VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2021
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—43.6% | |||
Aerospace & Defense—1.2% | |||
Triumph Group, Inc. | |||
144A 8.875%, 6/1/24(1)(2)(3) | $ 1,722 | $ 1,886 | |
144A 6.250%, 9/15/24(1)(2) | 350 | 351 | |
2,237 | |||
Airlines—1.6% | |||
Delta Air Lines, Inc. 2.900%, 10/28/24(2)(3) | 3,000 | 3,023 | |
Auto Manufacturers—2.7% | |||
Ford Motor Co. 8.500%, 4/21/23 | 3,500 | 3,854 | |
Ford Motor Credit Co. LLC 3.087%, 1/9/23(2) | 1,250 | 1,266 | |
5,120 | |||
Building Materials—1.9% | |||
Koppers, Inc. 144A 6.000%, 2/15/25(1)(2) | 3,500 | 3,561 | |
Commercial Services—3.0% | |||
ADT Security Corp. (The) 4.125%, 6/15/23(2) | 3,000 | 3,085 | |
RR Donnelley & Sons Co. 7.000%, 2/15/22(2) | 2,500 | 2,512 | |
5,597 | |||
Containers & Packaging—1.7% | |||
Owens-Brockway Glass Container, Inc. 144A 5.875%, 8/15/23(1)(2)(3) | 3,000 | 3,120 | |
Diversified Financial Services—3.4% | |||
Navient Corp. 7.250%, 9/25/23(2)(3) | 3,000 | 3,225 | |
OneMain Finance Corp. 8.250%, 10/1/23(2) | 3,000 | 3,285 | |
6,510 | |||
Entertainment—1.6% | |||
Cedar Fair LP 5.375%, 6/1/24(2)(3) | 3,000 | 3,032 |
Par Value | Value | ||
Equity Real Estate Investment Trusts (REITs)—1.1% | |||
Service Properties Trust 4.350%, 10/1/24(2)(3) | $ 2,170 | $ 2,116 | |
Food & Beverage—1.6% | |||
Albertsons Cos., Inc. 144A 3.500%, 2/15/23(1)(2) | 3,000 | 3,027 | |
Healthcare-Services—2.6% | |||
HCA, Inc. 5.375%, 2/1/25(2) | 3,000 | 3,272 | |
Tenet Healthcare Corp. 4.625%, 7/15/24(2) | 1,716 | 1,731 | |
5,003 | |||
Internet—2.4% | |||
Netflix, Inc. 5.875%, 2/15/25(2)(3) | 4,000 | 4,499 | |
Leisure Time—1.7% | |||
Royal Caribbean Cruises Ltd. 144A 10.875%, 6/1/23(1)(2) | 3,000 | 3,262 | |
Lodging—1.9% | |||
Wynn Las Vegas LLC 144A 5.500%, 3/1/25(1)(2) | 3,500 | 3,505 | |
Media—5.6% | |||
CCO Holdings LLC 144A 4.000%, 3/1/23(1)(2)(3) | 3,000 | 3,002 | |
CSC Holdings LLC 5.250%, 6/1/24(2)(3) | 4,000 | 4,156 | |
DISH DBS Corp. 5.875%, 11/15/24(2)(3) | 3,285 | 3,323 | |
10,481 | |||
Oil, Gas & Consumable Fuels—3.9% | |||
Antero Resources Corp. 5.000%, 3/1/25(2)(3) | 3,000 | 3,015 | |
Occidental Petroleum Corp. 6.950%, 7/1/24(2) | 4,000 | 4,400 | |
7,415 | |||
See Notes to Schedule of Investments
1
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
Par Value | Value | ||
Telecommunications—5.7% | |||
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1)(3) | $ 4,000 | $ 4,070 | |
Lumen Technologies, Inc. 7.500%, 4/1/24(2)(3) | 3,000 | 3,255 | |
Sprint Corp. 7.125%, 6/15/24(2) | 3,000 | 3,362 | |
10,687 | |||
Total Corporate Bonds and Notes (Identified Cost $83,203) | 82,195 | ||
Leveraged Loans—30.2% | |||
Advertising—0.5% | |||
Advantage Sales & Marketing, Inc. Tranche B-1 (3 Month LIBOR + 4.50%) 5.250%, 10/28/27 (4) | 992 | 993 | |
Aerospace & Defense—0.8% | |||
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 2.340%, 12/9/25 (4) | 1,455 | 1,424 | |
Airlines—0.3% | |||
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/20/27 (4) | 500 | 525 | |
Auto Components—1.0% | |||
Adient US LLC Tranche B-1 (1 month LIBOR + 3.500%) 3.590%, 4/10/28 (4) | 998 | 994 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.090%, 10/1/25 (4) | 992 | 973 | |
