8/14 4,465 3,539 5.500%, 3/1/20 286 304 RegS 5.750%, 2/26/16(5) 4,260 2,790 5.500%, 3/1/20 839 894 RegS 7.000%, 12/1/18(5) 3,230 2,059 5.500%, 3/1/20 1,762 1,877 Commonwealth of Australia Series 5.500%, 4/1/20 1,306 1,390 121, 5.250%, 8/15/10 47,356AUD 42,797 5.000%, 6/1/20 3,413 3,587 Commonwealth of Canada 2.750%, 6.000%, 12/1/32 233 249 12/1/10 43,257CND 42,143 5.500%, 2/1/33 528 556 Commonwealth of New Zealand Series 5.500%, 5/1/34 2,325 2,443 1111, 6.000%, 11/15/11 45,449NZD 33,992 6.000%, 8/1/34 1,236 1,320 Federative Republic of Brazil 6.000%, 8/1/34 1,572 1,679 12.500%, 1/5/16 30,264BRL 19,654 6.000%, 10/1/34 1,146 1,223 12.500%, 1/5/22 8,000BRL 5,158 6.000%, 10/1/34 1,884 2,010 Kingdom of Norway 5.500%, 11/1/34 2,762 2,903 6.000%, 5/16/11 130,100NOK 23,542 5.500%, 11/1/34 1,882 1,978 5.000%, 5/15/15 13,515NOK 2,475 Kingdom of Sweden Series 1045, 5.250%, 3/15/11 28,200SEK 4,167 Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33 25,606 19,269 Series GDP 3.169%, 12/15/35(3) 44,890 3,111
See Notes to Schedules of Investments 1 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- AGENCY--(CONTINUED) NON-AGENCY--(CONTINUED) 6.000%, 11/1/34 $ 2,211 $ 2,359 05-CD1, A4 5.224%, 7/15/44(3) $ 5,000 $ 4,991 5.500%, 12/1/34 1,249 1,313 05-CD1, AM 5.224%, 7/15/44(3) 6,410 5,399 5.500%, 1/1/35 2,834 2,979 07-CD4, A4 5.322%, 12/11/49 6,465 5,610 6.000%, 1/1/37 3,118 3,312 Countrywide Home Loan Mortgage 6.000%, 1/1/37 1,882 1,999 Pass-Through Trust 5.500%, 7/1/37 19 20 02-34, B2 5.750%, 1/25/33(6) 1,292 1,000 6.000%, 7/1/37 939 996 02-36, B2 6.000%, 1/25/33(6) 1,319 1,037 6.000%, 12/1/37 4,699 4,984 04-9, A6 5.250%, 6/25/34 7,037 6,709 5.500%, 3/1/38 5,221 5,472 Credit Suisse First Boston Mortgage 6.000%, 4/1/38 3,190 3,384 Securities Corp. 5.000%, 5/1/38 4,347 4,465 02-CKS4, B 5.333%, 11/15/36 5,000 4,948 5.500%, 6/1/38 2,011 2,108 04-C5, A3 4.499%, 11/15/37 1,270 1,229 5.500%, 9/1/38 2,897 3,035 Credit Suisse Mortgage Capital 5.000%, 11/1/38 5,838 5,998 Certificates 06-C1, A3 5.548%, 5.500%, 12/1/38 4,077 4,272 2/15/39 (3) 4,327 4,362 4.500%, 7/1/39 11,896 11,886 Credit-Based Asset Servicing & 4.500%, 8/1/39 3,943 3,940 Securitization LLC 05-CB6, A3 4.500%, 8/1/39 1,980 1,978 5.120%, 7/25/35 (3) 2,353 1,966 GNMA Crown Castle Towers LLC 6.500%, 7/15/31 41 44 05-1A, AFX 144A 4.643%, 6/15/35(4) 8,000 8,080 6.500%, 8/15/31 108 117 05-1A, B 144A 4.878%, 6/15/35(4) 6,510 6,575 6.500%, 11/15/31 82 88 06-1A, C 144A 5.470%, 11/15/36(4) 5,000 5,112 6.500%, 2/15/32 27 29 Dunkin Securitization 06-1, A2, 6.500%, 4/15/32 123 133 144A 5.779%, 6/20/31 (4) 5,000 4,821 6.500%, 4/15/32 120 129 FFCA Secured Lending Corp. 99-2, --------- WA1C, 144A 7.850%, 5/18/26 (4) 7,667 5,794 94,877 First Plus Home Loan Trust 97-3, M2 --------- 7.520%, 11/10/23 (12) 25 22 GE Capital Commercial Mortgage Corp. NON-AGENCY--19.9% 03-C1, C 4.975%, 1/10/38(3) 4,332 4,208 American Tower Trust 07-1A, C 144A 04-C3, A4 5.189%, 7/10/39(3) 13,500 13,472 5.615%, 4/15/37 (4) 3,685 3,759 GMAC Commercial Mortgage Banc of America Commercial Securities, Inc. Mortgage, Inc. 05-6, AM 5.179%, 04-C2, A3 5.134%, 8/10/38 1,200 1,196 9/10/47 (3) 1,600 1,365 04-C2, A4 5.301%, 8/10/38(3) 5,900 5,861 Banc of America Funding Corp. 05-8, 04-C3, A4 4.547%, 12/10/41 4,820 4,822 1A1 5.500%, 1/25/36 4,360 3,997 Greenwich Capital Commercial Bear Stearns Commercial Mortgage Funding Corp. 04-GG1, A7 5.317%, Securities 6/10/36 (3) 7,950 8,069 06-PW12, A4 5.719%, 9/11/38(3) 7,450 7,565 GS Mortgage Securities Corp. II 06-PW14, A4 5.201%, 12/11/38 7,400 7,111 07-EOP, G 144A 0.755%, 05-PW10, A4 5.405%, 12/11/40(3) 11,300 11,074 3/6/20(3)(4) 5,840 4,901 07-PW18, A4 5.700%, 6/11/50 6,500 5,672 07-EOP, H 144A 0.885%, Chase Mortgage Finance Corp. 05-S1, 3/6/20(3)(4) 1,850 1,536 A10 5.500%, 5/25/35 11,207 10,922 04-GG2, A4 4.964%, 8/10/38 6,900 6,981 Citigroup-Deutsche Bank Commercial 07-GG10, A4 5.805%, 8/10/45(3) 10,550 9,059 Mortgage Trust GSR Mortgage Loan Trust 05-5F, 2A2 5.500%, 6/25/35 8,830 8,765 05-AR6, 3A1 4.558%, 9/25/35(3) 8,325 7,123
See Notes to Schedules of Investments 2 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- NON-AGENCY--(CONTINUED) NON-AGENCY--(CONTINUED) IndyMac Index Mortgage Loan Trust Residential Funding Mortgage 07-AR2, B1 5.770%, 6/25/37 (3) $ 4,732 $ 156 Securities I, Inc. 06-S4, A2 JP Morgan Chase Commercial Mortgage 6.000%, 4/25/36 $ 5,222 $ 4,513 Securities Trust 09-IWST, A1 Salomon Brothers Mortgage 4.314%, 12/15/19 9,915 9,759 Securities VII, Inc. JPMorgan Chase Commercial Mortgage 01-C1, C 6.729%, 12/18/35(3) 2,189 2,200 Securities Corp. 01-C1, D 6.831%, 12/18/35(3) 2,290 2,236 05-LDP5, AM 5.221%, 12/15/44(3) 2,822 2,371 SBA Commercial Mortgage Backed 06-LDP7, A4 5.875%, 4/15/45(3) 9,997 9,634 Securities Trust 06-LDP9, A3 5.336%, 5/15/47 7,450 6,461 06-1A, A 144A 5.314%, 11/15/36(4) 7,450 7,618 07-LD12, A4 5.882%, 2/15/51(3) 8,029 6,953 06-1A, B 144A 5.451%, 11/15/36(4) 2,875 2,933 JPMorgan Mortgage Trust 06-A1, B1 Timberstar Trust 06-1A, A 144A 5.278%, 2/25/36 7,640 698 5.668%, 10/15/36 (4) 2,240 2,128 Lehman Brothers - UBS Commercial Wachovia Bank Commercial Mortgage Mortgage Trust Trust 01-C2, C 6.975%, 9/15/34 6,500 6,549 04-C12, A2 5.001%, 7/15/41 9,746 9,875 06-C3, AM 5.712%, 3/15/39(3) 945 756 04-C12, A4 5.237%, 7/15/41(3) 10,145 10,064 06-C6, A4 5.372%, 9/15/39 11,830 11,277 07-C30, A5 5.342%, 12/15/43 6,935 5,369 07-C2, A2 5.303%, 2/15/40 4,527 4,632 05-C22, AM 5.315%, 12/15/44(3) 720 607 07-C2, A3 5.430%, 2/15/40 6,830 5,900 07-C33, A4 5.902%, 2/15/51(3) 8,940 7,342 05-C3, AM 4.794%, 7/15/40 7,460 6,294 Wachovia Mortgage Loan Trust LLC 07-C6, A2 5.845%, 7/15/40 11,125 11,265 06-A, B1 5.279%, 5/20/36 3,419 292 07-C7, A3 5.866%, 9/15/45(3) 8,800 7,724 Washington Mutual Mortgage Pass Merrill Lynch Mortgage Investors, Through Certificates Inc. 06-3, 2A1 6.064%, 10/25/36 06-AR16, 1A1 5.563%, 12/25/36(3) 5,559 3,947 (3) 3,756 3,219 00-1, M3 2.481%, 1/25/40(3) 85 30 Merrill Lynch Mortgage Trust Wells Fargo Mortgage Backed 06-C1, AM 5.656%, 5/12/39(3) 7,205 5,699 Securities Trust 04-KEY2, A3 4.615%, 8/12/39 12,250 12,037 04-R, 2A1 3.003%, 9/25/34(3) 3,198 3,030 Merrill Lynch-Countrywide 04-EE, 2A3 3.108%, 12/25/34(3) 1,601 1,216 Commercial Mortgage Trust 06-4, 06-AR2, B1 5.014%, 3/25/36(3) 13,901 1,116 A3 5.172%, 12/12/49 (3) 9,500 8,397 06-AR10, 5A3 5.589%, 7/25/36(3) 11,963 9,190 Morgan Stanley Capital I --------- 06-T23, A4 5.810%, 8/12/41(3) 7,400 7,457 447,262 06-IQ12, A4 5.332%, 12/15/43 14,500 13,455 ------------------------------------------------------ --------- 07-IQ14, A4 5.692%, 4/15/49(3) 9,720 8,190 TOTAL MORTGAGE-BACKED SECURITIES Morgan Stanley Mortgage Loan Trust (IDENTIFIED COST $559,492) 542,139 04-2AR, 4A 4.754%, 2/25/34(3) 15,383 15,068 ------------------------------------------------------ --------- 05-5AR, 4A1 5.501%, 9/25/35(3) 1,888 1,327 PNC Mortgage Acceptance Corp. ASSET-BACKED SECURITIES--8.9% 00-C2, A2 7.300%, 10/12/33 176 179 1St Financial Bank USA 09-C, C, Prudential Securities Secured 144A 9.000%, 10/15/15 (4) 5,000 5,000 Financing Corp. 99-NRF1, F 144A American General Mortgage Loan 6.074%, 11/1/31 (4) 4,894 4,894 Trust 06-1, A2 144A 5.750%, Residential Funding Mortgage 12/25/35 (3)(4) 4,283 4,276 Securities I 06-S12, 1A1 5.500%, Avis Budget Rental Car Funding 12/25/21 7,996 8,092 AESOP LLC 09-2A, A 144A 5.680%, 2/20/13 (4) 9,825 10,145 Banc of America Alternative Loan Trust 03-10, 2A1 6.000%, 12/25/33 3,016 3,006 Banc of America Mortgage Securities, Inc. 5.250%, 2/25/35 10,981 10,176
