VIRTUS CONVERTIBLE & INCOME 2024 TARGET TERM FUND
SCHEDULE OF INVESTMENTS (Unaudited)
OCTOBER 31, 2022
($ reported in thousands) | ||||
Par Value | Value | |||
CONVERTIBLE BONDS AND NOTES-60.3% | ||||
Auto Manufacturers-5.7% | ||||
NIO, Inc. | ||||
0.000%, 2/1/26 | $ 11,800 | $ 9,411 | ||
Biotechnology-10.5% | ||||
Insmed, Inc. | ||||
1.750%, 1/15/25(1) | 5,500 | 5,024 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.125%, 12/15/24(1) | 8,000 | 7,350 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.750%, 5/15/23 | 5,000 | 4,841 | ||
17,215 | ||||
Diversified Financial Services-2.4% | ||||
Hannon Armstrong Sustainable Infrastructure Capital, | ||||
Inc. | ||||
0.000%, 8/15/23 | 4,220 | 4,001 | ||
Equity Real Estate Investment Trusts (REITs)-2.6% | ||||
Redwood Trust, Inc. | ||||
5.625%, 7/15/24 | 5,000 | 4,275 | ||
Healthcare-Products-3.1% | ||||
NanoString Technologies, Inc. | ||||
2.625%, 3/1/25 | 1,500 | 1,247 | ||
NuVasive, Inc. | ||||
1.000%, 6/1/23(1) | 4,000 | 3,895 | ||
5,142 | ||||
Internet-6.2% | ||||
Pinduoduo, Inc. | ||||
0.000%, 12/1/25 | 7,000 | 6,283 | ||
Wayfair, Inc. | ||||
1.125%, 11/1/24 | 4,500 | 3,915 | ||
10,198 | ||||
Media-8.6% | ||||
DISH Network Corp. | ||||
2.375%, 3/15/24(1) | 7,500 | 6,802 | ||
Liberty Broadband Corp. 144A | ||||
2.750%, 9/30/50(1)(2) | 7,500 | 7,256 | ||
14,058 | ||||
Oil, Gas & Consumable Fuels-0.9% | ||||
Oil States International, Inc. | ||||
1.500%, 2/15/23 | 1,500 | 1,440 | ||
Pharmaceuticals-2.2% | ||||
Jazz Investments I Ltd. | ||||
1.500%, 8/15/24(1) | 3,855 | 3,686 | ||
Software-18.1% | ||||
Alteryx, Inc. | ||||
0.500%, 8/1/24(1) | 7,000 | 6,326 | ||
Benefitfocus, Inc. | ||||
1.250%, 12/15/23 | 3,000 | 2,892 | ||
DocuSign, Inc. | ||||
0.000%, 1/15/24(1)(3) | 4,000 | 3,754 |
Par Value | Value | ||||||
Software-continued | |||||||
Everbridge, Inc. | |||||||
0.125%, 12/15/24(1) | $ | 4,000 | $ 3,495 | ||||
i3 Verticals LLC | |||||||
1.000%, 2/15/25 | 9,000 | 7,807 | |||||
LivePerson, Inc. | |||||||
0.750%, 3/1/24 | 1,000 | 926 | |||||
PROS Holdings, Inc. | |||||||
1.000%, 5/15/24(3) | 4,000 | 3,686 | |||||
RingCentral, Inc. | |||||||
0.000%, 3/1/25(1) | 1,160 | 965 | |||||
29,851 | |||||||
TOTAL CONVERTIBLE BONDS AND NOTES | |||||||
(Identified Cost $107,318) | 99,277 | ||||||
CORPORATE BONDS AND NOTES-45.7% | |||||||
Aerospace & Defense-2.1% | |||||||
Triumph Group, Inc. | |||||||
144A 8.875%, 6/1/24(1)(2) | 1,722 | 1,741 | |||||
144A 6.250%, 9/15/24(2) | 1,850 | 1,710 | |||||
3,451 | |||||||
Airlines-2.3% | |||||||
Delta Air Lines, Inc. | |||||||
2.900%, 10/28/24(1)(3) | 4,000 | 3,780 | |||||
Auto Manufacturers-0.3% | |||||||
Ford Motor Credit Co. LLC | |||||||
4.063%, 11/1/24(1)(3) | 500 | 479 | |||||
Building Materials-1.9% | |||||||
Koppers, Inc. 144A | |||||||
6.000%, 2/15/25(1)(2) | 3,420 | 3,061 | |||||
Commercial Services-1.8% | |||||||
ADT Security Corp. (The) | |||||||