1,967 | |||
Chemicals—0.5% | |||
Ecovyst Catalyst Technologies LLC (2 Months LIBOR + 2.750%) 3.250%, 6/9/28 (4) | 997 | 994 |
Par Value | Value | ||
Commercial Services—1.7% | |||
Allied Universal Holdco LLC (3 month LIBOR + 3.750%) 4.250%, 5/12/28 (4) | $ 1,000 | $ 991 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 3.750%, 6/30/28 (4) | 420 | 418 | |
Tranche C (1 Month LIBOR + 3.250%) 3.750%, 6/30/28 (4) | 79 | 79 | |
Travelport Finance (Luxembourg) S.a.r.l. First Lien (3 month LIBOR + 5.000%) 5.150%, 5/29/26 (4) | 980 | 826 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.340%, 3/31/28 (4) | 995 | 986 | |
3,300 | |||
Computers—1.8% | |||
Conduent Business Services LLC Tranche B (1 month LIBOR + 4.25%) 4.750%, 10/16/28 (4) | 1,000 | 997 | |
KBR, Inc. Tranche B (1 month LIBOR + 2.750%) 2.840%, 2/5/27 (4) | 1,011 | 1,009 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.630%, 8/28/26 (4) | 1,470 | 1,439 | |
3,445 | |||
Containers & Packaging—0.3% | |||
Pactiv Evergreen Group Holdings, Inc. Tranche B-3 (1 month LIBOR + 3.50%) 4.000%, 9/24/28 (4) | 500 | 497 |
See Notes to Schedule of Investments
2
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
Par Value | Value | ||
Diversified Financial Services—0.4% | |||
Blucora, Inc. (3 month LIBOR + 4.000%) 5.000%, 5/22/24 (4) | $ 742 | $ 740 | |
Entertainment—3.3% | |||
AMC Entertainment Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 3.090%, 4/22/26 (4) | 975 | 874 | |
Lions Gate Capital Holdings LLC Tranche B (1 month LIBOR + 2.250%) 2.340%, 3/24/25 (4) | 1,219 | 1,200 | |
Penn National Gaming, Inc . Tranche B-1 (1 Month LIBOR + 2.250%) 3.000%, 10/15/25 (4) | 1,496 | 1,489 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.840%, 8/14/24 (4) | 963 | 954 | |
Stars Group Holdings B.V. 2021 (3 month LIBOR + 2.250%) 0.000%, 7/21/26 (4)(5) | 1,630 | 1,617 | |
6,134 | |||
Environmental Services—0.5% | |||
GFL Environmental, Inc. 2020 (3 month LIBOR + 3.000%) 0.000%, 5/30/25 (4)(5) | 1,000 | 999 | |
Healthcare-Products—0.8% | |||
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.000%) 3.080%, 6/30/25 (4) | 1,556 | 1,546 | |
Healthcare-Services—0.1% | |||
Aveanna Healthcare LLC | |||
(1 month LIBOR + 3.750%) 0.000%, 7/17/28 (4)(5) | 50 | 50 |
Par Value | Value | ||
Healthcare-Services—continued | |||
2021, First Lien (1 month LIBOR + 3.750%) 4.250%, 7/17/28 (4) | $ 219 | $ 217 | |
267 | |||
Internet—1.2% | |||
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.840%, 2/15/24 (4) | 1,209 | 1,195 | |
Match Group, Inc. Tranche B-1 (3 month LIBOR + 1.750%) 1.910%, 2/13/27 (4) | 1,000 | 981 | |
2,176 | |||
Leisure Time—0.5% | |||
Callaway Golf Co. (1 month LIBOR + 4.500%) 4.590%, 1/2/26 (4) | 915 | 919 | |
Lodging—1.9% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 2.840%, 12/23/24 (4) | 1,458 | 1,442 | |
Hilton Grand Vacations Borrower LLC (1 month LIBOR + 3.000%) 3.500%, 8/2/28 (4) | 1,250 | 1,238 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 (4) | 934 | 902 | |
3,582 | |||
Machinery-Diversified—0.8% | |||