See Notes to Schedules of Investments 3 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- Banc of America Securities Auto IndyMac Manufactured Housing Trust 06-G1, B 5.340%, 2/18/11 $ 4,855 $ 4,866 Contract 98-1, A3 6.370%, 9/25/28 $ 1,965 $ 1,347 Bay View Auto Trust 05-LJ1, A4 Long Grove Collateral Loan 4.090%, 5/25/12 1,180 1,178 Obligation Ltd. Bayview Financial Acquisition Trust 04-1A, C 144A 2.662%, 06-B, 1A2 5.800%, 4/28/36 (3) 3,839 3,551 5/25/16(3)(4)(7) 1,627 822 Bombardier Capital Mortgage 04-1A, D 144A 7.012%, Securitization Corp. 99-A, A3 5/25/16(3)(4)(7) 519 130 5.980%, 1/15/18 (3) 2,605 2,201 Merrill Auto Trust Securitization Bosphorus Financial Services Ltd. 07-1, B 5.790%, 12/15/13 3,019 3,064 144A 2.073%, 2/15/12 (3)(4) 1,125 1,074 Renaissance Home Equity Loan Trust Capital Auto Receivables Asset 05-3, AF4 5.140%, 11/25/35 (3) 5,380 4,667 Trust 07-1, C 5.380%, 11/15/12 6,080 5,961 Residential Funding Mortgage Capital One Prime Auto Receivables Securities II, Inc. Trust 06-2, B 5.050%, 6/15/13 9,449 9,499 04-HI3, A5 5.480%, 6/25/34(3) 6,260 4,250 Carmax Auto Owner Trust 06-HI2, A3 5.790%, 2/25/36 1,510 1,043 07-2, B 5.370%, 3/15/13 10,025 10,145 07-HI1, A2 5.640%, 3/25/37 10,000 8,916 09-2, A4 2.820%, 12/15/14 11,750 11,647 07-HSA3, AI2 5.890%, 6/25/37(3) 1,666 1,587 Chase Funding Mortgage Loan Vanderbuilt Acquisition Loan Trust Asset-Backed Certificates 02-1, A3 5.700%, 9/7/23 (3) 6 6 04-1,1A4 4.111%, 8/25/30 1,966 1,834 Wachovia Auto Loan Owner Trust Citicorp Residential Mortgage 07-1, D 5.650%, 2/20/13 5,183 5,241 Securities, Inc. 06-2A, E 144A 7.050%, 5/20/14(4) 5,000 4,703 07-1, A3 5.667%, 3/25/37(3) 3,000 2,889 Wells Fargo Mortgage Backed 07-2, A4 6.538%, 6/25/37(3) 5,000 4,083 Securities Trust 06-12, A2 Conseco Finance Securitizations 6.000%, 10/25/36 5,265 4,789 Corp. 01-3, A4 6.910%, 5/1/33 (3) 10,763 10,310 ------------------------------------------------------ --------- CPS Auto Trust 08-A, A4 144A TOTAL ASSET-BACKED SECURITIES 7.130%, 10/15/14 (4) 1,800 1,835 (IDENTIFIED COST $208,867) 199,092 Daimler Chrysler Auto Trust 08-B, ------------------------------------------------------ --------- A4A 5.320%, 11/10/14 9,620 10,067 CORPORATE BONDS--39.4% DT Auto Owner Trust 09-1, B, 144A 5.920%, 10/15/15 (4) 4,952 4,968 CONSUMER DISCRETIONARY--3.1% Dunkin Securitization 06-1, M1 144A Ameristar Casinos, Inc. 144A 8.285%, 6/20/31 (4) 6,345 5,361 9.250%, 6/1/14 (4) 350 365 FMAC Loan Receivables Trust 98-CA, AutoZone, Inc. 5.750%, 1/15/15 4,420 4,793 A2 144A 6.660%, 9/15/20 (4) 714 700 COX Communications, Inc. 4.625%, GMAC Mortgage Corp. Loan Trust 6/1/13 5,620 5,844 06-HE2, A3 6.320%, 5/25/36 (3) 11,335 5,116 Daimler Finance North America LLC GreenTree Financial Corp. 08-MH1, 6.500%, 11/15/13 3,390 3,716 A1 144A 7.000%, 4/25/38 (3)(4) 3,491 3,556 DigitalGlobe, Inc. 144A 10.500%, Harley-Davidson Motorcycle Trust 5/1/14 (4) 700 753 09-4, B 3.190%, 9/15/14 9,000 9,071 DIRECTV Holdings LLC/DIRECTV 07-2, C 5.410%, 8/15/15 11,000 10,956 Financing Co., Inc. 6.375%, Hertz Vehicle Financing LLC 09-2A, 6/15/15 6,740 7,001 A1, 144A 4.260%, 3/25/14 (4) 5,000 5,028 DuPont Fabros Technology LP 144A Hyundai Auto Receivables Trust 8.500%, 12/15/17 (4) 5,025 5,132 06-A, D 5.520%, 11/15/12 28 28 Equity One, Inc. 6.250%, 12/15/14 2,485 2,445 Ford Motor Credit Co. LLC 8.000%, 6/1/14 4,865 5,000 Harrah's Operating Co., Inc. 144A 11.250%, 6/1/17 (4) 2,260 2,376 Healthcare Realty Trust, Inc. 6.500%, 1/17/17 3,000 2,972 Horton (D.R.), Inc. 4.875%, 1/15/10 2,500 2,500 Hyatt Hotels Corp. 144A 5.750%, 8/15/15 (4) 900 905 International Game Technology 7.500%, 6/15/19 1,115 1,208
See Notes to Schedules of Investments 4 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- CONSUMER DISCRETIONARY--(CONTINUED) ENERGY--(CONTINUED) Korea Expressway Corp. 144A 4.500%, Expro Finance Luxembourg SCA 144A 3/23/15 (4) $ 2,670 $ 2,720 8.500%, 12/15/16 (4) $ 3,395 $ 3,387 Landry's Restaurants, Inc. 144A Gaz Capital SA 144A 7.343%, 4/11/13 11.625%, 12/1/15 (4) 2,226 2,371 (4) 2,000 2,090 McJunkin Red Man Corp. 144A 9.500%, Gazprom International SA 144A 12/15/16 (4) 2,590 2,545 7.201%, 2/1/20 (4) 2,089 2,128 MGM MIRAGE 144A 10.375%, 5/15/14 (4) 160 174 Gazprom OAO (Gaz Capital SA) Mobile Mini, Inc. 6.875%, 5/1/15 540 513 144A 6.212%, 11/22/16(4) 10,405 9,963 QVC, Inc. 144A 7.500%, 10/1/19 (4) 2,710 2,778 144A 6.510%, 3/7/22(4) 3,235 2,968 Scientific Games Corp. 144A 7.875%, Helix Energy Solutions Group, Inc. 6/15/16 (4) 810 818 144A 9.500%, 1/15/16 (4) 692 713 Scientific Games International, Holly Corp. 144A 9.875%, 6/15/17 (4) 3,000 3,173 Inc. Series 9.250%, 6/15/19 1,570 1,656 KazMunaiGaz Finance Sub BV 144A Seminole Hard Rock Entertainment, 8.375%, 7/2/13 (4) 3,900 4,168 Inc./Seminole Hard Rock Kinder Morgan Energy Partners LP International LLC 144A 2.754%, 6.850%, 2/15/20 2,545 2,823 3/15/14 (3)(4) 767 636 Knight, Inc. 6.500%, 9/1/12 3,545 3,705 Seneca Gaming Corp. Series B Korea National Oil Corp. 144A 7.250%, 5/1/12 131 128 5.375%, 7/30/14 (4) 4,345 4,593 Staples, Inc. 9.750%, 1/15/14 905 1,103 NAK Naftogaz Ukraine 9.500%, 9/30/14 2,900 2,450 Starwood Hotels & Resort Worldwide, OPTI Canada, Inc. 144A 9.000%, Inc. 6.250%, 2/15/13 2,815 2,917 12/15/12 (4) 6,525 6,704 Time Warner, Inc. 6.875%, 5/1/12 1,500 1,642 Pacific Rubiales Energy Corp. 144A TRW Automotive, Inc. 144A 8.875%, 8.750%, 11/10/16 (4) 1,545 1,630 12/1/17 (4) 780 815 Petro-Canada 6.050%, 5/15/18 1,200 1,290 Videotron Ltee 6.375%, 12/15/15 3,500 3,439 Petrohawk Energy Corp. 10.500%, --------- 8/1/14 3,885 4,264 69,265 Pride International, Inc. 8.500%, --------- 6/15/19 4,065 4,695 SEACOR Holdings, Inc. 7.375%, CONSUMER STAPLES--1.0% 10/1/19 2,200 2,227 Altria Group, Inc. 8.500%, 11/10/13 2,775 3,207 Smith International, Inc. 9.750%, BAT International Finance plc 144A 3/15/19 2,755 3,490 9.500%, 11/15/18 (4) 1,410 1,790 Tesoro Corp. 6.250%, 11/1/12 4,340 4,340 Cargill, Inc. 144A 5.600%, 9/15/12 Weatherford International Ltd. (4) 4,845 5,212 9.625%, 3/1/19 4,110 5,124 Georgia-Pacific LLC 144A 7.125%, Western Refining, Inc. 1/15/17 (4) 3,525 3,587 144A 7.754%, 6/15/14(3)(4) 3,285 2,957 Tyson Foods, Inc. 10.500%, 3/1/14 940 1,079 144A 11.250%, 6/15/17(4) 2,465 2,243 Yankee Acquisition Corp. Series B, XTO Energy, Inc. 8.500%, 2/15/15 7,915 7,895 5.900%, 8/1/12 1,980 2,169 --------- 5.750%, 12/15/13 5,910 6,575 22,770 --------- --------- 107,368 --------- ENERGY--4.8% Adaro Indonesia PT 144A 7.625%, FINANCIALS--18.1% 10/22/19 (4) 3,065 3,046 ADCB Finance Cayman Ltd. 144A Anadarko Petroleum Corp. 8.700%, 4.750%, 10/8/14 (4) 5,290 4,907 3/15/19 2,925 3,638 Aflac, Inc. 8.500%, 5/15/19 1,059 1,220 Buckeye Partners LP 6.050%, 1/15/18 854 885 Agile Property Holdings Ltd. 144A Cenovus Energy, Inc. 144A 4.500%, 10.000%, 11/14/16 (4) 1,660 1,693 9/15/14 (4) 1,968 2,031 Alfa Invest Ltd. 144A 9.250%, Cloud Peak Energy Resources 6/24/13 (4) 4,940 4,989 LLC/Cloud Peak Energy Finance Allstate Corp. 6.125%, 5/15/37(3) 4,730 4,115 Corp. 144A 8.250%, 12/15/17 (4) 2,920 2,935 Denbury Resources, Inc. 7.500%, 12/15/15 4,952 4,964
