VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Cobalt International Energy, Inc. 7.750%, 12/1/23(1)(2) | $ 2,509 | $ 36 | |
Total Corporate Bonds and Notes (Identified Cost $1,106) | 36 |
Shares | ||
Convertible Preferred Stocks—6.1% | ||
Auto Components—0.4% | ||
Aptiv plc Series A, 5.500% | 21,490 | 4,152 |
Banks—0.8% | ||
Bank of America Corp. Series L, 7.250% | 1,755 | 2,514 |
Wells Fargo & Co. Series L, 7.500% | 3,405 | 5,175 |
7,689 | ||
Capital Markets—0.4% | ||
KKR & Co., Inc. Series C, 6.000% | 36,630 | 3,664 |
Commercial Services & Supplies—0.2% | ||
GFL Environmental, Inc., 6.000% | 21,095 | 1,990 |
Communications Equipment—0.4% | ||
T-Mobile US, 2020 Cash Mandatory Exchangeable Trust 144A, 5.250%(3) | 3,155 | 3,302 |
Diversified Financial Services—0.2% | ||
Chewy, Inc. 2020 Mandatory Exchangeable Trust 144A, 6.500%(3) | 1,300 | 2,227 |
Electric Utilities—0.7% | ||
NextEra Energy, Inc., 5.279% | 57,410 | 3,127 |
NextEra Energy, Inc., 6.219% | 69,490 | 3,808 |
6,935 | ||
Shares | Value | ||
Electronic Components—0.1% | |||
II-VI, Inc. Series A, 6.000% | 3,415 | $ 877 | |
Healthcare Equipment & Supplies—1.2% | |||
Boston Scientific Corp. Series A, 5.500% | 33,490 | 3,919 | |
Danaher Corp. Series B, 5.000% | 4,885 | 8,113 | |
12,032 | |||
Life Sciences Tools & Services—0.3% | |||
Avantor, Inc. Series A, 6.250% | 25,965 | 3,214 | |
Machinery—0.1% | |||
Stanley Black & Decker, Inc., 5.250% | 10,170 | 1,098 | |
Media—0.1% | |||
ViacomCBS, Inc. Series A, 5.750% | 11,695 | 709 | |
Pharmaceuticals—0.2% | |||
Elanco Animal Health, Inc., 5.000% | 31,335 | 1,588 | |
Professional Services—0.2% | |||
Clarivate plc Series A, 5.250% | 24,895 | 2,289 | |
Semiconductors & Semiconductor Equipment—0.8% | |||
Broadcom, Inc. Series A, 8.000% | 4,725 | 7,925 | |
Total Convertible Preferred Stocks (Identified Cost $48,029) | 59,691 | ||
Common Stocks—64.8% | |||
Automobiles—2.8% | |||
Tesla, Inc.(4) | 24,125 | 26,875 | |
Banks—2.4% | |||
JPMorgan Chase & Co.(5) | 76,645 | 13,021 |
See Notes to Schedule of Investments
1
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Shares | Value | ||
Banks—continued | |||
Wells Fargo & Co. | 207,755 | $ 10,629 | |
23,650 | |||
Biotechnology—1.1% | |||
AbbVie, Inc. | 53,390 | 6,122 | |
Horizon Therapeutics plc(4) | 39,375 | 4,722 | |
10,844 | |||
Capital Markets—1.5% | |||
Charles Schwab Corp. (The) | 86,565 | 7,101 | |
S&P Global, Inc. | 16,715 | 7,926 | |
15,027 | |||
Chemicals—0.6% | |||
Sherwin-Williams Co. (The) | 17,095 | 5,412 | |
Electrical Equipment—0.6% | |||
Generac Holdings, Inc.(4) | 12,505 | 6,235 | |
Energy Equipment & Services—0.6% | |||
Schlumberger N.V. | 174,930 | 5,643 | |
Entertainment—1.4% | |||
Netflix, Inc.(4)(5) | 13,000 | 8,974 | |
Roku, Inc. Class A (4) | 11,555 | 3,523 | |
Walt Disney Co. (The)(4) | 8,640 | 1,461 | |
13,958 | |||
Equity Real Estate Investment—0.6% | |||
Crown Castle International Corp. | 32,586 | 5,875 | |
Food & Staples Retailing—1.0% | |||
Costco Wholesale Corp. | 19,220 | 9,447 | |
Healthcare Equipment & Supplies—2.4% | |||
