UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22696
Victory Portfolios II
(Exact name of registrant as specified in charter)
| 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio | 44144 | |
| (Address of principal executive offices) | (Zip code) |
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-539-3863
Date of fiscal year end: June 30
Date of reporting period: June 30, 2022
Item 1. Reports to Stockholders.
June 30, 2022
Annual Report
Victory US 500 Enhanced Volatility Wtd Index Fund
Victory Market Neutral Income Fund
www.vcm.com
News, Information And Education 24 Hours A Day, 7 Days A Week
The Victory Capital website gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:
• Detailed performance records
• Daily share prices
• The latest fund news
• Investment resources to help you become a better investor
• A section dedicated to investment professionals
Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.
Victory Portfolios II
TABLE OF CONTENTS
Shareholder Letter (Unaudited) | 3 | ||||||
| Managers' Commentary / Investment Overview (Unaudited) | 5 | ||||||
| Investment Objective and Portfolio Holdings (Unaudited) | 9 | ||||||
Schedules of Portfolio Investments | |||||||
Victory US 500 Enhanced Volatility Wtd Index Fund | 11 | ||||||
Victory Market Neutral Income Fund | 23 | ||||||
Financial Statements | |||||||
Statements of Assets and Liabilities | 41 | ||||||
Statements of Operations | 42 | ||||||
Statements of Changes in Net Assets | 43 | ||||||
Financial Highlights | 46 | ||||||
Notes to Financial Statements | 50 | ||||||
| Report of Independent Registered Public Accounting Firm | 62 | ||||||
Supplemental Information (Unaudited) | 63 | ||||||
Trustee and Officer Information | 63 | ||||||
Proxy Voting and Portfolio Holdings Information | 67 | ||||||
Expense Examples | 67 | ||||||
Additional Federal Income Tax Information | 68 | ||||||
Liquidity Risk Management Program | 69 | ||||||
Privacy Policy (inside back cover) | |||||||
1
IRA DISTRIBUTION WITHHOLDING DISCLOSURE
We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call 800-539-3863 (800-235-8396 for Member Class) and form W-4P (OMB No. 1545-0074 withholding certificate for pension or annuity payments) will be electronically sent.
If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.
For more specific information, please consult your tax adviser.
The Funds are distributed by Victory Capital Services, Inc. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus of the Victory Funds.
For additional information about any Victory Fund, including fees, expenses, and risks, view our prospectus online at vcm.com or call 800-539-3863 (800-235-8396 for Member Class). Read it carefully before you invest or send money.
The information in this report is based on data obtained from recognized services and sources and is believed to be reliable. Any opinions, projections, or recommendations in this report are subject to change without notice and are not intended as individual investment advice. Past investment performance of the Funds, markets or securities mentioned herein should not be considered to be indicative of future results.
• NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Call Victory at:
800-539-FUND (800-539-3863)
800-235-8396 for Member Class
Visit our website at:
www.vcm.com
2
Victory Funds Letter to Shareholders
(Unaudited)
Dear Shareholder,
Looking back over our most recent annual reporting period offers us a stark reminder that markets go up and down, and that investor sentiment can shift quickly.
Although most of 2021 was constructive for financial markets, the script flipped as we entered the new calendar year. More recently, investors have been focused on a host of worries. Inflation data has been running hotter than expected. The U.S. Federal Reserve (the "Fed") has embarked on a new rate-hike cycle and a terrible war is raging in Eastern Europe. All these issues, among other factors, have ratcheted up market volatility in both stock and bond markets. Many broad-market stock indices have pulled back substantially during the first half of 2022 and even entered "bear market" territory, which is typically considered a 20% pullback from the most recent highs. Meanwhile, fixed income investors are also dealing with elevated volatility, and wide swaths of the bond market have struggled in the face of rising interest rates.
Throughout the ups and downs of the past annual reporting period, there have been interesting differences playing out within the broader market. In general, large-cap stocks outperformed smaller-capitalization companies for the full annual reporting period. Meanwhile, growth-oriented styles led value-oriented investments during the earlier part of our annual reporting period, while the reverse was true during the latter segment of the reporting period (as measured by the Russell family of indices). Perhaps this reflects investors' realization and expectations for future higher interest rates and corresponding higher borrowing costs.
There were other notable subplots, too. During much of 2021 we watched crypto assets captivate investors, only to see them fall out of favor as sentiment soured. This year we've seen oil prices surge, which helped fuel gains across the energy landscape while many other sectors lagged. The Energy and Utilities sectors (and yes, Cash) have been the lone bright spots for many investor portfolios. If anything, this underscores the importance of diversification.
Looking at the numbers, we see that the S&P 500® Index, the bell-weather proxy for our domestic stock market, declined by 10.62% for the 12-month period ended June 30, 2022. Over this same annual period, the yield on the 10-Year U.S. Treasury jumped 1.53%, thanks largely to the Fed's shift toward a less accommodative monetary policy and the first rate hike in three years. At the end of our reporting period, the yield on the 10-Year U.S. Treasury finished at 2.98%.
Given the market environment of the past few months, it's no surprise that investors have become more focused on risk management and downside protection. Remember, our experience managing portfolios through various economic cycles has taught us to remain calm in the face of market turmoil. It is our view that a long-term perspective, a well-diversified portfolio across asset classes and investment types, and a clear understanding of individual risk tolerances are some of the key ingredients for staying the course and progressing on investment goals.
3
As ever, there will be challenges ahead. The Fed has declared its intent to continue raising rates until the recent elevated inflation readings decline. Labor shortages, ongoing supply chain issues, high energy prices, and the Russia-Ukraine war are among the performance detractors investors continue to navigate. There's even some chatter about a possible recession.
Although we cannot tell you with any certainty what markets will do in the future, we can assure you that the investment professionals at all our independent franchises continually monitor the environment and work hard to position portfolios opportunistically no matter what the markets bring.
On the following pages you will find information relating to your Victory Funds investment. If you have any questions regarding the current market dynamics or your specific portfolio or investment plan, we encourage you to contact your financial advisor. If you invest with us directly, you may call 800-539-3863 (800-235-8396 for Member Class) or visit our website at www.vcm.com.
From all of us here at Victory Capital, thank you for letting us help you work toward your investment goals.
Christopher K. Dyer, CFA
President,
Victory Funds
4
Victory US 500 Enhanced Volatility Wtd Index Fund
Managers' Commentary
(Unaudited)
Victory US 500 Enhanced Volatility Wtd Index Fund (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -9.25% (Class A at net asset value) for the fiscal year ended June 30, 2022, underperforming the Index, which returned -8.32% during the period. The S&P 500® Index, a market capitalization-based index against which the performance of the Fund is also measured, returned -10.62% during the period.
In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities during May of 2022. The Fund then reallocated to 100% equities in June of 2022. The Long/Cash trigger had a relatively small impact on the Fund's relative performance versus the S&P 500® Index for the fiscal year.
Over the reporting period, the Fund's performance relative to the S&P 500® Index was driven by its underweight positions in the largest market-capitalization names within the index. The top 10 stocks in the S&P 500® Index combined to make up over 28% of the Index and the Fund only held 2% in these same names. This underweight gained the Fund 0.54% in relative performance. The Fund's positive stock selection in the rest of the market also added value during the reporting period. The Fund's cash allocation and underweight to the Energy sector were detractors during the reporting period.
5
Victory US 500 Enhanced Volatility Wtd Index Fund
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
Class A | Class C | Class I | |||||||||||||||||||||||||||||
INCEPTION DATE | 11/19/12 | 11/19/12 | 11/19/12 | ||||||||||||||||||||||||||||
| Net Asset Value | Maximum Offering Price | Net Asset Value | Contingent Deferred Charges | Net Asset Value | NASDAQ Victory US Large Cap 500 Long/Cash Volatility Weighted Index1 | S&P 500® Index2 | |||||||||||||||||||||||||
One Year | –9.25 | % | –14.45 | % | –9.97 | % | –10.76 | % | –9.03 | % | –8.32 | % | –10.62 | % | |||||||||||||||||
Five Year | 8.56 | % | 7.28 | % | 7.71 | % | 7.71 | % | 8.81 | % | 9.66 | % | 11.31 | % | |||||||||||||||||
Since Inception | 11.26 | % | 10.58 | % | 10.42 | % | 10.42 | % | 11.53 | % | NA | NA | |||||||||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
The maximum offering price ("MOP") figures reflect a maximum sales charge of 5.75% for Class A. Class C is not subject to an initial sales charge, but is subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. Net Asset Value does not reflect sales charges.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
Victory US 500 Enhanced Volatility Wtd Index Fund — Growth of $10,000
1The Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index is an unmanaged index whose strategy involves equity-oriented investing on both the long and short sides of the market. The index reflects the reinvestment of dividends paid on the stocks constituting the index, net of withholding taxes. This index does not include the effect of sales charges, commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The S&P 500® Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of sales charges, commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
6
Victory Market Neutral Income Fund
Managers' Commentary
(Unaudited)
Victory Market Neutral Income Fund (the "Fund") seeks high current income by implementing a proprietary, "market neutral" investment strategy designed to seek income from its investments while maintaining a low correlation to the foreign and domestic equity and bond markets.
The Fund returned 1.01% (Class A at net asset value) for the fiscal year ended June 30, 2022, outperforming its benchmark, the FTSE 3-Month U.S. Treasury Bill Index, which returned 0.19%.
The Fund uses a multi-strategy approach. First, the Fund invests in securities of the Nasdaq Victory Volatility Weighted High Dividend Indexes. The allocation to each Nasdaq Victory Volatility Weighted High Dividend Index is equally weighted. Second, the Fund seeks to offset equity market risk by shorting high-correlating equity futures contracts, such as contracts based on the S&P 500® , Russell 2000® or MSCI EAFE and MSCI Emerging Markets indexes. Third, the Fund may allocate to a basket of long and short futures to offset basis risk of long positions in high-dividend stocks and short positions in equity index futures.
During the reporting period, the Global High Dividend Long/Short Portfolio was a positive contributor, as all four high-dividend yielding portfolios outperformed their corresponding short index futures positions. The Overlay Strategy, long Nasdaq-100® futures and short index futures positions, was a detractor during the reporting period.
The Fund's employment of the Overlay Strategy to efficiently manage the overall portfolio risks associated with the Fund's strategy contributed positively to performance during the year.
7
Victory Market Neutral Income Fund
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
Class A | Class C | Class I | Member Class | ||||||||||||||||||||||||||||
INCEPTION DATE | 11/19/12 | 11/19/12 | 11/19/12 | 11/2/20 | |||||||||||||||||||||||||||
| Net Asset Value | Maximum Offering Price | Net Asset Value | Contingent Deferred Charges | Net Asset Value | Net Asset Value | FTSE 3-Month U.S. Treasury Bill Index1 | |||||||||||||||||||||||||
One Year | 1.01 | % | –4.79 | % | 0.31 | % | –0.67 | % | 1.32 | % | 1.20 | % | 0.19 | % | |||||||||||||||||
Five Year | 3.19 | % | 1.98 | % | 2.41 | % | 2.41 | % | 3.50 | % | NA | 1.09 | % | ||||||||||||||||||
Since Inception | 2.12 | % | 1.49 | % | 1.34 | % | 1.34 | % | 2.43 | % | 2.56 | % | NA | ||||||||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
The maximum offering price ("MOP") figures reflect a maximum sales charge of 5.75% for Class A. Class C is not subject to an initial sales charge, but is subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. Net Asset Value does not reflect sales charges.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
Victory Market Neutral Income Fund — Growth of $10,000
1The FTSE 3-Month U.S. Treasury Bill Index is an unmanaged index which measures monthly return equivalents of yield averages that are not marked on both the long and short sides of the market. The index reflects the reinvestment of dividends paid on the stocks constituting the index, net of withholding taxes. This index does not include the effect of sales charges, commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
8
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
PepsiCo, Inc. | 0.4 | % | |||||
Johnson & Johnson | 0.4 | % | |||||
The Southern Co. | 0.4 | % | |||||
The Hershey Co. | 0.4 | % | |||||
McDonald's Corp. | 0.4 | % | |||||
Verizon Communications, Inc. | 0.4 | % | |||||
Waste Management, Inc. | 0.4 | % | |||||
American Electric Power Co., Inc. | 0.4 | % | |||||
The Coca-Cola Co. | 0.4 | % | |||||
Duke Energy Corp. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
9
| Victory Portfolios II Victory Market Neutral Income Fund | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide high current income.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Far EasTone Telecommunications Co. Ltd. | 0.6 | % | |||||
Malayan Banking Bhd | 0.6 | % | |||||
Emera, Inc. | 0.5 | % | |||||
BCE, Inc. | 0.5 | % | |||||
Bank of China Ltd., Class H | 0.5 | % | |||||
Energizer Holdings, Inc. | 0.5 | % | |||||
Patterson Cos., Inc. | 0.4 | % | |||||
Public Bank Bhd | 0.4 | % | |||||
TELUS Corp. | 0.4 | % | |||||
B&G Foods, Inc. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
10
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.7%) | |||||||||||
Communication Services (4.2%): | |||||||||||
Alphabet, Inc., Class A (a) | 47 | $ | 102,425 | ||||||||
AT&T, Inc. | 5,948 | 124,670 | |||||||||
Charter Communications, Inc., Class A (a) | 219 | 102,608 | |||||||||
Comcast Corp., Class A | 2,883 | 113,129 | |||||||||
DISH Network Corp., Class A (a) | 2,600 | 46,618 | |||||||||
Electronic Arts, Inc. | 962 | 117,027 | |||||||||
Fox Corp., Class A | 2,862 | 92,042 | |||||||||
Liberty Broadband Corp., Class C (a) | 944 | 109,164 | |||||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 2,324 | 147,504 | |||||||||
Lumen Technologies, Inc. | 7,666 | 83,636 | |||||||||
Match Group, Inc. (a) | 705 | 49,132 | |||||||||
Meta Platforms, Inc., Class A (a) | 345 | 55,631 | |||||||||
Netflix, Inc. (a) | 189 | 33,050 | |||||||||
News Corp., Class A | 5,524 | 86,064 | |||||||||
Omnicom Group, Inc. | 1,310 | 83,329 | |||||||||
Paramount Global, Class B | 2,443 | 60,293 | |||||||||
Pinterest, Inc., Class A (a) | 1,991 | 36,157 | |||||||||
Roku, Inc. (a) (b) | 325 | 26,696 | |||||||||
Sirius XM Holdings, Inc. (c) | 20,858 | 127,860 | |||||||||
Take-Two Interactive Software, Inc. (a) | 565 | 69,230 | |||||||||
The Interpublic Group of Cos., Inc. | 2,690 | 74,056 | |||||||||
The Walt Disney Co. (a) | 842 | 79,485 | |||||||||
T-Mobile U.S., Inc. (a) | 986 | 132,656 | |||||||||
Verizon Communications, Inc. | 4,231 | 214,723 | |||||||||
Warner Bros. Discovery, Inc. (a) (b) | 1,428 | 19,164 | |||||||||
Warner Music Group Corp., Class A | 2,429 | 59,170 | |||||||||
ZoomInfo Technologies, Inc. (a) | 1,081 | 35,932 | |||||||||
2,281,451 | |||||||||||
Consumer Discretionary (8.2%): | |||||||||||
Advance Auto Parts, Inc. | 628 | 108,701 | |||||||||
Amazon.com, Inc. (a) | 640 | 67,974 | |||||||||
Aptiv PLC (a) | 774 | 68,940 | |||||||||
AutoZone, Inc. (a) | 73 | 156,886 | |||||||||
Bath & Body Works, Inc. | 1,468 | 39,519 | |||||||||
Best Buy Co., Inc. | 952 | 62,061 | |||||||||
Booking Holdings, Inc. (a) | 44 | 76,956 | |||||||||
Burlington Stores, Inc. (a) | 372 | 50,678 | |||||||||
CarMax, Inc. (a) | 835 | 75,551 | |||||||||
Chewy, Inc., Class A (a) (c) | 1,082 | 37,567 | |||||||||
Chipotle Mexican Grill, Inc. (a) | 66 | 86,279 | |||||||||
D.R. Horton, Inc. | 1,174 | 77,707 | |||||||||
Darden Restaurants, Inc. | 730 | 82,578 | |||||||||
Dollar General Corp. | 796 | 195,370 | |||||||||
Dollar Tree, Inc. (a) | 568 | 88,523 | |||||||||
Domino's Pizza, Inc. | 242 | 94,310 | |||||||||
Etsy, Inc. (a) (b) | 346 | 25,331 | |||||||||
Ford Motor Co. | 4,192 | 46,657 | |||||||||
See notes to financial statements.
11
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Garmin Ltd. | 1,163 | $ | 114,265 | ||||||||
General Motors Co. (a) | 1,845 | 58,597 | |||||||||
Genuine Parts Co. | 1,196 | 159,068 | |||||||||
Hasbro, Inc. | 1,198 | 98,092 | |||||||||
Hilton Worldwide Holdings, Inc. | 701 | 78,119 | |||||||||
Lennar Corp., Class A | 1,071 | 75,580 | |||||||||
LKQ Corp. | 2,192 | 107,605 | |||||||||
Lowe's Cos., Inc. | 580 | 101,309 | |||||||||
Marriott International, Inc., Class A | 601 | 81,742 | |||||||||
McDonald's Corp. | 880 | 217,254 | |||||||||
MGM Resorts International | 1,858 | 53,789 | |||||||||
NIKE, Inc., Class B | 796 | 81,351 | |||||||||
NVR, Inc. (a) | 25 | 100,103 | |||||||||
O'Reilly Automotive, Inc. (a) | 234 | 147,832 | |||||||||
Pool Corp. | 251 | 88,159 | |||||||||
PulteGroup, Inc. | 1,887 | 74,782 | |||||||||
Ross Stores, Inc. | 1,187 | 83,363 | |||||||||
Starbucks Corp. | 1,539 | 117,564 | |||||||||
Tapestry, Inc. | 2,187 | 66,747 | |||||||||
Target Corp. (b) | 729 | 102,957 | |||||||||
Tesla, Inc. (a) | 67 | 45,119 | |||||||||
The Home Depot, Inc. | 430 | 117,936 | |||||||||
The TJX Cos., Inc. | 1,855 | 103,602 | |||||||||
Tractor Supply Co. | 609 | 118,055 | |||||||||
Ulta Beauty, Inc. (a) | 262 | 100,996 | |||||||||
Vail Resorts, Inc. | 436 | 95,070 | |||||||||
VF Corp. | 1,897 | 83,790 | |||||||||
Whirlpool Corp. | 584 | 90,444 | |||||||||
Williams-Sonoma, Inc. | 554 | 61,466 | |||||||||
Yum! Brands, Inc. | 1,350 | 153,238 | |||||||||
4,419,582 | |||||||||||
Consumer Staples (9.7%): | |||||||||||
Albertsons Cos., Inc., Class A | 2,285 | 61,055 | |||||||||
Altria Group, Inc. | 3,030 | 126,563 | |||||||||
Archer-Daniels-Midland Co. | 1,925 | 149,380 | |||||||||
Brown-Forman Corp., Class B | 2,576 | 180,732 | |||||||||
Bunge Ltd. | 1,272 | 115,358 | |||||||||
Campbell Soup Co. | 3,739 | 179,659 | |||||||||
Church & Dwight Co., Inc. | 1,807 | 167,437 | |||||||||
Colgate-Palmolive Co. | 2,569 | 205,880 | |||||||||
Conagra Brands, Inc. | 4,626 | 158,394 | |||||||||
Costco Wholesale Corp. | 292 | 139,950 | |||||||||
Darling Ingredients, Inc. (a) | 1,241 | 74,212 | |||||||||
General Mills, Inc. | 2,549 | 192,322 | |||||||||
Hormel Foods Corp. | 3,735 | 176,890 | |||||||||
Kellogg Co. | 2,737 | 195,258 | |||||||||
Keurig Dr Pepper, Inc. | 4,467 | 158,087 | |||||||||
Kimberly-Clark Corp. | 1,455 | 196,643 | |||||||||
McCormick & Co., Inc. | 1,854 | 154,346 | |||||||||
Molson Coors Beverage Co., Class B | 2,242 | 122,211 | |||||||||
See notes to financial statements.
12
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mondelez International, Inc., Class A | 3,091 | $ | 191,920 | ||||||||
Monster Beverage Corp. (a) | 1,690 | 156,663 | |||||||||
PepsiCo, Inc. | 1,368 | 227,991 | |||||||||
Philip Morris International, Inc. | 1,610 | 158,971 | |||||||||
Sysco Corp. | 1,471 | 124,608 | |||||||||
The Clorox Co. | 735 | 103,620 | |||||||||
The Coca-Cola Co. | 3,339 | 210,056 | |||||||||
The Estee Lauder Cos., Inc. | 397 | 101,104 | |||||||||
The Hershey Co. | 1,012 | 217,742 | |||||||||
The J.M. Smucker Co. | 1,216 | 155,660 | |||||||||
The Kraft Heinz Co. | 3,755 | 143,216 | |||||||||
The Kroger Co. | 2,092 | 99,014 | |||||||||
The Procter & Gamble Co. | 1,359 | 195,411 | |||||||||
Tyson Foods, Inc., Class A | 1,363 | 117,300 | |||||||||
Walgreens Boots Alliance, Inc. | 2,651 | 100,473 | |||||||||
Walmart, Inc. | 1,480 | 179,938 | |||||||||
5,238,064 | |||||||||||
Energy (3.6%): | |||||||||||
APA Corp. | 1,666 | 58,143 | |||||||||
Chevron Corp. | 936 | 135,514 | |||||||||
ConocoPhillips | 1,012 | 90,888 | |||||||||
Continental Resources, Inc. | 1,115 | 72,865 | |||||||||
Coterra Energy, Inc. | 3,291 | 84,875 | |||||||||
Devon Energy Corp. | 1,099 | 60,566 | |||||||||
Diamondback Energy, Inc. | 492 | 59,606 | |||||||||
EOG Resources, Inc. | 729 | 80,511 | |||||||||
Exxon Mobil Corp. | 1,445 | 123,750 | |||||||||
Halliburton Co. | 2,278 | 71,438 | |||||||||
Hess Corp. | 772 | 81,786 | |||||||||
Kinder Morgan, Inc. | 7,738 | 129,689 | |||||||||
Marathon Oil Corp. | 3,007 | 67,597 | |||||||||
Marathon Petroleum Corp. | 1,305 | 107,284 | |||||||||
Occidental Petroleum Corp. | 1,366 | 80,430 | |||||||||
ONEOK, Inc. | 1,671 | 92,741 | |||||||||
Ovintiv, Inc. | 1,335 | 58,994 | |||||||||
Phillips 66 | 1,061 | 86,991 | |||||||||
Pioneer Natural Resources Co. | 398 | 88,786 | |||||||||
Schlumberger NV | 2,087 | 74,631 | |||||||||
The Williams Cos., Inc. | 4,669 | 145,719 | |||||||||
Valero Energy Corp. | 1,058 | 112,444 | |||||||||
1,965,248 | |||||||||||
Financials (15.4%): | |||||||||||
Aflac, Inc. | 2,472 | 136,776 | |||||||||
Ally Financial, Inc. | 2,008 | 67,288 | |||||||||
American Express Co. | 546 | 75,686 | |||||||||
American Financial Group, Inc. | 1,033 | 143,391 | |||||||||
American International Group, Inc. | 1,764 | 90,193 | |||||||||
Ameriprise Financial, Inc. | 403 | 95,785 | |||||||||
Aon PLC, Class A | 448 | 120,817 | |||||||||
See notes to financial statements.
13
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Apollo Global Management, Inc. | 1,507 | $ | 73,059 | ||||||||
Arch Capital Group Ltd. (a) | 3,024 | 137,562 | |||||||||
Ares Management Corp., Class A | 1,307 | 74,316 | |||||||||
Arthur J. Gallagher & Co. | 1,029 | 167,768 | |||||||||
Bank of America Corp. | 2,761 | 85,950 | |||||||||
Berkshire Hathaway, Inc., Class B (a) | 656 | 179,101 | |||||||||
BlackRock, Inc. | 188 | 114,500 | |||||||||
Blackstone, Inc. | 665 | 60,668 | |||||||||
Brown & Brown, Inc. | 2,226 | 129,865 | |||||||||
Capital One Financial Corp. | 658 | 68,557 | |||||||||
Cboe Global Markets, Inc. | 1,189 | 134,583 | |||||||||
Chubb Ltd. | 711 | 139,768 | |||||||||
Cincinnati Financial Corp. | 1,015 | 120,765 | |||||||||
Citigroup, Inc. | 2,194 | 100,902 | |||||||||
Citizens Financial Group, Inc. | 1,927 | 68,775 | |||||||||
CME Group, Inc. | 723 | 147,998 | |||||||||
CNA Financial Corp. | 3,093 | 138,876 | |||||||||
Coinbase Global, Inc., Class A (a) (c) | 274 | 12,883 | |||||||||
Comerica, Inc. | 1,019 | 74,774 | |||||||||
Discover Financial Services | 782 | 73,962 | |||||||||
East West Bancorp, Inc. | 1,099 | 71,215 | |||||||||
Everest Re Group Ltd. | 447 | 125,285 | |||||||||
FactSet Research Systems, Inc. | 414 | 159,212 | |||||||||
Fidelity National Financial, Inc. | 2,808 | 103,784 | |||||||||
Fifth Third Bancorp | 2,189 | 73,550 | |||||||||
First Citizens BancShares, Inc., Class A | 116 | 75,838 | |||||||||
First Republic Bank | 648 | 93,442 | |||||||||
Franklin Resources, Inc. | 3,151 | 73,450 | |||||||||
Huntington Bancshares, Inc. | 6,567 | 79,001 | |||||||||
Interactive Brokers Group, Inc. | 1,723 | 94,782 | |||||||||
Intercontinental Exchange, Inc. | 1,485 | 139,649 | |||||||||
JPMorgan Chase & Co. | 954 | 107,430 | |||||||||
KeyCorp | 4,353 | 75,002 | |||||||||
KKR & Co., Inc. | 1,597 | 73,925 | |||||||||
Lincoln National Corp. | 1,252 | 58,556 | |||||||||
Loews Corp. | 2,416 | 143,172 | |||||||||
LPL Financial Holdings, Inc. | 544 | 100,357 | |||||||||
M&T Bank Corp. | 543 | 86,549 | |||||||||
Markel Corp. (a) | 123 | 159,070 | |||||||||
MarketAxess Holdings, Inc. | 296 | 75,779 | |||||||||
Marsh & McLennan Cos., Inc. | 1,148 | 178,227 | |||||||||
MetLife, Inc. | 1,848 | 116,036 | |||||||||
Moody's Corp. | 434 | 118,035 | |||||||||
Morgan Stanley | 1,256 | 95,531 | |||||||||
Morningstar, Inc. | 431 | 104,229 | |||||||||
MSCI, Inc. | 222 | 91,497 | |||||||||
Nasdaq, Inc. | 896 | 136,676 | |||||||||
Northern Trust Corp. | 972 | 93,779 | |||||||||
Principal Financial Group, Inc. | 1,614 | 107,799 | |||||||||
Prudential Financial, Inc. | 1,102 | 105,439 | |||||||||
See notes to financial statements.