See Notes to Schedules of Investments 5 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- FINANCIALS--(CONTINUED) FINANCIALS--(CONTINUED) American Express Credit Corp. ERAC USA Finance Co. 144A 5.800%, 5.875%, 5/2/13 $ 4,805 $ 5,157 10/15/12 (4) $ 805 $ 844 Series C, 7.300%, 8/20/13 2,600 2,922 Export-Import Bank of Korea 5.125%, 8/25/14 840 885 8.125%, 1/21/14 1,480 1,718 American Honda Finance Corp. 144A 5.875%, 1/14/15 4,625 4,963 6.700%, 10/1/13 (4) 4,850 5,311 Fibria Overseas Finance Ltd. 144A Assurant, Inc. 5.625%, 2/15/14 4,060 4,163 9.250%, 10/30/19 (4) 750 846 Atlantic Finance Ltd. 144A 8.750%, Fifth Third Bancorp 5/27/14 (4) 4,800 4,934 6.250%, 5/1/13 1,770 1,822 Avalonbay Communities, Inc. 5.700%, 4.500%, 6/1/18 3,975 3,243 3/15/17 2,950 2,993 First Horizon National Corp. Banco do Brasil SA 144A 8.500%, 4.500%, 5/15/13 1,000 904 10/29/49 (4) 700 745 First Tennessee Bank N.A. Bank of America Corp. 0.413%, 2/14/11(3) 4,575 4,395 7.400%, 1/15/11 3,815 4,038 4.625%, 5/15/13 2,220 2,064 4.750%, 8/15/13 3,000 3,049 Ford Motor Credit Co. LLC 5.420%, 3/15/17 3,700 3,652 9.875%, 8/10/11 3,480 3,645 Barclays Bank plc 3.034%, 1/13/12(3) 2,000 1,862 5.200%, 7/10/14 4,110 4,357 7.500%, 8/1/12 800 807 6.750%, 5/22/19 4,130 4,607 8.700%, 10/1/14 735 769 BBVA International Preferred SA General Electric Capital Corp. Unipersonal 5.919%, 12/31/49(3) 3,220 2,592 3.750%, 11/14/14 3,940 3,933 Bear Stearns Cos., Inc. LLC (The) Genworth Financial, Inc. 7.250%, 2/1/18 4,365 5,010 5.750%, 6/15/14 6,890 6,590 Berkley (WR) Corp. 5.125%, 9/30/10 2,000 2,020 6.515%, 5/22/18 3,275 2,997 BlackRock, Inc. 3.500%, 12/10/14 2,900 2,864 Glen Meadow Pass-Through Trust 144A Brandywine Operating Partnership LP 6.505%, 2/12/67 (3)(4) 7,545 5,602 7.500%, 5/15/15 4,305 4,374 GMAC, Inc. Cemex Finance LLC 144A 9.500%, 144A 6.875%, 9/15/11(4) 2,662 2,649 12/14/16 (4) 1,430 1,505 144A 6.750%, 12/1/14(4) 552 530 Chubb Corp. 6.375%, 3/29/49(3) 4,730 4,399 Goldman Sachs Group, Inc. (The) CIT Group, Inc. 5.350%, 1/15/16 3,225 3,350 7.000%, 5/1/13 306 288 5.950%, 1/18/18 2,759 2,913 7.000%, 5/1/14 459 427 7.500%, 2/15/19 2,451 2,857 7.000%, 5/1/15 459 413 HBOs plc 144A 6.750%, 5/21/18 (4) 685 636 7.000%, 5/1/16 765 677 Hertz Corp. (The) 8.875%, 1/1/14 2,595 2,666 7.000%, 5/1/17 1,071 935 Host Hotels & Resorts LP 144A Citigroup, Inc. 9.000%, 5/15/17 (4) 875 950 5.000%, 9/15/14 3,200 3,085 Hyundai Capital Services, Inc. 144A 4.875%, 5/7/15 15,710 14,808 6.000%, 5/5/15 (4) 4,975 5,195 CME Group, Inc. 5.400%, 8/1/13 2,450 2,644 ICICI Bank Ltd. Colonial Realty LP 4.800%, 4/1/11 1,442 1,405 144A 5.750%, 11/16/10(4) 4,775 4,876 Commonwealth Bank of Australia 144A 144A 5.500%, 3/25/15(4) 3,000 2,986 3.750%, 10/15/14 (4) 3,000 3,007 International Lease Finance Corp. Corporacion Andina de Fomento 4.750%, 1/13/12 1,120 946 5.200%, 5/21/13 1,000 1,046 5.300%, 5/1/12 5,375 4,566 Credit Suisse New York 5.000%, JPMorgan Chase & Co. 5/15/13 4,335 4,623 Deutsche Bank Financial LLC 5.375%, 3/2/15 2,933 3,059 Discover Bank 8.700%, 11/18/19 1,750 1,875
See Notes to Schedules of Investments 6 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- FINANCIALS--(CONTINUED) FINANCIALS--(CONTINUED) 5.750%, 1/2/13 $ 4,945 $ 5,274 Principal Life Global Funding I 6.300%, 4/23/19 3,550 3,905 144A 4.400%, 10/1/10 (4) $ 1,500 $ 1,530 Series 1, 7.900%, 12/31/49(3) 3,360 3,466 ProLogis Kazkommerts International BV RegS 7.625%, 8/15/14 5,275 5,516 8.000%, 11/3/15(5) 1,000 847 6.625%, 5/15/18 1,110 1,053 KeyBank NA Prudential Financial, Inc. 5.700%, 8/15/12 1,800 1,853 4.750%, 9/17/15 4,770 4,837 5.800%, 7/1/14 1,450 1,411 8.875%, 6/15/38(3) 4,200 4,452 7.413%, 5/6/15 1,000 1,020 Regions Financial Corp. 7.750%, 4.950%, 9/15/15 1,295 1,207 11/10/14 4,055 3,999 KeyCorp 6.500%, 5/14/13 2,925 3,019 Royal Bank of Scotland Group plc Kimco Realty Corp. 4.820%, 8/15/11 1,945 1,953 6.400%, 10/21/19 3,130 3,120 Kookmin Bank 144A 7.250%, 5/14/14 Russian Agricultural Bank OJSC (4) 5,700 6,399 (RSHB Capital SA) Korea Development Bank 5.300%, 144A 9.000%, 6/11/14(4) 780 885 1/17/13 1,113 1,169 144A 6.299%, 5/15/17(4) 2,905 2,925 Lincoln National Corp. Simon Property Group LP 8.750%, 7/1/19 2,340 2,674 4.600%, 6/15/10 3,825 3,882 6.050%, 4/20/67(3) 2,885 2,265 5.600%, 9/1/11 2,775 2,896 Lukoil International Finance BV SLM Corp. 1.097%, 2/1/10(3) 8,000 8,007 144A 6.375%, 11/5/14 (4) 4,900 5,035 Textron Financial Corp. 5.125%, MassMutual Global Funding II 144A 11/1/10 3,865 3,897 3.500%, 3/15/10 (4) 1,750 1,756 TNK-BP Finance SA Mercantile Bankshares Corp. 4.625%, RegS 6.125%, 3/20/12(5) 4,210 4,378 4/15/13 4,708 4,765 144A 7.500%, 3/13/13(4) 1,750 1,840 Merrill Lynch & Co., Inc. 6.150%, Trustreet Properties, Inc. 7.500%, 4/25/13 3,925 4,200 4/1/15 1,215 1,256 MetLife, Inc. 6.750%, 6/1/16 910 1,019 Universal City Development Partners Metropolitan Life Global Funding I Ltd. 144A 8.875%, 11/15/15 (4) 820 807 144A 5.125%, 6/10/14 (4) 1,160 1,228 Unum Group 7.125%, 9/30/16 6,620 6,859 Morgan Stanley Wachovia Bank NA 5.000%, 8/15/15 2,600 2,656 6.000%, 5/13/14 1,970 2,118 Wachovia Corp. 5.300%, 10/15/11 4,870 5,170 4.200%, 11/20/14 3,455 3,457 WEA Finance LLC / WT Finance 144A 10.090%, 5/3/17(4) 10,525BRL 5,592 Australia 144A 5.750%, 9/2/15 (4) 5,425 5,720 National Australia Bank Ltd. 144A Wells Fargo & Co. 4.375%, 1/31/13 800 831 5.350%, 6/12/13 (4) 9,715 10,457 Westpac Banking Corp. 4.200%, Nationwide Health Properties, Inc. 2/27/15 4,920 5,001 6.250%, 2/1/13 4,825 4,915 Woori Bank 144A 7.000%, 2/2/15 (4) 4,000 4,384 Northern Trust Corp. 5.500%, 8/15/13 2,775 3,036 XL Capital Ltd. 5.250%, 9/15/14 4,335 4,245 Nuveen Investments 10.500%, 11/15/15 800 730 Zions Bancorp 7.750%, 9/23/14 1,880 1,659 OJSC AK Transneft --------- (TransCapitalInvest Ltd.) 144A 405,569 5.670%, 3/5/14 (4) 5,715 5,758 --------- Petroplus Finance Ltd. 144A 6.750%, 5/1/14 (4) 4,215 3,983 HEALTH CARE--0.6% Piper Jaffray Equipment Trust CareFusion Corp. 144A 5.125%, Securities 144A 6.000%, 9/10/11 8/1/14 (4) 2,940 3,091 (4) 6,370 6,370 Express Scripts, Inc. 6.250%, PNC Funding Corp. 5.625%, 2/1/17 3,130 3,102 6/15/14 1,775 1,937 Principal Financial Group, Inc. Fisher Scientific International, 7.875%, 5/15/14 2,595 2,864 Inc. 6.125%, 7/1/15 2,125 2,191 HCA, Inc. 9.125%, 11/15/14 1,739 1,839
