N-Q 1 d305139dnq.htm VIRTUS GLOBAL MULTI-SECTOR INCOME FUND Virtus Global Multi-Sector Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number            811-22608                             

                            Virtus Global Multi-Sector Income Fund                           

(Exact name of registrant as specified in charter)

101 Munson Street

                                                     Greenfield, MA 01301-9683                                                     

(Address of principal executive offices) (Zip code)

William Renahan, Esq.

Vice President, Chief Legal Officer and Secretary for Registrant

100 Pearl Street

                                             Hartford, CT 06103-4506                                             

(Name and address of agent for service)

Registrant’s telephone number, including area code: (866) 270-7788

Date of fiscal year end: November 30

Date of reporting period: February 28, 2017

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

The Schedules of Investments are attached herewith.

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS

FEBRUARY 28, 2017 (Unaudited)

($ reported in thousands)

 

         PAR VALUE

 

                 VALUE        

 

MUNICIPAL BONDS—0.8%

    

California—0.4%

           

State of California Build America Bond Taxable 7.500%, 4/1/34

   $      570          $     816     
        

 

 

Illinois—0.4%

           

State of Illinois Build America Bond Taxable 6.900%, 3/1/35

        700                        725     
        

 

 

 

    

TOTAL MUNICIPAL BONDS

(Identified Cost $1,492)

     1,541     

 

    

FOREIGN GOVERNMENT SECURITIES—22.7%

    

Argentine Republic

           

144A 5.625%, 1/26/22(3)

        520              526     

144A 7.500%, 4/22/26(3)

        1,895              1,990     

144A 6.875%, 1/26/27(3)

        545              545     

Series NY 8.280%, 12/31/33

        1,269              1,361     

144A 7.125%, 7/6/36(3)

        780              750     

144A 7.625%, 4/22/46(3)

        590              596     

Bermuda RegS 4.854%, 2/6/24(4)

        700              736     

Bolivarian Republic of Venezuela RegS 7.650%, 4/21/25(4)

        1,845              886     

City of Buenos Aires 144A 7.500%, 6/1/27(3)

        320              330     

Dominican Republic

           

144A 6.875%, 1/29/26(3)

        155              171     

144A 6.850%, 1/27/45(3)

        800              830     

Federative Republic of Brazil

           

12.500%, 1/5/22

        2,185BRL         773     

Treasury Note Series F, 10.000%, 1/1/23

        2,560BRL         829     

8.500%, 1/5/24

        1,405BRL         424     

Treasury Note Series F, 10.000%, 1/1/25

        1,960BRL         635     

6.000%, 4/7/26

        580              629     

5.625%, 1/7/41

        725              696     

Hungary 5.375%, 3/25/24

        530              588     

Islamic Republic of Pakistan 144A 8.250%, 4/15/24(3)

        600              672     

Kingdom of Bahrain 144A 7.000%, 10/12/28(3)

        795              831     

Kingdom of Jordan 144A 5.750%, 1/31/27(3)

        1,085              1,054     

Kingdom of Morocco 144A 5.500%, 12/11/42(3)

        800              841     

Kingdom of Qatar 144A 4.625%,
6/2/46(3)

        300              307     

Kingdom of Saudi Arabia 144A 3.250%, 10/26/26(3)

        555              536     
         PAR VALUE

 

                 VALUE        

 

Mongolia

           

144A 10.875%, 4/6/21(3)

   $      355          $     403     

RegS 5.125%, 12/5/22(4)

        345              321     

Provincia de Buenos Aires 144A 9.125%, 3/16/24(3)

        730              808     

Provincia de Buenos Aires Argentina 144A 7.875%, 6/15/27(3)

        1,165              1,168     

Republic of Armenia 144A 7.150%, 3/26/25(3)

        700              734     

Republic of Chile 5.500%, 8/5/20

        547,000CLP         885     

Republic of Colombia

           

Treasury Note, Series B, 11.250%, 10/24/18

        998,500COP         368     

4.375%, 3/21/23

        1,588,000COP         488     

3.875%, 4/25/27

        805              801     

9.850%, 6/28/27

        824,000COP         346     

Republic of Costa Rica

           

144A 7.000%, 4/4/44(3)

        800              790     

RegS 7.000%, 4/4/44(4)

        1,000              987     

Republic of El Salvador

           

144A 6.375%, 1/18/27(3)

        1,320              1,188     

144A 8.625%, 2/28/29(3)

        215              217     

Republic of Ghana 144A 10.750%, 10/14/30(3)

        655              773     

Republic of Indonesia

           

Series FR63, 5.625%, 5/15/23

        7,482,000IDR         511     

Series FR70, 8.375%, 3/15/24

        7,827,000IDR         616     

Series FR56, 8.375%, 9/15/26

        5,996,000IDR         479     

Republic of Iraq RegS 5.800%, 1/15/28(4)

        890              790     

Republic of Kazakhstan 144A 5.125%, 7/21/25(3)

        260              281     

Republic of South Africa

           

Series R203, 8.250%, 9/15/17

        8,060ZAR         617     

Series R208, 6.750%, 3/31/21

        1,940ZAR         142     

4.875%, 4/14/26

        370              380     

4.300%, 10/12/28

        810              780     

Republic of Sri Lanka 144A 6.850%, 11/3/25(3)

        900              938     

Republic of Turkey

           

9.000%, 3/8/17

        1,090TRY         300     

6.250%, 9/26/22

        340              362     

4.875%, 10/9/26

        2,535              2,414     

6.000%, 3/25/27

        650              667     

4.875%, 4/16/43

        935              786     

Republic of Uruguay 5.100%, 6/18/50

        500              470     

Russian Federation

           

144A 7.850%, 3/10/18(3)

        55,000RUB         932     

6.700%, 5/15/19

        48,000RUB         795     
 

 

See Notes to Schedules of Investments

 

1

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

         PAR VALUE                 VALUE        

144A 4.875%, 9/16/23(3)

   $      800          $     862     

Sultanate of Oman 144A 4.750%, 6/15/26(3)

        1,280              1,255     

Ukraine 144A 7.750%, 9/1/26(3)

        730              679     

United Mexican States

           

Series M, 6.500%, 6/9/22

        9,038MXN         438     

4.750%, 3/8/44

        506              482     

 

    

TOTAL FOREIGN GOVERNMENT SECURITIES

(Identified Cost $45,744)

     43,789     

 

    

MORTGAGE-BACKED SECURITIES—11.5%

           

Agency—4.2%

           

FHLMC 3.500%, 4/1/46

        397              408     

FNMA

           

3.500%, 11/1/42

        607              625     

3.500%, 9/1/45(11)