14
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Raymond James Financial, Inc. | 1,079 | $ | 96,473 | ||||||||
Regions Financial Corp. | 3,997 | 74,944 | |||||||||
Rocket Cos., Inc., Class A (c) | 6,424 | 47,281 | |||||||||
S&P Global, Inc. | 389 | 131,116 | |||||||||
Signature Bank | 233 | 41,756 | |||||||||
State Street Corp. | 1,134 | 69,911 | |||||||||
SVB Financial Group (a) | 131 | 51,744 | |||||||||
Synchrony Financial | 2,287 | 63,167 | |||||||||
T. Rowe Price Group, Inc. | 792 | 89,979 | |||||||||
The Allstate Corp. | 1,189 | 150,682 | |||||||||
The Bank of New York Mellon Corp. | 2,145 | 89,468 | |||||||||
The Carlyle Group, Inc. | 1,983 | 62,782 | |||||||||
The Charles Schwab Corp. | 1,270 | 80,239 | |||||||||
The Goldman Sachs Group, Inc. | 356 | 105,739 | |||||||||
The Hartford Financial Services Group Inc. | 2,040 | 133,477 | |||||||||
The PNC Financial Services Group, Inc. | 636 | 100,342 | |||||||||
The Progressive Corp. | 1,585 | 184,288 | |||||||||
The Travelers Cos., Inc. | 868 | 146,805 | |||||||||
Tradeweb Markets, Inc., Class A | 1,683 | 114,865 | |||||||||
Truist Financial Corp. | 1,773 | 84,093 | |||||||||
U.S. Bancorp | 2,112 | 97,194 | |||||||||
Upstart Holdings, Inc. (a) (c) | 197 | 6,229 | |||||||||
W.R. Berkley Corp. | 2,400 | 163,824 | |||||||||
Webster Financial Corp. | 1,515 | 63,857 | |||||||||
Wells Fargo & Co. | 1,833 | 71,799 | |||||||||
Zions Bancorp NA | 1,324 | 67,392 | |||||||||
8,340,310 | |||||||||||
Health Care (14.4%): | |||||||||||
Abbott Laboratories | 1,362 | 147,981 | |||||||||
AbbVie, Inc. | 1,170 | 179,197 | |||||||||
ABIOMED, Inc. (a) | 265 | 65,590 | |||||||||
Agilent Technologies, Inc. | 1,060 | 125,896 | |||||||||
Align Technology, Inc. (a) | 166 | 39,287 | |||||||||
AmerisourceBergen Corp. | 1,152 | 162,985 | |||||||||
Amgen, Inc. | 672 | 163,498 | |||||||||
Avantor, Inc. (a) | 3,147 | 97,872 | |||||||||
Baxter International, Inc. | 1,973 | 126,726 | |||||||||
Becton Dickinson & Co. | 623 | 153,588 | |||||||||
Biogen, Inc. (a) | 478 | 97,483 | |||||||||
Bio-Rad Laboratories, Inc., Class A (a) | 183 | 90,585 | |||||||||
Bio-Techne Corp. | 237 | 82,154 | |||||||||
Boston Scientific Corp. (a) | 3,019 | 112,518 | |||||||||
Bristol-Myers Squibb Co. | 2,553 | 196,581 | |||||||||
Bruker Corp. | 1,597 | 100,228 | |||||||||
Cardinal Health, Inc. | 2,151 | 112,433 | |||||||||
Catalent, Inc. (a) | 1,054 | 113,084 | |||||||||
Centene Corp. (a) | 1,304 | 110,331 | |||||||||
Charles River Laboratories International, Inc. (a) | 357 | 76,387 | |||||||||
Cigna Corp. | 498 | 131,233 | |||||||||
CVS Health Corp. | 1,443 | 133,708 | |||||||||
See notes to financial statements.
15
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Danaher Corp. | 483 | $ | 122,450 | ||||||||
DaVita, Inc. (a) | 1,011 | 80,840 | |||||||||
DENTSPLY SIRONA, Inc. | 2,194 | 78,392 | |||||||||
Dexcom, Inc. (a) | 727 | 54,183 | |||||||||
Edwards Lifesciences Corp. (a) | 1,043 | 99,179 | |||||||||
Elevance Health, Inc. | 282 | 136,088 | |||||||||
Eli Lilly & Co. | 463 | 150,119 | |||||||||
Embecta Corp. (a) | 125 | 3,165 | |||||||||
Gilead Sciences, Inc. (b) | 3,173 | 196,123 | |||||||||
HCA Healthcare, Inc. | 434 | 72,938 | |||||||||
Henry Schein, Inc. (a) | 1,550 | 118,947 | |||||||||
Hologic, Inc. (a) | 1,974 | 136,798 | |||||||||
Horizon Therapeutics PLC (a) | 1,274 | 101,614 | |||||||||
Humana, Inc. | 226 | 105,784 | |||||||||
IDEXX Laboratories, Inc. (a) | 201 | 70,497 | |||||||||
Illumina, Inc. (a) | 260 | 47,934 | |||||||||
Incyte Corp. (a) | 1,668 | 126,718 | |||||||||
Insulet Corp. (a) | 278 | 60,587 | |||||||||
Intuitive Surgical, Inc. (a) | 388 | 77,875 | |||||||||
IQVIA Holdings, Inc. (a) | 572 | 124,118 | |||||||||
Johnson & Johnson (b) | 1,284 | 227,923 | |||||||||
Laboratory Corp. of America Holdings | 526 | 123,273 | |||||||||
McKesson Corp. | 579 | 188,876 | |||||||||
Medtronic PLC | 1,448 | 129,958 | |||||||||
Merck & Co., Inc. | 1,651 | 150,522 | |||||||||
Mettler-Toledo International, Inc. (a) | 92 | 105,687 | |||||||||
Moderna, Inc. (a) | 241 | 34,427 | |||||||||
Molina Healthcare, Inc. (a) | 349 | 97,584 | |||||||||
PerkinElmer, Inc. | 675 | 95,999 | |||||||||
Pfizer, Inc. | 2,166 | 113,563 | |||||||||
Quest Diagnostics, Inc. | 1,106 | 147,076 | |||||||||
Regeneron Pharmaceuticals, Inc. (a) | 200 | 118,226 | |||||||||
Repligen Corp. (a) | 358 | 58,139 | |||||||||
ResMed, Inc. | 528 | 110,685 | |||||||||
STERIS PLC | 587 | 121,010 | |||||||||
Stryker Corp. | 537 | 106,825 | |||||||||
Teleflex, Inc. | 301 | 74,001 | |||||||||
The Cooper Cos., Inc. | 339 | 106,148 | |||||||||
Thermo Fisher Scientific, Inc. | 266 | 144,512 | |||||||||
UnitedHealth Group, Inc. | 329 | 168,984 | |||||||||
Universal Health Services, Inc., Class B | 810 | 81,575 | |||||||||
Veeva Systems, Inc., Class A (a) | 449 | 88,920 | |||||||||
Vertex Pharmaceuticals, Inc. (a) | 572 | 161,184 | |||||||||
Waters Corp. (a) | 444 | 146,955 | |||||||||
West Pharmaceutical Services, Inc. | 287 | 86,780 | |||||||||
Zimmer Biomet Holdings, Inc. | 851 | 89,406 | |||||||||
Zoetis, Inc. | 818 | 140,606 | |||||||||
7,802,538 | |||||||||||
See notes to financial statements.
16
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (15.9%): | |||||||||||
3M Co. | 1,109 | $ | 143,516 | ||||||||
A O Smith Corp. | 1,788 | 97,768 | |||||||||
AMERCO, Inc. | 222 | 106,167 | |||||||||
AMETEK, Inc. | 1,292 | 141,978 | |||||||||
Booz Allen Hamilton Holding Corp. | 1,526 | 137,889 | |||||||||
Builders FirstSource, Inc. (a) | 1,144 | 61,433 | |||||||||
C.H. Robinson Worldwide, Inc. | 1,322 | 134,011 | |||||||||
Carlisle Cos., Inc. | 620 | 147,938 | |||||||||
Carrier Global Corp. | 2,658 | 94,784 | |||||||||
Caterpillar, Inc. | 663 | 118,518 | |||||||||
Cintas Corp. | 383 | 143,062 | |||||||||
Copart, Inc. (a) | 1,001 | 108,769 | |||||||||
CoStar Group, Inc. (a) (b) | 1,427 | 86,205 | |||||||||
CSX Corp. | 4,234 | 123,040 | |||||||||
Cummins, Inc. | 716 | 138,567 | |||||||||
Deere & Co. | 306 | 91,638 | |||||||||
Delta Air Lines, Inc. (a) | 2,064 | 59,794 | |||||||||
Dover Corp. | 973 | 118,044 | |||||||||
Eaton Corp. PLC | 913 | 115,029 | |||||||||
Emerson Electric Co. | 1,444 | 114,856 | |||||||||
Equifax, Inc. | 512 | 93,583 | |||||||||
Expeditors International of Washington, Inc. | 1,315 | 128,160 | |||||||||
Fastenal Co. | 3,084 | 153,953 | |||||||||
FedEx Corp. | 582 | 131,945 | |||||||||
Fortive Corp. | 2,299 | 125,020 | |||||||||
Fortune Brands Home & Security, Inc. | 1,370 | 82,036 | |||||||||
Generac Holdings, Inc. (a) | 229 | 48,223 | |||||||||
General Dynamics Corp. | 795 | 175,894 | |||||||||
Graco, Inc. | 2,156 | 128,088 | |||||||||
HEICO Corp. | 887 | 116,303 | |||||||||
Honeywell International, Inc. | 799 | 138,874 | |||||||||
Howmet Aerospace, Inc. | 2,748 | 86,425 | |||||||||
IDEX Corp. | 776 | 140,945 | |||||||||
Illinois Tool Works, Inc. | 821 | 149,627 | |||||||||
Ingersoll Rand, Inc. (b) | 2,424 | 102,002 | |||||||||
J.B. Hunt Transport Services, Inc. | 599 | 94,325 | |||||||||
Jacobs Engineering Group, Inc. | 1,059 | 134,631 | |||||||||
Johnson Controls International PLC | 2,188 | 104,761 | |||||||||
L3Harris Technologies, Inc. | 524 | 126,651 | |||||||||
Leidos Holdings, Inc. | 1,131 | 113,903 | |||||||||
Lockheed Martin Corp. | 328 | 141,027 | |||||||||
Masco Corp. | 2,576 | 130,346 | |||||||||
Nordson Corp. | 627 | 126,930 | |||||||||
Norfolk Southern Corp. | 543 | 123,418 | |||||||||
Northrop Grumman Corp. | 300 | 143,571 | |||||||||
Old Dominion Freight Line, Inc. | 378 | 96,874 | |||||||||
Otis Worldwide Corp. | 1,907 | 134,768 | |||||||||
PACCAR, Inc. | 1,595 | 131,332 | |||||||||
Parker-Hannifin Corp. | 417 | 102,603 | |||||||||
Quanta Services, Inc. | 813 | 101,901 | |||||||||
See notes to financial statements.
17
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Raytheon Technologies Corp. | 1,412 | $ | 135,707 | ||||||||
Regal Rexnord Corp. | 654 | 74,242 | |||||||||
Republic Services, Inc. (b) | 1,435 | 187,798 | |||||||||
Robert Half International, Inc. | 1,107 | 82,903 | |||||||||
Rockwell Automation, Inc. | 519 | 103,442 | |||||||||
Rollins, Inc. | 3,601 | 125,747 | |||||||||
Roper Technologies, Inc. | 374 | 147,599 | |||||||||
Snap-on, Inc. | 615 | 121,173 | |||||||||
Southwest Airlines Co. (a) | 2,216 | 80,042 | |||||||||
Stanley Black & Decker, Inc. | 752 | 78,855 | |||||||||
Textron, Inc. | 1,542 | 94,170 | |||||||||
Trane Technologies PLC | 854 | 110,909 | |||||||||
TransDigm Group, Inc. (a) | 167 | 89,624 | |||||||||
TransUnion | 1,339 | 107,107 | |||||||||
Trex Co., Inc. (a) | 837 | 45,550 | |||||||||
Union Pacific Corp. | 676 | 144,177 | |||||||||
United Parcel Service, Inc., Class B | 545 | 99,484 | |||||||||
United Rentals, Inc. (a) | 287 | 69,715 | |||||||||
Verisk Analytics, Inc. | 921 | 159,416 | |||||||||
W.W. Grainger, Inc. | 307 | 139,510 | |||||||||
Waste Management, Inc. | 1,403 | 214,631 | |||||||||
Watsco, Inc. | 525 | 125,380 | |||||||||
Westinghouse Air Brake Technologies Corp. | 1,313 | 107,771 | |||||||||
Xylem, Inc. | 1,342 | 104,918 | |||||||||
8,640,995 | |||||||||||
Information Technology (13.8%): | |||||||||||
Accenture PLC, Class A | 423 | 117,446 | |||||||||
Adobe, Inc. (a) | 200 | 73,212 | |||||||||
Advanced Micro Devices, Inc. (a) | 515 | 39,382 | |||||||||
Akamai Technologies, Inc. (a) | 1,317 | 120,282 | |||||||||
Amphenol Corp., Class A | 2,064 | 132,880 | |||||||||
Analog Devices, Inc. | 734 | 107,230 | |||||||||
ANSYS, Inc. (a) | 336 | 80,402 | |||||||||
Apple, Inc. | 813 | 111,153 | |||||||||
Applied Materials, Inc. | 595 | 54,133 | |||||||||
AppLovin Corp., Class A (a) (c) | 813 | 28,000 | |||||||||
Arista Networks, Inc. (a) | 687 | 64,399 | |||||||||
Autodesk, Inc. (a) | 387 | 66,549 | |||||||||
Automatic Data Processing, Inc. | 746 | 156,690 | |||||||||
Bentley Systems, Inc., Class B | 2,313 | 77,023 | |||||||||
Block, Inc. (a) (b) | 396 | 24,338 | |||||||||
Broadcom, Inc. | 200 | 97,162 | |||||||||
Broadridge Financial Solutions, Inc. | 983 | 140,127 | |||||||||
Cadence Design Systems, Inc. (a) | 634 | 95,119 | |||||||||
CDW Corp. | 728 | 114,704 | |||||||||
Cisco Systems, Inc. | 2,772 | 118,198 | |||||||||
Cognex Corp. | 1,385 | 58,890 | |||||||||
Cognizant Technology Solutions Corp., Class A | 1,703 | 114,936 | |||||||||
Corning, Inc. | 2,967 | 93,490 | |||||||||
Dell Technologies, Inc., Class C | 2,381 | 110,026 | |||||||||
See notes to financial statements.
18
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Dynatrace, Inc. (a) | 1,573 | $ | 62,039 | ||||||||
Enphase Energy, Inc. (a) | 289 | 56,424 | |||||||||
Entegris, Inc. | 648 | 59,700 | |||||||||
EPAM Systems, Inc. (a) | 219 | 64,557 | |||||||||
F5, Inc. (a) | 569 | 87,080 | |||||||||
Fair Isaac Corp. (a) | 197 | 78,977 | |||||||||
Fidelity National Information Services, Inc. | 1,048 | 96,070 | |||||||||
Fiserv, Inc. (a) | 1,158 | 103,027 | |||||||||
FleetCor Technologies, Inc. (a) | 481 | 101,063 | |||||||||
Fortinet, Inc. (a) | 1,070 | 60,541 | |||||||||
Gartner, Inc. (a) | 361 | 87,301 | |||||||||
Global Payments, Inc. | 680 | 75,235 | |||||||||
GoDaddy, Inc., Class A (a) | 1,038 | 72,203 | |||||||||
Hewlett Packard Enterprise Co. | 7,160 | 94,942 | |||||||||
HP, Inc. | 3,077 | 100,864 | |||||||||
Intel Corp. | 2,397 | 89,672 | |||||||||
International Business Machines Corp. | 1,197 | 169,005 | |||||||||
Intuit, Inc. | 205 | 79,015 | |||||||||
Jack Henry & Associates, Inc. | 815 | 146,716 | |||||||||
Juniper Networks, Inc. | 3,772 | 107,502 | |||||||||
Keysight Technologies, Inc. (a) | 830 | 114,416 | |||||||||
KLA Corp. | 229 | 73,069 | |||||||||
Lam Research Corp. | 151 | 64,349 | |||||||||
Mastercard, Inc., Class A | 288 | 90,858 | |||||||||
Microchip Technology, Inc. | 1,275 | 74,052 | |||||||||
Micron Technology, Inc. | 971 | 53,677 | |||||||||
Microsoft Corp. (b) | 466 | 119,683 | |||||||||
Monolithic Power Systems, Inc. | 177 | 67,975 | |||||||||
Motorola Solutions, Inc. | 631 | 132,258 | |||||||||
NetApp, Inc. | 1,560 | 101,774 | |||||||||
NortonLifeLock, Inc. | 4,003 | 87,906 | |||||||||
NVIDIA Corp. | 263 | 39,868 | |||||||||
NXP Semiconductors NV | 452 | 66,910 | |||||||||
ON Semiconductor Corp. (a) | 1,024 | 51,518 | |||||||||
Oracle Corp. | 1,366 | 95,442 | |||||||||
Paychex, Inc. | 1,325 | 150,878 | |||||||||
Paycom Software, Inc. (a) | 240 | 67,229 | |||||||||
Paylocity Holding Corp. (a) | 358 | 62,442 | |||||||||
PayPal Holdings, Inc. (a) | 620 | 43,301 | |||||||||
PTC, Inc. (a) | 895 | 95,174 | |||||||||
Qorvo, Inc. (a) | 654 | 61,685 | |||||||||
QUALCOMM, Inc. | 510 | 65,147 | |||||||||
Salesforce, Inc. (a) | 448 | 73,938 | |||||||||
ServiceNow, Inc. (a) (b) | 141 | 67,048 | |||||||||
Skyworks Solutions, Inc. | 756 | 70,036 | |||||||||
SS&C Technologies Holdings, Inc. | 2,119 | 123,050 | |||||||||
Synopsys, Inc. (a) | 310 | 94,147 | |||||||||
TE Connectivity Ltd. | 891 | 100,817 | |||||||||
Teledyne Technologies, Inc. (a) | 348 | 130,538 | |||||||||
Teradyne, Inc. | 591 | 52,924 | |||||||||
Texas Instruments, Inc. | 758 | 116,467 | |||||||||
See notes to financial statements.
19
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
The Trade Desk, Inc., Class A (a) | 506 | $ | 21,196 | ||||||||
Trimble, Inc. (a) | 1,631 | 94,973 | |||||||||
Tyler Technologies, Inc. (a) | 248 | 82,455 | |||||||||
Ubiquiti, Inc. (c) | 321 | 79,675 | |||||||||
VeriSign, Inc. (a) | 697 | 116,629 | |||||||||
Visa, Inc., Class A | 542 | 106,714 | |||||||||
VMware, Inc., Class A | 936 | 106,685 | |||||||||
Western Digital Corp. (a) | 1,623 | 72,759 | |||||||||
Workday, Inc., Class A (a) | 450 | 62,811 | |||||||||
Zebra Technologies Corp. (a) | 257 | 75,545 | |||||||||
Zoom Video Communications, Inc., Class A (a) | 483 | 52,150 | |||||||||
7,467,872 | |||||||||||
Materials (5.7%): | |||||||||||
Air Products and Chemicals, Inc. | 666 | 160,160 | |||||||||
Albemarle Corp. | 355 | 74,188 | |||||||||
Alcoa Corp. | 719 | 32,772 | |||||||||
Avery Dennison Corp. | 770 | 124,640 | |||||||||
Ball Corp. | 1,462 | 100,542 | |||||||||
Celanese Corp. | 858 | 100,909 | |||||||||
CF Industries Holdings, Inc. | 971 | 83,244 | |||||||||
Cleveland-Cliffs, Inc. (a) | 2,519 | 38,717 | |||||||||
Corteva, Inc. | 2,391 | 129,449 | |||||||||
Dow, Inc. | 2,112 | 109,000 | |||||||||
DuPont de Nemours, Inc. | 1,508 | 83,815 | |||||||||
Eastman Chemical Co. | 965 | 86,628 | |||||||||
Ecolab, Inc. | 823 | 126,544 | |||||||||
FMC Corp. | 932 | 99,733 | |||||||||
Freeport-McMoRan, Inc. | 1,509 | 44,153 | |||||||||
International Flavors & Fragrances, Inc. | 1,020 | 121,502 | |||||||||
International Paper Co. | 3,295 | 137,830 | |||||||||
LyondellBasell Industries NV, Class A | 1,223 | 106,964 | |||||||||
Martin Marietta Materials, Inc. | 319 | 95,458 | |||||||||
Newmont Corp. | 1,697 | 101,260 | |||||||||
Nucor Corp. | 548 | 57,217 | |||||||||
Packaging Corp. of America | 955 | 131,313 | |||||||||
PPG Industries, Inc. | 1,063 | 121,543 | |||||||||
Reliance Steel & Aluminum Co. | 586 | 99,538 | |||||||||
RPM International, Inc. | 1,864 | 146,734 | |||||||||
Steel Dynamics, Inc. | 1,096 | 72,500 | |||||||||
The Mosaic Co. | 1,473 | 69,570 | |||||||||
The Sherwin-Williams Co. | 619 | 138,600 | |||||||||
Vulcan Materials Co. | 682 | 96,912 | |||||||||
Westlake Corp. | 870 | 85,277 | |||||||||
Westrock Co. | 2,431 | 96,851 | |||||||||
3,073,563 | |||||||||||
Real Estate (0.3%): | |||||||||||
CBRE Group, Inc., Class A (a) | 1,175 | 86,491 | |||||||||
Jones Lang LaSalle, Inc. (a) | 401 | 70,119 | |||||||||
156,610 | |||||||||||
See notes to financial statements.
20
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (8.5%): | |||||||||||
Alliant Energy Corp. | 2,993 | $ | 175,420 | ||||||||
Ameren Corp. | 2,174 | 196,443 | |||||||||
American Electric Power Co., Inc. (b) | 2,202 | 211,260 | |||||||||
American Water Works Co., Inc. | 1,040 | 154,721 | |||||||||
Atmos Energy Corp. | 1,544 | 173,082 | |||||||||
CenterPoint Energy, Inc. | 6,189 | 183,071 | |||||||||
CMS Energy Corp. | 2,941 | 198,517 | |||||||||
Consolidated Edison, Inc. (b) | 2,052 | 195,145 | |||||||||
Dominion Energy, Inc. | 2,187 | 174,544 | |||||||||
DTE Energy Co. | 1,641 | 207,997 | |||||||||
Duke Energy Corp. (b) | 1,948 | 208,845 | |||||||||
Edison International | 2,590 | 163,792 | |||||||||
Entergy Corp. | 1,449 | 163,215 | |||||||||
Essential Utilities, Inc. | 3,381 | 155,019 | |||||||||
Evergy, Inc. (b) | 3,022 | 197,185 | |||||||||
Eversource Energy (b) | 2,023 | 170,883 | |||||||||
Exelon Corp. | 4,471 | 202,626 | |||||||||
FirstEnergy Corp. | 4,233 | 162,505 | |||||||||
NextEra Energy, Inc. (b) | 1,717 | 132,999 | |||||||||
NiSource, Inc. | 6,440 | 189,916 | |||||||||
PPL Corp. | 7,086 | 192,243 | |||||||||
Sempra Energy | 1,150 | 172,810 | |||||||||
The Southern Co. (b) | 3,086 | 220,063 | |||||||||
WEC Energy Group, Inc. (b) | 1,935 | 194,738 | |||||||||
Xcel Energy, Inc. (b) | 2,643 | 187,019 | |||||||||
4,584,058 | |||||||||||
Total Common Stocks (Cost $52,404,060) | 53,970,291 | ||||||||||
Investment Companies (0.4%) | |||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (d) | 242,405 | 242,405 | |||||||||
Total Investment Companies (Cost $242,405) | 242,405 | ||||||||||
Collateral for Securities Loaned (0.1%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) | 1,959 | 1,959 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (d) | 978 | 978 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) | 12,194 | 12,194 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) | 7,796 | 7,796 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (d) | 5,199 | 5,199 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (d) | 35,051 | 35,051 | |||||||||
Total Collateral for Securities Loaned (Cost $63,177) | 63,177 | ||||||||||
Total Investments (Cost $52,709,642) — 100.2% | 54,275,873 | ||||||||||
Liabilities in excess of other assets — (0.2)% | (114,951 | ) | |||||||||
NET ASSETS — 100.00% | $ | 54,160,922 | |||||||||
See notes to financial statements.
21
| Victory Portfolios II Victory US 500 Enhanced Volatility Wtd Index Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 2 | 9/16/22 | $ | 370,758 | $ | 378,950 | $ | 8,192 | |||||||||||||||
Total unrealized appreciation | $ | 8,192 | |||||||||||||||||||||
Total unrealized depreciation | — | ||||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | 8,192 | |||||||||||||||||||||
See notes to financial statements.
