Virtus ETF Trust II

VIRTUS DUFF & PHELPS CLEAN ENERGY ETF
VIRTUS NEWFLEET ABS/MBS ETF
VIRTUS NEWFLEET HIGH YIELD BOND ETF
VIRTUS SEIX SENIOR LOAN ETF
VIRTUS TERRANOVA U.S. QUALITY MOMENTUM ETF

SEMI-ANNUAL REPORT
January 31, 2022

Table of Contents

Page (s)

Shareholder Letter

1

Shareholder Expense Examples

2

 

Schedules of Investments

Virtus Duff & Phelps Clean Energy ETF

3

Virtus Newfleet ABS/MBS ETF

4

Virtus Newfleet High Yield Bond ETF

7

Virtus Seix Senior Loan ETF

11

Virtus Terranova U.S. Quality Momentum ETF

14

Statements of Assets and Liabilities

16

Statements of Operations

17

Statements of Changes in Net Assets

18

Financial Highlights

21

Notes to Financial Statements

26

Approval of Advisory Agreements & Board Considerations

33

Supplemental Information

39

1

Shareholder Letter (unaudited)

March 2022

Dear Shareholder:

On behalf of Virtus ETF Advisers LLC (the “Adviser”), I am pleased to present the shareholder report for the Virtus ETF Trust II (the “Trust”) for the semiannual fiscal period ended January 31, 2022.

The Adviser is part of Virtus Investment Partners, a distinctive partnership of boutique investment managers singularly committed to the long-term success of individual and institutional investors.

The report provides financial statements and portfolio information for the following funds within the Trust:

Virtus Duff & Phelps Clean Energy ETF (VCLN) – This fund commenced operations on August 3, 2021 and seeks capital appreciation by investing in equity securities of clean energy companies.

Virtus Newfleet ABS/MBS ETF (VABS)

Virtus Newfleet High Yield Bond ETF (BLHY)

Virtus Seix Senior Loan ETF (SEIX)

Virtus Terranova U.S. Quality Momentum ETF (JOET)

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, we invite you to visit our website, www.virtusetfs.com.

Sincerely,

William Smalley
President

Virtus ETF Trust II

This material must be accompanied or preceded by the prospectus.

2

Shareholder Expense Examples (unaudited)

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 Virtus Duff & Phelps Clean Energy ETF, Virtus Newfleet ABS/MBS ETF, Virtus Newfleet High Yield Bond ETF, Virtus Seix Senior Loan ETF and Virtus Terranova U.S. Quality Momentum 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 the 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 (August 1, 2021 to January 31, 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
Account
Value 8/01/21

Ending
Account
Value 1/31/22

Annualized
Expense
Ratios
(2)

Expenses
Paid During
the Period
(3)

Virtus Duff & Phelps Clean Energy ETF

Actual

$1,000.00

$832.00

0.59%

$2.68(4)

Hypothetical(1)

$1,000.00

$1,021.87

0.59%

$3.01

 

Virtus Newfleet ABS/MBS ETF

Actual

$1,000.00

$990.90

0.39%

$1.96

Hypothetical(1)

$1,000.00

$1,023.24

0.39%

$1.99

 

Virtus Newfleet High Yield Bond ETF

Actual

$1,000.00

$992.60

0.49%

$2.46

Hypothetical(1)

$1,000.00

$1,022.74

0.49%

$2.50

 

Virtus Seix Senior Loan ETF

Actual

$1,000.00

$1,022.30

0.57%

$2.91

Hypothetical(1)

$1,000.00

$1,022.33

0.57%

$2.91

 

Virtus Terranova U.S. Quality Momentum ETF

Actual

$1,000.00

$986.90

0.29%

$1.45

Hypothetical(1)

$1,000.00

$1,023.74

0.29%

$1.48

  

(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 184/365 (to reflect the six-month period).

(4)Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the period August 3, 2021 to January 31, 2022).

Schedule of Investments — Virtus Duff & Phelps Clean Energy ETF

January 31, 2022 (unaudited)

The accompanying notes are an integral part of these financial statements.

3

Security Description

Shares

Value

COMMON STOCKS – 99.6%

Consumer Staples – 1.7%

Darling Ingredients, Inc.*

831

$52,993

Energy – 0.9%

Enviva, Inc.

417

 29,182

Industrials – 25.4%

Aker Carbon Capture ASA (Norway)*

25,581

 56,244

Chart Industries, Inc.*

375

 45,701

Fluence Energy, Inc.*

1,785

 33,379

ITM Power PLC (United Kingdom)*

10,959

 39,854

Plug Power, Inc.*

7,030

 153,746

Prysmian SpA (Italy)

2,700

 90,180

Siemens Gamesa Renewable Energy SA (Spain)*

2,985

 64,035

Sunrun, Inc.*

2,831

 73,408

Vestas Wind Systems A/S (Denmark)

6,721

 179,568

Xinjiang Goldwind Science & Technology Co., Ltd. Class H (China)

9,000

 15,583

Xylem, Inc.

