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 STONE HARBOR EMERGING MARKETS HIGH YIELD BOND ETF

VIRTUS TERRANOVA U.S. QUALITY MOMENTUM ETF

SEMI-ANNUAL REPORT
January 31, 2023

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

10

Virtus Stone Harbor Emerging Markets High Yield Bond ETF

13

Virtus Terranova U.S. Quality Momentum ETF

15

Statements of Assets and Liabilities

17

Statements of Operations

19

Statements of Changes in Net Assets

21

Financial Highlights

24

Notes to Financial Statements

30

Approval of Advisory Agreements & Board Considerations

38

Supplemental Information

42

1

Shareholder Letter (unaudited)

March 2023

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, 2023.

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)

Virtus Newfleet ABS MBS ETF (VABS)

Virtus Newfleet High Yield Bond ETF (BLHY)

Virtus Seix Senior Loan ETF (SEIX)

Virtus Stone Harbor Emerging Markets High Yield Bond ETF (VEMY) - This Fund commenced operations on December 12, 2022 and seeks current income and capital appreciation by investing in high yield securities, both sovereign and corporate.

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 fund and the other ETFs we offer, 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, Virtus Stone Harbor Emerging Markets High Yield Bond 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, 2022 to January 31, 2023).

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 8/01/22

Ending
Account
Value 1/31/23

Annualized
Expense
Ratios
(2) 

Expenses
Paid During
the Period
(3) 

Virtus Duff & Phelps Clean Energy ETF

Actual

$1,000.00

$957.70

0.59%

$2.91

Hypothetical(1)

$1,000.00

$1,022.23

0.59%

$3.01

 

Virtus Newfleet ABS/MBS ETF

Actual

$1,000.00

$1,003.70

0.39%

$1.97

Hypothetical(1)

$1,000.00

$1,023.24

0.39%

$1.99

 

Virtus Newfleet High Yield Bond ETF

Actual

$1,000.00

$1,030.90

0.49%

$2.51

Hypothetical(1)

$1,000.00

$1,022.74

0.49%

$2.50

 

Virtus Seix Senior Loan ETF

Actual

$1,000.00

$1,046.90

0.57%

$2.94

Hypothetical(1)

$1,000.00

$1,022.33

0.57%

$2.91

 

Virtus Stone Harbor Emerging Markets High Yield Bond ETF

Actual

$1,000.00

$1,000.00

0.55%

$0.75

(4) 

Hypothetical(1)

$1,000.00

$1,006.10

0.55%

$2.78

 

Virtus Terranova U.S. Quality Momentum ETF

Actual

$1,000.00

$1,039.10

0.29%

$1.49

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 181/365 (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 50/365 (to reflect the period December 12, 2022 to January 31, 2023).

Schedule of Investments — Virtus Duff & Phelps Clean Energy ETF

January 31, 2023 (unaudited)

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

3

Security Description

Shares

Value

COMMON STOCKS – 95.8%

Consumer Staples – 0.7%

Darling Ingredients, Inc.*

371

 

$24,594

Energy – 1.7%

Enviva, Inc.

792

 36,020

Green Plains, Inc.*

690

 23,991

Total Energy

 60,011

Industrials – 21.1%

Array Technologies, Inc.*

2,035

 45,238

Bloom Energy Corp. Class A*

2,450

 61,079

Chart Industries, Inc.*

346

 46,357

Fluence Energy, Inc.*

821

 19,819

Plug Power, Inc.*

8,809

 149,929

Prysmian SpA (Italy)

1,398

 56,842

Shoals Technologies Group, Inc. Class A*

1,855

 51,736

Sunrun, Inc.*

2,816

 74,004

Vestas Wind Systems A/S (Denmark)

5,247

 152,425

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

38,800

 39,586

Xylem, Inc.

410

 42,644

Total Industrials

 739,659

Information Technology – 28.3%†

Canadian Solar, Inc. (Canada)*

985

 41,439

Enphase Energy, Inc.*

1,270

 281,153

First Solar, Inc.*

1,320

 234,432

JinkoSolar Holding Co., Ltd. (China)*(1)

784

 44,202

LONGi Green Energy Technology Co., Ltd. Class A (China)

5,500

 39,193

SolarEdge Technologies, Inc.*

761

 242,858

Xinyi Solar Holdings Ltd. (China)

84,000

 108,841

Total Information Technology

 992,118

Materials – 1.2%

MP Materials Corp.*

1,353

 

 43,986

Utilities – 42.8%

AES Corp. (The)

815

 22,339

Alliant Energy Corp.

955

 51,599

Centrais Eletricas Brasileiras SA (Brazil)

8,500

 68,066

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

34,000

 46,743

Clearway Energy, Inc. Class C

2,685

 90,726

Constellation Energy Corp.

679

 57,959

Dominion Energy, Inc.