22
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (86.5%) | |||||||||||
Australia (1.1%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Telstra Corp. Ltd. | 4,692,613 | $ | 12,478,543 | ||||||||
Financials (0.4%): | |||||||||||
Australia & New Zealand Banking Group Ltd. | 716,454 | 10,909,697 | |||||||||
Westpac Banking Corp. | 718,429 | 9,688,686 | |||||||||
20,598,383 | |||||||||||
Materials (0.4%): | |||||||||||
BHP Group Ltd. | 261,364 | 7,482,146 | |||||||||
Fortescue Metals Group Ltd. | 437,494 | 5,259,599 | |||||||||
Rio Tinto Ltd. | 96,307 | 6,868,915 | |||||||||
19,610,660 | |||||||||||
52,687,586 | |||||||||||
Austria (0.1%): | |||||||||||
Energy (0.1%): | |||||||||||
OMV AG | 150,186 | 7,062,355 | |||||||||
Brazil (2.0%): | |||||||||||
Consumer Discretionary (0.1%): | |||||||||||
Vibra Energia SA | 1,905,763 | 6,085,593 | |||||||||
Consumer Staples (0.5%): | |||||||||||
Ambev SA | 3,554,100 | 9,101,061 | |||||||||
Atacadao SA | 2,566,600 | 8,176,197 | |||||||||
JBS SA | 1,302,200 | 7,861,128 | |||||||||
25,138,386 | |||||||||||
Energy (0.1%): | |||||||||||
Petroleo Brasileiro SA, Preference Shares | 1,294,800 | 6,910,846 | |||||||||
Financials (0.6%): | |||||||||||
B3 SA — Brasil Bolsa Balcao | 2,543,500 | 5,327,210 | |||||||||
Banco do Brasil SA | 1,538,700 | 9,815,171 | |||||||||
BB Seguridade Participacoes SA | 2,435,200 | 12,080,833 | |||||||||
27,223,214 | |||||||||||
Materials (0.3%): | |||||||||||
Cia Siderurgica Nacional SA | 1,258,900 | 3,714,463 | |||||||||
CSN Mineracao SA | 5,385,141 | 3,972,299 | |||||||||
Vale SA | 444,000 | 6,495,947 | |||||||||
14,182,709 | |||||||||||
Utilities (0.4%): | |||||||||||
Centrais Eletricas Brasileiras SA | 1,149,000 | 10,144,241 | |||||||||
| CPFL Energia SA | 1,918,400 | 11,320,720 | |||||||||
21,464,961 | |||||||||||
101,005,709 | |||||||||||
See notes to financial statements.
23
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Canada (3.2%): | |||||||||||
Communication Services (0.9%): | |||||||||||
BCE, Inc. (a) | 498,743 | $ | 24,518,624 | ||||||||
TELUS Corp. (a) (b) | 955,113 | 21,276,682 | |||||||||
45,795,306 | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Restaurant Brands International, Inc. (b) | 206,161 | 10,343,291 | |||||||||
Energy (0.9%): | |||||||||||
Enbridge, Inc. | 371,463 | 15,689,766 | |||||||||
Pembina Pipeline Corp. (b) | 403,152 | 14,252,848 | |||||||||
TC Energy Corp. | 276,401 | 14,320,450 | |||||||||
44,263,064 | |||||||||||
Financials (0.7%): | |||||||||||
Great-West Lifeco, Inc. | 694,627 | 16,963,580 | |||||||||
Power Corp. of Canada | 634,084 | 16,317,686 | |||||||||
33,281,266 | |||||||||||
Utilities (0.5%): | |||||||||||
Emera, Inc. | 530,997 | 24,878,880 | |||||||||
158,561,807 | |||||||||||
Chile (0.4%): | |||||||||||
Energy (0.1%): | |||||||||||
Empresas COPEC SA | 883,030 | 6,517,786 | |||||||||
Industrials (0.2%): | |||||||||||
Cia Sud Americana de Vapores SA | 79,932,165 | 7,145,266 | |||||||||
Materials (0.1%): | |||||||||||
Empresas CMPC SA | 3,931,259 | 6,536,382 | |||||||||
20,199,434 | |||||||||||
China (4.2%): | |||||||||||
Energy (0.4%): | |||||||||||
China Petroleum & Chemical Corp., Class H | 24,136,000 | 10,875,956 | |||||||||
China Shenhua Energy Co. Ltd., Class H | 2,695,500 | 7,731,650 | |||||||||
18,607,606 | |||||||||||
Financials (3.0%): | |||||||||||
Agricultural Bank of China Ltd., Class H (a) (c) | 50,593,000 | 19,127,461 | |||||||||
Bank of China Ltd., Class H (a) (c) | 60,750,000 | 24,274,580 | |||||||||
Bank of Communications Co. Ltd., Class H | 20,551,000 | 14,245,288 | |||||||||
China CITIC Bank Corp. Ltd., Class H | 33,673,000 | 15,083,018 | |||||||||
China Everbright Bank Co. Ltd., Class H | 36,964,000 | 11,980,167 | |||||||||
China Merchants Securities Co. Ltd., Class H (d) | 7,646,400 | 8,305,173 | |||||||||
China Minsheng Banking Corp. Ltd., Class H (b) | 27,678,500 | 9,881,720 | |||||||||
Industrial & Commercial Bank of China Ltd., Class H | 29,683,000 | 17,710,784 | |||||||||
New China Life Insurance Co. Ltd., Class H | 3,933,700 | 11,070,734 | |||||||||
The People's Insurance Co. Group of China Ltd., Class H | 50,615,000 | 15,497,923 | |||||||||
147,176,848 | |||||||||||
See notes to financial statements.
24
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Health Care (0.2%): | |||||||||||
Sinopharm Group Co. Ltd., Class H | 3,905,600 | $ | 9,456,217 | ||||||||
Industrials (0.1%): | |||||||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H | 9,832,200 | 5,262,846 | |||||||||
Information Technology (0.2%): | |||||||||||
China Railway Signal & Communication Corp. Ltd., Class H (d) | 36,820,000 | 12,303,074 | |||||||||
Materials (0.1%): | |||||||||||
China Hongqiao Group Ltd. | 4,115,500 | 4,636,411 | |||||||||
Real Estate (0.2%): | |||||||||||
China Vanke Co. Ltd., Class H | 2,825,400 | 7,113,910 | |||||||||
Country Garden Holdings Co. Ltd. | 8,188,000 | 5,110,111 | |||||||||
12,224,021 | |||||||||||
209,667,023 | |||||||||||
Colombia (0.2%): | |||||||||||
Utilities (0.2%): | |||||||||||
Interconexion Electrica SA ESP | 1,720,774 | 8,516,688 | |||||||||
Finland (0.3%): | |||||||||||
Materials (0.2%): | |||||||||||
UPM-Kymmene Oyj | 301,571 | 9,245,844 | |||||||||
Utilities (0.1%): | |||||||||||
Fortum Oyj | 411,596 | 6,220,331 | |||||||||
15,466,175 | |||||||||||
France (1.5%): | |||||||||||
Communication Services (0.4%): | |||||||||||
Orange SA (b) | 1,353,767 | 15,949,940 | |||||||||
Vivendi SE | 237,043 | 2,418,654 | |||||||||
18,368,594 | |||||||||||
Energy (0.2%): | |||||||||||
TotalEnergies SE (b) | 190,046 | 10,002,020 | |||||||||
Financials (0.6%): | |||||||||||
Amundi SA (d) | 148,394 | 8,168,976 | |||||||||
AXA SA | 409,420 | 9,350,452 | |||||||||
BNP Paribas SA | 136,827 | 6,543,773 | |||||||||
Credit Agricole SA (b) | 759,017 | 6,996,356 | |||||||||
31,059,557 | |||||||||||
Industrials (0.2%): | |||||||||||
Bouygues SA | 376,202 | 11,609,264 | |||||||||
Utilities (0.1%): | |||||||||||
Electricite de France SA | 705,712 | 5,795,785 | |||||||||
76,835,220 | |||||||||||
Germany (1.3%): | |||||||||||
Communication Services (0.2%): | |||||||||||
Deutsche Telekom AG | 600,497 | 11,941,739 | |||||||||
See notes to financial statements.
25
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (0.2%): | |||||||||||
Allianz SE, Registered Shares | 48,978 | $ | 9,388,249 | ||||||||
Health Care (0.2%): | |||||||||||
Bayer AG, Registered Shares | 183,171 | 10,936,754 | |||||||||
Materials (0.5%): | |||||||||||
BASF SE | 160,874 | 7,037,596 | |||||||||
Evonik Industries AG | 456,183 | 9,781,988 | |||||||||
HeidelbergCement AG | 145,434 | 7,020,742 | |||||||||
23,840,326 | |||||||||||
Utilities (0.2%): | |||||||||||
E.ON SE | 957,442 | 8,063,457 | |||||||||
64,170,525 | |||||||||||
Hong Kong (2.2%): | |||||||||||
Industrials (0.4%): | |||||||||||
CK Hutchison Holdings Ltd. | 1,920,000 | 13,025,614 | |||||||||
SITC International Holdings Co. Ltd. | 1,144,000 | 3,253,824 | |||||||||
Xinyi Glass Holdings Ltd. | 1,739,000 | 4,195,909 | |||||||||
20,475,347 | |||||||||||
Real Estate (0.6%): | |||||||||||
CK Asset Holdings Ltd. | 1,643,000 | 11,674,334 | |||||||||
Henderson Land Development Co. Ltd. | 2,270,000 | 8,531,729 | |||||||||
Sun Hung Kai Properties Ltd. | 1,030,000 | 12,195,575 | |||||||||
32,401,638 | |||||||||||
Utilities (1.2%): | |||||||||||
China Gas Holdings Ltd. | 3,920,400 | 6,069,410 | |||||||||
CK Infrastructure Holdings Ltd. | 2,367,500 | 14,543,767 | |||||||||
CLP Holdings Ltd. | 2,391,500 | 19,874,546 | |||||||||
Power Assets Holdings Ltd. (a) | 2,970,000 | 18,711,218 | |||||||||
59,198,941 | |||||||||||
112,075,926 | |||||||||||
India (1.7%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Indus Towers Ltd. | 2,296,365 | 6,104,371 | |||||||||
Consumer Discretionary (0.3%): | |||||||||||
Bajaj Auto Ltd. | 295,819 | 13,934,245 | |||||||||
Consumer Staples (0.3%): | |||||||||||
ITC Ltd. | 4,073,254 | 14,151,985 | |||||||||
Energy (0.3%): | |||||||||||
Bharat Petroleum Corp. Ltd. | 2,486,993 | 9,745,921 | |||||||||
Hindustan Petroleum Corp. Ltd. | 2,406,329 | 6,644,128 | |||||||||
16,390,049 | |||||||||||
See notes to financial statements.
26
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (0.3%): | |||||||||||
Ambuja Cements Ltd. | 2,383,355 | $ | 10,991,548 | ||||||||
Vedanta Ltd. | 1,217,901 | 3,449,545 | |||||||||
14,441,093 | |||||||||||
Utilities (0.4%): | |||||||||||
NTPC Ltd. | 5,990,579 | 10,855,656 | |||||||||
Power Grid Corp. of India Ltd. | 3,859,769 | 10,388,343 | |||||||||
21,243,999 | |||||||||||
86,265,742 | |||||||||||
Indonesia (0.8%): | |||||||||||
Communication Services (0.2%): | |||||||||||
PT Telkom Indonesia Persero Tbk | 36,513,600 | 9,824,353 | |||||||||
Consumer Staples (0.5%): | |||||||||||
PT Gudang Garam Tbk | 4,323,300 | 9,053,001 | |||||||||
PT Indofood Sukses Makmur Tbk | 28,729,000 | 13,610,248 | |||||||||
22,663,249 | |||||||||||
Energy (0.1%): | |||||||||||
PT Adaro Energy Indonesia Tbk | 38,015,300 | 7,322,349 | |||||||||
39,809,951 | |||||||||||
Italy (1.4%): | |||||||||||
Energy (0.2%): | |||||||||||
Eni SpA | 676,168 | 8,018,661 | |||||||||
Financials (0.5%): | |||||||||||
Assicurazioni Generali SpA | 696,252 | 11,119,490 | |||||||||
Intesa Sanpaolo SpA (b) | 3,384,735 | 6,333,531 | |||||||||
Poste Italiane SpA (d) | 933,897 | 8,736,743 | |||||||||
26,189,764 | |||||||||||
Utilities (0.7%): | |||||||||||
Enel SpA | 1,401,993 | 7,687,746 | |||||||||
Snam SpA | 2,592,401 | 13,598,754 | |||||||||
Terna — Rete Elettrica Nazionale (b) | 1,545,106 | 12,146,253 | |||||||||
33,432,753 | |||||||||||
67,641,178 | |||||||||||
Japan (2.6%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Softbank Corp. | 1,252,500 | 13,907,982 | |||||||||
Consumer Discretionary (0.5%): | |||||||||||
Aisin Corp. | 219,700 | 6,800,929 | |||||||||
Honda Motor Co. Ltd. | 304,200 | 7,335,679 | |||||||||
Sekisui House Ltd. | 548,300 | 9,627,020 | |||||||||
23,763,628 | |||||||||||
Consumer Staples (0.3%): | |||||||||||
Japan Tobacco, Inc. (b) | 741,300 | 12,847,724 | |||||||||
See notes to financial statements.
27
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Energy (0.3%): | |||||||||||
ENEOS Holdings, Inc. | 2,926,900 | $ | 11,014,944 | ||||||||
Inpex Corp. | 587,800 | 6,302,312 | |||||||||
17,317,256 | |||||||||||
Financials (0.4%): | |||||||||||
Mizuho Financial Group, Inc. | 939,400 | 10,696,569 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 322,200 | 9,578,838 | |||||||||
20,275,407 | |||||||||||
Health Care (0.2%): | |||||||||||
Takeda Pharmaceutical Co. Ltd. | 436,500 | 12,262,373 | |||||||||
Industrials (0.3%): | |||||||||||
Marubeni Corp. | 789,300 | 7,082,315 | |||||||||
Sumitomo Corp. | 687,700 | 9,349,593 | |||||||||
16,431,908 | |||||||||||
Information Technology (0.2%): | |||||||||||
Canon, Inc. (b) | 386,200 | 8,753,116 | |||||||||
Materials (0.1%): | |||||||||||
Nippon Steel Corp. | 357,000 | 4,996,990 | |||||||||
130,556,384 | |||||||||||
Korea, Republic Of (1.0%): | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Kia Corp. | 146,626 | 8,753,476 | |||||||||
Financials (0.5%): | |||||||||||
Hana Financial Group, Inc. | 216,922 | 6,594,594 | |||||||||
KB Financial Group, Inc. | 181,256 | 6,770,265 | |||||||||
Shinhan Financial Group Co. Ltd. | 339,773 | 9,745,065 | |||||||||
23,109,924 | |||||||||||
Industrials (0.2%): | |||||||||||
Samsung C&T Corp. | 107,634 | 10,249,602 | |||||||||
Materials (0.1%): | |||||||||||
POSCO Holdings, Inc. | 31,925 | 5,694,729 | |||||||||
47,807,731 | |||||||||||
Malaysia (2.5%): | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Kuala Lumpur Kepong Bhd | 1,758,800 | 8,754,209 | |||||||||
Financials (1.3%): | |||||||||||
Malayan Banking Bhd (a) | 13,783,100 | 26,871,751 | |||||||||
Public Bank Bhd | 21,710,300 | 21,543,198 | |||||||||
RHB Bank Bhd | 12,088,300 | 15,722,354 | |||||||||
64,137,303 | |||||||||||
See notes to financial statements.
28
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Health Care (0.1%): | |||||||||||
Hartalega Holdings Bhd | 5,901,600 | $ | 4,100,411 | ||||||||
Top Glove Corp. Bhd | 10,239,600 | 2,420,802 | |||||||||
6,521,213 | |||||||||||
Industrials (0.6%): | |||||||||||
MISC Bhd | 9,073,300 | 14,624,230 | |||||||||
Sime Darby Bhd | 26,225,200 | 12,693,008 | |||||||||
27,317,238 | |||||||||||
Utilities (0.3%): | |||||||||||
Tenaga Nasional Bhd | 9,454,800 | 17,123,206 | |||||||||
123,853,169 | |||||||||||
Mexico (1.0%): | |||||||||||
Consumer Staples (0.6%): | |||||||||||
Arca Continental SAB de CV | 2,877,699 | 18,965,755 | |||||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 8,817,353 | 11,942,486 | |||||||||
30,908,241 | |||||||||||
Materials (0.4%): | |||||||||||
Grupo Mexico SAB de CV, Class B | 1,753,923 | 7,264,538 | |||||||||
Orbia Advance Corp. SAB de CV | 4,530,199 | 10,604,204 | |||||||||
17,868,742 | |||||||||||
48,776,983 | |||||||||||
Netherlands (0.7%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Koninklijke KPN NV | 4,271,429 | 15,196,136 | |||||||||
Consumer Staples (0.0%): (e) | |||||||||||
X5 Retail Group NV, GDR (f) (h) (i) (j) | 201,753 | 15,821 | |||||||||
Financials (0.2%): | |||||||||||
NN Group NV | 229,866 | 10,409,811 | |||||||||
Materials (0.2%): | |||||||||||
LyondellBasell Industries NV, Class A | 100,899 | 8,824,627 | |||||||||
34,446,395 | |||||||||||
Norway (0.5%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Telenor ASA (b) | 931,447 | 12,452,703 | |||||||||
Energy (0.1%): | |||||||||||
Aker BP ASA | 154,169 | 5,341,703 | |||||||||
Materials (0.1%): | |||||||||||
Yara International ASA | 162,547 | 6,813,930 | |||||||||
24,608,336 | |||||||||||
See notes to financial statements.
29
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Philippines (0.3%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Globe Telecom, Inc. | 124,985 | $ | 5,159,597 | ||||||||
PLDT, Inc. | 276,780 | 8,455,166 | |||||||||
13,614,763 | |||||||||||
Poland (0.6%): | |||||||||||
Communication Services (0.2%): | |||||||||||
Cyfrowy Polsat SA | 1,833,154 | 8,688,756 | |||||||||
Consumer Discretionary (0.1%): | |||||||||||
LPP SA | 2,482 | 5,017,369 | |||||||||
Energy (0.1%): | |||||||||||
Polski Koncern Naftowy ORLEN SA | 487,591 | 7,491,581 | |||||||||
Financials (0.2%): | |||||||||||
Powszechny Zaklad Ubezpieczen SA | 1,391,391 | 9,333,737 | |||||||||
30,531,443 | |||||||||||
Portugal (0.2%): | |||||||||||
Utilities (0.2%): | |||||||||||
EDP — Energias de Portugal SA | 1,942,160 | 9,049,829 | |||||||||
Romania (0.3%): | |||||||||||
Real Estate (0.3%): | |||||||||||
NEPI Rockcastle S.A. | 2,492,303 | 13,297,632 | |||||||||
Russian Federation (0.0%): (e) | |||||||||||
Communication Services (0.0%): | |||||||||||
Mobile TeleSystems PJSC (f) (h) | 2,330,210 | 101,407 | |||||||||
Rostelecom PJSC (a) (f) (h) (i) (j) | 6,752,730 | 88,786 | |||||||||
190,193 | |||||||||||
Consumer Staples (0.0%): | |||||||||||
Magnit PJSC (f) (h) | 93,217 | 1,542 | |||||||||
Energy (0.0%): | |||||||||||
Tatneft PJSC (f) (h) | 827,565 | 57,872 | |||||||||
Financials (0.0%): | |||||||||||
Moscow Exchange MICEX-RTS PJSC (c) (f) (h) | 2,604,790 | 48,119 | |||||||||
Materials (0.0%): | |||||||||||
Magnitogorsk Iron & Steel Works PJSC (f) (h) | 4,673,660 | 41,847 | |||||||||
MMC Norilsk Nickel PJSC (f) (h) | 14,877 | 55,483 | |||||||||
Novolipetsk Steel PJSC (f) (h) | 1,477,080 | 51,288 | |||||||||
Polyus PJSC (f) (h) | 34,403 | 70,870 | |||||||||
Severstal PAO (f) (h) (i) (j) | 223,944 | 58,474 | |||||||||
277,962 | |||||||||||
See notes to financial statements.
30
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (0.0%): | |||||||||||
Inter RAO UES PJSC (f) (h) | 128,274,200 | $ | 67,700 | ||||||||
RusHydro PJSC (f) (h) (i) (j) | 694,437,000 | 90,020 | |||||||||
157,720 | |||||||||||
733,408 | |||||||||||
South Africa (1.2%): | |||||||||||
Communication Services (0.4%): | |||||||||||
MultiChoice Group | 1,251,225 | 8,901,878 | |||||||||
Vodacom Group Ltd. (b) | 1,464,890 | 11,868,191 | |||||||||
20,770,069 | |||||||||||
Energy (0.2%): | |||||||||||
Exxaro Resources Ltd. | 640,607 | 7,786,736 | |||||||||
Financials (0.2%): | |||||||||||
Sanlam Ltd. | 3,017,029 | 9,810,585 | |||||||||
Materials (0.4%): | |||||||||||
African Rainbow Minerals Ltd. | 395,145 | 5,214,993 | |||||||||
Anglo American Platinum Ltd. | 39,722 | 3,467,485 | |||||||||
Impala Platinum Holdings Ltd. | 293,379 | 3,256,387 | |||||||||
Kumba Iron Ore Ltd. | 154,072 | 4,997,201 | |||||||||
Sibanye Stillwater Ltd. | 1,299,870 | 3,229,694 | |||||||||
20,165,760 | |||||||||||
58,533,150 | |||||||||||
Spain (1.1%): | |||||||||||
Communication Services (0.2%): | |||||||||||
Telefonica SA | 2,230,117 | 11,384,320 | |||||||||
Energy (0.2%): | |||||||||||
Repsol SA | 685,865 | 10,109,585 | |||||||||
Utilities (0.7%): | |||||||||||
Endesa SA (b) | 438,283 | 8,290,001 | |||||||||
Naturgy Energy Group SA | 362,314 | 10,467,815 | |||||||||
Red Electrica Corp. SA (b) | 664,579 | 12,578,409 | |||||||||
31,336,225 | |||||||||||
52,830,130 | |||||||||||
Sweden (0.5%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Telia Co. AB | 4,071,743 | 15,636,259 | |||||||||
Energy (0.0%): (e) | |||||||||||
Orron Energy AB (b) | 162,116 | 110,292 | |||||||||
Financials (0.2%): | |||||||||||
Swedbank AB, Class A | 736,700 | 9,348,339 | |||||||||
25,094,890 | |||||||||||
See notes to financial statements.
31
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Switzerland (1.3%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Swisscom AG, Registered Shares | 27,065 | $ | 14,972,561 | ||||||||
Financials (0.5%): | |||||||||||
Swiss Re AG | 134,036 | 10,405,240 | |||||||||
Zurich Insurance Group AG | 32,474 | 14,163,274 | |||||||||
24,568,514 | |||||||||||
Health Care (0.3%): | |||||||||||
Novartis AG, Registered Shares | 176,325 | 14,951,294 | |||||||||
Materials (0.2%): | |||||||||||
Holcim AG | 231,222 | 9,918,568 | |||||||||
64,410,937 | |||||||||||
Taiwan (4.1%): | |||||||||||
Communication Services (0.6%): | |||||||||||
Far EasTone Telecommunications Co. Ltd. | 10,669,000 | 30,027,238 | |||||||||
Financials (0.2%): | |||||||||||
Yuanta Financial Holding Co. Ltd. | 18,065,000 | 11,965,309 | |||||||||
Industrials (0.4%): | |||||||||||
Far Eastern New Century Corp. | 16,831,000 | 18,017,633 | |||||||||
Information Technology (2.3%): | |||||||||||
Asustek Computer, Inc. | 1,067,000 | 11,159,764 | |||||||||
Catcher Technology Co. Ltd. | 2,504,000 | 13,969,244 | |||||||||
Compal Electronics, Inc. (a) | 25,577,000 | 19,583,740 | |||||||||
Largan Precision Co. Ltd. | 116,000 | 6,741,486 | |||||||||
Lite-On Technology Corp. | 5,056,000 | 9,840,015 | |||||||||
Pegatron Corp. | 8,496,000 | 16,291,323 | |||||||||
Quanta Computer, Inc. (a) | 4,360,000 | 11,696,969 | |||||||||
Synnex Technology International Corp. | 5,815,000 | 10,410,291 | |||||||||
WPG Holdings Ltd. (a) | 6,521,000 | 12,100,719 | |||||||||
111,793,551 | |||||||||||
Materials (0.6%): | |||||||||||
Asia Cement Corp. | 9,997,000 | 14,744,844 | |||||||||
Taiwan Cement Corp. (a) | 11,159,000 | 14,850,537 | |||||||||
29,595,381 | |||||||||||
201,399,112 | |||||||||||
Thailand (1.5%): | |||||||||||
Communication Services (0.2%): | |||||||||||
Total Access Communication PCL | 5,353,300 | 6,749,947 | |||||||||
Consumer Staples (0.3%): | |||||||||||
Charoen Pokphand Foods PCL | 19,070,600 | 14,049,881 | |||||||||
Energy (0.2%): | |||||||||||
PTT PCL | 11,952,600 | 11,509,723 | |||||||||
See notes to financial statements.
32
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (0.5%): | |||||||||||
PTT Global Chemical PCL | 7,573,200 | $ | 9,776,897 | ||||||||
The Siam Cement PCL | 1,573,100 | 16,670,957 | |||||||||
26,447,854 | |||||||||||
Real Estate (0.3%): | |||||||||||
Land & Houses PCL | 57,985,300 | 13,702,917 | |||||||||
72,460,322 | |||||||||||
Turkey (0.3%): | |||||||||||
Industrials (0.2%): | |||||||||||
Enka Insaat ve Sanayi A/S (b) | 8,444,206 | 8,707,685 | |||||||||
Materials (0.1%): | |||||||||||
Eregli Demir ve Celik Fabrikalari TAS (b) | 2,884,393 | 4,695,686 | |||||||||
13,403,371 | |||||||||||
United Kingdom (2.3%): | |||||||||||
Consumer Staples (0.7%): | |||||||||||
British American Tobacco PLC | 291,166 | 12,478,495 | |||||||||
Imperial Brands PLC | 548,600 | 12,279,820 | |||||||||
Unilever PLC | 215,762 | 9,832,715 | |||||||||
34,591,030 | |||||||||||
Energy (0.1%): | |||||||||||
| BP PLC | 1,563,137 | 7,338,453 | |||||||||
Financials (0.5%): | |||||||||||
Admiral Group PLC | 289,308 | 7,919,950 | |||||||||
Aviva PLC | 1,972,057 | 9,658,017 | |||||||||
Legal & General Group PLC | 2,644,301 | 7,729,495 | |||||||||
25,307,462 | |||||||||||
Health Care (0.3%): | |||||||||||
GSK PLC (a) | 664,089 | 14,309,746 | |||||||||
Materials (0.2%): | |||||||||||
Anglo American PLC | 117,687 | 4,206,426 | |||||||||
Evraz PLC (a) (f) (h) (i) (j) | 753,373 | 669,355 | |||||||||
Rio Tinto PLC | 99,392 | 5,941,303 | |||||||||
10,817,084 | |||||||||||
Utilities (0.5%): | |||||||||||
National Grid PLC | 1,015,714 | 13,050,655 | |||||||||
SSE PLC | 497,340 | 9,813,502 | |||||||||
22,864,157 | |||||||||||
115,227,932 | |||||||||||
United States (44.1%): | |||||||||||
Communication Services (1.7%): | |||||||||||
AT&T, Inc. | 490,897 | 10,289,201 | |||||||||
John Wiley & Sons, Inc., Class A | 310,682 | 14,838,172 | |||||||||
Lumen Technologies, Inc. | 632,620 | 6,901,884 | |||||||||
See notes to financial statements.