545

 57,236

Total Industrials

 808,934

Information Technology – 18.9%

Enphase Energy, Inc.*

1,600

 224,752

First Solar, Inc.*

1,360

 106,597

SolarEdge Technologies, Inc.*

636

 151,508

Xinyi Solar Holdings Ltd. (China)

76,000

 120,866

Total Information Technology

 603,723

Materials – 2.1%

MP Materials Corp.*

1,695

 67,698

Utilities – 50.6%

AES Corp. (The)

4,550

 100,919

China Longyuan Power Group Corp. Ltd.
Class H (China)

23,000

 46,430

Clearway Energy, Inc. Class C

2,685

 90,431

Dominion Energy, Inc.

1,085

 87,516

EDP - Energias de Portugal SA (Portugal)

23,852

 121,629

EDP Renovaveis SA (Spain)

2,425

 50,727

Encavis AG (Germany)

3,426

 53,384

Enel SpA (Italy)

12,748

 97,115

Security Description

Shares

Value

COMMON STOCKS (continued)

Utilities (continued)

Exelon Corp.

1,520

$ 88,084

Iberdrola SA (Spain)

13,449

 153,509

Iberdrola SA - Interim shares (Spain)*

224

 2,557

NextEra Energy, Inc.

731

 57,106

Orsted AS (Denmark)(1)

1,945

 205,278

Public Service Enterprise Group, Inc.

1,250

 83,162

RWE AG (Germany)

1,866

 78,215

SSE PLC (United Kingdom)

6,189

 131,721

Sunnova Energy International, Inc.*

1,194

 23,474

Verbund AG (Austria)

915

 96,422

Xcel Energy, Inc.

660

 45,976

Total Utilities

 1,613,655

Total Common Stocks

(Cost $3,731,993)

 3,176,185

TOTAL INVESTMENTS – 99.6%

(Cost $3,731,993)

3,176,185

Other Assets in Excess of Liabilities – 0.4%

12,823

Net Assets – 100.0%

$3,189,008

 

*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 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 January 31, 2022, the aggregate value of these securities was $205,278, or 6.4% of net assets.

Portfolio Composition

January 31, 2022 (unaudited)

Asset Allocation as of 01/31/2022 (based on net assets)

Utilities

50.6

%

Industrials

25.4

%

Information Technology

18.9

%

Materials

2.1

%

Consumer Staples

1.7

%

Energy

0.9

%

Other Assets in Excess of Liabilities

0.4

%

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.


The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of January 31, 2022.

Level 1

Level 2

Level 3

Total

Asset Valuation Inputs

Common Stocks

$3,173,628

$2,557

$

$3,176,185

Total

$3,173,628

$2,557

$

$3,176,185

Schedule of Investments — Virtus Newfleet ABS/MBS ETF

January 31, 2022 (unaudited)

The accompanying notes are an integral part of these financial statements.

4

Security Description

Principal

Value

ASSET BACKED SECURITIES – 53.3%

ACC Auto Trust, Class C, Series 2021-A, 3.79%, 04/15/27(1)

$460,000

$453,528

ACC Trust, Class C, Series 2021-1, 2.08%, 12/20/24(1)

 150,000

 148,265

Affirm Asset Securitization Trust, Class A, Series 2021-A, 0.88%, 08/15/25(1)

 100,000

 99,787

American Credit Acceptance Receivables Trust, Class C, Series 2021-3, 0.98%, 11/15/27(1)

 450,000

 442,290

American Credit Acceptance Receivables Trust, Class E, Series 2022-1, 3.64%, 03/13/28(1)

 160,000

 160,441

Aqua Finance Trust, Class C, Series 2019-A, 4.01%, 07/16/40(1)

 120,000

 121,898

Avis Budget Rental Car Funding AESOP LLC, Class A, Series 2019-3A, 2.36%, 03/20/26(1)

 37,000

 37,515

Avis Budget Rental Car Funding AESOP LLC, Class A, Series 2020-2A, 2.02%, 02/20/27(1)

 600,000

 599,743

Avis Budget Rental Car Funding AESOP LLC, Class D, Series 2021-2A, 3.04%, 09/22/25(1)

 65,000

 63,992

Business Jet Securities LLC, Class A, Series 2021-1A, 2.16%, 04/15/36(1)

 99,961

 97,524

Cajun Global LLC, Class A2, Series 2021-1, 3.93%, 11/20/51(1)

 220,000

 217,020

Carvana Auto Receivables Trust, Class D, Series 2021-N3, 1.58%, 06/12/28

 310,000

 302,632

CFMT Issuer Trust, Class A, Series 2021-GRN1, 1.10%, 03/20/41(1)

 78,597

 77,392

CLI Funding VI LLC, Class A, Series 2020-1A, 2.08%, 09/18/45(1)

 107,125

 105,098

Consumer Loan Underlying Bond Credit Trust, Class B, Series 2019-P1, 3.28%, 07/15/26(1)

 6,442

 6,446

CPS Auto Receivables Trust, Class E, Series 2019-D, 3.86%, 10/15/25(1)

 65,000

 66,252

Dext ABS LLC, Class A, Series 2020-1, 1.46%, 02/16/27(1)