        1,928              1,978     

3.000%, 12/1/45

        1,999              1,987     

3.500%, 12/1/45

        527              541     

3.500%, 12/1/45

        1,201              1,232     

3.500%, 1/1/46

        716              734     

3.000%, 5/1/46(11)

        592              588     
        

 

 

              8,093     
        

 

 

Non-Agency—7.3%

           

American Homes 4 Rent 14-SFR2, C 144A 4.705%, 10/17/36(3)

        770              806     

Ameriquest Mortgage Securities, Inc. 03-AR3, M4 4.086%, 6/25/33(2)

        855              825     

AMSR Trust 16-SFR1, D 144A 3.172%, 11/17/33(2)(3)

        665              665     

BAMLL Commercial Mortgage Securities Trust 15-200P, A 144A 3.218%, 4/14/33(3)

        580              584     

Bayview Opportunity Master Fund IVa Trust 16-SPL1, B1 144A 4.250%, 4/28/55(3)

        540              550     

Bayview Opportunity Master Fund IVb Trust 16-SPL2, B1 144A 4.250%, 6/28/53(2)(3)

        385              387     

CIT Group Home Equity Loan Trust 03-1, A5 5.480%, 7/20/34(2)

        1,384              1,416     

Credit Suisse Commercial Mortgage-Backed Trust

           

06-08, 3A1 6.000%, 10/25/21

        251              237     

07-C5, A1AM 5.870%, 9/15/40(2)

        490              466     

Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.345%, 8/10/44(2)(3)

      660              689     

GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.382%, 12/15/34(2)(3)

      525              534     
         PAR VALUE                 VALUE              

Non-Agency—(continued)

           

GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35(2)

   $      381          $     385     

Home Equity Loan Trust 07-HSA3, AI4 6.110%, 6/25/37(2)

        1,124              1,133     

JPMorgan Chase Commercial Mortgage Securities Trust 07-LDPX, AM 5.464%, 1/15/49(2)

        367              366     

JPMorgan Chase Mortgage Trust 16-5, A1 144A 2.604%, 12/25/46(2)(3)

        718              716     

MASTR Alternative Loan Trust 04-6, 7A1 6.000%, 7/25/34

        720              699     

New Residential Mortgage Loan Trust 16-4A, B1A 144A 4.500%, 11/25/56(3)

      566              585     

One Market Plaza Trust 17-1MKT, A 144A 3.614%, 2/10/32(3)

        520              536     

Towd Point Mortgage Trust

           

15-6, M1 144A 3.750%, 4/25/55(2)(3)

      275              270     

15-2, 1M1 144A 3.250%, 11/25/60(2)(3)

      1,665              1,652     

Wells Fargo Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50

      690              689     
        

 

 

              14,190     

 

    

TOTAL MORTGAGE-BACKED SECURITIES

(Identified Cost $22,383)

     22,283     

 

    

ASSET-BACKED SECURITIES—5.2%

           

Arbys Funding LLC 15-1A, A2 144A 4.969%, 10/30/45(3)

        365              365     

Carnow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21(3)

        640              637     

Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43(3)

        771              765     

Chrysler Capital Auto Receivables Trust 16-BA, D 144A 3.510%, 9/15/23(3)

        770              760     

Citi Held For Asset Issuance 15-PM3, B 144A 4.310%, 5/16/22(3)

        1,000              1,010     

DB Master Finance LLC 15-A1, A2II 144A 3.980%, 2/20/45(3)

        284              288     

DT Auto Owner Trust 15-3A, C 144A 3.250%, 7/15/21(3)

        645              650     

Exeter Automobile Receivables Trust 14-3A, D 144A 5.690%, 4/15/21(3)

        730              757     
 

 

See Notes to Schedules of Investments

 

2

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

         PAR VALUE

 

                 VALUE        

 

Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42(3)

   $      421          $     422     

First Investors Auto Owner Trust 15-2A, E 144A 5.590%, 11/15/22(3)

        800              802     

Flagship Credit Auto Trust 16-3, D 144A 3.890%, 11/15/22(3)

        785              793     

LEAF Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23(3)

        425              417     

LEAF Receivables Funding 11 LLC 16-1, E2 144A 6.000%, 6/15/24(3)

        250              231     

Taco Bell Funding LLC 16-1A, A21 144A 3.832%, 5/25/46(3)

        756              759     

TGIF Funding LLC 17-1A, A2 144A 6.202%, 4/30/47(3)

        655              655     

Wendy’s Funding LLC 15-1A, A2II 144A 4.080%, 6/15/45(3)

        775              772     

 

    

TOTAL ASSET-BACKED SECURITIES

(Identified Cost $10,062)

     10,083     

 

    

CORPORATE BONDS AND NOTES—76.7%

           

Consumer Discretionary—5.9%

           

Altice Financing S.A. 144A 7.625%, 2/15/25(3)

        590              632     

American Greetings Corp. 144A 7.875%, 2/15/25(3)

        5              5     

Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20(12)

        472              532     

Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20

        500              525     

Caesars Growth Properties Holdings LLC 9.375%, 5/1/22

        905              982     

Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20

        655              662     

Diamond Resorts International, Inc. 144A 7.750%, 9/1/23(3)

        55              58     

DR Horton, Inc. 4.750%, 2/15/23

        390              416     

Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3)

        290              295     

Grupo Televisa SAB

           

4.625%, 1/30/26

        525              539     

7.250%, 5/14/43

        8,000MXN         294     

iHeartCommunications, Inc.

           

9.000%, 12/15/19

        315              277     

9.000%, 3/1/21

        180              147     
         PAR VALUE

 

                 VALUE        

 

Consumer Discretionary—(continued)

           

International Game Technology plc 144A 6.250%, 2/15/22(3)

   $      400          $     434     

Landry’s, Inc. 144A 6.750%, 10/15/24(3)

        190              198     

M/I Homes, Inc. 6.750%, 1/15/21

        395              417     

MDC Holdings, Inc. 5.500%, 1/15/24

        655              681     

New York University 4.142%, 7/1/48

        420              400     

QVC, Inc. 5.125%, 7/2/22

        690              730     

SFR (Numericable) Group S.A. 144A 7.375%, 5/1/26(3)

        200              208     

TI Group Automotive Systems LLC 144A 8.750%, 7/15/23(3)

        415              448     

Toll Brothers Finance Corp. 4.875%, 11/15/25

        655              667     

TRI Pointe Group, Inc. 5.875%, 6/15/24

        175              182     

VTR Finance BV 144A 6.875%, 1/15/24(3)

        555              590     

William Lyon Homes, Inc. 144A 5.875%, 1/31/25(3)

        255              256     

Ziggo Bond Finance BV 144A 6.000%,
1/15/27(3)

