-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KT6xi0k8i1eKHUmPAHslzI+xSbeSQR1PCnvAnVM1dD0pG9u9SJEIJeoBIsv/tbbT 8WEuEe+VBb3Pq8P5ouQPww== 0000950123-10-082148.txt : 20100830 0000950123-10-082148.hdr.sgml : 20100830 20100830140659 ACCESSION NUMBER: 0000950123-10-082148 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20100630 FILED AS OF DATE: 20100830 DATE AS OF CHANGE: 20100830 EFFECTIVENESS DATE: 20100830 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VIRTUS OPPORTUNITIES TRUST CENTRAL INDEX KEY: 0001005020 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07455 FILM NUMBER: 101046316 BUSINESS ADDRESS: STREET 1: 101 MUNSON STREET CITY: GREENFIELD STATE: MA ZIP: 01301 BUSINESS PHONE: 800-243-1574 MAIL ADDRESS: STREET 1: 100 PEARL STREET CITY: HARTFORD STATE: CT ZIP: 06103 FORMER COMPANY: FORMER CONFORMED NAME: PHOENIX OPPORTUNITIES TRUST DATE OF NAME CHANGE: 20060127 FORMER COMPANY: FORMER CONFORMED NAME: PHOENIX SENECA FUNDS DATE OF NAME CHANGE: 19990122 FORMER COMPANY: FORMER CONFORMED NAME: SENECA FUNDS DATE OF NAME CHANGE: 19951218 0001005020 S000001336 VIRTUS BOND FUND C000003572 CLASS A SAVAX C000003573 CLASS B SAVBX C000003574 CLASS C SAVCX C000003575 CLASS I SAVYX 0001005020 S000018001 VIRTUS CA TAX-EXEMPT BOND FUND C000049899 Class A CTESX C000049900 Class I CTXEX 0001005020 S000018002 VIRTUS REAL ESTATE SECURITIES FUND C000049901 Class A PHRAX C000049902 Class B PHRBX C000049903 Class C PHRCX C000049904 Class I PHRIX 0001005020 S000018005 VIRTUS HIGH YIELD FUND C000049911 Class B PHCCX C000049912 Class C PGHCX C000049913 Class A PHCHX 0001005020 S000018007 VIRTUS MULTI-SECTOR FIXED INCOME FUND C000049915 Class A NAMFX C000049916 Class B NBMFX C000049917 Class C NCMFX C000081781 Class I VMFIX 0001005020 S000018008 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND C000049918 Class A NARAX C000049919 Class B PBARX C000049920 Class C PSTCX C000049921 Class T PMSTX C000066828 Class I Shares PIMSX 0001005020 S000018009 VIRTUS GLOBAL INFRASTRUCTURE FUND C000049922 Class A PGUAX C000049923 Class C PGUCX C000066829 Class I Shares PGIUX 0001005020 S000018010 VIRTUS MARKET NEUTRAL FUND C000049924 Class A EMNAX C000049925 Class B EMNBX C000049926 Class C EMNCX C000081782 Class I 0001005020 S000018969 VIRTUS FOREIGN OPPORTUNITIES FUND C000052519 Class A JVIAX C000052520 Class C JVICX C000052521 Class I JVXIX 0001005020 S000018970 VIRTUS INTERNATIONAL REAL ESTATE SECURITIES FUND C000052522 Class A PXRAX C000052523 Class C PXRCX C000052524 Class I PXRIX 0001005020 S000018972 VIRTUS GLOBAL OPPORTUNITIES FUND C000052528 Class A NWWOX C000052529 Class B WWOBX C000052530 Class C WWOCX 0001005020 S000018974 VIRTUS ALPHASECTOR ROTATION FUND C000052533 Class A PWBAX C000052534 Class C PWBCX C000081783 Class I 0001005020 S000018975 VIRTUS ALPHASECTOR ALLOCATION FUND C000052535 Class A PSWAX C000052536 Class C PSWCX C000081784 Class I 0001005020 S000018976 VIRTUS ALTERNATIVES DIVERSIFIER FUND C000052537 Class A PDPAX C000052538 Class C PDPCX C000081785 Class I 0001005020 S000020772 VIRTUS SENIOR FLOATING RATE FUND C000058006 Class A PSFRX C000058007 Class C PFSRX C000058008 Class I PSFIX 0001005020 S000025108 Virtus Global Real Estate Securities Fund C000074732 Class A VGSAX C000074733 Class C VGSCX C000074734 Class I VGISX 0001005020 S000025109 Virtus Greater Asia ex Japan Opportunities Fund C000074735 Class A VGAAX C000074736 Class C VGACX C000074737 Class I VGAIX 0001005020 S000025110 Virtus Greater European Opportunities Fund C000074738 Class A VGEAX C000074739 Class C VGECX C000074740 Class I VGEIX N-Q 1 b06699virtusoppstrust_nq.txt VIRTUS OPPORTUNITIES TRUST N-Q 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: June 30, 2010 ------------- 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 FOOTNOTE LEGEND June 30, 2010 (UNAUDITED) (1) Federal Income Tax Information: For tax information at June 30, 2010, 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 $ 17,530 8.9% High Yield Fund 20,855 23.1 Multi-Sector Fixed Income Fund 45,445 22.9 Multi-Sector Short-Term Bond Fund 588,662 20.2 Senior Floating Rate Fund 7,361 5.0
(5) Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933. (6) Illiquid security (7) Illiquid and restricted security. (8) Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security could be disclosed as a level 3 security in the disclosure table located after the Schedule of Investments. (9) At June 30, 2010, the concentration of the Fund's investments by state or territory determined as a percentage of net assets is as follows: California 99.09%. At June 30, 2010, 74.3% 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 28.7%, GNMA 13.2%, AMBAC 11.8%, and AGM 11.3% (10) Shares traded on NYSE. (11) Shares traded on Toronto exchange. (12) Security in default. (13) Amount is less than $500. (14) All or a portion of security on loan. (15) Represents security purchased with cash collateral received for securities on loan. (16) Affiliated Fund. (17) Escrowed to maturity. (18) All or a portion segregated as collateral. VIRTUS ALPHASECTOR ALLOCATION FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- MUTUAL FUNDS--25.7% FIXED INCOME FUNDS--25.7% Virtus Bond Fund Class I(16) 848,276 $ 9,365 --------------- TOTAL MUTUAL FUNDS (IDENTIFIED COST $8,881) 9,365 --------------- EXCHANGE-TRADED FUNDS--73.6% Consumer Discretionary Select Sector SPDR Fund(14) 111,805 3,257 Consumer Staples Select Sector SPDR Fund 136,135 3,472 Energy Select Sector SPDR Fund 67,800 3,368 Financial Select Sector SPDR Fund 244,910 3,382 Industrial Select Sector SPDR Fund 120,970 3,321 Materials Select Sector SPDR Fund 118,840 3,370 Technology Select Sector SPDR Fund 162,705 3,319 Utilities Select Sector SPDR Fund 118,685 3,354 --------------- TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $27,459) 26,843 --------------- TOTAL LONG TERM INVESTMENTS--99.3% (IDENTIFIED COST $36,340) 36,208 --------------- SHORT-TERM INVESTMENTS--9.3% MONEY MARKET MUTUAL FUNDS--9.3% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 275,798 276 BlackRock Institutional Money Market Trust (seven-day effective yield 0.293%).(15) 1,217,723 1,218 BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares (seven-day effective yield 0.197%).(15) 1,882,277 1,882 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $3,376) 3,376 --------------- TOTAL INVESTMENTS--108.6% (IDENTIFIED COST $39,716) 39,584(1) Other assets and liabilities, net--(8.6)% (3,150) --------------- NET ASSETS--100.0% $ 36,434 ===============
ABBREVIATIONS: SPDR S&P Depositary Receipt. 1 Virtus AlphaSector Allocation Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
TOTAL VALUE AT LEVEL 1 JUNE 30, 2010 QUOTED PRICES -------------- ------------- Equity Securities: Exchange-Traded Funds $26,843 $26,843 Mutual Funds 9,365 9,365 Short-Term Investments 3,376 3,376 ------- ------- Total Investments $39,584 $39,584 ======= =======
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable) priced securities. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS ALPHASECTOR ROTATION FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- EXCHANGE-TRADED FUNDS--100.2% Consumer Discretionary Select Sector SPDR Fund(14) 1,668,300 $ 48,598 Consumer Staples Select Sector SPDR Fund 2,031,000 51,790 Energy Select Sector SPDR Fund 1,011,200 50,236 Financial Select Sector SPDR Fund(14) 3,647,700 50,375 Industrial Select Sector SPDR Fund 1,804,800 49,542 Materials Select Sector SPDR Fund 1,773,200 50,288 Technology Select Sector SPDR Fund 2,426,900 49,509 Utilities Select Sector SPDR Fund 1,770,700 50,040 --------------- TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $417,453) 400,378 --------------- TOTAL LONG TERM INVESTMENTS--100.2% (IDENTIFIED COST $417,453) 400,378 --------------- SHORT-TERM INVESTMENTS--9.7% MONEY MARKET MUTUAL FUNDS--9.7% BlackRock Institutional Money Market Trust (seven-day effective yield 0.293%).(15) 15,270,638 15,271 BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.197%).(15) 23,604,362 23,604 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $38,875) 38,875 --------------- TOTAL INVESTMENTS--109.9% (IDENTIFIED COST $456,328) 439,253(1) Other assets and liabilities, net--(9.9)% (39,432) --------------- NET ASSETS--100.0% $ 399,821 ===============
ABBREVIATIONS: SPDR S&P Depositary Receipt. 1 Virtus AlphaSector Rotation Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
TOTAL VALUE AT LEVEL 1 JUNE 30, 2010 QUOTED PRICES -------------- ------------- Equity Securities: Exchange-Traded Funds $400,378 $400,378 Short-Term Investments 38,875 38,875 -------- -------- Total Investments $439,253 $439,253 ======== ========
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable) priced securities. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS ALTERNATIVES DIVERSIFIER FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- MUTUAL FUNDS(16)--65.1% EQUITY FUNDS--54.6% Virtus Global Infrastructure Fund Class I 3,764,756 $ 34,937 Virtus International Real Estate Securities Fund Class I 4,470,369 22,754 Virtus Market Neutral Fund Class I(2) 4,382,447 45,709 Virtus Real Estate Securities Class I 959,622 22,177 --------------- 125,577 --------------- FIXED INCOME FUNDS--10.5% Virtus Senior Floating Rate Fund Class I 2,512,359 24,169 --------------- TOTAL MUTUAL FUNDS (IDENTIFIED COST $158,381) 149,746 --------------- EXCHANGE-TRADED FUNDS--34.6% iShares S&P North American Natural Resources Sector Index Fund 706,300 21,782 PowerShares DB Commodity Index Tracking Fund(2) 1,621,990 34,987 PowerShares DB G10 Currency Harvest Fund(2) 1,043,102 22,729 --------------- TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $92,938) 79,498 --------------- TOTAL LONG TERM INVESTMENTS--99.7% (IDENTIFIED COST $251,319) 229,244 --------------- TOTAL INVESTMENTS--99.7% (IDENTIFIED COST $251,319) 229,244(1) Other assets and liabilities, net--0.3% 707 --------------- NET ASSETS--100.0% $ 229,951 ===============
1 Virtus Alternatives Diversifier Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
TOTAL VALUE AT LEVEL 1 JUNE 30, 2010 QUOTED PRICES -------------- ------------- Equity Securities: Exchange-Traded Funds $ 79,498 $ 79,498 Mutual Funds 149,746 149,746 -------- -------- Total Investments 229,244 229,244 ======== ========
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable) priced securities. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS BOND FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- U.S. GOVERNMENT SECURITIES--6.3% U.S. Treasury Bond 3.500%, 2/15/39 $ 11,365 $ 10,557 U.S. Treasury Note 1.000%, 12/31/11 160 161 2.625%, 6/30/14 890 930 3.250%, 12/31/16 495 522 3.625%, 2/15/20 270 285 --------------- TOTAL U.S. GOVERNMENT SECURITIES (IDENTIFIED COST $11,161) 12,455 --------------- MUNICIPAL BONDS--0.6% MICHIGAN--0.1% City of Flat Rock Finance Authority Taxable Series A, 6.750%, 10/1/16 95 101 --------------- RHODE ISLAND--0.5% City of Woonsocket Pension Funding Taxable (AGM Insured) 5.660%, 7/15/13 1,000 1,075 --------------- TOTAL MUNICIPAL BONDS (IDENTIFIED COST $1,128) 1,176 --------------- MORTGAGE-BACKED SECURITIES--35.3% AGENCY--26.7% FHLMC 7.500%, 4/1/14 19 21 7.000%, 4/1/16 22 24 7.000%, 1/1/33 181 204 6.000%, 10/1/34 356 390 5.000%, 1/1/35 1,025 1,090 5.000%, 7/1/35 3,957 4,196 FHLMC REMICs JA-2777 4.500%, 11/15/17 312 323 CH-2904 4.500%, 4/15/19 954 998 FNMA 7.000%, 5/1/14 13 14 6.000%, 10/1/14 191 207 8.000%, 1/1/15 3 3 6.500%, 6/1/16 133 145 6.000%, 7/1/17 67 73 5.500%, 9/1/17 169 183 4.500%, 12/1/18 1,107 1,170 4.500%, 3/1/20 180 190 5.000%, 4/1/20 281 301
PAR VALUE VALUE --------------- --------------- AGENCY--(CONTINUED) 4.500%, 5/1/20 $ 494 $ 522 4.000%, 6/1/20 303 320 4.500%, 11/1/20 1,642 1,735 5.000%, 8/1/21 104 111 6.508%, 3/25/29 1,122 1,274 6.000%, 5/1/29 158 175 6.500%, 7/1/29 280 312 6.500%, 5/1/30 6 6 7.500%, 3/1/31 111 127 7.000%, 7/1/31 74 84 7.000%, 9/1/31 123 139 6.500%, 2/1/32 254 283 6.500%, 3/1/32 115 129 5.500%, 4/1/33 144 156 5.000%, 5/1/33 1,628 1,731 5.500%, 6/1/33 1,131 1,220 5.500%, 7/1/33 1,013 1,093 5.000%, 9/1/33 255 271 6.000%, 11/1/34 1,949 2,138 5.500%, 5/1/35 2,213 2,378 5.500%, 12/1/35 229 247 5.500%, 3/1/36 472 507 5.500%, 4/1/36 376 404 6.390%, 5/25/36 927 1,048 6.000%, 6/1/36 269 295 5.500%, 9/1/36 1,759 1,895 6.000%, 9/1/36 222 242 5.500%, 11/1/36 294 317 6.000%, 3/1/37 280 304 6.000%, 9/1/37 48 52 6.000%, 10/1/37 336 365 6.000%, 1/1/38 119 130 6.000%, 2/1/38 121 131 6.000%, 2/1/38 35 38 6.000%, 2/1/38 86 94 6.000%, 2/1/38 159 172 6.000%, 3/1/38 689 749 6.500%, 3/1/38 5,709 6,360 5.500%, 4/1/38 406 436 6.000%, 5/1/38 177 192 5.500%, 6/1/38 695 747 6.000%, 7/1/38 3,915 4,251
1 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- AGENCY--(CONTINUED) 5.500%, 8/1/38 $ 1,540 $ 1,655 6.000%, 8/1/38 293 318 6.000%, 8/1/38 516 561 6.000%, 8/1/38 1,765 1,917 6.000%, 8/13/38 146 159 FNMA REMICs 03-42, HC 4.500%, 12/25/17 371 389 GNMA 8.500%, 11/15/22 1 1 6.500%, 9/15/28 138 155 7.500%, 9/15/29 141 160 5.000%, 7/15/33 1,439 1,547 6.000%, 6/15/34 246 270 10-16, A 3.214%, 1/16/40 2,864 2,949 --------------- 52,793 --------------- NON-AGENCY--8.6% American Tower Trust 07-1A, AFX 144A 5.420%, 4/15/37 (4) 190 205 Banc of America Commercial Mortgage, Inc. 05-1, A4 5.051%, 11/10/42 (3) 290 305 Bear Stearns Commercial Mortgage Securities 04-T16, A6 4.750%, 2/13/46 260 267 Commercial Mortgage Pass-Through Certificates 05-C6, A4 5.168%, 6/10/44 315 336 07-C9, A4 6.010%, 12/10/49(3) 675 698 Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.548%, 2/15/39(3) 100 106 06-C4, A3 5.467%, 9/15/39 2,080 2,044 06-C5, A3 5.311%, 12/15/39 440 435 DLJ Mortgage Acceptance Corp. 96-I, (Principal Only) 144A 0.000%, 9/18/11 (4)(7) 2 2 Greenwich Capital Commercial Funding Corp. 07-GG9, A4 5.444%, 3/10/39 2,100 2,104 Lehman Brothers - UBS Commercial Mortgage Trust 06-C7, A3 5.347%, 11/15/38 1,955 2,017 Morgan Stanley Capital I 04-T15, A3 5.030%, 6/13/41 490 508 06-T23, A4 5.810%, 8/12/41(3) 1,030 1,103 07-T27, A4 5.649%, 6/11/42(3) 1,050 1,100 05-IQ9, A3 4.540%, 7/15/56 645 652 OBP Depositor LLC Trust 10-OBP, A 144A 4.646%, 7/15/45 (4) 870 886
PAR VALUE VALUE --------------- --------------- NON-AGENCY--(CONTINUED) Paine Webber Mortgage Acceptance Corp. 99-C1, D 7.150%, 6/15/32 $ 87 $ 87 Wachovia Bank Commercial Mortgage Trust 05-C19, A5 4.661%, 5/15/44 3,145 3,236 07-C34, A3 5.678%, 5/15/46 810 814 --------------- 16,905 --------------- TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $65,559) 69,698 --------------- ASSET-BACKED SECURITIES--0.0% Capital Auto Receivables Asset Trust Series 06-2, A3A 4.980%, 5/15/11 2 2 Carmax Auto Owner Trust 07-2, A3 5.230%, 12/15/11 51 52 --------------- TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $53) 54 --------------- CORPORATE BONDS--51.7% CONSUMER DISCRETIONARY--5.7% Affinion Group, Inc. 10.125%, 10/15/13 560 577 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 7.625%, 5/15/14 610 590 Cablevision Systems Corp. 144A 8.000%, 4/15/20 (4) 85 87 Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17 (4) 360 360 Comcast Corp. 5.700%, 7/1/19 980 1,077 Discovery Communications LLC 3.700%, 6/1/15 465 477 Echostar DBS Corp. 7.125%, 2/1/16 530 534 Fortune Brands, Inc. 3.000%, 6/1/12 910 921 Hasbro, Inc. 6.300%, 9/15/17 135 140 NBC Universal, Inc. 144A 3.650%, 4/30/15(4) 400 409 144A 5.150%, 4/30/20(4) 1,000 1,043 Nebraska Book Co., Inc. 10.000%, 12/1/11 1,125 1,131 Scientific Games International, Inc. 9.250%, 6/15/19 700 719 Sinclair Broadcast Group, Inc. 8.000%, 3/15/12(14) 785 768 Time Warner Cable, Inc. 5.000%, 2/1/20 815 834 United Artists Theatre Circuit, Inc. Series BD-1 9.300%, 7/1/15 (6)(8) 23 21
2 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 144A 8.125%, 12/1/17 (4) $ 1,120 $ 1,103 WMG Holdings Corp. 9.500%, 12/15/14(3)(14) 485 485 --------------- 11,276 --------------- CONSUMER STAPLES--3.0% Alliance One International, Inc. 144A 10.000%, 7/15/16 (4) 725 741 Altria Group, Inc. 9.250%, 8/6/19 495 618 Anheuser-Busch Inbev Worldwide, Inc. 3.000%, 10/15/12 900 924 Delhaize Group 6.500%, 6/15/17 725 835 Kraft Foods, Inc. 5.625%, 11/1/11 545 574 2.625%, 5/8/13 360 367 6.125%, 2/1/18 535 607 Philip Morris International, Inc. 6.875%, 3/17/14 275 318 Reynolds American, Inc. 6.750%, 6/15/17 95 103 Stater Brothers Holdings, Inc. 8.125%, 6/15/12 940 945 --------------- 6,032 --------------- ENERGY--2.9% Bristow Group, Inc. 6.125%, 6/15/13 175 173 Chesapeake Energy Corp. 7.250%, 12/15/18 245 254 Enbridge Energy Partners LP 5.875%, 12/15/16 350 381 Energy Transfer Partners LP 8.500%, 4/15/14 755 875 6.700%, 7/1/18 570 613 EOG Resources, Inc. 6.875%, 10/1/18 360 438 Harvest Operations Corp. 7.875%, 10/15/11 915 926 Kinder Morgan Energy Partners LP 5.850%, 9/15/12 415 445 9.000%, 2/1/19 500 622 Petroleos Mexicanos 144A 4.875%, 3/15/15 (4) 390 404 Petropower I Funding Trust 144A 7.360%, 2/15/14 (4) 79 80 Plains All American Pipeline LP / Plains All American Finance Corp. 4.250%, 9/1/12 215 225 TransCanada Pipelines Ltd. 6.350%, 5/15/67(3) 300 267 --------------- 5,703 --------------- FINANCIALS--23.5% Ally Financial, Inc. 0.000%, 6/15/15 590 372 American Express Co. 7.250%, 5/20/14 795 904
PAR VALUE VALUE --------------- --------------- FINANCIALS--(CONTINUED) Bank of America Corp. 5.750%, 8/15/16 $ 960 $ 995 5.750%, 12/1/17 960 996 5.625%, 7/1/20 870 877 Bank of New York Mellon Corp. (The) 4.950%, 11/1/12 115 125 Barclays Bank plc Series 1, 5.000%, 9/22/16 985 1,010 144A 10.179%, 6/12/21(4) 560 701 Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18 785 917 Capital One Capital VI 8.875%, 5/15/40 320 333 Capital One Financial Corp. 5.700%, 9/15/11 620 645 7.375%, 5/23/14 365 417 6.150%, 9/1/16 625 661 Chubb Corp. 6.375%, 3/29/67(3) 420 403 Citigroup, Inc. 5.000%, 9/15/14 1,745 1,745 4.875%, 5/7/15 280 278 Credit Suisse First Boston 6.000%, 2/15/18 630 657 Credit Suisse Guernsey Ltd. 5.860%, 11/15/49(3) 815 719 Credit Suisse USA, Inc. 5.850%, 8/16/16 135 149 CVS Pass-Through Trust 144A 7.507%, 1/10/32 (4) 318 362 Duke Realty LP 5.950%, 2/15/17 950 970 Export-Import Bank of Korea 5.500%, 10/17/12 135 143 Ford Motor Credit Co. LLC 7.500%, 8/1/12 625 639 General Electric Capital Corp. 2.800%, 1/8/13 1,340 1,355 5.500%, 1/8/20 1,130 1,194 Genworth Global Funding Trusts 5.125%, 3/15/11 925 942 Goldman Sachs Group, Inc. (The) 6.000%, 6/15/20 470 485 Household Finance Co. 8.000%, 7/15/10 300 300 Icahn Enterprises LP / Icahn Enterprises Finance Corp. 144A 8.000%, 1/15/18 (4)(14) 1,305 1,272 ICICI Bank Ltd. RegS 5.750%, 11/16/10(5) 105 106 ING Capital Funding Trust III 8.439%, 12/31/49(3) 1,060 928 International Lease Finance Corp. 144A 8.625%, 9/15/15(4) 100 95 144A 8.750%, 3/15/17(4) 460 437 JPMorgan Chase & Co. 5.750%, 1/2/13 1,020 1,097 5.125%, 9/15/14 860 918
3 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- FINANCIALS--(CONTINUED) 3.700%, 1/20/15 $ 620 $ 634 Series 1, 7.900%, 12/31/49(3) 395 407 Lincoln National Corp. 5.650%, 8/27/12 1,195 1,264 Macquarie Group Ltd. 144A 7.300%, 8/1/14 (4) 870 959 MetLife, Inc. 6.750%, 6/1/16 210 238 Metropolitan Life Global Funding I 144A 2.875%, 9/17/12 (4) 980 1,003 Morgan Stanley 6.000%, 4/28/15 615 643 6.625%, 4/1/18 1,215 1,273 Protective Life Secured Trust 4.000%, 4/1/11 1,670 1,704 Prudential Financial, Inc. 3.625%, 9/17/12 820 845 6.200%, 1/15/15 505 556 7.375%, 6/15/19 520 602 8.875%, 6/15/38(3) 605 638 Rabobank Nederland NV 144A 11.000%, 12/31/49 (3)(4) 425 525 Regions Financial Corp. 0.707%, 6/26/12(3) 1,935 1,821 4.875%, 4/26/13 560 563 5.750%, 6/15/15 560 556 Resona Bank Ltd. 144A 5.850%, 9/29/49 (3)(4) 985 931 Royal Bank of Scotland Group plc 6.400%, 10/21/19 490 497 Santander Issuances S.A Unipersonal 144A 5.911%, 6/20/16 (4) 1,085 1,089 Simon Property Group LP 6.750%, 5/15/14 1,090 1,225 SunTrust Banks, Inc. 5.250%, 11/5/12 310 325 Teachers Insurance & Annuity Association of America 144A 6.850%, 12/16/39 (4) 480 559 UBS Preferred Funding Trust I 8.622%, 10/29/49(3) 600 586 UDR, Inc. 5.250%, 1/15/15 150 153 Wachovia Corp. 4.875%, 2/15/14 200 209 5.750%, 2/1/18 570 624 WEA Finance LLC/WCI Finance LLC 144A 5.700%, 10/1/16 (4) 1,065 1,134 Wells Fargo Capital XIII 7.700%, 3/26/13(3) 460 465 Westfield Capital Corp. Ltd./ Westfield Finance Authority 144A 5.125%, 11/15/14 (4) 150 157 --------------- 46,332 ---------------
PAR VALUE VALUE --------------- --------------- HEALTH CARE--1.9% Boston Scientific Corp. 6.000%, 1/15/20 $ 865 $ 860 Express Scripts, Inc. 5.250%, 6/15/12 775 828 7.250%, 6/15/19 245 296 Pfizer, Inc. 4.450%, 3/15/12 625 660 Teva Pharmaceutical Finance II BV/Teva Pharmaceutical Finance III LLC 3.000%, 6/15/15 750 765 Thermo Fisher Scientific, Inc. 2.150%, 12/28/12 435 440 --------------- 3,849 --------------- INDUSTRIALS--3.5% ARAMARK Corp. 8.500%, 2/1/15 495 502 Case New Holland, Inc. 7.125%, 3/1/14 640 662 Corrections Corp. of America 7.750%, 6/1/17 1,020 1,063 DI Finance/DynCorp International, Inc. Series B 9.500%, 2/15/13 2,935 3,027 DynCorp International, Inc. 144A 10.375%, 7/1/17 (4) 210 212 Hutchison Whampoa International Ltd. 144A 5.750%, 9/11/19 (4) 435 464 Travelport LLC 9.875%, 9/1/14 975 982 --------------- 6,912 --------------- INFORMATION TECHNOLOGY--1.2% Fiserv, Inc. 6.125%, 11/20/12 920 1,009 Intuit, Inc. 5.750%, 3/15/17 430 473 Viasat, Inc. 8.875%, 9/15/16 105 107 Xerox Corp. 4.250%, 2/15/15 680 704 --------------- 2,293 --------------- MATERIALS--1.8% Ball Corp. 6.750%, 9/15/20 245 249 Dow Chemical Co. (The) 6.000%, 10/1/12 1,050 1,129 5.900%, 2/15/15 970 1,060 Holcim U.S. Finance S.A.R.L. & Cie S.C.S 144A 6.000%, 12/30/19 (4) 435 464 Huntsman International LLC 144A 8.625%, 3/15/20 (4) 110 102 Solutia, Inc. 7.875%, 3/15/20 510 511 --------------- 3,515 ---------------
4 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- TELECOMMUNICATION SERVICES--4.9% Alltel Corp. 7.000%, 7/1/12 $ 350 $ 387 France Telecom SA 4.375%, 7/8/14 355 383 GCI, Inc. 144A 8.625%, 11/15/19 (4) 745 747 Global Crossing Ltd. 144A 12.000%, 9/15/15 (4) 550 586 NII Capital Corp. 8.875%, 12/15/19 910 924 Qwest Corp. 7.875%, 9/1/11 1,055 1,097 SBC Communications 5.875%, 2/1/12 130 139 Sprint Capital Corp. 8.375%, 3/15/12 1,045 1,101 Telcordia Technologies, Inc. 144A 11.000%, 5/1/18 (4) 430 411 Telecom Italia Capital SA 5.250%, 10/1/15 215 217 6.999%, 6/4/18 95 101 7.175%, 6/18/19 615 662 Telefonica Emisiones 5.134%, 4/27/20 795 797 Telefonica Emisiones SAU 5.984%, 6/20/11 1,080 1,120 Virgin Media Finance plc 8.375%, 10/15/19 545 554 Windstream Corp. 7.000%, 3/15/19 435 403 --------------- 9,629 --------------- UTILITIES--3.3% Appalachian Power Co. 5.550%, 4/1/11 810 834 Atmos Energy Corp. 6.350%, 6/15/17 465 517 CMS Energy Corp. 6.250%, 2/1/20 760 727 Dominion Resources, Inc. 8.875%, 1/15/19 180 238 FirstEnergy Solutions Corp. 6.050%, 8/15/21 435 444 Florida Power Corp. 6.650%, 7/15/11 520 547 Georgia Power Co. 6.000%, 11/1/13 335 379 Nevada Power Co. Series O 6.500%, 5/15/18 730 833 Pacific Gas & Electric Co. 8.250%, 10/15/18 650 832 Sempra Energy 6.500%, 6/1/16 40 46 South Carolina Electric & Gas Co. 6.500%, 11/1/18 310 370 Virginia Electric & Power Co. Series A 5.400%, 1/15/16 645 720 --------------- 6,487 --------------- TOTAL CORPORATE BONDS (IDENTIFIED COST $97,211) 102,028 --------------- LOAN AGREEMENTS(3)--2.1% CONSUMER DISCRETIONARY--0.5% KAR Holdings, Inc. Tranche 3.047%, 10/19/13 1,000 952 ---------------
PAR VALUE VALUE --------------- --------------- CONSUMER STAPLES--0.3% Roundy's Supermarkets, Inc. Tranche 10.000%, 4/16/16 $ 500 $ 503 --------------- FINANCIALS--0.3% AGFS Funding Co. Tranche 7.250%, 4/21/15 575 561 --------------- HEALTH CARE--0.5% Biomet, Inc. Tranche B, 3.290%, 3/25/15 997 958 --------------- INFORMATION TECHNOLOGY--0.1% Reynolds & Reynolds Co. (The) Tranche B 5.250%, 4/21/17 238 236 --------------- UTILITIES--0.4% Calpine Corp. Tranche, 3.165%, 3/29/14 915 841 --------------- TOTAL LOAN AGREEMENTS (IDENTIFIED COST $4,171) 4,051 --------------- TOTAL LONG TERM INVESTMENTS--96.0% (IDENTIFIED COST $179,283) 189,462 ---------------
SHARES VALUE --------------- --------------- SHORT-TERM INVESTMENTS--5.4% MONEY MARKET MUTUAL FUNDS--5.4% BlackRock Institutional Money Market Trust (seven-day effective yield 0.293%).(15) 998,865 999 BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares (seven-day effective yield 0.197%).(15) 1,543,980 1,544 BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 8,181,621 8,182 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $10,725) 10,725 --------------- TOTAL INVESTMENTS--101.4% (IDENTIFIED COST $190,008) 200,187(1) Other Assets and Liabilities--(1.4)% (2,729) --------------- NET ASSETS--100.0% $ 197,458 ===============
ABBREVIATIONS: AGM Assured Guaranty Municipal Corp. FHLMC Federal Home Loan Mortgage Corporation ("Freddie Mac"). FNMA Federal National Mortgage Association ("Fannie Mae"). GNMA Government National Mortgage Association ("Ginnie Mae") 5 VIRTUS BOND FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 92% Australia 1 Canada 1 Germany 1 Spain 1 United Kingdom 1 Other 3 --- Total 100% ===
+ % of total investments as of June 30, 2010 6 Virtus Bond Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS -------------- ------------- ----------- ------------ Debt Securities: Asset-Backed Securities $ 54 $ -- $ 54 $-- Corporate Debt 102,028 -- 102,007 21 Loan Agreements 4,051 -- 4,051 -- Mortgage-Backed Securities 69,698 -- 69,698 -- Municipal Securitiea 1,176 -- 1,176 -- U.S. Government Securities 12,455 -- 12,455 -- Equity Securities: Short-Term Investments 10,725 10,725 -- -- -------- ------- -------- --- Total Investments 200,187 10,725 189,441 21 ======== ======= ======== ===
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | Bond Fund The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Mortgage- Backed Corporate INVESTMENTS IN SECURITIES TOTAL Securities Debt - ------------------------- -------- ---------- --------- BALANCE AS OF SEPTEMBER 30, 2009: $ 248 $ 139 $109 Accrued Discount/(Premium) 1 --(2) 1 Realized Gain (Loss) --(2) --(2) --(b) Change in Unrealized Appreciation (Depreciation) 1 1 --(b) Net Purchases/(Sales)(c) (149) (140) (9) Transfers In and/or Out of Level 3(a) (80) -- (80) ----- ----- ---- BALANCE AS OF JUNE 30, 2010 $ 21 $ -- $ 21 ===== ===== ====