 312,006

 311,658

Exeter Automobile Receivables Trust, Class D, Series 2017-3A, 5.28%, 10/15/24(1)

 130,000

 132,070

Fair Square Issuance Trust, Class A, Series 2020-AA, 2.90%, 09/20/24(1)

 100,000

 100,071

FAT Brands Royalty LLC, Class A2, Series 2021-1A, 4.75%, 04/25/51(1)

 70,000

 69,401

Flagship Credit Auto Trust, Class C, Series 2020-1, 2.24%, 01/15/26(1)

 120,000

 120,808

Flagship Credit Auto Trust, Class C, Series 2020-4, 1.28%, 02/16/27(1)

 300,000

 298,325

Foursight Capital Automobile Receivables Trust, Class C, Series 2021-2, 1.57%, 07/15/27(1)

 40,000

 39,004

GLS Auto Receivables Issuer Trust, Class D, Series 2019-4A, 4.09%, 08/17/26(1)

 120,000

 122,417

HIN Timeshare Trust, Class C, Series 2020-A, 3.42%, 10/09/39(1)

 144,263

 146,904

Hotwire Funding LLC, Class C, Series 2021-1, 4.46%, 11/20/51(1)

 325,000

 320,821

Lendmark Funding Trust, Class A, Series 2019-1A, 3.00%, 12/20/27(1)

100,000

100,760

Mariner Finance Issuance Trust, Class A, Series 2019-AA, 2.96%, 07/20/32(1)

 100,000

 100,935

Mercury Financial Credit Card Master Trust, Class A, Series 2021-1A, 1.54%, 03/20/26(1)

 150,000

 149,513

Security Description

Principal

Value

ASSET BACKED SECURITIES (continued)

Mission Lane Credit Card Master Trust, Class A, Series 2021-A, 1.59%, 09/15/26(1)

$300,000

$296,760

Navient Private Education Refi Loan Trust, Class A, Series 2021-EA, 0.97%, 12/16/69(1)

 534,790

 518,996

NBC Funding LLC, Class A2, Series 2021-1, 2.99%, 07/30/51(1)

 298,500

 292,395

Oasis Securitization Funding LLC, Class A, Series 2021-1A, 2.58%, 02/15/33(1)

 64,484

 64,702

Octane Receivables Trust, Class B, Series 2021-1A, 1.53%, 04/20/27(1)

 50,000

 48,847

Onemain Direct Auto Receivables Trust, Class C, Series 2018-1A, 3.85%, 10/14/25(1)

 750,000

 750,872

Oportun Funding XIV LLC, Class B, Series 2021-A, 1.76%, 03/08/28(1)

 300,000

 297,664

Oscar US Funding XII LLC, Class A4, Series 2021-1A (Japan), 1.00%, 04/10/28(1)

 120,000

 117,361

Planet Fitness Master Issuer LLC, Class A2II, Series 2018-1A, 4.67%, 09/05/48(1)

 120,938

 123,124

Santander Drive Auto Receivables Trust, Class D, Series 2020-2, 2.22%, 09/15/26

 55,000

 55,518

Skopos Auto Receivables Trust, Class C, Series 2019-1A, 3.63%, 09/16/24(1)

 102,606

 103,407

Upstart Securitization Trust, Class B, Series 2021-3, 1.66%, 07/20/31(1)

 225,000

 220,941

USASF Receivables LLC, Class B, Series 2020-1A, 3.22%, 05/15/24(1)

 125,000

 125,767

Veros Auto Receivables Trust, Class B, Series 2021-1, 1.49%, 10/15/26(1)

 300,000

 295,595

Westlake Automobile Receivables Trust, Class D, Series 2019-1A, 3.67%, 03/15/24(1)

 46,566

 47,004

ZAXBY’S Funding LLC, Class A2, Series 2021-1A, 3.24%, 07/30/51(1)

 154,225

 153,578

Total Asset Backed Securities

(Cost $8,663,349)

8,525,041

MORTGAGE BACKED SECURITIES – 44.2%

Commercial Mortgage Backed Securities – 10.2%

ACRES Commercial Realty Corp., Class B, Series 2020-RSO8, 1.91%, (SOFR + 1.86%), 03/15/35(1)(2)

 100,000

 100,069

BBCMS Mortgage Trust, Class A, Series 2018-TALL, 0.83%, (1-Month USD LIBOR + 0.72%), 03/15/37(1)(2)

 125,000

 123,874

BPR Trust, Class A, Series 2021-KEN, 1.36%, (1-Month USD LIBOR + 1.25%), 02/15/29(1)(2)

 375,000

 375,263

CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.23%, (1-Month USD LIBOR + 1.12%), 06/15/34(1)(2)

228,333

227,943

COMM Mortgage Trust, Class D, Series 2012-CR2, 4.83%, 08/15/45(1)(2)(3)

 30,000

 29,612

GS Mortgage Securities Corp. Trust, Class A, Series 2012-ALOH, 3.55%, 04/10/34(1)

 100,000

 100,005

Motel Trust, Class B, Series 2021-MTL6, 1.31%, (1-Month USD LIBOR + 1.20%), 09/15/38(1)(2)

 600,000

 599,617

Stack Infrastructure Issuer LLC, Class A2, Series 2019-1A, 4.54%, 02/25/44(1)

 66,017

 67,991

Total Commercial Mortgage Backed Securities

 1,624,374


The accompanying notes are an integral part of these financial statements.

