VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—82.6% | |||
Auto Manufacturers—2.3% | |||
Ford Motor Co. 0.000%, 3/15/26 | $ 2,185 | $ 1,994 | |
Lucid Group, Inc. 144A 1.250%, 12/15/26(1) | 1,300 | 710 | |
Rivian Automotive, Inc. | |||
144A 4.625%, 3/15/29(1) | 1,620 | 1,703 | |
144A 3.625%, 10/15/30(1)(2)(3) | 970 | 881 | |
5,288 | |||
Automotive Parts & Equipment—0.5% | |||
Luminar Technologies, Inc. 144A 1.250%, 12/15/26(1) | 1,980 | 1,147 | |
Banks—2.2% | |||
Barclays Bank plc 0.000%, 2/18/25 | 2,655 | 2,736 | |
BofA Finance LLC 0.600%, 5/25/27 | 2,175 | 2,243 | |
4,979 | |||
Biotechnology—2.2% | |||
Bridgebio Pharma, Inc. | |||
2.500%, 3/15/27 | 1,100 | 1,040 | |
2.250%, 2/1/29 | 915 | 669 | |
Insmed, Inc. | |||
1.750%, 1/15/25 | 1,530 | 1,509 | |
0.750%, 6/1/28 | 865 | 832 | |
Sarepta Therapeutics, Inc. 1.250%, 9/15/27 | 1,165 | 992 | |
5,042 | |||
Commercial Services—5.3% | |||
Affirm Holdings, Inc. 0.000%, 11/15/26(4) | 4,935 | 3,519 | |
Block, Inc. 0.125%, 3/1/25 | 3,920 | 3,610 | |
Repay Holdings Corp. 144A 0.000%, 2/1/26(1)(4) | 2,655 | 2,108 | |
Shift4 Payments, Inc. 0.500%, 8/1/27 | 2,535 | 1,980 | |
Stride, Inc. 1.125%, 9/1/27 | 765 | 904 | |
12,121 | |||
Computers—6.3% | |||
CyberArk Software Ltd. 0.000%, 11/15/24 | 625 | 714 | |
Lumentum Holdings, Inc. | |||
0.250%, 3/15/24 | 1,235 | 1,206 | |
144A 1.500%, 12/15/29(1) | 1,390 | 1,151 | |
Parsons Corp. 0.250%, 8/15/25 | 1,975 | 2,575 | |
Seagate HDD Cayman 144A 3.500%, 6/1/28(1) | 3,920 | 4,063 | |
Varonis Systems, Inc. 1.250%, 8/15/25 | 1,675 | 2,074 |
Par Value | Value | ||
Computers—continued | |||
Zscaler, Inc. 0.125%, 7/1/25 | $ 2,135 | $ 2,601 | |
14,384 | |||
Electric Utilities—3.6% | |||
FirstEnergy Corp. 144A 4.000%, 5/1/26(1) | 3,185 | 3,093 | |
Southern Co. (The) 144A 3.875%, 12/15/25(1) | 5,230 | 5,130 | |
8,223 | |||
Electronics—1.2% | |||
Advanced Energy Industries, Inc. 144A 2.500%, 9/15/28(1) | 2,060 | 1,903 | |
Vishay Intertechnology, Inc. 144A 2.250%, 9/15/30(1) | 965 | 883 | |
2,786 | |||
Energy-Alternate Sources—1.6% | |||
Array Technologies, Inc. 1.000%, 12/1/28 | 1,495 | 1,437 | |
Sunnova Energy International, Inc. 2.625%, 2/15/28 | 4,480 | 2,155 | |
3,592 | |||
Engineering & Construction—2.3% | |||
Fluor Corp. 144A 1.125%, 8/15/29(1) | 3,485 | 3,349 | |
Granite Construction, Inc. 144A 3.750%, 5/15/28(1) | 1,865 | 1,994 | |
5,343 | |||
Entertainment—6.1% | |||
DraftKings Holdings, Inc. 0.000%, 3/15/28(4) | 4,370 | 3,247 | |
IMAX Corp. 0.500%, 4/1/26 | 3,230 | 2,925 | |
Live Nation Entertainment, Inc. | |||
2.000%, 2/15/25 | 3,290 | 3,306 | |
144A 3.125%, 1/15/29(1)(2)(3) | 1,380 | 1,386 | |
Penn Entertainment, Inc. 2.750%, 5/15/26 | 625 | 685 | |
Vail Resorts, Inc. 0.000%, 1/1/26(4) | 2,780 | 2,417 | |
13,966 | |||
Environmental Services—1.0% | |||
Tetra Tech, Inc. 144A 2.250%, 8/15/28(1) | 2,415 | 2,337 | |
Financial Services—1.8% | |||