(a) "Transfers in and/or out" represent the ending value as of June 30. 2010, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (b) Amount is less than $500. (c) Includes paydowns on securities. VIRTUS CA TAX-EXEMPT BOND FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- MUNICIPAL TAX-EXEMPT BONDS(9)--99.0% DEVELOPMENT REVENUE--5.9% Hercules Redevelopment Agency Tax-Allocation (AMBAC Insured) 5.000%, 8/1/29 $ 500 $ 375 Ontario Redevelopment Financing Authority (NATL Insured) 6.900%, 8/1/10 70 70 5.250%, 8/1/13 500 519 San Diego Redevelopment Agency (AMBAC Insured) Series B 5.350%, 9/1/24 1,000 1,002 Series A 4.750%, 9/1/30 500 459 Santa Clara Redevelopment Agency Tax Allocation (NATL Insured) 5.000%, 6/1/22 1,000 997 --------------- 3,422 --------------- EDUCATION REVENUE--3.4% North City West School Facilities Financing Authority, Series B (AMBAC Insured) 5.250%, 9/1/19 1,000 1,016 Sweetwater Unified High School District, Public Financing Authority, Series A (AGM Insured) 5.000%, 9/1/29 1,000 980 --------------- 1,996 --------------- GENERAL OBLIGATION--16.3% Antelope Valley Union High School District, Series A (NATL Insured) 5.000%, 2/1/27 1,000 1,014 Brea Olinda Unified School District, Series A (NATL, FGIC Insured) 6.000%, 8/1/15 150 176 Butte-Glenn Community College District, Series A (NATL Insured) 5.500%, 8/1/19 1,000 1,063 California State 5.250%, 6/1/16 65 66 5.500%, 3/1/26 500 526 5.000%, 12/1/37 250 238 California State Veterans Bonds, Series BG 5.150%, 12/1/14 895 896 Series CC 4.500%, 12/1/37 330 292 Gilroy Unified School District (NATL, FGIC Insured) 5.000%, 8/1/27 500 510
PAR VALUE VALUE --------------- --------------- GENERAL OBLIGATION--(CONTINUED) Grossmont-Cuyamaca Community College District Election of 2002 Series A (NATL Insured) 5.000%, 8/1/19 $ 40 $ 43 Los Angeles Unified School District Series C (AGM Insured) 5.000%, 7/1/24 500 525 Los Angeles Unified School District, Series A-1 (NATL Insured) 4.500%, 1/1/28 500 473 New Haven Unified School District (AGM) 0.000%, 8/1/33 1,500 360 Norwalk-La Mirada Unified School District Series D (AGM Insured) 0.000%, 8/1/33 1,500 356 Placer Union High School District (AGM Insured) 0.000%, 8/1/32 1,500 379 Rancho Santiago Community College District (AGM Insured) 0.000%, 9/1/27 1,200 431 San Rafael Elementary School District (NATL, FGIC Insured) 0.000%, 8/1/26 1,000 442 Walnut Valley Unified School District, Series A (NATL Insured) 0.000%, 8/1/19 3,095 1,704 --------------- 9,494 --------------- GENERAL REVENUE--16.8% Anaheim Public Financing Authority, Series C (AGM Insured) 6.000%, 9/1/16 1,600 1,816 Golden State Tobacco Securitization Corp., Series A-1 5.125%, 6/1/47 1,250 799 5.750%, 6/1/47 1,000 711 Los Angeles County Public Works Financing Authority, Series A (AGM Insured) 5.500%, 10/1/18 390 437 Pomona, Certificates of Participation (AMBAC Insured) 5.500%, 6/1/28 1,365 1,449 San Diego County, Certificates of Participation (AMBAC Insured) 5.250%, 11/1/15 960 1,007 South Bay Regional Public Communications Authority (ACA Insured) 4.750%, 1/1/31 635 493 South Coast Air Quality Management District Building Corp. (AMBAC Insured) 6.000%, 8/1/11 1,000 1,015 State Public Works Board of the State of California Department of Health Services, Richmond Lab Series B (XLCA Insured) 5.000%, 11/1/17 460 482 Highway Patrol Series C 5.250%, 11/1/20 500 504
1 VIRTUS CA TAX-EXEMPT BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- GENERAL REVENUE--(CONTINUED) Department of General Services Buildings 8 & 9 Series A 6.125%, 4/1/29 $ 500 $ 526 Various Capital Projects Series G-1 5.750%, 10/1/30 500 507 --------------- 9,746 --------------- HIGHER EDUCATION REVENUE--2.6% University of California Series D (NATL, FGIC Insured) 5.000%, 5/15/28 500 522 Series G (NATL, FGIC Insured) 4.750%, 5/15/35 525 518 Series B 4.750%, 5/15/38 500 483 --------------- 1,523 --------------- MEDICAL REVENUE--8.9% California Health Facilities Financing Authority, Stanford Hospital and Clinics Series A 5.000%, 11/15/14 250 272 Cedars-Sinai Medical Center 5.000%, 11/15/34 500 484 Providence Health & Services Series C 6.500%, 10/1/38 300 334 Kaiser Permanente Series A 5.250%, 4/1/39 500 488 California State Public Works Board, Department of Mental Health Series A 5.500%, 6/1/16 1,000 1,077 California Statewide Communities Development Authority, Kaiser Permanente, Series B 5.000%, 3/1/41 500 468 Sutter Health, Series B 5.625%, 8/15/42 1,000 1,003 St. Joseph Health System (FGIC Insured) 5.750%, 7/1/47 500 508 San Joaquin General Hospital Project, Certificates of Participation (NATL Insured) 5.250%, 9/1/12 100 101 Santa Clara County Financing Authority, Series A (AMBAC Insured) 7.750%, 11/15/11 400 437 --------------- 5,172 --------------- MUNICIPAL UTILITY DISTRICT REVENUE--1.7% East Bay Municipal Utility District (NATL Insured) 5.000%, 6/1/35 500 516 Sacramento Municipal Utilities District Financing Authority (NATL Insured) 4.750%, 7/1/26 500 480 --------------- 996 ---------------
PAR VALUE VALUE --------------- --------------- NATURAL GAS REVENUE--1.2% Roseville Natural Gas Financing Authority 5.000%, 2/15/24 $ 750 $ 730 --------------- POWER REVENUE--0.6% Northern California Power Agency, Hydroelectric Project No.1 Series A (NATL Insured) 5.200%, 7/1/32 330 330 --------------- PRE-REFUNDED--29.8% Contra Costa County Home Mortgage (GNMA Collateralized) 7.500%, 5/1/14 (17) 500 616 Cypress Single Family Residential Mortgage, Series B (Private Mortgage Insurance) 7.250%, 1/1/12 (17) 200 220 Duarte Redevelopment Agency Single Family Mortgage, Series A (FNMA Collateralized) 6.875%, 11/1/11 (17) 300 326 Grossmont-Cuyamaca Community College District Election of 2002 Series A Pre-refunded 8/1/13 @100 (NATL Insured) 5.000%, 8/1/13 210 235 Huntington Park Redevelopment Agency Single Family Residential Mortgage, Series A (FHA/VA/PRIV MTGS Insured) 8.000%, 12/1/19 (17) 2,400 3,410 Los Angeles Harbor Department 7.600%, 10/1/18(17) 780 949 M-S-R Public Power Agency San Juan Project, Series D (NATL Insured) 6.750%, 7/1/20 (17) 1,640 1,959 Northern California Power Agency, Hydroelectric Project No.1 Series A Pre-refunded 7/1/10 @100 (NATL Insured) 5.000%, 7/1/15 1,000 1,000 Pre-refunded 7/1/21 @ 100 (AMBAC Insured) 7.500%, 7/1/23 195 267 Riverside County Redevelopment Agency, Pre-refunded 10/01/11 @ 102 (AMBAC Insured) 5.250%, 10/1/17 250 270 Riverside County Single Family Series B (GNMA Collateralized) 8.625%, 5/1/16(17) 1,000 1,324 Series A (GNMA Collateralized) 7.800%, 5/1/21(17) 4,000 5,551
2 VIRTUS CA TAX-EXEMPT BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- PRE-REFUNDED--(CONTINUED) Santa Clara Unified School District Pre-refunded 7/1/10 @101 (NATL, FGIC Insured) 5.500%, 7/1/20 $ 1,000 $ 1,010 Stockton Housing Facility, Series A Pre-refunded 9/20/17 @ 100 (GNMA Collateralized) 5.600%, 3/20/28 195 196 --------------- 17,333 --------------- TRANSPORTATION REVENUE--3.4% Alameda Corridor Transportation Authority, Series A (NATL Insured) 5.125%, 10/1/16 150 152 5.125%, 10/1/17 125 126 Bay Area Toll Authority, San Fransisco Bay Area Series F-1 5.000%, 4/1/34 500 517 San Fransisco Bay Area Series F-1 5.125%, 4/1/39 500 519 Los Angeles International Airport Series A 5.000%, 5/15/40 500 506 San Francisco Bay Area Rapid Transit District 5.250%, 7/1/17 180 180 --------------- 2,000 --------------- WATER & SEWER REVENUE--8.4% California Statewide Communities Development Authority, Anheuser-Busch Project 4.800%, 9/1/46 1,000 853 Delta Diablo Sanitation District, Certificates of Participation (NATL Insured) 0.000%, 12/1/16 1,070 789 El Dorado Irrigation District, Certificates of Participation, Series A (NATL, FGIC Insured) 5.250%, 3/1/16 365 391 Modesto Wastewater, Series A (AGM Insured) 5.000%, 11/1/19 245 266 Mountain View Shoreline Regional Park Community, Series A (NATL Insured) 5.500%, 8/1/21 1,000 1,003 Redlands Financing Authority, Series A (AGM Insured) 5.000%, 9/1/17 1,000 1,023
PAR VALUE VALUE --------------- --------------- WATER & SEWER REVENUE--(CONTINUED) Westlands Water District, Certificates of Participation (NATL Insured) 5.250%, 9/1/14 $ 500 $ 546 --------------- 4,871 --------------- TOTAL MUNICIPAL TAX-EXEMPT BONDS (IDENTIFIED COST $55,901) 57,613 --------------- TOTAL LONG TERM INVESTMENTS--99.0% (IDENTIFIED COST $55,901) 57,613 ---------------
SHARES VALUE --------------- --------------- SHORT-TERM INVESTMENTS--0.3% MONEY MARKET MUTUAL FUNDS--0.3% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 153,582 154 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $154) 154 --------------- TOTAL INVESTMENTS--99.3% (IDENTIFIED COST $56,055) 57,767(1) Other assets and liabilities, net--0.7% 381 --------------- NET ASSETS--100.0% $ 58,148 ===============
ABBREVATIONS: ACA American Capital Access Financial Guarantee Corp. AGM Assured Guaranty Municipal Corp. AMBAC American Municipal Bond Assurance Corporation. FGIC Financial Guaranty Insurance Company FHA Federal Housing Authority FNMA Federal National Mortgage Association ("Fannie Mae"). GNMA Government National Mortgage Association ("Ginnie Mae") NATL National Public Finance Guarantee Corp. XLCA XL Capital Assurance 3 Virtus CA Tax-Exempt Bond Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 TOTAL VALUE AT LEVEL 1 SIGNIFICANT JUNE 30, 2010 QUOTED PRICES OBSERVABLE INPUTS -------------- ------------- ----------------- Debt Securities: Municipal Securities $57,613 $ -- $57,613 Equity Securities: Short-Term Investments 154 154 -- ------- ---- ------- Total Investments 57,767 154 57,613 ======= ==== =======
There are no Level 3 (significant unobservable) priced securities. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS FOREIGN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- PREFERRED STOCK--2.9% CONSUMER STAPLES--1.7% Companhia de Bebidas das Americas ADR Pfd. 2.94% 187,828 $ 18,973 --------------- UTILITIES--1.2% AES Tiete SA Pfd. 10.59% 1,180,015 13,493 --------------- TOTAL PREFERRED STOCK (IDENTIFIED COST $21,200) 32,466 --------------- COMMON STOCKS--91.2% CONSUMER DISCRETIONARY--3.2% Hero Honda Motors Ltd. 171,800 7,537 Nitori Co., Ltd. 318,150 27,424 --------------- 34,961 --------------- CONSUMER STAPLES--39.2% British American Tobacco plc 1,860,455 59,043 Coca-Cola Amatil Ltd. 1,275,800 12,774 Colruyt SA 72,344 17,018 Diageo plc 1,512,423 23,757 Imperial Tobacco Group plc 1,729,110 48,313 ITC Ltd. 3,982,989 25,986 Nestle India Ltd. 147,288 9,098 Nestle S.A. Registered Shares 971,800 46,859 Philip Morris International, Inc. 1,200,572 55,034 Reckitt Benckiser Group plc 672,417 31,277 SABMiller plc 461,714 12,947 Souza Cruz SA 568,311 21,410 Tesco plc 6,718,793 37,903 Woolworths Ltd. 1,288,113 29,157 --------------- 430,576 --------------- ENERGY--4.2% Canadian Natural Resources Ltd. 667,168 22,142 Core Laboratories N.V 158,220 23,355 --------------- 45,497 --------------- FINANCIALS--18.3% Admiral Group plc 411,500 8,618 Amlin plc 2,627,323 15,121 CETIP SA - Balcao Organizado de Ativos e Derivativos 857,154 6,786 HDFC Bank Ltd. 1,410,250 57,916 Housing Development Finance Corp. Bank(18) 820,694 51,720
SHARES VALUE --------------- --------------- FINANCIALS--(CONTINUED) Muenchener Rueckversicherungs-Gesellschaft AG Registered Shares 132,557 $ 16,644 Power Corp. of Canada 436,676 10,464 QBE Insurance Group Ltd. 1,114,251 16,908 Standard Chartered plc 699,463 17,032 --------------- 201,209 --------------- HEALTH CARE--14.0% Cie Generale D'optique Essilor International SA 344,254 20,457 Cipla Ltd. 1,099,647 7,970 Covidien plc 820,666 32,974 Novartis AG Registered Shares 346,148 16,776 Novo Nordisk A/S Class B 578,217 46,716 Roche Holding AG Registered Shares 206,863 28,473 --------------- 153,366 --------------- INDUSTRIALS--7.7% Bharat Heavy Electricals Ltd. 235,036 12,383 Bureau Veritas SA 173,703 9,408 Capita Group plc (The) 1,829,153 20,152 De La Rue plc 909,940 12,847 G4S plc 2,756,884 10,930 Secom Co. Ltd. 431,900 19,179 --------------- 84,899 --------------- INFORMATION TECHNOLOGY--2.4% Cielo SA 1,541,800 13,103 Redecard SA 932,460 13,178 --------------- 26,281 --------------- UTILITIES--2.2% CPFL Energia SA 560,300 12,292 Scottish & Southern Energy plc 716,018 11,925 --------------- 24,217 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $876,824) 1,001,006 --------------- SUBSCRIPTION RECEIPTS--0.0% CETIP SA - Balcao Organizado de Ativos e Derivativos R/S(2) 1,105 9 --------------- TOTAL SUBSCRIPTION RECEIPTS (IDENTIFIED COST $8) 9 --------------- TOTAL LONG TERM INVESTMENTS--94.1% (IDENTIFIED COST $898,032) 1,033,481 ---------------
1 VIRTUS FOREIGN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- SHORT-TERM INVESTMENTS--3.7% MONEY MARKET MUTUAL FUNDS--3.7% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 40,121,119 $ 40,121 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $40,121) 40,121 --------------- TOTAL INVESTMENTS--97.8% (IDENTIFIED COST $938,153) 1,073,602(1) Other assets and liabilities, net--2.2% 23,617 --------------- NET ASSETS--100.0% $ 1,097,219 ===============
ABBREVIATIONS: ADR American Depositary Receipt. FOREIGN CURRENCIES: AUD Australian Dollar BRL Brazil Real CAD Canadian Dollar CHF Swiss Franc EUR European Currency Unit GBP United Kingdom Pound Sterling INR Indian Rupee At June 30, 2010, the Fund had entered into forward currency contracts as follows (reported in 000's):
Unrealized Appreciation Contracts to Buy In Exchange for Counterparty Settlement Date Value (Depreciation) - ---------------- --------------- ------------ --------------- ------- -------------- BRL 43,652 USD 23,579 Citibank 12/02/10 $23,298 $ (281) CAD 16,242 USD 15,563 Citibank 11/30/10 $15,238 $ (325) CHF 24,350 USD 22,220 Citibank 11/19/10 $22,662 $ 442 EUR 29,757 USD 36,810 Citibank 9/27/10 $36,407 $ (403) EUR 14,827 USD 18,354 Citibank 12/10/10 $18,148 $ (206) INR 1,421,475 USD 30,126 Citibank 11/18/10 $30,151 $ 25 INR 692,532 USD 14,778 Citibank 11/18/10 $14,690 $ (88) INR 744,878 USD 15,951 Citibank 11/18/10 $15,800 $ (151) INR 1,016,172 USD 21,763 Citibank 11/18/10 $21,554 $ (209) ------- (1,196) -------
Unrealized Appreciation Contracts to Sell In Exchange for Counterparty Settlement Date Value (Depreciation) - ----------------- --------------- ------------ --------------- -------- -------------- AUD 8,593 USD 7,126 Citibank 11/19/10 $ 7,111 $ 15 AUD 36,645 USD 31,398 Citibank 11/19/10 $ 30,324 $ 1,074 BRL 9,978 USD 5,240 Citibank 12/02/10 $ 5,325 $ (85) BRL 16,641 USD 8,752 Citibank 12/02/10 $ 8,881 $ (129) BRL 17,033 USD 8,976 Citibank 12/02/10 $ 9,091 $ (115) CAD 16,242 USD 15,426 Citibank 11/30/10 $ 15,238 $ 188 CHF 12,036 USD 10,508 Citibank 11/19/10 $ 11,202 $ (694) CHF 12,314 USD 10,840 Citibank 11/19/10 $ 11,460 $ (620) EUR 16,939 USD 22,333 Citibank 9/27/10 $ 20,725 $ 1,608 EUR 12,818 USD 17,103 Citibank 9/27/10 $ 15,683 $ 1,420 EUR 46,968 USD 56,340 Citibank 12/10/10 $ 57,488 $(1,148) GBP 30,073 USD 44,297 Citibank 9/27/10 $ 44,930 $ (633) GBP 95,963 USD 142,760 Citibank 9/27/10 $143,372 $ (612) INR 3,875,056 USD 84,272 Citibank 11/18/10 $ 82,195 $ 2,077 ------- $ 2,347 ------- $ 1,151 =======
2 VIRTUS FOREIGN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United Kingdom 29% India 16 Brazil 9 Switzerland 9 United States (includes short-term investments) 9 Australia 5 Denmark 4 Other 19 --- Total 100% ===
+ % of total investments as of June 30, 2010 3 Virtus Foreign Opportunities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.): ASSETS TABLE
LEVEL 2 SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS - -------------------------- -------------- ------------- ----------- Equity Securities: Common Stocks $1,001,006 $210,739 $790,267 Preferred Stock 32,466 32,466 -- Subscription Receipts 9 -- 9 Short-term Investments 40,121 40,121 -- ---------- -------- -------- Total Investments 1,073,602 283,326 790,276 ========== ======== ======== Other Financial Instruments: Forward Currency Contracts+ 1,151 -- 1,151
There are no Level 3 (significant unobservable) priced securities. + Valued at the unrealized appreciation (depreciation) on the investments THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS GLOBAL INFRASTRUCTURE FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--98.6% CONSUMER DISCRETIONARY--1.6% SES SA (Luxembourg) 51,350 $ 1,068 --------------- ENERGY--21.0% Enbridge, Inc. (Canada) 96,070 4,477 Spectra Energy Corp. (United States) 149,450 2,999 TransCanada Corp. (Canada) 106,700 3,567 Williams Cos., Inc. (The) (United States) 156,940 2,869 --------------- 13,912 --------------- INDUSTRIALS--13.8% Abertis Infraestructuras S.A. (Spain) 89,713 1,290 Atlantia S.p.A. (Italy) 101,556 1,800 Ferrovial SA (Spain) 73,760 477 Fraport AG Frankfurt Airport Services Worldwide (Germany) 24,000 1,021 Hamburger Hafen Und Logistik AG (Germany) 20,470 655 Koninklijke Vopak NV (Netherlands) 44,980 1,648 Transurban Group (Australia) 429,620 1,525 Vinci SA (France) 18,000 747 --------------- 9,163 --------------- TELECOMMUNICATION SERVICES--31.1% American Tower Corp. Class A (United States)(2) 36,150 1,609 AT&T, Inc. (United States) 139,370 3,371 CenturyLink, Inc. (United States) 29,770 992 Crown Castle International Corp. (United States)(2) 38,170 1,422 France Telecom SA Sponsored ADR (France) 52,130 902 Koninklijke KPN N.V. (Netherlands) 62,160 792 Nippon Telegraph & Telephone Corp. ADR (Japan) 34,290 698 Rogers Communications, Inc. Class B (Canada) 32,030 1,046 Singapore Telecommunications Ltd. (Singapore) 401,400 868 Telefonica S.A. Sponsored ADR (Spain) 27,830 1,545 TELUS Corp. (Canada) 35,330 1,333 Verizon Communications, Inc. (United States) 65,520 1,836 Vodafone Group plc Sponsored ADR (United Kingdom) 139,470 2,883 Windstream Corp. (United States) 127,430 1,346 --------------- 20,643 --------------- UTILITIES--31.1% American Water Works Co., Inc. (United States) 32,670 673
SHARES VALUE --------------- --------------- UTILITIES--(CONTINUED) CenterPoint Energy, Inc. (United States) 51,870 $ 683 Centrica plc (United Kingdom) 277,540 1,225 CMS Energy Corp. (United States) 48,460 710 DTE Energy Co. (United States) 21,530 982 E.ON AG (Germany) 47,350 1,273 Energias de Portugal SA (Portugal) 200,410 596 Entergy Corp. (United States) 16,010 1,147 ITC Holdings Corp. (United States) 16,650 881 NextEra Energy, Inc. (United States) 26,500 1,292 Northeast Utilities (United States) 21,770 555 Northwest Natural Gas Co. (United States) 16,000 697 NSTAR (United States) 21,340 747 NV Energy, Inc. (United States) 54,390 642 ONEOK, Inc. (United States) 13,870 600 Public Service Enterprise Group, Inc. (United States) 36,560 1,145 Questar Corp. (United States) 26,150 1,190 Red Electrica Corp. S.A. (Spain) 13,740 492 RWE AG (Germany) 12,600 824 Sempra Energy (United States) 25,090 1,174 Southern Co. (The) (United States) 21,990 732 Tokyo Electric Power Co., Inc. (The) (Japan) 30,760 837 Wisconsin Energy Corp. (United States) 16,300 827 Xcel Energy, Inc. (United States) 37,080 764 --------------- 20,688 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $71,209) 65,474 --------------- TOTAL LONG TERM INVESTMENTS--98.6% (IDENTIFIED COST $71,209) 65,474 --------------- SHORT-TERM INVESTMENTS--1.0% MONEY MARKET MUTUAL FUNDS--1.0% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 691,022 691 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $691) 691 ---------------
1 VIRTUS GLOBAL INFRASTRUCTURE FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) TOTAL INVESTMENTS--99.6% (IDENTIFIED COST $71,900) 66,165(1) Other assets and liabilities, net--0.4% 296 --------------- NET ASSETS--100.0% $ 66,461 ===============
ABBREVIATIONS: ADR American Depositary Receipt. 2 VIRTUS GLOBAL INFRASTRUCTURE FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 49% Canada 16 Germany 6 Spain 6 United Kingdom 6 Italy 3 Netherlands 3 Other 11 --- Total 100% ===
+ % of total investments as of June 30, 2010 3 Virtus Global Infrastructure Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 TOTAL VALUE AT LEVEL 1 SIGNIFICANT JUNE 30, 2010 QUOTED PRICES OBSERVABLE INPUTS -------------- ------------- ----------------- Equity Securities: Common Stocks $65,474 $48,335 $17,139 Short-term Investments 691 691 -- ------- ------- ------- Total Investments 66,165 49,026 17,139 ======= ======= =======
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable) priced securities. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS GLOBAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--81.1% CONSUMER DISCRETIONARY--5.4% John Wiley & Sons, Inc. Class A 14,150 $ 547 McDonald's Corp. 36,389 2,397 Norstar Founders Group Ltd.(2)(6)(8) 272,000 0 --------------- 2,944 --------------- CONSUMER STAPLES--37.3% Altria Group, Inc. 42,085 843 British American Tobacco plc 132,959 4,220 Coca-Cola Co. (The) 47,332 2,372 Costco Wholesale Corp. 13,175 722 Imperial Tobacco Group plc 79,873 2,232 Mead Johnson Nutrition Co. Class A 34,356 1,722 Nestle S.A. Registered Shares 32,138 1,550 Philip Morris International, Inc. 85,310 3,911 Reckitt Benckiser Group plc 24,924 1,159 Tesco plc 167,537 945 Woolworths Ltd. 40,437 915 --------------- 20,591 --------------- ENERGY--5.5% Canadian Natural Resources Ltd. 45,320 1,504 Exxon Mobil Corp. 27,100 1,547 --------------- 3,051 --------------- FINANCIALS--0.9% CETIP SA - Balcao Organizado de Ativos e Derivativos 59,290 469 --------------- HEALTH CARE--10.0% Abbott Laboratories 47,792 2,236 Becton, Dickinson & Co. 12,710 859 Celgene Corp.(2) 15,910 809 Novo Nordisk A/S Class B 14,088 1,138 Roche Holding AG Registered Shares 3,207 441 --------------- 5,483 --------------- INDUSTRIALS--1.4% Capita Group plc (The) 71,838 792 --------------- INFORMATION TECHNOLOGY--20.6% Apple, Inc.(2) 11,300 2,842 Cognizant Technology Solutions Corp. Class A(2) 17,125 857 Dolby Laboratories, Inc. Class A(2) 15,600 978 Google, Inc. Class A(2) 4,813 2,142
SHARES VALUE --------------- --------------- INFORMATION TECHNOLOGY--(CONTINUED) MasterCard, Inc. Class A 9,085 $ 1,813 Redecard SA 70,429 995 Visa, Inc. Class A 24,621 1,742 --------------- 11,369 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $39,681) 44,699 --------------- EQUITY-LINKED SECURITIES--16.3% CLSA Financial Products Ltd. - Bharat Heavy Electricals Ltd. Strike price $0.001 USD exp. 7/20/10 22,270 1,180 CLSA Financial Products Ltd. -Housing Development Finance Corporation Ltd. Class A Strike price .000001 Indian Rupee exp. 6/28/15 18,500 764 CLSA Financial Products Ltd. - Hero Honda Motors Ltd. Strike price $0.001 USD exp. 6/9/15 25,100 1,107 Deutsche Bank AG - Housing Development Finance Corporation Ltd. Strike price $0.001 USD exp. 1/24/17 46,040 1,902 HSBC Bank plc - Housing Development Finance Corp. Strike price $0.001 USD exp. 2/20/18 32,500 2,060 HSBC Bank plc - Nestle India Ltd. Strike price $0.001 USD exp. 11/19/18 12,425 770 JPMorgan International - Housing Development Financial Corp. Strike price $0.001 USD exp. 5/7/14 5,555 352 Macquarie Bank Ltd. - Marico Ltd. Strike price $0.0001 USD exp. 2/28/13 129,355 851 --------------- TOTAL EQUITY-LINKED SECURITIES (IDENTIFIED COST $7,136) 8,986 --------------- SUBSCRIPTION RECEIPTS--0.0% CETIP SA - Balcao Organizado de Ativos e Derivativos R/S(2)(8) 76 1 --------------- TOTAL SUBSCRIPTION RECEIPTS (IDENTIFIED COST $1) 1 --------------- TOTAL LONG TERM INVESTMENTS--97.4% (IDENTIFIED COST $46,818) 53,686 ---------------
1 VIRTUS GLOBAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) SHORT-TERM INVESTMENTS--1.2% MONEY MARKET MUTUAL FUNDS--1.2% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 670,576 671 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $671) 671 --------------- TOTAL INVESTMENTS--98.6% (IDENTIFIED COST $47,489) 54,357(1) --------------- Other assets and liabilities, net--1.4% 792 --------------- NET ASSETS--100.0% $ 55,149 ===============
FOREIGN CURRENCIES: BRL Brazil Real CAD Canadian Dollar CHF Swiss Franc GBP United Kingdom Pound Sterling At June 30, 2010, the Fund had entered into forward currency contracts as follows (reported in 000's):
Unrealized Appreciation Contracts to Sell In Exchange for Counterparty Settlement Date Value (Depreciation) - ----------------- --------------- ------------ --------------- ----- -------------- BRL 685 USD 370 Citibank 12/02/10 $366 $ (4) CAD 823 USD 788 Citibank 11/30/10 $772 $(16) CHF 426 USD 388 Citibank 11/19/10 $396 $ 8 ---- $(12) ----
Unrealized Appreciation Contracts to Sell In Exchange for Counterparty Settlement Date Value (Depreciation) - ----------------- --------------- ------------ --------------- ------- -------------- BRL 260 USD 137 Citibank 12/02/10 $ (139) $ (2) BRL 160 USD 84 Citibank 12/02/10 $ (85) $ (1) BRL 266 USD 140 Citibank 12/02/10 $ (142) $ (2) CAD 823 USD 782 Citibank 11/30/10 $ (772) $ 10 CHF 426 USD 371 Citibank 11/19/10 $ (396) $(25) GBP 3,844 USD 5,718 Merrill Lynch 9/27/10 $(5,743) $(25) GBP 1,120 USD 1,649 Citibank 9/27/10 $(1,673) $(24) ---- $(69) ---- (81) ====
2 VIRTUS GLOBAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 53% United Kingdom 21 India 6 Australia 5 Switzerland 4 Canada 3 Luxembourg 3 Other 5 --- Total 100% ===
+ % of total investments as of June 30, 2010 3 Virtus Global Opportunities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.): ASSETS TABLE
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS - -------------------------- -------------- ------------- ----------- ------------ Equity Securities: Common Stocks $44,699 $31,308 $13,391 $ 0++ Equity-linked Securities 8,986 -- 8,986 -- Subscription Receipts 1 -- 1 -- Short-term Investments 671 671 -- -- ------- ------- ------- --- Total Investments 54,357 31,979 22,378 0++ ======= ======= ======= === Other Financial Instruments: Forward Currency Contracts+ $ (81) $ -- $ (81) $--
+ Valued at the unrealized appreciation (depreciation) on the investments. ++ Level 3 Common Stock valued at zero at beginning and end of the period. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--98.4% DIVERSIFIED REITS--11.7% Beni Stabili SpA(2) 960 $ 1 BGP Holdings plc(2)(6)(8) 13,566 0 British Land Co. plc 4,650 30 Canadian Real Estate Investment Trust 760 20 Cominar Real Estate Investment Trust 650 11 Dexus Property Group 40,140 26 First Capital Realty, Inc. 885 11 Fonciere Des Regions 166 14 GPT Group 10,700 25 Kenedix Realty Investment Corp. 5 14 Land Securities Group plc 5,525 46 Liberty Property Trust 613 18 Vornado Realty Trust 1,145 83 --------------- 299 --------------- INDUSTRIAL REITS--3.8% AMB Property Corp. 791 19 Ascendas Real Estate Investment Trust 20,700 27 Goodman Group 56,000 29 ProLogis 331 3 SEGRO plc 4,705 18 --------------- 96 --------------- OFFICE REITS--17.6% Alexandria Real Estate Equities, Inc. 295 19 Allied Properties Real Estate Investment Trust 400 7 BioMed Realty Trust, Inc. 1,490 24 Boston Properties, Inc. 933 66 CapitaCommercial Trust 23,000 20 Champion Reit 39,418 18 Commonwealth Property Office Fund 9,500 7 Corporate Office Properties Trust 563 21 Derwent London plc 950 18 Digital Realty Trust, Inc. 1,170 67 Douglas Emmett, Inc. 176 2 Duke Realty Corp. 805 9 Great Portland Estates plc 3,421 15 Highwoods Properties, Inc. 385 11 ING Office Fund 40,608 20 Japan Prime Realty Investment Corp. 6 13 Japan Real Estate Investment Corp. 2 16 Kilroy Realty Corp. 392 12