850

 54,094

EDP - Energias de Portugal SA (Portugal)

25,892

 128,300

EDP Renovaveis SA (Spain)

2,425

 52,582

Security Description

Shares

Value

COMMON STOCKS (continued)

Utilities (continued)

Encavis AG (Germany)

2,261

$43,520

Enel SpA (Italy)

8,978

 52,618

Eversource Energy

729

 60,019

Fortum OYJ (Finland)

4,910

 73,743

Iberdrola SA (Spain)*

372

 4,345

Iberdrola SA (Spain)

20,875

 243,849

NextEra Energy, Inc.

1,070

 79,854

Orsted AS (Denmark)(2)

1,690

 149,422

RWE AG (Germany)

998

 44,267

SSE PLC (United Kingdom)

1,555

33,041

Sunnova Energy International, Inc.*

1,309

25,499

Verbund AG (Austria)

370

 31,395

Xcel Energy, Inc.

1,275

 87,682

Total Utilities

 1,501,662

TOTAL INVESTMENTS – 95.8%

(Cost $3,287,143)

3,362,030

Other Assets in Excess of Liabilities – 4.2%

147,119

Net Assets – 100.0%

$3,509,149

 

_________

*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)American Depositary Receipts.

(2)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, 2023, the aggregate value of these securities was $149,422, or 4.3% of net assets.

Portfolio Composition

January 31, 2023 (unaudited)

Asset Allocation as of 01/31/2023 (based on net assets)

Virtus Duff & Phelps Clean Energy ETF

Utilities

42.8

%

Information Technology

28.3

%

Industrials

21.1

%

Energy

1.7

%

Materials

1.2

%

Consumer Staples

0.7

%

Other Assets in Excess of Liabilities

4.2

%

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, 2023.

Level 1

Level 2

Level 3

Total

Asset Valuation Inputs

Common Stocks

$3,357,685

$4,345

$

$3,362,030

Total

$3,357,685

$4,345

$–

$3,362,030

Schedule of Investments — Virtus Newfleet ABS/MBS ETF

January 31, 2023 (unaudited)

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

4

Security Description

Principal

Value

ASSET BACKED SECURITIES – 61.3%

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

$460,000

$436,180

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

 150,000

 147,526

ACC Trust, Class C, Series 2022-1, 3.24%, 10/20/25(1)

 190,000

 182,242

ACM Auto Trust, Class B, Series 2022-1A, 4.47%, 04/20/29(1)

 100,000

 99,538

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

 160,000

 137,062

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

 120,000

 111,273

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

 270,000

 252,128

BHG Securitization Trust, Class A, Series 2021-A, 1.42%, 11/17/33(1)

 262,965

 246,034

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

 80,948

 72,858

BXG Receivables Note Trust, Class A, Series 2022-A, 4.12%, 09/28/37(1)

 92,766

 89,793

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

 216,700

 187,363

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

 310,000

 282,402

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

 46,675

 43,328

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

 94,750

 84,122

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

 65,000

 63,428

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

 99,723

 98,493

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

 70,000

 65,007

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

 40,000

 37,301

GLS Auto Receivables Issuer Trust, Class C, Series 2019-4A, 3.06%, 08/15/25(1)

 270,725

 267,223

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

 120,000

 116,668

GLS Auto Receivables Issuer Trust, Class D, Series 2022-2A, 6.15%, 04/17/28(1)

 135,000

 131,829

Hertz Vehicle Financing III LLC, Class C, Series 2022-1A, 2.63%, 06/25/26(1)

 140,000

 128,171

Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.56%, 09/25/26(1)

 130,000

 123,621

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

 99,530

 92,202

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

 325,000

 281,415

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

 46,115

 45,565

Mariner Finance Issuance Trust, Class A, Series 2020-AA, 2.19%, 08/21/34(1)

 260,000

 249,336

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

 150,000

 150,001

Mercury Financial Credit Card Master Trust, Class A, Series 2023-1A, 8.04%, 09/20/27(1)

486,000

485,945

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

$291,977

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

 297,750

 258,857

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

 16,203

 16,000

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

 50,000

 46,950

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

 300,000

 280,311

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

 120,000

 109,254

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

 277,675

 265,239

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

 55,000

 53,769

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

 65,337

 63,932

Taco Bell Funding LLC, Class A23, Series 2016-1A, 4.97%, 05/25/46(1)

 288,225

 284,560

Tricolor Auto Securitization Trust, Class D, Series 2022-1A, 5.38%, 01/15/26(1)

 465,000

 450,039

Upstart Securitization Trust, Class A, Series 2022-2, 4.37%, 05/20/32(1)

 307,448

 302,323

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

 225,000

 210,638

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

 13,801

 13,772

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

 300,000

 285,197

VFI ABS LLC, Class D, Series 2022-1A, 6.68%, 11/26/29(1)

