ETFis Series Trust I
INFRACAP REIT PREFERRED ETF
VIRTUS INFRACAP U.S. PREFERRED STOCK ETF
VIRTUS LIFESCI BIOTECH CLINICAL TRIALS ETF
VIRTUS LIFESCI BIOTECH PRODUCTS ETF
VIRTUS NEWFLEET MULTI-SECTOR BOND ETF
VIRTUS PRIVATE CREDIT STRATEGY ETF
VIRTUS REAL ASSET INCOME ETF
Virtus WMC International Dividend ETF
INFRACAP MLP ETF
ANNUAL
REPORT
October
31,
2021
Table of Contents
|
Page (s) |
1 | |
2 | |
26 | |
29 | |
InfraCap REIT Preferred ETF |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
Virtus LifeSci Biotech Products ETF |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
Virtus Private Credit Strategy ETF |
|
Virtus Real Asset Income ETF |
|
Virtus WMC International Dividend ETF |
|
30 | |
55 | |
57 | |
59 | |
63 | |
64 | |
72 | |
InfraCap MLP ETF |
|
84 | |
86 | |
87 | |
88 | |
89 | |
90 | |
91 | |
99 | |
102 | |
103 | |
107 |
1
Dear Fellow ETFis Funds Shareholder:
On behalf of Virtus ETF Advisers LLC (the “Adviser”), I am pleased to present the shareholder report for the ETFis Series Trust I (the “Trust”) for the annual fiscal period ended October 31, 2021.
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:
•InfraCap REIT Preferred ETF (PFFR)
•Virtus InfraCap U.S. Preferred Stock ETF (PFFA)
•Virtus LifeSci Biotech Clinical Trials ETF (BBC)
•Virtus LifeSci Biotech Products ETF (BBP)
•Virtus Newfleet Multi-Sector Bond ETF (NFLT)
• Virtus Private Credit Strategy ETF (VPC)
•Virtus Real Asset Income ETF (VRAI)
•Virtus WMC International Dividend ETF (VWID)
•InfraCap MLP ETF (AMZA)
On behalf of Virtus ETF Advisers LLC (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
ETFis Series Trust I
This material must be accompanied or preceded by the prospectus.
2
InfraCap REIT Preferred ETF
Management’s Discussion of Operations
Overview
The InfraCap REIT Preferred ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of an index composed of preferred shares listed on U.S. Exchanges and issued by Real Estate Investment Trusts (“REITs”), as represented by the Indxx REIT Preferred Stock Index (the “Index”). Although the Fund generally intends to replicate the component securities of the Index, the Fund may utilize a representative sampling strategy when a replication strategy might be detrimental to shareholders. The Fund may invest in a representative sample of securities included in the Index that collectively has a profile similar to the Index. If the Fund uses a representative sampling strategy, the Fund may or may not own all of the securities that are included in the Index.
Market Update
In the fiscal year ended October 31, 2021, the Fund’s total return based on net asset value was 18.93%, while the Index returned 22.70% during the same period. During the period, businesses reopened and the US gradually lifted strict social distancing measures that had been implemented in an effort to slow the spread of Covid-19.
Two of the strongest contributors to the Fund’s absolute performance during the period were preferred securities of Hersha Hospitality Trust (“Hersha”) and Digital Bridge Group Inc (“Digital Bridge”). Hersha is a hotel-focused REIT that directly benefited from the containment of the Covid-19 virus and an increase in US travel. Digital Bridge Group is a global REIT that owns, operates and invests across a full spectrum of digital infrastructure and real estate including, but not limited to, cell towers, data centers, fiber, small cells, and edge infrastructure. Digital Bridge demonstrated increased revenues over the period and attracted institutional inflows. Hersha HT D and Digital Bridge DBRG J were up 79.78% and 28.95%, respectively, during the fiscal year.
Two of the weaker contributors to the Fund’s absolute performance during the period were preferred securities of Public Storage, PSA M and PSA O. These preferred securities of Public Storage unperformed preferred securities of Public Storage with higher stated yields. PSA M and PSA O were down -1.94% and -1.50%, respectively, during the fiscal year. The Fund sold its preferred shares in PSA M during the fiscal year.
Preferred shares are fixed income securities, and prices are influenced by changes in long-term interest rates. During the fiscal year, the yield on the 30-year U.S. Treasury bond was 1.63% as of November 2, 2020 and increased 30 basis points to 1.93%, as of October 29, 20211. We believe this increase demonstrated renewed investor confidence over the fiscal year and belief that the duration and economic impacts of the Covid-19 Pandemic were limited.
1Treasury.gov. 2021. Daily Treasury Par Yield Curve Rates. [online] Available at: <https://www.treasury.gov/resource-center/data-chart-center/interest-rates/pages/textview.aspx?data=yield> [Accessed 17 December 2021].
Dividend Payment
In the fiscal year ended October 31, 2021, the Fund made monthly dividend payments in the amount of $0.12 per share. While the Fund plans to continue paying monthly dividends, dividends are not guaranteed. The Fund seeks to maintain relatively stable monthly distributions although the amount of income earned by the Fund varies from period to period. In seeking to maintain a relatively stable monthly distribution, the Fund may distribute less than the full amount of income earned during a specific period, preserving income for distribution in future periods. Consequently, the amount of income distributed in any one period may be more or less than the actual amount of income earned in that period.
Outlook
We believe REIT preferred securities continue to offer an attractive way to access current market dislocations that remain from the effects of the Covid-19 pandemic. Economies appear to be returning to normal operations and federal monetary policy and stimulus have supported market recovery. Interest rates remain low, and we believe they will continue to be low even after anticipated rate hikes in 2022. We believe preferred securities will continue to offer attractive yields and investors can still access REIT preferred securities at discounted prices.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
3
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
InfraCap REIT Preferred ETF (continued)
EXPOSURE BY RATING (%) as of 10/31/21 | ||
A- |
|
7.59% |
BBB+ |
|
0.0% |
BBB |
|
4.74% |
BBB- |
|
2.98% |
BB+ |
|
5.35% |
BB |
|
0.0% |
BB- |
|
9.66% |
B- |
|
0.0% |
NR |
|
69.78% |
Credit quality ratings on underlying securities of the Fund are received from S&P, Moody’s, and Fitch and converted to the equivalent S&P major rating category. This breakdown is provided by Infrastructure Capital Advisors, LLC and takes the median rating of the three agencies when all three agencies rate a security, the lower of the two ratings if only two agencies rate a security, and one rating if that is all that is provided. Unrated securities do not necessarily indicate low quality. A credit rating below investment-grade is represented by a rating of BB and below. Ratings and portfolio credit quality may change over time. This discussion includes information based on data and calculations sourced from Bloomberg and index constituents. While we believe that the data is reliable, we have not sought, nor have we received, permission from any third-party to include their information.
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||
|
|
Fund |
|
Fund |
|
Indxx REIT |
|
1 Year |
|
18.93% |
|
19.55% |
|
22.70% |
|
Since Inception2 |
|
5.55% |
|
5.50% |
|
6.66% |
|
1 The Indxx REIT Preferred Stock Index is a market cap weighted index designed to provide diversified exposure to high yielding liquid preferred securities issued by Real Estate Investment Trusts listed in the U.S. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2February 7, 2017.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Preferred Stocks: Preferred stocks may decline in price, fail to pay dividends, or be illiquid.
Real Estate Investments: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Passive Strategy/Index Risk: A passive investment strategy seeking to track the performance of the Underlying Index may result in the fund holding securities regardless of market conditions or their current or projected performance. This could cause the Fund’s returns to be lower than if the Fund employed an active strategy.
4
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
InfraCap REIT Preferred ETF (continued)
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Market Volatility: Securities in the Fund may go up or down in response to the prospects of individual companies and general economic conditions. Price changes may be short or long term.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
5
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus InfraCap U.S. Preferred Stock ETF
Management’s Discussion of Operations
Overview
Virtus InfraCap U.S. Preferred Stock ETF (the “Fund”) seeks to provide current income and, secondarily, capital appreciation through an actively-managed portfolio of high quality U.S. preferred stocks. Callable preferred securities exhibiting a low or negative yield to call are generally excluded from the portfolio. The Fund may utilize options strategies and leverage to enhance income and total return.
Market Update
In the twelve months ending October 31, 2021, the Fund’s total return based on net asset value was 41.52%. The Fund’s benchmark index, the S&P U.S. Preferred Stock Index, returned 13.38% during the same period.
The fiscal year ended October 31, 2021 can be characterized as period of extraordinary recovery from the volatility experienced in the financial markets in 2020. The negative market and economic effects that resulted from the onset of the Covid-19 global pandemic in February 2020 largely subsided during the period. Global economies continued to reopen and reduce social distancing measures. The Federal Reserve and the U.S. Treasury continued to implement measures to stabilize the economy and global financial markets during the period, which we believe have been successful. Rates on 10-year and 30-year U.S. Treasury bonds remained low. The economy and financial markets rebounded sharply as a consequence of the monetary and fiscal stimulus. Cyclical segments of the economy outperformed during the period and benefited from rotational allocations away from Covid-19 or stay-at-home technology related securities.
Two of the Fund’s strongest contributors during the period were preferred securities of Braemar Hotels and Resorts (“Braemar”) and DCP Midstream LP (“DCP Midstream”). Braemar is a real estate investment trust (“REIT”) focused on luxury hotels and resorts. Braemar benefited from the containment of the Covid-19 virus and an increase in US travel. In addition, Braemar did not have significant debt maturities in 2020 and 2021, which allowed it to successfully operate during periods of distress. DCP Midstream is one of the largest NGL producers and gas processors in the United States. It maintained a strong and diversified customer base, disciplined capital management with respect to its investments, and a focus on reducing leverage to strengthen its balance sheet. In addition, DCP Midstream had a sizeable portion of unhedged commodity exposure, which benefited from rising prices and contributed to its strong performance. Braemar’s BHR PRB and DCP Midstream’s DCP B were up 89.56% and 56.84%, respectively, during the fiscal year.
Two of the Fund’s weaker contributors during the period were preferred securities of South Jersey Industries Inc. (“South Jersey”) and Dominion Energy Inc. (“Dominion”). Based in New Jersey, South Jersey is an energy services company that focuses on delivering natural gas utilities, clean energy solutions, and energy production facilities. Dominion Energy is a US based utility, power, and energy company that is currently focused on delivering reliable, affordable, clean energy. South Jersey’s SJI V and Dominion’s DCUE were up 10.55% and 3.72%, respectively, during the fiscal year.
The Fund’s portfolio composition emphasizes issuers that own long-lived assets that generate free cash flow. Preferred stocks issued by REITs, Pipelines and Industrials comprised approximately 45%, 14%, and 15% of the Fund’s total assets, respectively, at fiscal year-end. This compares to weightings of approximately 11%, 2%, and 2.3% in the benchmark index. Such overweighting positively contributed to Fund performance during the period. In addition, at fiscal year-end preferred stocks issued by financial companies only comprised about 5% of the Fund’s total assets, while the Fund’s benchmark index was weighted approximately 48%. This significant underweighting of financials positively contributed to the Fund’s outperformance during the period.
Approximately 49% of the Fund’s total assets were fixed-to-floating rate preferred stocks at fiscal year-end. This compares to about 25% for the benchmark index. These securities have a fixed rate coupon at issue but become a floating rate security after a specified period of time, typically five or ten years after issuance. This structure generally provides investors with some protection from a rising interest rate environment while offering a higher current yield than that available on securities with coupon rates that float currently. During the period, this overweighting positively contributed to Fund performance.
6
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus InfraCap U.S. Preferred Stock ETF (continued)
Dividend Payments
In the fiscal year ended October 31, 2021, the Fund made dividend payments in the amount of $0.15 per share in October, November and December of 2020, while paying monthly dividend payments in 2021 of $0.16 per share for the remainder the fiscal year.
The Fund’s dividend policy is reviewed on an annual basis with the expectation that, under normal market conditions, the announced dividend rate can be sustained for a period of 12 – 24 months. The Fund’s targeted dividend is expected to be covered by its investment company taxable income (which includes ordinary income and short-term capital gains less expenses). For the purpose of calculating income available for distribution, some cash payments from REITs or MLPs treated as Return of Capital for tax or GAAP purposes may be included. Expenses include an 80 basis point advisory fee, leverage costs, and other miscellaneous fees.
The Fund seeks to maintain relatively stable monthly distributions although the amount of income earned by the Fund varies from period-to-period. In seeking to maintain a relatively stable monthly distribution, the Fund may distribute less than the full amount of income earned during a specific period to preserve income for distribution in future periods. Consequently, the amount of income distributed in any one period may be more or less than the actual amount of income earned in that period.
The Fund’s current 30-day SEC yield based on its closing price on the New York Stock Exchange on October 31, 2021 ($25.10) was 8.10%. The Fund’s current indicated yield based on its Net Asset Value (NAV) per share ($25.16) was 7.65%. The Fund’s distribution rate as of fiscal year end was 7.69%.
Use of Leverage
As described in the Fund’s prospectus, the Fund may use leverage to help achieve its current income objective. The leverage ratio is expected to be maintained in a range of 10-35% of the Fund’s total assets over the long term. As of October 31, 2021, The Fund’s leverage was approximately 29% of the Fund’s net asset value. The Fund’s use of leverage positively impacted Fund performance during the period.
The Fund’s cost of borrowing fell during the fiscal year, and borrowed funds generated an attractive positive spread. The Fund borrows at a 120 basis point premium to the 3-month LIBOR rate, which remained extraordinarily low at 0.132% as of October 29, 2021.
Use of Options
As described in the prospectus, the Fund may utilize options strategies to boost the amount of income available to distribute to shareholders. The primary activity is covered call writing, which is focused on a small number of common stocks and ETFs owned by the Fund. However, due to limited use of options during the fiscal year, the option activity had a minor positive impact on the Fund’s performance.
Outlook
We believe that there continue to be opportunities for active managers to select preferred stocks that are inefficiently priced. We place special emphasis on maximizing the Fund’s yield-to-call and believe that avoiding issues that are callable and trading at prices above the call price will assist in achieving that result. We believe many preferred stock investors, especially passive funds, ignore the risk of owning issues with a negative yield-to-call.
We expect the market’s uncertainty surrounding the duration and magnitude of rising inflation to be a leading theme for the forthcoming fiscal year. We have seen the divergence of performance based on credit ratings as lower-rated, higher-yielding credits have outperformed on correlation to equity markets and higher-rated, lower-yielding credits underperformed on correlation to treasury yields. We expect this trend to continue as inflation remains high, fiscal and monetary policies tighten, and interest rates rise. We believe that high-yield preferred stocks will continue to trade higher under these market conditions, and we look to opportunistically add new issues to maintain an above-average yield-to-call versus the Fund’s benchmark. We believe for the next fiscal year, non-investment grade preferred securities in sectors including, REITs, Utilities, Pipelines and Industrials will outperform the financial sector and investment grade preferreds.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser and sub-adviser make no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized. This discussion includes information based on data and calculations sourced from Bloomberg and index constituents. While we believe that the data is reliable, we have not sought, nor have we received, permission from any third-party to include their information.
7
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus InfraCap U.S. Preferred Stock ETF (continued)
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||
|
|
Fund |
|
Fund |
|
S&P U.S. |
|
1 Year |
|
41.52% |
|
41.79% |
|
13.38% |
|
Since Inception2 |
|
9.79% |
|
9.67% |
|
8.12% |
|
1 The S&P U.S. Preferred Stock Index measures performance of the U.S. preferred stock market. Preferred stocks pay dividends at a specified rate and receive preference over common stocks in terms of dividend payments and liquidation of assets. The index is calculated on a total return basis with dividend reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2May 15, 2018.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Preferred Stocks: Preferred stocks may decline in price, fail to pay dividends, or be illiquid.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
Leverage: When a fund leverages its portfolio, the value of its shares may be more volatile and all other risks may be compounded.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Sector Focus: To the extent the Fund has significant exposure to one or more sectors, this may make the Fund particularly susceptible to adverse economic, political or regulatory occurrences and changes affecting companies in those sectors.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
8
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus InfraCap U.S. Preferred Stock ETF (continued)
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
9
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus LifeSci Biotech Clinical Trials ETF
The Virtus LifeSci Biotech Clinical Trials ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the LifeSci Biotechnology Clinical Trials Index (the “Index”), which is composed of U.S.-listed biotechnology stocks with a lead drug in the clinical trial stage of development.
For the fiscal year ended October 31, 2021, the Fund’s total return based on market price was 13.91%. The Fund’s total return based on net asset value was 13.85%. The Index returned 14.59% during the same period.
Top-performing stocks for the Fund’s fiscal year included Prothena, a clinical-stage neuroscience company. Prothena focuses on the discovery and development of novel therapies to change the course of devastating diseases. Another leading contributor was Amyris, which engages in the provision of bioscience solutions. The company offers its products to the health and wellness, clean beauty, and flavor and fragrance markets. Intellia Therapeutics, a biotechnology company, was positive for Fund performance during the fiscal year. The company focuses on the research and clinical development of gene editing therapies for patients with genetically-based diseases. In addition, the Fund benefited from its positions in BioCryst Pharmaceuticals and Rubius Therapeutics. The Fund sold its stock in BioCryst Pharmaceuticals during the fiscal year.
Detractors from the Fund’s performance during the 12-month period included Nkarta, a biopharmaceutical company that engages in the discovery, development, and commercialization of natural killer cell therapies for the treatment of cancer. Immunovant, a clinical-stage biopharmaceutical company, detracted from performance. The firm focuses on enabling normal lives for patients with autoimmune diseases. It is developing a novel, fully human monoclonal antibody, IMVT-1401, that selectively binds to and inhibits the neonatal fragment crystallizable receptor. Another detractor was Black Diamond Therapeutics, which operates as a biotechnology company and develops medicines for patients with genetically defined cancers. In addition, TCR2 Therapeutics and Annovis Bio detracted from Fund returns during the fiscal year.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||||
|
|
Fund |
|
Fund |
|
LifeSci |
|
S&P 500® |
|
1 Year |
|
13.85% |
|
13.91% |
|
14.59% |
|
42.91% |
|
5 Years |
|
19.97% |
|
19.89% |
|
20.82% |
|
18.93% |
|
Since Inception3 |
|
8.95% |
|
8.95% |
|
9.63% |
|
15.34% |
|
1 The LifeSci Biotechnology Clinical Trials Index is designed to track the performance of U.S.-listed biotechnology stocks with a lead drug in the clinical trial stage of development, typically a Phase 1, Phase 2 or Phase 3 trial, but prior to receiving marketing approval. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2 The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
3December 16, 2014.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
10
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus LifeSci Biotech Clinical Trials ETF (continued)
Biotechnology Industry Risk: The Fund’s assets will be concentrated in investments in the securities of issuers engaged primarily in the biotechnology industry. Companies within the biotechnology industry spend heavily on research and development, which may not necessarily lead to commercially successful products in the near or long term. In order to fund operations, these companies may require financing from the capital markets, which may not always be available on satisfactory terms or at all. The biotechnology industry is also subject to significant governmental regulation, and the need for governmental approvals, including, without limitation, FDA approval. The securities of biotechnology companies, especially those of smaller or newer companies, tend to be more volatile than those of companies with larger capitalizations or markets generally.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
11
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus LifeSci Biotech Products ETF
The Virtus LifeSci Biotech Products ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the LifeSci Biotechnology Products Index (the “Index”), which is composed of U.S.-listed biotechnology stocks with at least one drug therapy approved by the U.S. Food & Drug Administration (“FDA”) for marketing.
For the fiscal year ended October 31, 2021, the Fund’s total return based on market price was 7.32%; the Fund’s total return based on net asset value was 7.56%. The Index returned 8.44% for the same period.
The top performers for the Fund were BioNTech and Moderna, both of which were instrumental in the development of COVID-19 vaccines. BioNTech is a next-generation immunotherapy company that treats cancer and other serious diseases through the development of novel biopharmaceuticals. Moderna engages in the development of transformative medicines based on messenger ribonucleic acid (mRNA). Another top contributor was Enanta Pharmaceuticals, a biotechnology company that engages in the discovery and development of drugs for the treatment of viral infections and liver diseases. Travere Therapeutics and Intra-Cellular Therapies were also leading contributors to Fund performance during the fiscal year.
Detractors from Fund performance included Esperion Therapeutics, which develops and markets medical devices. The company produces therapies for the treatment of patients with elevated levels of cholesterol and other risk factors for heart disease. Another top detractor was Epizyme, which develops and discovers therapeutics for the treatment of cancer and other diseases. Karyopharm Therapeutics also made a negative contribution during the fiscal year. Karyopharm is a commercial-stage pharmaceutical company pioneering novel cancer therapies. Rounding out the leading detractors from Fund returns were Y-mAbs Therapeutics and ACADIA Pharmaceuticals.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||||
|
|
Fund |
|
Fund |
|
LifeSci |
|
S&P 500® |
|
1 Year |
|
7.56% |
|
7.32% |
|
8.44% |
|
42.91% |
|
5 Years |
|
12.42% |
|
12.39% |
|
13.41% |
|
18.93% |
|
Since Inception3 |
|
11.43% |
|
11.41% |
|
12.36% |
|
15.34% |
|
1 The LifeSci Biotechnology Products Index is designed to track the performance of U.S.-listed biotechnology stocks with at least one drug therapy approved by the FDA for marketing. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2 The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
3December 16, 2014.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Biotechnology Industry Risk: The Fund’s assets will be concentrated in investments in the securities of issuers engaged primarily in the biotechnology industry. Companies within the biotechnology industry spend heavily on research and development, which may not necessarily lead to commercially successful products in the near or long term. In order to fund operations, these companies may require financing from the capital markets, which may not always be available on satisfactory terms or at all. The biotechnology industry is also subject to significant governmental regulation, and the need for governmental approvals, including, without limitation, FDA approval. The securities of biotechnology companies, especially those of smaller or newer companies, tend to be more volatile than those of companies with larger capitalizations or markets generally.
12
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus LifeSci Biotech Products ETF (continued)
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
13
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Newfleet Multi-Sector Bond ETF
The Virtus Newfleet Multi-Sector Bond ETF (the “Fund”) seeks to provide a high level of current income and, secondarily, capital appreciation.
How did the markets perform during the Fund’s fiscal year ended October 31, 2021?
The 12-month period included a variety of market conditions, but most front and center was the continued impact of COVID-19 on the globe. Monetary and fiscal policy response continued to evolve in order to support economic activity and allow market disruptions to heal. The final quarter of 2020 was marked by vaccine development and distribution, the U.S. presidential election, and a trade deal between the U.K. and the EU.
The first three quarters of 2021 brought a new U.S. administration, more fiscal stimulus, and bursts of optimism as the world continued its recovery from the COVID-19-related economic lockdowns that dominated early 2020. The virus continued to pose a global challenge to health care systems and policymakers, however, as they sought the correct mix of protective measures to contain it. Though variants of the virus emerged during the period, vaccines proved effective against them. Global vaccine distribution and the resulting growth in protected populations continued to seem to bring the world closer to containing the virus.
Since the economic recovery remained on track, the Federal Reserve (the “Fed”) began removing some of its monetary support, announcing the completion of the wind-down of its secondary market corporate credit facility during the third quarter of 2021. The Fed remained committed to its communication strategy during the fiscal year, and indicated no desire to tighten financial conditions.
During the 12-month period, the fixed income markets experienced a significant rebound from their March 2020 lows, with spread sectors (non-governmental fixed income investments) outperforming U.S. Treasuries. Those sectors that had experienced the greatest degree of underperformance during the first quarter of 2020 led the way during the fiscal year recovery.
During the fiscal year, the Fed left its target interest rate unchanged at a range of 0-0.25%, the rate that was set in late March of 2020 in response to the pandemic.
Additionally, over the 12-month period, the U.S Treasury yield curve steepened, shifting broadly higher, especially for maturities up to five years.
What factors affected the Fund’s performance during its fiscal year?
For the fiscal year ended October 31, 2021, the Fund’s total return based on market price was 5.81%. The Fund’s total return based on net asset value was 5.71%. For the same period, the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, returned -0.48%.
An underweight to U.S. Treasuries in favor of spread sectors was a driver of the Fund’s outperformance for the fiscal year ended October 31, 2021. Among fixed income sectors, the Fund’s allocations to corporate high yield and high yield bank loans contributed to relative performance for the fiscal year. Issue selection within corporate high quality securities was also beneficial for relative performance.
The Fund’s underweight to the corporate high quality sector negatively impacted performance for the 12-month period, despite the fact that issue selection within the sector was positive.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
14
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Newfleet Multi-Sector Bond ETF (continued)
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||
|
|
Fund |
|
Fund |
|
Bloomberg |
|
1 Year |
|
5.71% |
|
5.81% |
|
(0.48)% |
|
5 Years |
|
4.27% |
|
4.47% |
|
3.10% |
|
Since Inception2 |
|
4.68% |
|
4.72% |
|
3.31% |
|
1The Bloomberg U.S. Aggregate Bond Index measures the U.S. investment grade fixed rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2August 10, 2015.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the repayment of underlying collateral.
Bank Loans: Loans may be unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans can carry significant credit and call risk, can be difficult to value and have longer settlement times than other investments, which can make loans relatively illiquid at times.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
15
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Newfleet Multi-Sector Bond ETF (continued)
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
16
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Private Credit Strategy ETF
The Virtus Private Credit Strategy ETF (the “Fund”) strives to deliver an alternative source of yield to traditional fixed income by focusing on the private credit market, particularly companies involved in lending to non-investment grade, small- to mid-sized U.S. companies.
The Fund seeks to track the investment results, before fees and expenses, of the Indxx Private Credit Index (the “Index”), which is composed of U.S.-listed business development companies (“BDCs”) and closed-end funds that provide significant exposure to private credit.
For the fiscal year ended October 31, 2021, the Fund’s total return based on market price was 61.61%; the Fund’s total return based on net asset value was 61.32%. The Index returned 63.59% during the same period.
The leading positive contributors to Fund performance during the 12-month period were BDCs, which seek to maximize total return by investing in debt and equity financing, including collateralized loan obligation (CLO) vehicles. These included Oxford Lane Capital, which operates as a closed-end fund investing primarily in corporate debt instruments. Oxford Lane invests principally in the equity and junior debt of CLO vehicles. Eagle Point Credit, which operates as a closed-end management investment company, also contributed to Fund performance during the fiscal year. Eagle Point’s investment objective is to generate high current income, with a secondary objective of generating capital appreciation, by investing in the equity and junior debt of CLOs. Another top contributor was Apollo Investment, which allocates to debt investments that include senior secured loans, subordinated, and mezzanine investments, as well as equity in private middle-market companies.
Detractors from Fund performance included Portman Ridge Finance, a closed-end, externally managed, non-diversified management investment company. Portman Ridge originates, structures, finances, and manages a portfolio of term loans, mezzanine investments, and select equity securities of middle market U.S. companies. Eaton Vance Floating-Rate Income Trust, another detractor, is a newly organized, diversified, closed-end management investment company. The Fund seeks to provide a high level of current income by investing primarily in senior, secured floating rate loans that are rated below investment grade. BlackRock Floating Rate Income Strategies Fund also detracted from the Fund’s returns.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||
|
|
Fund |
|
Fund |
|
Indxx |
|
1 Year |
|
61.32% |
|
61.61% |
|
63.59% |
|
Since Inception2 |
|
10.92% |
|
10.98% |
|
12.14% |
|
1 The Indxx Private Credit Index is an index of listed business development companies (“BDCs”) and closed end funds (“CEFs”) with a private credit focus. The Index is designed to serve as a broad-based benchmark for long-only investments in private credit. The Index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2February 7, 2019.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Private Credit Funds: Private credit funds that invest in closed-end funds and business development companies bear the risk of these underlying assets, including liquidity, industry, currency, valuation and credit risks.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
17
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Private Credit Strategy ETF (continued)
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Passive Strategy/Index Risk: A passive investment strategy seeking to track the performance of the Underlying Index may result in the fund holding securities regardless of market conditions or their current or projected performance. This could cause the Fund’s returns to be lower than if the Fund employed an active strategy.
Fund of Funds: Because the Fund can invest in other funds, it indirectly bears its proportionate share of the operating expenses and management fees of the underlying fund(s).
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Closed-End Funds: Closed-end funds may trade at a discount from their net asset values, which may affect whether the fund will realize gains or losses. They may also employ leverage, which may increase volatility.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
18
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Real Asset Income ETF
The Virtus Real Asset Income ETF (the “Fund”) aims to provide passive exposure to high income-producing real asset securities. The Fund seeks to track the investment results, before fees and expenses, of the Indxx Real Asset Income Index (the “Index”), which is composed of U.S.-listed securities with a history of dividend growth across three real asset categories:
• real estate, including real estate development and real estate investment trusts (“REITs”);
• natural resources, including oil, coal, precious metals, steel, agricultural commodities, and forest products; and
• infrastructure, including electric utilities, telecommunications, transportation and master limited partnerships (“MLPs”).
For the fiscal year ended October 31, 2021, the Fund’s total return based on market price was 50.51%; the Fund’s total return based on net asset value was 50.16%. The Index returned 52.28% during the same period.
The top contributors to Fund performance for the 12-month period included pipeline companies, oil & gas names, and producers of iron and steel. Canadian Natural Resources, an oil and natural gas production company, was a positive contributor. The company engages in the exploration, development, marketing, and production of crude oil and natural gas. Another top performer was Marathon Petroleum, an independent company that engages in the refining, marketing, and transportation of petroleum products in the U.S. ONEOK, which engages in the gathering, processing, fractionating, transporting, storing, and marketing of natural gas, made a positive contribution to the Fund’s returns. ONEOK operates through the following segments: Natural Gas Gathering and Processing, Natural Gas Liquids, and Natural Gas Pipelines. Rounding out the top contributors were Delek US Holdings and Valero Energy.
The largest detractors from Fund performance were stocks involved in mining, electric generation, chemicals, and real estate. They included Agnico Eagle Mines, which engages in the exploration and production of gold, and DRDGOLD, which engages in the business of retreatment of surface gold. Another detractor was Enel Chile, which engages in the development, operation, generation, and distribution of electricity. Enel Chile operates through the following segments: Generation, Transmission, and Distribution.
The preceding information is the opinion of the investment adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||
|
|
Fund |
|
Fund |
|
Indxx Real |
|
1 Year |
|
50.16% |
|
50.51% |
|
52.28% |
|
Since Inception2 |
|
6.93% |
|
6.89% |
|
7.80% |
|
1 The Indxx Real Asset Income Index tracks the performance of US-listed securities in the Real Asset space (Real Estate, Natural Resources and Infrastructure) emphasizing dividend growth. The Index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2February 7, 2019.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
19
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus Real Asset Income ETF (continued)
Equity REITs: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Natural Resources: A fund that focuses its investments in natural resources companies will be more sensitive to conditions affecting their business or operations.
Infrastructure: A fund that focuses its investments in infrastructure-related companies will be more sensitive to conditions affecting their business or operations.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
MLPs: Investments in Master Limited Partnerships may be adversely impacted by tax law changes, regulation, or factors affecting underlying assets.
Passive Strategy/Index Risk: A passive investment strategy seeking to track the performance of the Underlying Index may result in the fund holding securities regardless of market conditions or their current or projected performance. This could cause the Fund’s returns to be lower than if the Fund employed an active strategy.
Correlation to Index: The performance of the Fund and its index may vary somewhat due to factors such as Fund flows, transaction costs, and timing differences associated with additions to and deletions from its index.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
20
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus WMC International Dividend ETF
The Virtus WMC International Dividend ETF (the “Fund”) is an actively managed ETF designed to provide above market yield while seeking to be more diversified than traditional equity income approaches. It targets a below market beta relative to core equities. Securities that end up in the portfolio are selected because their high yield characteristics help meet the Fund’s income objective or their ability to help diversify risks in the portfolio. The names that are intended to help diversify risk in the portfolio are often names that 1) are members of the core index but not the high yield benchmark and 2) exhibit characteristics that high yielding stocks in aggregate tend to lack, such as growth.
During the period, the high yielding non-US equities, as measured by the MSCI World ex USA High Dividend Yield Index, posted positive absolute returns but underperformed core equities (as measured by MSCI World ex USA Index, respectively). Certain higher yielding segments of the market that make up a larger portion of the equity income universe than core, such as utilities companies, underperformed during the period. Meanwhile, higher growth stocks including technology companies, which are the companies that do not typically pay dividends and are therefore not as prevalent in the equity income universe, outperformed. Headwinds from these exposures resulted in weaker absolute returns for dividend paying stocks relative to core equities during the period.
During the period presented, the Virtus WMC International Dividend ETF NAV rose by 27.41%, underperforming its benchmark, the MSCI World ex US High Dividend Yield Index (Net), which rose by 28.93%.
The Fund’s structurally lower beta exposure was the main detractor from relative returns during the period. Because we believe that equity income allocations should provide some defensive characteristics relative to core equities, the portfolio targets a below market beta. While we expect this positioning to be beneficial over a full market cycle, this structural underweight exposure was a headwind during the period presented, as global markets rose.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser makes no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||
|
|
Fund |
|
Fund |
|
MSCI World |
|
1 Year |
|
27.41% |
|
27.72% |
|
28.93% |
|
Since Inception2 |
|
7.20% |
|
7.37% |
|
3.45% |
|
1The MSCI World Ex USA High Dividend Yield Index (net) is based on the MSCI World Index, its parent index, and includes large and mid cap stocks across 48 Developed Markets (DM) and Emerging Market (EM) countries. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with potentially deteriorating fundamentals that could force them to cut or reduce dividends. The index is calculated on a total return basis with net dividends reinvested; it is unmanaged; its returns do not reflect any fees, expenses or sales charges; and it is not available for direct investment.
2October 10, 2017.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-end performance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-point of the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the Cboe BZX Exchange, Inc. (“Cboe”), ordinarily 4:00 p.m. Eastern time, on each day during which the Cboe is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
Dividend Paying Securities: Issuers that have paid regular dividends or distributions may not continue to do so in the future and can fall out of favor with the market, which may cause the portfolio to underperform. Securities with higher dividend yields can be sensitive to interest rate movements: when interest rates rise, the prices of these securities may fall.
21
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
Virtus WMC International Dividend ETF (continued)
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Geographic Concentration: Events negatively affecting the fiscal stability of a state, country, or region will cause the value of the Fund’s shares to decrease. Because the Fund concentrates its assets in a state, country, or region, the Fund is more vulnerable to those areas’ financial, economic, or other political developments.
Equity REITs: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
22
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
InfraCap MLP ETF
Management’s Discussion of Operations
Overview
InfraCap MLP ETF (the “Fund”) is an actively-managed portfolio of midstream energy master limited partnerships (“MLPs”) and related general partners. The Fund may utilize options strategies and leverage to enhance income and total return.
The Fund focuses on the midstream MLP sector because most of these companies have a long-term history of relatively stable and growing cash distributions. These companies are typically involved in the production, gathering, transportation, storage, and processing of oil, natural gas, natural gas liquids, and refined products.
Market Update
In the fiscal year ended October 31, 2021, the Fund’s total return based on net asset value was 121.30%. The Fund’s benchmark index, the Alerian MLP Infrastructure Index, returned 86.89% during same period, while the S&P 500 Index returned 42.91%%.
Fiscal year 2021 witnessed an unparalleled recovery from the volatility in WTI Crude Oil prices from the preceding year. In 2020, the emergence of the Covid-19 pandemic produced the sharpest decline in global economic activity ever recorded, and demand for crude oil and refined products plummeted. WTI Crude Oil prices fell from the low $60’s per barrel to an all-time low in the futures market to negative $37 per barrel. During the fiscal year, WTI Crude Oil prices rebounded and as of October 29, 2021 were $83.57.
The gradual return to normal business activity and OPEC+ agreements drove oil prices higher and supported MLP stock prices as there is a long-term need for North American oil and gas. Midstream companies benefited from the defensive nature of their business model with fee based contracts and added protections like minimum volume commitments. Many midstream companies have diversified customer bases or significant exposure to investment grade counterparties. During the earnings period, many management teams implemented steps to protect their balance sheet with cost saving initiatives and deferring capital spending. Moreover, many midstream companies announced actions to strengthen their financial flexibility, including streamlined maintenance capital costs and operating expenses. Cash flows remained stable during the fiscal year, with some MLPs pursuing shareholder friendly actions such as buy-backs, increased distributions or special distributions.
During the period, businesses reopened and the US gradually lifted strict social distancing measures that had been implemented in an effort to slow the spread of Covid-19. Two of the Fund’s stronger performing issuers during the period were Magellan Midstream Partners LP (“Magellan”) and DCP Midstream LP (“DCP Midstream”). Magellan’s business model is primarily focused on fee-based activities, which we believe facilitates consistent cash flows. Magellan demonstrated a commitment to maintaining: (1) a strong investment grade balance sheet, (2) its current distribution, (3) long standing maximum leverage targets, and (4) shareholder-friendly corporate actions, such as stock repurchase programs. DCP Midstream is one of the largest NGL producers and gas processors in the United States. It has maintained a strong and diversified customer base, disciplined capital management with respect to its investments, and a focus on reducing leverage to strengthen its balance sheet. In addition, DCP Midstream had a sizeable portion of unhedged commodity exposure which benefited from rising prices and contributed to its strong performance. During the period, Magellan and DCP Midstream were up 51.90% and 158.60%, respectively.
Two of the weaker performing positions during the period were Nustar Energy LP (“Nustar”) and Cheniere Energy Partners LP (“Cheniere”). Nustar is one of the largest independent liquids terminal and pipeline operators in the nation. Nustar lowered its 2021 adjusted EBITDA guidance related to asset sales. Chenerie has highly contracted LNG assets and thus, relative to its peers did not benefit as much from rising commodity prices. Nustar was up 18.70%, while Cheniere was up 29.60% during the period.
During the period, despite an increase in commodity prices, U.S. producers maintained capital discipline and kept their production outlook largely unchanged.
Dividend Payments
In the fiscal year ended October 31, 2021, the Fund made monthly dividend payments in the amount of $0.22 per share. While the Fund plans to continue paying monthly dividends, dividends are not guaranteed. The Fund seeks to maintain relatively stable monthly distributions although the amount of income earned by the Fund varies from period-to-period. In seeking to maintain a relatively stable monthly distribution, the Fund may distribute less than the full amount of income earned during a specific period, preserving income for distribution in future periods. Consequently, the amount of income distributed in any one period may be more or less than the actual amount of income earned in that period.
23
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
InfraCap MLP ETF (continued)
Use of Leverage
The Fund’s policy is to maintain its leverage ratio in a range of 10-35% over the long term. The Fund effectively employed leverage over the fiscal year and made efforts to reduce its leverage during periods of increased volatility. The application of leverage positively contributed to Fund performance during the period. Leverage fluctuated within the targeted range during the fiscal year, consistent with the Fund’s investment objective to seek total return. Leverage represented 34.6% of net assets at year-end, which was near the upper end of the long-term target range. The Fund’s cost of borrowing fell during the fiscal year, which widened the spread on borrowed funds. The Fund borrows at a 120 basis point premium to the 3-month LIBOR rate, which remained extraordinarily low at 0.132% as of October 29, 2021. The yield on the Fund’s benchmark index, the Alerian MLP Infrastructure Index, was 7.40% on October 29, 2021.
Use of Options
The Fund seeks to generate additional income for distribution to investors by writing call and put options. The primary activity is writing “covered” call options on positions held by the Fund. However, due to high volatility within the asset class at times during the period, market conditions for covered call options were unfavorable to Fund performance for much of the fiscal year and as a result, the Fund’s manager reduced the frequency of this activity.
During the fiscal year, the Fund’s emphasis was on writing short-duration covered call options, and the average maturity of the option portfolio was less than 18 days. The Fund’s manager used these option strategies to seek to maximize the capture of premium decay and manage short term risks.