Gardner Denver, Inc. Tranche B-1 (1 month LIBOR + 1.750%) 1.840%, 3/1/27 (4) | 1,601 | 1,577 |
See Notes to Schedule of Investments
3
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
Par Value | Value | ||
Media—5.5% | |||
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.850%, 2/1/27 (4) | $ 997 | $ 985 | |
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.340%, 1/15/26 (4) | 1,228 | 1,202 | |
DIRECTV Financing LLC (3 month LIBOR + 5.000%) 5.750%, 8/2/27 (4) | 1,000 | 997 | |
Gray Television, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.340%, 2/7/24 (4) | 1,432 | 1,420 | |
Meredith Corp. Tranche B-2 (1 Month LIBOR + 4.750%) 4.750%, 1/31/25 (4) | 1,247 | 1,245 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.590%, 9/18/26 (4) | 1,312 | 1,302 | |
Sinclair Television Group, Inc. Tranche B-3 (1 month LIBOR + 3.000%) 3.100%, 4/1/28 (4) | 1,247 | 1,218 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 2.590%, 1/31/28 (4) | 1,500 | 1,479 | |
WideOpenWest Finance LLC Tranche B (1 month LIBOR + 3.250%) 4.250%, 8/18/23 (4) | 485 | 483 | |
10,331 | |||
Par Value | Value | ||
Metal Fabricate/Hardware—0.3% | |||
Advanced Drainage Systems, Inc. (1 month LIBOR + 2.250%) 2.380%, 7/31/26 (4) | $ 623 | $ 621 | |
Oil, Gas & Consumable Fuels—0.0% | |||
Lealand Finance Co. B.V. (1 month LIBOR + 4.000%) 4.000%, 6/30/25 (4) | 168 | 72 | |
Pharmaceuticals—1.4% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.090%, 6/2/25 (4) | 729 | 722 | |
HLF Financing SaRL LLC Tranche B (1 month LIBOR + 2.500%) 2.590%, 8/18/25 (4) | 890 | 883 | |
Horizon Therapeutics USA, Inc. Tranche B-2 (1 Month LIBOR + 1.750%) 2.250%, 3/15/28 (4) | 995 | 989 | |
2,594 | |||
Retail—2.4% | |||
Burlington Coat Factory Warehouse Corp. Tranche B-6 (1 month LIBOR + 2.000%) 2.100%, 6/24/28 (4) | 859 | 854 | |
CWGS Group LLC Tranche B (1 month LIBOR + 2.500%) 3.250%, 6/3/28 (4) | 992 | 983 | |
Petco Health & Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 (4) | 1,174 | 1,166 |
See Notes to Schedule of Investments
4
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
Par Value | Value | ||
Retail—continued | |||
RH (1 month LIBOR + 3.00%) 0.000%, 10/20/28 (4)(5) | $ 1,500 | $ 1,490 | |
4,493 | |||
Semiconductors—0.3% | |||
Cohu, Inc. Tranche B (1 Month LIBOR + 3.000%) 3.090%, 10/1/25 (4) | 498 | 493 | |
Software—1.6% | |||
Boxer Parent Co., Inc. 2021 (3 month LIBOR + 3.750%) 3.880%, 10/2/25 (4) | 878 | 868 | |
Camelot US Acquisition I Co. (1 month LIBOR + 3.000%) 3.090%, 10/30/26 (4) | 1,200 | 1,189 | |
Rackspace Technology Global, Inc. Tranche B (3 month LIBOR + 2.750%) 3.500%, 2/15/28 (4) | 894 | 880 | |
2,937 | |||
Telecommunications—2.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.340%, 3/15/27 (4) | 983 | 962 | |
Ciena Corp. 2020 (1 Month LIBOR + 1.750%) 1.840%, 9/26/25 (4) | 990 | 989 | |
Commscope, Inc. (1 month LIBOR + 3.250%) 3.340%, 4/6/26 (4) | 1,474 | 1,434 | |
Frontier Communications Co. Tranche B (3 month LIBOR + 3.750%) 4.500%, 5/1/28 (4) | 997 | 996 | |
4,381 | |||
Total Leveraged Loans (Identified Cost $57,672) | 57,007 |
Shares | Value | ||
Common Stocks—0.7% | |||
Banks—0.7% | |||
CCF Holdings LLC(6)(7) | 1,369,231 | $ 1,054 | |
