ETFis Series Trust I
INFRACAP REIT PREFERRED ETF
VIRTUS INFRACAP U.S. PREFERRED STOCK ETF
VIRTUS LIFESCI BIOTECH CLINICAL TRIALS ETF
VIRTUS LIFESCI BIOTECH PRODUCTS ETF
VIRTUS NEWFLEET MULTI-SECTOR BOND ETF
VIRTUS PRIVATE CREDIT STRATEGY ETF
VIRTUS REAL ASSET INCOME ETF
VIRTUS WMC INTERNATIONAL DIVIDEND ETF
INFRACAP MLP ETF
SEMI-ANNUAL
REPORT
April
30, 2022
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1
June 2022
To my fellow shareholders of Virtus ETFs:
On behalf of Virtus ETF Advisers LLC (the “Adviser”), I am pleased to present the shareholder report for the ETFis Series Trust I (the “Trust”) for the semiannual fiscal period ended April 30, 2022.
The report provides financial statements and portfolio information for the following funds within the Trust:
•InfraCap REIT Preferred ETF (PFFR)
•Virtus InfraCap U.S. Preferred Stock ETF (PFFA)
•Virtus LifeSci Biotech Clinical Trials ETF (BBC)
•Virtus LifeSci Biotech Products ETF (BBP)
•Virtus Newfleet Multi-Sector Bond ETF (NFLT)
•Virtus Private Credit Strategy ETF (VPC)
•Virtus Real Asset Income ETF (VRAI)
•Virtus WMC International Dividend ETF (VWID)
•InfraCap MLP ETF (AMZA)
On behalf of the Adviser and our fund Sub-Advisers, thank you for your investment. If you have questions, please contact your financial adviser, or call 1-888-383-0553. For more information about the funds and the other ETFs we offer, we invite you to visit our website, www.virtusetfs.com.
Sincerely,
William Smalley
President
ETFis Series Trust I
This material must be accompanied or preceded by the prospectus.
2
Asset Allocation as of 04/30/2022 (based on net assets)
|
InfraCap REIT Preferred ETF |
| ||
|
Real Estate |
|
68.7 |
% |
|
Financials |
|
30.9 |
% |
|
Other Assets in Excess of Liabilities |
|
0.4 |
% |
|
Total |
|
100.0 |
% |
|
|
| ||
|
|
| ||
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
|
|
|
Real Estate |
|
32.0 |
%* |
|
Financials |
|
31.9 |
%* |
|
Energy |
|
22.2 |
% |
|
Utilities |
|
20.5 |
% |
|
Industrials |
|
16.5 |
% |
|
Consumer Discretionary |
|
3.6 |
% |
|
Communication Services |
|
2.5 |
% |
|
Health Care |
|
0.0 |
%** |
|
Liabilities in Excess of Other Assets |
|
(29.2 |
)% |
|
Total |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
Health Care |
|
97.3 |
% |
|
Materials |
|
0.6 |
% |
|
Money Market Fund |
|
16.2 |
% |
|
Liabilities in Excess of Other Assets |
|
(14.1 |
)% |
|
Total |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
Virtus LifeSci Biotech Products ETF |
|
|
|
|
Health Care |
|
96.6 |
% |
|
Money Market Fund |
|
2.9 |
% |
|
Other Assets in Excess of Liabilities |
|
0.5 |
% |
|
Total |
|
100.0 |
% |
*Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
**Amount rounds to less than 0.05%.
3
Asset Allocation as of 04/30/2022 (based on net assets)
|
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
|
Corporate Bonds |
|
37.4 |
% |
|
Term Loans |
|
19.4 |
% |
|
Foreign Bonds |
|
16.0 |
% |
|
U.S. Government Securities |
|
8.1 |
% |
|
Mortgage Backed Securities |
|
7.7 |
% |
|
Asset Backed Securities |
|
7.1 |
% |
|
Municipal Bonds |
|
0.5 |
% |
|
Money Market Fund |
|
5.7 |
% |
|
Liabilities in Excess of Other Assets |
|
(1.9 |
)% |
|
Total |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
Virtus Private Credit Strategy ETF |
|
|
|
|
Financials |
|
59.8 |
% |
|
Closed-End Funds |
|
37.8 |
% |
|
Money Market Fund |
|
19.6 |
% |
|
Liabilities in Excess of Other Assets |
|
(17.2 |
)% |
|
Total |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
Virtus Real Asset Income ETF |
|
|
|
|
Real Estate |
|
33.0 |
% |
|
Materials |
|
26.0 |
% |
|
Utilities |
|
15.4 |
% |
|
Energy |
|
13.1 |
% |
|
Communication Services |
|
8.1 |
% |
|
Consumer Staples |
|
1.3 |
% |
|
Financials |
|
1.2 |
% |
|
Money Market Fund |
|
4.4 |
% |
|
Liabilities in Excess of Other Assets |
|
(2.5 |
)% |
|
Total |
|
100.0 |
% |
4
Asset Allocation as of 04/30/2022 (based on net assets)
|
Virtus WMC International Dividend ETF |
|
|
|
|
Financials |
|
22.9 |
% |
|
Materials |
|
13.8 |
% |
|
Health Care |
|
12.6 |
% |
|
Industrials |
|
10.1 |
% |
|
Consumer Staples |
|
9.5 |
% |
|
Communication Services |
|
8.9 |
% |
|
Utilities |
|
8.5 |
% |
|
Consumer Discretionary |
|
5.2 |
% |
|
Information Technology |
|
3.0 |
% |
|
Real Estate |
|
2.8 |
% |
|
Energy |
|
1.6 |
% |
|
Other Assets in Excess of Liabilities |
|
1.1 |
% |
|
Total |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
InfraCap MLP ETF |
|
|
|
|
Energy |
|
131.0 |
% |
|
Written Options |
|
(0.2 |
)% |
|
Liabilities in Excess of Other Assets |
|
(30.8 |
)% |
|
Total |
|
100.0 |
% |
5
We believe it is important for you to understand the impact of costs on your investment. All funds have operating expenses. As a shareholder of the InfraCap REIT Preferred ETF, Virtus InfraCap U .S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, Virtus WMC International Dividend ETF and InfraCap MLP ETF (each, a “Fund”) you may incur two types of costs: (1) transaction costs, which include brokerage commissions that you pay when purchasing or selling shares of a Fund; and (2) ongoing costs, which include advisory fees and other fund expenses, if any . The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (November 1, 2021 to April 30, 2022).
Actual expenses
The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line under each Fund in the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have been higher.
|
|
|
Beginning |
|
Ending |
|
Annualized |
|
Expenses Paid |
|
InfraCap REIT Preferred ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$860.50 |
|
0.45% |
|
$2.08 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.56 |
|
0.45% |
|
$2.26 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$958.00 |
|
0.80% |
|
$3.88 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,020.83 |
|
0.80% |
|
$4.01 |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$498.00 |
|
0.79% |
|
$2.93 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,020.88 |
|
0.79% |
|
$3.96 |
|
Virtus LifeSci Biotech Products ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$746.60 |
|
0.79% |
|
$3.42 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,020.88 |
|
0.79% |
|
$3.96 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$937.20 |
|
0.49% |
|
$2.35 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.36 |
|
0.49% |
|
$2.46 |
|
Virtus Private Credit Strategy ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$966.60 |
|
0.75% |
|
$3.66 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.08 |
|
0.75% |
|
$3.76 |
|
Virtus Real Asset Income ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,039.40 |
|
0.55% |
|
$2.78 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.07 |
|
0.55% |
|
$2.76 |
|
Virtus WMC International Dividend ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,001.80 |
|
0.49% |
|
$2.43 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.36 |
|
0.49% |
|
$2.46 |
|
InfraCap MLP ETF |
|
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,138.60 |
|
0.95% |
|
$5.04 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,020.08 |
|
0.95% |
|
$4.76 |
(1)Assuming 5% return before expenses.
(2)Annualized expense ratios reflect expenses net of waived fees or reimbursed expenses, if applicable.
(3)Expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the six-month period).
The accompanying notes are an integral part of these financial statements.
6
y
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS - 99.6% |
|
|
|
|
|
|
|
|
|
|
|
Financials - 30.9% |
|
|
|
|
|
ACRES Commercial Realty Corp., |
|
11,840 |
|
$289,133 |
|
AG Mortgage Investment Trust, Inc., Series B, 8.00% |
|
9,195 |
|
193,923 |
|
AG Mortgage Investment Trust, Inc., Series C, 8.00% |
|
16,852 |
|
349,511 |
|
AGNC Investment Corp., Series C, 7.00% |
|
32,067 |
|
789,490 |
|
AGNC Investment Corp., Series D, 6.88% |
|
23,187 |
|
553,706 |
|
AGNC Investment Corp., Series E, 6.50% |
|
39,713 |
|
951,523 |
|
AGNC Investment Corp., Series F, 6.13% |
|
56,922 |
|
1,316,037 |
|
Annaly Capital Management, Inc., Series F, 6.95% |
|
71,209 |
|
1,768,119 |
|
Annaly Capital Management, Inc., Series G, 6.50% |
|
41,881 |
|
971,639 |
|
Annaly Capital Management, Inc., Series I, 6.75% |
|
43,660 |
|
1,080,148 |
|
Arbor Realty Trust, Inc., Series D, 6.38% |
|
22,693 |
|
504,692 |
|
Arbor Realty Trust, Inc., Series E, 6.25% |
|
14,183 |
|
326,067 |
|
ARMOUR Residential REIT, Inc., Series C, 7.00% |
|
16,889 |
|
405,674 |
|
Chimera Investment Corp., Series A, 8.00% |
|
14,307 |
|
350,092 |
|
Chimera Investment Corp., Series B, 8.00% |
|
32,067 |
|
783,717 |
|
Chimera Investment Corp., Series C, 7.75% |
|
25,654 |
|
604,152 |
|
Chimera Investment Corp., Series D, 8.00% |
|
19,733 |
|
473,197 |
|
Invesco Mortgage Capital, Inc., Series B, 7.75% |
|
15,293 |
|
327,270 |
|
Invesco Mortgage Capital, Inc., Series C, 7.50% |
|
28,366 |
|
630,009 |
|
KKR Real Estate Finance Trust, Inc., Series A, 6.50% |
|
32,338 |
|
779,669 |
|
MFA Financial, Inc., Series B, 7.50% |
|
19,685 |
|
475,393 |
|
MFA Financial, Inc., Series C, 6.50% |
|
27,133 |
|
617,004 |
|
New Residential Investment Corp., Series A, 7.50% |
|
15,318 |
|
365,641 |
|
New Residential Investment Corp., Series B, 7.13% |
|
27,585 |
|
638,317 |
|
New Residential Investment Corp., Series C, 6.38% |
|
39,713 |
|
850,255 |
|
New Residential Investment Corp., Series D, 7.00% |
|
45,987 |
|
1,077,016 |
|
New York Mortgage Trust, Inc., Series D, 8.00% |
|
15,105 |
|
357,837 |
|
New York Mortgage Trust, Inc., Series E, 7.88% |
|
18,340 |
|
446,029 |
|
New York Mortgage Trust, Inc., Series F, 6.88% |
|
12,344 |
|
292,306 |
|
PennyMac Mortgage Investment Trust, Series A, 8.13% |
|
11,347 |
|
296,951 |
|
PennyMac Mortgage Investment Trust, Series B, 8.00% |
|
19,240 |
|
498,316 |
|
PennyMac Mortgage Investment Trust, Series C, 6.75% |
|
24,667 |
|
550,814 |
|
Ready Capital Corp., 5.75% |
|
19,862 |
|
492,578 |
|
Ready Capital Corp., Series E, 6.50% |
|
11,399 |
|
252,146 |
|
TPG RE Finance Trust, Inc., Series C, 6.25% |
|
19,857 |
|
414,515 |
|
Two Harbors Investment Corp., Series A, 8.13% |
|
14,475 |
|
358,980 |
|
Two Harbors Investment Corp., Series B, 7.63% |
|
28,936 |
|
691,281 |
|
Two Harbors Investment Corp., Series C, 7.25% |
|
29,684 |
|
682,138 |
|
Total Financials |
|
|
|
22,805,285 |
|
|
||||
|
Real Estate - 68.7% |
|
|
|
|
|
Agree Realty Corp., Series A, 4.25% |
|
35,784 |
|
672,381 |
|
American Homes 4 Rent, Series F, 5.88% |
|
31,695 |
|
796,812 |
|
American Homes 4 Rent, Series G, 5.88% |
|
23,516 |
|
593,779 |
|
American Homes 4 Rent, Series H, 6.25% |
|
21,149 |
|
556,430 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
Armada Hoffler Properties, Inc., Series A, 6.75% |
|
34,984 |
|
$894,891 |
|
Cedar Realty Trust, Inc., Series C, 6.50% |
|
25,474 |
|
342,116 |
|
Centerspace, Series C, 6.63% |
|
19,840 |
|
505,325 |
|
City Office REIT, Inc., Series A, 6.63% |
|
23,410 |
|
570,736 |
|
CorEnergy Infrastructure Trust, Inc., Series A, 7.38% |
|
26,257 |
|
479,453 |
|
DiamondRock Hospitality Co., 8.25% |
|
24,334 |
|
644,851 |
|
Digital Realty Trust, Inc., Series J, 5.25% |
|
40,896 |
|
967,190 |
|
Digital Realty Trust, Inc., Series K, 5.85% |
|
42,941 |
|
1,094,137 |
|
Digital Realty Trust, Inc., Series L, 5.20% |
|
65,254 |
|
1,536,732 |
|
DigitalBridge Group, Inc., Series H, 7.13% |
|
46,546 |
|
1,055,198 |
|
DigitalBridge Group, Inc., Series I, 7.15% |
|
71,853 |
|
1,647,589 |
|
DigitalBridge Group, Inc., Series J, 7.13% |
|
65,606 |
|
1,479,415 |
|
Diversified Healthcare Trust, 5.63% |
|
71,433 |
|
1,189,359 |
|
Diversified Healthcare Trust, 6.25% |
|
51,121 |
|
938,070 |
|
EPR Properties, Series G, 5.75% |
|
30,672 |
|
720,485 |
|
Federal Realty Investment Trust, Series C, 5.00% |
|
28,021 |
|
685,394 |
|
Global Net Lease, Inc., Series A, 7.25% |
|
35,387 |
|
896,707 |
|
Global Net Lease, Inc., Series B, 6.88% |
|
23,426 |
|
573,703 |
|
Healthcare Trust, Inc., Series A, 7.38% |
|
20,655 |
|
500,884 |
|
Hersha Hospitality Trust, Series D, 6.50% |
|
64,953 |
|
1,362,552 |
|
Hersha Hospitality Trust, Series E, 6.50% |
|
23,929 |
|
506,098 |
|
Kimco Realty Corp., Series L, 5.13% |
|
46,048 |
|
1,130,939 |
|
Kimco Realty Corp., Series M, 5.25% |
|
51,384 |
|
1,245,548 |
|
National Storage Affiliates Trust, Series A, 6.00% |
|
44,092 |
|
1,108,914 |
|
Necessity Retail REIT, Inc., Series A, 7.50% |
|
41,311 |
|
1,017,903 |
|
Necessity Retail REIT, Inc., Series C, 7.38% |
|
23,979 |
|
580,052 |
|
Office Properties Income Trust, 6.38% |
|
33,080 |
|
761,502 |
|
Pebblebrook Hotel Trust, Series F, 6.30% |
|
30,845 |
|
682,908 |
|
Pebblebrook Hotel Trust, Series G, 6.38% |
|
47,295 |
|
1,052,314 |
|
Pebblebrook Hotel Trust, Series H, 5.70% |
|
46,568 |
|
907,145 |
|
PS Business Parks, Inc., Series X, 5.25% |
|
47,395 |
|
934,629 |
|
PS Business Parks, Inc., Series Y, 5.20% |
|
39,896 |
|
790,340 |
|
PS Business Parks, Inc., Series Z, 4.88% |
|
62,361 |
|
1,147,442 |
|
Public Storage, Series F, 5.15% |
|
27,667 |
|
684,758 |
|
Public Storage, Series G, 5.05% |
|
29,643 |
|
714,100 |
|
Public Storage, Series H, 5.60% |
|
28,160 |
|
715,827 |
|
Public Storage, Series I, 4.88% |
|
31,347 |
|
729,131 |
|
Public Storage, Series J, 4.70% |
|
25,567 |
|
572,957 |
|
Public Storage, Series K, 4.75% |
|
22,726 |
|
528,607 |
|
Public Storage, Series L, 4.63% |
|
54,194 |
|
1,197,687 |
|
Public Storage, Series N, 3.88% |
|
27,763 |
|
516,947 |
|
Public Storage, Series O, 3.90% |
|
16,798 |
|
309,419 |
|
Public Storage, Series P, 4.00% |
|
59,476 |
|
1,124,691 |
|
Public Storage, Series Q, 3.95% |
|
14,204 |
|
267,745 |
|
SITE Centers Corp., Series A, 6.38% |
|
35,784 |
|
882,076 |
|
Spirit Realty Capital, Inc., Series A, 6.00% |
|
35,273 |
|
871,949 |
|
Summit Hotel Properties, Inc., Series E, 6.25% |
|
32,869 |
|
759,274 |
|
Summit Hotel Properties, Inc., Series F, 5.88% |
|
20,449 |
|
452,332 |
|
Sunstone Hotel Investors, Inc., Series H, 6.13% |
|
20,006 |
|
456,137 |
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
7
|
Security Description |
|
Shares |
|
Value |
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
Sunstone Hotel Investors, Inc., Series I, 5.70% |
|
20,563 |
|
$429,355 |
|
UMH Properties, Inc., Series C, 6.75% |
|
50,528 |
|
1,284,927 |
|
UMH Properties, Inc., Series D, 6.38% |
|
39,352 |
|
1,007,805 |
|
Vornado Realty Trust, Series L, 5.40% |
|
60,816 |
|
1,220,577 |
|
Vornado Realty Trust, Series M, 5.25% |
|
65,468 |
|
1,272,698 |
|
Vornado Realty Trust, Series N, 5.25% |
|
61,345 |
|
1,180,891 |
|
Vornado Realty Trust, Series O, 4.45% |
|
61,345 |
|
1,075,991 |
|
Total Real Estate |
|
|
|
50,825,804 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 99.6% |
|
|
|
|
|
(Cost $77,424,199) |
|
|
|
73,631,089 |
|
Other Assets in Excess of Liabilities - 0.4% |
|
|
|
328,807 |
|
Net Assets - 100.0% |
|
|
|
$73,959,896 |
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
$73,631,089 |
|
$— |
|
$— |
|
$73,631,089 |
|
Total |
|
$73,631,089 |
|
$— |
|
$— |
|
$73,631,089 |
The accompanying notes are an integral part of these financial statements.
8
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS - 129.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services - 2.5% |
|
|
|
|
|
|
Liberty Broadband Corp., Series A, 7.00%(1) |
|
52,051 |
|
$1,411,102 |
|
|
Qwest Corp., 6.50%(1) |
|
15,092 |
|
337,306 |
|
|
Telephone and Data Systems, Inc., Series UU, 6.63%(1) |
|
69,930 |
|
1,654,544 |
|
|
Telephone and Data Systems, Inc., Series VV, 6.00%(1) |
|
502,908 |
|
10,173,829 |
|
|
United States Cellular Corp., 5.50%(1) |
|
14,200 |
|
285,988 |
|
|
Total Communication Services |
|
|
|
13,862,769 |
|
|
|
|
|
|
|
|
|
Consumer Discretionary - 3.6% |
|
|
|
|
|
|
Ford Motor Co., 6.00%(1) |
|
526,083 |
|
13,225,727 |
|
|
Ford Motor Co., 6.20%(1) |
|
191,593 |
|
4,952,679 |
|
|
Franchise Group, Inc., Series A, 7.50%(1) |
|
58,070 |
|
1,443,039 |
|
|
Total Consumer Discretionary |
|
|
|
19,621,445 |
|
|
|
|
|
|
|
|
|
Energy - 22.2% |
|
|
|
|
|
|
Crestwood Equity Partners LP, 9.25%(1) |
|
2,432,629 |
|
24,083,027 |
|
|
DCP Midstream LP, Series B, 7.88%(1) |
|
905,915 |
|
21,841,611 |
|
|
DCP Midstream LP, Series C, 7.95%(1) |
|
218,533 |
|
5,310,352 |
|
|
Energy Transfer LP, Series C, 7.38%(1) |
|
76,596 |
|
1,820,687 |
|
|
Energy Transfer LP, Series D, 7.63%(1) |
|
165,547 |
|
3,979,750 |
|
|
Energy Transfer LP, Series E, 7.60%(1) |
|
39,753 |
|
962,023 |
|
|
GasLog Partners LP, Series A, 8.63% (Greece)(1) |
|
420,452 |
|
10,595,390 |
|
|
GasLog Partners LP, Series B, 8.20% (Greece)(1) |
|
362,006 |
|
9,050,150 |
|
|
Golar LNG Partners LP, Series A, 8.75% |
|
47,750 |
|
926,827 |
|
|
NuStar Energy LP, Series A, 7.59%(1) |
|
681,986 |
|
16,367,664 |
|
|
NuStar Energy LP, Series B, 7.63%(1) |
|
572,515 |
|
12,286,172 |
|
|
NuStar Energy LP, Series C, 9.00%(1) |
|
576,651 |
|
14,127,949 |
|
|
Total Energy |
|
|
|
121,351,602 |
|
|
|
|
|
|
|
|
|
Financials - 31.9%† |
|
|
|
|
|
|
Affiliated Managers Group, Inc., 4.20%(1) |
|
2,525 |
|
45,147 |
|
|
AG Mortgage Investment Trust, Inc., Series C, 8.00%(1) |
|
160,026 |
|
3,318,939 |
|
|
AGNC Investment Corp., Series D, 6.88%(1) |
|
67,164 |
|
1,603,876 |
|
|
AGNC Investment Corp., Series E, 6.50%(1) |
|
15,925 |
|
381,563 |
|
|
AGNC Investment Corp., Series F, 6.13%(1) |
|
3,956 |
|
91,463 |
|
|
American Equity Investment Life Holding Co., Series A, 5.95%(1) |
|
3,486 |
|
86,069 |
|
|
Annaly Capital Management, Inc., Series F, 6.95%(1) |
|
26,436 |
|
656,406 |
|
|
Annaly Capital Management, Inc., Series G, 6.50%(1) |
|
34,404 |
|
798,173 |
|
|
Annaly Capital Management, Inc., Series I, 6.75%(1) |
|
5,751 |
|
142,280 |
|
|
Arbor Realty Trust, Inc., Series E, 6.25%(1) |
|
24,234 |
|
557,140 |
|
|
ARMOUR Residential REIT, Inc., Series C, 7.00%(1) |
|
287,129 |
|
6,896,839 |
|
|
Athene Holding Ltd., Series A, 6.35%(1) |
|
180 |
|
4,581 |
|
|
Athene Holding Ltd., Series D, 4.88%(1) |
|
5,949 |
|
118,623 |
|
|
Atlanticus Holdings Corp., Series B, 7.63%(1) |
|
17,305 |
|
420,338 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
|
B Riley Financial, Inc., 5.25%(1) |
|
37,174 |
|
$843,850 |
|
|
B Riley Financial, Inc., 6.00%(1) |
|
66,267 |
|
1,623,541 |
|
|
B Riley Financial, Inc., 6.38%(1) |
|
91,583 |
|
2,328,040 |
|
|
B Riley Financial, Inc., Series B, 7.38%(1) |
|
32,187 |
|
836,540 |
|
|
Bank of America Corp., Series QQ, 4.25%(1) |
|
19,592 |
|
349,325 |
|
|
Bank OZK, Series A, 4.63%(1) |
|
186,184 |
|
3,351,312 |
|
|
Brighthouse Financial, Inc., Series D, 4.63%(1) |
|
41,064 |
|
716,977 |
|
|
Brookfield Finance, Inc., Series 50, 4.63% (Canada)(1) |
|
15,659 |
|
296,738 |
|
|
Cadence Bank, Series A, 5.50%(1) |
|
461 |
|
11,175 |
|
|
Capital One Financial Corp., Series J, 4.80%(1) |
|
396 |
|
7,853 |
|
|
Chimera Investment Corp., Series A, 8.00%(1) |
|
250,679 |
|
6,134,115 |
|
|
Chimera Investment Corp., Series B, 8.00%(1) |
|
283,415 |
|
6,926,663 |
|
|
Chimera Investment Corp., Series C, 7.75%(1) |
|
190,157 |
|
4,478,197 |
|
|
Chimera Investment Corp., Series D, 8.00%(1) |
|
331,511 |
|
7,949,634 |
|
|
CNO Financial Group, Inc., 5.13%(1) |
|
1,346 |
|
27,593 |
|
|
Compass Diversified Holdings, Series A, 7.25%(1) |
|
199,888 |
|
5,093,146 |
|
|
Compass Diversified Holdings, Series B, 7.88%(1) |
|
4,673 |
|
121,031 |
|
|
Compass Diversified Holdings, Series C, 7.88% |
|
320 |
|
8,262 |
|
|
ConnectOne Bancorp, Inc., Series A, 5.25%(1) |
|
774 |
|
18,274 |
|
|
Dynex Capital, Inc., Series C, 6.90%(1) |
|
5,161 |
|
128,767 |
|
|
Ellington Financial, Inc., 6.75%(1) |
|
415,930 |
|
10,061,347 |
|
|
Enstar Group Ltd., Series D, 7.00%(1) |
|
64,920 |
|
1,668,444 |
|
|
Enterprise Financial Services Corp., Series A, 5.00%(1) |
|
106,845 |
|
2,314,263 |
|
|
First Citizens BancShares, Inc., Series C, 5.63% |
|
434 |
|
9,978 |
|
|
First Horizon Corp., Series D, 6.10%(1) |
|
5,969 |
|
148,927 |
|
|
First Republic Bank, Series M, 4.00%(1) |
|
129,589 |
|
2,267,807 |
|
|
First Republic Bank, Series N, 4.50%(1) |
|
104,036 |
|
1,954,836 |
|
|
Huntington Bancshares, Inc., Series H, 4.50%(1) |
|
175 |
|
3,279 |
|
|
Invesco Mortgage Capital, Inc., Series B, 7.75%(1) |
|
188,503 |
|
4,033,964 |
|
|
Invesco Mortgage Capital, Inc., Series C, 7.50%(1) |
|
236,472 |
|
5,252,043 |
|
|
JPMorgan Chase & Co., Series JJ, 4.55%(1) |
|
531 |
|
10,084 |
|
|
Kemper Corp., 5.88%* |
|
103,051 |
|
2,534,024 |
|
|
Merchants Bancorp, Series B, 6.00%(1) |
|
17,468 |
|
427,617 |
|
|
Merchants Bancorp, Series C, 6.00%(1) |
|
76,232 |
|
1,798,313 |
|
|
MFA Financial, Inc., Series B, 7.50%(1) |
|
202,462 |
|
4,889,457 |
|
|
MFA Financial, Inc., Series C, 6.50%(1) |
|
464,013 |
|
10,551,656 |
|
|
Morgan Stanley, Series DMT1, 4.25%(1) |
|
56,319 |
|
1,005,857 |
|
|
Navient Corp., 6.00%(1) |
|
13,192 |
|
271,228 |
|
|
New Residential Investment Corp., Series A, 7.50% |
|
829 |
|
19,788 |
|
|
New Residential Investment Corp., Series B, 7.13% |
|
5,834 |
|
134,999 |
|
|
New Residential Investment Corp., Series C, 6.38%(1) |
|
18,900 |
|
404,649 |
|
|
New Residential Investment Corp., Series D, 7.00%(1) |
|
47,302 |
|
1,107,813 |
|
|
New York Community Capital Trust V, 6.00%(1) |
|
4,749 |
|
230,327 |
|
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
9
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
|
New York Mortgage Trust, Inc., Series D, 8.00%(1) |
|
650,123 |
|
$15,401,414 |
|
|
New York Mortgage Trust, Inc., Series E, 7.88%(1) |
|
447,616 |
|
10,886,021 |
|
|
New York Mortgage Trust, Inc., Series F, 6.88%(1) |
|
60,853 |
|
1,440,999 |
|
|
Oxford Lane Capital Corp., Series 2029, 6.00%(1) |
|
36,391 |
|
897,038 |
|
|
PennyMac Mortgage Investment Trust, Series A, 8.13%(1) |
|
114,925 |
|
3,007,587 |
|
|
PennyMac Mortgage Investment Trust, Series B, 8.00%(1) |
|
367,029 |
|
9,506,051 |
|
|
PennyMac Mortgage Investment Trust, Series C, 6.75%(1) |
|
48,263 |
|
1,077,713 |
|
|
Prospect Capital Corp., Series A, 5.35%(1) |
|
257,203 |
|
4,989,738 |
|
|
RiverNorth Opportunities Fund, Inc., Series A, 6.00%* |
|
50,212 |
|
1,205,088 |
|
|
Signature Bank, Series A, 5.00%(1) |
|
1,977 |
|
37,820 |
|
|
Stifel Financial Corp., Series D, 4.50%(1) |
|
40 |
|
755 |
|
|
Synovus Financial Corp., Series D, 6.30%(1) |
|
5,196 |
|
128,861 |
|
|
Texas Capital Bancshares, Inc., Series B, 5.75%(1) |
|
20,406 |
|
452,401 |
|
|
Two Harbors Investment Corp., Series B, 7.63%(1) |
|
292,869 |
|
6,996,640 |
|
|
Two Harbors Investment Corp., Series C, 7.25%(1) |
|
469,779 |
|
10,795,521 |
|
|
Valley National Bancorp, Series B, 5.50%(1) |
|
4,755 |
|
113,835 |
|
|
Wintrust Financial Corp., Series D, 6.50%(1) |
|
79 |
|
2,069 |
|
|
Total Financials |
|
|
|
174,412,721 |
|
|
|
|
|
|
|
|
|
Health Care - 0.0%(2) |
|
|
|
|
|
|
XOMA Corp., Series A, 8.63% |
|
|
|
|
|
|
|
|
7,710 |
|
202,233 |
|
|
|
|
|
|
|
|
|
Industrials - 16.5% |
|
|
|
|
|
|
Air Lease Corp., Series A, 6.15%(1) |
|
8,565 |
|
214,125 |
|
|
Alta Equipment Group, Inc., Series A, 10.00%(1) |
|
2,046 |
|
56,214 |
|
|
Atlas Corp., Series H, 7.88% (Canada)(1) |
|
34,153 |
|
868,170 |
|
|
Atlas Corp., Series I, 8.00% (Canada)(1) |
|
458,328 |
|
12,031,110 |
|
|
Babcock & Wilcox Enterprises, Inc., 6.50%(1) |
|
26,938 |
|
665,638 |
|
|
Babcock & Wilcox Enterprises, Inc., 8.13%(1) |
|
387,510 |
|
9,924,131 |
|
|
Babcock & Wilcox Enterprises, Inc., Series A, 7.75%(1) |
|
935,124 |
|
23,378,100 |
|
|
Fortress Transportation and Infrastructure Investors LLC, Series A, 8.25%(1) |
|
5,675 |
|
136,597 |
|
|
Fortress Transportation and Infrastructure Investors LLC, Series B, 8.00%(1) |
|
559,530 |
|
13,204,908 |
|
|
Pitney Bowes, Inc., 6.70%(1) |
|
310,845 |
|
6,934,952 |
|
|
Textainer Group Holdings Ltd., Series B, 6.25% (China)(1) |
|
201,300 |
|
4,613,796 |
|
|
Triton International Ltd., 6.88% (Bermuda)(1) |
|
166,047 |
|
4,119,626 |
|
|
Triton International Ltd., 7.38% (Bermuda)(1) |
|
352,392 |
|
9,038,855 |
|
|
Triton International Ltd., 8.00% (Bermuda)(1) |
|
2,839 |
|
74,041 |
|
|
Triton International Ltd., Series E, 5.75% (Bermuda)(1) |
|
202,719 |
|
4,782,141 |
|
|
Total Industrials |
|
|
|
90,042,404 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate - 32.0%† |
|
|
|
|
|
|
Armada Hoffler Properties, Inc., Series A, 6.75%(1) |
|
2,533 |
|
$64,794 |
|
|
Braemar Hotels & Resorts, Inc., Series B, 5.50%(1) |
|
433,162 |
|
8,121,788 |
|
|
Braemar Hotels & Resorts, Inc., Series D, 8.25%(1) |
|
39,570 |
|
1,007,057 |
|
|
Brookfield Property Partners LP, Series A, 5.75%(1) |
|
98,271 |
|
1,940,852 |
|
|
Brookfield Property Partners LP, Series A-1, 6.50%(1) |
|
3,052 |
|
66,961 |
|
|
Brookfield Property Partners LP, Series A2, 6.38%(1) |
|
9,344 |
|
197,065 |
|
|
City Office REIT, Inc., Series A, 6.63%(1) |
|
6,812 |
|
166,077 |
|
|
CTO Realty Growth, Inc., Series A, 6.38%(1) |
|
67,592 |
|
1,645,223 |
|
|
DiamondRock Hospitality Co., 8.25%(1) |
|
232,103 |
|
6,150,730 |
|
|
DigitalBridge Group, Inc., Series H, 7.13%(1) |
|
318,993 |
|
7,231,571 |
|
|
DigitalBridge Group, Inc., Series I, 7.15%(1) |
|
658,352 |
|
15,096,011 |
|
|
DigitalBridge Group, Inc., Series J, 7.13%(1) |
|
140,385 |
|
3,165,682 |
|
|
Diversified Healthcare Trust, 5.63%(1) |
|
48,319 |
|
804,511 |
|
|
Diversified Healthcare Trust, 6.25%(1) |
|
139,501 |
|
2,559,843 |
|
|
EPR Properties, Series C, 5.75%(1) |
|
71,333 |
|
1,804,725 |
|
|
EPR Properties, Series E, 9.00%(1) |
|
515,442 |
|
17,071,439 |
|
|
EPR Properties, Series G, 5.75%(1) |
|
237,809 |
|
5,586,133 |
|
|
Equity Commonwealth, Series D, 6.50%(1) |
|
276,898 |
|
7,614,695 |
|
|
Global Net Lease, Inc., Series A, 7.25%(1) |
|
240,258 |
|
6,088,138 |
|
|
Global Net Lease, Inc., Series B, 6.88%(1) |
|
165,112 |
|
4,043,593 |
|
|
Healthcare Trust, Inc., Series B, 7.13%(1) |
|
164,161 |
|
3,987,471 |
|
|
Hudson Pacific Properties, Inc., Series C, 4.75% |
|
2,466 |
|
46,780 |
|
|
iStar, Inc., Series I, 7.50%(1) |
|
222,371 |
|
5,588,183 |
|
|
LXP Industrial Trust, Series C, 6.50%(1) |
|
16,076 |
|
847,205 |
|
|
Necessity Retail REIT, Inc., Series A, 7.50%(1) |
|
821,859 |
|
20,250,606 |
|
|
Necessity Retail REIT, Inc., Series C, 7.38%(1) |
|
35,006 |
|
846,795 |
|
|
Pebblebrook Hotel Trust, Series E, 6.38%(1) |
|
2,290 |
|
51,319 |
|
|
Pebblebrook Hotel Trust, Series F, 6.30%(1) |
|
193,235 |
|
4,278,223 |
|
|
Pebblebrook Hotel Trust, Series G, 6.38%(1) |
|
35,500 |
|
789,875 |
|
|
Pebblebrook Hotel Trust, Series H, 5.70%(1) |
|
25,248 |
|
491,831 |
|
|
Public Storage, Series R, 4.00%(1) |
|
53,163 |
|
1,003,717 |
|
|
RLJ Lodging Trust, Series A, 1.95%(1) |
|
840,793 |
|
22,070,816 |
|
|
RPT Realty, Series D, 7.25%(1) |
|
162,223 |
|
9,550,474 |
|
|
Saul Centers, Inc., Series E, 6.00%(1) |
|
283,501 |
|
7,008,145 |
|
|
SITE Centers Corp., Series A, 6.38% |
|
3,362 |
|
82,873 |
|
|
Summit Hotel Properties, Inc., Series E, 6.25%(1) |
|
127,089 |
|
2,935,756 |
|
|
Summit Hotel Properties, Inc., Series F, 5.88%(1) |
|
36,391 |
|
804,969 |
|
|
Sunstone Hotel Investors, Inc., Series I, 5.70%(1) |
|
39,127 |
|
816,972 |
|
|
UMH Properties, Inc., Series C, 6.75% |
|
5,075 |
|
129,057 |
|
|
Urstadt Biddle Properties, Inc., Series K, 5.88%(1) |
|
141,847 |
|
3,406,640 |
|
|
Total Real Estate |
|
|
|
175,414,595 |
|
|
|
|
|
|
|
|
|
Utilities - 20.5% |
|
|
|
|
|
|
AES Corp., 6.88% |
|
55,574 |
|
4,812,708 |
|
|
Algonquin Power & Utilities Corp., 7.75% (Canada) |
|
110,787 |
|
5,220,284 |
|
|
Dominion Energy, Inc., Series A, 7.25%(1) |
|
186,507 |
|
18,816,691 |
|
|
DTE Energy Co., 4.38% |
|
2,873 |
|
56,972 |
|
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
10
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (continued) |
|
|
|
|
|
|
DTE Energy Co., 6.25%(1) |
|
123,293 |
|
$6,460,553 |
|
|
Essential Utilities, Inc., 6.00% |
|
64 |
|
3,412 |
|
|
NiSource, Inc., 7.75% |
|
7,304 |
|
830,684 |
|
|
SCE Trust II, 5.10%(1) |
|
3,232 |
|
70,781 |
|
|
SCE Trust III, Series H, 5.75%(1) |
|
961,834 |
|
22,545,389 |
|
|
SCE Trust IV, Series J, 5.38%(1) |
|
111,645 |
|
2,433,861 |
|
|
SCE Trust V, Series K, 5.45%(1) |
|
24,237 |
|
578,537 |
|
|
SCE Trust VI, 5.00%(1) |
|
611,419 |
|
12,320,093 |
|
|
South Jersey Industries, Inc., 5.63%(1) |
|
4,766 |
|
83,405 |
|
|
South Jersey Industries, Inc., 8.75%(1) |
|
207,823 |
|
14,360,569 |
|
|
Southern Co., Series 2019, 6.75%(1) |
|
287,769 |
|
15,789,885 |
|
|
UGI Corp., 7.25%(1) |
|
88,831 |
|
7,842,889 |
|
|
Total Utilities |
|
|
|
112,226,713 |
|
|
|
|
|
|
|
|
|
Total Preferred Stocks |
|
|
|
|
|
|
(Cost $716,678,025) |
|
|
|
707,134,482 |
|
|
|
|
|
|
|
|
|
COMMON STOCK - 0.0%(2) |
|
|
|
|
|
|
|
|
|
|
| |
|
Utilities - 0.0%(2) |
|
|
|
| |
|
American Electric Power Co., Inc. |
|
|
|
|
|
|
(Cost $33,465) |
|
347 |
|
34,391 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 129.2% |
|
|
|
|
|
|
(Cost $716,711,490) |
|
|
|
707,168,873 |
|
|
Liabilities in Excess of Other Assets - (29.2)% |
|
|
|
(159,762,399 |
) |
|
Net Assets - 100.0% |
|
|
|
$547,406,474 |
|
*Non-income producing security.
†Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at April 30, 2022 was $522,539,854.
(2)Amount rounds to less than 0.05%.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
$707,134,482 |
|
$— |
|
$— |
|
$707,134,482 |
|
Common Stock |
|
34,391 |
|
— |
|
— |
|
34,391 |
|
Total |
|
$707,168,873 |
|
$— |
|
$— |
|
$707,168,873 |
The accompanying notes are an integral part of these financial statements.
11
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 97.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care - 97.3% |
|
|
|
|
|
|
4D Molecular Therapeutics, Inc.* |
|
7,683 |
|
$91,505 |
|
|
AbCellera Biologics, Inc. (Canada)* |
|
11,784 |
|
90,383 |
|
|
AC Immune SA (Switzerland)*(1) |
|
31,014 |
|
111,030 |
|
|
Adagio Therapeutics, Inc.* |
|
21,355 |
|
61,075 |
|
|
Adaptimmune Therapeutics PLC*(2) |
|
44,300 |
|
76,196 |
|
|
Adicet Bio, Inc.* |
|
10,863 |
|
160,121 |
|
|
Affimed NV (Germany)* |
|
28,874 |
|
108,566 |
|
|
Agenus, Inc.* |
|
49,857 |
|
92,235 |
|
|
Akebia Therapeutics, Inc.* |
|
65,149 |
|
27,050 |
|
|
Akero Therapeutics, Inc.* |
|
7,802 |
|
81,843 |
|
|
Alaunos Therapeutics, Inc.* |
|
131,413 |
|
69,833 |
|
|
Aldeyra Therapeutics, Inc.* |
|
22,945 |
|
70,441 |
|
|
Alector, Inc.*(1) |
|
7,356 |
|
70,618 |
|
|
Aligos Therapeutics, Inc.* |
|
13,420 |
|
15,836 |
|
|
Allakos, Inc.*(1) |
|
1,902 |
|
7,171 |
|
|
Allogene Therapeutics, Inc.* |
|
10,848 |
|
90,581 |
|
|
Allovir, Inc.*(1) |
|
10,463 |
|
47,607 |
|
|
ALX Oncology Holdings, Inc.* |
|
6,465 |
|
82,623 |
|
|
AnaptysBio, Inc.* |
|
4,949 |
|
115,807 |
|
|
Annexon, Inc.*(1) |
|
11,398 |
|
29,065 |
|
|
Applied Molecular Transport, Inc.* |
|
11,621 |
|
49,854 |
|
|
Arbutus Biopharma Corp.* |
|
37,448 |
|
87,254 |
|
|
Arcturus Therapeutics Holdings, Inc.*(1) |
|
4,532 |
|
87,830 |
|
|
Arcus Biosciences, Inc.* |
|
3,954 |
|
95,726 |
|
|
Arcutis Biotherapeutics, Inc.* |
|
10,359 |
|
209,148 |
|
|
Arrowhead Pharmaceuticals, Inc.* |
|
2,258 |
|
92,826 |
|
|
Arvinas, Inc.* |
|
2,348 |
|
129,070 |
|
|
ATAI Life Sciences NV (Germany)* |
|
15,469 |
|
66,362 |
|
|
Atara Biotherapeutics, Inc.* |
|
9,867 |
|
62,754 |
|
|
Atea Pharmaceuticals, Inc.* |
|
19,333 |
|
113,485 |
|
|
Athira Pharma, Inc.*(1) |
|
11,561 |
|
118,963 |
|
|
Autolus Therapeutics PLC (United Kingdom)*(2) |
|
27,536 |
|
85,912 |
|
|
Avidity Biosciences, Inc.*(1) |
|
6,286 |
|
89,890 |
|
|
Axsome Therapeutics, Inc.*(1) |
|
5,053 |
|
160,433 |
|
|
Bicycle Therapeutics PLC (United Kingdom)*(1)(2) |
|
2,987 |
|
70,135 |
|
|
BioAtla, Inc.* |
|
7,475 |
|
26,013 |
|
|
Bioxcel Therapeutics, Inc.*(1) |
|
7,713 |
|
101,117 |
|
|
Bridgebio Pharma, Inc.*(1) |
|
4,057 |
|
32,537 |
|
|
C4 Therapeutics, Inc.* |
|
5,275 |
|
45,207 |
|
|
Cara Therapeutics, Inc.* |
|
12,928 |
|
112,732 |
|
|
Caribou Biosciences, Inc.*(1) |
|
9,392 |
|
69,501 |
|
|
Cassava Sciences, Inc.*(1) |
|
3,299 |
|
68,850 |
|
|
Celldex Therapeutics, Inc.* |
|
4,131 |
|
126,202 |
|
|
CEL-SCI Corp.*(1) |
|
19,631 |
|
56,145 |
|
|
Centessa Pharmaceuticals PLC*(1)(2) |
|
13,969 |
|
121,810 |
|
|
Cerevel Therapeutics Holdings, Inc.*(1) |
|
5,216 |
|
152,725 |
|
|
Chimerix, Inc.* |
|
25,976 |
|
114,294 |
|
|
Chinook Therapeutics, Inc.* |
|
10,536 |
|
159,410 |
|
|
Clovis Oncology, Inc.*(1) |
|
57,437 |
|
114,874 |
|
|
Codexis, Inc.* |
|
5,023 |
|
60,427 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
|
Cogent Biosciences, Inc.* |
|
19,452 |
|
$124,882 |
|
|
Compass Pathways PLC (United Kingdom)*(2) |
|
6,524 |
|
59,107 |
|
|
Compugen Ltd. (Israel)* |
|
37,909 |
|
90,223 |
|
|
Cortexyme, Inc.* |
|
13,657 |
|
49,985 |
|
|
Crinetics Pharmaceuticals, Inc.* |
|
6,346 |
|
128,951 |
|
|
CRISPR Therapeutics AG (Switzerland)* |
|
2,081 |
|
103,259 |
|
|
Cue Biopharma, Inc.* |
|
14,281 |
|
56,553 |
|
|
Cullinan Oncology, Inc.*(1) |
|
9,941 |
|
97,521 |
|
|
CureVac NV (Germany)*(1) |
|
4,028 |
|
68,839 |
|
|
Curis, Inc.* |
|
34,848 |
|
31,841 |
|
|
Cytokinetics, Inc.*(1) |
|
4,176 |
|
166,497 |
|
|
CytomX Therapeutics, Inc.* |
|
25,634 |
|
43,834 |
|
|
Day One Biopharmaceuticals, Inc.*(1) |
|
8,886 |
|
75,709 |
|
|
Denali Therapeutics, Inc.* |
|
3,433 |
|
81,705 |
|
|
DICE Therapeutics, Inc.*(1) |
|
6,316 |
|
128,341 |
|
|
Dynavax Technologies Corp.* |
|
11,592 |
|
102,357 |
|
|
Edgewise Therapeutics, Inc.*(1) |
|
8,129 |
|
64,869 |
|
|
Editas Medicine, Inc.*(1) |
|
5,425 |
|
71,827 |
|
|
Erasca, Inc.*(1) |
|
11,532 |
|
83,953 |
|
|
Essa Pharma, Inc. (Canada)* |
|
12,885 |
|
73,058 |
|
|
Evelo Biosciences, Inc.*(1) |
|
21,013 |
|
51,902 |
|
|
Fate Therapeutics, Inc.*(1) |
|
3,091 |
|
88,279 |
|
|
FibroGen, Inc.* |
|
11,546 |
|
107,378 |
|
|
Forma Therapeutics Holdings, Inc.* |
|
11,234 |
|
84,929 |
|
|
Fulcrum Therapeutics, Inc.* |
|
9,496 |
|
91,352 |
|
|
G1 Therapeutics, Inc.*(1) |
|
15,188 |
|
78,066 |
|
|
Geron Corp.* |
|
121,143 |
|
170,812 |
|
|
GH Research PLC (Ireland)*(1) |
|
6,687 |
|
97,363 |
|
|
Gossamer Bio, Inc.* |
|
15,039 |
|
103,920 |
|
|
Gracell Biotechnologies, Inc. (China)*(2) |
|
24,728 |
|
55,638 |
|
|
Graphite Bio, Inc.* |
|
14,964 |
|
60,155 |
|
|
Gritstone bio, Inc.* |
|
13,538 |
|
35,063 |
|
|
Homology Medicines, Inc.* |
|
35,487 |
|
58,908 |
|
|
Humanigen, Inc.* |
|
36,572 |
|
68,755 |
|
|
Ideaya Biosciences, Inc.* |
|
7,192 |
|
68,971 |
|
|
IGM Biosciences, Inc.* |
|
5,469 |
|
91,551 |
|
|
I-Mab (China)*(2) |
|
3,136 |
|
39,325 |
|
|
Imago Biosciences, Inc.*(1) |
|
8,560 |
|
139,956 |
|
|
ImmunityBio, Inc.*(1) |
|
27,343 |
|
99,255 |
|
|
Immunocore Holdings PLC (United Kingdom)*(1)(2) |
|
5,216 |
|
170,094 |
|
|
ImmunoGen, Inc.* |
|
24,846 |
|
120,006 |
|
|
Immunovant, Inc.* |
|
21,162 |
|
97,557 |
|
|
Inhibrx, Inc.* |
|
3,968 |
|
62,893 |
|
|
Inovio Pharmaceuticals, Inc.*(1) |
|
26,244 |
|
71,646 |
|
|
Instil Bio, Inc.*(1) |
|
8,813 |
|
62,308 |
|
|
Intellia Therapeutics, Inc.* |
|
1,353 |
|
66,338 |
|
|
Iovance Biotherapeutics, Inc.* |
|
8,663 |
|
131,244 |
|
|
iTeos Therapeutics, Inc.* |
|
4,161 |
|
111,057 |
|
|
IVERIC bio, Inc.* |
|
10,729 |
|
148,597 |
|
|
KalVista Pharmaceuticals, Inc.* |
|
11,784 |
|
150,010 |
|
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
12
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
|
Karuna Therapeutics, Inc.* |
|
1,367 |
|
$152,366 |
|
|
Keros Therapeutics, Inc.* |
|
3,225 |
|
170,957 |
|
|
Kezar Life Sciences, Inc.* |
|
12,543 |
|
149,011 |
|
|
Kinnate Biopharma, Inc.* |
|
9,184 |
|
68,605 |
|
|
Kodiak Sciences, Inc.* |
|
1,902 |
|
11,450 |
|
|
Kronos Bio, Inc.* |
|
11,844 |
|
56,022 |
|
|
Krystal Biotech, Inc.*(1) |
|
2,199 |
|
133,281 |
|
|
Kura Oncology, Inc.* |
|
12,601 |
|
180,824 |
|
|
Kymera Therapeutics, Inc.*(1) |
|
2,898 |
|
90,852 |
|
|
Legend Biotech Corp.*(1)(2) |
|
3,195 |
|
128,279 |
|
|
Lexicon Pharmaceuticals, Inc.* |
|
39,262 |
|
71,064 |
|
|
MacroGenics, Inc.* |
|
9,556 |
|
68,325 |
|
|
Madrigal Pharmaceuticals, Inc.*(1) |
|
2,139 |
|
149,730 |
|
|
Marinus Pharmaceuticals, Inc.* |
|
15,039 |
|
99,558 |
|
|
MEI Pharma, Inc.* |
|
64,614 |
|
31,758 |
|
|
MeiraGTx Holdings PLC* |
|
7,579 |
|
77,988 |
|
|
Mersana Therapeutics, Inc.* |
|
28,294 |
|
98,463 |
|
|
Merus NV (Netherlands)* |
|
5,513 |
|
112,465 |
|
|
Mirati Therapeutics, Inc.* |
|
1,114 |
|
68,834 |
|
|
Mirum Pharmaceuticals, Inc.* |
|
11,161 |
|
265,409 |
|
|
Morphic Holding, Inc.*(1) |
|
3,493 |
|
105,873 |
|
|
Myovant Sciences Ltd.*(1) |
|
10,655 |
|
99,198 |
|
|
NGM Biopharmaceuticals, Inc.* |
|
8,782 |
|
109,599 |
|
|
Nkarta, Inc.*(1) |
|
12,126 |
|
223,603 |
|
|
Novavax, Inc.*(1) |
|
921 |
|
41,509 |
|
|
Nurix Therapeutics, Inc.* |
|
5,676 |
|
62,833 |
|
|
Nuvation Bio, Inc.* |
|
16,034 |
|
74,718 |
|
|
Olema Pharmaceuticals, Inc.* |
|
17,135 |
|
43,694 |
|
|
ORIC Pharmaceuticals, Inc.* |
|
12,914 |
|
42,874 |
|
|
Passage Bio, Inc.* |
|
23,317 |
|
45,468 |
|
|
Phathom Pharmaceuticals, Inc.*(1) |
|
8,575 |
|
110,961 |
|
|
Pliant Therapeutics, Inc.* |
|
10,224 |
|
59,913 |
|
|
PMV Pharmaceuticals, Inc.* |
|
6,746 |
|
97,750 |
|
|
Praxis Precision Medicines, Inc.* |
|
8,515 |
|
68,972 |
|
|
Precigen, Inc.* |
|
43,928 |
|
58,424 |
|
|
Precision BioSciences, Inc.* |
|
18,963 |
|
37,736 |
|
|
Prelude Therapeutics, Inc.*(1) |
|
13,048 |
|
59,890 |
|
|
Prometheus Biosciences, Inc.*(1) |
|
4,889 |
|
128,581 |
|
|
Protagonist Therapeutics, Inc.* |
|
5,216 |
|
47,413 |
|
|
Prothena Corp. PLC (Ireland)* |
|
3,686 |
|
107,484 |
|
|
Provention Bio, Inc.*(1) |
|
26,467 |
|
118,837 |
|
|
RAPT Therapeutics, Inc.* |
|
5,082 |
|
76,891 |
|
|
Reata Pharmaceuticals, Inc. Class A*(1) |
|
5,364 |
|
136,138 |
|
|
Recursion Pharmaceuticals, Inc. Class A*(1) |
|
8,321 |
|
51,590 |
|
|
REGENXBIO, Inc.* |
|
4,830 |
|
134,081 |
|
|
Relay Therapeutics, Inc.* |
|
5,558 |
|
132,447 |
|
|
Relmada Therapeutics, Inc.* |
|
8,516 |
|
213,837 |
|
|
Repare Therapeutics, Inc. (Canada)* |
|
7,891 |
|
86,801 |
|
|
Replimune Group, Inc.* |
|
5,647 |
|
94,700 |
|
|
REVOLUTION Medicines, Inc.*(1) |
|
6,375 |
|
127,309 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
|
Rhythm Pharmaceuticals, Inc.*(1) |
|
16,317 |
|
$102,144 |
|
|
Rocket Pharmaceuticals, Inc.* |
|
6,792 |
|
69,822 |
|
|
Roivant Sciences Ltd.*(1) |
|
18,546 |
|
68,435 |
|
|
Rubius Therapeutics, Inc.*(1) |
|
12,052 |
|
20,006 |
|
|
Sangamo Therapeutics, Inc.* |
|
20,983 |
|
87,079 |
|
|
Scholar Rock Holding Corp.*(1) |
|
6,212 |
|
43,919 |
|
|
Selecta Biosciences, Inc.* |
|
49,234 |
|
37,728 |
|
|
Seres Therapeutics, Inc.* |
|
19,245 |
|
91,029 |
|
|
Shattuck Labs, Inc.* |
|
18,546 |
|
71,217 |
|
|
Sorrento Therapeutics, Inc.*(1) |
|
25,427 |
|
38,395 |
|
|
SpringWorks Therapeutics, Inc.* |
|
2,288 |
|
98,178 |
|
|
Stoke Therapeutics, Inc.* |
|
8,559 |
|
123,592 |
|
|
Sutro Biopharma, Inc.* |
|
10,670 |
|
64,127 |
|
|
Syndax Pharmaceuticals, Inc.* |
|
8,723 |
|
146,285 |
|
|
Taysha Gene Therapies, Inc.* |
|
10,878 |
|
39,813 |
|
|
TG Therapeutics, Inc.*(1) |
|
9,941 |
|
68,991 |
|
|
Turning Point Therapeutics, Inc.* |
|
3,893 |
|
114,610 |
|
|
uniQure NV (Netherlands)* |
|
5,513 |
|
82,364 |
|
|
Vaxart, Inc.*(1) |
|
25,383 |
|
88,333 |
|
|
VBI Vaccines, Inc.*(1) |
|
69,220 |
|
86,525 |
|
|
Verastem, Inc.* |
|
68,924 |
|
97,872 |
|
|
Viking Therapeutics, Inc.* |
|
32,708 |
|
77,845 |
|
|
Vir Biotechnology, Inc.* |
|
3,374 |
|
68,661 |
|
|
Vor BioPharma, Inc.* |
|
12,572 |
|
72,038 |
|
|
Xencor, Inc.* |
|
4,592 |
|
114,708 |
|
|
Xenon Pharmaceuticals, Inc. (Canada)* |
|
6,078 |
|
171,825 |
|
|
Zentalis Pharmaceuticals, Inc.* |
|
2,169 |
|
57,522 |
|
|
Zymeworks, Inc. (Canada)* |
|
9,749 |
|
59,566 |
|
|
Total Health Care |
|
|
|
16,114,705 |
|
|
|
|
|
|
|
|
|
Materials - 0.6% |
|
|
|
|
|
|
Amyris, Inc.*(1) |
|
29,766 |
|
102,097 |
|
|
Total Common Stocks |
|
|
|
|
|
|
(Cost $38,158,829) |
|
|
|
16,216,802 |
|
|
|
|
|
|
| |
|
SECURITIES LENDING COLLATERAL - 16.2% |
|
|
|
| |
|
|
|
|
|
|
|
|
Money Market Fund - 16.2% |
|
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.24%(3)(4) |
|
|
|
|
|
|
(Cost $2,687,943) |
|
2,687,943 |
|
2,687,943 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 114.1% |
|
|
|
|
|
|
(Cost $40,846,772) |
|
|
|
18,904,745 |
|
|
Liabilities in Excess of Other Assets - (14.1)% |
|
|
|
(2,336,429 |
) |
|
Net Assets - 100.0% |
|
|
|
$16,568,316 |
|
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $4,219,143; total market value of collateral held by the Fund was $4,492,864. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $1,804,921.
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
13
(2)American Depositary Receipts.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of April 30, 2022.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$16,216,802 |
|
$— |
|
$— |
|
$16,216,802 |
|
Money Market Fund |
|
2,687,943 |
|
— |
|
— |
|
2,687,943 |
|
Total |
|
$18,904,745 |
|
$— |
|
$— |
|
$18,904,745 |
The accompanying notes are an integral part of these financial statements.
14
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS - 96.6% |
|
|
|
|
|
|
|
|
|
|
|
Health Care - 96.6% |
|
|
|
|
|
2seventy bio, Inc.*(1) |
|
11,449 |
|
$154,103 |
|
ACADIA Pharmaceuticals, Inc.* |
|
14,097 |
|
259,949 |
|
ADC Therapeutics SA (Switzerland)*(1) |
|
16,731 |
|
196,924 |
|
Agios Pharmaceuticals, Inc.*(1) |
|
10,060 |
|
221,018 |
|
Alnylam Pharmaceuticals, Inc.* |
|
1,746 |
|
232,969 |
|
Amgen, Inc. |
|
1,515 |
|
353,283 |
|
Amicus Therapeutics, Inc.* |
|
31,207 |
|
220,946 |
|
Apellis Pharmaceuticals, Inc.* |
|
7,606 |
|
331,089 |
|
Ascendis Pharma A/S (Denmark)*(2) |
|
2,373 |
|
216,584 |
|
Aurinia Pharmaceuticals, Inc. (Canada)* |
|
18,003 |
|
185,251 |
|
BeiGene Ltd. (China)*(1)(2) |
|
1,165 |
|
186,400 |
|
BioCryst Pharmaceuticals, Inc.* |
|
28,367 |
|
263,529 |
|
Biogen, Inc.* |
|
1,405 |
|
291,453 |
|
Biohaven Pharmaceutical Holding Co., Ltd.* |
|
3,116 |
|
277,854 |
|
BioMarin Pharmaceutical, Inc.* |
|
3,911 |
|
318,160 |
|
BioNTech SE (Germany)*(2) |
|
1,172 |
|
162,650 |
|
Bluebird Bio, Inc.*(1) |
|
35,398 |
|
128,495 |
|
Blueprint Medicines Corp.* |
|
3,279 |
|
191,330 |
|
ChemoCentryx, Inc.* |
|
9,775 |
|
180,446 |
|
Enanta Pharmaceuticals, Inc.*(1) |
|
4,666 |
|
300,490 |
|
Exelixis, Inc.* |
|
19,073 |
|
426,091 |
|
Gilead Sciences, Inc. |
|
4,589 |
|
272,311 |
|
Global Blood Therapeutics, Inc.* |
|
13,022 |
|
399,775 |
|
Halozyme Therapeutics, Inc.* |
|
9,360 |
|
373,464 |
|
Harmony Biosciences Holdings, Inc.* |
|
8,443 |
|
380,273 |
|
Incyte Corp.* |
|
4,727 |
|
354,336 |
|
Insmed, Inc.* |
|
12,090 |
|
265,617 |
|
Intra-Cellular Therapies, Inc.* |
|
9,082 |
|
459,640 |
|
Ionis Pharmaceuticals, Inc.* |
|
10,719 |
|
394,030 |
|
Ironwood Pharmaceuticals, Inc.*(1) |
|
29,692 |
|
356,304 |
|
Kiniksa Pharmaceuticals Ltd. Class A*(1) |
|
26,170 |
|
244,166 |
|
Ligand Pharmaceuticals, Inc.* |
|
2,265 |
|
210,328 |
|
Moderna, Inc.* |
|
1,170 |
|
157,260 |
|
Nektar Therapeutics* |
|
25,571 |
|
105,608 |
|
Neurocrine Biosciences, Inc.* |
|
3,920 |
|
352,918 |
|
PTC Therapeutics, Inc.* |
|
8,747 |
|
309,031 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
Regeneron Pharmaceuticals, Inc.* |
|
483 |
|
$318,350 |
|
Sage Therapeutics, Inc.* |
|
8,363 |
|
263,602 |
|
Sarepta Therapeutics, Inc.* |
|
3,788 |
|
273,948 |
|
Seagen, Inc.* |
|
2,245 |
|
294,117 |
|
Theravance Biopharma, Inc.* |
|
31,695 |
|
305,857 |
|
Travere Therapeutics, Inc.*(1) |
|
12,305 |
|
309,225 |
|
Ultragenyx Pharmaceutical, Inc.* |
|
3,966 |
|
280,357 |
|
United Therapeutics Corp.* |
|
1,672 |
|
296,880 |
|
Vanda Pharmaceuticals, Inc.* |
|
20,341 |
|
201,783 |
|
Vertex Pharmaceuticals, Inc.* |
|
1,550 |
|
423,491 |
|
Y-mAbs Therapeutics, Inc.* |
|
20,612 |
|
173,141 |
|
Zai Lab Ltd. (China)*(2) |
|
5,172 |
|
206,673 |
|
Total Health Care |
|
|
|
13,081,499 |
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
(Cost $18,620,889) |
|
|
|
13,081,499 |
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL - 2.9% |
|
|
|
|
|
|
|
|
|
|
|
Money Market Fund - 2.9% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.24%(3)(4) |
|
|
|
|
|
(Cost $391,302) |
|
391,302 |
|
391,302 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 99.5% |
|
|
|
|
|
(Cost $19,012,191) |
|
|
|
13,472,801 |
|
Other Assets in Excess of Liabilities - 0.5% |
|
|
|
71,996 |
|
Net Assets - 100.0% |
|
|
|
$13,544,797 |
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $2,050,268; total market value of collateral held by the Fund was $2,155,087. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $1,763,785.
(2)American Depositary Receipts.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of April 30, 2022.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$13,081,499 |
|
$— |
|
$— |
|
$13,081,499 |
|
Money Market Fund |
|
391,302 |
|
— |
|
— |
|
391,302 |
|
Total |
|
$13,472,801 |
|
$— |
|
$— |
|
$13,472,801 |
The accompanying notes are an integral part of these financial statements.