Encore Capital Group, Inc. 144A 4.000%, 3/15/29(1) | 2,875 | 2,428 |
See Notes to Schedule of Investments
1
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Financial Services—continued | |||
JPMorgan Chase Financial Co., LLC 0.500%, 6/15/27 | $ 1,500 | $ 1,653 | |
4,081 | |||
Health Care REITs—2.5% | |||
Welltower OP LLC 144A 2.750%, 5/15/28(1) | 5,700 | 5,842 | |
Healthcare-Products—2.8% | |||
Alphatec Holdings, Inc. 0.750%, 8/1/26 | 1,745 | 1,482 | |
Exact Sciences Corp. 0.375%, 3/15/27 | 2,840 | 2,467 | |
Integer Holdings Corp. 144A 2.125%, 2/15/28(1) | 1,080 | 1,185 | |
Lantheus Holdings, Inc. 144A 2.625%, 12/15/27(1) | 585 | 649 | |
Natera, Inc. 2.250%, 5/1/27 | 510 | 620 | |
6,403 | |||
Internet—9.0% | |||
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,090 | 1,661 | |
Match Group Financeco 3, Inc. 144A 2.000%, 1/15/30(1) | 1,445 | 1,168 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 2,575 | 6,288 | |
Uber Technologies, Inc. 0.000%, 12/15/25(4) | 5,760 | 5,235 | |
Wayfair, Inc. | |||
1.125%, 11/1/24 | 1,845 | 1,719 | |
1.000%, 8/15/26 | 2,385 | 1,791 | |
3.250%, 9/15/27 | 595 | 570 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 2,240 | 2,169 | |
20,601 | |||
Leisure Time—2.2% | |||
NCL Corp., Ltd. 1.125%, 2/15/27 | 3,740 | 2,898 | |
Royal Caribbean Cruises Ltd. | |||
2.875%, 11/15/23 | 1,015 | 1,034 | |
6.000%, 8/15/25 | 630 | 1,150 | |
5,082 | |||
Media—5.3% | |||
DISH Network Corp. 0.000%, 12/15/25(4) | 1,275 | 778 | |
Liberty Broadband Corp. 144A 3.125%, 3/31/53(1) | 6,350 | 6,299 | |
Liberty Media Corp. 144A 3.750%, 3/15/28(1) | 1,885 | 2,049 | |
Liberty Media Corp.-Liberty Formula One 2.250%, 8/15/27 | 2,965 | 2,971 | |
12,097 | |||
Par Value | Value | ||
Mining—0.3% | |||
SSR Mining, Inc. 2.500%, 4/1/39 | $ 765 | $ 786 | |
Miscellaneous Manufacturing—1.5% | |||
Axon Enterprise, Inc. 144A 0.500%, 12/15/27(1) | 3,320 | 3,564 | |
Oil, Gas & Consumable Fuels—2.3% | |||
EQT Corp. 1.750%, 5/1/26 | 520 | 1,507 | |
Northern Oil & Gas, Inc. 3.625%, 4/15/29 | 1,265 | 1,490 | |
Permian Resources Operating LLC 3.250%, 4/1/28 | 270 | 663 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 640 | 1,631 | |
5,291 | |||
Passenger Airlines—0.5% | |||
American Airlines Group, Inc. 6.500%, 7/1/25 | 1,205 | 1,221 | |
Pharmaceuticals—2.0% | |||
Amphastar Pharmaceuticals, Inc. 144A 2.000%, 3/15/29(1) | 1,750 | 1,703 | |
Dexcom, Inc. 144A 0.375%, 5/15/28(1) | 985 | 866 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 975 | 985 | |
Mirum Pharmaceuticals, Inc. 144A 4.000%, 5/1/29(1) | 985 | 1,146 | |
4,700 | |||
Retail—0.7% | |||
Freshpet, Inc. 144A 3.000%, 4/1/28(1) | 580 | 619 | |
Shake Shack, Inc. 0.000%, 3/1/28(4) | 1,220 | 888 | |
1,507 | |||
Semiconductors—3.0% | |||
Impinj, Inc. 1.125%, 5/15/27 | 305 | 281 | |
MACOM Technology Solutions Holdings, Inc. 0.250%, 3/15/26 | 1,480 | 1,536 | |
ON Semiconductor Corp. 144A 0.500%, 3/1/29(1) | 2,935 | 2,568 | |