Abbott Laboratories | 26,560 | 3,423 | |
Align Technology, Inc.(4)(5) | 4,715 | 2,944 | |
Dexcom, Inc.(4) | 14,400 | 8,974 | |
Intuitive Surgical, Inc.(4)(5) | 21,180 | 7,649 | |
22,990 | |||
Healthcare Providers & Services—1.0% | |||
UnitedHealth Group, Inc. | 20,063 | 9,238 | |
Hotels, Restaurants & Leisure—2.7% | |||
Booking Holdings, Inc.(4) | 3,960 | 9,586 |
Shares | Value | ||
Hotels, Restaurants & Leisure—continued | |||
Chipotle Mexican Grill, Inc. Class A(4) | 2,480 | $ 4,412 | |
Darden Restaurants, Inc.(5) | 21,350 | 3,078 | |
MGM Resorts International | 96,945 | 4,572 | |
Starbucks Corp. | 42,408 | 4,498 | |
26,146 | |||
Household Durables—0.7% | |||
DR Horton, Inc. | 74,670 | 6,666 | |
Industrial Conglomerates—0.6% | |||
Honeywell International, Inc. | 25,180 | 5,505 | |
Insurance—0.7% | |||
Aon plc Class A | 21,320 | 6,821 | |
Interactive Media & Services—6.2% | |||
Alphabet, Inc. Class A(4) | 11,605 | 34,362 | |
Match Group, Inc.(4) | 32,744 | 4,937 | |
Meta Platforms, Inc. Class A(4)(5) | 65,180 | 21,090 | |
60,389 | |||
Internet & Direct Marketing Retail—2.5% | |||
Amazon.com, Inc.(4) | 7,115 | 23,995 | |
IT Services—4.5% | |||
Accenture plc Class A | 29,935 | 10,740 | |
EPAM Systems, Inc.(4) | 5,140 | 3,461 | |
Mastercard, Inc. Class A | 21,415 | 7,185 | |
PayPal Holdings, Inc.(4) | 41,730 | 9,706 | |
Square, Inc. Class A(4) | 12,630 | 3,214 | |
Visa, Inc. Class A | 42,805 | 9,065 | |
43,371 | |||
Life Sciences Tools & Services—2.5% | |||
Agilent Technologies, Inc. | 53,431 | 8,415 | |
IQVIA Holdings, Inc.(4) | 31,170 | 8,149 | |
Thermo Fisher Scientific, Inc. | 12,015 | 7,606 | |
24,170 | |||
Machinery—0.5% | |||
Deere & Co. | 14,640 | 5,011 | |
Metals & Mining—0.2% | |||
Freeport-McMoRan, Inc. | 50,195 | 1,893 |
See Notes to Schedule of Investments
2
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Shares | Value | ||
Multiline Retail—0.7% | |||
Target Corp. | 27,960 | $ 7,259 | |
Oil, Gas & Consumable Fuels—1.5% | |||
Exxon Mobil Corp. | 125,740 | 8,106 | |
Occidental Petroleum Corp. | 43,290 | 1,452 | |
Valero Energy Corp. | 66,770 | 5,163 | |
14,721 | |||
Pharmaceuticals—1.7% | |||
Eli Lilly & Co. | 43,500 | 11,082 | |
Zoetis, Inc. Class A | 25,655 | 5,547 | |
16,629 | |||
Road & Rail—0.5% | |||
Union Pacific Corp. | 19,700 | 4,756 | |
Semiconductors & Semiconductor Equipment—6.5% | |||
Advanced Micro Devices, Inc.(4)(5) | 69,650 | 8,374 | |
Broadcom, Inc. | 10,920 | 5,806 | |
Enphase Energy, Inc.(4)(5) | 32,570 | 7,544 | |
Global Foundries, Inc.(4) | 125,230 | 6,104 | |
Lam Research Corp. | 11,595 | 6,534 | |
Marvell Technology, Inc. | 100,730 | 6,900 | |
NVIDIA Corp. | 74,540 | 19,058 | |
QUALCOMM, Inc. | 22,865 | 3,042 | |
63,362 | |||
Software—10.0% | |||
Adobe, Inc. (4) | 21,560 | 14,022 | |
Atlassian Corp. plc Class A(4) | 17,900 | 8,200 | |
Crowdstrike Holdings, Inc. Class A(4)(5) | 28,315 | 7,979 | |
DocuSign, Inc.(4) | 5,680 | 1,581 | |
Intuit, Inc. | 19,135 | 11,978 | |
Microsoft Corp. | 111,520 | 36,982 | |
salesforce.com, Inc.(4) | 27,491 | 8,239 | |
ServiceNow, Inc.(4) | 12,005 | 8,377 | |