15
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS - 37.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services - 2.9% |
|
|
|
|
|
|
CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 03/01/30(1) |
|
$25,000 |
|
$22,385 |
|
|
CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 08/15/30(1) |
|
75,000 |
|
65,562 |
|
|
CommScope, Inc., 4.75%, 09/01/29(1) |
|
15,000 |
|
12,566 |
|
|
CSC Holdings LLC, 5.75%, 01/15/30(1) |
|
200,000 |
|
166,349 |
|
|
DISH DBS Corp., 7.75%, 07/01/26 |
|
45,000 |
|
42,385 |
|
|
iHeartCommunications, Inc., 8.38%, 05/01/27 |
|
44,008 |
|
43,644 |
|
|
Level 3 Financing, Inc., 4.25%, 07/01/28(1) |
|
15,000 |
|
12,700 |
|
|
Level 3 Financing, Inc., 3.63%, 01/15/29(1) |
|
55,000 |
|
44,730 |
|
|
McGraw-Hill Education, Inc., 5.75%, 08/01/28(1) |
|
45,000 |
|
40,247 |
|
|
McGraw-Hill Education, Inc., 8.00%, 08/01/29(1) |
|
55,000 |
|
49,300 |
|
|
Millennium Escrow Corp., 6.63%, 08/01/26(1) |
|
40,000 |
|
37,015 |
|
|
Nexstar Media, Inc., 4.75%, 11/01/28(1) |
|
20,000 |
|
18,177 |
|
|
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(1) |
|
5,000 |
|
4,555 |
|
|
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 02/15/28(1) |
|
5,000 |
|
4,190 |
|
|
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 10.75%, 06/01/28(1) |
|
40,000 |
|
41,213 |
|
|
T-Mobile USA, Inc., 3.88%, 04/15/30 |
|
55,000 |
|
52,154 |
|
|
Twitter, Inc., 3.88%, 12/15/27(1) |
|
55,000 |
|
54,003 |
|
|
Total Communication Services |
|
|
|
711,175 |
|
|
|
|
|
|
|
|
|
Consumer Discretionary - 4.8% |
|
|
|
|
|
|
At Home Group, Inc., 4.88%, 07/15/28(1) |
|
10,000 |
|
8,281 |
|
|
At Home Group, Inc., 7.13%, 07/15/29(1) |
|
40,000 |
|
29,846 |
|
|
Brunswick Corp., 2.40%, 08/18/31 |
|
62,000 |
|
48,834 |
|
|
Caesars Entertainment, Inc., 6.25%, 07/01/25(1) |
|
30,000 |
|
30,365 |
|
|
Caesars Entertainment, Inc., 8.13%, 07/01/27(1) |
|
5,000 |
|
5,231 |
|
|
Carnival Corp., 7.63%, 03/01/26(1) |
|
90,000 |
|
88,190 |
|
|
Carriage Services, Inc., 4.25%, 05/15/29(1) |
|
45,000 |
|
39,210 |
|
|
Carvana Co., 5.63%, 10/01/25(1) |
|
30,000 |
|
26,041 |
|
|
Clarios Global LP / Clarios US Finance Co., 8.50%, 05/15/27(1) |
|
45,000 |
|
45,029 |
|
|
Cooper-Standard Automotive, Inc., 13.00%, 06/01/24(1) |
|
20,000 |
|
20,229 |
|
|
Dick’s Sporting Goods, Inc., 3.15%, 01/15/32 |
|
84,000 |
|
70,207 |
|
|
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(1) |
|
20,000 |
|
16,425 |
|
|
Ford Motor Co., 3.25%, 02/12/32 |
|
14,000 |
|
11,401 |
|
|
Ford Motor Co., 4.75%, 01/15/43 |
|
70,000 |
|
56,485 |
|
|
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 06/01/29(1) |
|
45,000 |
|
40,683 |
|
|
Jacobs Entertainment, Inc., 6.75%, 02/15/29(1) |
|
45,000 |
|
44,144 |
|
|
Lindblad Expeditions LLC, 6.75%, 02/15/27(1) |
|
45,000 |
|
44,215 |
|
|
M/I Homes, Inc., 4.95%, 02/01/28 |
|
55,000 |
|
50,752 |
|
|
Metis Merger Sub LLC, 6.50%, 05/15/29(1) |
|
25,000 |
|
21,783 |
|
|
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc., 4.63%, 06/15/25(1) |
|
10,000 |
|
9,992 |
|
|
Mohegan Gaming & Entertainment, 8.00%, 02/01/26(1) |
|
50,000 |
|
44,456 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (continued) |
|
|
|
|
|
|
NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/26(1) |
|
$65,000 |
|
$64,607 |
|
|
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.63%, 09/01/29(1) |
|
90,000 |
|
72,115 |
|
|
PulteGroup, Inc., 7.88%, 06/15/32 |
|
50,000 |
|
60,534 |
|
|
PulteGroup, Inc., 6.38%, 05/15/33 |
|
30,000 |
|
32,462 |
|
|
Royal Caribbean Cruises Ltd., 4.25%, 07/01/26(1) |
|
10,000 |
|
9,065 |
|
|
Royal Caribbean Cruises Ltd., 5.50%, 04/01/28(1) |
|
5,000 |
|
4,571 |
|
|
Scientific Games Holdings LP/Scientific Games US Finco, Inc., 6.63%, 03/01/30(1) |
|
5,000 |
|
4,757 |
|
|
Station Casinos LLC, 4.50%, 02/15/28(1) |
|
50,000 |
|
45,455 |
|
|
Tenneco, Inc., 5.38%, 12/15/24 |
|
20,000 |
|
19,585 |
|
|
Tenneco, Inc., 5.13%, 04/15/29(1) |
|
45,000 |
|
43,928 |
|
|
Under Armour, Inc., 3.25%, 06/15/26 |
|
30,000 |
|
27,646 |
|
|
Weekley Homes LLC / Weekley Finance Corp., 4.88%, 09/15/28(1) |
|
25,000 |
|
22,126 |
|
|
Total Consumer Discretionary |
|
|
|
1,158,650 |
|
|
|
|
|
|
|
|
|
Consumer Staples - 0.8% |
|
|
|
|
|
|
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.25%, 03/15/26(1) |
|
60,000 |
|
54,821 |
|
|
Energizer Holdings, Inc., 6.50%, 12/31/27(1) |
|
15,000 |
|
14,421 |
|
|
HLF Financing Sarl LLC / Herbalife International, Inc., 4.88%, 06/01/29(1) |
|
45,000 |
|
36,279 |
|
|
Turning Point Brands, Inc., 5.63%, 02/15/26(1) |
|
60,000 |
|
57,201 |
|
|
Vector Group Ltd., 5.75%, 02/01/29(1) |
|
40,000 |
|
35,166 |
|
|
Total Consumer Staples |
|
|
|
197,888 |
|
|
|
|
|
|
|
|
|
Energy - 5.3% |
|
|
|
|
|
|
Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 7.50%, 05/01/25(1) |
|
105,000 |
|
105,416 |
|
|
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.75%, 01/15/28(1) |
|
80,000 |
|
77,942 |
|
|
Antero Resources Corp., 8.38%, 07/15/26(1) |
|
9,000 |
|
9,709 |
|
|
Antero Resources Corp., 7.63%, 02/01/29(1) |
|
8,000 |
|
8,485 |
|
|
Antero Resources Corp., 5.38%, 03/01/30(1) |
|
15,000 |
|
14,678 |
|
|
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 8.25%, 12/31/28(1) |
|
45,000 |
|
46,858 |
|
|
Callon Petroleum Co., 6.13%, 10/01/24 |
|
25,172 |
|
24,886 |
|
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 8.13%, 01/15/27(1) |
|
40,000 |
|
35,866 |
|
|
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(1) |
|
45,000 |
|
45,055 |
|
|
CrownRock LP / CrownRock Finance, Inc., 5.00%, 05/01/29(1) |
|
20,000 |
|
19,599 |
|
|
CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 04/01/25(1) |
|
52,000 |
|
50,084 |
|
|
DCP Midstream Operating LP, 3.25%, 02/15/32 |
|
30,000 |
|
25,489 |
|
|
Earthstone Energy Holdings LLC, 8.00%, 04/15/27(1) |
|
40,000 |
|
39,925 |
|
|
Energy Transfer LP, Series H, 6.50%, (US 5 Year CMT T- Note + 5.69%), perpetual(2)(3) |
|
75,000 |
|
71,446 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
16
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (continued) |
|
|
|
|
|
|
Flex Intermediate Holdco LLC, 3.36%, 06/30/31(1) |
|
$70,000 |
|
$61,541 |
|
|
HF Sinclair Corp., 5.88%, 04/01/26(1) |
|
45,000 |
|
46,257 |
|
|
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/29(1) |
|
60,000 |
|
58,876 |
|
|
Hilcorp Energy I LP / Hilcorp Finance Co., 6.00%, 02/01/31(1) |
|
45,000 |
|
43,596 |
|
|
Kinder Morgan, Inc., Series G, 7.75%, 01/15/32 |
|
53,000 |
|
64,513 |
|
|
Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(1) |
|
20,000 |
|
20,023 |
|
|
Mesquite Energy, Inc., Escrow, 7.25%, 02/15/23 |
|
12,000 |
|
180 |
|
|
Nabors Industries Ltd., 7.25%, 01/15/26(1) |
|
25,000 |
|
24,466 |
|
|
Nabors Industries, Inc., 7.38%, 05/15/27(1) |
|
15,000 |
|
15,323 |
|
|
Occidental Petroleum Corp., 6.63%, 09/01/30 |
|
65,000 |
|
70,535 |
|
|
Occidental Petroleum Corp., 6.13%, 01/01/31 |
|
45,000 |
|
47,358 |
|
|
Parsley Energy LLC / Parsley Finance Corp., 4.13%, 02/15/28(1) |
|
45,000 |
|
42,505 |
|
|
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 |
|
45,000 |
|
42,849 |
|
|
Plains All American Pipeline LP / PAA Finance Corp., 3.80%, 09/15/30 |
|
70,000 |
|
64,946 |
|
|
Sabine Pass Liquefaction LLC, 4.20%, 03/15/28 |
|
50,000 |
|
49,119 |
|
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 02/01/31 |
|
5,000 |
|
4,814 |
|
|
Transocean, Inc., 11.50%, 01/30/27(1) |
|
4,000 |
|
3,984 |
|
|
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 04/01/26 |
|
18,000 |
|
17,664 |
|
|
Venture Global Calcasieu Pass LLC, 4.13%, 08/15/31(1) |
|
30,000 |
|
27,271 |
|
|
Venture Global Calcasieu Pass LLC, 3.88%, 11/01/33(1) |
|
10,000 |
|
8,715 |
|
|
Total Energy |
|
|
|
1,289,973 |
|
|
|
|
|
|
|
|
|
Financials - 9.7% |
|
|
|
|
|
|
Acrisure LLC / Acrisure Finance, Inc., 7.00%, 11/15/25(1) |
|
35,000 |
|
34,126 |
|
|
Acrisure LLC / Acrisure Finance, Inc., 4.25%, 02/15/29(1) |
|
45,000 |
|
39,374 |
|
|
Allstate Corp. (The), Series B, 5.75%, (3-Month USD LIBOR + 2.94%), 08/15/53(2) |
|
55,000 |
|
53,427 |
|
|
Ally Financial, Inc., Series B, 4.70%, (US 5 Year CMT T- Note + 3.87%), perpetual(2)(3) |
|
118,000 |
|
102,262 |
|
|
Athene Global Funding, 2.45%, 08/20/27(1) |
|
70,000 |
|
64,178 |
|
|
Bank of America Corp., 1.73%, (SOFR + 0.96%), 07/22/27(2) |
|
65,000 |
|
58,397 |
|
|
Bank of America Corp., 3.42%, (3-Month USD LIBOR + 1.04%), 12/20/28(2) |
|
45,000 |
|
42,649 |
|
|
Bank of America Corp., 2.48%, (US 5 Year CMT T- Note + 1.20%), 09/21/36(2) |
|
60,000 |
|
48,099 |
|
|
Bank of New York Mellon Corp. (The), Series G, 4.70%, (US 5 Year CMT T- Note + 4.36%), perpetual(2)(3) |
|
65,000 |
|
65,000 |
|
|
Blackstone Private Credit Fund, 2.63%, 12/15/26(1) |
|
39,000 |
|
34,235 |
|
|
Blue Owl Finance LLC, 3.13%, 06/10/31(1) |
|
55,000 |
|
44,134 |
|
|
Brighthouse Financial, Inc., 5.63%, 05/15/30 |
|
50,000 |
|
52,279 |
|
|
BroadStreet Partners, Inc., 5.88%, 04/15/29(1) |
|
40,000 |
|
34,752 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
|
Charles Schwab Corp. (The), Series H, 4.00%, (US 10 Year CMT T- Note + 3.08%), perpetual(2)(3) |
|
$50,000 |
|
$42,444 |
|
|
Citadel LP, 4.88%, 01/15/27(1) |
|
50,000 |
|
49,126 |
|
|
Citigroup, Inc., 3.98%, (3-Month USD LIBOR + 1.34%), 03/20/30(2) |
|
115,000 |
|
110,233 |
|
|
Cobra AcquisitionCo. LLC, 6.38%, 11/01/29(1) |
|
45,000 |
|
34,483 |
|
|
Coinbase Global, Inc., 3.63%, 10/01/31(1) |
|
45,000 |
|
33,328 |
|
|
Goldman Sachs Group, Inc. (The), 1.99%, (SOFR + 1.09%), 01/27/32(2) |
|
100,000 |
|
80,866 |
|
|
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.25%, 05/15/26 |
|
45,000 |
|
44,694 |
|
|
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, 05/15/27 |
|
25,000 |
|
23,397 |
|
|
JPMorgan Chase & Co., Series HH, 4.60%, (SOFR + 3.13%), perpetual(2)(3) |
|
34,000 |
|
31,511 |
|
|
JPMorgan Chase & Co., 2.96%, (SOFR + 2.52%), 05/13/31(2) |
|
105,000 |
|
92,441 |
|
|
JPMorgan Chase & Co., 1.95%, (SOFR + 1.07%), 02/04/32(2) |
|
100,000 |
|
81,779 |
|
|
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 02/01/27(1) |
|
55,000 |
|
50,624 |
|
|
Liberty Mutual Group, Inc., 4.13%, (US 5 Year CMT T- Note + 3.32%), 12/15/51(1)(2) |
|
50,000 |
|
45,452 |
|
|
Lincoln National Corp., 3.10%, (3-Month USD LIBOR + 2.04%), 04/20/67(2) |
|
60,000 |
|
49,176 |
|
|
MetLife, Inc., Series D, 5.88%, (3-Month USD LIBOR + 2.96%), perpetual(2)(3) |
|
52,000 |
|
51,471 |
|
|
MetLife, Inc., Series G, 3.85%, (US 5 Year CMT T- Note + 3.58%), perpetual(2)(3) |
|
40,000 |
|
38,192 |
|
|
Morgan Stanley, 3.95%, 04/23/27 |
|
125,000 |
|
122,681 |
|
|
Navient Corp., 6.75%, 06/25/25 |
|
44,000 |
|
43,976 |
|
|
OneMain Finance Corp., 7.13%, 03/15/26 |
|
37,000 |
|
37,527 |
|
|
OWL Rock Core Income Corp., 4.70%, 02/08/27(1) |
|
54,000 |
|
50,995 |
|
|
Prospect Capital Corp., 3.71%, 01/22/26 |
|
70,000 |
|
65,026 |
|
|
Prudential Financial, Inc., 5.63%, (3-Month USD LIBOR + 3.92%), 06/15/43(2) |
|
85,000 |
|
85,082 |
|
|
Prudential Financial, Inc., 5.13%, (US 5 Year CMT T- Note + 3.16%), 03/01/52(2) |
|
39,000 |
|
37,988 |
|
|
Santander Holdings USA, Inc., 4.40%, 07/13/27 |
|
59,000 |
|
58,289 |
|
|
Synovus Financial Corp., 5.90%, (USD 5 Year Swap + 3.38%), 02/07/29(2) |
|
25,000 |
|
25,393 |
|
|
Texas Capital Bancshares, Inc., 4.00%, (US 5 Year CMT T- Note + 3.15%), 05/06/31(2) |
|
70,000 |
|
67,120 |
|
|
Truist Financial Corp., Series Q, 5.10%, (US 10 Year CMT T- Note + 4.35%), perpetual(2)(3) |
|
60,000 |
|
60,075 |
|
|
VICI Properties LP, 4.95%, 02/15/30 |
|
25,000 |
|
24,849 |
|
|
VICI Properties LP, 5.13%, 05/15/32 |
|
25,000 |
|
24,853 |
|
|
Wells Fargo & Co., Series BB, 3.90%, (US 5 Year CMT T-Note + 3.45%), perpetual(2)(3) |
|
130,000 |
|
118,700 |
|
|
Total Financials |
|
|
|
2,354,683 |
|
|
|
|
|
|
|
|
|
Health Care - 2.8% |
|
|
|
|
|
|
Akumin, Inc., 7.00%, 11/01/25(1) |
|
50,000 |
|
42,194 |
|
|
Bausch Health Americas, Inc., 9.25%, 04/01/26(1) |
|
24,000 |
|
23,852 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
17
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
|
Bausch Health Americas, Inc., 8.50%, 01/31/27(1) |
|
$15,000 |
|
$14,219 |
|
|
Bausch Health Cos., Inc., 6.13%, 02/01/27(1) |
|
5,000 |
|
4,810 |
|
|
Bausch Health Cos., Inc., 7.00%, 01/15/28(1) |
|
35,000 |
|
28,932 |
|
|
Bio-Rad Laboratories, Inc., 3.70%, 03/15/32 |
|
14,000 |
|
12,886 |
|
|
CHS/Community Health Systems, Inc., 6.88%, 04/15/29(1) |
|
20,000 |
|
17,571 |
|
|
CHS/Community Health Systems, Inc., 6.13%, 04/01/30(1) |
|
30,000 |
|
24,707 |
|
|
CHS/Community Health Systems, Inc., 5.25%, 05/15/30(1) |
|
35,000 |
|
30,741 |
|
|
CHS/Community Health Systems, Inc., 4.75%, 02/15/31(1) |
|
90,000 |
|
76,448 |
|
|
Encompass Health Corp., 4.50%, 02/01/28 |
|
40,000 |
|
37,049 |
|
|
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc., 6.13%, 04/01/29(1) |
|
15,000 |
|
13,066 |
|
|
HCA, Inc., 5.63%, 09/01/28 |
|
17,000 |
|
17,592 |
|
|
Illumina, Inc., 2.55%, 03/23/31 |
|
77,000 |
|
65,689 |
|
|
Lannett Co., Inc., 7.75%, 04/15/26(1) |
|
10,000 |
|
5,262 |
|
|
Legacy LifePoint Health LLC, 6.75%, 04/15/25(1) |
|
20,000 |
|
20,428 |
|
|
Molina Healthcare, Inc., 3.88%, 05/15/32(1) |
|
30,000 |
|
26,384 |
|
|
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 7.25%, 02/01/28(1) |
|
2,000 |
|
2,023 |
|
|
Par Pharmaceutical, Inc., 7.50%, 04/01/27(1) |
|
30,000 |
|
27,407 |
|
|
Prime Healthcare Services, Inc., 7.25%, 11/01/25(1) |
|
5,000 |
|
5,020 |
|
|
Surgery Center Holdings, Inc., 6.75%, 07/01/25(1) |
|
12,000 |
|
11,791 |
|
|
Surgery Center Holdings, Inc., 10.00%, 04/15/27(1) |
|
30,000 |
|
31,392 |
|
|
Team Health Holdings, Inc., 6.38%, 02/01/25(1) |
|
40,000 |
|
34,150 |
|
|
Universal Health Services, Inc., 2.65%, 01/15/32(1) |
|
75,000 |
|
61,648 |
|
|
Viatris, Inc., Series WI, 2.70%, 06/22/30 |
|
45,000 |
|
37,244 |
|
|
Total Health Care |
|
|
|
672,505 |
|
|
|
|
|
|
|
|
|
Industrials - 3.3% |
|
|
|
|
|
|
Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.63%, 07/15/26(1) |
|
55,000 |
|
53,218 |
|
|
American Airlines Group, Inc., 5.00%, 06/01/22(1) |
|
45,000 |
|
45,004 |
|
|
American Airlines, Inc., 11.75%, 07/15/25(1) |
|
35,000 |
|
40,318 |
|
|
Aviation Capital Group LLC, 3.50%, 11/01/27(1) |
|
61,000 |
|
56,213 |
|
|
BlueLinx Holdings, Inc., 6.00%, 11/15/29(1) |
|
30,000 |
|
27,187 |
|
|
Boeing Co. (The), 5.15%, 05/01/30 |
|
45,000 |
|
44,738 |
|
|
Boeing Co. (The), 3.75%, 02/01/50 |
|
20,000 |
|
15,336 |
|
|
Boeing Co. (The), 5.93%, 05/01/60 |
|
23,000 |
|
22,815 |
|
|
Cleaver-Brooks, Inc., 7.88%, 03/01/23(1) |
|
40,000 |
|
37,659 |
|
|
CoStar Group, Inc., 2.80%, 07/15/30(1) |
|
58,000 |
|
50,603 |
|
|
CP Atlas Buyer, Inc., 7.00%, 12/01/28(1) |
|
90,000 |
|
75,293 |
|
|
Deluxe Corp., 8.00%, 06/01/29(1) |
|
20,000 |
|
19,004 |
|
|
General Electric Co., Series D, 4.16%, (3-Month USD LIBOR + 3.33%), perpetual(2)(3) |
|
100,000 |
|
94,862 |
|
|
Global Infrastructure Solutions, Inc., 7.50%, 04/15/32(1) |
|
50,000 |
|
46,667 |
|
|
Oscar Acquisitionco LLC / Oscar Finance, Inc., 9.50%, 04/15/30(1) |
|
40,000 |
|
36,546 |
|
|
OT Merger Corp., 7.88%, 10/15/29(1) |
|
15,000 |
|
12,770 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (continued) |
|
|
|
|
|
|
Sempra Infrastructure Partners LP, 3.25%, 01/15/32(1) |
|
$73,000 |
|
$63,328 |
|
|
SRS Distribution, Inc., 6.13%, 07/01/29(1) |
|
45,000 |
|
39,768 |
|
|
TransDigm, Inc., 5.50%, 11/15/27 |
|
30,000 |
|
27,548 |
|
|
Total Industrials |
|
|
|
808,877 |
|
|
|
|
|
|
|
|
|
Information Technology - 3.2% |
|
|
|
|
|
|
Broadcom, Inc., 4.15%, 11/15/30 |
|
53,000 |
|
50,266 |
|
|
Broadcom, Inc., 2.45%, 02/15/31(1) |
|
17,000 |
|
14,187 |
|
|
Broadcom, Inc., 3.19%, 11/15/36(1) |
|
2,000 |
|
1,581 |
|
|
CDW LLC / CDW Finance Corp., 3.57%, 12/01/31 |
|
79,000 |
|
69,315 |
|
|
Citrix Systems, Inc., 3.30%, 03/01/30 |
|
80,000 |
|
78,984 |
|
|
Consensus Cloud Solutions, Inc., 6.00%, 10/15/26(1) |
|
5,000 |
|
4,757 |
|
|
Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(1) |
|
10,000 |
|
9,413 |
|
|
Dell International LLC / EMC Corp., 8.10%, 07/15/36 |
|
47,000 |
|
57,605 |
|
|
Entegris Escrow Corp., 4.75%, 04/15/29(1) |
|
68,000 |
|
65,632 |
|
|
Kyndryl Holdings, Inc., 3.15%, 10/15/31(1) |
|
65,000 |
|
50,562 |
|
|
MicroStrategy, Inc., 6.13%, 06/15/28(1) |
|
40,000 |
|
36,723 |
|
|
Minerva Merger Sub, Inc., 6.50%, 02/15/30(1) |
|
10,000 |
|
9,216 |
|
|
Motorola Solutions, Inc., 4.60%, 02/23/28 |
|
30,000 |
|
29,890 |
|
|
Motorola Solutions, Inc., 4.60%, 05/23/29 |
|
10,000 |
|
9,822 |
|
|
Oracle Corp., 2.88%, 03/25/31 |
|
50,000 |
|
42,474 |
|
|
Rackspace Technology Global, Inc., 5.38%, 12/01/28(1) |
|
70,000 |
|
57,124 |
|
|
Rocket Software, Inc., 6.50%, 02/15/29(1) |
|
55,000 |
|
47,162 |
|
|
Science Applications International Corp., 4.88%, 04/01/28(1) |
|
95,000 |
|
90,970 |
|
|
TD SYNNEX Corp., 2.38%, 08/09/28(1) |
|
65,000 |
|
56,633 |
|
|
Total Information Technology |
|
|
|
782,316 |
|
|
|
|
|
|
|
|
|
Materials - 1.7% |
|
|
|
|
|
|
Bayport Polymers LLC, 5.14%, 04/14/32(1) |
|
80,000 |
|
80,101 |
|
|
Cleveland-Cliffs, Inc., 6.75%, 03/15/26(1) |
|
35,000 |
|
36,728 |
|
|
Freeport-McMoRan, Inc., 5.45%, 03/15/43 |
|
55,000 |
|
55,064 |
|
|
International Flavors & Fragrances, Inc., 2.30%, 11/01/30(1) |
|
90,000 |
|
75,608 |
|
|
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28(1) |
|
45,000 |
|
44,368 |
|
|
Trident TPI Holdings, Inc., 9.25%, 08/01/24(1) |
|
55,000 |
|
54,118 |
|
|
Trident TPI Holdings, Inc., 6.63%, 11/01/25(1) |
|
65,000 |
|
62,991 |
|
|
WR Grace Holdings LLC, 5.63%, 08/15/29(1) |
|
15,000 |
|
12,816 |
|
|
Total Materials |
|
|
|
421,794 |
|
|
|
|
|
|
|
|
|
Real Estate - 1.9% |
|
|
|
|
|
|
EPR Properties, 4.75%, 12/15/26 |
|
50,000 |
|
49,113 |
|
|
EPR Properties, 3.60%, 11/15/31 |
|
15,000 |
|
12,719 |
|
|
GLP Capital LP / GLP Financing II, Inc., 5.25%, 06/01/25 |
|
52,000 |
|
52,992 |
|
|
GLP Capital LP / GLP Financing II, Inc., 5.75%, 06/01/28 |
|
16,000 |
|
16,820 |
|
|
GLP Capital LP / GLP Financing II, Inc., 3.25%, 01/15/32 |
|
5,000 |
|
4,215 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
18
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
|
Iron Mountain, Inc., 5.25%, 07/15/30(1) |
|
$10,000 |
|
$9,183 |
|
|
Kite Realty Group Trust, 4.75%, 09/15/30 |
|
80,000 |
|
79,181 |
|
|
MPT Operating Partnership LP / MPT Finance Corp., 4.63%, 08/01/29 |
|
10,000 |
|
9,254 |
|
|
MPT Operating Partnership LP / MPT Finance Corp., 3.50%, 03/15/31 |
|
40,000 |
|
34,037 |
|
|
Office Properties Income Trust, 4.50%, 02/01/25 |
|
75,000 |
|
74,507 |
|
|
Phillips Edison Grocery Center Operating Partnership I LP, 2.63%, 11/15/31 |
|
80,000 |
|
66,156 |
|
|
Service Properties Trust, 4.95%, 02/15/27 |
|
25,000 |
|
21,698 |
|
|
Service Properties Trust, 4.38%, 02/15/30 |
|
55,000 |
|
42,281 |
|
|
Total Real Estate |
|
|
|
472,156 |
|
|
|
|
|
|
|
|
|
Utilities - 1.0% |
|
|
|
|
|
|
Alliant Energy Finance LLC, 3.60%, 03/01/32(1) |
|
32,000 |
|
29,553 |
|
|
CMS Energy Corp., 4.75%, (US 5 Year CMT T- Note + 4.12%), 06/01/50(2) |
|
80,000 |
|
77,000 |
|
|
Ferrellgas LP / Ferrellgas Finance Corp., 5.38%, 04/01/26(1) |
|
20,000 |
|
18,125 |
|
|
Ferrellgas LP / Ferrellgas Finance Corp., 5.88%, 04/01/29(1) |
|
5,000 |
|
4,370 |
|
|
Southern Co. (The), Series 21-A, 3.75%, (US 5 Year CMT T- Note + 2.92%), 09/15/51(2) |
|
78,000 |
|
70,395 |
|
|
Vistra Corp., 8.00%, (US 5 Year CMT T- Note + 6.93%), perpetual(1)(2)(3) |
|
45,000 |
|
45,365 |
|
|
Total Utilities |
|
|
|
244,808 |
|
|
|
|
|
|
|
|
|
Total Corporate Bonds |
|
|
|
|
|
|
(Cost $9,870,305) |
|
|
|
9,114,825 |
|
|
|
|
|
|
|
|
|
TERM LOANS - 19.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace - 0.8% |
|
|
|
|
|
|
Air Canada, 4.25%, (3-Month USD LIBOR + 3.50%), 08/11/28(2) |
|
7,059 |
|
7,004 |
|
|
Amentum Government Services Holdings LLC, 4.78%, (SOFR + 4.00 %), 02/10/29(2) |
|
15,000 |
|
14,940 |
|
|
American Airlines, Inc., 5.81%, (3-Month USD LIBOR + 4.75%), 04/20/28(2) |
|
5,000 |
|
5,097 |
|
|
Brown Group Holding, LLC, 3.51%, (1-Month USD LIBOR + 2.50%), 06/07/28(2) |
|
47,122 |
|
46,515 |
|
|
KKR Apple Bidco, LLC, 3.76%, (1-Month USD LIBOR + 3.00%), 07/14/28(2) |
|
29,925 |
|
29,654 |
|
|
Mileage Plus Holdings LLC, 6.25%, (3-Month USD LIBOR + 5.25%), 06/21/27(2) |
|
30,000 |
|
31,177 |
|
|
TransDigm, Inc., 3.01%, (1-Month USD LIBOR + 2.25%), 05/30/25(2) |
|
14,848 |
|
14,594 |
|
|
TransDigm, Inc., 3.01%, (1-Month USD LIBOR + 2.25%), 12/09/25(2) |
|
37,082 |
|
36,426 |
|
|
United Airlines, Inc., 4.50%, (3-Month USD LIBOR + 3.75%), 04/21/28(2) |
|
14,850 |
|
14,764 |
|
|
Total Aerospace |
|
|
|
200,171 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 1.1% |
|
|
|
|
|
|
Aruba Investments Holdings LLC, 4.50%, (3-Month USD LIBOR + 3.75%), 11/24/27(2) |
|
$14,850 |
|
$14,721 |
|
|
CPC Acquisition Corp., 4.76%, (3-Month USD LIBOR + 3.75%), 12/29/27(2) |
|
29,700 |
|
28,215 |
|
|
Diamond BC BV, 3.99%, (3-Month USD LIBOR + 3.00%), 09/15/28(2) |
|
49,875 |
|
48,285 |
|
|
Herens US Holdco Corp., 5.01%, (6-Month USD LIBOR + 4.00%), 07/03/28(2) |
|
49,676 |
|
48,309 |
|
|
INEOS US Finance LLC, 2.76%, (1-Month USD LIBOR + 2.00%), 04/01/24(2) |
|
44,573 |
|
44,424 |
|
|
INEOS US Finance LLC, 0.00%, (1 Month USD LIBOR + 2.00%), 04/01/24(4) |
|
25,000 |
|
24,916 |
|
|
Innophos Holdings, Inc., 4.51%, (1-Month USD LIBOR + 3.75%), 02/05/27(2) |
|
49,297 |
|
49,205 |
|
|
Total Chemicals |
|
|
|
258,075 |
|
|
|
|
|
|
|
|
|
Consumer Non-Durables - 0.5% |
|
|
|
|
|
|
DS Parent, Inc., 6.76%, (3-Month USD LIBOR + 5.75%), 12/10/28(2) |
|
24,688 |
|
24,009 |
|
|
Parfums Holding Co., Inc., 4.76%, (1-Month USD LIBOR + 4.00%), 06/28/24(2) |
|
55,767 |
|
55,363 |
|
|
Parfums Holding Co., Inc., 0.00%, (1 Month USD LIBOR + 4.00%), 06/28/24(4) |
|
25,000 |
|
24,819 |
|
|
Zep Inc., 5.00%, (3-Month USD LIBOR + 4.00%), 08/12/24(2) |
|
28,926 |
|
26,901 |
|
|
Total Consumer Non-Durables |
|
|
|
131,092 |
|
|
|
|
|
|
|
|
|
Energy - 1.0% |
|
|
|
|
|
|
CITGO Petroleum Corp., 7.01%, (3-Month USD LIBOR + 6.25%), 03/28/24(2) |
|
35,371 |
|
35,361 |
|
|
Hamilton Projects Acquiror LLC, 5.51%, (3-Month USD LIBOR + 4.50%), 06/17/27(2) |
|
24,563 |
|
24,534 |
|
|
Lucid Energy Group II Borrower LLC, 5.00%, (1-Month USD LIBOR + 4.25 %), 11/24/28(2) |
|
24,938 |
|
24,756 |
|
|
Medallion Midland Acquisition LP, 4.51%, (1-Month USD LIBOR + 3.75%), 10/18/28(2) |
|
29,770 |
|
29,747 |
|
|
Medallion Midland Acquisition LP, 0.00%, (1 Month USD LIBOR + 0.00%), 10/18/28(4) |
|
15,000 |
|
14,988 |
|
|
Oryx Midstream Services Permian Basin, LLC, 0.00%, (3 Month USD LIBOR + 0.00%), 09/30/28(4) |
|
20,000 |
|
19,928 |
|
|
Oryx Midstream Services Permian Basin, LLC, 3.75%, (3-Month USD LIBOR + 3.25%), 09/30/28(2) |
|
24,938 |
|
24,848 |
|
|
Traverse Midstream Partners LLC, 5.95%, (SOFR + 4.25%), 09/27/24(2) |
|
70,922 |
|
70,833 |
|
|
Total Energy |
|
|
|
244,995 |
|
|
|
|
|
|
|
|
|
Financials - 0.7% |
|
|
|
|
|
|
Asurion LLC, 4.01%, (1-Month USD LIBOR + 3.25%), 07/31/27(2) |
|
49,662 |
|
48,606 |
|
|
Asurion LLC, 6.01%, (1-Month USD LIBOR + 5.25%), 01/31/28(2) |
|
40,000 |
|
38,875 |
|
|
Asurion LLC, 6.01%, (1-Month USD LIBOR + 5.25%), 01/20/29(2) |
|
15,000 |
|
14,576 |
|
|
Blackhawk Network Holdings, Inc., 3.76%, (1-Month USD LIBOR + 3.00%), 06/15/25(2) |
|
29,845 |
|
29,496 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
19
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
|
Citadel Securities LP, 3.31%, (1-Month USD LIBOR + 2.50%), 02/02/28(2) |
|
$44,550 |
|
$44,264 |
|
|
Total Financials |
|
|
|
175,817 |
|
|
|
|
|
|
|
|
|
Food/Tobacco - 0.5% |
|
|
|
|
|
|
Froneri US, Inc., 3.01%, (1-Month USD LIBOR + 2.25%), 01/29/27(2) |
|
34,388 |
|
33,620 |
|
|
H-Food Holdings, LLC (aka Hearthside Food Solutions, LLC), 4.45%, (1-Month USD LIBOR + 3.69%), 05/23/25(2) |
|
24,491 |
|
23,501 |
|
|
Shearer’s Foods LLC, 4.26%, (3-Month USD LIBOR + 3.50%), 09/23/27(2) |
|
19,494 |
|
18,938 |
|
|
Triton Water Holdings, Inc., 4.51%, (3-Month USD LIBOR + 3.50%), 03/31/28(2) |
|
34,738 |
|
33,822 |
|
|
Total Food/Tobacco |
|
|
|
109,881 |
|
|
|
|
|
|
|
|
|
Forest Prod/Containers - 0.9% |
|
|
|
|
|
|
Anchor Glass Container Corp., 3.76%, (3-Month USD LIBOR + 2.75%), 12/07/23(2) |
|
14,806 |
|
12,793 |
|
|
Berlin Packaging LLC, 4.26%, (1-Month USD LIBOR + 3.25%), 03/11/28(2) |
|
39,601 |
|
39,081 |
|
|
BWAY Holding Co., 3.71%, (1-Month USD LIBOR + 3.25%), 04/03/24(2) |
|
54,739 |
|
53,768 |
|
|
Clydesdale Acquisition Holdings Inc., 4.78%, (SOFR + 4.25%), 03/30/29(2) |
|
30,000 |
|
29,645 |
|
|
Kloeckner Pentaplast of America, Inc., 5.55%, (6-Month USD LIBOR + 4.75%), 02/12/26(2) |
|
39,600 |
|
35,607 |
|
|
TricorBraun Holdings, Inc., 4.01%, (1-Month USD LIBOR + 3.25%), 01/29/28(2) |
|
49,799 |
|
48,831 |
|
|
Total Forest Prod/Containers |
|
|
|
219,725 |
|
|
|
|
|
|
|
|
|
Gaming/Leisure - 1.8% |
|
|
|
|
|
|
Caesars Resort Collection LLC, 3.51%, (1-Month USD LIBOR + 2.75%), 12/23/24(2) |
|
74,444 |
|
74,187 |
|
|
Carnival Corp., 3.75%, (3-Month USD LIBOR + 3.00%), 06/30/25(2) |
|
4,913 |
|
4,853 |
|
|
Carnival Corp., 4.00%, (3-Month USD LIBOR + 3.25%), 10/08/28(2) |
|
19,950 |
|
19,692 |
|
|
ECL Entertainment LLC, 8.26%, (1-Month USD LIBOR + 7.50%), 05/01/28(2) |
|
4,963 |
|
4,973 |
|
|
Fertitta Entertainment LLC, 4.70%, (SOFR + 4.00%), 01/13/29(2) |
|
20,000 |
|
19,933 |
|
|
J&J Ventures Gaming, LLC, 4.76%, (1-Month USD LIBOR + 4.00%), 04/26/28(2) |
|
29,850 |
|
29,701 |
|
|
Playa Resorts Holding B.V., 3.75%, (1-Month USD LIBOR + 2.75%), 04/29/24(2) |
|
88,681 |
|
87,542 |
|
|
Pug LLC, 4.26%, (1-Month USD LIBOR + 3.50%), 02/12/27(2) |
|
59,149 |
|
57,892 |
|
|
Pug LLC, 5.01%, (1-Month USD LIBOR + 4.25%), 02/12/27(2) |
|
8,528 |
|
8,464 |
|
|
Raptor Acquisition Corp., 4.93%, (3-Month USD LIBOR + 4.00%), 11/01/26(2) |
|
10,000 |
|
9,989 |
|
|
Scientific Games Holdings LP, 4.47%, (SOFR + 3.50%), 02/04/29(2) |
|
10,000 |
|
9,909 |
|
|
Scientific Games International Inc., 3.85%, (SOFR + 3.00%), 04/07/29(2) |
|
15,000 |
|
14,951 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Gaming/Leisure (continued) |
|
|
|
|
|
|
Stars Group Holdings BV, 3.26%, (3-Month USD LIBOR + 2.25%), 07/21/26(2) |
|
$18,560 |
|
$18,487 |
|
|
UFC Holdings LLC, 3.50%, (3-Month USD LIBOR + 2.75%), 04/29/26(2) |
|
54,701 |
|
53,996 |
|
|
UFC Holdings LLC, 0.00%, (3 Month USD LIBOR + 0.00%), 04/29/26(4) |
|
20,000 |
|
19,742 |
|
|
Total Gaming/Leisure |
|
|
|
434,311 |
|
|
|
|
|
|
|
|
|
Health Care - 2.8% |
|
|
|
|
|
|
Azalea Topco, Inc., 4.99%, (3-Month USD LIBOR + 3.75%), 07/24/26(2) |
|
49,575 |
|
49,328 |
|
|
Change Healthcare Holdings LLC, 3.50%, (1-Month USD LIBOR + 2.50%), 03/01/24(2) |
|
50,000 |
|
49,966 |
|
|
CHG Healthcare Services Inc., 0.00%, (3-Month USD LIBOR + 0.00%), 09/22/28(4) |
|
40,000 |
|
39,809 |
|
|
