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
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