 100,000

 95,261

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

 152,675

 129,707

Total Asset Backed Securities

(Cost $8,270,683)

7,865,840

MORTGAGE BACKED SECURITIES – 40.0%

Commercial Mortgage Backed Securities – 9.2%

Barclays, Class B, Series 2013-C6, 3.88%, 04/10/46(1)(2)(3)

 240,000

 237,398

BPR Trust, Class A, Series 2021-KEN, 5.71%, (1-Month USD LIBOR + 1.25%), 02/15/29(1)(2)

 375,000

 366,771

BPR Trust, Class A, Series 2022-OANA, 6.38%, (SOFR + 1.90%), 04/15/37(1)(2)

 245,000

 241,818

CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 5.58%, (1-Month USD LIBOR + 1.12%), 06/15/34(1)(2)

 228,276

 222,321

COMM Mortgage Trust, Class D, Series 2012-CR2, 4.87%, 08/15/45(1)(2)(3)

 12,033

 11,154

KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 5.26%, (1-Month USD LIBOR + 0.80%), 05/15/36(1)(2)

100,000

99,352

Total Commercial Mortgage Backed Securities

 1,178,814

Residential Mortgage Backed Securities – 30.8%

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

 21,884

 18,736


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

5

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

January 31, 2023 (unaudited)

Security Description

Principal

Value

MORTGAGE BACKED SECURITIES (continued)

Residential Mortgage Backed Securities (continued)

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

$70,947

$60,202

BRAVO Residential Funding Trust, Class A1, Series 2021-A, 1.99%, 10/25/59(1)(4)

 232,431

 222,604

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

 150,000

 134,119

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

 96,335

 83,954

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

 37,201

 32,332

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

 150,045

 134,110

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

 260,491

 229,973

Ellington Financial Mortgage Trust, Class A1, Series 2020-1, 2.01%, 05/25/65(1)(2)(3)

 199,304

 193,322

Ellington Financial Mortgage Trust, Class A1, Series 2020-2, 1.18%, 10/25/65(1)(2)(3)

 51,661

 47,024

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

 55,328

 46,356

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

 130,000

 112,074

JPMorgan Trust, Class A2, Series 2015-5, 5.34%, 05/25/45(1)(2)(3)

 437,928

 432,125

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

 100,000

 94,506

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

 89,242

 87,109

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

 31,587

 30,029

New Residential Mortgage Loan Trust, Class A1B, Series 2020-1A, 3.50%, 10/25/59(1)(2)(3)

 102,221

 95,699

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

 100,000

 87,580

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

 94,723

 90,160

PRPM LLC, Class A1, Series 2021-3, 1.87%, 04/25/26(1)(4)

 78,671

 74,264

PRPM LLC, Class A1, Series 2021-RPL1, 1.32%, 07/25/51(1)(4)

 108,378

 97,972

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

 18,317

 17,608

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

 3,118

 3,012

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

 50,276

 41,407

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

 33,517

 27,637

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

 53,547

 47,950

Starwood Mortgage Residential Trust, Class A1, Series 2020-1, 2.28%, 02/25/50(1)(2)(3)

68,448

66,117

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

 33,378

 31,578

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

 130,000

 112,848

Security Description

Principal

Value

MORTGAGE BACKED SECURITIES (continued)

Residential Mortgage Backed Securities (continued)

VCAT LLC, Class A1, Series 2021-NPL5, 1.87%, 08/25/51(1)(4)

$75,225

$70,034

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

 209,609

 195,978

VCAT LLC, Class A1, Series 2021-NPL6, 1.92%, 09/25/51(1)(4)

 112,431

 105,064

Verus Securitization Trust, Class A1, Series 2021-R2, 0.92%, 02/25/64(1)(2)(3)

 55,076

 49,149

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

 146,045

 135,415

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

 257,673

 220,577

Verus Securitization Trust, Class A1, Series 2023-1, 5.85%, 12/25/67(1)(4)

 150,000

 150,214

Visio Trust, Class A2, Series 2019-2, 2.92%, 11/25/54(1)(2)(3)

 31,504

 29,967

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

 147,676

 134,704

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

 66,851

 62,972

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

 45,345

 42,235

Total Residential Mortgage Backed Securities

 3,948,716

Total Mortgage Backed Securities

(Cost $5,436,476)

 5,127,530

CORPORATE BOND – 2.4%

Industrials – 2.4%

Alaska Airlines Pass-Through Trust, Class A, Series 2020-1, 4.80%, 08/15/27(1)

 311,993

 

 304,061

(Cost $307,510)

FOREIGN BOND – 0.5%

Financials – 0.5%

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

 65,723

 65,323

(Cost $65,839)

TOTAL INVESTMENTS – 104.2%

(Cost $14,080,508)

13,362,754

Liabilities in Excess of Other Assets – (4.2)%

(540,958

)

Net Assets – 100.0%

$12,821,796

_________

(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, 2023, the aggregate value of these securities was $13,026,583, or 101.6% of net assets.