33
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Omnicom Group, Inc. | 108,143 | $ | 6,878,976 | ||||||||
Paramount Global, Class B | 201,620 | 4,975,982 | |||||||||
Telephone & Data Systems, Inc. | 973,263 | 15,367,823 | |||||||||
The Interpublic Group of Cos., Inc. | 222,002 | 6,111,715 | |||||||||
Verizon Communications, Inc. | 349,210 | 17,722,408 | |||||||||
Warner Bros. Discovery, Inc. (a) (c) | 117,820 | 1,581,144 | |||||||||
84,667,305 | |||||||||||
Consumer Discretionary (4.2%): | |||||||||||
Best Buy Co., Inc. | 78,544 | 5,120,283 | |||||||||
Big Lots, Inc. (b) | 259,805 | 5,448,111 | |||||||||
Bloomin' Brands, Inc. | 66,015 | 1,097,169 | |||||||||
Camping World Holdings, Inc., Class A (b) | 372,168 | 8,035,107 | |||||||||
Dana, Inc. | 275,118 | 3,870,910 | |||||||||
Darden Restaurants, Inc. | 60,240 | 6,814,349 | |||||||||
Ethan Allen Interiors, Inc. | 344,560 | 6,963,558 | |||||||||
Franchise Group, Inc. | 315,066 | 11,049,365 | |||||||||
Genuine Parts Co. | 98,668 | 13,122,844 | |||||||||
Guess?, Inc. (b) | 388,670 | 6,626,823 | |||||||||
Hasbro, Inc. | 98,908 | 8,098,587 | |||||||||
Jack in the Box, Inc. | 232,134 | 13,013,432 | |||||||||
Kontoor Brands, Inc. | 285,235 | 9,518,292 | |||||||||
La-Z-Boy, Inc. | 550,745 | 13,058,164 | |||||||||
Monro, Inc. (b) | 134,632 | 5,773,020 | |||||||||
Movado Group, Inc. | 204,763 | 6,333,320 | |||||||||
Oxford Industries, Inc. | 74,222 | 6,586,460 | |||||||||
Patrick Industries, Inc. | 85,457 | 4,430,091 | |||||||||
Rent-A-Center, Inc. | 244,692 | 4,759,259 | |||||||||
Smith & Wesson Brands, Inc. | 212,150 | 2,785,530 | |||||||||
Standard Motor Products, Inc. | 216,321 | 9,732,282 | |||||||||
Strategic Education, Inc. | 182,073 | 12,850,712 | |||||||||
Sturm Ruger & Co., Inc. (a) | 226,280 | 14,402,722 | |||||||||
The Aaron's Co., Inc. | 224,473 | 3,266,082 | |||||||||
The Buckle, Inc. | 294,324 | 8,149,832 | |||||||||
VF Corp. | 156,577 | 6,916,006 | |||||||||
Whirlpool Corp. (b) | 48,200 | 7,464,734 | |||||||||
Wolverine World Wide, Inc. | 275,622 | 5,556,540 | |||||||||
210,843,584 | |||||||||||
Consumer Staples (6.4%): | |||||||||||
Altria Group, Inc. | 250,049 | 10,444,547 | |||||||||
B&G Foods, Inc. (b) | 881,837 | 20,970,084 | |||||||||
Campbell Soup Co. | 308,531 | 14,824,915 | |||||||||
Conagra Brands, Inc. | 381,738 | 13,070,709 | |||||||||
Edgewell Personal Care Co. | 180,797 | 6,241,112 | |||||||||
Energizer Holdings, Inc. | 787,694 | 22,331,125 | |||||||||
General Mills, Inc. | 210,400 | 15,874,680 | |||||||||
Inter Parfums, Inc. | 42,958 | 3,138,511 | |||||||||
Kellogg Co. | 225,883 | 16,114,493 | |||||||||
Kimberly-Clark Corp. | 120,088 | 16,229,893 | |||||||||
Medifast, Inc. | 87,594 | 15,811,593 | |||||||||
See notes to financial statements.
34
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Nu Skin Enterprises, Inc., Class A | 421,077 | $ | 18,232,634 | ||||||||
PepsiCo, Inc. | 112,862 | 18,809,581 | |||||||||
Philip Morris International, Inc. | 132,885 | 13,121,065 | |||||||||
SpartanNash Co. | 331,613 | 10,004,764 | |||||||||
The Andersons, Inc. | 161,019 | 5,312,017 | |||||||||
The Clorox Co. | 60,626 | 8,547,054 | |||||||||
The Coca-Cola Co. | 275,544 | 17,334,473 | |||||||||
The J.M. Smucker Co. (b) | 100,333 | 12,843,627 | |||||||||
The Kraft Heinz Co. | 309,870 | 11,818,442 | |||||||||
Universal Corp. | 193,929 | 11,732,705 | |||||||||
Vector Group Ltd. | 1,280,745 | 13,447,823 | |||||||||
Walgreens Boots Alliance, Inc. | 218,747 | 8,290,511 | |||||||||
Weis Markets, Inc. (a) (b) | 141,197 | 10,524,824 | |||||||||
315,071,182 | |||||||||||
Energy (2.0%): | |||||||||||
Archrock, Inc. | 1,386,642 | 11,467,530 | |||||||||
Brigham Minerals, Inc. | 275,564 | 6,787,141 | |||||||||
Chevron Corp. | 77,259 | 11,185,558 | |||||||||
Exxon Mobil Corp. | 119,245 | 10,212,142 | |||||||||
Kinder Morgan, Inc. | 638,587 | 10,702,718 | |||||||||
Marathon Petroleum Corp. | 107,675 | 8,851,962 | |||||||||
ONEOK, Inc. | 137,936 | 7,655,448 | |||||||||
Phillips 66 | 87,567 | 7,179,618 | |||||||||
The Williams Cos., Inc. | 385,339 | 12,026,430 | |||||||||
Valero Energy Corp. | 87,310 | 9,279,307 | |||||||||
World Fuel Services Corp. (a) | 217,254 | 4,445,017 | |||||||||
99,792,871 | |||||||||||
Financials (9.2%): | |||||||||||
AMERISAFE, Inc. | 49,891 | 2,594,831 | |||||||||
Apollo Global Management, Inc. | 124,380 | 6,029,942 | |||||||||
B Riley Financial, Inc. (b) | 174,722 | 7,382,005 | |||||||||
Blackstone, Inc. | 54,914 | 5,009,804 | |||||||||
Brookline Bancorp, Inc. | 162,770 | 2,166,469 | |||||||||
Capitol Federal Financial, Inc. | 951,136 | 8,731,428 | |||||||||
Citigroup, Inc. | 181,056 | 8,326,765 | |||||||||
Citizens Financial Group, Inc. | 158,994 | 5,674,496 | |||||||||
City Holding Co. | 47,688 | 3,809,317 | |||||||||
CME Group, Inc. | 59,692 | 12,218,952 | |||||||||
CNA Financial Corp. | 255,258 | 11,461,084 | |||||||||
Columbia Banking System, Inc. (b) | 387,576 | 11,104,052 | |||||||||
Comerica, Inc. | 84,126 | 6,173,166 | |||||||||
Eagle Bancorp, Inc. | 93,156 | 4,416,526 | |||||||||
Employers Holdings, Inc. | 138,647 | 5,807,923 | |||||||||
Federal Agricultural Mortgage Corp., Class C | 23,334 | 2,278,565 | |||||||||
Fidelity National Financial, Inc. | 231,777 | 8,566,478 | |||||||||
First BanCorp/Puerto Rico | 175,341 | 2,263,652 | |||||||||
First Busey Corp. | 302,557 | 6,913,427 | |||||||||
First Financial Bancorp | 441,131 | 8,557,941 | |||||||||
First Merchants Corp. | 139,938 | 4,984,592 | |||||||||
See notes to financial statements.
35
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Franklin Resources, Inc. | 260,015 | $ | 6,060,950 | ||||||||
Fulton Financial Corp. | 1,306,381 | 18,877,205 | |||||||||
GCM Grosvenor, Inc., Class A (b) | 207,339 | 1,420,272 | |||||||||
Heritage Financial Corp. | 311,279 | 7,831,780 | |||||||||
HomeStreet, Inc. | 142,040 | 4,924,527 | |||||||||
Hope Bancorp, Inc. | 962,331 | 13,318,661 | |||||||||
Horace Mann Educators Corp. | 177,631 | 6,817,478 | |||||||||
Huntington Bancshares, Inc. | 541,966 | 6,519,851 | |||||||||
International Bancshares Corp. | 111,316 | 4,461,545 | |||||||||
JPMorgan Chase & Co. | 78,757 | 8,868,826 | |||||||||
Kearny Financial Corp. (b) | 226,722 | 2,518,881 | |||||||||
KeyCorp | 359,282 | 6,190,429 | |||||||||
Lincoln National Corp. | 103,304 | 4,831,528 | |||||||||
MetLife, Inc. | 152,509 | 9,576,040 | |||||||||
Morgan Stanley | 103,678 | 7,885,749 | |||||||||
Navient Corp. | 728,409 | 10,190,442 | |||||||||
NBT Bancorp, Inc. | 108,011 | 4,060,134 | |||||||||
Northwest Bancshares, Inc. (a) | 1,291,672 | 16,533,402 | |||||||||
Park National Corp. (b) | 62,151 | 7,535,809 | |||||||||
Peoples Bancorp, Inc. | 55,981 | 1,489,095 | |||||||||
Piper Sandler Cos. | 24,470 | 2,773,919 | |||||||||
Premier Financial Corp. | 249,724 | 6,330,503 | |||||||||
Principal Financial Group, Inc. | 133,226 | 8,898,165 | |||||||||
Provident Financial Services, Inc. | 491,943 | 10,950,651 | |||||||||
Prudential Financial, Inc. | 90,986 | 8,705,540 | |||||||||
Regions Financial Corp. | 329,882 | 6,185,288 | |||||||||
RLI Corp. | 60,467 | 7,049,848 | |||||||||
S&T Bancorp, Inc. | 256,283 | 7,029,843 | |||||||||
Safety Insurance Group, Inc. (a) | 141,644 | 13,753,632 | |||||||||
Sandy Spring Bancorp, Inc. | 119,281 | 4,660,309 | |||||||||
Southside Bancshares, Inc. (a) | 211,107 | 7,899,624 | |||||||||
State Street Corp. | 93,546 | 5,767,111 | |||||||||
Stewart Information Services Corp. | 89,360 | 4,445,660 | |||||||||
T. Rowe Price Group, Inc. | 65,381 | 7,427,935 | |||||||||
The Allstate Corp. | 98,150 | 12,438,550 | |||||||||
Towne Bank | 181,580 | 4,929,897 | |||||||||
Truist Financial Corp. | 146,359 | 6,941,807 | |||||||||
U.S. Bancorp | 174,329 | 8,022,621 | |||||||||
Washington Federal, Inc. | 363,226 | 10,904,045 | |||||||||
Washington Trust Bancorp, Inc. | 161,679 | 7,820,413 | |||||||||
Webster Financial Corp. | 124,991 | 5,268,371 | |||||||||
WesBanco, Inc. | 315,337 | 9,999,336 | |||||||||
Westamerica Bancorp | 91,335 | 5,083,706 | |||||||||
457,670,793 | |||||||||||
Health Care (3.0%): | |||||||||||
AbbVie, Inc. | 96,579 | 14,792,040 | |||||||||
Amgen, Inc. | 55,497 | 13,502,420 | |||||||||
Bristol-Myers Squibb Co. | 210,669 | 16,221,513 | |||||||||
Cardinal Health, Inc. | 177,533 | 9,279,650 | |||||||||
See notes to financial statements.
36
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Gilead Sciences, Inc. (a) | 261,862 | $ | 16,185,690 | ||||||||
Johnson & Johnson (a) | 105,997 | 18,815,527 | |||||||||
Merck & Co., Inc. | 136,278 | 12,424,465 | |||||||||
National HealthCare Corp. (a) | 137,822 | 9,633,758 | |||||||||
Patterson Cos., Inc. (a) | 722,598 | 21,894,719 | |||||||||
Pfizer, Inc. | 178,795 | 9,374,222 | |||||||||
Phibro Animal Health Corp., Class A | 296,406 | 5,670,247 | |||||||||
147,794,251 | |||||||||||
Industrials (4.8%): | |||||||||||
3M Co. | 91,561 | 11,848,909 | |||||||||
ACCO Brands Corp. | 794,833 | 5,190,259 | |||||||||
Boise Cascade Co. | 89,658 | 5,333,754 | |||||||||
Brady Corp., Class A | 223,659 | 10,565,651 | |||||||||
Cummins, Inc. | 59,051 | 11,428,140 | |||||||||
Deluxe Corp. | 317,660 | 6,883,692 | |||||||||
Douglas Dynamics, Inc. | 206,962 | 5,948,088 | |||||||||
Eagle Bulk Shipping, Inc. (b) | 192,476 | 9,985,655 | |||||||||
Genco Shipping & Trading Ltd. | 456,292 | 8,815,561 | |||||||||
Global Industrial Co. | 156,202 | 5,274,942 | |||||||||
Granite Construction, Inc. | 231,847 | 6,756,022 | |||||||||
H&E Equipment Services, Inc. | 209,376 | 6,065,623 | |||||||||
Healthcare Services Group (b) | 1,175,923 | 20,472,819 | |||||||||
HNI Corp. | 274,220 | 9,512,692 | |||||||||
Kaman Corp. | 161,563 | 5,048,844 | |||||||||
Kennametal, Inc. | 669,689 | 15,556,875 | |||||||||
McGrath RentCorp | 106,817 | 8,118,092 | |||||||||
MSC Industrial Direct Co., Inc. | 106,059 | 7,966,092 | |||||||||
Mueller Water Products, Inc., Class A | 639,086 | 7,496,479 | |||||||||
Pitney Bowes, Inc. | 1,236,432 | 4,475,884 | |||||||||
Steelcase, Inc., Class A | 1,127,715 | 12,100,382 | |||||||||
The Gorman-Rupp Co. | 238,009 | 6,735,655 | |||||||||
The Greenbrier Cos., Inc. | 357,915 | 12,881,361 | |||||||||
Trinity Industries, Inc. | 713,943 | 17,291,699 | |||||||||
Wabash National Corp. | 350,906 | 4,765,303 | |||||||||
Watsco, Inc. | 43,333 | 10,348,787 | |||||||||
236,867,260 | |||||||||||
Information Technology (2.4%): | |||||||||||
American Software, Inc., Class A | 268,579 | 4,340,237 | |||||||||
Benchmark Electronics, Inc. (b) | 317,271 | 7,157,634 | |||||||||
Broadcom, Inc. | 16,490 | 8,011,007 | |||||||||
Cisco Systems, Inc. | 228,742 | 9,753,559 | |||||||||
CSG Systems International, Inc. | 237,769 | 14,190,054 | |||||||||
Hewlett Packard Enterprise Co. | 590,938 | 7,835,838 | |||||||||
Intel Corp. | 197,790 | 7,399,324 | |||||||||
InterDigital, Inc. | 144,243 | 8,769,974 | |||||||||
International Business Machines Corp. | 98,747 | 13,942,089 | |||||||||
NetApp, Inc. | 128,729 | 8,398,280 | |||||||||
Progress Software Corp. | 227,561 | 10,308,513 | |||||||||
See notes to financial statements.
37
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Texas Instruments, Inc. | 62,553 | $ | 9,611,268 | ||||||||
Vishay Intertechnology, Inc. | 646,283 | 11,516,763 | |||||||||
121,234,540 | |||||||||||
Materials (2.0%): | |||||||||||
Air Products and Chemicals, Inc. | 54,994 | 13,224,957 | |||||||||
Dow, Inc. | 174,321 | 8,996,707 | |||||||||
Greif, Inc., Class A | 264,000 | 16,468,320 | |||||||||
International Paper Co. | 271,941 | 11,375,292 | |||||||||
Kronos Worldwide, Inc. | 321,820 | 5,921,488 | |||||||||
Newmont Corp. | 140,019 | 8,354,934 | |||||||||
Packaging Corp. of America | 78,836 | 10,839,950 | |||||||||
Pactiv Evergreen, Inc. | 219,965 | 2,190,851 | |||||||||
Schweitzer-Mauduit International, Inc. | 328,831 | 8,260,235 | |||||||||
SunCoke Energy, Inc. | 1,161,569 | 7,910,285 | |||||||||
Worthington Industries, Inc. | 122,154 | 5,386,991 | |||||||||
98,930,010 | |||||||||||
Real Estate (0.1%): | |||||||||||
The RMR Group, Inc., Class A | 160,289 | 4,544,193 | |||||||||
Utilities (8.3%): | |||||||||||
ALLETE, Inc. | 63,746 | 3,746,990 | |||||||||
Alliant Energy Corp. | 247,041 | 14,479,073 | |||||||||
Ameren Corp. | 179,405 | 16,211,036 | |||||||||
American Electric Power Co., Inc. (a) | 181,761 | 17,438,150 | |||||||||
Avista Corp. | 172,414 | 7,501,733 | |||||||||
CMS Energy Corp. | 242,738 | 16,384,815 | |||||||||
Consolidated Edison, Inc. (a) | 169,316 | 16,101,952 | |||||||||
Dominion Energy, Inc. | 180,519 | 14,407,221 | |||||||||
DTE Energy Co. | 135,426 | 17,165,246 | |||||||||
Duke Energy Corp. (a) | 160,788 | 17,238,082 | |||||||||
Edison International | 213,728 | 13,516,159 | |||||||||
Entergy Corp. | 119,579 | 13,469,379 | |||||||||
Evergy, Inc. (a) | 249,401 | 16,273,415 | |||||||||
Eversource Energy (a) | 166,988 | 14,105,476 | |||||||||
Exelon Corp. | 368,979 | 16,722,128 | |||||||||
FirstEnergy Corp. | 349,310 | 13,410,011 | |||||||||
MGE Energy, Inc. | 162,181 | 12,622,547 | |||||||||
New Jersey Resources Corp. | 159,530 | 7,103,871 | |||||||||
NiSource, Inc. | 531,457 | 15,672,667 | |||||||||
Northwest Natural Holding Co. | 353,534 | 18,772,655 | |||||||||
Otter Tail Corp. (a) | 203,939 | 13,690,425 | |||||||||
PNM Resources, Inc. | 185,409 | 8,858,842 | |||||||||
Portland General Electric Co. (a) | 129,780 | 6,272,267 | |||||||||
Sempra Energy | 94,910 | 14,262,126 | |||||||||
SJW Group | 172,418 | 10,760,607 | |||||||||
South Jersey Industries, Inc. | 230,495 | 7,869,099 | |||||||||
Southwest Gas Holdings, Inc. | 70,768 | 6,162,477 | |||||||||
See notes to financial statements.
38
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
The Southern Co. (a) | 254,705 | $ | 18,163,014 | ||||||||
Unitil Corp. (a) | 193,409 | 11,356,977 | |||||||||
WEC Energy Group, Inc. (a) | 159,708 | 16,073,013 | |||||||||
Xcel Energy, Inc. (a) | 218,083 | 15,431,553 | |||||||||
411,243,006 | |||||||||||
2,188,658,995 | |||||||||||
Total Common Stocks (Cost $4,698,518,594) | 4,289,260,231 | ||||||||||
Collateral for Securities Loaned (3.2%)^ | |||||||||||
United States (3.2%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (g) | 4,826,194 | 4,826,194 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (g) | 2,408,509 | 2,408,509 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (g) | 30,038,960 | 30,038,960 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (g) | 19,204,706 | 19,204,706 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (g) | 12,807,372 | 12,807,372 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (g) | 86,348,104 | 86,348,104 | |||||||||
Total Collateral for Securities Loaned (Cost $155,633,845) | 155,633,845 | ||||||||||
Total Investments (Cost $4,854,152,439) — 89.7% | 4,444,894,076 | ||||||||||
Other assets in excess of liabilities — 10.3% | 511,942,897 | ||||||||||
NET ASSETS — 100.00% | $ | 4,956,836,973 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Non-income producing security.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $37,513,966 and amounted to 0.8% of net assets.
(e) Amount represents less than 0.05% of net assets.
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) Rate disclosed is the daily yield on June 30, 2022.
(h) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(i) Restricted security that is not registered under the Securities Act of 1933.
See notes to financial statements.
39
| Victory Portfolios II Victory Market Neutral Income Fund | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(j) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
| Evraz PLC | 3/19/2021 | $ | 4,339,844 | ||||||||
| Rostelecom PJSC | 9/18/2020 | 8,205,300 | |||||||||
| RusHydro PJSC | 9/18/2020 | 7,349,117 | |||||||||
| Severstal PAO | 3/17/2017 | 4,076,024 | |||||||||
| X5 Retail Group NV, GDR | 9/18/2020 | 5,468,213 | |||||||||
GDR — Global Depositary Receipt
PCL — Public Company Limited
PLC — Public Limited Company
Futures Contracts Purchased | |||||||||||||||||||||||
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
NASDAQ 100 E-Mini Futures | 9,527 | 9/16/22 | $ | 2,365,321,612 | $ | 2,196,830,930 | $ | (168,490,682 | ) | ||||||||||||||
Futures Contracts Sold | |||||||||||||||||||||||
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
| E-Mini MSCI EAFE Index Futures | 6,766 | 9/16/22 | $ | 648,107,469 | $ | 628,087,780 | $ | 20,019,689 | |||||||||||||||
| E-Mini MSCI Emerging Markets Index Futures | 13,249 | 9/16/22 | 679,510,701 | 664,238,615 | 15,272,086 | ||||||||||||||||||
| E-Mini Russell 2000 Index Futures | 7,248 | 9/16/22 | 674,852,951 | 618,979,200 | 55,873,751 | ||||||||||||||||||
E-Mini S&P 500 Futures | 18,870 | 9/16/22 | 3,843,404,797 | 3,575,393,250 | 268,011,547 | ||||||||||||||||||
$ | 359,177,073 | ||||||||||||||||||||||
Total unrealized appreciation | $ | 359,177,073 | |||||||||||||||||||||
Total unrealized depreciation | (168,490,682 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | 190,686,391 | |||||||||||||||||||||
See notes to financial statements.
40
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| Victory US 500 Enhanced Volatility Wtd Index Fund | Victory Market Neutral Income Fund | ||||||||||
Assets: | |||||||||||
Investments, at value (Cost $52,709,642 and $4,854,152,439) | $ | 54,275,873 | (a) | $ | 4,444,894,076 | (b) | |||||
Foreign currency, at value (Cost $— and $1,553,071) | — | 1,560,490 | |||||||||
Cash | — | 97,682,575 | |||||||||
Deposit with broker for futures contracts | 75,970 | 525,237,365 | |||||||||
Receivables: | |||||||||||
Interest and dividends | 56,287 | 18,805,585 | |||||||||
Capital shares issued | 293 | 19,453,834 | |||||||||
Investments sold | 128,330 | 7,795,828 | |||||||||
Variation margin on open futures contracts | — | 40,083,006 | |||||||||
Reclaims | — | 823,012 | |||||||||
From Adviser | 24,739 | 2,161,097 | |||||||||
Prepaid expenses | 15,428 | 256,272 | |||||||||
Total Assets | 54,576,920 | 5,158,753,140 | |||||||||
Liabilities: | |||||||||||
Payables: | |||||||||||
Collateral received on loaned securities | 63,177 | 155,633,845 | |||||||||
Payable to custodian | 111,927 | — | |||||||||
Investments purchased | 16,403 | 5,524,549 | |||||||||
Capital shares redeemed | 147,333 | 7,519,712 | |||||||||
Variation margin on open futures contracts | 3,175 | 29,780,600 | |||||||||
Accrued foreign capital gains taxes | — | 227,145 | |||||||||
Accrued expenses and other payables: | |||||||||||
Investment advisory fees | 32,476 | 1,398,785 | |||||||||
Administration fees | 2,506 | 215,822 | |||||||||
Custodian fees | 862 | 198,745 | |||||||||
Transfer agent fees | 14,090 | 920,419 | |||||||||
Compliance fees | 35 | 2,827 | |||||||||
Trustees' fees | 106 | 7,835 | |||||||||
| 12b-1 fees | 9,669 | 21,345 | |||||||||
Other accrued expenses | 14,239 | 464,538 | |||||||||
Total Liabilities | 415,998 | 201,916,167 | |||||||||
Net Assets: | |||||||||||
| Capital | 41,252,520 | 5,105,948,412 | |||||||||
Total accumulated earnings/(loss) | 12,908,402 | (149,111,439 | ) | ||||||||
Net Assets | $ | 54,160,922 | $ | 4,956,836,973 | |||||||
Net Assets | |||||||||||
Class A | $ | 25,643,097 | $ | 150,009,877 | |||||||
Class C | 17,132,282 | 15,197,227 | |||||||||
Class I | 11,385,543 | 4,777,720,187 | |||||||||
Member Class | — | 13,909,682 | |||||||||
Total | $ | 54,160,922 | $ | 4,956,836,973 | |||||||
| Shares (unlimited number of shares authorized with a par value of $0.001 per share): | |||||||||||
Class A | 1,924,351 | 16,121,590 | |||||||||
Class C | 1,350,964 | 1,653,918 | |||||||||
Class I | 853,667 | 509,935,889 | |||||||||
Member Class | — | 1,494,269 | |||||||||
Total | 4,128,982 | 529,205,666 | |||||||||
| Net asset value, offering (except Class A) and redemption price per share: | |||||||||||
Class A | $ | 13.33 | $ | 9.30 | |||||||
Class C (c) | 12.68 | 9.19 | |||||||||
Class I | 13.34 | 9.37 | |||||||||
Member Class | — | 9.31 | |||||||||
Maximum Sales Charge — Class A | 5.75 | % | 5.75 | % | |||||||
| Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A | $ | 14.14 | $ | 9.87 | |||||||
(a) Includes $61,332 of securities on loan.