SMART Global Holdings, Inc. 2.000%, 2/1/29 | 285 | 249 | |
Veeco Instruments, Inc. 144A 2.875%, 6/1/29(1) | 795 | 845 | |
Wolfspeed, Inc. 0.250%, 2/15/28 | 2,090 | 1,295 | |
6,774 | |||
Software—13.2% | |||
Akamai Technologies, Inc. 0.125%, 5/1/25 | 3,935 | 4,554 |
See Notes to Schedule of Investments
2
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Software—continued | |||
Bentley Systems, Inc. 0.125%, 1/15/26(2)(3) | $ 3,575 | $ 3,388 | |
BILL Holdings, Inc. | |||
0.000%, 12/1/25 | 3,045 | 2,889 | |
0.000%, 4/1/27(4) | 650 | 517 | |
Confluent, Inc. 0.000%, 1/15/27(4) | 2,195 | 1,766 | |
CSG Systems International, Inc. 144A 3.875%, 9/15/28(1) | 585 | 542 | |
Datadog, Inc. 0.125%, 6/15/25 | 670 | 738 | |
HubSpot, Inc. 0.375%, 6/1/25 | 545 | 851 | |
MicroStrategy, Inc. 0.750%, 12/15/25 | 1,765 | 2,199 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,280 | 2,180 | |
Nutanix, Inc. 0.250%, 10/1/27(2)(3) | 700 | 626 | |
Splunk, Inc. | |||
1.125%, 9/15/25 | 1,675 | 1,799 | |
1.125%, 6/15/27(2)(3) | 2,030 | 1,918 | |
Tyler Technologies, Inc. 0.250%, 3/15/26(2)(3) | 3,590 | 3,407 | |
Workiva, Inc. 144A 1.250%, 8/15/28(1) | 3,120 | 2,822 | |
30,196 | |||
Transportation—0.9% | |||
Air Transport Services Group, Inc. 144A 3.875%, 8/15/29(1) | 2,165 | 1,998 | |
Total Convertible Bonds and Notes (Identified Cost $195,559) | 189,351 | ||
Corporate Bonds and Notes—63.7% | |||
Aerospace & Defense—2.2% | |||
Bombardier, Inc. 144A 7.500%, 2/1/29(1)(2)(3) | 1,660 | 1,538 | |
TransDigm, Inc. 144A 6.750%, 8/15/28(1) | 2,530 | 2,456 | |
Triumph Group, Inc. 144A 9.000%, 3/15/28(1) | 1,180 | 1,146 | |
5,140 | |||
Auto Manufacturers—1.4% | |||
Ford Motor Co. | |||
9.625%, 4/22/30 | 1,705 | 1,901 | |
7.450%, 7/16/31(2)(3) | 1,250 | 1,261 | |
3,162 | |||
Automotive Parts & Equipment—3.2% | |||
Adient Global Holdings Ltd. 144A 8.250%, 4/15/31(1)(2)(3) | 1,565 | 1,523 | |
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(2)(3) | 1,000 | 943 | |
Clarios Global LP 144A 8.500%, 5/15/27(1)(2)(3) | 2,325 | 2,289 |
Par Value | Value | ||
Automotive Parts & Equipment—continued | |||
Goodyear Tire & Rubber Co. (The) | |||
9.500%, 5/31/25 | $ 975 | $ 986 | |
5.250%, 7/15/31(2)(3) | 1,965 | 1,600 | |
7,341 | |||
Building Materials—1.4% | |||
Builders FirstSource, Inc. 144A 6.375%, 6/15/32(1) | 1,790 | 1,638 | |
Griffon Corp. 5.750%, 3/1/28(2)(3) | 1,760 | 1,590 | |
3,228 | |||
Chemicals—0.5% | |||
Chemours Co. (The) 144A 5.750%, 11/15/28(1)(2)(3) | 1,365 | 1,154 | |
Commercial Services—2.2% | |||
ADT Security Corp. (The) 144A 4.125%, 8/1/29(1)(2)(3) | 955 | 819 | |
Avis Budget Car Rental LLC 144A 5.375%, 3/1/29(1)(2)(3) | 1,595 | 1,366 | |
Herc Holdings, Inc. 144A 5.500%, 7/15/27(1) | 1,015 | 954 | |
Hertz Corp. (The) 144A 5.000%, 12/1/29(1)(2)(3) | 1,025 | 736 | |
NESCO Holdings II, Inc. 144A 5.500%, 4/15/29(1) | 1,470 | 1,261 | |
5,136 | |||
Computers—2.2% | |||
McAfee Corp. 144A 7.375%, 2/15/30(1) | 1,085 | 868 | |