        300              302     

Ziggo Secured Finance BV 144A 5.500%,
1/15/27(3)

        485              492     
        

 

 

    11,369     
        

 

 

Consumer Staples—1.0%

           

Post Holdings, Inc. 144A 5.750%, 3/1/27(3)

        410              415     

Safeway, Inc. 7.250%, 2/1/31

        655              662     

Smithfield Foods, Inc. 144A 4.250%, 2/1/27(3)

        147              150     

Tops Holding LLC 144A 8.000%, 6/15/22(3)

        795              660     
        

 

 

              1,887     
        

 

 

Energy—20.6%

           

Afren plc

           

144A 10.250%, 4/8/19(3)(10)(14)

        635              3     

144A 6.625%, 12/9/20(3)(10)(14)

        732              —(16)    

Alberta Energy Co., Ltd. 8.125%, 9/15/30

        280              357     

Alta Mesa Holdings LP 144A 7.875%, 12/15/24(3)

        380              404     

American Midstream Partners LP 144A 8.500%, 12/15/21(3)

        315              323     

Anadarko Petroleum Corp. 6.600%, 3/15/46

        390              488     

Blue Racer Midstream LLC 144A 6.125%, 11/15/22(3)

        235              240     

Callon Petroleum Co. 144A 6.125%, 10/1/24(3)

        230              241     

Carrizo Oil & Gas, Inc. 6.250%, 4/15/23

        565              575     

Cheniere Corpus Christi Holdings LLC 144A 7.000%, 6/30/24(3)

        605              681     

Chesapeake Energy Corp. 6.625%, 8/15/20

        370              370     
 

 

See Notes to Schedules of Investments

 

3

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

        PAR VALUE                  VALUE        

Energy—(continued)

           

Continental Resources, Inc. 4.500%, 4/15/23

   $     260          $      256     

Denbury Resources, Inc. 5.500%, 5/1/22

       300               249     

Diamondback Energy, Inc.

           

144A 4.750%, 11/1/24(3)

       95               96     

144A 5.375%, 5/31/25(3)

       550               571     

Ecopetrol S.A.

           

5.875%, 9/18/23

       535               580     

4.125%, 1/16/25

       865               839     

5.375%, 6/26/26

       280               287     

Encana Corp. 3.900%, 11/15/21

       275               282     

EnLink Midstream Partners LP 4.850%, 7/15/26

       65               68     

EnQuest plc 7.000%, 4/15/22

       969               773     

EP Energy LLC

           

9.375%, 5/1/20

       255               251     

144A 8.000%, 11/29/24(3)

       440               469     

144A 8.000%, 2/15/25(3)

       230               225     

Fermaca Enterprises S de RL de CV 144A 6.375%, 3/30/38(3)(11)

       1,335               1,369     

FTS International, Inc. 6.250%, 5/1/22

       620               589     

Gazprom OAO (Gaz Capital S.A.)

           

144A 6.000%, 11/27/23(3)(7)

       335               363     

144A 4.950%, 2/6/28(3)(7)

       1,300               1,303     

Helmerich & Payne International Drilling Co. 4.650%, 3/15/25

       405               424     

Holly Energy Partners LP 144A 6.000%, 8/1/24(3)

       70               74     

Kinder Morgan, Inc. 7.750%, 1/15/32

       795               1,007     

Lukoil International Finance BV

           

144A 6.125%, 11/9/20(3)(7)

       1,100               1,201     

144A 4.563%, 4/24/23(3)

       800               816     

Matador Resources Co. 144A 6.875%, 4/15/23(3)

       795               843     

MEG Energy Corp. 144A 6.500%, 1/15/25(3)

       370               363     

Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19(3)(11)

       1,000               1,070     

MPLX LP 4.875%, 12/1/24

       725               774     

NGL Energy Partners LP 5.125%, 7/15/19

       520               524     

Noble Holding International Ltd. 7.750%, 1/15/24

       355               346     

Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22(3)

       1,287               479     

Parker Drilling Co. 6.750%, 7/15/22

       350               325     

Parsley Energy LLC 144A 6.250%, 6/1/24(3)

       235               249     

Peabody Securities Finance Corp. 144A 6.000%, 3/31/22(3)

       75               77     
        PAR VALUE                  VALUE        

Energy—(continued)

           

Pertamina Persero PT

           

144A 4.300%, 5/20/23(3)

       $1,200               $1,238     

144A 6.000%, 5/3/42(3)

       1,200               1,255     

144A 5.625%, 5/20/43(3)

       410               413     

Petrobras Global Finance BV

           

8.750%, 5/23/26

       880               1,003     

7.375%, 1/17/27

       110               115     

6.750%, 1/27/41

       1,800               1,660     

Petroleos de Venezuela S.A

           

RegS 8.500%, 11/2/17(4)

       359               313     

144A 8.500%, 10/27/20(3)

       717               585     

144A 6.000%, 5/16/24(3)

       2,120               848     

Petroleos Mexicanos

           

4.250%, 1/15/25

       700               665     

6.875%, 8/4/26

       700               766     

6.500%, 6/2/41

       700               681     

6.375%, 1/23/45

       800               761     

QEP Resources, Inc. 5.250%, 5/1/23

       647               641     

Range Resources Corp. 144A 5.000%,
3/15/23(3)

       700               680     

Regency Energy Partners LP 5.000%, 10/1/22

       650               696     

RSP Permian, Inc. 144A 5.250%, 1/15/25(3)

       415               426     

SM Energy Co.

           

6.125%, 11/15/22

       290               294     

6.500%, 1/1/23

       345               348     

Southern Gas Corridor CJSC 144A 6.875%, 3/24/26(3)

       655               724     

State Oil Co. of the Azerbaijan Republic 6.950%, 3/18/30

       780               839     

Sunoco LP 6.375%, 4/1/23

       1,015               1,033     

Transocean, Inc.