4.125%, 6/15/23(1) | 3,000 | 2,970 | |||||
Containers & Packaging-3.1% | |||||||
Owens-Brockway Glass Container, Inc. | |||||||
144A 5.875%, 8/15/23(1)(2)(3) | 2,610 | 2,597 | |||||
144A 5.375%, 1/15/25(1)(2) | 2,610 | 2,466 | |||||
5,063 | |||||||
Diversified Financial Services-3.6% | |||||||
Navient Corp. | |||||||
7.250%, 9/25/23(1) | 2,800 | 2,808 | |||||
OneMain Finance Corp. | |||||||
8.250%, 10/1/23(1) | 3,000 | 3,048 | |||||
5,856 | |||||||
Entertainment-4.7% | |||||||
Live Nation Entertainment, Inc. 144A | |||||||
4.875%, 11/1/24(1)(2) | 4,000 | 3,885 |
See Notes to Schedule of Investments
1
VIRTUS CONVERTIBLE & INCOME 2024 TARGET TERM FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
OCTOBER 31, 2022
($ reported in thousands) | ||||||
Par Value | Value | |||||
Entertainment-continued | ||||||
Six Flags Entertainment Corp. 144A | ||||||
4.875%, 7/31/24(1)(2)(3) | $ | 4,000 | $ 3,873 | |||
7,758 | ||||||
Equity Real Estate Investment Trusts (REITs)-2.3% | ||||||
Service Properties Trust | ||||||
4.350%, 10/1/24(1) | 4,170 | 3,829 | ||||
Food & Beverage-2.4% | ||||||
Albertsons Cos., Inc. 144A | ||||||
3.500%, 2/15/23(1)(2) | 4,000 | 3,970 | ||||
Healthcare-Services-4.0% | ||||||
HCA, Inc. | ||||||
5.375%, 2/1/25(1) | 3,000 | 2,962 | ||||
Tenet Healthcare Corp. | ||||||
4.625%, 7/15/24(1) | 3,716 | 3,623 | ||||
6,585 | ||||||
Internet-2.4% | ||||||
Netflix, Inc. | ||||||
5.875%, 2/15/25(1) | 4,000 | 4,020 | ||||
Leisure Time-1.6% | ||||||
NCL Corp. Ltd. 144A | ||||||
3.625%, 12/15/24(1)(2) | 3,000 | 2,603 | ||||
Lodging-2.0% | ||||||
Wynn Las Vegas LLC 144A | ||||||
5.500%, 3/1/25(1)(2)(3) | 3,500 | 3,313 | ||||
Media-6.9% | ||||||
CCO Holdings LLC 144A | ||||||
4.000%, 3/1/23(1)(2) | 4,000 | 3,970 | ||||
CSC Holdings LLC | ||||||
5.250%, 6/1/24(1)(3) | 4,000 | 3,880 | ||||
DISH DBS Corp. | ||||||
5.875%, 11/15/24(1) | 3,785 | 3,489 | ||||
11,339 | ||||||
Oil, Gas & Consumable Fuels-2.5% | ||||||
Occidental Petroleum Corp. | ||||||
6.950%, 7/1/24(1) | 4,000 | 4,099 | ||||
Telecommunications-1.8% | ||||||
Sprint Corp. | ||||||
7.125%, 6/15/24(1) | 3,000 | 3,033 | ||||
TOTAL CORPORATE BONDS AND NOTES | ||||||
(Identified Cost $80,334) | 75,209 | |||||
LEVERAGED LOANS-32.8% | ||||||
Advertising-0.5% | ||||||
Advantage Sales & Marketing, Inc. Tranche B-1(2-3 | ||||||
month LIBOR + 4.500%) | ||||||
8.284%, 10/28/27 (4) | 982 | 852 |
Par Value | Value | ||||||
Airlines-0.3% | |||||||
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) | |||||||
7.993%, 10/20/27 (4) | $ | 500 | $ | 504 | |||
Auto Components-1.2% | |||||||
Adient U.S. LLC Tranche B-1 (1 month LIBOR + | |||||||
3.250%) | |||||||
7.004%, 4/10/28 (4) | 988 | 953 | |||||
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) | |||||||
6.206%, 10/1/25 (4) | 982 | 977 | |||||
1,930 | |||||||
Chemicals-0.6% | |||||||
Ecovyst Catalyst Technologies LLC (3 month LIBOR + | |||||||
2.500%) | |||||||