SHARES VALUE --------------- --------------- OFFICE REITS--(CONTINUED) Mack-Cali Realty Corp. 384 $ 11 Nippon Building Fund, Inc. 2 16 Nomura Real Estate Office Fund, Inc. 3 15 SL Green Realty Corp. 466 26 Societe Immobiliere de Location Pour L'industrie Et Le Commerce 170 17 --------------- 450 --------------- REAL ESTATE OPERATING COMPANIES--9.2% AEON Mall Co. Ltd. 1,070 21 Brookfield Properties Corp. 355(10) 5 Brookfield Properties Corp. 2,525(11) 36 Castellum AB 2,625 24 Citycon Oyj 5,575 16 Fabege AB 575 3 GAGFAH S.A. 1,275 9 Hongkong Land Holdings Ltd. 11,900 59 Iguatemi Empresa de Shopping Centers SA 560 10 Multiplan Empreendimentos Imobiliarios SA 815 15 Norwegian Property ASA(2) 4,000 5 PSP Swiss Property AG(2) 260 16 Safestore Holdings plc 8,876 15 --------------- 234 --------------- RESIDENTIAL REITS--11.3% Apartment Investment & Management Co. Class A 1,225 24 AvalonBay Communities, Inc. 520 49 Boardwalk Real Estate Investment Trust 386 15 BRE Properties, Inc. 511 19 Equity Lifestyle Properties, Inc. 289 14 Equity Residential 2,301 96 Essex Property Trust, Inc. 364 35 Home Properties, Inc. 233 10 UDR, Inc. 1,429 27 --------------- 289 --------------- RETAIL REITS--29.2% CapitaMall Trust 4,450 6 CFS Retail Property Trust 5,200 8 Corio N.V. 731 36 Developers Diversified Realty Corp. 2,034 20 Eurocommercial Properties N.V. 500 16 Federal Realty Investments Trust 333 23 Hammerson plc 4,295 22
1 VIRTUS GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- RETAIL REITS--(CONTINUED) Kimco Realty Corp. 2,838 $ 38 Klepierre 950 26 Link (The) 16,404 41 Macerich Co. (The) 1,208 45 RioCan Real Estate Investment Trust 1,807 32 Simon Property Group, Inc. 1,886 152 Tanger Factory Outlet Centers 615 26 Taubman Centers, Inc. 320 12 Unibail-Rodamco 598 98 Weingarten Realty Investors 740 14 Westfield Group 12,800 130 --------------- 745 --------------- SPECIALIZED REITS--15.6% Big Yellow Group plc(2) 3,430 15 Entertainment Properties Trust 313 12 Extra Space Storage, Inc. 2,110 29 HCP, Inc. 1,934 62 Health Care REIT, Inc. 953 40 Host Hotels & Resorts, Inc. 4,753 64 LaSalle Hotel Properties 855 18 Nationwide Health Properties, Inc. 525 19 Public Storage 840 74 Starwood Hotels & Resorts Worldwide, Inc. 180 8 Sunstone Hotel Investors, Inc.(2) 800 8 Ventas, Inc. 1,088 51 --------------- 400 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $1,834) 2,513 --------------- WARRANTS--0.0% DIVERSIFIED REITS--0.0% Fonciere Des Regions Exercise price 65.00 EUR exp. 12/31/10(2) 10 --(13) --------------- TOTAL WARRANTS (IDENTIFIED COST $0) -- --------------- TOTAL LONG TERM INVESTMENTS--98.4% (IDENTIFIED COST $1,834) 2,513 --------------- SHORT-TERM INVESTMENTS--2.9% MONEY MARKET MUTUAL FUNDS--2.9% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 74,419 74 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $74) 74 --------------- TOTAL INVESTMENTS--101.3% (IDENTIFIED COST $1,908) 2,587(1) Other assets and liabilities, net--(1.3)% (33) --------------- NET ASSETS--100.0% $ 2,554 ===============
ABBREVIATIONS: REITs Real Estate Investment Trust 2 VIRTUS GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 56% Australia 10 United Kingdom 7 France 6 Canada 5 Japan 4 Bermuda 2 Other 10 --- Total 100% ===
+ % of total investments as of June 30, 2010 3 Virtus Global Real Estate Securities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS ------------- ------------- ----------- ------------ Equity Securities: Common Stocks $2,513 $1,603 $910 $ 0++ Warrants --(13) --(13) -- -- Short-term Investments 74 74 -- -- ------ ------ ---- --- Total Investments $2,587 $1,677 $910 $ 0++ ====== ====== ==== ===
++ Level 3 Common Stock valued at zero at beginning and end of the period. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS GREATER ASIA EX JAPAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--95.4% CONSUMER DISCRETIONARY--6.0% BEC World plc 54,700 $ 46 Billabong International Ltd. 2,500 18 Cox & Kings India Ltd.(2) 3,500 35 Genting Malaysia Bhd 72,500 61 Hero Honda Motors Ltd. 1,500 66 Jubilant Foodworks Ltd.(2) 900 6 Kangwon Land, Inc. 6,630 100 MegaStudy Co., Ltd. 170 22 Super Cheap Auto Group Ltd. 16,680 75 Woongjin Thinkbig Co., Ltd. 1,920 40 --------------- 469 --------------- CONSUMER STAPLES--33.0% AmorePacific Corp. 54 46 British American Tobacco Bangladesh Co., Ltd. 10,000 76 British American Tobacco Bhd 7,800 105 Ceylon Tobacco Co., Ltd. 36,000 96 Coca-Cola Amatil Ltd. 16,071 161 Dabur India Ltd. 19,100 86 Dairy Farm International Holdings Ltd. 10,900 76 Distilleries Co. of Sri Lanka Ltd. 98,000 112 Godrej Consumer Products Ltd. 11,576 85 Guinness Anchor Bhd 32,951 78 Hengan International Group Co., Ltd. 22,800 185 ITC Ltd. 42,200 275 LG Household & Health Care Ltd. 300 85 Marico Ltd. 14,000 39 Nestle India Ltd. 3,800 235 Nestle Malaysia Bhd 6,200 67 Nestle Pakistan Ltd. 3,595 71 Pakistan Tobacco Co., Ltd. 60,072 73 Thai Beverage plc 350,500 70 Unilever Indonesia Tbk PT 89,200 166 Unilever Pakistan Ltd. 1,900 86 Want Want China Holdings Ltd. 91,100 77 Woolworths Ltd. 8,723 197 Zhongpin, Inc.(2) 3,300 39 --------------- 2,586 --------------- ENERGY--3.0% CNOOC Ltd. 44,996 76 Oil & Gas Development Co., Ltd. 36,600 61
SHARES VALUE --------------- --------------- ENERGY--(CONTINUED) PTT Exploration & Production plc 22,000 $ 96 --------------- 233 --------------- FINANCIALS--20.4% Bank Rakyat Indonesia 94,900 96 Commercial Bank of Ceylon plc 34,050 53 CRISIL Ltd. 217 27 Delta Brac Housing Finance Corp., Ltd. 2,200 74 Gruh Finance Ltd. 14,300 97 Hatton National Bank plc 9,960 25 Housing Development Finance Corporation Ltd. 9,600 394 Housing Development Finance Corp. Bank 5,100 321 Infrastructure Development Finance Co., Ltd. 18,100 70 Jammu & Kashmir Bank Ltd. 7,800 138 Mahindra & Mahindra Financial Services 6,100 59 MCB Bank Ltd. 7,637 17 QBE Insurance Group Ltd. 6,826 104 Shriram Transport Finance Co., Ltd. 7,400 91 Yes Bank Ltd. 5,700 33 --------------- 1,599 --------------- HEALTH CARE--4.7% Cipla Ltd. 6,900 50 Lupin Ltd. 2,100 88 ResMed, Inc.(2) 23,400 143 Sun Pharmaceutical Industries Ltd. 1,200 46 Yuhan Corp. 357 45 --------------- 372 --------------- INDUSTRIALS--10.6% Beijing Enterprises Holdings Ltd. 26,275 171 Bharat Electronics Ltd. 1,067 40 Bharat Heavy Electricals Ltd. 1,700 90 Jain Irrigation Systems Ltd. 3,900 89 Jardine Matheson Holdings Ltd. 2,800 98 Jardine Strategic Holdings Ltd. 2,700 56 Keells (John) Holdings plc 37,700 68 Singapore Airport Terminal Servises Ltd. 32,400 62 Singapore Post Ltd. 93,500 75 Taiwan Secom Co., Ltd. 44,000 69 UGL Ltd. 1,100 12 --------------- 830 --------------- INFORMATION TECHNOLOGY--3.2% Financial Technologies India Ltd. 853 24
1 VIRTUS GREATER ASIA EX JAPAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- INFORMATION TECHNOLOGY--(CONTINUED) NetEase.Com, Inc. ADR(2) 4,751 $ 151 NHN Corp.(2) 510 76 --------------- 251 --------------- MATERIALS--5.1% AMVIG Holdings Ltd. 42,285 22 Engro Corp., Ltd. 20,800 42 Fauji Fertilizer Co., Ltd. 45,500 55 Semen Gresik (Persero) Tbk PT 229,300 220 Yingde Gases Group Co., Ltd.(2) 65,770 65 --------------- 404 --------------- TELECOMMUNICATION SERVICES--2.9% Philippine Long Distance Telephone Co. Sponsored ADR 2,360 120 Telekomunikasi Indonesia Tbk PT 126,200 107 --------------- 227 --------------- UTILITIES--6.5% China Resources Gas Group Ltd. 16,500 23 CLP Holdings Ltd. 6,900 50 HongKong Electric Holdings Ltd. 18,800 112 Tanjong plc 61,200 329 --------------- 514 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $6,479) 7,485 --------------- EXCHANGE-TRADED FUNDS--3.5% ProShares UltraShort FTSE/Xinhua China 25(2) 3,481 141 ProShares UltraShort MSCI Emerging Markets(2) 2,302 130 --------------- TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $278) 271 --------------- MUTUAL FUNDS--0.5% Macquarie Korea Infrastructure Fund 10,810 40 --------------- TOTAL MUTUAL FUNDS (IDENTIFIED COST $42) 40 --------------- TOTAL LONG TERM INVESTMENTS--99.4% (IDENTIFIED COST $6,799) 7,796 --------------- SHORT-TERM INVESTMENTS--0.6% MONEY MARKET MUTUAL FUNDS--0.6% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 45,921 46 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $46) 46 --------------- TOTAL INVESTMENTS--100.0% (IDENTIFIED COST $6,845) 7,842(1) Other assets and liabilities, net--0.0% 2 --------------- NET ASSETS--100.0% $ 7,844 ===============
ABBREVIATIONS: ADR American Depositary Receipt. FOREIGN CURRENCIES: AUD Australian Dollar INR Indian Rupee At June 30, 2010, the Fund had entered into forward currency contracts as follows (reported in 000's):
Unrealized Appreciation Contracts to Buy In Exchange for Counterparty Settlement Date Value (Depreciation) - ---------------- --------------- ------------ --------------- ----- -------------- INR 8,943 USD 190 Citigroup 11/18/10 $190 $--(13) INR 4,686 USD 100 Citigroup 11/18/10 $ 99 $(1) INR 4,357 USD 93 Citigroup 11/18/10 $ 92 $(1) INR 6,393 USD 140 Citigroup 11/18/10 $139 $(1) ------ (3) ------
Unrealized Appreciation Contracts to Sell In Exchange for Counterparty Settlement Date Value (Depreciation) - ----------------- --------------- ------------ --------------- ----- -------------- AUD 123 USD 102 Citibank 11/18/10 $102 $--(13) AUD 342 USD 299 Citigroup 11/18/10 $283 $16 INR 6,657 USD 145 Citigroup 11/18/10 $141 $ 4 INR 17,722 USD 383 Citigroup 11/18/10 $376 $ 7 ------ 27 ------ 24 ======
2 VIRTUS GREATER ASIA EX JAPAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- India 32% China 10 Malaysia 8 Australia 7 Indonesia 7 United States (includes short-term investments) 6 Pakistan 5 Other 25 --- Total 100% ===
+ % of total investments as of June 30, 2010 3 Virtus Greater Asia ex Japan Opportunities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.): ASSETS TABLE
LEVEL 2 SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS - -------------------------- -------------- ------------- ----------- Equity Securities: Common Stocks $7,485 $1,168 $6,317 Exchange-traded Funds 271 271 -- Mutual Funds 40 -- 40 Short-term Investments 46 46 -- ------ ------ ------ Total Investments 7,842 1,485 6,357 ====== ====== ====== Other Financial Instruments: Forward Currency Contracts+ 24 -- 24
There are no Level 3 (significant unobservable) priced securities. + Valued at the unrealized appreciation (depreciation) on the investments. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS GREATER EUROPEAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--98.4% CONSUMER DISCRETIONARY--6.3% Domino's Pizza plc 20,405 $ 115 Dunelm Group plc 10,282 50 Pearson plc 5,363 71 SES SA 2,126 44 --------------- 280 --------------- CONSUMER STAPLES--35.7% British American Tobacco plc(18) 7,048 224 Colruyt SA 382 90 Diageo plc 8,369 131 Imperial Tobacco Group plc 7,837 219 Lindt & Spruengli AG 11 24 Nestle S.A. Registered Shares 4,268 206 Philip Morris International, Inc. 5,004 229 Reckitt Benckiser Group plc 3,490 162 SABMiller plc 2,336 66 Tesco plc 29,307 165 Unilever N.V. 2,442 67 --------------- 1,583 --------------- ENERGY--4.4% BG Group plc 2,908 43 Core Laboratories N.V. 552 81 Total SA 1,604 72 --------------- 196 --------------- FINANCIALS--11.7% Admiral Group plc 1,700 36 Amlin plc 15,641 90 CNP Assurances 993 68 Deutsche Boerse AG 1,222 74 Muenchener Rueckversicherungs-Gesellschaft AG Registered Shares 937 118 Reinet Investments SCA(2) 4,497 63 Standard Chartered plc 2,830 69 --------------- 518 --------------- HEALTH CARE--17.3% Cie Generale D'optique Essilor International SA 1,934 115 Covidien plc 3,062 123 Fresenius Medical Care AG & Co. KGaA 1,730 94 Novartis AG Registered Shares 1,178 57 Novo Nordisk A/S Class B 2,044 165
SHARES VALUE --------------- --------------- HEALTH CARE--(CONTINUED) Roche Holding AG Registered Shares 866 $ 119 Synthes, Inc. 811 93 --------------- 766 --------------- INDUSTRIALS--12.7% Bureau Veritas SA 1,649 89 Capita Group plc (The) 10,789 119 Cobham plc 17,025 54 De La Rue plc 5,010 71 Elbit Systems Ltd. 1,030 52 G4S plc 27,074 107 Rational AG 85 13 Vossloh AG 705 57 --------------- 562 --------------- INFORMATION TECHNOLOGY--3.8% Accenture plc Class A 2,697 104 Xchanging plc 22,342 66 --------------- 170 --------------- MATERIALS--1.7% Air Liquide SA 757 77 --------------- UTILITIES--4.8% Enagas S.A. 2,905 44 Red Electrica Corp. S.A. 1,227 44 Scottish & Southern Energy plc 4,159 69 Terna Rete Elettrica Nazionale S.p.A. 15,382 55 --------------- 212 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $3,837) 4,364 --------------- TOTAL LONG TERM INVESTMENTS--98.4% (IDENTIFIED COST $3,837) 4,364 --------------- SHORT-TERM INVESTMENTS--1.7% MONEY MARKET MUTUAL FUNDS--1.7% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 76,493 76 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $76) 76 ---------------
1 VIRTUS GREATER EUROPEAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) TOTAL INVESTMENTS--100.1% (IDENTIFIED COST $3,913) 4,440(1) Other assets and liabilities, net--(0.1)% (6) --------------- NET ASSETS--100.0% $ 4,434 ===============
FOREIGN CURRENCIES: CHF Swiss Franc EUR European Currency Unit GBP United Kingdom Pound Sterling At June 30, 2010, the Fund had entered into forward currency contracts as follows (reported in 000's):
Unrealized Appreciation Contracts to Receive In Exchange for Counterparty Settlement Date Value (Depreciation) - -------------------- --------------- ------------ --------------- ----- -------------- CHF 222 USD 196 Citigroup 12/10/10 $207 $11 CHF 223 USD 207 Citigroup 12/10/10 $208 $ 1 EUR 213 USD 263 Citigroup 12/10/10 $261 $(2) GBP 24 USD 34 Citigroup 11/04/10 $ 35 $ 1 GBP 327 USD 483 Citigroup 11/04/10 $488 $ 5 --- 16 ---
Unrealized Appreciation Contracts to Sell In Exchange for Counterparty Settlement Date Value (Depreciation) - ----------------- --------------- ------------ --------------- ------ -------------- CHF 334 USD 289 Citigroup 12/10/10 $ 311 $(22) CHF 111 USD 100 Citigroup 12/10/10 $ 103 $ (3) EUR 952 USD 1,137 Citigroup 12/10/10 $1,165 $(28) GBP 497 USD 733 Citigroup 11/04/10 $ 743 $(10) GBP 606 USD 928 Citigroup 11/04/10 $ 905 $ 23 ---- (40) ---- (24) ====
2 VIRTUS GREATER EUROPEAN OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United Kingdom 43% Switzerland 11 France 10 Germany 8 United States (includes short-term investments) 7 Ireland 5 Denmark 4 Other 12 --- Total 100% ===
+ % of total investments as of June 30, 2010 3 Virtus Greater European Opportunities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 SIGNIFICANT ASSETS TABLE TOTAL VALUE AT LEVEL 1 OBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS - -------------------------- -------------- ------------- ----------- Equity Securities: Common Stocks $4,364 $590 $3,774 Short-term Investments 76 76 -- ------ ---- ------ Total Investments 4,440 666 3,774 ====== ==== ====== Other Financial Instruments: Forward Currency Contracts+ $ (24) $ -- $ (24)
There are no Level 3 (significant unobservable) priced securities. + Valued at the unrealized appreciation (depreciation) on the investments. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- CORPORATE BONDS--92.4% CONSUMER DISCRETIONARY--24.2% Affinion Group, Inc. 10.125%, 10/15/13 $ 645 $ 664 11.500%, 10/15/15 1,555 1,640 AMC Entertainment, Inc. 8.000%, 3/1/14 675 653 AutoNation, Inc. 6.750%, 4/15/18 105 104 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 7.625%, 5/15/14 925 895 Cablevision Systems Corp. 144A 8.000%, 4/15/20 (4) 440 448 Cengage Learning Acquisitions, Inc. 144A 13.250%, 7/15/15 (3)(4) 750 701 Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17 (4) 680 681 Cinemark USA, Inc. 8.625%, 6/15/19 685 692 CSC Holdings, Inc. 144A 8.625%, 2/15/19 (4) 1,045 1,104 Dollar General Corp. PIK Interest Capitalization 11.875%, 7/15/17 536 612 Echostar DBS Corp. 6.625%, 10/1/14 410 411 Education Management LLC/Education Management Finance Corp. 10.250%, 6/1/16 82 86 Goodyear Tire & Rubber Co. (The) 10.500%, 5/15/16 1,210 1,322 Hanesbrands, Inc. 8.000%, 12/15/16 305 311 Intelsat Corp. 9.250%, 8/15/14 1,285 1,320 Jarden Corp. 7.500%, 5/1/17 425 419 Lamar Media Corp. Series C 6.625%, 8/15/15 635 605 Levi Strauss & Co. 8.875%, 4/1/16 755 785 Mediacom Broadband LLC/Mediacom Broadband Corp. 8.500%, 10/15/15 50 48 Peninsula Gaming LLC 10.750%, 8/15/17 910 910 Sally Holdings LLC / Sally Capital, Inc. 10.500%, 11/15/16 720 774 Scientific Games International, Inc. 9.250%, 6/15/19 1,120 1,151 Service Corp. International 8.000%, 11/15/21 305 308 Sinclair Broadcast Group, Inc. 8.000%, 3/15/12(14) 605 592 Sirius XM Radio, Inc. 144A 8.750%, 4/1/15 (4)(14) 1,100 1,089 Speedway Motorsports, Inc. 6.750%, 6/1/13 620 621 Susser Holdings LLC / Susser Finance Corp. 144A 8.500%, 5/15/16 (4) 330 332 United Artists Theatre Circuit, Inc.
PAR VALUE VALUE --------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Series 95-A 9.300%, 7/1/15(6)(8) $ 279 $ 256 Series BD-1 9.300%, 7/1/15(6)(8) 301 276 Series AW-0 9.300%, 7/1/15(6)(8) 1 1 Series BE-9 9.300%, 7/1/15(6)(8) 11 10 Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 144A 8.125%, 12/1/17 (4) 835 822 Videotron Ltee 9.125%, 4/15/18 490 534 WMG Holdings Corp. 9.500%, 12/15/14(3)(14) 660 660 --------------- 21,837 --------------- CONSUMER STAPLES--10.1% Ingles Markets, Inc. 8.875%, 5/15/17 1,200 1,227 Alliance One International, Inc. 144A 10.000%, 7/15/16 (4) 1,365 1,396 B&G Foods, Inc. 7.625%, 1/15/18 300 302 Bumble Bee Foods LLC 144A 7.750%, 12/15/15 (4) 340 343 C&S Group Enterprises LLC 144A 8.375%, 5/1/17 (4) 830 809 Constellation Brands, Inc. 7.250%, 9/1/16 805 816 Dole Food Co., Inc. 8.750%, 7/15/13 65 67 144A 8.000%, 10/1/16(4) 340 343 Michael Foods, Inc. 144A 9.750%, 7/15/18 (4) 500 516 Pantry, Inc. (The) 7.750%, 2/15/14 895 868 Stater Brothers Holdings, Inc. 7.750%, 4/15/15 565 567 SUPERVALU, Inc. 8.000%, 5/1/16 930 925 Tops Markets LLC 144A 10.125%, 10/15/15 (4) 840 870 --------------- 9,049 --------------- ENERGY--5.4% Atlas Pipeline Partners LP 8.125%, 12/15/15 1,205 1,115 Bristow Group, Inc. 6.125%, 6/15/13 210 208 Comstock Resources, Inc. 8.375%, 10/15/17 5 5 Crosstex Energy LP / Crosstex Energy Finance Corp. 8.875%, 2/15/18 340 341 El Paso Corp. 8.250%, 2/15/16 515 542 Linn Energy LLC/Linn Energy Finance Corp. 144A 8.625%, 4/15/20 (4) 500 514 Pioneer Natural Resources Co. 6.650%, 3/15/17 100 101 Plains Exploration & Production Co. 7.000%, 3/15/17 715 686 7.625%, 6/1/18 540 531
1 VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- ENERGY--(CONTINUED) SandRidge Energy, Inc. 144A 8.750%, 1/15/20 (4) $ 855 $ 817 --------------- 4,860 --------------- FINANCIALS--10.6% Ally Financial, Inc. 0.000%, 6/15/15 1,320 832 CEDC Finance Corp. International, Inc. 144A 9.125%, 12/1/16 (4) 690 669 CIT Group, Inc. 7.000%, 5/1/17(14) 1,250 1,131 Ford Motor Credit Co. LLC 7.500%, 8/1/12 1,435 1,468 7.000%, 4/15/15 475 470 Host Hotels & Resorts LP Series O 6.375%, 3/15/15 200 197 Icahn Enterprises LP / Icahn Enterprises Finance Corp. 144A 8.000%, 1/15/18 (4)(14) 2,205 2,150 ING Capital Funding Trust III 8.439%, 12/31/49(3) 435 381 International Lease Finance Corp. 144A 8.625%, 9/15/15(4) 45 43 144A 8.750%, 3/15/17(4) 730 694 NBC Acquisition Corp. 11.000%, 3/15/13(3)(14) 1,245 1,120 UBS Preferred Funding Trust I 8.622%, 10/29/49(3) 245 239 Ventas Realty LP/Ventas Capital Corp. Series 1 6.500%, 6/1/16 155 158 --------------- 9,552 --------------- HEALTH CARE--4.6% Community Health Systems, Inc. 8.875%, 7/15/15 1,205 1,246 DaVita, Inc. 7.250%, 3/15/15 700 703 HCA, Inc. 9.250%, 11/15/16 1,405 1,493 8.500%, 4/15/19 290 309 Valeant Pharmaceuticals International 144A 7.625%, 3/15/20 (4) 330 391 --------------- 4,142 --------------- INDUSTRIALS--11.6% ARAMARK Corp. 8.500%, 2/1/15 780 792 Biomet, Inc. 11.625%, 10/15/17 2,120 2,305 Casella Waste Systems, Inc. 9.750%, 2/1/13 1,200 1,206 Corrections Corp. of America 7.750%, 6/1/17 610 636 DI Finance/DynCorp International, Inc. Series B 9.500%, 2/15/13 1,950 2,011 Dycom Industries, Inc. 8.125%, 10/15/15 985 975
PAR VALUE VALUE --------------- --------------- INDUSTRIALS--(CONTINUED) DynCorp International, Inc. 144A 10.375%, 7/1/17 (4) $ 95 $ 96 Gibraltar Industries, Inc. Series B 8.000%, 12/1/15 780 757 Goodman Global Group, Inc. 144A 0.000%, 12/15/14 (4) 675 415 Travelport LLC 9.875%, 9/1/14 1,280 1,289 --------------- 10,482 --------------- INFORMATION TECHNOLOGY--3.5% Advanced Micro Devices, Inc. 144A 8.125%, 12/15/17 (4) 1,090 1,090 Jabil Circuit, Inc. 7.750%, 7/15/16 295 309 SunGard Data Systems, Inc. 9.125%, 8/15/13 655 669 10.250%, 8/15/15 985 1,022 Viasat, Inc. 8.875%, 9/15/16 45 46 --------------- 3,136 --------------- MATERIALS--4.6% Ball Corp. 6.750%, 9/15/20 445 452 Boise Paper Holdings LLC/ Boise Finance Co. 144A 9.000%, 11/1/17(4) 345 357 144A 8.000%, 4/1/20(4) 315 316 Cascades, Inc. 7.875%, 1/15/20 70 70 Freeport-McMoRan Copper & Gold, Inc. 8.375%, 4/1/17 625 689 Huntsman International LLC 7.875%, 11/15/14 490 475 144A 8.625%, 3/15/20(4) 250 232 Phibro Animal Health Corp. 144A 9.250%, 7/1/18 (4) 100 100 Solutia, Inc. 7.875%, 3/15/20 940 942 Valmont Industries, Inc. 6.625%, 4/20/20 535 549 --------------- 4,182 --------------- TELECOMMUNICATION SERVICES--15.9% Cincinnati Bell, Inc. 8.750%, 3/15/18 890 812 Crown Castle International Corp. 7.125%, 11/1/19 565 555 Frontier Communications Corp. 8.125%, 10/1/18 595 594 GCI, Inc. 8.625%, 11/15/19 1,640 1,644 Global Crossing Ltd. 144A 12.000%, 9/15/15 (4) 1,200 1,278 Hughes Network Systems LLC/Hughes Network Systems Finance Corp. 9.500%, 4/15/14 1,770 1,801 ITC Deltacom, Inc. 144A 10.500%, 4/1/16 (4) 845 816
2 VIRTUS HIGH YIELD FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- TELECOMMUNICATION SERVICES--(CONTINUED) Nextel Communications, Inc. Series C 5.950%, 3/15/14 $ 750 $ 699 NII Capital Corp. 8.875%, 12/15/19 2,165 2,198 PAETEC Holding Corp. 9.500%, 7/15/15 1,085 1,061 Poland Telecom Finance BV Series B 14.000%, 12/1/07 (6)(8)(12) 4,942 62 Telcordia Technologies, Inc. 144A 11.000%, 5/1/18 (4) 750 716 Virgin Media Finance plc 8.375%, 10/15/19 695 707 Windstream Corp. 7.000%, 3/15/19 1,475 1,368 --------------- 14,311 --------------- UTILITIES--1.9% Ferrellgas Partners LP 144A 9.125%, 10/1/17(4) 675 707 8.625%, 6/15/20 340 341 NRG Energy, Inc. 7.375%, 1/15/17 695 690 --------------- 1,738 --------------- TOTAL CORPORATE BONDS (IDENTIFIED COST $84,536) 83,289 --------------- LOAN AGREEMENTS(3)--1.9% CONSUMER STAPLES--0.5% Roundy's Supermarkets, Inc. Tranche 10.000%, 4/16/16 500 503 --------------- FINANCIALS--0.4% AGFS Funding Co. Tranche 7.250%, 4/21/15 410 400 --------------- INDUSTRIALS--0.7% Vertrue, Inc. Tranche 3.300%, 8/18/14 750 634 --------------- INFORMATION TECHNOLOGY--0.3% Reynolds & Reynolds Co. (The) Tranche B 5.250%, 4/21/17 238 236 --------------- TOTAL LOAN AGREEMENTS (IDENTIFIED COST $1,787) 1,773 ---------------
SHARES VALUE --------------- --------------- COMMON STOCKS--0.0% INDUSTRIALS--0.0% ACG Holdings, Inc.(2)(6)(7)(8) 76 0 ---------------
SHARES VALUE --------------- --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $358) 0 --------------- TOTAL LONG TERM INVESTMENTS--94.3% (IDENTIFIED COST $86,681) 85,062 --------------- SHORT-TERM INVESTMENTS--9.5% MONEY MARKET MUTUAL FUNDS--9.5% BlackRock Institutional Money Market Trust (seven-day effective yield 0.293%).(15) 1,921,015 $ 1,921 BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares (seven-day effective yield 0.197%).(15) 2,969,380 2,969 BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 3,640,047 3,640 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $8,530) 8,530 --------------- TOTAL INVESTMENTS--103.8% (IDENTIFIED COST $95,211) 93,592(1) Other Assets and Liabilities--(3.8) (3,469) --------------- NET ASSETS--100.0% $ 90,123 ===============
ABBREVIATIONS: PIK Payment-in-Kind Security 3 Virtus High Yield Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS - -------------------------- -------------- ------------- ----------- ------------ Debt Securities: Corporate Debt $83,289 $ -- $82,684 $605 Loan Agreements 1,773 -- 1,773 -- Equity Securities: Common Stocks -- -- -- 0+ Short-term Investments 8,530 8,530 -- -- ------- ------ ------- ---- Total Investments 93,592 8,530 84,457 605 ======= ====== ======= ====
+ Level 3 Common Stock valued at zero at beginning and end of the period. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | High Yield Fund The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
CORPORATE INVESTMENTS IN SECURITIES TOTAL DEBT - ------------------------- ----- --------- BALANCE AS OF SEPTEMBER 30, 2009: $634 $634 Accrued Discount/(Premium) 2 2 Realized Gain (Loss) -- -- Change in Unrealized Appreciation (Depreciation) 8 8 Net Purchases/(Sales)(b) (39) (39) Transfers In and/or Out of Level 3(a) -- -- ---- ---- BALANCE AS OF JUNE 30, 2010 $605 $605 ==== ====
(a) "Transfers in and/or out" represent the ending value as of June 30, 2010, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (b) Includes paydowns on securities. VIRTUS INTERNATIONAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--99.2% DIVERSIFIED REITS--17.6% Beni Stabili SpA(2) 21,480 $ 16 BGP Holdings plc(2)(6)(8) 588,920 0 British Land Co. plc 102,275 661 Canadian Real Estate Investment Trust 16,820 439 Cominar Real Estate Investment Trust 15,200 265 Dexus Property Group 904,415 580 First Capital Realty, Inc. 20,160 258 Fonciere Des Regions 3,839 316 GPT Group 242,900 567 Kenedix Realty Investment Corp. 116 323 Land Securities Group plc 123,973 1,026 --------------- 4,451 --------------- INDUSTRIAL REITS--6.6% Ascendas Real Estate Investment Trust 469,300 606 Goodman Group 1,255,280 664 SEGRO plc 106,057 400 --------------- 1,670 --------------- OFFICE REITS--15.9% Allied Properties Real Estate Investment Trust 6,795 125 CapitaCommercial Trust 511,000 443 Champion Reit 878,576 407 Commonwealth Property Office Fund 206,416 160 Derwent London plc 20,146 374 Great Portland Estates plc 72,418 313 ING Office Fund 889,950 430 Japan Prime Realty Investment Corp. 145 305 Japan Real Estate Investment Corp. 46 375 Nippon Building Fund, Inc. 50 397 Nomura Real Estate Office Fund, Inc. 63 314 Societe Immobiliere de Location Pour L'industrie Et Le Commerce 3,707 366 --------------- 4,009 --------------- REAL ESTATE OPERATING COMPANIES--19.9% AEON Mall Co. Ltd. 23,830 472 Brookfield Properties Corp. 62,750 881 Castellum AB 41,666 378 Citycon Oyj 122,666 361 Fabege AB 9,860 58 GAGFAH S.A. 28,676 207 Hongkong Land Holdings Ltd. 267,100 1,330