5

Schedule of Investments — Virtus Newfleet ABS/MBS ETF (continued)

January 31, 2022 (unaudited)

Security Description

Principal

Value

MORTGAGE BACKED SECURITIES (continued)

Residential Mortgage Backed Securities – 34.0%

American Homes 4 Rent Trust, Class A, Series 2015-SFR1, 3.47%, 04/17/52(1)

$100,657

$103,971

Angel Oak Mortgage Trust, Class A1, Series 2021-2, 0.99%, 04/25/66(1)(2)(3)

 31,824

 31,471

Angel Oak Mortgage Trust, Class A2, Series 2021-3, 1.31%, 05/25/66(1)(2)(3)

 96,032

 94,760

Angel Oak Mortgage Trust, Class A1, Series 2021-8, 1.82%, 11/25/66(1)(2)(3)

 527,249

 521,532

BRAVO Residential Funding Trust, Class A1, Series 2021-A, 1.99%, 01/25/24(1)(4)

 88,976

 87,913

CAFL Issuer LLC, Class A1, Series 2021-RTL1, 2.24%, 03/28/29(1)(4)

 150,000

 146,504

Cascade MH Asset Trust, Class A1, Series 2021-MH1, 1.75%, 02/25/46(1)

 111,241

 108,345

COLT Mortgage Loan Trust, Class A1, Series 2021-2R, 0.80%, 07/27/54(1)

 65,220

 65,004

COLT Mortgage Loan Trust, Class A1, Series 2020-1R, 1.26%, 09/25/65(1)(2)(3)

 81,993

 81,422

CoreVest American Finance Trust, Class A, Series 2020-3, 1.36%, 08/15/53(1)

 198,325

 191,857

CSMC Trust, Class A1, Series 2021-AFC1, 0.83%, 03/25/56(1)(2)(3)

 74,437

 73,259

CSMC Trust, Class A1, Series 2021-RPL3, 2.00%, 01/25/60(1)(2)(3)

 312,655

 312,215

Deephaven Residential Mortgage Trust, Class A1, Series 2020-2, 1.69%, 05/25/65(1)

 10,888

 10,907

Ellington Financial Mortgage Trust, Class A2, Series 2021-1, 1.00%, 02/25/66(1)(2)(3)

 78,880

 83,304

FirstKey Homes Trust, Class D, Series 2021-SFR1, 2.19%, 08/17/38(1)

 130,000

 125,811

LHOME Mortgage Trust, Class A1, Series 2021-RTL2, 2.09%, 06/25/26(1)(4)

 100,000

 99,667

MetLife Securitization Trust, Class A1A, Series 2019-1A, 3.75%, 04/25/58(1)(2)(3)

 93,493

 95,427

New Residential Mortgage Loan Trust, Class B1, Series 2018-4A, 1.16%, (1-Month USD LIBOR + 1.05%), 01/25/48(1)(2)

 572,987

 576,507

New Residential Mortgage Loan Trust, Class A3, Series 2017-2A, 4.00%, 03/25/57(1)(2)(3)

 40,576

 42,245

New Residential Mortgage Loan Trust, Class A1B, Series 2019-1A, 3.50%, 10/25/59(1)(2)(3)

 130,689

 134,394

Progress Residential, Class C, Series 2021-SFR1, 1.56%, 04/17/38(1)

 100,000

 94,959

Progress Residential Trust, Class A, Series 2019-SFR2, 3.15%, 05/17/36(1)

149,342

148,889

Progress Residential Trust, Class A, Series 2020-SFR2, 2.08%, 06/17/37(1)

 250,000

 249,580

PRPM LLC, Class A1, Series 2021-2, 2.12%, 03/25/26(1)(2)(3)

 127,067

 125,653

PRPM LLC, Class A1, Series 2021-RPL1, 1.32%, 07/25/51(1)(2)(3)

 140,156

 137,174

Residential Mortgage Loan Trust, Class A1, Series 2020-1, 2.38%, 01/26/60(1)(2)(3)

 37,845

 37,812

Roc Mortgage Trust, Class A1, Series 2021-RTL1, 2.49%, 08/25/26(1)(2)(3)

 100,000

 98,367

SG Residential Mortgage Trust, Class A1, Series 2019-3, 2.70%, 09/25/59(1)(2)(3)

 8,410

 8,382

Security Description

Principal

Value

MORTGAGE BACKED SECURITIES (continued)

Residential Mortgage Backed Securities (continued)

SG Residential Mortgage Trust, Class A1, Series 2021-1, 1.16%, 07/25/61(1)(2)(3)

$63,151

$62,006

SG Residential Mortgage Trust, Class A3, Series 2021-1, 1.56%, 07/25/61(1)(2)(3)

 42,101

 41,261

Star Trust, Class A1, Series 2021-1, 1.22%, 05/25/65(1)(2)(3)