CCF Holdings LLC Class M(6)(7) | 293,320 | 226 | |
1,280 | |||
Construction & Engineering—0.0% | |||
McDermott International Ltd.(7) | 71,796 | 29 | |
Total Common Stocks (Identified Cost $3,272) | 1,309 | ||
Warrant—0.1% | |||
Banks—0.1% | |||
CCF Holdings LLC(6)(7) | 485,227 | 252 | |
Total Warrant (Identified Cost $—) | 252 |
Par Value | ||
Convertible Bonds and Notes—55.1% | ||
Auto Manufacturers—5.5% | ||
NIO, Inc. 144A 0.000%, 2/1/26(1) | $ 11,800 | 10,444 |
Biotechnology—9.4% | ||
Insmed, Inc. 1.750%, 1/15/25(2) | 5,500 | 5,670 |
Ionis Pharmaceuticals, Inc. 0.125%, 12/15/24(2)(3) | 8,000 | 7,061 |
Ligand Pharmaceuticals, Inc. 0.750%, 5/15/23(2) | 5,000 | 5,100 |
17,831 | ||
Entertainment—0.7% | ||
Live Nation Entertainment, Inc. 2.000%, 2/15/25(2) | 1,000 | 1,230 |
See Notes to Schedule of Investments
5
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
Par Value | Value | ||
Equity Real Estate Investment Trusts (REITs)—8.9% | |||
Blackstone Mortgage Trust, Inc. | |||
4.375%, 5/5/22(2) | $ 2,000 | $ 2,003 | |
4.750%, 3/15/23(2)(3) | 5,000 | 5,068 | |
Redwood Trust, Inc. 5.625%, 7/15/24 | 5,000 | 5,130 | |
Two Harbors Investment Corp. 6.250%, 1/15/22 | 4,495 | 4,506 | |
16,707 | |||
Healthcare-Products—2.1% | |||
NuVasive, Inc. 1.000%, 6/1/23 | 4,000 | 3,953 | |
Internet—3.3% | |||
Pinduoduo, Inc. 0.000%, 12/1/25 | 7,000 | 6,233 | |
Media—5.1% | |||
DISH Network Corp. 2.375%, 3/15/24(2) | 7,500 | 7,003 | |
Liberty Broadband Corp. 144A 2.750%, 9/30/50(1)(2) | 2,500 | 2,554 | |
9,557 | |||
Oil, Gas & Consumable Fuels—2.5% | |||
Helix Energy Solutions Group, Inc. 4.250%, 5/1/22 | 3,500 | 3,374 | |
Oil States International, Inc. 1.500%, 2/15/23 | 1,500 | 1,385 | |
4,759 | |||
Pharmaceuticals—2.0% | |||
Jazz Investments I Ltd. 1.500%, 8/15/24(2) | 3,855 | 3,809 | |
Software—15.6% | |||
Alteryx, Inc. 0.500%, 8/1/24(2) | 7,000 | 6,630 |
Par Value | Value | ||
Software—continued | |||
Benefitfocus, Inc. 1.250%, 12/15/23 | $ 3,000 | $ 2,877 | |
DocuSign, Inc. 144A 0.000%, 1/15/24(1)(2)(3) | 4,000 | 4,056 | |
i3 Verticals LLC 1.000%, 2/15/25 | 9,000 | 7,936 | |
New Relic, Inc. 0.500%, 5/1/23(2) | 2,500 | 2,967 | |
PROS Holdings, Inc. 1.000%, 5/15/24(3) | 4,000 | 3,768 | |
RingCentral, Inc. 0.000%, 3/1/25(2) | 1,160 | 1,158 | |
29,392 | |||
Total Convertible Bonds and Notes (Identified Cost $106,024) | 103,915 | ||
Total Long-Term Investments—129.7% (Identified Cost $250,171) | 244,678 |
Shares | ||
Short-Term Investment—8.1% | ||
Money Market Mutual Fund—8.1% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(8) | 15,321,290 | 15,321 |
Total Short-Term Investment (Identified Cost $15,321) | 15,321 | |
See Notes to Schedule of Investments
6
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ reported in thousands)
Shares | Value | ||
Securities Lending Collateral—0.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(8)(9) | 1,315,198 | $ 1,315 | |
Total Securities Lending Collateral (Identified Cost $1,315) | 1,315 | ||
TOTAL INVESTMENTS—138.5% (Identified Cost $266,807) | $261,314 | ||
Other assets and liabilities, net—(38.5)% | (72,649) | ||
NET ASSETS—100.0% | $188,665 |