SHARES VALUE --------------- --------------- REAL ESTATE OPERATING COMPANIES--(CONTINUED) Iguatemi Empresa de Shopping Centers SA 12,540 $ 219 Multiplan Empreendimentos Imobiliarios SA 16,878 301 Norwegian Property ASA(2) 91,000 119 PSP Swiss Property AG(2) 6,001 359 Safestore Holdings plc 199,176 340 --------------- 5,025 --------------- RESIDENTIAL REITS--1.3% Boardwalk Real Estate Investment Trust 8,460 318 --------------- RETAIL REITS--36.6% CapitaMall Trust 94,650 124 CFS Retail Property Trust 117,252 185 Corio N.V. 16,070 780 Eurocommercial Properties N.V. 11,242 359 Hammerson plc 90,309 460 Klepierre 21,374 591 Link (The) 363,541 902 RioCan Real Estate Investment Trust 40,550 725 Unibail-Rodamco 12,905 2,103 Westfield Group 294,673 2,995 --------------- 9,224 --------------- SPECIALIZED REITS--1.3% Big Yellow Group plc(2) 76,761 337 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $24,276) 25,034 --------------- TOTAL LONG TERM INVESTMENTS--99.2% (IDENTIFIED COST $24,276) 25,034 --------------- SHORT-TERM INVESTMENTS--2.0% MONEY MARKET MUTUAL FUNDS--2.0% Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.130%) 504,932 505 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $505) 505 --------------- TOTAL INVESTMENTS--101.2% (IDENTIFIED COST $24,781) 25,539(1) Other assets and liabilities, net--(1.2)% (313) --------------- NET ASSETS--100.0% $ 25,226 ===============
ABBREVIATIONS: REIT Real Estate Investment Trust 1 VIRTUS INTERNATIONAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- Australia 22% United Kingdom 15 France 13 Canada 12 Japan 9 Bermuda 5 Hong Kong 5 Other (includes short-term investments) 19 --- Total 100% ===
+ % of total investments as of June 30, 2010 2 Virtus International Real Estate Securities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 TOTAL VALUE AT LEVEL 1 SIGNIFICANT SIGNIFICANT JUNE 30, 2010 QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS -------------- ------------- ----------------- ------------------- Equity Securities: Common Stocks $25,034 $4,877 $20,157 $ 0++ Short-term Investments 505 505 -- -- ------- ------ ------- --- Total Investments $25,539 $5,382 $20,157 $ 0++ ======= ====== ======= ===
++ Level 3 Common Stock valued at zero at beginning and end of the period. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--88.3% CONSUMER DISCRETIONARY--16.9% Abercrombie & Fitch Co. Class A 35,760 $ 1,097 AnnTaylor Stores Corp.(2) 26,980 439 Autoliv, Inc. 6,790 325 Drew Industries, Inc.(2) 16,890 341 Electrolux AB Series B 28,100 642 Esprit Holdings Ltd. 34,753 187 Ethan Allen Interiors, Inc. 24,630 345 Foschini Ltd. ADR 16,120 273 Home Depot, Inc. (The) 11,660 327 Johnson Controls, Inc. 9,010 242 L'Occitane International SA(2) 156,500 341 Liz Claiborne, Inc.(2) 117,490 496 LVMH Moet Hennessy Louis Vuitton S.A 5,580 607 Macy's, Inc. 22,490 403 NetFlix, Inc.(2) 1,760 191 Newell Rubbermaid, Inc. 51,280 751 News Corp. Class A 37,760 452 Nordstrom, Inc. 26,670 859 OfficeMax, Inc.(2) 59,380 775 Ryland Group, Inc. (The) 20,120 318 Saks, Inc.(2) 54,440 413 Sodexo 4,550 253 Stanley Black & Decker, Inc. 14,040 709 Staples, Inc. 49,820 949 Target Corp. 18,820 925 Thomas Cook Group plc 246,710 653 Tiffany & Co. 6,200 235 Timberland Co. (The) Class A(2) 32,730 529 Toyoda Gosei Co., Ltd. 10,400 258 Wet Seal, Inc. (The) Class A(2) 104,420 381 Williams-Sonoma, Inc. 19,350 480 --------------- 15,196 --------------- CONSUMER STAPLES--13.8% Archer-Daniels-Midland Co. 17,600 454 BJ's Wholesale Club, Inc.(2) 21,640 801 Clorox Co. (The) 14,090 876 CVS Caremark Corp. 16,180 474 Diageo plc 14,999 236 Energizer Holdings, Inc.(2) 10,580 532
SHARES VALUE --------------- --------------- CONSUMER STAPLES--(CONTINUED) Estee Lauder Cos., Inc. (The) Class A 3,440 $ 192 Imperial Tobacco Group plc 16,740 468 Kao Corp. 9,000 212 Kirin Brewery Co., Ltd. 30,000 378 Koninklijke Ahold N.V 37,590 465 Kraft Foods, Inc. Class A 24,930 698 Metro AG 12,150 620 Molson Coors Brewing Co. Class B 6,190 262 Nestle S.A. Registered Shares 9,500 458 PepsiCo, Inc. 24,340 1,483 Philip Morris International, Inc. 21,570 989 Toyo Suisan Kaisha Ltd. 20,000 477 Unilever N.V 28,360 774 Wal-Mart Stores, Inc. 8,670 417 Whole Foods Market, Inc.(2) 31,422 1,132 --------------- 12,398 --------------- ENERGY--4.8% Anadarko Petroleum Corp. 3,620 131 Cameron International Corp.(2) 18,860 613 Comstock Resources, Inc.(2) 14,190 393 Concho Resources, Inc.(2) 13,950 772 Continental Resources, Inc.(2) 16,310 728 Dockwise Ltd.(2) 8,850 210 Ensco International plc Sponsored ADR 12,260 482 Halliburton Co. 6,440 158 LUKOIL O.A.O Sponsored ADR 5,980 308 Occidental Petroleum Corp. 2,930 226 Suncor Energy, Inc. 9,250 272 --------------- 4,293 --------------- FINANCIALS--6.5% Arch Capital Group Ltd.(2) 7,250 540 Citizens Republic Bancorp, Inc.(2) 205,820 175 City National Corp. 17,060 874 Fidelity National Financial, Inc. Class A 51,050 663 First American Financial Corp. 23,020 292 First Midwest Bancorp, Inc. 24,850 302 Huntington Bancshares, Inc. 126,620 702 Investment Technology Group, Inc.(2) 31,086 499 MFA Financial, Inc. 53,010 392
1 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- FINANCIALS--(CONTINUED) Muenchener Rueckversicherungs-Gesellschaft AG Registered Shares 2,600 $ 326 Piper Jaffray Cos.(2) 7,700 248 PrivateBancorp, Inc. 32,560 361 TD Ameritrade Holding Corp.(2) 29,640 454 --------------- 5,828 --------------- HEALTH CARE--12.9% Alexion Pharmaceuticals, Inc.(2) 5,280 270 Align Technology, Inc.(2) 24,180 360 Allergan, Inc. 3,850 224 Amedisys, Inc.(2) 9,910 436 AmerisourceBergen Corp. 6,440 204 Amgen, Inc.(2) 2,840 149 Amylin Pharmaceuticals, Inc.(2) 40,840 768 ArthroCare Corp.(2) 2,930 90 BioMarin Pharmaceutical, Inc.(2) 7,090 134 Celgene Corp.(2) 2,390 121 CIGNA Corp. 4,060 126 Cooper Companies, Inc. 15,160 603 Covidien plc 23,340 938 Dendreon Corp.(2) 220 7 Edwards Lifesciences Corp.(2) 4,720 264 Emergency Medical Services Corp. Class A(2) 1,380 68 Emergent Biosolutions, Inc.(2) 26,100 426 Express Scripts, Inc.(2) 3,740 176 Hospira, Inc.(2) 15,440 887 Human Genome Sciences, Inc.(2) 9,260 210 ICON plc Sponsored ADR(2) 6,570 190 Illumina, Inc.(2) 2,310 101 Incyte Corp., Ltd.(2) 15,280 169 King Pharmaceuticals, Inc.(2) 66,410 504 Lincare Holdings, Inc. 7,430 242 MAP Pharmaceuticals, Inc.(2) 8,000 105 Medtronic, Inc. 2,440 89 Merck & Co., Inc. 4,040 141 Myriad Genetics, Inc.(2) 5,110 76 Omnicare, Inc. 8,600 204 PerkinElmer, Inc. 2,390 49 Pfizer, Inc. 15,110 215 Salix Pharmaceuticals Ltd.(2) 8,560 334 Sanofi-Aventis SA 8,270 498
SHARES VALUE --------------- --------------- HEALTH CARE--(CONTINUED) Smith & Nephew plc 44,730 $ 423 St. Jude Medical, Inc.(2) 14,950 540 Thermo Fisher Scientific, Inc.(2) 4,190 206 United Therapeutics Corp.(2) 1,270 62 Universal Health Services, Inc. Class B 17,950 685 Warner Chilcott plc Class A(2) 8,270 189 Zimmer Holdings, Inc.(2) 2,990 162 --------------- 11,645 --------------- INDUSTRIALS--10.5% Actuant Corp. Class A 18,650 351 Altra Holdings, Inc.(2) 59,364 773 BAE Systems plc 88,238 411 East Japan Railway Co. 4,300 286 Finmeccanica SpA 46,510 482 FTI Consulting, Inc.(2) 12,420 541 Harbin Power Equipment Co., Ltd. 444,000 317 Hutchison Whampoa Ltd. ADR 16,500 507 ICF International, Inc.(2) 15,740 377 IDEX Corp. 7,710 220 Kennametal, Inc. 26,540 675 Lennox International, Inc. 7,830 325 McDermott International, Inc.(2) 12,720 275 Navistar International Corp.(2) 14,440 710 Robert Half International, Inc. 20,220 476 Roper Industries, Inc. 4,710 264 Schneider Electric SA 4,333 438 Snap-On, Inc. 5,360 219 Steelcase, Inc. Class A 68,530 531 Teledyne Technologies, Inc.(2) 4,727 182 Timken Co. (The) 23,110 601 TNT N.V 17,690 446 --------------- 9,407 --------------- INFORMATION TECHNOLOGY--15.1% Akamai Technologies, Inc.(2) 4,670 189 Amadeus IT Holding SA A Shares(2) 32,190 512 AOL, Inc.(2) 9,977 207 Apple, Inc.(2) 4,980 1,253 AU Optronics Corp. Sponsored ADR 36,560 325 Broadcom Corp. Class A 5,190 171 CoreLogic, Inc. 23,020 406 Dolby Laboratories, Inc. Class A(2) 4,070 255
2 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- INFORMATION TECHNOLOGY--(CONTINUED) EMC Corp.(2) 57,390 $ 1,050 Emulex Corp.(2) 30,270 278 Equinix, Inc.(2) 6,740 547 Fujitsu Ltd. 64,570 404 Google, Inc. Class A(2) 890 396 Harris Corp. 13,740 572 Informatica Corp.(2) 51,790 1,237 International Business Machines Corp. 1,600 198 Microsemi Corp.(2) 35,310 517 Oracle Corp. 23,160 497 Quest Software, Inc.(2) 32,280 582 Research In Motion Ltd.(2) 22,070 1,087 Rovi Corp.(2) 13,550 514 Siliconware Precision Industries Co. Sponsored ADR 72,000 385 Synopsys, Inc.(2) 17,660 369 Tellabs, Inc. 70,970 453 Teradata Corp.(2) 13,973 426 VMware, Inc. Class A(2) 12,682 794 --------------- 13,624 --------------- MATERIALS--3.0% Atlas Iron Ltd.(2) 134,240 232 Freeport-McMoRan Copper & Gold, Inc. 3,850 227 Impala Platinum Holdings Ltd. Sponsored ADR 10,800 252 Kaneka Corp. 66,000 383 RTI International Metals, Inc.(2) 17,700 427 Temple-Inland, Inc. 21,380 442 Titanium Metals Corp.(2) 28,350 499 Tokyo Ohka Kogyo Co., Ltd. 17,090 288 --------------- 2,750 --------------- TELECOMMUNICATION SERVICES--2.1% AT&T, Inc. 11,280 273 Frontier Communications Corp. 93,620 666 MTN Group Ltd. Sponsored ADR 29,420 392 Telefonica Moviles S.A.(6)(8) 1,400 0 Turkcell Iletisim Hizmetleri A.S. ADR 18,020 234 VimpelCom Ltd.(2) 18,670 302 --------------- 1,867 --------------- UTILITIES--2.7% Ameren Corp. 22,140 526
SHARES VALUE --------------- --------------- UTILITIES--(CONTINUED) Cia Paranaense de Energia ADR 16,460 $ 340 Great Plains Energy, Inc. 35,860 611 PNM Resources, Inc. 46,080 515 Portland General Electric Co. 23,130 424 --------------- 2,416 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $76,402) 79,424 --------------- TOTAL LONG TERM INVESTMENTS--88.3% (IDENTIFIED COST $76,402) 79,424 --------------- SHORT-TERM INVESTMENTS--6.3% MONEY MARKET MUTUAL FUNDS--6.3% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 5,655,966 5,656 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $5,656) 5,656 --------------- TOTAL INVESTMENTS--94.6% (IDENTIFIED COST $82,058) 85,080(1) SECURITIES SOLD SHORT--(89.5)% (PROCEEDS ($80,071)) (80,458) Other assets and liabilities, net--94.9% 85,296 --------------- NET ASSETS--100.0% $ 89,918 =============== SECURITIES SOLD SHORT--89.5% COMMON STOCKS SOLD SHORT--(89.5)% CONSUMER DISCRETIONARY--(18.5)% Advance Auto Parts, Inc. (17,820) (894) Brunswick Corp. (25,660) (319) Cinemark Holdings, Inc. (17,010) (224) Compass Group plc (35,370) (269) Crew (J.) Group, Inc. (10,300) (379) Discovery Communications, Inc. Class A (22,050) (787) Family Dollar Stores, Inc. (29,150) (1,099) Garmin Ltd. (13,800) (403) Genuine Parts Co. (15,060) (594) Harley-Davidson, Inc. (15,110) (336) Hermes International (4,190) (555) Husqvarna AB (107,260) (645)
3 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Intercontinental Hotels Group plc (50,110) $ (790) Li & Fung Ltd. (60,000) (268) LKQ Corp. (42,729) (824) Lululemon Athletica, Inc. (23,920) (890) Morningstar, Inc. (6,010) (256) NGK Spark Plug Co., Ltd. (22,000) (273) O'Reilly Automotive, Inc. (13,680) (651) Panera Bread Co. Class A (15,650) (1,178) Penney (J.C.) Co., Inc. (40,070) (861) Polo Ralph Lauren Corp. (9,420) (687) Ross Stores, Inc. (12,010) (640) Tim Hortons, Inc. (24,670) (789) UniFirst Corp. (11,340) (499) Urban Outfitters, Inc. (35,010) (1,204) Woolworths Holdings Ltd. GDR (10,650) (333) --------------- (16,647) --------------- CONSUMER STAPLES--(13.6)% Asahi Breweries Ltd. (25,800) (437) Carrefour SA (14,470) (574) Church & Dwight Co., Inc. (23,930) (1,501) Constellation Brands, Inc. Class A (28,000) (437) Flowers Foods, Inc. (45,020) (1,100) General Mills, Inc. (33,530) (1,191) Green Mountain Coffee, Inc. (47,670) (1,225) Hain Celestial Group, Inc. (The) (22,330) (450) Heinz (H.J.) Co. (9,370) (405) Hormel Foods Corp. (9,630) (390) Kroger Co. (The) (21,960) (432) L'Oreal SA (6,250) (612) Lindt & Spruengli AG (310) (673) Pernod-Ricard SA (7,497) (582) Reckitt Benckiser Group plc (9,850) (458) SABMiller plc (8,570) (240) Seven & I Holdings Co., Ltd. (19,200) (440) Shiseido Co., Ltd. (10,600) (234) Smucker (J.M.) Co. (The) (7,636) (460) Tyson Foods, Inc. Class A (24,900) (408) --------------- (12,249) --------------- ENERGY--(4.4)% AMEC plc (39,950) (490) Baker Hughes, Inc. (22,750) (946)
SHARES VALUE --------------- --------------- ENERGY--(CONTINUED) Berry Petroleum Co. Class A (20,130) $ (518) Cenovus Energy, Inc. (10,980) (283) Devon Energy Corp. (3,260) (199) Diamond Offshore Drilling, Inc. (11,180) (695) Exxon Mobil Corp. (3,140) (179) Goodrich Petroleum Corp. (28,120) (337) PetroChina Co., Ltd. ADR (2,820) (309) --------------- (3,956) --------------- FINANCIALS--(6.3)% BB&T Corp. (13,380) (352) FirstMerit Corp. (16,300) (279) Hannover Rueckversicherung AG Registered Shares (8,480) (364) People's United Financial, Inc. (45,710) (617) Prosperity Bancshares, Inc. (38,200) (1,328) Trustmark Corp. (12,160) (253) Valley National Bancorp (56,448) (769) Washington Federal, Inc. (32,470) (525) Westamerica Bancorp (23,080) (1,212) --------------- (5,699) --------------- HEALTH CARE--(12.9)% AMAG Pharmaceuticals, Inc. (6,190) (213) American Medical Systems Holdings, Inc. (15,810) (350) AstraZeneca plc Sponsored ADR (26,470) (1,247) Auxilium Pharmaceuticals, Inc. (10,410) (245) Bard (C.R.), Inc. (5,670) (440) Becton, Dickinson & Co. (4,710) (318) Biogen Idec, Inc. (9,530) (452) CareFusion Corp. (16,520) (375) Charles River Laboratories International, Inc. (7,460) (255) Conceptus, Inc. (5,150) (80) Covance, Inc. (13,320) (683) DENTSPLY International, Inc. (20,430) (611) Eisai Co., Ltd. (17,350) (576) Eli Lilly & Co. (13,660) (458) Gen-Probe, Inc. (22,470) (1,021) Haemonetics Corp. (10,070) (539) Health Net, Inc. (8,000) (195) Healthways, Inc. (26,950) (321) Integra LifeSciences Holdings Corp. (12,330) (456) Intuitive Surgical, Inc. (2,150) (679)
4 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- HEALTH CARE--(CONTINUED) Invacare Corp. (19,470) $ (404) Laboratory Corp. of America Holdings (2,330) (175) Lundbeck (H) A/S (23,040) (314) Techne Corp. (10,395) (597) UCB SA (7,640) (240) VCA Antech, Inc. (13,040) (323) --------------- (11,567) --------------- INDUSTRIALS--(9.2)% American Superconductor Corp. (9,950) (266) Baldor Electric Co. (59,730) (2,155) Bucyrus International, Inc. (9,440) (448) Central Japan Railway Co. (34) (281) Cobham plc (120,640) (382) Donaldson Co., Inc. (19,970) (852) Dongfang Electric Corp., Ltd. (147,200) (453) GATX Corp. (26,320) (702) Legrand SA (15,050) (446) Regal-Beloit Corp. (7,270) (405) Rolls-Royce Group plc(8) (7,591,140) (11) Rolls-Royce Group plc (84,346) (704) Wabtec Corp. (20,140) (803) Watsco, Inc. (5,730) (332) --------------- (8,240) --------------- INFORMATION TECHNOLOGY--(16.2)% Adobe Systems, Inc. (15,320) (405) Advanced Semiconductor Engineering, Inc. ADR (105,950) (414) Altera Corp. (27,330) (678) Amdocs Ltd. (4,680) (126) ANSYS, Inc. (8,930) (362) Automatic Data Processing, Inc. (3,270) (132) CACI International, Inc. Class A (7,860) (334) Corning, Inc. (43,130) (696) Cree, Inc. (7,210) (433) F5 Networks, Inc. (6,570) (450) International Rectifier Corp. (24,710) (460) LG Display Co., Ltd. ADR (24,970) (402) Linear Technology Corp. (25,500) (709) Marvell Technology Group Ltd. (60,140) (948) McAfee, Inc. (4,870) (150) National Semiconductor Corp. (59,830) (805) Neopost SA (6,680) (484)
SHARES VALUE --------------- --------------- INFORMATION TECHNOLOGY--(CONTINUED) Nippon Electric Glass Co., Ltd. (35,000) $ (401) Polycom, Inc. (10,870) (324) QLogic Corp. (38,800) (645) Salesforce.com, Inc. (11,420) (980) SAP AG Sponsored ADR (9,200) (407) Skyworks Solutions, Inc. (12,540) (210) Telefonaktiebolaget LM Ericsson Class B (46,460) (515) Texas Instruments, Inc. (23,800) (554) Vishay Intertechnology, Inc. (54,130) (419) Western Digital Corp. (25,200) (760) Xilinx, Inc. (9,770) (247) Yahoo!, Inc. (33,160) (459) Zebra Technologies Corp. Class A (24,230) (615) --------------- (14,524) --------------- MATERIALS--(3.6)% Anglo Platinum Ltd. ADR (3,900) (368) NewMarket Corp. (6,960) (608) OJI Paper Co., Ltd. (88,980) (436) Owens-Illinois, Inc. (6,390) (169) OZ Minerals Ltd. (267,320) (212) Sensient Technologies Corp. (35,890) (931) Sigma-Aldrich Corp. (2,460) (123) Toray Industries, Inc. (80,370) (385) --------------- (3,232) --------------- TELECOMMUNICATION SERVICES--(2.0)% Indosat Tbk PT ADR (14,740) (400) Mobile TeleSystems OJSC Sponsored ADR (28,490) (546) tw telecom, inc (36,290) (605) Verizon Communications, Inc. (9,480) (266) --------------- (1,817) --------------- UTILITIES--(2.8)% Consolidated Edison, Inc. (13,470) (581) Dominion Resources, Inc. (15,320) (593) Huaneng Power International, Inc. Sponsored ADR (4,890) (115) NextEra Energy, Inc. (8,390) (409) OGE Energy Corp. (16,380) (599)
5 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- UTILITIES--(CONTINUED) Tractebel Energia SA Sponsored ADR (18,960) $ (230) --------------- (2,527) --------------- TOTAL COMMON STOCKS SOLD SHORT--(89.5)% (PROCEEDS ($80,071)) (80,458) --------------- TOTAL SECURITIES SOLD SHORT--(89.5)% (PROCEEDS ($80,071)) (80,458)(1) ---------------
ABBREVIATIONS: ADR American Depositary Receipt. 6 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
COUNTRY WEIGHTINGS - LONG as of 6/30/10 + - ----------------------------------------- United States (includes short-term investments) 77% Japan 3 United Kingdom 3 Canada 2 France 2 Ireland 2 Netherlands 2 Other 9 --- Total 100% ===
+ % of total investments as of June 30, 2010 7 VIRTUS MARKET NEUTRAL FUND SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
COUNTRY WEIGHTINGS - SHORT as of 6/30/10 + - ------------------------------------------ United States (includes short-term investments) 74% United Kingdom 6 France 4 Japan 4 Sweden 2 Bermuda 1 Canada 1 Other 8 --- Total 100% ===
+ % of total investments as of June 30, 2010 8 Virtus Market Neutral Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.): ASSETS TABLE
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS - -------------------------- -------------- ------------- ----------- ------------ Equity Securities: Common Stocks $79,424 $67,592 $11,832 $ 0+ Short-term Investments 5,656 5,656 -- -- ------- ------- ------- ----- Total Investments 85,080 73,248 11,832 0+ ======= ======= ======= =====
LIABILITIES TABLE
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS - --------------------------- -------------- ------------- ----------- ------------ Equity Securities: Common Stocks Sold Short $(80,458) $(66,717) $(13,730) $(11) -------- -------- -------- ---- Total Liabilities $(80,458) $(66,717) $(13,730) $(11) ======== ======== ======== ====
+ Level 3 Common Stock valued at zero at beginning and end of the period. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | Market Neutral Fund The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Common Stocks INVESTMENTS IN SECURITIES TOTAL Sold Short - ------------------------- ----- ------------- BALANCE AS OF SEPTEMBER 30, 2009: $ -- $ -- Accrued Discount/(Premium) -- -- Realized Gain (Loss) -- -- Change in Unrealized Appreciation (Depreciation) -- -- Net Purchases/(Sales) -- -- Transfers In and/or Out of Level 3(a) (11) (11) ---- ---- BALANCE AS OF JUNE 30, 2010 $(11) $(11) ==== ====
(a) "Transfers in and/or out" represent the ending value as of June 30, 2010, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- MUNICIPAL BONDS--0.3% MICHIGAN--0.1% Tobacco Settlement Finance Authority Taxable Series 06-A, 7.309%, 6/1/34 $ 165 $ 126 --------------- SOUTH DAKOTA--0.1% Educational Enhancement Funding Corp. Taxable Series 02-A, 6.720%, 6/1/25 191 169 --------------- VIRGINIA--0.1% Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46 345 233 --------------- TOTAL MUNICIPAL BONDS (IDENTIFIED COST $669) 528 --------------- FOREIGN GOVERNMENT SECURITIES--9.6% Bolivarian Republic of Venezuela 8.500%, 10/8/14 1,210 935 RegS 5.750%, 2/26/16(5) 705 444 9.250%, 9/15/27 1,035 701 9.375%, 1/13/34 950 594 Commonwealth of Australia Series 123, 5.750%, 4/15/12 1,110AUD 955 Commonwealth of Canada 2.750%, 12/1/10 1,399CAD 1,325 Federative Republic of Brazil 12.500%, 1/5/16 1,185BRL 734 12.500%, 1/5/22 1,125BRL 709 10.250%, 1/10/28 2,130BRL 1,196 Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33 4,523 3,115 Series GDP 3.169%, 12/15/35(3) 3,200 260 Republic of Colombia 12.000%, 10/22/15 925,000COP 628 6.125%, 1/18/41 1,000 1,018 Republic of Indonesia Series FR-23, 11.000%, 12/15/12 6,200,000IDR 745 Series FR-30, 10.750%, 5/15/16 3,360,000IDR 422 Republic of Korea Series 1112, 4.750%, 12/10/11 1,902,500KRW 1,585 Republic of Lithuania 144A 7.375%, 2/11/20 (4) 500 530 Republic of South Africa Series R-201 8.750%, 12/21/14 5,285ZAR 710 Republic of Turkey 0.000%, 2/2/11 1,860TRY 1,121 Republic of Ukraine RegS 7.650%, 6/11/13(5) 500 506
PAR VALUE VALUE -------------- --------------- 144A 6.580%, 11/21/16(4) $ 250 $ 232 RegS 6.580%, 11/21/16(5) 360 337 Russian Federation RegS 7.500%, 3/31/30 (3)(5) 138 155 --------------- TOTAL FOREIGN GOVERNMENT SECURITIES (IDENTIFIED COST $17,885) 18,957 --------------- MORTGAGE-BACKED SECURITIES--13.8% NON-AGENCY--13.8% American Tower Trust 07-1A, C 144A 5.615%, 4/15/37 (4) 750 789 Bear Stearns Commercial Mortgage Securities, Inc. 06-PW12, A4 5.907%, 9/11/38(3) 790 848 06-PW14, A4 5.201%, 12/11/38 350 358 05-PW10, A4 5.405%, 12/11/40 950 999 07-T28, A4 5.742%, 9/11/42 800 835 05-T20, A4A 5.297%, 10/12/42(3) 600 641 07-PW18, A4 5.700%, 6/11/50 750 759 07-PW18, AM 6.084%, 6/11/50 725 631 Citigroup-Deutsche Bank Commercial Mortgage Trust 05-CD1, AM 5.397%, 7/15/44(3) 610 585 07-CD4, A4 5.322%, 12/11/49 475 461 Credit Suisse First Boston Mortgage Securities Corp. 04-C5, A3 4.499%, 11/15/37 825 844 Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.711%, 2/15/39 (3) 650 689 GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38 595 602 GMAC Commercial Mortgage Securities, Inc. 04-C2, A3 5.134%, 8/10/38 450 466 Goldman Sachs Mortgage Securities Corp. II 07-GG10, A4 5.999%, 8/10/45 (3) 915 900 Greenwich Capital Commercial Funding Corp. 04-GG1, A7 5.317%, 6/10/36 550 588 JPMorgan Chase Commercial Mortgage Securities Corp. 05-LDP2, AM 4.780%, 7/15/42 775 723 05-LDP5, AM 5.402%, 12/15/44(3) 950 914 06-LDP7, A4 6.064%, 4/15/45(3) 1,000 1,066 06-LDP9, A3 5.336%, 5/15/47 700 692 07-LD12, A4 5.882%, 2/15/51 750 752 Lehman Brothers - UBS Commercial Mortgage Trust
1 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- NON-AGENCY--(CONTINUED) 07-C2, A3 5.430%, 2/15/40 $ 1,100 $ 1,103 07-C2, H 144A 6.192%, 2/15/40(4) 850 96 05-C3, AM 4.794%, 7/15/40 350 325 07-C6, A4 5.858%, 7/15/40 700 694 07-C7, A3 5.866%, 9/15/45 600 604 Lehman Brothers Commercial Conduit Mortgage Trust 07-C3, A4 6.150%, 7/15/44 (3) 500 493 Merrill Lynch Mortgage Trust 06-C1, AM 5.838%, 5/12/39 (3) 715 630 Merrill Lynch-Countrywide Commercial Mortgage Trust 06-4, A3 5.172%, 12/12/49 650 642 Morgan Stanley Capital I 05-HQ5, A3 5.007%, 1/14/42 200 206 06-IQ12, A4 5.332%, 12/15/43 1,300 1,331 07-IQ14, A4 5.692%, 4/15/49 820 791 Residential Accredit Loans, Inc. 02-QS12, B1 6.250%, 9/25/32 327 62 Salomon Brothers Mortgage Securities VII, Inc. 01-C1, D 6.831%, 12/18/35 650 650 Timberstar Trust 06-1A, C 144A 5.884%, 10/15/36 (4) 1,000 1,018 Wachovia Bank Commercial Mortgage Trust 04-C12, A4 5.484%, 7/15/41(3) 450 477 07-C30, A5 5.342%, 12/15/43 410 373 06-C29, A4 5.308%, 11/15/48 1,000 1,035 07-C33, A4 6.099%, 2/15/51(3) 550 540 Washington Mutual Mortgage Pass Through Certificates 05-AR10, 1A2 4.735%, 9/25/35 (3) 670 583 Wells Fargo Mortgage Backed Securities Trust 06-AR10, 5A3 5.462%, 7/25/36 (3) 827 682 --------------- TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $25,408) 27,477 --------------- ASSET-BACKED SECURITIES--2.3% Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18 727 652 Carmax Auto Owner Trust 07-2, B 5.370%, 3/15/13 350 360 Conseco Finance Securitizations Corp. 01-3, A4 6.910%, 5/1/33 680 699 Dunkin Securitization/DB Master Finance LLC 06-1, M1 144A 8.285%, 6/20/31 (4) 690 632
PAR VALUE VALUE -------------- --------------- FMAC Loan Receivables Trust 98-CA, A2 144A 6.660%, 9/15/20 (4) $ 9 $ 9 Harley-Davidson Motorcycle Trust 07-2, C 5.410%, 8/15/15 565 590 IHOP Franchising LLC 07-3A 144A 7.059%, 12/20/37 (4) 800 768 IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28 532 434 Popular ABS Mortgage Pass Through Trust 05-5, AF3 5.086%, 11/25/35 (3) 477 462 --------------- TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $4,637) 4,606 --------------- CORPORATE BONDS--57.1% CONSUMER DISCRETIONARY--6.4% Advance Auto Parts, Inc. 5.750%, 5/1/20 265 271 American Axle & Manufacturing Holdings, Inc. 144A 9.250%, 1/15/17 (4) 350 362 Ameristar Casinos, Inc. 9.250%, 6/1/14 60 63 Arcos Dorados B.V. 144A 7.500%, 10/1/19 (4) 375 392 Blockbuster, Inc. 144A 11.750%, 10/1/14 (4) 733 480 Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17 (4) 170 170 DigitalGlobe, Inc. 10.500%, 5/1/14 65 70 DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. 6.375%, 6/15/15 600 621 DuPont Fabros Technology LP 144A 8.500%, 12/15/17 (4) 700 721 Eastman Kodak Co. 7.250%, 11/15/13 72 71 Echostar DBS Corp. 6.625%, 10/1/14 600 602 Harrah's Operating Co., Inc. 11.250%, 6/1/17 425 450 144A 12.750%, 4/15/18(4) 90 86 Hyatt Hotels Corp. 144A 5.750%, 8/15/15 (4) 100 104 International Game Technology 7.500%, 6/15/19 580 674 Landry's Restaurants, Inc. 144A 11.625%, 12/1/15(4) 45 47 11.625%, 12/1/15 334 347 Libbey Glass, Inc. 144A 10.000%, 2/15/15 (4) 50 52 McJunkin Red Man Corp. 144A 9.500%, 12/15/16 (4) 360 351 Mediacom LLC / Mediacom Capital Corp. 9.125%, 8/15/19 750 728 MGM Resorts International, Inc.