See Notes to Schedules of Investments 7 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- HEALTH CARE--(CONTINUED) INFORMATION TECHNOLOGY--(CONTINUED) Medco Health Solutions, Inc. Xerox Corp. 7.250%, 8/15/13 $ 1,000 $ 1,111 5.650%, 5/15/13 $ 4,345 $ 4,527 Select Medical Corp. 7.625%, 2/1/15 2,820 2,749 8.250%, 5/15/14 444 509 U.S. Oncology, Inc. 9.125%, 8/15/17 1,263 1,332 4.250%, 2/15/15 4,000 3,972 Valeant Pharmaceuticals --------- International 144A 8.375%, 36,959 6/15/16 (4) 417 432 --------- --------- 14,682 MATERIALS--4.5% --------- Airgas, Inc. 4.500%, 9/15/14 1,512 1,535 Allegheny Technologies, Inc. INDUSTRIALS--2.0% 9.375%, 6/1/19 7,245 8,339 American Airlines, Inc. 01-1, Anglo American Capital plc 144A 6.977%, 5/23/21 8,190 6,593 9.375%, 4/8/19 (4) 1,950 2,477 Continental Airlines, Inc. 98-1A, ArcelorMittal 6.648%, 9/15/17 2,106 2,032 5.375%, 6/1/13 4,825 5,092 Delta Air Lines, Inc. 00-A1, 9.000%, 2/15/15 2,560 3,024 7.379%, 5/18/10 2,372 2,366 Barrick Gold Financeco LLC 6.125%, DI Finance/DynCorp International, 9/15/13 4,500 4,946 Inc. Series B 9.500%, 2/15/13 5,175 5,266 Bemis Co., Inc. 5.650%, 8/1/14 980 1,043 Esco Corp. 144A 8.625%, 12/15/13 (4) 1,725 1,725 Catalyst Paper Corp. General Cable Corp. 2.665%, Series D 8.625%, 6/15/11 4,000 3,100 4/1/15(3) 3,375 3,016 7.375%, 3/1/14 1,055 649 Hutchison Whampoa International Commercial Metals Co. 7.350%, Ltd. 144A 4.625%, 9/11/15 (4) 3,900 3,935 8/15/18 7,760 8,273 Ingersoll-Rand Global Holdings Co. CRH America, Inc. Ltd. 9.500%, 4/15/14 1,410 1,685 5.625%, 9/30/11 3,500 3,679 Noble Group Ltd. 144A 6.750%, 8.125%, 7/15/18 4,770 5,563 1/29/20 (4) 4,420 4,536 Domtar Corp. Owens Corning, Inc. 6.500%, 12/1/16 3,150 3,226 5.375%, 12/1/13 2,625 2,546 Smiths Group plc 144A 7.200%, 7.125%, 8/15/15 2,185 2,207 5/15/19 (4) 1,700 1,897 Dow Chemical Co. (The) Steelcase, Inc. 6.500%, 8/15/11 2,825 2,889 7.600%, 5/15/14 2,950 3,357 Toledo Edison Co. (The) 7.250%, 5.900%, 2/15/15 3,950 4,245 5/1/20 1,360 1,552 Georgia Pacific Corp. LLC 7.700%, Tyco International Finance SA 6/15/15 4,820 5,085 4.125%, 10/15/14 1,000 1,022 Gerdau Holdings, Inc. 144A 7.000%, United Airlines, Inc. 00-2A, 1/20/20 (4) 1,950 2,004 7.032%, 10/1/10 320 320 International Paper Co. 9.375%, United Rentals North America, Inc. 5/15/19 5,330 6,551 10.875%, 6/15/16 1,772 1,936 JonhsonDiversey, Inc. 144A 8.250%, USG Corp. 144A 9.750%, 8/1/14 (4) 701 752 11/15/19 (4) 435 443 --------- Koppers, Inc. 144A 7.875%, 12/1/19 44,748 (4) 835 848 --------- Nalco Co. 8.875%, 11/15/13 1,630 1,687 Nova Chemicals Corp. 3.649%, INFORMATION TECHNOLOGY--1.6% 11/15/13(3) 8,694 7,998 Agilent Technologies, Inc. 5.500%, Sappi Pappier Holding AG 144A 9/14/15 2,185 2,290 6.750%, 6/15/12 (4) 5,000 4,793 Corning, Inc. 6.625%, 5/15/19 850 926 Steel Dynamics, Inc. 7.375%, 11/1/12 1,528 1,581 Crown Castle Holdings GS V Vedanta Resources plc 144A 8.750%, LLC/Crown Castle GS III Corp. 1/15/14 (4) 3,400 3,494 144A 7.750%, 5/1/17 (4) 4,375 4,660 Verso Paper Holdings LLC / Verso Intuit, Inc. 5.750%, 3/15/17 1,334 1,382 Paper, Inc. Jabil Circuit, Inc. 7.750%, 7/15/16 2,952 3,114 144A 11.500%, 7/1/14(4) 3,650 4,033 National Semiconductor Corp. 6.600%, 6/15/17 3,330 3,416 NXP BV/NXP Funding LLC 3.034%, 10/15/13(3) 3,040 2,535 Seagate Technology HDD Holdings, Inc. 6.375%, 10/1/11 3,950 4,039 SunGard Data Systems, Inc. 9.125%, 8/15/13 5,426 5,589
See Notes to Schedules of Investments 8 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- MATERIALS--(CONTINUED) UTILITIES--(CONTINUED) Series B, 4.031%, 8/1/14(3) $ 2,570 $ 2,043 ONEOK Partners LP 5.900%, 4/1/12 $ 980 $ 1,039 --------- Sempra Energy 6.500%, 6/1/16 1,760 1,909 100,635 Texas Competitive Electric Holdings --------- Co. LLC Series A 10.250%, 11/1/15 1,390 1,133 TELECOMMUNICATION SERVICES--2.3% TransAlta Corp. 4.750%, 1/15/15 2,220 2,236 Axtel SAB de C.V. 144A 9.000%, --------- 9/22/19 (4) 750 773 30,414 Cincinnati Bell, Inc. 8.250%, ------------------------------------------------------ --------- 10/15/17 3,760 3,835 TOTAL CORPORATE BONDS Clearwire Communications (IDENTIFIED COST $838,634) 884,916 LLC/Clearwire Finance, Inc. ------------------------------------------------------ --------- 144A 12.000%, 12/1/15(4) 4,000 4,080 LOAN AGREEMENTS(3)--11.6% 144A 12.000%, 12/1/15(4) 2,795 2,851 Deutsche Telekom International CONSUMER DISCRETIONARY--3.7% Finance BV 8.500%, 6/15/10 1,000 1,033 AMF Bowling Worldwide, Inc. Tranche Embarq Corp. 6.738%, 6/1/13 2,385 2,591 B, 2.739%, 5/17/13 1,872 1,613 Nextel Communications, Inc. Building Materials Holding Corp. Series E 6.875%, 10/31/13 5,590 5,450 Tranche B, 6.500%, 11/10/11 (12) 3,063 1,067 Series D 7.375%, 8/1/15 2,095 2,048 Building Materials Holding Corp. of OJSC Vimpel Communications (VIP America Tranche B, 3.031%, Finance Ireland Ltd.) 144A 2/22/14 744 688 8.375%, 4/30/13 (4) 1,400 1,487 Cengage Learning Acquisitions, Inc. Qwest Capital Funding, Inc. 7.250%, Tranche 2.745%, 7/3/14 7,086 6,377 2/15/11 4,000 4,080 Ceridian Corp. Tranche 3.263%, Qwest Corp. 7.875%, 9/1/11 5,220 5,468 11/8/14 6,650 6,027 Telecom Italia Capital SA 6.175%, Charter Communications Operating 6/18/14 4,900 5,311 LLC Tranche B, 6.250%, 3/6/14 4,842 4,548 Verizon Wireless Capital LLC CSC Holdings, Inc. Tranche B-2, 5.550%, 2/1/14 4,090 4,439 2.083%, 3/29/16 4,061 3,982 Virgin Media Finance plc Series 1, Ford Motor Co. Tranche B-1, 3.350%, 9.500%, 8/15/16 2,575 2,778 12/15/13 4,498 4,169 Wind Acquisition Finance SA 144A Getty Images, Inc. Tranche B, 11.750%, 7/15/17 (4) 2,450 2,689 6.250%, 7/2/15 3,672 3,692 Windstream Corp. 144A 7.875%, Harrah's Operating Co., Inc. 11/1/17 (4) 3,620 3,593 Tranche B-2, 3.282%, 1/28/15 1,577 1,285 --------- Tranche B-4, 9.500%, 10/31/16 2,170 2,176 52,506 Intelsat Jackson Holding Ltd. --------- Tranche 3.241%, 2/1/14 2,335 2,119 UTILITIES--1.4% Intelstat Corp. Allegheny Energy Supply Co. LLC Tranche B2-A, 2.744%, 1/3/14 1,684 1,599 144A 8.250%, 4/15/12 (4) 1,860 2,035 Tranche B2-B, 2.744%, 1/3/14 1,685 1,600 AmeriGas Partners LP 7.250%, 5/20/15 860 864 Tranche B2-C, 2.744%, 1/3/14 1,685 1,600 Enel Finance International SA 144A Isle of Capri Casinos, Inc. 3.875%, 10/7/14 (4) 2,000 2,024 Tranche A-DD, 1.991%, 11/25/13 659 622 Israel Electric Corp. Ltd. 144A Tranche B-DD, 1.991%, 11/25/13 750 707 7.250%, 1/15/19 (4) 2,285 2,475 Tranche 2.033%, 11/25/13 1,874 1,768 Korea Electric Power Corp. 144A Lamar Media Corp. Tranche F, 5.500%, 7/21/14 (4) 3,420 3,639 5.500%, 3/31/14 918 927 Korea Gas Corp. 144A 6.000%, Landry's Restaurant, Inc. Tranche 7/15/14 (4) 2,000 2,165 9.500%, 11/30/13 2,842 2,870 Majapahit Holding BV 144A 7.250%, 6/28/17 (4) 1,550 1,593 Midwest Generation LLC Series B 8.560%, 1/2/16 1,594 1,610 NiSource Finance Corp. 7.875%, 11/15/10 3,440 3,606 Northeast Utilities 5.650%, 6/1/13 3,950 4,086
See Notes to Schedules of Investments 9 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- CONSUMER DISCRETIONARY--(CONTINUED) HEALTH CARE--0.8% Mediacom Illinois LLC Tranche D, Butler Schein Animal Health Tranche 5.500%, 3/31/17 $ 4,765 $ 4,787 B, 0.000%, 12/31/15 $ 1,250 $ 1,204 Neiman-Marcus Group, Inc. (The) HCA, Inc. Tranche B-1, 2.533%, Tranche 2.266%, 4/6/13 8,600 7,791 11/17/13 2,151 2,063 Nielsen Finance LLC/ Nielsen Health Management Associates, Inc. Finance Co. Tranche B, 2.190%, 2/28/14 1,143 1,075 Tranche 2.238%, 8/9/13 3,968 3,736 HealthSouth Corp. Tranche B, 3.988%, 5/1/16 3,367 3,183 Tranche 1, 2.535%, 3/10/13 1,983 1,895 Pilot Travel Centers LLC Tranche B, Tranche 2, 4.045%, 3/15/14 1,632 1,589 0.000%, 1/15/16 4,675 4,718 Psychiatric Solutions, Inc. Tranche PTI Group, Inc. Tranche 9.250%, B, 2.024%, 7/1/12 4,478 4,262 2/18/13 1,431 1,231 RehabCare Group, Inc. Tranche B, Totes Isotoner Corp. Tranche B, 6.000%, 11/24/15 4,050 4,018 3.304%, 1/16/13 373 303 Select Medical Corp. Tranche B-1, TRW Automotive Holdings Corp. 4.874%, 8/22/14 1,137 1,105 Trance B-3 0.000%, 5/30/16 250 250 --------- Univision Communications, Inc. 17,211 Tranche B, 2.533%, 9/29/14 6,130 5,341 --------- VWR Funding, Inc. Tranche 2.750%, 6/29/14 3,293 2,968 INDUSTRIALS--1.2% --------- Advanced Disposal Tranche 0.000%, 83,744 12/23/14 