           

144A 9.000%, 7/15/23(3)

       355               385     

6.800%, 3/15/38

       215               174     

Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28(3)

       1,350               1,354     

Weatherford International Ltd. 144A 9.875%, 2/15/24(3)

       215               249     

Whiting Petroleum Corp. 6.250%, 4/1/23

       250               252     

YPF S.A. 144A 8.500%, 3/23/21(3)

       510               563     
        

 

 

               39,785     
        

 

 

Financials—22.0%

           

Africa Finance Corp. 144A 4.375%, 4/29/20(3)

       800               824     
 

 

See Notes to Schedules of Investments

 

4

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

         PAR VALUE                  VALUE          

Financials—(continued)

             

Akbank TAS 144A 7.500%, 2/5/18(3)

   $      1,900TRY     $      500      

Allstate Corp. (The) 5.750%,
8/15/53(2)(6)

        1,710               1,845      

ALROSA Finance S.A. 144A 7.750%, 11/3/20(3)

        750               861      

Apollo Management Holdings LP 144A 4.000%, 5/30/24(3)

        785               792      

Ares Capital Corp. 3.625%, 1/19/22

        415               411      

Ares Finance Co., LLC 144A 4.000%, 10/8/24(3)

        830               775      

Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3)

        755               777      

Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%,
3/10/21(3)(11)

        1,750               1,901      

Banco de Bogota S.A 144A 6.250%,
5/12/26(3)

        760               799      

Banco de Credito del Peru 144A 6.125%, 4/24/27(2)(3)(11)

        1,225               1,340      

Banco de Credito e Inversiones 144A 4.000%, 2/11/23(3)

        1,860               1,905      

Banco Internacional del Peru SAA Interbank 144A 6.625%,
3/19/29(2)(3)

        1,260               1,386      

Banco Nacional de Comercio Exterior SVC 144A 4.375%, 10/14/25(3)

        510               511      

Banco Santander Chile 144A 3.875%, 9/20/22(3)(11)

        900               931      

Banco Santander Mexico SA 144A 5.950%, 1/30/24(2)(3)(6)

        1,000               1,040      

Banco Votorantim SA 144A 7.375%, 1/21/20(3)

        381               412      

Bancolombia SA 5.125%, 9/11/22

        1,220               1,272      

Bank of China Hong Kong Ltd. 144A 5.550%, 2/11/20(3)

        1,500               1,624      

Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20

        160,000CLP          256      

Citizens Financial Group, Inc. 5.500%, 12/29/49(2)

        845               865      

Compass Bank 3.875%, 4/10/25

        945               917      

Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22(3)

        845               836      

Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3)(11)

        925               899      

Eurasian Development Bank 144A 4.767%, 9/20/22(3)

        1,600               1,665      

FS Investment Corp. 4.750%, 5/15/22

        225               231      

Genworth Holdings, Inc. 4.900%, 8/15/23

        530               456      

GrupoSura Finance S.A. 144A 5.500%, 4/29/26(3)

        755               803      

Guanay Finance Ltd. 144A 6.000%, 12/15/20(3)

        1,564               1,619      

Icahn Enterprises LP

             
         PAR VALUE                  VALUE          

Financials—(continued)

             

5.875%, 2/1/22

      $ 680             $ 697      

144A 6.250%, 2/1/22(3)

        65               67      

ING Groep NV 6.000% (2)(5)(6)

        815               813      

Jefferies Group LLC 4.850%, 1/15/27

        180               184      

Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(3)

        800               853      

Macquarie Group Ltd.

             

144A 6.000%, 1/14/20(3)(11)

        1,100               1,196      

144A 6.250%, 1/14/21(3)

        325               363      

Morgan Stanley

             

144A 10.090%, 5/3/17(3)

        3,050BRL          975      

4.350%, 9/8/26

        360               370      

Navient Corp. 7.250%, 9/25/23

        165               170      

OM Asset Management plc 4.800%, 7/27/26

        675               663      

PKO Finance AB 144A 4.630%, 9/26/22(3)(7)(11)

        1,805               1,908      

Prudential Financial, Inc. 5.875%, 9/15/42(2)

        900               981      

Sberbank of Russia 144A 5.500%, 2/26/24(2)(3)(7)

        650               673      

Teachers Insurance & Annuity Association Asset Management Finance Co., LLC 144A 4.125%, 11/1/24(3)

        985               1,015      

Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(2)(3)

        640               638      

Tervita Escrow Corp. 144A 7.625%, 12/1/21(3)

        105               110      

Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22(3)

        1,095               1,090      

Ukreximbank Via Biz Finance plc 144A 9.625%, 4/27/22(3)

        870               876      

Vnesheconombank Via Veb Finance plc 144A 6.025%, 7/5/22(3)

        360               389      
         

 

 

  
               42,484      
         

 

 

  

Health Care—2.0%

             

Community Health Systems, Inc.

             

5.125%, 8/1/21

        140               138      

6.875%, 2/1/22

        300               265      

Concordia International Corp.

             

144A 9.000%, 4/1/22(3)

        160               141      

144A 7.000%, 4/15/23(3)

        110               43      

inVentiv Group Holdings, Inc. 144A 7.500%, 10/1/24(3)

        265               278      

MEDNAX, Inc. 144A 5.250%, 12/1/23(3)

        310               321      
 

 

See Notes to Schedules of Investments

 

5

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

         PAR VALUE

 

                 VALUE        

 

Health Care—(continued)

           

MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24(3)

   $      580          $     626     

Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21(3)

        495              531     

TeamHealth Holdings, Inc. 144A 6.375%, 2/1/25(3)

        390              388     

Tenet Healthcare Corp.
144A 7.500%, 1/1/22(3)

        30              33     

8.125%, 4/1/22

        300              317     

Valeant Pharmaceuticals International, Inc.

           

144A 6.375%, 10/15/20(3)

        695              636     

144A 5.875%, 5/15/23(3)

        80              65     
        

 

 

                     3,782     
        

 

 

Industrials—7.6%

           

Alfa SAB de CV 144A 5.250%,
3/25/24(3)

        1,200              1,243     

America West Airlines Pass-Through-Trust 01-1, G 7.100%,
4/2/21

        1,050              1,139     

Bombardier, Inc. 144A 6.125%,
1/15/23(3)

        420              421     

CEB, Inc. 144A 5.625%, 6/15/23(3)

        530              571     

Cemex Finance LLC 144A 6.000%, 4/1/24(3)

        645              672     

Delhi International Airport Pvt Ltd. 144A 6.125%, 10/31/26(3)

        250              263     

DP World Ltd. 144A 6.850%, 7/2/37(3)

        1,000              1,132     

Embraer Netherlands Finance BV 5.400%, 2/1/27

        675              699     

Harland Clarke Holdings Corp.