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 $42,838 or 22.7% of net assets. |
(2) | All or a portion of securities is segregated as collateral for borrowings. |
(3) | All or a portion of security is on loan pursuant to the Liquidity Facility. |
(4) | Variable rate security. Rate disclosed is as of November 30, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | This loan will settle after November 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | Non-income producing. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(9) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 88% |
Cayman Islands | 6 |
Bermuda | 2 |
Luxembourg | 1 |
Liberia | 1 |
Netherlands | 1 |
Canada | 1 |
Total | 100% |
† % of total investments as of November 30, 2021. |
See Notes to Schedule of Investments
7
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ 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 | $82,195 | $— | $82,195 | $— | |||
Leveraged Loans | 57,007 | — | 57,007 | — | |||
Convertible Bonds and Notes | 103,915 | — | 103,915 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,309 | 29 | — | 1,280 | |||
Warrant | 252 | — | — | 252 | |||
Securities Lending Collateral | 1,315 | 1,315 | — | — | |||
Money Market Mutual Fund | 15,321 | 15,321 | — | — | |||
Total Investments | $261,314 | $16,665 | $243,117 | $1,532 |
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.
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 | Warrants | |||||
Investments in Securities | |||||||||
Balance as of February 28, 2021: | $ 2,880 | $ 2,554 | $ 326 | $ —(a) | $ — | ||||
Accrued discount/(premium) | 3 | 3 | — | — | — | ||||
Change in unrealized appreciation (depreciation)(b) | 892 | 1,974 | — | (1,334) | 252 | ||||
Purchases | 2,627 | — | 13 | 2,614(c) | — | ||||
Sales(d) | (4,870) | (4,531)(c) | (339) | — | — | ||||
Balance as of November 30, 2021 | $ 1,532 | $ — | $ — | $ 1,280 | $ 252 |
(a) Amount is less than $500.
(b) The change in unrealized appreciation (depreciation) on investments still held at November 30, 2021, was $(1,081).
(c) Includes securities issued or removed due to corporate actions.
(d) Includes paydowns on securities.
See Notes to Schedule of Investments
8
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
November 30, 2021
($ 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 | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $1,054 | Market and Company Comparables | EV Multiples | 1.11x (0.33x - 1.98x) 0.57x (0.20x - 0.86x) | ||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $226 | Market and Company Comparables | EV Multiples | 1.11x (0.33x - 1.98x) 0.57x (0.20x - 0.86x) | ||||
Illiquidity Discount | 20% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $252 | Market and Company Comparables | EV Multiples | 1.11x (0.33x - 1.98x) 0.57x (0.20x - 0.86x) | ||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 55.34% |
See Notes to Schedule of Investments
9
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
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
10
VIRTUS AllianzGI Convertible & Income 2024 Target Term Fund
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.
11