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Name | Symbol | Market | Type |
---|---|---|---|
Virtus Convertible and Income Fund II | NYSE:NCZ-A | NYSE | Preference Share |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 20.85 | 0 | 01:00:00 |
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. |
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). |
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 |
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% | ||||||
• | 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). |
1 Year Virtus Convertible and I... Chart |
1 Month Virtus Convertible and I... Chart |
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