VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Corporate Bonds and Notes—49.6% | |||
| Advertising—0.4% | |||
| Clear Channel Outdoor Holdings, Inc. | |||
| 144A 7.750%, 4/15/28(1) | $ 585 | $ 610 | |
| 144A 7.500%, 6/1/29(1) | 1,125 | 1,156 | |
| 1,766 | |||
| Aerospace & Defense—1.2% | |||
| TransDigm, Inc. | |||
| 6.375%, 6/15/26 | 1,835 | 1,888 | |
| 5.500%, 11/15/27 | 1,735 | 1,746 | |
| Triumph Group, Inc. | |||
| 144A 8.875%, 6/1/24(1) | 515 | 564 | |
| 144A 6.250%, 9/15/24(1) | 640 | 642 | |
| 4,840 | |||
| Airlines—1.5% | |||
| American Airlines, Inc. | |||
| 144A 11.750%, 7/15/25(1) | 1,475 | 1,789 | |
| 144A 5.750%, 4/20/29(1) | 1,170 | 1,220 | |
| Delta Air Lines, Inc. 7.375%, 1/15/26 | 2,805 | 3,245 | |
| 6,254 | |||
| Auto Components—2.1% | |||
| American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 2,120 | 2,198 | |
| Clarios Global LP 144A 8.500%, 5/15/27(1) | 2,325 | 2,447 | |
| Goodyear Tire & Rubber Co. (The) | |||
| 5.250%, 4/30/31 | 1,135 | 1,197 | |
| 144A 5.250%, 7/15/31(1) | 1,160 | 1,210 | |
| Tenneco, Inc. | |||
| 5.000%, 7/15/26 | 1,125 | 1,074 | |
| 144A 7.875%, 1/15/29(1) | 505 | 540 | |
| 8,666 | |||
| Auto Manufacturers—1.4% | |||
| Ford Motor Co. | |||
| 9.000%, 4/22/25 | 1,970 | 2,393 | |
| Par Value | Value | ||
| Auto Manufacturers—continued | |||
| 9.625%, 4/22/30 | $ 1,705 | $ 2,472 | |
| Ford Motor Credit Co. LLC | |||
| 5.125%, 6/16/25 | 570 | 616 | |
| 4.000%, 11/13/30 | 575 | 603 | |
| 6,084 | |||
| Building Materials—0.6% | |||
| Griffon Corp. 5.750%, 3/1/28 | 895 | 922 | |
| Koppers, Inc. 144A 6.000%, 2/15/25(1) | 1,650 | 1,679 | |
| 2,601 | |||
| Chemicals—0.7% | |||
| Tronox, Inc. 144A 4.625%, 3/15/29(1) | 1,150 | 1,115 | |
| WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 1,635 | 1,644 | |
| 2,759 | |||
| Commercial Services—2.0% | |||
| ADT Security Corp. (The) 144A 4.125%, 8/1/29(1) | 1,140 | 1,109 | |
| Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1) | 1,595 | 1,632 | |
| Deluxe Corp. 144A 8.000%, 6/1/29(1) | 1,105 | 1,145 | |
| HealthEquity, Inc. 144A 4.500%, 10/1/29(1) | 365 | 361 | |
| Hertz Corp. (The) 144A 5.000%, 12/1/29(1) | 1,100 | 1,078 | |
| NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 1,090 | 1,106 | |
| United Rentals North America, Inc. 5.250%, 1/15/30 | 1,830 | 1,973 | |
| 8,404 | |||
See Notes to Schedule of Investments
1
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Computers—0.3% | |||
| NCR Corp. 144A 5.125%, 4/15/29(1) | $ 1,095 | $ 1,106 | |
| Containers & Packaging—0.8% | |||
| Berry Global, Inc. 144A 5.625%, 7/15/27(1) | 1,030 | 1,067 | |
| Owens-Brockway Glass Container, Inc. 144A 6.625%, 5/13/27(1) | 2,315 | 2,422 | |
| 3,489 | |||
| Cosmetics & Personal Care—0.3% | |||
| Edgewell Personal Care Co. 144A 5.500%, 6/1/28(1) | 1,105 | 1,152 | |
| Diversified Financial Services—1.8% | |||
| Nationstar Mortgage Holdings, Inc. | |||
| 144A 5.500%, 8/15/28(1) | 1,080 | 1,076 | |
| 144A 5.750%, 11/15/31(1) | 565 | 551 | |
| Navient Corp. | |||
| 6.750%, 6/15/26 | 1,375 | 1,486 | |
| 5.000%, 3/15/27 | 1,230 | 1,234 | |
| 4.875%, 3/15/28 | 545 | 530 | |
| OneMain Finance Corp. | |||
| 8.250%, 10/1/23 | 1,215 | 1,330 | |
| 6.625%, 1/15/28 | 1,305 | 1,446 | |
| 5.375%, 11/15/29 | 70 | 74 | |
| 7,727 | |||
| Electronic Equipment, Instruments & Components—0.4% | |||
| WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 1,380 | 1,501 | |
| Entertainment—2.9% | |||
| AMC Entertainment Holdings, Inc. 6.125%, 5/15/27 | 3,810 | 2,743 | |
| Par Value | Value | ||
| Entertainment—continued | |||
| Caesars Entertainment, Inc. | |||
| 144A 6.250%, 7/1/25(1) | $ 1,600 | $ 1,664 | |