NCR Voyix Corp. 144A 5.125%, 4/15/29(1)(2)(3) | 1,815 | 1,561 | |
Seagate HDD Cayman 144A 8.500%, 7/15/31(1)(2)(3) | 2,525 | 2,569 | |
4,998 | |||
Containers & Packaging—1.3% | |||
Mauser Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(1)(2)(3) | 1,310 | 1,227 | |
Owens-Brockway Glass Container, Inc. 144A 7.250%, 5/15/31(1)(2)(3) | 1,220 | 1,116 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(1) | 840 | 701 | |
3,044 | |||
Diversified REITS—1.5% | |||
Iron Mountain, Inc. | |||
144A 7.000%, 2/15/29(1) | 1,680 | 1,628 | |
144A 5.250%, 7/15/30(1) | 2,180 | 1,892 | |
3,520 | |||
Electric Utilities—0.5% | |||
PG&E Corp. 5.250%, 7/1/30(2)(3) | 1,420 | 1,244 |
See Notes to Schedule of Investments
3
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Electronic Equipment, Instruments & Components—0.9% | |||
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1)(2)(3) | $ 1,980 | $ 1,967 | |
Electronics—0.4% | |||
Coherent Corp. 144A 5.000%, 12/15/29(1)(2)(3) | 975 | 827 | |
Entertainment—4.4% | |||
Caesars Entertainment, Inc. | |||
144A 8.125%, 7/1/27(1)(2)(3) | 3,025 | 2,997 | |
144A 7.000%, 2/15/30(1)(2)(3) | 880 | 849 | |
CDI Escrow Issuer, Inc. 144A 5.750%, 4/1/30(1) | 885 | 791 | |
Light & Wonder International, Inc. 144A 7.000%, 5/15/28(1)(2)(3) | 1,250 | 1,219 | |
Lions Gate Capital Holdings LLC 144A 5.500%, 4/15/29(1) | 2,105 | 1,385 | |
Live Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1) | 1,495 | 1,459 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1)(2)(3) | 1,525 | 1,328 | |
10,028 | |||
Environmental Services—0.9% | |||
GFL Environmental, Inc. 144A 4.750%, 6/15/29(1)(2)(3) | 2,280 | 1,996 | |
Financial Services—2.4% | |||
Nationstar Mortgage Holdings, Inc. | |||
144A 5.500%, 8/15/28(1) | 1,080 | 954 | |
144A 5.750%, 11/15/31(1) | 565 | 471 | |
Navient Corp. | |||
6.750%, 6/15/26 | 1,700 | 1,611 | |
9.375%, 7/25/30(2)(3) | 845 | 796 | |
OneMain Finance Corp. 9.000%, 1/15/29(2)(3) | 855 | 832 | |
PRA Group, Inc. 144A 8.375%, 2/1/28(1) | 875 | 721 | |
5,385 | |||
Food & Beverage—1.0% | |||
Performance Food Group, Inc. 144A 5.500%, 10/15/27(1) | 1,060 | 991 | |
Post Holdings, Inc. 144A 5.500%, 12/15/29(1) | 1,535 | 1,369 | |
2,360 | |||
Healthcare-Products—0.9% | |||
Medline Borrower LP 144A 5.250%, 10/1/29(1) | 2,375 | 2,022 | |
Healthcare-Services—2.0% | |||
Select Medical Corp. 144A 6.250%, 8/15/26(1)(2)(3) | 1,265 | 1,230 | |
Tenet Healthcare Corp. 6.125%, 10/1/28(2)(3) | 3,490 | 3,237 | |
4,467 | |||
Par Value | Value | ||
Hotel & Resort REITs—1.1% | |||
Park Intermediate Holdings LLC 144A 5.875%, 10/1/28(1)(2)(3) | $ 1,035 | $ 932 | |
Service Properties Trust 7.500%, 9/15/25(2)(3) | 1,705 | 1,656 | |
2,588 | |||
Housewares—0.5% | |||
Newell Brands, Inc. 6.625%, 9/15/29(2)(3) | 1,270 | 1,168 | |
Internet—1.9% | |||
Gen Digital, Inc. 144A 7.125%, 9/30/30(1)(2)(3) | 2,100 | 2,043 | |
Uber Technologies, Inc. | |||