           

144A 6.875%, 3/1/20(3)

        535              542     

144A 8.375%, 8/15/22(3)

        60              62     

JBS Investments GmbH 144A 7.250%, 4/3/24(3)

        780              835     

Navistar International Corp. 8.250%, 11/1/21

        480              487     

Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21

        337              362     

Park Aerospace Holdings Ltd. 144A 5.500%, 2/15/24(3)

        320              335     

Pelabuhan Indonesia II PT 144A 4.250%, 5/5/25(3)

        870              868     

Prime Security Services Borrower LLC 144A 9.250%, 5/15/23(3)

        265              291     

SCF Capital Ltd. 144A 5.375%,
6/16/23(3)

        430              446     

Standard Industries, Inc. 144A 5.500%, 2/15/23(3)

        190              198     

Transnet SOC Ltd. 144A 4.000%, 7/26/22(3)

        1,000              980     

UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22

        1,790              1,916     

United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22

        473              486     
         PAR VALUE

 

                 VALUE        

 

Industrials—(continued)

           

Wheels Up Finance I LLC

           

16-01, A 7.555%, 6/1/24(2)(10)(17)

   $      33          $     33     

16-01, A 7.500%, 6/30/24(10)

        702              698     
        

 

 

    
           14,679     
        

 

 

    

Information Technology—2.1%

           

Blackboard, Inc. 144A 9.750%, 10/15/21(3)

        436              446     

CDW LLC 5.000%, 9/1/25

        130              132     

Diamond 1 Finance Corp.

           

144A 5.450%, 6/15/23(3)

        135              146     

144A 6.020%, 6/15/26(3)

        125              138     

144A 8.100%, 7/15/36(3)

        255              321     

Flex Ltd. 4.750%, 6/15/25

        850              897     

Inception Merger Sub, Inc. (Rackspace Hosting, Inc.) 144A 8.625%, 11/15/24(3)

        1,205              1,273     

Radiate Holdco LLC 144A 6.625%, 2/15/25(3)

        765              770     
        

 

 

                     4,123     
        

 

 

Materials—8.0%

           

AK Steel Corp. 7.500%, 7/15/23

        340              372     

Aleris International, Inc. 144A 9.500%, 4/1/21(3)

        420              451     

Alpek SAB de C.V. 144A 5.375%, 8/8/23(3)

        1,230              1,284     

Alpha 3 BV 144A 6.250%, 2/1/25(3)

        125              126     

ArcelorMittal 6.125%, 6/1/25

        865              976     

Ardagh Packaging Finance plc 144A 6.000%, 2/15/25(3)

        225              232     

BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(2)(3)(6)

        405              463     

Eldorado Gold Corp. 144A 6.125%, 12/15/20(3)

        415              428     

Equate Petrochemical BV 144A 4.250%, 11/3/26(3)

        790              788     

Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22(3)

        510              590     

Freeport-McMoRan Copper & Gold, Inc.

           

3.550%, 3/1/22

        400              373     

3.875%, 3/15/23

        330              305     

Gerdau Holdings, Inc. 144A 7.000%, 1/20/20(3)

        585              637     

Gerdau Trade, Inc. 144A 5.750%, 1/30/21(3)

        500              523     

Inversiones CMPC S.A. 144A 4.375%, 5/15/23(3)

        1,000              1,017     

Mercer International, Inc. 144A 6.500%, 2/1/24(3)

        75              77     

Novelis Corp.

           

144A 6.250%, 8/15/24(3)

        50              53     

144A 5.875%, 9/30/26(3)

        615              634     
 

 

See Notes to Schedules of Investments

 

6

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

           PAR VALUE      VALUE  

Materials—(continued)

          

Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24(3)

   $        1,500           $ 1,584     

Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(3)

        20             22     

Rusal Capital DAC 144A 5.125%, 2/2/22(3)

        910             915     

Severstal OAO Via Steel Capital SA 144A 5.900%, 10/17/22(3)(7)

        1,100             1,205     

Standard Industries, Inc. 144A 6.000%, 10/15/25(3)

        410             436     

Vale Overseas Ltd.

          

5.875%, 6/10/21

        585             634     

6.250%, 8/10/26

        400             441     

Vedanta Resources plc 144A 6.000%, 1/31/19(3)

        825             851     
       

 

 

  
          15,417     
       

 

 

  

Real Estate—1.4%

          

Communications Sales & Leasing, Inc. 144A 7.125%, 12/15/24(3)

        770             795     

EPR Properties 4.750%, 12/15/26

        260             262     

Hospitality Properties Trust 4.500%, 3/15/25

        745             742     

MPT Operating Partnership LP

          

6.375%, 3/1/24

        140             150     

5.500%, 5/1/24

        145             149     

5.250%, 8/1/26

        35             35     

Select Income REIT 4.500%, 2/1/25

        690             675     
       

 

 

  
                    2,808     
       

 

 

  

Telecommunication Services—3.2%

 

Altice Financing S.A. 144A 6.625%, 2/15/23(3)

        460             485     

America Movil SAB de C.V. Series 12 6.450%, 12/5/22

        8,000MXN        369     

Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23(3)(11)

        1,430             1,504     

Digicel Group Ltd. 144A 8.250%, 9/30/20(3)

        720             640     

Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24(3)

        415             429     

Frontier Communications Corp.

          

6.250%, 9/15/21

        330             317     

10.500%, 9/15/22

        545             570     

GTH Finance BV 144A 7.250%, 4/26/23(3)

        600             663     

Qwest Corp. 7.250%, 9/15/25

        345             375     

Sprint Communications, Inc. 6.000%, 11/15/22

        335             347     

Sprint Corp. 7.875%, 9/15/23

        370             413     
           PAR VALUE      VALUE  

Telecommunication Services—(continued)

 

Zayo Group LLC 144A 5.750%, 1/15/27(3)

   $
 
      30          $ 32     
       

 

 

  
                    6,144     
       

 

 

  

Utilities—2.9%

          

AmeriGas Partners LP 5.500%, 5/20/25

        295            301     

Dynegy, Inc. 7.375%, 11/1/22

        580            573     

Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3)

        200            208     

Ferrellgas LP 144A 8.625%, 6/15/20(3)

        125            124     

Israel Electric Corp Ltd. 144A 6.875%, 6/21/23(3)

        725            839     

Lamar Funding Ltd. 144A 3.958%, 5/7/25(3)

        715            667     

Majapahit Holding BV 144A 7.750%, 1/20/20(3)

        540            614     

State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24(3)

        990            1,051     

Talen Energy Supply LLC 144A 4.625%, 7/15/19(3)

        525            513     

TerraForm Power Operating LLC 144A 6.375%, 2/1/23(2)(3)

        750            780     
       

 

 

  
          5,670     

 

    

TOTAL CORPORATE BONDS AND NOTES

(Identified Cost $147,491)

 

 

      148,148     

 

    

LOAN AGREEMENTS(2)—12.2%

 

  

Consumer Discretionary—2.7%

 

  

Bass Pro Group LLC 5.970%, 12/15/23

        790            760     

Caesars Entertainment Operating Co., Inc. Tranche B-4, 1.500%, 10/31/17(12)

        539            673     

Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20

        527            533     

Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21

        307            310     

Floor & Decor Outlets of America, Inc. 5.250%, 9/30/23

        435            437     

Gateway Casinos & Entertainment Ltd. 0.000%, 2/15/23(8)