We believe consolidation within the MLP sector enhanced the liquidity in the single-stock options market as larger MLPs typically have more liquid markets for issued options.
Outlook
The Covid-19 pandemic caused midstream MLP stock prices to crash in 2020 despite having relatively stable businesses, particularly relative to more impacted sectors such as airlines, hotels, and restaurants. The fee-based contracts utilized in the midstream MLP sector have helped companies protect their cash flow generation. We will continue to monitor rising commodity prices, OPEC+ induced supply shocks, and macroeconomic factors related to infrastructure spending and Federal Reserve policy. Further, we expect US producers to remain disciplined and OPEC+ to slowly increase its output.
We continue to believe that there will be significant asset sales and acquisitions of entire companies over the next year as private equity firms and strategic acquirers take advantage of consolidations in midstream assets. We believe we are positioned to take advantage of M&A activity that we consider likely to occur in the recent future. In addition, we believe proposed increases in corporate taxes will decrease the advantages of MLP C-Corp conversions.
The Fund also maintains positions in large capitalization integrated pipelines and storage companies with stronger contractual protection and visible market demand. We believe these companies are less vulnerable during heightened periods of price volatility and are best suited to take advantage of opportunities that exist in the current market environment.
Importantly, many midstream companies implemented measures during the fiscal year to protect their balance sheets with cost saving initiatives and cancellations of growth and capital spending. Continuing in this development, midstream companies have transitioned to share buybacks as a means of returning cash opportunistically.
The preceding information is the opinion of the investment adviser and sub-adviser. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Statements of fact are from sources considered reliable, but the investment adviser and sub-adviser make no representation or warranty as to their completeness or accuracy. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized. This discussion includes information based on data and calculations sourced from Bloomberg and index constituents. While we believe that the data is reliable, we have not sought, nor have we received, permission from any third-party to include their information.
24
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
InfraCap MLP ETF (continued)
Performance as of 10/31/2021
|
|
Average Annual Total Return |
| ||||||
|
|
Fund |
|
Fund |
|
Alerian
MLP |
|
S&P 500® |
|
1 Year |
|
121.30% |
|
120.44% |
|
86.89% |
|
42.91% |
|
5 Years |
|
(9.07)% |
|
(9.14)% |
|
(1.55)% |
|
18.93% |
|
Since Inception3 |
|
(13.39)% |
|
(13.44)% |
|
(6.16)% |
|
15.15% |
|
1 The Alerian MLP Infrastructure Index is a composite of energy infrastructure Master Limited Partnerships (MLPs), whose constituents earn the majority of their cash flow from the transportation, storage, and processing of energy commodities. The index is calculated using a float-adjusted, capitalization-weighted methodology on a total-return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
2 The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
3October 1, 2014.
Performance data quoted represents past performance and past performance does not guarantee future results. Investment returnand principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or lessthan the original cost. Current performance data may be higher or lower than actual data quoted. Returns do not reflect the deductionof taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. For the most current month-endperformance data please visit www.virtusetfs.com or call toll free (800) 243-4361. Market price returns are based on the mid-pointof the highest bid and lowest offer for Fund shares as of the scheduled close of regular trading on the New York Stock Exchange Arca (“NYSE”), ordinarily 4:00 p.m. Eastern time, on each day during which the NYSE is open for trading, and do not represent the returns an investor would receive if shares were traded at other times.
MLPs: Investments in Master Limited Partnerships may be adversely impacted by tax law changes, regulation, or factors affecting underlying assets.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Interest Rate Risk: As yield-based investments, MLPs carry interest rate risk and may underperform in rising interest rate environments. Additionally, when investors have heightened fears about the economy, the risk spread between MLPs and competing investment options can widen, which may have an adverse effect on the stock price of MLPs. Rising interest rates may increase the potential cost of MLPs financing projects or cost of operations, and may affect the demand for MLP investments, either of which may result in lower performance by or distributions from the Fund’s MLP investments.
Leverage: When a fund leverages its portfolio, the value of its shares may be more volatile and all other risks may be compounded.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
Non-Diversified: The Fund is non-diversified and may be more susceptible to factors negatively impacting its holdings to the extent that each security represents a larger portion of the Fund’s assets.
Short Sales: The Fund may engage in short sales, and may experience a loss if the price of a borrowed security increases before the date on which the Fund replaces the security.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Market Price/NAV: Shares of ETFs often trade at a discount to their net asset value, which may increase investors’ risk of loss. At the time of sale, an investor’s shares may have a market price that is above or below the Fund’s NAV.
No Guarantee: There is no guarantee that the Fund will meet its objective.
Prospectus: For additional information on risks, please see the Fund’s prospectus. The Fund may not be suitable for all investors.
25
Management’s Discussion of Fund Performance (unaudited) (continued)
October 31, 2021
InfraCap MLP ETF (continued)
Value of a $10,000 Investment Since Inception at Net Asset Value
The chart above represents historical performance of a hypothetical investment of $10,000 over the life of the Fund, assuming reinvestment of distributions. Past performance does not guarantee future results.
26
Asset Allocation as of 10/31/2021 (based on net assets)
InfraCap REIT Preferred ETF |
| ||
Real Estate |
|
59.7 |
% |
Financials |
|
38.7 |
% |
Other Assets in Excess of Liabilities |
|
1.6 |
% |
Total |
|
100.0 |
% |
|
| ||
Virtus InfraCap U.S. Preferred Stock ETF |
| ||
Real Estate |
|
35.1 |
%* |
Financials |
|
30.9 |
%* |
Energy |
|
22.3 |
% |
Utilities |
|
20.0 |
% |
Industrials |
|
15.0 |
% |
Consumer Discretionary |
|
3.6 |
% |
Communication Services |
|
2.6 |
% |
Health Care |
|
0.1 |
% |
Liabilities in Excess of Other Assets |
|
(29.6 |
)% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
Health Care |
|
98.4 |
% |
Materials |
|
0.5 |
% |
Money Market Fund |
|
9.1 |
% |
Liabilities in Excess of Other Assets |
|
(8.0 |
)% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus LifeSci Biotech Products ETF |
|
|
|
Health Care |
|
97.9 |
% |
Money Market Fund |
|
7.4 |
% |
Liabilities in Excess of Other Assets |
|
(5.3 |
)% |
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.
27
Portfolio Composition (unaudited) (continued)
October 31, 2021
Asset Allocation as of 10/31/2021 (based on net assets)
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
Corporate Bonds |
|
41.2 |
% |
Term Loans |
|
20.0 |
% |
Foreign Bonds |
|
15.8 |
% |
Mortgage Backed Securities |
|
7.2 |
% |
U.S. Government Securities |
|
6.6 |
% |
Asset Backed Securities |
|
6.1 |
% |
Debt Fund |
|
0.5 |
% |
Municipal Bond |
|
0.0 |
%* |
Money Market Fund |
|
2.6 |
% |
Liabilities in Excess of Other Assets |
|
(0.0 |
)%* |
Total |
|
100.0 |
% |
|
|
|
|
Virtus Private Credit Strategy ETF |
|
|
|
Financials |
|
60.7 |
% |
Closed-End Funds |
|
37.8 |
% |
Money Market Fund |
|
12.5 |
% |
Liabilities in Excess of Other Assets |
|
(11.0 |
)% |
Total |
|
100.0 |
% |
|
|
|
|
Virtus Real Asset Income ETF |
|
|
|
Real Estate |
|
32.4 |
% |
Energy |
|
24.0 |
% |
Materials |
|
18.8 |
% |
Utilities |
|
18.6 |
% |
Communication Services |
|
4.1 |
% |
Industrials |
|
1.1 |
% |
Money Market Fund |
|
1.4 |
% |
Liabilities in Excess of Other Assets |
|
(0.4 |
)% |
Total |
|
100.0 |
% |
*Amount rounds to less than 0.05%.
28
Portfolio Composition (unaudited) (continued)
October 31, 2021
Asset Allocation as of 10/31/2021 (based on net assets)
Virtus WMC International Dividend ETF |
|
|
|
Financials |
|
22.4 |
% |
Health Care |
|
11.9 |
% |
Consumer Staples |
|
10.8 |
% |
Industrials |
|
9.9 |
% |
Communication Services |
|
9.6 |
% |
Materials |
|
8.9 |
% |
Utilities |
|
8.4 |
% |
Consumer Discretionary |
|
7.1 |
% |
Information Technology |
|
4.5 |
% |
Energy |
|
3.6 |
% |
Real Estate |
|
1.9 |
% |
Preferred Stock |
|
0.2 |
% |
Other Assets in Excess of Liabilities |
|
0.8 |
% |
Total |
|
100.0 |
% |
|
|
|
|
InfraCap MLP ETF |
|
|
|
Energy |
|
134.7 |
% |
Written Options |
|
(0.1 |
)% |
Liabilities in Excess of Other Assets |
|
(34.6 |
)% |
Total |
|
100.0 |
% |
29
We believe it is important for you to understand the impact of costs on your investment. All funds have operating expenses. As a shareholder of the InfraCap REIT Preferred ETF, Virtus InfraCap U .S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, Virtus WMC International Dividend ETF and InfraCap MLP ETF (each, a “Fund”) you may incur two types of costs: (1) transaction costs, which include brokerage commissions that you pay when purchasing or selling shares of a Fund; and (2) ongoing costs, which include advisory fees and other fund expenses, if any . The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (May 1, 2021 to October 31, 2021).
Actual expenses
The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line under each Fund in the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have been higher.
|
|
Beginning |
|
Ending |
|
|
|
Expenses Paid |
InfraCap REIT Preferred ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,032.50 |
|
0.45% |
|
$2.31 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.94 |
|
0.45% |
|
$2.29 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,080.60 |
|
0.80% |
|
$4.20 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.17 |
|
0.80% |
|
$4.08 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$874.30 |
|
0.79% |
|
$3.73 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.22 |
|
0.79% |
|
$4.02 |
Virtus LifeSci Biotech Products ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$963.40 |
|
0.79% |
|
$3.91 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.22 |
|
0.79% |
|
$4.02 |
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,014.10 |
|
0.49% |
|
$2.49 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.74 |
|
0.49% |
|
$2.50 |
Virtus Private Credit Strategy ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,091.40 |
|
0.75% |
|
$3.95 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,021.42 |
|
0.75% |
|
$3.82 |
Virtus Real Asset Income ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,044.10 |
|
0.55% |
|
$2.83 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.43 |
|
0.55% |
|
$2.80 |
Virtus WMC International Dividend ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,003.90 |
|
0.49% |
|
$2.47 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,022.74 |
|
0.49% |
|
$2.50 |
InfraCap MLP ETF |
|
|
|
|
|
|
|
|
Actual |
|
$1,000.00 |
|
$1,106.60 |
|
0.95% |
|
$5.04 |
Hypothetical(1) |
|
$1,000.00 |
|
$1,020.42 |
|
0.95% |
|
$4.84 |
1Assuming 5% return before expenses.
2Annualized expense ratios reflect expenses net of waived fees or reimbursed expenses, if applicable.
3Expenses 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).
The accompanying notes are an integral part of these financial statements.
30
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS — 98.4% |
|
|
|
|
|
|
|
|
|
|
|
Financials — 38.7% |
|
|
|
|
|
ACRES Commercial Realty Corp., 8.63% |
|
31,684 |
|
$822,834 |
|
AG Mortgage Investment Trust, Inc.,
|
|
30,317 |
|
773,084 |
|
AG Mortgage Investment Trust, Inc.,
|
|
29,912 |
|
761,260 |
|
AGNC Investment Corp., Series D, 6.88% |
|
48,222 |
|
1,235,930 |
|
AGNC Investment Corp., Series E, 6.50% |
|
53,543 |
|
1,388,370 |
|
AGNC Investment Corp., Series F, 6.13% |
|
57,050 |
|
1,445,077 |
|
Annaly Capital Management, Inc., Series F, 6.95% |
|
101,838 |
|
2,581,593 |
|
Annaly Capital Management, Inc., Series G, 6.50% |
|
64,684 |
|
1,645,561 |
|
Annaly Capital Management, Inc., Series I, 6.75% |
|
78,419 |
|
2,061,636 |
|
ARMOUR Residential REIT, Inc., Series C, 7.00% |
|
24,271 |
|
627,405 |
|
Brookfield Finance I UK PLC, 4.50% (Canada) |
|
70,434 |
|
1,770,711 |
|
Brookfield Finance, Inc., Series 50, 4.63% (Canada) |
|
93,701 |
|
2,382,816 |
|
Chimera Investment Corp., Series B, 8.00% |
|
54,624 |
|
1,408,753 |
|
Chimera Investment Corp., Series C, 7.75% |
|
42,072 |
|
1,079,988 |
|
Chimera Investment Corp., Series D, 8.00% |
|
41,496 |
|
1,064,787 |
|
Dynex Capital, Inc., Series C, 6.90% |
|
15,812 |
|
409,215 |
|
Invesco Mortgage Capital, Inc., Series B, 7.75% |
|
30,261 |
|
770,142 |
|
Invesco Mortgage Capital, Inc., Series C, 7.50% |
|
38,987 |
|
998,847 |
|
MFA Financial, Inc., Series C, 6.50% |
|
38,823 |
|
936,023 |
|
New Residential Investment Corp., Series A, 7.50% |
|
21,959 |
|
563,248 |
|
New Residential Investment Corp., Series B, 7.13% |
|
37,873 |
|
950,612 |
|
New Residential Investment Corp., Series C, 6.38% |
|
50,251 |
|
1,180,396 |
|
New York Mortgage Trust, Inc., Series B, 7.75% |
|
21,770 |
|
552,740 |
|
New York Mortgage Trust, Inc., Series D, 8.00% |
|
30,622 |
|
800,765 |
|
New York Mortgage Trust, Inc., Series E, 7.88% |
|
41,851 |
|
1,083,104 |
|
PennyMac Mortgage Investment Trust, Series A, 8.13% |
|
21,643 |
|
582,630 |
|
PennyMac Mortgage Investment Trust, Series B, 8.00% |
|
34,440 |
|
911,282 |
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
Two Harbors Investment Corp., Series A, 8.13% |
|
32,293 |
|
$854,473 |
|
Two Harbors Investment Corp., Series B, 7.63% |
|
45,049 |
|
1,161,363 |
|
Two Harbors Investment Corp., Series C, 7.25% |
|
42,333 |
|
1,066,792 |
|
Total Financials |
|
|
|
33,871,437 |
|
|
|
|
|
|
|
Real Estate — 59.7% |
|
|
|
|
|
American Finance Trust, Inc., Series A, 7.50% |
|
115,274 |
|
3,074,358 |
|
American Finance Trust, Inc., Series C, 7.38% |
|
66,736 |
|
1,766,502 |
|
Armada Hoffler Properties, Inc., Series A, 6.75% |
|
68,947 |
|
1,920,863 |
|
Cedar Realty Trust, Inc., Series C, 6.50% |
|
71,386 |
|
1,838,189 |
|
CorEnergy Infrastructure Trust, Inc.,
|
|
77,382 |
|
1,897,407 |
|
DiamondRock Hospitality Co., 8.25% |
|
73,365 |
|
2,081,365 |
|
DigitalBridge Group, Inc., Series I, 7.15% |
|
178,557 |
|
4,642,482 |
|
DigitalBridge Group, Inc., Series J, 7.13% |
|
162,979 |
|
4,281,458 |
|
Diversified Healthcare Trust, 5.63% |
|
200,250 |
|
4,856,063 |
|
Diversified Healthcare Trust, 6.25% |
|
142,886 |
|
3,597,869 |
|
Healthcare Trust, Inc., Series A, 7.38% |
|
57,602 |
|
1,455,027 |
|
Hersha Hospitality Trust, Series D, 6.50% |
|
115,453 |
|
2,810,126 |
|
Hersha Hospitality Trust, Series E, 6.50% |
|
55,346 |
|
1,357,084 |
|
Office Properties Income Trust, 6.38% |
|
92,996 |
|
2,607,608 |
|
Public Storage, Series N, 3.88% |
|
161,333 |
|
4,107,538 |
|
Public Storage, Series O, 3.90% |
|
95,731 |
|
2,450,714 |
|
UMH Properties, Inc., Series D, 6.38% |
|
109,906 |
|
2,877,339 |
|
Vornado Realty Trust, Series N, 5.25% |
|
171,327 |
|
4,678,940 |
|
Total Real Estate |
|
|
|
52,300,932 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 98.4% |
|
|
|
|
|
(Cost $82,650,321) |
|
|
|
86,172,369 |
|
Other Assets in Excess of Liabilities — 1.6% |
|
|
|
1,366,460 |
|
Net Assets — 100.0% |
|
|
|
$87,538,829 |
|
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Preferred Stocks |
|
$86,172,369 |
|
$— |
|
$— |
|
$86,172,369 |
Total |
|
$86,172,369 |
|
$— |
|
$— |
|
$86,172,369 |
The accompanying notes are an integral part of these financial statements.
31
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS — 129.6% |
|
|
|
|
|
|
|
|
|
|
|
Communication Services — 2.6% |
|
|
|
|
|
Liberty Broadband Corp., Series A, 7.00%(1) |
|
46,110 |
|
$1,309,524 |
|
Qwest Corp., 6.50%(1) |
|
13,364 |
|
343,054 |
|
Telephone and Data Systems, Inc., |
|
45,716 |
|
1,253,990 |
|
Telephone and Data Systems, Inc., |
|
403,093 |
|
10,569,099 |
|
United States Cellular Corp., 5.50%(1) |
|
12,580 |
|
333,118 |
|
Total Communication Services |
|
|
|
13,808,785 |
|
|
|
|
|
|
|
Consumer Discretionary — 3.6% |
|
|
|
|
|
Ford Motor Co., 6.00%(1) |
|
467,652 |
|
12,757,547 |
|
Ford Motor Co., 6.20%(1) |
|
169,724 |
|
4,667,410 |
|
Franchise Group, Inc., Series A, 7.50%(1) |
|
51,465 |
|
1,386,467 |
|
Total Consumer Discretionary |
|
|
|
18,811,424 |
|
|
|
|
|
|
|
Energy — 22.3% |
|
|
|
|
|
Crestwood Equity Partners LP, 9.25%(1) |
|
2,106,119 |
|
21,545,597 |
|
DCP Midstream LP, Series B, 7.88%(1) |
|
826,269 |
|
20,846,767 |
|
DCP Midstream LP, Series C, 7.95%(1) |
|
193,588 |
|
4,876,482 |
|
Energy Transfer LP, Series C, 7.38%(1) |
|
115,225 |
|
2,908,279 |
|
Energy Transfer LP, Series D, 7.63%(1) |
|
146,648 |
|
3,672,066 |
|
Energy Transfer LP, Series E, 7.60%(1) |
|
142,032 |
|
3,624,657 |
|
GasLog Partners LP, Series A, 8.63% (Greece)(1) |
|
376,600 |
|
9,791,600 |
|
GasLog Partners LP, Series B, 8.20% (Greece)(1) |
|
324,370 |
|
8,115,737 |
|
Golar LNG Partners LP, Series A, 8.75% |
|
43,865 |
|
1,061,094 |
|
NuStar Energy LP, Series A, 8.50%(1) |
|
655,660 |
|
16,070,227 |
|
NuStar Energy LP, Series B, 7.63%(1) |
|
509,471 |
|
11,539,518 |
|
NuStar Energy LP, Series C, 9.00%(1) |
|
514,511 |
|
13,382,431 |
|
Total Energy |
|
|
|
117,434,455 |
|
|
|
|
|
|
|
Financials — 30.9%† |
|
|
|
|
|
Affiliated Managers Group, Inc., 4.20% |
|
2,255 |
|
55,698 |
|
AG Mortgage Investment Trust, Inc., Series C, 8.00%(1) |
|
93,449 |
|
2,378,277 |
|
AGNC Investment Corp., Series D, 6.88%(1) |
|
59,495 |
|
1,524,857 |
|
AGNC Investment Corp., Series E, 6.50%(1) |
|
64,141 |
|
1,663,176 |
|
AGNC Investment Corp., Series F, 6.13%(1) |
|
17,483 |
|
442,844 |
|
American Equity Investment Life Holding Co., Series A, 5.95%(1) |
|
15,962 |
|
445,340 |
|
Annaly Capital Management, Inc., Series F, 6.95%(1) |
|
23,412 |
|
593,494 |
|
Annaly Capital Management, Inc., Series G, 6.50%(1) |
|
43,317 |
|
1,101,984 |
|
Annaly Capital Management, Inc., Series I, 6.75%(1) |
|
5,103 |
|
134,158 |
|
Arbor Realty Trust, Inc., Series E, 6.25%(1) |
|
21,479 |
|
551,366 |
|
ARMOUR Residential REIT, Inc., Series C, 7.00%(1) |
|
254,352 |
|
6,574,999 |
|
Athene Holding Ltd., Series A, 6.35% |
|
180 |
|
5,380 |
|
Athene Holding Ltd., Series D, 4.88% |
|
5,247 |
|
135,740 |
|
Atlanticus Holdings Corp., Series B, 7.63% |
|
2,078 |
|
52,116 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
B Riley Financial, Inc., 5.25%(1) |
|
32,912 |
|
$822,142 |
|
B Riley Financial, Inc., 6.00%(1) |
|
58,706 |
|
1,532,227 |
|
B Riley Financial, Inc., 6.38%(1) |
|
120,324 |
|
3,151,286 |
|
B Riley Financial, Inc., Series B, 7.38%(1) |
|
28,515 |
|
785,018 |
|
Bank of America Corp., Series QQ, 4.25%* |
|
39,136 |
|
980,357 |
|
Bank of Hawaii Corp., Series A, 4.38% |
|
2 |
|
52 |
|
Bank OZK, Series A, 4.63%* |
|
200,000 |
|
5,000,000 |
|
Brookfield Finance I UK PLC, 4.50%
|
|
2 |
|
50 |
|
Brookfield Finance, Inc., Series 50, 4.63% (Canada)(1) |
|
13,877 |
|
352,892 |
|
Cadence Bank, Series A, 5.50% |
|
407 |
|
10,684 |
|
Capital One Financial Corp., Series J, 4.80% |
|
342 |
|
8,957 |
|
Chimera Investment Corp., Series A, 8.00%(1) |
|
193,221 |
|
4,903,949 |
|
Chimera Investment Corp., Series B, 8.00%(1) |
|
251,068 |
|
6,475,044 |
|
Chimera Investment Corp., Series C, 7.75%(1) |
|
168,450 |
|
4,324,111 |
|
Chimera Investment Corp., Series D, 8.00%(1) |
|
293,661 |
|
7,535,341 |
|
CIT Group, Inc., Series B, 5.63%(1) |
|
49,068 |
|
1,299,321 |
|
CNO Financial Group, Inc., 5.13% |
|
1,184 |
|
31,968 |
|
Compass Diversified Holdings, Series A, 7.25%(1) |
|
169,509 |
|
4,352,991 |
|
Compass Diversified Holdings, Series B, 7.88%(1) |
|
4,133 |
|
110,558 |
|
ConnectOne Bancorp, Inc., Series A, 5.25%* |
|
666 |
|
17,729 |
|
Dynex Capital, Inc., Series C, 6.90%(1) |
|
4,567 |
|
118,194 |
|
Ellington Financial, Inc., 6.75%(1) |
|
380,436 |
|
10,077,750 |
|
Enstar Group Ltd., Series D, 7.00%(1) |
|
113,004 |
|
3,309,887 |
|
Equitable Holdings, Inc., Series A, 5.25%(1) |
|
28 |
|
744 |
|
Equitable Holdings, Inc., Series C, 4.30% |
|
21 |
|
530 |
|
First Horizon Corp., Series D, 6.10%(1) |
|
8,037 |
|
213,463 |
|
First Republic Bank, Series M, 4.00%(1) |
|
114,793 |
|
2,798,653 |
|
Huntington Bancshares, Inc., Series H, 4.50% |
|
175 |
|
4,454 |
|
Invesco Mortgage Capital, Inc., Series B, 7.75%(1) |
|
160,561 |
|
4,086,277 |
|
Invesco Mortgage Capital, Inc., Series C, 7.50%(1) |
|
209,477 |
|
5,366,801 |
|
JPMorgan Chase & Co., Series JJ, 4.55% |
|
477 |
|
12,454 |
|
JPMorgan Chase & Co., Series MM, 4.20% |
|
18 |
|
453 |
|
Merchants Bancorp, Series B, 6.00%(1) |
|
15,470 |
|
406,552 |
|
Merchants Bancorp, Series C, 6.00%(1) |
|
67,537 |
|
1,798,510 |
|
MFA Financial, Inc., Series B, 7.50%(1) |
|
179,351 |
|
4,551,928 |
|
MFA Financial, Inc., Series C, 6.50%(1) |
|
411,041 |
|
9,910,198 |
|
Morgan Stanley, Series O, 4.25%* |
|
100,000 |
|
2,508,000 |
|
Navient Corp., 6.00%(1) |
|
11,680 |
|
298,658 |
|
New Residential Investment Corp., Series C, 6.38%(1) |
|
16,740 |
|
393,223 |
|
New Residential Investment Corp., Series D, 7.00% |
|
41,901 |
|
1,058,000 |
|
New York Community Capital Trust V, 6.00%(1) |
|
4,209 |
|
221,435 |
|
New York Mortgage Trust, Inc., Series B, 7.75%(1) |
|
92,128 |
|
2,339,130 |
|
|
|
|
|
|
|
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
32
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Financials (continued) |
|
|
|
|
|
New York Mortgage Trust, Inc., Series D, 8.00%(1) |
|
521,871 |
|
$13,646,927 |
|
New York Mortgage Trust, Inc., Series E, 7.88%(1) |
|
337,723 |
|
8,740,271 |
|
New York Mortgage Trust, Inc., Series F, 6.88%(1) |
|
53,891 |
|
1,342,964 |
|
Oxford Lane Capital Corp., Series 2029, 6.00% |
|
32,233 |
|
805,825 |
|
PennyMac Mortgage Investment Trust, Series A, 8.13%(1) |
|
101,802 |
|
2,740,510 |
|
PennyMac Mortgage Investment Trust, Series B, 8.00%(1) |
|
325,127 |
|
8,602,860 |
|
PennyMac Mortgage Investment Trust, Series C, 6.75%* |
|
42,754 |
|
1,085,952 |
|
Prospect Capital Corp., Series A, 5.35%(1) |
|
51,642 |
|
1,208,423 |
|
Signature Bank, Series A, 5.00% |
|
1,761 |
|
45,610 |
|
Sterling Bancorp, Series A, 6.50% |
|
6 |
|
157 |
|
Stifel Financial Corp., Series D, 4.50% |
|
40 |
|
1,020 |
|
Synovus Financial Corp., Series D, 6.30%(1) |
|
4,602 |
|
120,572 |
|
Texas Capital Bancshares, Inc., Series B, 5.75%(1) |
|
18,084 |
|
480,311 |
|
Two Harbors Investment Corp., Series B, 7.63%(1) |
|
259,443 |
|
6,688,441 |
|
Two Harbors Investment Corp., Series C, 7.25%(1) |
|
416,158 |
|
10,487,182 |
|
Valley National Bancorp, Series B, 5.50%(1) |
|
4,215 |
|
109,084 |
|
Wintrust Financial Corp., Series D, 6.50% |
|
2,793 |
|
77,869 |
|
Total Financials |
|
|
|
163,013,378 |
|
|
|
|
|
|
|
Health Care — 0.1% |
|
|
|
|
|
XOMA Corp., Series A, 8.63%(1) |
|
10,450 |
|
276,474 |
|
|
|
|
|
|
|
Industrials — 15.0% |
|
|
|
|
|
Air Lease Corp., Series A, 6.15%(1) |
|
7,593 |
|
205,315 |
|
Alta Equipment Group, Inc., Series A, 10.00%(1) |
|
10,112 |
|
285,765 |
|
Atlas Corp., Series H, 7.88% (Canada)(1) |
|
30,264 |
|
768,100 |
|
Atlas Corp., Series I, 8.00% (Canada)(1) |
|
406,004 |
|
10,892,032 |
|
Babcock & Wilcox Enterprises, Inc., 8.13%(1) |
|
343,285 |
|
9,035,261 |
|
Babcock & Wilcox Enterprises, Inc., Series A, 7.75%(1) |
|
612,524 |
|
15,435,605 |
|
CAI International, Inc., Series A, 8.50% |
|
85 |
|
2,148 |
|
CAI International, Inc., Series B, 8.50%(1) |
|
7,378 |
|
189,637 |
|
Fortress Transportation and Infrastructure Investors LLC, Series A, 8.25%(1) |
|
11,247 |
|
303,107 |
|
Fortress Transportation and Infrastructure Investors LLC, Series B, 8.00%(1) |
|
486,378 |
|
12,913,336 |
|
Pitney Bowes, Inc., 6.70%(1) |
|
275,365 |
|
6,950,212 |
|
Textainer Group Holdings Ltd., Series B, 6.25% (China)* |
|
139,066 |
|
3,621,265 |
|
Triton International Ltd., 6.88% (Bermuda)(1) |
|
147,092 |
|
3,986,193 |
|
Triton International Ltd., 7.38% (Bermuda)(1) |
|
312,162 |
|
8,537,631 |
|
Triton International Ltd., 8.00% (Bermuda)(1) |
|
31,871 |
|
885,376 |
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Industrials (continued) |
|
|
|
|
|
Triton International Ltd., Series E, 5.75% (Bermuda) |
|
179,570 |
|
$4,794,519 |
|
Total Industrials |
|
|
|
78,805,502 |
|
|
|
|
|
|
|
Real Estate — 35.1%† |
|
|
|
|
|
American Finance Trust, Inc., Series A, 7.50%(1) |
|
796,304 |
|
21,237,428 |
|
American Finance Trust, Inc., Series C, 7.38%(1) |
|
31,010 |
|
820,835 |
|
Armada Hoffler Properties, Inc., Series A, 6.75%(1) |
|
31,812 |
|
886,282 |
|
Braemar Hotels & Resorts, Inc., Series B, 5.50%(1) |
|
398,748 |
|
8,872,143 |
|
Braemar Hotels & Resorts, Inc., Series D, 8.25%(1) |
|
32,171 |
|
854,484 |
|
Brookfield Property Partners LP, Series A, 5.75%(1) |
|
88,926 |
|
2,170,684 |
|
Brookfield Property Partners LP, Series A-1, 6.50% |
|
3,642 |
|
93,599 |
|
Brookfield Property Partners LP, Series A2, 6.38% |
|
10,966 |
|
284,458 |
|
City Office REIT, Inc., Series A, 6.63%(1) |
|
6,055 |
|
153,373 |
|
CTO Realty Growth, Inc., Series A, 6.38%(1) |
|
59,869 |
|
1,547,614 |
|
DiamondRock Hospitality Co., 8.25%(1) |
|
251,215 |
|
7,126,970 |
|
DigitalBridge Group, Inc., Series H, 7.13%(1) |
|
430,121 |
|
10,955,182 |
|
DigitalBridge Group, Inc., Series I, 7.15%(1) |
|
583,199 |
|
15,163,174 |
|
DigitalBridge Group, Inc., Series J, 7.13%(1) |
|
124,352 |
|
3,266,727 |
|
Diversified Healthcare Trust, 5.63%(1) |
|
9,589 |
|
232,533 |
|
Diversified Healthcare Trust, 6.25%(1) |
|
101,275 |
|
2,550,104 |
|
EPR Properties, Series C, 5.75%(1) |
|
93,434 |
|
2,447,036 |
|
EPR Properties, Series E, 9.00%(1) |
|
479,316 |
|
17,274,549 |
|
EPR Properties, Series G, 5.75%(1) |
|
210,653 |
|
5,498,043 |
|
Equity Commonwealth, Series D, 6.50%(1) |
|
251,799 |
|
7,838,503 |
|
Global Net Lease, Inc., Series A, 7.25%(1) |
|
212,829 |
|
5,635,712 |
|
Global Net Lease, Inc., Series B, 6.88%(1) |
|
146,265 |
|
4,058,854 |
|
Healthcare Trust, Inc., Series B, 7.13%* |
|
135,630 |
|
3,424,657 |
|
iStar, Inc., Series I, 7.50%(1) |
|
245,229 |
|
6,351,431 |
|
Lexington Realty Trust, Series C, 6.50%(1) |
|
14,240 |
|
907,017 |
|
Monmouth Real Estate Investment Corp., Series C, 6.13%(1) |
|
89,694 |
|
2,288,094 |
|
Pebblebrook Hotel Trust, Series E, 6.38% |
|
2,020 |
|
50,803 |
|
Pebblebrook Hotel Trust, Series F, 6.30%(1) |
|
156,172 |
|
3,938,658 |
|
Pebblebrook Hotel Trust, Series G, 6.38%(1) |
|
31,450 |
|
849,150 |
|
Pebblebrook Hotel Trust, Series H, 5.70%(1) |
|
22,385 |
|
582,682 |
|
RLJ Lodging Trust, Series A, 1.95%(1) |
|
787,794 |
|
22,830,270 |
|
RPT Realty, Series D, 7.25%(1) |
|
143,702 |
|
8,453,989 |
|
Saul Centers, Inc., Series E, 6.00%(1) |
|
296,319 |
|
7,988,760 |
|
Summit Hotel Properties, Inc., Series E, 6.25%(1) |
|
112,568 |
|
2,986,429 |
|
Summit Hotel Properties, Inc., Series F, 5.88%* |
|
32,233 |
|
829,194 |
|
Sunstone Hotel Investors, Inc., Series I, 5.70%(1) |
|
34,645 |
|
884,833 |
|
UMH Properties, Inc., Series C, 6.75%(1) |
|
23,043 |
|
605,800 |
|
Urstadt Biddle Properties, Inc., Series K, 5.88%(1) |
|
125,650 |
|
3,338,521 |
|
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
33
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (continued) |
|
|
|
|
|
Vornado Realty Trust, Series L, 5.40% |
|
2 |
|
$52 |
|
Total Real Estate |
|
|
|
185,278,627 |
|
|
|
|
|
|
|
Utilities — 20.0% |
|
|
|
|
|
American Electric Power Co., Inc., 6.13%(1) |
|
75,005 |
|
3,729,999 |
|
Dominion Energy, Inc., Series A, 7.25%(1) |
|
176,235 |
|
17,653,460 |
|
DTE Energy Co., 6.25%(1) |
|
131,546 |
|
6,640,442 |
|
Essential Utilities, Inc., 6.00%(1) |
|
5,427 |
|
313,464 |
|
NextEra Energy, Inc., 4.87% |
|
1 |
|
63 |
|
SCE Trust II, 5.10% |
|
2,854 |
|
71,778 |
|
SCE Trust III, Series H, 5.75%(1) |
|
824,507 |
|
21,247,545 |
|
SCE Trust IV, Series J, 5.38%(1) |
|
98,900 |
|
2,478,434 |
|
SCE Trust V, Series K, 5.45%(1) |
|
38,554 |
|
997,778 |
|
SCE Trust VI, 5.00%(1) |
|
541,615 |
|
13,540,375 |
|
South Jersey Industries, Inc., 5.63%(1) |
|
4,226 |
|
113,003 |
|
South Jersey Industries, Inc., 8.75%(1) |
|
442,435 |
|
22,488,971 |
|
Southern Co., Series 2019, 6.75%(1) |
|
285,160 |
|
14,597,340 |
|
UGI Corp., 7.25%(1) |
|
17,055 |
|
1,731,594 |
|
Total Utilities |
|
|
|
105,604,246 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 129.6% |
|
|
|
|
|
(Cost $638,245,372) |
|
|
|
683,032,891 |
|
Liabilities in Excess of Other Assets — (29.6)% |
|
|
|
(155,912,076 |
) |
Net Assets — 100.0% |
|
|
|
$527,120,815 |
|
*Non-income producing security.
†Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at October 31, 2021 was $358,704,332.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Preferred Stocks |
|
$683,032,891 |
|
$— |
|
$— |
|
$683,032,891 |
Total |
|
$683,032,891 |
|
$— |
|
$— |
|
$683,032,891 |
The accompanying notes are an integral part of these financial statements.