| 144A 8.125%, 7/1/27(1) | 1,025 | 1,125 | |
| International Game Technology plc 144A 6.250%, 1/15/27(1) | 2,260 | 2,486 | |
| Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 1,555 | 1,574 | |
| Scientific Games International, Inc. 144A 8.250%, 3/15/26(1) | 1,610 | 1,695 | |
| SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) | 730 | 727 | |
| 12,014 | |||
| Environmental Services—0.4% | |||
| GFL Environmental, Inc. 144A 4.750%, 6/15/29(1) | 1,680 | 1,680 | |
| Equity Real Estate Investment Trusts (REITs)—0.5% | |||
| Park Intermediate Holdings LLC 144A 4.875%, 5/15/29(1) | 1,125 | 1,121 | |
| Service Properties Trust | |||
| 4.350%, 10/1/24 | 465 | 453 | |
| 4.500%, 3/15/25 | 680 | 656 | |
| 2,230 | |||
| Food & Beverage—2.0% | |||
| Kraft Heinz Foods Co. 6.500%, 2/9/40 | 1,745 | 2,485 | |
| Performance Food Group, Inc. | |||
| 144A 5.500%, 10/15/27(1) | 2,135 | 2,199 | |
| 144A 4.250%, 8/1/29(1) | 1,155 | 1,112 | |
See Notes to Schedule of Investments
2
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Food & Beverage—continued | |||
| Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | $ 1,155 | $ 1,122 | |
| US Foods, Inc. 144A 4.750%, 2/15/29(1) | 1,540 | 1,559 | |
| 8,477 | |||
| Healthcare-Products—0.3% | |||
| Mozart Debt Merger Sub, Inc. 144A 5.250%, 10/1/29(1) | 1,135 | 1,133 | |
| Healthcare-Services—1.0% | |||
| ModivCare Escrow Issuer, Inc. 144A 5.000%, 10/1/29(1) | 670 | 665 | |
| Select Medical Corp. 144A 6.250%, 8/15/26(1) | 1,070 | 1,123 | |
| Tenet Healthcare Corp. 144A 6.125%, 10/1/28(1) | 2,530 | 2,584 | |
| 4,372 | |||
| Home Builders—0.2% | |||
| Picasso Finance Sub, Inc. 144A 6.125%, 6/15/25(1) | 928 | 964 | |
| Home Furnishings—0.1% | |||
| Tempur Sealy International, Inc. 144A 3.875%, 10/15/31(1) | 570 | 551 | |
| Internet—1.0% | |||
| Netflix, Inc. 144A 5.375%, 11/15/29(1) | 1,335 | 1,579 | |
| Uber Technologies, Inc. | |||
| 144A 8.000%, 11/1/26(1) | 865 | 921 | |
| 144A 7.500%, 9/15/27(1) | 1,485 | 1,612 | |
| 4,112 | |||
| Investment Companies—0.4% | |||
| Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1) | 1,655 | 1,703 | |
| Par Value | Value | ||
| Iron & Steel—0.8% | |||
| Cleveland-Cliffs, Inc. 5.875%, 6/1/27 | $ 1,695 | $ 1,750 | |
| United States Steel Corp. 6.875%, 3/1/29 | 1,555 | 1,629 | |
| 3,379 | |||
| Leisure Time—1.7% | |||
| Carnival Corp. | |||
| 144A 10.500%, 2/1/26(1) | 1,000 | 1,140 | |
| 144A 5.750%, 3/1/27(1) | 585 | 572 | |
| 144A 6.000%, 5/1/29(1) | 1,130 | 1,098 | |
| NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 2,330 | 2,271 | |
| Royal Caribbean Cruises Ltd. | |||
| 144A 11.500%, 6/1/25(1) | 671 | 749 | |
| 144A 5.500%, 4/1/28(1) | 1,175 | 1,142 | |
| 6,972 | |||
| Lodging—0.7% | |||
| Boyd Gaming Corp. 144A 8.625%, 6/1/25(1) | 526 | 563 | |
| Hilton Domestic Operating Co., Inc. 144A 4.000%, 5/1/31(1) | 840 | 842 | |
| MGM Resorts International 4.750%, 10/15/28 | 1,145 | 1,168 | |
| Station Casinos LLC 144A 4.625%, 12/1/31(1) | 565 | 560 | |
| 3,133 | |||
| Machinery-Construction & Mining—0.4% | |||
| Terex Corp. 144A 5.000%, 5/15/29(1) | 1,715 | 1,747 | |
| Media—4.4% | |||
| CCO Holdings LLC 4.500%, 5/1/32 | 1,785 | 1,778 | |
| CSC Holdings LLC | |||
| 144A 7.500%, 4/1/28(1) | 1,705 | 1,809 | |
| 144A 5.750%, 1/15/30(1) | 530 | 519 | |
| DIRECTV Holdings LLC 144A 5.875%, 8/15/27(1) | 1,670 | 1,699 | |
See Notes to Schedule of Investments
3
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Media—continued | |||
| DISH DBS Corp. | |||
| 7.375%, 7/1/28 | $ 2,320 | $ 2,274 | |
| 144A 5.750%, 12/1/28(1) | 890 | 877 | |
| Gray Escrow II, Inc. 144A 5.375%, 11/15/31(1) | 565 | 566 | |
| Gray Television, Inc. 144A 4.750%, 10/15/30(1) | 1,770 | 1,706 | |