6.915%, 6/9/28 (4) | 985 | 950 | |||||
Commercial Services-3.1% | |||||||
Allied Universal Holdco LLC (1 month LIBOR + 3.750%) | |||||||
7.504%, 5/12/28 (4) | 990 | 897 | |||||
Hertz Corp. (The) | |||||||
Tranche B (1 month LIBOR + 3.250%) | |||||||
7.010%, 6/30/28 (4) | 1,251 | 1,204 | |||||
Tranche C (1 month LIBOR + 3.250%) | |||||||
7.010%, 6/30/28 (4) | 239 | 230 | |||||
R1 RCM, Inc. Tranche B (1 month Term SOFR + | |||||||
3.000%) | |||||||
6.729%, 6/21/29 (4) | 1,170 | 1,159 | |||||
Travelport Finance (Luxembourg) S.a.r.l. First Lien (3 | |||||||
month LIBOR + 5.000%) | |||||||
5.220%, 5/29/26 (4)(5) | 970 | 727 | |||||
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) | |||||||
6.004%, 3/31/28 (4) | 985 | 964 | |||||
5,181 | |||||||
Computers-2.7% | |||||||
Conduent Business Services LLC Tranche B (1 month | |||||||
LIBOR + 4.250%) | |||||||
8.004%, 10/16/28 (4) | 992 | 939 | |||||
KBR, Inc. Tranche B (1 month LIBOR + 2.750%) | |||||||
6.504%, 2/5/27 (4) | 1,001 | 993 | |||||
McAfee Corp. Tranche B-1 (1 month Term SOFR + | |||||||
3.750%) | |||||||
6.870%, 3/1/29 (4) | 1,197 | 1,093 | |||||
NCR Corp. (3 month LIBOR + 2.500%) | |||||||
6.920%, 8/28/26 (4) | 1,459 | 1,397 | |||||
4,422 | |||||||
Containers & Packaging-0.9% | |||||||
Pactiv Evergreen Group Holdings, Inc. Tranche B-3 (1 | |||||||
month LIBOR + 3.500%) | |||||||
7.254%, 9/25/28 (4) | 1,487 | 1,441 | |||||
Cosmetics & Personal Care-0.6% | |||||||
Coty, Inc. Tranche B (1 month LIBOR + 2.250%) | |||||||
5.448%, 4/7/25 (4) | 995 | 971 | |||||
Diversified Financial Services-0.4% | |||||||
Blucora, Inc. (3 month LIBOR + 4.000%) | |||||||
7.674%, 5/22/24 (4) | 694 | 687 |
See Notes to Schedule of Investments
2
VIRTUS CONVERTIBLE & INCOME 2024 TARGET TERM FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
OCTOBER 31, 2022
($ reported in thousands) | ||||||
Par Value | Value | |||||
Entertainment-1.4% | ||||||
AMC Entertainment Holdings, Inc. Tranche B-1 (1 | ||||||
month LIBOR + 3.000%) | ||||||
6.314%, 4/22/26 (4) | $ | 965 | $ | 683 | ||
Stars Group Holdings B.V. 2021 (3 month LIBOR + | ||||||
2.250%) | ||||||
5.892%, 7/21/26 (4) | 1,614 | 1,583 | ||||
2,266 | ||||||
Environmental Services-0.6% | ||||||
GFL Environmental, Inc. 2020 (3 month LIBOR + | ||||||
3.000%) | ||||||
7.415%, 5/30/25 (4) | 990 | 984 | ||||
Food Service-0.9% | ||||||
Aramark Services, Inc. Tranche B-5 (1 month LIBOR + | ||||||
2.500%) | ||||||
6.254%, 4/6/28 (4) | 1,500 | 1,475 | ||||
Internet-1.3% | ||||||
Go Daddy Operating Co. LLC Tranche B-2 (1 month | ||||||
LIBOR + 1.750%) | ||||||
5.504%, 2/15/24 (4) | 1,192 | 1,183 | ||||
Match Group, Inc. Tranche B-1 (3 month LIBOR + | ||||||
1.750%) | ||||||
4.692%, 2/13/27 (4) | 1,000 | 978 | ||||
2,161 | ||||||
Leisure Time-1.1% | ||||||
Callaway Golf Co. (1 month LIBOR + 4.500%) | ||||||
8.254%, 1/2/26 (4) | 905 | 902 | ||||
Carnival Corp. 2021, Tranche B (6 month LIBOR + | ||||||