Envision Health Care Corp., 4.51%, (1-Month USD LIBOR + 3.75%), 10/10/25(2) |
|
29,890 |
|
18,445 |
|
|
Heartland Dental LLC, 4.63%, (1-Month USD LIBOR + 4.00%), 04/30/25(2) |
|
34,738 |
|
34,539 |
|
|
Hunter US Bidco, Inc., 5.26%, (3-Month USD LIBOR + 4.25%), 08/19/28(2) |
|
15,797 |
|
15,698 |
|
|
LifePoint Health, Inc., 4.50%, (1-Month USD LIBOR + 3.75%), 11/16/25(2) |
|
55,000 |
|
54,436 |
|
|
Milano Acquisition Corp., 5.01%, (3-Month USD LIBOR + 4.00%), 10/01/27(2) |
|
34,549 |
|
34,506 |
|
|
Mozart Borrower LP, 4.01%, (1-Month USD LIBOR + 3.25%), 09/30/28(2) |
|
10,000 |
|
9,843 |
|
|
One Call Corp., 6.69%, (3-Month USD LIBOR + 5.50%), 04/22/27(2) |
|
49,625 |
|
45,655 |
|
|
Packaging Coordinators Midco, Inc., 0.00%, (3 Month USD LIBOR + 3.50%), 09/25/27(4) |
|
5,000 |
|
4,925 |
|
|
Packaging Coordinators Midco, Inc., 4.76%, (3-Month USD LIBOR + 3.50%), 11/30/27(2) |
|
49,674 |
|
49,544 |
|
|
PetVet Care Centers LLC, 4.01%, (1-Month USD LIBOR + 3.25%), 02/14/25(2) |
|
8,143 |
|
8,077 |
|
|
PetVet Care Centers LLC, 4.26%, (1-Month USD LIBOR + 3.50%), 02/14/25(2) |
|
49,417 |
|
49,170 |
|
|
Phoenix Guarantor, Inc., 4.01%, (1-Month USD LIBOR + 3.25%), 03/05/26(2) |
|
39,198 |
|
38,614 |
|
|
Phoenix Guarantor, Inc., 4.13%, (1-Month USD LIBOR + 3.50%), 03/05/26(2) |
|
39,575 |
|
39,024 |
|
|
Phoenix Newco, Inc., 4.26%, (1-Month USD LIBOR + 3.50%), 08/11/28(2) |
|
10,000 |
|
9,945 |
|
|
Pluto Acquisition I, Inc., 4.51%, (3-Month USD LIBOR + 4.00%), 06/22/26(2) |
|
24,813 |
|
24,378 |
|
|
Southern Veterinary Partners LLC, 5.00%, (6-Month USD LIBOR + 4.00%), 10/05/27(2) |
|
14,887 |
|
14,831 |
|
|
Sunshine Luxembourg VII Sarl, 4.76%, (3-Month USD LIBOR + 3.75%), 10/01/26(2) |
|
14,850 |
|
14,741 |
|
|
Surgery Center Holdings, Inc., 4.50%, (1-Month USD LIBOR + 3.75%), 08/31/26(2) |
|
24,750 |
|
24,558 |
|
|
Upstream Newco, Inc., 5.06%, (1-Month USD LIBOR + 4.25%), 11/20/26(2) |
|
22,331 |
|
22,169 |
|
|
Viant Medical Holdings, Inc., 4.51%, (1-Month USD LIBOR + 3.75%), 07/02/25(2) |
|
39,169 |
|
37,243 |
|
|
Total Health Care |
|
|
|
689,444 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
20
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Housing - 0.5% |
|
|
|
|
|
|
84 Lumber Co., 3.76%, (1-Month USD LIBOR + 3.00%), 11/13/26(2) |
|
$19,800 |
|
$19,722 |
|
|
Chariot Buyer LLC, 4.51%, (3-Month USD LIBOR + 3.50%), 10/22/28(2) |
|
49,875 |
|
49,010 |
|
|
Quikrete Holdings, Inc., 3.76%, (1-Month USD LIBOR + 3.00 %), 06/11/28(2) |
|
35,000 |
|
34,157 |
|
|
Quikrete Holdings, Inc., 0.00%, (1 Month USD LIBOR + 3.00%), 06/11/28(4) |
|
10,000 |
|
9,759 |
|
|
SRS Distribution, Inc., 4.02%, (3-Month USD LIBOR + 3.75%), 06/02/28(2) |
|
14,888 |
|
14,398 |
|
|
SRS Distribution, Inc., 4.00%, (SOFR + 3.50%), 06/02/28(2) |
|
5,000 |
|
4,831 |
|
|
Total Housing |
|
|
|
131,877 |
|
|
|
|
|
|
|
|
|
Information Technology - 2.6% |
|
|
|
|
|
|
Applied Systems Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 09/19/24(4) |
|
25,000 |
|
24,958 |
|
|
Applied Systems, Inc., 6.51%, (3-Month USD LIBOR + 5.50%), 09/19/25(2) |
|
29,460 |
|
29,512 |
|
|
Boxer Parent Co, Inc., 4.51%, (3-Month USD LIBOR + 3.75%), 10/02/25(2) |
|
41,639 |
|
41,186 |
|
|
Boxer Parent Co., Inc., 6.26%, (1-Month USD LIBOR + 5.50%), 03/23/26(2) |
|
10,000 |
|
9,905 |
|
|
ConnectWise LLC, 4.26%, (1-Month USD LIBOR + 3.50%), 09/29/28(2) |
|
39,900 |
|
39,697 |
|
|
Epicor Software Corp., 4.01%, (1-Month USD LIBOR + 3.25%), 07/30/27(2) |
|
49,374 |
|
49,125 |
|
|
Greeneden US Holdings II LLC, 4.76%, (1-Month USD LIBOR + 4.00%), 12/01/27(2) |
|
14,813 |
|
14,785 |
|
|
Hyland Software, Inc., 4.26%, (1-Month USD LIBOR + 3.50%), 07/01/24(2) |
|
74,386 |
|
74,221 |
|
|
Infinite Bidco LLC, 4.26%, (1-Month USD LIBOR + 3.75%), 03/02/28(2) |
|
29,775 |
|
29,490 |
|
|
Infinite Bidco LLC, 7.51%, (1-Month USD LIBOR + 7.00%), 03/02/29(2) |
|
10,000 |
|
9,892 |
|
|
Project Ruby Ultimate Parent Corp., 4.01%, (1-Month USD LIBOR + 3.25%), 03/10/28(2) |
|
29,700 |
|
29,440 |
|
|
Proofpoint, Inc., 3.76%, (3-Month USD LIBOR + 3.25%), 06/09/28(2) |
|
29,925 |
|
29,489 |
|
|
Quest Software, Inc., 4.45%, (SOFR + 4.25%), 01/20/29(2) |
|
25,000 |
|
24,585 |
|
|
RealPage, Inc., 4.01%, (1-Month USD LIBOR + 3.25%), 04/24/28(2) |
|
44,775 |
|
44,138 |
|
|
Sophia LP, 4.26%, (3 Month USD LIBOR + 3.25%), 10/07/27(2) |
|
24,688 |
|
24,441 |
|
|
Sophia LP, 0.00%, (SOFR + 4.25%), 10/07/27(4) |
|
15,000 |
|
14,944 |
|
|
Uber Technologies Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 02/25/27(4) |
|
50,000 |
|
49,892 |
|
|
UKG, Inc., 4.21%, (3 Month USD LIBOR + 3.25%), 05/04/26(2) |
|
88,450 |
|
87,655 |
|
|
Total Information Technology |
|
|
|
627,355 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Manufacturing - 1.1% |
|
|
|
|
|
|
Alliance Laundry Systems LLC, 4.52%, (3-Month USD LIBOR + 3.50%), 10/08/27(2) |
|
$48,556 |
|
$48,374 |
|
|
Alliance Laundry Systems LLC, 0.00%, (3 Month USD LIBOR + 3.50%), 10/08/27(4) |
|
539 |
|
537 |
|
|
Arcline FM Holdings LLC, 5.50%, (3-Month USD LIBOR + 4.75%), 06/23/28(2) |
|
29,850 |
|
29,663 |
|
|
Arcline FM Holdings LLC, 9.00%, (3-Month USD LIBOR + 8.25%), 06/15/29(2) |
|
15,000 |
|
14,850 |
|
|
Filtration Group Corp., 3.76%, (1-Month USD LIBOR + 3.00%), 03/31/25(2) |
|
44,718 |
|
44,141 |
|
|
Filtration Group Corp., 4.26%, (1-Month USD LIBOR + 3.50%), 10/19/28(2) |
|
29,850 |
|
29,514 |
|
|
LEB Holdings USA, Inc., 0.00%, (3 Month USD LIBOR + 0.00%), 09/25/27(4) |
|
20,000 |
|
19,825 |
|
|
LEB Holdings USA, Inc., 4.76%, (3-Month USD LIBOR + 3.75%), 11/02/27(2) |
|
19,600 |
|
19,366 |
|
|
Safe Fleet Holdings LLC, 4.77%, (SOFR + 3.75%), 02/17/29(2) |
|
25,000 |
|
24,750 |
|
|
Star US Bidco LLC, 5.25%, (1-Month USD LIBOR + 4.25%), 03/17/27(2) |
|
24,563 |
|
24,419 |
|
|
Truck Hero, Inc., 4.01%, (1-Month USD LIBOR + 3.25%), 01/31/28(2) |
|
19,912 |
|
18,648 |
|
|
Total Manufacturing |
|
|
|
274,087 |
|
|
|
|
|
|
|
|
|
Media/Telecom - Cable/Wireless Video - 0.2% |
|
|
|
|
|
|
Directv Financing LLC, 5.76%, (1-Month USD LIBOR + 5.00%), 08/02/27(2) |
|
38,750 |
|
38,637 |
|
|
|
|
|
|
|
|
|
Media/Telecom - Diversified Media - 0.5% |
|
|
|
|
|
|
Cinemark USA, Inc., 0.00%, (3-Month USD LIBOR + 0.00%), 03/31/25(4) |
|
23,848 |
|
23,252 |
|
|
Dotdash Meredith, Inc., 4.50%, (SOFR + 4.00%), 11/23/28(2) |
|
39,900 |
|
39,618 |
|
|
McGraw-Hill Education, Inc., 5.26%, (3-Month USD LIBOR + 4.75%), 07/21/28(2) |
|
23,880 |
|
23,466 |
|
|
William Morris Endeavor Entertainment LLC, 3.52%, (1-Month USD LIBOR + 2.75%), 05/18/25(2) |
|
44,638 |
|
43,856 |
|
|
Total Media/Telecom - Diversified Media |
|
|
|
130,192 |
|
|
|
|
|
|
|
|
|
Media/Telecom - Telecommunications - 0.3% |
|
|
|
|
|
|
Altice France SA/France, 4.73%, (3-Month USD LIBOR + 3.69%), 01/31/26(2) |
|
29,309 |
|
29,076 |
|
|
CenturyLink, Inc., 3.01%, (1-Month USD LIBOR + 2.25%), 03/15/27(2) |
|
14,663 |
|
14,061 |
|
|
Consolidated Communications, Inc., 4.31%, (1-Month USD LIBOR + 3.50%), 10/02/27(2) |
|
10,710 |
|
9,979 |
|
|
Securus Technologies Holdings, Inc., 5.51%, (3-Month USD LIBOR + 4.50%), 11/01/24(2) |
|
9,846 |
|
9,413 |
|
|
Total Media/Telecom - Telecommunications |
|
|
|
62,529 |
|
|
|
|
|
|
|
|
|
Metals/Minerals - 0.2% |
|
|
|
|
|
|
Covia Holdings LLC, 5.00%, (3-Month USD LIBOR + 4.00 %), 07/31/26(2) |
|
35,000 |
|
34,554 |
|
|
Peabody Energy Corp., 3.50%, (1-Month USD LIBOR + 2.75%), 03/31/25(2) |
|
25,000 |
|
23,659 |
|
|
Total Metals/Minerals |
|
|
|
58,213 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
21
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail - 0.8% |
|
|
|
|
|
|
CNT Holdings I Corp., 0.00%, (3-Month USD LIBOR + 3.75%), 10/16/27(4) |
|
$24,750 |
|
$24,530 |
|
|
CNT Holdings I Corp., 0.00%, (3 Month USD LIBOR + 3.75%), 11/08/27(4) |
|
20,000 |
|
19,822 |
|
|
Great Outdoors Group LLC, 4.51%, (1-Month USD LIBOR + 3.75%), 03/06/28(2) |
|
44,589 |
|
44,248 |
|
|
Harbor Freight Tools USA, Inc., 3.51%, (1-Month USD LIBOR + 2.75%), 10/19/27(2) |
|
39,499 |
|
38,200 |
|
|
Michaels Cos Inc. (The), 5.26%, (3-Month USD LIBOR + 4.25%), 04/15/28(2) |
|
19,850 |
|
18,169 |
|
|
PetSmart, Inc., 4.50%, (3-Month USD LIBOR + 3.75%), 02/11/28(2) |
|
39,800 |
|
39,521 |
|
|
Rising Tide Holdings, Inc., 5.51%, (1-Month USD LIBOR + 4.75%), 06/01/28(2) |
|
14,888 |
|
14,329 |
|
|
Total Retail |
|
|
|
198,819 |
|
|
|
|
|
|
|
|
|
Service - 2.3% |
|
|
|
|
|
|
Apex Group Treasury LLC, 0.00%, (3-Month USD LIBOR + 3.75%), 07/27/28(4) |
|
10,000 |
|
9,956 |
|
|
Apex Group Treasury LLC, 4.76%, (3-Month USD LIBOR + 3.75%), 07/27/28(2) |
|
34,825 |
|
34,673 |
|
|
Carlisle FoodService Products, Inc., 4.00%, (1-Month USD LIBOR + 3.00%), 03/20/25(2) |
|
44,793 |
|
43,450 |
|
|
Dun & Bradstreet Corp. (The), 3.92%, (1-Month USD LIBOR + 3.25%), 02/06/26(2) |
|
54,140 |
|
53,809 |
|
|
Dun & Bradstreet Corp. (The), 3.92%, (SOFR + 3.25%), 01/05/29(2) |
|
5,000 |
|
4,972 |
|
|
DXP Enterprises, Inc., 5.75%, (1-Month USD LIBOR + 4.75%), 12/23/27(2) |
|
14,813 |
|
14,745 |
|
|
Garda World Security Corp., 4.92%, (1-Month USD LIBOR + 4.25%), 10/30/26(2) |
|
10,000 |
|
9,926 |
|
|
Grab Holdings, Inc., 5.50%, (3-Month USD LIBOR + 4.50%), 01/29/26(2) |
|
34,650 |
|
33,885 |
|
|
Hertz Corp. (The), 4.01%, (1-Month USD LIBOR + 3.25%), 06/30/28(2) |
|
25,554 |
|
25,492 |
|
|
Hertz Corp. (The), 4.01%, (1-Month USD LIBOR + 3.25%), 06/30/28(2) |
|
4,852 |
|
4,841 |
|
|
Hoya Midco LLC, 3.62%, (SOFR + 3.25%), 02/03/29(2) |
|
23,211 |
|
23,051 |
|
|
NAB Holdings LLC, 3.65%, (SOFR + 3.00%), 11/17/28(2) |
|
44,888 |
|
44,338 |
|
|
Peraton Corp., 4.50%, (1-Month USD LIBOR + 3.75%), 02/01/28(2) |
|
45,799 |
|
45,552 |
|
|
PODS LLC, 3.75%, (1-Month USD LIBOR + 3.00%), 03/31/28(2) |
|
44,476 |
|
44,008 |
|
|
Sedgwick Claims Management Services, Inc., 0.00%, (1 Month USD LIBOR + 0.00%), 09/03/26(4) |
|
20,000 |
|
19,928 |
|
|
Sedgwick Claims Management Services, Inc., 4.51%, (1-Month USD LIBOR + 3.75%), 09/03/26(2) |
|
49,292 |
|
49,116 |
|
|
Sweetwater Borrower LLC, 5.56%, (1-Month USD LIBOR + 4.75%), 08/07/28(2) |
|
18,775 |
|
18,353 |
|
|
University Support Services LLC, 4.01%, (1-Month USD LIBOR + 3.25%), 02/10/29(2) |
|
32,176 |
|
31,864 |
|
|
Weld North Education LLC, 4.51%, (1-Month USD LIBOR + 3.75%), 12/21/27(2) |
|
50,859 |
|
50,557 |
|
|
Total Service |
|
|
|
562,516 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TERM LOANS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology - 0.1% |
|
|
|
|
|
|
Magenta Buyer LLC, 6.23%, (3-Month USD LIBOR + 5.00%), 04/29/28(2) |
|
$19,900 |
|
$19,651 |
|
|
|
|
|
|
|
|
|
Transportation - Automotive - 0.4% |
|
|
|
|
|
|
Cooper-Standard Automotive, Inc., 2.76%, (1-Month USD LIBOR + 2.00%), 11/02/23(2) |
|
48,933 |
|
45,296 |
|
|
Mavis Tire Express Services TopCo LP, 4.75%, (1-Month USD LIBOR + 4.00%), 05/04/28(2) |
|
27,350 |
|
27,236 |
|
|
PAI Holdco, Inc., 4.74%, (3-Month USD LIBOR + 3.50%), 10/28/27(2) |
|
29,887 |
|
29,581 |
|
|
Total Transportation - Automotive |
|
|
|
102,113 |
|
|
|
|
|
|
|
|
|
Transportation - Land Transportation - 0.0%(5) |
|
|
|
|
|
|
ASP LS Acquisition Corp., 5.25%, (3-Month USD LIBOR + 4.50%), 04/30/28(2) |
|
9,950 |
|
9,880 |
|
|
|
|
|
|
|
|
|
Utilities - 0.3% |
|
|
|
|
|
|
Brookfield WEC Holdings, Inc., 3.51%, (1-Month USD LIBOR + 2.75%), 08/01/25(2) |
|
63,467 |
|
62,416 |
|
|
|
|
|
|
|
|
|
Total Term Loans |
|
|
|
|
|
|
(Cost $4,781,415) |
|
|
|
4,741,796 |
|
|
|
|
|
|
|
|
|
FOREIGN BONDS - 16.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services - 0.0% |
|
|
|
|
|
|
Telesat Canada / Telesat LLC, 6.50%, 10/15/27 (Canada)(1) |
|
30,000 |
|
12,860 |
|
|
|
|
|
|
|
|
|
Consumer Staples - 0.6% |
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide, Inc., 4.75%, 01/23/29 (Belgium) |
|
45,000 |
|
46,359 |
|
|
BAT Capital Corp., 4.91%, 04/02/30 (United Kingdom) |
|
80,000 |
|
77,290 |
|
|
Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL, 5.25%, 04/27/29 (Guatemala)(1) |
|
25,000 |
|
23,782 |
|
|
Total Consumer Staples |
|
|
|
147,431 |
|
|
|
|
|
|
|
|
|
Energy - 2.3% |
|
|
|
|
|
|
BP Capital Markets PLC, 4.88%, (US 5 Year CMT T- Note + 4.40%), perpetual (United Kingdom)(2)(3) |
|
60,000 |
|
57,710 |
|
|
Coronado Finance Pty Ltd., 10.75%, 05/15/26 (Australia)(1) |
|
36,000 |
|
38,702 |
|
|
Ecopetrol SA, 4.63%, 11/02/31 (Colombia) |
|
55,000 |
|
46,055 |
|
|
Northriver Midstream Finance LP, 5.63%, 02/15/26 (Canada)(1) |
|
35,000 |
|
34,191 |
|
|
Petrobras Global Finance BV, 7.38%, 01/17/27 (Brazil) |
|
25,000 |
|
27,394 |
|
|
Petrobras Global Finance BV, 5.60%, 01/03/31 (Brazil) |
|
20,000 |
|
19,655 |
|
|
Petroleos Mexicanos, 6.50%, 03/13/27 (Mexico) |
|
95,000 |
|
90,928 |
|
|
Petroleos Mexicanos, 5.95%, 01/28/31 (Mexico) |
|
85,000 |
|
71,658 |
|
|
Petroleos Mexicanos, 6.35%, 02/12/48 (Mexico) |
|
55,000 |
|
38,680 |
|
|
Petroleos Mexicanos, 7.69%, 01/23/50 (Mexico) |
|
20,000 |
|
15,669 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
22
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
FOREIGN BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (continued) |
|
|
|
|
|
|
Teine Energy Ltd., 6.88%, 04/15/29 (Canada)(1) |
|
$50,000 |
|
$49,903 |
|
|
Transcanada Trust, 5.60%, (US 5 Year CMT T- Note + 3.99%), 03/07/82 (Canada)(2) |
|
65,000 |
|
62,969 |
|
|
Total Energy |
|
|
|
553,514 |
|
|
|
|
|
|
|
|
|
Financials - 0.7% |
|
|
|
|
|
|
Ascot Group Ltd., 4.25%, 12/15/30 (Bermuda)(1) |
|
45,000 |
|
43,614 |
|
|
Banco Santander Chile, 3.18%, 10/26/31 (Chile)(1) |
|
150,000 |
|
135,458 |
|
|
Total Financials |
|
|
|
179,072 |
|
|
|
|
|
|
|
|
|
Government - 9.5% |
|
|
|
|
|
|
Angolan Government International Bond, 8.25%, 05/09/28 (Angola)(1) |
|
200,000 |
|
192,586 |
|
|
Argentine Republic Government International Bond, 2.50%, 07/09/41 (Argentina)(6) |
|
215,000 |
|
72,315 |
|
|
Dominican Republic International Bond, 5.95%, 01/25/27 (Dominican Republic)(1) |
|
100,000 |
|
100,422 |
|
|
Ecuador Government International Bond, 1.00%, 07/31/35 (Ecuador)(1)(6) |
|
130,000 |
|
81,612 |
|
|
Egypt Government International Bond, 7.60%, 03/01/29 (Egypt)(1) |
|
200,000 |
|
170,550 |
|
|
Emirate of Dubai Government International Bonds, Series E, 5.25%, 01/30/43 (United Arab Emirates) |
|
200,000 |
|
196,779 |
|
|
Guatemala Government Bond, 3.70%, 10/07/33 (Guatemala)(1) |
|
200,000 |
|
171,963 |
|
|
Israel Government International Bond, 2.75%, 07/03/30 (Israel) |
|
200,000 |
|
189,520 |
|
|
Ivory Coast Government International Bond, 6.13%, 06/15/33 (Ivory Coast)(1) |
|
200,000 |
|
184,338 |
|
|
Mexico Government International Bond, 4.50%, 01/31/50 (Mexico) |
|
200,000 |
|
165,120 |
|
|
Oman Government International Bond, 7.38%, 10/28/32 (Oman)(1) |
|
200,000 |
|
220,543 |
|
|
Pakistan Government International Bond, 8.25%, 09/30/25 (Pakistan)(1) |
|
200,000 |
|
170,754 |
|
|
Republic of South Africa Government International Bond, 4.85%, 09/27/27 (South Africa) |
|
200,000 |
|
191,896 |
|
|
Saudi Government International Bond, 3.63%, 03/04/28 (Saudi Arabia)(1) |
|
200,000 |
|
199,996 |
|
|
Total Government |
|
|
|
2,308,394 |
|
|
|
|
|
|
|
|
|
Health Care - 0.9% |
|
|
|
|
|
|
Cheplapharm Arzneimittel GMBH, 5.50%, 01/15/28 (Germany)(1) |
|
200,000 |
|
191,751 |
|
|
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (Israel) |
|
35,000 |
|
30,067 |
|
|
Total Health Care |
|
|
|
221,818 |
|
|
|
|
|
|
|
|
|
Industrials - 0.4% |
|
|
|
|
|
|
Avolon Holdings Funding Ltd., 4.38%, 05/01/26 (Ireland)(1) |
|
47,000 |
|
45,315 |
|
|
Bombardier, Inc., 6.00%, 02/15/28 (Canada)(1) |
|
15,000 |
|
12,995 |
|
|
Titan Acquisition Ltd. / Titan Co.-Borrower LLC, 7.75%, 04/15/26 (Canada)(1) |
|
45,000 |
|
43,486 |
|
|
Total Industrials |
|
|
|
101,796 |
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
FOREIGN BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials - 0.9% |
|
|
|
|
|
|
Eldorado Gold Corp., 6.25%, 09/01/29 (Turkey)(1) |
|
$40,000 |
|
$38,752 |
|
|
NOVA Chemicals Corp., 5.00%, 05/01/25 (Canada)(1) |
|
30,000 |
|
29,738 |
|
|
Suzano Austria GmbH, 2.50%, 09/15/28 (Brazil) |
|
20,000 |
|
17,068 |
|
|
Taseko Mines Ltd., 7.00%, 02/15/26 (Canada)(1) |
|
70,000 |
|
69,560 |
|
|
Teck Resources Ltd., 6.13%, 10/01/35 (Canada) |
|
50,000 |
|
55,387 |
|
|
Total Materials |
|
|
|
210,505 |
|
|
|
|
|
|
|
|
|
Real Estate - 0.7% |
|
|
|
|
|
|
Ontario Teachers’ Cadillac Fairview Properties Trust, 2.50%, 10/15/31 (Canada)(1) |
|
200,000 |
|
173,586 |
|
|
|
|
|
|
|
|
|
Total Foreign Bonds |
|
|
|
|
|
|
(Cost $4,309,816) |
|
|
|
3,908,976 |
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT SECURITIES - 8.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bond |
|
|
|
|
|
|
1.88%, 11/15/51 |
|
115,000 |
|
90,230 |
|
|
U.S. Treasury Note |
|
|
|
|
|
|
0.13%, 05/31/22 |
|
190,000 |
|
189,948 |
|
|
0.13%, 12/31/22 |
|
155,000 |
|
153,340 |
|
|
0.13%, 04/30/23 |
|
245,000 |
|
240,131 |
|
|
0.13%, 08/31/23 |
|
510,000 |
|
494,521 |
|
|
2.50%, 04/30/24 |
|
245,000 |
|
243,985 |
|
|
1.25%, 08/31/24 |
|
45,000 |
|
43,418 |
|
|
0.25%, 05/31/25 |
|
435,000 |
|
401,117 |
|
|
0.38%, 09/30/27 |
|
125,000 |
|
108,965 |
|
|
|
|
|
|
|
|
|
Total U.S. Government Securities |
|
|
|
|
|
|
(Cost $2,049,441) |
|
|
|
1,965,655 |
|
|
|
|
|
|
|
|
|
MORTGAGE BACKED SECURITIES - 7.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage Backed Securities - 0.7% |
|
|
|
|
|
|
BX Trust, Class D, Series 2019-OC11, 4.08%, 12/09/41(1)(2)(7) |
|
35,000 |
|
31,405 |
|
|
CF Hippolyta LLC, Class A1, Series 2020-1, 1.69%, 07/15/60(1) |
|
92,050 |
|
85,466 |
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Class AS, Series 2015-C22, 3.56%, 04/15/48 |
|
60,000 |
|
58,721 |
|
|
Sutherland Commercial Mortgage Loans, Class A, Series 2017-SBC6, 3.19%, 05/25/37(1)(2)(7) |
|
10,223 |
|
10,197 |
|
|
Total Commercial Mortgage Backed Securities |
|
|
|
185,789 |
|
|
|
|
|
|
|
|
|
Mortgage Backed Security - 0.3% |
|
|
|
|
|
|
COMM Mortgage Trust, Class B, Series 2020-CBM, 3.10%, 02/10/37(1) |
|
45,000 |
|
42,981 |
|
|
Federal National Mortgage Association, 3.50%, 05/01/49 |
|
32,300 |
|
31,480 |
|
|
Total Mortgage Backed Security |
|
|
|
74,461 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
23
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
MORTGAGE BACKED SECURITIES (continued) |
|
|
| ||
|
|
|
|
|
|
|
|
Residential Mortgage Backed Securities - 6.7% |
|
|
|
|
|
|
Ajax Mortgage Loan Trust, Class A1, Series 2019-D, 2.96%, 09/25/65(1)(6) |
|
$67,232 |
|
$67,337 |
|
|
AMSR Trust, Class D, Series 2021-SFR3, 2.18%, 10/17/38(1) |
|
100,000 |
|
88,607 |
|
|
Arroyo Mortgage Trust, Class A1, Series 2019-2, 3.35%, 04/25/49(1)(2)(7) |
|
28,083 |
|
27,661 |
|
|
CAFL Issuer LLC, Class A1, Series 2021-RTL1, 2.24%, 03/28/29(1)(6) |
|
100,000 |
|
93,518 |
|
|
Cascade MH Asset Trust, Class A1, Series 2021-MH1, 1.75%, 02/25/46(1) |
|
90,350 |
|
82,905 |
|
|
COLT Mortgage Pass-Through Certificates, Class A1, Series 2021-1R, 0.86%, 05/25/65(1)(2)(7) |
|
34,218 |
|
33,788 |
|
|
CSMC, Class A1, Series 2021-NQM1, 0.81%, 05/25/65(1)(2)(7) |
|
48,527 |
|
47,195 |
|
|
New Residential Mortgage Loan Trust, Class A1, Series 2016-1A, 3.75%, 03/25/56(1)(2)(7) |
|
50,553 |
|
49,489 |
|
|
New Residential Mortgage Loan Trust, Class M2, Series 2019-RPL2, 3.75%, 02/25/59(1)(2)(7) |
|
100,000 |
|
95,769 |
|
|
OBX Trust, Class A1, Series 2021-NQM3, 1.05%, 07/25/61(1)(2)(7) |
|
48,919 |
|
44,512 |
|
|
RCKT Mortgage Trust, Class A1, Series 2020-1, 3.00%, 02/25/50(1)(2)(7) |
|
25,288 |
|
24,197 |
|
|
Sequoia Mortgage Trust, Class B1, Series 2013-8, 3.49%, 06/25/43(2)(7) |
|
78,453 |
|
77,861 |
|
|
SG Residential Mortgage Trust, Class A1, Series 2019-3, 2.70%, 09/25/59(1)(2)(7) |
|
8,068 |
|
7,955 |
|
|
Starwood Mortgage Residential Trust, Class A1, Series 2020-1, 2.28%, 02/25/50(1)(2)(7) |
|
151,329 |
|
150,603 |
|
|
Towd Point Mortgage Trust, Class A2, Series 2017-4, 3.00%, 06/25/57(1)(2)(7) |
|
125,000 |
|
118,899 |
|
|
Towd Point Mortgage Trust, Class A2, Series 2018-6, 3.75%, 03/25/58(1)(2)(7) |
|
100,000 |
|
97,673 |
|
|
Towd Point Mortgage Trust, Class A1, Series 2018-4, 3.00%, 06/25/58(1)(2)(7) |
|
47,731 |
|
46,516 |
|
|
Towd Point Mortgage Trust, Class M1, Series 2020-1, 3.50%, 01/25/60(1)(2)(7) |
|
100,000 |
|
92,493 |
|
|
Towd Point Mortgage Trust, Class A2, Series 2021-1, 2.75%, 11/25/61(1)(2)(7) |
|
100,000 |
|
89,835 |
|
|
VCAT LLC, Class A1, Series 2021-NPL5, 1.87%, 08/25/51(1)(6) |
|
91,141 |
|
87,021 |
|
|
Verus Securitization Trust, Class A1, Series 2022-4, 4.47%, 04/25/67(1)(6) |
|
100,000 |
|
100,315 |
|
|
VOLT XCIV LLC, Class A1, Series 2021-NPL3, 2.24%, 02/27/51(1)(6) |
|
107,491 |
|
103,111 |
|
|
Total Residential Mortgage Backed Securities |
|
|
|
1,627,260 |
|
|
|
|
|
|
|
|
|
Total Mortgage Backed Securities |
|
|
|
|
|
|
(Cost $1,994,311) |
|
|
|
1,887,510 |
|
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
ASSET BACKED SECURITIES - 7.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
American Credit Acceptance Receivables Trust, Class D, Series 2020-4, 1.77%, 12/14/26(1) |
|
$45,000 |
|
$43,572 |
|
|
Arbys Funding LLC, Class A2, Series 2020-1A, 3.24%, 07/30/50(1) |
|
68,950 |
|
64,623 |
|
|
Avant Credit Card Master Trust, Class A, Series 2021-1A, 1.37%, 04/15/27(1) |
|
50,000 |
|
47,180 |
|
|
BHG Securitization Trust, Class B, Series 2021-B, 1.67%, 10/17/34(1) |
|
100,000 |
|
92,084 |
|
|
Business Jet Securities LLC, Class A, Series 2020-1A, 2.98%, 11/15/35(1) |
|
12,101 |
|
11,562 |
|
|
Carvana Auto Receivables Trust, Class D, Series 2019-2A, 3.28%, 01/15/25(1) |
|
55,000 |
|
55,111 |
|
|
Carvana Auto Receivables Trust, Class D, Series 2019-3A, 3.04%, 04/15/25(1) |
|
55,000 |
|
54,937 |
|
|
Carvana Auto Receivables Trust, Class E, Series 2019-3A, 4.60%, 07/15/26(1) |
|
55,000 |
|
55,332 |
|
|
CCG Receivables Trust, Class B, Series 2019-2, 2.55%, 03/15/27(1) |
|
100,000 |
|
99,603 |
|
|
Conn’s Receivables Funding LLC, Class B, Series 2020-A, 4.27%, 06/16/25(1) |
|
10,755 |
|
10,750 |
|
|
CPS Auto Receivables Trust, Class E, Series 2019-D, 3.86%, 10/15/25(1) |
|
55,000 |
|
54,490 |
|
|
DT Auto Owner Trust, Class C, Series 2019-2A, 3.18%, 02/18/25(1) |
|
15,343 |
|
15,365 |
|
|
Exeter Automobile Receivables Trust, Class E, Series 2019-2A, 4.68%, 05/15/26(1) |
|
55,000 |
|
55,047 |
|
|
FAT Brands Royalty LLC, Class A2, Series 2021-1A, 4.75%, 04/25/51(1) |
|
50,000 |
|
48,748 |
|
|
Flagship Credit Auto Trust, Class C, Series 2019-2, 3.09%, 05/15/25(1) |
|
130,000 |
|
130,221 |
|
|
Hotwire Funding LLC, Class C, Series 2021-1, 4.46%, 11/20/51(1) |
|
65,000 |
|
59,469 |
|
|
Jack in the Box Funding LLC, Class A2I, Series 2022-1A, 3.45%, 02/26/52(1) |
|
55,000 |
|
51,045 |
|
|
LAD Auto Receivables Trust, Class D, Series 2021-1A, 3.99%, 11/15/29(1) |
|
55,000 |
|
51,814 |
|
|
Lendbuzz Securitization Trust, Class A, Series 2022-1A, 4.22%, 05/17/27(1) |
|
100,000 |
|
99,665 |
|
|
MAPS Trust, Class A, Series 2021-1A, 2.52%, 06/15/46(1) |
|
46,795 |
|
41,840 |
|
|
MVW Owner Trust, Class A, Series 2019-1A, 2.89%, 11/20/36(1) |
|
32,666 |
|
32,015 |
|
|
NMEF Funding LLC, Class B, Series 2021-A, 1.85%, 12/15/27(1) |
|
65,000 |
|
61,773 |
|
|
Oportun Funding LLC, Class A, Series 2022-1, 3.25%, 06/15/29(1) |
|
75,000 |
|
74,646 |
|
|
Taco Bell Funding LLC, Class A23, Series 2016-1A, 4.97%, 05/25/46(1) |
|
73,343 |
|
74,423 |
|
|
TRP LLC, Class A, Series 2021-1, 2.07%, 06/19/51(1) |
|
69,044 |
|
62,364 |
|
|
Upstart Pass-Through Trust, Class A, Series 2021-ST8, 1.75%, 10/20/29(1) |
|
81,669 |
|
77,239 |
|
|
Upstart Securitization Trust, Class B, Series 2021-2, 1.75%, 06/20/31(1) |
|
60,000 |
|
56,775 |
|
|
Veros Automobile Receivables Trust, Class B, Series 2020-1, 2.19%, 06/16/25(1) |
|
36,707 |
|
36,694 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
24
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
ASSET BACKED SECURITIES (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Veros Automobile Receivables Trust, Class B, Series 2022-1, 4.39%, 08/16/27(1) |
|
$75,000 |
|
$74,494 |
|
|
Westlake Automobile Receivables Trust, Class C, Series 2020-3A, 1.24%, 11/17/25(1) |
|
45,000 |
|
44,091 |
|
|
|
|
|
|
|
|
|
Total Asset Backed Securities |
|
|
|
|
|
|
(Cost $1,797,500) |
|
|
|
1,736,972 |
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS - 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broward County Fl Water & Sewer Utility Revenue, 4.00%, 10/01/47 |
|
40,000 |
|
40,656 |
|
|
Metropolitan Transportation Authority, 5.00%, 11/15/45 |
|
60,000 |
|
66,201 |
|
|
Sales Tax Securitization Corp., 3.41%, 01/01/43 |
|
5,000 |
|
4,306 |
|
|
|
|
|
|
|
|
|
Total Municipal Bonds |
|
|
|
|
|
|
(Cost $119,453) |
|
|
|
111,163 |
|
|
|
|
|
|
|
|
|
MONEY MARKET FUND - 5.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
JP Morgan U.S. Government Money Market Institutional Shares,
0.29%(8) |
|
1,384,059 |
|
1,384,059 |
|
|
|
|
|
|
|
|
Security Description |
|
Principal |
|
Value |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 101.9% |
|
|
|
|
|
|
(Cost $26,306,300) |
|
|
|
$24,850,956 |
|
|
Liabilities in Excess of Other Assets - (1.9)% |
|
|
|
(464,758 |
) |
|
Net Assets - 100.0% |
|
|
|
$24,386,198 |
|
(1)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At April 30, 2022, the aggregate value of these securities was $10,788,391, or 44.2% of net assets.
(2)Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2022.
(3)Perpetual security with no stated maturity date.
(4)The loan will settle after April 30, 2022. The interest rate, based on the LIBOR and the agreed upon spread on trade date, will be determined at the time of settlement.
(5)Amount rounds to less than 0.05%.
(6)Represents step coupon bond. Rate shown reflects the rate in effect as of April 30, 2022.
(7)Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions.
(8)The rate shown reflects the seven-day yield as of April 30, 2022.
Abbreviations:
CMT — Constant Maturity Treasury Index
LIBOR — London InterBank Offered Rate
SOFR — Secured Overnight Financing Rate
Currency Abbreviations
USD — United States Dollar
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level1 |
|
Level2 |
|
Level3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
$— |
|
$9,114,825 |
|
$— |
|
$9,114,825 |
|
Term Loans |
|
— |
|
4,741,796 |
|
— |
|
4,741,796 |
|
Foreign Bonds |
|
— |
|
3,908,976 |
|
— |
|
3,908,976 |
|
U.S. Government Securities |
|
— |
|
1,965,655 |
|
— |
|
1,965,655 |
|
Mortgage Backed Securities |
|
— |
|
1,887,510 |
|
— |
|
1,887,510 |
|
Asset Backed Securities |
|
— |
|
1,736,972 |
|
— |
|
1,736,972 |
|
Municipal Bonds |
|
— |
|
111,163 |
|
— |
|
111,163 |
|
Money Market Fund |
|
1,384,059 |
|
— |
|
— |
|
1,384,059 |
|
Total |
|
$1,384,059 |
|
$23,466,897 |
|
$— |
|
$24,850,956 |
The accompanying notes are an integral part of these financial statements.