| Meredith Corp. 6.875%, 2/1/26 | 1,085 | 1,122 | |
| Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 1,640 | 1,702 | |
| Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 1,735 | 1,715 | |
| TEGNA, Inc. 5.000%, 9/15/29 | 1,095 | 1,098 | |
| Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 760 | 737 | |
| Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 865 | 897 | |
| 18,499 | |||
| Metal Fabricate/Hardware—0.6% | |||
| Park-Ohio Industries, Inc. 6.625%, 4/15/27 | 2,725 | 2,521 | |
| Mining—0.9% | |||
| Freeport-McMoRan, Inc. 5.250%, 9/1/29 | 1,750 | 1,890 | |
| Hudbay Minerals, Inc. 144A 4.500%, 4/1/26(1) | 1,155 | 1,135 | |
| Joseph T Ryerson & Son, Inc. 144A 8.500%, 8/1/28(1) | 702 | 767 | |
| 3,792 | |||
| Oil, Gas & Consumable Fuels—5.4% | |||
| Antero Resources Corp. | |||
| 144A 7.625%, 2/1/29(1) | 944 | 1,035 | |
| 144A 5.375%, 3/1/30(1) | 580 | 598 | |
| Callon Petroleum Co. 144A 8.000%, 8/1/28(1) | 1,325 | 1,297 | |
| CITGO Petroleum Corp. 144A 6.375%, 6/15/26(1) | 530 | 530 | |
| Par Value | Value | ||
| Oil, Gas & Consumable Fuels—continued | |||
| CNX Resources Corp. 144A 7.250%, 3/14/27(1) | $ 1,885 | $ 1,990 | |
| Comstock Resources, Inc. | |||
| 144A 6.750%, 3/1/29(1) | 1,145 | 1,191 | |
| 144A 5.875%, 1/15/30(1) | 545 | 546 | |
| Continental Resources, Inc. | |||
| 4.375%, 1/15/28 | 705 | 759 | |
| 144A 5.750%, 1/15/31(1) | 670 | 780 | |
| EQT Corp. 7.500%, 2/1/30 | 980 | 1,237 | |
| Occidental Petroleum Corp. | |||
| 5.550%, 3/15/26 | 1,940 | 2,074 | |
| 6.625%, 9/1/30 | 1,930 | 2,315 | |
| PBF Holding Co. LLC 6.000%, 2/15/28 | 1,520 | 907 | |
| PDC Energy, Inc. 5.750%, 5/15/26 | 1,675 | 1,692 | |
| SM Energy Co. 6.500%, 7/15/28 | 1,185 | 1,197 | |
| Southwestern Energy Co. 5.375%, 3/15/30 | 1,085 | 1,130 | |
| Sunoco LP 144A 4.500%, 4/30/30(1) | 565 | 559 | |
| Transocean, Inc. 144A 8.000%, 2/1/27(1) | 440 | 302 | |
| USA Compression Partners LP 6.875%, 9/1/27 | 1,750 | 1,795 | |
| Weatherford International Ltd. 144A 8.625%, 4/30/30(1) | 575 | 564 | |
| 22,498 | |||
| Paper & Forest Products—0.3% | |||
| Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 1,135 | 1,121 | |
| Pharmaceuticals—2.3% | |||
| AdaptHealth LLC 144A 4.625%, 8/1/29(1) | 1,155 | 1,132 | |
| Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 2,000 | 2,057 | |
See Notes to Schedule of Investments
4
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Pharmaceuticals—continued | |||
| Bausch Health Cos., Inc. 144A 7.250%, 5/30/29(1) | $ 1,490 | $ 1,414 | |
| Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1) | 1,710 | 1,786 | |
| Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 1,925 | 1,961 | |
| Organon & Co. 144A 5.125%, 4/30/31(1) | 1,130 | 1,154 | |
| 9,504 | |||
| Pipelines—2.5% | |||
| Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 1,090 | 1,102 | |
| Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1) | 1,085 | 1,097 | |
| DCP Midstream Operating LP 5.125%, 5/15/29 | 1,280 | 1,419 | |
| EQM Midstream Partners LP 144A 6.500%, 7/1/27(1) | 1,100 | 1,188 | |
| NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 1,665 | 1,653 | |
| NuStar Logistics LP 6.375%, 10/1/30 | 1,120 | 1,193 | |
| Targa Resources Partners LP | |||
| 6.500%, 7/15/27 | 750 | 798 | |
| 6.875%, 1/15/29 | 1,750 | 1,939 | |
| 10,389 | |||
| Real Estate—0.4% | |||
| Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 1,545 | 1,578 | |
| Retail—1.5% | |||
| Asbury Automotive Group, Inc. | |||
| 144A 4.625%, 11/15/29(1) | 560 | 563 | |
| 144A 5.000%, 2/15/32(1) | 560 | 564 | |
| Par Value | Value | ||
| Retail—continued | |||
| Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1) | $ 1,505 | $ 1,670 | |