34
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 98.9% |
|
|
|
|
|
|
|
|
|
|
|
Health Care — 98.4% |
|
|
|
|
|
4D Molecular Therapeutics, Inc.*(1) |
|
7,257 |
|
$174,386 |
|
89bio, Inc.*(1) |
|
10,877 |
|
191,435 |
|
AbCellera Biologics, Inc. (Canada)*(1) |
|
8,664 |
|
136,111 |
|
AC Immune SA (Switzerland)* |
|
28,694 |
|
184,789 |
|
Adaptimmune Therapeutics PLC*(2) |
|
47,350 |
|
240,064 |
|
Adverum Biotechnologies, Inc.* |
|
57,768 |
|
131,133 |
|
Affimed NV (Germany)* |
|
25,422 |
|
172,870 |
|
Agenus, Inc.*(1) |
|
41,358 |
|
158,815 |
|
Akebia Therapeutics, Inc.* |
|
58,243 |
|
167,157 |
|
Akero Therapeutics, Inc.* |
|
7,146 |
|
153,568 |
|
Albireo Pharma, Inc.* |
|
6,197 |
|
181,076 |
|
Aldeyra Therapeutics, Inc.*(1) |
|
17,296 |
|
157,394 |
|
Alector, Inc.*(1) |
|
10,039 |
|
218,248 |
|
Aligos Therapeutics, Inc.* |
|
6,814 |
|
108,547 |
|
Allakos, Inc.* |
|
2,340 |
|
235,357 |
|
Allogene Therapeutics, Inc.* |
|
8,379 |
|
144,454 |
|
Allovir, Inc.*(1) |
|
9,359 |
|
224,710 |
|
ALX Oncology Holdings, Inc.*(1) |
|
3,526 |
|
197,597 |
|
AnaptysBio, Inc.* |
|
8,537 |
|
280,867 |
|
Annexon, Inc.* |
|
9,043 |
|
147,491 |
|
Annovis Bio, Inc.*(1) |
|
2,387 |
|
63,303 |
|
Applied Molecular Transport, Inc.*(1) |
|
4,332 |
|
97,557 |
|
Applied Therapeutics, Inc.*(1) |
|
8,790 |
|
128,949 |
|
Arcturus Therapeutics Holdings, Inc.*(1) |
|
5,913 |
|
265,789 |
|
Arcus Biosciences, Inc.*(1) |
|
8,664 |
|
289,724 |
|
Arcutis Biotherapeutics, Inc.* |
|
7,304 |
|
154,699 |
|
Ardelyx, Inc.* |
|
28,694 |
|
34,720 |
|
Arena Pharmaceuticals, Inc.* |
|
3,178 |
|
182,385 |
|
Arrowhead Pharmaceuticals, Inc.* |
|
2,403 |
|
153,359 |
|
Arvinas, Inc.* |
|
2,530 |
|
219,047 |
|
Ascendis Pharma A/S (Denmark)*(2) |
|
1,581 |
|
239,695 |
|
Atara Biotherapeutics, Inc.* |
|
14,497 |
|
224,414 |
|
Atea Pharmaceuticals, Inc.*(1) |
|
8,932 |
|
103,968 |
|
Athenex, Inc.*(1) |
|
41,437 |
|
105,250 |
|
Athira Pharma, Inc.* |
|
10,956 |
|
143,195 |
|
Atreca, Inc. Class A*(1) |
|
20,473 |
|
106,050 |
|
Avidity Biosciences, Inc.* |
|
8,189 |
|
184,252 |
|
Avrobio, Inc.* |
|
22,244 |
|
125,011 |
|
Axsome Therapeutics, Inc.*(1) |
|
3,146 |
|
121,121 |
|
Bicycle Therapeutics PLC (United Kingdom)*(2) |
|
7,130 |
|
366,482 |
|
BioAtla, Inc.*(1) |
|
5,328 |
|
155,737 |
|
Bioxcel Therapeutics, Inc.*(1) |
|
5,549 |
|
161,698 |
|
Black Diamond Therapeutics, Inc.* |
|
16,600 |
|
127,156 |
|
Bolt Biotherapeutics, Inc.*(1) |
|
13,027 |
|
170,523 |
|
Bridgebio Pharma, Inc.*(1) |
|
3,336 |
|
164,732 |
|
C4 Therapeutics, Inc.* |
|
5,043 |
|
224,010 |
|
Cara Therapeutics, Inc.* |
|
14,798 |
|
249,050 |
|
Cardiff Oncology, Inc.* |
|
25,770 |
|
151,270 |
|
Cassava Sciences, Inc.*(1) |
|
2,798 |
|
120,678 |
|
Celldex Therapeutics, Inc.* |
|
7,865 |
|
334,577 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
CEL-SCI Corp.*(1) |
|
9,960 |
|
$111,552 |
|
Cerevel Therapeutics Holdings, Inc.* |
|
15,667 |
|
636,864 |
|
ChemoCentryx, Inc.*(1) |
|
16,142 |
|
561,903 |
|
Chimerix, Inc.* |
|
25,153 |
|
131,802 |
|
Chinook Therapeutics, Inc.* |
|
12,632 |
|
135,668 |
|
Clovis Oncology, Inc.*(1) |
|
36,410 |
|
157,655 |
|
Codexis, Inc.* |
|
9,865 |
|
343,006 |
|
Codiak Biosciences, Inc.* |
|
8,316 |
|
119,834 |
|
Cogent Biosciences, Inc.*(1) |
|
23,335 |
|
197,881 |
|
Compass Pathways PLC (United Kingdom)*(2) |
|
5,439 |
|
229,526 |
|
Compugen Ltd. (Israel)*(1) |
|
24,979 |
|
162,114 |
|
Cortexyme, Inc.*(1) |
|
4,474 |
|
59,057 |
|
Crinetics Pharmaceuticals, Inc.* |
|
11,225 |
|
279,839 |
|
CRISPR Therapeutics AG (Switzerland)* |
|
1,644 |
|
150,147 |
|
Cue Biopharma, Inc.*(1) |
|
15,636 |
|
190,916 |
|
Cullinan Oncology, Inc.*(1) |
|
6,925 |
|
153,873 |
|
CureVac NV (Germany)* |
|
2,150 |
|
86,151 |
|
Curis, Inc.* |
|
26,339 |
|
171,203 |
|
Cytokinetics, Inc.* |
|
9,723 |
|
339,430 |
|
CytomX Therapeutics, Inc.* |
|
29,358 |
|
174,093 |
|
Denali Therapeutics, Inc.* |
|
2,830 |
|
136,830 |
|
Dicerna Pharmaceuticals, Inc.* |
|
5,581 |
|
116,141 |
|
Dynavax Technologies Corp.* |
|
23,572 |
|
470,733 |
|
Editas Medicine, Inc.* |
|
5,518 |
|
202,621 |
|
Essa Pharma, Inc. (Canada)* |
|
7,826 |
|
71,217 |
|
Evelo Biosciences, Inc.*(1) |
|
13,011 |
|
115,147 |
|
Fate Therapeutics, Inc.* |
|
2,356 |
|
126,753 |
|
FibroGen, Inc.* |
|
8,237 |
|
91,595 |
|
Forma Therapeutics Holdings, Inc.* |
|
8,759 |
|
162,567 |
|
Forte Biosciences, Inc.* |
|
5,233 |
|
14,181 |
|
Frequency Therapeutics, Inc.*(1) |
|
21,280 |
|
133,638 |
|
G1 Therapeutics, Inc.*(1) |
|
9,343 |
|
135,380 |
|
Gamida Cell Ltd. (Israel)* |
|
33,121 |
|
132,153 |
|
Gemini Therapeutics, Inc.* |
|
18,703 |
|
71,071 |
|
Geron Corp.* |
|
146,618 |
|
225,792 |
|
Gossamer Bio, Inc.*(1) |
|
24,110 |
|
299,446 |
|
Gracell Biotechnologies, Inc. (China)*(2) |
|
14,608 |
|
156,306 |
|
Gritstone bio, Inc.* |
|
20,837 |
|
228,999 |
|
Harpoon Therapeutics, Inc.* |
|
13,770 |
|
86,200 |
|
Homology Medicines, Inc.*(1) |
|
28,773 |
|
164,869 |
|
Humanigen, Inc.*(1) |
|
10,355 |
|
74,349 |
|
Ideaya Biosciences, Inc.* |
|
9,675 |
|
207,432 |
|
IGM Biosciences, Inc.* |
|
2,213 |
|
103,834 |
|
I-Mab (China)*(2) |
|
2,925 |
|
180,736 |
|
Immatics NV (Germany)* |
|
17,438 |
|
249,887 |
|
ImmunityBio, Inc.*(1) |
|
14,244 |
|
111,531 |
|
Immunocore Holdings PLC (United Kingdom)*(2) |
|
5,359 |
|
206,429 |
|
ImmunoGen, Inc.* |
|
32,252 |
|
194,480 |
|
Immunovant, Inc.* |
|
19,794 |
|
159,144 |
|
Inhibrx, Inc.*(1) |
|
8,695 |
|
349,452 |
|
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
35
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
Inovio Pharmaceuticals, Inc.*(1) |
|
23,857 |
|
$170,339 |
|
Intellia Therapeutics, Inc.* |
|
2,419 |
|
321,679 |
|
Iovance Biotherapeutics, Inc.* |
|
8,901 |
|
216,383 |
|
iTeos Therapeutics, Inc.* |
|
7,731 |
|
206,804 |
|
IVERIC bio, Inc.* |
|
34,291 |
|
606,951 |
|
Kadmon Holdings, Inc.* |
|
51,476 |
|
486,448 |
|
KalVista Pharmaceuticals, Inc.* |
|
7,494 |
|
134,742 |
|
Karuna Therapeutics, Inc.* |
|
1,644 |
|
230,785 |
|
Keros Therapeutics, Inc.* |
|
4,016 |
|
167,548 |
|
Kodiak Sciences, Inc.*(1) |
|
2,498 |
|
292,491 |
|
Kronos Bio, Inc.*(1) |
|
8,126 |
|
133,754 |
|
Krystal Biotech, Inc.* |
|
3,288 |
|
164,696 |
|
Kura Oncology, Inc.* |
|
9,091 |
|
149,274 |
|
Kymera Therapeutics, Inc.* |
|
4,205 |
|
247,590 |
|
Legend Biotech Corp.*(1)(2) |
|
5,265 |
|
276,413 |
|
Lexicon Pharmaceuticals, Inc.*(1) |
|
44,378 |
|
234,760 |
|
MacroGenics, Inc.* |
|
10,213 |
|
199,460 |
|
Madrigal Pharmaceuticals, Inc.* |
|
1,976 |
|
153,634 |
|
Magenta Therapeutics, Inc.* |
|
18,703 |
|
119,699 |
|
Marinus Pharmaceuticals, Inc.*(1) |
|
11,335 |
|
130,353 |
|
MEI Pharma, Inc.* |
|
64,819 |
|
182,790 |
|
MeiraGTx Holdings PLC* |
|
14,007 |
|
301,151 |
|
Mersana Therapeutics, Inc.* |
|
14,165 |
|
121,252 |
|
Merus NV (Netherlands)* |
|
9,391 |
|
263,418 |
|
Mirati Therapeutics, Inc.* |
|
1,249 |
|
236,086 |
|
Mirum Pharmaceuticals, Inc.* |
|
11,984 |
|
190,306 |
|
Molecular Templates, Inc.* |
|
23,809 |
|
124,283 |
|
Morphic Holding, Inc.* |
|
3,273 |
|
188,198 |
|
Myovant Sciences Ltd.*(1) |
|
9,755 |
|
213,439 |
|
NGM Biopharmaceuticals, Inc.* |
|
10,924 |
|
201,766 |
|
Nkarta, Inc.*(1) |
|
7,921 |
|
124,201 |
|
Novavax, Inc.*(1) |
|
1,028 |
|
152,997 |
|
Nurix Therapeutics, Inc.* |
|
7,193 |
|
240,606 |
|
Nuvation Bio, Inc.*(1) |
|
18,640 |
|
170,929 |
|
Olema Pharmaceuticals, Inc.*(1) |
|
7,114 |
|
192,078 |
|
Orchard Therapeutics PLC (United Kingdom)*(1)(2) |
|
42,259 |
|
81,137 |
|
ORIC Pharmaceuticals, Inc.* |
|
10,782 |
|
157,848 |
|
Paratek Pharmaceuticals, Inc.*(1) |
|
20,379 |
|
102,303 |
|
Passage Bio, Inc.* |
|
14,687 |
|
128,071 |
|
Phathom Pharmaceuticals, Inc.* |
|
6,150 |
|
144,710 |
|
Pliant Therapeutics, Inc.* |
|
6,466 |
|
103,003 |
|
PMV Pharmaceuticals, Inc.* |
|
6,229 |
|
147,129 |
|
Poseida Therapeutics, Inc.* |
|
23,082 |
|
147,956 |
|
Praxis Precision Medicines, Inc.*(1) |
|
10,260 |
|
213,408 |
|
Precigen, Inc.*(1) |
|
30,149 |
|
145,620 |
|
Precision BioSciences, Inc.* |
|
18,308 |
|
173,743 |
|
Prelude Therapeutics, Inc.*(1) |
|
6,292 |
|
110,613 |
|
Prometheus Biosciences, Inc.* |
|
9,043 |
|
288,110 |
|
Protagonist Therapeutics, Inc.* |
|
5,170 |
|
161,097 |
|
Prothena Corp. PLC (Ireland)* |
|
4,458 |
|
246,750 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
Provention Bio, Inc.*(1) |
|
23,667 |
|
$148,155 |
|
RAPT Therapeutics, Inc.* |
|
5,312 |
|
167,753 |
|
Reata Pharmaceuticals, Inc. Class A*(1) |
|
1,486 |
|
142,671 |
|
REGENXBIO, Inc.* |
|
5,660 |
|
200,590 |
|
Relay Therapeutics, Inc.* |
|
6,213 |
|
206,582 |
|
Relmada Therapeutics, Inc.* |
|
6,703 |
|
157,319 |
|
Repare Therapeutics, Inc. (Canada)*(1) |
|
6,482 |
|
162,115 |
|
Replimune Group, Inc.* |
|
6,134 |
|
181,014 |
|
REVOLUTION Medicines, Inc.*(1) |
|
6,150 |
|
180,995 |
|
Rhythm Pharmaceuticals, Inc.* |
|
10,229 |
|
117,736 |
|
Rocket Pharmaceuticals, Inc.*(1) |
|
4,506 |
|
133,873 |
|
Rubius Therapeutics, Inc.*(1) |
|
7,478 |
|
106,262 |
|
Sangamo Therapeutics, Inc.* |
|
18,086 |
|
146,858 |
|
Scholar Rock Holding Corp.*(1) |
|
6,624 |
|
174,211 |
|
Selecta Biosciences, Inc.* |
|
42,433 |
|
152,334 |
|
Seres Therapeutics, Inc.* |
|
10,292 |
|
62,575 |
|
Sesen Bio, Inc.* |
|
50,022 |
|
60,527 |
|
Shattuck Labs, Inc.*(1) |
|
7,462 |
|
144,017 |
|
Silverback Therapeutics, Inc.* |
|
6,371 |
|
54,982 |
|
Sorrento Therapeutics, Inc.*(1) |
|
22,465 |
|
154,110 |
|
SpringWorks Therapeutics, Inc.* |
|
2,640 |
|
177,038 |
|
Stoke Therapeutics, Inc.* |
|
5,502 |
|
125,611 |
|
Sutro Biopharma, Inc.* |
|
11,067 |
|
223,111 |
|
Syndax Pharmaceuticals, Inc.* |
|
11,241 |
|
218,637 |
|
Syros Pharmaceuticals, Inc.* |
|
36,093 |
|
149,064 |
|
Tarsus Pharmaceuticals, Inc.* |
|
6,008 |
|
166,782 |
|
Taysha Gene Therapies, Inc.*(1) |
|
8,268 |
|
129,312 |
|
TCR2 Therapeutics, Inc.* |
|
11,762 |
|
74,101 |
|
TG Therapeutics, Inc.*(1) |
|
5,549 |
|
173,240 |
|
Turning Point Therapeutics, Inc.* |
|
2,735 |
|
113,721 |
|
uniQure NV (Netherlands)* |
|
6,087 |
|
185,471 |
|
Vaxart, Inc.*(1) |
|
24,331 |
|
163,261 |
|
Verastem, Inc.* |
|
44,947 |
|
116,862 |
|
Viking Therapeutics, Inc.*(1) |
|
34,971 |
|
203,531 |
|
Vir Biotechnology, Inc.* |
|
4,664 |
|
175,973 |
|
Vor BioPharma, Inc.*(1) |
|
9,533 |
|
149,954 |
|
WaVe Life Sciences Ltd.* |
|
29,090 |
|
133,523 |
|
XBiotech, Inc. |
|
14,424 |
|
211,456 |
|
Xencor, Inc.* |
|
5,691 |
|
225,136 |
|
Xenon Pharmaceuticals, Inc. (Canada)* |
|
11,494 |
|
358,038 |
|
Zentalis Pharmaceuticals, Inc.* |
|
3,794 |
|
305,189 |
|
ZIOPHARM Oncology, Inc.* |
|
72,060 |
|
108,090 |
|
Zymeworks, Inc. (Canada)* |
|
5,597 |
|
124,533 |
|
Total Health Care |
|
|
|
34,911,011 |
|
|
|
|
|
| |
Materials — 0.5% |
|
|
|
| |
Amyris, Inc.* |
|
13,580 |
|
201,256 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $43,674,281) |
|
|
|
35,112,267 |
|
|
|
|
|
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
36
Security Description |
|
Shares |
|
Value |
|
|
|
|
| ||
SECURITIES LENDING COLLATERAL — 9.1% |
|
|
| ||
Money Market Fund — 9.1% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(3)(4) |
|
|
|
|
|
(Cost $3,212,074) |
|
3,212,074 |
|
$3,212,074 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 108.0% |
|
|
|
|
|
(Cost $46,886,355) |
|
|
|
38,324,341 |
|
Liabilities in Excess of Other Assets — (8.0)% |
|
|
|
(2,833,908 |
) |
Net Assets — 100.0% |
|
|
|
$35,490,433 |
|
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $8,901,218; total market value of collateral held by the Fund was $9,251,813. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $6,039,739.
(2)American Depositary Receipts.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of October 31, 2021.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$35,112,267 |
|
$— |
|
$— |
|
$35,112,267 |
Money Market Fund |
|
3,212,074 |
|
— |
|
— |
|
3,212,074 |
Total |
|
$38,324,341 |
|
$— |
|
$— |
|
$38,324,341 |
The accompanying notes are an integral part of these financial statements.
37
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 97.9% |
|
|
|
|
|
|
|
|
|
|
|
Health Care — 97.9% |
|
|
|
|
|
ACADIA Pharmaceuticals, Inc.* |
|
16,785 |
|
$301,291 |
|
Acceleron Pharma, Inc.* |
|
3,490 |
|
607,888 |
|
ADC Therapeutics SA (Switzerland)* |
|
19,728 |
|
571,915 |
|
Agios Pharmaceuticals, Inc.*(1) |
|
7,849 |
|
368,903 |
|
Alnylam Pharmaceuticals, Inc.* |
|
2,745 |
|
437,992 |
|
Amgen, Inc. |
|
1,891 |
|
391,380 |
|
Amicus Therapeutics, Inc.* |
|
42,669 |
|
448,024 |
|
Apellis Pharmaceuticals, Inc.* |
|
7,052 |
|
216,778 |
|
BeiGene Ltd. (China)*(2) |
|
1,328 |
|
475,052 |
|
BioCryst Pharmaceuticals, Inc.*(1) |
|
28,090 |
|
419,384 |
|
Biogen, Inc.* |
|
1,131 |
|
301,615 |
|
Biohaven Pharmaceutical Holding Co., Ltd.* |
|
4,558 |
|
648,695 |
|
BioMarin Pharmaceutical, Inc.* |
|
5,544 |
|
439,251 |
|
BioNTech SE (Germany)*(2) |
|
2,073 |
|
577,807 |
|
Bluebird Bio, Inc.* |
|
13,636 |
|
319,219 |
|
Blueprint Medicines Corp.* |
|
5,302 |
|
596,422 |
|
Deciphera Pharmaceuticals, Inc.* |
|
12,686 |
|
423,586 |
|
Enanta Pharmaceuticals, Inc.* |
|
9,599 |
|
824,074 |
|
Epizyme, Inc.*(1) |
|
51,919 |
|
218,060 |
|
Esperion Therapeutics, Inc.*(1) |
|
17,773 |
|
158,891 |
|
Exelixis, Inc.* |
|
20,097 |
|
432,286 |
|
Gilead Sciences, Inc. |
|
6,710 |
|
435,345 |
|
Global Blood Therapeutics, Inc.* |
|
11,358 |
|
414,794 |
|
Halozyme Therapeutics, Inc.* |
|
10,551 |
|
401,677 |
|
Harmony Biosciences Holdings, Inc.*(1) |
|
14,291 |
|
592,648 |
|
Incyte Corp.* |
|
5,536 |
|
370,801 |
|
Insmed, Inc.*(1) |
|
15,261 |
|
460,119 |
|
Intercept Pharmaceuticals, Inc.*(1) |
|
21,387 |
|
360,585 |
|
Intra-Cellular Therapies, Inc.*(1) |
|
10,703 |
|
460,978 |
|
Ionis Pharmaceuticals, Inc.* |
|
12,102 |
|
385,691 |
|
Ironwood Pharmaceuticals, Inc.*(1) |
|
40,695 |
|
519,675 |
|
Karyopharm Therapeutics, Inc.*(1) |
|
44,364 |
|
242,227 |
|
Kiniksa Pharmaceuticals Ltd. Class A*(1) |
|
30,009 |
|
311,794 |
|
Ligand Pharmaceuticals, Inc.*(1) |
|
3,714 |
|
542,021 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Health Care (continued) |
|
|
|
|
|
Moderna, Inc.* |
|
2,208 |
|
$762,224 |
|
Nektar Therapeutics* |
|
25,864 |
|
392,098 |
|
Neurocrine Biosciences, Inc.* |
|
4,594 |
|
484,254 |
|
Omeros Corp.*(1) |
|
29,436 |
|
184,564 |
|
PTC Therapeutics, Inc.* |
|
10,416 |
|
395,079 |
|
Radius Health, Inc.* |
|
24,375 |
|
526,500 |
|
Regeneron Pharmaceuticals, Inc.* |
|
861 |
|
550,988 |
|
Rigel Pharmaceuticals, Inc.* |
|
104,662 |
|
351,664 |
|
Sage Therapeutics, Inc.* |
|
6,280 |
|
253,461 |
|
Sarepta Therapeutics, Inc.* |
|
5,311 |
|
420,259 |
|
Seagen, Inc.* |
|
2,925 |
|
515,765 |
|
Theravance Biopharma, Inc.*(1) |
|
24,402 |
|
189,604 |
|
Travere Therapeutics, Inc.* |
|
29,543 |
|
851,134 |
|
Ultragenyx Pharmaceutical, Inc.* |
|
4,450 |
|
373,444 |
|
United Therapeutics Corp.* |
|
2,548 |
|
486,056 |
|
Vanda Pharmaceuticals, Inc.*(1) |
|
23,693 |
|
405,624 |
|
Vertex Pharmaceuticals, Inc.* |
|
2,350 |
|
434,585 |
|
Y-mAbs Therapeutics, Inc.* |
|
12,578 |
|
308,916 |
|
Zai Lab Ltd. (China)*(1)(2) |
|
2,692 |
|
281,045 |
|
Total Health Care |
|
|
|
22,844,132 |
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
(Cost $25,625,716) |
|
|
|
22,844,132 |
|
|
|
|
| ||
SECURITIES LENDING COLLATERAL — 7.4% |
|
|
| ||
Money Market Fund — 7.4% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(3)(4) |
|
|
|
|
|
(Cost $1,727,478) |
|
1,727,478 |
|
$1,727,478 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 105.3% |
|
|
|
|
|
(Cost $27,353,194) |
|
|
|
24,571,610 |
|
Liabilities in Excess of Other Assets — (5.3)% |
|
|
|
(1,246,401 |
) |
Net Assets — 100.0% |
|
|
|
$23,325,209 |
|
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $4,496,529; total market value of collateral held by the Fund was $4,697,604. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $2,970,126.
(2)American Depositary Receipts.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of October 31, 2021.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$22,844,132 |
|
$— |
|
$— |
|
$22,844,132 |
Money Market Fund |
|
1,727,478 |
|
— |
|
— |
|
1,727,478 |
Total |
|
$24,571,610 |
|
$— |
|
$— |
|
$24,571,610 |
The accompanying notes are an integral part of these financial statements.
38
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS — 41.2% |
|
|
|
|
| ||
|
|
|
|
|
| ||
Communication Services — 3.2% |
|
|
|
|
| ||
Cars.com, Inc., 6.38%, 11/01/28(1) |
|
$45,000 |
|
$47,153 |
| ||
CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 03/01/30(1) |
|
25,000 |
|
25,844 |
| ||
CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 08/15/30(1) |
|
40,000 |
|
40,765 |
| ||
Cincinnati Bell, Inc., 7.00%, 07/15/24(1) |
|
29,000 |
|
29,544 |
| ||
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(1) |
|
15,000 |
|
15,405 |
| ||
CommScope, Inc., 7.13%, 07/01/28(1) |
|
30,000 |
|
29,634 |
| ||
CommScope, Inc., 4.75%, 09/01/29(1) |
|
15,000 |
|
14,737 |
| ||
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 08/15/26(1) |
|
25,000 |
|
14,175 |
| ||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.88%, 08/15/27(1) |
|
5,000 |
|
5,189 |
| ||
Frontier Communications Corp., 6.75%, 05/01/29(1) |
|
45,000 |
|
46,350 |
| ||
iHeartCommunications, Inc., 8.38%, 05/01/27 |
|
29,008 |
|
30,930 |
| ||
Level 3 Financing, Inc., 4.25%, 07/01/28(1) |
|
15,000 |
|
14,849 |
| ||
Level 3 Financing, Inc., 3.63%, 01/15/29(1) |
|
25,000 |
|
23,686 |
| ||
Live Nation Entertainment, Inc., 4.75%, 10/15/27(1) |
|
35,000 |
|
35,744 |
| ||
Mav Acquisition Corp., 8.00%, 08/01/29(1) |
|
30,000 |
|
29,227 |
| ||
Nexstar Media, Inc., 4.75%, 11/01/28(1) |
|
20,000 |
|
20,458 |
| ||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(1) |
|
5,000 |
|
4,888 |
| ||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 02/15/28(1) |
|
5,000 |
|
4,809 |
| ||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 10.75%, 06/01/28(1) |
|
20,000 |
|
22,031 |
| ||
Radiate Holdco LLC / Radiate Finance, Inc.,
|
|
5,000 |
|
5,086 |
| ||
Radiate Holdco LLC / Radiate Finance, Inc.,
|
|
40,000 |
|
40,061 |
| ||
ROBLOX Corp., 3.88%, 05/01/30(1) |
|
5,000 |
|
4,988 |
| ||
T-Mobile USA, Inc., 3.88%, 04/15/30 |
|
55,000 |
|
60,177 |
| ||
TripAdvisor, Inc., 7.00%, 07/15/25(1) |
|
25,000 |
|
26,469 |
| ||
Twitter, Inc., 3.88%, 12/15/27(1) |
|
55,000 |
|
57,912 |
| ||
Total Communication Services |
|
|
|
650,111 |
| ||
|
|
|
| ||||
Consumer Discretionary — 5.5% |
|
|
| ||||
Adtalem Global Education, Inc., 5.50%, 03/01/28(1) |
|
35,000 |
|
35,394 |
| ||
Ambience Merger Sub, Inc., 4.88%, 07/15/28(1) |
|
10,000 |
|
9,831 |
| ||
Ambience Merger Sub, Inc., 7.13%, 07/15/29(1) |
|
40,000 |
|
38,608 |
| ||
Brunswick Corp., 2.40%, 08/18/31 |
|
37,000 |
|
35,683 |
| ||
Caesars Entertainment, Inc., 6.25%, 07/01/25(1) |
|
10,000 |
|
10,531 |
| ||
Caesars Entertainment, Inc., 8.13%, 07/01/27(1) |
|
5,000 |
|
5,606 |
| ||
Caesars Entertainment, Inc., 4.63%, 10/15/29(1) |
|
25,000 |
|
25,151 |
| ||
Carnival Corp., 7.63%, 03/01/26(1) |
|
50,000 |
|
52,742 |
| ||
Carriage Services, Inc., 4.25%, 05/15/29(1) |
|
45,000 |
|
45,135 |
| ||
Carvana Co., 5.63%, 10/01/25(1) |
|
30,000 |
|
30,675 |
| ||
Carvana Co., 5.88%, 10/01/28(1) |
|
25,000 |
|
25,469 |
| ||
Clarios Global LP / Clarios US Finance Co.,
|
|
45,000 |
|
47,858 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Consumer Discretionary (continued) |
|
|
|
|
| ||
Cooper-Standard Automotive, Inc., 13.00%, 06/01/24(1) |
|
$20,000 |
|
$21,732 |
| ||
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(1) |
|
20,000 |
|
19,750 |
| ||
Downstream Development Authority of the
|
|
31,000 |
|
32,124 |
| ||
Ford Motor Co., 9.00%, 04/22/25 |
|
34,000 |
|
40,927 |
| ||
Ford Motor Co., 4.75%, 01/15/43 |
|
20,000 |
|
21,873 |
| ||
Gap, Inc. (The), 3.88%, 10/01/31(1) |
|
30,000 |
|
29,437 |
| ||
Golden Nugget, Inc., 8.75%, 10/01/25(1) |
|
25,000 |
|
26,046 |
| ||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 06/01/29(1) |
|
25,000 |
|
25,525 |
| ||
M/I Homes, Inc., 4.95%, 02/01/28 |
|
55,000 |
|
57,269 |
| ||
Metis Merger Sub LLC, 6.50%, 05/15/29(1) |
|
25,000 |
|
24,788 |
| ||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(1) |
|
10,000 |
|
10,762 |
| ||
Michaels Cos Inc. (The), 7.88%, 05/01/29(1) |
|
10,000 |
|
10,115 |
| ||
Mohegan Gaming & Entertainment, 8.00%, 02/01/26(1) |
|
30,000 |
|
30,975 |
| ||
NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/26(1) |
|
45,000 |
|
47,320 |
| ||
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.63%, 09/01/29(1) |
|
50,000 |
|
50,937 |
| ||
PulteGroup, Inc., 7.88%, 06/15/32 |
|
25,000 |
|
36,076 |
| ||
PulteGroup, Inc., 6.38%, 05/15/33 |
|
30,000 |
|
39,502 |
| ||
Royal Caribbean Cruises Ltd., 4.25%, 07/01/26(1) |
|
10,000 |
|
9,712 |
| ||
Royal Caribbean Cruises Ltd., 5.50%, 08/31/26(1) |
|
20,000 |
|
20,400 |
| ||
Royal Caribbean Cruises Ltd., 5.50%, 04/01/28(1) |
|
5,000 |
|
5,094 |
| ||
Scientific Games International, Inc., 8.25%, 03/15/26(1) |
|
25,000 |
|
26,531 |
| ||
Seaworld Parks & Entertainment, Inc., 5.25%, 08/15/29(1) |
|
30,000 |
|
30,600 |
| ||
Station Casinos LLC, 4.50%, 02/15/28(1) |
|
25,000 |
|
25,219 |
| ||
Tenneco, Inc., 5.13%, 04/15/29(1) |
|
45,000 |
|
44,663 |
| ||
Under Armour, Inc., 3.25%, 06/15/26 |
|
30,000 |
|
30,788 |
| ||
Weekley Homes LLC / Weekley Finance Corp., 4.88%, 09/15/28(1) |
|
25,000 |
|
25,907 |
| ||
Total Consumer Discretionary |
|
|
|
1,106,755 |
| ||
|
|
|
| ||||
Consumer Staples — 1.0% |
|
|
| ||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.25%, 03/15/26(1) |
|
60,000 |
|
61,052 |
| ||
Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.88%, 09/01/25(1) |
|
35,000 |
|
37,623 |
| ||
HLF Financing Sarl LLC / Herbalife International, Inc., 4.88%, 06/01/29(1) |
|
20,000 |
|
20,169 |
| ||
Triton Water Holdings, Inc., 6.25%, 04/01/29(1) |
|
10,000 |
|
9,998 |
| ||
Turning Point Brands, Inc., 5.63%, 02/15/26(1) |
|
30,000 |
|
30,451 |
| ||
Vector Group Ltd., 5.75%, 02/01/29(1) |
|
40,000 |
|
39,850 |
| ||
Total Consumer Staples |
|
|
|
199,143 |
| ||
|
|
|
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
39
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
| ||||
CORPORATE BONDS (continued) |
|
|
| ||||
|
|
|
| ||||
Energy — 5.5% |
|
|
| ||||
Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 7.50%, 05/01/25(1) |
|
$50,000 |
|
$50,835 |
| ||
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.75%, 01/15/28(1) |
|
40,000 |
|
41,900 |
| ||
Antero Resources Corp., 8.38%, 07/15/26(1) |
|
9,000 |
|
10,136 |
| ||
Antero Resources Corp., 7.63%, 02/01/29(1) |
|
10,000 |
|
11,087 |
| ||
Antero Resources Corp., 5.38%, 03/01/30(1) |
|
15,000 |
|
15,896 |
| ||
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 8.25%, 12/31/28(1) |
|
45,000 |
|
49,133 |
| ||
Callon Petroleum Co., 6.13%, 10/01/24 |
|
25,172 |
|
24,873 |
| ||
Cheniere Energy, Inc., 4.63%, 10/15/28 |
|
15,000 |
|
15,749 |
| ||
Chesapeake Energy Corp., 5.88%, 02/01/29(1) |
|
5,000 |
|
5,319 |
| ||
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(1) |
|
45,000 |
|
46,069 |
| ||
CrownRock LP / CrownRock Finance, Inc., 5.00%, 05/01/29(1) |
|
15,000 |
|
15,469 |
| ||
CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 04/01/25(1) |
|
52,000 |
|
51,572 |
| ||
DT Midstream, Inc., 4.13%, 06/15/29(1) |
|
30,000 |
|
30,252 |
| ||
Energy Transfer LP, Series H, 6.50%, (US 5 Year CMT T- Note + 5.69%), perpetual(2)(3) |
|
50,000 |
|
51,875 |
| ||
EQM Midstream Partners LP, 6.00%, 07/01/25(1) |
|
10,000 |
|
10,863 |
| ||
EQM Midstream Partners LP, 6.50%, 07/01/27(1) |
|
10,000 |
|
11,138 |
| ||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/29(1) |
|
60,000 |
|
60,975 |
| ||
Hilcorp Energy I LP / Hilcorp Finance Co., 6.00%, 02/01/31(1) |
|
10,000 |
|
10,279 |
| ||
HollyFrontier Corp., 5.88%, 04/01/26 |
|
45,000 |
|
51,298 |
| ||
Kinder Morgan, Inc., Series G, 7.75%, 01/15/32 |
|
43,000 |
|
61,034 |
| ||
Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(1) |
|
20,000 |
|
20,554 |
| ||
Mesquite Energy, Inc., Escrow, 7.25%, 02/15/23 |
|
12,000 |
|
390 |
| ||
Nabors Industries Ltd., 7.25%, 01/15/26(1) |
|
25,000 |
|
24,292 |
| ||
Occidental Petroleum Corp., 3.50%, 08/15/29 |
|
25,000 |
|
25,406 |
| ||
Occidental Petroleum Corp., 6.63%, 09/01/30 |
|
45,000 |
|
55,121 |
| ||
Occidental Petroleum Corp., 6.13%, 01/01/31 |
|
30,000 |
|
35,963 |
| ||
Parsley Energy LLC / Parsley Finance Corp., 4.13%, 02/15/28(1) |
|
45,000 |
|
46,688 |
| ||
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 |
|
45,000 |
|
46,457 |
| ||
Plains All American Pipeline LP / PAA Finance Corp., 3.80%, 09/15/30 |
|
50,000 |
|
52,862 |
| ||
Sabine Pass Liquefaction LLC, 4.20%, 03/15/28 |
|
50,000 |
|
55,471 |
| ||
Southwestern Energy Co., 5.38%, 02/01/29(1) |
|
40,000 |
|
42,250 |
| ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.88%, 04/15/26 |
|
25,000 |
|
26,133 |
| ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 02/01/31 |
|
5,000 |
|
5,397 |
| ||
Transocean, Inc., 11.50%, 01/30/27(1) |
|
4,000 |
|
4,087 |
| ||
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 04/01/26 |
|
18,000 |
|
18,630 |
| ||
Venture Global Calcasieu Pass LLC, 4.13%, 08/15/31(1) |
|
30,000 |
|
31,086 |
| ||
Total Energy |
|
|
|
1,116,539 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
| ||||
CORPORATE BONDS (continued) |
|
|
| ||||
|
|
|
| ||||
Financials — 10.9% |
|
|
| ||||
Acrisure LLC / Acrisure Finance, Inc., 7.00%, 11/15/25(1) |
|
$35,000 |
|
$35,394 |
| ||
Allstate Corp. (The), Series B, 5.75%, (3-Month USD LIBOR + 2.94%), 08/15/53(2) |
|
55,000 |
|
58,327 |
| ||
Ally Financial, Inc., Series B, 4.70%, (US 5 Year CMT T- Note + 3.87%), perpetual(2)(3) |
|
78,000 |
|
81,071 |
| ||
Athene Global Funding, 2.45%, 08/20/27(1) |
|
70,000 |
|
71,751 |
| ||
Bank of America Corp., 1.73%, (SOFR + 0.96%), 07/22/27(2) |
|
65,000 |
|
64,603 |
| ||
Bank of America Corp., 3.42%, (3-Month USD LIBOR + 1.04%), 12/20/28(2) |
|
45,000 |
|
48,145 |
| ||
Bank of America Corp., 2.48%, (US 5 Year CMT T- Note + 1.20%), 09/21/36(2) |
|
50,000 |
|
48,657 |
| ||
Bank of New York Mellon Corp. (The), Series G, 4.70%, (US 5 Year CMT T- Note + 4.36%), perpetual(2)(3) |
|
65,000 |
|
70,895 |
| ||
Blackstone Private Credit Fund, 2.63%, 12/15/26(1) |
|
39,000 |
|
38,283 |
| ||
Blue Owl Finance LLC, 3.13%, 06/10/31(1) |
|
60,000 |
|
59,039 |
| ||
Brighthouse Financial, Inc., 5.63%, 05/15/30 |
|
50,000 |
|
60,035 |
| ||
BroadStreet Partners, Inc., 5.88%, 04/15/29(1) |
|
40,000 |
|
39,362 |
| ||
Charles Schwab Corp. (The), Series H, 4.00%, (US 10 Year CMT T- Note + 3.08%), perpetual(2)(3) |
|
50,000 |
|
50,813 |
| ||
Citadel LP, 4.88%, 01/15/27(1) |
|
50,000 |
|
53,758 |
| ||
Citigroup, Inc., Series W, 4.00%, (US 5 Year CMT T- Note + 3.60%), perpetual(2)(3) |
|
30,000 |
|
30,713 |
| ||
Citigroup, Inc., 3.98%, (3-Month USD LIBOR + 1.34%), 03/20/30(2) |
|
80,000 |
|
89,265 |
| ||
Cobra AcquisitionCo. LLC, 6.38%, 11/01/29(1) |
|
30,000 |
|
29,697 |
| ||
Coinbase Global, Inc., 3.63%, 10/01/31(1) |
|
30,000 |
|
28,613 |
| ||
Goldman Sachs Group, Inc. (The), 1.99%, (SOFR + 1.09%), 01/27/32(2) |
|
75,000 |
|
71,912 |
| ||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.25%, 05/15/26 |
|
45,000 |
|
47,194 |
| ||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, 05/15/27 |
|
25,000 |
|
26,031 |
| ||
JPMorgan Chase & Co., Series HH, 4.60%, (SOFR + 3.13%), perpetual(2)(3) |