144A 8.000%, 11/1/26(1) | 865 | 871 | |
144A 7.500%, 9/15/27(1) | 1,485 | 1,489 | |
4,403 | |||
Investment Companies—0.7% | |||
Compass Group Diversified Holdings LLC 144A 5.250%, 4/15/29(1)(2)(3) | 1,970 | 1,682 | |
Iron & Steel—0.4% | |||
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 825 | 820 | |
Leisure Time—2.3% | |||
Carnival Corp. 144A 10.500%, 6/1/30(1) | 1,580 | 1,603 | |
NCL Corp., Ltd. 144A 8.375%, 2/1/28(1) | 1,320 | 1,308 | |
Royal Caribbean Cruises Ltd. | |||
144A 11.500%, 6/1/25(1) | 153 | 162 | |
144A 11.625%, 8/15/27(1) | 1,975 | 2,142 | |
5,215 | |||
Machinery-Construction & Mining—0.4% | |||
Terex Corp. 144A 5.000%, 5/15/29(1) | 935 | 818 | |
Machinery-Diversified—0.7% | |||
Chart Industries, Inc. 144A 7.500%, 1/1/30(1) | 1,730 | 1,699 | |
Media—6.2% | |||
CCO Holdings LLC | |||
144A 6.375%, 9/1/29(1)(2)(3) | 1,770 | 1,620 | |
144A 7.375%, 3/1/31(1)(2)(3) | 2,210 | 2,088 | |
DirecTV Financing LLC 144A 5.875%, 8/15/27(1) | 1,345 | 1,179 | |
DISH Network Corp. 144A 11.750%, 11/15/27(1) | 1,670 | 1,654 | |
Gray Television, Inc. 144A 7.000%, 5/15/27(1)(2)(3) | 1,900 | 1,611 | |
Nexstar Media, Inc. 144A 5.625%, 7/15/27(1) | 1,640 | 1,476 | |
Sirius XM Radio, Inc. 144A 4.000%, 7/15/28(1) | 1,880 | 1,599 |
See Notes to Schedule of Investments
4
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Par Value | Value | ||
Media—continued | |||
TEGNA, Inc. 5.000%, 9/15/29 | $ 1,095 | $ 917 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 2,225 | 1,970 | |
14,114 | |||
Mining—1.1% | |||
Arsenal AIC Parent LLC 144A 8.000%, 10/1/30(1)(2)(3) | 840 | 830 | |
Hudbay Minerals, Inc. 144A 6.125%, 4/1/29(1) | 1,785 | 1,597 | |
2,427 | |||
Oil, Gas & Consumable Fuels—6.1% | |||
Antero Resources Corp. 144A 7.625%, 2/1/29(1) | 815 | 825 | |
Callon Petroleum Co. 144A 8.000%, 8/1/28(1)(2)(3) | 2,000 | 1,976 | |
CITGO Petroleum Corp. 144A 8.375%, 1/15/29(1)(2)(3) | 1,240 | 1,228 | |
Civitas Resources, Inc. 144A 8.750%, 7/1/31(1)(2)(3) | 2,050 | 2,069 | |
CNX Resources Corp. 144A 7.375%, 1/15/31(1)(2)(3) | 1,715 | 1,639 | |
Northern Oil & Gas, Inc. 144A 8.750%, 6/15/31(1)(2)(3) | 1,195 | 1,189 | |
SM Energy Co. 6.500%, 7/15/28(2)(3) | 1,725 | 1,661 | |
USA Compression Partners LP 6.875%, 9/1/27(2)(3) | 1,750 | 1,677 | |
Weatherford International Ltd. 144A 8.625%, 4/30/30(1) | 1,770 | 1,788 | |
14,052 | |||
Paper & Forest Products—0.4% | |||
Mercer International, Inc. 144A 5.125%, 2/1/29(1) | 1,135 | 890 | |
Passenger Airlines—0.5% | |||
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 1,140 | 1,208 | |
Personal Care Product—0.6% | |||
Coty, Inc. 144A 6.500%, 4/15/26(1)(2)(3) | 1,415 | 1,394 | |
Pharmaceuticals—0.7% | |||
Jazz Securities DAC 144A 4.375%, 1/15/29(1) | 905 | 787 | |
Organon & Co. 144A 5.125%, 4/30/31(1) | 1,115 | 871 | |
1,658 | |||
Pipelines—3.0% | |||
Antero Midstream Partners LP 144A 5.375%, 6/15/29(1) | 1,090 | 990 | |