3.250%) | ||||||
6.127%, 10/18/28 (4) | 995 | 910 | ||||
1,812 | ||||||
Lodging-2.0% | ||||||
Caesars Resort Collection LLC Tranche B (1 month | ||||||
LIBOR + 2.750%) | ||||||
6.504%, 12/23/24 (4) | 1,169 | 1,155 | ||||
Hilton Grand Vacations Borrower LLC (1 month LIBOR | ||||||
+ 3.000%) | ||||||
6.754%, 8/2/28 (4) | 1,238 | 1,217 | ||||
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) | ||||||
6.500%, 4/29/24 (4) | 899 | 875 | ||||
3,247 | ||||||
Machinery-Diversified-0.9% | ||||||
Gardner Denver, Inc. Tranche B-1 (1 month Term SOFR | ||||||
+ 1.850%) | ||||||
5.579%, 3/1/27 (4) | 1,585 | 1,548 | ||||
Media-3.9% | ||||||
Charter Communications Operating LLC Tranche B-2 (1 | ||||||
month LIBOR + 1.750%) | ||||||
5.510%, 2/1/27 (4) | 987 | 969 | ||||
DIRECTV Financing LLC (1 month LIBOR + 5.000%) | ||||||
8.754%, 8/2/27 (4) | 910 | 865 |
Par Value | Value | |||||
Media-continued | ||||||
Gray Television, Inc. Tranche B-2 (1 month LIBOR + | ||||||
2.500%) | ||||||
5.615% - 5.628%, 2/7/24 (4) | $ | 1,071 | $ 1,070 | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month | ||||||
LIBOR + 2.500%) | ||||||
6.254%, 9/18/26 (4) | 853 | 843 | ||||
Sinclair Television Group, Inc. Tranche B-3 (1 month | ||||||
LIBOR + 3.000%) | ||||||
6.760%, 4/1/28 (4) | 1,234 | 1,145 | ||||
Virgin Media Bristol LLC Tranche N (1 month LIBOR + | ||||||
2.500%) | ||||||
5.912%, 1/31/28 (4) | 1,500 | 1,468 | ||||
6,360 | ||||||
Metal Fabricate/Hardware-0.4% | ||||||
Advanced Drainage Systems, Inc. (1 month Term SOFR | ||||||
+ 2.350%) | ||||||
5.370%, 7/31/26 (4) | 613 | 613 | ||||
Miscellaneous Manufacturing-0.6% | ||||||
Gates Global LLC Tranche B-3 (1 month LIBOR + | ||||||
2.500%) | ||||||
6.254%, 3/31/27 (4) | 995 | 965 | ||||
Oil, Gas & Consumable Fuels-0.1% | ||||||
Lealand Finance Co. B.V. (1 month LIBOR + 4.000%) | ||||||
7.754%, 6/30/25 (4) | 173 | 90 | ||||
Pharmaceuticals-1.4% | ||||||
Horizon Therapeutics USA, Inc. Tranche B-2 (1 month | ||||||
LIBOR + 1.750%) | ||||||
5.375%, 3/15/28 (4) | 985 | 962 | ||||
Organon & Co. (3 month LIBOR + 3.000%) | ||||||
6.188%, 6/2/28 (4) | 1,448 | 1,410 | ||||
2,372 | ||||||
Retail-3.4% | ||||||
Academy Ltd. (1 month LIBOR + 3.750%) | ||||||
6.878%, 11/5/27 (4) | 993 | 977 | ||||
Burlington Coat Factory Warehouse Corp. Tranche B-6 | ||||||
(1 month LIBOR + 2.000%) | ||||||
5.760%, 6/24/28 (4) | 1,347 | 1,293 | ||||
CWGS Group LLC (1 month LIBOR + 2.500%) | ||||||
5.839% - 6.254%, 6/3/28 (4) | 983 | 873 | ||||
Petco Health & Wellness Co., Inc. First Lien (3 month | ||||||
LIBOR + 3.250%) | ||||||
6.924%, 3/3/28 (4) | 1,162 | 1,113 | ||||
Restoration Hardware, Inc. (1 month LIBOR + 2.500%) | ||||||
6.254%, 10/20/28 (4) | 1,485 | 1,386 | ||||
5,642 | ||||||
Semiconductors-0.3% | ||||||
Cohu, Inc. Tranche B (3 month LIBOR + 3.000%) | ||||||
6.371%, 10/1/25 (4) | 429 | 424 | ||||
Software-1.7% | ||||||
BMC Software 2021 (1 month LIBOR + 3.750%) | ||||||