(b) Includes $137,290,855 of securities on loan.
(c) Redemption price per share varies by the length of time shares are held.
See notes to financial statements.
41
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| Victory US 500 Enhanced Volatility Wtd Index Fund | Victory Market Neutral Income Fund | ||||||||||
Investment Income: | |||||||||||
Dividends | $ | 1,016,129 | $ | 116,254,344 | |||||||
Non-cash dividends | — | 8,057,924 | |||||||||
Interest | — | 128,161 | |||||||||
Securities lending (net of fees) | 3,928 | 874,723 | |||||||||
Foreign tax withholding | (194 | ) | (9,670,707 | ) | |||||||
Total Income | 1,019,863 | 115,644,445 | |||||||||
Expenses: | |||||||||||
Investment advisory fees | 471,348 | 8,341,780 | |||||||||
Administration fees | 36,483 | 1,290,074 | |||||||||
Sub-Administration fees | 17,949 | 16,952 | |||||||||
| 12b-1 fees — Class A | 74,315 | 208,430 | |||||||||
| 12b-1 fees — Class C | 225,859 | 56,126 | |||||||||
Custodian fees | 2,794 | 722,019 | |||||||||
Transfer agent fees — Class A | 28,663 | 48,619 | |||||||||
Transfer agent fees — Class C | 24,815 | 6,171 | |||||||||
Transfer agent fees — Class I | 15,653 | 2,656,377 | |||||||||
Transfer agent fees — Member Class | — | 11,962 | |||||||||
Trustees' fees | 5,760 | 99,579 | |||||||||
Compliance fees | 485 | 14,899 | |||||||||
Legal and audit fees | 14,755 | 124,034 | |||||||||
State registration and filing fees | 47,877 | 330,806 | |||||||||
Broker interest fees | — | 694,408 | |||||||||
Other expenses | 14,073 | 539,096 | |||||||||
Total Expenses | 980,829 | 15,161,332 | |||||||||
Expenses waived/reimbursed by Adviser | (182,939 | ) | (4,525,747 | ) | |||||||
Net Expenses | 797,890 | 10,635,585 | |||||||||
Net Investment Income (Loss) | 221,973 | 105,008,860 | |||||||||
Realized/Unrealized Gains (Losses) from Investments: | |||||||||||
| Net realized gains (losses) from investment securities and foreign currency transactions | 16,296,344 | 30,262,544 | |||||||||
Foreign taxes on realized gains | — | (605,757 | ) | ||||||||
Net realized gains (losses) from futures contracts | (39,543 | ) | 113,370,432 | ||||||||
| Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations | (21,916,745 | ) | (471,409,744 | ) | |||||||
Net change in unrealized appreciation/depreciation on futures contracts | (731 | ) | 178,197,024 | ||||||||
Net change in accrued foreign taxes on unrealized gains | — | 152,523 | |||||||||
Net realized/unrealized gains (losses) on investments | (5,660,675 | ) | (150,032,978 | ) | |||||||
Change in net assets resulting from operations | $ | (5,438,702 | ) | $ | (45,024,118 | ) | |||||
See notes to financial statements.
42
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| Victory US 500 Enhanced Volatility Wtd Index Fund | Victory Market Neutral Income Fund | ||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||
From Investment Activities: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net Investment Income (Loss) | $ | 221,973 | $ | 172,009 | $ | 105,008,860 | $ | 17,153,655 | |||||||||||
Net realized gains (losses) | 16,256,801 | 6,275,708 | 143,027,219 | (72,209,027 | ) | ||||||||||||||
| Net change in unrealized appreciation/depreciation | (21,917,476 | ) | 15,241,446 | (293,060,197 | ) | 66,086,768 | |||||||||||||
| Change in net assets resulting from operations | (5,438,702 | ) | 21,689,163 | (45,024,118 | ) | 11,031,396 | |||||||||||||
Distributions to Shareholders: | |||||||||||||||||||
Class A | (3,584,298 | ) | (3,095,618 | ) | (2,765,503 | ) | (1,168,163 | ) | |||||||||||
Class C | (2,787,518 | ) | (2,479,942 | ) | (170,615 | ) | (43,125 | ) | |||||||||||
Class I | (1,966,797 | ) | (1,479,876 | ) | (85,193,496 | ) | (20,375,553 | ) | |||||||||||
Member Class | — | — | (241,400 | ) | (28,037 | ) | |||||||||||||
| Change in net assets resulting from distributions to shareholders | (8,338,613 | ) | (7,055,436 | ) | (88,371,014 | ) | (21,614,878 | ) | |||||||||||
| Change in net assets resulting from capital transactions | (2,819,845 | ) | (10,688,711 | ) | 4,027,093,740 | 885,507,053 | |||||||||||||
Change in net assets | (16,597,160 | ) | 3,945,016 | 3,893,698,608 | 874,923,571 | ||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 70,758,082 | 66,813,066 | 1,063,138,365 | 188,214,794 | |||||||||||||||
End of period | $ | 54,160,922 | $ | 70,758,082 | $ | 4,956,836,973 | $ | 1,063,138,365 | |||||||||||
(continues on next page)
See notes to financial statements.
43
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
(continued)
| Victory US 500 Enhanced Volatility Wtd Index Fund | Victory Market Neutral Income Fund | ||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||
Capital Transactions: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 2,511,389 | $ | 1,823,429 | $ | 130,429,939 | $ | 45,585,137 | |||||||||||
Distributions reinvested | 3,473,757 | 3,067,725 | 2,740,812 | 1,139,275 | |||||||||||||||
Cost of shares redeemed | (5,730,344 | ) | (6,232,186 | ) | (29,648,616 | ) | (8,065,289 | ) | |||||||||||
Total Class A | $ | 254,802 | $ | (1,341,032 | ) | $ | 103,522,135 | $ | 38,659,123 | ||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 564,931 | $ | 514,706 | $ | 15,009,927 | $ | 1,847,869 | |||||||||||
Distributions reinvested | 2,748,655 | 2,452,286 | 167,998 | 43,125 | |||||||||||||||
Cost of shares redeemed | (6,062,903 | ) | (9,866,326 | ) | (1,526,848 | ) | (504,231 | ) | |||||||||||
Total Class C | $ | (2,749,317 | ) | $ | (6,899,334 | ) | $ | 13,651,077 | $ | 1,386,763 | |||||||||
Class I | |||||||||||||||||||
Proceeds from shares issued | $ | 2,046,144 | $ | 1,662,249 | $ | 4,484,096,007 | $ | 899,695,692 | |||||||||||
Distributions reinvested | 1,952,504 | 1,458,551 | 79,965,218 | 19,340,855 | |||||||||||||||
Cost of shares redeemed | (4,323,978 | ) | (5,569,145 | ) | (665,931,613 | ) | (76,117,382 | ) | |||||||||||
Total Class I | $ | (325,330 | ) | $ | (2,448,345 | ) | $ | 3,898,129,612 | $ | 842,919,165 | |||||||||
Member Class | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 13,437,497 | $ | 3,115,297 | |||||||||||
Distributions reinvested | — | — | 241,400 | 28,033 | |||||||||||||||
Cost of shares redeemed | — | — | (1,887,981 | ) | (601,328 | ) | |||||||||||||
Total Member Class | $ | — | $ | — | $ | 11,790,916 | $ | 2,542,002 | |||||||||||
| Change in net assets resulting from capital transactions | $ | (2,819,845 | ) | $ | (10,688,711 | ) | $ | 4,027,093,740 | $ | 885,507,053 | |||||||||
Share Transactions: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 165,396 | 130,514 | 13,604,423 | 4,742,117 | |||||||||||||||
Reinvested | 220,223 | 214,063 | 289,322 | 118,861 | |||||||||||||||
Redeemed | (357,322 | ) | (415,394 | ) | (3,109,868 | ) | (839,879 | ) | |||||||||||
Total Class A | 28,297 | (70,817 | ) | 10,783,877 | 4,021,099 | ||||||||||||||
Class C | |||||||||||||||||||
Issued | 36,850 | 35,212 | 1,587,725 | 194,654 | |||||||||||||||
Reinvested | 183,026 | 178,089 | 17,992 | 4,543 | |||||||||||||||
Redeemed | (403,116 | ) | (699,614 | ) | (161,923 | ) | (53,678 | ) | |||||||||||
Total Class C | (183,240 | ) | (486,313 | ) | 1,443,794 | 145,519 | |||||||||||||
Class I | |||||||||||||||||||
Issued | 121,867 | 109,438 | 465,846,238 | 93,474,591 | |||||||||||||||
Reinvested | 123,729 | 101,556 | 8,386,294 | 2,006,390 | |||||||||||||||
Redeemed | (280,922 | ) | (377,582 | ) | (69,670,012 | ) | (7,886,007 | ) | |||||||||||
Total Class I | (35,326 | ) | (166,588 | ) | 404,562,520 | 87,594,974 | |||||||||||||
Member Class | |||||||||||||||||||
Issued | — | — | 1,402,956 | 324,844 | |||||||||||||||
Reinvested | — | — | 25,481 | 2,924 | |||||||||||||||
Redeemed | — | — | (198,998 | ) | (62,938 | ) | |||||||||||||
Total Member Class | — | — | 1,229,439 | 264,830 | |||||||||||||||
Change in Shares | (190,269 | ) | (723,718 | ) | 418,019,630 | 92,026,422 | |||||||||||||
See notes to financial statements.
44
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45
Victory Portfolios II | Financial Highlights | ||||||
For a Share Outstanding Throughout Each Period
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Net Realized Gains from Investments | ||||||||||||||||||||||
Victory US 500 Enhanced Volatility Wtd Index Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 16.62 | 0.08 | (1.31 | ) | (1.23 | ) | (0.08 | ) | (1.98 | ) | ||||||||||||||||
2021 | $ | 13.42 | 0.07 | 4.77 | 4.84 | (0.05 | ) | (1.59 | ) | ||||||||||||||||||
2020 | $ | 14.26 | 0.08 | 0.88 | 0.96 | (0.07 | ) | (1.73 | ) | ||||||||||||||||||
2019 | $ | 16.50 | 0.13 | (0.36 | ) | (0.23 | ) | (0.12 | ) | (1.89 | ) | ||||||||||||||||
2018 | $ | 16.04 | 0.11 | 1.91 | 2.02 | (0.10 | ) | (1.46 | ) | ||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 15.95 | (0.03 | ) | (1.25 | ) | (1.28 | ) | (0.01 | ) | (1.98 | ) | |||||||||||||||
2021 | $ | 12.99 | (0.04 | ) | 4.59 | 4.55 | — | (e) | (1.59 | ) | |||||||||||||||||
2020 | $ | 13.90 | (0.03 | ) | 0.87 | 0.84 | (0.02 | ) | (1.73 | ) | |||||||||||||||||
2019 | $ | 16.16 | 0.02 | (0.35 | ) | (0.33 | ) | (0.04 | ) | (1.89 | ) | ||||||||||||||||
2018 | $ | 15.78 | (0.02 | ) | 1.86 | 1.84 | — | (e) | (1.46 | ) | |||||||||||||||||
Class I | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 16.64 | 0.12 | (1.31 | ) | (1.19 | ) | (0.13 | ) | (1.98 | ) | ||||||||||||||||
2021 | $ | 13.43 | 0.11 | 4.77 | 4.88 | (0.08 | ) | (1.59 | ) | ||||||||||||||||||
2020 | $ | 14.26 | 0.12 | 0.88 | 1.00 | (0.10 | ) | (1.73 | ) | ||||||||||||||||||
2019 | $ | 16.50 | 0.17 | (0.36 | ) | (0.19 | ) | (0.16 | ) | (1.89 | ) | ||||||||||||||||
2018 | $ | 16.05 | 0.15 | 1.90 | 2.05 | (0.14 | ) | (1.46 | ) | ||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.
(d) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
(e) Amount is less than $0.005 per share.
See notes to financial statements.
46
Victory Portfolios II | Financial Highlights — continued | ||||||
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||||||||||||||
| Total Distributions | Net Asset Value, End of Period | Total Return (Excludes Sales Charge) | Net Expenses(b) | Net Investment Income (Loss) | Gross Expenses(b) | Net Assets, End of Period (000's) | Portfolio Turnover(c) | ||||||||||||||||||||||||||||
Victory US 500 Enhanced Volatility Wtd Index Fund | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (2.06 | ) | $ | 13.33 | (9.25 | )% | 0.99 | % | 0.52 | % | 1.25 | % | $ | 25,643 | 101 | % | |||||||||||||||||||
2021 | (1.64 | ) | $ | 16.62 | 38.05 | % | 0.99 | % | 0.47 | % | 1.24 | % | $ | 31,504 | 68 | % | |||||||||||||||||||
2020 | (1.80 | ) | $ | 13.42 | 6.71 | % | 0.99 | % | 0.56 | % | 1.28 | % | $ | 26,394 | 54 | % | |||||||||||||||||||
2019 | (2.01 | ) | $ | 14.26 | (0.01 | )% | 0.99 | % | 0.84 | % | 1.25 | % | $ | 33,406 | 120 | %(d) | |||||||||||||||||||
2018 | (1.56 | ) | $ | 16.50 | 12.79 | % | 0.99 | % | 0.67 | % | 1.19 | % | $ | 51,671 | 45 | % | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (1.99 | ) | $ | 12.68 | (9.97 | )% | 1.74 | % | (0.22 | )% | 2.03 | % | $ | 17,132 | 101 | % | |||||||||||||||||||
2021 | (1.59 | ) | $ | 15.95 | 36.98 | % | 1.74 | % | (0.29 | )% | 1.99 | % | $ | 24,465 | 68 | % | |||||||||||||||||||
2020 | (1.75 | ) | $ | 12.99 | 5.96 | % | 1.74 | % | (0.19 | )% | 2.03 | % | $ | 26,240 | 54 | % | |||||||||||||||||||
2019 | (1.93 | ) | $ | 13.90 | (0.73 | )% | 1.74 | % | 0.10 | % | 2.00 | % | $ | 35,649 | 120 | %(d) | |||||||||||||||||||
2018 | (1.46 | ) | $ | 16.16 | 11.78 | % | 1.74 | % | (0.11 | )% | 1.97 | % | $ | 41,410 | 45 | % | |||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (2.11 | ) | $ | 13.34 | (9.03 | )% | 0.74 | % | 0.78 | % | 1.02 | % | $ | 11,386 | 101 | % | |||||||||||||||||||
2021 | (1.67 | ) | $ | 16.64 | 38.43 | % | 0.74 | % | 0.71 | % | 0.98 | % | $ | 14,789 | 68 | % | |||||||||||||||||||
2020 | (1.83 | ) | $ | 13.43 | 6.97 | % | 0.74 | % | 0.86 | % | 1.02 | % | $ | 14,179 | 54 | % | |||||||||||||||||||
2019 | (2.05 | ) | $ | 14.26 | 0.24 | % | 0.74 | % | 1.10 | % | 1.00 | % | $ | 26,501 | 120 | %(d) | |||||||||||||||||||
2018 | (1.60 | ) | $ | 16.50 | 12.97 | % | 0.74 | % | 0.91 | % | 0.95 | % | $ | 36,400 | 45 | % | |||||||||||||||||||
See notes to financial statements.
47
Victory Portfolios II | Financial Highlights | ||||||
For a Share Outstanding Throughout Each Period
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Net Realized Gains from Investments | ||||||||||||||||||||||
Victory Market Neutral Income Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 9.51 | 0.38 | (0.29 | ) | 0.09 | (0.30 | ) | — | ||||||||||||||||||
2021 | $ | 9.77 | 0.29 | (0.06 | ) | 0.23 | (0.24 | ) | (0.25 | ) | |||||||||||||||||
2020 | $ | 9.51 | 0.27 | 0.23 | 0.50 | (0.24 | ) | — | |||||||||||||||||||
2019 | $ | 9.61 | 0.32 | (0.13 | ) | 0.19 | (0.27 | ) | (0.02 | ) | |||||||||||||||||
2018 | $ | 9.40 | 0.24 | 0.26 | 0.50 | (0.29 | ) | — | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 9.40 | 0.34 | (0.31 | ) | 0.03 | (0.24 | ) | — | ||||||||||||||||||
2021 | $ | 9.69 | 0.22 | (0.08 | ) | 0.14 | (0.18 | ) | (0.25 | ) | |||||||||||||||||
2020 | $ | 9.43 | 0.21 | 0.22 | 0.43 | (0.17 | ) | — | |||||||||||||||||||
2019 | $ | 9.54 | 0.25 | (0.14 | ) | 0.11 | (0.20 | ) | (0.02 | ) | |||||||||||||||||
2018 | $ | 9.33 | 0.17 | 0.26 | 0.43 | (0.22 | ) | — | |||||||||||||||||||
Class I | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 9.57 | 0.42 | (0.29 | ) | 0.13 | (0.33 | ) | — | ||||||||||||||||||
2021 | $ | 9.83 | 0.33 | (0.08 | ) | 0.25 | (0.26 | ) | (0.25 | ) | |||||||||||||||||
2020 | $ | 9.55 | 0.31 | 0.23 | 0.54 | (0.26 | ) | — | |||||||||||||||||||
2019 | $ | 9.65 | 0.38 | (0.16 | ) | 0.22 | (0.30 | ) | (0.02 | ) | |||||||||||||||||
2018 | $ | 9.44 | 0.26 | 0.26 | 0.52 | (0.31 | ) | — | |||||||||||||||||||
Member Class | |||||||||||||||||||||||||||
| Year Ended June 30,2022 | $ | 9.51 | 0.41 | (0.29 | ) | 0.12 | (0.32 | ) | — | ||||||||||||||||||
| November 3, 2020 (i) through June 30, 2021 | $ | 9.62 | 0.25 | 0.04 | (j) | 0.29 | (0.15 | ) | (0.25 | ) | |||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with U.S. Generally Accepted Accounting Principles and could differ from the Lipper reported return.
(d) Annualized for periods less than one year.
(e) Does not include acquired fund fees and expenses, if any.
(f) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.
(g) Includes impact of broker interest fees. Without these broker interest fees, the net expense ratio would have been at the contractual expense cap. (See note 4 in the Notes to Financial Statements)
(h) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
See notes to financial statements.
48
Victory Portfolios II | Financial Highlights — continued | ||||||
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||||||||||||||
| Total Distributions | Net Asset Value, End of Period | Total Return (Excludes Sales Charge)(b)(c) | Net Expenses(d)(e) | Net Investment Income (Loss)(d) | Gross Expenses(d)(e) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(f) | ||||||||||||||||||||||||||||
Victory Market Neutral Income Fund | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (0.30 | ) | $ | 9.30 | 0.90 | % | 0.78 | %(g) | 3.94 | % | 0.83 | % | $ | 150,010 | 61 | % | |||||||||||||||||||
2021 | (0.49 | ) | $ | 9.51 | 2.33 | % | 0.79 | %(g) | 3.03 | % | 0.95 | % | $ | 50,735 | 89 | % | |||||||||||||||||||
2020 | (0.24 | ) | $ | 9.77 | 5.31 | % | 0.75 | % | 2.78 | % | 1.17 | % | $ | 12,870 | 119 | %(h) | |||||||||||||||||||
2019 | (0.29 | ) | $ | 9.51 | 1.99 | % | 0.75 | % | 3.36 | % | 1.03 | % | $ | 32,627 | 82 | % | |||||||||||||||||||
2018 | (0.29 | ) | $ | 9.61 | 5.37 | % | 0.89 | % | 2.55 | % | 1.18 | % | $ | 23,847 | 69 | % | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (0.24 | ) | $ | 9.19 | 0.31 | % | 1.53 | %(g) | 3.59 | % | 1.93 | % | $ | 15,197 | 61 | % | |||||||||||||||||||
2021 | (0.43 | ) | $ | 9.40 | 1.40 | % | 1.54 | %(g) | 2.28 | % | 2.29 | % | $ | 1,976 | 89 | % | |||||||||||||||||||
2020 | (0.17 | ) | $ | 9.69 | 4.59 | % | 1.50 | % | 2.20 | % | 2.62 | % | $ | 626 | 119 | %(h) | |||||||||||||||||||
2019 | (0.22 | ) | $ | 9.43 | 1.19 | % | 1.50 | % | 2.57 | % | 2.56 | % | $ | 441 | 82 | % | |||||||||||||||||||
2018 | (0.22 | ) | $ | 9.54 | 4.64 | % | 1.64 | % | 1.79 | % | 2.51 | % | $ | 311 | 69 | % | |||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (0.33 | ) | $ | 9.37 | 1.32 | % | 0.43 | %(g) | 4.40 | % | 0.62 | % | $ | 4,777,720 | 61 | % | |||||||||||||||||||
2021 | (0.51 | ) | $ | 9.57 | 2.62 | % | 0.44 | %(g) | 3.37 | % | 0.75 | % | $ | 1,007,909 | 89 | % | |||||||||||||||||||
2020 | (0.26 | ) | $ | 9.83 | 5.79 | % | 0.40 | % | 3.23 | % | 0.89 | % | $ | 174,719 | 119 | %(h) | |||||||||||||||||||
2019 | (0.32 | ) | $ | 9.55 | 2.25 | % | 0.40 | % | 3.91 | % | 1.05 | % | $ | 54,920 | 82 | % | |||||||||||||||||||
2018 | (0.31 | ) | $ | 9.65 | 5.62 | % | 0.64 | % | 2.72 | % | 1.09 | % | $ | 19,483 | 69 | % | |||||||||||||||||||
Member Class | |||||||||||||||||||||||||||||||||||
| Year Ended June 30,2022 | (0.32 | ) | $ | 9.31 | 1.20 | % | 0.58 | %(g) | 4.34 | % | 1.08 | % | $ | 13,910 | 61 | % | |||||||||||||||||||
| November 3, 2020 (i) through June 30, 2021 | (0.40 | ) | $ | 9.51 | 3.05 | % | 0.60 | % | 3.94 | % | 5.38 | % | $ | 2,518 | 89 | % | |||||||||||||||||||
(i) Commencement of operations.
(j) The amount shown reflects a net realized and unrealized gain per share, whereas the statement of operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.
See notes to financial statements.
49
Victory Portfolios II | Notes to Financial Statements June 30, 2022 | ||||||
1. Organization:
Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 25 funds, 23 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.
The accompanying financial statements are those of the following two Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.
Funds (Legal Name) | Funds (Short Name) | Investment Share Classes Offered | |||||||||
| Victory US 500 Enhanced Volatility Wtd Index Fund | US 500 Enhanced Volatility Wtd Index Fund | A, C, and I | |||||||||
Victory Market Neutral Income Fund | Market Neutral Income Fund | A, C, I, and Member Class | |||||||||
Each class of shares of a Fund has substantially identical rights and privileges except with respect to sales charges, fees paid under distribution plans, expenses allocable exclusively to each class of shares, voting rights on matters solely affecting a single class of shares, and the exchange privilege of each class of shares.
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. Generally Accepted Accounting Principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make 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 the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
Investment Valuation:
The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical securities
• Level 2 — other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)
• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
50
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.
Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to the Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.
Portfolio securities listed or traded on securities exchanges, including ETFs, and American Depositary Receipts ("ADRs"), are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Investments in open-end investment companies, other than ETFs, are valued at their net asset value ("NAV"). These valuations are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.
In the event that price quotations or valuations are not readily available, investments are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
In accordance with procedures adopted by the Board, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time a Fund's NAV is calculated. The Market Neutral Income Fund uses a systematic valuation model, provided daily by an independent third party to fair value its international equity securities. The valuations are categorized as Level 2 in the fair value hierarchy.
A summary of the valuations as of June 30, 2022, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
| US 500 Enhanced Volatility Wtd Index Fund | |||||||||||||||||||
Common Stocks | $ | 53,970,291 | $ | — | $ | — | $ | 53,970,291 | |||||||||||
Investment Companies | 242,405 | — | — | 242,405 | |||||||||||||||
Collateral for Securities Loaned | 63,177 | — | — | 63,177 | |||||||||||||||
Total | $ | 54,275,873 | $ | — | $ | — | $ | 54,275,873 | |||||||||||
Other Financial Investments^: | |||||||||||||||||||
Assets: | |||||||||||||||||||
Futures Contracts | $ | 8,192 | $ | — | $ | — | $ | 8,192 | |||||||||||
Total | $ | 8,192 | $ | — | $ | — | $ | 8,192 | |||||||||||
51
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Market Neutral Income Fund | |||||||||||||||||||
Common Stocks | $ | 2,534,544,243 | $ | 1,753,297,404 | $ | 1,418,584 | $ | 4,289,260,231 | |||||||||||
Collateral for Securities Loaned | 155,633,845 | — | — | 155,633,845 | |||||||||||||||
Total | $ | 2,690,178,088 | $ | 1,753,297,404 | $ | 1,418,584 | $ | 4,444,894,076 | |||||||||||
Other Financial Investments^: | |||||||||||||||||||
Assets: | |||||||||||||||||||
Futures Contracts | $ | 359,177,073 | $ | — | $ | — | $ | 359,177,073 | |||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (168,490,682 | ) | $ | — | $ | — | $ | (168,490,682 | ) | |||||||||
Total | $ | 190,686,391 | $ | — | $ | — | $ | 190,686,391 | |||||||||||
^ Futures contracts are valued at the unrealized appreciation (depreciation) on the investment.
For the year ended June 30, 2022, there were no significant changes into/out of Level 3.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Derivative Instruments:
Foreign Exchange Currency Contracts:
The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Funds record realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. For the year ended June 30, 2022, the Funds had no open forward foreign exchange currency contracts.