500 495 --------- Harland Clarke Holdings Corp. Tranche B, 2.757%, 6/30/14 6,313 5,269 CONSUMER STAPLES--0.1% Language Line Holdings LLC Tranche Reynolds Group Holdings Ltd. 5.750%, 11/4/15 3,715 3,712 Tranche 0.000%, 11/5/15 1,485 1,496 Protection One Alarm Monitoring, --------- Inc. Tranche B-2, 6.250%, 3/31/14 1,107 1,095 Reynolds & Reynolds Co. (The) ENERGY--0.3% Tranche 5.745%, 10/24/13 2,820 2,435 ATP Oil & Gas Corp. ServiceMaster Co. (The) Tranche B-2, 11.750%, 1/15/11 667 651 Tranche DD, 2.750%, 7/24/14 794 720 Tranche B-1, 11.250%, 7/15/14 4,295 4,192 Tranche B, 2.773%, 7/24/14 7,972 7,231 Targa Resources, Inc. Tranche Trans Network Services Tranche 0.000%, 7/6/16 1,600 1,611 6.000%, 11/18/15 5,030 5,039 Western Refining, Inc. Tranche --------- 8.250%, 5/30/14 1,293 1,237 25,996 --------- --------- 7,691 --------- INFORMATION TECHNOLOGY--1.7% Allen Systems Group, Inc. Tranche FINANCIALS--0.5% 8.500%, 10/20/13 3,520 3,525 CIT Group, Inc. Tranche 13.000%, Avaya, Inc. Tranche B-1, 3.137%, 1/18/12 1,400 1,452 10/26/14 4,716 4,093 Green Tree Credit Solutions Tranche CommScope, Inc. Tranche B, 2.842%, 0.000%, 12/15/15 1,650 1,592 12/27/14 2,168 2,108 Hertz Corp. Dresser, Inc. Tranche B, 2.033%, 12/21/12 2,386 2,290 Tranche B, 2.679%, 5/4/14 2,405 2,254 Letter of Credit 2.042%, 12/21/12 479 460 PIK Loan 5.995%, 5/4/15 3,605 3,355 Pinnacle Foods Finance LLC/ First Data Corp. Pinnacle Food Finance Corp. Tranche B-1, 3.014%, 9/24/14 1,965 1,751 Tranche B, 2.995%, 4/2/14 2,442 2,284 Universal City Tranche 6.500%, 11/6/14 744 748 Vanguard Health Holdings Co., II LLC Tranche B 2.500%, 9/23/11 2,243 2,209 --------- 11,035 ---------
See Notes to Schedules of Investments 10 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE --------------- --------- --------------- --------- INFORMATION TECHNOLOGY--(CONTINUED) UTILITIES--0.6% Tranche B-2, 3.026%, 9/24/14 $ 489 $ 435 NRG Energy, Inc. Tranche B-3, 3.026%, 9/24/14 6,847 6,084 Tranche B, 2.013%, 2/1/13 $ 6,497 $ 6,209 Freescale Semiconductor, Inc. Letter of Credit 2.033%, 2/1/13 2,863 2,737 Tranche 2.000%, 12/1/13 3,956 3,472 Texas Competitive Electric Holdings Reynolds & Reynolds Co. (The) Co. LLC Tranche 2.245%, 10/24/12 5,571 5,186 Tranche B-2, 3.751%, 10/10/14 2,250 1,833 Skype Technologies SA Tranche Tranche B-3, 3.751%, 10/10/14 3,995 3,237 9.000%, 11/19/14 4,445 4,574 --------- TowerCo LLC Tranche 6.000%, 14,016 11/20/14 2,500 2,528 ------------------------------------------------------ --------- --------- TOTAL LOAN AGREEMENTS 39,365 (IDENTIFIED COST $255,503) 261,243 --------- ------------------------------------------------------ --------- MATERIALS--1.9% SHARES VALUE Anchor Glass Container Corp. --------------- --------- Tranche B, 6.750%, 6/20/14 3,998 4,015 PREFERRED STOCK--0.0% Ashland, Inc. Tranche B, 7.650%, 5/13/14 6,620 6,725 FINANCIALS--0.0% Berry Plastics Group, Inc. Tranche GMAC, Inc. (Pfd.) Series G 144A C, 2.263%, 4/3/15 8,698 7,611 7.00%(4) 702 463 Boise Paper Holdings LLC Tranche B, ------------------------------------------------------ --------- 5.750%, 2/22/14 2,792 2,819 TOTAL PREFERRED STOCK Building Materials Corp. of America (IDENTIFIED COST $221) 463 Tranche B, 6.063%, 9/15/14 4,750 4,334 ------------------------------------------------------ --------- Gentek Holding LLC Tranche 0.000%, COMMON STOCKS--0.0% 10/29/14 5,540 5,607 PAR VALUE VALUE Huntsman International LLC Tranche --------------- --------- B, 2.010%, 4/21/14 2,464 2,331 FINANCIALS--0.0% Ineos Holdings Ltd. CIT Group, Inc. 0.000%, 0/0/0(2) 26 727 Tranche B-2, 7.501%, 12/16/13 1,343 1,221 ------------------------------------------------------ --------- Tranche C-2, 8.001%, 12/16/14 1,343 1,227 TOTAL COMMON STOCKS JohnsonDiversity, Inc. Tranche (IDENTIFIED COST $955) 727 5.500%, 11/24/15 700 703 ------------------------------------------------------ --------- Nalco Co. Tranche B, 6.500%, TOTAL LONG TERM INVESTMENTS--98.3% 5/13/16 1,622 1,642 (IDENTIFIED COST $2,164,822) 2,208,618 Solutia, Inc. Tranche 7.250%, ------------------------------------------------------ --------- 2/28/14 4,572 4,654 --------- SHARES VALUE 42,889 --------------- --------- --------- SHORT-TERM INVESTMENTS--0.8% TELECOMMUNICATION SERVICES--0.8% MONEY MARKET MUTUAL FUNDS--0.8% Level 3 Communications, Inc. BlackRock Liquidity Funds TempFund Tranche A, 2.593%, 3/13/14 8,362 7,616 Portfolio - Institutional Shares Tranche B, 11.500%, 3/13/14 1,044 1,118 (seven-day effective yield 0.118%) 17,439,194 17,439 MetroPCS Wireless, Inc. Tranche B, ------------------------------------------------------ --------- 2.531%, 11/3/13 2,267 2,174 TOTAL SHORT-TERM INVESTMENTS nTelos, Inc. Tranche 5.750%, 8/7/15 5,311 5,359 (IDENTIFIED COST $17,439) 17,439 Sinclair Telecommunication Tranche ------------------------------------------------------ --------- 0.000%, 10/29/15 1,525 1,533 --------- 17,800 ---------
See Notes to Schedules of Investments 11 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands) TOTAL INVESTMENTS--99.1% (IDENTIFIED COST $2,182,261) 2,226,057(1) Other Assets and Liabilities--0.9% 19,516 ---------- NET ASSETS--100.0% $2,245,573 ==========
ABBREVIATIONS: FHLMC Federal Home Loan Mortgage Corporation ("Freddie Mac"). FNMA Federal National Mortgage Association ("Fannie Mae"). GNMA Government National Mortgage Association ("Ginnie Mae") NATL National Public Finance Guarantee Corp. PIK Payment-in-Kind Security SBA Small Business Administration FOREIGN CURRENCIES: AUD Australian Dollar BRL Brazil Real CND Canadian Dollar COP Colombian Peso EUR European Currency Unit IDR Indonesian Rupiah KRW Korean Won NOK Norwegian Krone NZD New Zealand Dollar PLZ Polish Zloty SEK Swedish Krona TRY Turkish Lira ZAR South Africa Rand See Notes to Schedules of Investments 12 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED)
COUNTRY WEIGHTINGS as of 12/31/09 + --------------------------------------------------- -------- United States (includes short-term investments) 76% Australia 3 Canada 3 Russia 2 South Korea 2 New Zealand 1 United Kingdom 1 Other 12 --------------------------------------------------- -------- Total 100% --------------------------------------------------- --------
+ % of total investments as of December 31, 2009 See Notes to Schedules of Investments 13 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ------------------------------------------------------- TOTAL VALUE LEVEL 2 LEVEL 3 AT LEVEL 1 SIGNIFICANT SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE UNOBSERVABLE INVESTMENT IN SECURITIES: 2009 PRICES INPUTS INPUTS ------------------------------------- ------------------------------------------------------- Debt Securities: U.S. Government Securities 24,313 -- 24,313 -- Municipal Bonds 5,401 -- 5,401 -- Foreign Government Securities 290,324 -- 290,324 -- Mortgage-Backed Securities 542,139 -- 542,139 -- Asset-Backed Securities $ 199,092 $ -- $ 198,140 $ 952 Corporate Debt 1,146,159 -- 1,146,159 -- Equity Securities: Common Stocks 727 727 -- -- Preferred Stock 463 463 -- -- Short-Term Investments 17,439 17,439 -- -- Total Investments $ 2,226,057 $ 18,629 $ 2,206,476 $ 952
See Notes to Schedules of Investments 1 The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable were used to determine fair value.