7.504%, 10/2/25 (4) | 867 | 832 |
See Notes to Schedule of Investments
3
VIRTUS CONVERTIBLE & INCOME 2024 TARGET TERM FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
OCTOBER 31, 2022
($ reported in thousands) | ||||||||||
Par Value | Value | |||||||||
Software-continued | ||||||||||
Camelot U.S. Acquisition I Co. (1 month LIBOR + | ||||||||||
3.000%) | ||||||||||
6.754%, 10/30/26 (4) | $ | 1,061 | $ 1,041 | |||||||
Ceridian HCM Holding, Inc. (1 month LIBOR + 2.500%) | ||||||||||
6.254%, 4/30/25 (4) | 995 | 960 | ||||||||
2,833 | ||||||||||
Telecommunications-2.5% | ||||||||||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) | ||||||||||
6.004%, 3/15/27 (4) | 972 | 904 | ||||||||
Ciena Corp. 2020 (1 month LIBOR + 1.750%) | ||||||||||
5.239%, 9/26/25 (4) | 985 | 978 | ||||||||
Commscope, Inc. (1 month LIBOR + 3.250%) | ||||||||||
7.004%, 4/6/26 (4) | 1,459 | 1,388 | ||||||||
Frontier Communications Corp. Tranche B (3 month | ||||||||||
LIBOR + 3.750%) | ||||||||||
7.438%, 5/1/28 (4) | 987 | 931 | ||||||||
4,201 | ||||||||||
TOTAL LEVERAGED LOANS | ||||||||||
(Identified Cost $56,296) | 53,931 | |||||||||
Shares | ||||||||||
COMMON STOCKS-0.3% | ||||||||||
Banks-0.3% | ||||||||||
CCF Holdings LLC (5)(6) | 1,369,231 | 315 | ||||||||
CCF Holdings LLC Class M(5)(6) | 293,320 | 67 | ||||||||
382 | ||||||||||
Construction & Engineering-0.0% | ||||||||||
McDermott International Ltd.(6) | 71,796 | 43 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Identified Cost $3,272) | 425 | |||||||||
WARRANT-0.0% | ||||||||||
Banks-0.0% | ||||||||||
CCF Holdings LLC(5)(6) | 485,227 | 34 | ||||||||
TOTAL WARRANT | ||||||||||
(Identified Cost $-) | 34 | |||||||||
TOTAL LONG-TERMINVESTMENTS-139.1% | ||||||||||
(Identified Cost $247,220) | 228,876 | |||||||||
SHORT-TERMINVESTMENT-2.7% | ||||||||||
Money Market Mutual Fund-2.7% | ||||||||||
BlackRock Liquidity FedFund - Institutional Shares | ||||||||||
(seven-day effective yield 2.872%)(7) | 4,539,223 | 4,539 | ||||||||
TOTAL SHORT-TERM INVESTMENT | ||||||||||
(Identified Cost $4,539) | 4,539 |
Shares | Value | ||||||
SECURITIES LENDING COLLATERAL-0.6% | |||||||
Dreyfus Government Cash Management Fund - | |||||||
Institutional Shares (seven-day effective yield | |||||||
2.912%)(7)(8) | 1,009,716 | $ | 1,010 | ||||
TOTAL SECURITIES LENDING COLLATERAL | |||||||
(Identified Cost $1,010) | 1,010 | ||||||
TOTAL INVESTMENTS-142.4% | |||||||
(Identified Cost $252,769) | $234,425 | ||||||
Other assets and liabilities, net-(42.4)% | (69,838) | ||||||
NET ASSETS-100.0% | $164,587 | ||||||
Abbreviations: | |||||||
EV | Enterprise Value | ||||||
LIBOR London Interbank Offered Rate | |||||||
LLC | Limited Liability Company | ||||||
REIT | Real Estate Investment Trust | ||||||
SOFR | Secured Overnight Financing Rate |
Footnote Legend:
- All or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $99,401.