| Carvana Co. 144A 4.875%, 9/1/29(1) | 1,730 | 1,643 | |
| Foot Locker, Inc. 144A 4.000%, 10/1/29(1) | 570 | 564 | |
| New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 1,140 | 1,089 | |
| 6,093 | |||
| Semiconductors—0.7% | |||
| Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 2,925 | 3,097 | |
| Software—1.1% | |||
| Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1) | 1,700 | 1,665 | |
| Consensus Cloud Solutions, Inc. 144A 6.500%, 10/15/28(1) | 1,145 | 1,162 | |
| SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 1,770 | 1,840 | |
| 4,667 | |||
| Telecommunications—3.2% | |||
| Avaya, Inc. 144A 6.125%, 9/15/28(1) | 1,045 | 1,082 | |
| Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 1,220 | 1,241 | |
| CommScope Technologies LLC 144A 5.000%, 3/15/27(1) | 485 | 435 | |
| Frontier Communications Holdings LLC | |||
| 144A 5.000%, 5/1/28(1) | 1,010 | 1,013 | |
| 144A 6.000%, 1/15/30(1) | 570 | 561 | |
| Hughes Satellite Systems Corp. 6.625%, 8/1/26 | 1,130 | 1,254 | |
| LogMeIn, Inc. 144A 5.500%, 9/1/27(1) | 1,230 | 1,224 | |
See Notes to Schedule of Investments
5
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Telecommunications—continued | |||
| Lumen Technologies, Inc. | |||
| 144A 4.500%, 1/15/29(1) | $ 710 | $ 668 | |
| 144A 5.375%, 6/15/29(1) | 1,645 | 1,602 | |
| Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 835 | 752 | |
| Sprint Corp. 7.625%, 3/1/26 | 1,900 | 2,244 | |
| T-Mobile USA, Inc. 3.500%, 4/15/31 | 1,135 | 1,154 | |
| 13,230 | |||
| Transportation—0.4% | |||
| Fortress Transportation & Infrastructure Investors LLC | |||
| 144A 9.750%, 8/1/27(1) | 1,160 | 1,289 | |
| 144A 5.500%, 5/1/28(1) | 580 | 568 | |
| 1,857 | |||
| Total Corporate Bonds and Notes (Identified Cost $204,713) | 207,662 | ||
| Leveraged Loans—0.5% | |||
| Healthcare-Services—0.3% | |||
| Aveanna Healthcare LLC | |||
| (1 month LIBOR + 3.750%) 0.000%, 7/17/28 (2)(3) | 201 | 199 | |
| 2021, First Lien (1 month LIBOR + 3.750%) 4.250%, 7/17/28 (3) | 870 | 863 | |
| 1,062 | |||
| Retail—0.2% | |||
| Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (3) | 910 | 904 | |
| Total Leveraged Loans (Identified Cost $1,977) | 1,966 | ||
| Shares | Value | ||
| Convertible Preferred Stocks—26.0% | |||
| Auto Components—1.8% | |||
| Aptiv plc Series A, 5.500% | 42,465 | $ 7,581 | |
| Banks—7.6% | |||
| Bank of America Corp. Series L, 7.250% | 9,140 | 12,961 | |
| Wells Fargo & Co. Series L, 7.500% | 12,835 | 18,816 | |
| 31,777 | |||
| Commercial Services & Supplies—0.6% | |||
| GFL Environmental, Inc., 6.000% | 29,705 | 2,602 | |
| Communications Equipment—1.0% | |||
| T-Mobile US 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(1) | 4,005 | 3,984 | |
| Diversified Financial Services—0.5% | |||
| Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(1) | 1,385 | 2,133 | |
| Electric Utilities—3.3% | |||
| NextEra Energy, Inc., 5.279% | 59,355 | 3,211 | |
| NextEra Energy, Inc., 6.219% | 192,150 | 10,376 | |
| 13,587 | |||
| Healthcare Equipment & Supplies—1.4% | |||
| Boston Scientific Corp. Series A, 5.500% | 57,125 | 5,998 | |
| Life Sciences Tools & Services—5.2% | |||
| Avantor, Inc. Series A, 6.250% | 63,980 | 7,717 | |
| Danaher Corp. Series A, 4.750% | 6,575 | 14,090 | |
| 21,807 | |||
See Notes to Schedule of Investments
6
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Shares | Value | ||
| Pharmaceuticals—0.4% | |||
| Elanco Animal Health, Inc., 5.000% | 38,425 | $ 1,728 | |
| Professional Services—0.5% | |||
| Clarivate plc Series A, 5.250% | 25,005 | 2,243 | |
| Semiconductors & Semiconductor Equipment—3.7% | |||
| Broadcom, Inc. Series A, 8.000% | 9,010 | 15,638 | |
