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:

  1. All or a portion of securities is segregated as collateral for the Liquidity Facility. The value of securities segregated as collateral is $99,401.
  2. 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.
  3. All or a portion of security is on loan pursuant to the Liquidity Facility and/or securities lending.
  4. 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.
  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-incomeproducing.
  7. Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.
  8. 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

  1. 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

5

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Disclaimer

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.