 80,887

 80,658

Towd Point HE Trust, Class M1, Series 2021-HE1, 1.50%, 02/25/63(1)(2)(3)

 54,345

 54,197

Towd Point Mortgage Trust, Class A1, Series 2016-3, 2.25%, 04/25/56(1)(2)(3)

 1,153

 1,154

Towd Point Mortgage Trust, Class A1, Series 2018-4, 3.00%, 06/25/58(1)(2)(3)

 65,246

 66,420

Tricon American Homes Trust, Class B, Series 2020-SFR2, 1.83%, 11/17/39(1)

 130,000

 122,661

VCAT LLC, Class A1, Series 2021-NPL4, 1.87%, 08/25/51(1)(4)

 283,377

 278,197

Verus Securitization Trust, Class A1, Series 2020-INV1, 1.98%, 03/25/60(1)(2)(3)

 39,510

 39,513

Verus Securitization Trust, Class A1, Series 2020-4, 1.50%, 05/25/65(1)(4)

 139,527

 138,729

Verus Securitization Trust, Class A1, Series 2021-2, 1.03%, 02/25/66(1)(2)(3)

 92,761

 91,563

Verus Securitization Trust, Class A1, Series 2021-3, 1.05%, 06/25/66(1)(2)(3)

 343,800

 338,749

Visio Trust, Class A1, Series 2020-1R, 1.31%, 11/25/55(1)

 110,975

 110,102

VOLT XCIV LLC, Class A1, Series 2021-NPL3, 2.24%, 02/27/51(1)(4)

 74,194

 73,539

VOLT XCV LLC, Class A1, Series 2021-NPL4, 2.24%, 03/27/51(1)(4)

 60,518

 59,892

Total Residential Mortgage Backed Securities

 5,445,972

Total Mortgage Backed Securities

(Cost $7,172,233)

 7,070,346

FOREIGN BOND – 1.2%

Financials – 1.2%

Doric Nimrod Air Alpha 2013-1 Class A Pass-Through Trust, 5.25%, 05/30/23 (Guernsey)(1)

 192,980

 192,788

(Cost $193,455)

TOTAL INVESTMENTS – 98.7%

(Cost $16,029,037)

15,788,175

Other Assets in Excess of Liabilities – 1.3%

204,643

Net Assets – 100.0%

$15,992,818

 

(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 January 31, 2022, the aggregate value of these securities was $15,430,025, or 96.5% of net assets.

(2)Variable rate instrument. The interest rate shown reflects the rate in effect at January 31, 2022.

(3)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.

(4)Represents step coupon bond. Rate shown reflects the rate in effect as of January 31, 2022.


The accompanying notes are an integral part of these financial statements.

6

Schedule of Investments — Virtus Newfleet ABS/MBS ETF (continued)

January 31, 2022 (unaudited)

Abbreviations:

LIBOR — London InterBank Offered Rate

SOFR — Secured Overnight Financing Rate

USD — United States Dollar

Portfolio Composition

January 31, 2022 (unaudited)

Asset Allocation as of 01/31/2022 (based on net assets)

Asset Backed Securities

53.3

%

Mortgage Backed Securities

44.2

%

Foreign Bond

1.2

%

Other Assets in Excess of Liabilities

1.3

%

Total

100.0

%


The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of January 31, 2022.

Level 1

Level 2

Level 3

Total

Asset Valuation Inputs

Asset Backed Securities

$

$8,525,041

$

$8,525,041

Mortgage Backed Securities

 —

 7,070,346

 —

 7,070,346

Foreign Bond

 —

 192,788

 —

 192,788

Total

$

$15,788,175

$

$15,788,175

Schedule of Investments — Virtus Newfleet High Yield Bond ETF

January 31, 2022 (unaudited)

The accompanying notes are an integral part of these financial statements.

7

Security Description

Principal

Value

CORPORATE BONDS – 80.7%

Communication Services – 8.8%

CCO Holdings LLC / CCO Holdings Capital Corp., 5.13%, 05/01/27(1)

$40,000

$41,054

CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 03/01/30(1)

 45,000

 44,715

CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 08/15/30(1)

 5,000

 4,883

CommScope, Inc., 7.13%, 07/01/28(1)

 25,000

 23,344

CommScope, Inc., 4.75%, 09/01/29(1)

 5,000

 4,797

Directv Financing LLC / Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(1)

 25,000

 25,152

Frontier Communications Holdings LLC, 6.75%, 05/01/29(1)

 45,000

 45,192

iHeartCommunications, Inc., 8.38%, 05/01/27

 21,420

 22,431

Level 3 Financing, Inc., 3.63%, 01/15/29(1)

 50,000

 45,594

Live Nation Entertainment, Inc., 4.75%, 10/15/27(1)

 30,000

 29,625

McGraw-Hill Education, Inc., 5.75%, 08/01/28(1)

 40,000

 38,054

McGraw-Hill Education, Inc., 8.00%, 08/01/29(1)

 40,000

 37,452

Millennium Escrow Corp., 6.63%, 08/01/26(1)

 35,000

 34,765

Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(1)