2 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) 7.625%, 1/15/17 $ 400 $ 315 11.125%, 11/15/17 225 249 Mobile Mini, Inc. 6.875%, 5/1/15 350 326 NCL Corp., Ltd. 144A 11.750%, 11/15/16 (4) 500 525 Nebraska Book Co., Inc. 10.000%, 12/1/11 500 503 Pinnacle Entertainment, Inc. 144A 8.750%, 5/15/20 (4) 200 186 Pokagon Gaming Authority 144A 10.375%, 6/15/14 (4) 117 122 QVC, Inc. 144A 7.500%, 10/1/19 (4) 520 514 River Rock Entertainment Authority (The) 9.750%, 11/1/11 250 233 Royal Caribbean Cruises Ltd. 6.875%, 12/1/13 1,250 1,222 Scientific Games International, Inc. 9.250%, 6/15/19 170 175 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC 144A 3.037%, 3/15/14 (3)(4) 75 64 Seneca Gaming Corp. Series B 7.250%, 5/1/12 19 19 Toys R US Property Co., LLC 144A 8.500%, 12/1/17 (4) 600 618 TRW Automotive, Inc. 144A 8.875%, 12/1/17 (4) 140 145 Videotron Ltee 6.375%, 12/15/15 180 179 9.125%, 4/15/18 82 89 Wyndham Worldwide Corp. 7.375%, 3/1/20 590 606 --------------- 12,752 --------------- CONSUMER STAPLES--2.0% BFF International Ltd. 144A 7.250%, 1/28/20 (4) 150 154 Bunge Ltd. Finance Corp. 8.500%, 6/15/19 250 299 Constellation Brands, Inc. 8.375%, 12/15/14 165 177 Great Atlantic & Pacific Tea Co. 144A 11.375%, 8/1/15 (4) 250 209 Michael Foods, Inc. 144A 9.750%, 7/15/18 (4) 275 284 Reynolds American, Inc. 7.625%, 6/1/16 375 425 Smithfield Foods, Inc. 144A 10.000%, 7/15/14 (4) 600 667 Tyson Foods, Inc. 7.850%, 4/1/16 650 710 UST, Inc. 5.750%, 3/1/18 500 521 Yankee Acquisition Corp. Series B, 9.750%, 2/15/17 535 547 --------------- 3,993 ---------------
PAR VALUE VALUE -------------- --------------- ENERGY--6.0% Adaro Indonesia PT 144A 7.625%, 10/22/19 (4) $ 435 $ 442 Antero Resources Finance Corp. 144A 9.375%, 12/1/17 (4) 250 251 ATP Oil & Gas Corp. 144A 11.875%, 5/1/15 (4) 280 204 Coffeyville Resources LLC / Coffeyville Finance, Inc. 144A 10.875%, 4/1/17 (4) 675 661 Denbury Resources, Inc. 7.500%, 12/15/15 510 518 Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16 (4) 750 720 Gazprom International SA 144A 7.201%, 2/1/20 (4) 638 659 Gazprom OAO (Gaz Capital SA) 144A 6.212%, 11/22/16(4) 935 943 144A 8.146%, 4/11/18(4) 100 109 144A 6.510%, 3/7/22(4) 315 304 Helix Energy Solutions Group, Inc. 144A 9.500%, 1/15/16 (4) 200 185 Hercules Offshore, Inc. 144A 10.500%, 10/15/17 (4) 225 201 Holly Corp. 144A 9.875%, 6/15/17 (4) 88 91 OPTI Canada, Inc. 7.875%, 12/15/14 600 525 Petrohawk Energy Corp. 10.500%, 8/1/14 475 513 Petroleos de Venezuela SA 5.250%, 4/12/17 950 511 Petroleos Mexicanos 144A 6.000%, 3/5/20 (4) 270 284 Petropower I Funding Trust 144A 7.360%, 2/15/14 (4) 457 463 Pioneer Drilling Co. 144A 9.875%, 3/15/18 (4) 110 108 Pride International, Inc. 8.500%, 6/15/19 330 342 SEACOR Holdings, Inc. 7.375%, 10/1/19 600 634 Swift Energy Co. 8.875%, 1/15/20 500 495 TengizChevroil Finance Co. S.A.R.L. 144A 6.124%, 11/15/14 (4) 643 662 Tesoro Corp. 6.500%, 6/1/17 480 442 Venoco, Inc. 11.500%, 10/1/17 600 615 Weatherford International Ltd. 9.625%, 3/1/19 318 383 Western Refining, Inc. 144A 11.250%, 6/15/17 (4) 600 549 --------------- 11,814 --------------- FINANCIALS--26.7% ABH Financial Ltd. (Alfa Markets Ltd.) 144A 8.200%, 6/25/12 (4) 150 154 ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14 (4) 560 554 AFLAC, Inc. 8.500%, 5/15/19 300 361
3 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) Agile Property Holdings Ltd. 144A 10.000%, 11/14/16 (4) $ 240 $ 247 Alfa Invest Ltd. 144A 9.250%, 6/24/13 (4) 350 366 Allstate Corp. 6.125%, 5/15/37(3) 680 599 American General Finance Corp. 5.400%, 12/1/15 750 587 AmSouth Bank N.A. 4.850%, 4/1/13 825 817 Assurant, Inc. 5.625%, 2/15/14 345 365 Atlantic Finance Ltd. 144A 9.750%, 5/27/14 (4) 450 481 Banco do Brasil SA 144A 8.500%, 10/29/49 (4) 600 661 Banco Santander Brasil SA/Brazil 144A 4.500%, 4/6/15 (4) 350 345 Bank of America Corp. 5.420%, 3/15/17 700 697 8.000%, 12/29/49(3) 375 362 Bank of America Corp. Capital Trust XI 6.625%, 5/23/36 525 487 Barclays Bank plc 144A 6.050%, 12/4/17(4) 435 439 144A 5.926%, 9/29/49(3)(4) 600 489 BBVA International Preferred SA Unipersonal 5.919%, 12/31/49(3) 375 272 Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18 700 817 Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19 (4) 385 397 Brandywine Operating Partnership LP 7.500%, 5/15/15 500 545 Capital One Capital VI 8.875%, 5/15/40 1,000 1,041 Cemex Finance LLC 144A 9.500%, 12/14/16 (4) 245 238 Chubb Corp. 6.375%, 3/29/49(3) 680 653 CIT Group, Inc. 7.000%, 5/1/13 600 577 Citigroup, Inc. 5.000%, 9/15/14 365 365 4.875%, 5/7/15 1,100 1,091 Comerica Capital Trust II 6.576%, 2/20/37(3) 750 630 Discover Bank 8.700%, 11/18/19 250 278 7.000%, 4/15/20 700 707 Equity One, Inc. 6.250%, 12/15/14 375 391 Fibria Overseas Finance Ltd. 144A 7.500%, 5/4/20 (4) 1,029 1,050 Fidelity National Financial, Inc. 6.600%, 5/15/17 750 748 Fifth Third Bancorp 4.500%, 6/1/18 800 756
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) First Niagara Financial Group, Inc. 6.750%, 3/19/20 $ 500 $ 525 First Tennessee Bank N.A. 5.050%, 1/15/15 725 716 First Tennessee Capital I Series A, 8.070%, 1/6/27 475 435 Ford Motor Credit Co. LLC 7.500%, 8/1/12 100 102 Ford Motor Credit Co., LLC 9.875%, 8/10/11 345 363 8.000%, 6/1/14 400 413 8.700%, 10/1/14 125 130 8.125%, 1/15/20 650 665 Genworth Financial, Inc. 5.750%, 6/15/14 500 500 6.515%, 5/22/18 700 674 Glen Meadow Pass Through Trust 144A 6.505%, 2/12/49 (3)(4) 770 559 Glencore Funding LLC 144A 6.000%, 4/15/14 (4) 1,000 1,000 GMAC LLC 7.250%, 3/2/11 633 646 6.875%, 9/15/11 253 258 6.000%, 12/15/11 633 639 Goldman Sachs Group, Inc. (The) 5.950%, 1/18/18 300 312 7.500%, 2/15/19 365 408 5.375%, 3/15/20 550 543 HBOs plc 144A 6.750%, 5/21/18 (4) 115 108 Hertz Corp. (The) 8.875%, 1/1/14 350 356 10.500%, 1/1/16 100 104 Host Hotels & Resorts LP 9.000%, 5/15/17 125 134 Hyundai Capital Services, Inc. 144A 6.000%, 5/5/15 (4) 325 348 ICICI Bank Ltd. 144A 6.375%, 4/30/22 (3)(4) 375 345 International Lease Finance Corp. 4.750%, 1/13/12 600 571 5.300%, 5/1/12 625 591 Jefferies Group, Inc. 8.500%, 7/15/19 500 562 JPMorgan Chase & Co. 6.125%, 6/27/17 175 191 Series 1, 7.900%, 12/31/49(3) 247 255 JPMorgan Chase Capital XXVII 7.000%, 11/1/39 500 508 Kazkommerts International BV RegS 8.500%, 4/16/13(5) 500 471 RegS 8.000%, 11/3/15(5) 250 227
4 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) KeyBank NA 4.950%, 9/15/15 $ 500 $ 512 Kimco Realty Corp. 6.875%, 10/1/19 550 613 Kookmin Bank 144A 7.250%, 5/14/14 (4) 300 337 LBG Capital No.1 plc 144A 7.875%, 11/1/20 (4) 600 483 Lincoln National Corp. 8.750%, 7/1/19 300 368 6.050%, 4/20/67(3) 300 228 Lukoil International Finance BV 144A 7.250%, 11/5/19 (4) 525 541 Macquarie Group Ltd. 144A 7.625%, 8/13/19 (4) 500 562 Morgan Stanley 6.000%, 5/13/14 165 175 4.200%, 11/20/14 280 276 144A 10.090%, 5/3/17(4) 1,000BRL 518 New Communications Holdings, Inc. 144A 7.875%, 4/15/15 (4) 325 329 OJSC AK Transneft (TransCapitalInvest Ltd.) 144A 5.670%, 3/5/14 (4) 390 397 Petroplus Finance Ltd. 144A 6.750%, 5/1/14 (4) 375 328 Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. 144A 9.250%, 4/1/15 (4) 175 179 PNC Financial Services Group, Inc. 8.250%, 5/29/49(3) 350 359 PNC Funding Corp. 5.625%, 2/1/17 300 319 Principal Financial Group, Inc. 8.875%, 5/15/19 850 1,042 ProLogis 7.625%, 8/15/14 500 531 6.625%, 5/15/18 185 176 6.875%, 3/15/20 400 378 Prudential Financial, Inc. 8.875%, 6/15/38(3) 450 475 Realty Income Corp. 6.750%, 8/15/19 425 469 Regions Financial Corp. 7.750%, 11/10/14 200 211 5.750%, 6/15/15 210 209 Resona Bank Ltd. 144A 5.850%, 9/29/49 (3)(4) 750 709 Royal Bank of Scotland Group plc 6.400%, 10/21/19 370 375 7.648%, 8/29/49(3) 550 415 Royal Bank of Scotland plc (The) 4.875%, 3/16/15 285 284 Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 9.000%, 6/11/14(4) 100 112 144A 6.299%, 5/15/17(4) 380 377
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) SLM Corp. 5.450%, 4/25/11 $ 300 $ 304 5.375%, 5/15/14 200 183 8.450%, 6/15/18 1,050 969 Societe Generale 144A 5.922%, 4/29/49 (3)(4) 650 492 Sovereign Bank 8.750%, 5/30/18 400 459 SunTrust Bank 5.400%, 4/1/20 500 489 Tanger Properties LP 6.125%, 6/1/20 240 253 TNK-BP Finance SA 144A 7.500%, 3/13/13(4) 325 344 144A 7.250%, 2/2/20(4) 100 100 Universal City Development Partners Ltd. 144A 8.875%, 11/15/15(4) 60 61 144A 10.875%, 11/15/16(4) 200 205 Unum Group 7.125%, 9/30/16 450 494 UOB Cayman Ltd. 144A 5.796%, 12/29/49 (3)(4) 500 491 Wachovia Bank NA 5.000%, 8/15/15 250 263 WEA Finance LLC / WT Finance Australia 144A 6.750%, 9/2/19 (4) 1,000 1,111 Webster Financial Corp. 5.125%, 4/15/14 205 196 Willis North America, Inc. 7.000%, 9/29/19 500 537 Woori Bank 144A 6.125%, 5/3/16 (3)(4) 1,000 1,008 XL Capital Ltd. 5.250%, 9/15/14 350 358 Zions Bancorp 7.750%, 9/23/14 225 229 --------------- 53,059 --------------- HEALTH CARE--1.2% DaVita, Inc. 7.250%, 3/15/15 525 527 Mylan, Inc. 144A 7.625%, 7/15/17 (4) 113 116 Omnicare, Inc. 7.750%, 6/1/20 240 246 Patheon, Inc. 144A 8.625%, 4/15/17 (4) 110 110 Psychiatric Solutions, Inc. Series 1, 7.750%, 7/15/15 375 386 Select Medical Corp. 7.625%, 2/1/15 425 401 U.S. Oncology, Inc. 9.125%, 8/15/17 300 310 Valeant Pharmaceuticals International 8.375%, 6/15/16 35 40 Viant Holdings, Inc. 144A 10.125%, 7/15/17 (4) 295 302 --------------- 2,438 --------------- INDUSTRIALS--3.5% American Airlines, Inc. 01-1, 6.977%, 5/23/21 634 520 Continental Airlines, Inc. 98-1A, 6.648%, 9/15/17 354 353
5 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- INDUSTRIALS--(CONTINUED) DRS Technologies, Inc. 6.625%, 2/1/16 $ 500 $ 495 Esco Corp. 144A 8.625%, 12/15/13 (4) 600 598 General Cable Corp. 7.125%, 4/1/17 500 497 Global Aviation Holdings Ltd. 144A 14.000%, 8/15/13 (4) 800 832 Marquette Transportation Co. / Marquette Transportation Finance Corp. 144A 10.875%, 1/15/17 (4) 125 123 Moog, Inc. 7.250%, 6/15/18 100 99 Noble Group Ltd. 144A 6.750%, 1/29/20 (4) 880 854 Owens Corning, Inc. 6.500%, 12/1/16 595 633 PharmaNet Development Group, Inc. 144A 10.875%, 4/15/17 (4) 305 299 Smiths Group plc 144A 7.200%, 5/15/19 (4) 150 175 Teekay Corp. 8.500%, 1/15/20 300 300 United Rentals North America, Inc. 10.875%, 6/15/16 198 213 USG Corp. 144A 9.750%, 8/1/14 (4) 100 105 Voto-Votorantim Ltd. 144A 6.750%, 4/5/21 (4) 750 761 --------------- 6,857 --------------- INFORMATION TECHNOLOGY--1.6% Broadridge Financial Solutions, Inc. 6.125%, 6/1/17 525 552 Crown Castle Holdings GS V LLC/Crown Castle GS III Corp. 144A 7.750%, 5/1/17 (4) 400 423 Freescale Semiconductor, Inc. 10.125%, 12/15/16 350 282 Jabil Circuit, Inc. 8.250%, 3/15/18 600 639 NXP BV / NXP Funding LLC 7.875%, 10/15/14 500 461 Sorenson Communications, Inc. 144A 10.500%, 2/1/15 (4) 500 318 SunGard Data Systems, Inc. 9.125%, 8/15/13 574 586 --------------- 3,261 --------------- MATERIALS--6.4% Allegheny Technologies, Inc. 9.375%, 6/1/19 590 697 Ball Corp. 7.125%, 9/1/16 1,475 1,551 Catalyst Paper Corp. 7.375%, 3/1/14 750 353 Commercial Metals Co. 7.350%, 8/15/18 730 766 CRH America, Inc. 8.125%, 7/15/18 650 784 Edgen Murray Corp. 144A 12.250%, 1/15/15 (4) 650 552 Georgia Gulf Corp. 144A 9.000%, 1/15/17 (4) 275 281 Georgia-Pacific LLC 144A 7.125%, 1/15/17 (4) 475 487
PAR VALUE VALUE -------------- --------------- MATERIALS--(CONTINUED) Gerdau Holdings, Inc. 144A 7.000%, 1/20/20 (4) $ 250 $ 255 Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC 8.875%, 2/1/18 600 544 Ineos Group Holdings plc 144A 8.500%, 2/15/16 (4) 1,550 1,217 International Paper Co. 9.375%, 5/15/19 508 656 JohnsonDiversey, Inc. 144A 8.250%, 11/15/19 (4) 50 52 Lyondell Chemical Co. 11.000%, 5/1/18 250 269 Nalco Co. 8.875%, 11/15/13 180 185 Nova Chemicals Corp. 3.748%, 11/15/13(3) 1,000 922 Owens-Brockway Glass Container, Inc. 7.375%, 5/15/16 475 498 Plastipak Holdings, Inc. 144A 8.500%, 12/15/15 (4) 500 504 Ryerson, Inc. 12.000%, 11/1/15 600 616 Steel Dynamics, Inc. 7.375%, 11/1/12 225 234 Vedanta Resources plc 144A 9.500%, 7/18/18 (4) 375 400 Verso Paper Holdings LLC / Verso Paper, Inc. 11.500%, 7/1/14 300 325 Series B, 11.375%, 8/1/16 750 643 --------------- 12,791 --------------- TELECOMMUNICATION SERVICES--2.3% Axtel SAB de C.V. 144A 9.000%, 9/22/19 (4) 200 179 Cincinnati Bell, Inc. 8.250%, 10/15/17 180 169 Clearwire Communications LLC/Clearwire Finance, Inc. 144A 12.000%, 12/1/15(4) 200 199 144A 12.000%, 12/1/15(4) 200 200 Frontier Communications Corp. 8.125%, 10/1/18 275 275 ITC Deltacom, Inc. 144A 10.500%, 4/1/16 (4) 400 386 Nextel Communications, Inc. Series E 6.875%, 10/31/13 175 170 Series D 7.375%, 8/1/15 650 621 Qwest Corp. 8.375%, 5/1/16 200 219 6.500%, 6/1/17 215 217 Telecom Italia Capital SA 6.999%, 6/4/18 350 373 7.175%, 6/18/19 500 538 Virgin Media Finance plc Series 1, 9.500%, 8/15/16 410 435 Wind Acquisition Finance SA 144A 11.750%, 7/15/17 (4) 350 360
6 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- TELECOMMUNICATION SERVICES--(CONTINUED) Windstream Corp. 7.000%, 3/15/19 $ 250 $ 232 --------------- 4,573 --------------- UTILITIES--1.0% Allegheny Energy Supply Co. LLC 144A 8.250%, 4/15/12 (4) 145 159 Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19 (4) 100 108 Israel Electric Corp. Ltd. 144A 7.250%, 1/15/19 (4) 200 221 Majapahit Holding BV 144A 7.250%, 6/28/17(4) 725 772 144A 7.750%, 1/20/20(4) 200 220 Midwest Generation LLC Series B 8.560%, 1/2/16 110 109 Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375%, 3/15/20 180 183 Texas Competitive Electric Holdings Co. LLC Series A 10.250%, 11/1/15 200 133 --------------- 1,905 --------------- TOTAL CORPORATE BONDS (IDENTIFIED COST $110,481) 113,443 --------------- LOAN AGREEMENTS(3)--15.1% CONSUMER DISCRETIONARY--4.9% Advantage Sales & Marketing, Inc. Tranche, 8.500%, 5/5/17 385 382 AMF Bowling Worldwide, Inc. Tranche B, 2.819%, 5/7/13 484 415 Atrium Cos., Inc. Tranche, 7.000%, 1/21/16 500 487 Cengage Learning Acquisitions, Inc. Tranche, 2.790%, 7/3/14 790 683 Ceridian Corp. Tranche, 3.263%, 11/9/14 937 843 Charter Communications Operating LLC Tranche B-1, 2.265%, 3/6/14 80 74 Tranche C, 3.550%, 9/6/16 646 603 Clear Channel Communications, Inc. Tranche B, 4.004%, 1/29/16 450 345 Ford Motor Co. Tranche B-1, 3.285%, 12/15/13 361 343 Getty Images, Inc. Tranche B, 6.250%, 7/2/15 413 415 Harrah's Operating Co., Inc. Tranche B-2, 3.316%, 1/28/15 346 289 Tranche B-4, 9.500%, 10/31/16 214 215 HHI Group Holdings LLC Tranche, 10.500%, 3/31/15 198 199
PAR VALUE VALUE -------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Intelsat Jackson Holding Ltd. Tranche, 3.260%, 2/1/14 $ 575 $ 530 Landry's Restaurant, Inc. Tranche, 8.000%, 11/30/13 179 181 Las Vegas Sands LLC Tranche B, 2.050%, 5/23/14 455 404 Tranche DD-I, 2.050%, 5/23/14 92 82 Michaels Stores, Inc. Tranche B-2, 0.000%, 7/31/16 550 524 Nielsen Finance LLC Tranche A, 2.297%, 8/9/13 352 332 Tranche B, 4.047%, 5/1/16 206 198 RCN Corp. Tranche, 0.000%, 3/5/16 475 469 Sinclair Television Group, Inc. Tranche B, 6.500%, 10/29/15 185 186 Totes Isotoner Corp. Tranche, 6.252%, 1/16/14 500 399 Univision Communications, Inc. Tranche B, 2.540%, 9/29/14 1,078 902 VWR Funding, Inc. Tranche, 2.792%, 6/29/14 309 287 --------------- 9,787 --------------- CONSUMER STAPLES--0.6% Revlon Consumer Products Corp. Tranche, 6.000%, 3/11/15 703 686 Reynolds Group Holdings Ltd. Tranche, 6.250%, 5/5/16 199 198 Spectrum Brands, Inc. Tranche, 8.000%, 6/16/16 333 335 --------------- 1,219 --------------- ENERGY--0.7% Big West Oil LLC Tranche, 0.000%, 7/9/15 250 252 Hercules Offshore, Inc. Tranche B, 6.000%, 7/11/13 496 439 Scorpion Drilling Ltd. Tranche, 7.752%, 5/8/14 550 551 Venoco, Inc. Tranche C, 4.344%, 5/8/14 210 188 --------------- 1,430 --------------- FINANCIALS--0.4% AGFS Funding Co. Tranche 7.250%, 4/21/15 420 410 Agile Property Holdings Ltd. Tranche, 3.052%, 1/25/13 315 283 Universal City Development Partners, Ltd. Tranche B, 6.000%, 10/20/14 75 74 --------------- 767 ---------------
7 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- HEALTH CARE--0.8% Ardent Health Services, Inc. Tranche, 6.500%, 7/19/15 $ 499 $ 486 Health Management Associates, Inc. Tranche B, 2.040%, 2/28/14 181 169 Psychiatric Solutions, Inc. Tranche B, 2.078%, 7/1/12 155 154 RehabCare Group, Inc. Tranche B, 6.000%, 11/24/15 209 208 Rotech Healthcare, Inc. PIK Interest Capitalization, 6.290%, 9/26/11 300 288 Select Medical Corp. Tranche B-1, 4.234%, 8/22/14 208 201 --------------- 1,506 --------------- INDUSTRIALS--2.1% Harland Clarke Holdings Corp. Tranche B, 2.791%, 6/30/14 989 853 Hawker Beechcraft Aquistion Co. LLC Letter of Credit, 2.290%, 3/26/14 34 27 Tranche, 2.322%, 3/26/14 562 456 Holdings Gaming Borrower LP Tranche B, 9.250%, 2/19/13 159 156 Ozburn-Hessey Holding Co. LLC Tranche B, 7.500%, 4/8/16 249 249 Protection One, Inc. Tranche B, 6.000%, 6/4/16 230 228 ServiceMaster Co. (The) Tranche DD, 2.797%, 7/24/14 98 90 Tranche B, 2.838%, 7/24/14 985 903 Transaction Network Services, Inc. Tranche, 6.000%, 11/18/15 448 449 TransUnion LLC Tranche B, 6.750%, 6/15/17 330 332 Vertrue, Inc. Tranche 3.300%, 8/18/14 196 165 Zuffa LLC Tranche, 7.500%, 6/19/15 211 212 --------------- 4,120 --------------- INFORMATION TECHNOLOGY--2.3% Allen Systems Group, Inc. Tranche, 8.500%, 10/20/13 527 526 Tranche, 13.000%, 4/20/14 253 250 Avaya, Inc. Tranche B-1, 3.002%, 10/26/14 742 637 Dresser, Inc. PIK Interest Capitalization, 6.004%, 5/4/15 834 773 First Data Corp.
