NPORT-EX 2 VIRGCM0VirtusSeixUSMortFd.htm
Seix U.S. Mortgage Fund
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2020
($ reported in thousands)
  Par Value   Value
Mortgage-Backed Securities—94.9%
Agency—94.9%    
Federal Home Loan Mortgage Corp.      
Pool #G07031
4.000%, 5/1/42 		$313   $339
Pool #C04123
4.000%, 7/1/42 		201   217
Pool #Q10929
3.500%, 9/1/42 		265   284
Pool #G60019
4.500%, 3/1/44 		218   238
Pool #Q26366
4.000%, 5/1/44 		126   137
Pool #V81283
4.000%, 7/1/44 		272   294
Pool #G60183
4.000%, 12/1/44 		109   119
Pool #Q31645
4.000%, 2/1/45 		51   55
Pool #V81992
4.000%, 10/1/45 		342   370
Pool #Q38473
4.000%, 1/1/46 		375   406
Pool #Q39440
4.000%, 3/1/46 		407   437
Pool #G08706
3.500%, 5/1/46 		323   344
Pool #Q40815
3.500%, 6/1/46 		341   368
Pool #G60661
4.000%, 7/1/46 		60   64
Pool #G61721
3.500%, 11/1/46 		82   87
Pool #ZA4786
3.000%, 12/1/46 		205   216
Pool #Q46110
3.500%, 2/1/47 		266   285
Pool #Q51962
3.500%, 11/1/47 		182   193
Pool #Q51951
4.000%, 11/1/47 		79   85
Pool #Q53881
4.500%, 1/1/48 		380   419
Pool #Q54449
3.500%, 2/1/48 		87   93
Pool #G08804
3.500%, 3/1/48 		193   206
Pool #ZM6076
4.000%, 4/1/48 		504   540
Pool #SD0164
3.500%, 12/1/49 		418   444
Pool #QA7571
3.000%, 2/1/50 		200   209
Federal National Mortgage Association      
Pool #MA3575
3.500%, 12/1/38 		173   183
Pool #AL7497
3.500%, 9/1/40 		946   1,014
Pool #MA0639
4.000%, 2/1/41 		359   388
Pool #AL0215
4.500%, 4/1/41 		127   139
  Par Value   Value
Agency—continued    
Pool #890381
3.500%, 10/1/41 		$228   $245
Pool #AW8154
3.500%, 1/1/42 		431   463
Pool #AS9571
3.500%, 5/1/42 		324   348
Pool #AO8632
3.500%, 7/1/42 		324   348
Pool #CA4144
3.000%, 9/1/44 		214   227
Pool #AX2491
4.000%, 10/1/44 		403   436
Pool #MA2190
4.000%, 2/1/45 		585   633
Pool #MA2341
4.500%, 6/1/45 		90   98
Pool #AY8851
4.000%, 8/1/45 		167   181
Pool #BE5050
4.000%, 9/1/45 		153   166
Pool #AZ9213
4.000%, 10/1/45 		373   410
Pool #AS6515
4.000%, 1/1/46 		50   54
Pool #AS6640
3.500%, 2/1/46 		257   274
Pool #BA4799
4.000%, 2/1/46 		357   387
Pool #BE7155
3.500%, 2/1/47 		473   507
Pool #BE7213
4.000%, 4/1/47 		281   303
Pool #BE9598
4.000%, 5/1/47 		358   386
Pool #BE3695
3.500%, 6/1/47 		137   146
Pool #BH9313
3.500%, 9/1/47 		86   92
Pool #BH7058
3.500%, 12/1/47 		383   404
Pool #FM1222
3.500%, 1/1/48 		99   105
Pool #BH9277
3.500%, 2/1/48 		267   282
Pool #BO2843
3.500%, 10/1/49 		232   247
Pool #BO5325
3.000%, 11/1/49 		199   209
Government National Mortgage Association      
Pool #MA1521
3.500%, 12/20/43 		67   72
Pool #AE8170
4.000%, 2/15/44 		68   74
Pool #MA3310
3.500%, 12/20/45 		242   257
Pool #635099
3.000%, 7/15/46 		79   85
Pool #MA4261
3.000%, 2/20/47 		49   53
Pool #MA4586
3.500%, 7/20/47 		525   559
Pool #774031
3.000%, 8/15/47 		111   119
See Notes to Schedule of Investments
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Seix U.S. Mortgage Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2020
($ reported in thousands)
  Par Value   Value
Agency—continued    
Pool #AD6354
3.000%, 1/15/48 		$93   $99
Pool #MA5984
3.000%, 6/20/49 		364   386
Pool #BQ1140
3.000%, 11/15/49 		252   267
Government National Mortgage Association II      
Pool #MA3173
3.500%, 10/20/45 		127   135
Pool #MA5019
3.500%, 2/20/48 		50   53
      17,283
       
 
Total Mortgage-Backed Securities
(Identified Cost $16,542) 		  17,283
       
 
       
 
Total Long-Term Investments—94.9%
(Identified Cost $16,542) 		  17,283
       
 
       
 
TOTAL INVESTMENTS—94.9%
(Identified Cost $16,542) 		  $17,283
Other assets and liabilities, net—5.1%   920
NET ASSETS—100.0%   $18,203
The following table summarizes the market value of the Fund’s investments as of March 31, 2020, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
  Total
Value at
March 31, 2020 		  Level 2
Significant
Observable
Inputs
Assets:      
Debt Securities:      
Mortgage-Backed Securities $17,283   $17,283
Total Investments $17,283   $17,283
There were no securities valued using quoted prices (Level 1) or significant unobservable inputs (Level 3) at March 31, 2020.
There were no transfers into or out of Level 3 related to securities held at March 31, 2020.
See Notes to Schedule of Investments
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SEIX U.S. MORTGAGE FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2020
Note 1. Security Valuation
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
• Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter (“OTC”) derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
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