| Total Convertible Preferred Stocks (Identified Cost $73,114) | 109,078 | ||
| Preferred Stocks—0.6% | |||
| Entertainment—0.6% | |||
| LiveStyle, Inc. Series B(4)(5)(6)(7)(8) | 25,188 | 2,519 | |
| LiveStyle, Inc. Series B(4)(5)(6)(7) | 5,000 | — | |
| 2,519 | |||
| Total Preferred Stocks (Identified Cost $7,469) | 2,519 | ||
| Common Stocks—1.4% | |||
| Banks—1.3% | |||
| CCF Holdings LLC(6)(7) | 6,367,079 | 4,903 | |
| CCF Holdings LLC Class M(6)(7) | 879,959 | 677 | |
| 5,580 | |||
| Consumer Finance—0.1% | |||
| Erickson, Inc.(6)(7) | 6,354 | 155 | |
| Entertainment—0.0% | |||
| LiveStyle, Inc.(4)(5)(6)(7)(8) | 90,407 | —(9) | |
| Total Common Stocks (Identified Cost $22,668) | 5,735 | ||
| Shares | Value | ||
| Warrants—0.2% | |||
| Banks—0.2% | |||
| CCF Holdings LLC(6)(7) | 1,455,681 | $ 757 | |
| Media—0.0% | |||
| Affinion Group Holdings(6)(7)(8) | 12,009 | — | |
| Total Warrants (Identified Cost $2,371) | 757 | ||
| Par Value | ||
| Convertible Bonds and Notes—77.8% | ||
| Airlines—2.1% | ||
| JetBlue Airways Corp. 144A 0.500%, 4/1/26(1) | $ 2,965 | 2,790 |
| Southwest Airlines Co. 1.250%, 5/1/25 | 4,345 | 5,836 |
| 8,626 | ||
| Auto Manufacturers—3.4% | ||
| Ford Motor Co. 144A 0.000%, 3/15/26(1) | 3,980 | 5,159 |
| NIO, Inc. | ||
| 144A 0.000%, 2/1/26(1) | 1,515 | 1,341 |
| 144A 0.500%, 2/1/27(1) | 2,535 | 2,201 |
| Tesla, Inc. 2.000%, 5/15/24 | 300 | 5,531 |
| 14,232 | ||
| Banks—2.1% | ||
| BofA Finance LLC 0.125%, 9/1/22 | 4,515 | 4,991 |
| JPMorgan Chase Bank N.A. 144A 0.125%, 1/1/23(1) | 3,945 | 3,906 |
| 8,897 | ||
| Biotechnology—1.7% | ||
| Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(1) | 2,350 | 1,862 |
| Exact Sciences Corp. 0.375%, 3/1/28 | 3,875 | 3,884 |
See Notes to Schedule of Investments
7
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Biotechnology—continued | |||
| Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(1) | $ 1,835 | $ 1,540 | |
| 7,286 | |||
| Commercial Services—3.2% | |||
| Affirm Holdings, Inc. 144A 0.000%, 11/15/26(1) | 2,395 | 2,350 | |
| Shift4 Payments, Inc. | |||
| 144A 0.000%, 12/15/25(1) | 1,275 | 1,262 | |
| 144A 0.500%, 8/1/27(1) | 2,830 | 2,424 | |
| Square, Inc. | |||
| 0.000%, 5/1/26 | 6,560 | 7,130 | |
| 0.250%, 11/1/27 | 210 | 234 | |
| 13,400 | |||
| Computers—1.6% | |||
| Lumentum Holdings, Inc. 0.500%, 12/15/26 | 1,645 | 1,816 | |
| Zscaler, Inc. 0.125%, 7/1/25 | 2,070 | 4,858 | |
| 6,674 | |||
| Diversified Financial Services—2.2% | |||
| Coinbase Global, Inc. 144A 0.500%, 6/1/26(1) | 4,355 | 5,122 | |
| SoFi Technologies, Inc. 144A 0.000%, 10/15/26(1) | 3,820 | 4,142 | |
| 9,264 | |||
| Electronics—1.3% | |||
| II-VI, Inc. 0.250%, 9/1/22 | 2,725 | 3,737 | |
| Itron, Inc. 144A 0.000%, 3/15/26(1) | 1,800 | 1,554 | |
| 5,291 | |||
| Energy-Alternate Sources—2.5% | |||
| Enphase Energy, Inc. | |||
| 144A 0.000%, 3/1/26(1) | 2,010 | 2,248 | |
| 144A 0.000%, 3/1/28(1) | 2,860 | 3,300 | |
| Plug Power, Inc. 3.750%, 6/1/25 | 370 | 2,929 | |
| Par Value | Value | ||
| Energy-Alternate Sources—continued | |||
| Sunnova Energy International, Inc. 144A 0.250%, 12/1/26(1) | $ 1,720 | $ 2,141 | |
| 10,618 | |||
| Entertainment—2.1% | |||
| DraftKings, Inc. 144A 0.000%, 3/15/28(1) | 4,435 | 3,436 | |
| Vail Resorts, Inc. 144A 0.000%, 1/1/26(1) | 5,185 | 5,519 | |
| 8,955 | |||
| Equity Real Estate Investment Trusts (REITs)—1.4% | |||
| Pebblebrook Hotel Trust 1.750%, 12/15/26 | 2,730 | 2,890 | |
| Two Harbors Investment Corp. 6.250%, 1/15/22 | 3,025 | 3,032 | |
| 5,922 | |||
| Healthcare-Products—1.5% | |||
| Insulet Corp. 0.375%, 9/1/26 | 3,005 | 4,186 | |
| Natera, Inc. 2.250%, 5/1/27 | 795 | 1,996 | |