 5,000

 4,772

Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 02/15/28(1)

 35,000

 32,984

ROBLOX Corp., 3.88%, 05/01/30(1)

 15,000

 14,539

TripAdvisor, Inc., 7.00%, 07/15/25(1)

 30,000

 31,462

Twitter, Inc., 3.88%, 12/15/27(1)

 55,000

 54,966

Total Communication Services

 535,781

Consumer Discretionary – 17.6%

American Axle & Manufacturing, Inc., 6.50%, 04/01/27

 45,000

 46,418

At Home Group, Inc., 4.88%, 07/15/28(1)

 10,000

 9,572

At Home Group, Inc., 7.13%, 07/15/29(1)

 40,000

 37,563

Caesars Entertainment, Inc., 6.25%, 07/01/25(1)

 15,000

 15,542

Caesars Entertainment, Inc., 8.13%, 07/01/27(1)

 15,000

 16,166

Caesars Entertainment, Inc., 4.63%, 10/15/29(1)

 25,000

 23,980

Carnival Corp., 7.63%, 03/01/26(1)

 70,000

 71,527

Carriage Services, Inc., 4.25%, 05/15/29(1)

 40,000

 39,056

Carvana Co., 5.63%, 10/01/25(1)

 30,000

 28,506

Carvana Co., 5.88%, 10/01/28(1)

 15,000

 14,119

Clarios Global LP / Clarios US Finance Co., 8.50%, 05/15/27(1)

 25,000

 26,174

Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(1)

 25,000

 24,188

Ford Motor Co., 3.25%, 02/12/32

 10,000

 9,532

Ford Motor Co., 4.75%, 01/15/43

 15,000

 15,353

Gap, Inc. (The), 3.88%, 10/01/31(1)

 45,000

 41,834

Golden Nugget, Inc., 8.75%, 10/01/25(1)

 40,000

 40,926

Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 06/01/29(1)

 40,000

 39,870

International Game Technology PLC, 5.25%,
01/15/29
(1)

 5,000

 5,116

Jacobs Entertainment, Inc., 6.75%, 02/15/29(1)

 20,000

 20,226

Security Description

Principal

Value

CORPORATE BONDS (continued)

Consumer Discretionary (continued)

Legends Hospitality Holding Co. LLC / Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26(1)

$40,000

$39,906

M/I Homes, Inc., 4.95%, 02/01/28

 40,000

 40,459

Metis Merger Sub LLC, 6.50%, 05/15/29(1)

 30,000

 28,760

Michaels Cos, Inc. (The), 5.25%, 05/01/28(1)

 5,000

 4,828

Michaels Cos, Inc. (The), 7.88%, 05/01/29(1)

 15,000

 13,750

Mohegan Gaming & Entertainment, 8.00%, 02/01/26(1)

 40,000

 40,726

NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/26(1)

 50,000

 51,590

Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.63%, 09/01/29(1)

 45,000

 42,467

Royal Caribbean Cruises Ltd., 4.25%, 07/01/26(1)

 20,000

 18,700

Royal Caribbean Cruises Ltd., 5.50%, 08/31/26(1)

 15,000

 14,649

Royal Caribbean Cruises Ltd., 5.50%, 04/01/28(1)

 10,000

 9,726

Scientific Games International, Inc., 8.25%, 03/15/26(1)

 20,000

 20,901

Scientific Games International, Inc., 7.00%, 05/15/28(1)

 20,000

 21,035

SeaWorld Parks & Entertainment, Inc., 5.25%, 08/15/29(1)

 40,000

 39,036

Station Casinos LLC, 4.50%, 02/15/28(1)

 30,000

 29,189

Tenneco, Inc., 5.38%, 12/15/24

 15,000

 14,723

Tenneco, Inc., 5.13%, 04/15/29(1)

 35,000

 32,464

Vista Outdoor, Inc., 4.50%, 03/15/29(1)

 45,000

 43,741

Weekley Homes LLC / Weekley Finance Corp., 4.88%, 09/15/28(1)

 35,000

 34,479

Total Consumer Discretionary

 1,066,797

Consumer Staples – 3.8%

Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.63%, 01/15/27(1)

 35,000

 35,873

Chobani LLC / Chobani Finance Corp., Inc., 7.50%, 04/15/25(1)

 30,000

 30,659

H-Food Holdings LLC / Hearthside Finance Co., Inc., 8.50%, 06/01/26(1)

 30,000

 29,655

HLF Financing Sarl LLC / Herbalife International, Inc., 4.88%, 06/01/29(1)

 35,000

 33,212

Triton Water Holdings, Inc., 6.25%, 04/01/29(1)

 15,000

 14,081

Turning Point Brands, Inc., 5.63%, 02/15/26(1)

 55,000

 54,801

Vector Group Ltd., 5.75%, 02/01/29(1)

 35,000

 32,396

Total Consumer Staples

 230,677

Energy – 15.6%

Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 7.50%, 05/01/25(1)

 40,000

 40,562

Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.75%, 01/15/28(1)

 40,000

 40,846

Antero Resources Corp., 8.38%, 07/15/26(1)

 11,000

 12,282

Antero Resources Corp., 7.63%, 02/01/29(1)

 3,000

 3,274

Antero Resources Corp., 5.38%, 03/01/30(1)

 15,000

 15,542


The accompanying notes are an integral part of these financial statements.