97,358 | |||
Specialty Retail—2.5% | |||
Carvana Co. Class A(4) | 12,070 | 3,659 |
Shares | Value | ||
Specialty Retail—continued | |||
Home Depot, Inc. (The) | 46,300 | $ 17,212 | |
TJX Cos., Inc. (The) | 46,865 | 3,069 | |
23,940 | |||
Technology Hardware, Storage & Peripherals—3.4% | |||
Apple, Inc. | 219,200 | 32,836 | |
Textiles, Apparel & Luxury Goods—0.9% | |||
NIKE, Inc. Class B | 54,780 | 9,164 | |
Total Common Stocks (Identified Cost $445,875) | 629,186 | ||
Warrant—0.0% | |||
Oil, Gas & Consumable Fuels—0.0% | |||
Nabors Industries Ltd.(4) | 486 | 4 | |
Total Warrant (Identified Cost $—) | 4 |
Par Value | ||
Convertible Bonds and Notes—25.6% | ||
Airlines—0.6% | ||
JetBlue Airways Corp. 144A 0.500%, 4/1/26(3) | $ 1,990 | 1,911 |
Southwest Airlines Co. 1.250%, 5/1/25 | 2,515 | 3,530 |
5,441 | ||
Auto Manufacturers—1.1% | ||
Ford Motor Co. 144A 0.000%, 3/15/26(3) | 2,730 | 3,229 |
NIO, Inc. 144A 0.000%, 2/1/26(3) | 2,615 | 2,317 |
Tesla, Inc. 2.000%, 5/15/24 | 300 | 5,382 |
10,928 | ||
Banks—0.3% | ||
BofA Finance LLC 0.125%, 9/1/22 | 1,520 | 1,784 |
See Notes to Schedule of Investments
3
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Banks—continued | |||
JPMorgan Chase Bank NA 144A 0.125%, 1/1/23(3) | $ 1,215 | $ 1,258 | |
3,042 | |||
Biotechnology—1.0% | |||
Bridgebio Pharma, Inc. 144A 2.250%, 2/1/29(3) | 1,895 | 1,691 | |
Exact Sciences Corp. | |||
0.375%, 3/15/27 | 1,330 | 1,504 | |
0.375%, 3/1/28 | 495 | 529 | |
Guardant Health, Inc. 144A 0.000%, 11/15/27(3) | 1,685 | 1,856 | |
Halozyme Therapeutics, Inc. 144A 0.250%, 3/1/27(3) | 2,330 | 2,061 | |
Insmed, Inc. 0.750%, 6/1/28 | 760 | 885 | |
Livongo Health, Inc. 0.875%, 6/1/25 | 635 | 923 | |
9,449 | |||
Commercial Services—1.3% | |||
Alarm.com Holdings, Inc. 144A 0.000%, 1/15/26(3) | 360 | 330 | |
Chegg, Inc. | |||
0.125%, 3/15/25 | 170 | 223 | |
0.000%, 9/1/26 | 2,920 | 2,727 | |
Shift4 Payments, Inc. | |||
144A 0.000%, 12/15/25(3) | 985 | 1,068 | |
144A 0.500%, 8/1/27(3) | 2,110 | 1,942 | |
Square, Inc. | |||
144A 0.000%, 5/1/26(3) | 1,930 | 2,260 | |
144A 0.250%, 11/1/27(3) | 3,330 | 4,023 | |
12,573 | |||
Computers—0.7% | |||
Lumentum Holdings, Inc. 0.500%, 12/15/26 | 2,275 | 2,474 | |
Pure Storage, Inc. 0.125%, 4/15/23 | 1,120 | 1,337 |
Par Value | Value | ||
Computers—continued | |||
Zscaler, Inc. 0.125%, 7/1/25 | $ 1,600 | $ 3,452 | |
7,263 | |||
Diversified Financial Services—0.6% | |||
Coinbase Global, Inc. 144A 0.500%, 6/1/26(3) | 2,680 | 3,179 | |
SoFi Technologies, Inc. 144A 0.000%, 10/15/26(3) | 2,335 | 2,732 | |
5,911 | |||
Energy-Alternate Sources—0.8% | |||
Enphase Energy, Inc. | |||
144A 0.000%, 3/1/26(3) | 1,355 | 1,466 | |
144A 0.000%, 3/1/28(3) | 2,035 | 2,281 | |
Plug Power, Inc. 3.750%, 6/1/25 | 250 | 1,915 | |
SolarEdge Technologies, Inc. 0.000%, 9/15/25 | 1,525 | 2,255 | |
7,917 | |||
Entertainment—0.6% | |||
DraftKings, Inc. 144A 0.000%, 3/15/28(3) | 2,960 | 2,581 | |
Live Nation Entertainment, Inc. 2.000%, 2/15/25 | 1,245 | 1,516 | |
Vail Resorts, Inc. 144A 0.000%, 1/1/26(3) | 2,045 | 2,246 | |