25
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 59.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials - 59.8% |
|
|
|
|
|
|
Apollo Investment Corp. |
|
60,137 |
|
$763,138 |
|
|
Ares Capital Corp.(1) |
|
25,907 |
|
525,135 |
|
|
Bain Capital Specialty Finance, Inc.(1) |
|
41,951 |
|
645,206 |
|
|
Barings BDC, Inc. |
|
46,294 |
|
471,273 |
|
|
BlackRock Capital Investment Corp. |
|
213,835 |
|
874,585 |
|
|
BlackRock TCP Capital Corp. |
|
51,394 |
|
704,098 |
|
|
Capital Southwest Corp.(1) |
|
20,120 |
|
466,985 |
|
|
Carlyle Secured Lending, Inc. |
|
53,808 |
|
753,850 |
|
|
Crescent Capital BDC, Inc.(1) |
|
25,831 |
|
457,725 |
|
|
Fidus Investment Corp. |
|
30,250 |
|
603,487 |
|
|
First Eagle Alternative Capital BDC, Inc. |
|
72,369 |
|
296,713 |
|
|
FS KKR Capital Corp. |
|
40,867 |
|
856,164 |
|
|
Gladstone Capital Corp.(1) |
|
48,107 |
|
560,447 |
|
|
Gladstone Investment Corp.(1) |
|
26,945 |
|
418,725 |
|
|
Goldman Sachs BDC, Inc. |
|
32,711 |
|
613,985 |
|
|
Golub Capital BDC, Inc.(1) |
|
34,880 |
|
520,410 |
|
|
Hercules Capital, Inc.(1) |
|
29,470 |
|
495,096 |
|
|
Horizon Technology Finance Corp.(1) |
|
36,434 |
|
463,805 |
|
|
Main Street Capital Corp. |
|
9,989 |
|
401,957 |
|
|
Monroe Capital Corp. |
|
29,383 |
|
297,650 |
|
|
New Mountain Finance Corp. |
|
50,335 |
|
669,455 |
|
|
Oaktree Specialty Lending Corp. |
|
59,277 |
|
424,423 |
|
|
OFS Capital Corp. |
|
32,497 |
|
392,889 |
|
|
Oxford Square Capital Corp.(1) |
|
79,321 |
|
311,731 |
|
|
PennantPark Floating Rate Capital Ltd. |
|
48,592 |
|
646,274 |
|
|
PennantPark Investment Corp. |
|
72,324 |
|
535,198 |
|
|
Portman Ridge Finance Corp. |
|
12,985 |
|
309,043 |
|
|
Prospect Capital Corp.(1) |
|
77,271 |
|
594,987 |
|
|
Saratoga Investment Corp. |
|
17,582 |
|
449,748 |
|
|
Sixth Street Specialty Lending, Inc. |
|
21,434 |
|
478,836 |
|
|
SLR Investment Corp.(1) |
|
55,019 |
|
905,063 |
|
|
Stellus Capital Investment Corp.(1) |
|
46,272 |
|
632,075 |
|
|
TriplePoint Venture Growth BDC Corp.(1) |
|
35,945 |
|
566,134 |
|
|
WhiteHorse Finance, Inc. |
|
44,557 |
|
658,107 |
|
|
Total Financials |
|
|
|
18,764,397 |
|
|
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
|
(Cost $20,077,237) |
|
|
|
18,764,397 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
CLOSED-END FUNDS - 37.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
50,618 |
|
$512,760 |
|
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
|
33,911 |
|
419,140 |
|
|
BlackRock Floating Rate Income Trust |
|
35,292 |
|
416,799 |
|
|
BlackRock Innovation & Growth Trust |
|
13,601 |
|
122,545 |
|
|
BlackRock Limited Duration Income Trust |
|
40,538 |
|
567,532 |
|
|
Blackstone Senior Floating Rate Term Fund(1) |
|
32,440 |
|
476,219 |
|
|
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc. |
|
57,745 |
|
487,945 |
|
|
Eagle Point Credit Co., Inc.(1) |
|
59,435 |
|
776,815 |
|
|
Eaton Vance Floating-Rate Income Trust |
|
32,228 |
|
407,040 |
|
|
Eaton Vance Senior Floating-Rate Trust |
|
32,305 |
|
417,381 |
|
|
Eaton Vance Senior Income Trust |
|
65,061 |
|
396,222 |
|
|
First Trust Senior Floating Rate Income Fund II(1) |
|
51,828 |
|
658,734 |
|
|
Invesco Dynamic Credit Opportunity Fund |
|
5,882 |
|
70,940 |
|
|
Invesco Senior Income Trust |
|
109,769 |
|
454,444 |
|
|
KKR Income Opportunities Fund |
|
45,541 |
|
618,447 |
|
|
Nuveen Credit Strategies Income Fund |
|
181,912 |
|
1,076,919 |
|
|
Nuveen Floating Rate Income Fund |
|
47,296 |
|
448,839 |
|
|
Nuveen Floating Rate Income Opportunity Fund |
|
47,895 |
|
446,860 |
|
|
Nuveen Senior Income Fund |
|
91,587 |
|
490,906 |
|
|
Oxford Lane Capital Corp.(1) |
|
154,161 |
|
1,054,461 |
|
|
Pioneer Floating Rate Fund, Inc. |
|
45,041 |
|
448,608 |
|
|
Saba Capital Income & Opportunities Fund(1) |
|
102,011 |
|
438,647 |
|
|
XAI Octagon Floating Rate Alternative Income Term Trust |
|
75,816 |
|
642,162 |
|
|
|
|
|
|
|
|
|
Total Closed-End Funds |
|
|
|
|
|
|
(Cost $13,202,152) |
|
|
|
11,850,365 |
|
|
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL - 19.6% |
|
|
|
| |
|
|
|
|
|
|
|
|
Money Market Fund - 19.6% |
|
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.24%(2)(3) |
|
|
|
|
|
|
(Cost $6,159,477) |
|
6,159,477 |
|
6,159,477 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 117.2% |
|
|
|
|
|
|
(Cost $39,438,866) |
|
|
|
36,774,239 |
|
|
Liabilities in Excess of Other Assets - (17.2)% |
|
|
|
(5,395,924 |
) |
|
Net Assets - 100.0% |
|
|
|
$31,378,315 |
|
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $5,933,007; total market value of collateral held by the Fund was $6,159,477.
(2)Represents securities purchased with cash collateral received for securities on loan.
(3)The rate shown reflects the seven-day yield as of April 30, 2022.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$18,764,397 |
|
$— |
|
$— |
|
$18,764,397 |
|
Closed-End Funds |
|
11,850,365 |
|
— |
|
— |
|
11,850,365 |
|
Money Market Fund |
|
6,159,477 |
|
— |
|
— |
|
6,159,477 |
|
Total |
|
$36,774,239 |
|
$— |
|
$— |
|
$36,774,239 |
The accompanying notes are an integral part of these financial statements.
26
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 98.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services - 8.1% |
|
|
|
|
|
|
Cogent Communications Holdings, Inc. |
|
27,005 |
|
$1,579,792 |
|
|
KT Corp. (South Korea)(1) |
|
119,061 |
|
1,658,520 |
|
|
Mobile TeleSystems PJSC (Russia)(1)(2) |
|
193,601 |
|
194 |
|
|
Orange SA (France)(1)(3) |
|
142,050 |
|
1,669,087 |
|
|
PLDT, Inc. (Philippines)(1) |
|
49,191 |
|
1,749,232 |
|
|
Shenandoah Telecommunications Co. |
|
73,385 |
|
1,482,377 |
|
|
SK Telecom Co., Ltd. (South Korea)(1)(3) |
|
63,647 |
|
1,592,448 |
|
|
TELUS Corp. (Canada) |
|
65,153 |
|
1,629,477 |
|
|
Total Communication Services |
|
|
|
11,361,127 |
|
|
|
|
|
|
|
|
|
Consumer Staples - 1.3% |
|
|
|
|
|
|
Alico, Inc. |
|
45,776 |
|
1,815,934 |
|
|
|
|
|
|
|
|
|
Energy - 13.1% |
|
|
|
|
|
|
Cheniere Energy Partners LP |
|
32,426 |
|
1,743,222 |
|
|
Coterra Energy, Inc. |
|
63,447 |
|
1,826,639 |
|
|
Delek Logistics Partners LP(3) |
|
39,956 |
|
1,997,400 |
|
|
Enbridge, Inc. (Canada) |
|
36,844 |
|
1,607,872 |
|
|
Falcon Minerals Corp. |
|
247,260 |
|
1,681,368 |
|
|
Hess Midstream LP Class A(3) |
|
54,111 |
|
1,591,405 |
|
|
Kinder Morgan, Inc. |
|
91,657 |
|
1,663,575 |
|
|
North American Construction Group Ltd. (Canada) |
|
109,928 |
|
1,387,291 |
|
|
Petroleo Brasileiro SA (Brazil)(1) |
|
117,055 |
|
1,588,436 |
|
|
TC Energy Corp. (Canada) |
|
29,515 |
|
1,561,344 |
|
|
Williams Cos., Inc. (The) |
|
50,798 |
|
1,741,863 |
|
|
Total Energy |
|
|
|
18,390,415 |
|
|
|
|
|
|
|
|
|
Financials - 1.2% |
|
|
|
|
|
|
Arbor Realty Trust, Inc. |
|
97,980 |
|
1,675,458 |
|
|
|
|
|
|
|
|
|
Materials - 26.0% |
|
|
|
|
|
|
Agnico Eagle Mines Ltd. (Canada)(3) |
|
26,504 |
|
1,543,328 |
|
|
Alamos Gold, Inc. Class A (Canada) |
|
197,769 |
|
1,534,687 |
|
|
AngloGold Ashanti Ltd. (Tanzania)(1) |
|
68,466 |
|
1,398,076 |
|
|
Barrick Gold Corp. (Canada) |
|
67,662 |
|
1,509,539 |
|
|
DRDGOLD Ltd. (South Africa)(1) |
|
167,149 |
|
1,337,192 |
|
|
FMC Corp. |
|
12,649 |
|
1,676,499 |
|
|
FutureFuel Corp. |
|
171,065 |
|
1,626,828 |
|
|
Gerdau SA (Brazil)(1) |
|
270,150 |
|
1,531,751 |
|
|
Gold Fields Ltd. (South Africa)(1) |
|
101,293 |
|
1,360,365 |
|
|
LyondellBasell Industries NV Class A |
|
15,962 |
|
1,692,451 |
|
|
Mosaic Co. (The) |
|
24,495 |
|
1,528,978 |
|
|
Newmont Corp. |
|
21,082 |
|
1,535,824 |
|
|
Nutrien Ltd. (Canada) |
|
15,761 |
|
1,548,518 |
|
|
Pan American Silver Corp. (Canada) |
|
59,632 |
|
1,477,085 |
|
|
POSCO Holdings, Inc. (South Korea)(1) |
|
26,604 |
|
1,508,713 |
|
|
Scotts Miracle-Gro Co. (The) |
|
13,352 |
|
1,387,673 |
|
|
Southern Copper Corp. (Peru) |
|
21,384 |
|
1,331,582 |
|
|
Steel Dynamics, Inc. |
|
19,475 |
|
1,669,981 |
|
|
Ternium SA (Mexico)(1) |
|
37,446 |
|
1,606,433 |
|
|
Tronox Holdings PLC Class A |
|
83,223 |
|
1,431,436 |
|
|
Vale SA (Brazil)(1) |
|
83,325 |
|
1,407,359 |
|
|
Valvoline, Inc. |
|
54,610 |
|
1,650,860 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (continued) |
|
|
|
|
|
|
Wheaton Precious Metals Corp. (Brazil) |
|
34,333 |
|
$1,540,178 |
|
|
Yamana Gold, Inc. (Canada) |
|
289,425 |
|
1,594,732 |
|
|
Total Materials |
|
|
|
36,430,068 |
|
|
|
|
|
|
|
|
|
Real Estate - 33.0% |
|
|
|
|
|
|
Agree Realty Corp.(3) |
|
25,900 |
|
1,759,128 |
|
|
Alexander & Baldwin, Inc. |
|
73,686 |
|
1,562,143 |
|
|
Americold Realty Trust |
|
62,844 |
|
1,657,825 |
|
|
AvalonBay Communities, Inc. |
|
6,927 |
|
1,575,754 |
|
|
CareTrust REIT, Inc. |
|
89,047 |
|
1,443,452 |
|
|
Community Healthcare Trust, Inc. |
|
40,658 |
|
1,497,028 |
|
|
Cousins Properties, Inc. |
|
42,767 |
|
1,535,335 |
|
|
Crown Castle International Corp. |
|
9,538 |
|
1,766,533 |
|
|
CTO Realty Growth, Inc. |
|
26,303 |
|
1,677,342 |
|
|
CubeSmart |
|
33,330 |
|
1,583,508 |
|
|
Digital Realty Trust, Inc. |
|
12,147 |
|
1,774,920 |
|
|
Douglas Emmett, Inc. |
|
51,300 |
|
1,511,298 |
|
|
Equity Residential |
|
18,974 |
|
1,546,381 |
|
|
Essential Properties Realty Trust, Inc. |
|
67,563 |
|
1,621,512 |
|
|
Essex Property Trust, Inc. |
|
4,923 |
|
1,620,996 |
|
|
Four Corners Property Trust, Inc. |
|
63,447 |
|
1,742,255 |
|
|
Getty Realty Corp. |
|
60,435 |
|
1,626,306 |
|
|
Industrial Logistics Properties Trust |
|
75,293 |
|
1,216,735 |
|
|
Kilroy Realty Corp. |
|
22,286 |
|
1,560,020 |
|
|
Medical Properties Trust, Inc. |
|
82,219 |
|
1,512,007 |
|
|
National Retail Properties, Inc. |
|
38,550 |
|
1,690,032 |
|
|
National Storage Affiliates Trust |
|
27,607 |
|
1,562,556 |
|
|
Piedmont Office Realty Trust, Inc. Class A |
|
100,190 |
|
1,613,059 |
|
|
RE/MAX Holdings, Inc. Class A |
|
59,229 |
|
1,389,512 |
|
|
Realty Income Corp. |
|
24,797 |
|
1,719,920 |
|
|
SL Green Realty Corp. |
|
20,880 |
|
1,445,314 |
|
|
STORE Capital Corp. |
|
57,122 |
|
1,623,978 |
|
|
UDR, Inc. |
|
29,815 |
|
1,586,456 |
|
|
VICI Properties, Inc.(3) |
|
61,237 |
|
1,825,475 |
|
|
Total Real Estate |
|
|
|
46,246,780 |
|
|
|
|
|
|
|
|
|
Utilities - 15.4% |
|
|
|
|
|
|
Algonquin Power & Utilities Corp. (Canada)(3) |
|
109,626 |
|
1,584,096 |
|
|
Alliant Energy Corp. |
|
27,506 |
|
1,617,628 |
|
|
Avista Corp. |
|
37,947 |
|
1,539,510 |
|
|
Cia Energetica de Minas Gerais (Brazil)(1)(3) |
|
553,850 |
|
1,678,165 |
|
|
Cia Paranaense de Energia (Brazil)(1)(3) |
|
220,657 |
|
1,601,970 |
|
|
CMS Energy Corp. |
|
24,595 |
|
1,689,431 |
|
|
Evergy, Inc. |
|
25,499 |
|
1,730,107 |
|
|
Fortis, Inc. (Canada) |
|
34,735 |
|
1,689,858 |
|
|
Korea Electric Power Corp. (South Korea)*(1) |
|
175,983 |
|
1,562,729 |
|
|
NRG Energy, Inc. |
|
45,778 |
|
1,643,430 |
|
|
Sempra Energy |
|
10,440 |
|
1,684,598 |
|
|
WEC Energy Group, Inc. |
|
17,368 |
|
1,737,668 |
|
|
Xcel Energy, Inc. |
|
23,993 |
|
1,757,727 |
|
|
Total Utilities |
|
|
|
21,516,917 |
|
|
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
|
(Cost $131,734,803) |
|
|
|
137,436,699 |
|
The accompanying notes are an integral part of these financial statements.
27
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL - 4.4% |
|
|
|
| |
|
|
|
|
|
|
|
|
Money Market Fund - 4.4% |
|
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.24%(4)(5) |
|
|
|
|
|
|
(Cost $6,150,902) |
|
6,150,902 |
|
$6,150,902 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 102.5% |
|
|
|
|
|
|
(Cost $137,885,705) |
|
|
|
143,587,601 |
|
|
Liabilities in Excess of Other Assets - (2.5)% |
|
|
|
(3,519,210 |
) |
|
Net Assets - 100.0% |
|
|
|
$140,068,391 |
|
*Non-income producing security.
(1)American Depositary Receipts.
(2)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(3)All or a portion of the security was on loan. The aggregate market value of securities on loan was $12,272,749; total market value of collateral held by the Fund was $12,900,710. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $6,749,808.
(4)Represents securities purchased with cash collateral received for securities on loan.
(5)The rate shown reflects the seven-day yield as of April 30, 2022.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$137,436,505 |
|
$— |
|
$194 |
|
$137,436,699 |
|
Money Market Fund |
|
6,150,902 |
|
— |
|
— |
|
6,150,902 |
|
Total |
|
$143,587,407 |
|
$— |
|
$194 |
|
$143,587,601 |
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended April 30, 2022.
The accompanying notes are an integral part of these financial statements.
28
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 98.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia - 13.6% |
|
|
|
|
|
|
BHP Group Ltd. |
|
9,499 |
|
$322,220 |
|
|
BHP Group Ltd.-DI |
|
1,751 |
|
59,999 |
|
|
Fortescue Metals Group Ltd. |
|
3,591 |
|
54,880 |
|
|
Rio Tinto Ltd. |
|
1,707 |
|
136,082 |
|
|
Rio Tinto PLC |
|
3,412 |
|
244,811 |
|
|
Stockland |
|
11,633 |
|
34,192 |
|
|
Wesfarmers Ltd. |
|
886 |
|
30,931 |
|
|
Woodside Petroleum Ltd. |
|
582 |
|
12,809 |
|
|
Total Australia |
|
|
|
895,924 |
|
|
|
|
|
|
|
|
|
Belgium - 0.4% |
|
|
|
|
|
|
Proximus SADP |
|
1,615 |
|
28,282 |
|
|
|
|
|
|
|
|
|
Canada - 8.9% |
|
|
|
|
|
|
Algonquin Power & Utilities Corp. |
|
6,590 |
|
95,414 |
|
|
Bank of Nova Scotia (The) |
|
837 |
|
53,003 |
|
|
BCE, Inc. |
|
1,452 |
|
77,197 |
|
|
Canadian Imperial Bank of Commerce |
|
523 |
|
57,819 |
|
|
Great-West Lifeco, Inc. |
|
1,695 |
|
46,760 |
|
|
IGM Financial, Inc. |
|
1,414 |
|
44,809 |
|
|
Manulife Financial Corp. |
|
3,731 |
|
72,956 |
|
|
Power Corp. of Canada |
|
1,051 |
|
30,925 |
|
|
Royal Bank of Canada |
|
115 |
|
11,615 |
|
|
TELUS Corp. |
|
3,061 |
|
76,582 |
|
|
Toronto-Dominion Bank (The) |
|
287 |
|
20,730 |
|
|
Total Canada |
|
|
|
587,810 |
|
|
|
|
|
|
|
|
|
China - 1.1% |
|
|
|
|
|
|
SITC International Holdings Co., Ltd. |
|
21,978 |
|
74,222 |
|
|
|
|
|
|
|
|
|
Denmark - 2.7% |
|
|
|
|
|
|
AP Moller - Maersk A/S Class A |
|
27 |
|
77,348 |
|
|
AP Moller - Maersk A/S Class B |
|
24 |
|
70,388 |
|
|
Tryg A/S |
|
1,359 |
|
32,572 |
|
|
Total Denmark |
|
|
|
180,308 |
|
|
|
|
|
|
|
|
|
Finland - 2.2% |
|
|
|
|
|
|
Fortum OYJ |
|
4,189 |
|
70,265 |
|
|
Kone OYJ Class B |
|
963 |
|
46,824 |
|
|
Orion OYJ Class B |
|
58 |
|
2,291 |
|
|
Sampo OYJ Class A |
|
523 |
|
25,606 |
|
|
Total Finland |
|
|
|
144,986 |
|
|
|
|
|
|
|
|
|
France - 7.9% |
|
|
|
|
|
|
Amundi SA(1) |
|
375 |
|
22,827 |
|
|
AXA SA |
|
3,510 |
|
94,275 |
|
|
Bouygues SA |
|
947 |
|
32,819 |
|
|
Danone SA |
|
287 |
|
17,452 |
|
|
Orange SA |
|
1,011 |
|
12,071 |
|
|
Sanofi |
|
2,578 |
|
275,176 |
|
|
TotalEnergies SE |
|
1,332 |
|
66,360 |
|
|
Total France |
|
|
|
520,980 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Germany - 6.1% |
|
|
|
|
|
|
Allianz SE |
|
1,253 |
|
$285,785 |
|
|
BASF SE |
|
1,538 |
|
81,791 |
|
|
Bayerische Motoren Werke AG |
|
444 |
|
36,774 |
|
|
Total Germany |
|
|
|
404,350 |
|
|
|
|
|
|
|
|
|
Hong Kong - 2.5% |
|
|
|
|
|
|
CK Infrastructure Holdings Ltd. |
|
493 |
|
3,320 |
|
|
CLP Holdings Ltd. |
|
1,396 |
|
13,610 |
|
|
Link REIT |
|
447 |
|
3,879 |
|
|
New World Development Co., Ltd. |
|
1,978 |
|
7,587 |
|
|
Power Assets Holdings Ltd. |
|
11,060 |
|
74,490 |
|
|
Sino Land Co., Ltd. |
|
21,158 |
|
28,150 |
|
|
Xinyi Glass Holdings Ltd. |
|
14,111 |
|
31,757 |
|
|
Total Hong Kong |
|
|
|
162,793 |
|
|
|
|
|
|
|
|
|
Italy - 3.7% |
|
|
|
|
|
|
Assicurazioni Generali SpA |
|
4,973 |
|
94,958 |
|
|
Enel SpA |
|
3,417 |
|
22,414 |
|
|
Eni SpA |
|
1,765 |
|
24,932 |
|
|
Snam SpA |
|
18,123 |
|
99,877 |
|
|
Total Italy |
|
|
|
242,181 |
|
|
|
|
|
|
|
|
|
Japan - 15.1% |
|
|
|
|
|
|
Bandai Namco Holdings, Inc. |
|
99 |
|
6,758 |
|
|
Bridgestone Corp. |
|
229 |
|
8,412 |
|
|
Canon, Inc. |
|
1,239 |
|
28,594 |
|
|
Daito Trust Construction Co., Ltd. |
|
87 |
|
8,393 |
|
|
Disco Corp. |
|
70 |
|
17,315 |
|
|
ITOCHU Corp. |
|
440 |
|
13,331 |
|
|
Itochu Techno-Solutions Corp. |
|
655 |
|
15,419 |
|
|
Japan Metropolitan Fund Invest |
|
30 |
|
23,880 |
|
|
Japan Tobacco, Inc. |
|
3,712 |
|
63,600 |
|
|
KDDI Corp. |
|
1,046 |
|
34,941 |
|
|
Kirin Holdings Co., Ltd. |
|
635 |
|
9,299 |
|
|
Mitsui & Co., Ltd. |
|
4,388 |
|
106,509 |
|
|
Mitsui OSK Lines Ltd. |
|
952 |
|
22,521 |
|
|
MS&AD Insurance Group Holdings, Inc. |
|
114 |
|
3,409 |
|
|
Nintendo Co., Ltd. |
|
203 |
|
93,714 |
|
|
Nippon Yusen KK |
|
734 |
|
53,505 |
|
|
Otsuka Corp. |
|
689 |
|
22,697 |
|
|
SBI Holdings, Inc. |
|
319 |
|
7,160 |
|
|
SCSK Corp. |
|
279 |
|
4,463 |
|
|
Sekisui House Ltd. |
|
3,062 |
|
53,300 |
|
|
SoftBank Corp. |
|
10,460 |
|
122,111 |
|
|
Sumitomo Corp. |
|
1,379 |
|
21,906 |
|
|
Takeda Pharmaceutical Co., Ltd. |
|
2,134 |
|
61,977 |
|
|
Tokio Marine Holdings, Inc. |
|
301 |
|
16,280 |
|
|
Tokyo Electron Ltd. |
|
85 |
|
36,338 |
|
|
Trend Micro, Inc. |
|
1,163 |
|
65,062 |
|
|
USS Co., Ltd. |
|
4,409 |
|
73,418 |
|
|
Total Japan |
|
|
|
994,312 |
|
Schedule of Investments — Virtus WMC International Dividend ETF (continued)
April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
29
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands - 0.5% |
|
|
|
|
|
|
Koninklijke Ahold Delhaize NV |
|
994 |
|
$29,456 |
|
|
|
|
|
|
|
|
|
Norway - 1.9% |
|
|
|
|
|
|
Gjensidige Forsikring ASA |
|
1,122 |
|
24,116 |
|
|
Norsk Hydro ASA |
|
1,226 |
|
10,449 |
|
|
Telenor ASA |
|
6,202 |
|
87,879 |
|
|
Total Norway |
|
|
|
122,444 |
|
|
|
|
|
|
|
|
|
Singapore - 2.4% |
|
|
|
|
|
|
Ascendas Real Estate Investment Trust |
|
16,177 |
|
33,455 |
|
|
CapitaLand Integrated Commercial Trust |
|
21,760 |
|
36,661 |
|
|
Mapletree Logistics Trust |
|
6,082 |
|
7,872 |
|
|
Oversea-Chinese Banking Corp. Ltd. |
|
2,755 |
|
24,682 |
|
|
Singapore Exchange Ltd. |
|
1,396 |
|
9,883 |
|
|
Singapore Technologies Engineering Ltd. |
|
10,705 |
|
31,737 |
|
|
Venture Corp. Ltd. |
|
836 |
|
10,367 |
|
|
Total Singapore |
|
|
|
154,657 |
|
|
|
|
|
|
|
|
|
Spain - 2.6% |
|
|
|
|
|
|
ACS Actividades de Construccion y Servicios SA |
|
692 |
|
17,951 |
|
|
Enagas SA |
|
3,892 |
|
84,458 |
|
|
Endesa SA |
|
967 |
|
20,433 |
|
|
Iberdrola SA |
|
191 |
|
2,219 |
|
|
Industria de Diseno Textil SA |
|
602 |
|
12,765 |
|
|
Red Electrica Corp. SA |
|
1,802 |
|
36,376 |
|
|
Total Spain |
|
|
|
174,202 |
|
|
|
|
|
|
|
|
|
Sweden - 0.8% |
|
|
|
|
|
|
Tele2 AB Class B |
|
3,505 |
|
46,510 |
|
|
Telia Co. AB |
|
1,561 |
|
6,499 |
|
|
Total Sweden |
|
|
|
53,009 |
|
|
|
|
|
|
|
|
|
Switzerland - 9.3% |
|
|
|
|
|
|
Adecco Group AG |
|
304 |
|
11,922 |
|
|
Kuehne + Nagel International AG |
|
43 |
|
12,161 |
|
|
Novartis AG |
|
3,280 |
|
291,702 |
|
|
Roche Holding AG |
|
159 |
|
59,236 |
|
|
Zurich Insurance Group AG |
|
515 |
|
236,071 |
|
|
Total Switzerland |
|
|
|
611,092 |
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom - 13.0% |
|
|
|
|
|
|
Admiral Group PLC |
|
2,528 |
|
$80,234 |
|
|
Aviva PLC |
|
1,716 |
|
9,350 |
|
|
BAE Systems PLC |
|
4,187 |
|
38,961 |
|
|
Barratt Developments PLC |
|
306 |
|
1,903 |
|
|
British American Tobacco PLC |
|
5,326 |
|
224,489 |
|
|
Imperial Brands PLC |
|
4,045 |
|
84,739 |
|
|
Legal & General Group PLC |
|
11,378 |
|
36,069 |
|
|
National Grid PLC |
|
2,554 |
|
38,346 |
|
|
Persimmon PLC |
|
3,125 |
|
82,520 |
|
|
Phoenix Group Holdings PLC |
|
8,429 |
|
64,548 |
|
|
Unilever PLC |
|
4,165 |
|
194,774 |
|
|
Total United Kingdom |
|
|
|
855,933 |
|
|
|
|
|
|
|
|
|
United States - 4.2% |
|
|
|
|
|
|
GlaxoSmithKline PLC |
|
6,066 |
|
137,070 |
|
|
Stellantis NV |
|
2,691 |
|
36,854 |
|
|
Swiss Re AG |
|
1,203 |
|
99,332 |
|
|
Total United States |
|
|
|
273,256 |
|
|
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
|
(Cost $6,582,747) |
|
|
|
6,510,197 |
|
|
|
|
|
|
|
|
|
WARRANT - 0.0%(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia - 0.0%(2) |
|
|
|
|
|
|
Magellan Financial Group Ltd., expiring 04/16/27* |
|
|
|
|
|
|
(Cost $0) |
|
567 |
|
627 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 98.9% |
|
|
|
|
|
|
(Cost $6,582,747) |
|
|
|
6,510,824 |
|
|
Other Assets in Excess of Liabilities - 1.1% |
|
|
|
70,059 |
|
|
Net Assets - 100.0% |
|
|
|
$6,580,883 |
|
*Non-income producing security.
(1)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At April 30, 2022, the aggregate value of these securities was $22,827, or 0.3% of net assets.
(2)Amount rounds to less than 0.05%.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$6,510,197 |
|
$— |
|
$— |
|
$6,510,197 |
|
Warrant |
|
627 |
|
— |
|
— |
|
627 |
|
Total |
|
$6,510,824 |
|
$— |
|
$— |
|
$6,510,824 |
The accompanying notes are an integral part of these financial statements.
30
|
|
|
InfraCap REIT |
|
Virtus InfraCap |
|
Virtus LifeSci |
|
Virtus LifeSci | ||||||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments, at cost |
|
|
$77,424,199 |
|
|
|
$716,711,490 |
|
|
|
$40,846,772 |
|
|
|
$19,012,191 |
|
|
Investments, at value (including securities on loan)(a) |
|
|
73,631,089 |
|
|
|
707,168,873 |
|
|
|
18,904,745 |
|
|
|
13,472,801 |
|
|
Cash |
|
|
276,577 |
|
|
|
1,885,437 |
|
|
|
384,987 |
|
|
|
493,669 |
|
|
Due from brokers |
|
|
— |
|
|
|
713,344 |
|
|
|
— |
|
|
|
— |
|
|
Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends and interest |
|
|
138,592 |
|
|
|
1,568,693 |
|
|
|
3 |
|
|
|
4 |
|
|
Capital shares sold |
|
|
— |
|
|
|
2,315,232 |
|
|
|
— |
|
|
|
— |
|
|
Securities lending |
|
|
— |
|
|
|
— |
|
|
|
2,976 |
|
|
|
242 |
|
|
Tax reclaim |
|
|
— |
|
|
|
— |
|
|
|
3,637 |
|
|
|
— |
|
|
Investment securities sold |
|
|
— |
|
|
|
4,331,682 |
|
|
|
— |
|
|
|
— |
|
|
Prepaid expenses |
|
|
11,703 |
|
|
|
11,703 |
|
|
|
11,703 |
|
|
|
11,703 |
|
|
Total Assets |
|
|
74,057,961 |
|
|
|
717,994,964 |
|
|
|
19,308,051 |
|
|
|
13,978,419 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank borrowings |
|
|
— |
|
|
|
164,664,007 |
|
|
|
— |
|
|
|
— |
|
|
Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment securities purchased |
|
|
— |
|
|
|
4,795,469 |
|
|
|
— |
|
|
|
— |
|
|
Collateral for securities on loan |
|
|
— |
|
|
|
— |
|
|
|
2,687,943 |
|
|
|
391,302 |
|
|
Interest expense |
|
|
— |
|
|
|
63,557 |
|
|
|
— |
|
|
|
— |
|
|
Advisory fees |
|
|
98,065 |
|
|
|
1,065,457 |
|
|
|
51,792 |
|
|
|
42,320 |
|
|
Total Liabilities |
|
|
98,065 |
|
|
|
170,588,490 |
|
|
|
2,739,735 |
|
|
|
433,622 |
|
|
Net Assets |
|
|
$73,959,896 |
|
|
|
$547,406,474 |
|
|
|
$16,568,316 |
|
|
|
$13,544,797 |
|
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
|
$88,437,059 |
|
|
|
$545,800,657 |
|
|
|
$78,317,684 |
|
|
|
$35,022,136 |
|
|
Total distributable earnings (accumulated deficit) |
|
|
(14,477,163 |
) |
|
|
1,605,817 |
|
|
|
(61,749,368 |
) |
|
|
(21,477,339 |
) |
|
Net Assets |
|
|
$73,959,896 |
|
|
|
$547,406,474 |
|
|
|
$16,568,316 |
|
|
|
$13,544,797 |
|
|
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) |
|
|
3,650,004 |
|
|
|
23,650,004 |
|
|
|
750,004 |
|
|
|
350,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
$20.26 |
|
|
|
$23.15 |
|
|
|
$22.09 |
|
|
|
$38.70 |
|
|
(a) Market value of securities on loan |
|
|
$— |
|
|
|
$— |
|
|
|
$4,219,143 |
|
|
|
$2,050,268 |
|
The accompanying notes are an integral part of these financial statements.
31
|
|
|
Virtus Newfleet |
|
Virtus Private |
|
Virtus Real Asset |
|
Virtus WMC | ||||||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments, at cost |
|
|
$26,306,300 |
|
|
|
$39,438,866 |
|
|
|
$137,885,705 |
|
|
|
$6,582,747 |
|
|
Investments, at value (including securities on loan)(a) |
|
|
24,850,956 |
|
|
|
36,774,239 |
|
|
|
143,587,601 |
|
|
|
6,510,824 |
|
|
Cash |
|
|
9,987 |
|
|
|
765,474 |
|
|
|
2,407,947 |
|
|
|
20,093 |
|
|
Foreign currency(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
9,142 |
|
|
Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment securities sold |
|
|
206,058 |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
Dividends and interest |
|
|
140,387 |
|
|
|
46,667 |
|
|
|
399,113 |
|
|
|
34,432 |
|
|
Due from Adviser |
|
|
34,946 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Securities lending |
|
|
— |
|
|
|
10,961 |
|
|
|
3,040 |
|
|
|
— |
|
|
Tax reclaim |
|
|
— |
|
|
|
— |
|
|
|
11,805 |
|
|
|
13,568 |
|
|
Prepaid expenses |
|
|
— |
|
|
|
11,646 |
|
|
|
11,646 |
|
|
|
11,703 |
|
|
Total Assets |
|
|
25,242,334 |
|
|
|
37,608,987 |
|
|
|
146,421,152 |
|
|
|
6,599,763 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment securities purchased |
|
|
687,039 |
|
|
|
— |
|
|
|
— |
|
|
|
6 |
|
|
Collateral for securities on loan |
|
|
— |
|
|
|
6,159,477 |
|
|
|
6,150,902 |
|
|
|
— |
|
|
Advisory fees |
|
|
25,468 |
|
|
|
71,195 |
|
|
|
201,859 |
|
|
|
18,566 |
|
|
Professional fees |
|
|
46,902 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Trustee fees |
|
|
6,550 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Other accrued expenses |
|
|
90,177 |
|
|
|
— |
|
|
|
— |
|
|
|
308 |
|
|
Total Liabilities |
|
|
856,136 |
|
|
|
6,230,672 |
|
|
|
6,352,761 |
|
|
|
18,880 |
|
|
Net Assets |
|
|
$24,386,198 |
|
|
|
$31,378,315 |
|
|
|
$140,068,391 |
|
|
|
$6,580,883 |
|
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
|
$28,939,520 |
|
|
|
$41,806,359 |
|
|
|
$156,189,070 |
|
|
|
$6,519,891 |
|
|
Total distributable earnings (accumulated deficit) |
|
|
(4,553,322 |
) |
|
|
(10,428,044 |
) |
|
|
(16,120,679 |
) |
|
|
60,992 |
|
|
Net Assets |
|
|
$24,386,198 |
|
|
|
$31,378,315 |
|
|
|
$140,068,391 |
|
|
|
$6,580,883 |
|
|
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) |
|
|
1,050,004 |
|
|
|
1,300,004 |
|
|
|
5,100,004 |
|
|
|
250,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
$23.22 |
|
|
|
$24.14 |
|
|
|
$27.46 |
|
|
|
$26.32 |
|
|
(a) Market value of securities on loan |
|
|
$— |
|
|
|
$5,933,007 |
|
|
|
$12,272,749 |
|
|
|
$— |
|
|
(b) Foreign currency, at cost |
|
|
$— |
|
|
|
$— |
|
|
|
$— |
|
|
|
$9,189 |
|
The accompanying notes are an integral part of these financial statements.