52
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Futures Contracts:
The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of the underlying asset is made. The Funds may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Funds the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require the Funds to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Funds based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. The Funds may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is reflected on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.
Management has determined that no offsetting requirements exist as a result of their conclusion that the Funds are not subject to master netting agreements for futures contracts. As of June 30, 2022, the Funds entered into futures contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.
Summary of Derivative Instruments:
The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset | Liabilities | ||||||||||
| Variation Margin Receivable on Open Futures Contracts* | Variation Margin Payable on Open Futures Contracts* | ||||||||||
Equity Risk Exposure | |||||||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | 8,192 | $ | — | |||||||
Market Neutral Income Fund | 359,177,073 | 168,490,682 | |||||||||
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin for futures contracts is reported within the Statements of Assets and Liabilities.
53
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2022:
| Net Realized Gains (Losses) on Derivatives Recognized as a Result of Operations | Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations | ||||||||||
| Net Realized Gains (Losses) from Futures Contracts | Net Change in Unrealized Appreciation/Depreciation on Futures Contracts | ||||||||||
Equity Risk Exposure: | |||||||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | (39,543 | ) | $ | (731 | ) | |||||
Market Neutral Income Fund | 113,370,432 | 178,197,024 | |||||||||
All open derivative positions at year end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year.
Investment Transactions and Related Income:
Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date or the last business day of the reporting period. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are recorded on the identified cost basis.
Withholding taxes on interest, dividends, and gains as a result of certain investments by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.
Securities Lending:
The Funds, through a Securities Lending Agreement with Citibank, N.A. ("Citibank"), may lend their securities to qualified financial institutions, such as certain broker-dealers and banks, to earn additional income, net of income retained by Citibank. Borrowers are required to initially secure their loans for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are generally cured the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities and other securities as permitted by Securities and Exchange Commission ("SEC") guidelines. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Funds effectively do not have control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. Collateral requirements are determined daily based on the value of the Funds' securities on loan as of the end of the prior business day. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay Citibank various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) is disclosed on the Statements of Operations. Loans are terminable upon demand and the borrower must return the loaned securities within the lesser of one standard settlement period or five business days. Although risk is mitigated by the collateral, a Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. In addition, there is a risk that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower.
54
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
The Funds' agreement with Citibank does not include master netting provisions. Non-cash collateral received by the Funds may not be sold or repledged, except to satisfy borrower default.
The following table is a summary of the Funds' securities lending transactions as of June 30, 2022.
| Value of Securities on Loan | Non-Cash Collateral | Cash Collateral | |||||||||||||
U.S. 500 Enhanced Volatility Wtd Index Fund | $ | 61,332 | $ | — | $ | 63,177 | |||||||||
| Market Neutral Income Fund | 143,492,636 | (a) | — | 155,633,845 | |||||||||||
(a) Includes $6,201,781 of securities on loan that were sold prior to June 30, 2022.
Foreign Currency Translations:
The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities and foreign currency transactions on the Statements of Operations.
Foreign Taxes:
The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.
For the year ended June 30, 2022, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain tax positions.
Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Allocations:
Expenses directly attributable to a Fund are charged to that Fund, while expenses that are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or an affiliated trust based upon net assets or another appropriate basis.
Income, expenses (other than class-specific expenses such as transfer agent fees, state registration fees, printing fees, and 12b-1 fees), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
55
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
3. Purchases and Sales:
Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the year ended June 30, 2022, were as follows:
| Excluding U.S. Government Securities | |||||||||||
Purchases | Sales | ||||||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | 63,782,653 | $ | 74,286,150 | |||||||
Market Neutral Income Fund | 5,095,339,469 | 1,256,223,434 | |||||||||
4. Affiliated Fund Ownership:
The Funds offer shares for investment by other funds. The fund-of-funds do not invest in the underlying funds for the purpose of exercising management or control, and the affiliated fund-of-funds annual and semi-annual reports may be viewed at vcm.com. As of June 30, 2022, certain fund-of-funds owned total outstanding shares of the Funds as follows:
Market Neutral Income Fund | Ownership% | ||||||
Victory Strategic Allocation Fund | 0.1 | ||||||
USAA Cornerstone Conservative Fund | 0.1 | ||||||
USAA Target Retirement Income Fund | 0.7 | ||||||
USAA Target Retirement 2030 Fund | 0.5 | ||||||
USAA Target Retirement 2040 Fund | 0.3 | ||||||
USAA Target Retirement 2050 Fund | 0.1 | ||||||
5. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
US 500 Enhanced Volatility Wtd Index Fund | 0.70 | % | |||||
Market Neutral Income Fund | 0.35 | % | |||||
Amounts incurred and paid to VCM for the year ended June 30, 2022, are reflected on the Statements of Operations as Investment advisory fees.
Administration and Servicing Fees:
VCM also serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios. The tiered rates at which VCM is paid by the Funds are shown in the table below:
Net Assets | |||||||||||
Up to $15 billion | $15 billion – $30 billion | Over $30 billion | |||||||||
0.08 | %, plus | 0.05 | %, plus | 0.04 | % | ||||||
Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Administration fees.
56
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator and sub-fund accountant to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Sub-Administration fees.
The Funds (as part of the Trust) have entered into an agreement with the Adviser to provide compliance services, pursuant to which the Adviser furnishes its compliance personnel, including the services of the Chief Compliance Officer ("CCO"), and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration, and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. The CCO is an employee of the Adviser, which pays the compensation of the CCO and support staff. The funds in the Trust, Victory Variable Insurance Funds, Victory Portfolios and USAA Mutual Funds (collectively, the "Victory Funds Complex"), in aggregate, compensate the Adviser for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Compliance fees.
Transfer Agency Fees:
FIS Investor Services, LLC ("FIS") serves as the Funds' transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services. Victory Capital Transfer Agency, Inc., an affiliate of the Adviser, serves as sub-transfer agent for the Member Class. Victory Capital Transfer Agency, Inc. receives no fee or other compensation for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Transfer agent fees.
Distributor/Underwriting Services:
Victory Capital Services, Inc. (the "Distributor"), an affiliate of the Adviser, serves as Distributor for the continuous offering of the shares of the Funds pursuant to a Distribution Agreement between the Distributor and the Trust.
Pursuant to the Distribution and Service Plans adopted in accordance with Rule 12b-1 under the 1940 Act, the Distributor may receive a monthly distribution and service fee up to the annual rate shown in the table below:
Class A | Class C | ||||||||||
US 500 Enhanced Volatility Wtd Index Fund | 0.25 | % | 1.00 | % | |||||||
Market Neutral Income Fund | 0.25 | % | 1.00 | % | |||||||
The Plans are characterized as reimbursement plans since the distribution fees will be paid to the Distributor as reimbursement for, or in anticipation of, expenses incurred for distribution-related activity. If the aggregate payments received by the Distributor for a particular class of shares of the Funds in any fiscal year exceed the expenditures made by the Distributor in that year pursuant to the Plans, the Distributor will reimburse the Funds for the amount of the excess.
For the year ended June 30, 2022, the Distributor did not reimburse the Funds.
The distribution and service fees paid to the Distributor may be used by the Distributor to pay for activities primarily intended to result in the sale of Class A and Class C. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as 12b-1 fees.
In addition, the Distributor is entitled to receive commissions in connection with sales of the Class A. For the year ended June 30, 2022, the Distributor received approximately $25 thousand from commissions earned in connection with sales of Class A. A $15 fee may be charged for redemptions made by wire. The redemption fee is paid directly to and retained by the Funds, and is designed to deter excessive short-term trading and to offset brokerage commissions, market impact and other costs that may be associated with short-term money movement in and out of the Funds.
57
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the expense limit for such classes of the Fund. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2022, the expense limits (excluding voluntary waivers) are as follows:
In Effect Until October 31, 2022 | |||||||||||||||||||
Class A | Class C | Class I | Member Class | ||||||||||||||||
US 500 Enhanced Volatility Wtd Index Fund | 0.99 | % | 1.74 | % | 0.74 | % | N/A | ||||||||||||
Market Neutral Income Fund | 0.75 | % | 1.50 | % | 0.40 | % | 0.55 | % | |||||||||||
Under the terms of the expense limitation agreements, as amended May 1, 2022, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount.
As of June 30, 2022, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayments are not probable at June 30, 2022.
| Expires 2023 | Expires 2024 | Expires 2025 | Total | ||||||||||||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | 229,910 | $ | 170,552 | $ | 182,939 | $ | 583,401 | |||||||||||
Market Neutral Income Fund | 670,257 | 1,612,292 | 4,525,747 | 6,808,296 | |||||||||||||||
The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time. There were no voluntary waivers or reimbursements for the year ended June 30, 2022.
Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and Distributor.
6. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Equity Risk — The value of the equity securities in which the Funds invest may decline in response to developments affecting individual companies and/or general economic conditions in the United States or abroad. A company's earnings or dividends may not increase as expected (or may decline) because of poor management, competitive pressures, reliance on particular suppliers or geographical regions, labor problems or shortages, corporate restructurings, fraudulent disclosures, man-made or natural disasters, military confrontations or wars, terrorism, public health crises, or other events, conditions and factors. Price changes may be temporary or last for extended periods.
58
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Market Risk — Overall market risks may affect the value of the Fund. Domestic and international factors such as political events, war, terrorism, trade disputes, inflation rates, interest rate levels and other fiscal and monetary policy changes, cybersecurity incidents, pandemics and other public health crises, sanctions against a particular foreign country, its nationals, businesses or industries and related geopolitical events, as well as environmental disasters such as earthquakes, fires, and floods or other catastrophes, may add to instability in global economies and markets generally, and may lead to increased market volatility. Global economies and financial markets are highly interconnected, which increases the possibility that conditions in one country or region might adversely affect issuers in another country or region. The impact of these and other factors may be short-term or may last for extended periods.
Large Capitalization Stock Risk — The securities of large capitalization companies may underperform the securities of smaller capitalization companies or the market as a whole. The growth rate of larger, more established companies may lag those of smaller companies, especially during periods of economic expansion.
Investment Style Risk — Different types of investment styles, for example growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, the Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.
7. Borrowing and Interfund Lending:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 27, 2022, with a termination date of June 26, 2023. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2022, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the commitment fees plus any interest on amounts borrowed. For the period from July 1, 2021, through June 27, 2022, interest was based on the one-month London Interbank Offered Rate ("LIBOR") plus one percent. Effective with the renewal, for the period June 28, 2022, through June 30, 2022, interest was based on the one-month Secured Overnight Financing Rate (SOFR) plus 1.10 percent. Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees.
The Funds had no borrowings under the Line of Credit agreement during the year ended June 30, 2022.
Interfund Lending:
The Trust and the Adviser rely on an exemptive order granted by the SEC in March 2017 (the "Order"), permitting the establishment and operation of an Interfund Lending Facility (the "Facility"). The Facility allows each Fund to directly lend and borrow money to or from any other fund in the Victory Funds Complex that is permitted to participate in the Facility, relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are allowed for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. As a Borrower, interest charged to each Fund, if any, during the period, is reflected on the Statements of Operations under Interfund lending fees. As a Lender, interest earned
59
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
by each Fund, if any, during the period, is reflected on the Statements of Operations under Interfund lending.
The Funds did not utilize or participate in the Facility during the year ended June 30, 2022.
8. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.
Declared | Paid | ||||||||||
US 500 Enhanced Volatility Wtd Index Fund | Quarterly | Quarterly | |||||||||
Market Neutral Income Fund | Monthly | Monthly | |||||||||
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
As of June 30, 2022, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:
| Total Accumulated Earnings/(Loss) | Capital | |||||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | (810,254 | ) | $ | 810,254 | ||||||
Market Neutral Income Fund | (5,039,286 | ) | 5,039,286 | ||||||||
The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid).
| Year Ended June 30, 2022 | ||||||||||||||||||
| Distributions paid from: | ||||||||||||||||||
| Ordinary Income | Net Long-Term Capital Gains | Total Taxable Distributions | Total Distributions Paid | |||||||||||||||
| US 500 Enhanced Volatility Wtd Index Fund | $ | 5,747,040 | $ | 2,591,573 | $ | 8,338,613 | $ | 8,338,613 | |||||||||||
Market Neutral Income Fund | 88,371,014 | — | 88,371,014 | 88,371,014 | |||||||||||||||
| Year Ended June 30, 2021 | ||||||||||||||||||
| Distributions paid from: |
| |||||||||||||||||
| Ordinary Income | Net Long-Term Capital Gains | Total Taxable Distributions | Total Distributions Paid | |||||||||||||||
| US 500 Enhanced Volatility Wtd Index Fund | $ | 2,457,972 | $ | 4,597,464 | $ | 7,055,436 | $ | 7,055,436 | |||||||||||
Market Neutral Income Fund | 16,574,194 | 5,040,684 | 21,614,878 | 21,614,878 | |||||||||||||||
60
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
As of June 30, 2022, the components of accumulated earnings/(loss) on a tax basis were as follows:
| Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Earnings | Unrealized Appreciation (Depreciation)* | Total Accumulated Earnings (Loss) | |||||||||||||||||||
| US 500 Enhanced Volatility Wtd Index Fund | $ | 804,429 | $ | 12,335,440 | $ | 13,139,869 | $ | (231,467 | ) | $ | 12,908,402 | ||||||||||||
Market Neutral Income Fund | 159,891,822 | 117,008,333 | 276,900,155 | (426,011,594 | ) | (149,111,439 | ) | ||||||||||||||||
* The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and passive foreign investment companies.
During the tax year ended June 30, 2022, the following Fund utilized capital loss carryforwards:
| Amount | ||||||
Market Neutral Income Fund | $ | 70,483,572 | |||||
As of June 30, 2022, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:
| Cost of Investments for Federal Tax Purposes | Net Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
| US 500 Enhanced Volatility Wtd Index Fund | $ | 54,507,340 | $ | 3,320,107 | $ | (3,551,574 | ) | $ | (231,467 | ) | |||||||||
Market Neutral Income Fund | 4,870,580,154 | 80,304,084 | (505,990,162 | ) | (425,686,078 | ) | |||||||||||||
61
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Victory Portfolios II
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory US 500 Enhanced Volatility Wtd Index Fund and Victory Market Neutral Income Fund (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for each of the five years in the period then ended (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
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 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 procedures included confirmation of securities owned as of June 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. 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. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.
COHEN & COMPANY, LTD.
Cleveland, Ohio
August 26, 2022
62
Victory Portfolios II | Supplemental Information June 30, 2022 | ||||||
(Unaudited)
Trustee and Officer Information
Board of Trustees:
Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently nine Trustees, eight of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.
The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 25 portfolios in the Trust, six portfolios in Victory Variable Insurance Funds, and 40 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 45 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
Independent Trustees. | |||||||||||||||||||
| David Brooks Adcock, Born October 1951 | Trustee | May 2015 | Consultant (since 2006). | Chair and Trustee, Turner Funds (December 2016-December 2017). | |||||||||||||||
| Nigel D. T. Andrews, Born April 1947 | Trustee | May 2015 | Retired. | Director, Carlyle Secured Lending, Inc. (formerly TCG BDC I, Inc.) (since 2012); Director, Carlyle Credit Solutions, Inc. (formerly TCG BDC II, Inc.) (since 2017); Trustee, Carlyle Secured Lending III (since 2021). | |||||||||||||||
| E. Lee Beard,* Born August 1951 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Dennis M. Bushe, Born January 1944 | Trustee | July 2016 | Retired. | None. | |||||||||||||||
63
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
| John L. Kelly, Born April 1953 | Chair and Trustee | May 2015 | Partner, McCarvill Capital Partners (September 2016- September 2017). | Director, Caledonia Mining Corporation (since May 2012). | |||||||||||||||
| David L. Meyer, Born April 1957 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Gloria S. Nelund, Born May 1961 | Trustee | July 2016 | Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm. | TriLinc Global Impact Fund, LLC (since 2012). | |||||||||||||||
| Leigh A. Wilson, Born December 1944 | Trustee | May 2015 | Private Investor. | Chair (since 2013), Caledonia Mining Corporation. | |||||||||||||||
Interested Trustee. | |||||||||||||||||||
| David C. Brown,** Born May 1972 | Trustee | May 2015 | Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc. | Trustee, USAA Mutual Funds Trust. | |||||||||||||||
* The Board has designated Ms. Beard as its Audit Committee Financial Expert.
** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.
The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.
64
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Officers:
The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Christopher K. Dyer, Born February 1962 | President | May 2015 | Director of Mutual Fund Administration, the Adviser (since 2004); Chief Operating Officer, Victory Capital Services, Inc. (since 2020); Vice President, Victory Capital Transfer Agency, Inc. (since 2019). | ||||||||||||
| Scott A. Stahorsky, Born July 1969 | Vice President | May 2015 | Manager, Fund Administration, the Adviser (since 2015). | ||||||||||||
| Erin G. Wagner, Born February 1974 | Secretary* | May 2015- April 2022 | Associate General Counsel, the Adviser (2013-2022). | ||||||||||||
| Thomas Dusenberry, Born July 1977 | Secretary | May 2022 | Manager, Fund Administration, the Adviser (since 2022); Treasurer and Principal Financial Officer (2020-2022), Assistant Treasurer (2019), Salient MF Trust, Salient Midstream, MLP Fund and Forward Funds; Principal Financial Officer (2018-2021) and Treasurer (2020-2021), Salient Private Access Funds and Endowment PMF Funds; Senior Vice President of Fund Accounting and Operations, Salient Partners (2020-2022); Director of Fund Operations, Salient Partners (2016-2019). | ||||||||||||
| Allan Shaer, Born March 1965 | Treasurer | December 2017 | Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016). | ||||||||||||
| Christopher A. Ponte, Born March 1984 | Assistant Treasurer | May 2015 | Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018). | ||||||||||||
| Colin Kinney, Born October 1973 | Chief Compliance Officer** | July 2017- June 2022 | Chief Compliance Officer (2013-2022) and Chief Risk Officer (2009-2017), the Adviser. | ||||||||||||
| Sean Fox, Born September 1976 | Chief Compliance Officer | June 2022 | Sr. Compliance Officer, the Adviser (since 2019); Compliance Officer, the Adviser (2015-2019). | ||||||||||||
65
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Chuck Booth, Born April 1960 | Anti-Money Laundering Compliance Officer and Identity Theft Officer | May 2015 | Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc. | ||||||||||||
| Jay G. Baris, Born January 1954 | Assistant Secretary | May 2015 | Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (2018-2020); Partner, Morrison & Foerster LLP (2011-2018). | ||||||||||||
* On April 27, 2022, Ms. Wagner resigned her position with the Trust.
** On June 10, 2022, Mr. Kinney resigned his position with the Trust.
66
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Proxy Voting and Portfolio Holdings Information
Proxy Voting:
Information regarding the policies and procedures each Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.
Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 months ended June 30 is available on the SEC's website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Trust files a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's website at www.sec.gov.
Expense Examples
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022, through June 30, 2022.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, 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 table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expenses in the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Account Value 1/1/22 | Actual Ending Account Value 6/30/22 | Hypothetical Ending Account Value 6/30/22 | Actual Expenses Paid During Period 1/1/22-6/30/22* | Hypothetical Expenses Paid During Period 1/1/22-6/30/22* | Annualized Expense Ratio During Period 1/1/22-6/30/22 | ||||||||||||||||||||||
US 500 Enhanced Volatility Wtd Index Fund | |||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 829.20 | $ | 1,019.89 | $ | 4.49 | $ | 4.96 | 0.99 | % | |||||||||||||||
Class C | 1,000.00 | 825.50 | 1,016.17 | 7.88 | 8.70 | 1.74 | % | ||||||||||||||||||||
Class I | 1,000.00 | 830.30 | 1,021.12 | 3.36 | 3.71 | 0.74 | % | ||||||||||||||||||||
Market Neutral Income Fund | |||||||||||||||||||||||||||
Class A | 1,000.00 | 990.30 | 1,021.08 | 3.70 | 3.76 | 0.75 | % | ||||||||||||||||||||
Class C | 1,000.00 | 987.60 | 1,017.36 | 7.39 | 7.50 | 1.50 | % | ||||||||||||||||||||
Class I | 1,000.00 | 992.80 | 1,022.81 | 1.98 | 2.01 | 0.40 | % | ||||||||||||||||||||
Member Class | 1,000.00 | 992.20 | 1,022.07 | 2.72 | 2.76 | 0.55 | % | ||||||||||||||||||||
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
67
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Additional Federal Income Tax Information
For the year ended June 30, 2022, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:
Percent | |||||||
US 500 Enhanced Volatility Wtd Index Fund | 23 | % | |||||
Market Neutral Income Fund | 35 | % | |||||
Dividends qualified for corporate dividends received deductions of:
Percent | |||||||
US 500 Enhanced Volatility Wtd Index Fund | 22 | % | |||||
Market Neutral Income Fund | 15 | % | |||||
For the year ended June 30, 2022, the following Funds designated short-term capital gain distributions:
| Amount | ||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | 5,564,682 | |||||
Market Neutral Income Fund | 2,744,792 | ||||||
For the year ended June 30, 2022, the following Funds designated long-term capital gain distributions:
| Amount | ||||||
US 500 Enhanced Volatility Wtd Index Fund | $ | 3,309,413 | |||||
Market Neutral Income Fund | 2,294,494 | ||||||
68
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Liquidity Risk Management Program:
The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.
Victory Capital manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every Fund investment as either highly liquid, moderately liquid, less liquid, or illiquid on at least a monthly basis. To assist with the classification of Fund investments, Victory Capital has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by Victory Capital. Victory Capital reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.
At a meeting held on February 24, 2022, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that each Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.
69
Privacy Policy
Protecting the Privacy of Information
The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.
We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.
To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic, and procedural safeguards to guard your personal information.*
* You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.
Victory Funds
P.O. Box 182593
Columbus, Ohio 43218-2593
Visit our website at: | Call Victory at: | ||||||
www.vcm.com | 800-539-FUND (800-539-3863) | ||||||
| 800-235-8396 for Member Class | |||||||
VP-COMPASS-AR (6/22)
June 30, 2022
Annual Report
VictoryShares US 500 Volatility Wtd ETF
VictoryShares US Small Cap Volatility Wtd ETF
VictoryShares International Volatility Wtd ETF
VictoryShares US Large Cap High Div Volatility Wtd ETF
VictoryShares US Small Cap High Div Volatility Wtd ETF
VictoryShares International High Div Volatility Wtd ETF
VictoryShares Emerging Market High Div Volatility Wtd ETF
VictoryShares Dividend Accelerator ETF
VictoryShares US Multi-Factor Minimum Volatility ETF
VictoryShares US 500 Enhanced Volatility Wtd ETF
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
VictoryShares US Discovery Enhanced Volatility Wtd ETF
VictoryShares Developed Enhanced Volatility Wtd ETF
VictoryShares Nasdaq Next 50 ETF
VictoryShares ESG Core Plus Bond ETF
VictoryShares ESG Corporate Bond ETF
VictoryShares THB Mid Cap ESG ETF
www.vcm.com
News, Information And Education 24 Hours A Day, 7 Days A Week
The Victory Capital website gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:
• Detailed performance records
• Daily share prices
• The latest fund news
• Investment resources to help you become a better investor
• A section dedicated to investment professionals
Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.
Victory Portfolios II
TABLE OF CONTENTS
Shareholder Letter (Unaudited) | 4 | ||||||
| Managers' Commentary / Investment Overview (Unaudited) | 6 | ||||||
| Investment Objective and Portfolio Holdings (Unaudited) | 45 | ||||||
Schedules of Portfolio Investments | |||||||
VictoryShares US 500 Volatility Wtd ETF | 62 | ||||||
VictoryShares US Small Cap Volatility Wtd ETF | 74 | ||||||
VictoryShares International Volatility Wtd ETF | 86 | ||||||
| VictoryShares US Large Cap High Div Volatility Wtd ETF | 105 | ||||||
| VictoryShares US Small Cap High Div Volatility Wtd ETF | 109 | ||||||
| VictoryShares International High Div Volatility Wtd ETF | 113 | ||||||
| VictoryShares Emerging Market High Div Volatility Wtd ETF | 120 | ||||||
VictoryShares Dividend Accelerator ETF | 127 | ||||||
VictoryShares US Multi-Factor Minimum Volatility ETF | 130 | ||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF | 133 | ||||||
| VictoryShares US EQ Income Enhanced Volatility Wtd ETF | 145 | ||||||
| VictoryShares US Discovery Enhanced Volatility Wtd ETF | 149 | ||||||
VictoryShares Developed Enhanced Volatility Wtd ETF | 161 | ||||||
VictoryShares Nasdaq Next 50 ETF | 181 | ||||||
VictoryShares ESG Core Plus Bond ETF | 184 | ||||||
VictoryShares ESG Corporate Bond ETF | 198 | ||||||
VictoryShares THB Mid Cap ESG ETF | 206 |
| |||||
Financial Statements | |||||||
Statements of Assets and Liabilities | 208 | ||||||
Statements of Operations | 214 | ||||||
Statements of Changes in Net Assets | 220 | ||||||
Financial Highlights | 226 | ||||||
Notes to Financial Statements | 238 | ||||||
| Report of Independent Registered Public Accounting Firm | 262 | ||||||
Supplemental Information (Unaudited) | 264 | ||||||
Trustee and Officer Information | 264 | ||||||
Proxy Voting and Portfolio Holdings Information | 268 | ||||||
Expense Examples | 268 | ||||||
Additional Federal Income Tax Information | 270 | ||||||
Liquidity Risk Management Program | 271 | ||||||
Privacy Policy (inside back cover) | |||||||
1
IRA DISTRIBUTION WITHHOLDING DISCLOSURE
We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call 800-539-3863 and form W-4P (OMB No. 1545-0074 withholding certificate for pension or annuity payments) will be electronically sent.
If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.
For more specific information, please consult your tax adviser.
The Funds are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus of the Victory Funds.
For additional information about any Victory Fund, including fees, expenses, and risks, view our prospectus online at vcm.com or call 800-539-3863. Read it carefully before you invest or send money.
The information in this report is based on data obtained from recognized services and sources and is believed to be reliable. Any opinions, projections, or recommendations in this report are subject to change without notice and are not intended as individual investment advice. Past investment performance of the Funds, markets or securities mentioned herein should not be considered to be indicative of future results.
• NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Call Victory at:
800-539-FUND (800-539-3863)
Visit our website at:
www.vcm.com
2
This page is intentionally left blank.
3
Victory Funds Letter to Shareholders
(Unaudited)
Dear Shareholder,
Looking back over our most recent annual reporting period offers us a stark reminder that markets go up and down, and that investor sentiment can shift quickly.
Although most of 2021 was constructive for financial markets, the script flipped as we entered the new calendar year. More recently, investors have been focused on a host of worries. Inflation data has been running hotter than expected. The U.S. Federal Reserve (the "Fed") has embarked on a new rate-hike cycle and a terrible war is raging in Eastern Europe. All these issues, among other factors, have ratcheted up market volatility in both stock and bond markets. Many broad-market stock indices have pulled back substantially during the first half of 2022 and even entered "bear market" territory, which is typically considered a 20% pullback from the most recent highs. Meanwhile, fixed income investors are also dealing with elevated volatility, and wide swaths of the bond market have struggled in the face of rising interest rates.
Throughout the ups and downs of the past annual reporting period, there have been interesting differences playing out within the broader market. In general, large-cap stocks outperformed smaller-capitalization companies for the full annual reporting period. Meanwhile, growth-oriented styles led value-oriented investments during the earlier part of our annual reporting period, while the reverse was true during the latter segment of the reporting period (as measured by the Russell family of indices). Perhaps this reflects investors' realization and expectations for future higher interest rates and corresponding higher borrowing costs.
There were other notable subplots, too. During much of 2021 we watched crypto assets captivate investors, only to see them fall out of favor as sentiment soured. This year we've seen oil prices surge, which helped fuel gains across the energy landscape while many other sectors lagged. The Energy and Utilities sectors (and yes, Cash) have been the lone bright spots for many investor portfolios. If anything, this underscores the importance of diversification.
Looking at the numbers, we see that the S&P 500® Index, the bell-weather proxy for our domestic stock market, declined by 10.62% for the 12-month period ended June 30, 2022. Over this same annual period, the yield on the 10-Year U.S. Treasury jumped 1.53%, thanks largely to the Fed's shift toward a less accommodative monetary policy and the first rate hike in three years. At the end of our reporting period, the yield on the 10-Year U.S. Treasury finished at 2.98%.
Given the market environment of the past few months, it's no surprise that investors have become more focused on risk management and downside protection. Remember, our experience managing portfolios through various economic cycles has taught us to remain calm in the face of market turmoil. It is our view that a long-term perspective, a well-diversified portfolio across asset classes and investment types, and a clear understanding of individual risk tolerances are some of the key ingredients for staying the course and progressing on investment goals.
4
As ever, there will be challenges ahead. The Fed has declared its intent to continue raising rates until the recent elevated inflation readings decline. Labor shortages, ongoing supply chain issues, high energy prices, and the Russia-Ukraine war are among the performance detractors investors continue to navigate. There's even some chatter about a possible recession.
Although we cannot tell you with any certainty what markets will do in the future, we can assure you that the investment professionals at all our independent franchises continually monitor the environment and work hard to position portfolios opportunistically no matter what the markets bring.
On the following pages you will find information relating to your Victory Funds investment. If you have any questions regarding the current market dynamics or your specific portfolio or investment plan, we encourage you to contact your financial advisor. If you invest with us directly, you may call 800-539-3863 or visit our website at www.vcm.com.
From all of us here at Victory Capital, thank you for letting us help you work toward your investment goals.
Christopher K. Dyer, CFA
President,
Victory Funds
5
VictoryShares US 500 Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares US 500 Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -8.63% for the fiscal year ended June 30, 2022, compared to the Index's return of -8.32%. The Fund outperformed the S&P 500® Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.
Over the reporting period, the Fund's performance relative to the S&P 500® Index was driven by its underweight positions in the largest market-cap stocks within the index. The top 10 stocks in the S&P 500® Index combined to make up over 28% of the Index, while the Fund only held 2% in these same names. This underweight added 0.54% of relative performance. The Fund's positive stock selection in the rest of the market also added value during the reporting period. The Fund's underweight to the Energy sector was a detractor from relative performance.
6
VictoryShares US 500 Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/1/14 | 7/1/14 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Large Cap 500 Volatility Weighted Index1 | S&P 500® Index2 | ||||||||||||||||
One Year | –8.63 | % | –8.57 | % | –8.32 | % | –10.62 | % | |||||||||||
Five Year | 9.29 | % | 9.29 | % | 9.66 | % | 11.31 | % | |||||||||||
Since Inception | 9.33 | % | 9.33 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US 500 Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Large Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The S&P 500® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
7
VictoryShares US Small Cap Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares US Small Cap Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -11.82% for the fiscal year ended June 30, 2022, compared to the Index's return of -11.40%. The Fund outperformed the Russell 2000® Index, a market cap-based index against which the performance of the Fund is also measured, which returned -25.20% for the period.
The Fund's overweight to the Financials sector and underweight to the Health Care sector were positive contributors to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Health Care and Information Technology sectors, but detracted in the Energy sector.
8
VictoryShares US Small Cap Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/8/15 | 7/8/15 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Small Cap 500 Volatility Weighted Index1 | Russell 2000® Index2 | ||||||||||||||||
One Year | –11.82 | % | –11.83 | % | –11.40 | % | –25.20 | % | |||||||||||
Five Year | 7.37 | % | 7.38 | % | 7.75 | % | 5.17 | % | |||||||||||
Since Inception | 8.49 | % | 8.49 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US Small Cap Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Small Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. small cap stocks with $3 billion or less of market value with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
9
VictoryShares International Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares International Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -16.10% for the fiscal year ended June 30, 2022, compared to the Index's return of -15.81%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned -17.77% for the period.
The Fund's overweight to Canada was a large positive contributor to relative performance. An overweight to South Korea was a detractor. Stock selection was positive in Japan and the Netherlands, but detracted in the United Kingdom.
10
VictoryShares International Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 8/20/15 | ||||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory International 500 Volatility Weighted Index1 | MSCI EAFE Index (Net)2 | ||||||||||||||||
One Year | –16.10 | % | –15.53 | % | –15.81 | % | –17.77 | % | |||||||||||
Five Year | 2.19 | % | 2.25 | % | 2.45 | % | 2.20 | % | |||||||||||
Since Inception | 3.10 | % | 3.21 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares International Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory International 500 Volatility Weighted Index consists of 500 of the largest developed country stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
11
VictoryShares US Large Cap High Div Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares US Large Cap High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned 5.50% for the fiscal year ended June 30, 2022, compared to the Index's return of 5.95%. The Fund outperformed the Russell 1000® Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned -6.82% for the period.
The Fund's overweight to the Utilities and Consumer Staples sectors were positive contributors to relative performance. The underweight to the Health Care sector was a detractor. Stock selection was positive in the Consumer Staples and Information Technology sectors, but detracted in the Energy sector.
12
VictoryShares US Large Cap High Div Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/8/15 | 7/8/15 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index1 | Russell 1000® Value Index2 | ||||||||||||||||
One Year | 5.50 | % | 5.63 | % | 5.95 | % | –6.82 | % | |||||||||||
Five Year | 10.02 | % | 10.04 | % | 10.44 | % | 7.17 | % | |||||||||||
Since Inception | 10.88 | % | 10.90 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US Large Cap High Div Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend yielding stocks of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The Russell 1000® Value Index is made up of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
13
VictoryShares US Small Cap High Div Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares US Small Cap High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -9.76% for the fiscal year ended June 30, 2022, compared to the Index's return of -9.31%. The Fund outperformed the Russell 2000® Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned -16.28% for the period.
The Fund's overweight to the Consumer Staples sector and underweight to the Health Care sector were positive contributors to relative performance. The underweight to the Health Care sector was a detractor. Stock selection was positive in the Consumer Discretionary and Financials sectors, but detracted in the Industrials sector.
14
VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/8/15 | 7/8/15 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index1 | Russell 2000® Value Index2 | ||||||||||||||||
One Year | –9.76 | % | –9.78 | % | –9.31 | % | –16.28 | % | |||||||||||
Five Year | 9.10 | % | 9.11 | % | 9.50 | % | 4.89 | % | |||||||||||
Since Inception | 9.63 | % | 9.64 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US Small Cap High Div Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The Russell 2000® Index is an index measuring the performance of approximately 2,000 smallest-cap American companies in the Russell 3000® Index, which is made up of 3,000 of the largest U.S. stocks. It is a market cap-weighted index. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
15
VictoryShares International High Div Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares International High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -5.92% for the fiscal year ended June 30, 2022, compared to the Index's return of -5.32%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned -17.77% for the period.
The Fund's overweight to Canada was a large positive contributor to relative performance. An overweight to South Korea was a detractor. Stock selection was positive in Japan and the Netherlands, but detracted in Norway.
16
VictoryShares International High Div Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 8/20/15 | 8/20/15 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory International High Dividend 100 Volatility Weighted Index1 | MSCI EAFE Index (Net)2 | ||||||||||||||||
One Year | –5.92 | % | –5.82 | % | –5.32 | % | –17.77 | % | |||||||||||
Five Year | 1.31 | % | 1.22 | % | 1.81 | % | 2.20 | % | |||||||||||
Since Inception | 1.67 | % | 1.67 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares International High Div Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory International High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory International 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
17
VictoryShares Emerging Market High Div Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares Emerging Market High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -18.55% for the fiscal year ended June 30, 2022, compared to the Index's return of -17.69%. The Fund outperformed the MSCI Emerging Markets Index, a market cap-based index against which the performance of the Fund is also measured, which returned -25.28% for the period.
The Fund's underweight to South Korea was a large positive contributor to relative performance. An overweight to Russia was a detractor. Stock selection was positive in China and Taiwan, but detracted in Malaysia.
18
VictoryShares Emerging Market High Div Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/26/17 | 10/26/17 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index1 | MSCI Emerging Markets Index (Net)2 | ||||||||||||||||
One Year | –18.55 | % | –17.96 | % | –17.69 | % | –25.28 | % | |||||||||||
Since Inception | –1.39 | % | –1.34 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares Emerging Market High Div Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory Emerging Market 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI Emerging Markets Index (Net) captures large- and mid-cap representation across 24 Emerging Markets (EM) countries. With 1,380 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
19
VictoryShares Dividend Accelerator ETF
Managers' Commentary
(Unaudited)
VictoryShares Dividend Accelerator ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index (the "Index") before fees and expenses.
The Fund returned -4.49% for the fiscal year ended June 30, 2022, compared to the Index's return of -4.13%. The Fund outperformed the S&P 500® Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.
The Fund's overweight to the Consumer Staples sector and underweight to the Communication Services sector were positive contributors to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Consumer Discretionary and Financials sectors, but detracted in the Materials sector.
20
VictoryShares Dividend Accelerator ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 4/18/17 | 4/18/17 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory Dividend Accelerator Index1 | S&P 500® Index2 | ||||||||||||||||
One Year | –4.49 | % | –4.54 | % | –4.13 | % | –10.62 | % | |||||||||||
Five Year | 11.58 | % | 11.59 | % | 12.00 | % | 11.31 | % | |||||||||||
Since Inception | 11.75 | % | 11.76 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares Dividend Accelerator ETF — Growth of $10,000
1The Nasdaq Victory Dividend Accelerator Index utilizes a rules-based approach designed to identify dividend paying stocks with a higher likelihood of future dividend growth. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The S&P 500® Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
21
VictoryShares US Multi-Factor Minimum Volatility ETF
Managers' Commentary
(Unaudited)
VictoryShares US Multi-Factor Minimum Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index (the "Index") before fees and expenses.
The Fund returned -2.04% for the fiscal year ended June 30, 2022, compared to the Index's return of -1.65%. The Fund outperformed the S&P 500® Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.
The Fund's overweight to the Consumer Staples sector and underweight to the Communication Services sector were positive contributors to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Consumer Discretionary and Industrials sectors, but detracted in Consumer Staples.
22
VictoryShares US Multi-Factor Minimum Volatility ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 6/22/17 | 6/22/17 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Multi-Factor Minimum Volatility Index1 | S&P 500® Index2 | ||||||||||||||||
One Year | –2.04 | % | –1.97 | % | –1.65 | % | –10.62 | % | |||||||||||
Five Year | 10.37 | % | 10.35 | % | 10.77 | % | 11.31 | % | |||||||||||
Since Inception | 10.19 | % | 10.17 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US Multi-Factor Minimum Volatility ETF — Growth of $10,000
1The Nasdaq Victory US Multi-Factor Minimum Volatility Index utilizes a rules-based approach designed to generate investment returns with less volatility than the broader U.S. market. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The S&P 500® Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
23
VictoryShares US 500 Enhanced Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares US 500 Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -8.67% over the fiscal year ended June 30, 2022, compared to the Index's return of -8.32%. The Fund outperformed the S&P 500® Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.
In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities during May of 2022. The Fund then reallocated to 100% equities in June of 2022. The Long/Cash feature had a relatively small impact on the Fund's relative performance versus the S&P 500® Index for the fiscal year.
Over the reporting period, the Fund's performance relative to the S&P 500® Index was driven by its underweight positions in the largest market-cap names within the index. The top 10 stocks in the S&P 500® Index combined to make up over 28% of the Index, while the Fund only held 2% in these same names. This underweight added 0.54% of relative performance. The Fund's positive stock selection in the rest of the market also added value during the reporting period. The Fund's cash allocation and underweight to the Energy sector were detractors during the reporting period.
24
VictoryShares US 500 Enhanced Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/1/14 | 7/1/14 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index1 | S&P 500® Index2 | ||||||||||||||||
One Year | –8.67 | % | –8.67 | % | –8.32 | % | –10.62 | % | |||||||||||
Five Year | 9.24 | % | 9.25 | % | 9.66 | % | 11.31 | % | |||||||||||
Since Inception | 9.27 | % | 9.28 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US 500 Enhanced Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The S&P 500® Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
25
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Managers' Commentary
(Unaudited)
The VictoryShares US EQ Income Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned 5.49% for the fiscal year ended June 30, 2022, compared to the Index's return of 5.95%. The Fund outperformed the Russell 1000® Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned -6.82% for the period.
In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index did not trigger during the reporting period.
The Fund's overweight to the Utilities and Consumer Staples sectors were positive contributors to relative performance. The underweight to the Health Care sector was a detractor. Stock selection was positive in the Consumer Staples and Information Technology sectors, but detracted in the Energy sector.
26
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/1/14 | 7/1/14 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index1 | Russell 1000® Value Index2 | ||||||||||||||||
One Year | 5.49 | % | 5.55 | % | 5.95 | % | –6.82 | % | |||||||||||
Five Year | 12.13 | % | 12.13 | % | 12.58 | % | 7.17 | % | |||||||||||
Since Inception | 11.54 | % | 11.54 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US EQ Income Enhanced Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The Russell 1000® Value Index is made up of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
27
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares US Discovery Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -8.00% for the fiscal year ended June 30, 2022, compared to the Index's return of -7.49%, The Fund outperformed the Russell 2000® Index, a market cap-based index against which the performance of the Fund is also measured, which returned -25.20% for the period.
In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities in May and June of 2022.
The Long/Cash feature had a positive impact on the Fund's relative performance versus the Russell 2000® Index for the fiscal year. The Fund's underweight to the Health Care sector was a positive contributor to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Health Care and Information Technology sectors, but detracted in the Energy sector.
28
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 7/31/14 | 7/31/14 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index1 | Russell 2000® Index2 | ||||||||||||||||
One Year | –8.00 | % | –8.06 | % | –7.49 | % | –25.20 | % | |||||||||||
Five Year | 7.21 | % | 7.21 | % | 7.71 | % | 5.17 | % | |||||||||||
Since Inception | 7.14 | % | 7.13 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares US Discovery Enhanced Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The Russell 2000® Index is a market capitalization-weighted index composed of 2,000 U.S. small-cap common stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
29
VictoryShares Developed Enhanced Volatility Wtd ETF
Managers' Commentary
(Unaudited)
VictoryShares Developed Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.
The Fund returned -11.20% for the fiscal year ended June 30, 2022, compared to the Index's return of -10.72%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned -17.77% for the period.
In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities in May and June of 2022.
The Long/Cash feature had a positive impact on the Fund's relative performance versus the MSCI EAFE Index for the fiscal year. The Fund's overweight to Canada was a large positive contributor to relative performance. An overweight to South Korea was a detractor. Stock selection was positive in Japan and the Netherlands, but detracted in the United Kingdom.
30
VictoryShares Developed Enhanced Volatility Wtd ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 9/30/14 | 9/30/14 | |||||||||||||||||
Net Asset Value | Market Price Value | Nasdaq Victory International 500 Long/Cash Volatility Weighted Index1 | MSCI EAFE Index (Net)2 | ||||||||||||||||
One Year | –11.20 | % | –10.85 | % | –10.72 | % | –17.77 | % | |||||||||||
Five Year | 0.67 | % | 0.47 | % | 1.17 | % | 2.20 | % | |||||||||||
Since Inception | –0.03 | % | –0.04 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares Developed Enhanced Volatility Wtd ETF — Growth of $10,000
1The Nasdaq Victory International 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when the market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
31
VictoryShares Nasdaq Next 50 ETF
Managers' Commentary
(Unaudited)
VictoryShares Nasdaq Next 50 ETF offers exposure to the new generation of innovators, the 50 stocks that are next in line for inclusion in the Nasdaq-100 Index®. The Fund seeks to provide investment results that track the performance of the Nasdaq Q-50 Index® (the "Index") before fees and expenses.
The Fund returned -32.34% for the fiscal year ended June 30, 2022, compared to the Index's return of -32.29% for the period.
The Index's large weight and stock selection within the Technology sector was the largest negative contributors to the Fund's relative performance. The Consumer Discretionary and Communication Services sectors were also negative contributors.
32
VictoryShares Nasdaq Next 50 ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 9/9/20 | 9/9/20 | |||||||||||||
Net Asset Value | Market Price Value | Nasdaq Q-50 Index1 | |||||||||||||
One Year | –32.34 | % | –32.34 | % | –32.29 | % | |||||||||
Since Inception | –4.79 | % | –4.18 | % |
| N/A | |||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares Nasdaq Next 50 ETF — Growth of $10,000
1The Nasdaq Q-50 Index is a market capitalization-weighted index designed to track the performance of companies that are next-eligible for inclusion into the Nasdaq-100® Index. The Index is comprised of 50 securities ranked by market capitalization and reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade, and biotechnology. It does not contain securities of financial companies including banking and investment companies, as these are ineligible for Nasdaq-100® Index inclusion. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
33
VictoryShares ESG Core Plus Bond ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
As the world attempted to return to normal, coming out of the historical COVID-19 government-imposed lockdowns, the consequences of those lockdowns began to manifest themselves. In particular, global supply chains that functioned smoothly pre-COVID-19 were disrupted in ways that have yet to work themselves out. Generally speaking, the result was demand that rebounded faster than supply could keep up. To make matters worse, apart from the human tragedy itself, Russia's invasion of Ukraine in February 2022 added to the supply chain issues, with impacts on the price of oil, natural gas, wheat, and fertilizer, to name but a few. While the general price level fell during COVID-19, when demand fell faster than supply, the reverse is now true. As measured by the Consumer Price Index, the price level skyrocketed to 7% in 2021. During 2022, prices have risen even further, to 8.6% as of the end of May 2022.
These events have taken their toll on the financial markets, with the S&P 500® Index down 10.6% year over year, and 20% year to date; officially "bear market" territory. The bond market did not escape the pain, either. Indeed, the past year has been one of the worst for fixed income markets over the last 50 years, if not all of history. The one-year total return for the period ending June 30, 2022, for the Bloomberg US Aggregate Bond Index (the "Index") was worse than even during the U.S. dollar devaluation period in the late 1970s/early 1980s, down 10.3% year over year and down 10.4% year to date, performance almost as poor as the stock market.
These results were driven primarily by the significant rise in interest rates, as the bond market reacted to the dramatic increases in the price level. While the U.S. Federal Reserve (the "Fed") initially believed these price increases to be transitory, the bond market forced them to quickly abandon that thought. What was originally expected to be a gradual increase of 25 basis points ("bps") (a basis point is 1/100th of a percentage point) in the Fed Funds rate morphed into rate hikes that haven't been seen since 1994. The Fed started hiking rates by 25 bps in March, then was forced to higher hikes of 50 bps in May and a whopping 75-bps hike in June.
In addition to the jump in U.S. Treasury rates, bond spreads have widened out as well. Year over year, the Bloomberg U.S. Corporate Index option-adjusted spread rose from 0.80% to 1.55%, an increase of 75 bps. This took its toll on the fixed income market, leaving the Bloomberg U.S. Corporate Index with a one-year negative total return of -14.2%.
Some economists are starting to predict a recession. The recent rise in interest rates is already beginning to dampen demand, particularly for housing, as well as automobiles. Higher gasoline and food prices are also taking their toll, forcing consumers to curtail other purchases. Although the employment situation looks decent with the unemployment rate at 3.6%, that's typically a lagging indicator, and the COVID-19 lockdowns caused havoc in the labor markets, as many businesses still cannot fill all the positions they need. Real Gross Domestic Product decreased -1.6% in the first quarter of 2022, and a decrease in the second quarter would fit the textbook definition of recession, although the consensus estimate is for growth in the second quarter. Recession or no recession, economic activity is likely to slow in the near term as the economy readjusts from the COVID-19 pandemic.
34
VictoryShares ESG Core Plus Bond ETF
Managers' Commentary (continued)
How did the VictoryShares ESG Core Plus Bond ETF (the "Fund") perform during the reporting period?
The Fund commenced operations on October 5, 2021. Since inception, the Fund returned -11.20%, underperforming the Index, which returned -10.29% for the period.
What strategies did you employ during the reporting period?
From the Fund's inception, bond spreads gradually began to widen into the end of 2021 and such widening precipitately increased following Russia's invasion of Ukraine, the subsequent increase in worldwide energy costs and persistent global inflation. Relative to the Index, the Fund was helped by its allocation to structured products, floating-rate bank loans, floating-rate commercial mortgage-backed securities and our issue selection of taxable municipals, as well as security selection amongst other spread-based, asset-backed securities. The Fund benefitted from allocations to auto loan asset-backed securities, collateralized loan obligations (CLOs), single asset, single borrower commercial mortgage-backed securities, Consumer Products, Airlines, and Consumer Non-Cyclical companies. Bond selection, especially within the Airlines, Cable and Satellite, Insurance, and Consumer Cyclical services also added to relative returns. An underweight position in U.S. Treasury securities, which generated less negative returns than the Index (as all spread product widened), hindered relative performance. Finally, our income orientation contributed positively to results. Over time, the income generated by the Fund accounts for the majority of its long-term return.
Under normal circumstances, the Fund will invest at least 80% of its net assets in securities of issuers that, at the time of purchase, rank in the highest three categories of the Adviser's proprietary environmental, social and governance ("ESG") composite score (described further in the Fund's prospectus), or are issued by the U.S. government, its agencies and instrumentalities, which are generally deemed to be rated in one of the highest three categories.
In assessing potential investments, we assess the following ESG factors:
• Environmental — Evaluated factors might include greenhouse gas emissions or water withdrawal figures (particularly in regions of scarcity), or an evaluation of the probability of meeting greenhouse gas emissions targets in the years ahead or the quality of the issuer's water usage policy.
• Social — Evaluated factors might include examining elements such as the issuer's safety record and the diversity of its management, as well as any stated targets towards improving these.
• Governance — Evaluated factors might include examining, for example, the inclusiveness of the issuer's leadership and its corporate behavior and ethics.
During the reporting period the Fund continued to purchase securities that adhered to the above standards. Application of the Fund's ESG strategy along with other factors, including duration positioning and sector allocation, detracted from the Fund's investment returns relative to the Index during the period ending June 30, 2022. In particular, our security selection within the Banking, Technology, and Retail sectors contributed most to underperformance.
In keeping with our investment process, we continued to build the Fund bond by bond. We seek ideas where our fundamental understanding of the credit risk is different than that of
35
VictoryShares ESG Core Plus Bond ETF
Managers' Commentary (continued)
the market, working with our team of analysts to evaluate each potential investment individually. During the reporting period, we found select attractive opportunities as we continued to seek relative values across the fixed income market. We took advantage of periods of volatility to add or reduce select investments in corporate credit, commercial mortgage-backed securities, asset-backed securities and taxable municipals. As spreads widened over the course of the period, we gradually increased exposure to spread products by decreasing our holdings in U.S. Treasury securities.
Our analysts continued to analyze and monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.
36
!pg hd ko [e/l OR o/r]
VictoryShares ESG Core Plus Bond ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Period Ended June 30, 2022
INCEPTION DATE | 10/4/21 | 10/4/21 | |||||||||||||
Net Asset Value | Market Price Value | Bloomberg US | |||||||||||||
Since Inception | –11.20 | % | –10.96 | % | –10.29 | % | |||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares ESG Core Plus Bond ETF — Growth of $10,000
1The Bloomberg US Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market. This includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities and collateralized mortgage-backed securities. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index. As of August 24, 2021, Bloomberg rebranded the Bloomberg Barclays fixed income indices as "Bloomberg Indices."
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
37
VictoryShares ESG Corporate Bond ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
As the world attempted to return to normal, coming out of the historical COVID-19 government-imposed lockdowns, the consequences of those lockdowns began to manifest themselves. In particular, global supply chains that functioned smoothly pre-COVID-19 were disrupted in ways that have yet to work themselves out. Generally speaking, the result was demand that rebounded faster than supply could keep up. To make matters worse, apart from the human tragedy itself, Russia's invasion of Ukraine in February 2022 added to the supply chain issues, with impacts on the price of oil, natural gas, wheat, and fertilizer, to name but a few. While the general price level fell during COVID-19, when demand fell faster than supply, the reverse is now true. As measured by the Consumer Price Index, the price level skyrocketed to 7% in 2021. During 2022, prices have risen even further, to 8.6% as of the end of May 2022.
These events have taken their toll on the financial markets, with the S&P 500® Index down 10.6% year over year, and 20% year to date; officially "bear market" territory. The bond market did not escape the pain, either. Indeed, the past year has been one of the worst for fixed income markets over the last 50 years, if not all of history. The one-year total return for the period ending June 30, 2022, for the Bloomberg US Aggregate Bond Index was worse than even during the U.S. dollar devaluation period in the late 1970s/early 1980s, down 10.3% year over year and down 10.4% year to date, performance almost as poor as the stock market.