6,343 | |||
Equity Real Estate Investment Trusts (REITs)—0.2% | |||
Pebblebrook Hotel Trust 1.750%, 12/15/26 | 1,830 | 2,037 | |
Healthcare-Products—1.0% | |||
Envista Holdings Corp. 2.375%, 6/1/25 | 980 | 1,911 | |
Insulet Corp. 0.375%, 9/1/26 | 1,945 | 2,885 |
See Notes to Schedule of Investments
4
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Healthcare-Products—continued | |||
Novocure Ltd. 144A 0.000%, 11/1/25(3) | $ 1,295 | $ 1,319 | |
Omnicell, Inc. 0.250%, 9/15/25 | 1,380 | 2,564 | |
Repligen Corp. 0.375%, 7/15/24 | 590 | 1,493 | |
10,172 | |||
Healthcare-Services—0.5% | |||
Anthem, Inc. 2.750%, 10/15/42 | 405 | 2,494 | |
Oak Street Health, Inc. 144A 0.000%, 3/15/26(3) | 2,195 | 2,049 | |
4,543 | |||
Internet—6.2% | |||
Airbnb, Inc. 144A 0.000%, 3/15/26(3) | 4,355 | 4,264 | |
Booking Holdings, Inc. 0.750%, 5/1/25 | 1,130 | 1,676 | |
Etsy, Inc. | |||
0.125%, 9/1/27 | 2,560 | 3,785 | |
144A 0.250%, 6/15/28(3) | 2,460 | 3,142 | |
Expedia Group, Inc. 144A 0.000%, 2/15/26(3) | 2,985 | 3,223 | |
Mandiant, Inc. 0.875%, 6/1/24 | 1,505 | 1,579 | |
Match Group Financeco 2, Inc. 144A 0.875%, 6/15/26(3) | 2,805 | 5,096 | |
Okta, Inc. 0.375%, 6/15/26 | 2,255 | 2,820 | |
Opendoor Technologies, Inc. 144A 0.250%, 8/15/26(3) | 875 | 1,214 | |
Palo Alto Networks, Inc. 0.375%, 6/1/25 | 4,230 | 7,395 | |
Sea Ltd. 0.250%, 9/15/26 | 3,110 | 3,266 | |
Shopify, Inc. 0.125%, 11/1/25 | 1,885 | 2,392 | |
Snap, Inc. 144A 0.000%, 5/1/27(3) | 4,550 | 4,607 |
Par Value | Value | ||
Internet—continued | |||
Spotify USA, Inc. 144A 0.000%, 3/15/26(3) | $ 2,320 | $ 2,205 | |
Twitter, Inc. 144A 0.000%, 3/15/26(3) | 3,480 | 3,189 | |
Uber Technologies, Inc. 144A 0.000%, 12/15/25(3) | 3,220 | 3,098 | |
Wayfair, Inc. 0.625%, 10/1/25 | 2,540 | 2,502 | |
Wix.com Ltd. 0.000%, 8/15/25 | 1,690 | 1,574 | |
Zendesk, Inc. 0.625%, 6/15/25 | 1,205 | 1,418 | |
Zillow Group, Inc. 2.750%, 5/15/25 | 1,005 | 1,750 | |
60,195 | |||
Leisure Time—0.7% | |||
NCL Corp., Ltd. | |||
6.000%, 5/15/24 | 495 | 1,022 | |
5.375%, 8/1/25 | 865 | 1,441 | |
Royal Caribbean Cruises Ltd. | |||
4.250%, 6/15/23 | 2,015 | 2,718 | |
144A 2.875%, 11/15/23(3) | 1,330 | 1,661 | |
6,842 | |||
Machinery-Diversified—0.2% | |||
Middleby Corp. (The) 1.000%, 9/1/25 | 990 | 1,491 | |
Media—1.2% | |||
DISH Network Corp. | |||
3.375%, 8/15/26 | 1,760 | 1,793 | |
144A 0.000%, 12/15/25(3) | 1,970 | 2,261 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(3) | 1,195 | 1,243 | |
Liberty Media Corp. | |||
1.375%, 10/15/23 | 1,890 | 2,732 | |
144A 0.500%, 12/1/50(3) | 2,250 | 2,867 |
See Notes to Schedule of Investments
5
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Media—continued | |||
Liberty Media Corp-Liberty Formula One 1.000%, 1/30/23 | $ 245 | $ 373 | |
11,269 | |||
Mining—0.1% | |||
MP Materials Corp. 144A 0.250%, 4/1/26(3) | 1,230 | 1,286 | |
Oil, Gas & Consumable Fuels—0.7% | |||
EQT Corp. 1.750%, 5/1/26 | 1,685 | 2,634 | |
Pioneer Natural Resources Co. 0.250%, 5/15/25 | 2,100 | 3,711 | |
6,345 | |||
Pharmaceuticals—0.9% | |||
Dexcom, Inc. | |||
0.750%, 12/1/23 | 255 | 967 | |