| 6,182 | |||
| Healthcare-Services—2.3% | |||
| Oak Street Health, Inc. 144A 0.000%, 3/15/26(1) | 7,190 | 5,686 | |
| Teladoc Health, Inc. 1.250%, 6/1/27 | 4,095 | 3,723 | |
| 9,409 | |||
| Internet—17.5% | |||
| Airbnb, Inc. 144A 0.000%, 3/15/26(1) | 6,555 | 6,490 | |
| Booking Holdings, Inc. 0.750%, 5/1/25 | 2,410 | 3,243 | |
| Etsy, Inc. | |||
| 0.125%, 9/1/27 | 1,960 | 3,028 | |
| 144A 0.250%, 6/15/28(1) | 2,315 | 3,073 | |
See Notes to Schedule of Investments
8
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Internet—continued | |||
| Expedia Group, Inc. 144A 0.000%, 2/15/26(1) | $ 4,450 | $ 4,770 | |
| fuboTV, Inc. 144A 3.250%, 2/15/26(1) | 5,595 | 4,813 | |
| Lyft, Inc. 1.500%, 5/15/25 | 390 | 498 | |
| Mandiant, Inc. 0.875%, 6/1/24 | 925 | 956 | |
| Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(1) | 3,530 | 5,604 | |
| Okta, Inc. 0.375%, 6/15/26 | 3,315 | 3,845 | |
| Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(1) | 1,305 | 1,389 | |
| Palo Alto Networks, Inc. | |||
| 0.750%, 7/1/23 | 425 | 875 | |
| 0.375%, 6/1/25 | 3,135 | 5,839 | |
| Sea Ltd. 0.250%, 9/15/26 | 4,605 | 4,492 | |
| Snap, Inc. 144A 0.000%, 5/1/27(1) | 6,775 | 6,545 | |
| Spotify USA, Inc. 144A 0.000%, 3/15/26(1) | 3,455 | 3,142 | |
| Twitter, Inc. 144A 0.000%, 3/15/26(1) | 5,140 | 4,567 | |
| Uber Technologies, Inc. 144A 0.000%, 12/15/25(1) | 4,825 | 4,478 | |
| Wayfair, Inc. 0.625%, 10/1/25 | 4,775 | 4,696 | |
| Zillow Group, Inc. 2.750%, 5/15/25 | 875 | 1,038 | |
| 73,381 | |||
| Leisure Time—2.4% | |||
| NCL Corp., Ltd. | |||
| 5.375%, 8/1/25 | 1,290 | 1,748 | |
| 144A 1.125%, 2/15/27(1) | 3,510 | 3,215 | |
| Royal Caribbean Cruises Ltd. | |||
| 4.250%, 6/15/23 | 1,290 | 1,536 | |
| 2.875%, 11/15/23 | 3,070 | 3,439 | |
| 9,938 | |||
| Par Value | Value | ||
| Machinery-Diversified—0.4% | |||
| Middleby Corp. (The) 1.000%, 9/1/25 | $ 1,195 | $ 1,726 | |
| Media—2.5% | |||
| DISH Network Corp. | |||
| 3.375%, 8/15/26 | 2,650 | 2,443 | |
| 144A 0.000%, 12/15/25(1) | 2,595 | 2,498 | |
| Liberty Media Corp. | |||
| 1.375%, 10/15/23 | 2,840 | 4,104 | |
| 144A 0.500%, 12/1/50(1) | 1,130 | 1,490 | |
| 10,535 | |||
| Oil, Gas & Consumable Fuels—2.8% | |||
| EQT Corp. 1.750%, 5/1/26 | 3,440 | 5,251 | |
| Pioneer Natural Resources Co. 0.250%, 5/15/25 | 3,835 | 6,614 | |
| 11,865 | |||
| Pharmaceuticals—1.6% | |||
| Dexcom, Inc. 0.250%, 11/15/25 | 2,890 | 3,484 | |
| Jazz Investments I Ltd. 2.000%, 6/15/26 | 3,065 | 3,395 | |
| 6,879 | |||
| Pipelines—3.8% | |||
| Cheniere Energy, Inc. 4.250%, 3/15/45 | 18,700 | 15,827 | |
| Retail—1.9% | |||
| Burlington Stores, Inc. 2.250%, 4/15/25 | 2,560 | 3,800 | |
| Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 1,115 | 4,015 | |
| 7,815 | |||
| Semiconductors—1.4% | |||
| MACOM Technology Solutions Holdings, Inc. 144A 0.250%, 3/15/26(1) | 1,050 | 1,178 | |
See Notes to Schedule of Investments
9
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Par Value | Value | ||
| Semiconductors—continued | |||
| ON Semiconductor Corp. 144A 0.000%, 5/1/27(1) | $ 2,280 | $ 3,123 | |
| Wolfspeed, Inc. 1.750%, 5/1/26 | 565 | 1,496 | |
| 5,797 | |||
| Software—15.9% | |||
| Akamai Technologies, Inc. 0.125%, 5/1/25 | 2,150 | 2,744 | |
| Avalara, Inc. 144A 0.250%, 8/1/26(1) | 2,775 | 2,639 | |
| Bentley Systems, Inc. | |||
| 144A 0.125%, 1/15/26(1) | 2,925 | 2,981 | |
| 144A 0.375%, 7/1/27(1) | 800 | 736 | |
| Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(1) | 4,365 | 4,719 | |
| Cloudflare, Inc. 144A 0.000%, 8/15/26(1) | 4,920 | 6,070 | |
| Coupa Software, Inc. 0.375%, 6/15/26 | 4,180 | 4,264 | |
| Datadog, Inc. 0.125%, 6/15/25 | 2,005 | 4,022 | |