Crestwood Midstream Partners LP 144A 6.000%, 2/1/29(1)(2)(3) | 2,290 | 2,216 |
Par Value | Value | ||
Pipelines—continued | |||
EQM Midstream Partners LP 144A 7.500%, 6/1/30(1) | $ 835 | $ 819 | |
NGL Energy Operating LLC 144A 7.500%, 2/1/26(1) | 1,665 | 1,625 | |
NuStar Logistics LP 6.375%, 10/1/30 | 1,255 | 1,161 | |
6,811 | |||
Real Estate—0.5% | |||
Kennedy-Wilson, Inc. 5.000%, 3/1/31 | 1,545 | 1,109 | |
Retail—1.6% | |||
Bath & Body Works, Inc. 144A 6.625%, 10/1/30(1)(2)(3) | 855 | 792 | |
Beacon Roofing Supply, Inc. 144A 6.500%, 8/1/30(1)(2)(3) | 1,700 | 1,623 | |
New Red Finance, Inc. 144A 4.000%, 10/15/30(1) | 1,640 | 1,343 | |
3,758 | |||
Semiconductors—1.1% | |||
Amkor Technology, Inc. 144A 6.625%, 9/15/27(1) | 850 | 827 | |
Entegris Escrow Corp. 144A 5.950%, 6/15/30(1)(2)(3) | 1,720 | 1,574 | |
2,401 | |||
Software—1.4% | |||
Alteryx, Inc. 144A 8.750%, 3/15/28(1)(2)(3) | 795 | 785 | |
Central Parent LLC 144A 8.000%, 6/15/29(1) | 1,220 | 1,205 | |
Clarivate Science Holdings Corp. 144A 4.875%, 7/1/29(1)(2)(3) | 1,485 | 1,253 | |
3,243 | |||
Telecommunications—1.4% | |||
Frontier Communications Holdings LLC 144A 8.750%, 5/15/30(1) | 1,690 | 1,610 | |
Hughes Satellite Systems Corp. 6.625%, 8/1/26(2)(3) | 2,010 | 1,704 | |
3,314 | |||
Transportation—1.8% | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 9.750%, 8/1/27(1) | 1,160 | 1,193 | |
144A 5.500%, 5/1/28(1)(2)(3) | 1,335 | 1,214 | |
XPO, Inc. 144A 7.125%, 6/1/31(1) | 1,860 | 1,812 | |
4,219 | |||
Total Corporate Bonds and Notes (Identified Cost $156,130) | 146,010 |
See Notes to Schedule of Investments
5
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Shares | Value | ||
Convertible Preferred Stocks—6.1% | |||
Banks—3.1% | |||
Wells Fargo & Co. Series L, 7.500% | 6,615 | $ 6,987 | |
Electric Utilities—0.7% | |||
NextEra Energy, Inc., 6.926%(2)(3) | 42,135 | 1,582 | |
Financial Services—0.9% | |||
Apollo Global Management, Inc., 6.750% | 45,165 | 2,173 | |
Machinery—1.4% | |||
Chart Industries, Inc. Series B, 6.750% | 24,450 | 1,202 | |
RBC Bearings, Inc. Series A, 5.000% | 18,555 | 1,952 | |
3,154 | |||
Total Convertible Preferred Stocks (Identified Cost $11,272) | 13,896 | ||
Preferred Stock—0.5% | |||
Entertainment—0.5% | |||
LiveStyle, Inc. Series B (5)(6)(7) | 12,300 | 1,045 | |
Total Preferred Stock (Identified Cost $1,206) | 1,045 | ||
Common Stocks—2.1% | |||
Banks—2.1% | |||
CCF Holdings LLC (5)(6) | 6,367,079 | 4,202 | |
CCF Holdings LLC Class M(5)(6) | 879,959 | 581 | |
4,783 | |||
Consumer Finance—0.0% | |||
Erickson, Inc.(5)(6) | 6,354 | 98 | |
Entertainment—0.0% | |||
LiveStyle, Inc. (5)(6)(7) | 90,407 | — | |
Total Common Stocks (Identified Cost $22,668) | 4,881 | ||
Warrants—0.3% | |||
Banks—0.3% | |||
CCF Holdings LLC, 4/1/24(5)(6) | 1,455,681 | 568 | |
Media—0.0% | |||
Tenerity, Inc., 4/1/24(5)(6)(7) | 12,009 | — | |
Total Warrants (Identified Cost $2,371) | 568 | ||
Shares | Value | ||
