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
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Page (s) |
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1 | |
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2 | |
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Schedules of Investments |
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3 | |
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4 | |
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7 | |
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11 | |
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14 | |
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16 | |
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17 | |
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18 | |
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21 | |
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26 | |
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33 | |
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39 |
1
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
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.
|
|
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Beginning |
|
Ending |
|
Annualized |
|
Expenses |
|
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 |
|
|
||||||||
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Virtus Newfleet ABS/MBS ETF |
|
|
|
|
|
|
|
|
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Actual |
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$1,000.00 |
|
$990.90 |
|
0.39% |
|
$1.96 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,023.24 |
|
0.39% |
|
$1.99 |
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|
||||||||
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Virtus Newfleet High Yield Bond ETF |
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|
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Actual |
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$1,000.00 |
|
$992.60 |
|
0.49% |
|
$2.46 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.74 |
|
0.49% |
|
$2.50 |
|
|
||||||||
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Virtus Seix Senior Loan ETF |
|
|
|
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|
|
|
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Actual |
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$1,000.00 |
|
$1,022.30 |
|
0.57% |
|
$2.91 |
|
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.33 |
|
0.57% |
|
$2.91 |
|
|
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Virtus Terranova U.S. Quality Momentum ETF |
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|
|
|
|
|
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Actual |
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$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).
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. |
|
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 |
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 |
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%, |
|
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%, |
|
5,000 |
|
5,000 |
|
|
Venture Global Calcasieu Pass LLC, 4.13%, |
|
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 |
|