8

Schedule of Investments — Virtus Newfleet High Yield Bond ETF (continued)

January 31, 2022 (unaudited)

Security Description

Principal

Value

CORPORATE BONDS (continued)

Energy (continued)

Ascent Resources Utica Holdings LLC / ARU Finance Corp., 8.25%, 12/31/28(1)

$40,000

$41,951

Callon Petroleum Co., 8.00%, 08/01/28(1)

 5,000

 5,102

Calumet Specialty Products Partners LP / Calumet Finance Corp., 8.13%, 01/15/27(1)

 35,000

 35,199

Cheniere Energy, Inc., 4.63%, 10/15/28

 25,000

 25,417

Chesapeake Energy Corp., 5.50%, 02/01/26(1)

 45,000

 46,447

Chesapeake Energy Corp., 5.88%, 02/01/29(1)

 10,000

 10,443

CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(1)

 35,000

 35,311

CrownRock LP / CrownRock Finance, Inc., 5.00%, 05/01/29(1)

 30,000

 30,329

CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 04/01/25(1)

 55,000

 55,247

DCP Midstream Operating LP, 3.25%, 02/15/32

 35,000

 33,130

DT Midstream, Inc., 4.13%, 06/15/29(1)

 35,000

 34,589

Energy Transfer LP, Series H, 6.50%, (US 5 Year CMT T- Note + 5.69%), 11/15/70, perpetual(2)(3)

 35,000

 35,886

EQM Midstream Partners LP, 6.00%, 07/01/25(1)

 10,000

 10,339

EQM Midstream Partners LP, 6.50%, 07/01/27(1)

 10,000

 10,476

Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/29(1)

 35,000

 35,758

Hilcorp Energy I LP / Hilcorp Finance Co., 6.00%, 02/01/31(1)

 25,000

 25,469

Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(1)

 25,000

 25,587

Nabors Industries Ltd., 7.25%, 01/15/26(1)

 30,000

 28,768

Nabors Industries, Inc., 7.38%, 05/15/27(1)

 5,000

 5,137

Occidental Petroleum Corp., 5.50%, 12/01/25

 5,000

 5,313

Occidental Petroleum Corp., 3.50%, 08/15/29

 30,000

 29,617

Occidental Petroleum Corp., 6.63%, 09/01/30

 40,000

 47,014

Occidental Petroleum Corp., 6.13%, 01/01/31

 45,000

 52,014

Patterson-UTI Energy, Inc., 5.15%, 11/15/29

 40,000

 40,562

Southwestern Energy Co., 5.38%, 02/01/29

 40,000

 40,740

Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 02/01/31

 15,000

 15,700

Transocean, Inc., 11.50%, 01/30/27(1)

 13,000

 12,916

USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 04/01/26

 20,000

 20,333

Venture Global Calcasieu Pass LLC, 3.88%,
08/15/29
(1)

 5,000

 5,000

Venture Global Calcasieu Pass LLC, 4.13%,
08/15/31
(1)

 35,000

 35,289

Total Energy

 947,589

Financials – 7.3%

Acrisure LLC / Acrisure Finance, Inc., 7.00%, 11/15/25(1)

 30,000

 30,004

Acrisure LLC / Acrisure Finance, Inc., 4.25%, 02/15/29(1)

 35,000

 33,094

Ally Financial, Inc., Series B, 4.70%, (US 5 Year CMT T- Note + 3.87%), perpetual(2)(3)

34,000

33,720

BroadStreet Partners, Inc., 5.88%, 04/15/29(1)

 50,000

 47,734

Cobra AcquisitionCo. LLC, 6.38%, 11/01/29(1)

 40,000

 39,003

Coinbase Global, Inc., 3.63%, 10/01/31(1)

 40,000

 34,924

Security Description

Principal

Value

CORPORATE BONDS (continued)

Financials (continued)

Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.25%, 05/15/26

$10,000

$10,290

Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, 05/15/27

 55,000

 55,519

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 02/01/27(1)

 55,000

 53,654

Navient Corp., 5.88%, 10/25/24

 25,000

 25,969

Navient Corp., 5.50%, 03/15/29

 5,000

 4,886

OneMain Finance Corp., 7.13%, 03/15/26

 25,000

 27,525

Prospect Capital Corp., 3.71%, 01/22/26

 45,000

 44,954

Total Financials

 441,276

Health Care – 8.1%

Akumin, Inc., 7.00%, 11/01/25(1)

 60,000

 55,432

Avantor Funding, Inc., 3.88%, 11/01/29(1)

 10,000

 9,618

Bausch Health Cos., Inc., 6.13%, 02/01/27(1)

 5,000

 5,027

Bausch Health Cos., Inc., 5.75%, 08/15/27(1)

 20,000

 20,096

CHS/Community Health Systems, Inc., 6.63%, 02/15/25(1)