Mortgage- Asset- Backed Backed Corporate INVESTMENTS IN SECURITIES TOTAL Securities Securities Debt -------------------------------------- -------- ----------- ----------- ------------ BALANCE AS OF SEPTEMBER 30, 2009: $ 36,849 $ 10,982 $ 15,912 $ 9,955 Accrued Discount/(Premium) 56 22 57 (23) Realized Gain (Loss) (2,254) (2,247) (7) --(2) Change in Unrealized Appreciation (Depreciation) 4,894 2,895 1,427 572 Net Purchases/(Sales) (3) (3,791) -- (888) (2,903) Transfers In and/or Out of Level 3 (1) (34,802) (11,652) (15,549) (7,601) -------- ----------- ----------- ------------ BALANCE AS OF DECEMBER 31, 2009 $ 952 $ -- $ 952 $ -- ======== =========== =========== ============
(1) "Transfers in and/or out" represent the ending value as of December 31, 2009, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (2) Amount is less than $500. (3) Includes paydowns on securities. Level 3 securities are without an active market or market participants and therefore are internally fair valued. These internally fair valued securities derive their valuation based on the review of inputs such as, but not limited to, similar securities, liquidity factors, capital structure, and credit analysis. See Notes to Schedules of Investments VIRTUS REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE SHARES VALUE ------------ ------------ ------------ ------------ COMMON STOCKS--97.1% REAL ESTATE INVESTMENT TRUSTS-- (CONTINUED) REAL ESTATE INVESTMENT TRUSTS--97.1% RESIDENTIAL--17.4% DIVERSIFIED--5.2% APARTMENTS--16.6% Vornado Realty Trust 658,277 $ 46,040 American Campus Communities, Inc. 157,460 $ 4,424 --------------------------------------------------- ------------ Apartment Investment & Management Co. TOTAL DIVERSIFIED 46,040 Class A 683,357 10,879 --------------------------------------------------- ------------ AvalonBay Communities, Inc. 299,886 24,624 BRE Properties, Inc. 333,490 11,032 HEALTH CARE--12.8% Equity Residential 1,427,439 48,219 HCP, Inc. 1,166,437 35,623 Essex Property Trust, Inc. 181,492 15,182 Health Care REIT, Inc. 561,349 24,879 Home Properties, Inc. 185,374 8,844 Nationwide Health Properties, Inc. 582,630 20,497 UDR, Inc. 1,399,644 23,010 Ventas, Inc. 732,534 32,041 ------------ --------------------------------------------------- ------------ 146,214 TOTAL HEALTH CARE 113,040 ------------ --------------------------------------------------- ------------ MANUFACTURED HOMES--0.8% INDUSTRIAL/OFFICE--21.0% Equity Lifestyle Properties, Inc. 147,611 7,450 --------------------------------------------------- ------------ INDUSTRIAL--5.2% TOTAL RESIDENTIAL 153,664 AMB Property Corp. 656,010 16,761 --------------------------------------------------- ------------ Eastgroup Properties, Inc. 82,880 3,173 ProLogis 1,867,363 25,564 RETAIL--21.9% ------------ 45,498 FREE STANDING--0.6% ------------ National Retail Properties, Inc. 261,395 5,547 ------------ MIXED--3.3% Duke Realty Corp. 888,542 10,814 REGIONAL MALLS--13.3% Liberty Property Trust 578,450 18,516 CBL & Associates Properties, Inc. 230,813 2,232 ------------ Macerich Co. (The) 544,691 19,582 29,330 Simon Property Group, Inc. 1,129,246 90,114 ------------ Taubman Centers, Inc. 146,160 5,248 ------------ OFFICE--12.5% 117,176 Alexandria Real Estate Equities, Inc. 139,038 8,939 ------------ BioMed Realty Trust, Inc. 665,594 10,503 Boston Properties, Inc. 557,143 37,367 SHOPPING CENTERS--8.0% Corporate Office Properties Trust 262,785 9,626 Federal Realty Investments Trust 278,810 18,881 Douglas Emmett, Inc. 198,040 2,822 Kimco Realty Corp. 2,132,855 28,857 Highwoods Properties, Inc. 379,788 12,666 Regency Centers Corp. 153,010 5,365 Mack-Cali Realty Corp. 442,866 15,310 Tanger Factory Outlet Centers 431,900 16,840 SL Green Realty Corp. 258,151 12,969 ------------ ------------ 69,943 110,202 --------------------------------------------------- ------------- --------------------------------------------------- ------------ TOTAL RETAIL 192,666 TOTAL INDUSTRIAL/OFFICE 185,030 --------------------------------------------------- ------------ --------------------------------------------------- ------------ SELF STORAGE--7.1% LODGING/RESORTS--4.8% Extra Space Storage, Inc. 1,117,659 12,909 Host Hotels & Resorts, Inc. 2,638,664 30,793 Public Storage 586,583 47,777 LaSalle Hotel Properties 458,221 9,728 U-Store-It Trust 211,423 1,548 Sunstone Hotel Investors, Inc.(2) 196,731 1,747 --------------------------------------------------- ------------ --------------------------------------------------- ------------ TOTAL SELF STORAGE 62,234 TOTAL LODGING/RESORTS 42,268 --------------------------------------------------- ------------ --------------------------------------------------- ------------ SPECIALTY--6.9% Digital Realty Trust, Inc. 775,321 38,983
See Notes to Schedules of Investments 1 VIRTUS REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
SHARES VALUE ------------ ------------ REAL ESTATE INVESTMENT TRUSTS-- (CONTINUED) Entertainment Properties Trust 207,599 $ 7,322 Plum Creek Timber Co., Inc. 371,711 14,036 --------------------------------------------------- ------------ TOTAL SPECIALTY 60,341 =================================================== ============ TOTAL COMMON STOCKS (IDENTIFIED COST $651,033) 855,283 --------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--97.1% (IDENTIFIED COST $651,033) 855,283 SHORT-TERM OBLIGATIONS--3.1% MONEY MARKET MUTUAL FUNDS--3.1% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.118%) 27,307,383 27,307 --------------------------------------------------- ------------ TOTAL SHORT-TERM OBLIGATIONS (IDENTIFIED COST $27,307) 27,307 --------------------------------------------------- ------------ TOTAL INVESTMENTS--100.2% (IDENTIFIED COST $678,340) 882,590(1) Other assets and liabilities, net--(0.2)% (2,042) ------------ NET ASSETS--100.0% $ 880,548 ============
See Notes to Schedules of Investments 2 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- -------------------------- TOTAL VALUE AT LEVEL 1 DECEMBER 31, QUOTED INVESTMENT IN SECURITIES: 2009 PRICES ------------------------------------- -------------------------- Equity Securities: Common Stocks $ 855,283 $ 855,283 Short-Term Investments 27,307 27,307 Total Investments $ 882,590 $ 882,590
There are no Level 2 (Significant Observable Inputs) and Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ ASSET-BACKED SECURITIES--0.2% HEALTH CARE--0.1% Harley-Davidson Motorcycle Trust Select Medical Corp. 7.625%, 2/1/15 $ 100 $ 98 07-2, C 5.410%, 8/15/15 $ 170 $ 170 ------------ --------------------------------------------------- ------------ INDUSTRIALS--1.3% TOTAL ASSET-BACKED SECURITIES Delta Air Lines, Inc. 00-A1, (IDENTIFIED COST $128) 170 7.379%, 5/18/10 196 195 --------------------------------------------------- ------------ General Maritime Corp. 144A CORPORATE BONDS--10.8% 12.000%, 11/15/17 (4) 250 262 Global Aviation Holdings Ltd. 144A CONSUMER DISCRETIONARY--3.4% 14.000%, 8/15/13 (4) 730 729 Affinia Group, Inc. 144A 10.750%, ------------ 8/15/16 (4) 260 283 1,186 American Axle & Manufacturing ------------ Holdings, Inc. 144A 9.250%, MATERIALS--1.9% 1/15/17 (4) 350 357 Nova Chemicals Corp. 3.649%, Blockbuster, Inc. 144A 11.750%, 11/15/13(3) 910 837 10/1/14 (4) 750 716 Verso Paper Holdings LLC / Verso Eastman Kodak Co. 7.250%, 11/15/13 210 173 Paper, Inc. Harrah's Operating Co., Inc. 144A 144A 11.500%, 7/1/14(4) 365 403 11.250%, 6/1/17 (4) 140 147 Series B, 4.031%, 8/1/14(3) 500 398 Landry's Restaurants, Inc. Series B, 11.375%, 8/1/16 210 170 14.000%, 8/15/11 215 215 ------------ 144A 11.625%, 12/1/15(4) 666 710 1,808 MGM MIRAGE 144A 10.375%, 5/15/14 (4) 47 51 ------------ Nebraska Book Co., Inc. 144A TELECOMMUNICATION SERVICES--1.6% 10.000%, 12/1/11 (4) 615 626 Clearwire Communications ------------ LLC/Clearwire Finance, Inc. 3,278 144A 12.000%, 12/1/15(4) 400 408 ------------ 144A 12.000%, 12/1/15(4) 800 816 CONSUMER STAPLES--0.8% Level 3 Financing, Inc. 4.601%, Smithfield Foods, Inc. 144A 2/15/15(3) 400 304 10.000%, 7/15/14 (4) 400 436 ------------ Yankee Acquisition Corp. Series B, 1,528 8.500%, 2/15/15 300 299 --------------------------------------------------- ------------ ------------ TOTAL CORPORATE BONDS 735 (IDENTIFIED COST $8,116) 10,299 ------------ --------------------------------------------------- ------------ ENERGY--1.1% LOAN AGREEMENTS(3)--83.3% Hercules Offshore, Inc. 144A 10.500%, 10/15/17 (4) 275 292 CONSUMER DISCRETIONARY--24.1% OPTI Canada, Inc. 144A 9.000%, Building Materials Holding Corp. of 12/15/12 (4) 475 488 America Tranche B, 3.000%, Western Refining, Inc. 144A 7.754%, 2/22/14 248 229 6/15/14 (3)(4) 325 292 Cengage Learning Acquisitions, Inc. ------------ Tranche 2.750%, 7/5/14 904 814 1,072 Tranche 0.000%, 6/5/15 500 500 ------------ Ceridian Corp. Tranche 3.257%, FINANCIALS--0.6% 11/8/14 1,165 1,056 Ford Motor Credit Co. LLC Charter Communications Operating 7.500%, 8/1/12 100 101 LLC Tranche B, 2.260%, 3/6/14 944 887 8.700%, 10/1/14 140 147 Clear Channel Communications, Inc. Universal City Development Partners Tranche 0.000%, 1/29/16 850 701 Ltd. CSC Holdings, Inc. Tranche B-2, 144A 8.875%, 11/15/15(4) 45 44 2.025%, 3/29/16 811 796 144A 10.875%, 11/15/16(4) 300 302 Cumulus Media, Inc. Tranche 0.000%, ------------ 6/11/14 375 316 594 Emmis Operating Co. Tranche B, ------------ 4.246%, 11/1/13 698 562