|
34,000 |
|
34,820 |
| ||
JPMorgan Chase & Co., 2.96%, (SOFR + 2.52%), 05/13/31(2) |
|
105,000 |
|
108,474 |
| ||
JPMorgan Chase & Co., 1.95%, (SOFR + 1.07%), 02/04/32(2) |
|
100,000 |
|
95,751 |
| ||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 02/01/27(1) |
|
40,000 |
|
40,256 |
| ||
Liberty Mutual Group, Inc., 4.13%, (US 5 Year CMT T- Note + 3.32%), 12/15/51(1)(2) |
|
50,000 |
|
51,315 |
| ||
Lincoln National Corp., 2.17%, (3-Month USD LIBOR + 2.04%), 04/20/67(2) |
|
45,000 |
|
39,600 |
| ||
MetLife, Inc., Series G, 3.85%, (US 5 Year CMT T- Note + 3.58%), perpetual(2)(3) |
|
40,000 |
|
41,600 |
| ||
MetLife, Inc., Series D, 5.88%, (3-Month USD LIBOR + 2.96%), perpetual(2)(3) |
|
52,000 |
|
59,976 |
| ||
Morgan Stanley, 3.95%, 04/23/27 |
|
75,000 |
|
82,355 |
| ||
Navient Corp., 6.75%, 06/25/25 |
|
44,000 |
|
48,481 |
| ||
OneMain Finance Corp., 7.13%, 03/15/26 |
|
42,000 |
|
47,723 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
40
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Financials (continued) |
|
|
|
|
| ||
Prospect Capital Corp., 3.71%, 01/22/26 |
|
$45,000 |
|
$45,857 |
| ||
Prudential Financial, Inc., 5.63%, (3-Month USD LIBOR + 3.92%), 06/15/43(2) |
|
85,000 |
|
89,796 |
| ||
Santander Holdings USA, Inc., 4.40%, 07/13/27 |
|
59,000 |
|
65,670 |
| ||
Synovus Financial Corp., 5.90%, (USD 5 Year Swap + 3.38%), 02/07/29(2) |
|
25,000 |
|
26,909 |
| ||
Texas Capital Bancshares, Inc., 4.00%, (US 5 Year CMT T- Note + 3.15%), 05/06/31(2) |
|
70,000 |
|
72,948 |
| ||
Truist Financial Corp., Series Q, 5.10%, (US 10 Year CMT T- Note + 4.35%), perpetual(2)(3) |
|
60,000 |
|
67,278 |
| ||
Wells Fargo & Co., Series BB, 3.90%, (US 5 Year CMT T-Note + 3.45%), perpetual(2)(3) |
|
80,000 |
|
81,550 |
| ||
Total Financials |
|
|
|
2,203,917 |
| ||
|
|
|
| ||||
Health Care — 3.1% |
|
|
| ||||
Akumin, Inc., 7.00%, 11/01/25(1) |
|
50,000 |
|
47,828 |
| ||
Avantor Funding, Inc., 3.88%, 11/01/29(1) |
|
5,000 |
|
5,005 |
| ||
Bausch Health Americas, Inc., 9.25%, 04/01/26(1) |
|
24,000 |
|
25,530 |
| ||
Bausch Health Americas, Inc., 8.50%, 01/31/27(1) |
|
15,000 |
|
15,938 |
| ||
Bausch Health Cos., Inc., 7.00%, 01/15/28(1) |
|
35,000 |
|
35,503 |
| ||
Centene Corp., 4.63%, 12/15/29 |
|
20,000 |
|
21,600 |
| ||
CHS/Community Health Systems, Inc., 6.63%, 02/15/25(1) |
|
20,000 |
|
20,825 |
| ||
CHS/Community Health Systems, Inc., 6.88%, 04/15/29(1) |
|
20,000 |
|
20,605 |
| ||
CHS/Community Health Systems, Inc., 6.13%, 04/01/30(1) |
|
10,000 |
|
9,844 |
| ||
CHS/Community Health Systems, Inc., 4.75%, 02/15/31(1) |
|
15,000 |
|
15,020 |
| ||
DaVita, Inc., 4.63%, 06/01/30(1) |
|
30,000 |
|
30,187 |
| ||
Encompass Health Corp., 4.50%, 02/01/28 |
|
25,000 |
|
25,484 |
| ||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc., 6.13%, 04/01/29(1) |
|
15,000 |
|
14,797 |
| ||
HCA, Inc., 5.63%, 09/01/28 |
|
17,000 |
|
19,945 |
| ||
Illumina, Inc., 2.55%, 03/23/31 |
|
52,000 |
|
52,115 |
| ||
Jaguar Holding Co. II / PPD Development LP, 5.00%, 06/15/28(1) |
|
15,000 |
|
16,106 |
| ||
Lannett Co., Inc., 7.75%, 04/15/26(1) |
|
10,000 |
|
9,242 |
| ||
Legacy LifePoint Health LLC, 6.75%, 04/15/25(1) |
|
20,000 |
|
20,975 |
| ||
Legacy LifePoint Health LLC, 4.38%, 02/15/27(1) |
|
30,000 |
|
29,737 |
| ||
Mozart Debt Merger Sub, Inc., 3.88%, 04/01/29(1) |
|
10,000 |
|
9,963 |
| ||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 7.25%, 02/01/28(1) |
|
2,000 |
|
2,133 |
| ||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(1) |
|
15,000 |
|
15,155 |
| ||
Prime Healthcare Services, Inc., 7.25%, 11/01/25(1) |
|
5,000 |
|
5,331 |
| ||
Surgery Center Holdings, Inc., 6.75%, 07/01/25(1) |
|
12,000 |
|
12,225 |
| ||
Surgery Center Holdings, Inc., 10.00%, 04/15/27(1) |
|
30,000 |
|
32,243 |
| ||
Team Health Holdings, Inc., 6.38%, 02/01/25(1) |
|
40,000 |
|
35,466 |
| ||
Tenet Healthcare Corp., 7.50%, 04/01/25(1) |
|
5,000 |
|
5,313 |
| ||
Universal Health Services, Inc., 2.65%, 01/15/32(1) |
|
30,000 |
|
29,476 |
| ||
Viatris, Inc., Series WI, 2.70%, 06/22/30 |
|
45,000 |
|
44,999 |
| ||
Total Health Care |
|
|
|
628,590 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
| ||||
CORPORATE BONDS (continued) |
|
|
| ||||
|
|
|
| ||||
Industrials — 3.9% |
|
|
| ||||
Alaska Airlines 2020-1 Class A Pass-Through Trust, 4.80%, 08/15/27(1) |
|
$55,297 |
|
$61,511 |
| ||
Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.63%, 07/15/26(1) |
|
55,000 |
|
57,853 |
| ||
American Airlines Group, Inc., 5.00%, 06/01/22(1) |
|
45,000 |
|
45,169 |
| ||
American Airlines, Inc., 11.75%, 07/15/25(1) |
|
60,000 |
|
74,400 |
| ||
Aviation Capital Group LLC, 3.50%, 11/01/27(1) |
|
61,000 |
|
63,748 |
| ||
BCPE Ulysses Intermediate, Inc., 7.75%, 04/01/27, 7.75% Cash or 8.50% PIK (1)(4) |
|
25,000 |
|
23,886 |
| ||
Boeing Co. (The), 5.15%, 05/01/30 |
|
45,000 |
|
52,525 |
| ||
Boeing Co. (The), 3.75%, 02/01/50 |
|
20,000 |
|
21,072 |
| ||
Boeing Co. (The), 5.93%, 05/01/60 |
|
23,000 |
|
32,415 |
| ||
Cleaver-Brooks, Inc., 7.88%, 03/01/23(1) |
|
40,000 |
|
39,461 |
| ||
CoStar Group, Inc., 2.80%, 07/15/30(1) |
|
58,000 |
|
58,810 |
| ||
CP Atlas Buyer, Inc., 7.00%, 12/01/28(1) |
|
55,000 |
|
53,303 |
| ||
Deluxe Corp., 8.00%, 06/01/29(1) |
|
20,000 |
|
21,084 |
| ||
General Electric Co., Series D, 3.45%, (3-Month USD LIBOR + 3.33%), perpetual(2)(3) |
|
65,000 |
|
63,524 |
| ||
LBM Acquisition LLC, 6.25%, 01/15/29(1) |
|
15,000 |
|
14,590 |
| ||
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28(1) |
|
15,000 |
|
16,113 |
| ||
OT Merger Corp., 7.88%, 10/15/29(1) |
|
15,000 |
|
14,796 |
| ||
TransDigm, Inc., 5.50%, 11/15/27 |
|
30,000 |
|
30,750 |
| ||
United Airlines, Inc., 4.38%, 04/15/26(1) |
|
5,000 |
|
5,179 |
| ||
United Airlines, Inc., 4.63%, 04/15/29(1) |
|
5,000 |
|
5,161 |
| ||
Vertiv Group Corp., 4.13%, 11/15/28(1) |
|
30,000 |
|
29,888 |
| ||
Total Industrials |
|
|
|
785,238 |
| ||
|
|
|
| ||||
Information Technology — 3.2% |
|
|
| ||||
Broadcom, Inc., 4.15%, 11/15/30 |
|
53,000 |
|
58,302 |
| ||
Broadcom, Inc., 2.45%, 02/15/31(1) |
|
17,000 |
|
16,458 |
| ||
Broadcom, Inc., 3.19%, 11/15/36(1) |
|
2,000 |
|
1,968 |
| ||
Citrix Systems, Inc., 3.30%, 03/01/30 |
|
80,000 |
|
81,226 |
| ||
Consensus Cloud Solutions, Inc., 6.00%, 10/15/26(1) |
|
5,000 |
|
5,119 |
| ||
Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(1) |
|
10,000 |
|
10,425 |
| ||
Dell International LLC / EMC Corp., 8.10%, 07/15/36 |
|
49,000 |
|
74,322 |
| ||
HP, Inc., 3.40%, 06/17/30 |
|
65,000 |
|
68,713 |
| ||
Kyndryl Holdings, Inc., 3.15%, 10/15/31(1) |
|
50,000 |
|
49,024 |
| ||
MicroStrategy, Inc., 6.13%, 06/15/28(1) |
|
30,000 |
|
30,823 |
| ||
Motorola Solutions, Inc., 4.60%, 02/23/28 |
|
30,000 |
|
34,374 |
| ||
Motorola Solutions, Inc., 4.60%, 05/23/29 |
|
10,000 |
|
11,517 |
| ||
NCR Corp., 5.13%, 04/15/29(1) |
|
30,000 |
|
30,715 |
| ||
Plantronics, Inc., 4.75%, 03/01/29(1) |
|
30,000 |
|
27,578 |
| ||
Rocket Software, Inc., 6.50%, 02/15/29(1) |
|
30,000 |
|
28,700 |
| ||
Science Applications International Corp., 4.88%, 04/01/28(1) |
|
40,000 |
|
41,250 |
| ||
SYNNEX Corp., 2.38%, 08/09/28(1) |
|
65,000 |
|
63,707 |
| ||
Total Information Technology |
|
|
|
634,221 |
| ||
|
|
|
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
41
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Materials — 1.8% |
|
|
| ||||
Chemours Co. (The), 5.75%, 11/15/28(1) |
|
$30,000 |
|
$30,862 |
| ||
Cleveland-Cliffs, Inc., 6.75%, 03/15/26(1) |
|
35,000 |
|
37,319 |
| ||
Freeport-McMoRan, Inc., 5.45%, 03/15/43 |
|
30,000 |
|
37,777 |
| ||
Glatfelter Corp., 4.75%, 11/15/29(1) |
|
25,000 |
|
25,500 |
| ||
International Flavors & Fragrances, Inc., 2.30%, 11/01/30(1) |
|
40,000 |
|
39,475 |
| ||
Louisiana-Pacific Corp., 3.63%, 03/15/29(1) |
|
50,000 |
|
50,365 |
| ||
LSB Industries, Inc., 6.25%, 10/15/28(1) |
|
5,000 |
|
5,055 |
| ||
Mauser Packaging Solutions Holding Co., 7.25%, 04/15/25(1) |
|
30,000 |
|
29,092 |
| ||
Trident TPI Holdings, Inc., 9.25%, 08/01/24(1) |
|
30,000 |
|
31,431 |
| ||
Trident TPI Holdings, Inc., 6.63%, 11/01/25(1) |
|
40,000 |
|
40,746 |
| ||
U.S. Steel Corp., 6.88%, 03/01/29 |
|
20,000 |
|
21,425 |
| ||
WR Grace Holdings LLC, 5.63%, 08/15/29(1) |
|
15,000 |
|
15,169 |
| ||
Total Materials |
|
|
|
364,216 |
| ||
|
|
|
| ||||
Real Estate — 1.9% |
|
|
| ||||
EPR Properties, 4.75%, 12/15/26 |
|
50,000 |
|
54,360 |
| ||
GLP Capital LP / GLP Financing II, Inc., 5.25%, 06/01/25 |
|
52,000 |
|
57,749 |
| ||
GLP Capital LP / GLP Financing II, Inc., 5.75%, 06/01/28 |
|
16,000 |
|
18,599 |
| ||
Iron Mountain, Inc., 5.25%, 07/15/30(1) |
|
10,000 |
|
10,455 |
| ||
MPT Operating Partnership LP / MPT Finance Corp., 4.63%, 08/01/29 |
|
10,000 |
|
10,588 |
| ||
Office Properties Income Trust, 4.50%, 02/01/25 |
|
50,000 |
|
53,194 |
| ||
Phillips Edison Grocery Center Operating Partnership I LP, 2.63%, 11/15/31 |
|
55,000 |
|
53,928 |
| ||
Retail Properties of America, Inc., 4.75%,
|
|
55,000 |
|
60,405 |
| ||
Service Properties Trust, 4.38%, 02/15/30 |
|
55,000 |
|
51,906 |
| ||
Total Real Estate |
|
|
|
371,184 |
| ||
|
|
|
| ||||
Utilities — 1.2% |
|
|
| ||||
CMS Energy Corp., 4.75%, (US 5 Year CMT T- Note + 4.12%), 06/01/50(2) |
|
80,000 |
|
89,000 |
| ||
Ferrellgas LP / Ferrellgas Finance Corp., 5.38%, 04/01/26(1) |
|
5,000 |
|
4,878 |
| ||
Ferrellgas LP / Ferrellgas Finance Corp., 5.88%, 04/01/29(1) |
|
5,000 |
|
4,872 |
| ||
PG&E Corp., 5.25%, 07/01/30 |
|
35,000 |
|
36,610 |
| ||
Southern Co. (The), Series 21-A, 3.75%,
|
|
78,000 |
|
79,310 |
| ||
Vistra Corp., 8.00%, (US 5 Year CMT T- Note + 6.93%), perpetual(1)(2)(3) |
|
30,000 |
|
31,520 |
| ||
Total Utilities |
|
|
|
246,190 |
| ||
|
|
|
|
|
| ||
Total Corporate Bonds |
|
|
|
|
| ||
(Cost $8,081,783) |
|
|
|
8,306,104 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
| ||||
TERM LOANS — 20.0% |
|
|
| ||||
|
|
|
|
|
| ||
Aerospace — 1.0% |
|
|
|
|
| ||
Air Canada, 4.25%, (3-Month USD LIBOR + 3.50%), 08/11/28(2) |
|
$7,059 |
|
$7,143 |
| ||
|
|
|
|
|
| ||
Aerospace (continued) |
|
|
|
|
| ||
Amentum Government Services Holdings LLC, 5.50%, (3-Month USD LIBOR + 4.75%), 01/29/27(2) |
|
14,925 |
|
14,976 |
| ||
American Airlines, Inc., 5.50%, (3-Month USD LIBOR + 4.75%), 04/20/28(2) |
|
5,000 |
|
5,214 |
| ||
Brown Group Holding, LLC, 3.25%, (3-Month USD LIBOR + 2.75%), 06/07/28(2) |
|
37,375 |
|
37,335 |
| ||
Brown Group Holding, LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 06/07/28(5) |
|
10,000 |
|
9,989 |
| ||
KKR Apple Bidco, LLC, 3.50%, (1-Month USD LIBOR + 3.00%), 07/14/28(2) |
|
25,000 |
|
24,977 |
| ||
KKR Apple Bidco, LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 07/14/28(5) |
|
5,000 |
|
4,995 |
| ||
Mileage Plus Holdings LLC, 6.25%, (3-Month
|
|
30,000 |
|
31,989 |
| ||
TransDigm Inc, 2.33%, (1-Month USD LIBOR + 2.25%), 05/30/25(2) |
|
14,924 |
|
14,763 |
| ||
TransDigm, Inc., 2.33%, (1-Month USD LIBOR + 2.25%), 12/09/25(2) |
|
37,271 |
|
36,858 |
| ||
United Airlines, Inc., 4.50%, (3-Month USD LIBOR + 3.75%), 04/21/28(2) |
|
14,925 |
|
15,157 |
| ||
Total Aerospace |
|
|
|
203,396 |
| ||
|
|
|
| ||||
Chemicals — 1.0% |
|
|
| ||||
Aruba Investments Holdings LLC, 4.75%, (3-Month USD LIBOR + 4.00%), 11/24/27(2) |
|
14,925 |
|
14,990 |
| ||
CPC Acquisition Corp., 4.50%, (3-Month USD LIBOR + 3.75%), 12/29/27(2) |
|
29,850 |
|
29,850 |
| ||
Herens US Holdco Corp., 4.75%, (6-Month USD LIBOR + 4.00%), 07/03/28(2) |
|
39,900 |
|
40,025 |
| ||
INEOS US Finance LLC, 2.08%, (1-Month USD LIBOR + 2.00%), 04/01/24(2) |
|
44,806 |
|
44,573 |
| ||
Innophos Holdings, Inc., 3.83%, (1-Month USD LIBOR + 3.75%), 02/05/27(2) |
|
49,548 |
|
49,703 |
| ||
Nouryon USA LLC, 2.84%, (1-Month USD
|
|
25,009 |
|
24,861 |
| ||
Total Chemicals |
|
|
|
204,002 |
| ||
|
|
|
| ||||
Consumer Non-Durables — 0.8% |
|
|
| ||||
Diamond BC BV, 3.50%, (3-Month USD LIBOR + 3.00%), 09/15/28(2) |
|
50,000 |
|
49,960 |
| ||
Parfums Holding Co., Inc., 4.08%, (1-Month USD LIBOR + 4.00%), 06/30/24(2) |
|
58,502 |
|
58,392 |
| ||
Rodan & Fields, LLC, 4.09%, (1-Month USD LIBOR + 4.00%), 06/16/25(2) |
|
31,623 |
|
22,723 |
| ||
Zep Inc., 5.00%, (3-Month USD LIBOR + 4.00%), 08/12/24(2) |
|
39,690 |
|
39,055 |
| ||
Total Consumer Non-Durables |
|
|
|
170,130 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
42
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
TERM LOANS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Energy — 0.7% |
|
|
| ||||
CITGO Petroleum Corp., 7.25%, (3-Month USD LIBOR + 6.25%), 03/28/24(2) |
|
$35,553 |
|
$35,705 |
| ||
Hamilton Projects Acquiror LLC, 5.75%, (3-Month USD LIBOR + 4.75%), 06/17/27(2) |
|
24,688 |
|
24,734 |
| ||
Medallion Midland Acquisition LP, 4.50%, (1-Month USD LIBOR + 3.75%), 10/18/28(2) |
|
29,845 |
|
29,891 |
| ||
Oryx Midstream Services Permian Basin, LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 09/30/28(5) |
|
20,000 |
|
19,946 |
| ||
Oryx Midstream Services Permian Basin, LLC, 3.75%, (3-Month USD LIBOR + 3.25%), 09/30/28(2) |
|
5,000 |
|
4,987 |
| ||
Traverse Midstream Partners, LLC, 6.50%, (1-Month USD LIBOR + 5.50%), 09/27/24(2) |
|
23,180 |
|
23,216 |
| ||
Traverse Midstream Partners, LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 09/27/24(5) |
|
10,000 |
|
10,016 |
| ||
Total Energy |
|
|
|
148,495 |
| ||
|
|
|
| ||||
Financials — 0.8% |
|
|
| ||||
Asurion LLC, 3.33%, (1-Month USD LIBOR + 3.25%), 07/31/27(2) |
|
34,875 |
|
34,577 |
| ||
Asurion LLC, 5.33%, (1-Month USD LIBOR + 5.25%), 01/31/28(2) |
|
15,000 |
|
14,961 |
| ||
Asurion LLC, 5.34%, (1-Month USD LIBOR + 5.25%), 01/20/29(2) |
|
15,000 |
|
14,952 |
| ||
Blackhawk Network Holdings, Inc., 0.00%, (3-Month USD LIBOR + 0.00%), 06/15/25(5) |
|
30,000 |
|
29,817 |
| ||
Citadel Securities LP, 2.58%, (1-Month USD LIBOR + 2.50%), 02/02/28(2) |
|
44,775 |
|
44,443 |
| ||
Deerfield Dakota Holding LLC, 4.75%, (1-Month USD LIBOR + 3.75%), 04/09/27(2) |
|
24,712 |
|
24,805 |
| ||
Zebra Buyer LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 04/21/28(5) |
|
5,000 |
|
5,018 |
| ||
Total Financials |
|
|
|
168,573 |
| ||
|
|
|
| ||||
Food/Tobacco — 0.6% |
|
|
| ||||
Froneri US, Inc., 2.33%, (1-Month USD LIBOR + 2.25%), 01/29/27(2) |
|
34,563 |
|
34,115 |
| ||
H-Food Holdings, LLC (aka Hearthside Food Solutions, LLC), 3.77%, (1-Month USD LIBOR + 3.69%), 05/23/25(2) |
|
24,618 |
|
24,524 |
| ||
Shearer’s Foods LLC, 4.25%, (3-Month USD LIBOR + 3.50%), 09/23/27(2) |
|
19,593 |
|
19,602 |
| ||
Triton Water Holdings, Inc., 4.00%, (3-Month USD LIBOR + 3.50%), 03/31/28(2) |
|
34,913 |
|
34,905 |
| ||
Total Food/Tobacco |
|
|
|
113,146 |
| ||
|
|
|
| ||||
Forest Prod/Containers — 0.7% |
|
|
| ||||
Anchor Glass Container Corp., 3.75%, (3-Month USD LIBOR + 2.75%), 12/07/23(2) |
|
14,883 |
|
13,804 |
| ||
Berlin Packaging LLC, 3.75%, (3-Month USD LIBOR + 3.25%), 03/11/28(2) |
|
39,800 |
|
39,666 |
| ||
BWAY Holding Co., 3.33%, (1-Month USD LIBOR + 3.25%), 04/03/24(2) |
|
14,922 |
|
14,554 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
TERM LOANS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Forest Prod/Containers — (continued) |
|
|
|
|
| ||
Kloeckner Pentaplast of America, Inc., 5.25%, (6-Month USD LIBOR + 4.75%), 02/12/26(2) |
|
$39,800 |
|
$39,701 |
| ||
LABL, Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 10/20/28(5) |
|
5,000 |
|
4,976 |
| ||
TricorBraun Holdings, Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 01/29/28(5) |
|
30,000 |
|
29,860 |
| ||
Total Forest Prod/Containers |
|
|
|
142,561 |
| ||
|
|
|
| ||||
Gaming/Leisure — 1.5% |
|
|
| ||||
Caesars Resort Collection LLC, 2.83%, (1-Month USD LIBOR + 2.75%), 12/23/24(2) |
|
49,767 |
|
49,588 |
| ||
Carnival Corp, 3.75%, (3-Month USD LIBOR + 3.00%), 06/30/25(2) |
|
4,938 |
|
4,938 |
| ||
Carnival Corp., 4.00%, (3-Month USD LIBOR + 3.25%), 10/08/28(2) |
|
20,000 |
|
20,006 |
| ||
CCM Merger, Inc., 4.50%, (3-Month USD LIBOR + 3.75%), 11/04/25(2) |
|
8,655 |
|
8,682 |
| ||
ECL Entertainment LLC, 8.25%, (1-Month USD LIBOR + 7.50%), 05/01/28(2) |
|
4,988 |
|
5,109 |
| ||
Hilton Grand Vacations Borrower LLC, 3.50%, (1-Month USD LIBOR + 3.00%), 08/02/28(2) |
|
5,000 |
|
5,015 |
| ||
J&J Ventures Gaming, LLC, 4.75%, (1-Month USD LIBOR + 4.00%), 04/26/28(2) |
|
25,000 |
|
25,109 |
| ||
J&J Ventures Gaming, LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 04/26/28(5) |
|
5,000 |
|
5,022 |
| ||
Playa Resorts Holding B.V., 3.75%, (1-Month USD LIBOR + 2.75%), 04/29/24(2) |
|
59,078 |
|
57,767 |
| ||
Pug LLC, 3.58%, (1-Month USD LIBOR + 3.50%), 02/12/27(2) |
|
34,388 |
|
33,915 |
| ||
Pug LLC, 4.75%, (1-Month USD LIBOR + 4.25%), 02/12/27(2) |
|
8,571 |
|
8,592 |
| ||
Raptor Acquisition Corp, 4.75%, (3-Month USD LIBOR + 4.00%), 11/01/26(2) |
|
10,000 |
|
10,064 |
| ||
Scientific Games International, Inc., 2.83%, (1-Month USD LIBOR + 2.75%), 08/14/24(2) |
|
18,324 |
|
18,272 |
| ||
Stars Group Holdings BV, 2.38%, (3-Month USD LIBOR + 2.25%), 07/21/26(2) |
|
18,653 |
|
18,609 |
| ||
UFC Holdings LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 04/29/26(5) |
|
35,000 |
|
34,844 |
| ||
Total Gaming/Leisure |
|
|
|
305,532 |
| ||
|
|
|
| ||||
Health Care — 3.6% |
|
|
| ||||
Accelerated Health Systems, LLC, 3.59%, (1-Month USD LIBOR + 3.50%), 10/31/25(2) |
|
38,754 |
|
38,608 |
| ||
AHP Health Partners, Inc., 4.00%, (1-Month USD LIBOR + 3.50%), 08/24/28(2) |
|
15,000 |
|
15,063 |
| ||
Athenahealth, Inc., 4.38%, (3-Month USD LIBOR + 4.25%), 02/11/26(2) |
|
9,950 |
|
9,994 |
| ||
Azalea Topco Inc, 4.50%, (3-Month USD LIBOR + 3.75%), 07/24/26(2) |
|
49,825 |
|
50,043 |
| ||
CHG Healthcare Services Inc., 4.00%, (3-Month USD LIBOR + 3.50%), 09/22/28(2) |
|
5,000 |
|
5,008 |
| ||
Envision Health Care Corp., 3.83%, (1-Month USD LIBOR + 3.75%), 10/10/25(2) |
|
30,045 |
|
24,984 |
| ||
Heartland Dental LLC, 4.09%, (1-Month USD LIBOR + 4.00%), 04/30/25(2) |
|
34,913 |
|
34,883 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
43
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
TERM LOANS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Health Care (continued) |
|
|
|
|
| ||
Hunter US Bidco, Inc., 4.75%, (3-Month USD LIBOR + 4.25%), 08/19/28(2) |
|
$25,000 |
|
$25,117 |
| ||
Insulet Corp., 3.75%, (1-Month USD LIBOR + 3.25%), 05/04/28(2) |
|
9,975 |
|
10,003 |
| ||
LifePoint Health Inc, 3.83%, (1-Month USD LIBOR + 3.75%), 11/16/25(2) |
|
20,000 |
|
19,976 |
| ||
Mamba Purchaser, Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 09/29/28(5) |
|
10,000 |
|
10,031 |
| ||
Milano Acquisition Corp., 4.75%, (3-Month USD LIBOR + 4.00%), 10/01/27(2) |
|
29,775 |
|
29,885 |
| ||
Mozart Borrower LP, 0.00%, (1-Month USD LIBOR + 0.00%), 09/30/28(5) |
|
10,000 |
|
10,019 |
| ||
One Call Corp., 6.25%, (3-Month USD LIBOR + 5.50%), 04/22/27(2) |
|
49,875 |
|
50,343 |
| ||
Packaging Coordinators Midco, Inc., 4.25%, (3-Month USD LIBOR + 3.50%), 11/30/27(2) |
|
19,900 |
|
19,954 |
| ||
PAREXEL International Corp., 2.83%, (1-Month USD LIBOR + 2.75%), 09/27/24(2) |
|
40,000 |
|
40,017 |
| ||
PetVet Care Centers LLC, 4.25%, (1-Month USD LIBOR + 3.50%), 02/14/25(2) |
|
49,671 |
|
49,686 |
| ||
PetVet Care Centers LLC, 3.33%, (1-Month USD LIBOR + 3.25%), 02/14/25(2) |
|
8,185 |
|
8,161 |
| ||
Phoenix Guarantor, Inc., 3.34%, (1-Month USD LIBOR + 3.25%), 03/05/26(2) |
|
39,399 |
|
39,198 |
| ||
Phoenix Guarantor, Inc., 3.59%, (1-Month USD LIBOR + 3.50%), 03/05/26(2) |
|
39,775 |
|
39,671 |
| ||
Phoenix Newco, Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 08/11/28(5) |
|
10,000 |
|
10,018 |
| ||
Pluto Acquisition I Inc, 4.12%, (3-Month USD LIBOR + 4.00%), 06/22/26(2) |
|
24,938 |
|
24,974 |
| ||
Sotera Health Holdings LLC, 3.25%, (3-Month USD LIBOR + 2.75%), 12/11/26(2) |
|
10,000 |
|
9,973 |
| ||
Southern Veterinary Partners LLC, 5.00%, (3-Month USD LIBOR + 4.00%), 10/05/27(2) |
|
14,962 |
|
15,014 |
| ||
Sunshine Luxembourg VII Sarl, 4.50%, (3-Month USD LIBOR + 3.75%), 10/01/26(2) |
|
14,925 |
|
14,974 |
| ||
Surgery Center Holdings, Inc., 4.50%, (1-Month USD LIBOR + 3.75%), 08/31/26(2) |
|
24,875 |
|
24,958 |
| ||
Upstream Newco Inc, 4.33%, (1-Month USD LIBOR + 4.25%), 11/20/26(2) |
|
22,444 |
|
22,458 |
| ||
Viant Medical Holdings, Inc., 3.83%, (1-Month USD LIBOR + 3.75%), 07/02/25(2) |
|
64,514 |
|
62,740 |
| ||
Waystar Technologies, Inc., 4.08%, (1-Month USD LIBOR + 4.00%), 10/22/26(2) |
|
19,912 |
|
19,962 |
| ||
Total Health Care |
|
|
|
735,715 |
| ||
|
|
|
| ||||
Housing — 0.5% |
|
|
| ||||
84 Lumber Co., 3.75%, (1-Month USD LIBOR + 3.00%), 11/13/26(2) |
|
19,900 |
|
19,948 |
| ||
Chariot Buyer LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 10/22/28(5) |
|
15,000 |
|
14,994 |
| ||
Quikrete Holdings, Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 06/11/28(5) |
|
45,000 |
|
44,896 |
| ||
SRS Distribution Inc, 4.25%, (3-Month USD LIBOR + 3.75%), 06/02/28(2) |
|
14,963 |
|
14,981 |
| ||
Total Housing |
|
|
|
94,819 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
| ||||
TERM LOANS (continued) |
|
|
| ||||
|
|
|
| ||||
Information Technology — 2.3% |
|
|
| ||||
Applied Systems, Inc., 6.25%, (3-Month USD LIBOR + 5.50%), 09/19/25(2) |
|
$29,460 |
|
$29,928 |
| ||
Boxer Parent Co, Inc., 3.88%, (3-Month USD LIBOR + 3.75%), 10/02/25(2) |
|
41,881 |
|
41,650 |
| ||
Boxer Parent Co, Inc., 6.00%, (3-Month USD LIBOR + 5.50%), 03/23/26(2) |
|
10,000 |
|
10,135 |
| ||
CCC Intelligent Solutions, Inc., 0.00%, (1-Month USD LIBOR + 0.00%), 09/15/28(5) |
|
20,000 |
|
19,965 |
| ||
ConnectWise LLC, 4.00%, (3-Month USD LIBOR + 3.50%), 09/24/28(2) |
|
5,000 |
|
5,000 |
| ||
Epicor Software Corp., 4.00%, (1-Month USD LIBOR + 3.25%), 07/30/27(2) |
|
49,624 |
|
49,638 |
| ||
Greeneden US Holdings II LLC, 4.75%, (1-Month USD LIBOR + 4.00%), 12/01/27(2) |
|
14,925 |
|
14,976 |
| ||
Hyland Software, Inc., 4.25%, (1-Month USD LIBOR + 3.50%), 07/01/24(2) |
|
29,719 |
|
29,783 |
| ||
Infinite Bidco LLC, 4.25%, (1-Month USD LIBOR + 3.75%), 03/02/28(2) |
|
29,925 |
|
29,975 |
| ||
Infinite Bidco LLC, 7.50%, (1-Month USD LIBOR + 7.00%), 03/02/29(2) |
|
10,000 |
|
10,100 |
| ||
Project Ruby Ultimate Parent Corp., 4.00%, (1-Month USD LIBOR + 3.25%), 03/10/28(2) |
|
29,850 |
|
29,854 |
| ||
Proofpoint, Inc., 3.75%, (3-Month USD LIBOR + 3.25%), 06/09/28(2) |
|
30,000 |
|
29,908 |
| ||
RealPage, Inc., 3.75%, (1-Month USD LIBOR + 3.25%), 04/24/28(2) |
|
40,000 |
|
39,964 |
| ||
Rocket Software Inc, 4.75%, (1-Month USD LIBOR + 4.25%), 11/28/25(2) |
|
24,938 |
|
24,891 |
| ||
Sophia LP, 4.00%, (3-Month USD LIBOR + 3.50%), 10/07/27(2) |
|
24,813 |
|
24,864 |
| ||
Thoughtworks, Inc., 3.50%, (1-Month USD LIBOR + 3.00%), 03/24/28(2) |
|
25,035 |
|
25,072 |
| ||
UKG, Inc., 4.00%, (3-Month USD LIBOR + 3.25%), 05/04/26(2) |
|
39,613 |
|
39,729 |
| ||
Veritas US, Inc., 6.00%, (3-Month USD LIBOR + 5.00%), 09/01/25(2) |
|
9,975 |
|
10,025 |
| ||
Total Information Technology |
|
|
|
465,457 |
| ||
|
|
|
| ||||
Manufacturing — 1.3% |
|
|
| ||||
Alliance Laundry Systems LLC, 4.25%, (3-Month USD LIBOR + 3.50%), 10/08/27(2) |
|
39,321 |
|
39,450 |
| ||
Arcline FM Holdings LLC, 5.50%, (3-Month USD LIBOR + 4.75%), 06/23/28(2) |
|
25,000 |
|
25,063 |
| ||
Arcline FM Holdings LLC, 9.25%, (3-Month USD LIBOR + 8.25%), 06/15/29(2) |
|
5,000 |
|
5,025 |
| ||
CIRCOR International, Inc., 4.25%, (1-Month USD LIBOR + 3.25%), 12/11/24(2) |
|
30,000 |
|
30,000 |
| ||
Filtration Group Corp., 3.08%, (1-Month USD LIBOR + 3.00%), 03/31/25(2) |
|
19,893 |
|
19,730 |
| ||
Filtration Group Corp., 0.00%, (1-Month USD LIBOR + 0.00%), 10/19/28(5) |
|
30,000 |
|
30,015 |
| ||
Gates Global LLC, 3.25%, (1-Month USD LIBOR + 2.50%), 03/31/27(2) |
|
54,662 |
|
54,597 |
| ||
LEB Holdings USA, Inc., 4.50%, (3-Month USD LIBOR + 3.75%), 11/02/27(2) |
|
24,763 |
|
24,850 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
44
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
TERM LOANS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Manufacturing (continued) |
|
|
|
|
| ||
Star US Bidco LLC, 5.25%, (1-Month USD LIBOR + 4.25%), 03/17/27(2) |
|
$24,688 |
|
$24,811 |
| ||
Truck Hero, Inc., 4.00%, (1-Month USD LIBOR + 3.25%), 01/31/28(2) |
|
4,975 |
|
4,959 |
| ||
Total Manufacturing |
|
|
|
258,500 |
| ||
|
|
|
| ||||
Media/Telecom - Broadcasting — 0.1% |
|
|
| ||||
Univision Communications, Inc., 3.75%, (1-Month USD LIBOR + 2.75%), 03/15/24(2) |
|
20,000 |
|
20,015 |
| ||
|
|
|
|
|
| ||
Media/Telecom - Cable/Wireless Video — 0.5% |
|
|
| ||||
CSC Holdings, LLC, 2.34%, (1-Month USD LIBOR + 2.25%), 01/15/26(2) |
|
57,838 |
|
56,783 |
| ||
Directv Financing LLC, 5.75%, (3-Month USD LIBOR + 5.00%), 08/02/27(2) |
|
15,000 |
|
15,028 |
| ||
Intelsat Jackson Holdings SA, 8.63%, (1-Month USD LIBOR + 8.63%), 01/02/24(2)(6) |
|
15,000 |
|
15,222 |
| ||
Radiate Holdco LLC, 4.25%, (1-Month USD LIBOR + 3.50%), 09/25/26(2) |
|
3,732 |
|
3,727 |
| ||
Total Media/Telecom - Cable/Wireless Video |
|
|
|
90,760 |
| ||
|
|
|
| ||||
Media/Telecom - Diversified Media — 0.3% |
|
|
| ||||
Mav Acquisition Corp, 5.25%, (1-Month USD LIBOR + 4.75%), 07/28/28(2) |
|
24,000 |
|
23,860 |
| ||
William Morris Endeavor Entertainment LLC, 2.84%, (1-Month USD LIBOR + 2.75%), 05/18/25(2) |
|
29,839 |
|
29,333 |
| ||
Total Media/Telecom - Diversified Media |
|
|
|
53,193 |
| ||
|
|
|
| ||||
Media/Telecom - Telecommunications — 0.3% |
|
|
| ||||
Altice France SA/France, 3.81%, (3-Month USD LIBOR + 3.69%), 01/31/26(2) |
|
29,463 |
|
29,194 |
| ||
CenturyLink, Inc., 2.33%, (1-Month USD LIBOR + 2.25%), 03/15/27(2) |
|
14,738 |
|
14,578 |
| ||
Consolidated Communications, Inc., 4.25%, (1-Month USD LIBOR + 3.50%), 10/02/27(2) |
|
10,710 |
|
10,722 |
| ||
Securus Technologies Holdings, Inc., 5.50%, (3-Month USD LIBOR + 4.50%), 11/01/24(2) |
|
9,897 |
|
9,492 |
| ||
Total Media/Telecom - Telecommunications |
|
|
|
63,986 |
| ||
|
|
|
| ||||
Retail — 0.8% |
|
|
| ||||
CNT Holdings I Corp., 4.50%, (3-Month USD LIBOR + 3.75%), 11/08/27(2) |
|
24,875 |
|
24,946 |
| ||
Great American Outdoors, 5.00%, (3-Month USD LIBOR + 4.25%), 03/06/28(2) |
|
29,775 |
|
29,911 |
| ||
Harbor Freight Tools USA Inc, 3.25%, (1-Month USD LIBOR + 2.75%), 10/19/27(2) |
|
39,699 |
|
39,616 |
| ||
Michaels Cos Inc. (The), 5.00%, (3-Month USD LIBOR + 4.25%), 04/15/28(2) |
|
19,950 |
|
19,947 |
| ||
Petco Health & Wellness Co, Inc., 4.00%, (3-Month USD LIBOR + 3.25%), 03/03/28(2) |
|
19,900 |
|
19,918 |
| ||
PetSmart, Inc., 4.50%, (3-Month USD LIBOR + 3.75%), 02/11/28(2) |
|
19,950 |
|
20,002 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
TERM LOANS (continued) |
|
|
|
|
| ||
|
|
|
|
|
| ||
Retail (continued) |
|
|
|
|
| ||
Rising Tide Holdings Inc, 5.50%, (1-Month USD LIBOR + 4.75%), 06/01/28(2) |
|
$14,963 |
|
$14,993 |
| ||
Total Retail |
|
|
|
169,333 |
| ||
|
|
|
| ||||
Service — 2.4% |
|
|
| ||||
AIT Worldwide Logistics Holdings, Inc., 5.50%, (3-Month USD LIBOR + 4.75%), 04/06/28(2) |
|
15,000 |
|
15,059 |
| ||
AlixPartners, LLP, 0.00%, (1-Month USD LIBOR + 0.00%), 02/04/28(5) |
|
10,000 |
|
9,978 |
| ||
AlixPartners, LLP, 3.25%, (1-Month USD LIBOR + 2.75%), 02/04/28(2) |
|
19,950 |
|
19,906 |
| ||
Allied Universal Holdco LLC, 4.25%, (3-Month USD LIBOR + 3.75%), 05/12/28(2) |
|
10,000 |
|
10,007 |
| ||
Dun & Bradstreet Corp. (The), 3.34%, (1-Month USD LIBOR + 3.25%), 02/06/26(2) |
|