PAR VALUE VALUE -------------- --------------- INFORMATION TECHNOLOGY--(CONTINUED) Tranche B-3, 3.036%, 9/24/14 $ 624 $ 526 Tranche B-1, 3.069%, 9/24/14 391 330 Freescale Semiconductor, Inc. Tranche, 4.502%, 12/1/16 395 349 Infor Enterprise Solutions Holdings, Inc. Tranche DD, 6.604%, 3/2/14 174 129 Tranche, 6.604%, 3/2/14 301 222 Reynolds & Reynolds Co. (The) Tranche B 5.250%, 4/21/17 138 137 Spansion LLC Tranche B, 7.750%, 2/9/15 539 534 Springboard Finance LLC Tranche B, 7.000%, 2/23/15 212 210 --------------- 4,623 --------------- MATERIALS--1.6% Anchor Glass Container Corp. Tranche, 10.000%, 9/2/16 760 750 Berry Plastics Group, Inc. Tranche C, 2.303%, 4/3/15 756 671 DynCorp International, Inc. Tranche B, 0.000%, 7/22/20 390 389 Gentek Holding LLC Tranche, 7.000%, 10/29/14 139 139 Hoffmaster Group, Inc. Tranche, 7.125%, 6/2/16 398 387 Nalco Co. Tranche B, 6.500%, 5/13/16 119 119 New Sunward Holding BV Tranche B, 0.000%, 2/14/14 350 315 Reynolds Group Holdings Ltd. Tranche, 5.750%, 4/20/16 200 199 Smurfit-Stone Container Enterprise Tranche B, 6.750%, 2/22/16 215 215 --------------- 3,184 --------------- TELECOMMUNICATION SERVICES--1.1% Cincinnati Bell, Inc. Tranche B, 0.000%, 6/11/17 499 485 Level 3 Communications, Inc. Tranche A, 2.525%, 3/13/14 525 468 Tranche B, 11.500%, 3/13/14 130 140 Securus Technologies, Inc. Tranche, 0.000%, 10/31/14 489 491 U.S. TelePacific Corp. Tranche B, 9.250%, 8/17/15 599 597 --------------- 2,181 ---------------
8 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- UTILITIES--0.6% New Development Holdings LLC Tranche, 0.000%, 6/8/17 $ 460 $ 456 NRG Energy, Inc. Tranche B, 2.056%, 2/1/13 33 32 Letter of Credit 2.191%, 2/1/13 437 419 Texas Competitive Electric Holdings Co. LLC Tranche B-3, 3.780%, 10/10/14 137 101 Tranche B-2, 3.856%, 10/10/14 258 192 --------------- 1,200 --------------- TOTAL LOAN AGREEMENTS (IDENTIFIED COST $29,900) 30,017 ---------------
SHARES VALUE -------------- --------------- PREFERRED STOCK--0.1% FINANCIALS--0.1% FNMA Pfd. 8.250%(2) 38,000 13 GMAC, Inc. Series G Pfd. 7.00%(4) 321 249 --------------- TOTAL PREFERRED STOCK (IDENTIFIED COST $757) 262 --------------- COMMON STOCKS--0.0% CONSUMER DISCRETIONARY--0.0% Mark IV Industries(8) 117 5 --------------- TELECOMMUNICATION SERVICES--0.0% AT&T Latin America Corp. Class A(2)(6)(8) 137,550 0 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $606) 5 --------------- EXCHANGE-TRADED FUNDS--0.5% iShares FTSE/Xinhua China 25 Index Fund 23,000 900 --------------- TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $1,008) 900 --------------- TOTAL LONG TERM INVESTMENTS--98.8% (IDENTIFIED COST $191,351) 196,195 --------------- SHORT-TERM INVESTMENTS--0.2% MONEY MARKET MUTUAL FUNDS--0.2% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 305,345 305 ---------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $305) 305 --------------- TOTAL INVESTMENTS--99.0% (IDENTIFIED COST $191,656) 196,500(1) --------------- Other Assets and Liabilities--1.0% 2,050 --------------- NET ASSETS--100.0% $ 198,550 ===============
ABBREVIATIONS: FNMA Federal National Mortgage Association ("Fannie Mae"). PIK Payment-in-Kind Security FOREIGN CURRENCIES: AUD Australian Dollar BRL Brazil Real CAD Canadian Dollar COP Colombian Peso IDR Indonesian Rupiah KRW Korean Won TRY Turkish Lira ZAR South Africa Rand 9 VIRTUS MULTI-SECTOR FIXED INCOME FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 74% United Kingdom 3 Argentina 2 Brazil 2 Canada 2 Russia 2 South Korea 2 Other 13 --- Total 100% ===
+ % of total investments as of June 30, 2010 10 Virtus Multi-Sector Fixed Income Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 TOTAL VALUE AT LEVEL 1 SIGNIFICANT SIGNIFICANT JUNE 30, 2010 QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS -------------- ------------- ----------------- ------------------- Debt Securities: Asset-backed Securities $ 4,606 $ -- $ 3,838 $ 768 Corporate Debt 143,460 -- 142,862 598 Foreign Government Securities 18,957 -- 18,957 -- Mortgage-backed Securities 27,477 -- 27,477 -- Municipal Securities 528 -- 528 -- Equity Securities: Common Stocks 5 -- -- 5 Exchange-traded Funds 900 900 -- -- Preferred Stock 262 262 -- -- Short-term Investments 305 305 -- -- -------- ------ -------- ------ Total Investments $196,500 $1,467 $193,662 $1,371 ======== ====== ======== ======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | Multi-Sector Fixed Income Fund The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
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 $-- Accrued Discount/(Premium) 3 -- 1 2 -- Realized Gain (Loss) -- -- --(2) --(b) -- Change in Unrealized Appreciation (Depreciation) 143 128 4 11 -- Net Purchases/(Sales)(c) (108) -- (59) (49)(b) -- Transfers In and/or Out of Level 3 (a) (265) (1,018) 768 (20) 5 ------ ------- ---- ---- --- BALANCE AS OF JUNE 30, 2010 $1,371 $ -- $768 $598 $ 5 ====== ======= ==== ==== ===
(a) "Transfers in and/or out" represent the ending value as of June 30. 2010, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (c) Includes paydowns on securities. VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- U.S. GOVERNMENT SECURITIES--3.5% U.S. Treasury Note 1.750%, 8/15/12 $ 8,150 $ 8,339 1.375%, 5/15/13 20,000 20,244 2.500%, 4/30/15 56,000 57,991 1.875%, 6/30/15 15,000 15,057 --------------- TOTAL U.S. GOVERNMENT SECURITIES (IDENTIFIED COST $100,640) 101,631 --------------- MUNICIPAL BONDS--0.2% CONNECTICUT--0.1% Mashantucket Western Pequot Tribe Taxable Series A, 144A (NATL Insured) 6.910%, 9/1/12 (4) 2,515 1,967 --------------- SOUTH DAKOTA--0.0% Educational Enhancement Funding Corp. Taxable Series 02-A, 6.720%, 6/1/25 98 86 --------------- VIRGINIA--0.1% Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46 4,850 3,273 --------------- TOTAL MUNICIPAL BONDS (IDENTIFIED COST $7,108) 5,326 --------------- FOREIGN GOVERNMENT SECURITIES--6.5% Bolivarian Republic of Venezuela 10.750%, 9/19/13 4,920 4,305 8.500%, 10/8/14 17,860 13,797 RegS 5.750%, 2/26/16(5) 13,405 8,445 RegS 7.000%, 12/1/18(5) 3,230 1,882 Commonwealth of Australia Series 123, 5.750%, 4/15/12 11,270AUD 9,698 Commonwealth of Canada 2.750%, 12/1/10 34,307CAD 32,496 Federative Republic of Brazil 12.500%, 1/5/16 44,484BRL 27,541 Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33 33,290 22,928 Series GDP 3.169%, 12/15/35(3) 44,890 3,647 Republic of Colombia 12.000%, 10/22/15 9,935,000COP 6,739 Republic of Indonesia Series FR-23, 11.000%, 12/15/12 26,600,000IDR 3,198 Series FR-30, 10.750%, 5/15/16 40,550,000IDR 5,093 Republic of Korea Series 1112, 4.750%, 12/10/11 23,141,000KRW 19,282 Republic of Lithuania 144A 6.750%, 1/15/15 (4) 4,000 4,192
PAR VALUE VALUE -------------- --------------- Republic of South Africa Series R-201 8.750%, 12/21/14 $ 55,865ZAR $ 7,501 Republic of Turkey 0.000%, 2/2/11 22,335TRY 13,466 Republic of Ukraine RegS 6.580%, 11/21/16 (5) 2,400 2,247 Russian Federation RegS 7.500%, 3/31/30 (3)(5) 1,840 2,070 --------------- TOTAL FOREIGN GOVERNMENT SECURITIES (IDENTIFIED COST $187,110) 188,527 --------------- MORTGAGE-BACKED SECURITIES--27.3% AGENCY--1.6% FHLMC 6.000%, 8/1/34 1,303 1,430 FNMA 5.500%, 1/1/17 432 468 6.000%, 5/1/17 128 140 5.500%, 8/1/17 88 96 4.500%, 4/1/18 968 1,034 5.000%, 10/1/19 1,694 1,822 5.500%, 2/1/20 744 807 5.500%, 3/1/20 787 854 5.500%, 3/1/20 274 297 5.500%, 3/1/20 788 855 5.500%, 3/1/20 1,425 1,546 5.500%, 4/1/20 1,098 1,191 5.000%, 6/1/20 3,126 3,357 6.000%, 12/1/32 204 224 5.500%, 2/1/33 482 521 5.500%, 5/1/34 1,943 2,093 6.000%, 8/1/34 1,341 1,477 6.000%, 10/1/34 733 804 6.000%, 10/1/34 1,566 1,718 5.500%, 11/1/34 2,544 2,739 5.500%, 11/1/34 1,551 1,671 6.000%, 11/1/34 1,545 1,696 5.500%, 12/1/34 1,036 1,116 5.500%, 1/1/35 2,526 2,720 6.000%, 1/1/37 2,458 2,675 6.000%, 1/1/37 1,441 1,568 5.500%, 7/1/37 14 15 6.000%, 7/1/37 631 686 6.000%, 12/1/37 3,149 3,421 6.000%, 4/1/38 2,431 2,641 5.500%, 9/1/38 2,317 2,490 5.500%, 12/1/38 2,902 3,119 GNMA
1 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- AGENCY--(CONTINUED) 6.500%, 7/15/31 $ 34 $ 38 6.500%, 8/15/31 88 98 6.500%, 11/15/31 61 68 6.500%, 2/15/32 27 30 6.500%, 4/15/32 115 128 6.500%, 4/15/32 107 119 --------------- 47,772 --------------- NON-AGENCY--25.7% American General Mortgage Loan Trust 06-1, A2 144A 5.750%, 12/25/35(4) 2,126 2,120 09-1, A6 144A 5.750%, 9/25/48(4) 11,850 11,714 American Tower Trust 07-1A, C 144A 5.615%, 4/15/37 (4) 3,685 3,877 Banc of America Alternative Loan Trust 03-10, 2A1 6.000%, 12/25/33 7,950 8,212 Banc of America Commercial Mortgage, Inc. 05-6, AM 5.350%, 9/10/47 (3) 1,630 1,577 Bear Stearns Commercial Mortgage Securities, Inc. 06-PW12, A4 5.907%, 9/11/38(3) 10,025 10,757 06-PW14, A4 5.201%, 12/11/38 7,400 7,569 05-PW10, A4 5.405%, 12/11/40 13,270 13,949 04-PWR3, A4 4.715%, 2/11/41 6,500 6,774 05-PWR8, A4 4.674%, 6/11/41 7,100 7,351 04-PWR5, A5 4.978%, 7/11/42 3,925 4,138 07-T28, A4 5.742%, 9/11/42 3,360 3,507 07-PW18, A4 5.700%, 6/11/50 6,500 6,574 Chase Mortgage Finance Corp. 05-S1, A10 5.500%, 5/25/35 9,811 9,483 Citicorp Mortgage Securities, Inc. 03-11, 2A10 5.500%, 12/25/33 13,295 12,876 04-4, A6 5.500%, 6/25/34 13,836 14,028 Citigroup-Deutsche Bank Commercial Mortgage Trust 05-CD1, A4 5.397%, 7/15/44(3) 5,000 5,357 05-CD1, AM 5.397%, 7/15/44(3) 6,410 6,145 07-CD4, A4 5.322%, 12/11/49 6,465 6,279 Commercial Mortgage Pass Through Certificates 01-J2A, A2 144A 6.096%, 7/16/34 (4) 7,000 7,341 Countrywide Home Loan Mortgage Pass Through Trust 02-34, B2 5.750%, 1/25/33(6) 1,186 962
PAR VALUE VALUE -------------- --------------- NON-AGENCY--(CONTINUED) 02-36, B2 6.000%, 1/25/33(6) $ 1,224 $ 998 04-9, A6 5.250%, 6/25/34 6,068 5,845 Credit Suisse First Boston Mortgage Securities Corp. 03-CPN1, C 4.763%, 3/15/35 7,964 7,911 02-CKS4, B 5.333%, 11/15/36 5,000 5,166 02-CKS4, C 5.394%, 11/15/36 5,000 5,078 04-C5, A3 4.499%, 11/15/37 2,990 3,058 Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.711%, 2/15/39(3) 9,977 10,569 06-C1, AM 5.729%, 2/15/39(3) 4,745 4,297 Credit-Based Asset Servicing & Securitization LLC 05-CB6, A3 5.120%, 7/25/35 1,820 1,642 Crown Castle Towers LLC 06-1A, C 144A 5.470%, 11/15/36 (4) 5,000 5,173 Entertainment Properties Trust 03-EPR, A2 144A 5.244%, 2/15/18 (4) 7,854 8,217 FFCA Secured Lending Corp. 99-2, WA1C 144A 7.850%, 5/18/26 (4) 7,158 6,153 First Union National Bank Commercial Mortgage 01-C3, G 144A 7.299%, 8/15/33 (4) 10,282 10,563 GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38 4,332 4,382 04-C3, A4 5.189%, 7/10/39 13,500 14,288 GMAC Commercial Mortgage Securities, Inc. 04-C2, A3 5.134%, 8/10/38 1,200 1,244 04-C2, A4 5.301%, 8/10/38 8,178 8,437 04-C3, A4 4.547%, 12/10/41 4,820 4,895 Goldman Sachs Mortgage Securities Corp. II 07-EOP, G 144A 0.871%, 3/6/20(3)(4) 5,840 5,038 07-EOP, H 144A 1.001%, 3/6/20(3)(4) 1,850 1,592 04-GG2, A4 4.964%, 8/10/38 6,900 7,138 07-GG10, A4 5.999%, 8/10/45(3) 10,550 10,372 Greenwich Capital Commercial Funding Corp. 04-GG1, A7 5.317%, 6/10/36 7,950 8,498 GSR Mortgage Loan Trust 05-5F, 2A8 5.500%, 6/25/35 9,820 9,886 05-AR6, 3A1 2.850%, 9/25/35(3) 9,306 8,576 IndyMac Index Mortgage Loan Trust 07-AR2, B1 5.644%, 6/25/37 (3) 1,164 2 JPMorgan Chase Commercial Mortgage Securities Corp. 04-C1, A3 4.719%, 1/15/38 5,565 5,762
2 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- NON-AGENCY--(CONTINUED) 05-LDP2, AM 4.780%, 7/15/42 $ 7,580 $ 7,074 05-LDP5, AM 5.402%, 12/15/44(3) 2,822 2,714 06-LDP7, AM 6.064%, 4/15/45(3) 6,825 5,983 06-LDP7, A4 6.064%, 4/15/45(3) 9,997 10,653 06-LDP9, A3 5.336%, 5/15/47 7,450 7,363 07-LD12, A4 5.882%, 2/15/51 8,029 8,052 JPMorgan Chase Commercial Mortgage Securities Trust 09-IWST, A1 144A 4.314%, 12/5/27 (4) 9,567 10,107 JPMorgan Mortgage Trust 03-A2, 3A1 4.271%, 11/25/33(3) 16,012 15,986 05-A1, 4A1 4.777%, 2/25/35(3) 6,280 6,315 05-A4, 3A1 5.171%, 7/25/35(3) 8,438 8,056 06-A1, B1 5.227%, 2/25/36(3) 7,624 642 Lehman Brothers - UBS Commercial Mortgage Trust 01-C3, A2 6.365%, 12/15/28 7,000 7,224 04-C7, A6 4.786%, 10/15/29 10,536 10,701 01-C2, C 6.975%, 9/15/34 6,500 6,652 06-C3, AM 5.712%, 3/15/39 960 842 06-C6, A4 5.372%, 9/15/39 11,830 12,234 07-C2, A2 5.303%, 2/15/40 10,527 10,874 07-C2, A3 5.430%, 2/15/40 6,830 6,851 05-C3, AM 4.794%, 7/15/40 7,460 6,918 07-C6, A2 5.845%, 7/15/40 11,077 11,530 07-C6, A4 5.858%, 7/15/40 4,950 4,911 07-C7, A3 5.866%, 9/15/45 10,300 10,377 Merrill Lynch Floating Trust 08-LAQA, A1 144A 0.888%, 7/9/21 (3)(4) 14,897 13,747 Merrill Lynch Mortgage Investors, Inc. 06-3, 2A1 6.066%, 10/25/36 (3) 3,162 2,889 Merrill Lynch Mortgage Trust 06-C1, AM 5.838%, 5/12/39(3) 7,205 6,345 04-KEY2, A3 4.615%, 8/12/39 12,250 12,742 Merrill Lynch-Countrywide Commercial Mortgage Trust 06-3, A4 5.414%, 7/12/46 4,700 4,832 06-4, A3 5.172%, 12/12/49 9,500 9,380 Morgan Stanley Capital I 06-T23, A4 5.984%, 8/12/41(3) 11,115 11,904 06-IQ12, A4 5.332%, 12/15/43 14,500 14,842 07-IQ14, A4 5.692%, 4/15/49 9,720 9,376 Morgan Stanley Mortgage Loan Trust
PAR VALUE VALUE -------------- --------------- NON-AGENCY--(CONTINUED) 04-2AR, 3A 4.587%, 2/25/34(3) $ 4,708 $ 4,681 04-2AR, 4A 4.757%, 2/25/34(3) 12,419 12,646 05-5AR, 4A1 5.460%, 9/25/35(3) 1,787 1,344 PNC Mortgage Acceptance Corp. 00-C2, A2 7.300%, 10/12/33 17 16 Prudential Securities Secured Financing Corp. 99-NRF1, F 144A 6.074%, 11/1/31 (4) 3,783 3,783 Residential Accredit Loans, Inc. 03-QS6, A4 4.250%, 3/25/33 10,313 10,334 Residential Asset Mortgage Products, Inc. 04-SL1, A8 6.500%, 11/25/31 7,489 7,335 Residential Asset Securitization Trust 04-A4, A5 5.500%, 8/25/34 7,450 7,316 Residential Funding Mortgage Securities I 06-S12, 1A1 5.500%, 12/25/21 6,434 6,581 Residential Funding Mortgage Securities I, Inc. 06-S4, A2 6.000%, 4/25/36 4,338 3,945 Salomon Brothers Mortgage Securities VII, Inc. 01-C1, C 6.729%, 12/18/35 2,189 2,231 01-C1, D 6.831%, 12/18/35 2,290 2,290 Structured Asset Securities Corp. 03-21, 2A2 5.250%, 8/25/33 6,899 6,810 Timberstar Trust 06-1A, A 144A 5.668%, 10/15/36 (4) 2,240 2,439 Wachovia Bank Commercial Mortgage Trust 04-C12, A2 5.001%, 7/15/41 5,542 5,613 04-C12, A4 5.484%, 7/15/41(3) 10,145 10,762 05-C20, AMFX 5.179%, 7/15/42 6,000 5,813 07-C30, A5 5.342%, 12/15/43 6,935 6,318 05-C22, AM 5.495%, 12/15/44(3) 7,900 7,724 07-C33, A4 6.099%, 2/15/51(3) 8,940 8,781 Wachovia Mortgage Loan Trust LLC 06-A, B1 5.138%, 5/20/36 (3) 3,418 165 Washington Mutual Mortgage Pass Through Certificates 04-CB1, 5A 5.000%, 6/25/19 5,960 6,129 05-AR10, 1A2 4.735%, 9/25/35(3) 8,490 7,394 06-AR16, 1A1 5.517%, 12/25/36(3) 5,047 3,696 Wells Fargo Mortgage Backed Securities Trust 03-6, 1A1 5.000%, 6/25/18 2,978 3,072 06-17, A1 5.500%, 11/25/21 1,589 1,574 04-R, 2A1 2.998%, 9/25/34(3) 2,847 2,702 04-EE, 2A3 2.910%, 12/25/34(3) 1,420 1,162
3 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- NON-AGENCY--(CONTINUED) 04-CC, A1 4.886%, 1/25/35(3) $ 4,325 $ 4,205 05-AR4, 2A1 2.967%, 4/25/35(3) 2,957 2,645 05-6, A1 5.250%, 8/25/35 4,083 4,069 05-9, 2A11 5.250%, 10/25/35 1,511 1,424 05-9,1A6 5.500%, 10/25/35 1,410 1,356 06-AR2, B1 4.795%, 3/25/36(3) 13,876 489 06-AR10, 5A3 5.462%, 7/25/36(3) 10,854 8,952 06-9, 1A15 6.000%, 8/25/36 3,522 3,369 06-12, A2 6.000%, 10/25/36 5,265 4,979 --------------- 747,630 --------------- TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $779,964) 795,402 --------------- ASSET-BACKED SECURITIES--13.0% 1st Financial Bank USA 09-C, C 144A 9.000%, 10/15/15(4) 5,000 5,002 10-B, A 144A 3.000%, 7/17/17(4) 5,000 4,837 Accredited Mortgage Loan Trust 0.437%, 2/25/37(3) 693 649 American General Mortgage Loan Trust 10-1A, A1 144A 5.150%, 3/25/58 (4) 9,334 9,342 AmeriCredit Automobile Receivables Trust 10-1, B 3.720%, 11/17/14 9,825 9,978 10-1, C 5.190%, 8/17/15 3,925 4,097 Ameriquest Mortgage Securities, Inc. 03-10, AF6 4.710%, 11/25/33 8,435 8,330 Avis Budget Rental Car Funding AESOP LLC 09-2A, A 144A 5.680%, 2/20/14 (4) 9,825 10,475 Banc of America Mortgage Securities, Inc. 05-1, 1A22 5.250%, 2/25/35 9,334 8,697 Banc of America Securities Auto Trust 06-G1, B 5.340%, 2/18/11 3,299 3,310 Bay View Auto Trust 05-LJ1, A4 4.090%, 5/25/12 675 687 Bayview Financial Acquisition Trust 06-B, 1A2 5.800%, 4/28/36 3,351 3,101 Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18 2,462 2,206 Capital Auto Receivables Asset Trust 07-1, C 5.380%, 11/15/12 6,080 6,387 Capital One Prime Auto Receivables Trust 06-2, B 5.050%, 6/15/13 9,449 9,501 Carmax Auto Owner Trust 07-2, B 5.370%, 3/15/13 10,025 10,315
PAR VALUE VALUE -------------- --------------- 09-2, A4 2.820%, 12/15/14 $ 11,750 $ 12,108 Chase Funding Mortgage Loan Asset-Backed Certificates 04-1,1A4 4.111%, 8/25/30 1,460 1,460 CIT Equipment Collateral 10-VT1A, B 144A 3.880%, 9/16/13 (4) 5,900 5,968 Citicorp Residential Mortgage Securities, Inc. 07-1, A3 5.667%, 3/25/37 3,000 2,883 07-2, A4 6.538%, 6/25/37 5,000 4,645 Conseco Finance Securitizations Corp. 01-3, A4 6.910%, 5/1/33 10,488 10,777 Conseco Financial Corp. 94-1, A5 7.650%, 4/15/19 1,292 1,343 Daimler Chrysler Auto Trust 08-B, A4A 5.320%, 11/10/14 9,620 10,098 Dominos Pizza Master Issuer LLC 07-1, A2 144A 5.261%, 4/25/37 (4) 10,000 9,240 DT Auto Owner Trust 09-1, B, 144A 5.920%, 10/15/15 (4) 3,974 3,979 Dunkin Securitization/DB Master Finance LLC 06-1, A2 144A 5.779%, 6/20/31(4) 11,715 11,414 06-1, M1 144A 8.285%, 6/20/31(4) 6,345 5,809 Ellington Loan Acquisition Trust 07-1, A2A1 144A 1.347%, 5/26/37 (3)(4) 4,582 3,985 FMAC Loan Receivables Trust 98-CA, A2 144A 6.660%, 9/15/20 (4) 247 244 Ford Credit Auto Owner Trust 09-E, D 144A 5.530%, 5/15/16 (4) 17,750 18,641 Ford Credit Floorplan Master Owner Trust 10-3, A1 144A 4.200%, 2/15/17 (4) 11,800 12,406 GMAC Mortgage Corp. Loan Trust 06-HE2, A3 6.320%, 5/25/36 10,657 4,822 Great America Leasing Receivables 09-1, B 144A 4.520%, 11/15/14 (4) 3,000 3,101 GreenTree Financial Corp. 08-MH1, A1 144A 7.000%, 4/25/38 (4) 2,734 2,793 GSR Mortgage Loan Trust 04-6F, 1A1 5.000%, 5/25/34 8,544 8,431 Harley-Davidson Motorcycle Trust 09-4, B 3.190%, 9/15/14 9,000 9,084 07-2, C 5.410%, 8/15/15 6,750 7,050 Hertz Vehicle Financing LLC 09-2A, A1, 144A 4.260%, 3/25/14 (4) 5,000 5,210 IHOP Franchising LLC 07-3A 144A 7.059%, 12/20/37 (4) 11,350 10,896
4 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28 $ 1,837 $ 1,500 Lehman ABS Manufactured Housing Contract Trust 01-B, A4 5.270%, 9/15/18 6,002 6,192 Long Grove Collateral Loan Obligation Ltd. 04-1A, C 144A 2.897%, 5/25/16(3)(4)(7) 1,600 1,036 04-1A, D 144A 7.247%, 5/25/16(3)(4)(7) 486 202 MASTR Alternative Loans Trust 04-7, 4A1 4.500%, 7/25/19 14,483 14,792 Merrill Auto Trust Securitization 07-1, B 5.790%, 12/15/13 2,141 2,173 Navistar Financial Corp. Owner Trust 10-A, B 144A 4.170%, 10/20/14 (4) 7,000 7,000 Popular ABS Mortgage Pass Through Trust 05-5, AF3 5.086%, 11/25/35 21,508 20,831 RAAC 05-SP1, 2A2 5.250%, 9/25/34 8,745 8,988 Renaissance Home Equity Loan Trust 05-3, AF4 5.140%, 11/25/35 5,380 3,879 Residential Funding Mortgage Securities II, Inc. 04-HI3, A5 5.480%, 6/25/34 5,556 3,944 06-HI2, A3 5.790%, 2/25/36 1,510 1,369 07-HI1, A2 5.640%, 3/25/37 7,500 7,152 Saxon Asset Securities Trust 06-3 A2 0.457%, 10/25/46 (3) 4,951 4,658 Tidewater Auto Receivables Trust 10-A, A 144A 5.920%, 5/15/17 (4) 5,183 5,175 Wachovia Auto Loan Owner Trust 07-1, D 5.650%, 2/20/13 11,083 11,241 06-2A, E 144A 7.050%, 5/20/14(4) 15,000 15,262 --------------- TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $382,421) 378,695 --------------- CORPORATE BONDS--36.1% CONSUMER DISCRETIONARY--2.0% Ameristar Casinos, Inc. 9.250%, 6/1/14 350 368 AutoZone, Inc. 5.750%, 1/15/15 4,420 4,903 Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17 (4) 1,600 1,602 COX Communications, Inc. 4.625%, 6/1/13 5,620 5,992 Daimler Finance North America LLC 6.500%, 11/15/13 3,390 3,794 DigitalGlobe, Inc. 10.500%, 5/1/14 700 756 DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. 6.375%, 6/15/15 6,740 6,976
PAR VALUE VALUE -------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) DuPont Fabros Technology LP 144A 8.500%, 12/15/17 (4) $ 5,025 $ 5,176 Harrah's Operating Co., Inc. 11.250%, 6/1/17 2,260 2,390 Hyatt Hotels Corp. 144A 5.750%, 8/15/15 (4) 900 939 International Game Technology 7.500%, 6/15/19 1,115 1,295 Korea Expressway Corp. 144A 4.500%, 3/23/15 (4) 2,670 2,733 Landry's Restaurants, Inc. 11.625%, 12/1/15 2,226 2,315 144A 11.625%, 12/1/15(4) 625 650 Libbey Glass, Inc. 144A 10.000%, 2/15/15 (4) 375 390 McJunkin Red Man Corp. 144A 9.500%, 12/15/16 (4) 2,590 2,525 MGM Resorts International, Inc. 144A 10.375%, 5/15/14 (4) 160 175 Mobile Mini, Inc. 6.875%, 5/1/15 540 504 Pinnacle Entertainment, Inc. 144A 8.750%, 5/15/20 (4) 800 745 QVC, Inc. 144A 7.500%, 10/1/19 (4) 2,710 2,676 Scientific Games International, Inc. 9.250%, 6/15/19 1,570 1,613 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC 144A 3.037%, 3/15/14 (3)(4) 767 658 Seneca Gaming Corp. Series B 7.250%, 5/1/12 131 129 Staples, Inc. 9.750%, 1/15/14 905 1,110 Starwood Hotels & Resort Worldwide, Inc. 6.250%, 2/15/13 2,815 2,935 Time Warner, Inc. 6.875%, 5/1/12 1,500 1,634 TRW Automotive, Inc. 144A 8.875%, 12/1/17 (4) 780 807 Videotron Ltee 6.375%, 12/15/15 3,500 3,483 --------------- 59,273 --------------- CONSUMER STAPLES--0.7% Altria Group, Inc. 8.500%, 11/10/13 2,775 3,239 BAT International Finance plc 144A 9.500%, 11/15/18 (4) 1,410 1,848 Cargill, Inc. 144A 5.600%, 9/15/12 (4) 4,845 5,258 Kraft Foods, Inc. 4.125%, 2/9/16 3,950 4,169 Tyson Foods, Inc. 10.500%, 3/1/14 940 1,100 Yankee Acquisition Corp. Series B, 8.500%, 2/15/15 5,320 5,406 --------------- 21,020 ---------------
5 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- ENERGY--3.5% Adaro Indonesia PT 144A 7.625%, 10/22/19 (4) $ 3,065 $ 3,111 Anadarko Petroleum Corp. 8.700%, 3/15/19 2,925 2,762 ATP Oil & Gas Corp. 144A 11.875%, 5/1/15 (4) 2,465 1,799 Buckeye Partners LP 6.050%, 1/15/18 854 944 Cenovus Energy, Inc. 144A 4.500%, 9/15/14 (4) 1,968 2,102 Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp. 144A 8.250%, 12/15/17 (4) 2,920 2,905 Denbury Resources, Inc. 7.500%, 12/15/15 4,952 5,026 Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16 (4) 3,395 3,259 Gaz Capital SA 144A 7.343%, 4/11/13 (4) 2,000 2,115 Gazprom International SA 144A 7.201%, 2/1/20 (4) 1,915 1,978 Gazprom OAO (Gaz Capital SA) 144A 6.212%, 11/22/16(4) 10,405 10,497 144A 6.510%, 3/7/22(4) 3,235 3,117 Helix Energy Solutions Group, Inc. 144A 9.500%, 1/15/16 (4) 692 640 Holly Corp. 144A 9.875%, 6/15/17 (4) 3,000 3,098 KazMunaiGaz Finance Sub BV 144A 8.375%, 7/2/13 (4) 3,900 4,183 Kinder Morgan Energy Partners LP 6.850%, 2/15/20 2,545 2,896 Korea National Oil Corp. 144A 5.375%, 7/30/14 (4) 4,345 4,610 NAK Naftogaz Ukraine 9.500%, 9/30/14 2,900 3,002 OPTI Canada, Inc. 144A 9.000%, 12/15/12 (4) 6,525 6,623 Petro-Canada 6.050%, 5/15/18 1,200 1,351 Petrohawk Energy Corp. 10.500%, 8/1/14 3,885 4,196 Pioneer Drilling Co. 144A 9.875%, 3/15/18 (4) 1,245 1,226 Pride International, Inc. 8.500%, 6/15/19 4,065 4,217 SEACOR Holdings, Inc. 7.375%, 10/1/19 2,200 2,323 Tesoro Corp. 6.250%, 11/1/12 4,340 4,362 Valero Energy Corp. 4.500%, 2/1/15 800 822 Weatherford International Ltd. 9.625%, 3/1/19 4,110 4,949 Western Refining, Inc. 144A 10.750%, 6/15/14(3)(4) 3,285 2,973 144A 11.250%, 6/15/17(4) 2,465 2,256 XTO Energy, Inc. 5.900%, 8/1/12 1,980 2,164 5.750%, 12/15/13 5,910 6,713 --------------- 102,219 ---------------
PAR VALUE VALUE -------------- --------------- FINANCIALS--18.9% ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14 (4) $ 5,290 $ 5,234 AFLAC, Inc. 8.500%, 5/15/19 1,059 1,274 Agile Property Holdings Ltd. 144A 10.000%, 11/14/16 (4) 1,660 1,706 Alfa Invest Ltd. 144A 9.250%, 6/24/13 (4) 4,940 5,162 Allstate Corp. 6.125%, 5/15/37(3) 4,730 4,168 American Express Credit Corp. 5.875%, 5/2/13 4,805 5,257 Series C, 7.300%, 8/20/13 2,600 2,944 American General Finance Corp. 5.400%, 12/1/15 3,000 2,348 American Honda Finance Corp. 144A 6.700%, 10/1/13 (4) 4,850 5,520 AmSouth Bank N.A. 4.850%, 4/1/13 7,275 7,204 Assurant, Inc. 5.625%, 2/15/14 4,060 4,290 Atlantic Finance Ltd. 144A 9.750%, 5/27/14 (4) 4,800 5,132 Avalonbay Communities, Inc. 5.700%, 3/15/17 2,950 3,185 Banco do Brasil SA 144A 8.500%, 10/29/49 (4) 700 772 Bank of America Corp. 7.400%, 1/15/11 3,815 3,928 4.750%, 8/15/13 3,000 3,080 5.420%, 3/15/17 3,700 3,686 Barclays Bank plc 5.200%, 7/10/14 1,610 1,699 144A 6.050%, 12/4/17(4) 4,130 4,168 144A 7.375%, 6/29/49(3)(4) 6,900 6,106 144A 5.926%, 9/29/49(3)(4) 3,773 3,075 BBVA International Preferred SA Unipersonal 5.919%, 12/31/49(3) 3,220 2,338 Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18 4,365 5,097 Berkley (WR) Corp. 5.125%, 9/30/10 2,000 2,008 BlackRock, Inc. 3.500%, 12/10/14 2,900 3,008 Bosphorus Financial Services Ltd. 144A 2.236%, 2/15/12 (3)(4) 875 856 Brandywine Operating Partnership LP 7.500%, 5/15/15 4,305 4,694 Capital One Financial Corp. 6.150%, 9/1/16 4,300 4,550 Cemex Finance LLC 144A 9.500%, 12/14/16 (4) 1,430 1,387 Chubb Corp. 6.375%, 3/29/67(3) 4,730 4,541 CIT Group, Inc. 7.000%, 5/1/13 3,206 3,086 7.000%, 5/1/14 459 435 7.000%, 5/1/15 459 426
6 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) 7.000%, 5/1/16 $ 765 $ 702 7.000%, 5/1/17 1,071 969 Citigroup, Inc. 5.000%, 9/15/14 3,200 3,201 4.875%, 5/7/15 15,710 15,577 CME Group, Inc. 5.400%, 8/1/13 2,450 2,703 CNA Financial Corp. 5.850%, 12/15/14 7,575 7,848 Colonial Realty LP 4.800%, 4/1/11 1,442 1,422 Comerica Bank 5.700%, 6/1/14 1,900 2,037 5.750%, 11/21/16 3,850 4,107 Comerica, Inc. 4.800%, 5/1/15 1,828 1,898 Commonwealth Bank of Australia 144A 3.750%, 10/15/14 (4) 3,000 3,084 Corporacion Andina de Fomento 5.200%, 5/21/13 1,000 1,078 Credit Suisse New York 5.000%, 5/15/13 4,335 4,631 Crown Castle Towers LLC 144A 4.523%, 1/15/15(4) 4,925 5,139 144A 5.495%, 1/15/17(4) 5,915 6,330 Deutsche Bank Financial LLC 5.375%, 3/2/15 2,933 3,152 Discover Bank 8.700%, 11/18/19 1,750 1,943 Equity One, Inc. 6.250%, 12/15/14 2,485 2,590 ERAC USA Finance Co. 144A 5.800%, 10/15/12 (4) 805 869 Export-Import Bank of Korea 8.125%, 1/21/14 1,480 1,693 5.875%, 1/14/15 4,625 5,011 4.125%, 9/9/15 4,000 4,061 Fibria Overseas Finance Ltd. 144A 7.500%, 5/4/20 (4) 897 915 Fidelity National Financial Sevices, Inc. 6.600%, 5/15/17 6,475 6,456 Fifth Third Bancorp 6.250%, 5/1/13 1,770 1,926 4.750%, 2/1/15 750 777 4.500%, 6/1/18 3,975 3,759 First Horizon National Corp. 4.500%, 5/15/13 1,950 1,895 First Tennessee Bank N.A. 5.050%, 1/15/15 7,875 7,772 5.650%, 4/1/16 2,220 2,137 Ford Motor Credit Co. LLC 7.500%, 8/1/12 800 818 Ford Motor Credit Co., LLC 9.875%, 8/10/11 3,480 3,663 3.048%, 1/13/12(3) 2,000 1,945
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) 8.000%, 6/1/14 $ 4,865 $ 5,025 8.700%, 10/1/14 735 767 General Electric Capital Corp. 3.750%, 11/14/14 3,940 4,031 0.727%, 5/5/26(3) 8,000 6,241 Genworth Financial, Inc. 5.750%, 6/15/14 6,890 6,884 6.515%, 5/22/18 3,275 3,153 Glen Meadow Pass Through Trust 144A 6.505%, 2/12/67 (3)(4) 7,545 5,480 GMAC LLC 6.875%, 9/15/11 2,662 2,712 6.750%, 12/1/14 552 540 GMAC, Inc. 144A 8.300%, 2/12/15 (4) 5,360 5,440 Goldman Sachs Group, Inc. (The) 5.350%, 1/15/16 3,225 3,337 5.625%, 1/15/17 2,800 2,831 7.500%, 2/15/19 2,451 2,740 Hana Bank 144A 4.500%, 10/30/15 (4) 6,000 5,987 HBOs plc 144A 6.750%, 5/21/18 (4) 685 641 Healthcare Realty Trust, Inc. 6.500%, 1/17/17 3,000 3,137 Hertz Corp. (The) 8.875%, 1/1/14 2,595 2,640 Host Hotels & Resorts LP 9.000%, 5/15/17 875 941 Huntington National Bank (The) 4.900%, 1/15/14 1,400 1,396 Hyundai Capital Services, Inc. 144A 6.000%, 5/5/15 (4) 4,975 5,330 ICICI Bank Ltd. 144A 5.750%, 11/16/10(4) 4,775 4,808 144A 5.500%, 3/25/15(4) 3,000 3,101 International Lease Finance Corp. 4.750%, 1/13/12 5,820 5,536 5.300%, 5/1/12 5,375 5,079 JPMorgan Chase & Co. 5.750%, 1/2/13 4,945 5,318 6.125%, 6/27/17 3,550 3,884 Series 1, 7.900%, 12/31/49(3) 3,360 3,463 Kazkommerts International BV RegS 8.000%, 11/3/15 (5) 1,000 910 KeyBank NA 5.700%, 8/15/12 1,800 1,904 5.800%, 7/1/14 1,450 1,548 7.413%, 5/6/15 3,000 3,311 4.950%, 9/15/15 1,295 1,325
7 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) KeyCorp 6.500%, 5/14/13 $ 2,925 $ 3,200 Kimco Realty Corp. 4.820%, 8/15/11 1,945 1,975 Kookmin Bank 144A 7.250%, 5/14/14 (4) 5,700 6,400 Korea Development Bank 5.300%, 1/17/13 1,113 1,173 4.375%, 8/10/15 2,525 2,575 Lincoln National Corp. 8.750%, 7/1/19 2,340 2,868 6.050%, 4/20/67(3) 2,885 2,193 Lloyds TSB Bank plc 144A 4.375%, 1/12/15 (4) 2,900 2,794 Lukoil International Finance BV 144A 6.375%, 11/5/14 (4) 4,900 5,139 Mercantile Bankshares Corp. Series B, 4.625%, 4/15/13 4,708 4,926 Merrill Lynch & Co., Inc. 6.150%, 4/25/13 3,925 4,196 MetLife, Inc. 6.750%, 6/1/16 910 1,030 Metropolitan Life Global Funding I 144A 5.125%, 6/10/14 (4) 1,160 1,260 Morgan Stanley 6.000%, 5/13/14 1,970 2,087 4.200%, 11/20/14 3,455 3,412 144A 10.090%, 5/3/17(4) 10,525BRL 5,452 National Australia Bank Ltd. 144A 5.350%, 6/12/13 (4) 9,715 10,525 Nationwide Health Properties, Inc. 6.250%, 2/1/13 4,825 5,182 Nissan Motor Acceptance Corp. 144A 4.500%, 1/30/15 (4) 8,620 8,894 Northern Trust Corp. 5.500%, 8/15/13 2,775 3,088 Nuveen Investments 10.500%, 11/15/15 800 700 OJSC AK Transneft (TransCapitalInvest Ltd.) 144A 5.670%, 3/5/14 (4) 5,715 5,825 Petroplus Finance Ltd. 144A 6.750%, 5/1/14 (4) 4,215 3,688 PNC Funding Corp. 5.625%, 2/1/17 3,130 3,330 Principal Financial Group, Inc. 7.875%, 5/15/14 2,595 3,001 Principal Life Global Funding I 144A 4.400%, 10/1/10 (4) 1,500 1,508 ProLogis 7.625%, 8/15/14 5,275 5,598 6.625%, 5/15/18 1,110 1,058 Prudential Financial, Inc. 4.750%, 9/17/15 4,770 4,925 8.875%, 6/15/38(3) 4,200 4,431 Regions Financial Corp.