Equity-Linked Note—0.5% | |||
Financial Services—0.5% | |||
Goldman Sachs Finance Corp.(5) | 1,410,000 | $ 1,250 | |
Total Equity-Linked Note (Identified Cost $1,441) | 1,250 | ||
Total Long-Term Investments—155.8% (Identified Cost $390,647) | 357,001 | ||
Short-Term Investment—1.6% | |||
Money Market Mutual Fund—1.6% | |||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.242%)(8) | 3,699,123 | 3,699 | |
Total Short-Term Investment (Identified Cost $3,699) | 3,699 | ||
Securities Lending Collateral—4.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.234%)(8)(9) | 9,963,052 | 9,963 | |
Total Securities Lending Collateral (Identified Cost $9,963) | 9,963 | ||
TOTAL INVESTMENTS—161.8% (Identified Cost $404,309) | $370,663 | ||
Other assets and liabilities, net—(14.2)% | (32,530) | ||
Preferred Shares—(47.6)% | (109,000) | ||
NET ASSETS—100.0% | $229,133 |
Abbreviations: | |
DAC | Designated Activity Company |
EV | Enterprise Value |
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 October 31, 2023, these securities amounted to a value of $187,087 or 81.6% of net assets. |
(2) | All or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $33,743. |
(3) | All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending. |
(4) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Non-income producing. |
(7) | Security is restricted from resale. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(9) | Represents security purchased with cash collateral received for securities on loan. |
See Notes to Schedule of Investments
6
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ reported in thousands)
Country Weightings† | |
United States | 90% |
Canada | 3 |
Bermuda | 2 |
Cayman Islands | 2 |
United Kingdom | 1 |
Liberia | 1 |
Panama | 1 |
Total | 100% |
† % of total investments as of October 31, 2023. |
The following table summarizes the value of the Fund’s investments as of October 31, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at October 31, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $189,351 | $— | $189,351 | $— | |||
Corporate Bonds and Notes | 146,010 | — | 146,010 | — | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 13,896 | 13,896 | — | — | |||
Preferred Stock | 1,045 | — | — | 1,045 | |||
Common Stocks | 4,881 | — | — | 4,881(1) | |||
Warrants | 568 | — | — | 568(1) | |||
Equity-Linked Note | 1,250 | — | — | 1,250 | |||
Money Market Mutual Fund | 3,699 | 3,699 | — | — | |||
Securities Lending Collateral | 9,963 | 9,963 | — | — | |||
Total Investments | $370,663 | $27,558 | $335,361 | $7,744 |
(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 October 31, 2023.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, 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.
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 | Common stocks | Preferred Stocks | Warrants | Equity-Linked Note | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2023: | $ 10,902 | $ 4,647 | $ 925 | $ 553(a) | $ 4,777 | ||||