 25,000

 25,885

CHS/Community Health Systems, Inc., 6.88%, 04/15/29(1)

 15,000

 14,855

CHS/Community Health Systems, Inc., 6.13%, 04/01/30(1)

 20,000

 19,072

CHS/Community Health Systems, Inc., 5.25%, 05/15/30(1)

 40,000

 39,899

CHS/Community Health Systems, Inc., 4.75%, 02/15/31(1)

 20,000

 19,163

DaVita, Inc., 4.63%, 06/01/30(1)

 35,000

 34,103

Encompass Health Corp., 4.50%, 02/01/28

 35,000

 34,987

Lannett Co., Inc., 7.75%, 04/15/26(1)

 15,000

 11,702

Legacy LifePoint Health LLC, 4.38%, 02/15/27(1)

 20,000

 19,636

Mozart Debt Merger Sub, Inc., 3.88%, 04/01/29(1)

 15,000

 14,477

Mozart Debt Merger Sub, Inc., 5.25%, 10/01/29(1)

 5,000

 4,872

Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 7.38%, 06/01/25(1)

 15,000

 15,738

Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 7.25%, 02/01/28(1)

 6,000

 6,419

Prime Healthcare Services, Inc., 7.25%, 11/01/25(1)

 5,000

 5,222

Surgery Center Holdings, Inc., 6.75%, 07/01/25(1)

 40,000

 40,101

Team Health Holdings, Inc., 6.38%, 02/01/25(1)

 35,000

 31,554

Tenet Healthcare Corp., 4.88%, 01/01/26(1)

 15,000

 15,084

Tenet Healthcare Corp., 6.25%, 02/01/27(1)

 30,000

 30,728

Tenet Healthcare Corp., 5.13%, 11/01/27(1)

 15,000

 15,056

Total Health Care

 488,726

Industrials – 8.5%

Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.63%, 07/15/26(1)

45,000

46,266

American Airlines Group, Inc., 5.00%, 06/01/22(1)

 20,000

 20,171

American Airlines, Inc., 11.75%, 07/15/25(1)

 55,000

 66,665

BCPE Ulysses Intermediate, Inc., 7.75%, 04/01/27, 7.75% Cash or 8.50% PIK(1)(4)

 35,000

 34,220

BlueLinx Holdings, Inc., 6.00%, 11/15/29(1)

 20,000

 19,775

Boeing Co. (The), 5.93%, 05/01/60

 30,000

 38,133

Cleaver-Brooks, Inc., 7.88%, 03/01/23(1)

 40,000

 38,794


The accompanying notes are an integral part of these financial statements.

9

Schedule of Investments — Virtus Newfleet High Yield Bond ETF (continued)

January 31, 2022 (unaudited)

Security Description

Principal

Value

CORPORATE BONDS (continued)

Industrials (continued)

CP Atlas Buyer, Inc., 7.00%, 12/01/28(1)

$40,000

$38,103

Deluxe Corp., 8.00%, 06/01/29(1)

 20,000

 20,698

Fortress Transportation and Infrastructure Investors LLC, 6.50%, 10/01/25(1)

 35,000

 35,997

Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/27(1)

 10,000

 10,962

LBM Acquisition LLC, 6.25%, 01/15/29(1)

 15,000

 14,318

OT Merger Corp., 7.88%, 10/15/29(1)

 20,000

 19,470

Standard Industries, Inc., 4.38%, 07/15/30(1)

 35,000

 33,488

TransDigm, Inc., 6.25%, 03/15/26(1)

 20,000

 20,670

TransDigm, Inc., 5.50%, 11/15/27

 20,000

 20,133

Vertiv Group Corp., 4.13%, 11/15/28(1)

 40,000

 39,050

Total Industrials

 516,913

Information Technology – 3.1%

Consensus Cloud Solutions, Inc., 6.00%, 10/15/26(1)

 10,000

 10,315

Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(1)

 10,000

 10,272

MicroStrategy, Inc., 6.13%, 06/15/28(1)

 40,000

 38,252

Minerva Merger Sub, Inc., 6.50%, 02/15/30(1)

 10,000

 9,991

Plantronics, Inc., 4.75%, 03/01/29(1)

 40,000

 36,346

Rocket Software, Inc., 6.50%, 02/15/29(1)

 35,000

 33,216

Science Applications International Corp., 4.88%, 04/01/28(1)

 50,000

 50,318

Total Information Technology

 188,710

Materials – 4.4%

Chemours Co. (The), 5.75%, 11/15/28(1)

 40,000

 40,694

Cleveland-Cliffs, Inc., 6.75%, 03/15/26(1)

 15,000

 15,743

Eco Material Technologies, Inc., 7.88%, 01/31/27(1)

 10,000

 10,182

Freeport-McMoRan, Inc., 5.45%, 03/15/43

 30,000

 35,328

Glatfelter Corp., 4.75%, 11/15/29(1)

 30,000

 30,286

Mauser Packaging Solutions Holding Co., 7.25%, 04/15/25(1)

 60,000

 59,728

New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28(1)

 20,000

 21,103

Trident TPI Holdings, Inc., 9.25%, 08/01/24(1)

 20,000