        115            116     

Graton Resort & Casino Tranche B, 6.500%, 9/1/22

        177            179     

Harbor Freight Tools USA, Inc. 3.778%, 8/18/23

        294            294     

Laureare Education, Inc. 2021 Extended, 8.509%, 3/17/21

        465            470     

Leslie’s Poolmart, Inc. Tranche B 4.750%, 8/16/23

        263            265     

McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22

        383            378     
 

 

See Notes to Schedules of Investments

 

7

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

        PAR VALUE         VALUE  

Consumer Discretionary—(continued)

 

Scientific Games International, Inc. Tranche B-3, 4.821%, 10/1/21

   $     412         $     419     

UFC Holdings LLC First Lien 4.250%, 8/18/23

       317             320     
       

 

 

  
          5,154     
       

 

 

  

Consumer Staples—0.8%

           

Albertson’s LLC Tranche B-5, 4.247%, 12/21/22

       514             522     

Chobani LLC First Lien, 5.250%, 10/9/23

       126             128     

JBS USA Lux S.A. 3.279%, 10/30/22

       175             176     

Kronos, Inc. Second Lien, 9.284%, 11/1/24

       166             172     

Milk Specialities Co. 5.000%, 8/16/23

       327             331     

TKC Holdings, Inc. First Lien, 4.750%, 2/1/23

       220             222     
       

 

 

  
                    1,551     
       

 

 

  

Energy—0.7%

           

California Resources Corp. 11.375%, 12/31/21

       360             407     

Chesapeake Energy Corp. Trance A, 8.553%, 8/23/21

       106             115     

Jonah Energy LLC Second Lien, 7.500%, 5/12/21

       456             446     

Peabody Energy Corp. First Lien, 0.000%, 2/8/22(8)

       325             329     
       

 

 

  
          1,297     
       

 

 

  

Financials—1.0%

           

Avolon TLB Borrower 1 (Luxembourg) S.a r.l. 0.000%, 1/20/22(8)

       15             15     

iStar Financial, Inc. 4.750%, 7/1/20

       1,026             1,040     

Lonestar Intermediate Super Holdings LLC 10.000%, 8/31/21

       395             414     

Walter Investment Management Corp. Tranche B, 4.750%, 12/18/20

     580             553     
       

 

 

  
          2,022     
       

 

 

  

Health Care—1.7%

           

21st Century Oncology Holdings, Inc. Tranche B, 7.125%, 4/30/22(12)

       161             150     

Change Healthcare Holdings, Inc. 0.000%, 2/3/24(8)

       275             277     

CHG Healthcare Services, Inc. First Lien, 4.750%, 6/7/23

       376             382     

HLF Financing S.a.r.l 6.272%, 2/13/23

       185             186     

InVentiv Health, Inc. 4.804%, 11/9/23

       197             199     

MMM Holdings, Inc. 10.250%, 6/30/19

       163             160     

MPH Acquisition Holdings LLC 5.000%, 6/7/23

       172             175     
        PAR VALUE         VALUE  

Health Care—(continued)

           

MSO of Puerto Rico, Inc. 10.250%, 6/30/19

   $     118         $     116     

NVA Holdings, Inc. Second Lien, 0.000%, 8/14/22(8)

       67             68     

Quorum Health Corp. 6.789%, 4/29/22

       349             348     

Surgery Center Holdings, Inc. First Lien, 4.750%, 11/3/20

       480             484     

U.S. Renal Care, Inc. First Lien, 5.250%, 12/30/22

       689             637     
       

 

 

  
          3,182     
       

 

 

  

Industrials—1.2%

           

84 Lumber Co. 6.750%, 10/25/23

       660             666     

Coinstar LLC Tranche B, First Lien 5.250%, 9/27/23

       245             248     

Navistar, Inc. Tranche B 5.000%, 8/7/20

       413             416     

PAE Holding Corp. First Lien, 6.500%, 10/20/22

       218             221     

Quikrete International, Inc. First Lien, 4.022%, 11/15/23

       65             66     

Sedgwick Claims Management Services, Inc. Second Lien, 6.804%, 2/28/22

       570             573     

Zodiac Pool Solutions LLC First Lien, 5.500%, 12/20/23

       180             182     
       

 

 

  
                    2,372     
       

 

 

  

Information Technology—1.8%

 

Applied Systems, Inc. Second Lien, 7.500%, 1/24/22

       235             238     

Blackboard, Inc. Tranche B-4 First Lien, 6.023%, 6/30/21

       494             498     

Donnelley Financial Solutions Tranche B, 5.000%, 9/29/23

       147             149     

First Data Corp.

           

Tranche 2021-C, 3.779%, 3/24/21

       312             315     

Tranche 2022-C, 3.779%, 7/8/22

       450             454     

Mitchell International, Inc. Second Lien, 8.539%, 10/11/21

       259             260     

ON Semiconductor Corp. 2016 New Replacement Term Loan 4.031%, 3/31/23

       194             196     

Presidio LLC (Presidio, Inc.) Tranche B, First Lien 4.500%, 2/2/22

       617             623     

Rackspace Hosting, Inc. Tranche B, First Lien, 4.500%, 11/3/23

       104             105     

Veritas US, Inc. Tranche B-1, 6.625%, 1/27/23

       679             679     
 

 

See Notes to Schedules of Investments

8

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

        PAR VALUE          VALUE  

Information Technology—(continued)

 

   

Western Digital Corp. Tranche B-1, 4.529%, 4/29/23

   $     47        $ 47     
        

 

 

  
           3,564     
        

 

 

  

Materials—0.9%

            

Anchor Glass Container Corp.

            

First Lien, 4.250%, 12/7/23

       161          163     

Second Lien, 8.750%, 12/7/24

       173          177     

CPI Acquisition, Inc. First Lien, 5.834%, 8/17/22

       405          369     

MacDermid, Inc. (Platform Specialty Products Corp.) Tranche B-3, 4.500%, 6/7/20

       372          377     

Omnova Solutions, Inc. Tranche B-2, 5.250%, 8/25/23

       516          521     

PQ Corp. Tranche B-1, 5.289%, 11/4/22

       106          108     
        

 

 

  
           1,715     
        

 

 

  

Real Estate—0.2%

            

Capital Automotive LP Second Lien, 6.000%, 4/30/20

       454          460     
        

 

 

  

Utilities—1.2%

            

Atlantic Power LP 6.000%, 4/13/23

       580          589     

Dynegy, Inc. Tranche C-1, 4.250%, 6/27/23

       687          695     

NRG Energy, Inc. 3.031%, 6/30/23

       711          715     

Vistra Operations Company LLC (TEX Operations Co., LLC)

            