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) 7.750%, 11/10/14 $ 2,525 $ 2,664 5.750%, 6/15/15 2,535 2,519 Royal Bank of Scotland Group plc 6.400%, 10/21/19 3,130 3,173 Royal Bank of Scotland plc (The) 4.875%, 3/16/15 3,230 3,214 Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 9.000%, 6/11/14(4) 780 876 144A 6.299%, 5/15/17(4) 2,905 2,883 Simon Property Group LP 4.200%, 2/1/15 700 719 SLM Corp. 5.375%, 5/15/14 14,700 13,441 Societe Generale 144A 5.922%, 4/29/49 (3)(4) 6,800 5,147 Sovereign Bank 5.125%, 3/15/13 7,000 7,094 SunTrust Banks, Inc. 6.000%, 9/11/17 4,925 5,010 Textron Financial Corp. 5.125%, 11/1/10 3,865 3,893 TNK-BP Finance SA RegS 6.125%, 3/20/12(5) 4,210 4,321 144A 7.500%, 3/13/13(4) 1,750 1,855 144A 6.250%, 2/2/15(4) 500 501 Universal City Development Partners Ltd. 144A 8.875%, 11/15/15 (4) 820 828 Unum Group 7.125%, 9/30/16 6,620 7,274 VTB Capital SA 144A 6.465%, 3/4/15 (4) 6,000 6,000 Wachovia Bank NA 5.000%, 8/15/15 2,600 2,733 Wachovia Corp. 5.250%, 8/1/14 5,000 5,295 WEA Finance LLC / WT Finance Australia 144A 5.750%, 9/2/15 (4) 5,425 5,864 Webster Financial Corp. 5.125%, 4/15/14 2,500 2,388 Wells Fargo & Co. 4.375%, 1/31/13 800 846 Westpac Banking Corp. 4.200%, 2/27/15 4,920 5,121 Woori Bank 144A 7.000%, 2/2/15 (4) 4,000 4,401 XL Capital Ltd. 5.250%, 9/15/14 4,335 4,436 Zions Bancorp 7.750%, 9/23/14 1,880 1,916 --------------- 550,757 --------------- HEALTH CARE--0.6% CareFusion Corp. 5.125%, 8/1/14 2,940 3,176 HCA, Inc. 9.125%, 11/15/14 1,739 1,824 Life Technologies Corp. 3.375%, 3/1/13 1,970 2,014 Medco Health Solutions, Inc. 7.250%, 8/15/13 1,000 1,154 Mylan, Inc. 144A 7.625%, 7/15/17 (4) 1,479 1,516 Patheon, Inc. 144A 8.625%, 4/15/17 (4) 720 718 Select Medical Corp. 7.625%, 2/1/15 4,270 4,035
8 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- HEALTH CARE--(CONTINUED) U.S. Oncology, Inc. 9.125%, 8/15/17 $ 1,263 $ 1,304 Valeant Pharmaceuticals International 8.375%, 6/15/16 417 473 --------------- 16,214 --------------- INDUSTRIALS--2.8% America West Airlines 98-1A, 6.870%, 1/2/17 2,783 2,749 99-1G, 7.930%, 1/2/19 7,916 7,560 American Airlines, Inc. 01-1, 6.977%, 5/23/21 7,270 5,962 Continental Airlines, Inc. 98-1A, 6.648%, 9/15/17 4,081 4,066 Delta Air Lines, Inc. 02-1, G-2 6.417%, 7/2/12 13,000 13,000 DI Finance/DynCorp International, Inc. Series B 9.500%, 2/15/13 5,175 5,337 Esco Corp. 144A 8.625%, 12/15/13 (4) 1,725 1,721 GATX Corp. 4.750%, 5/15/15 4,940 5,151 General Cable Corp. 2.908%, 4/1/15(3) 3,375 3,029 Hutchison Whampoa International Ltd. 144A 4.625%, 9/11/15 (4) 3,900 4,079 Ingersoll-Rand Global Holdings Co. Ltd. 9.500%, 4/15/14 1,410 1,747 Kratos Defense & Security Solutions, Inc. 144A 10.000%, 6/1/17 (4) 7,020 7,160 Marquette Transportation Co. / Marquette Transportation Finance Corp. 144A 10.875%, 1/15/17 (4) 750 739 Noble Group Ltd. 144A 6.750%, 1/29/20 (4) 4,420 4,287 Owens Corning, Inc. 6.500%, 12/1/16 3,150 3,352 Smiths Group plc 144A 7.200%, 5/15/19 (4) 1,700 1,984 Steelcase, Inc. 6.500%, 8/15/11 2,825 2,883 Toledo Edison Co. (The) 7.250%, 5/1/20 1,360 1,648 Tyco International Finance SA 4.125%, 10/15/14 1,000 1,061 United Rentals North America, Inc. 10.875%, 6/15/16 1,772 1,909 USG Corp. 144A 9.750%, 8/1/14 (4) 701 733 --------------- 80,157 --------------- INFORMATION TECHNOLOGY--1.3% Agilent Technologies, Inc. 5.500%, 9/14/15 2,185 2,352 Crown Castle Holdings GS V LLC/Crown Castle GS III Corp. 144A 7.750%, 5/1/17 (4) 4,375 4,626 Intuit, Inc. 5.750%, 3/15/17 1,334 1,465 Jabil Circuit, Inc. 7.750%, 7/15/16 2,952 3,100
PAR VALUE VALUE -------------- --------------- INFORMATION TECHNOLOGY--(CONTINUED) National Semiconductor Corp. 6.600%, 6/15/17 $ 3,330 $ 3,731 NXP BV / NXP Funding LLC 3.053%, 10/15/13(3) 3,040 2,611 7.875%, 10/15/14 2,650 2,445 Sorenson Communications, Inc. 144A 10.500%, 2/1/15 (4) 3,400 2,159 SunGard Data Systems, Inc. 9.125%, 8/15/13 5,426 5,541 Xerox Corp. 5.650%, 5/15/13 4,345 4,703 4.250%, 2/15/15 4,000 4,141 --------------- 36,874 --------------- MATERIALS--3.5% Allegheny Technologies, Inc. 9.375%, 6/1/19 7,245 8,555 Anglo American Capital plc 144A 9.375%, 4/8/19 (4) 1,950 2,508 ArcelorMittal 5.375%, 6/1/13 4,825 5,074 9.000%, 2/15/15 2,560 3,012 Barrick Gold Financeco LLC 6.125%, 9/15/13 4,500 5,017 Bemis Co., Inc. 5.650%, 8/1/14 980 1,079 Catalyst Paper Corp. 7.375%, 3/1/14 1,055 496 144A 11.000%, 12/15/16(4) 3,520 2,781 Commercial Metals Co. 7.350%, 8/15/18 7,760 8,145 CRH America, Inc. 5.625%, 9/30/11 3,500 3,633 8.125%, 7/15/18 4,770 5,752 Domtar Corp. 7.125%, 8/15/15 547 577 Dow Chemical Co. (The) 7.600%, 5/15/14 2,950 3,407 5.900%, 2/15/15 3,950 4,317 Georgia-Pacific LLC 7.700%, 6/15/15 4,820 5,049 144A 7.125%, 1/15/17(4) 3,525 3,613 Gerdau Holdings, Inc. 144A 7.000%, 1/20/20 (4) 1,950 1,989 Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC 8.875%, 2/1/18 3,000 2,722 International Paper Co. 9.375%, 5/15/19 5,330 6,884 JohnsonDiversey, Inc. 144A 8.250%, 11/15/19 (4) 435 450 Nalco Co. 8.875%, 11/15/13 1,630 1,679 Nova Chemicals Corp. 3.748%, 11/15/13(3) 8,694 8,020
9 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- MATERIALS--(CONTINUED) Sappi Pappier Holding AG 144A 6.750%, 6/15/12 (4) $ 5,000 $ 4,892 Steel Dynamics, Inc. 7.375%, 11/1/12 1,528 1,589 Vedanta Resources plc 144A 8.750%, 1/15/14 (4) 3,400 3,587 Verso Paper Holdings LLC / Verso Paper, Inc. 11.500%, 7/1/14 3,650 3,951 Series B, 4.094%, 8/1/14(3) 2,570 2,217 --------------- 100,995 --------------- TELECOMMUNICATION SERVICES--1.8% Axtel SAB de C.V. 144A 9.000%, 9/22/19 (4) 750 671 Cincinnati Bell, Inc. 8.250%, 10/15/17 3,760 3,534 Clearwire Communications LLC/Clearwire Finance, Inc. 144A 12.000%, 12/1/15(4) 2,795 2,785 144A 12.000%, 12/1/15(4) 4,000 4,005 Embarq Corp. 6.738%, 6/1/13 2,385 2,594 Nextel Communications, Inc. Series E 6.875%, 10/31/13 5,590 5,443 Series D 7.375%, 8/1/15 2,095 2,001 OJSC Vimpel Communications (VIP Finance Ireland Ltd.) 144A 8.375%, 4/30/13 (4) 1,400 1,488 Qwest Corp. 7.875%, 9/1/11 5,220 5,429 SBA Tower Trust 144A 4.254%, 4/15/15 (4) 8,660 9,081 Telecom Italia Capital SA 6.175%, 6/18/14 4,900 5,123 Verizon Wireless Capital LLC 5.550%, 2/1/14 4,090 4,585 Virgin Media Finance plc Series 1, 9.500%, 8/15/16 2,575 2,733 Wind Acquisition Finance SA 144A 11.750%, 7/15/17 (4) 2,450 2,523 Windstream Corp. 7.875%, 11/1/17 2,000 1,962 --------------- 53,957 --------------- UTILITIES--1.0% Allegheny Energy Supply Co. LLC 144A 8.250%, 4/15/12 (4) 1,860 2,032 AmeriGas Partners LP 7.250%, 5/20/15 860 864 Enel Finance International SA 144A 3.875%, 10/7/14 (4) 2,000 2,016 Israel Electric Corp. Ltd. 144A 7.250%, 1/15/19 (4) 2,285 2,526 Korea Electric Power Corp. 144A 5.500%, 7/21/14 (4) 3,420 3,690 Korea Gas Corp. 144A 6.000%, 7/15/14 (4) 2,000 2,167
PAR VALUE VALUE -------------- --------------- UTILITIES--(CONTINUED) Majapahit Holding BV 144A 7.250%, 6/28/17 (4) $ 1,550 $ 1,651 Midwest Generation LLC Series B 8.560%, 1/2/16 1,455 1,436 NiSource Finance Corp. 7.875%, 11/15/10 3,440 3,516 Northeast Utilities 5.650%, 6/1/13 3,950 4,252 ONEOK Partners LP 5.900%, 4/1/12 980 1,045 Sempra Energy 6.500%, 6/1/16 1,760 2,020 Texas Competitive Electric Holdings Co. LLC Series A 10.250%, 11/1/15 1,390 924 TransAlta Corp. 4.750%, 1/15/15 2,220 2,337 --------------- 30,476 --------------- TOTAL CORPORATE BONDS (IDENTIFIED COST $1,002,919) 1,051,942 --------------- CREDIT LINKED NOTES--0.2% Helios Finance LP 07-S1, B2 144A 2.698%, 10/20/14 (3)(4) 5,587 5,143 --------------- TOTAL CREDIT LINKED NOTES (IDENTIFIED COST $5,155) 5,143 --------------- LOAN AGREEMENTS(3)--10.7% CONSUMER DISCRETIONARY--3.1% Advantage Sales & Marketing, Inc. Tranche, 5.000%, 5/5/16 2,090 2,075 AMF Bowling Worldwide, Inc. Tranche B, 2.785%, 5/17/13 2,120 1,815 Cengage Learning Acquisitions, Inc. Tranche, 2.790%, 7/3/14 7,050 6,099 Ceridian Corp. Tranche, 3.263%, 11/9/14 6,592 5,933 Charter Communications Operating LLC Tranche B-1, 3.240%, 3/6/14 528 491 Tranche C, 3.550%, 9/6/16 4,289 4,004 CSC Holdings, LLC Tranche B-2, 2.073%, 3/29/16 10 10 Ford Motor Co. Tranche B-1, 3.267%, 12/15/13 4,463 4,231 Getty Images, Inc. Tranche B, 6.250%, 7/2/15 3,386 3,401 Harrah's Operating Co., Inc. Tranche B-2, 3.316%, 1/28/15 1,577 1,317 Tranche B-4, 9.500%, 10/31/16 2,159 2,165 Intelsat Jackson Holding Ltd. Tranche, 3.260%, 2/1/14 2,335 2,153 Intelstat Corp. Tranche B-2-A, 2.760%, 1/3/14 1,676 1,559 Tranche B-2-B, 2.760%, 1/3/14 1,677 1,559
10 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Tranche B-2-C, 2.760%, 1/3/14 $ 1,677 $ 1,559 Isle of Capri Casinos, Inc. Tranche DD-A, 5.000%, 11/25/13 656 619 Tranche, 5.000%, 11/25/13 1,865 1,758 Tranche DD-B, 5.000%, 11/25/13 746 703 Landry's Restaurant, Inc. Tranche, 8.500%, 11/30/13 2,697 2,714 Las Vegas Sands LLC Tranche DD-I, 2.050%, 5/23/14 544 483 Tranche B, 2.050%, 5/23/14 2,690 2,388 Mediacom Illinois LLC Tranche D, 5.500%, 3/31/17 4,741 4,637 Michaels Stores, Inc. Tranche B-2, 0.000%, 7/31/16 5,000 4,761 Neiman-Marcus Group, Inc. (The) Tranche, 2.262%, 4/6/13 8,600 8,081 Nielsen Finance LLC Tranche A, 2.297%, 8/9/13 3,943 3,718 Tranche B, 4.047%, 5/1/16 3,350 3,228 Pilot Travel Centers LLC Tranche B, 0.000%, 6/30/16 4,675 4,680 Sinclair Television Group, Inc. Tranche B, 6.625%, 10/29/15 1,409 1,415 Six Flags Theme Parks, Inc. Tranche B, 6.250%, 6/30/16 5,275 5,191 Totes Isotoner Corp. Tranche B, 3.157%, 1/16/13 373 341 Univision Communications, Inc. Tranche B, 2.540%, 9/29/14 6,091 5,095 VWR Funding, Inc. Tranche, 2.750%, 6/29/14 3,245 3,019 --------------- 91,202 --------------- CONSUMER STAPLES--0.4% Michael Foods, Inc. Tranche B 0.000%, 6/29/16 3,430 3,434 Revlon Consumer Products Corp. Tranche, 6.000%, 3/11/15 6,000 5,855 Reynolds Group Holdings Ltd. Tranche, 6.250%, 5/5/16 1,476 1,472 --------------- 10,761 --------------- ENERGY--0.0% Targa Resources, Inc. Tranche, 6.000%, 7/6/16 770 769 --------------- FINANCIALS--0.8% AGFS Funding Co. Tranche 7.250%, 4/21/15 5,525 5,392
PAR VALUE VALUE -------------- --------------- FINANCIALS--(CONTINUED) Agile Property Holdings Ltd. Tranche, 3.059%, 1/25/13 $ 3,750 $ 3,366 CIT Group, Inc. Tranche 1-A, 13.000%, 1/20/12 857 887 Delos Aircraft, Inc. Tranche B-2, 7.000%, 3/17/16 243 240 Green Tree Credit Solutions Tranche, 8.000%, 12/31/15 1,584 1,531 Hertz Corp. Tranche B, 2.000%, 12/21/12 2,374 2,264 Letter of Credit 2.369%, 12/21/12 479 457 International Lease Finance Corp. Tranche B-1, 6.750%, 3/17/15 332 329 Nuveen Investments, Inc. Tranche B, 7.841%, 11/13/14 2,700 2,255 Pinnacle Foods Finance LLC/ Pinnacle Food Finance Corp. Tranche B, 3.002%, 4/2/14 2,402 2,252 Universal City Development Partners, Ltd. Tranche B, 5.500%, 10/20/14 740 739 Vanguard Health Holding Co., II LLC Tranche B, 5.000%, 1/29/16 2,085 2,060 --------------- 21,772 --------------- HEALTH CARE--0.4% Butler Animal Health Supply LLC Tranche B, 5.500%, 12/31/15 1,244 1,245 HCA, Inc. Tranche B-1, 2.540%, 11/17/13 537 507 Tranche B-2, 3.540%, 3/31/17 1,287 1,232 Health Management Associates, Inc. Tranche B, 2.040%, 2/28/14 1,137 1,062 HealthSouth Corp. Tranche 2, 4.117%, 9/10/15 1,624 1,603 RehabCare Group, Inc. Tranche B, 6.000%, 11/24/15 3,940 3,926 Select Medical Corp. Tranche B-1, 4.234%, 8/22/14 1,537 1,483 --------------- 11,058 --------------- INDUSTRIALS--1.1% Advanced Disposal Sevices, Inc. Tranche B, 6.000%, 1/14/15 498 497 Bucyrus International, Inc. Tranche C, 4.500%, 2/19/16 2,833 2,830 Harland Clarke Holdings Corp. Tranche B, 2.770%, 6/30/14 6,279 5,416
11 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- INDUSTRIALS--(CONTINUED) Holdings Gaming Borrower LP Tranche B, 9.250%, 2/19/13 $ 1,428 $ 1,396 Ozburn-Hessey Holding Co. LLC Tranche B, 7.500%, 4/8/16 948 947 Protection One, Inc. Tranche B, 6.000%, 6/4/16 3,050 3,019 ServiceMaster Co. (The) Tranche B, 2.763%, 7/24/14 7,931 7,272 Tranche DD, 2.765%, 7/24/14 790 724 Transaction Network Services, Inc. Tranche, 6.000%, 11/18/15 4,798 4,806 TransUnion LLC Tranche B, 6.750%, 6/15/17 3,725 3,748 U.S. Investigations Services, Inc. Tranche B, 3.271%, 2/21/15 1,469 1,271 --------------- 31,926 --------------- INFORMATION TECHNOLOGY--1.9% Allen Systems Group, Inc. Tranche, 8.500%, 10/20/13 3,432 3,428 Avaya, Inc. Tranche B-1, 3.002%, 10/26/14 4,691 4,025 Dresser, Inc. Tranche B, 3.166%, 5/4/14 2,387 2,196 PIK Interest Capitalization, 6.000%, 5/4/15 3,605 3,342 First Data Corp. Tranche B-2, 3.024%, 9/24/14 486 410 Tranche B-3, 3.024%, 9/24/14 6,812 5,737 Tranche B-1, 3.029%, 9/24/14 1,955 1,650 Freescale Semiconductor, Inc. Tranche, 4.604%, 12/1/16 7,365 6,499 Infor Enterprise Solutions Holdings, Inc. Tranche B, 0.000%, 1/28/12 4,576 4,270 Tranche B, 0.000%, 1/28/12 2,388 2,228 MSCI, Inc. Tranche, 4.750%, 6/1/16 815 815 NuSil Technology LLC Tranche B, 6.000%, 2/18/15 2,511 2,523 Reynolds & Reynolds Co. (The) Tranche B 5.250%, 4/21/17 1,349 1,334 SkillSoft Corp. Tranche, 6.500%, 5/26/17 3,060 3,044 Spansion LLC Tranche B, 7.750%, 2/9/15 6,623 6,571 Springboard Finance LLC Tranche B, 7.000%, 2/23/15 3,886 3,849 Towerco Finance LLC Tranche, 6.000%, 11/24/14 2,488 2,491 --------------- 54,412 ---------------
PAR VALUE VALUE -------------- --------------- MATERIALS--1.7% Anchor Glass Container Corp. Tranche, 6.000%, 2/3/16 $ 3,715 $ 3,687 Tranche, 10.000%, 9/2/16 3,975 3,923 Berry Plastics Group, Inc. Tranche C, 2.303%, 4/3/15 8,654 7,682 Building Materials Holding Corp. of America Tranche B, 3.688%, 2/22/14 741 717 Building Materials Holdings Corp. Tranche B, 8.000%, 2/22/14 (6) 1,261 1,047 DynCorp International, Inc. Tranche B, 0.000%, 7/7/20 4,460 4,449 Gentek Holding LLC Tranche, 7.000%, 10/29/14 5,422 5,422 Huntsman International LLC Tranche B, 2.020%, 4/21/14 2,106 1,954 Ineos Holdings Ltd. Tranche B-2, 7.501%, 12/16/13 1,175 1,132 Tranche C-2, 8.001%, 12/16/14 1,343 1,294 JohnsonDiversey, Inc. Tranche B, 5.500%, 11/24/15 697 698 Momentive Performance Materials, Inc. Tranche, 0.000%, 12/4/13 4,000 3,586 Nalco Co. Tranche B, 6.500%, 5/13/16 1,614 1,613 New Sunward Holding BV Tranche B, 0.000%, 2/14/14 3,757 3,381 Reynolds Group Holdings Ltd. Tranche, 5.750%, 5/5/16 5,720 5,692 Smurfit-Stone Container Enterprise Tranche B, 0.000%, 2/22/16 1,625 1,623 Solutia, Inc. Tranche B, 4.750%, 3/17/17 1,995 1,996 --------------- 49,896 --------------- TELECOMMUNICATION SERVICES--0.7% Cincinnati Bell, Inc. Tranche B, 6.250%, 6/11/17 3,217 3,130 Level 3 Communications, Inc. Tranche A, 2.525%, 3/13/14 8,362 7,449 Tranche B, 11.500%, 3/13/14 1,044 1,124 nTelos, Inc. Tranche, 5.750%, 8/7/15 5,284 5,285 U.S. TelePacific Corp. Tranche B, 9.250%, 8/17/15 3,491 3,484 --------------- 20,472 ---------------
12 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE -------------- --------------- UTILITIES--0.6% New Development Holdings LLC Tranche, 0.000%, 6/8/17 $ 4,955 $ 4,915 NRG Energy, Inc. Letter of Credit 2.040%, 2/1/13 2,863 2,749 Tranche B, 2.056%, 2/1/13 5,765 5,536 Texas Competitive Electric Holdings Co. LLC Tranche B-3, 3.780%, 10/10/14 3,974 2,934 Tranche B-2, 3.856%, 10/10/14 2,239 1,663 --------------- 17,797 --------------- TOTAL LOAN AGREEMENTS (IDENTIFIED COST $309,915) 310,065 ---------------
SHARES VALUE -------------- --------------- PREFERRED STOCK--0.0% FINANCIALS--0.0% GMAC, Inc. Series G Pfd. 7.00%(4) 702 546 --------------- TOTAL PREFERRED STOCK (IDENTIFIED COST $221) 546 --------------- EXCHANGE-TRADED FUNDS--0.2% iShares FTSE/Xinhua China 25 Index Fund 137,800 5,392 --------------- TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $6,038) 5,392 --------------- COMMON STOCKS--0.1% FINANCIALS--0.1% CIT Group, Inc.(2) 26,344 892 --------------- MATERIALS--0.0% Building Materials Holdings Corp.(6) 677,817 495 --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $1,987) 1,387 --------------- TOTAL LONG TERM INVESTMENTS--97.8% (IDENTIFIED COST $2,783,478) 2,844,056 --------------- SHORT-TERM INVESTMENTS--2.1% MONEY MARKET MUTUAL FUNDS--2.1% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 62,160,889 62,161 ---------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $62,161) 62,161 --------------- TOTAL INVESTMENTS--99.9% (IDENTIFIED COST $2,845,639) 2,906,217(1) Other Assets and Liabilities--0.1% 3,986 --------------- NET ASSETS--100.0% $ 2,910,203 ---------------
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 TRY Turkish Lira ZAR South Africa Rand 13 VIRTUS MULTI-SECTOR SHORT TERM BOND FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands) COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 83% Canada 2 South Korea 2 United Kingdom 2 Brazil 1 Russia 1 Venezuela 1 Other 8 --- Total 100% ===
+ % of total investments as of June 30, 2010 14 Virtus Multi-Sector Short Term Bond Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS -------------- ------------- ----------- ------------ Debt Securities: Asset-backed Securities $ 383,838 $ -- $ 366,561 $17,277 Corporate Debt 1,362,007 -- 1,351,464 10,543 Foreign Government Securities 188,527 -- 188,527 -- Mortgage-backed Securities 795,402 -- 795,402 -- Municipal Securities 5,326 -- 5,326 -- U.S. Government Securities 101,631 -- 101,631 -- Equity Securities: Common Stocks 1,387 892 -- 495 Exchange-traded Funds 5,392 5,392 -- -- Preferred Stock 546 546 -- -- Short-term Investments 62,161 62,161 -- -- ---------- ------- ---------- ------- Total Investments $2,906,217 $68,991 $2,808,911 $28,315 ========== ======= ========== =======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | Multi-Sector Short Term Bond Fund The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Mortgage- Asset- Backed Backed Corporate Common INVESTMENTS IN SECURITIES TOTAL Securities Securities Debt Stock - ------------------------- -------- ---------- ---------- --------- ------ BALANCE AS OF SEPTEMBER 30, 2009: $36,849 $10,982 $15,912 $ 9,955 $ -- Accrued Discount/(Premium) 228 15 42 171 -- Realized Gain (Loss) (5,581) (3,575) (2,259) 253 -- Change in Unrealized Appreciation (Depreciation) 9,660 4,522 4,740 398 -- Net Purchases/(Sales)(b) (469) (2,875) 8,785 (6,379) -- Transfers In and/or Out of Level 3(a) (12,372) (9,069) (9,943) 6,145 495 ------- ------- ------- ------- ------- BALANCE AS OF JUNE 30, 2010 $28,315 $ -- $17,277 10,543 $ 495 ======= ======= ======= ======= =======
(a) "Transfers in and/or out" represent the ending value as of June 30, 2010, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (b) Includes paydowns on securities. VIRTUS REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- COMMON STOCKS--98.6% REAL ESTATE INVESTMENT TRUSTS--98.6% DIVERSIFIED--5.5% Vornado Realty Trust 644,077 $ 46,986 --------------- TOTAL DIVERSIFIED 46,986 --------------- HEALTH CARE--11.9% HCP, Inc. 1,087,877 35,084 Health Care REIT, Inc. 557,839 23,496 Nationwide Health Properties, Inc. 341,040 12,199 Ventas, Inc. 641,524 30,120 --------------- TOTAL HEALTH CARE 100,899 --------------- INDUSTRIAL/OFFICE--17.5% INDUSTRIAL--3.0% AMB Property Corp. 475,960 11,285 ProLogis 1,382,673 14,007 --------------- 25,292 --------------- MIXED--1.7% Duke Realty Corp. 411,132 4,666 Liberty Property Trust 348,690 10,060 --------------- 14,726 --------------- OFFICE--12.8% Alexandria Real Estate Equities, Inc. 181,958 11,530 BioMed Realty Trust, Inc. 829,081 13,340 Boston Properties, Inc. 534,983 38,166 Corporate Office Properties Trust 321,205 12,129 Douglas Emmett, Inc. 112,570 1,601 Highwoods Properties, Inc. 202,268 5,615 Kilroy Realty Corp. 198,727 5,908 Mack-Cali Realty Corp. 244,666 7,274 SL Green Realty Corp. 232,331 12,787 --------------- 108,350 --------------- TOTAL INDUSTRIAL/OFFICE 148,368 --------------- LODGING/RESORTS--6.7% Host Hotels & Resorts, Inc. 2,951,652 39,788 LaSalle Hotel Properties 505,642 10,401 Starwood Hotels & Resorts Worldwide, Inc. 93,350 3,868 Sunstone Hotel Investors, Inc.(2) 253,320 2,515 --------------- TOTAL LODGING/RESORTS 56,572 ---------------
SHARES VALUE --------------- --------------- REAL ESTATE INVESTMENT TRUSTS--(CONTINUED) RESIDENTIAL--18.7% APARTMENTS--17.8% Apartment Investment & Management Co. Class A 714,057 $ 13,832 AvalonBay Communities, Inc. 297,116 27,742 BRE Properties, Inc. 272,083 10,048 Equity Residential 1,349,209 56,181 Essex Property Trust, Inc. 205,252 20,020 Home Properties, Inc. 154,294 6,954 UDR, Inc. 832,264 15,921 --------------- 150,698 --------------- MANUFACTURED HOMES--0.9% Equity Lifestyle Properties, Inc. 162,111 7,818 --------------- TOTAL RESIDENTIAL 158,516 --------------- RETAIL--22.3% REGIONAL MALLS--13.9% Macerich Co. (The) 674,505 25,172 Simon Property Group, Inc. 1,089,646 87,989 Taubman Centers, Inc. 127,720 4,806 --------------- 117,967 --------------- SHOPPING CENTERS--8.4% Developers Diversified Realty Corp. 1,181,747 11,699 Federal Realty Investments Trust 197,030 13,845 Kimco Realty Corp. 1,673,985 22,499 Tanger Factory Outlet Centers 384,500 15,911 Weingarten Realty Investors 385,250 7,339 --------------- 71,293 --------------- TOTAL RETAIL 189,260 --------------- SELF STORAGE--7.3% Extra Space Storage, Inc. 1,303,349 18,117 Public Storage 503,723 44,282 --------------- TOTAL SELF STORAGE 62,399 --------------- SPECIALTY--8.7% Digital Realty Trust, Inc. 724,961 41,816 Entertainment Properties Trust 187,359 7,133 Plum Creek Timber Co., Inc. 321,761 11,110 Rayonier, Inc. 315,890 13,905 --------------- TOTAL SPECIALTY 73,964 ---------------
1 VIRTUS REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS(CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
SHARES VALUE --------------- --------------- TOTAL COMMON STOCKS (IDENTIFIED COST $602,020) 836,964 --------------- TOTAL LONG TERM INVESTMENTS--98.6% (IDENTIFIED COST $602,020) 836,964 SHORT TERM INVESTMENTS--0.9% MONEY MARKET MUTUAL FUNDS--0.9% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 7,953,371 $ 7,953 --------------- TOTAL SHORT TERM INVESTMENTS (IDENTIFIED COST $7,953) 7,953 --------------- TOTAL INVESTMENTS--99.5% (IDENTIFIED COST $609,973) 844,917(1) Other assets and liabilities, net--0.5% 3,942 --------------- NET ASSETS--100.0% $ 848,859 ===============
2 Virtus Real Estate Securities Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
TOTAL VALUE AT LEVEL 1 INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES - -------------------------- -------------- ------------- Common Stocks: Real Estate Investment Trusts $836,964 $836,964 Short Term Investments 7,953 7,953 -------- -------- Total Investments 844,917 844,917 ======== ========
There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable) priced securities. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- FOREIGN GOVERNMENT SECURITIES--1.3% Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16 (17) $ 1,500 $ 945 Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33 1,285 885 --------------- TOTAL FOREIGN GOVERNMENT SECURITIES (IDENTIFIED COST $2,097) 1,830 --------------- ASSET-BACKED SECURITIES--0.1% Harley-Davidson Motorcycle Trust 07-2, C 5.410%, 8/15/15 170 177 --------------- TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $133) 177 --------------- CORPORATE BONDS--9.4% CONSUMER DISCRETIONARY--1.7% American Axle & Manufacturing Holdings, Inc. 144A 9.250%, 1/15/17 (4) 350 362 Blockbuster, Inc. 144A 11.750%, 10/1/14 (4) 707 463 Eastman Kodak Co. 7.250%, 11/15/13 55 54 Harrah's Operating Co., Inc. 11.250%, 6/1/17 140 148 144A 12.750%, 4/15/18(4) 80 77 Landry's Restaurants, Inc. 11.625%, 12/1/15 666 693 Libbey Glass, Inc. 144A 10.000%, 2/15/15 (4) 75 78 MGM Resorts International, Inc. 10.375%, 5/15/14 47 51 Nebraska Book Co., Inc. 10.000%, 12/1/11 615 618 --------------- 2,544 --------------- CONSUMER STAPLES--0.3% Smithfield Foods, Inc. 144A 10.000%, 7/15/14 (4) 400 445 --------------- ENERGY--0.9% ATP Oil & Gas Corp. 144A 11.875%, 5/1/15 (4) 195 142 Coffeyville Resources LLC / Coffeyville Finance, Inc. 144A 10.875%, 4/1/17 (4) 700 686 Hercules Offshore, Inc. 144A 10.500%, 10/15/17 (4) 275 246 Western Refining, Inc. 144A 10.750%, 6/15/14 (3)(4) 325 294 --------------- 1,368 --------------- FINANCIALS--0.9% Ford Motor Credit Co. LLC 7.500%, 8/1/12 100 102 Ford Motor Credit Co., LLC 8.700%, 10/1/14 140 146
PAR VALUE VALUE --------------- --------------- FINANCIALS--(CONTINUED) International Lease Finance Corp. 4.750%, 1/13/12 $ 350 $ 333 SLM Corp. 8.450%, 6/15/18 475 438 Universal City Development Partners Ltd. 144A 8.875%, 11/15/15(4) 45 46 144A 10.875%, 11/15/16(4) 300 308 --------------- 1,373 --------------- HEALTH CARE--0.3% Select Medical Corp. 7.625%, 2/1/15 450 425 --------------- INDUSTRIALS--1.1% Global Aviation Holdings Ltd. 144A 14.000%, 8/15/13 (4) 730 759 Kratos Defense & Security Solutions, Inc. 144A 10.000%, 6/1/17 (4) 350 357 PharmaNet Development Group, Inc. 144A 10.875%, 4/15/17 (4) 415 407 --------------- 1,523 --------------- INFORMATION TECHNOLOGY--1.2% Freescale Semiconductor, Inc. 10.125%, 12/15/16 450 362 NXP BV / NXP Funding LLC 3.053%, 10/15/13(3) 750 644 7.875%, 10/15/14 350 323 Sorenson Communications, Inc. 144A 10.500%, 2/1/15 (4) 750 476 --------------- 1,805 --------------- MATERIALS--1.7% Catalyst Paper Corp. 7.375%, 3/1/14 300 141 Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC 8.875%, 2/1/18 250 227 Ineos Group Holdings plc 144A 8.500%, 2/15/16 (4) 750 589 Lyondell Chemical Co. 11.000%, 5/1/18 499 538 Verso Paper Holdings LLC / Verso Paper, Inc. 11.500%, 7/1/14 365 395 Series B, 4.094%, 8/1/14(3) 500 431 Series B, 11.375%, 8/1/16 210 180 --------------- 2,501 --------------- TELECOMMUNICATION SERVICES--1.3% Clearwire Communications LLC/Clearwire Finance, Inc.