See Notes to Schedules of Investments 1 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ CONSUMER DISCRETIONARY--(CONTINUED) CONSUMER DISCRETIONARY--(CONTINUED) Ford Motor Co. Tranche B-1, 3.265%, VWR Funding, Inc. Tranche 2.731%, 12/15/13 $ 1,052 $ 975 6/29/14 $ 249 $ 224 Getty Images, Inc. Tranche B, ------------ 6.250%, 7/2/15 1,086 1,092 23,007 Harrah's Operating Co., Inc. ------------ Tranche B-2, 3.282%, 1/28/15 530 432 Tranche B-4, 9.500%, 10/31/16 300 301 CONSUMER STAPLES--2.6% Intelsat Jackson Holding Ltd. Reynolds Group Holdings Ltd. Tranche 3.235%, 2/1/14 1,000 908 Tranche 6.250%, 11/5/15 545 549 Intelstat Corp. Rite Aid Corp. Tranche 0.000%, Tranche B2-B, 0.000%, 1/3/14 190 180 6/4/14 1,000 944 Tranche B2-A, 2.735%, 1/3/14 190 180 Spectrum Brands, Inc. Tranche B2-C, 2.735%, 1/3/14 190 180 Tranche 4.000%, 6/30/12 29 29 Isle of Capri Casinos, Inc. Tranche 8.150%, 6/30/12 569 565 Tranche A-DD, 1.988%, 11/25/13 139 131 Yankee Candle Co., Inc. Tranche B, Tranche B-DD, 1.988%, 11/25/13 158 149 2.240%, 2/6/14 454 426 Tranche 2.001%, 11/25/13 396 374 ------------ Lamar Media Corp. Tranche F, 2,513 0.000%, 3/31/14 1,500 1,515 ------------ Landry's Restaurant, Inc. Tranche 8.670%, 11/30/13 894 903 ENERGY--3.2% Las Vegas Sands LLC ATP Oil & Gas Corp. Tranche I-DD, 2.010%, 5/23/14 67 59 Tranche B-2, 11.750%, 1/15/11 111 108 Tranche B, 2.010%, 5/23/14 332 291 Tranche B-1, 11.250%, 7/15/14 716 698 MCC Georgia LLC Tranche E, 0.000%, Helix Energy Solutions Group, Inc. 1/3/16 1,000 1,010 Tranche B, 2.232%, 7/1/13 640 618 Mediacom Illinois LLC Tranche D, Targa Resources, Inc. Tranche 5.500%, 3/31/17 349 351 0.000%, 7/6/16 900 906 MGM MIRAGE 0.000%, 10/3/11 500 468 Venoco, Inc. Tranche 4.250%, Neiman-Marcus Group, Inc. (The) 5/20/14 500 452 Tranche 2.255%, 4/6/13 1,715 1,553 Western Refining, Inc. Tranche Nielsen Finance LLC/ Nielsen 10.750%, 5/30/14 234 224 Finance Co. ------------ Tranche 2.235%, 8/9/13 654 615 3,006 Tranche B, 3.985%, 5/1/16 609 576 ------------ Pilot Travel Centers LLC Tranche B, 0.000%, 1/15/16 325 328 FINANCIALS--8.1% PTI Group, Inc. Tranche 9.250%, CIT Group, Inc. Tranche 13.000%, 2/18/13 80 69 1/18/12 2,100 2,178 Travelport LLC 0.000%, 8/23/13 1,100 1,056 Green Tree Credit Solutions Tranche TRW Automotive Holdings Corp. 8.000%, 12/15/15 600 579 Trance B-3 5.000%, 5/30/16 250 250 Hertz Corp. Univision Communications, Inc. Letter of Credit 1.000%, 12/21/12 115 110 Tranche B, 2.501%, 9/29/14 2,025 1,764 Tranche B, 2.020%, 12/21/12 625 600 VML Properties LLC Tranche 4.760%, Nuveen Investments, Inc. Tranche B, 5/25/12 374 356 0.000%, 11/13/14 1,175 1,035 VML U.S. Finance LLC Tranche B, Pinnacle Foods Finance LLC/ 4.760%, 5/25/13 900 856 Pinnacle Food Finance Corp. Tranche B, 0.000%, 4/2/14 1,100 1,029 Richard Ellis (CB) Group, Inc. 0.000%, 12/20/15 1,036 996 Sungard Data Systems, Inc. Tranche A, 0.000%, 2/28/14 22 21 Synatech, Inc. Tranche 0.000%, 4/2/14 499 414 Universal City Tranche 0.000%, 11/6/14 388 390 Vanguard Health Holdings Co., II LLC Tranche B 0.000%, 9/23/11 404 398 ------------ 7,750 ------------
See Notes to Schedules of Investments 2 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE PAR VALUE VALUE ------------ ------------ ------------ ------------ HEALTH CARE--7.7% INDUSTRIALS--(CONTINUED) Bausch & Lomb, Inc. Reynolds & Reynolds Co. (The) Tranche B, 3.500%, 4/26/14 $ 390 $ 372 Tranche 5.751%, 10/24/13 $ 900 $ 777 Tranche DD, 3.500%, 4/26/14 95 90 ServiceMaster Co. (The) Butler Schein Animal Health Tranche Tranche DD, 2.740%, 7/24/14 175 158 B, 0.000%, 12/31/15 750 722 Tranche B, 2.750%, 7/24/14 1,753 1,591 Community Health Systems, Inc. Sungard Data Systems, Inc. Tranche Tranche B, 2.506%, 7/25/14 1,174 1,115 B, 3.885%, 2/28/16 492 480 Tranche DD, 2.506%, 7/25/14 60 56 Trans Network Services Tranche CRC Health Corp. 2.501%, 2/6/13 497 451 6.000%, 11/18/15 630 631 HCA, Inc. Tranche A-1, 1.751%, Zuffa LLC Tranche 7.500%, 6/19/15 1,036 1,031 11/17/12 973 935 ------------ Health Management Associates, Inc. 11,137 Tranche B, 2.000%, 2/28/14 318 299 ------------ HealthSouth Corp. Tranche 1, 2.510%, 3/10/13 545 521 INFORMATION TECHNOLOGY--9.8% Tranche 2, 2.000%, 3/15/14 448 437 Allen Systems Group, Inc. Psychiatric Solutions, Inc. Tranche Tranche 8.500%, 10/20/13 350 351 B, 2.020%, 7/2/12 828 788 Tranche 6.500%, 4/20/14 150 146 RehabCare Group, Inc. Tranche B, Avaya, Inc. Tranche B-1, 3.010%, 6.000%, 11/24/15 530 526 10/26/14 1,496 1,298 Select Medical Corp. Tranche B-1, CommScope, Inc. Tranche B, 2.741%, 4.017%, 8/22/14 166 162 12/27/14 593 577 Warner Chilcott plc Dresser, Inc. 5.500%, 10/30/14 339 340 Tranche B, 2.521%, 5/4/14 250 234 5.750%, 4/30/15 169 170 PIK Loan 6.006%, 5/4/15 1,400 1,303 5.750%, 4/30/15 373 374 First Data Corp. Tranche B-3, ------------ 3.000%, 9/24/14 1,913 1,700 7,358 Freescale Semiconductor, Inc. ------------ Tranche 1.985%, 12/1/13 1,010 887 Reynolds & Reynolds Co. (The) INDUSTRIALS--11.7% Tranche 2.251%, 10/26/12 903 840 Advanced Disposal Tranche 0.000%, Sensata Technologies BV Tranche 12/23/14 1,500 1,485 2.031%, 4/27/13 1,241 1,112 ARAMARK Corp. Skype Technologies SA Tranche Letter of Credit 1.057%, 1/26/14 51 48 9.000%, 11/19/14 325 334 Tranche 2.123%, 1/26/14 772 732 TowerCo LLC Tranche 6.000%, Harland Clarke Holdings Corp. 11/20/14 500 506 Tranche B, 2.746%, 6/30/14 1,472 1,228 ------------ Hawker Beechcraft, Inc. 9,288 Letter of Credit, 1.125%, 3/26/14 39 30 ------------ Tranche B, 2.244%, 3/26/14 659 498 Language Line Holdings LLC Tranche MATERIALS--9.3% 5.500%, 11/4/15 985 984 Anchor Glass Container Corp. Manitowoc Co., Inc. (The) Tranche Tranche B, 6.750%, 6/20/14 231 232 B, 7.500%, 4/14/14 1,267 1,237 Ashland, Inc. Tranche B, 7.650%, Protection One Alarm Monitoring, 5/13/14 1,757 1,785 Inc. Tranche B-2, 6.250%, 3/31/14 229 227 Berry Plastics Group, Inc. Tranche C, 2.254%, 4/3/15 1,251 1,094 Boise Paper Holdings LLC Tranche B, 5.750%, 2/22/14 427 431 Building Materials Corp. of America Tranche B, 6.063%, 9/15/14 405 370
See Notes to Schedules of Investments 3 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE SHARES VALUE ------------ ------------ ------------ ------------ MATERIALS--(CONTINUED) SHORT-TERM INVESTMENTS--31.1% Celanese Holdings LLC Tranche 2.036%, 4/2/14 $ 438 $ 418 MONEY MARKET MUTUAL FUNDS--31.1% Gentek Holding LLC Tranche 7.000%, BlackRock Liquidity Funds TempFund 10/29/14 260 263 Portfolio - Institutional Shares Hexion Specialty Chemicals (seven-day effective yield 0.118%) 29,671,035 $ 29,671 Tranche 0.000%, 5/5/13 822 723 -------------------------------------------------- ------------ Tranche 0.000%, 5/5/13 178 157 TOTAL SHORT-TERM INVESTMENTS Huntsman TLC Tranche 2.481%, (IDENTIFIED COST $29,671) 29,671 6/30/16 1,000 957 -------------------------------------------------- ------------ Ineos Holdings Ltd. TOTAL INVESTMENTS--125.4% Tranche B-2, 7.500%, 12/16/13 423 385 (IDENTIFIED COST $113,412) 119,536(1) Tranche C-2, 8.000%, 12/16/14 423 387 JohnsonDiversity, Inc. Tranche Other Assets and Liabilities--(25.4)% (24,175) 5.500%, 11/24/15 250 251 ------------ Solutia, Inc. Tranche 7.250%, NET ASSETS--100.0% $ 95,361 2/28/14 1,408 1,433 ============ ------------ 8,886 Abbreviations: ------------ PIK Payment-in-Kind Security TELECOMMUNICATION SERVICES--4.5% Level 3 Communications, Inc. Tranche A, 2.530%, 3/13/14 1,450 1,321 Tranche B, 11.500%, 3/13/14 70 75 MetroPCS Wireless, Inc. Tranche B, 2.521%, 11/3/13 412 395 nTelos, Inc. Tranche 5.750%, 8/7/15 1,481 1,495 Sinclair Telecommunication Tranche 6.500%, 10/29/15 575 578 Time Warner Telecom Holdings, Inc. Tranche B, 1.990%, 1/7/13 464 445 ------------ 4,309 ------------ UTILITIES--2.3% Calpine Corp. Tranche 0.000%, 3/29/14 396 376 NRG Energy, Inc. Tranche B, 0.000%, 2/1/13 520 497 Letter of Credit 0.000%, 2/1/13 306 293 Texas Competitive Electric Holdings Co. LLC Tranche B-3, 0.000%, 10/10/14 1,204 976 ------------ 2,142 -------------------------------------------------- ------------ TOTAL LOAN AGREEMENTS (IDENTIFIED COST $75,497) 79,396 -------------------------------------------------- ------------ TOTAL LONG TERM INVESTMENTS--94.3% (IDENTIFIED COST $83,741) 89,865 -------------------------------------------------- ------------
See Notes to Schedules of Investments 4 The following table provides a summary of inputs used to value the Fund's net assets as of December 31, 2009 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
------------------------------------- ----------------------------------------- TOTAL VALUE LEVEL 2 AT LEVEL 1 SIGNIFICANT DECEMBER 31, QUOTED OBSERVABLE INVESTMENT IN SECURITIES 2009 PRICES INPUTS ------------------------------------- ----------------------------------------- Debt Securities: Asset-Backed Securities $ 170 $ -- $ 170 Corporate Debt 89,695 -- 89,695 Equity Securities: Short-Term Investments 29,671 29,671 -- Total Investments $ 119,536 $ 29,671 $ 89,865
There are no Level 3 (Significant Unobservable Inputs) priced securities. See Notes to Schedules of Investments 1 The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable were used to determine fair value.