3.531%, 8/4/23

       286          288     

Tranche C, 3.531%, 8/4/23

       66          66     
        

 

 

  
           2,353     

 

     

TOTAL LOAN AGREEMENTS

(Identified Cost $23,232)

 

 

                23,670     

 

     
       

 

SHARES

          VALUE  

PREFERRED STOCKS—4.0%

            

Energy—0.6%

            

PTT Exploration & Production PCL 144A, 4.875%(2)(3)(11)

       1,100 (9)         1,114     
        

 

 

  

Financials—2.7%

 

   

Citigroup, Inc. Series J, 7.125%(2)

       30,800          901     

Citigroup, Inc. Series T, 6.250%(2)

       875 (9)         954     

JPMorgan Chase & Co. Series Z, 5.300%(2)

       160 (9)         166     

KeyCorp Series D, 5.000%(2)

       650 (9)         645     

 

        SHARES          VALUE  

Financials—(continued)

           

M&T Bank Corp. Series F, 5.125%(2)

       315 (9)    $      313    

SunTrust Bank, Inc. 5.625%(2)

       60 (9)         63    

Wells Fargo & Co. Series K, 7.980%(2)

       840 (9)         884    

Zions Bancorp 6.950%(2)

       47,150          1,379    
        

 

 

  
                   5,305    
        

 

 

  

Industrials—0.7%

           

General Electric Co. Series D, 5.000%(2)

       1,248 (9)         1,315    
        

 

 

  

 

    

TOTAL PREFERRED STOCKS

(Identified Cost $7,215)

            7,734    

 

    

COMMON STOCKS—0.1%

 

  

Energy—0.1%

           

Hercules Offshore, Inc.(10)(13)(18)

       10,017          — (16)   

Pacific Exploration and Production Corp.(13)

       3,851          149    

Sabine Oil & Gas LLC(10)

     457          17    

 

    

TOTAL COMMON STOCKS

(Identified Cost $774)

            166    

 

    
      SHARES          VALUE  

WARRANTS—0.0%

           

Sabine Oil & Gas (10)

       258          2    

Sabine Oil & Gas (10)

       1,450          10    

 

    

TOTAL WARRANTS

(Identified Cost $12)

            12    

 

    
         CONTRACTS           VALUE  

PURCHASED OPTIONS—0.1%

           

Call Options—0.0%

           

S&P 500 ® Index expiration 3/01/17 strike price $2,470

       330          —    

S&P 500 ® Index expiration 3/03/17 strike price $2,455

       677          7    

S&P 500 ® Index expiration 3/08/17 strike price $2,470

       365          5    

S&P 500 ® Index expiration 3/10/17 strike price $2,470

       680          9    
        

 

 

  
           21    
        

 

 

  

Put Options—0.1%

           

S&P 500 ® Index expiration 3/01/17 strike price $2,220

       330          3    
 

 

See Notes to Schedules of Investments

 

9

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS (Continued)

FEBRUARY 28, 2017 (Unaudited)

 

($ reported in thousands)

 

         CONTRACTS

 

         VALUE

 

Put Options—(continued)

           

S&P 500 ® Index expiration 3/03/17 strike price $2,215

        677         $            17     

S&P 500 ® Index expiration 3/08/17 strike price $2,235

        365         24     

S&P 500 ® Index expiration 3/10/17 strike price $2,235

        680         71     
        

 

 

    115     

 

    

TOTAL PURCHASED OPTIONS—0.1%

(Premiums Paid $319)

     136     

 

    

TOTAL LONG TERM INVESTMENTS—133.3%

(Identified Cost $258,724)

     257,562 (15)   

 

    

TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—133.3%

(Identified Cost $258,724)

     257,562 (1)(15)   

 

    

WRITTEN OPTIONS—(0.2)%

           

Call Options—(0.1)%

           

S&P 500 ® Index expiration 3/01/17 strike price $2,415

        330         (5)    

S&P 500 ® Index expiration 3/03/17 strike price $2,405

        677         (27)    

S&P 500 ® Index expiration 3/08/17 strike price $2,420

        365         (18)    

S&P 500 ® Index expiration 3/10/17 strike price $2,420

        680         (68)    
        

 

 

    (118)    
        

 

 

Put Options—(0.1)%

           

S&P 500 ® Index expiration 3/01/17 strike price $2,275

        330         (5)    

S&P 500 ® Index expiration 3/03/17 strike price $2,265

        677         (27)    

S&P 500 ® Index expiration 3/08/17 strike price $2,285

        365         (46)    

S&P 500 ® Index expiration 3/10/17 strike price $2,285

        680         (143)    
        

 

 

    (221)    

 

    

TOTAL WRITTEN OPTIONS—(0.2)%

(Premiums Received $721)

     (339) (1)   

 

    

TOTAL INVESTMENTS NET OF WRITTEN OPTIONS—133.1%

(Identified Cost $258,003)

            257,223    

 

Other assets and liabilities, net—(33.1)%

     (64,033)    
        

 

 

NET ASSETS—100.0%

     $    193,190    
        

 

 

Abbreviations:

FHLMC Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA Federal National Mortgage Association (“Fannie Mae”)
REIT Real Estate Investment Trust

Footnote Legend:

(1)  Federal Income Tax Information: For tax information at February 28, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.
(2)  Variable or step coupon security; interest rate shown reflects the rate in effect at February 28, 2017.
(3)  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2017, these securities amounted to a value of $134,529 or 69.6% of net assets.
(4)  Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.
(5)  No contractual maturity date.
(6)  Interest payments may be deferred.
(7)  This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.
(8)  This loan will settle after February 28, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.
(9)  Value shown as par value.
(10)  Illiquid security.
(11)  All or a portion of the security is segregated as collateral for written options.
(12)  Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.
(13)  Non-income producing.
(14)  Security in default, no interest payments are being received.
(15)  All or a portion of the portfolio is segregated as collateral for borrowings.
(16)  Amounts are less than $500 (not reported in 000s).
(17)  Represents the unfunded portion of security and commitment fee earned on this portion.
(18)  Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

Foreign Currencies:

BRL Brazilian Real
CLP Chilean Peso
COP Colombian Peso
IDR Indonesian Rupiah
MXN Mexican Peso
RUB Russian Ruble
TRY Turkish Lira
ZAR South African Rand
 

 

See Notes to Schedules of Investments

 

10

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

SCHEDULE OF INVESTMENTS

FEBRUARY 28, 2017 (Unaudited)

 

 

($ reported in thousands)  
Country Weightings †

United States

   48%     

Mexico

   5        

Brazil

   4        

Argentina

   3        

Chile

   3        

Colombia

   3        

Russia

   3        

Other

   31        

Total

   100%     

    