1 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- TELECOMMUNICATION SERVICES--(CONTINUED) 144A 12.000%, 12/1/15(4) $ 750 $ 751 144A 12.000%, 12/1/15(4) 200 199 ITC Deltacom, Inc. 144A 10.500%, 4/1/16 (4) 700 676 Level 3 Financing, Inc. 4.140%, 2/15/15(3) 400 312 --------------- 1,938 --------------- TOTAL CORPORATE BONDS (IDENTIFIED COST $13,736) 13,922 --------------- LOAN AGREEMENTS(3)--86.1% CONSUMER DISCRETIONARY--26.5% 24 Hour Fitness Worldwide, Inc. Tranche B, 6.750%, 4/22/16 1,000 933 Advantage Sales & Marketing, Inc. Tranche, 5.000%, 5/5/16 743 738 Tranche, 8.500%, 5/5/17 615 610 AMF Bowling Worldwide, Inc. Tranche B, 2.850%, 6/7/13 572 490 Atrium Cos., Inc. Tranche, 7.000%, 1/21/16 1,000 975 Carmike Cinemas, Inc. Tranche, 5.500%, 1/27/16 920 917 CDW LLC Tranche B, 4.350%, 10/12/14 995 872 Cengage Learning Acquisitions, Inc. Tranche, 3.030%, 7/3/14 899 778 Tranche 1, 7.500%, 7/3/14 496 497 Ceridian Corp. Tranche, 3.347%, 11/9/14 1,551 1,396 Charter Communications Operating LLC Tranche B-1, 2.350%, 3/6/14 158 146 Tranche C, 3.790%, 9/6/16 1,279 1,194 Clear Channel Communications, Inc. Tranche B, 3.997%, 1/29/16 1,020 783 CSC Holdings, LLC Tranche B-2, 3.600%, 3/29/16 806 784 Cumulus Media, Inc. Tranche, 4.347%, 6/11/14 756 688 Dana Holding Corp. Tranche, 4.666%, 1/31/15 988 954 Dave & Busters, Inc. Tranche, 6.500%, 5/3/16 1,000 993 Emmis Operating Co. Tranche B, 4.485%, 11/1/13 1,192 1,053 Ford Motor Co. Tranche B-1, 3.337%, 12/15/13 1,043 989 Getty Images, Inc. Tranche B, 6.250%, 7/2/15 1,002 1,006 Harrah's Operating Co., Inc. Tranche B-2, 3.316%, 1/28/15 1,030 860 Tranche B-4, 9.500%, 10/31/16 582 584 HHI Group Holdings LLC Tranche, 10.500%, 3/30/15 593 597
PAR VALUE VALUE --------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Intelsat Jackson Holding Ltd. Tranche, 3.292%, 2/1/14 $ 1,000 $ 922 Intelstat Corp. Tranche B-2-A, 2.792%, 1/3/14 189 176 Tranche B-2-B, 2.792%, 1/3/14 189 176 Tranche B-2-C, 2.792%, 1/3/14 189 175 Isle of Capri Casinos, Inc. Tranche DD-A, 5.000%, 11/25/13 139 131 Tranche, 5.000%, 11/25/13 394 371 Tranche DD-B, 5.000%, 11/25/13 158 149 Lamar Media Corp. Tranche B, 4.250%, 10/1/16 1,496 1,494 Landry's Restaurant, Inc. Tranche, 8.000%, 5/13/11 848 853 Las Vegas Sands LLC Tranche DD-I, 2.100%, 5/23/14 192 171 Tranche B, 2.100%, 5/23/14 951 844 MCC Iowa LLC Tranche F, 4.500%, 10/20/17 1,000 954 Mediacom Illinois LLC Tranche D, 5.500%, 3/31/17 347 340 MGM MIRAGE Tranche E, 7.000%, 10/3/11 500 478 Tranche E, 7.000%, 2/21/14 500 415 Michaels Stores, Inc. Tranche B-2, 4.990%, 7/31/16 923 879 Neiman-Marcus Group, Inc. (The) Tranche, 2.444%, 4/6/13 1,715 1,611 Nielsen Finance LLC Tranche A, 2.350%, 8/9/13 649 612 Tranche B, 4.100%, 5/1/16 606 584 Pilot Travel Centers LLC Tranche B, 0.000%, 11/24/16 325 325 RCN Corp. Tranche, 0.000%, 3/5/16 1,025 1,013 Sabre, Inc. Tranche, 2.343%, 9/30/14 991 883 Sinclair Television Group, Inc. Tranche B, 6.750%, 10/29/15 531 533 Six Flags Theme Parks, Inc. Tranche B, 6.000%, 2/17/16 1,750 1,722 Tenneco, Inc. Tranche B, 5.088%, 5/13/16 500 501 Travelport LLC Tranche DD, 2.790%, 8/23/13 1,092 1,024 Univision Communications, Inc. Tranche B, 2.597%, 9/29/14 2,012 1,683 VML U.S. Finance LLC Tranche DD-B, 5.040%, 5/25/12 153 149
2 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- CONSUMER DISCRETIONARY--(CONTINUED) Tranche B, 5.040%, 5/27/13 $ 514 $ 501 VWR Funding, Inc. Tranche, 2.847%, 6/30/14 738 686 --------------- 39,192 --------------- CONSUMER STAPLES--2.8% Michael Foods, Inc. Tranche B 0.000%, 6/14/16 570 571 Revlon Consumer Products Corp. Tranche, 6.000%, 3/11/15 1,027 1,003 Reynolds Group Holdings Ltd. Tranche, 6.250%, 11/5/15 542 540 Rite Aid Corp. Tranche 3, 6.000%, 6/4/14 1,290 1,221 Spectrum Brands, Inc. Tranche, 8.000%, 2/9/16 334 336 Yankee Candle Co., Inc. Tranche, 2.350%, 2/6/14 454 432 --------------- 4,103 --------------- ENERGY--2.8% Big West Oil LLC Tranche, 0.000%, 1/30/15 565 570 Helix Energy Solutions Group, Inc. Tranche, 2.598%, 7/1/13 636 590 Hercules Offshore, Inc. Tranche B, 6.000%, 7/11/13 1,113 984 Scorpion Drilling Ltd. Tranche, 7.847%, 5/8/14 750 752 Targa Resources, Inc. Tranche, 5.750%, 7/5/16 433 432 Venoco, Inc. Tranche C, 5.313%, 5/7/14 1,006 899 --------------- 4,227 --------------- FINANCIALS--8.7% AGFS Funding Co. Tranche 7.250%, 4/8/15 1,450 1,415 Agile Property Holdings Ltd. Tranche, 3.097%, 1/25/13 375 337 Bass Pro Group LLC Tranche B 0.000%, 4/9/15 500 500 CB Richard Ellis Group, Inc. Tranche A-2, 5.250%, 6/24/13 500 499 Tranche B-1, 6.500%, 12/20/15 1,032 1,032 CIT Group, Inc. Tranche 1-A, 13.000%, 1/20/12 1,286 1,331 Delos Aircraft, Inc. Tranche B-2, 7.000%, 3/5/16 727 717 Green Tree Credit Solutions Tranche, 8.000%, 12/18/15 576 557 Hertz Corp. Letter of Credit 1.049%, 12/21/12 115 110 Tranche B, 2.100%, 12/21/12 622 593 International Lease Finance Corp. Tranche B-1, 6.750%, 3/17/15 838 831
PAR VALUE VALUE --------------- --------------- FINANCIALS--(CONTINUED) Nuveen Investments, Inc. Tranche B, 3.431%, 11/13/14 $ 1,475 $ 1,232 Pinnacle Foods Finance LLC/ Pinnacle Food Finance Corp. Tranche B, 2.851%, 4/2/14 1,080 1,013 Re/Max International, Inc. Tranche, 6.000%, 3/11/16 998 995 Sungard Data Systems, Inc. Tranche A, 2.100%, 2/28/14 22 21 Synatech Holdings, Inc. Tranche, 0.000%, 4/2/14 496 428 Universal City Development Partners, Ltd. Tranche B, 5.500%, 11/6/14 386 385 Vanguard Health Holding Co., II LLC Tranche B, 5.000%, 1/29/16 870 859 --------------- 12,855 --------------- HEALTH CARE--7.3% Ardent Health Services, Inc. Tranche, 6.500%, 7/19/15 499 486 Aveta, Inc. Tranche B, 8.000%, 3/16/15 245 240 Bausch & Lomb, Inc. Tranche DD, 3.597%, 4/24/15 94 89 Tranche, 3.690%, 4/24/15 390 368 Butler Animal Health Supply LLC Tranche B, 5.500%, 12/31/15 746 747 Catalent Pharma Solutions, Inc. Tranche, 2.597%, 4/10/14 995 895 Community Health Systems, Inc. Tranche B, 2.788%, 7/25/14 1,170 1,093 Tranche DD, 2.788%, 7/25/14 60 56 CRC Health Corp. Tranche, 2.783%, 2/6/13 488 459 Generic Drug Holdings, Inc. Tranche, 6.500%, 4/7/16 868 816 Tranche DD, 6.500%, 4/8/16 119 112 HCA, Inc. Tranche A-1, 2.033%, 11/16/12 826 781 Health Management Associates, Inc. Tranche B, 2.283%, 2/28/14 317 296 HealthSouth Corp. Tranche 1, 2.790%, 3/10/13 542 523 Tranche 2, 4.290%, 9/10/15 446 441 MMM Holdings, Inc. Tranche B, 8.000%, 3/6/15 245 240 Psychiatric Solutions, Inc. Tranche B, 2.207%, 7/2/12 744 737
3 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- HEALTH CARE--(CONTINUED) RehabCare Group, Inc. Tranche B, 6.000%, 11/24/15 $ 516 $ 514 Rotech Healthcare, Inc. PIK Interest Capitalization, 6.347%, 9/26/11 400 384 Select Medical Corp. Tranche B-1, 4.234%, 8/22/14 766 739 Warner Chilcott plc Tranche A, 5.500%, 10/30/14 322 322 Tranche B-1 5.750%, 4/30/15 152 152 Tranche B-2 5.750%, 4/30/15 253 252 --------------- 10,742 --------------- INDUSTRIALS--11.3% Advanced Disposal Sevices, Inc. Tranche B, 6.000%, 1/14/15 1,493 1,491 ARAMARK Corp. Letter of Credit 1, 0.198%, 1/26/14 18 17 Tranche, 2.408%, 1/26/14 250 234 Letter of Credit 2, 0.198%, 7/26/16 33 32 Tranche, 3.783%, 7/26/16 496 479 Bucyrus International, Inc. Tranche C, 4.500%, 2/19/16 798 797 Harland Clarke Holdings Corp. Tranche B, 2.847%, 6/30/14 1,462 1,261 Hawker Beechcraft Aquistion Co. LLC Letter of Credit, 1.267%, 3/26/14 81 66 Tranche, 2.440%, 3/26/14 1,360 1,104 Holdings Gaming Borrower LP Tranche B, 9.250%, 2/19/23 80 78 Live Nation Entertainment, Inc. Tranche B, 4.500%, 10/20/16 499 496 Manitowoc Co., Inc. (The) Tranche B, 7.500%, 11/6/14 1,014 1,013 Ozburn-Hessey Holding Co. LLC Tranche B, 7.500%, 4/8/16 599 598 Protection One, Inc. Tranche B, 6.000%, 4/26/16 1,020 1,010 Quad Graphics, Inc. Tranche B, 0.000%, 1/26/16 1,000 962 ServiceMaster Co. (The) Tranche DD, 2.850%, 7/24/14 174 159 Tranche B, 2.917%, 7/24/14 1,743 1,598 Sungard Data Systems, Inc. Tranche B, 4.029%, 2/28/16 1,237 1,186
PAR VALUE VALUE --------------- --------------- INDUSTRIALS--(CONTINUED) Transaction Network Services, Inc. Tranche, 6.000%, 11/18/15 $ 601 $ 602 TransUnion LLC Tranche B, 6.750%, 6/15/17 625 629 U.S. Investigations Services, Inc. Tranche B, 3.539%, 2/21/15 1,592 1,377 Vertrue, Inc. Tranche 3.540%, 8/16/14 587 496 Zuffa LLC Tranche, 7.500%, 6/19/15 1,030 1,035 --------------- 16,720 --------------- INFORMATION TECHNOLOGY--11.0% Allen Systems Group, Inc. Tranche, 8.500%, 10/18/13 341 341 Tranche, 6.500%, 4/18/14 152 150 Aspect Software, Inc. Tranche B, 6.250%, 4/19/16 998 978 Avaya, Inc. Tranche B-1, 3.260%, 10/24/14 1,486 1,275 CommScope, Inc. Tranche B, 3.075%, 12/26/14 493 482 Dresser, Inc. Tranche B, 2.695%, 5/4/14 248 228 PIK Interest Capitalization, 6.195%, 5/4/15 1,400 1,298 First Data Corp. Tranche B-3, 3.097%, 9/24/14 1,903 1,603 Freescale Semiconductor, Inc. Tranche, 4.604%, 12/1/16 1,111 980 Infor Enterprise Solutions Holdings, Inc. Tranche, 6.597%, 3/2/14 348 257 Tranche DD, 6.597%, 3/2/14 202 149 Tranche B, 6.100%, 7/28/15 981 915 Tranche B, 6.100%, 7/28/15 512 477 MSCI, Inc. Tranche, 4.750%, 3/1/16 185 185 NuSil Technology LLC Tranche B, 6.000%, 2/18/15 386 388 RedPrairie Corp. Tranche, 6.000%, 3/25/16 1,247 1,238 Reynolds & Reynolds Co. (The) Tranche B 0.000%, 4/1/17 731 723 Sensata Technologies BV Tranche B, 2.078%, 4/27/13 1,234 1,156 SkillSoft Corp. Tranche, 0.000%, 2/11/17 940 935 Spansion LLC Tranche B, 7.500%, 2/9/15 1,277 1,267 Springboard Finance LLC Tranche B, 7.000%, 2/23/15 839 832 Towerco Finance LLC Tranche, 6.000%, 11/24/14 498 498 --------------- 16,355 ---------------
4 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
PAR VALUE VALUE --------------- --------------- MATERIALS--9.7% Anchor Glass Container Corp. Tranche, 6.000%, 3/2/16 $ 576 $ 571 Tranche, 10.000%, 9/2/16 715 706 Berry Plastics Group, Inc. Tranche C, 2.350%, 4/3/15 1,244 1,104 Building Materials Holding Corp. of America Tranche B, 3.125%, 2/22/14 247 239 Celanese Holdings LLC Tranche 2.042%, 4/2/14 436 414 Chemtura Corp. Tranche A, 6.000%, 2/11/11 500 503 DynCorp International, Inc. Tranche B, 0.000%, 7/7/20 750 735 Gentek Holding LLC Tranche, 7.000%, 10/29/14 242 242 Hexion Specialty Chemicals 4.063%, 5/5/15 401 366 4.313%, 5/5/15 177 162 Hoffmaster Group, Inc. Tranche, 7.000%, 4/5/16 994 967 Huntsman International LLC Tranche C, 2.641%, 6/23/16 855 800 Ineos Holdings Ltd. Tranche B-2, 3.751%, 12/16/13 368 354 Tranche C-2, 4.001%, 12/16/14 421 405 JohnsonDiversey, Inc. Tranche B, 5.500%, 11/24/15 249 249 Lyondell Chemical Co. Tranche, 5.500%, 3/14/16 875 880 Momentive Performance Materials, Inc. Tranche, 0.000%, 12/4/13 1,000 897 New Sunward Holding BV Tranche B, 0.000%, 2/14/14 750 675 Noranda Aluminum, Inc. Tranche B, 2.538%, 5/18/14 611 561 PQ Corp. 0.000%, 7/30/14 1,000 909 Reynolds Group Holdings Ltd. Tranche, 5.750%, 5/5/16 580 577 Smurfit-Stone Container Enterprise Tranche B, 3.625%, 2/22/16 1,450 1,448 Solutia, Inc. Tranche B, 4.750%, 3/2/17 613 614 --------------- 14,378 --------------- TELECOMMUNICATION SERVICES--4.1% Cincinnati Bell, Inc. Tranche B, 6.500%, 6/11/17 1,222 1,189 Level 3 Communications, Inc. Tranche A, 2.548%, 3/13/14 1,450 1,292 Tranche B, 11.500%, 3/13/14 70 75
PAR VALUE VALUE --------------- --------------- TELECOMMUNICATION SERVICES--(CONTINUED) MetroPCS Wireless, Inc. Tranche B, 2.625%, 11/3/13 $ 410 $ 393 nTelos, Inc. Tranche, 5.750%, 8/7/15 1,472 1,473 Securus Technologies, Inc. Tranche, 8.000%, 10/31/14 579 581 Time Warner Telecom Holdings, Inc. Tranche B, 2.100%, 1/7/13 461 445 U.S. TelePacific Corp. Tranche B, 9.250%, 8/17/15 599 597 --------------- 6,045 --------------- UTILITIES--1.9% Calpine Corp. Tranche, 3.415%, 3/29/14 358 329 New Development Holdings LLC Tranche, 0.000%, 4/21/17 530 526 NRG Energy, Inc. Letter of Credit 1.142%, 2/1/13 306 294 Tranche B, 2.283%, 2/1/13 462 443 Texas Competitive Electric Holdings Co. LLC Tranche B-3, 3.942%, 10/10/14 1,695 1,251 --------------- 2,843 --------------- TOTAL LOAN AGREEMENTS (IDENTIFIED COST $126,638) 127,460 --------------- TOTAL LONG TERM INVESTMENTS--96.9% (IDENTIFIED COST $142,604) 143,389 ---------------
SHARES VALUE --------------- --------------- SHORT-TERM INVESTMENTS--9.3% MONEY MARKET MUTUAL FUNDS--9.3% BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.177%) 13,740,789 13,741 --------------- TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $13,741) 13,741 --------------- TOTAL INVESTMENTS--106.2% (IDENTIFIED COST $156,345) 157,130(1) Other Assets and Liabilities--(6.2)% (9,124) --------------- NET ASSETS--100.0% $ 148,006 ===============
ABBREVIATIONS: PIK Payment-in-Kind Security 5 VIRTUS SENIOR FLOATING RATE FUND SCHEDULE OF INVESTMENTS JUNE 30, 2010 (UNAUDITED) ($ reported in thousands)
COUNTRY WEIGHTINGS as of 6/30/10 + - ---------------------------------- United States (includes short-term investments) 88% Japan 2 United Kingdom 2 Canada 1 China 1 Germany 1 Switzerland 1 Other 4 --- Total 100% ===
+ % of total investments as of June 30, 2010 6 Virtus Senior Floating Rate Fund The following table provides a summary of inputs used to value the Fund's net assets as of June 30, 2010 (See Security Valuation Note 1A in the Notes to Schedules of Investments.):
LEVEL 2 LEVEL 3 SIGNIFICANT SIGNIFICANT TOTAL VALUE AT LEVEL 1 OBSERVABLE UNOBSERVABLE INVESTMENTS IN SECURITIES: JUNE 30, 2010 QUOTED PRICES INPUTS INPUTS - -------------------------- -------------- ------------- ----------- ------------ Debt Securities: Asset-backed Securities $ 177 $ -- $ 177 $ -- Corporate Debt 141,382 -- 140,370 1,012 Foreign Government Securities 1,830 -- 1,830 -- Equity Securities: Short-term Investments 13,741 13,741 -- -- -------- ------- -------- ------ Total Investments 157,130 13,741 142,377 1,012 ======== ======= ======== ======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 | Senior Floating Rate Note Fund The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.
Corporate INVESTMENTS IN SECURITIES TOTAL Debt - ------------------------- ------ --------- Balance as of September 30, 2009: $ 74 $ 74 Accrued Discount/(Premium) 1 1 Realized Gain (Loss) --(2) --(b) Change in Unrealized Appreciation (Depreciation) 2 2 Net Purchases/(Sales) --(2) --(b) Transfers In and/or Out of Level 3(a) 935 935 ------ ------ BALANCE AS OF JUNE 30, 2010 $1,012 $1,012 ====== ======
(a) "Transfers in and/or out" represent the ending value as of June 30, 2010, for any investment security where a change in the pricing level occurred from the beginning to the end of the period. (b) Amount is less than $500. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS June 30, 2010 (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 16 diversified Funds and 2 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: 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) A description of the valuation techniques applied to the Funds major categories of assets and liabilities measured at fair value on a recurring basis is as follows: Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the advisor, are generally categorized as Level 3 in the hierarchy. Certain foreign securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that 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 such cases the funds fair value foreign securities using an external pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange Traded Funds, and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain foreign common stocks may occur on a frequent basis. Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore dealer supplied prices are utilized representing indicative bids based on pricing models used by market makers in the security and are generally OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS June 30, 2010 (CONTINUED) (UNAUDITED) categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the advisor are generally categorized as Level 3 in the hierarchy. Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter (OTC) derivative contracts, which include forward currency contracts and equity linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value determined as of the close of business of the New York Stock Exchange (generally 4:00 p.m. Eastern time) each business day and are categorized as Level 1 in the hierarchy. Short-term Notes having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market. A summary of the inputs used to value the Funds' net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or 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. C. SECURITY LENDING Certain Funds may loan securities to qualified brokers through a securities lending agent agreement with PFPC Trust Co. ("PFPC"), the Fund's custodian. Under the terms of the agreement, the Funds are required to maintain collateral with a market value not less than 100% of the market value of loaned OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS June 30, 2010 (CONTINUED) (UNAUDITED) securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government. Cash collateral is invested in short-term money market funds. Dividends earned on the collateral and premiums paid by the borrower are recorded as income by the Fund net of fees charged by PFPC for its services in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the foreclosure on collateral. At June 30, 2010, the following funds had securities on loan (reported in thousands):
Market Value Cash Collateral ------------ --------------- AlphaSector Allocation Fund $ 2,913 $ 3,100 AlphaSector Rotation Fund 36,027 38,875 Bond Fund 2,484 2,543 High Yield Fund 4,780 4,890
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 June 30, 2010, the Funds held the following illiquid and restricted securities ($ reported in thousands):
ACQUISITION ACQUISITION MARKET VALUE AT % NET ASSETS AT DATE COST 30-JUN-10 30-JUN-10 ----------- ----------- --------------- --------------- BOND FUND DLJ Mortgage Acceptance Corp. 96-1, (Principal Only) 144A 0.000%, 9/18/11 4/28/04 3 $ 2 0.00% HIGH YIELD FUND Poland Telecom Finance BV Series B 1 14.000%, 12/1/07 11/24/97 4,942 62 0.00% ACG Holdings, Inc. 12/4/93 358 0 0.00% MARKET NEUTRAL FUND Telefonica Moviles S.A. 12/20/01 $ 0 $ 0 0.00%
OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS June 30, 2010 (CONTINUED) (UNAUDITED) MULTI-SECTOR SHORT TERM BOND FUND Long Grove Collateral Loan Obligation Ltd. 04-1A, C 144A 2.897%, 5/25/16 5/24/04 1,614 1,036 0.00% 04-1A, D 144A 7.247%, 5/25/16 5/24/04 511 202 0.00%
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 June 30, 2010, 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 $ 40,345 $ 612 ($1,373) ($761) AlphaSector Rotation Fund 473,987 0 (34,734) (34,734) Alternatives Diversifier Fund 258,518 34,118 (63,392) (29,274) Bond Fund 190,647 10,653 (1,113) 9,540 CA Tax-Exempt Bond Fund 56,055 3,205 (1,493) 1,712 Foreign Opportunities Fund 952,127 141,631 (20,156) 121,475 Global Infrastructure Fund 72,549 3,462 (9,846) (6,384) Global Opportunities Fund 47,675 7,416 (734) 6,682 Global Real Estate Securities Fund 2,055 705 (173) 532 Greater Asia ex Japan Opportunities Fund 6,847 1,128 (133) 995 Greater European Opportunities Fund 3,972 614 (146) 468 High Yield Fund 95,538 3,669 (5,615) (1,946) International Real Estate Securities Fund 31,444 2,348 (8,253) (5,905) Market Neutral Fund (Long positions) 84,380 8,478 (7,778) 700 Market Neutral Fund (Short positions) (80,661) 5,560 (5,357) 203 Multi-Sector Fixed Income Fund 191,783 11,473 (6,756) 4,717 Multi-Sector Short Term Bond Fund 2,846,597 133,173 (73,553) 59,620 Real Estate Securities Fund 658,738 238,770 (52,591) 186,179 Senior Floating Rate Fund 156,345 3,570 (2,785) 785
OTHER INFORMATION REGARDING EACH FUND IS AVAILABLE IN THE FUND'S MOST RECENT REPORT TO SHAREHOLDERS. VIRTUS OPPORTUNITIES TRUST NOTES TO SCHEDULES OF INVESTMENTS June 30, 2010 (CONTINUED) (UNAUDITED) NOTE 4--SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the series through the date the financial statements were available for issuance, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 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 August 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 August 25, 2010 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ W. Patrick Bradley ------------------------------------------------------- W. Patrick Bradley, Chief Financial Officer and Treasurer (principal financial officer) Date August 25, 2010 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 cert_302.txt 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, George R. Aylward, certify that: 1. I have reviewed this report on Form N-Q of Virtus Opportunities Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 25, 2010 /s/ George R. Aylward ---------------------- ----------------------------------------------- George R. Aylward, President (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, W. Patrick Bradley, certify that: 1. I have reviewed this report on Form N-Q of Virtus Opportunities Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 25, 2010 /s/ W. Patrick Bradley ---------------------- ----------------------------------------------- W. Patrick Bradley, Chief Financial Officer and Treasurer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----