54,414 |
|
54,259 |
| ||
DXP Enterprises, Inc., 5.75%, (1-Month USD LIBOR + 4.75%), 12/23/27(2) |
|
14,888 |
|
14,902 |
| ||
ENSEMBLE RCM LLC, 3.88%, (3-Month USD LIBOR + 3.75%), 08/03/26(2) |
|
4,962 |
|
4,975 |
| ||
Grab Holdings, Inc., 5.50%, (3-Month USD LIBOR + 4.50%), 01/29/26(2) |
|
34,825 |
|
35,231 |
| ||
Hertz Corp. (The), 0.00%, (1-Month USD LIBOR + 0.00%), 06/30/28(5) |
|
4,704 |
|
4,716 |
| ||
Hertz Corp. (The), 4.00%, (1-Month USD LIBOR + 3.50%), 06/30/28(2) |
|
25,683 |
|
25,747 |
| ||
Hertz Corp. (The), 4.00%, (1-Month USD LIBOR + 3.50%), 06/30/28(2) |
|
4,852 |
|
4,864 |
| ||
Hoya Midco, LLC, 4.50%, (1-Month USD LIBOR + 3.50%), 06/30/24(2) |
|
22,373 |
|
22,403 |
| ||
Paysafe Holdings US Corp, 3.25%, (3-Month USD LIBOR + 2.75%), 06/28/28(2) |
|
39,900 |
|
39,794 |
| ||
Peraton Corp., 4.50%, (1-Month USD LIBOR + 3.75%), 02/01/28(2) |
|
31,840 |
|
31,957 |
| ||
PODS LLC, 3.75%, (1-Month USD LIBOR + 3.00%), 03/31/28(2) |
|
44,775 |
|
44,761 |
| ||
Sedgwick Claims Management Services, Inc., 3.83%, (1-Month USD LIBOR + 3.75%), 09/03/26(2) |
|
49,545 |
|
49,496 |
| ||
Sweetwater Borrower LLC, 5.50%, (3-Month USD LIBOR + 4.75%), 08/07/28(2) |
|
20,000 |
|
20,025 |
| ||
TTF Holdings LLC, 4.75%, (1-Month USD LIBOR + 4.00%), 03/31/28(2) |
|
9,350 |
|
9,373 |
| ||
University Support Services LLC, 0.00%, (1-Month USD LIBOR + 0.00%), 06/29/28(5) |
|
32,160 |
|
32,034 |
| ||
Weld North Education LLC, 4.75%, (1-Month USD LIBOR + 3.75%), 12/21/27(2) |
|
36,167 |
|
36,252 |
| ||
Total Service |
|
|
|
485,739 |
| ||
|
|
|
| ||||
Technology — 0.1% |
|
|
| ||||
Magenta Buyer LLC, 5.75%, (3-Month USD LIBOR + 5.00%), 04/29/28(2) |
|
20,000 |
|
19,887 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
45
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
TERM LOANS (continued) |
|
|
| ||||
|
|
|
| ||||
Transportation - Automotive — 0.4% |
|
|
| ||||
Cooper-Standard Automotive, Inc., 2.75%, (1-Month USD LIBOR + 2.00%), 11/02/23(2) |
|
$49,191 |
|
$45,951 |
| ||
Mavis Tire Express Services TopCo LP, 4.75%, (1-Month USD LIBOR + 4.00%), 05/04/28(2) |
|
19,950 |
|
19,998 |
| ||
PAI Holdco Inc, 4.25%, (3-Month USD LIBOR + 3.50%), 10/28/27(2) |
|
4,975 |
|
4,986 |
| ||
Total Transportation - Automotive |
|
|
|
70,935 |
| ||
|
|
|
| ||||
Transportation - Land Transportation — 0.1% |
|
|
| ||||
ASP LS Acquisition Corp., 0.00%, (1-Month USD LIBOR + 0.00%), 04/30/28(5) |
|
10,000 |
|
10,031 |
| ||
|
|
|
|
|
| ||
Utilities — 0.2% |
|
|
| ||||
Brookfield WEC Holdings, Inc., 3.25%, (1-Month USD LIBOR + 2.75%), 08/01/25(2) |
|
33,713 |
|
33,516 |
| ||
|
|
|
|
|
| ||
Total Term Loans |
|
|
|
|
| ||
(Cost $4,014,100) |
|
|
|
4,027,721 |
| ||
|
| ||||||
FOREIGN BONDS — 15.8% |
| ||||||
|
| ||||||
Communication Services — 0.2% |
| ||||||
Telesat Canada / Telesat LLC, 6.50%, 10/15/27 (Canada)(1) |
|
50,000 |
|
40,664 |
| ||
|
|
|
|
|
| ||
Consumer Discretionary — 0.2% |
| ||||||
Gateway Casinos & Entertainment Ltd., 8.25%, 03/01/24 (Canada)(1) |
|
35,000 |
|
36,083 |
| ||
|
|
|
|
|
| ||
Consumer Staples — 0.6% |
| ||||||
Anheuser-Busch InBev Worldwide, Inc., 4.75%, 01/23/29 (Belgium) |
|
45,000 |
|
52,857 |
| ||
BAT Capital Corp., 4.91%, 04/02/30 (United Kingdom) |
|
55,000 |
|
62,362 |
| ||
Total Consumer Staples |
|
|
|
115,219 |
| ||
|
| ||||||
Energy — 2.5% |
| ||||||
BP Capital Markets PLC, 4.88%, (US 5 Year
|
|
60,000 |
|
65,464 |
| ||
Coronado Finance Pty Ltd., 10.75%, 05/15/26 (Australia)(1) |
|
40,000 |
|
43,563 |
| ||
Ecopetrol SA, 4.63%, 11/02/31 (Colombia) |
|
55,000 |
|
54,664 |
| ||
Northriver Midstream Finance LP, 5.63%, 02/15/26 (Canada)(1) |
|
20,000 |
|
20,694 |
| ||
Petrobras Global Finance BV, 7.38%, 01/17/27 (Brazil) |
|
25,000 |
|
29,438 |
| ||
Petrobras Global Finance BV, 5.60%, 01/03/31 (Brazil) |
|
20,000 |
|
20,945 |
| ||
Petroleos Mexicanos, 6.50%, 03/13/27 (Mexico) |
|
95,000 |
|
101,401 |
| ||
Petroleos Mexicanos, 5.95%, 01/28/31 (Mexico) |
|
85,000 |
|
83,795 |
| ||
Petroleos Mexicanos, 6.35%, 02/12/48 (Mexico) |
|
80,000 |
|
68,367 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
FOREIGN BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (continued) |
|
|
|
|
|
|
|
Petroleos Mexicanos, 7.69%, 01/23/50 (Mexico) |
|
$20,000 |
|
$19,141 |
| ||
Total Energy |
|
|
|
507,472 |
| ||
|
| ||||||
Financials — 1.0% |
| ||||||
Ascot Group Ltd., 4.25%, 12/15/30 (Bermuda)(1) |
|
45,000 |
|
47,026 |
| ||
Banco Santander Chile, 3.18%, 10/26/31 (Chile)(1) |
|
150,000 |
|
150,487 |
| ||
Total Financials |
|
|
|
197,513 |
| ||
|
| ||||||
Government — 9.5% |
| ||||||
Dominican Republic International Bond, 5.95%, 01/25/27 (Dominican Republic)(1) |
|
100,000 |
|
111,751 |
| ||
Ecuador Government International Bond, 1.00%, 07/31/35 (Ecuador)(1)(6)(7) |
|
30,000 |
|
19,913 |
| ||
Egypt Government International Bond, 7.60%, 03/01/29 (Egypt)(1) |
|
200,000 |
|
201,596 |
| ||
Emirate of Dubai Government International
|
|
200,000 |
|
229,741 |
| ||
Ghana Government International Bond, 8.13%, 03/26/32 (Ghana)(1) |
|
200,000 |
|
176,996 |
| ||
Israel Government International Bond, 2.75%, 07/03/30 (Israel) |
|
200,000 |
|
211,539 |
| ||
Mexico Government International Bond, 4.50%, 01/31/50 (Mexico) |
|
200,000 |
|
210,720 |
| ||
Pakistan Government International Bond, 8.25%, 09/30/25 (Pakistan)(1) |
|
200,000 |
|
217,976 |
| ||
Saudi Government International Bond, 3.63%, 03/04/28 (Saudi Arabia)(1) |
|
200,000 |
|
218,153 |
| ||
Turkey Government International Bond, 7.38%, 02/05/25 (Turkey) |
|
105,000 |
|
111,062 |
| ||
Ukraine Government International Bond, 7.25%, 03/15/33 (Ukraine)(1) |
|
200,000 |
|
204,182 |
| ||
Total Government |
|
|
|
1,913,629 |
| ||
|
| ||||||
Health Care — 0.2% |
| ||||||
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (Israel) |
|
35,000 |
|
33,031 |
| ||
|
|
|
|
|
| ||
Industrials — 0.6% |
| ||||||
Avolon Holdings Funding Ltd., 4.38%, 05/01/26 (Ireland)(1) |
|
47,000 |
|
50,732 |
| ||
Bombardier, Inc., 6.00%, 02/15/28 (Canada)(1) |
|
15,000 |
|
15,150 |
| ||
British Airways Pass-Through Trust,
Class A, Series 2021-1, 2.90%, 03/15/35
|
|
40,000 |
|
40,524 |
| ||
Seaspan Corp., 5.50%, 08/01/29 (Hong Kong)(1) |
|
5,000 |
|
5,056 |
| ||
Titan Acquisition Ltd. / Titan Co.-Borrower LLC, 7.75%, 04/15/26 (Canada)(1) |
|
20,000 |
|
20,431 |
| ||
Total Industrials |
|
|
|
131,893 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
46
Security Description |
|
Principal |
|
Value |
| ||
|
| ||||||
FOREIGN BONDS (continued) |
| ||||||
|
| ||||||
Materials — 1.0% |
| ||||||
Eldorado Gold Corp., 6.25%, 09/01/29 (Turkey)(1) |
|
$40,000 |
|
$40,662 |
| ||
NOVA Chemicals Corp., 5.00%, 05/01/25
|
|
30,000 |
|
31,650 |
| ||
Suzano Austria GmbH, 2.50%, 09/15/28 (Brazil) |
|
20,000 |
|
18,950 |
| ||
Taseko Mines Ltd., 7.00%, 02/15/26 (Canada)(1) |
|
55,000 |
|
56,925 |
| ||
Teck Resources Ltd., 6.13%, 10/01/35 (Canada) |
|
50,000 |
|
64,674 |
| ||
Total Materials |
|
|
|
212,861 |
| ||
|
|
|
|
|
| ||
Total Foreign Bonds |
|
|
|
|
| ||
(Cost $3,182,038) |
|
|
|
3,188,365 |
| ||
|
|
|
|
|
| ||
MORTGAGE BACKED SECURITIES — 7.2% |
|
|
|
|
| ||
|
|
|
|
| |||
Commercial Mortgage Backed Securities — 0.9% |
|
|
|
| |||
CF Hippolyta LLC, Class A1, Series 2020-1, 1.69%, 07/15/60(1) |
|
93,191 |
|
93,271 |
| ||
Morgan Stanley Bank of America Merrill Lynch Trust, Class AS, Series 2015-C22, 3.56%, 04/15/48 |
|
60,000 |
|
62,545 |
| ||
Sutherland Commercial Mortgage Loans, Class A, Series 2017-SBC6, 3.19%, 05/25/37(1)(2)(8) |
|
18,955 |
|
18,900 |
| ||
Total Commercial Mortgage Backed Securities |
|
|
|
174,716 |
| ||
|
|
|
|
| |||
Mortgage Backed Security — 0.4% |
|
|
|
| |||
COMM Mortgage Trust, Class B, Series 2020-CBM, 3.10%, 02/10/37(1) |
|
45,000 |
|
45,593 |
| ||
Federal National Mortgage Association, 3.50%, 05/01/49 |
|
42,744 |
|
45,153 |
| ||
Total Mortgage Backed Security |
|
|
|
90,746 |
| ||
|
|
|
|
| |||
Residential Mortgage Backed Securities — 5.9% |
|
|
|
| |||
Ajax Mortgage Loan Trust, Class A1,
Series |
|
82,742 |
|
83,295 |
| ||
AMSR Trust, Class D, Series 2021-SFR3, 2.18%, 10/17/38(1) |
|
100,000 |
|
98,745 |
| ||
Arroyo Mortgage Trust, Class A1, Series 2019-2, 3.35%, 04/25/49(1)(2)(8) |
|
38,974 |
|
39,304 |
| ||
CAFL Issuer LLC, Class A1, Series 2021-RTL1, 2.24%, 03/26/29(1)(7) |
|
100,000 |
|
99,837 |
| ||
Cascade MH Asset Trust, Class A1,
Series |
|
96,824 |
|
95,995 |
| ||
COLT Mortgage Pass-Through Certificates,
|
|
52,363 |
|
52,238 |
| ||
CSMC, Class A1, Series 2021-NQM1, 0.81%, 05/25/65(1)(2)(8) |
|
67,365 |
|
67,156 |
| ||
New Residential Mortgage Loan Trust, Class A1, Series 2016-1A, 3.75%, 03/25/56(1)(2)(8) |
|
60,759 |
|
64,637 |
| ||
OBX Trust, Class A1, Series 2021-NQM3, 1.05%, 07/25/61(1)(2)(8) |
|
57,127 |
|
56,791 |
| ||
RCKT Mortgage Trust, Class A1, Series 2020-1, 3.00%, 02/25/50(1)(2)(8) |
|
36,715 |
|
37,371 |
| ||
Sequoia Mortgage Trust, Class B1, Series 2013-8, 3.50%, 06/25/43(2)(8) |
|
100,056 |
|
101,738 |
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
MORTGAGE BACKED SECURITIES (continued) |
|
|
| ||||
|
|
|
|
|
| ||
Residential Mortgage Backed Securities (continued) |
|
|
| ||||
SG Residential Mortgage Trust, Class A1, Series 2019-3, 2.70%, 09/25/59(1)(2)(8) |
|
$16,029 |
|
$16,072 |
| ||
Towd Point Mortgage Trust, Class A2,
Series |
|
100,000 |
|
105,868 |
| ||
Towd Point Mortgage Trust, Class A1,
Series |
|
56,333 |
|
58,122 |
| ||
VCAT LLC, Class A1, Series 2021-NPL5, 1.87%, 08/25/51(1)(7) |
|
98,649 |
|
98,488 |
| ||
VOLT XCIV LLC, Class A1, Series 2021-NPL3, 2.24%, 02/27/51(1)(7) |
|
115,448 |
|
115,365 |
| ||
Total Residential Mortgage Backed Securities |
|
|
|
1,191,022 |
| ||
|
|
|
|
|
| ||
Total Mortgage Backed Securities |
|
|
|
|
| ||
(Cost $1,455,854) |
|
|
|
1,456,484 |
| ||
|
|
|
| ||||
U.S. GOVERNMENT SECURITIES — 6.6% |
|
|
| ||||
U.S. Treasury Note |
|
|
|
|
|
|
|
0.13%, 05/31/22 |
|
190,000 |
|
190,028 |
| ||
0.13%, 12/31/22 |
|
155,000 |
|
154,837 |
| ||
0.13%, 08/31/23 |
|
510,000 |
|
507,111 |
| ||
1.25%, 08/31/24 |
|
45,000 |
|
45,664 |
| ||
0.25%, 05/31/25 |
|
435,000 |
|
424,414 |
| ||
|
|
|
|
|
| ||
Total U.S. Government Securities |
|
|
|
|
| ||
(Cost $1,334,236) |
|
|
|
1,322,054 |
| ||
|
|
|
| ||||
ASSET BACKED SECURITIES — 6.1% |
|
|
| ||||
American Credit Acceptance Receivables Trust, Class D, Series 2020-4, 1.77%, 12/14/26(1) |
|
45,000 |
|
45,373 |
| ||
Arbys Funding LLC, Class A2, Series 2020-1A, 3.24%, 07/30/50(1) |
|
49,500 |
|
51,596 |
| ||
Avant Credit Card Master Trust, Class A, Series 2021-1A, 1.37%, 04/15/27(1) |
|
50,000 |
|
49,568 |
| ||
BHG Securitization Trust, Class B, Series 2021-B, 1.67%, 10/17/34(1) |
|
100,000 |
|
99,118 |
| ||
Business Jet Securities LLC, Class A,
Series |
|
14,664 |
|
14,767 |
| ||
Carvana Auto Receivables Trust, Class D, Series 2019-3A, 3.04%, 04/15/25(1) |
|
55,000 |
|
56,438 |
| ||
CCG Receivables Trust, Class B, Series 2019-2, 2.55%, 03/15/27(1) |
|
100,000 |
|
102,040 |
| ||
DT Auto Owner Trust, Class C, Series 2019-2A, 3.18%, 02/18/25(1) |
|
66,954 |
|
67,528 |
| ||
Exeter Automobile Receivables Trust, Class E, Series 2019-2A, 4.68%, 05/15/26(1) |
|
55,000 |
|
57,877 |
| ||
FAT Brands Royalty LLC, Class A2,
Series |
|
50,000 |
|
49,923 |
| ||
Flagship Credit Auto Trust, Class C, Series 2019-2, 3.09%, 05/15/25(1) |
|
130,000 |
|
133,134 |
| ||
MAPS Trust, Class A, Series 2021-1A, 2.52%, 06/15/46(1) |
|
48,720 |
|
48,558 |
| ||
Marlette Funding Trust, Class A, Series 2019-4A, 2.39%, 12/17/29(1) |
|
8,062 |
|
8,081 |
|
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
47
Security Description |
|
Principal |
|
Value |
| ||
|
|
|
|
|
| ||
ASSET BACKED SECURITIES (continued) |
|
|
|
|
| ||
MVW Owner Trust, Class A, Series 2019-1A, 2.89%, 11/20/36(1) |
|
$40,244 |
|
$41,113 |
| ||
TRP LLC, Class A, Series 2021-1, 2.07%, 06/19/51(1) |
|
69,618 |
|
69,360 |
| ||
United Auto Credit Securitization Trust, Class E, Series 2019-1, 4.29%, 08/12/24(1) |
|
80,000 |
|
80,584 |
| ||
Upstart Pass-Through Trust, Class A,
Series |
|
98,221 |
|
97,835 |
| ||
Upstart Securitization Trust, Class B,
Series |
|
60,000 |
|
59,820 |
| ||
Veros Automobile Receivables Trust, Class B, Series 2020-1, 2.19%, 06/16/25(1) |
|
55,000 |
|
55,292 |
| ||
Westlake Automobile Receivables Trust, Class C, Series 2020-3A, 1.24%, 11/17/25(1) |
|
45,000 |
|
45,235 |
| ||
|
|
|
|
|
| ||
Total Asset Backed Securities |
|
|
|
|
| ||
(Cost $1,225,101) |
|
|
|
1,233,240 |
|
(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 October 31, 2021, the aggregate value of these securities was $8,582,539, or 42.5% of net assets.
(2)Variable rate instrument. The interest rate shown reflects the rate in effect at October 31, 2021.
(3)Perpetual security with no stated maturity date.
(4)Payment in-kind security.
(5)The loan will settle after October 31, 2021. The interest rate, based on the LIBOR and the agreed upon spread on trade date, will be determined at the time of settlement.
(6)Security in default, interest payments are being received during the bankruptcy proceedings.
(7)Represents step coupon bond. Rate shown reflects the rate in effect as of October 31, 2021.
(8)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.
(9)Amount rounds to less than 0.05%.
(10)The rate shown reflects the seven-day yield as of October 31, 2021.
Abbreviations:
CMT — Constant Maturity Treasury Index
ETF — Exchange Traded Fund
LIBOR — London InterBank Offered Rate
PIK — Payment in-Kind
SOFR — Secured Overnight Financing Rate
Currency Abbreviations
USD — United States Dollar
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
$— |
|
$8,306,104 |
|
$— |
|
$8,306,104 |
Term Loans |
|
— |
|
4,027,721 |
|
— |
|
4,027,721 |
Foreign Bonds |
|
— |
|
3,188,365 |
|
— |
|
3,188,365 |
Mortgage Backed Securities |
|
— |
|
1,456,484 |
|
— |
|
1,456,484 |
U.S. Government Securities |
|
— |
|
1,322,054 |
|
— |
|
1,322,054 |
Asset Backed Securities |
|
— |
|
1,233,240 |
|
— |
|
1,233,240 |
Exchange Traded Fund |
|
103,628 |
|
— |
|
— |
|
103,628 |
Municipal Bond |
|
— |
|
5,443 |
|
— |
|
5,443 |
Money Market Fund |
|
533,033 |
|
— |
|
— |
|
533,033 |
Total |
|
$636,661 |
|
$19,539,411 |
|
$— |
|
$20,176,072 |
Security Description |
|
Principal/ |
|
Value |
|
|
|
|
|
|
|
EXCHANGE TRADED FUND — 0.5% |
|
|
|
|
|
|
|
|
|
| |
Debt Fund — 0.5% |
|
|
|
| |
|
|
|
|
|
|
VanEck Vectors High Yield Muni ETF |
|
|
|
|
|
(Cost $104,563) |
|
1,669 |
|
$103,628 |
|
|
|
|
| ||
MUNICIPAL BOND — 0.0%(9) |
|
|
| ||
Sales Tax Securitization Corp., 3.41%, 01/01/43 |
|
|
|
|
|
(Cost $5,000) |
|
$5,000 |
|
5,443 |
|
|
|
|
|
|
|
MONEY MARKET FUND — 2.6% |
|
|
|
|
|
JP Morgan U.S. Government Money Market
Institutional Shares, 0.01%(10) |
|
533,033 |
|
533,033 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 100.0% |
|
|
|
|
|
(Cost $19,935,708) |
|
|
|
20,176,072 |
|
Liabilities in Excess of Other Assets — (0.0)%(9) |
|
|
|
(5,309 |
) |
Net Assets — 100.0% |
|
|
|
$20,170,763 |
|
The accompanying notes are an integral part of these financial statements.
48
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 60.7% |
|
|
|
|
|
|
|
|
|
| |
Financials — 60.7% |
|
|
|
| |
Apollo Investment Corp.(1) |
|
58,260 |
|
$782,432 |
|
Ares Capital Corp.(1) |
|
26,569 |
|
569,639 |
|
Bain Capital Specialty Finance, Inc.(1) |
|
39,399 |
|
614,230 |
|
Barings BDC, Inc. |
|
31,452 |
|
353,520 |
|
BlackRock Capital Investment Corp. |
|
213,509 |
|
924,494 |
|
BlackRock TCP Capital Corp. |
|
44,377 |
|
637,254 |
|
Capital Southwest Corp. |
|
21,471 |
|
606,126 |
|
Crescent Capital BDC, Inc. |
|
15,295 |
|
307,277 |
|
Fidus Investment Corp. |
|
31,332 |
|
553,323 |
|
First Eagle Alternative Capital BDC, Inc. |
|
65,178 |
|
309,596 |
|
FS KKR Capital Corp.(1) |
|
36,287 |
|
796,863 |
|
Gladstone Capital Corp.(1) |
|
39,925 |
|
469,917 |
|
Gladstone Investment Corp.(1) |
|
29,824 |
|
472,710 |
|
Goldman Sachs BDC, Inc. |
|
33,271 |
|
631,151 |
|
Golub Capital BDC, Inc. |
|
34,109 |
|
541,651 |
|
Hercules Capital, Inc.(1) |
|
32,098 |
|
567,172 |
|
Horizon Technology Finance Corp.(1) |
|
28,101 |
|
490,362 |
|
Main Street Capital Corp.(1) |
|
9,574 |
|
419,533 |
|
Monroe Capital Corp. |
|
27,407 |
|
282,840 |
|
New Mountain Finance Corp. |
|
47,657 |
|
670,057 |
|
Oaktree Specialty Lending Corp. |
|
50,673 |
|
373,460 |
|
OFS Capital Corp. |
|
29,752 |
|
327,867 |
|
Oxford Square Capital Corp. |
|
70,180 |
|
298,265 |
|
PennantPark Floating Rate Capital Ltd.(1) |
|
45,454 |
|
612,265 |
|
PennantPark Investment Corp. |
|
97,013 |
|
657,748 |
|
Portman Ridge Finance Corp. |
|
12,662 |
|
313,385 |
|
Prospect Capital Corp.(1) |
|
70,827 |
|
580,073 |
|
Saratoga Investment Corp.(1) |
|
14,912 |
|
430,211 |
|
Sixth Street Specialty Lending, Inc.(1) |
|
29,537 |
|
704,162 |
|
SLR Investment Corp. |
|
29,250 |
|
577,688 |
|
SLR Senior Investment Corp. |
|
18,981 |
|
296,863 |
|
Stellus Capital Investment Corp.(1) |
|
46,412 |
|
645,591 |
|
TCG BDC, Inc. |
|
53,856 |
|
759,908 |
|
TriplePoint Venture Growth BDC Corp.(1) |
|
40,691 |
|
724,300 |
|
WhiteHorse Finance, Inc. |
|
39,973 |
|
608,789 |
|
Total Financials |
|
|
|
18,910,722 |
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
(Cost $19,240,163) |
|
|
|
18,910,722 |
|
|
|
|
|
|
|
CLOSED-END FUNDS — 37.8% |
|
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
40,404 |
|
474,343 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
|
31,596 |
|
426,862 |
|
BlackRock Floating Rate Income Trust |
|
31,931 |
|
435,858 |
|
BlackRock Innovation & Growth Trust |
|
4,811 |
|
88,522 |
|
BlackRock Limited Duration Income Trust |
|
24,415 |
|
422,135 |
|
Blackstone Senior Floating Rate Term Fund |
|
29,561 |
|
487,165 |
|
|
|
|
|
|
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
CLOSED-END FUNDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.(1) |
|
44,736 |
|
$425,887 |
|
Eagle Point Credit Co., Inc.(1) |
|
60,103 |
|
845,048 |
|
Eaton Vance Floating-Rate Income Trust |
|
26,258 |
|
393,607 |
|
Eaton Vance Senior Floating-Rate Trust(1) |
|
29,082 |
|
433,322 |
|
Eaton Vance Senior Income Trust |
|
55,436 |
|
386,389 |
|
First Trust Senior Floating Rate 2022 Target Term Fund |
|
21,255 |
|
205,961 |
|
First Trust Senior Floating Rate Income Fund II(1) |
|
42,534 |
|
518,490 |
|
Invesco Dynamic Credit Opportunities Fund(1) |
|
7,084 |
|
81,112 |
|
Invesco Senior Income Trust |
|
92,393 |
|
414,845 |
|
KKR Income Opportunities Fund |
|
34,947 |
|
582,567 |
|
Nuveen Credit Strategies Income Fund |
|
150,127 |
|
989,337 |
|
Nuveen Floating Rate Income Fund |
|
45,383 |
|
464,722 |
|
Nuveen Floating Rate Income Opportunity Fund |
|
45,766 |
|
459,033 |
|
Nuveen Senior Income Fund(1) |
|
81,646 |
|
486,610 |
|
Oxford Lane Capital Corp. |
|
168,916 |
|
1,351,328 |
|
Pioneer Floating Rate Fund, Inc.(1) |
|
37,268 |
|
437,899 |
|
Saba Capital Income & Opportunities Fund(1) |
|
77,529 |
|
362,060 |
|
XAI Octagon Floating Rate Alternative Income Term Trust(1) |
|
69,486 |
|
625,374 |
|
|
|
|
|
|
|
Total Closed-End Funds |
|
|
|
|
|
(Cost $11,596,351) |
|
|
|
11,798,476 |
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL — 12.5% |
|
|
| ||
|
|
|
|
|
|
Money Market Fund — 12.5% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(2)(3) |
|
|
|
|
|
(Cost $3,894,917) |
|
3,894,917 |
|
3,894,917 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 111.0% |
|
|
|
|
|
(Cost $34,731,431) |
|
|
|
34,604,115 |
|
Liabilities in Excess of Other Assets — (11.0)% |
|
|
|
(3,415,409 |
) |
Net Assets — 100.0% |
|
|
|
$31,188,706 |
|
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $5,699,185; total market value of collateral held by the Fund was $5,858,048. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $1,963,131.
(2)Represents securities purchased with cash collateral received for securities on loan.
(3)The rate shown reflects the seven-day yield as of October 31, 2021.
Schedule of Investments — Virtus Private Credit Strategy ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
49
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$18,910,722 |
|
$— |
|
$— |
|
$18,910,722 |
Closed-End Funds |
|
11,717,364 |
|
81,112 |
|
— |
|
11,798,476 |
Money Market Fund |
|
3,894,917 |
|
— |
|
— |
|
3,894,917 |
Total |
|
$34,523,003 |
|
$81,112 |
|
$— |
|
$34,604,115 |
The accompanying notes are an integral part of these financial statements.
50
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 99.0% |
|
|
|
|
|
|
|
|
|
| |
Communication Services — 4.1% |
|
|
|
| |
Cogent Communications Holdings, Inc. |
|
20,484 |
|
$1,568,869 |
|
KT Corp. (South Korea)(1) |
|
107,127 |
|
1,372,297 |
|
Mobile TeleSystems PJSC (Russia)(1) |
|
148,957 |
|
1,368,915 |
|
Telefonica SA (Spain)*(1)(2) |
|
309,203 |
|
1,345,033 |
|
Total Communication Services |
|
|
|
5,655,114 |
|
|
|
|
|
| |
Energy — 24.0% |
|
|
|
| |
Canadian Natural Resources Ltd. (Canada) |
|
43,363 |
|
1,843,361 |
|
ConocoPhillips |
|
23,590 |
|
1,757,219 |
|
Coterra Energy, Inc. |
|
75,863 |
|
1,617,399 |
|
Delek Logistics Partners LP(2) |
|
32,573 |
|
1,637,119 |
|
Delek US Holdings, Inc.* |
|
88,530 |
|
1,721,909 |
|
DT Midstream, Inc. |
|
33,387 |
|
1,601,241 |
|
Ecopetrol SA (Colombia)(1)(2) |
|
110,181 |
|
1,669,242 |
|
Enbridge, Inc. (Canada) |
|
37,164 |
|
1,555,685 |
|
EOG Resources, Inc. |
|
19,688 |
|
1,820,353 |
|
Imperial Oil Ltd. (Canada) |
|
50,715 |
|
1,718,224 |
|
Kinder Morgan, Inc. |
|
91,055 |
|
1,525,171 |
|
Marathon Petroleum Corp. |
|
24,515 |
|
1,616,274 |
|
MPLX LP |
|
52,027 |
|
1,567,053 |
|
North American Construction Group Ltd. (Canada) |
|
104,386 |
|
1,796,483 |
|
ONEOK, Inc. |
|
26,777 |
|
1,703,553 |
|
Phillips 66 Partners LP(2) |
|
42,180 |
|
1,558,129 |
|
Pioneer Natural Resources Co. |
|
9,788 |
|
1,830,160 |
|
TC Energy Corp. (Canada) |
|
30,352 |
|
1,642,043 |
|
Valero Energy Corp. |
|
22,485 |
|
1,738,765 |
|
Williams Cos., Inc. (The) |
|
58,678 |
|
1,648,265 |
|
Total Energy |
|
|
|
33,567,648 |
|
|
|
|
|
| |
Industrials — 1.1% |
|
|
|
| |
Boise Cascade Co. |
|
27,437 |
|
1,553,483 |
|
|
|
|
|
| |
Materials — 18.8% |
|
|
|
| |
Agnico Eagle Mines Ltd. (Canada) |
|
27,965 |
|
1,483,543 |
|
Air Products and Chemicals, Inc. |
|
5,694 |
|
1,707,118 |
|
Avient Corp. |
|
32,272 |
|
1,738,816 |
|
Barrick Gold Corp. (Canada) |
|
79,605 |
|
1,462,344 |
|
Celanese Corp. |
|
10,082 |
|
1,628,344 |
|
DRDGOLD Ltd. (South Africa)(1)(2) |
|
167,470 |
|
1,510,580 |
|
FMC Corp. |
|
15,618 |
|
1,421,394 |
|
Gold Fields Ltd. (South Africa)(1) |
|
175,894 |
|
1,632,296 |
|
LyondellBasell Industries NV Class A |
|
16,099 |
|
1,494,309 |
|
Newmont Corp. |
|
26,875 |
|
1,451,250 |
|
Reliance Steel & Aluminum Co. |
|
10,221 |
|
1,493,901 |
|
Schweitzer-Mauduit International, Inc. |
|
43,185 |
|
1,504,566 |
|
Scotts Miracle-Gro Co. (The) |
|
10,096 |
|
1,498,852 |
|
Southern Copper Corp. (Peru) |
|
25,880 |
|
1,552,541 |
|
Steel Dynamics, Inc. |
|
25,240 |
|
1,667,859 |
|
Valvoline, Inc. |
|
47,150 |
|
1,601,214 |
|
Wheaton Precious Metals Corp. (Brazil)(2) |
|
35,971 |
|
1,453,588 |
|
Total Materials |
|
|
|
26,302,515 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
| |
COMMON STOCKS (continued) |
|
|
|
| |
|
|
|
|
| |
Real Estate — 32.4% |
|
|
|
| |
Agree Realty Corp. |
|
21,212 |
|
$1,507,325 |
|
Alexandria Real Estate Equities, Inc. |
|
7,473 |
|
1,525,538 |
|
Apartment Investment and Management Co. Class A |
|
213,787 |
|
1,620,505 |
|
Brandywine Realty Trust |
|
109,442 |
|
1,450,107 |
|
CareTrust REIT, Inc. |
|
68,792 |
|
1,427,434 |
|
CoreSite Realty Corp. |
|
9,647 |
|
1,374,312 |
|
Cousins Properties, Inc. |
|
39,145 |
|
1,550,533 |
|
Crown Castle International Corp. |
|
7,835 |
|
1,412,651 |
|
CubeSmart |
|
28,591 |
|
1,572,791 |
|
CyrusOne, Inc. |
|
18,596 |
|
1,525,244 |
|
Digital Realty Trust, Inc. |
|
9,207 |
|
1,452,957 |
|
Douglas Emmett, Inc. |
|
45,289 |
|
1,480,045 |
|
Equity Residential |
|
18,050 |
|
1,559,520 |
|
Essex Property Trust, Inc. |
|
4,456 |
|
1,514,728 |
|
Extra Space Storage, Inc. |
|
8,197 |
|
1,617,842 |
|
Four Corners Property Trust, Inc. |
|
53,388 |
|
1,548,252 |
|
Gaming and Leisure Properties, Inc. |
|
30,733 |
|
1,490,243 |
|
Getty Realty Corp. |
|
49,335 |
|
1,584,640 |
|
Innovative Industrial Properties, Inc. |
|
6,128 |
|
1,612,216 |
|
Iron Mountain, Inc.(2) |
|
32,798 |
|
1,496,901 |
|
JBG SMITH Properties |
|
48,827 |
|
1,409,147 |
|
MGM Growth Properties LLC Class A |
|
36,336 |
|
1,430,912 |
|
Mid-America Apartment Communities, Inc. |
|
7,719 |
|
1,576,297 |
|
National Health Investors, Inc. |
|
25,771 |
|
1,385,964 |
|
PS Business Parks, Inc. |
|
9,322 |
|
1,656,519 |
|
RE/MAX Holdings, Inc. Class A |
|
46,999 |
|
1,495,038 |
|
SL Green Realty Corp.(2) |
|
20,934 |
|
1,466,845 |
|
STORE Capital Corp. |
|
42,670 |
|
1,464,861 |
|
UDR, Inc. |
|
27,381 |
|
1,520,467 |
|
Vornado Realty Trust |
|
34,526 |
|
1,471,843 |
|
Total Real Estate |
|
|
|
45,201,677 |
|
|
|
|
|
| |
Utilities — 18.6% |
|
|
|
| |
AES Corp. (The) |
|
62,050 |
|
1,559,317 |
|
Algonquin Power & Utilities Corp. (Canada)(2) |
|
96,057 |
|
1,386,103 |
|
Alliant Energy Corp. |
|
25,570 |
|
1,446,495 |
|
Black Hills Corp. |
|
23,006 |
|
1,527,138 |
|
CMS Energy Corp. |
|
23,885 |
|
1,441,460 |
|
Dominion Energy, Inc. |
|
19,625 |
|
1,490,126 |
|
DTE Energy Co. |
|
12,889 |
|
1,460,968 |
|
Enel Americas SA (Chile)(1) |
|
231,294 |
|
1,309,124 |
|
Enel Chile SA (Chile)(1) |
|
599,476 |
|
1,300,863 |
|
Evergy, Inc. |
|
23,376 |
|
1,490,220 |
|
Eversource Energy |
|
17,706 |
|
1,503,239 |
|
IDACORP, Inc. |
|
14,106 |
|
1,471,538 |
|
NRG Energy, Inc. |
|
34,820 |
|
1,388,970 |
|
OGE Energy Corp. |
|
43,777 |
|
1,491,482 |
|
Pinnacle West Capital Corp. |
|
20,133 |
|
1,298,377 |
|
PNM Resources, Inc. |
|
29,665 |
|
1,475,834 |
|
WEC Energy Group, Inc. |
|
16,099 |
|
1,449,876 |
|
Schedule of Investments — Virtus Real Asset Income ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
51
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
| |
|
|
|
|
| |
Utilities (continued) |
|
|
|
| |
Xcel Energy, Inc. |
|
23,243 |
|
$1,501,265 |
|
Total Utilities |
|
|
|
25,992,395 |
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
(Cost $120,315,603) |
|
|
|
138,272,832 |
|
|
|
|
|
|
|
SECURITIES LENDING COLLATERAL — 1.4% |
|
|
| ||
|
|
|
|
|
|
Money Market Fund — 1.4% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(3)(4) |
|
|
|
|
|
(Cost $1,923,290) |
|
1,923,290 |
|
1,923,290 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 100.4% |
|
|
|
|
|
(Cost $122,238,893) |
|
|
|
140,196,122 |
|
Liabilities in Excess of Other Assets — (0.4)% |
|
|
|
(613,139 |
) |
Net Assets — 100.0% |
|
|
|
$139,582,983 |
|
*Non-income producing security.
(1)American Depositary Receipts.
(2)All or a portion of the security was on loan. The aggregate market value of securities on loan was $10,170,205; total market value of collateral held by the Fund was $11,056,664. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $9,133,374.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of October 31, 2021.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$138,272,832 |
|
$— |
|
$— |
|
$138,272,832 |
Money Market Fund |
|
1,923,290 |
|
— |
|
— |
|
1,923,290 |
Total |
|
$140,196,122 |
|
$— |
|
$— |
|
$140,196,122 |
The accompanying notes are an integral part of these financial statements.