 

 

† % of total investments net of written options as of February 28, 2017

See Notes to Schedules of Investments

 

11

The following table provides a summary of inputs used to value the Fund’s investments as of February 28, 2017 (See Security Valuation Note 1A in the Notes to Schedule of Investments):

 

    

Total Value

at

February

28, 2017

    

Level 1

Quoted
Prices

    

Level 2

Significant
Observable
Inputs

    

Level 3

Significant
Unobservable
Inputs

  

Debt Securities:

        

Asset-Backed Securities

   $ 10,083     $ —     $ 10,083     $ —  

Corporate Bonds and Notes

     148,148       —       147,415       733  

Foreign Government Securities

     43,789       —       43,789       —  

Loan Agreements

     23,670       —       23,004       666  

Mortgage-Backed Securities

     22,283       —       22,283       —  

Municipal Bonds

     1,541       —       1,541       —  

Equity Securities:

        

Common Stocks

     166       149       —       17  

Preferred Stocks

     7,734             2,280       5,454       —  

Warrants

     12       —       —       12  

Purchased Options

     136       136       —       —  
 

 

 

  

Total Investments before Written Options

   $       257,562     $ 2,565     $       253,569     $ 1,428  
 

 

 

  

Written Options

   $ (339)     $ (339)     $ —     $ —  
 

 

 

  

Total Investments Net of Written Options

   $ 257,223     $ 2,226     $ 253,569     $     1,428  
 

 

 

  

There were no transfers between Level 1 and Level 2 related to securities held as of February 28, 2017.

The following is a reconciliation of assets of the Fund for Level 3 investments for

which significant unobservable inputs were used to determine fair value.

 

Investments in Securities    Total     Asset-
Backed
Securities		      Corporate
Bonds and
Notes		     Loans
Agreements		      Common
Stock		      Warrants  

Balance as of November 30, 2016:

    $ 1,207     $ 434      $ 738     $ -          $ 22      $ 13  

Accrued discount/(premium)

          -   (c)      -            -   (c)      -        -        -  

Realized gain (loss)

      4       4            -   (c)      -        -        -  

Change in unrealizedappreciation (depreciation)

      (111 )      (14 )       (91 )      -        (5 )       (1 ) 

Purchases

      97       -        97       -        -        -  

Sales(b)

      (435 )      (424 )       (11 )      -        -        -  

Transfers into Level 3 (a)(d)

      666       -        -       666        -        -  

Transfers from Level 3 (a)(d)

      -       -        -       -        -        -  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Balance as of February 28, 2017

    $ 1,428     $ -      $ 733     $ 666      $ 17      $ 12  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

  (a) “Transfers into and/or from” represent the ending value as of February 28, 2017, for any investment security where a change in the pricing level occurred from the beginning to the end of the period.
  (b) Includes paydowns on securities.
  (c) Amount is less than $500.
  (d) The transfers into/from Level 3 are due to an increase and/or decrease in trading activities at period end.

None of the securities in this table are internally fair valued. The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS

FEBRUARY 28, 2017 (Unaudited)

NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES

The significant accounting policies consistently followed by the Fund in the preparation of its Schedule of Investments are summarized below and, for derivatives, included in Note 2 below. The preparation of the Schedule of Investments in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedule of Investments. Actual results could differ from those estimates and those differences could be significant.

 

  A. SECURITY VALUATION

Security valuation procedures for the Fund, which include nightly price variance, as well as back-testing items such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board”, or the “Trustees”). All internally fair valued securities are approved by a valuation committee (the “Valuation Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of the model inputs and any changes to the model. Fair valuations are reviewed quarterly by the Board.

The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers between levels at the end of the reporting period.

 

  •   Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
  •   Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
  •   Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments).

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS

FEBRUARY 28, 2017 (Unaudited) (Continued)

In such cases the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, exchange-traded funds and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation, and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

NOTE 2 — DERIVATIVE FINANCIAL INSTRUMENTS

Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by the Fund.

Options contracts

An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. The Fund pursues an option income strategy whereby it purchases and sells out-of-the-money puts and calls, creating an options spread designed to generate a consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS

FEBRUARY 28, 2017 (Unaudited) (Continued)

When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option.

Holdings of the Fund designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statement of Assets and Liabilities. Options written are reported as a liability within “Written options outstanding at value”. Changes in value of the purchased option is included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options is included in “Net change in unrealized appreciation (depreciation) on written options”.

If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statement of Operations.

The risk in writing covered call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing covered put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are normally subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. However, the Fund may limit its risk of loss when writing an option by purchasing an option by purchasing an option similar to the one that is sold except for the fact it is further “out of the money”.

NOTE 3 — FEDERAL INCOME TAX INFORMATION

($ reported in thousands)

At February 28, 2017, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:

 

     Federal
Tax Cost		        Unrealized
Appreciation		        Unrealized
(Depreciation)		        Net
Unrealized
Appreciation
 (Depreciation) 		  

 Investments

                  

 (before written options)

      $258,799           $8,648               $(9,885)               $(1,237)       

Written

                  

Options

      (721)          411                 (29)                 382         

The differences between book basis cost and tax basis cost were attributable primarily to

the tax deferral of losses on wash sales.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS GLOBAL MULTI-SECTOR INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS

FEBRUARY 28, 2017 (Unaudited) (Continued)

NOTE 4 — ILLIQUID AND RESTRICTED SECURITIES

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of the Fund’s Schedule of Investments, where applicable. However, a portion of such footnoted securities could be liquid where it is determined that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund.

Restricted securities are illiquid securities, as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.

The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.

The Fund held securities considered to be illiquid at February 28, 2017, with an aggregate value of $763 representing 0.4% of the Fund’s net assets.

At February 28, 2017, the Fund did not hold any securities that are both illiquid and restricted.

NOTE 5 — REGULATORY MATTERS AND LITIGATION

From time to time, the Fund, the Fund’s Adviser and/or Subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Fund’s Adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.

NOTE 6 — SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the Schedule of Investments was filed, and has determined that there are no subsequent events requiring recognition or disclosure in these Notes to Schedule of Investments.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

Item 2. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)        Virtus Global Multi-Sector Income Fund                                         
By (Signature and Title)*   /s/ George R. Aylward                                                       

George R. Aylward, President

(principal executive officer)

Date        4/27/2017                                                                                                        

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        4/27/2017                                                                                                        
By (Signature and Title)*   /s/ W. Patrick Bradley                                                       

W. Patrick Bradley, Executive Vice President,

Chief Financial Officer, and Treasurer

(principal financial officer)

Date        4/27/2017                                                                                                      

* Print the name and title of each signing officer under his or her signature.