| DigitalOcean Holdings, Inc. 144A 0.000%, 12/1/26(1) | 3,225 | 3,150 | |
| DocuSign, Inc. 144A 0.000%, 1/15/24(1) | 2,955 | 2,996 | |
| Fastly, Inc. 144A 0.000%, 3/15/26(1) | 2,805 | 2,353 | |
| Five9, Inc. 0.500%, 6/1/25 | 890 | 1,108 | |
| i3 Verticals LLC 1.000%, 2/15/25 | 1,840 | 1,622 | |
| Jamf Holding Corp. 144A 0.125%, 9/1/26(1) | 1,075 | 1,052 | |
| MicroStrategy, Inc. 144A 0.000%, 2/15/27(1) | 2,770 | 2,222 | |
| Nutanix, Inc. 144A 0.250%, 10/1/27(1) | 1,615 | 1,523 | |
| Porch Group, Inc. 144A 0.750%, 9/15/26(1) | 4,100 | 4,495 | |
| Par Value | Value | ||
| Software—continued | |||
| RingCentral, Inc. 0.000%, 3/1/25 | $ 3,750 | $ 3,744 | |
| Sailpoint Technologies Holdings, Inc. 0.125%, 9/15/24 | 520 | 995 | |
| Splunk, Inc. 1.125%, 6/15/27 | 4,550 | 4,303 | |
| Unity Software, Inc. 144A 0.000%, 11/15/26(1) | 3,450 | 3,291 | |
| Workday, Inc. 0.250%, 10/1/22 | 2,470 | 4,615 | |
| Zynga, Inc. 144A 0.000%, 12/15/26(1) | 1,100 | 1,002 | |
| 66,646 | |||
| Telecommunications—0.2% | |||
| Viavi Solutions, Inc. 1.000%, 3/1/24 | 545 | 680 | |
| Total Convertible Bonds and Notes (Identified Cost $306,952) | 325,845 | ||
| Total Long-Term Investments—156.1% (Identified Cost $619,264) | 653,562 | ||
| Shares | ||
| Short-Term Investment—8.7% | ||
| Money Market Mutual Fund—8.7% | ||
| Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(10) | 36,584,867 | 36,585 |
| Total Short-Term Investment (Identified Cost $36,585) | 36,585 | |
See Notes to Schedule of Investments
10
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
| Value | ||
| TOTAL INVESTMENTS—164.8% (Identified Cost $655,849) | $690,147 | |
| Other assets and liabilities, net—0.0% | 142 | |
| Preferred Shares—(64.8)% | (271,525) | |
| NET ASSETS—100.0% | $418,764 | |
| Abbreviations: | |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| REIT | Real Estate Investment Trust |
| Footnote Legend: | |
| (1) | 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 November 30, 2021, these securities amounted to a value of $294,687 or 70.4% of net assets. |
| (2) | This loan will settle after November 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
| (3) | Variable rate security. Rate disclosed is as of November 30, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
| (4) | A member of the Fund’s portfolio management team is a member of the board of directors of LiveStyle, Inc. The Fund’s aggregate value of investments in LiveStyle, Inc. represents 0.60% of net assets. |
| (5) | Affiliated company. |
| (6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
| (7) | Non-income producing. |
| (8) | Security is restricted from resale. |
| (9) | Amount is less than $500 |
| (10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
| Country Weightings† | |
| United States | 92% |
| Bermuda | 2 |
| Jersey | 2 |
| Cayman Islands | 1 |
| Canada | 1 |
| Liberia | 1 |
| United Kingdom | 1 |
| Total | 100% |
| † % of total investments as of November 30, 2021. | |
See Notes to Schedule of Investments
11
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
The following table summarizes the market value of the Fund’s investments as of November 30, 2021, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
| Total Value at November 30, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Securities: | |||||||
| Corporate Bonds and Notes | $207,662 | $— | $207,662 | $— | |||
| Leveraged Loans | 1,966 | — | 1,966 | — | |||
| Convertible Bonds and Notes | 325,845 | — | 325,845 | — | |||
| Equity Securities: | |||||||
| Convertible Preferred Stocks | 109,078 | 102,961 | 6,117 | — | |||
| Common Stocks | 5,735 | — | — | 5,735 | |||
| Preferred Stocks | 2,519 | — | — | 2,519(1) | |||