52
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 99.0% |
|
|
|
|
|
|
|
|
|
| |
Australia — 9.9% |
|
|
|
| |
Aurizon Holdings Ltd. |
|
24,465 |
|
$62,021 |
|
BHP Group Ltd. |
|
7,286 |
|
200,490 |
|
BHP Group PLC |
|
1,576 |
|
41,735 |
|
Fortescue Metals Group Ltd. |
|
6,184 |
|
64,801 |
|
Magellan Financial Group Ltd. |
|
437 |
|
11,397 |
|
Rio Tinto Ltd. |
|
872 |
|
59,227 |
|
Rio Tinto PLC |
|
2,821 |
|
176,066 |
|
Transurban Group |
|
753 |
|
7,613 |
|
Wesfarmers Ltd. |
|
1,993 |
|
85,831 |
|
Total Australia |
|
|
|
709,181 |
|
|
|
|
|
| |
Belgium — 0.6% |
|
|
|
| |
Proximus SADP |
|
2,086 |
|
39,270 |
|
|
|
|
|
| |
Canada — 9.8% |
|
|
|
| |
Algonquin Power & Utilities Corp. |
|
4,349 |
|
62,691 |
|
Bank of Nova Scotia (The) |
|
1,140 |
|
74,741 |
|
BCE, Inc. |
|
1,699 |
|
87,462 |
|
Canadian Imperial Bank of Commerce |
|
635 |
|
77,051 |
|
Enbridge, Inc. |
|
1,865 |
|
78,120 |
|
Great-West Lifeco, Inc. |
|
1,810 |
|
53,250 |
|
IGM Financial, Inc. |
|
959 |
|
38,078 |
|
Intact Financial Corp. |
|
27 |
|
3,620 |
|
Power Corp. of Canada |
|
1,122 |
|
37,370 |
|
Royal Bank of Canada |
|
174 |
|
18,111 |
|
TC Energy Corp. |
|
1,350 |
|
73,030 |
|
TELUS Corp. |
|
3,268 |
|
74,967 |
|
Toronto-Dominion Bank (The) |
|
306 |
|
22,213 |
|
Total Canada |
|
|
|
700,704 |
|
|
|
|
|
| |
China — 0.2% |
|
|
|
| |
BOC Hong Kong Holdings Ltd. |
|
5,527 |
|
17,546 |
|
|
|
|
|
| |
Denmark — 1.7% |
|
|
|
| |
Coloplast A/S Class B |
|
87 |
|
14,182 |
|
Novo Nordisk A/S Class B |
|
737 |
|
80,663 |
|
Tryg A/S |
|
996 |
|
23,612 |
|
Total Denmark |
|
|
|
118,457 |
|
|
|
|
|
| |
Finland — 2.0% |
|
|
|
| |
Fortum OYJ |
|
850 |
|
25,253 |
|
Kone OYJ Class B |
|
929 |
|
63,319 |
|
Nordea Bank Abp |
|
1,614 |
|
19,745 |
|
Orion OYJ Class B |
|
558 |
|
24,144 |
|
Sampo OYJ Class A |
|
156 |
|
8,295 |
|
Total Finland |
|
|
|
140,756 |
|
|
|
|
|
| |
France — 6.9% |
|
|
|
| |
Amundi SA(1) |
|
108 |
|
9,620 |
|
AXA SA |
|
2,756 |
|
80,158 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
France (continued) |
|
|
|
|
|
Bouygues SA |
|
269 |
|
$10,884 |
|
Danone SA |
|
306 |
|
19,933 |
|
La Francaise des Jeux SAEM(1) |
|
231 |
|
11,990 |
|
Orange SA |
|
4,535 |
|
49,463 |
|
Sanofi |
|
2,348 |
|
234,596 |
|
TotalEnergies SE |
|
1,532 |
|
76,808 |
|
Total France |
|
|
|
493,452 |
|
|
|
|
|
| |
Germany — 8.0% |
|
|
|
| |
Allianz SE |
|
933 |
|
216,951 |
|
BASF SE |
|
934 |
|
67,244 |
|
Daimler AG |
|
660 |
|
65,416 |
|
Deutsche Post AG |
|
947 |
|
58,590 |
|
E.ON SE |
|
1,617 |
|
20,498 |
|
SAP SE |
|
166 |
|
24,049 |
|
Siemens AG |
|
537 |
|
87,082 |
|
Telefonica Deutschland Holding AG |
|
11,513 |
|
29,985 |
|
Total Germany |
|
|
|
569,815 |
|
|
|
|
|
| |
Hong Kong — 4.1% |
|
|
|
| |
CK Infrastructure Holdings Ltd. |
|
3,121 |
|
18,813 |
|
CLP Holdings Ltd. |
|
1,491 |
|
14,593 |
|
Hang Seng Bank Ltd. |
|
878 |
|
16,701 |
|
HKT Trust & HKT Ltd. |
|
50,829 |
|
68,987 |
|
Hong Kong Exchanges & Clearing Ltd. |
|
274 |
|
16,580 |
|
Link REIT |
|
465 |
|
4,124 |
|
MTR Corp. Ltd. |
|
2,056 |
|
11,204 |
|
New World Development Co., Ltd. |
|
2,111 |
|
9,157 |
|
Power Assets Holdings Ltd. |
|
14,106 |
|
86,027 |
|
Sino Land Co., Ltd. |
|
20,811 |
|
27,336 |
|
Sun Hung Kai Properties Ltd. |
|
818 |
|
10,881 |
|
Xinyi Glass Holdings Ltd. |
|
4,225 |
|
11,919 |
|
Total Hong Kong |
|
|
|
296,322 |
|
|
|
|
|
| |
Italy — 3.3% |
|
|
|
| |
Assicurazioni Generali SpA |
|
4,868 |
|
106,077 |
|
Enel SpA |
|
3,648 |
|
30,515 |
|
Eni SpA |
|
1,885 |
|
27,029 |
|
Snam SpA |
|
11,456 |
|
64,852 |
|
Terna — Rete Elettrica Nazionale |
|
1,057 |
|
7,871 |
|
Total Italy |
|
|
|
236,344 |
|
|
|
|
|
| |
Japan — 16.3% |
|
|
|
| |
ABC-Mart, Inc. |
|
233 |
|
11,141 |
|
Bandai Namco Holdings, Inc. |
|
382 |
|
29,115 |
|
Bridgestone Corp. |
|
585 |
|
25,761 |
|
Canon, Inc. |
|
1,323 |
|
29,693 |
|
Chugai Pharmaceutical Co., Ltd. |
|
94 |
|
3,503 |
|
Daito Trust Construction Co., Ltd. |
|
103 |
|
12,760 |
|
Denso Corp. |
|
85 |
|
6,133 |
|
Schedule of Investments — Virtus WMC International Dividend ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
53
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Japan (continued) |
|
|
|
|
|
Disco Corp. |
|
20 |
|
$5,370 |
|
FANUC Corp. |
|
45 |
|
8,809 |
|
ITOCHU Corp. |
|
616 |
|
17,522 |
|
Itochu Techno-Solutions Corp. |
|
699 |
|
22,017 |
|
Japan Exchange Group, Inc. |
|
439 |
|
10,375 |
|
Japan Tobacco, Inc. |
|
6,894 |
|
135,219 |
|
Kansai Paint Co., Ltd. |
|
136 |
|
3,142 |
|
KDDI Corp. |
|
381 |
|
11,794 |
|
Kirin Holdings Co., Ltd. |
|
678 |
|
11,784 |
|
Mitsubishi Corp. |
|
2,660 |
|
84,298 |
|
Mitsui & Co., Ltd. |
|
1,805 |
|
41,049 |
|
MS&AD Insurance Group Holdings, Inc. |
|
633 |
|
20,471 |
|
Nintendo Co., Ltd. |
|
184 |
|
81,042 |
|
Nomura Research Institute Ltd. |
|
454 |
|
18,084 |
|
Obic Co., Ltd. |
|
117 |
|
21,547 |
|
Otsuka Corp. |
|
464 |
|
22,798 |
|
SBI Holdings, Inc. |
|
340 |
|
8,776 |
|
SCSK Corp. |
|
297 |
|
5,993 |
|
Sekisui House Ltd. |
|
3,269 |
|
67,732 |
|
Seven & i Holdings Co., Ltd. |
|
198 |
|
8,307 |
|
SoftBank Corp. |
|
8,564 |
|
116,804 |
|
Sumitomo Corp. |
|
1,472 |
|
20,884 |
|
Takeda Pharmaceutical Co., Ltd. |
|
1,601 |
|
44,992 |
|
Tokyo Electron Ltd. |
|
101 |
|
46,834 |
|
Toyota Motor Corp. |
|
2,935 |
|
51,670 |
|
Trend Micro, Inc. |
|
1,445 |
|
81,521 |
|
United Urban Investment Corp. |
|
3 |
|
3,738 |
|
USS Co., Ltd. |
|
4,480 |
|
71,932 |
|
Total Japan |
|
|
|
1,162,610 |
|
|
|
|
|
| |
Netherlands — 1.1% |
|
|
|
| |
ASML Holding NV |
|
14 |
|
11,337 |
|
Koninklijke Ahold Delhaize NV |
|
1,173 |
|
38,144 |
|
Randstad NV |
|
391 |
|
28,114 |
|
Total Netherlands |
|
|
|
77,595 |
|
|
|
|
|
| |
Norway — 1.3% |
|
|
|
| |
Gjensidige Forsikring ASA |
|
1,197 |
|
29,770 |
|
Telenor ASA |
|
4,129 |
|
65,176 |
|
Total Norway |
|
|
|
94,946 |
|
|
|
|
|
| |
Portugal — 0.1% |
|
|
|
| |
Galp Energia SGPS SA |
|
559 |
|
5,811 |
|
|
|
|
|
| |
Singapore — 2.7% |
|
|
|
| |
Ascendas Real Estate Investment Trust |
|
13,900 |
|
31,851 |
|
CapitaLand Integrated Commercial Trust |
|
15,781 |
|
25,160 |
|
Mapletree Logistics Trust |
|
6,494 |
|
9,728 |
|
Oversea-Chinese Banking Corp. Ltd. |
|
2,942 |
|
25,744 |
|
Singapore Exchange Ltd. |
|
1,491 |
|
10,703 |
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Singapore (continued) |
|
|
|
|
|
Singapore Technologies Engineering Ltd. |
|
11,430 |
|
$32,463 |
|
United Overseas Bank Ltd. |
|
1,147 |
|
22,753 |
|
Venture Corp. Ltd. |
|
2,367 |
|
33,017 |
|
Total Singapore |
|
|
|
191,419 |
|
|
|
|
|
| |
Spain — 3.6% |
|
|
|
| |
ACS Actividades de Construccion y Servicios SA |
|
725 |
|
18,966 |
|
Enagas SA |
|
3,759 |
|
84,323 |
|
Endesa SA |
|
1,032 |
|
23,794 |
|
Naturgy Energy Group SA |
|
3,304 |
|
86,816 |
|
Red Electrica Corp. SA |
|
1,925 |
|
40,078 |
|
Total Spain |
|
|
|
253,977 |
|
|
|
|
|
| |
Sweden — 1.8% |
|
|
|
| |
Evolution AB(1) |
|
21 |
|
3,397 |
|
Industrivarden AB Class A |
|
16 |
|
521 |
|
Skandinaviska Enskilda Banken AB Class A |
|
2,129 |
|
33,281 |
|
Svenska Handelsbanken AB Class A |
|
1,027 |
|
11,760 |
|
Swedbank AB Class A |
|
1,037 |
|
22,489 |
|
Tele2 AB Class B |
|
3,743 |
|
52,802 |
|
Telia Co. AB |
|
1,667 |
|
6,560 |
|
Total Sweden |
|
|
|
130,810 |
|
|
|
|
|
| |
Switzerland — 10.8% |
|
|
|
| |
ABB Ltd. |
|
606 |
|
20,048 |
|
Adecco Group AG |
|
324 |
|
16,303 |
|
Cie Financiere Richemont SA |
|
90 |
|
11,117 |
|
EMS-Chemie Holding AG |
|
25 |
|
24,779 |
|
Kuehne + Nagel International AG |
|
82 |
|
25,820 |
|
Nestle SA |
|
596 |
|
78,646 |
|
Novartis AG |
|
2,752 |
|
227,349 |
|
Roche Holding AG |
|
199 |
|
76,951 |
|
SGS SA |
|
12 |
|
35,491 |
|
Swiss Life Holding AG |
|
24 |
|
13,174 |
|
Zurich Insurance Group AG |
|
553 |
|
245,154 |
|
Total Switzerland |
|
|
|
774,832 |
|
|
|
|
|
| |
United Kingdom — 13.8% |
|
|
|
| |
Admiral Group PLC |
|
2,197 |
|
86,293 |
|
Aviva PLC |
|
1,832 |
|
9,896 |
|
BAE Systems PLC |
|
5,531 |
|
41,768 |
|
British American Tobacco PLC |
|
4,692 |
|
163,517 |
|
Direct Line Insurance Group PLC |
|
16,533 |
|
66,159 |
|
GlaxoSmithKline PLC |
|
6,832 |
|
141,053 |
|
Imperial Brands PLC |
|
5,509 |
|
116,257 |
|
Legal & General Group PLC |
|
7,494 |
|
29,629 |
|
National Grid PLC |
|
2,678 |
|
34,282 |
|
Persimmon PLC |
|
1,763 |
|
65,651 |
|
Phoenix Group Holdings PLC |
|
3,674 |
|
33,014 |
|
SSE PLC |
|
22 |
|
495 |
|
Schedule of Investments — Virtus WMC International Dividend ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
54
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
United Kingdom (continued) |
|
|
|
|
|
Unilever PLC |
|
3,682 |
|
$197,126 |
|
Total United Kingdom |
|
|
|
985,140 |
|
|
|
|
|
| |
United States — 1.0% |
|
|
|
| |
Swiss Re AG |
|
733 |
|
70,962 |
|
|
|
|
|
|
|
Total Common Stocks |
|
|
|
|
|
(Cost $6,893,450) |
|
|
|
7,069,949 |
|
|
|
|
|
|
|
PREFERRED STOCKS — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
Germany — 0.2% |
|
|
|
|
|
Porsche Automobil Holding SE, 2.53% |
|
165 |
|
17,132 |
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
PREFERRED STOCKS (continued) |
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks |
|
|
|
|
|
(Cost $12,125) |
|
|
|
$17,132 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 99.2% |
|
|
|
|
|
(Cost $6,905,575) |
|
|
|
7,087,081 |
|
Other Assets in Excess of Liabilities — 0.8% |
|
|
|
54,627 |
|
Net Assets — 100.0% |
|
|
|
$7,141,708 |
|
(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 October 31, 2021, the aggregate value of these securities was $25,007, or 0.4% of net assets.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$7,069,949 |
|
$— |
|
$— |
|
$7,069,949 |
Preferred Stocks |
|
17,132 |
|
— |
|
— |
|
17,132 |
Total |
|
$7,087,081 |
|
$— |
|
$— |
|
$7,087,081 |
The accompanying notes are an integral part of these financial statements.
55
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
Virtus LifeSci Biotech Products ETF |
|
Assets: |
|
|
|
|
|
|
|
|
|
Investments, at cost |
|
$82,650,321 |
|
$638,245,372 |
|
$46,886,355 |
|
$27,353,194 |
|
Investments, at value (including securities
|
|
86,172,369 |
|
683,032,891 |
|
38,324,341 |
|
24,571,610 |
|
Cash |
|
819,968 |
|
826,606 |
|
396,873 |
|
495,552 |
|
Due from brokers |
|
— |
|
50,011 |
|
— |
|
— |
|
Receivables: |
|
|
|
|
|
|
|
|
|
Investment securities sold |
|
1,451,730 |
|
2,241,341 |
|
— |
|
— |
|
Dividends and interest |
|
114,529 |
|
1,234,559 |
|
4 |
|
5 |
|
Securities lending |
|
— |
|
— |
|
1,626 |
|
664 |
|
Tax reclaim |
|
— |
|
— |
|
3,637 |
|
— |
|
Prepaid expenses |
|
8,313 |
|
8,313 |
|
8,313 |
|
8,313 |
|
Total Assets |
|
88,566,909 |
|
687,393,721 |
|
38,734,794 |
|
25,076,144 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
Borrowings |
|
— |
|
153,772,798 |
|
— |
|
— |
|
Payables: |
|
|
|
|
|
|
|
|
|
Investment securities purchased |
|
987,204 |
|
5,973,750 |
|
— |
|
— |
|
Collateral for securities on loan |
|
— |
|
— |
|
3,212,074 |
|
1,727,478 |
|
Interest expense |
|
— |
|
170,268 |
|
— |
|
— |
|
Advisory fees |
|
40,876 |
|
356,090 |
|
32,287 |
|
23,457 |
|
Total Liabilities |
|
1,028,080 |
|
160,272,906 |
|
3,244,361 |
|
1,750,935 |
|
Net Assets |
|
$87,538,829 |
|
$527,120,815 |
|
$35,490,433 |
|
$23,325,209 |
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$87,065,075 |
|
$479,870,523 |
|
$79,578,028 |
|
$39,665,001 |
|
Total distributable earnings (accumulated deficit) |
|
473,754 |
|
47,250,292 |
|
(44,087,595 |
) |
(16,339,792 |
) |
Net Assets |
|
$87,538,829 |
|
$527,120,815 |
|
$35,490,433 |
|
$23,325,209 |
|
Shares outstanding (unlimited number of
|
|
3,600,004 |
|
20,950,004 |
|
800,004 |
|
450,004 |
|
Net asset value per share |
|
$24.32 |
|
$25.16 |
|
$44.36 |
|
$51.83 |
|
(a)Market value of securities on loan |
|
$— |
|
$— |
|
$8,901,218 |
|
$4,496,529 |
|
Statements of Assets and Liabilities (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
56
|
|
Virtus Newfleet Multi-Sector Bond ETF |
|
Virtus Private Credit |
|
Virtus Real Asset Income ETF |
|
Virtus WMC International Dividend ETF |
|
Assets: |
|
|
|
|
|
|
|
|
|
Investments, at cost |
|
$19,935,708 |
|
$34,731,431 |
|
$122,238,893 |
|
$6,905,575 |
|
Investments, at value (including securities
|
|
20,176,072 |
|
34,604,115 |
|
140,196,122 |
|
7,087,081 |
|
Cash |
|
8,325 |
|
450,452 |
|
1,078,738 |
|
22,776 |
|
Foreign currency(b) |
|
— |
|
— |
|
— |
|
4,646 |
|
Receivables: |
|
|
|
|
|
|
|
|
|
Investment securities sold |
|
400,143 |
|
397,538 |
|
36,907 |
|
2 |
|
Dividends and interest |
|
148,474 |
|
37,162 |
|
254,901 |
|
24,626 |
|
Due from Adviser |
|
12,209 |
|
— |
|
— |
|
— |
|
Capital shares sold |
|
— |
|
5,201,531 |
|
— |
|
— |
|
Securities lending |
|
— |
|
11,159 |
|
2,930 |
|
— |
|
Tax reclaim |
|
— |
|
— |
|
1,462 |
|
6,321 |
|
Prepaid expenses |
|
— |
|
8,256 |
|
8,256 |
|
8,313 |
|
Total Assets |
|
20,745,223 |
|
40,710,213 |
|
141,579,316 |
|
7,153,765 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
|
Investment securities purchased |
|
472,465 |
|
5,600,766 |
|
— |
|
1 |
|
Collateral for securities on loan |
|
— |
|
3,894,917 |
|
1,923,290 |
|
— |
|
Advisory fees |
|
7,725 |
|
25,824 |
|
73,043 |
|
11,112 |
|
Professional fees |
|
29,900 |
|
— |
|
— |
|
— |
|
Trustee fees |
|
4,383 |
|
— |
|
— |
|
— |
|
Other accrued expenses |
|
59,987 |
|
— |
|
— |
|
944 |
|
Total Liabilities |
|
574,460 |
|
9,521,507 |
|
1,996,333 |
|
12,057 |
|
Net Assets |
|
$20,170,763 |
|
$31,188,706 |
|
$139,582,983 |
|
$7,141,708 |
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$22,851,037 |
|
$
38,851,794 |
|
$158,940,446 |
|
$6,519,891 |
|
Total distributable earnings (accumulated
|
|
(2,680,274 |
) |
(7,663,088 |
) |
(19,357,463 |
) |
621,817 |
|
Net Assets |
|
$20,170,763 |
|
$31,188,706 |
|
$139,582,983 |
|
$7,141,708 |
|
Shares outstanding (unlimited number of
|
|
800,004 |
|
1,200,004 |
|
5,200,004 |
|
250,004 |
|
Net asset value per share |
|
$25.21 |
|
$25.99 |
|
$26.84 |
|
$28.57 |
|
(a)Market value of securities on loan |
|
$— |
|
$5,699,185 |
|
$10,170,205 |
|
$— |
|
(b)Foreign currency, at cost |
|
$— |
|
$— |
|
$— |
|
$4,603 |
|
The accompanying notes are an integral part of these financial statements.
57
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
Virtus LifeSci Biotech Products ETF |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding taxes) |
|
$2,240,766 |
|
$22,055,010 |
|
$28,362 |
|
$43,348 |
|
Interest income |
|
137 |
|
131 |
|
35 |
|
36 |
|
Securities lending, net of fees |
|
— |
|
— |
|
85,209 |
|
17,648 |
|
Total Investment Income |
|
2,240,903 |
|
22,055,141 |
|
113,606 |
|
61,032 |
|
|
|
|
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
Advisory fees |
|
329,255 |
|
2,873,532 |
|
349,828 |
|
218,458 |
|
Dividend and interest expenses |
|
— |
|
1,462,754 |
|
— |
|
— |
|
Total Expenses |
|
329,255 |
|
4,336,286 |
|
349,828 |
|
218,458 |
|
Net Investment Income (Loss) |
|
1,911,648 |
|
17,718,855 |
|
(236,222 |
) |
(157,426 |
) |
|
|
|
|
|
|
|
|
|
|
Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
3,297,620 |
|
15,916,012 |
|
(6,189,891 |
) |
(2,889,226 |
) |
In-kind redemptions |
|
2,305,833 |
|
7,797,491 |
|
16,293,946 |
|
6,578,282 |
|
Written options |
|
— |
|
5,460 |
|
— |
|
— |
|
Securities sold short |
|
— |
|
(14,487 |
) |
— |
|
— |
|
Total Net Realized Gain |
|
5,603,453 |
|
23,704,476 |
|
10,104,055 |
|
3,689,056 |
|
|
|
|
|
|
|
|
|
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
3,252,424 |
|
53,503,150 |
|
(4,316,597 |
) |
(1,497,303 |
) |
Total Change in Net Unrealized Appreciation (Depreciation) |
|
3,252,424 |
|
53,503,150 |
|
(4,316,597 |
) |
(1,497,303 |
) |
Net Realized and Change in Unrealized Gain |
|
8,855,877 |
|
77,207,626 |
|
5,787,458 |
|
2,191,753 |
|
Net Increase in Net Assets Resulting from Operations |
|
$10,767,525 |
|
$94,926,481 |
|
$5,551,236 |
|
$2,034,327 |
|
Foreign withholding taxes |
|
$— |
|
$5,545 |
|
$5,005 |
|
$— |
|
The accompanying notes are an integral part of these financial statements.
58
Statements of Operations (continued)
For the Year Ended October 31, 2021
|
|
Virtus Newfleet Multi-Sector Bond ETF |
|
Virtus Private Credit Strategy ETF |
|
Virtus Real Asset Income ETF |
|
Virtus WMC International Dividend ETF |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
Dividend income (net of foreign withholding taxes) |
|
$30,111 |
|
$1,987,613 |
|
$3,652,528 |
|
$315,145 |
|
Interest income |
|
754,815 |
|
38 |
|
155 |
|
2 |
|
Securities lending, net of fees |
|
— |
|
120,375 |
|
135,691 |
|
— |
|
Total Investment Income |
|
784,926 |
|
2,108,026 |
|
3,788,374 |
|
315,147 |
|
|
|
|
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
Advisory fees |
|
87,871 |
|
197,222 |
|
731,359 |
|
31,126 |
|
Pricing fees |
|
42,072 |
|
— |
|
— |
|
— |
|
Professional fees |
|
33,848 |
|
— |
|
— |
|
— |
|
Accounting and administration fees |
|
17,017 |
|
— |
|
— |
|
— |
|
Transfer agent fees |
|
15,831 |
|
— |
|
— |
|
— |
|
Trustee fees |
|
13,344 |
|
— |
|
— |
|
— |
|
Exchange listing fees |
|
9,943 |
|
— |
|
— |
|
— |
|
Report to shareholders fees |
|
7,956 |
|
— |
|
— |
|
— |
|
Insurance fees |
|
2,488 |
|
— |
|
— |
|
— |
|
Custody fees |
|
2,170 |
|
— |
|
— |
|
— |
|
Tax expense |
|
198 |
|
— |
|
— |
|
— |
|
Other expenses |
|
3,978 |
|
— |
|
— |
|
— |
|
Total Expenses |
|
236,716 |
|
197,222 |
|
731,359 |
|
31,126 |
|
Less expense waivers/reimbursements |
|
(140,870 |
) |
— |
|
— |
|
— |
|
Net Expenses |
|
95,846 |
|
197,222 |
|
731,359 |
|
31,126 |
|
Net Investment Income |
|
689,080 |
|
1,910,804 |
|
3,057,015 |
|
284,021 |
|
|
|
|
|
|
|
|
|
|
|
Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
320,599 |
|
(523,731 |
) |
(17,850,560 |
) |
414,609 |
|
In-kind redemptions |
|
— |
|
2,588,527 |
|
14,580,083 |
|
— |
|
Foreign currency transactions |
|
70 |
|
— |
|
732 |
|
(1,814 |
) |
Total Net Realized Gain (Loss) |
|
320,669 |
|
2,064,796 |
|
(3,269,745 |
) |
412,795 |
|
|
|
|
|
|
|
|
|
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
Investments |
|
51,245 |
|
6,983,661 |
|
49,551,417 |
|
544,365 |
|
Foreign currency translations |
|
(35 |
) |
— |
|
— |
|
(494 |
) |
Total Change in Net Unrealized Appreciation |
|
51,210 |
|
6,983,661 |
|
49,551,417 |
|
543,871 |
|
Net Realized and Change in Unrealized Gain |
|
371,879 |
|
9,048,457 |
|
46,281,672 |
|
956,666 |
|
Net Increase in Net Assets Resulting from Operations |
|
$1,060,959 |
|
$10,959,261 |
|
$49,338,687 |
|
$1,240,687 |
|
Foreign withholding taxes |
|
$— |
|
$— |
|
$161,387 |
|
$37,588 |
|
The accompanying notes are an integral part of these financial statements.
59
|
|
InfraCap REIT Preferred ETF |
|
Virtus InfraCap |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$1,911,648 |
|
$2,225,126 |
|
$17,718,855 |
|
$7,158,815 |
|
Net realized gain (loss) |
|
5,603,453 |
|
(6,560,497 |
) |
23,704,476 |
|
(17,133,099 |
) |
Net change in unrealized appreciation (depreciation) |
|
3,252,424 |
|
(598,000 |
) |
53,503,150 |
|
(10,420,375 |
) |
Net increase (decrease) in net assets resulting from operations |
|
10,767,525 |
|
(4,933,371 |
) |
94,926,481 |
|
(20,394,659 |
) |
Distributions to Shareholders |
|
(4,362,006 |
) |
(2,574,003 |
) |
(28,242,147 |
) |
(10,827,415 |
) |
Distributions to Shareholders from return of capital |
|
— |
|
(515,003 |
) |
(699,861 |
) |
(407,094 |
) |
Total distributions |
|
(4,362,006 |
) |
(3,089,006 |
) |
(28,942,008 |
) |
(11,234,509 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
45,994,700 |
|
26,241,207 |
|
340,991,942 |
|
119,621,679 |
|
Cost of shares redeemed |
|
(16,965,073 |
) |
(4,000,481 |
) |
(26,252,374 |
) |
(30,120,596 |
) |
Net increase in net assets resulting from shareholder transactions |
|
29,029,627 |
|
22,240,726 |
|
314,739,568 |
|
89,501,083 |
|
Increase in net assets |
|
35,435,146 |
|
14,218,349 |
|
380,724,041 |
|
57,871,915 |
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
52,103,683 |
|
37,885,334 |
|
146,396,774 |
|
88,524,859 |
|
End of year |
|
$87,538,829 |
|
$52,103,683 |
|
$527,120,815 |
|
$146,396,774 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
2,400,004 |
|
1,500,004 |
|
7,600,004 |
|
3,350,004 |
|
Shares sold |
|
1,900,000 |
|
1,100,000 |
|
14,450,000 |
|
5,900,000 |
|
Shares redeemed |
|
(700,000 |
) |
(200,000 |
) |
(1,100,000 |
) |
(1,650,000 |
) |
Shares outstanding, end of year |
|
3,600,004 |
|
2,400,004 |
|
20,950,004 |
|
7,600,004 |
|
The accompanying notes are an integral part of these financial statements.
60
Statements of Changes in Net Assets (continued)
For the Year Ended October 31, 2021
|
|
Virtus LifeSci |
|
Virtus LifeSci |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment loss |
|
$(236,222 |
) |
$(155,197 |
) |
$(157,426 |
) |
$(112,809 |
) |
Net realized gain |
|
10,104,055 |
|
9,560,974 |
|
3,689,056 |
|
1,676,196 |
|
Net change in unrealized appreciation (depreciation) |
|
(4,316,597 |
) |
1,988,542 |
|
(1,497,303 |
) |
4,978,291 |
|
Net increase in net assets resulting from operations |
|
5,551,236 |
|
11,394,319 |
|
2,034,327 |
|
6,541,678 |
|
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
30,587,355 |
|
47,409,083 |
|
13,619,049 |
|
11,404,870 |
|
Cost of shares redeemed |
|
(37,665,925 |
) |
(45,560,804 |
) |
(18,833,103 |
) |
(17,946,804 |
) |
Net increase (decrease) in net assets
resulting from |
|
(7,078,570 |
) |
1,848,279 |
|
(5,214,054 |
) |
(6,541,934 |
) |
Increase (decrease) in net assets |
|
(1,527,334 |
) |
13,242,598 |
|
(3,179,727 |
) |
(256 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
37,017,767 |
|
23,775,169 |
|
26,504,936 |
|
26,505,192 |
|
End of year |
|
$35,490,433 |
|
$37,017,767 |
|
$23,325,209 |
|
$26,504,936 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
950,004 |
|
900,004 |
|
550,004 |
|
700,004 |
|
Shares sold |
|
600,000 |
|
1,200,000 |
|
250,000 |
|
250,000 |
|
Shares redeemed |
|
(750,000 |
) |
(1,150,000 |
) |
(350,000 |
) |
(400,000 |
) |
Shares outstanding, end of year |
|
800,004 |
|
950,004 |
|
450,004 |
|
550,004 |
|
The accompanying notes are an integral part of these financial statements.
61
Statements of Changes in Net Assets (continued)
For the Year Ended October 31, 2021
|
|
Virtus Newfleet |
|
Virtus Private Credit |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$689,080 |
|
$825,601 |
|
$1,910,804 |
|
$9,663,263 |
|
Net realized gain (loss) |
|
320,669 |
|
171,817 |
|
2,064,796 |
|
(79,813,161 |
) |
Net change in unrealized appreciation (depreciation) |
|
51,210 |
|
(146,262 |
) |
6,983,661 |
|
310,452 |
|
Net increase (decrease) in net assets resulting from operations |
|
1,060,959 |
|
851,156 |
|
10,959,261 |
|
(69,839,446 |
) |
Distributions to Shareholders |
|
(650,084 |
) |
(782,228 |
) |
(2,013,183 |
) |
(10,783,196 |
) |
Distributions to Shareholders from return of capital |
|
— |
|
(24,957 |
) |
— |
|
— |
|
Total distributions |
|
(650,084 |
) |
(807,185 |
) |
(2,013,183 |
) |
(10,783,196 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
2,543,464 |
|
— |
|
31,554,269 |
|
35,182,143 |
|
Cost of shares redeemed |
|
(1,277,994 |
) |
(6,084,814 |
) |
(28,420,454 |
) |
(146,795,038 |
) |
Net increase (decrease) in net assets
resulting from |
|
1,265,470 |
|
(6,084,814 |
) |
3,133,815 |
|
(111,612,895 |
) |
Increase (decrease) in net assets |
|
1,676,345 |
|
(6,040,843 |
) |
12,079,893 |
|
(192,235,537 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
18,494,418 |
|
24,535,261 |
|
19,108,813 |
|
211,344,350 |
|
End of year |
|
$20,170,763 |
|
$18,494,418 |
|
$31,188,706 |
|
$19,108,813 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
750,004 |
|
1,000,004 |
|
1,100,004 |
|
8,550,004 |
|
Shares sold |
|
100,000 |
|
— |
|
1,250,000 |
|
1,650,000 |
|
Shares redeemed |
|
(50,000 |
) |
(250,000 |
) |
(1,150,000 |
) |
(9,100,000 |
) |
Shares outstanding, end of year |
|
800,004 |
|
750,004 |
|
1,200,004 |
|
1,100,004 |
|
The accompanying notes are an integral part of these financial statements.
62
Statements of Changes in Net Assets (continued)
For the Year Ended October 31, 2021
|
|
Virtus Real Asset Income ETF |
|
Virtus WMC International |
| ||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$3,057,015 |
|
$4,821,205 |
|
$284,021 |
|
$103,895 |
|
Net realized gain (loss) |
|
(3,269,745 |
) |
(48,890,658 |
) |
412,795 |
|
258,053 |
|
Net change in unrealized appreciation (depreciation) |
|
49,551,417 |
|
(25,290,744 |
) |
543,871 |
|
(674,131 |
) |
Net increase (decrease) in net assets resulting from operations |
|
49,338,687 |
|
(69,360,197 |
) |
1,240,687 |
|
(312,183 |
) |
Distributions to Shareholders |
|
(5,617,918 |
) |
(5,787,929 |
) |
(406,622 |
) |
(181,086 |
) |
|
|
|
|
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from shares sold |
|
47,396,037 |
|
92,328,946 |
|
1,519,791 |
|
— |
|
Cost of shares redeemed |
|
(52,343,914 |
) |
(161,122,067 |
) |
— |
|
— |
|
Net increase (decrease) in net assets
resulting from |
|
(4,947,877 |
) |
(68,793,121 |
) |
1,519,791 |
|
— |
|
Increase (decrease) in net assets |
|
38,772,892 |
|
(143,941,247 |
) |
2,353,856 |
|
(493,269 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of year |
|
100,810,091 |
|
244,751,338 |
|
4,787,852 |
|
5,281,121 |
|
End of year |
|
$139,582,983 |
|
$100,810,091 |
|
$7,141,708 |
|
$4,787,852 |
|
|
|
|
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
|
|
|
|
Shares outstanding, beginning of year |
|
5,400,004 |
|
9,900,004 |
|
200,004 |
|
200,004 |
|
Shares sold |
|
2,000,000 |
|
3,900,000 |
|
50,000 |
|
— |
|
Shares redeemed |
|
(2,200,000 |
) |
(8,400,000 |
) |
— |
|
— |
|
Shares outstanding, end of year |
|
5,200,004 |
|
5,400,004 |
|
250,004 |
|
200,004 |
|
The accompanying notes are an integral part of these financial statements.
63
|
|
Virtus InfraCap | |
Cash Flows From Operating Activities: |
|
|
|
Net increase (decrease) in net assets from operations |
|
$94,926,481 |
|
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
|
|
|
Purchases of investment securities |
|
(181,050,445 |
) |
Proceeds from sales of investments |
|
171,834,068 |
|
Net proceeds from purchased and written options |
|
24,117 |
|
Proceeds from securities sold short |
|
750,956 |
|
Payments made to cover securities sold short |
|
(765,443 |
) |
Net realized (gain) loss on investments |
|
(15,916,012 |
) |
Net realized (gain) loss on securities sold short |
|
14,487 |
|
Net realized (gain) loss on written options |
|
(5,460 |
) |
Net realized (gain) loss on in-kind redemptions |
|
(7,797,491 |
) |
Net change in unrealized (appreciation) depreciation on investments |
|
(53,503,150 |
) |
(Increase) decrease in due from brokers |
|
39,713 |
|
(Increase) decrease in dividends and interest receivable |
|
(969,736 |
) |
(Increase) decrease in prepaid expenses |
|
(8,256 |
) |
Increase (decrease) in advisory fees payable |
|
256,356 |
|
Increase (decrease) in interest expense |
|
120,134 |
|
Net cash provided by (used in) operating activities |
|
7,950,319 |
|
|
|
|
|
Cash Flows provided by (used in) Financing Activities: |
|
|
|
Proceeds from borrowings |
|
111,591,910 |
|
Payments for fund shares sold in excess of in-kind creations |
|
(90,283,892 |
) |
Distributions paid |
|
(28,942,008 |
) |
Net cash provided by (used in) financing activities |
|
(7,633,990 |
) |
|
|
|
|
Net increase (decrease) in cash |
|
316,329 |
|
Cash, beginning of year |
|
510,277 |
|
Cash, end of year |
|
$826,606 |
|
|
|
|
|
Supplemental information: |
|
|
|
Interest paid on borrowings |
|
$1,460,720 |
|
|
|
|
|
Non-cash financing activities: |
|
|
|
In-kind creations — Issued |
|
439,022,883 |
|
In-kind creations — Redeemed |
|
33,999,423 |
|
The accompanying notes are an integral part of these financial statements.
64
|
|
InfraCap REIT Preferred ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$21.71 |
|
|
|
$25.26 |
|
|
|
$23.65 |
|
|
|
$25.76 |
|
|
|
$25.06 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
0.63 |
|
|
|
1.05 |
|
|
|
1.32 |
|
|
|
1.21 |
|
|
|
1.03 |
|
Net realized and unrealized gain (loss) |
|
|
3.42 |
|
|
|
(3.14 |
) |
|
|
1.83 |
|
|
|
(1.85 |
) |
|
|
0.60 |
|
Total from investment operations |
|
|
4.05 |
|
|
|
(2.09 |
) |
|
|
3.15 |
|
|
|
(0.64 |
) |
|
|
1.63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.44 |
) |
|
|
(1.22 |
) |
|
|
(1.30 |
) |
|
|
(1.23 |
) |
|
|
(0.93 |
) |
Return of capital |
|
|
— |
|
|
|
(0.24 |
) |
|
|
(0.24 |
) |
|
|
(0.24 |
) |
|
|
— |
|
Total distributions |
|
|
(1.44 |
) |
|
|
(1.46 |
) |
|
|
(1.54 |
) |
|
|
(1.47 |
) |
|
|
(0.93 |
) |
Net Asset Value, End of period |
|
|
$24.32 |
|
|
|
$21.71 |
|
|
|
$25.26 |
|
|
|
$23.65 |
|
|
|
$25.76 |
|
Net Asset Value Total Return3 |
|
|
18.93 |
% |
|
|
(8.06 |
)% |
|
|
13.78 |
% |
|
|
(2.60 |
)% |
|
|
6.54 |
% |
Net assets, end of period (000’s omitted) |
|
|
$87,539 |
|
|
|
$52,104 |
|
|
|
$37,885 |
|
|
|
$22,468 |
|
|
|
$20,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.45 |
% |
|
|
0.45 |
% |
|
|
0.45 |
%4 |
|
|
0.45 |
%4 |
|
|
0.45 |
%5 |
Net investment income |
|
|
2.61 |
% |
|
|
4.75 |
% |
|
|
5.42 |
% |
|
|
4.93 |
% |
|
|
5.48 |
%5 |
Portfolio turnover rate6 |
|
|
144 |
% |
|
|
38 |
% |
|
|
66 |
% |
|
|
70 |
% |
|
|
91 |
%7 |
1Commencement of operations.
2Based on average shares outstanding.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
4The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
5Annualized.
6Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
7Not annualized.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
65
|
|
Virtus InfraCap U.S. Preferred Stock ETF | ||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$19.26 |
|
|
|
$26.43 |
|
|
|
$24.47 |
|
|
|
$24.96 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
1.18 |
|
|
|
1.40 |
|
|
|
1.44 |
|
|
|
0.72 |
|
Net realized and unrealized gain (loss) |
|
|
6.62 |
|
|
|
(6.25 |
) |
|
|
2.80 |
|
|
|
(0.45 |
) |
Total from investment operations |
|
|
7.80 |
|
|
|
(4.85 |
) |
|
|
4.24 |
|
|
|
0.27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.76 |
|
Net investment income |
|
|
(1.59 |
) |
|
|
(1.81 |
) |
|
|
(2.28 |
) |
|
|
(0.76 |
) |
Net realized gains |
|
|
(0.26 |
) |
|
|
(0.43 |
) |
|
|
— |
|
|
|
— |
|
Return of capital |
|
|
(0.05 |
) |
|
|
(0.08 |
) |
|
|
— |
|
|
|
— |
|
Total distributions |
|
|
(1.90 |
) |
|
|
(2.32 |
) |
|
|
(2.28 |
) |
|
|
(0.76 |
) |
Net Asset Value, End of period |
|
|
$25.16 |
|
|
|
$19.26 |
|
|
|
$26.43 |
|
|
|
$24.47 |
|
Net Asset Value Total Return3 |
|
|
41.52 |
% |
|
|
(18.37 |
)% |
|
|
18.37 |
% |
|
|
1.02 |
% |
Net assets, end of period (000’s omitted) |
|
|
$527,121 |
|
|
|
$146,397 |
|
|
|
$88,525 |
|
|
|
$6,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
1.21 |
%4 |
|
|
1.47 |
%5 |
|
|
2.00 |
%6,7 |
|
|
2.13 |
%8,9 |
Net investment income |
|
|
4.93 |
% |
|
|
6.93 |
% |
|
|
5.66 |
% |
|
|
6.22 |
%8 |
Portfolio turnover rate10 |
|
|
35 |
% |
|
|
96 |
% |
|
|
150 |
% |
|
|
55 |
%11 |
1Commencement of operations.
2Based on average shares outstanding.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
4The ratios of expenses to average net assets include interest expense of 0.41%.
5The ratios of expenses to average net assets include interest expense of 0.63% and dividend expense on securities sold short fees of 0.04%.
6The ratios of expenses to average net assets include interest expense of 0.75% and dividend expense on securities sold short fees of 0.45%.
7The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
8Annualized.
9The ratios of expenses to average net assets include interest expense of 1.05% and dividend expense on securities sold short fees of 0.28%.
10Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
11Not annualized.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
66
|
|
Virtus LifeSci Biotech Clinical Trials ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$38.97 |
|
|
|
$26.42 |
|
|
|
$26.87 |
|
|
|
$27.73 |
|
|
|
$18.05 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss1 |
|
|
(0.26 |
) |
|
|
(0.15 |
) |
|
|
(0.13 |
) |
|
|
(0.15 |
) |
|
|
(0.12 |
) |
Net realized and unrealized gain (loss) |
|
|
5.65 |
|
|
|
12.70 |
|
|
|
(0.32 |
) |
|
|
(0.41 |
) |
|
|
9.80 |
|
Total from investment operations |
|
|
5.39 |
|
|
|
12.55 |
|
|
|
(0.45 |
) |
|
|
(0.56 |
) |
|
|
9.68 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.30 |
) |
|
|
— |
|
Total distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.30 |
) |
|
|
— |
|
Net Asset Value, End of year |
|
|
$44.36 |
|
|
|
$38.97 |
|
|
|
$26.42 |
|
|
|
$26.87 |
|
|
|
$27.73 |
|
Net Asset Value Total Return2 |
|
|
13.85 |
% |
|
|
47.50 |
% |
|
|
(1.67 |
)% |
|
|
(2.05 |
)% |
|
|
53.66 |
% |
Net assets, end of year (000’s omitted) |
|
|
$35,490 |
|
|
|
$37,018 |
|
|
|
$23,775 |
|
|
|
$36,269 |
|
|
|
$30,501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
%3 |
|
|
0.79 |
%3 |
|
|
0.83 |
% |
Net investment loss |
|
|
(0.53 |
)% |
|
|
(0.41 |
)% |
|
|
(0.50 |
)% |
|
|
(0.45 |
)% |
|
|
(0.53 |
)% |
Portfolio turnover rate4 |
|
|
76 |
% |
|
|
81 |
% |
|
|
67 |
% |
|
|
65 |
% |
|
|
45 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
67
|
|
Virtus LifeSci Biotech Products ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$48.19 |
|
|
|
$37.86 |
|
|
|
$36.33 |
|
|
|
$39.34 |
|
|
|
$28.91 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)1 |
|
|
(0.30 |
) |
|
|
(0.19 |
) |
|
|
(0.20 |
) |
|
|
(0.21 |
) |
|
|
0.07 |
|
Net realized and unrealized gain (loss) |
|
|
3.94 |
|
|
|
10.52 |
|
|
|
1.73 |
|
|
|
(2.73 |
) |
|
|
10.36 |
|
Total from investment operations |
|
|
3.64 |
|
|
|
10.33 |
|
|
|
1.53 |
|
|
|
(2.94 |
) |
|
|
10.43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
|
Net investment income |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.07 |
) |
|
|
— |
|
Total distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.07 |
) |
|
|
— |
|
Net Asset Value, End of year |
|
|
$51.83 |
|
|
|
$48.19 |
|
|
|
$37.86 |
|
|
|
$36.33 |
|
|
|
$39.34 |
|
Net Asset Value Total Return2 |
|
|
7.56 |
% |
|
|
27.27 |
% |
|
|
4.22 |
% |
|
|
(7.49 |
)% |
|
|
36.08 |
% |
Net assets, end of year (000’s omitted) |
|
|
$23,325 |
|
|
|
$26,505 |
|
|
|
$26,505 |
|
|
|
$27,248 |
|
|
|
$37,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.79 |
%3 |
|
|
0.79 |
%3 |
|
|
0.84 |
% |
Net investment income (loss) |
|
|
(0.57 |
)% |
|
|
(0.43 |
)% |
|
|
(0.51 |
)% |
|
|
(0.49 |
)% |
|
|
0.19 |
% |
Portfolio turnover rate4 |
|
|
44 |
% |
|
|
46 |
% |
|
|
41 |
% |
|
|
32 |
% |
|
|
34 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
68
|
|
Virtus Newfleet Multi-Sector Bond ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the | ||||||||||
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$24.66 |
|
|
|
$24.54 |
|
|
|
$23.85 |
|
|
|
$25.84 |
|
|
|
$25.96 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income1 |
|
|
0.89 |
|
|
|
0.96 |
|
|
|
1.06 |
|
|
|
1.12 |
|
|
|
1.09 |
|
Net realized and unrealized gain (loss) |
|
|
0.50 |
|
|
|
0.10 |
|
|
|
0.74 |
|
|
|
(1.51 |
) |
|
|
0.22 |
|
Total from investment operations |
|
|
1.39 |
|
|
|
1.06 |
|
|
|
1.80 |
|
|
|
(0.39 |
) |
|
|
1.31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.84 |
) |
|
|
(0.91 |
) |
|
|
(1.02 |
) |
|
|
(1.15 |
) |
|
|
(1.10 |
) |
Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.45 |
) |
|
|
(0.33 |
) |
Return of capital |
|
|
— |
|
|
|
(0.03 |
) |
|
|
(0.09 |
) |
|
|
— |
|
|
|
— |
|
Total distributions |
|
|
(0.84 |
) |
|
|
(0.94 |
) |
|
|
(1.11 |
) |
|
|
(1.60 |
) |
|
|
(1.43 |
) |
Net Asset Value, End of year |
|
|
$25.21 |
|
|
|
$24.66 |
|
|
|
$24.54 |
|
|
|
$23.85 |
|
|
|
$25.84 |
|
Net Asset Value Total Return2 |
|
|
5.71 |
% |
|
|
4.51 |
% |
|
|
7.74 |
% |
|
|
(1.62 |
)% |
|
|
5.26 |
% |
Net assets, end of year (000’s omitted) |
|
|
$20,171 |
|
|
|
$18,494 |
|
|
|
$24,535 |
|
|
|
$98,959 |
|
|
|
$169,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, net of expense waivers |
|
|
0.49 |
%3 |
|
|
0.55 |
%3 |
|
|
0.80 |
% |
|
|
0.80 |
% |
|
|
0.80 |
% |
Expenses, prior to expense waivers |
|
|
1.21 |
%3 |
|
|
1.15 |
%3 |
|
|
1.06 |
% |
|
|
0.86 |
% |
|
|
0.84 |
% |
Net investment income |
|
|
3.52 |
% |
|
|
3.95 |
% |
|
|
4.37 |
% |
|
|
4.51 |
% |
|
|
4.26 |
% |
Portfolio turnover rate4 |
|
|
107 |
% |
|
|
103 |
% |
|
|
95 |
% |
|
|
82 |
% |
|
|
113 |
% |
1Based on average shares outstanding.
2Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
3The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
4Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
69
|
|
Virtus Private Credit Strategy ETF | ||||||||||
|
|
For the |
|
For the |
|
For the Period | ||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$17.37 |
|
|
|
$24.72 |
|
|
|
$24.85 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
1.71 |
|
|
|
1.89 |
|
|
|
1.70 |
|
Net realized and unrealized gain (loss) |
|
|
8.62 |
|
|
|
(7.20 |
) |
|
|
(0.45 |
) |
Total from investment operations |
|
|
10.33 |
|
|
|
(5.31 |
) |
|
|
1.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.71 |
) |
|
|
(2.04 |
) |
|
|
(1.38 |
) |
Total distributions |
|
|
(1.71 |
) |
|
|
(2.04 |
) |
|
|
(1.38 |
) |
Net Asset Value, End of period |
|
|
$25.99 |
|
|
|
$17.37 |
|
|
|
$24.72 |
|
Net Asset Value Total Return3 |
|
|
61.32 |
% |
|
|
(21.70 |
)% |
|
|
5.03 |
% |
Net assets, end of period (000’s omitted) |
|
|
$31,189 |
|
|
|
$19,109 |
|
|
|
$211,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.75 |
% |
|
|
0.75 |
%4 |
|
|
0.75 |
%5 |
Net investment income |
|
|
7.27 |
% |
|
|
8.59 |
% |
|
|
9.24 |
%5 |
Portfolio turnover rate6 |
|
|
34 |
% |
|
|
24 |
% |
|
|
22 |
%7 |
1Commencement of operations.
2Based on average shares outstanding.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
4The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
5Annualized.
6Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
7Not annualized.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
70
|
|
Virtus Real Asset Income ETF | ||||||||||
|
|
For the |
|
For the |
|
For the Period | ||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$18.67 |
|
|
|
$24.72 |
|
|
|
$24.79 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
0.57 |
|
|
|
0.64 |
|
|
|
0.58 |
|
Net realized and unrealized gain (loss) |
|
|
8.66 |
|
|
|
(5.95 |
) |
|
|
(0.12 |
) |
Total from investment operations |
|
|
9.23 |
|
|
|
(5.31 |
) |
|
|
0.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
0.53 |
|
Net investment income |
|
|
(1.06 |
) |
|
|
(0.74 |
) |
|
|
(0.53 |
) |
Total distributions |
|
|
(1.06 |
) |
|
|
(0.74 |
) |
|
|
(0.53 |
) |
Net Asset Value, End of period |
|
|
$26.84 |
|
|
|
$18.67 |
|
|
|
$24.72 |
|
Net Asset Value Total Return3 |
|
|
50.16 |
% |
|
|
(21.53 |
)% |
|
|
1.87 |
% |
Net assets, end of period (000’s omitted) |
|
|
$139,583 |
|
|
|
$100,810 |
|
|
|
$244,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.55 |
% |
|
|
0.55 |
%4 |
|
|
0.55 |
%5 |
Net investment income |
|
|
2.30 |
% |
|
|
2.93 |
% |
|
|
3.20 |
%5 |
Portfolio turnover rate6 |
|
|
66 |
% |
|
|
91 |
% |
|
|
15 |
%7 |
1Commencement of operations.
2Based on average shares outstanding.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
4The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
5Annualized.
6Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
7Not annualized.
Financial Highlights (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
71
|
|
Virtus WMC International Dividend ETF | ||||||||||||||||||
|
|
For the |
|
For the |
|
For the |
|
For the |
|
For the Period | ||||||||||
Per Share Data for a Share Outstanding throughout each period presented: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$23.94 |
|
|
|
$26.41 |
|
|
|
$24.97 |
|
|
|
$25.10 |
|
|
|
$25.00 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income2 |
|
|
1.29 |
|
|
|
0.52 |
|
|
|
0.52 |
|
|
|
0.50 |
|
|
|
0.01 |
|
Net realized and unrealized gain (loss) |
|
|
5.18 |
|
|
|
(2.08 |
) |
|
|
1.95 |
|
|
|
(0.53 |
) |
|
|
0.09 |
|
Total from investment operations |
|
|
6.47 |
|
|
|
(1.56 |
) |
|
|
2.47 |
|
|
|
(0.03 |
) |
|
|
0.10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.15 |
) |
|
|
(0.91 |
) |
|
|
(0.49 |
) |
|
|
(0.10 |
) |
|
|
— |
|
Net realized gains |
|
|
(0.69 |
) |
|
|
— |
|
|
|
(0.54 |
) |
|
|
— |
|
|
|
— |
|
Total distributions |
|
|
(1.84 |
) |
|
|
(0.91 |
) |
|
|
(1.03 |
) |
|
|
(0.10 |
) |
|
|
— |
|
Net Asset Value, End of period |
|
|
$28.57 |
|
|
|
$23.94 |
|
|
|
$26.41 |
|
|
|
$24.97 |
|
|
|
$25.10 |
|
Net Asset Value Total Return3 |
|
|
27.41 |
% |
|
|
(6.20 |
)% |
|
|
10.60 |
% |
|
|
(0.11 |
)% |
|
|
0.38 |
% |
Net assets, end of period (000’s omitted) |
|
|
$7,142 |
|
|
|
$4,788 |
|
|
|
$5,281 |
|
|
|
$4,995 |
|
|
|
$5,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.49 |
%4 |
|
|
0.49 |
%4 |
|
|
0.49 |
%5 |
Net investment income |
|
|
4.47 |
% |
|
|
2.04 |
% |
|
|
2.08 |
% |
|
|
1.88 |
% |
|
|
0.76 |
%5 |
Portfolio turnover rate6 |
|
|
68 |
% |
|
|
211 |
% |
|
|
88 |
% |
|
|
80 |
% |
|
|
23 |
%7 |
1Commencement of operations.
2Based on average shares outstanding.
3Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
4The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
5Annualized.
6Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
7Not annualized.
72
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of October 31, 2021, 10 funds of the Trust are offered for sale. The InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC International Dividend ETF (each a “Fund” and collectively, the “Funds”) are presented in this annual report. The offering of each Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Funds |
Commencement | |
InfraCap REIT Preferred ETF |
February 7, 2017 | |
Virtus InfraCap U.S. Preferred Stock ETF |
May 15, 2018 | |
Virtus LifeSci Biotech Clinical Trials ETF |
December 16, 2014 | |
Virtus LifeSci Biotech Products ETF |
December 16, 2014 | |
Virtus Newfleet Multi-Sector Bond ETF |
August 10, 2015 | |
Virtus Private Credit Strategy ETF |
February 7, 2019 | |
Virtus Real Asset Income ETF |
February 7, 2019 | |
Virtus WMC International Dividend ETF |
October 10, 2017 |
InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Private Credit Strategy ETF and Virtus Real Asset Income ETF are “non-diversified” Funds, as defined under the 1940 Act, as of the year ended October 31, 2021.
The Funds have the following investment objectives:
InfraCap REIT Preferred ETF seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx REIT Preferred Stock Index.
Virtus InfraCap U.S. Preferred Stock ETF seeks current income and, secondarily, capital appreciation.
Virtus LifeSci Biotech Clinical Trials ETF and Virtus LifeSci Biotech Products ETF seek investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Clinical Trials Index and LifeSci Biotechnology Products Index, respectively.
Virtus Newfleet Multi-Sector Bond ETF seeks to provide a high level of current income and, secondarily, capital appreciation.
Virtus Private Credit Strategy ETF seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Private Credit Index. Virtus Private Credit Strategy ETF is a “fund of funds,” meaning it will generally invest its assets in other registered investment companies.
Virtus Real Asset Income ETF seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Real Asset Income Index.
Virtus WMC International Dividend ETF’s seeks income.
There is no guarantee that a Fund will achieve its objective(s).
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
73
Notes to Financial Statements (continued)
October 31, 2021
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates
(b) Indemnification
In the normal course of business, the Funds may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
(c) Security Valuation
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and Exchange-Traded Funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith using procedures adopted by the Trust’s Board of Trustees (the “Board”). Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. Such valuations are typically categorized as Level 2 in the fair value hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued using procedures adopted by the Board are generally categorized as Level 3 in the fair value hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in other open-end investment companies are valued based on their net asset value each business day. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the fair value hierarchy.
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
74
Notes to Financial Statements (continued)
October 31, 2021
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value each Fund’s investments at October 31, 2021, is disclosed at the end of each Fund’s Schedule of Investments.
(e) Security Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses and interest income are recognized on the accrual basis. Amortization of premium and accretion of discount on debt securities are included in interest income. Each Fund amortizes premiums and accretes discounts using the effective interest method.
Dividend income from REIT investments is recorded using management’s estimate of the income included in distributions received from the REIT investments. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each domestic REIT after its fiscal year-end, and may differ from the estimated amounts.
(f) Foreign Taxes
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
(g) Expenses
Each Fund pays all of its expenses not assumed by its Sub-Adviser, if any, as defined in Note 3, or the Adviser. General Trust expenses that are allocated among and charged to the assets of the Funds and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of each Fund and other series of the Trust or the nature of the services performed and relative applicability to each Fund and other series of the Trust.
(h) Short Sales
The Virtus InfraCap U.S. Preferred Stock ETF may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
(i) Distributions to Shareholders
Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from GAAP in the United States of America.
(j) Foreign Currency Translation
Non-U.S. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date the income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
75
Notes to Financial Statements (continued)
October 31, 2021
(k) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
(l) Loan Agreements
The Virtus Newfleet Multi-Sector Bond ETF may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers, and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
(m) Securities Lending
Certain Funds may loan securities to qualified brokers through an agreement with The Bank of New York Mellon (“BNY Mellon”), as a third party lending agent. Under the terms of the agreement, a Fund doing so is required to maintain collateral with a market value not less than 102% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by a Fund net of fees and rebates charged by BNY Mellon for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
At October 31, 2021, the following Funds had securities on loan:
Funds |
|
Market Value |
|
Cash Collateral |
|
Non Cash Collateral(a) |
|
Net Amount(b) | |
Virtus LifeSci Biotech Clinical Trials ETF |
|
$8,901,218 |
|
$3,212,074 |
|
$6,039,739 |
|
$0 | |
Virtus LifeSci Biotech Products ETF |
|
4,496,529 |
|
1,727,478 |
|
2,970,126 |
|
0 | |
Virtus Private Credit Strategy ETF |
|
5,699,185 |
|
3,894,917 |
|
1,963,131 |
|
0 | |
Virtus Real Asset Income ETF |
|
10,170,205 |
|
1,923,290 |
|
9,133,374 |
|
0 |
(a) Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s statement of assets and liabilities.
(b) Net amount represents the net amount receivable due from the counterparty in the event of default.
Funds not listed in table above did not have any securities on loan at October 31, 2021.
76
Notes to Financial Statements (continued)
October 31, 2021
The following table presents the contract value of securities lending transactions and the type of collateral provided to counterparties.
Remaining Contractual Maturity of the Agreements, as of October 31, 2021
|
|
|
Overnight
and |
|
Between |
|
Total |
| ||||
<30 Days |
|
30 & 90 days |
|
>90 days | ||||||||
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$9,251,813 |
|
$— |
|
$— |
|
$— |
|
$9,251,813 |
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$9,251,813 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Virtus LifeSci Biotech Products ETF |
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$4,697,604 |
|
$— |
|
$— |
|
$— |
|
$4,697,604 |
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$4,697,604 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Virtus Private Credit Strategy ETF |
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$5,858,048 |
|
$— |
|
$— |
|
$— |
|
$5,858,048 |
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$5,858,048 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Virtus Real Asset Income ETF |
|
|
|
|
|
|
|
|
|
|
|
|
Securities Lending Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$11,056,664 |
|
$— |
|
$— |
|
$— |
|
$11,056,664 |
|
|
Gross amount of recognized liabilities for securities lending transactions: |
|
$11,056,664 |
|
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreements
The Trust, on behalf of each Fund, has entered into Investment Advisory Agreements (collectively, “Advisory Agreement”) with Virtus ETF Advisers LLC (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Funds’ securities portfolios. The Adviser has agreed to pay all of the ordinary operating expenses of the Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF, except for each Fund’s management fee; payments under any 12b-1 plan; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Funds. The Adviser is entitled to receive a fee from each Fund (unless otherwise noted below) based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate as follows:
Funds |
|
Rate |
InfraCap REIT Preferred ETF |
|
0.45%, subject to a minimum annual fee of $25,000 per year |
Virtus InfraCap U.S. Preferred Stock ETF |
|
0.80% |
Virtus LifeSci Biotech Clinical Trials ETF |
|
0.79% |
Virtus LifeSci Biotech Products ETF |
|
0.79% |
Virtus Newfleet Multi-Sector Bond ETF |
|
0.45% |
Virtus Private Credit Strategy ETF |
|
0.75% |
Virtus Real Asset Income ETF |
|
0.55% |
Virtus WMC International Dividend ETF |
|
0.49% |
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
77
Notes to Financial Statements (continued)
October 31, 2021
Expense Limitation Agreement
The Adviser has contractually agreed to reduce its fees and reimburse expenses in order to limit Virtus Newfleet Multi-Sector Bond ETF’s total operating expenses (excluding interest, taxes, brokerage fees and commissions, other expenditures that are capitalized in accordance with generally accepted accounting principles, acquired fund fees and expenses, other extraordinary expenses not incurred in the ordinary course of the Funds’ business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act) from exceeding 0.49% of the Fund’s average daily net assets through at least February 28, 2022.
The expense limitation agreement
with respect to Virtus Newfleet Multi-Sector Bond ETF will be terminated upon
termination of
the Advisory Agreement between
the Adviser and the Fund. In addition, while the Adviser or the Fund may
discontinue the expense
limitation agreement after the
contractual period, it may only be terminated during its term with the approval
of the Fund’s Board
of Trustees.
Under certain conditions, the Adviser may recapture operating expenses waived or reimbursed under the expense limitation agreement for a period of three years following the date on which such waiver or reimbursement occurred; provided that such recapture may not cause the Fund’s total operating expenses to exceed 0.49% of the average daily net assets of the Fund (or any lower expense limitation or limitations to which the Fund and the Adviser may otherwise agree). All or a portion of the following expenses reimbursed by the Adviser may be recaptured during the fiscal years indicated:
Fund |
|
2022 |
|
2023 |
|
2024 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
$135,034 |
|
$125,300 |
|
$140,870 |
|
Sub-Advisory Agreement
Each Sub-Adviser provides investment advice and management services to its respective Fund. Pursuant to an investment sub-advisory agreement among the Trust, the respective Sub-Adviser and the Adviser, the Adviser pays each Fund’s Sub-Adviser a sub-advisory fee calculated as shown below. The Adviser has delegated to the InfraCap REIT Preferred ETF and Virtus InfraCap U.S. Preferred Stock ETF’s sub-adviser the obligation to pay all of the ordinary operating expenses of each of those Funds, except for the management fee paid to the Adviser; payments under any 12b-1 plan adopted by the Fund; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Fund. The Sub-Advisers and sub-advisory fees for each Fund are listed below.
Funds |
|
Sub-Advisers |
|
Sub-Advisory Fees |
|
InfraCap REIT Preferred ETF |
|
Infrastructure Capital Advisors, LLC |
|
0.375%* |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
Infrastructure Capital Advisors, LLC |
|
0.66%* |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
Newfleet Asset Management, LLC(1) |
|
50% of the net advisory fee*+ |
|
Virtus WMC International Dividend ETF |
|
Wellington Management Company LLP |
|
0.21%* |
|
(1)An indirect wholly owned subsidiary of Virtus.
*InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Newfleet Multi-Sector Bond ETF and Virtus WMC International Dividend ETF’s sub-advisory fees are paid for by the Adviser, not the Funds.
+Net advisory fee: In the event the Adviser waives its entire fee and also assumes expenses of the Trust pursuant to an applicable expense limitation agreement, the Sub-Adviser will similarly waive its entire fee and will share in the expense assumption by promptly paying to the Adviser (or its designee) 50% of the assumed amount.
If during the term of the Sub-Advisory Agreement the Adviser later recaptures some or all of fees waived or expenses reimbursed by the Adviser and the Sub-Adviser together, then the Adviser will pay to the Sub-Adviser 50% of the amount recaptured.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Funds’ principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Funds. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly-owned subsidiary of Virtus.
78
Notes to Financial Statements (continued)
October 31, 2021
Distribution and Service (12b-1 Plan)
The Board of Trustees has adopted a distribution and service plan, under which InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF (collectively, the “12b-1 Funds”) are authorized to pay an amount up to 0.25% of their average daily net assets each year to finance activities primarily intended to result in the sale of Creation Units of the 12b-1 Funds or the provision of investor services. No 12b-1 fees are currently paid by the 12b-1 Funds and there are no current plans to impose these fees.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Funds’ operational administrator. The Administrator supervises the overall administration of the Trust and the Funds including, among other responsibilities, the coordination and day-to-day oversight of the Funds’ operations, the service providers’ communications with the Funds and each other and assistance with Trust, Board and contractual matters related to the Funds and other series of the Trust. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Funds’ accounting services administrator. BNY Mellon also serves as the custodian for the Funds’ assets, and serves as transfer agent and dividend paying agent for the Funds.
Affiliated Shareholders
At October 31, 2021, Virtus Partners, Inc. held shares of Virtus WMC International Dividend ETF which may be sold at any time that aggregated to the following:
|
|
Shares |
|
% of
share |
|
Virtus WMC International Dividend ETF |
|
184,507 |
|
73.8% |
|
At October 31, 2021, the respective sub-adviser of the below Funds held shares of such Fund which may be redeemed at any time that aggregated to the following:
|
|
Shares |
|
% of share outstanding |
|
InfraCap REIT Preferred ETF |
|
4,197 |
|
0.1% |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
503,264 |
|
2.4% |
|
4. CREATION AND REDEMPTION TRANSACTIONS
The Funds issue and redeem shares on a continuous basis at Net Asset Value (“NAV”) in groups of 50,000 shares called “Creation Units.” The Funds’ Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Funds. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
79
Notes to Financial Statements (continued)
October 31, 2021
5. FEDERAL INCOME TAX
Each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders. Therefore, no federal income or excise tax provision is required. Accounting for Uncertainty in Income Taxes as issued by the Financial Accounting Standards Board provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing a Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalties related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2019, 2020 and 2021), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of October 31, 2021, the Funds did not have a liability for any unrecognized tax benefits or uncertain tax positions that would require recognition in the financial statements. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
The Funds recognize interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the year ended October 31, 2021, the Funds had no accrued penalties or interest.
At October 31, 2021, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
|
|
Federal Tax Cost Of Investments |
|
Gross Unrealized Appreciation |
|
Gross Unrealized Depreciation |
|
Net Unrealized Appreciation (Depreciation) |
|
InfraCap REIT Preferred ETF |
|
$82,727,953 |
|
$3,747,947 |
|
$(303,531 |
) |
$3,444,416 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
635,782,599 |
|
51,073,863 |
|
(3,823,571 |
) |
47,250,292 |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
50,104,138 |
|
4,481,171 |
|
(16,260,968 |
) |
(11,779,797 |
) |
Virtus LifeSci Biotech Products ETF |
|
29,087,552 |
|
3,098,775 |
|
(7,614,717 |
) |
(4,515,942 |
) |
Virtus Newfleet Multi-Sector Bond ETF |
|
19,937,433 |
|
451,175 |
|
(212,536 |
) |
238,639 |
|
Virtus Private Credit Strategy ETF |
|
34,845,132 |
|
688,161 |
|
(929,178 |
) |
(241,017 |
) |
Virtus Real Asset Income ETF |
|
126,700,978 |
|
23,853,447 |
|
(10,358,303 |
) |
13,495,144 |
|
Virtus WMC International Dividend ETF |
|
6,926,213 |
|
635,393 |
|
(474,525 |
) |
160,868 |
|
At October 31, 2021, the components of accumulated earnings/loss on a tax-basis were as follows:
|
|
Undistributed Ordinary Income |
|
Accumulated Capital and Other Gain (Loss) |
|
Net Unrealized Appreciation (Depreciation) |
|
Total Accumulated Earnings (Loss) |
|
InfraCap REIT Preferred ETF |
|
$— |
|
$(2,970,662 |
) |
$3,444,416 |
|
$473,754 |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
— |
|
— |
|
47,250,292 |
|
47,250,292 |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
— |
|
(32,307,798 |
) |
(11,779,797 |
) |
(44,087,595 |
) |
Virtus LifeSci Biotech Products ETF |
|
— |
|
(11,823,850 |
) |
(4,515,942 |
) |
(16,339,792 |
) |
Virtus Newfleet Multi-Sector Bond ETF |
|
22,134 |
|
(2,941,047 |
) |
238,639 |
|
(2,680,274 |
) |
Virtus Private Credit Strategy ETF |
|
218,699 |
|
(7,640,770 |
) |
(241,017 |
) |
(7,663,088 |
) |
Virtus Real Asset Income ETF |
|
— |
|
(32,852,607 |
) |
13,495,144 |
|
(19,357,463 |
) |
Virtus WMC International Dividend ETF |
|
444,895 |
|
16,303 |
|
160,619 |
|
621,817 |
|
Ordinary losses incurred after December 31 (“Late Year Ordinary Losses”) within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. During the fiscal year ended October 31, 2021, the following Funds incurred and elected to defer Late Year Ordinary Losses as follows:
Virtus LifeSci Biotech Clinical Trials ETF |
|
$202,772 |
Virtus LifeSci Biotech Products ETF |
|
136,461 |
80
Notes to Financial Statements (continued)
October 31, 2021
The tax character of dividends and distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
|
|
2021 |
|
2020 | ||||||||
|
|
Distributions Paid From Ordinary Income |
|
Return of Capital |
|
Distributions Paid From Long-Term Capital Gains |
|
Distributions Paid From Ordinary Income |
|
Return of Capital |
|
Distributions Paid From Long-Term Capital Gains |
InfraCap REIT Preferred ETF |
|
$4,362,006 |
|
$— |
|
$— |
|
$2,574,003 |
|
$515,003 |
|
$— |
Virtus InfraCap U.S. Preferred Stock ETF |
|
24,292,189 |
|
699,861 |
|
3,949,958 |
|
10,659,405 |
|
407,094 |
|
168,010 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
Virtus LifeSci Biotech Products ETF |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
Virtus Newfleet Multi-Sector Bond ETF |
|
650,084 |
|
— |
|
— |
|
782,228 |
|
24,957 |
|
— |
Virtus Private Credit Strategy ETF |
|
2,013,183 |
|
— |
|
— |
|
10,783,196 |
|
— |
|
— |
Virtus Real Asset Income ETF |
|
5,617,918 |
|
— |
|
— |
|
5,787,929 |
|
— |
|
— |
Virtus WMC International Dividend ETF |
|
406,622 |
|
— |
|
— |
|
181,086 |
|
— |
|
— |
Short-term gain distributions if any, are reported as ordinary income for federal tax purposes.
At October 31, 2021, for Federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains for an unlimited period. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders:
|
|
Short-Term No Expiration |
|
Long-Term No Expiration |
|
Total |
InfraCap REIT Preferred ETF |
|
$2,970,662 |
|
$— |
|
$2,970,662 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
— |
|
— |
|
— |
Virtus LifeSci Biotech Clinical Trials ETF |
|
16,514,036 |
|
15,590,990 |
|
32,105,026 |
Virtus LifeSci Biotech Products ETF |
|
3,725,200 |
|
7,962,189 |
|
11,687,389 |
Virtus Newfleet Multi-Sector Bond ETF |
|
719,248 |
|
2,221,799 |
|
2,941,047 |
Virtus Private Credit Strategy ETF |
|
2,966,320 |
|
4,674,450 |
|
7,640,770 |
Virtus Real Asset Income ETF |
|
21,282,480 |
|
11,570,127 |
|
32,852,607 |
Virtus WMC International Dividend ETF |
|
— |
|
— |
|
— |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Results of operations and net assets were not affected by these reclassifications. Reclassifications are primarily due to tax treatment of redemptions in kind. At October 31, 2021, the effect of permanent book/tax reclassifications resulted in increases (decreases) to the components of net assets as follows:
|
|
Distributable Earnings (Accumulated Deficit) |
|
Paid-In-Capital |
|
InfraCap REIT Preferred ETF |
|
$443,199 |
|
$(443,199 |
) |
Virtus InfraCap U.S. Preferred Stock ETF |
|
2,701,478 |
|
(2,701,478 |
) |
Virtus LifeSci Biotech Clinical Trials ETF |
|
(13,738,850 |
) |
13,738,850 |
|
Virtus LifeSci Biotech Products ETF |
|
(5,276,052 |
) |
5,276,052 |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
(6,261 |
) |
6,261 |
|
Virtus Private Credit Strategy ETF |
|
(2,262,197 |
) |
2,262,197 |
|
Virtus Real Asset Income ETF |
|
(9,316,009 |
) |
9,316,009 |
|
Virtus WMC International Dividend ETF |
|
— |
|
— |
|
81
Notes to Financial Statements (continued)
October 31, 2021
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscription in-kind and redemption in-kind for the year ended October 31, 2021 were as follows:
|
|
Purchases |
|
Sales |
|
Subscriptions In-Kind |
|
Redemptions In-Kind |
InfraCap REIT Preferred ETF |
|
$103,023,019 |
|
$102,623,703 |
|
$44,490,894 |
|
$16,550,072 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
187,495,211 |
|
163,356,277 |
|
439,022,883 |
|
33,999,423 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
32,506,326 |
|
32,254,232 |
|
30,591,952 |
|
38,303,158 |
Virtus LifeSci Biotech Products ETF |
|
11,755,431 |
|
11,731,381 |
|
13,621,965 |
|
19,165,615 |
Virtus Newfleet Multi-Sector Bond ETF |
|
19,726,575 |
|
18,361,737 |
|
— |
|
— |
Virtus Private Credit Strategy ETF |
|
9,064,401 |
|
8,748,336 |
|
31,555,583 |
|
28,423,963 |
Virtus Real Asset Income ETF |
|
90,392,635 |
|
87,061,017 |
|
47,418,404 |
|
54,132,196 |
Virtus WMC International Dividend ETF |
|
4,292,782 |
|
4,184,846 |
|
1,279,393 |
|
— |
Purchases and sales of long-term U.S. Government Securities for the year ended October 31, 2021 were as follows:
|
|
Purchases |
|
Sales |
Virtus Newfleet Multi-Sector Bond ETF |
|
1,225,343 |
|
1,351,567 |
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Virtus InfraCap U.S. Preferred Stock ETF may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Virtus InfraCap U.S. Preferred Stock ETF may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
Transactions in derivative instruments reflected on the Statement of Operations during the year ended October 31, 2021 were as follows:
Net Realized Gain (Loss) on: |
|
Equity Risk |
Written options |
|
$5,460 |
For the year ended October 31, 2021, the monthly average market value of the written options contracts held by the Fund were $(3,142).
8. BORROWINGS
The Virtus InfraCap U.S. Preferred Stock ETF entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the 3 Month LIBOR (London Interbank Offered Rate) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the year
82
Notes to Financial Statements (continued)
October 31, 2021
ended October 31, 2021, the average daily borrowings under the Agreements and the weighted average interest rate were $106,124,143 and 1.36%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Funds could result in a loss or the performance of the Funds could be inferior to that of other investments. An investor should consider each Fund’s investment objectives, risks, and charges and expenses carefully before investing. Each Fund’s prospectus and statement of additional information contain this and other important information.
Credit Risk
Junk Bonds or High Yield Securities: High yield securities are generally subject to greater levels of credit quality risk than investment grade securities. The retail secondary market for these “junk bonds” may be less liquid than that of higher-rated fixed income securities, and adverse conditions could make it difficult at times to sell these securities or could result in lower prices than higher-rated fixed income securities. These risks can reduce the value of the Fund’s shares and the income it earns.
Cash Concentration Risk
At various times, the Funds may have cash and cash collateral balances that exceed federally insured limits.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on each Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. LIBOR REPLACEMENT RISK
On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. Although many LIBOR rates will be phased out at the end of 2021 as originally intended, a selection of widely used USD LIBOR rates will continue to be published until June 2023 in order to assist with the transition. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As a result, any impact of a transition away from LIBOR on the Funds or the instruments in which the Funds invest cannot yet be determined. Industry initiatives are underway to identify alternative reference rates such as the Secured Overnight Funding Rate (“SOFR”), which the Federal Reserve Bank of New York began publishing in April 2018; however, there is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. As a result, the transition process might lead to increased volatility and reduced liquidity in markets that currently rely on LIBOR to determine interest rates; a reduction in the value of some LIBOR-based investments; and/or costs incurred in connection with closing out positions and entering into new agreements. These effects could occur prior to the end of 2021 as the utility of LIBOR as a reference rate could deteriorate during the transition period.
11. 10% SHAREHOLDERS
As of October 31, 2021, certain Funds had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
Funds |
|
% of Shares Outstanding |
|
Number of Accounts |
InfraCap REIT Preferred ETF |
|
58% |
|
3 |
Virtus InfraCap U.S. Preferred Stock ETF |
|
63% |
|
3 |
Virtus LifeSci Biotech Clinical Trials ETF |
|
49% |
|
3 |
Virtus LifeSci Biotech Products ETF |
|
54% |
|
3 |
Virtus Newfleet Multi-Sector Bond ETF |
|
84% |
|
5 |
Virtus Private Credit Strategy ETF |
|
62% |
|
2 |
Virtus Real Asset Income ETF |
|
94% |
|
1 |
Virtus WMC International Dividend ETF |
|
85% |
|
2* |
*Shareholder account is affiliated.
83
Notes to Financial Statements (continued)
October 31, 2021
12. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No.2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
13. CORONAVIRUS (COVID-19) PANDEMIC
The global outbreak of COVID-19 has disrupted economic markets, and the economic impact, duration and spread of the COVID-19 virus is uncertain at this time. The operational and financial performance of the issuers of securities in which the Funds invest may be significantly impacted by COVID-19, which may in turn impact the value of the Funds’ investments.
14. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
The accompanying notes are an integral part of these financial statements.
84
Security Description |
|
Shares |
|
Value |
|
|
|
|
|
|
|
COMMON STOCKS — 134.7% |
|
|
|
|
|
|
|
|
|
| |
Energy — 134.7% |
|
|
|
| |
BP Midstream Partners LP(1) |
|
649,401 |
|
$8,637,033 |
|
Cheniere Energy Partners LP(1) |
|
39,543 |
|
1,741,869 |
|
Cheniere Energy, Inc. |
|
783 |
|
80,962 |
|
Crestwood Equity Partners LP(1) |
|
589,081 |
|
17,171,711 |
|
DCP Midstream LP(1) |
|
724,245 |
|
22,524,020 |
|
Enable Midstream Partners LP(1) |
|
1,046,661 |
|
8,519,821 |
|
Enbridge, Inc. (Canada) |
|
1,484 |
|
62,120 |
|
Energy Transfer LP(1)(2) |
|
2,663,022 |
|
25,325,339 |
|
EnLink Midstream LLC(1) |
|
1,449,633 |
|
11,379,619 |
|
Enterprise Products Partners LP(1)(2) |
|
1,544,491 |
|
35,029,056 |
|
Genesis Energy LP(1) |
|
317,337 |
|
3,458,973 |
|
Hess Midstream LP Class A |
|
4,672 |
|
117,594 |
|
Holly Energy Partners LP(1) |
|
602,824 |
|
11,104,018 |
|
Kinder Morgan, Inc.(2) |
|
204,631 |
|
3,427,569 |
|
Magellan Midstream Partners LP(1) |
|
1,059,373 |
|
51,909,277 |
|
Marathon Petroleum Corp. |
|
752 |
|
49,580 |
|
MPLX LP(1)(2) |
|
1,724,714 |
|
51,948,386 |
|
NuStar Energy LP(1) |
|
1,816,254 |
|
28,896,601 |
|
ONEOK, Inc. |
|
36 |
|
2,290 |
|
Phillips 66 Partners LP(1) |
|
793,445 |
|
29,309,858 |
|
Plains All American Pipeline LP(1) |
|
3,064,376 |
|
31,011,485 |
|
Shell Midstream Partners LP(1) |
|
1,152,701 |
|
14,339,601 |
|
TC Energy Corp. (Canada) |
|
8,167 |
|
441,835 |
|
Western Midstream Partners LP(1) |
|
1,743,691 |
|
37,053,434 |
|
Williams Cos., Inc. (The)(2) |
|
118,887 |
|
3,339,536 |
|
|
|
|
|
|
|
TOTAL INVESTMENTS — 134.7% |
|
|
|
|
|
(Cost $356,745,612) |
|
|
|
396,881,587 |
|
Liabilities in Excess of Other Assets — (34.7)% |
|
|
|
(102,253,090 |
) |
Net Assets — 100.0% |
|
|
|
$294,628,497 |
|
Security Description |
|
Notional Amount |
|
Number of contracts |
|
Value |
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS — (0.1)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written Call Options |
|
|
|
|
|
|
|
Energy Transfer LP, Expires 11/12/21, Strike Price $10.00 |
|
|
|
|
|
|
|
(121,000 |
) |
(1,210 |
) |
$(10,890 |
) | ||
Energy Transfer LP, Expires 11/19/21, Strike Price $10.00 |
|
|
|
|
|
|
|
(100,000 |
) |
(1,000 |
) |
(12,000 |
) | ||
Energy Transfer LP, Expires 11/26/21, Strike Price $10.00 |
|
|
|
|
|
|
|
(100,000 |
) |
(1,000 |
) |
(12,000 |
) |
Security Description |
|
Notional Amount |
|
Number of contracts |
|
Value |
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written Call Options (continued) |
|
|
|
|
|
|
|
Enterprise Products Partners LP, Expires 11/12/21, Strike Price $25.00 |
|
|
|
|
|
|
|
(120,000 |
) |
(1,200 |
) |
$(2,400 |
) | ||
Enterprise Products Partners LP, Expires 11/26/21, Strike Price $24.00 |
|
|
|
|
|
|
|
(131,000 |
) |
(1,310 |
) |
(13,100 |
) | ||
Enterprise Products Partners LP, Expires 11/26/21, Strike Price $24.50 |
|
|
|
|
|
|
|
(112,000 |
) |
(1,120 |
) |
(4,480 |
) | ||
Kinder Morgan, Inc., Expires 11/05/21, Strike Price $18.00 |
|
|
|
|
|
|
|
(110,000 |
) |
(1,100 |
) |
(2,200 |
) | ||
Kinder Morgan, Inc., Expires 11/12/21, Strike Price $18.00 |
|
|
|
|
|
|
|
(113,000 |
) |
(1,130 |
) |
(4,520 |
) | ||
Kinder Morgan, Inc., Expires 11/19/21, Strike Price $18.00 |
|
|
|
|
|
|
|
(100,000 |
) |
(1,000 |
) |
(5,000 |
) | ||
MPLX LP, Expires 11/19/21, Strike Price $30.00 |
|
|
|
|
|
|
|
(1,000 |
) |
(10 |
) |
(500 |
) | ||
Williams Cos., Inc. (The), Expires 11/12/21, Strike Price $29.00 |
|
|
|
|
|
|
|
(101,000 |
) |
(1,010 |
) |
(20,200 |
) | ||
|
|
|
|
|
|
|
|
Written Put Options |
|
|
|
|
|
|
|
Cheniere Energy, Inc., Expires 11/19/21, Strike Price $90.00 |
|
|
|
|
|
|
|
(23,000 |
) |
(230 |
) |
(5,750 |
) | ||
Enterprise Products Partners LP, Expires 11/05/21, Strike Price $23.50 |
|
|
|
|
|
|
|
(111,000 |
) |
(1,110 |
) |
(113,220 |
) | ||
Enterprise Products Partners LP, Expires 11/12/21, Strike Price $23.50 |
|
|
|
|
|
|
|
(122,000 |
) |
(1,220 |
) |
(111,020 |
) | ||
Marathon Petroleum Corp., Expires 11/05/21, Strike Price $64.00 |
|
|
|
|
|
|
|
(41,000 |
) |
(410 |
) |
(31,160 |
) | ||
ONEOK, Inc., Expires 11/05/21, Strike Price $62.00 |
|
|
|
|
|
|
|
(10,000 |
) |
(100 |
) |
(6,000 |
) | ||
Total Written Options — (0.1)% |
|
|
|
|
|
|
|
(Premiums Received $223,932) |
|
|
|
|
|
$(354,440 |
) |
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at October 31, 2021 was $280,926,790.