0.250%, 11/15/25 | 4,275 | 5,457 | |
Jazz Investments I Ltd. 2.000%, 6/15/26 | 1,935 | 2,252 | |
8,676 | |||
Pipelines—0.4% | |||
Cheniere Energy, Inc. 4.250%, 3/15/45 | 4,200 | 3,578 | |
Real Estate—0.1% | |||
Redfin Corp. 0.000%, 10/15/25 | 805 | 820 | |
Retail—0.4% | |||
Burlington Stores, Inc. 2.250%, 4/15/25 | 1,550 | 2,221 | |
Dick’s Sporting Goods, Inc. 3.250%, 4/15/25 | 560 | 2,133 | |
4,354 | |||
Semiconductors—0.9% | |||
MACOM Technology Solutions Holdings, Inc. Class A 144A 0.250%, 3/15/26(3) | 710 | 778 |
Par Value | Value | ||
Semiconductors—continued | |||
Microchip Technology, Inc. 0.125%, 11/15/24 | $ 5,725 | $ 6,398 | |
Wolfspeed, Inc. 0.875%, 9/1/23 | 680 | 1,365 | |
8,541 | |||
Software—5.1% | |||
Akamai Technologies, Inc. | |||
0.125%, 5/1/25 | 1,900 | 2,327 | |
0.375%, 9/1/27 | 490 | 538 | |
Alteryx, Inc. 0.500%, 8/1/24 | 1,750 | 1,652 | |
Avalara, Inc. 144A 0.250%, 8/1/26(3) | 2,365 | 2,470 | |
Bentley Systems, Inc. | |||
144A 0.125%, 1/15/26(3) | 1,640 | 1,861 | |
144A 0.375%, 7/1/27(3) | 705 | 713 | |
Bill.com Holdings, Inc. 144A 0.000%, 4/1/27(3) | 3,010 | 3,218 | |
Blackline, Inc. 144A 0.000%, 3/15/26(3) | 775 | 790 | |
Cloudflare, Inc. 144A 0.000%, 8/15/26(3) | 3,320 | 4,179 | |
Coupa Software, Inc. 0.375%, 6/15/26 | 2,810 | 3,075 | |
Datadog, Inc. 0.125%, 6/15/25 | 1,610 | 3,049 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(3) | 1,970 | 2,074 | |
Five9, Inc. 0.500%, 6/1/25 | 1,115 | 1,492 | |
HubSpot, Inc. 0.375%, 6/1/25 | 1,090 | 3,139 | |
MicroStrategy, Inc. 144A 0.000%, 2/15/27(3) | 1,850 | 1,527 | |
MongoDB, Inc. 0.250%, 1/15/26 | 1,485 | 3,731 | |
Nutanix, Inc. 144A 0.250%, 10/1/27(3) | 1,280 | 1,209 | |
RingCentral, Inc. | |||
0.000%, 3/1/25 | 2,190 | 2,246 | |
0.000%, 3/15/26 | 520 | 506 | |
Splunk, Inc. | |||
0.500%, 9/15/23 | 670 | 836 | |
1.125%, 6/15/27 | 2,800 | 2,924 |
See Notes to Schedule of Investments
6
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Par Value | Value | ||
Software—continued | |||
Tyler Technologies, Inc. 144A 0.250%, 3/15/26(3) | $ 850 | $ 1,036 | |
Workday, Inc. 0.250%, 10/1/22 | 1,875 | 3,701 | |
Zynga, Inc. | |||
0.250%, 6/1/24 | 490 | 555 | |
144A 0.000%, 12/15/26(3) | 730 | 701 | |
49,549 | |||
Total Convertible Bonds and Notes (Identified Cost $223,455) | 248,565 | ||
Total Long-Term Investments—96.5% (Identified Cost $718,465) | 937,482 |
Shares | ||
Short-Term Investment—3.4% | ||
Money Market Mutual Fund—3.4% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(6) | 32,602,865 | 32,603 |
Total Short-Term Investment (Identified Cost $32,603) | 32,603 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—99.9% (Identified Cost $751,068) | 970,085 | |
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $169) | (279) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—99.9% (Identified Cost $750,899) | $969,806 | |
Other assets and liabilities, net—0.1% | 1,243 | |
NET ASSETS—100.0% | $971,049 |
Abbreviations: | |
LLC | Limited Liability Company |