32
|
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
Virtus LifeSci Biotech Products ETF | ||||||||
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividend income |
|
|
$1,473,334 |
|
|
|
$21,212,617 |
|
|
|
$7 |
|
|
|
$15,505 |
|
|
Interest income |
|
|
9 |
|
|
|
28 |
|
|
|
— |
|
|
|
— |
|
|
Securities lending, net of fees |
|
|
— |
|
|
|
— |
|
|
|
23,887 |
|
|
|
1,960 |
|
|
Total Investment Income |
|
|
1,473,343 |
|
|
|
21,212,645 |
|
|
|
23,894 |
|
|
|
17,465 |
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Advisory fees |
|
|
184,455 |
|
|
|
2,142,957 |
|
|
|
104,726 |
|
|
|
72,477 |
|
|
Interest expenses |
|
|
— |
|
|
|
1,145,722 |
|
|
|
12 |
|
|
|
— |
|
|
Total Expenses |
|
|
184,455 |
|
|
|
3,288,679 |
|
|
|
104,738 |
|
|
|
72,477 |
|
|
Net Investment Income (Loss) |
|
|
1,288,888 |
|
|
|
17,923,966 |
|
|
|
(80,844 |
) |
|
|
(55,012 |
) |
|
Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(6,823,601 |
) |
|
|
8,799,664 |
|
|
|
(5,771,709 |
) |
|
|
(3,310,397 |
) |
|
In-kind redemptions |
|
|
532,957 |
|
|
|
3,766,785 |
|
|
|
1,570,793 |
|
|
|
985,668 |
|
|
Total Net Realized Gain (Loss) |
|
|
(6,290,644 |
) |
|
|
12,566,449 |
|
|
|
(4,200,916 |
) |
|
|
(2,324,729 |
) |
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(7,315,158 |
) |
|
|
(54,330,136 |
) |
|
|
(13,380,013 |
) |
|
|
(2,757,806 |
) |
|
Total Change in Net Unrealized Depreciation |
|
|
(7,315,158 |
) |
|
|
(54,330,136 |
) |
|
|
(13,380,013 |
) |
|
|
(2,757,806 |
) |
|
Net Realized and Change in Unrealized Loss |
|
|
(13,605,802 |
) |
|
|
(41,763,687 |
) |
|
|
(17,580,929 |
) |
|
|
(5,082,535 |
) |
|
Net Decrease in Net Assets Resulting from Operations |
|
|
$(12,316,914 |
) |
|
|
$(23,839,721 |
) |
|
|
$(17,661,773 |
) |
|
|
$(5,137,547 |
) |
Statements of Operations (continued)
For the Period Ended April 30, 2022 (unaudited)
The accompanying notes are an integral part of these financial statements.
33
|
|
|
Virtus Newfleet |
|
Virtus Private |
|
Virtus Real Asset |
|
Virtus WMC | ||||||||
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding taxes) |
|
|
$5,595 |
|
|
|
$1,490,443 |
|
|
|
$2,135,273 |
|
|
|
$191,293 |
|
|
Interest income |
|
|
446,731 |
|
|
|
8 |
|
|
|
30 |
|
|
|
— |
|
|
Securities lending, net of fees |
|
|
— |
|
|
|
85,080 |
|
|
|
17,285 |
|
|
|
— |
|
|
Total Investment Income |
|
|
452,326 |
|
|
|
1,575,531 |
|
|
|
2,152,588 |
|
|
|
191,293 |
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Advisory fees |
|
|
50,555 |
|
|
|
124,690 |
|
|
|
384,980 |
|
|
|
16,863 |
|
|
Professional fees |
|
|
17,001 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Accounting and administration fees |
|
|
14,020 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Pricing fees |
|
|
11,600 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Trustee fees |
|
|
11,001 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Transfer agent fees |
|
|
8,247 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Exchange listing fees |
|
|
4,999 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Report to shareholders fees |
|
|
4,000 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Insurance fees |
|
|
1,251 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Custody fees |
|
|
1,112 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Tax expense |
|
|
100 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Other expenses |
|
|
2,000 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Total Expenses |
|
|
125,886 |
|
|
|
124,690 |
|
|
|
384,980 |
|
|
|
16,863 |
|
|
Less expense waivers/reimbursements |
|
|
(70,838 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Net Expenses |
|
|
55,048 |
|
|
|
124,690 |
|
|
|
384,980 |
|
|
|
16,863 |
|
|
Net Investment Income |
|
|
397,278 |
|
|
|
1,450,841 |
|
|
|
1,767,608 |
|
|
|
174,430 |
|
|
Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(184,885 |
) |
|
|
(328,480 |
) |
|
|
(3,204,238 |
) |
|
|
92,387 |
|
|
In-kind redemptions |
|
|
— |
|
|
|
53,568 |
|
|
|
19,144,449 |
|
|
|
— |
|
|
Foreign currency transactions |
|
|
— |
|
|
|
— |
|
|
|
(450 |
) |
|
|
(399 |
) |
|
Total Net Realized Gain (Loss) |
|
|
(184,885 |
) |
|
|
(274,912 |
) |
|
|
15,939,761 |
|
|
|
91,988 |
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(1,695,708 |
) |
|
|
(2,537,311 |
) |
|
|
(12,255,333 |
) |
|
|
(253,429 |
) |
|
Foreign currency translations |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,960 |
) |
|
Total Change in Net Unrealized Depreciation |
|
|
(1,695,708 |
) |
|
|
(2,537,311 |
) |
|
|
(12,255,333 |
) |
|
|
(255,389 |
) |
|
Net Realized and Change in Unrealized Gain (Loss) |
|
|
(1,880,593 |
) |
|
|
(2,812,223 |
) |
|
|
3,684,428 |
|
|
|
(163,401 |
) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
|
$(1,483,315 |
) |
|
|
$(1,361,382 |
) |
|
|
$5,452,036 |
|
|
|
$11,029 |
|
|
Foreign withholding taxes |
|
|
$— |
|
|
|
$— |
|
|
|
$73,755 |
|
|
|
$21,579 |
|
The accompanying notes are an integral part of these financial statements.
34
|
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap | ||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the | ||||||||
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
$1,288,888 |
|
|
|
$1,911,648 |
|
|
|
$17,923,966 |
|
|
|
$17,718,855 |
|
|
Net realized gain (loss) |
|
|
(6,290,644 |
) |
|
|
5,603,453 |
|
|
|
12,566,449 |
|
|
|
23,704,476 |
|
|
Net change in unrealized appreciation (depreciation) |
|
|
(7,315,158 |
) |
|
|
3,252,424 |
|
|
|
(54,330,136 |
) |
|
|
53,503,150 |
|
|
Net increase (decrease) in net assets resulting from operations |
|
|
(12,316,914 |
) |
|
|
10,767,525 |
|
|
|
(23,839,721 |
) |
|
|
94,926,481 |
|
|
Distributions to Shareholders |
|
|
(2,634,003 |
) |
|
|
(4,362,006 |
) |
|
|
(21,804,754 |
) |
|
|
(28,242,147 |
) |
|
Distributions to Shareholders from return of capital |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(699,861 |
) |
|
Total distributions |
|
|
(2,634,003 |
) |
|
|
(4,362,006 |
) |
|
|
(21,804,754 |
) |
|
|
(28,942,008 |
) |
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
|
7,084,612 |
|
|
|
45,994,700 |
|
|
|
84,902,019 |
|
|
|
340,991,942 |
|
|
Cost of shares redeemed |
|
|
(5,712,628 |
) |
|
|
(16,965,073 |
) |
|
|
(18,971,885 |
) |
|
|
(26,252,374 |
) |
|
Net increase in net assets resulting from shareholder transactions |
|
|
1,371,984 |
|
|
|
29,029,627 |
|
|
|
65,930,134 |
|
|
|
314,739,568 |
|
|
Increase (decrease) in net assets |
|
|
(13,578,933 |
) |
|
|
35,435,146 |
|
|
|
20,285,659 |
|
|
|
380,724,041 |
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period/year |
|
|
87,538,829 |
|
|
|
52,103,683 |
|
|
|
527,120,815 |
|
|
|
146,396,774 |
|
|
End of period/year |
|
|
$73,959,896 |
|
|
|
$87,538,829 |
|
|
|
$547,406,474 |
|
|
|
$527,120,815 |
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period/year |
|
|
3,600,004 |
|
|
|
2,400,004 |
|
|
|
20,950,004 |
|
|
|
7,600,004 |
|
|
Shares sold |
|
|
300,000 |
|
|
|
1,900,000 |
|
|
|
3,500,000 |
|
|
|
14,450,000 |
|
|
Shares redeemed |
|
|
(250,000 |
) |
|
|
(700,000 |
) |
|
|
(800,000 |
) |
|
|
(1,100,000 |
) |
|
Shares outstanding, end of period/year |
|
|
3,650,004 |
|
|
|
3,600,004 |
|
|
|
23,650,004 |
|
|
|
20,950,004 |
|
The accompanying notes are an integral part of these financial statements.
35
|
|
|
Virtus LifeSci Biotech |
|
Virtus LifeSci Biotech Products ETF | ||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the | ||||||||
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss |
|
|
$(80,844 |
) |
|
|
$(236,222 |
) |
|
|
$(55,012 |
) |
|
|
$(157,426 |
) |
|
Net realized gain (loss) |
|
|
(4,200,916 |
) |
|
|
10,104,055 |
|
|
|
(2,324,729 |
) |
|
|
3,689,056 |
|
|
Net change in unrealized depreciation |
|
|
(13,380,013 |
) |
|
|
(4,316,597 |
) |
|
|
(2,757,806 |
) |
|
|
(1,497,303 |
) |
|
Net increase (decrease) in net assets resulting from operations |
|
|
(17,661,773 |
) |
|
|
5,551,236 |
|
|
|
(5,137,547 |
) |
|
|
2,034,327 |
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
|
5,967,003 |
|
|
|
30,587,355 |
|
|
|
2,288,842 |
|
|
|
13,619,049 |
|
|
Cost of shares redeemed |
|
|
(7,227,347 |
) |
|
|
(37,665,925 |
) |
|
|
(6,931,707 |
) |
|
|
(18,833,103 |
) |
|
Net decrease in net assets resulting from shareholder transactions |
|
|
(1,260,344 |
) |
|
|
(7,078,570 |
) |
|
|
(4,642,865 |
) |
|
|
(5,214,054 |
) |
|
Decrease in net assets |
|
|
(18,922,117 |
) |
|
|
(1,527,334 |
) |
|
|
(9,780,412 |
) |
|
|
(3,179,727 |
) |
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period/year |
|
|
35,490,433 |
|
|
|
37,017,767 |
|
|
|
23,325,209 |
|
|
|
26,504,936 |
|
|
End of period/year |
|
|
$16,568,316 |
|
|
|
$35,490,433 |
|
|
|
$13,544,797 |
|
|
|
$23,325,209 |
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period/year |
|
|
800,004 |
|
|
|
950,004 |
|
|
|
450,004 |
|
|
|
550,004 |
|
|
Shares sold |
|
|
150,000 |
|
|
|
600,000 |
|
|
|
50,000 |
|
|
|
250,000 |
|
|
Shares redeemed |
|
|
(200,000 |
) |
|
|
(750,000 |
) |
|
|
(150,000 |
) |
|
|
(350,000 |
) |
|
Shares outstanding, end of period/year |
|
|
750,004 |
|
|
|
800,004 |
|
|
|
350,004 |
|
|
|
450,004 |
|
The accompanying notes are an integral part of these financial statements.
36
|
|
|
Virtus Newfleet |
|
Virtus Private Credit Strategy ETF | ||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the | ||||||||
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
$397,278 |
|
|
|
$689,080 |
|
|
|
$1,450,841 |
|
|
|
$1,910,804 |
|
|
Net realized gain (loss) |
|
|
(184,885 |
) |
|
|
320,669 |
|
|
|
(274,912 |
) |
|
|
2,064,796 |
|
|
Net change in unrealized appreciation (depreciation) |
|
|
(1,695,708 |
) |
|
|
51,210 |
|
|
|
(2,537,311 |
) |
|
|
6,983,661 |
|
|
Net increase (decrease) in net assets resulting from operations |
|
|
(1,483,315 |
) |
|
|
1,060,959 |
|
|
|
(1,361,382 |
) |
|
|
10,959,261 |
|
|
Distributions to Shareholders |
|
|
(389,733 |
) |
|
|
(650,084 |
) |
|
|
(1,403,574 |
) |
|
|
(2,013,183 |
) |
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
|
6,088,483 |
|
|
|
2,543,464 |
|
|
|
14,132,279 |
|
|
|
31,554,269 |
|
|
Cost of shares redeemed |
|
|
— |
|
|
|
(1,277,994 |
) |
|
|
(11,177,714 |
) |
|
|
(28,420,454 |
) |
|
Net increase in net assets resulting from shareholder transactions |
|
|
6,088,483 |
|
|
|
1,265,470 |
|
|
|
2,954,565 |
|
|
|
3,133,815 |
|
|
Increase in net assets |
|
|
4,215,435 |
|
|
|
1,676,345 |
|
|
|
189,609 |
|
|
|
12,079,893 |
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period/year |
|
|
20,170,763 |
|
|
|
18,494,418 |
|
|
|
31,188,706 |
|
|
|
19,108,813 |
|
|
End of period/year |
|
|
$24,386,198 |
|
|
|
$20,170,763 |
|
|
|
$31,378,315 |
|
|
|
$31,188,706 |
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period/year |
|
|
800,004 |
|
|
|
750,004 |
|
|
|
1,200,004 |
|
|
|
1,100,004 |
|
|
Shares sold |
|
|
250,000 |
|
|
|
100,000 |
|
|
|
550,000 |
|
|
|
1,250,000 |
|
|
Shares redeemed |
|
|
— |
|
|
|
(50,000 |
) |
|
|
(450,000 |
) |
|
|
(1,150,000 |
) |
|
Shares outstanding, end of period/year |
|
|
1,050,004 |
|
|
|
800,004 |
|
|
|
1,300,004 |
|
|
|
1,200,004 |
|
The accompanying notes are an integral part of these financial statements.
37
|
|
|
Virtus Real Asset Income ETF |
|
Virtus WMC International | ||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the | ||||||||
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
$1,767,608 |
|
|
|
$3,057,015 |
|
|
|
$174,430 |
|
|
|
$284,021 |
|
|
Net realized gain (loss) |
|
|
15,939,761 |
|
|
|
(3,269,745 |
) |
|
|
91,988 |
|
|
|
412,795 |
|
|
Net change in unrealized appreciation (depreciation) |
|
|
(12,255,333 |
) |
|
|
49,551,417 |
|
|
|
(255,389 |
) |
|
|
543,871 |
|
|
Net increase in net assets resulting from operations |
|
|
5,452,036 |
|
|
|
49,338,687 |
|
|
|
11,029 |
|
|
|
1,240,687 |
|
|
Distributions to Shareholders |
|
|
(2,215,252 |
) |
|
|
(5,617,918 |
) |
|
|
(571,854 |
) |
|
|
(406,622 |
) |
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
|
62,149,089 |
|
|
|
47,396,037 |
|
|
|
— |
|
|
|
1,519,791 |
|
|
Cost of shares redeemed |
|
|
(64,900,465 |
) |
|
|
(52,343,914 |
) |
|
|
— |
|
|
|
— |
|
|
Net increase (decrease) in net assets resulting from shareholder transactions |
|
|
(2,751,376 |
) |
|
|
(4,947,877 |
) |
|
|
— |
|
|
|
1,519,791 |
|
|
Increase (decrease) in net assets |
|
|
485,408 |
|
|
|
38,772,892 |
|
|
|
(560,825 |
) |
|
|
2,353,856 |
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period/year |
|
|
139,582,983 |
|
|
|
100,810,091 |
|
|
|
7,141,708 |
|
|
|
4,787,852 |
|
|
End of period/year |
|
|
$140,068,391 |
|
|
|
$139,582,983 |
|
|
|
$6,580,883 |
|
|
|
$7,141,708 |
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of period/year |
|
|
5,200,004 |
|
|
|
5,400,004 |
|
|
|
250,004 |
|
|
|
200,004 |
|
|
Shares sold |
|
|
2,250,000 |
|
|
|
2,000,000 |
|
|
|
— |
|
|
|
50,000 |
|
|
Shares redeemed |
|
|
(2,350,000 |
) |
|
|
(2,200,000 |
) |
|
|
— |
|
|
|
— |
|
|
Shares outstanding, end of period/year |
|
|
5,100,004 |
|
|
|
5,200,004 |
|
|
|
250,004 |
|
|
|
250,004 |
|
The accompanying notes are an integral part of these financial statements.
38
|
|
|
Virtus |
|
|
Cash Flows From Operating Activities: |
|
|
|
|
Net increase (decrease) in net assets from operations |
|
$(23,839,721 |
) |
|
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
|
|
|
|
Purchases of investment securities |
|
(60,243,858 |
) |
|
Proceeds from sales of investment securities |
|
75,975,828 |
|
|
Net realized (gain) loss on investments |
|
(8,799,664 |
) |
|
Net realized (gain) loss on in-kind redemptions |
|
(3,766,785 |
) |
|
Net change in unrealized (appreciation) depreciation on investments |
|
54,330,136 |
|
|
(Increase) decrease in due from brokers |
|
(663,333 |
) |
|
(Increase) decrease in dividends and interest receivable |
|
(334,134 |
) |
|
(Increase) decrease in prepaid expenses |
|
(3,390 |
) |
|
Increase (decrease) in advisory fees payable |
|
709,367 |
|
|
Increase (decrease) in interest expense |
|
(106,711 |
) |
|
Net cash provided by (used in) operating activities |
|
33,257,735 |
|
|
|
|
|
|
|
Cash Flows provided by (used in) Financing Activities: |
|
|
|
|
Proceeds from borrowings |
|
10,891,209 |
|
|
Payments for fund shares sold in excess of in-kind creations |
|
(21,285,359 |
) |
|
Distributions paid |
|
(21,804,754 |
) |
|
Net cash provided by (used in) financing activities |
|
(32,198,904 |
) |
|
Net increase (decrease) in cash |
|
1,058,831 |
|
|
Cash and foreign currency, beginning of period |
|
826,606 |
|
|
Cash and foreign currency, end of period |
|
$1,885,437 |
|
|
|
|
|
|
|
Supplemental information: |
|
|
|
|
Interest paid on borrowings |
|
$1,145,722 |
|
|
|
|
|
|
|
Non-cash financing activities: |
|
|
|
|
In-kind creations - Issued |
|
109,542,707 |
|
|
In-kind creations - Redeemed |
|
24,642,446 |
|
The accompanying notes are an integral part of these financial statements.
39
|
|
|
InfraCap REIT Preferred ETF | ||||||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$24.32 |
|
|
|
$21.71 |
|
|
|
$25.26 |
|
|
|
$23.65 |
|
|
|
$25.76 |
|
|
|
$25.06 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(2) |
|
|
0.35 |
|
|
|
0.63 |
|
|
|
1.05 |
|
|
|
1.32 |
|
|
|
1.21 |
|
|
|
1.03 |
|
|
Net realized and unrealized gain (loss) |
|
|
(3.69 |
) |
|
|
3.42 |
|
|
|
(3.14 |
) |
|
|
1.83 |
|
|
|
(1.85 |
) |
|
|
0.60 |
|
|
Total from investment operations |
|
|
(3.34 |
) |
|
|
4.05 |
|
|
|
(2.09 |
) |
|
|
3.15 |
|
|
|
(0.64 |
) |
|
|
1.63 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.72 |
) |
|
|
(1.44 |
) |
|
|
(1.22 |
) |
|
|
(1.30 |
) |
|
|
(1.23 |
) |
|
|
(0.93 |
) |
|
Return of capital |
|
|
— |
|
|
|
— |
|
|
|
(0.24 |
) |
|
|
(0.24 |
) |
|
|
(0.24 |
) |
|
|
— |
|
|
Total distributions |
|
|
(0.72 |
) |
|
|
(1.44 |
) |
|
|
(1.46 |
) |
|
|
(1.54 |
) |
|
|
(1.47 |
) |
|
|
(0.93 |
) |
|
Net Asset Value, End of period |
|
|
$20.26 |
|
|
|
$24.32 |
|
|
|
$21.71 |
|
|
|
$25.26 |
|
|
|
$23.65 |
|
|
|
$25.76 |
|
|
Net Asset Value Total Return(3) |
|
|
(13.95 |
)% |
|
|
18.93 |
% |
|
|
(8.06 |
)% |
|
|
13.78 |
% |
|
|
(2.60 |
)% |
|
|
6.54 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$73,960 |
|
|
|
$87,539 |
|
|
|
$52,104 |
|
|
|
$37,885 |
|
|
|
$22,468 |
|
|
|
$20,609 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.45 |
%(4) |
|
0.45 |
% |
|
|
0.45 |
% |
|
|
0.45 |
%(5) |
|
0.45 |
%(5) |
|
0.45 |
%(4) | |||
|
Net investment income |
|
|
3.14 |
%(4) |
|
2.61 |
% |
|
|
4.75 |
% |
|
|
5.42 |
% |
|
|
4.93 |
% |
|
|
5.48 |
%(4) | |
|
Portfolio turnover rate(6) |
|
|
59 |
%(7) |
144 |
% |
|
|
38 |
% |
|
|
66 |
% |
|
|
70 |
% |
|
|
91 |
%(7) | ||
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(7)Not annualized.
The accompanying notes are an integral part of these financial statements.
40
|
|
|
Virtus InfraCap U.S. Preferred Stock ETF | ||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$25.16 |
|
|
|
$19.26 |
|
|
|
$26.43 |
|
|
|
$24.47 |
|
|
|
$24.96 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(2) |
|
|
0.80 |
|
|
|
1.18 |
|
|
|
1.40 |
|
|
|
1.44 |
|
|
|
0.72 |
|
|
Net realized and unrealized gain (loss) |
|
|
(1.84 |
) |
|
|
6.62 |
|
|
|
(6.25 |
) |
|
|
2.80 |
|
|
|
(0.45 |
) |
|
Total from investment operations |
|
|
(1.04 |
) |
|
|
7.80 |
|
|
|
(4.85 |
) |
|
|
4.24 |
|
|
|
0.27 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.97 |
) |
|
|
(1.59 |
) |
|
|
(1.81 |
) |
|
|
(2.28 |
) |
|
|
(0.76 |
) |
|
Net realized gains |
|
|
— |
|
|
|
(0.26 |
) |
|
|
(0.43 |
) |
|
|
— |
|
|
|
— |
|
|
Return of capital |
|
|
— |
|
|
|
(0.05 |
) |
|
|
(0.08 |
) |
|
|
— |
|
|
|
— |
|
|
Total distributions |
|
|
(0.97 |
) |
|
|
(1.90 |
) |
|
|
(2.32 |
) |
|
|
(2.28 |
) |
|
|
(0.76 |
) |
|
Net Asset Value, End of period |
|
|
$23.15 |
|
|
|
$25.16 |
|
|
|
$19.26 |
|
|
|
$26.43 |
|
|
|
$24.47 |
|
|
Net Asset Value Total Return(3) |
|
|
(4.20 |
)% |
|
|
41.52 |
% |
|
|
(18.37 |
)% |
|
|
18.37 |
% |
|
|
1.02 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$547,406 |
|
|
|
$527,121 |
|
|
|
$146,397 |
|
|
|
$88,525 |
|
|
|
$6,118 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
1.23 |
%(4),(5) |
1.21 |
%(6) |
|
1.47 |
%(7) |
|
2.00 |
%(8),(9) |
2.13 |
%(4),(10) | ||||||
|
Net investment income |
|
|
6.69 |
%(4) |
4.93 |
% |
|
|
6.93 |
% |
|
|
5.66 |
% |
|
|
6.22 |
%(4) | ||
|
Portfolio turnover rate(11) |
|
|
8 |
%(12) |
35 |
% |
|
|
96 |
% |
|
|
150 |
% |
|
|
55 |
%(12) | ||
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The ratios of expenses to average net assets include interest expense of 0.43%.
(6)The ratios of expenses to average net assets include interest expense of 0.41%.
(7)The ratios of expenses to average net assets include interest expense of 0.63% and dividend expense on securities sold short fees of 0.04%.
(8)The ratios of expenses to average net assets include interest expense of 0.75% and dividend expense on securities sold short fees of 0.45%.
(9)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(10)The ratios of expenses to average net assets include interest expense of 1.05% and dividend expense on securities sold short fees of 0.28%.
(11)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(12)Not annualized.
The accompanying notes are an integral part of these financial statements.
41
|
|
|
Virtus LifeSci Biotech Clinical Trials ETF | ||||||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$44.36 |
|
|
|
$38.97 |
|
|
|
$26.42 |
|
|
|
$26.87 |
|
|
|
$27.73 |
|
|
|
$18.05 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss(1) |
|
|
(0.09 |
) |
|
|
(0.26 |
) |
|
|
(0.15 |
) |
|
|
(0.13 |
) |
|
|
(0.15 |
) |
|
|
(0.12 |
) |
|
Net realized and unrealized gain (loss) |
|
|
(22.18 |
) |
|
|
5.65 |
|
|
|
12.70 |
|
|
|
(0.32 |
) |
|
|
(0.41 |
) |
|
|
9.80 |
|
|
Total from investment operations |
|
|
(22.27 |
) |
|
|
5.39 |
|
|
|
12.55 |
|
|
|
(0.45 |
) |
|
|
(0.56 |
) |
|
|
9.68 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.30 |
) |
|
|
— |
|
|
Total distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.30 |
) |
|
|
— |
|
|
Net Asset Value, End of period |
|
|
$22.09 |
|
|
|
$44.36 |
|
|
|
$38.97 |
|
|
|
$26.42 |
|
|
|
$26.87 |
|
|
|
$27.73 |
|
|
Net Asset Value Total Return(2) |
|
|
(50.20 |
)% |
|
|
13.85 |
% |
|
|
47.50 |
% |
|
|
(1.67 |
)% |
|
|
(2.05 |
)% |
|
|
53.66 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$16,568 |
|
|
|
$35,490 |
|
|
|
$37,018 |
|
|
|
$23,775 |
|
|
|
$36,269 |
|
|
|
$30,501 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.79 |
%(3),(4) |
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
%(4) |
0.79 |
%(4) |
0.83 |
% | ||||||
|
Net investment loss |
|
|
(0.61 |
)%(3) |
(0.53 |
)% |
|
|
(0.41 |
)% |
|
|
(0.50 |
)% |
|
|
(0.45 |
)% |
|
|
(0.53 |
)% | ||
|
Portfolio turnover rate(5) |
|
|
31 |
%(6) |
76 |
% |
|
|
81 |
% |
|
|
67 |
% |
|
|
65 |
% |
|
|
45 |
% | ||
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
The accompanying notes are an integral part of these financial statements.
42
|
|
|
Virtus LifeSci Biotech Products ETF | ||||||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$51.83 |
|
|
|
$48.19 |
|
|
|
$37.86 |
|
|
|
$36.33 |
|
|
|
$39.34 |
|
|
|
$28.91 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)(1) |
|
|
(0.14 |
) |
|
|
(0.30 |
) |
|
|
(0.19 |
) |
|
|
(0.20 |
) |
|
|
(0.21 |
) |
|
|
0.07 |
|
|
Net realized and unrealized gain (loss) |
|
|
(12.99 |
) |
|
|
3.94 |
|
|
|
10.52 |
|
|
|
1.73 |
|
|
|
(2.73 |
) |
|
|
10.36 |
|
|
Total from investment operations |
|
|
(13.13 |
) |
|
|
3.64 |
|
|
|
10.33 |
|
|
|
1.53 |
|
|
|
(2.94 |
) |
|
|
10.43 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.07 |
) |
|
|
— |
|
|
Total distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.07 |
) |
|
|
— |
|
|
Net Asset Value, End of period |
|
|
$38.70 |
|
|
|
$51.83 |
|
|
|
$48.19 |
|
|
|
$37.86 |
|
|
|
$36.33 |
|
|
|
$39.34 |
|
|
Net Asset Value Total Return(2) |
|
|
(25.34 |
)% |
|
|
7.56 |
% |
|
|
27.27 |
% |
|
|
4.22 |
% |
|
|
(7.49 |
)% |
|
|
36.08 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$13,545 |
|
|
|
$23,325 |
|
|
|
$26,505 |
|
|
|
$26,505 |
|
|
|
$27,248 |
|
|
|
$37,377 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.79 |
%(3) |
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
%(4) |
0.79 |
%(4) |
0.84 |
% | ||||||
|
Net investment income (loss) |
|
|
(0.60 |
)%(3) |
(0.57 |
)% |
|
|
(0.43 |
)% |
|
|
(0.51 |
)% |
|
|
(0.49 |
)% |
|
|
0.19 |
% | ||
|
Portfolio turnover rate(5) |
|
|
19 |
%(6) |
44 |
% |
|
|
46 |
% |
|
|
41 |
% |
|
|
32 |
% |
|
|
34 |
% | ||
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
The accompanying notes are an integral part of these financial statements.
43
|
|
|
Virtus Newfleet Multi-Sector Bond ETF | ||||||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$25.21 |
|
|
|
$24.66 |
|
|
|
$24.54 |
|
|
|
$23.85 |
|
|
|
$25.84 |
|
|
|
$25.96 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(1) |
|
|
0.02 |
|
|
|
0.89 |
|
|
|
0.96 |
|
|
|
1.06 |
|
|
|
1.12 |
|
|
|
1.09 |
|
|
Net realized and unrealized gain (loss) |
|
|
(1.59 |
) |
|
|
0.50 |
|
|
|
0.10 |
|
|
|
0.74 |
|
|
|
(1.51 |
) |
|
|
0.22 |
|
|
Total from investment operations |
|
|
(1.57 |
) |
|
|
1.39 |
|
|
|
1.06 |
|
|
|
1.80 |
|
|
|
(0.39 |
) |
|
|
1.31 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.42 |
) |
|
|
(0.84 |
) |
|
|
(0.91 |
) |
|
|
(1.02 |
) |
|
|
(1.15 |
) |
|
|
(1.10 |
) |
|
Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.45 |
) |
|
|
(0.33 |
) |
|
Return of capital |
|
|
— |
|
|
|
— |
|
|
|
(0.03 |
) |
|
|
(0.09 |
) |
|
|
— |
|
|
|
— |
|
|
Total distributions |
|
|
(0.42 |
) |
|
|
(0.84 |
) |
|
|
(0.94 |
) |
|
|
(1.11 |
) |
|
|
(1.60 |
) |
|
|
(1.43 |
) |
|
Net Asset Value, End of period |
|
|
$23.22 |
|
|
|
$25.21 |
|
|
|
$24.66 |
|
|
|
$24.54 |
|
|
|
$23.85 |
|
|
|
$25.84 |
|
|
Net Asset Value Total Return(2) |
|
|
(6.28 |
)% |
|
|
5.71 |
% |
|
|
4.51 |
% |
|
|
7.74 |
% |
|
|
(1.62 |
)% |
|
|
5.26 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$24,386 |
|
|
|
$20,171 |
|
|
|
$18,494 |
|
|
|
$24,535 |
|
|
|
$98,959 |
|
|
|
$169,284 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, net of expense |
|
|
0.49 |
%(3) |
0.49 |
%(4) |
0.55 |
%(4) |
0.80 |
% |
|
|
0.80 |
% |
|
|
0.80 |
% | ||||||
|
Expenses, prior to expense |
|
|
1.12 |
%(3) |
1.21 |
%(4) |
1.15 |
%(4) |
1.06 |
% |
|
|
0.86 |
% |
|
|
0.84 |
% | ||||||
|
Net investment income |
|
|
3.54 |
%(3) |
3.52 |
% |
|
|
3.95 |
% |
|
|
4.37 |
% |
|
|
4.51 |
% |
|
|
4.26 |
% | ||
|
Portfolio turnover rate(5) |
|
|
33 |
%(6) |
107 |
% |
|
|
103 |
% |
|
|
95 |
% |
|
|
82 |
% |
|
|
113 |
% | ||
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
The accompanying notes are an integral part of these financial statements.
44
|
|
|
Virtus Private Credit Strategy ETF | ||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$25.99 |
|
|
|
$17.37 |
|
|
|
$24.72 |
|
|
|
$24.85 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(2) |
|
|
1.10 |
|
|
|
1.71 |
|
|
|
1.89 |
|
|
|
1.70 |
|
|
Net realized and unrealized gain (loss) |
|
|
(1.96 |
) |
|
|
8.62 |
|
|
|
(7.20 |
) |
|
|
(0.45 |
) |
|
Total from investment operations |
|
|
(0.86 |
) |
|
|
10.33 |
|
|
|
(5.31 |
) |
|
|
1.25 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.99 |
) |
|
|
(1.71 |
) |
|
|
(2.04 |
) |
|
|
(1.38 |
) |
|
Total distributions |
|
|
(0.99 |
) |
|
|
(1.71 |
) |
|
|
(2.04 |
) |
|
|
(1.38 |
) |
|
Net Asset Value, End of period |
|
|
$24.14 |
|
|
|
$25.99 |
|
|
|
$17.37 |
|
|
|
$24.72 |
|
|
Net Asset Value Total Return(3) |
|
|
(3.34 |
)% |
|
|
61.32 |
% |
|
|
(21.70 |
)% |
|
|
5.03 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$31,378 |
|
|
|
$31,189 |
|
|
|
$19,109 |
|
|
|
$211,344 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.75 |
%(4) |
0.75 |
% |
|
|
0.75 |
%(5) |
0.75 |
%(4) | ||||
|
Net investment income |
|
|
8.73 |
%(4) |
7.27 |
% |
|
|
8.59 |
% |
|
|
9.24 |
%(4) | ||
|
Portfolio turnover rate(6) |
|
|
11 |
%(7) |
34 |
% |
|
|
24 |
% |
|
|
22 |
%(7) | ||
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(7)Not annualized.
The accompanying notes are an integral part of these financial statements.