Corporate INVESTMENTS IN SECURITIES TOTAL Debt ---------------------------------- ------- ----------- BALANCE AS OF SEPTEMBER 30, 2009: $ 74 $ 74 Accrued Discount/(Premium) --(2) --(2) Realized Gain (Loss) --(2) --(2) Change in Unrealized Appreciation (Depreciation) (6) (6) Net Purchases/(Sales) --(2) --(2) Transfers In and/or Out of Level 3 (1) (68) (68) ------- ----------- BALANCE AS OF DECEMBER 31, 2009 $ -- $ -- ======= ===========
(1) "Transfers in and/or out" represent the ending value as of December 31, 2009, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (2) Amount is less than $500. See Notes to Schedules of Investments VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) NOTE 1-SIGNIFICANT ACCOUNTING POLICIES: The following is a summary of significant accounting policies consistently followed by the Virtus Opportunities Trust, a trust consisting of sixteen diversified funds and two non-diversified funds (each a "Fund"), in the preparation of the Schedules of Investments. The preparation of the Schedules 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 Schedules of Investments. Actual results could differ from those estimates and those differences could be significant. A. SECURITY VALUATION: 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. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Due to continued volatility in the current market, valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. As appropriate, some securities and assets may be valued at fair value as determined in good faith by or under the direction of the Trustees. Certain foreign common stocks 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 foreign markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. In these cases, information from an external vendor may be utilized to adjust closing market prices of certain foreign common stocks to reflect their fair value. Because the frequency of significant events is not predictable, fair valuation of certain foreign common stocks may occur on a frequent basis. Investments in underlying funds are valued at each fund's closing net asset value determined as of the close of business of the New York Stock Exchange (generally 4:00 p.m. Eastern Time) Short-term investments having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market. The Funds utilize a fair value hierarchy, which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels: - Level 1 - quoted prices in active markets for identical securities - 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 Fund's own assumptions in determining the fair value of investments) OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS DECEMBER 31, 2009 (CONTINUED) (UNAUDITED) A summary of the inputs used to value the funds' net assets by each major security type is disclosed at the end of the Schedules of Investments for each Fund. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. B. DERIVATIVE FINANCIAL INSTRUMENTS Disclosures on derivative Instruments and hedging activities are intended to improve financial reporting for derivative instruments by enhanced disclosure that enables 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 the specific types of derivative instruments used by the Funds: FORWARD CURRENCY CONTRACTS: The Funds enter into forward foreign currency contracts in conjunction with the planned purchase or sale of foreign denominated securities in order to hedge the U.S. dollar cost of proceeds. This is done to protect the U.S. Dollar value of the portfolio. Forward currency contracts involve, to varying degrees, elements of market risk in excess of the amounts reflected on the Schedules of Investments. Risks arise from the possible movements in foreign exchange rates or if the counterparty does not perform under the contract. A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are traded directly between currency traders and their customers. WARRANTS AND RIGHTS: Certain Funds hold warrants and rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Fund until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees' approved fair valuation procedures. NOTE 2-ILLIQUID AND RESTRICTED SECURITIES Investments shall be 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 each Fund's Schedule of Investments where applicable. Restricted securities are illiquid securities, as defined above, not registered under the Securities Act of 1933. Generally, 144A securities are excluded from this category, except where defined as illiquid. At December 31, 2009, the Funds held the following illiquid and restricted securities ($ reported in thousands): OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS DECEMBER 31, 2009 (CONTINUED) (UNAUDITED)
Market Value at % Net Assets Acquisition Acquisition December 31, at December Date Cost 2009 31, 2009 ----------- ----------- --------------- ------------ MARKET NEUTRAL FUND Telefonica Moviles S.A. 12/20/01 $ 0 $ 0 0.0% BOND FUND DLJ Mortgage Acceptance Corp. 96-1, PO 144A 0.00I'%, 9/18/11 4/26/04 $ 3 $ 3 0.0% HIGH YIELD FUND Poland Telecom Finance BV Series B 1 14.000%, 12/1/07 11/24/97 $4,942 $ 62 0.0% ACG Holdings, Inc. 12/4/93 358 0 0.0% MULTI-SECTOR SHORT TERM BOND FUND Long Grove Collateral Loan Obligation Ltd. 04-1A, C 144A 2.662%, 5/25/16 5/24/04 $1,614 $822 0.0% 04-1A, D 144A 7.012%, 5/25/16 5/24/04 511 130 0.0
The Funds will bear any costs, including those involved in registration under the Securities Act of 1933, in connection with the disposition of such securities. NOTE 3--FEDERAL INCOME TAX INFORMATION ($ REPORTED IN THOUSANDS) At December 31, 2009, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the funds were as follows:
Net Unrealized Federal Unrealized Unrealized Appreciation Fund Tax Cost Appreciation (Depreciation) (Depreciation) ---- ---------- ------------ -------------- -------------- AlphaSector Allocation Fund $ 36,432 $ 1,587 $ (288) $ 1,299 AlphaSector Rotation Fund 161,568 5,229 (848) 4,381
OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS DECEMBER 31, 2009 (CONTINUED) (UNAUDITED) Alternatives Diversifier Fund 286,842 34,718 (52,701) (17,983) Bond Fund 212,605 8,290 (2,144) 6,146 CA Tax-Exempt Bond Fund 56,179 2,853 (1,731) 1,122 Foreign Opportunities Fund 1,024,170 188,486 (9,783) 178,703 Global Infrastructure Fund 88,625 7,265 (6,490) 775 Global Opportunities Fund 45,994 12,093 (41) 12,052 Global Real Estate Securities Fund 1,761 824 (152) 672 Greater Asia ex Japan Opportunities Fund 5,478 1,812 (51) 1,761 Greater European Opportunities Fund 5,371 1,589 (40) 1,549 High Yield Fund 91,778 6,503 (5,401) 1,102 International Real Estate Securities Fund 32,661 4,659 (7,593) (2,934) Market Neutral Fund (Long positions) 75,901 16,502 (4,392) 12,110 Market Neutral Fund (Short positions) (74,339) 3,859 (8,387) (4,528) Multi-Sector Fixed Income Fund 185,126 10,970 (4,155) 6,815 Multi-Sector Short Term Bond Fund 2,183,200 102,489 (59,632) 42,857 Real Estate Securities Fund 739,147 197,601 (54,158) 143,443 Senior Floating Rate Fund 113,413 6,341 (218) 6,123
NOTE 4--RECENT ACCOUNTING PRONOUNCEMENTS In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 Improving Disclosures about Fair Value Measurements." ASU 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. NOTE 5--SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the series through February 26, 2010, the date the financial statements were available for issuance, and has determined that the following subsequent events require recognition or disclosure in the financial statements. Virtus Distributors, Inc., the Fund's administrator, sub-contracts with PNC Global Investment Servicing (U.S.), Inc. ("PNCGIS") for certain sub-administrative duties. Additionally, PFPC Trust Company provides custodian services to certain Funds. On February 2, 2010, The PNC Financial Services Group, Inc. ("PNC") entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS DECEMBER 31, 2009 (CONTINUED) (UNAUDITED) Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, PNC will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC Global Investment Servicing Inc., an indirect, wholly-owned subsidiary of PNC. The Stock Sale includes PNCGIS and PFPC Trust Company and is expected to close in the third quarter of 2010. OTHER INFORMATION REGARDING EACH 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 Opportunities Trust ------------------------------------------------------------------- By (Signature and Title)* /s/ George R. Aylward ------------------------------------------------------- George R. Aylward, President (principal executive officer) Date February 25, 2010 ---------------------------------------------------------------------------- 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 February 25, 2010 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ W. Patrick Bradley ------------------------------------------------------- W. Patrick Bradley, Chief Financial Officer and Treasurer (principal financial officer) Date February 23, 2010 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.