- 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, 2022, these securities amounted to a value of $40,445 or 24.6% of net assets.
- All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending.
- Variable rate security. Rate disclosed is as of October 31, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.
- The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
- Non-incomeproducing.
- Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.
- Represents security purchased with cash collateral received for securities on loan.
Country Weightings†
United States | 88% |
Cayman Islands | 7 |
Bermuda | 3 |
Netherlands | 1 |
Luxembourg | 1 |
Total | 100% |
- % of total investments as of October 31, 2022.
See Notes to Schedule of Investments
4
VIRTUS CONVERTIBLE & INCOME 2024 TARGET TERM FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
OCTOBER 31, 2022
($ reported in thousands)
The following table summarizes the value of the Fund's investments as of October 31, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total | Level 2 | Level 3 | ||||||||||||||||||
Significant | Significant | |||||||||||||||||||
Value at | Level 1 | Observable | Unobservable | |||||||||||||||||
October 31, 2022 | Quoted Prices | Inputs | Inputs | |||||||||||||||||
Assets: | ||||||||||||||||||||
Debt Securities: | ||||||||||||||||||||
Corporate Bonds and Notes | $ | 75,209 | $ | - | $ | 75,209 | $ | - | ||||||||||||
Leveraged Loans | 53,931 | - | 53,204 | 727 | ||||||||||||||||
Convertible Bonds and Notes | 99,277 | - | 99,277 | - | ||||||||||||||||
Equity Securities: | ||||||||||||||||||||
Common Stocks | 425 | 43 | - | 382 | ||||||||||||||||
Warrant | 34 | - | - | 34 | ||||||||||||||||
Money Market Mutual Fund | 4,539 | 4,539 | - | - | ||||||||||||||||
Securities Lending Collateral | 1,010 | 1,010 | - | - | ||||||||||||||||
Total Investments | $234,425 | $5,592 | $227,690 | $1,143 | ||||||||||||||||
Security held by the Fund with an end of period value of $727 was transferred from Level 2 to Level 3 due to a decrease in trading activities at period end.
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.
Leveraged | Common | ||||||||||||||||
Total | Loans | Stocks | Warrants | ||||||||||||||
Investments in Securities | |||||||||||||||||
Balance as of January 31, 2022: | $ | 842 | $ | - | $ 731 | $ | 111 | ||||||||||
Change in unrealized appreciation (depreciation)(a) | (426) | - | (349) | (77) | |||||||||||||
Transfers into Level 3(b) | 727 | 727 | - | - | |||||||||||||
Balance as of October 31, 2022 | $ | 1,143 | $ | 727 | $ 382 | $ | 34 | ||||||||||
- The change in unrealized appreciation (depreciation) on investments still held at October 31, 2022, was $(426).
(b)"Transfers into and/or from" represent the ending value as of October 31, 2022, for any investment security where a change in the pricing level occurred from the beginning to the end of the period.
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, 2022:
Ending Balance | Unobservable | Input | |||||||
Investments in Securities - Assets | at October 31, 2022 | Valuation Technique Used | Inputs | Values | |||||
Common Stocks: | |||||||||
CCF Holdings LLC | $315 | Market and Company Comparables | EV Multiples | 1.02x (0.67x - 1.41x) | |||||
0.60x (0.43x - 0.78x) | |||||||||
Illiquidity Discount | 20% | ||||||||
CCF Holdings LLC Class M | $ | 67 | Market and Company Comparables | EV Multiples | 1.02x (0.67x - 1.41x) | ||||
0.60x (0.43x - 0.78x) | |||||||||
Illiquidity Discount | 20% | ||||||||
Warrant: | |||||||||
CCF Holdings LLC | $ | 34 | Market and Company Comparables | EV Multiples | 1.02x (0.67x - 1.41x) | ||||
0.60x (0.43x - 0.78x) | |||||||||
Illiquidity Discount | 20% | ||||||||
Black-Scholes Model | Volatility | 52.08% | |||||||
See Notes to Schedule of Investments
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Virtus AllianzGi Convertible & Income 2024 Target Term Fund published this content on 06 December 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 December 2022 17:23:05 UTC.