(2)Subject to written call options.
Schedule of Investments — InfraCap MLP ETF (continued)
October 31, 2021
The accompanying notes are an integral part of these financial statements.
85
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of October 31, 2021.
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
Common Stocks |
|
$396,881,587 |
|
$— |
|
$— |
|
$396,881,587 |
Total |
|
$396,881,587 |
|
$— |
|
$— |
|
$396,881,587 |
Liability Valuation Inputs |
|
|
|
|
|
|
|
|
Written Options |
|
$354,440 |
|
$— |
|
$— |
|
$354,440 |
Total |
|
$354,440 |
|
$— |
|
$— |
|
$354,440 |
The accompanying notes are an integral part of these financial statements.
86
|
|
InfraCap MLP ETF |
|
Assets: |
|
|
|
Investments, at cost |
|
$356,745,612 |
|
Investments, at value |
|
396,881,587 |
|
Cash |
|
128,899 |
|
Foreign currency(a) |
|
928 |
|
Due from brokers |
|
1,334,011 |
|
Receivables: |
|
|
|
Investment securities sold |
|
4,774,136 |
|
Dividends and interest |
|
191,209 |
|
Tax reclaim |
|
9,516 |
|
Prepaid taxes |
|
7,628,599 |
|
Prepaid expenses |
|
8,199 |
|
Total Assets |
|
410,957,084 |
|
Liabilities: |
|
|
|
Borrowings |
|
109,749,208 |
|
Payables: |
|
|
|
Investment securities purchased |
|
5,854,000 |
|
Interest expense |
|
120,105 |
|
Sub-Advisory fees |
|
250,834 |
|
Written options, at value(b) |
|
354,440 |
|
Total Liabilities |
|
116,328,587 |
|
Net Assets |
|
$294,628,497 |
|
Net Assets Consist of: |
|
|
|
Paid-in capital |
|
$520,045,462 |
|
Total distributable earnings (accumulated deficit), net of income taxes |
|
(225,416,965 |
) |
Net Assets |
|
$294,628,497 |
|
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) |
|
10,790,000 |
|
Net asset value per share |
|
$27.31 |
|
(a)Foreign currency, at cost |
|
$928 |
|
(b)Premiums received from written options |
|
$223,932 |
|
The accompanying notes are an integral part of these financial statements.
87
|
|
InfraCap MLP ETF |
|
Investment Income: |
|
|
|
Distributions from master limited partnerships |
|
$24,001,714 |
|
Dividend income (net of foreign withholding taxes) |
|
768,690 |
|
Interest income |
|
150 |
|
Less: Return of capital distributions |
|
(24,548,369 |
) |
Total Investment Income |
|
222,185 |
|
|
|
|
|
Expenses: |
|
|
|
Sub-Advisory fees |
|
2,219,445 |
|
Interest expenses |
|
1,060,140 |
|
Total Expenses |
|
3,279,585 |
|
Net Investment (Loss) Before Income Taxes |
|
(3,057,400 |
) |
Net Investment (Loss), Net of Income Taxes |
|
(3,057,400 |
) |
|
|
|
|
Net Realized Gain (Loss) on: |
|
|
|
Investments |
|
(16,492,213 |
) |
Written options |
|
2,348,751 |
|
Foreign currency transactions |
|
2,082 |
|
Total Net Realized Loss |
|
(14,141,380 |
) |
|
|
|
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
|
|
Investments |
|
147,706,966 |
|
Written options |
|
(133,197 |
) |
Total Change in Net Unrealized Appreciation |
|
147,573,769 |
|
Net Realized and Change in Unrealized Gain |
|
133,432,389 |
|
Net Increase in Net Assets Resulting from Operations |
|
$130,374,989 |
|
Foreign withholding taxes |
|
$7,536 |
|
The accompanying notes are an integral part of these financial statements.
88
|
|
InfraCap MLP ETF |
| ||
|
|
For the Year Ended October 31, 2021 |
|
For the Year Ended October 31, 20201 |
|
Increase (Decrease) in Net Assets Resulting from Operations: |
|
|
|
|
|
Net investment loss, net of income taxes |
|
$(3,057,400 |
) |
$(2,939,674 |
) |
Net realized loss |
|
(14,141,380 |
) |
(151,917,947 |
) |
Net change in unrealized appreciation (depreciation) |
|
147,573,769 |
|
(27,319,860 |
) |
Net increase (decrease) in net assets resulting from operations |
|
130,374,989 |
|
(182,177,481 |
) |
Distributions to Shareholders from return of capital |
|
(24,910,601 |
) |
(32,539,202 |
) |
Total distributions |
|
(24,910,601 |
) |
(32,539,202 |
) |
|
|
|
|
|
|
Shareholder Transactions: |
|
|
|
|
|
Proceeds from shares sold |
|
107,190,162 |
|
20,771,880 |
|
Cost of shares redeemed |
|
(17,132,576 |
) |
(38,884,837 |
) |
Net increase (decrease) in net assets resulting from shareholder transactions |
|
90,057,586 |
|
(18,112,957 |
) |
Increase (decrease) in net assets |
|
195,521,974 |
|
(232,829,640 |
) |
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
Beginning of year |
|
99,106,523 |
|
331,936,163 |
|
End of year |
|
$294,628,497 |
|
$99,106,523 |
|
|
|
|
|
|
|
Changes in Shares Outstanding: |
|
|
|
|
|
Shares outstanding, beginning of year |
|
7,190,000 |
|
7,410,000 |
|
Shares sold |
|
4,300,000 |
|
1,105,000 |
|
Shares redeemed |
|
(700,000 |
) |
(1,325,000 |
) |
Shares outstanding, end of year |
|
10,790,000 |
|
7,190,000 |
|
1Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
The accompanying notes are an integral part of these financial statements.
89
|
|
InfraCap MLP ETF |
|
Cash Flows From Operating Activities: |
|
|
|
Net increase (decrease) in net assets from operations |
|
$130,374,989 |
|
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
|
|
|
Purchases of investment securities |
|
(311,324,604 |
) |
Proceeds from sales of investment securities |
|
311,247,278 |
|
Net proceeds from purchased and written options |
|
4,065,298 |
|
Net realized (gain) loss on investments |
|
16,492,213 |
|
Net realized (gain) loss on written options |
|
(2,348,751 |
) |
Net change in unrealized (appreciation) depreciation on investments |
|
(147,706,966 |
) |
Net change in unrealized appreciation (depreciation) on written options |
|
133,197 |
|
(Increase) decrease in due from brokers |
|
(1,222,385 |
) |
(Increase) decrease in dividends and interest receivable |
|
(190,036 |
) |
(Increase) decrease in prepaid expenses |
|
(8,199 |
) |
(Increase) decrease in prepaid taxes |
|
(191,585 |
) |
Increase (decrease) in sub-advisory fees payable |
|
169,292 |
|
Increase (decrease) in interest expense |
|
69,025 |
|
Net cash provided by (used in) operating activities |
|
(441,234 |
) |
|
|
|
|
Cash Flows provided by (used in) Financing Activities: |
|
|
|
Proceeds from borrowings |
|
70,454,322 |
|
Payments for fund shares sold in excess of in-kind creations |
|
(45,403,004 |
) |
Distributions paid |
|
(24,910,601 |
) |
Net cash provided by (used in) financing activities |
|
140,717 |
|
|
|
|
|
Net increase (decrease) in cash |
|
(300,517 |
) |
Cash and foreign currency, beginning of year |
|
430,344 |
|
Cash and foreign currency, end of year |
|
$129,827 |
|
|
|
|
|
Supplemental information: |
|
|
|
Interest paid on borrowings |
|
$1,023,336 |
|
|
|
|
|
Non-cash financing activities: |
|
|
|
In-kind creations — Issued |
|
136,149,784 |
|
In-kind creations — Redeemed |
|
— |
|
The accompanying notes are an integral part of these financial statements.
90
|
|
InfraCap MLP ETF1 |
| ||||||||
|
|
For the Year Ended October 31, 2021 |
|
For the Year Ended October 31, 2020 |
|
For the Year Ended October 31, 2019 |
|
For the Year Ended October 31, 2018 |
|
For the Year Ended October 31, 2017 |
|
Per Share Data for a Share Outstanding throughout each year presented: |
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
$13.78 |
|
$44.80 |
|
$63.87 |
|
$83.73 |
|
$106.32 |
|
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment loss2 |
|
(0.33 |
) |
(0.09 |
) |
(0.96 |
) |
(1.52 |
) |
(1.70 |
) |
Net realized and unrealized gain (loss) |
|
16.50 |
|
(28.94 |
) |
(7.91 |
) |
(3.24 |
) |
(0.09 |
) |
Total from investment operations |
|
16.17 |
|
(29.03 |
) |
(8.87 |
) |
(4.76 |
) |
(1.79 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
— |
|
— |
|
— |
|
— |
|
(5.90 |
) |
Return of capital |
|
(2.64 |
) |
(1.99 |
) |
(10.20 |
)3 |
(15.10 |
) |
(14.90 |
) |
Total distributions |
|
(2.64 |
) |
(1.99 |
) |
(10.20 |
) |
(15.10 |
) |
(20.80 |
) |
Net Asset Value, End of year |
|
$27.31 |
|
$13.78 |
|
$44.80 |
|
$63.87 |
|
$83.73 |
|
Net Asset Value Total Return4 |
|
121.30 |
% |
(62.67 |
)% |
(15.62 |
)% |
(7.65 |
)% |
(3.44 |
)% |
Net assets, end of year (000’s omitted) |
|
$294,628 |
|
$99,107 |
|
$331,936 |
|
$537,821 |
|
$504,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
Expenses, including deferred income tax expense/benefit |
|
1.40 |
%5 |
2.01 |
%6 |
2.41 |
%7 |
2.40 |
%8 |
1.93 |
%9 |
Expenses, excluding deferred income tax expense/benefit |
|
1.40 |
%5 |
1.89 |
%6 |
2.40 |
%7 |
2.39 |
%8 |
1.89 |
%9 |
Net investment loss |
|
(1.31 |
)% |
(1.71 |
)% |
(1.72 |
)% |
(1.96 |
)% |
(1.73 |
)% |
Portfolio turnover rate10 |
|
99 |
% |
96 |
% |
136 |
% |
255 |
% |
104 |
% |
1Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts for the years ended October 31, 2020, October 31, 2019, October 31, 2018 and October 31, 2017 have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
2Based on average shares outstanding.
3The per share distribution amount of $10.20 was originally misclassified and shown as distributions from net investment income in the Fund’s October 31, 2019 Annual Report. This amount has been subsequently reclassified to distributions from return of capital.
4Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year.
5The ratios of expenses to average net assets include interest expense of 0.45%.
6The ratios of expenses to average net assets include interest expense of 0.93% and tax expense of 0.01%.
7The ratios of expenses to average net assets include interest expense of 1.28% and dividend expense on securities sold short fees of 0.17%.
8The ratios of expenses to average net assets include interest expense of 1.32% and dividend expense on securities sold short fees of 0.13%.
9The ratios of expenses to average net assets includes interest expense fees of 0.94%.
10Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
91
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of October 31, 2021, 10 funds of the Trust are offered for sale. The InfraCap MLP ETF (the “Fund”) is presented in this annual report. The offering of the Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Fund |
|
Commencement of Operations |
InfraCap MLP ETF |
|
October 1, 2014 |
The Fund is “non-diversified,” as defined under the 1940 Act, as of the year ended October 31, 2021.
The Fund’s investment objective is to seek total return primarily through investments in equity securities of publicly traded master limited partnerships and limited liability companies taxed as partnerships (“MLPs”). There is no guarantee that the Fund will achieve its objective(s).
Reverse Split
After the close of the markets on March 30, 2020 (the Record Date), the Fund effected a reverse split of its issued and outstanding shares, with a 1 for 10 ratio. Shares of the Fund began trading on the NYSE Arca on a split-adjusted basis on March 31, 2020.
The effect of the reverse split was reducing the number of Shares outstanding and resulted in a proportionate increase in the NAV per Share of the Fund. Therefore, the reverse split did not change the aggregate value of a shareholder’s investment or the total market value of the shares outstanding.
The reverse split was applied retroactively for all periods presented in the financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a)Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b)Indemnification
In the normal course of business, the Fund may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
(c)Security Valuation
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and Exchange-Traded Funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith using procedures adopted by the Trust’s Board of Trustees (the “Board”). Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
92
Notes to Financial Statements (continued)
October 31, 2021
(d)Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the following hierarchy:
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund’s investments at October 31, 2021, is disclosed at the end of the Fund’s Schedule of Investments.
(e)Security Transactions, Investment Income and Return of Capital Estimates
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses are recognized on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method.
The Fund invests in master limited partnerships (“MLPs”) which make distributions that are primarily attributable to return of capital. The Fund records investment income and return of capital in the Statement of Operations using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year ends.
The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts.
(f)Expenses
The Fund pays all of its expenses not assumed by Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) or Virtus ETF Advisers LLC (the “Adviser”). General Trust expenses that are allocated among and charged to the assets of the Fund and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of the Fund and other series of the Trust or the nature of the services performed and relative applicability to the Fund and other series of the Trust.
(g)Short Sales
The Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
(h)Distributions to Shareholders
Distributions to shareholders are declared and paid on a monthly basis and are recorded on the ex-dividend date. The Fund uses a cash flow-based distribution approach based on the Fund’s net cash flow received from portfolio investments.
93
Notes to Financial Statements (continued)
October 31, 2021
The estimated character of the distributions paid will either be a dividend (ordinary income eligible to be treated as qualified dividend income) or a return of capital. Distributions made from current or accumulated earnings and profits of the Fund will be taxable to shareholders as dividend income. Distributions that are in an amount greater than the Fund’s current and accumulated earnings and profits will represent a return of capital to the extent of a shareholder’s basis in their common shares, and such distributions will correspondingly increase the realized gain upon the sale of their common shares. Additionally, distributions not paid from current or accumulated earnings and profits that exceed a shareholder’s tax basis in their common shares will generally be taxed as a capital gain. This estimate is based on the Fund’s operating results during the period.
(i) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreement
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Virtus ETF Advisers, LLC (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Fund’s securities portfolio. For its services to the Fund, the Adviser is entitled to receive a fee, payable monthly, at an annual rate of 0.075% of the Fund’s average daily net assets, subject to a minimum annual fee of $25,000. The Sub-Adviser pays the Adviser’s fee out of the Sub-Adviser’s fee, pursuant to the Sub-Adviser’s unified fee arrangement with the Fund, as described below.
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Sub-Advisory Agreement
Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) provides investment advice and management services to the Fund. Pursuant to an investment sub-advisory agreement among the Trust, the Sub-Adviser and the Adviser, the Fund pays the Sub-Adviser a fee, payable monthly, at an annual rate of 0.95% of the Fund’s average daily net assets. The Sub-Adviser has agreed to pay all expenses of the Fund, except the Sub-Adviser’s fee, brokerage expenses, taxes, interest, litigation expenses, payments under any 12b-1 plan adopted by the Fund, and other non-routine or extraordinary expenses of the Fund.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Fund’s principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Fund. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly owned subsidiary of Virtus.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Fund’s operational administrator. The Administrator supervises the overall administration of the Trust and the Fund including, among other responsibilities, the coordination and day-to-day oversight of the Fund’s operations, the service providers’ communications with the Fund and each other and assistance with Trust, Board and contractual matters related to the Fund. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Fund’s accounting services administrator. BNY Mellon also serves as the custodian for the Fund’s assets, and serves as transfer agent and dividend paying agent for the Fund.
94
Notes to Financial Statements (continued)
October 31, 2021
Affiliated Shareholders
At October 31, 2021, the Sub-Adviser held shares of the Fund which may be redeemed at any time that aggregated to the following:
Fund |
|
Shares |
|
% of shares outstanding |
|
InfraCap MLP ETF |
|
111,772 |
|
1.0% |
|
4. CREATION AND REDEMPTION TRANSACTIONS
The Fund issues and redeems shares on a continuous basis at Net Asset Value (“NAV”) in groups of 50,000 shares called “Creation Units.” The Fund’s Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Fund. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
5. FEDERAL INCOME TAX
The Fund is taxed as a regular C-corporation for federal income tax purposes and as such is obligated to pay federal and applicable state and foreign corporate taxes on its taxable income. Currently, the federal income tax rate for a corporation is 21 percent. This treatment differs from most investment companies, which elect to be treated as “regulated investment companies” under the Code in order to avoid paying entity level income taxes. Under current law, the Fund is not eligible to elect treatment as a regulated investment company due to its investments primarily in MLPs invested in energy assets. The Fund expects that substantially all of the distributions it receives from MLPs may be treated as a tax-deferred return of capital, thus reducing the Fund’s current tax liability. However, the amount of taxes paid by the Fund will vary depending on the amount of income and gains derived from investments and/or sales of MLP interests and such taxes will reduce your return from an investment in the Fund.
Cash distributions from MLPs to the Fund that exceed the Fund’s allocable share of such MLP’s net taxable income are considered a tax deferred return of capital that will reduce the Fund’s adjusted tax basis in the equity securities of the MLP. These reductions in the Fund’s adjusted tax basis in the MLP equity securities will increase the amount of any taxable gain (or decrease the amount of any tax loss) recognized by the Fund on a subsequent sale of the securities. The Fund will accrue deferred income taxes for any future tax liability associated with (i) that portion of MLP distributions considered to be a tax-deferred return of capital as well as (ii) capital appreciation of its investments. Upon the sale of an MLP security, the Fund may be liable for previously deferred taxes. The Fund will rely to some extent on information provided by the MLPs, which is not necessarily timely, to estimate the deferred tax liability for purposes of financial statement reporting and determining the Fund’s NAV. From time to time, the Adviser will modify the estimates or assumptions related to the Fund’s deferred tax liability as new information becomes available. The Fund will generally compute deferred income taxes based on the federal income tax rate applicable to corporations and an assumed rate attributable to state taxes.
The Fund’s income tax expense/(benefit) consists of the following:
As of October 31, 2021 |
|
Current |
|
Deferred |
|
Total |
|
Federal |
|
$— |
|
$27,970,285 |
|
$27,970,285 |
|
State |
|
— |
|
3,294,627 |
|
3,294,627 |
|
Valuation Allowance |
|
— |
|
(31,264,912 |
) |
(31,264,912 |
) |
Total Tax Expense/(Benefit) |
|
$— |
|
$— |
|
$— |
|
95
Notes to Financial Statements (continued)
October 31, 2021
Components of the Fund’s deferred tax assets and liabilities are as follows:
|
|
As of October 31, 2021 |
|
Deferred Tax Assets: |
|
|
|
Net Operating Loss Carryforward |
|
$1
,662,217 |
|
Capital Loss Carryforward |
|
61,127,795 |
|
Other |
|
465,194 |
|
Total Deferred Tax Assets |
|
63,255,206 |
|
Less Valuation Allowance |
|
(46,299,978 |
) |
Net Deferred Tax Assets |
|
$16,955,228 |
|
Deferred Tax Liabilities: |
|
|
|
Net Unrealized Gain on Investment |
|
$16,955,228 |
|
Total Deferred Tax Liabilities |
|
16,955,228 |
|
Total Net Deferred Tax Asset/(Liability) |
|
$— |
|
The Fund reviews the recoverability of its deferred tax assets based upon the weight of available evidence. When assessing the recoverability of its deferred tax assets, significant weight was given to the effects of potential future realized and unrealized gains on investments and the period over which these deferred tax assets can be realized. Currently, any capital losses that may be generated by the Fund in the future are eligible to be carried back up to three years and can be carried forward for five years to offset capital gains recognized by the Fund in those years. As of the fiscal year ended October 31, 2021, the Fund has a capital loss carryforward of $271,494,471 of which $264,862 expires in 2023, $98,711,551 expires in 2024, $153,290,897 expires in 2025, and $18,884,341 expires in 2026. As of October 31, 2021, the Fund has a net operating loss (NOL) carryforward of $7,382,612 of which $5,161,411 can be carried back 2 years and carried forward until expiration in 2038, and $2,221,201 that cannot be carried back and can be carried forward indefinitely. The utilization of the NOL of $2,221,201 is limited to the lesser of the aggregate of available NOLs generated after 2018 or 80% of taxable income. There is no limitation on the $5,161,411 NOL.
Based upon the Fund’s assessment, it has determined that it is “more-likely-than-not” that a portion of its deferred tax assets will not be realized through future taxable income of the appropriate character. Accordingly, a valuation allowance has been established for the Fund’s deferred tax assets. The Fund will continue to assess the need for a valuation allowance in the future. Significant changes in the fair value of its portfolio of investments may change the Fund’s assessment of the recoverability of these assets and may result in an adjustment of the valuation allowance against all or a portion of the Fund’s gross deferred tax assets.
Total income tax (benefit)/expense (current and deferred) differs from the amount computed by applying the federal statutory income tax rate of 21% to net investment and realized and unrealized gain/(losses) on investment before taxes as follows for the Fund:
|
|
Amount |
|
Rate |
|
Income Tax (Benefit) at Statutory Rate |
|
$27,378,748 |
|
21.00 |
% |
State Income Taxes (Net of Federal Benefit) |
|
1,975,572 |
|
1.52 |
|
Permanent Differences, Net |
|
170,474 |
|
0.13 |
|
Effect of State Tax Rate Change |
|
1,268,613 |
|
0.97 |
|
Provision to Return Adjustment and Other |
|
471,505 |
|
0.36 |
|
Valuation Allowance |
|
(31,264,912 |
) |
(23.98 |
) |
Net Income Tax Expense/(Benefit) |
|
$— |
|
— |
% |
The Fund recognizes interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period from inception to October 31, 2021, the Fund does not have any accrued penalties or interest.
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more-likely-than-not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Fund. The Fund’s tax years, October 31, 2019 and October 31, 2020, remain subject to examination by tax authorities in the United States. Due to the nature of the Fund’s investments, the Fund may be required to file income tax returns in several states. As of the fiscal year ended October 31, 2021, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially over the next fiscal year.
96
Notes to Financial Statements (continued)
October 31, 2021
As of the fiscal year ended October 31, 2021, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments, excluding written options and securities sold short, for federal income tax purposes were as follows:
Fund |
|
Federal Tax Cost Of Investments |
|
Gross Unrealized Appreciation |
|
Gross Unrealized Depreciation |
|
Net Unrealized Appreciation (Depreciation) |
|
InfraCap MLP ETF |
|
$321,540,747 |
|
$76,073,748 |
|
$(732,908 |
) |
$75,340,840 |
|
The tax character of dividends and distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
|
|
2021 |
|
2020 |
|
Fund |
|
Return of Capital |
|
Return of Capital |
|
InfraCap MLP ETF |
|
$24,910,601 |
|
$32,539,202 |
|
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscriptions in-kind and redemptions in-kind for the year ended October 31, 2021 were as follows:
Fund |
|
Purchases |
|
Sales |
|
Subscriptions In-Kind |
|
Redemptions In-Kind |
|
InfraCap MLP ETF |
|
$315,890,477 |
|
$287,225,582 |
|
$136,149,784 |
|
$— |
|
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Fund may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
Transactions in derivative instruments reflected on the Statement of Assets and Liabilities at October 31, 2021 are as follows:
Liabilities |
|
Equity Risk |
|
Written options, at value |
|
$(354,440 |
) |
97
Notes to Financial Statements (continued)
October 31, 2021
Transactions in derivative instruments reflected on the Statement of Operations during the year ended October 31, 2021 were as follows:
Net Realized Gain (Loss) on: |
|
Equity Risk |
|
Investments* |
|
$(438 |
) |
Written options |
|
2,348,751 |
|
Change in Net Unrealized Appreciation (Depreciation) on: |
|
Equity Risk |
|
Written options |
|
$(133,197 |
) |
*Purchased option contracts are included in Net Realized Gain (Loss) on Investments within the Statement of Operations.
For the year ended October 31, 2021, the monthly average market value of the written options contracts held by the Fund was $(310,716).
8. BORROWINGS
The Fund entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the 3 Month LIBOR (London Interbank Offered Rate) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the year ended October 31, 2021, the average daily borrowings under the Agreements and the weighted average interest rate were $74,172,700 and 1.36%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Fund could result in a loss or the performance of the Fund could be inferior to that of other investments. An investor should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and statement of additional information contain this and other important information.
MLP Risk
Investments in securities of MLPs involve risks that differ from investments in common stock including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner and cash flow risks. MLP common units and other equity securities can be affected by macro-economic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards MLPs or the energy sector, changes in a particular issuer’s financial condition or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs and other equity securities also can be affected by fundamentals unique to the partnership or company, including earnings power and coverage ratios.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. LIBOR REPLACEMENT RISK
On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. Although many LIBOR rates will be phased out at the end of 2021 as originally intended, a selection of widely used USD LIBOR rates will continue to be published until June 2023 in order to assist with the transition. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As a result, any impact of a transition away from LIBOR on the Fund cannot yet be determined. Industry initiatives are underway to identify alternative reference rates such as the Secured Overnight Funding Rate (“SOFR”), which the Federal Reserve Bank of New York began publishing in April 2018; however, there is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. As a result, the transition process might lead to increased volatility and reduced liquidity in markets that currently rely on LIBOR to determine interest rates; a reduction in the value of some LIBOR-based investments; and/or costs incurred in connection with closing out positions and entering into new agreements. These effects could occur prior to the end of 2021 as the utility of LIBOR as a reference rate could deteriorate during the transition period.
98
Notes to Financial Statements (continued)
October 31, 2021
11. CORONAVIRUS (COVID-19) PANDEMIC
The global outbreak of COVID-19 has disrupted economic markets, and the economic impact, duration and spread of the COVID-19 virus is uncertain at this time. The operational and financial performance of the issuers of securities in which the Fund invests may be significantly impacted by COVID-19, which may in turn impact the value of the Fund’s investments.
12. 10% SHAREHOLDERS
As of October 31, 2021, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
Fund |
|
% of Shares Outstanding |
|
Number of Accounts |
|
InfraCap MLP ETF |
|
55% |
|
3 |
|
13. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No.2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
14. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
99
To the Board of Trustees of ETFis Series Trust I and Shareholders of InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC International Dividend ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds indicated in the table below (eight of the funds constituting ETFis Series Trust I, hereafter collectively referred to as the “Funds”) as of October 31, 2021, the related statements of operations, the statement of cash flows for Virtus InfraCap U.S. Preferred Stock ETF, the statements of changes in net assets, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2021, the results of each of their operations, the cash flows for Virtus InfraCap U.S. Preferred Stock ETF, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Fund Name |
Statements of Operations |
Statements of Changes in Net Assets |
Statement of Cash Flows |
Financial Highlights |
InfraCap REIT Preferred ETF |
For the year ended October 31, 2021 |
For the years ended October 31, 2021 and 2020 |
Not applicable |
For the years ended October 31, 2021, 2020, 2019, 2018, and the period February 7, 2017 (commencement of operations) through October 31, 2017 |
Virtus InfraCap U.S. Preferred Stock ETF |
For the year ended October 31, 2021 |
For the years ended October 31, 2021 and 2020 |
For the year ended October 31, 2021 |
For the years ended October 31, 2021, 2020, 2019, and the period from May 15, 2018 (commencement of operations) through October 31, 2018 |
Virtus LifeSci Biotech Clinical Trials ETF |
For the year ended October 31, 2021 |
For the years ended October 31, 2021 and 2020 |
Not applicable |
For the years ended October 31, 2021, 2020, 2019, 2018, and 2017 |
Virtus LifeSci Biotech Products ETF |
|
|
|
|
Virtus Newfleet Multi-Sector Bond ETF |
|
|
|
|
Virtus Private Credit Strategy ETF Virtus Real Asset Income ETF |
For the year ended October 31, 2021 |
For the years ended October 31, 2021 and 2020 |
Not applicable |
For the years ended October 31, 2021, 2020, and the period from February 7, 2019 (commencement of operations) through October 31, 2019 |
Virtus WMC International Dividend ETF |
For the year ended October 31, 2021 |
For the years ended October 31, 2021 and 2020 |
Not applicable |
For the years ended October 31, 2021, 2020, 2019, 2018, and the period from October 10, 2017 (commencement of operations) through October 31, 2017 |
100
Report of Independent Registered Public Accounting Firm (continued)
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2021
We have served as the auditor of one or more investment companies in Virtus ETF Solutions since 2017.
101
Report of Independent Registered Public Accounting Firm (continued)
To the Board of Trustees of ETFis Series Trust I and Shareholders of InfraCap MLP ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of InfraCap MLP ETF (one of the funds constituting ETFis Series Trust I, hereafter referred to as the “Fund”) as of October 31, 2021, the related statements of operations and cash flows for the year ended October 31, 2021, the statement of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2021 and the financial highlights for each of the five years in the period ended October 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian and broker. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2021
We have served as the auditor of one or more investment companies in Virtus ETF Solutions since 2017.
102
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a liquidity risk management program (the “Program”) to govern the Funds’ approach to managing liquidity risk, which is the risk that a Fund would not be able to meet redemption requests without significant dilution of remaining investors’ interests in the Fund. The Program is overseen by the Adviser as the Funds’ Liquidity Risk Management Program Administrator (the “Program Administrator”), and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Funds.
Assessment and management of a Fund’s liquidity risk under the Program take into consideration certain factors, such as the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of Fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
At a meeting of the Board held on May 17, 2021, the Board received a report from the Program Administrator addressing the operation and management of the Program for the period from January 1, 2020 through December 31, 2020 (the “Review Period”). The Program Administrator’s report noted that for the Review Period, the Program Administrator believed that the Program was implemented and operated effectively in all material respects and that existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with Rule 22e-4. The Program Administrator’s report further noted that while changes to the Program had been made during the Review Period and reported to the Board, no material changes were made to the Program as a result of the Program Administrator’s annual review. The Program Administrator’s report also noted that the Program operated effectively during recent market conditions arising from COVID-19.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to a Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in that Fund may be subject.
103
Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report is set forth below. The Statement of Additional Information (“SAI”) includes additional information about the Fund’s Trustees and is available, without charge, upon request, by calling the Adviser (toll-free) at (888)-383-4184.
The address for each Trustee and officer is 1540 Broadway, 16th Floor, New York, NY 10036. Each Trustee serves until resignation, death, retirement or removal. Officers are elected yearly by the Trustees.
Name and Year of Birth |
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|
Position(s) Held with Trust |
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Length of Time Served |
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|
Principal Occupation(s) During Past Five Years |
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Number of Portfolios in Fund Complex* Overseen by Trustee |
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|
Other Directorships Held by Trustee During Past Five Years |
INDEPENDENT TRUSTEES | |||||||||||||||
Myles J. Edwards Year of Birth: 1961 |
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Trustee |
|
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Since 2016 |
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|
Chief Compliance Officer (since 2020), 1776 Wealth, Inc.; General Counsel and Chief Compliance Officer (since 2019), Bruderman Brothers, LLC and Bruderman Asset Management, LLC; Chief Compliance Officer (since 2018), Netrex Capital Markets, LLC; Chief Executive Officer (since 2018), Final Compliance; Chief Compliance Officer (since 2018), Knight Vinke, General Counsel, Chief Compliance Officer and Chief Operating Officer (2014 to 2018), Shufro, Rose & Co., LLC. |
|
|
15 |
|
|
Trustee (since 2015), Virtus ETF Trust II (5 portfolios) |
James A. Simpson Year of Birth: 1970 |
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Trustee |
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Since Inception |
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|
President (since 2009), ETP Resources, LLC (a financial services consulting company). |
|
|
15 |
|
|
Trustee (since 2018), Asset Management Fund (5 portfolios); Trustee (since 2015), Virtus ETF Trust II (5 portfolios) |
Robert S. Tull, Jr. Year of Birth: 1952 |
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Trustee |
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Since Inception |
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|
President (since 2017), ProcureAM, LLC; President (since 2018), Procure Holdings LLC; President (2005 to 2018), Robert Tull & Co. |
|
|
15 |
|
|
Trustee (since 2015), Virtus ETF Trust II (5 portfolios); Trustee (since 2018), Procure ETF Trust II |
INTERESTED TRUSTEE** | |||||||||||||||
William J. Smalley Year of Birth: 1983 |
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|
Trustee, President and Chief Executive Officer |
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Since Inception |
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|
President (since 2012), Virtus ETF Solutions LLC; Managing Principal (2012-2019), ETF Distributors LLC; Managing Director (since 2012), Virtus ETF Advisers LLC; President and Chief Executive Officer (since 2012), ETFis Series Trust I; and President and Chief Executive Officer (since 2015), Virtus ETF Trust II. |
|
|
10 |
|
|
None |
104
Trustees and Officers of the Trust (unaudited) (continued)
Name and Year of Birth |
|
|
Position(s) Held with Trust |
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|
Length of Time Served |
|
|
Principal Occupation(s) During Past Five Years |
|
|
Number of Portfolios in Fund Complex* Overseen by Trustee |
|
|
Other Directorships Held by Trustee During Past Five Years |
OTHER EXECUTIVE OFFICERS | |||||||||||||||
Kevin J. Carr Year of Birth: 1954 |
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|
Secretary |
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Since 2015 |
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|
Vice President and Senior Counsel (since 2017), Senior Vice President (2009 to 2017), and various senior officer positions (since 2005)Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President and Assistant Secretary (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust and Virtus Strategy Trust; Assistant Secretary (since 2021), Virtus AllianzGI Closed-End Funds; Senior Vice President (since 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Assistant Secretary (since 2017), Virtus Total Return Fund Inc.; Assistant Secretary (2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Virtus Variable Insurance Trust; Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (2015 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; and Secretary (since 2015), ETFis Series Trust I and Virtus ETF Trust II. |
|
|
N/A |
|
|
N/A |
105
Trustees and Officers of the Trust (unaudited) (continued)
Name and Year of Birth |
|
|
Position(s) Held with Trust |
|
|
Length of Time Served |
|
|
Principal Occupation(s) During Past Five Years |
|
|
Number of Portfolios in Fund Complex* Overseen by Trustee |
|
|
Other Directorships Held by Trustee During Past Five Years |
Nancy J. Engberg Year of Birth: 1956 |
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|
Chief Compliance Officer |
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|
Since 2015 |
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|
Senior Vice President (since 2017); Vice President (2008 to 2017) and Chief Compliance Officer (since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President and Chief Compliance Officer (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust, Virtus Investment Trust, Virtus Strategy Trust and Virtus AllianzGI Closed-End Funds; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (2012 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2017) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (2017 to 2021), Vice President (2014 to 2017) and Chief Compliance Officer (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I and Virtus ETF Trust II. |
|
|
N/A |
|
|
N/A |
106
Trustees and Officers of the Trust (unaudited) (continued)
Name and Year of Birth |
|
|
Position(s) Held with Trust |
|
|
Length of Time Served |
|
|
Principal Occupation(s) During Past Five Years |
|
|
Number of Portfolios in Fund Complex* Overseen by Trustee |
|
|
Other Directorships Held by Trustee During Past Five Years |
Brinton W. Frith Year of Birth: 1969 |
|
|
Treasurer and Chief Financial Officer |
|
|
Since Inception |
|
|
President (since 2013), Virtus ETF Advisers LLC; Vice President (since 2016) and Managing Director (since 2013), Virtus ETF Solutions LLC; Treasurer and Chief Financial Officer (since 2013), ETFis Series Trust I; and Treasurer and Chief Financial Officer (since 2015), Virtus ETF Trust II. |
|
|
N/A |
|
|
N/A |
*As of the date of the issuance of this report, the Fund Complex consisted of the Trust, which consisted of ten portfolios—InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, Virtus Reaves Utilities ETF, Virtus WMC International Dividend ETF and InfraCap MLP ETF, and Virtus ETF Trust II, which consisted of five portfolios—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.
**William J. Smalley is an “interested person” as defined in the Investment Company Act of 1940, because he is an employee of the Adviser.
107
INFORMATION ABOUT PORTFOLIO HOLDINGS
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT-P. Form N-PORT-P is available on the SEC’s website at https://www.sec.gov.
The Funds’ premium/discount information for the most recently completed calendar year, and the most recently completed calendar quarters since that year is available by visiting www.virtusetfs.com or by calling (888) 383-4184.
INFORMATION ABOUT PROXY VOTING
A description of the policies and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the SAI. The SAI is available without charge upon request by calling toll-free at (888) 383- 0553, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.virtusetfs.com.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30th is available by calling toll-free at (888) 383-0553 or by accessing the SEC’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended October 31, 2021, the Funds make the following disclosures for federal income tax purposes. Below is listed the percentages, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by each Fund which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements.
Funds |
|
QDI |
|
DRD |
|
InfraCap REIT Preferred ETF |
|
1.44% |
|
0.97% |
|
Virtus InfraCap U.S. Preferred Stock ETF |
|
68.52% |
|
56.09% |
|
Virtus LifeSci Biotech Clinical Trials ETF |
|
0.00% |
|
0.00% |
|
Virtus LifeSci Biotech Products ETF |
|
0.00% |
|
0.00% |
|
Virtus Newfleet Multi-Sector Bond ETF |
|
0.00% |
|
0.00% |
|
Virtus Private Credit Strategy ETF |
|
1.54% |
|
0.35% |
|
Virtus Real Asset Income ETF |
|
95.48% |
|
50.13% |
|
Virtus WMC International Dividend ETF |
|
45.77% |
|
4.15% |
|
c/o VP Distributors, LLC
One Financial Plaza
Hartford, Connecticut 06103
8572(12/21)