Accrued discount/(premium) | —(b) | — | — | — | —(b) | ||||
Net realized gain (loss) | (438) | — | — | — | (438) | ||||
Net change in unrealized appreciation (depreciation)(c) | 85 | 234 | 120 | 15 | (284) | ||||
Purchases | 118 | — | — | — | 118 | ||||
Sales(d) | (2,923) | — | — | — | (2,923) | ||||
Balance as of October 31, 2023 | $ 7,744 | $ 4,881(a) | $ 1,045 | $ 568(a) | $ 1,250 |
(a) Includes internally fair valued security currently priced at zero ($0).
(b) Amount is less than $500 (not in thousands).
(c) The net change in unrealized appreciation (depreciation) on investments still held at October 31, 2023, was $85.
(d) Includes paydowns on securities.
See Notes to Schedule of Investments
7
VIRTUS Convertible & Income Fund II
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2023
($ 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 October 31, 2023:
Investments in Securities – Assets | Ending Balance at October 31, 2023 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $ 1,045 | Discounted cash flows liquidation approach | Discount rate | 28.04% (25.90% - 30.09%) | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $ 4,202 | Market and Company Comparables | EV Multiples | 1.17x (0.56x - 2.02x) | ||||
5.47x (3.92x - 7.21x) | ||||||||
0.52x (0.13x - 0.83x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $581 | Market and Company Comparables | EV Multiples | 1.17x (0.56x - 2.02x) | ||||
5.47x (3.92x - 7.21x) | ||||||||
0.52x (0.13x - 0.83x) | ||||||||
Illiquidity Discount | 20% | |||||||
Erickson, Inc. | $98 | Market and Company Comparables | EV Multiples | 1.28x (0.60x - 3.17x) | ||||
11.42x (10.81x - 14.53x) | ||||||||
1.04x (0.49x - 1.94x) | ||||||||
M&A Transaction Multiples | 1.13x (0.62x - 1.74x) | |||||||
Illiquidity Discount | 20% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $568 | Market and Company Comparables | EV Multiples | 1.17x (0.56x - 2.02x) | ||||
5.47x (3.92x - 7.21x) | ||||||||
0.52x (0.13x - 0.83x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 45.63% | ||||||
See Notes to Schedule of Investments
8
VIRTUS Convertible & Income Fund II
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2023
Note 1. Security Valuation
The Fund’s Board of Trustees has designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. 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 Investment Adviser’s 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. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Investment Adviser’s Valuation Committee, and 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 instruments, 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 the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Investment Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter 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.
9