(2)Variable rate instrument. The interest rate shown reflects the rate in effect at January 31, 2023.

(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, 2023.


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

6

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

January 31, 2023 (unaudited)

Abbreviations:

LIBOR — London InterBank Offered Rate

SOFR — Secured Overnight Financing Rate

USD —  United States Dollar

Portfolio Composition

January 31, 2023 (unaudited)

Asset Allocation as of 01/31/2023 (based on net assets)

Asset Backed Securities

61.3

%

Mortgage Backed Securities

40.0

%

Corporate Bond

2.4

%

Foreign Bond

0.5

%

Liabilities in Excess of Other Assets

(4.2

)%

Total

100.0

%

The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of January 31, 2023.

Level 1

Level 2

Level 3

Total

Asset Valuation Inputs

Asset Backed Securities

$

$7,865,840

$

$7,865,840

Mortgage Backed Securities

 —

 5,127,530

 —

 5,127,530

Corporate Bond

 —

 304,061

 —

 304,061

Foreign Bond

 —

 65,323

 —

 65,323

Total

$

$13,362,754

$

$13,362,754

Schedule of Investments — Virtus Newfleet High Yield Bond ETF

January 31, 2023 (unaudited)

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

7

Security Description

Principal

Value

CORPORATE BONDS – 78.9%

Communication Services – 7.7%

CCO Holdings LLC / CCO Holdings Capital Corp., 6.38%, 09/01/29(1)

$2,000

$1,932

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

 45,000

 39,375

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

 5,000

 4,278

CSC Holdings LLC, 5.25%, 06/01/24

 30,000

 29,400

DISH DBS Corp., 5.88%, 11/15/24

 20,000

 18,900

DISH DBS Corp., 7.75%, 07/01/26

 60,000

 48,809

Gray Television, Inc., 7.00%, 05/15/27(1)

 45,000

 41,000

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

 40,000

 29,820

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

 40,000

 35,204

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

 40,000

 34,360

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

 45,000

 31,368

Rackspace Technology Global, Inc., 5.38%, 12/01/28(1)

 50,000

 18,499

Total Communication Services

 332,945

Consumer Discretionary – 15.1%

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

 10,000

 7,212

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

 40,000

 24,850

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

 10,000

 9,972

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

 40,000

 40,643

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

 45,000

 37,085

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

 30,000

 29,922

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

 75,000

 59,622

Gates Global LLC / Gates Corp., 6.25%, 01/15/26(1)

 35,000

 34,515

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

 40,000

 37,260

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

 40,000

 36,917

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

 30,000

 25,609

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

 50,000

 47,816

Nordstrom, Inc., 4.25%, 08/01/31

 45,000

 33,855

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

 45,000

 32,406

Royal Caribbean Cruises Ltd., 9.25%, 01/15/29(1)

 3,000

 3,169

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

 45,000

 44,611

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

 30,000

 27,046

Taylor Morrison Communities, Inc., 5.13%, 08/01/30(1)

 40,000

 36,623

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

 45,000

 36,507

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

 60,000

 52,297

Total Consumer Discretionary

 657,937

Consumer Staples – 3.7%

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

 55,000

 52,223

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

 30,000

 20,438

Security Description

Principal

Value

CORPORATE BONDS (continued)

Consumer Staples (continued)

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

$55,000

$40,295

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

 55,000

 50,026

Total Consumer Staples

 162,982

Energy – 15.9%

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

 40,000

 38,302

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

 40,000

 39,228

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

 45,000

 43,675

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

 10,000

 9,588

CITGO Petroleum Corp., 7.00%, 06/15/25(1)

 65,000

 64,525

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

 35,000

 34,168

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

 50,000

 43,957

Energy Transfer LP, Series H, 6.50%, (US 5 Year CMT T- Note + 5.69%),
11/15/71, perpetual
(2)(3)

 60,000

 56,423

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

 12,000

 11,827

EQM Midstream Partners LP, 7.50%, 06/01/30(1)

 25,000

 25,001

Genesis Energy LP / Genesis Energy Finance Corp., 8.88%, 04/15/30

 5,000

 5,087

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

 35,000

 32,593

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

 15,000

 13,927

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

 40,000

 38,740

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

 30,000

 29,224

Nabors Industries, Inc., 9.00%, 02/01/25(1)

 10,000

 10,202

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

 55,000

 57,487

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

 25,000

 23,523

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

 13,000

 13,583

Transocean, Inc., 8.75%, 02/15/30(1)

 25,000

 25,809

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

 30,000

 29,484

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

 5,000

 4,457

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

 45,000

 39,960

Total Energy