NA | National Association |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | 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. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(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 October 31, 2021, these securities amounted to a value of $107,240 or 11.0% of net assets. |
(4) | Non-income producing. |
(5) | All or a portion of the security is segregated as collateral for written options. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 94% |
United Kingdom | 2 |
Cayman Islands | 1 |
Jersey | 1 |
Curaçao | 1 |
Ireland | 1 |
Total | 100% |
† % of total investments, net of written options, as of October 31, 2021. |
See Notes to Schedule of Investments
7
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
Open Written Options Contracts as of October 31, 2021 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Advanced Micro Device, Inc. | 245 | $3,430 | $140.00 | 11/19/21 | $(10) |
Align Technology, Inc. | 32 | 2,144 | 670.00 | 11/19/21 | (13) |
Crowdstrike Holdings, Inc. | 100 | 3,250 | 325.00 | 11/19/21 | (8) |
Darden Restaurants, Inc. | 85 | 1,318 | 155.00 | 11/19/21 | (4) |
Enphase Energy, Inc. | 120 | 3,180 | 265.00 | 11/19/21 | (30) |
Facebook, Inc. | 345 | 12,937 | 375.00 | 11/19/21 | (17) |
Intuitive Surgical, Inc. | 85 | 3,145 | 370.00 | 11/19/21 | (41) |
JPMorgan Chase & Co. | 270 | 4,725 | 175.00 | 11/19/21 | (33) |
Netflix, Inc. | 70 | 4,830 | 690.00 | 11/19/21 | (123) |
Total Written Options | $(279) | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options |
See Notes to Schedule of Investments
8
VIRTUS AllianzGI Equity & Convertible Income Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 2021
($ reported in thousands)
The following table summarizes the market value of the Fund’s investments as of October 31, 2021, 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, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $36 | $— | $— | $36 | |||
Convertible Bonds and Notes | 248,565 | — | 248,565 | — | |||
Equity Securities: | |||||||
Common Stocks | 629,186 | 629,186 | — | — | |||
Convertible Preferred Stocks | 59,691 | 54,162 | 5,529 | — | |||
Warrant | 4 | 4 | — | — | |||
Money Market Mutual Fund | 32,603 | 32,603 | — | — | |||
Total Investments, before Written Options | 970,085 | 715,955 | 254,094 | 36 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (279) | (279) | — | — | |||
Total Investments, Net of Written Options | $969,806 | $715,676 | $254,094 | $36 |
Securities held by the Fund with an end of period value of $36 were transferred from Level 2 to Level 3 due to a decrease in trading activities during the period.
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.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended October 31, 2021.
See Notes to Schedule of Investments
9
VIRTUS ALLIANZGI EQUITY & CONVERTIBLE INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 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
10
VIRTUS ALLIANZGI EQUITY & CONVERTIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
October 31, 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.
11