45
|
|
|
Virtus Real Asset Income ETF | ||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$26.84 |
|
|
|
$18.67 |
|
|
|
$24.72 |
|
|
|
$24.79 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(2) |
|
|
0.34 |
|
|
|
0.57 |
|
|
|
0.64 |
|
|
|
0.58 |
|
|
Net realized and unrealized gain (loss) |
|
|
0.72 |
|
|
|
8.66 |
|
|
|
(5.95 |
) |
|
|
(0.12 |
) |
|
Total from investment operations |
|
|
1.06 |
|
|
|
9.23 |
|
|
|
(5.31 |
) |
|
|
0.46 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.44 |
) |
|
|
(1.06 |
) |
|
|
(0.74 |
) |
|
|
(0.53 |
) |
|
Total distributions |
|
|
(0.44 |
) |
|
|
(1.06 |
) |
|
|
(0.74 |
) |
|
|
(0.53 |
) |
|
Net Asset Value, End of period |
|
|
$27.46 |
|
|
|
$26.84 |
|
|
|
$18.67 |
|
|
|
$24.72 |
|
|
Net Asset Value Total Return(3) |
|
|
3.94 |
% |
|
|
50.16 |
% |
|
|
(21.53 |
)% |
|
|
1.87 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$140,068 |
|
|
|
$139,583 |
|
|
|
$100,810 |
|
|
|
$244,751 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.55 |
%(4) |
0.55 |
% |
|
|
0.55 |
%(5) |
0.55 |
%(4) | ||||
|
Net investment income |
|
|
2.53 |
%(4) |
2.30 |
% |
|
|
2.93 |
% |
|
|
3.20 |
%(4) | ||
|
Portfolio turnover rate(6) |
|
|
56 |
%(7) |
66 |
% |
|
|
91 |
% |
|
|
15 |
%(7) | ||
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(7)Not annualized.
The accompanying notes are an integral part of these financial statements.
46
|
|
|
Virtus WMC International Dividend ETF | ||||||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$28.57 |
|
|
|
$23.94 |
|
|
|
$26.41 |
|
|
|
$24.97 |
|
|
|
$25.10 |
|
|
|
$25.00 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(2) |
|
|
0.70 |
|
|
|
1.29 |
|
|
|
0.52 |
|
|
|
0.52 |
|
|
|
0.50 |
|
|
|
0.01 |
|
|
Net realized and unrealized gain (loss) |
|
|
(0.66 |
) |
|
|
5.18 |
|
|
|
(2.08 |
) |
|
|
1.95 |
|
|
|
(0.53 |
) |
|
|
0.09 |
|
|
Total from investment operations |
|
|
0.04 |
|
|
|
6.47 |
|
|
|
(1.56 |
) |
|
|
2.47 |
|
|
|
(0.03 |
) |
|
|
0.10 |
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.73 |
) |
|
|
(1.15 |
) |
|
|
(0.91 |
) |
|
|
(0.49 |
) |
|
|
(0.10 |
) |
|
|
— |
|
|
Net realized gains |
|
|
(1.56 |
) |
|
|
(0.69 |
) |
|
|
— |
|
|
|
(0.54 |
) |
|
|
— |
|
|
|
— |
|
|
Total distributions |
|
|
(2.29 |
) |
|
|
(1.84 |
) |
|
|
(0.91 |
) |
|
|
(1.03 |
) |
|
|
(0.10 |
) |
|
|
— |
|
|
Net Asset Value, End of period |
|
|
$26.32 |
|
|
|
$28.57 |
|
|
|
$23.94 |
|
|
|
$26.41 |
|
|
|
$24.97 |
|
|
|
$25.10 |
|
|
Net Asset Value Total Return(3) |
|
|
0.18 |
% |
|
|
27.41 |
% |
|
|
(6.20 |
)% |
|
|
10.60 |
% |
|
|
(0.11 |
)% |
|
|
0.38 |
% |
|
Net assets, end of period (000’s omitted) |
|
|
$6,581 |
|
|
|
$7,142 |
|
|
|
$4,788 |
|
|
|
$5,281 |
|
|
|
$4,995 |
|
|
|
$5,019 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.49 |
%(4) |
0.49 |
% |
|
|
0.49 |
% |
|
|
0.49 |
%(5) |
0.49 |
%(5) |
0.49 |
%(4) | ||||||
|
Net investment income |
|
|
5.07 |
%(4) |
4.47 |
% |
|
|
2.04 |
% |
|
|
2.08 |
% |
|
|
1.88 |
% |
|
|
0.76 |
%(4) | ||
|
Portfolio turnover rate(6) |
|
|
32 |
%(7) |
68 |
% |
|
|
211 |
% |
|
|
88 |
% |
|
|
80 |
% |
|
|
23 |
%(7) | ||
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(7)Not annualized.
47
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of April 30, 2022, ten funds of the Trust are offered for sale. The InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC International Dividend ETF (each a “Fund” and collectively, the “Funds”) are presented in this semi-annual report. The offering of each Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
|
Funds |
Investment objective(s) |
|
InfraCap REIT Preferred ETF |
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx REIT Preferred Stock Index. |
|
Virtus InfraCap U.S. Preferred Stock ETF |
Seeks current income and, secondarily, capital appreciation. |
|
Virtus LifeSci Biotech Clinical Trials ETF |
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Clinical Trials Index. |
|
Virtus LifeSci Biotech Products ETF |
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Products Index. |
|
Virtus Newfleet Multi-Sector Bond ETF |
Seeks to provide a high level of current income and, secondarily, capital appreciation. |
|
Virtus Private Credit Strategy ETF |
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Private Credit Index. |
|
Virtus Real Asset Income ETF |
Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Real Asset Income Index. |
|
Virtus WMC International Dividend ETF |
Seeks income. |
There is no guarantee that a Fund will achieve its objective(s).
InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Private Credit Strategy ETF and Virtus Real Asset Income ETF are “non-diversified” Funds, as defined under the 1940 Act, as of the period ended April 30, 2022. Virtus Private Credit Strategy ETF is a “fund of funds,” meaning it will generally invest its assets in other registered investment companies.
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Funds may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
48
(c) Security Valuation
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and Exchange-Traded Funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith using procedures adopted by the Trust’s Board of Trustees (the “Board”). Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Debt securities, including 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, and current day trade information, as well as dealer-supplied prices. Such valuations are typically categorized as Level 2 in the fair value hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued using procedures adopted by the Board are generally categorized as Level 3 in the fair value 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 options, 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 other open-end investment companies are valued based on their net asset value each business day. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the fair value hierarchy.
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value each Fund’s investments at April 30, 2022, is disclosed at the end of each Fund’s Schedule of Investments.
(e) Security Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses and interest income are recognized on the accrual basis. Amortization of premium and accretion of discount on debt securities are included in interest income. Each Fund amortizes premiums and accretes discounts using the effective interest method.
49
Dividend income from REIT investments is recorded using management’s estimate of the income included in distributions received from the REIT investments. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each domestic REIT after its fiscal year-end, and may differ from the estimated amounts.
(f) Foreign Taxes
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
(g) Expenses
Each Fund pays all of its expenses not assumed by its Sub-Adviser, if any, as defined in Note 3, or the Adviser. General Trust expenses that are allocated among and charged to the assets of the Funds and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of each Fund and other series of the Trust or the nature of the services performed and relative applicability to each Fund and other series of the Trust.
(h) Short Sales
The Virtus InfraCap U.S. Preferred Stock ETF may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
(i) Distributions to Shareholders
Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from GAAP in the United States of America.
(j) Foreign Currency Translation
Non-U.S. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date the income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
(k) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
50
(l) Loan Agreements
The Virtus Newfleet Multi-Sector Bond ETF may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers, and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
(m) Securities Lending
Certain Funds may loan securities to qualified brokers through an agreement with The Bank of New York Mellon (“BNY Mellon”), as a third party lending agent. Under the terms of the agreement, a Fund doing so is required to maintain collateral with a market value not less than 102% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by a Fund net of fees and rebates charged by BNY Mellon for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
At April 30, 2022, the following Funds had securities on loan:
|
Funds |
|
Market Value |
|
Cash Collateral |
|
Non Cash Collateral(a) |
|
Net Amount(b) |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
$4,219,143 |
|
$2,687,943 |
|
$1,804,921 |
|
$0 |
|
Virtus LifeSci Biotech Products ETF |
|
2,050,268 |
|
391,302 |
|
1,763,785 |
|
0 |
|
Virtus Private Credit Strategy ETF |
|
5,933,007 |
|
6,159,477 |
|
0 |
|
0 |
|
Virtus Real Asset Income ETF |
|
12,272,749 |
|
6,150,902 |
|
6,749,808 |
|
0 |
(a) Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s statement of assets and liabilities.
(b) Net amount represents the net amount receivable due from the counterparty in the event of default.
Funds not listed in table above did not have any securities on loan at April 30, 2022.
51
The following table presents the contract value of securities lending transactions and the type of collateral provided to counterparties.
Remaining Contractual Maturity of the Agreements, as of April 30, 2022
|
|
|
|
Overnight and |
|
Between |
|
Total |
| ||||
|
<30 Days |
|
30 & 90 days |
|
>90 days | ||||||||
|
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$4,492,864 |
|
$— |
|
$— |
|
$— |
|
$4,492,864 |
|
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$4,492,864 |
| ||||||||
|
|
||||||||||||
|
|
Virtus LifeSci Biotech Products ETF |
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$2,155,087 |
|
$— |
|
$— |
|
$— |
|
$2,155,087 |
|
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$2,155,087 |
| ||||||||
|
|
||||||||||||
|
|
Virtus Private Credit Strategy ETF |
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$6,159,477 |
|
$— |
|
$— |
|
$— |
|
$6,159,477 |
|
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$6,159,477 |
| ||||||||
|
|
||||||||||||
|
|
Virtus Real Asset Income ETF |
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$12,900,710 |
|
$— |
|
$— |
|
$— |
|
$12,900,710 |
|
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$12,900,710 |
| ||||||||
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreements
The Trust, on behalf of each Fund, has entered into Investment Advisory Agreements (collectively, the “Advisory Agreement”) with Virtus ETF Advisers LLC (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Funds’ securities portfolios. The Adviser has agreed to pay all of the ordinary operating expenses of the Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF, except for each Fund’s management fee; payments under any 12b-1 plan; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Funds. The Adviser is entitled to receive a fee from each Fund (unless otherwise noted below) based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate as follows:
|
Funds |
|
Rate |
|
InfraCap REIT Preferred ETF |
|
0.45%, subject to a minimum annual fee of $25,000 per year |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
0.80% |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
0.79% |
|
Virtus LifeSci Biotech Products ETF |
|
0.79% |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
0.45% |
|
Virtus Private Credit Strategy ETF |
|
0.75% |
|
Virtus Real Asset Income ETF |
|
0.55% |
|
Virtus WMC International Dividend ETF |
|
0.49% |
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
52
Expense Limitation Agreement
The Adviser has contractually agreed to reduce its fees and reimburse expenses in order to limit Virtus Newfleet Multi-Sector Bond ETF’s total operating expenses (excluding interest, taxes, brokerage fees and commissions, other expenditures that are capitalized in accordance with generally accepted accounting principles, acquired fund fees and expenses, other extraordinary expenses not incurred in the ordinary course of the Funds’ business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act) from exceeding 0.49% of the Fund’s average daily net assets through at least February 28, 2023.
The expense limitation agreement with respect to Virtus Newfleet Multi-Sector Bond ETF will be terminated upon termination of the Advisory Agreement between the Adviser and the Fund. In addition, while the Adviser or the Fund may discontinue the expense limitation agreement after the contractual period, it may only be terminated during its term with the approval of the Fund’s Board of Trustees.
Under certain conditions, the Adviser may recapture operating expenses waived or reimbursed under the expense limitation agreement for a period of three years following the date on which such waiver or reimbursement occurred; provided that such recapture may not cause the Fund’s total operating expenses to exceed 0.49% of the average daily net assets of the Fund (or any lower expense limitation or limitations to which the Fund and the Adviser may otherwise agree). All or a portion of the following expenses reimbursed by the Adviser may be recaptured during the fiscal years indicated:
|
Fund |
|
2022 |
|
2023 |
|
2024 |
|
2025 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
$135,034 |
|
$125,300 |
|
$140,870 |
|
$70,838 |
Sub-Advisory Agreement
Each Sub-Adviser provides investment advice and management services to its respective Fund. Pursuant to an investment sub-advisory agreement among the Trust, the respective Sub-Adviser and the Adviser, the Adviser pays each Fund’s Sub-Adviser a sub-advisory fee calculated as shown below. The Adviser has delegated to the InfraCap REIT Preferred ETF and Virtus InfraCap U.S. Preferred Stock ETF’s sub-adviser the obligation to pay all of the ordinary operating expenses of each of those Funds, except for the management fee paid to the Adviser; payments under any 12b-1 plan adopted by the Fund; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Fund. The Sub-Advisers and sub-advisory fees for each Fund are listed below.
|
Funds |
|
Sub-Advisers |
|
Sub-Advisory Fees |
|
InfraCap REIT Preferred ETF |
|
Infrastructure Capital Advisors, LLC |
|
0.375%* |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
Infrastructure Capital Advisors, LLC |
|
0.66%* |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
Newfleet Asset Management, LLC(1) |
|
50% of the net advisory fee*+ |
|
Virtus WMC International Dividend ETF |
|
Wellington Management Company LLP |
|
0.21%* |
(1)An indirect wholly owned subsidiary of Virtus.
*InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Newfleet Multi-Sector Bond ETF and Virtus WMC International Dividend ETF’s sub-advisory fees are paid for by the Adviser, not the Funds.
+Net advisory fee: In the event the Adviser waives its entire fee and also assumes expenses of the Trust pursuant to an applicable expense limitation agreement, the Sub-Adviser will similarly waive its entire fee and will share in the expense assumption by promptly paying to the Adviser (or its designee) 50% of the assumed amount. If during the term of the Sub-Advisory Agreement the Adviser later recaptures some or all of fees waived or expenses reimbursed by the Adviser and the Sub-Adviser together, then the Adviser will pay to the Sub-Adviser 50% of the amount recaptured.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Funds’ principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Funds. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly-owned subsidiary of Virtus.
Distribution and Service (12b-1 Plan)
The Board of Trustees has adopted a distribution and service plan, under which InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF (collectively, the “12b-1 Funds”) are authorized to pay an amount up to 0.25% of their average daily net assets each year to finance activities primarily intended to result in the sale of Creation Units of the 12b-1 Funds or the provision of investor services. No 12b-1 fees are currently paid by the 12b-1 Funds and there are no current plans to impose these fees.
53
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Funds’ operational administrator. The Administrator supervises the overall administration of the Trust and the Funds including, among other responsibilities, the coordination and day-to-day oversight of the Funds’ operations, the service providers’ communications with the Funds and each other and assistance with Trust, Board and contractual matters related to the Funds and other series of the Trust. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Funds’ accounting services administrator. BNY Mellon also serves as the custodian for the Funds’ assets, and serves as transfer agent and dividend paying agent for the Funds.
Affiliated Shareholders
At April 30, 2022, Virtus Partners, Inc. held shares of Virtus WMC International Dividend ETF which may be sold at any time that aggregated to the following:
|
|
|
Shares |
|
% of
share |
|
Virtus WMC International Dividend ETF |
|
184,507 |
|
73.8% |
At April 30, 2022, the sub-adviser of the below Funds held shares of such Fund which may be redeemed at any time that aggregated to the following:
|
|
|
Shares |
|
% of
share |
|
InfraCap REIT Preferred ETF |
|
4,200 |
|
0.1% |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
513,679 |
|
2.2% |
4. CREATION AND REDEMPTION TRANSACTIONS
The Funds issue and redeem shares on a continuous basis at Net Asset Value (“NAV”) in groups of 50,000 shares called “Creation Units.” The Funds’ Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Funds. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
5. FEDERAL INCOME TAX
Each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders. Therefore, no federal income or excise tax provision is required. Accounting for Uncertainty in Income Taxes as issued by the Financial Accounting Standards Board provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing a Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalties related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2019, 2020 and 2021), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of April 30, 2022, the Funds did not have a liability for any unrecognized tax benefits or uncertain tax positions that would require recognition in the financial statements. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
54
The Funds recognize interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period ended April 30, 2022, the Funds had no accrued penalties or interest.
At October 31, 2021, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
|
|
|
Federal Tax |
|
Gross |
|
Gross |
|
Net
Unrealized |
|
|
InfraCap REIT Preferred ETF |
|
$82,727,953 |
|
$3,747,947 |
|
$(303,531 |
) |
$3,444,416 |
|
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
$635,782,599 |
|
51,073,863 |
|
(3,823,571 |
) |
47,250,292 |
|
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
50,104,138 |
|
4,481,171 |
|
(16,260,968 |
) |
(11,779,797 |
) |
|
Virtus LifeSci Biotech Products ETF |
|
29,087,552 |
|
3,098,775 |
|
(7,614,717 |
) |
(4,515,942 |
) |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
19,937,433 |
|
451,175 |
|
(212,536 |
) |
238,639 |
|
|
Virtus Private Credit Strategy ETF |
|
34,845,132 |
|
688,161 |
|
(929,178 |
) |
(241,017 |
) |
|
Virtus Real Asset Income ETF |
|
126,700,978 |
|
23,853,447 |
|
(10,358,303 |
) |
13,495,144 |
|
|
Virtus WMC International Dividend ETF |
|
6,926,213 |
|
635,393 |
|
(474,525 |
) |
160,868 |
|
Ordinary losses incurred after December 31 (“Late Year Ordinary Losses”) within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. During the fiscal year ended October 31, 2021, the following Funds incurred and elected to defer Late Year Ordinary Losses as follows:
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
$202,772 |
|
Virtus LifeSci Biotech Products ETF |
|
136,461 |
At October 31, 2021, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains for an unlimited period. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders:
|
|
|
Short-Term |
|
Long-Term |
|
Total |
|
InfraCap REIT Preferred ETF |
|
$2,970,662 |
|
$— |
|
$2,970,662 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
— |
|
— |
|
— |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
16,514,036 |
|
15,590,990 |
|
32,105,026 |
|
Virtus LifeSci Biotech Products ETF |
|
3,725,200 |
|
7,962,189 |
|
11,687,389 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
719,248 |
|
2,221,799 |
|
2,941,047 |
|
Virtus Private Credit Strategy ETF |
|
2,966,320 |
|
4,674,450 |
|
7,640,770 |
|
Virtus Real Asset Income ETF |
|
21,282,480 |
|
11,570,127 |
|
32,852,607 |
|
Virtus WMC International Dividend ETF |
|
— |
|
— |
|
— |
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscription in-kind and redemption in-kind for the period ended April 30, 2022 were as follows:
|
|
|
Purchases |
|
Sales |
|
Subscriptions |
|
Redemptions |
|
InfraCap REIT Preferred ETF |
|
$52,819,064 |
|
$48,595,657 |
|
$7,045,121 |
|
$5,672,416 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
59,065,577 |
|
74,530,765 |
|
109,542,707 |
|
24,642,446 |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
8,247,088 |
|
8,189,661 |
|
5,965,720 |
|
7,337,310 |
|
Virtus LifeSci Biotech Products ETF |
|
3,479,403 |
|
3,503,405 |
|
2,288,224 |
|
6,944,320 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
12,123,780 |
|
7,075,912 |
|
— |
|
— |
|
Virtus Private Credit Strategy ETF |
|
3,467,168 |
|
3,688,520 |
|
14,130,481 |
|
11,191,337 |
|
Virtus Real Asset Income ETF |
|
82,140,539 |
|
81,386,513 |
|
61,573,727 |
|
66,071,881 |
|
Virtus WMC International Dividend ETF |
|
2,200,691 |
|
2,616,363 |
|
— |
|
— |
55
Purchases and sales of long-term U.S. Government Securities for the period ended April 30, 2022 were as follows:
|
|
|
Purchases |
|
Sales |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
$715,310 |
|
$— |
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Virtus InfraCap U.S. Preferred Stock ETF may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Virtus InfraCap U.S. Preferred Stock ETF may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
The Virtus InfraCap U.S. Preferred Stock ETF did not engage in options transactions during the period ended April 30, 2022.
8. BORROWINGS
The Virtus InfraCap U.S. Preferred Stock ETF entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the 3 Month LIBOR (London Interbank Offered Rate) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the period ended April 30, 2022, the average daily borrowings under the Agreements and the weighted average interest rate were $161,390,015 and 1.43%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Funds could result in a loss or the performance of the Funds could be inferior to that of other investments. An investor should consider each Fund’s investment objectives, risks, and charges and expenses carefully before investing. Each Fund’s prospectus and statement of additional information contain this and other important information.
Credit Risk
Junk Bonds or High Yield Securities: High yield securities are generally subject to greater levels of credit quality risk than investment grade securities. The retail secondary market for these “junk bonds” may be less liquid than that of higher-rated fixed income securities, and adverse conditions could make it difficult at times to sell these securities or could result in lower prices than higher-rated fixed income securities. These risks can reduce the value of the Fund’s shares and the income it earns.
Cash Concentration Risk
At various times, the Funds may have cash and cash collateral balances that exceed federally insured limits.
56
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on each Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. LIBOR
The London Interbank Offered Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt instruments in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other regulators, certain of the most widely used LIBORs have been extended and are expected to continue until mid-2023. Currently, the U.S. and other countries are working to replace LIBOR with alternative reference rates. The transition effort in the U.S. is being led by the Alternative Reference Rate Committee (ARRC), a diverse group of market participants convened by the Federal Reserve. After much deliberation, ARRC selected the Secured Overnight Financing Rate (“SOFR”) as the preferred LIBOR successor for U.S. dollar markets. SOFR is a volume-weighted median of borrowing rates from the Treasury repurchase agreement market. National working groups in other jurisdictions have similarly identified overnight nearly risk-free rates like SOFR as their preferred alternatives to LIBOR. Although the structured transition to the new rates is designed to mitigate the risks of disruption to financial markets, such risks exist. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
11. 10% SHAREHOLDERS
As of April 30, 2022, certain Funds had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
|
Funds |
|
% of Shares Outstanding |
|
Number of Accounts |
|
InfraCap REIT Preferred ETF |
|
59% |
|
3 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
62% |
|
3 |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
44% |
|
3 |
|
Virtus LifeSci Biotech Products ETF |
|
41% |
|
2 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
64% |
|
3 |
|
Virtus Private Credit Strategy ETF |
|
63% |
|
2 |
|
Virtus Real Asset Income ETF |
|
90% |
|
1 |
|
Virtus WMC International Dividend ETF |
|
85% |
|
2* |
*Includes affiliated shareholder account.
12. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No.2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
13. CORONAVIRUS (COVID-19) PANDEMIC
The global outbreak of COVID-19 has disrupted economic markets, and the economic impact, duration and spread of the COVID-19 virus is uncertain at this time. The operational and financial performance of the issuers of securities in which the Funds invest may be significantly impacted by COVID-19, which may in turn impact the value of the Funds’ investments.
14. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
The accompanying notes are an integral part of these financial statements.
57
|
|
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 131.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy - 131.0% |
|
|
|
| |
|
BP PLC (United Kingdom)(1) |
|
36 |
|
$1,034 |
|
|
Cheniere Energy Partners LP(2) |
|
51,030 |
|
2,743,373 |
|
|
Cheniere Energy, Inc.(2)(3) |
|
33,053 |
|
4,488,928 |
|
|
Crestwood Equity Partners LP(2)(3) |
|
1,035,937 |
|
30,207,923 |
|
|
DCP Midstream LP(2) |
|
1,006,475 |
|
34,421,445 |
|
|
Delek Logistics Partners LP |
|
51 |
|
2,549 |
|
|
Enbridge, Inc. (Canada) |
|
1,535 |
|
66,987 |
|
|
Energy Transfer LP(2)(3) |
|
3,823,766 |
|
42,367,327 |
|
|
EnLink Midstream LLC*(2) |
|
511,507 |
|
5,048,574 |
|
|
Enterprise Products Partners LP(2)(3) |
|
1,992,935 |
|
51,636,946 |
|
|
Genesis Energy LP(2) |
|
29,955 |
|
328,906 |
|
|
Hess Midstream LP Class A |
|
4,719 |
|
138,786 |
|
|
Holly Energy Partners LP(2) |
|
594,567 |
|
10,184,933 |
|
|
Kinder Morgan, Inc. |
|
2,303 |
|
41,799 |
|
|
Magellan Midstream Partners LP(2)(3) |
|
1,047,189 |
|
50,736,307 |
|
|
Marathon Petroleum Corp. |
|
782 |
|
68,237 |
|
|
MPLX LP(2)(3) |
|
1,660,999 |
|
53,749,928 |
|
|
NuStar Energy LP(2) |
|
2,045,654 |
|
31,237,137 |
|
|
ONEOK, Inc.(2) |
|
7,947 |
|
503,283 |
|
|
Phillips 66 |
|
1,052 |
|
91,271 |
|
|
Plains All American Pipeline LP(2)(3) |
|
3,107,832 |
|
32,197,140 |
|
|
Shell Midstream Partners LP |
|
467 |
|
6,599 |
|
|
TC Energy Corp. (Canada) |
|
8,268 |
|
437,377 |
|
|
Western Midstream Partners LP(2) |
|
1,804,040 |
|
43,639,728 |
|
|
Williams Cos., Inc. (The)(2)(3) |
|
48,410 |
|
1,659,979 |
|
|
TOTAL INVESTMENTS - 131.0% |
|
|
|
|
|
|
(Cost $327,987,567) |
|
|
|
396,006,496 |
|
|
Liabilities in Excess of Other Assets - (31.0)% |
|
|
|
(93,610,553 |
) |
|
Net Assets - 100.0% |
|
|
|
$302,395,943 |
|
|
|
|
|
|
|
|
|
|
| ||||
|
Security Description |
|
Notional |
|
Number |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS - (0.2)% |
|
|
|
|
| ||
|
Written Call Options |
| ||||||
|
Cheniere Energy, Inc., Expires 05/20/22, |
|
(15,000 |
) |
(150 |
) |
$(20,250 |
) |
|
Cheniere Energy, Inc., Expires 06/17/22, |
|
(33,100 |
) |
(331 |
) |
(64,545 |
) |
|
Crestwood Equity Partners LP, Expires 05/20/22, |
|
(46,000 |
) |
(460 |
) |
(19,320 |
) |
|
Crestwood Equity Partners LP, Expires 06/17/22, |
|
(1,000 |
) |
(10 |
) |
(900 |
) |
|
Security Description |
|
Notional |
|
Number |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS (continued) |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
Written Call Options (continued) |
|
|
|
|
|
|
|
|
Energy Transfer LP, Expires 05/06/22, |
|
(100,000 |
) |
(1,000 |
) |
$(16,000 |
) |
|
Enterprise Products Partners LP, Expires 05/06/22, |
|
(157,000 |
) |
(1,570 |
) |
(64,370 |
) |
|
Enterprise Products Partners LP, Expires 05/13/22, |
|
(101,000 |
) |
(1,010 |
) |
(12,120 |
) |
|
Enterprise Products Partners LP, Expires 05/20/22, |
|
(140,000 |
) |
(1,400 |
) |
(33,600 |
) |
|
Enterprise Products Partners LP, Expires 05/20/22, |
|
(120,000 |
) |
(1,200 |
) |
$(14,400 |
) |
|
Magellan Midstream Partners LP, Expires 05/20/22, |
|
(101,600 |
) |
(1,016 |
) |
(71,120 |
) |
|
Magellan Midstream Partners LP, Expires 06/17/22, |
|
(113,000 |
) |
(1,130 |
) |
(62,150 |
) |
|
MPLX LP, Expires 05/20/22, |
|
(50,200 |
) |
(502 |
) |
(7,530 |
) |
|
MPLX LP, Expires 09/16/22, |
|
(50,000 |
) |
(500 |
) |
(32,500 |
) |
|
Plains All American Pipeline LP, Expires 05/06/22, |
|
(110,000 |
) |
(1,100 |
) |
(15,400 |
) |
|
Williams Cos., Inc. (The), Expires 05/06/22, |
|
(46,000 |
) |
(460 |
) |
(23,000 |
) |
|
Written Put Options |
| ||||||
|
Enterprise Products Partners LP, Expires 05/06/22, |
|
(110,000 |
) |
(1,100 |
) |
(30,800 |
) |
|
Enterprise Products Partners LP, Expires 05/13/22, |
|
(104,000 |
) |
(1,040 |
) |
(43,680 |
) |
|
Phillips 66, Expires 05/06/22, |
|
(33,100 |
) |
(331 |
) |
(46,340 |
) |
|
Total Written Options - (0.2)% |
|
|
| ||||
|
(Premiums Received $523,365) |
|
$(578,025 |
) | ||||
*Non-income producing security.
(1)American Depositary Receipts.
(2)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at April 30, 2022 was $328,136,818.
(3)Subject to written call options.
The accompanying notes are an integral part of these financial statements.
58
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2022.
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$396,006,496 |
|
$— |
|
$— |
|
$396,006,496 |
|
Total |
|
$396,006,496 |
|
$— |
|
$— |
|
$396,006,496 |
|
Liability Valuation Inputs |
|
|
|
|
|
|
|
|
|
Written Options |
|
$578,025 |
|
$— |
|
$— |
|
$578,025 |
|
Total |
|
$578,025 |
|
$— |
|
$— |
|
$578,025 |
The accompanying notes are an integral part of these financial statements.
59
|
|
|
InfraCap MLP |
|
|
Assets: |
|
|
|
|
Investments, at cost |
|
$327,987,567 |
|
|
Investments, at value |
|
396,006,496 |
|
|
Cash |
|
2,420,498 |
|
|
Foreign currency(a) |
|
894 |
|
|
Due from brokers |
|
127,153 |
|
|
Receivables: |
|
|
|
|
Investment securities sold |
|
8,942,768 |
|
|
Capital shares sold |
|
2,968,471 |
|
|
Dividends and interest |
|
65,637 |
|
|
Tax reclaim |
|
2,908 |
|
|
Prepaid taxes |
|
372,826 |
|
|
Prepaid expenses |
|
11,532 |
|
|
Total Assets |
|
410,919,183 |
|
|
Liabilities: |
|
|
|
|
Bank borrowings |
|
94,797,283 |
|
|
Payables: |
|
|
|
|
Investment securities purchased |
|
7,795,895 |
|
|
Capital shares payable |
|
4,582,455 |
|
|
Interest expense |
|
35,838 |
|
|
Sub-Advisory fees |
|
733,744 |
|
|
Written options, at value(b) |
|
578,025 |
|
|
Total Liabilities |
|
108,523,240 |
|
|
Net Assets |
|
$302,395,943 |
|
|
Net Assets Consist of: |
|
|
|
|
Paid-in capital |
|
$502,977,759 |
|
|
Total distributable earnings (accumulated deficit), net of income taxes |
|
(200,581,816 |
) |
|
Net Assets |
|
$302,395,943 |
|
|
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) |
|
10,190,000 |
|
|
|
|
|
|
|
Net asset value per share |
|
$29.68 |
|
|
(a)Foreign currency, at cost |
|
$928 |
|
|
(b)Premiums received from written options |
|
$523,365 |
|
The accompanying notes are an integral part of these financial statements.
60
|
|
|
InfraCap MLP |
|
|
Investment Income: |
|
|
|
|
Distributions from master limited partnerships |
|
$16,017,329 |
|
|
Dividend income (net of foreign withholding taxes) |
|
1,171,082 |
|
|
Interest income |
|
24 |
|
|
Less: Return of capital distributions |
|
(16,017,329 |
) |
|
Total Investment Income |
|
1,171,106 |
|
|
Expenses: |
|
|
|
|
Sub-Advisory fees |
|
1,409,062 |
|
|
Interest expenses |
|
742,012 |
|
|
Total Expenses |
|
2,151,074 |
|
|
Net Investment (Loss) Before Income Taxes |
|
(979,968 |
) |
|
Net Investment (Loss), Net of Income Taxes |
|
(979,968 |
) |
|
Net Realized Gain (Loss) on: |
|
|
|
|
Investments |
|
11,148,056 |
|
|
Written options |
|
566,223 |
|
|
Foreign currency transactions |
|
(130 |
) |
|
Total Net Realized Gain |
|
11,714,149 |
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
Investments |
|
27,882,954 |
|
|
Written options |
|
75,848 |
|
|
Foreign currency translations |
|
(34 |
) |
|
Total Change in Net Unrealized Appreciation |
|
27,958,768 |
|
|
Net Realized and Change in Unrealized Gain |
|
39,672,917 |
|
|
Net Increase in Net Assets Resulting from Operations |
|
$38,692,949 |
|
|
Foreign withholding taxes |
|
$8,638 |
|
The accompanying notes are an integral part of these financial statements.
61
|
|
|
InfraCap MLP ETF |
| ||
|
|
|
For the |
|
For the |
|
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
Net investment loss, net of income taxes |
|
$(979,968 |
) |
$(3,057,400 |
) |
|
Net realized gain (loss) |
|
11,714,149 |
|
(14,141,380 |
) |
|
Net change in unrealized appreciation |
|
27,958,768 |
|
147,573,769 |
|
|
Net increase in net assets resulting from operations |
|
38,692,949 |
|
130,374,989 |
|
|
Distributions to Shareholders |
|
(13,857,800 |
) |
— |
|
|
Distributions to Shareholders from return of capital |
|
— |
|
(24,910,601 |
) |
|
Total distributions |
|
(13,857,800 |
) |
(24,910,601 |
) |
|
Shareholder Transactions: |
|
|
|
|
|
|
Proceeds from shares sold |
|
10,720,636 |
|
107,190,162 |
|
|
Cost of shares redeemed |
|
(27,788,339 |
) |
(17,132,576 |
) |
|
Net increase (decrease) in net assets resulting from shareholder transactions |
|
(17,067,703 |
) |
90,057,586 |
|
|
Increase in net assets |
|
7,767,446 |
|
195,521,974 |
|
|
Net Assets: |
|
|
|
|
|
|
Beginning of period/year |
|
294,628,497 |
|
99,106,523 |
|
|
End of period/year |
|
$302,395,943 |
|
$294,628,497 |
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
Shares outstanding, beginning of period/year |
|
10,790,000 |
|
7,190,000 |
|
|
Shares sold |
|
350,000 |
|
4,300,000 |
|
|
Shares redeemed |
|
(950,000 |
) |
(700,000 |
) |
|
Shares outstanding, end of period/year |
|
10,190,000 |
|
10,790,000 |
|
The accompanying notes are an integral part of these financial statements.
62
|
|
|
InfraCap MLP |
|
|
Cash Flows From Operating Activities: |
|
|
|
|
Net increase (decrease) in net assets from operations |
|
$38,692,949 |
|
|
Adjustments to reconcile net increase
(decrease) in net assets from |
|
|
|
|
Purchases of investment securities |
|
(134,995,465 |
) |
|
Proceeds from sales of investment securities |
|
185,901,339 |
|
|
Net proceeds from purchased and written options |
|
1,152,061 |
|
|
Net realized (gain) loss on investments |
|
(11,148,056 |
) |
|
Net realized (gain) loss on written options |
|
(566,223 |
) |
|
Net change in unrealized (appreciation) depreciation on investments |
|
(27,882,954 |
) |
|
Net change in unrealized (appreciation) depreciation on written options |
|
(75,848 |
) |
|
(Increase) decrease in due from brokers |
|
1,206,858 |
|
|
(Increase) decrease in dividends and interest receivable |
|
125,572 |
|
|
(Increase) decrease in prepaid expenses |
|
(3,333 |
) |
|
(Increase) decrease in prepaid taxes |
|
7,255,773 |
|
|
(Increase) decrease in reclaim receivable |
|
6,608 |
|
|
Increase (decrease) in sub-advisory fees payable |
|
482,910 |
|
|
Increase (decrease) in interest expense |
|
(84,267 |
) |
|
Net cash provided by (used in) operating activities |
|
60,067,924 |
|
|
|
|
|
|
|
Cash Flows provided by (used in) Financing Activities: |
|
|
|
|
Proceeds from borrowings |
|
(14,951,925 |
) |
|
Payments for fund shares sold in excess of in-kind creations |
|
(28,966,634 |
) |
|
Distributions paid |
|
(13,857,800 |
) |
|
Net cash provided by (used in) financing activities |
|
(57,776,359 |
) |
|
|
|
|
|
|
Net increase (decrease) in cash |
|
2,291,565 |
|
|
Cash and foreign currency, beginning of period |
|
129,827 |
|
|
Cash and foreign currency, end of period |
|
$2,421,392 |
|
|
|
|
|
|
|
Supplemental information: |
|
|
|
|
Interest paid on borrowings |
|
$742,012 |
|
|
|
|
|
|
|
Non-cash financing activities: |
|
|
|
|
In-kind creations — Issued |
|
13,512,915 |
|
|
In-kind creations — Redeemed |
|
— |
|
The accompanying notes are an integral part of these financial statements.