| Warrants | 757 | — | — | 757(1) | |||
| Money Market Mutual Fund | 36,585 | 36,585 | — | — | |||
| Total Investments | $690,147 | $139,546 | $541,590 | $9,011 |
| (1) | Includes internally fair valued securities currently priced at zero ($0). |
There were no transfers into or out of Level 3 related to securities held at November 30, 2021.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Schedule of Investments
12
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
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.
| Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Preferred Stocks | Warrants | ||||||
| Investments in Securities | |||||||||||
| Balance as of February 28, 2021: | $ 19,409 | $ 9,574 | $ 1,365 | $ 163 | $ 8,194 | $ 113 | |||||
| Accrued discount/(premium) | 8 | 8 | — | — | — | — | |||||
| Realized gain (loss) | (3,597) | (3,751) | — | —(a) | 154 | — | |||||
| Change in unrealized appreciation (depreciation)(a) | 5,563 | 16,833 | — | (11,625) | (289) | 644 | |||||
| Purchases | 17,252 | — | 55 | 17,197(b) | — | — | |||||
| Sales(c) | (29,624) | (22,664) (b) | (1,420) | — | (5,540) | — | |||||
| Balance as of November 30, 2021 | $ 9,011 | $ — | $ — | $ 5,735 | $ 2,519(d) | $ 757(d) |
(a) Amount is less than $500.
(b) The change in unrealized appreciation (depreciation) on investments still held at November 30, 2021, was $(11,082).
(c) Includes securities issued or removed due to corporate actions.
(d) Includes paydowns on securities.
(e) Includes internally fair valued security currently priced at zero ($0).
See Notes to Schedule of Investments
13
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at November 30, 2021:
| Investments in Securities – Assets | Ending Balance at November 30, 2021 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
| Preferred Stocks: | ||||||||
| LiveStyle, Inc. Series B | $2,519 | Market and Company Comparables | EV Multiples | 4.96x (0.25x - 21.04x) | ||||
| Illiquidity Discount | 30% | |||||||
| Common Stocks: | ||||||||
| CCF Holdings LLC | $4,903 | Market and Company Comparables | EV Multiples | 1.11x (0.33x - 1.98x) 0.57x (0.20x - 0.86x) | ||||
| Illiquidity Discount | 20% | |||||||
| CCF Holdings LLC Series M | $677 | Market and Company Comparables | EV Multiples | 1.11x (0.33x - 1.98x) 0.57x (0.20x - 0.86x) | ||||
| Illiquidity Discount | 20% | |||||||
| Erickson, Inc. | $155 | Market and Company Comparables | EV Multiples | 1.24x (0.79x - 2.32x) 10.44x (8.69x - 13.96x) 1.01x (0.53x - 1.42x) | ||||
| M&A Transaction Multiples | 0.96x (0.41x - 1.96x) | |||||||
| Illiquidity Discount | 20% | |||||||
| LiveStyle, Inc. | $—(1) | Market and Company Comparables | EV Multiples | 4.96x (0.25x - 21.04x) | ||||
| Illiquidity Discount | 30% | |||||||
| Warrants: | ||||||||
| CCF Holdings LLC | $757 | Market and Company Comparables | EV Multiples | 0.11x (0.33x - 1.98x) 0.57x (0.20x - 0.86x) | ||||
| Illiquidity Discount | 20% | |||||||
| Black-Scholes Model | Volatility | 55.34% |
(1) Amount is less than $500.
See Notes to Schedule of Investments
14
VIRTUS AllianzGI Convertible & Income Fund II
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2021
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 convertible bonds and 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, activity of the underlying equities, 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
See Notes to Schedule of Investments
15
VIRTUS AllianzGI Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
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, 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 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.
16