63
|
|
|
InfraCap MLP ETF(1) | ||||||||||||||||||||||
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||||
|
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$27.31 |
|
|
|
$13.78 |
|
|
|
$44.80 |
|
|
|
$63.87 |
|
|
|
$83.73 |
|
|
|
$106.32 |
|
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss(2) |
|
|
(0.09 |
) |
|
|
(0.33 |
) |
|
|
(0.09 |
) |
|
|
(0.96 |
) |
|
|
(1.52 |
) |
|
|
(1.70 |
) |
|
Net realized and unrealized gain (loss) |
|
|
3.78 |
|
|
|
16.50 |
|
|
|
(28.94 |
) |
|
|
(7.91 |
) |
|
|
(3.24 |
) |
|
|
(0.09 |
) |
|
Total from investment operations |
|
|
3.69 |
|
|
|
16.17 |
|
|
|
(29.03 |
) |
|
|
(8.87 |
) |
|
|
(4.76 |
) |
|
|
(1.79 |
) |
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.32 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(5.90 |
) |
|
Return of capital |
|
|
— |
|
|
|
(2.64 |
) |
|
|
(1.99 |
) |
|
|
(10.20 |
)(3) |
(15.10 |
) |
|
|
(14.90 |
) | ||
|
Total distributions |
|
|
(1.32 |
) |
|
|
(2.64 |
) |
|
|
(1.99 |
) |
|
|
(10.20 |
) |
|
|
(15.10 |
) |
|
|
(20.80 |
) |
|
Net Asset Value, End of period |
|
|
$29.68 |
|
|
|
$27.31 |
|
|
|
$13.78 |
|
|
|
$44.80 |
|
|
|
$63.87 |
|
|
|
$83.73 |
|
|
Net Asset Value Total Return(4) |
|
|
13.86 |
% |
|
|
121.30 |
% |
|
|
(62.67 |
)% |
|
|
(15.62 |
)% |
|
|
(7.65 |
)% |
|
|
(3.44 |
)% |
|
Net assets, end of period (000’s omitted) |
|
|
$302,396 |
|
|
|
$294,628 |
|
|
|
$99,107 |
|
|
|
$331,936 |
|
|
|
$537,821 |
|
|
|
$504,879 |
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, including deferred income tax expense/benefit |
|
|
1.45 |
%(5),(6) |
1.40 |
%(7) |
2.01 |
%(8) |
2.41 |
%(9) |
2.40 |
%(10) |
1.93 |
%(11) | ||||||||||
|
Expenses, excluding deferred income tax expense/benefit |
|
|
1.45 |
%(5),(6) |
1.40 |
%(7) |
1.89 |
%(8) |
2.40 |
%(9) |
2.39 |
%(10) |
1.89 |
%(11) | ||||||||||
|
Net investment loss |
|
|
(0.66 |
)%(5) |
(1.31 |
)% |
|
|
(1.71 |
)% |
|
|
(1.72 |
)% |
|
|
(1.96 |
)% |
|
|
(1.73 |
)% | ||
|
Portfolio turnover rate(12) |
|
|
35 |
%(13) |
99 |
% |
|
|
96 |
% |
|
|
136 |
% |
|
|
255 |
% |
|
|
104 |
% | ||
(1)Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts for the years ended December 31, 2020, December 31, 2019, December 31, 2018 and December 31, 2017 have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
(2)Based on average shares outstanding.
(3)The per share distribution amount of $10.20 was originally misclassified and shown as distributions from net investment income in the Fund’s October 31, 2019 Annual Report. This amount has been subsequently reclassified to distributions from return of capital.
(4)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year. Total return calculated for a period of less than one year is not annualized.
(5)Annualized.
(6)The ratios of expenses to average net assets include interest expense of 0.50%.
(7)The ratios of expenses to average net assets include interest expense of 0.45%.
(8)The ratios of expenses to average net assets include interest expense of 0.93% and tax expense of 0.01%.
(9)The ratios of expenses to average net assets include interest expense of 1.28% and dividend expense on securities sold short fees of 0.17%.
(10)The ratios of expenses to average net assets include interest expense of 1.32% and dividend expense on securities sold short fees of 0.13%.
(11)The ratios of expenses to average net assets includes interest expense fees of 0.94%.
(12)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(13)Not annualized.
64
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of April 30, 2022, ten funds of the Trust are offered for sale. The InfraCap MLP ETF (the “Fund”) is presented in this semi-annual report. The offering of the Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
|
Fund |
Investment objective |
|
InfraCap MLP ETF |
Seeks total return primarily through investments in equity securities of publicly traded master limited partnerships and limited liability companies taxed as partnerships (“MLPs”). |
There is no guarantee that the Fund will achieve its objective(s).
The Fund is “non-diversified,” as defined under the 1940 Act, as of the period ended April 30, 2022.
Reverse Split
After the close of the markets on March 30, 2020 (the Record Date), the Fund effected a reverse split of its issued and outstanding shares, with a 1 for 10 ratio. Shares of the Fund began trading on the NYSE Arca on a split-adjusted basis on March 31, 2020.
The effect of the reverse split was reducing the number of shares outstanding and resulted in a proportionate increase in the NAV per Share of the Fund. Therefore, the reverse split did not change the aggregate value of a shareholder’s investment or the total market value of the shares outstanding.
The reverse split was applied retroactively for all periods presented in the financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Fund may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
(c) Security Valuation
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 and Exchange-Traded Funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith using procedures adopted by the Trust’s Board of Trustees (the “Board”). Such valuations are typically categorized as Level 2 or Level 3 in the fair value 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 options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
65
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the following hierarchy:
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
•Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund’s investments at April 30, 2022, is disclosed at the end of the Fund’s Schedule of Investments.
(e) Security Transactions, Investment Income and Return of Capital Estimates
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses are recognized on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method.
The Fund invests in master limited partnerships (“MLPs”) which make distributions that are primarily attributable to return of capital. The Fund records investment income and return of capital in the Statement of Operations using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year ends.
The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts.
(f) Expenses
The Fund pays all of its expenses not assumed by Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) or Virtus ETF Advisers LLC (the “Adviser”). General Trust expenses that are allocated among and charged to the assets of the Fund and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of the Fund and other series of the Trust or the nature of the services performed and relative applicability to the Fund and other series of the Trust.
(g) Short Sales
The Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
(h) Distributions to Shareholders
Distributions to shareholders are declared and paid on a monthly basis and are recorded on the ex-dividend date. The Fund uses a cash flow-based distribution approach based on the Fund’s net cash flow received from portfolio investments.
66
The estimated character of the distributions paid will either be a dividend (ordinary income eligible to be treated as qualified dividend income) or a return of capital. Distributions made from current or accumulated earnings and profits of the Fund will be taxable to shareholders as dividend income. Distributions that are in an amount greater than the Fund’s current and accumulated earnings and profits will represent a return of capital to the extent of a shareholder’s basis in their common shares, and such distributions will correspondingly increase the realized gain upon the sale of their common shares. Additionally, distributions not paid from current or accumulated earnings and profits that exceed a shareholder’s tax basis in their common shares will generally be taxed as a capital gain. This estimate is based on the Fund’s operating results during the period.
(i) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreement
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Virtus ETF Advisers, LLC (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Fund’s securities portfolio. For its services to the Fund, the Adviser is entitled to receive a fee, payable monthly, at an annual rate of 0.075% of the Fund’s average daily net assets, subject to a minimum annual fee of $25,000. The Sub-Adviser pays the Adviser’s fee out of the Sub-Adviser’s fee, pursuant to the Sub-Adviser’s unified fee arrangement with the Fund, as described below.
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Sub-Advisory Agreement
Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) provides investment advice and management services to the Fund. Pursuant to an investment sub-advisory agreement among the Trust, the Sub-Adviser and the Adviser, the Fund pays the Sub-Adviser a fee, payable monthly, at an annual rate of 0.95% of the Fund’s average daily net assets. The Sub-Adviser has agreed to pay all expenses of the Fund, except the Sub-Adviser’s fee, brokerage expenses, taxes, interest, litigation expenses, payments under any 12b-1 plan adopted by the Fund, and other non-routine or extraordinary expenses of the Fund.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Fund’s principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Fund. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly owned subsidiary of Virtus.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Fund’s operational administrator. The Administrator supervises the overall administration of the Trust and the Fund including, among other responsibilities, the coordination and day-to-day oversight of the Fund’s operations, the service providers’ communications with the Fund and each other and assistance with Trust, Board and contractual matters related to the Fund. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Fund’s accounting services administrator. BNY Mellon also serves as the custodian for the Fund’s assets, and serves as transfer agent and dividend paying agent for the Fund.
67
Affiliated Shareholders
At April 30, 2022, the Sub-Adviser held shares of the Fund which may be redeemed at any time that aggregated to the following:
|
Fund |
|
Shares |
|
% of
shares |
|
InfraCap MLP ETF |
|
92,836 |
|
0.9% |
4. CREATION AND REDEMPTION TRANSACTIONS
The Fund issues and redeems shares on a continuous basis at Net Asset Value (“NAV”) in groups of 50,000 shares called “Creation Units.” The Fund’s Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Fund. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
5. FEDERAL INCOME TAX
The Fund is taxed as a regular C-corporation for federal income tax purposes and as such is obligated to pay federal and applicable state and foreign corporate taxes on its taxable income. Currently, the federal income tax rate for a corporation is 21 percent. This treatment differs from most investment companies, which elect to be treated as “regulated investment companies” under the Code in order to avoid paying entity level income taxes. Under current law, the Fund is not eligible to elect treatment as a regulated investment company due to its investments primarily in MLPs invested in energy assets. The Fund expects that substantially all of the distributions it receives from MLPs may be treated as a tax-deferred return of capital, thus reducing the Fund’s current tax liability. However, the amount of taxes paid by the Fund will vary depending on the amount of income and gains derived from investments and/or sales of MLP interests and such taxes will reduce your return from an investment in the Fund.
Cash distributions from MLPs to the Fund that exceed the Fund’s allocable share of such MLP’s net taxable income are considered a tax deferred return of capital that will reduce the Fund’s adjusted tax basis in the equity securities of the MLP. These reductions in the Fund’s adjusted tax basis in the MLP equity securities will increase the amount of any taxable gain (or decrease the amount of any tax loss) recognized by the Fund on a subsequent sale of the securities. The Fund will accrue deferred income taxes for any future tax liability associated with (i) that portion of MLP distributions considered to be a tax-deferred return of capital as well as (ii) capital appreciation of its investments. Upon the sale of an MLP security, the Fund may be liable for previously deferred taxes. The Fund will rely to some extent on information provided by the MLPs, which is not necessarily timely, to estimate the deferred tax liability for purposes of financial statement reporting and determining the Fund’s NAV. From time to time, the Adviser will modify the estimates or assumptions related to the Fund’s deferred tax liability as new information becomes available. The Fund will generally compute deferred income taxes based on the federal income tax rate applicable to corporations and an assumed rate attributable to state taxes.
The Fund’s income tax expense/(benefit) consists of the following:
|
As of April 30, 2022 |
|
Current |
|
Deferred |
|
Total |
|
|
Federal |
|
$— |
|
$8,079,393 |
|
$8,079,393 |
|
|
State |
|
— |
|
582,986 |
|
582,986 |
|
|
Valuation Allowance |
|
— |
|
(8,662,379 |
) |
(8,662,379 |
) |
|
Total Tax Expense/(Benefit) |
|
$— |
|
$— |
|
$— |
|
68
Components of the Fund’s deferred tax assets and liabilities are as follows:
|
|
|
As of |
|
|
Deferred Tax Assets: |
|
|
|
|
Net Operating Loss Carryforward |
|
$4,766,020 |
|
|
Capital Loss Carryforward |
|
58,388,500 |
|
|
Other |
|
480,815 |
|
|
Total Deferred Tax Assets |
|
63,635,335 |
|
|
Less Valuation Allowance |
|
(37,637,600 |
) |
|
Net Deferred Tax Assets |
|
$25,997,735 |
|
|
Deferred Tax Liabilities: |
|
|
|
|
Net Unrealized Gain on Investment |
|
$25,997,735 |
|
|
Total Deferred Tax Liabilities |
|
25,997,735 |
|
|
Total Net Deferred Tax Asset/(Liability) |
|
$— |
|
The Fund reviews the recoverability of its deferred tax assets based upon the weight of available evidence. When assessing the recoverability of its deferred tax assets, significant weight was given to the effects of potential future realized and unrealized gains on investments and the period over which these deferred tax assets can be realized. Currently, any capital losses that may be generated by the Fund in the future are eligible to be carried back up to three years and can be carried forward for five years to offset capital gains recognized by the Fund in those years. As of the period ended April 30, 2022, the Fund has a capital loss carryforward of $258,995,772 of which $88,749,970 expires in 2024, $153,290,897 expires in 2025, and $16,954,905 expires in 2026. As of the period ended April 30, 2022, the Fund has a current net operating loss (NOL) carryforward of $21,156,855 of which $7,088,343 can be carried back 2 years and carried forward until expiration in 2038, and $14,068,512 that cannot be carried back and can be carried forward indefinitely. The utilization of the NOL of $14,068,512 is limited to the lesser of the aggregate of available NOLs generated after 2018 or 80% of taxable income. There is no limitation on the $7,088,343 NOL.
Based upon the Fund’s assessment, it has determined that it is “more-likely-than-not” that a portion of its deferred tax assets will not be realized through future taxable income of the appropriate character. Accordingly, a valuation allowance has been established for the Fund’s deferred tax assets. The Fund will continue to assess the need for a valuation allowance in the future. Significant changes in the fair value of its portfolio of investments may change the Fund’s assessment of the recoverability of these assets and may result in an adjustment of the valuation allowance against all or a portion of the Fund’s gross deferred tax assets.
Total income tax (benefit)/expense (current and deferred) differs from the amount computed by applying the federal statutory income tax rate of 21% to net investment and realized and unrealized gain/(losses) on investment before taxes as follows for the Fund:
|
|
|
Amount |
|
Rate |
|
|
Income Tax (Benefit) at Statutory Rate |
|
$8,125,519 |
|
21.00 |
% |
|
State Income Taxes (Net of Federal Benefit) |
|
586,314 |
|
1.52 |
|
|
Permanent Differences, Net |
|
(49,955 |
) |
(0.13 |
) |
|
Provision to Return Adjustment and Other |
|
501 |
|
0.00 |
|
|
Valuation Allowance |
|
(8,662,379 |
) |
(22.39 |
) |
|
Net Income Tax Expense/(Benefit) |
|
$— |
|
— |
% |
The Fund recognizes interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period from inception to April 30, 2022, the Fund does not have any accrued penalties or interest.
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more-likely-than-not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Fund. The Fund’s tax years, October 31, 2020 and October 31, 2021, remain subject to examination by tax authorities in the United States. Due to the nature of the Fund’s investments, the Fund may be required to file income tax returns in several states. As of the period ended April 30, 2022, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially over the next fiscal year.
69
As of the period ended April 30, 2022, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments, excluding written options, for federal income tax purposes were as follows:
|
Fund |
|
Federal Tax |
|
Gross |
|
Gross |
|
Net
Unrealized |
|
InfraCap MLP ETF |
|
$280,511,151 |
|
$115,868,603 |
|
$(373,258 |
) |
$115,495,345 |
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscriptions in-kind and redemptions in-kind for the period ended April 30, 2022 were as follows:
|
Fund |
|
Purchases |
|
Sales |
|
Subscriptions |
|
Redemptions |
|
InfraCap MLP ETF |
|
$136,485,651 |
|
$174,052,576 |
|
$13,512,915 |
|
$— |
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Fund may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
Transactions in derivative instruments reflected on the Statement of Assets and Liabilities at April 30, 2022 are as follows:
|
Liabilities |
|
Equity Risk |
|
|
Written options, at value |
|
$(578,025 |
) |
Transactions in derivative instruments reflected on the Statement of Operations during the period ended April 30, 2022 were as follows:
|
|
Equity Risk |
| |
|
Investments* |
|
$(16,613 |
) |
|
Written options |
|
566,223 |
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
Equity Risk |
|
|
Written options |
|
$75,848 |
|
*Purchased option contracts are included in Net Realized Gain (Loss) on Investments within the Statement of Operations.
For the period ended April 30, 2022, the monthly average market value of the written options contracts held by the Fund was $(459,025).
70
8. BORROWINGS
The Fund entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the 3 Month LIBOR (London Interbank Offered Rate) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the period ended April 30, 2022, the average daily borrowings under the Agreements and the weighted average interest rate were $98,972,773 and 1.45%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Fund could result in a loss or the performance of the Fund could be inferior to that of other investments. An investor should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and statement of additional information contain this and other important information.
MLP Risk
Investments in securities of MLPs involve risks that differ from investments in common stock including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner and cash flow risks. MLP common units and other equity securities can be affected by macro-economic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards MLPs or the energy sector, changes in a particular issuer’s financial condition or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs and other equity securities also can be affected by fundamentals unique to the partnership or company, including earnings power and coverage ratios.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. LIBOR
The London Interbank Offered Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt instruments in which the Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. The Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which the Fund invests may obtain financing at floating rates based on LIBOR, and the Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other regulators, certain of the most widely used LIBORs have been extended and are expected to continue until mid-2023. Currently, the U.S. and other countries are working to replace LIBOR with alternative reference rates. The transition effort in the U.S. is being led by the Alternative Reference Rate Committee (ARRC), a diverse group of market participants convened by the Federal Reserve. After much deliberation, ARRC selected the Secured Overnight Financing Rate (“SOFR”) as the preferred LIBOR successor for U.S. dollar markets. SOFR is a volume-weighted median of borrowing rates from the Treasury repurchase agreement market. National working groups in other jurisdictions have similarly identified overnight nearly risk-free rates like SOFR as their preferred alternatives to LIBOR. Although the structured transition to the new rates is designed to mitigate the risks of disruption to financial markets, such risks exist. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes would have on the Fund, issuers of instruments in which the Fund invests, and the financial markets generally.
11. CORONAVIRUS (COVID-19) PANDEMIC
The global outbreak of COVID-19 has disrupted economic markets, and the economic impact, duration and spread of the COVID-19 virus is uncertain at this time. The operational and financial performance of the issuers of securities in which the Fund invests may be significantly impacted by COVID-19, which may in turn impact the value of the Fund’s investments.
71
12. 10% SHAREHOLDERS
As of April 30, 2022, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
|
Fund |
|
% of Shares |
|
Number of |
|
InfraCap MLP ETF |
|
57% |
|
3 |
13. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No.2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
14. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
72
November 15, 2021 Annual Consideration of Advisory and Sub-Advisory Agreements for:
InfraCap MLP ETF (“AMZA”)
InfraCap REIT Preferred ETF (“PFFR”)
Virtus InfraCap U.S. Preferred Stock ETF (“PFFA”)
Virtus LifeSci Biotech Clinical Trials ETF (“BBC”) (no sub-adviser—Advisory Agreement only)
Virtus LifeSci Biotech Products ETF (“BBP”) (no sub-adviser—Advisory Agreement only)
Virtus Newfleet Multi-Sector Bond ETF (“NFLT”)
Virtus Private Credit ETF (“VPC”) (no sub-adviser—Advisory Agreement only)
Virtus Real Asset Income ETF (“VRAI”) (no sub-adviser—Advisory Agreement only)
Virtus WMC International Dividend ETF
(“VWID”)
(each, a “Fund” and collectively, the “Funds”)
On November 15, 2021, at a meeting (the “Meeting”) at which all of the Trustees were present and could hear and be heard, including all of the Trustees who were not “interested persons” (as that term is defined in the Investment Company Act of 1940) of the Trust (the “Independent Trustees”), the Board of Trustees (the “Board”) of ETFis Series Trust I (the “Trust”), including the Independent Trustees voting separately, reviewed and unanimously approved for each of the respective Funds the continuance of an investment advisory agreement between Virtus ETF Advisers LLC (the “Adviser”) and the Trust (each, an “Advisory Agreement” and collectively, the “Advisory Agreements”), and an investment sub-advisory agreement among each Sub-Adviser,1 the Adviser and the Trust (each, a “Sub-Advisory Agreement” and collectively, the “Sub-Advisory Agreements”).
At the Meeting, the Board received and reviewed information provided by the Adviser and each Sub-Adviser in response to requests of the Board and its counsel, including a memorandum from the Adviser that included a description of the Adviser’s business, a copy of the Adviser’s Form ADV, and certain other information about the Adviser to be considered in connection with the Trustees’ review process (the “Adviser Memorandum”), and a memorandum from each Sub-Adviser that included a description of the Sub-Adviser’s business, a copy of the Sub-Adviser’s Form ADV and certain other information about the Sub-Adviser to be considered in connection with the Trustees’ review process (each, a “Sub-Adviser Memorandum”). The Board also engaged with representatives of the Adviser to discuss the Funds.
Advisory Agreements
In deciding on whether to approve the continuance of the Advisory Agreements with the Adviser on behalf of the Funds, the Board considered numerous factors, including:
The nature, extent, and quality of the services provided by the Adviser. The Board considered the responsibilities the Adviser has under the respective Advisory Agreement, and the services provided by the Adviser to the Funds, including, without limitation, the management, oversight, and administrative services that the Adviser and its employees provide to the Funds, the Adviser’s coordination of services for the Funds by the Trust’s service providers, and its compliance procedures and practices. The Board noted that many of the Trust’s executive officers are employees of the Adviser, and serve the Trust without additional compensation from the Funds. The Board also considered the information in the Adviser Memorandum, including descriptions of the Adviser’s investment advisory services and its related non-advisory business. The Board concluded that the quality, extent, and nature of the services provided by the Adviser are satisfactory and adequate for the Funds.
Investment performance of the Funds and the Adviser. The Board evaluated the investment management experience of the Adviser, in light of the services it has provided to each Fund. In particular, the Board received information from the Adviser regarding, among other things, the Adviser’s experience in organizing, managing and overseeing the Funds, coordinating their operation and administration, and, for those Funds to which it provides portfolio management services, its experience in carrying out the day-to-day management of those Funds’ portfolios. In particular, the Board received and reviewed information comparing each Fund’s performance to its applicable peer group. In conducting its review, the Board considered the fact that AMZA, NFLT, PFFR, PFFA and VWID were sub-advised funds, and thus their performance results were specifically relevant to their respective Sub-Adviser’s portfolio management capabilities. With respect to the Adviser’s portfolio management of BBC, BBP, VPC and VRAI, the Board considered that each Fund utilized an index-based strategy, and thus took into account both the Funds’ performance relative to their respective peer groups as well as the Adviser’s performance in tracking the relevant indexes (i.e., tracking error).
1 The Sub-Advisers include Infrastructure Capital Advisors, LLC; Newfleet Asset Management, LLC; and Wellington Management Company LLP.
73
Specifically, with respect to BBC and BBP, the Board noted that the Funds underperformed the median and average performance of their respective peer groups for each of the one-year, three-year and year-to-date periods but performed in accordance with their investment objectives of tracking their corresponding indices. Management then discussed with the Board the Funds’ focus on biotechnology companies and how those companies performed relative to the broader health care sector. For VPC, the Board noted that the Fund outperformed the average performance of its peer group for the one-year and year-to-date periods and slightly underperformed the median performance of its peer group for the one-year and year-to-date periods. For VRAI, the Board noted that the Fund outperformed the median and average performance of its peer group for the one-year and year-to-date periods. The Board also noted that each of these index-based Funds tracked their respective underlying indexes with minimal tracking error of less than 300 basis points, which was primarily attributable to trading as well as Fund fees and expenses.
After consideration of these factors, the Board determined that the Adviser possessed adequate capabilities and experience for the management of each Fund, and that each Fund to which the Adviser provided portfolio management services had satisfactory performance and tracking error results.
The costs of the services provided and profits to be realized by the Adviser from its relationship with the Funds. The Board examined and evaluated the arrangements between the Adviser and the Funds under the Advisory Agreements. The Board considered the fact that AMZA, PFFR, BBC, BBP, PFFA, VPC, VRAI and VWID utilize a “unified fee” structure in which a Fund’s ordinary operating expenses (subject to customary exclusions) are paid from the Adviser’s and/or Sub-Adviser’s management fee. The Board also considered that NFLT is subject to an expense limitation agreement (subject to customary exclusions) to cap the Fund’s total expenses. The Board noted that, under either arrangement, the Adviser or Sub-Adviser would likely supplement a portion of the cost of operating each Fund for some period of time and considered the benefits that would accrue to those Funds.
The Board also considered potential benefits to the Adviser in managing the Funds, including promotion of the Adviser’s name, and the interests of the Adviser in providing management and oversight services to the Funds. In addition, at the Meeting, the Board compared the management fees and net expense ratios of the Funds to the management fees and net expense ratios of other funds considered by the Adviser to have similar investment objectives and strategies to the Funds and comparable assets under management (“AUM”).
Specifically, the Board noted that the management fees and expense ratios for BBC, BBP and VRAI were higher than the median and average, but below the maximum, management fees and expense ratios of their respective peer groups. For VWID, the Board noted that the management fee was equal to the median, and below the average, management fees of its peer group, and that the expense ratio was higher than the median and average, but below the maximum, expense ratios of its peer group. Further, the Board noted that the management fees and expense ratios for PFFR and NFLT were below the median and average management fees and expense ratios of their respective peer groups. For VPC, the Board noted that the peer group was comprised primarily of exchange-traded notes (“ETNs”) because there were not enough ETFs with similar strategies for peer group comparison purposes. The Board noted that had it not considered the ETNs, the peer group would have been comprised of only one other ETF. As a result, the Board noted that the management fee was above the median and average management fees of its peer group, and also above the management fee of the other ETF in its peer group, but below the maximum management fees of its peer group, and that the expense ratio was the higher than the other ETF in its peer group but reasonable for the strategy (noting that ETNs do not have expense ratios for comparison purposes). For PFFA, the Board noted that the management fee was above the median and average, but below the maximum, management fee of its peer group. For AMZA, the Board noted that the management fee was equal to the maximum management fee of its peer group, for which several other peers charged the same fee. The Board also noted that, although PFFA’s and AMZA’s expense ratios were the highest of their respective peer groups, that was primarily the result of interest expenses relating to borrowings; without those expenses, the expense ratios for PFFA and AMZA would have been comparable to their respective peer groups.
Following these comparisons and upon further consideration and discussion of the foregoing, the Board concluded that the fees paid to the Adviser by the Funds (including, where applicable, pursuant to the Sub-Advisory Agreements) are appropriate and representative of arm’s-length negotiations.
The extent to which economies of scale would be realized as the Funds grow and whether management fee levels reflect these economies of scale for the benefit of the Funds’ investors. The Board considered the AUM and operational history of each of the Funds, together with the fees paid to the Adviser (including, where applicable, any capped fees). The Board considered that AMZA, PFFR, BBC, BBP, PFFA, VPC, VRAI and VWID are subject to a unified fee. The Board considered that these Funds have experienced benefits from the unified fee arrangement, and would continue to do so even after the Adviser reaches firm-wide profitability. The Board also considered that NFLT currently experiences benefits from the capped fees pursuant to the expense limitation agreement, and would continue to do so even after NFLT’s assets grow to a level where the Adviser is no longer required to waive its advisory fee or reimburse the Fund’s expenses in excess of the amount received by the Adviser under the Advisory Agreement. Accordingly, the Board concluded that each Fund’s fee arrangement would provide benefits through the unified fee structure or, for NFLT, the capped fee arrangement, and that, at each Fund’s current and projected asset levels, each Fund’s arrangement with the Adviser would be appropriate.
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Other benefits derived by the Adviser from its relationship with the Funds. The Board considered material “fall-out” or ancillary benefits that accrue to the Adviser as a result of its relationship with each Fund (other than the advisory fee). The Board noted that affiliates of the Adviser serve as principal underwriter and operational administrator for the Funds, and that the association could result in non-quantifiable reputational benefits for those entities. Based on the foregoing information, the Board concluded that such potential benefits are immaterial to its consideration and approval of the continuance of the Advisory Agreements.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed with counsel to the Independent Trustees the legal standards applicable to its consideration of the Advisory Agreements. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the Advisory Agreements were fair and reasonable in light of the services performed or to be performed, expenses incurred or to be incurred and such other matters as the Board considered relevant.
After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the continuance of the Advisory Agreements on behalf of each Fund.
Sub-Advisory Agreements
In deciding on whether to approve the continuance of the Sub-Advisory Agreements with each Sub-Adviser on behalf of the respective Funds, the Board considered numerous factors, including:
The nature, extent, and quality of the services provided by the Sub-Advisers. The Board considered the responsibilities the Sub-Advisers have under the Sub-Advisory Agreements and the services provided by the Sub-Advisers including, without limitation, the investment advisory services and each Sub-Adviser’s compliance procedures and practices. After reviewing the foregoing information and further information in the materials, including each Sub-Adviser Memorandum (which included descriptions of each Sub-Adviser’s business and each Sub-Adviser’s Form ADV), the Board concluded that the quality, extent, and nature of the services provided by the Sub-Advisers are satisfactory and adequate for the Funds.
Investment performance of the Funds and the Sub-Advisers. The Board evaluated the experience of each Sub-Adviser in carrying out the day-to-day management of the respective Fund’s portfolio. In particular, the Board received and reviewed information from the Adviser regarding the performance of each Sub-Adviser in implementing the investment strategies for the respective Fund. In conducting its review, the Board considered that AMZA, NFLT and PFFA were actively managed funds. The Board also considered that PFFR utilized an index-based strategy, and thus took into account both the Fund’s performance relative to its peer group as well as the Sub-Adviser’s performance in tracking the relevant index (i.e., tracking error).
Specifically, with respect to NFLT and PFFA, the Board noted that the Funds had outperformed the median and average performance of their respective peer groups for each of the one-year, three-year, and year-to-date periods. With respect to VWID, the Board noted that the Fund underperformed the median and average performance of its peer group for each of the one-year, three-year, and year-to-date periods, but for each of the one-year and year-to-date periods, still outperformed other funds in its peer group. With respect to AMZA and PFFR, the Board noted that the Funds outperformed the median and average performance of their respective peer groups for each of the one-year and year-to-date periods, but underperformed the median and average performance of their respective peer groups for the three-year period. The Board also noted that while PFFR’s tracking error was within the 300-basis-point benchmark, it had the highest tracking error of the index-based Funds. Management then discussed with the Board that this continued to be primarily attributable to PFFR’s underlying preferred stock holdings, which trade at wider spreads than the underlying holdings of the other index-based Funds, as opposed to the Sub-Adviser’s management of the Fund.
After consideration of these factors, the Board determined that each Sub-Adviser possessed adequate capabilities and experience for the management of the respective Funds, and that the sub-advised Funds generally had satisfactory performance.
The costs of the services provided and profits to be realized by the Sub-Advisers from their relationship with the respective Funds. The Board examined and evaluated the arrangements between the respective Sub-Adviser and the Adviser under the Sub-Advisory Agreements. The Board considered the fact that AMZA, PFFR, PFFA and VWID utilize a “unified fee” structure in which a Fund’s ordinary operating expenses (subject to customary exclusions) are paid from the Adviser’s and/or Sub-Adviser’s management fee. The Board also considered that NFLT is subject to an expense limitation agreement (subject to customary exclusions) to cap the Fund’s total expenses. The Board considered the extent to which each Sub-Adviser bears a portion of Fund expenses. The Board noted that, under either arrangement, the Sub-Advisers would likely supplement a portion of the cost of operating the Funds for some period of time and considered the benefits that would accrue to those Funds.
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The Board considered the Sub-Advisers’ staffing, personnel, and methods of operating; the Sub-Advisers’ compliance policies and procedures; the financial condition of the Sub-Advisers and the level of commitment to the Funds by the Sub-Advisers; the current and projected asset levels of the Funds; and the overall expenses of the Funds. The Board also considered potential benefits to the Sub-Advisers in sub-advising the respective Funds, including promotion of the Sub-Advisers’ names.
The Board compared the fees and expenses of the Funds (including the sub-advisory fee) to other funds considered by the Adviser to have investment objectives and strategies similar to the Funds and comparable AUM, as noted above. Following these comparisons and upon further consideration and discussion of the foregoing, the Board concluded that the fees paid to the Sub-Advisers (including, where applicable, pursuant to the Advisory Agreements) are appropriate and representative of arm’s-length negotiations.
The extent to which economies of scale would be realized as the Funds grow and whether sub-advisory fee levels reflect these economies of scale for the benefit of the Funds’ investors. The Board considered the AUM and operational history of each of the sub-advised Funds, together with the fees paid to the respective Sub-Advisers (including, where applicable, any capped fees). The Board considered that AMZA, PFFR, PFFA and VWID are subject to a unified fee. The Board considered that the Funds have experienced benefits from the unified fee arrangement, and that NFLT benefits from any additional capped fees, particularly where the Sub-Adviser is paying or contributing to Fund expenses in excess of its sub-advisory fee. The Board considered that the applicable Fund would continue to experience such benefits even after such Fund’s assets grow to a level where the Sub-Adviser is no longer required to waive its sub-advisory fee or reimburse, pay or contribute to the Fund’s expenses in excess of the amount received by the Sub-Adviser under its Sub-Advisory Agreement. Accordingly, the Board concluded that each Fund’s fee arrangement would provide benefits through the unified fee structure or, for NFLT, the capped fee arrangement, and that, at each Fund’s current and projected asset levels, each Fund’s arrangement with its respective Sub-Adviser would be appropriate.
Other benefits derived by the Sub-Advisers from their relationships with the Funds. The Board considered material “fall-out” or ancillary benefits that accrue to the Sub-Advisers as a result of their relationships with their respective Funds (other than the sub-advisory fees). For example, the Board noted that the Sub-Advisers may obtain reputational benefits from the success of one or more Funds or other Virtus ETFs. Based on their review and other considerations, the Board concluded that such potential benefits are immaterial to its consideration and approval of the continuance of the Sub-Advisory Agreements.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed with counsel to the Independent Trustees the legal standards applicable to its consideration of each Sub-Advisory Agreement. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the sub-advisory arrangements, as outlined in each Sub-Adviser’s Sub-Advisory Agreement, were fair and reasonable in light of the services performed or to be performed, expenses incurred or to be incurred, and such other matters as the Board considered relevant.
After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the continuance of each of the Sub-Advisory Agreements with the respective Sub-Adviser on behalf of each Fund.
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INFORMATION ABOUT PORTFOLIO HOLDINGS
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT-P. Form N-PORT-P is available on the SEC’s website at https://www.sec.gov.
The Funds’ premium/discount information for the most recently completed calendar year, and the most recently completed calendar quarters since that year is available by visiting www.virtusetfs.com or by calling (888) 383-4184.
INFORMATION ABOUT PROXY VOTING
A description of the policies and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the SAI. The SAI is available without charge upon request by calling toll-free at (888) 383- 0553, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.virtusetfs.com.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30th is available by calling toll-free at (888) 383-0553 or by accessing the SEC’s website at www.sec.gov.
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8572(06/22)