These results were driven primarily by the significant rise in interest rates, as the bond market reacted to the dramatic increases in the price level. While the U.S. Federal Reserve (the "Fed") initially believed these price increases to be transitory, the bond market forced them to quickly abandon that thought. What was originally expected to be a gradual increase of 25 basis points ("bps") (a basis point is 1/100th of a percentage point) in the Fed Funds rate morphed into rate hikes that haven't been seen since 1994. The Fed started hiking rates by 25 bps in March, then was forced to higher hikes of 50 bps in May and a whopping 75-bps hike in June.
In addition to the jump in U.S. Treasury rates, bond spreads have widened out as well. Year over year, the Bloomberg U.S. Corporate Index (the "Index") option-adjusted spread rose from 0.80% to 1.55%, an increase of 75 bps. This took its toll on the fixed income market, leaving the Index with a one-year negative total return of -14.2%.
Some economists are starting to predict a recession. The recent rise in interest rates is already beginning to dampen demand, particularly for housing, as well as automobiles. Higher gasoline and food prices are also taking their toll, forcing consumers to curtail other purchases. Although the employment situation looks decent with the unemployment rate at 3.6%, that's typically a lagging indicator, and the COVID-19 lockdowns caused havoc in the labor markets, as many businesses still cannot fill all the positions they need. Real Gross Domestic Product decreased -1.6% in the first quarter of 2022, and a decrease in the second quarter would fit the textbook definition of recession, although the consensus estimate is for growth in the second quarter. Recession or no recession, economic activity is likely to slow in the near term as the economy readjusts from the COVID-19 pandemic.
38
VictoryShares ESG Corporate Bond ETF
Managers' Commentary (continued)
How did VictoryShares ESG Corporate Bond ETF (the "Fund") perform during the reporting period?
The Fund commenced operations on October 5, 2021. Since inception, the Fund returned -15.37%, underperforming the Index, which returned -14.48% for the period,
What strategies did you employ during the reporting period?
From the Fund's inception, bond spreads gradually began to widen into the end of 2021 and such widening precipitately increased following Russia's invasion of Ukraine, the subsequent increase in worldwide energy costs and persistent global inflation. Higher inflation also led to a more restrictive monetary policy by the Fed and greater uncertainty regarding economic growth. Global financial markets performed poorly as the macroeconomic and geopolitical environment deteriorated. The Fund has a higher allocation to BBB-rated corporate credit, which is the lowest rating category within investment grade, relative to the Index, was a primary driver of underperformance.
Under normal circumstances, the Fund will invest at least 80% of its net assets in securities of issuers that, at the time of purchase, rank in the highest three categories of the Adviser's proprietary environmental, social and governance ("ESG") composite score (described further in the Fund's prospectus), or are issued by the U.S. government, its agencies and instrumentalities, which are generally deemed to be rated in one of the highest three categories.
In assessing potential investments, we assess the following ESG factors:
• Environmental — Evaluated factors might include greenhouse gas emissions or water withdrawal figures (particularly in regions of scarcity), or an evaluation of the probability of meeting greenhouse gas emissions targets in the years ahead or the quality of the issuer's water usage policy.
• Social — Evaluated factors might include examining elements such as the issuer's safety record and the diversity of its management, as well as any stated targets towards improving these.
• Governance — Evaluated factors might include examining, for example, the inclusiveness of the issuer's leadership and its corporate behavior and ethics.
During the reporting period the Fund continued to purchase securities that adhered to the above standards. Application of the Fund's ESG strategy along with other factors, including duration positioning and sector allocation, detracted from the Fund's investment returns relative to the Index during the period ending June 30, 2022. In particular, our over-allocation to corporate bonds, asset-backed securities, and commercial mortgage-backed securities, along with security selection within the Financial and Industrial sectors contributed most to underperformance.
In keeping with our investment process, we continued to build the Fund bond by bond. We seek ideas where our fundamental understanding of the credit risk is different than that of the market, working with our team of analysts to evaluate each potential investment individually. During the reporting period, we found select attractive opportunities as we continued to seek relative values across the fixed income market.
39
VictoryShares ESG Corporate Bond ETF
Managers' Commentary (continued)
Our analysts continued to analyze and monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.
40
VictoryShares ESG Corporate Bond ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Period Ended June 30, 2022
INCEPTION DATE | 10/4/21 | 10/4/21 | |||||||||||||
Net Asset Value | Market Price Value | Bloomberg U.S. | |||||||||||||
Since Inception | –15.37 | % | –15.08 | % | –14.48 | % | |||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares ESG Corporate Bond ETF — Growth of $10,000
1The Bloomberg U.S. Corporate Bond Index measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasurys, government-related and corporate securities, MBS, ABS and CMBS. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
41
VictoryShares THB Mid Cap ESG ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
U.S. equities were broadly lower during the period as a series of events kept investors concerns elevated. The COVID-19 Omicron variant outbreak in November — December period last year was followed by geopolitical tensions culminating with Russia's invasion of Ukraine in February. The war in Ukraine and new China lockdowns in the spring served to amplify preexisting inflationary drivers such as energy prices and supply chain disruptions. In response, the U.S. Federal Reserve raised interest rates and struck a more hawkish tone, intending to bring inflation under control. The direction of interest rates and of inflation have been widely discussed and appear to have impacted a large swath of assets. Accurately predicting the future levels of interest rates is notoriously difficult, but certain of these anomalies appear to be reversing and may indicate that the extended period of ultra-low interest rates is ending.
How did VictoryShares THB Mid Cap ESG ETF (the "Fund") perform during the reporting period?
The Fund commenced operations on October 5, 2021. Since inception, the Fund returned -13.23%, outperforming the Russell Midcap® Index (the "Index"), which returned -17.33% for the period.
What strategies did you employ during the reporting period?
The Fund utilizes a bottom-up, fundamental approach to find mispriced securities within the investment universe. The Fund selects investments based on an active fundamental process that combines financial analysis and proprietary research to evaluate potential investments' management and long-term outlook and business strategy. Using this process, the Fund generated the highest contribution to the return from the Materials, Consumer Discretionary, and Consumer Staples sectors over the period, while the Industrials, Information Technology, and Health Care sectors were the primary detractors. The Fund's top five-performing stocks (from a contribution standpoint) were Synopsys Inc. (Information Technology), Carlisle Cos., Inc. (Industrials), IHS Markit, Ltd. (Industrials), Cadence Design Systems, Inc. (Information Technology), and CACI International, Inc. (Industrials). The bottom five-performing stocks (from a contribution standpoint) were GXO Logistics, Inc. (Industrials), Zebra Technologies, Inc. (Information Technology), Dentsply Sirona, Inc. (Health Care), Darling Ingredients, Inc. (Consumer Staples), and Tyler Technologies, Inc. (Information Technology).
We apply our internally developed Environmental, Social and Governance ("ESG") rating methodology to each company when making portfolio decisions. Our portfolio management team gathers relevant ESG data using multiple primary and secondary sources such as company filings, discussions with management, news, and a number of third-party data providers. ESG data may include metrics regarding a company's carbon emissions, water utilization, employee diversity, and director independence, among other things. The Fund does not exclusively rely on any third-party ESG ratings or scores during the portfolio construction process to make investment decisions and its own proprietary ratings could differ from those of a third party. In addition, we use a bottom-up, fundamental research investment process integrated with analysis of a company's ESG factors to identify high-quality companies we believe have the ability to sustainably grow shareholder equity and
42
VictoryShares THB Mid Cap ESG ETF
Managers' Commentary (continued)
that are trading below the Adviser's assessment of their intrinsic value. We believe there is a strong linkage between high-quality companies, good corporate citizenship, and long-term shareholder value creation.
The Energy and Utilities sectors outperformed the Index during the period. The Fund's investment strategy provides that it will not invest in companies involved in the primary manufacture of certain types of products (e.g., thermal coal and fossil fuels). Thus, our underweight (zero allocation) to high greenhouse gas-emitting sectors (Energy and Utilities) was a primary and material detractor from performance.
43
VictoryShares THB Mid Cap ESG ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Period Ended June 30, 2022
INCEPTION DATE | 10/4/21 | 10/4/21 | |||||||||||||
Net Asset Value | Market Price Value | Russell Midcap® Index1 | |||||||||||||
Since Inception | –13.23 | % | –13.17 | % | –17.33 | % | |||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares THB Mid Cap ESG ETF — Growth of $10,000
1The Russell Midcap® Index is an unmanaged index measuring the performance of medium capitalization domestically traded common stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
44
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Johnson & Johnson | 0.4 | % | |||||
PepsiCo, Inc. | 0.4 | % | |||||
The Southern Co. | 0.4 | % | |||||
The Hershey Co. | 0.4 | % | |||||
McDonald's Corp. | 0.4 | % | |||||
Verizon Communications, Inc. | 0.4 | % | |||||
Waste Management, Inc. | 0.4 | % | |||||
American Electric Power Co., Inc. | 0.4 | % | |||||
The Coca-Cola Co. | 0.4 | % | |||||
Duke Energy Corp. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
45
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Safety Insurance Group, Inc. | 0.5 | % | |||||
MGE Energy, Inc. | 0.4 | % | |||||
OSI Systems, Inc. | 0.4 | % | |||||
BancFirst Corp. | 0.4 | % | |||||
Universal Corp. | 0.4 | % | |||||
CSG Systems International, Inc. | 0.4 | % | |||||
Unitil Corp. | 0.4 | % | |||||
John B Sanfilippo & Son, Inc. | 0.4 | % | |||||
Otter Tail Corp. | 0.4 | % | |||||
Chesapeake Utilities Corp. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
46
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Hydro One Ltd. | 0.6 | % | |||||
Emera, Inc. | 0.6 | % | |||||
BCE, Inc. | 0.6 | % | |||||
Fortis, Inc. | 0.5 | % | |||||
TELUS Corp. | 0.5 | % | |||||
CLP Holdings Ltd. | 0.5 | % | |||||
Power Assets Holdings Ltd. | 0.4 | % | |||||
Intact Financial Corp. | 0.4 | % | |||||
Royal Bank of Canada | 0.4 | % | |||||
Great-West Lifeco, Inc. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
47
| Victory Portfolios II VictoryShares US Large Cap High Div Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Johnson & Johnson | 1.7 | % | |||||
PepsiCo, Inc. | 1.7 | % | |||||
The Southern Co. | 1.6 | % | |||||
Verizon Communications, Inc. | 1.6 | % | |||||
American Electric Power Co., Inc. | 1.6 | % | |||||
The Coca-Cola Co. | 1.6 | % | |||||
Duke Energy Corp. | 1.5 | % | |||||
DTE Energy Co. | 1.5 | % | |||||
Exelon Corp. | 1.5 | % | |||||
CMS Energy Corp. | 1.5 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
48
| Victory Portfolios II VictoryShares US Small Cap High Div Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Safety Insurance Group, Inc. | 2.1 | % | |||||
MGE Energy, Inc. | 1.9 | % | |||||
Universal Corp. | 1.8 | % | |||||
CSG Systems International, Inc. | 1.7 | % | |||||
Unitil Corp. | 1.7 | % | |||||
Otter Tail Corp. | 1.6 | % | |||||
Northwest Natural Holding Co. | 1.6 | % | |||||
SJW Group | 1.6 | % | |||||
Weis Markets, Inc. | 1.6 | % | |||||
Brady Corp., Class A | 1.6 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
49
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory International High Dividend 100 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Emera, Inc. | 2.4 | % | |||||
BCE, Inc. | 2.3 | % | |||||
TELUS Corp. | 2.0 | % | |||||
CLP Holdings Ltd. | 1.9 | % | |||||
Power Assets Holdings Ltd. | 1.7 | % | |||||
Great-West Lifeco, Inc. | 1.6 | % | |||||
Power Corp. of Canada | 1.5 | % | |||||
Orange SA | 1.5 | % | |||||
Enbridge, Inc. | 1.5 | % | |||||
Telia Co. AB | 1.5 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
50
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Far EasTone Telecommunications Co. Ltd. | 2.8 | % | |||||
Malayan Banking Bhd | 2.5 | % | |||||
Bank of China Ltd., Class H | 2.3 | % | |||||
Public Bank Bhd | 2.0 | % | |||||
Compal Electronics, Inc. | 1.9 | % | |||||
Agricultural Bank of China Ltd., Class H | 1.8 | % | |||||
Arca Continental SAB de CV | 1.8 | % | |||||
Far Eastern New Century Corp. | 1.7 | % | |||||
Industrial & Commercial Bank of China Ltd., Class H | 1.7 | % | |||||
Tenaga Nasional Bhd | 1.6 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
51
| Victory Portfolios II VictoryShares Dividend Accelerator ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
3M Co. | 3.4 | % | |||||
Elevance Health, Inc. | 3.0 | % | |||||
Consolidated Edison, Inc. | 3.0 | % | |||||
Lincoln Electric Holdings, Inc. | 2.9 | % | |||||
Apple, Inc. | 2.7 | % | |||||
Aon PLC, Class A | 2.7 | % | |||||
Colgate-Palmolive Co. | 2.4 | % | |||||
Mastercard, Inc., Class A | 2.2 | % | |||||
Merck & Co., Inc. | 2.2 | % | |||||
Donaldson Co., Inc. | 2.2 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
52
| Victory Portfolios II VictoryShares US Multi-Factor Minimum Volatility ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Microsoft Corp. | 7.8 | % | |||||
Johnson & Johnson | 4.6 | % | |||||
Bristol-Myers Squibb Co. | 4.0 | % | |||||
AbbVie, Inc. | 3.9 | % | |||||
AutoZone, Inc. | 3.7 | % | |||||
Lockheed Martin Corp. | 3.6 | % | |||||
Waste Management, Inc. | 3.4 | % | |||||
Chevron Corp. | 3.3 | % | |||||
Texas Instruments, Inc. | 3.2 | % | |||||
The Allstate Corp. | 3.2 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
53
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Johnson & Johnson | 0.4 | % | |||||
PepsiCo, Inc. | 0.4 | % | |||||
The Southern Co. | 0.4 | % | |||||
The Hershey Co. | 0.4 | % | |||||
McDonald's Corp. | 0.4 | % | |||||
Verizon Communications, Inc. | 0.4 | % | |||||
Waste Management, Inc. | 0.4 | % | |||||
American Electric Power Co., Inc. | 0.4 | % | |||||
The Coca-Cola Co. | 0.4 | % | |||||
Duke Energy Corp. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
54
| Victory Portfolios II VictoryShares US EQ Income Enhanced Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
PepsiCo, Inc. | 1.7 | % | |||||
Johnson & Johnson | 1.7 | % | |||||
The Southern Co. | 1.6 | % | |||||
Verizon Communications, Inc. | 1.6 | % | |||||
American Electric Power Co., Inc. | 1.6 | % | |||||
The Coca-Cola Co. | 1.6 | % | |||||
Duke Energy Corp. | 1.5 | % | |||||
DTE Energy Co. | 1.5 | % | |||||
Exelon Corp. | 1.5 | % | |||||
CMS Energy Corp. | 1.5 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
55
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 500 Long/Cash Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Safety Insurance Group, Inc. | 0.1 | % | |||||
MGE Energy, Inc. | 0.1 | % | |||||
OSI Systems, Inc. | 0.1 | % | |||||
BancFirst Corp. | 0.1 | % | |||||
Universal Corp. | 0.1 | % | |||||
CSG Systems International, Inc. | 0.1 | % | |||||
Unitil Corp. | 0.1 | % | |||||
John B Sanfilippo & Son, Inc. | 0.1 | % | |||||
Otter Tail Corp. | 0.1 | % | |||||
Chesapeake Utilities Corp. | 0.1 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
56
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Long/Cash Volatility Weighted Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Hydro One Ltd. | 0.1 | % | |||||
Emera, Inc. | 0.1 | % | |||||
BCE, Inc. | 0.1 | % | |||||
Fortis, Inc. | 0.1 | % | |||||
TELUS Corp. | 0.1 | % | |||||
CLP Holdings Ltd. | 0.1 | % | |||||
Power Assets Holdings Ltd. | 0.1 | % | |||||
Intact Financial Corp. | 0.1 | % | |||||
Royal Bank of Canada | 0.1 | % | |||||
Great-West Lifeco, Inc. | 0.1 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
57
| Victory Portfolios II VictoryShares Nasdaq Next 50 ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that track the performance of the Nasdaq Q-50 Index before fees and expenses.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Baker Hughes Co. | 3.3 | % | |||||
Enphase Energy, Inc. | 3.1 | % | |||||
CoStar Group, Inc. | 2.8 | % | |||||
Coca-Cola Europacific Partners PLC | 2.8 | % | |||||
Rivian Automotive, Inc., Class A | 2.7 | % | |||||
ON Semiconductor Corp. | 2.5 | % | |||||
Tractor Supply Co. | 2.5 | % | |||||
Diamondback Energy, Inc. | 2.5 | % | |||||
GLOBALFOUNDRIES, Inc. | 2.5 | % | |||||
CDW Corp. | 2.5 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
58
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide high current income without undue risk to principal.
Asset Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
59
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide maximum current income without undue risk to principal.
Asset Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
60
| Victory Portfolios II VictoryShares THB Mid Cap ESG ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide capital appreciation.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Waters Corp. | 4.8 | % | |||||
Cadence Design Systems, Inc. | 4.7 | % | |||||
Copart, Inc. | 4.4 | % | |||||
Amphenol Corp., Class A | 4.4 | % | |||||
Verisk Analytics, Inc. | 4.1 | % | |||||
Carlisle Cos., Inc. | 4.0 | % | |||||
J.B. Hunt Transport Services, Inc. | 3.9 | % | |||||
HEICO Corp. | 3.8 | % | |||||
Fastenal Co. | 3.6 | % | |||||
Chemed Corp. | 3.6 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
61
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.6%) | |||||||||||
Communication Services (4.2%): | |||||||||||
Alphabet, Inc., Class A (a) | 465 | $ | 1,013,356 | ||||||||
AT&T, Inc. | 58,506 | 1,226,286 | |||||||||
Charter Communications, Inc., Class A (a) | 2,159 | 1,011,556 | |||||||||
Comcast Corp., Class A | 28,356 | 1,112,689 | |||||||||
DISH Network Corp., Class A (a) | 25,575 | 458,560 | |||||||||
Electronic Arts, Inc. | 9,460 | 1,150,809 | |||||||||
Fox Corp., Class A | 28,145 | 905,143 | |||||||||
Liberty Broadband Corp., Class C (a) | 9,280 | 1,073,139 | |||||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 22,862 | 1,451,051 | |||||||||
Lumen Technologies, Inc. | 75,396 | 822,570 | |||||||||
Match Group, Inc. (a) | 6,933 | 483,161 | |||||||||
Meta Platforms, Inc., Class A (a) | 3,395 | 547,444 | |||||||||
Netflix, Inc. (a) | 1,862 | 325,608 | |||||||||
News Corp., Class A | 54,332 | 846,493 | |||||||||
Omnicom Group, Inc. | 12,888 | 819,806 | |||||||||
Paramount Global, Class B | 24,029 | 593,036 | |||||||||
Pinterest, Inc., Class A (a) | 19,585 | 355,664 | |||||||||
Roku, Inc. (a) (b) | 3,195 | 262,437 | |||||||||
Sirius XM Holdings, Inc. (c) | 205,151 | 1,257,576 | |||||||||
Take-Two Interactive Software, Inc. (a) | 5,561 | 681,389 | |||||||||
The Interpublic Group of Cos., Inc. | 26,459 | 728,416 | |||||||||
The Walt Disney Co. (a) | 8,283 | 781,915 | |||||||||
T-Mobile U.S., Inc. (a) | 9,694 | 1,304,231 | |||||||||
Verizon Communications, Inc. | 41,618 | 2,112,113 | |||||||||
Warner Bros. Discovery, Inc. (a) (b) | 14,040 | 188,417 | |||||||||
Warner Music Group Corp., Class A | 23,886 | 581,863 | |||||||||
ZoomInfo Technologies, Inc. (a) | 10,637 | 353,574 | |||||||||
22,448,302 | |||||||||||
Consumer Discretionary (8.1%): | |||||||||||
Advance Auto Parts, Inc. | 6,178 | 1,069,350 | |||||||||
Amazon.com, Inc. (a) | 6,327 | 671,991 | |||||||||
Aptiv PLC (a) | 7,609 | 677,734 | |||||||||
AutoZone, Inc. (a) | 715 | 1,536,621 | |||||||||
Bath & Body Works, Inc. | 14,435 | 388,590 | |||||||||
Best Buy Co., Inc. | 9,362 | 610,309 | |||||||||
Booking Holdings, Inc. (a) | 435 | 760,811 | |||||||||
Burlington Stores, Inc. (a) | 3,661 | 498,738 | |||||||||
CarMax, Inc. (a) | 8,209 | 742,750 | |||||||||
Chewy, Inc., Class A (a) (c) | 10,641 | 369,455 | |||||||||
Chipotle Mexican Grill, Inc. (a) | 652 | 852,333 | |||||||||
D.R. Horton, Inc. | 11,543 | 764,031 | |||||||||
Darden Restaurants, Inc. | 7,180 | 812,202 | |||||||||
Dollar General Corp. | 7,828 | 1,921,304 | |||||||||
Dollar Tree, Inc. (a) | 5,583 | 870,111 | |||||||||
Domino's Pizza, Inc. | 2,377 | 926,341 | |||||||||
Etsy, Inc. (a) (b) | 3,403 | 249,134 | |||||||||
Ford Motor Co. | 41,233 | 458,923 | |||||||||
See notes to financial statements.
62
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Garmin Ltd. | 11,438 | $ | 1,123,783 | ||||||||
General Motors Co. (a) | 18,150 | 576,444 | |||||||||
Genuine Parts Co. | 11,759 | 1,563,947 | |||||||||
Hasbro, Inc. | 11,788 | 965,201 | |||||||||
Hilton Worldwide Holdings, Inc. | 6,898 | 768,713 | |||||||||
Lennar Corp., Class A | 10,538 | 743,667 | |||||||||
LKQ Corp. | 21,557 | 1,058,233 | |||||||||
Lowe's Cos., Inc. | 5,708 | 997,016 | |||||||||
Marriott International, Inc., Class A | 5,914 | 804,363 | |||||||||
McDonald's Corp. | 8,654 | 2,136,499 | |||||||||
MGM Resorts International | 18,275 | 529,061 | |||||||||
NIKE, Inc., Class B | 7,827 | 799,919 | �� | ||||||||
NVR, Inc. (a) | 247 | 989,023 | |||||||||
O'Reilly Automotive, Inc. (a) | 2,300 | 1,453,048 | |||||||||
Pool Corp. | 2,465 | 865,782 | |||||||||
PulteGroup, Inc. | 18,563 | 735,652 | |||||||||
Ross Stores, Inc. | 11,679 | 820,216 | |||||||||
Starbucks Corp. | 15,140 | 1,156,545 | |||||||||
Tapestry, Inc. | 21,506 | 656,363 | |||||||||
Target Corp. (b) | 7,175 | 1,013,325 | |||||||||
Tesla, Inc. (a) | 663 | 446,477 | |||||||||
The Home Depot, Inc. | 4,229 | 1,159,888 | |||||||||
The TJX Cos., Inc. | 18,241 | 1,018,760 | |||||||||
Tractor Supply Co. | 5,992 | 1,161,549 | |||||||||
Ulta Beauty, Inc. (a) | 2,572 | 991,455 | |||||||||
Vail Resorts, Inc. | 4,291 | 935,653 | |||||||||
VF Corp. | 18,662 | 824,301 | |||||||||
Whirlpool Corp. | 5,744 | 889,573 | |||||||||
Williams-Sonoma, Inc. | 5,446 | 604,234 | |||||||||
Yum! Brands, Inc. | 13,274 | 1,506,732 | |||||||||
43,476,150 | |||||||||||
Consumer Staples (9.7%): | |||||||||||
Albertsons Cos., Inc., Class A | 22,479 | 600,639 | |||||||||
Altria Group, Inc. | 29,800 | 1,244,746 | |||||||||
Archer-Daniels-Midland Co. | 18,933 | 1,469,201 | |||||||||
Brown-Forman Corp., Class B | 25,336 | 1,777,574 | |||||||||
Bunge Ltd. | 12,509 | 1,134,441 | |||||||||
Campbell Soup Co. | 36,770 | 1,766,798 | |||||||||
Church & Dwight Co., Inc. | 17,776 | 1,647,124 | |||||||||
Colgate-Palmolive Co. | 25,268 | 2,024,978 | |||||||||
Conagra Brands, Inc. | 45,496 | 1,557,783 | |||||||||
Costco Wholesale Corp. | 2,877 | 1,378,889 | |||||||||
Darling Ingredients, Inc. (a) | 12,207 | 729,979 | |||||||||
General Mills, Inc. | 25,076 | 1,891,984 | |||||||||
Hormel Foods Corp. (c) | 36,734 | 1,739,722 | |||||||||
Kellogg Co. | 26,921 | 1,920,544 | |||||||||
Keurig Dr Pepper, Inc. | 43,937 | 1,554,930 | |||||||||
Kimberly-Clark Corp. | 14,313 | 1,934,402 | |||||||||
McCormick & Co., Inc. | 18,236 | 1,518,147 | |||||||||
Molson Coors Beverage Co., Class B | 22,052 | 1,202,054 | |||||||||
See notes to financial statements.
63
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mondelez International, Inc., Class A | 30,406 | $ | 1,887,909 | ||||||||
Monster Beverage Corp. (a) | 16,627 | 1,541,323 | |||||||||
PepsiCo, Inc. | 13,451 | 2,241,744 | |||||||||
Philip Morris International, Inc. | 15,838 | 1,563,844 | |||||||||
Sysco Corp. | 14,469 | 1,225,669 | |||||||||
The Clorox Co. | 7,224 | 1,018,440 | |||||||||
The Coca-Cola Co. | 32,839 | 2,065,901 | |||||||||
The Estee Lauder Cos., Inc. | 3,905 | 994,486 | |||||||||
The Hershey Co. | 9,950 | 2,140,842 | |||||||||
The J.M. Smucker Co. | 11,958 | 1,530,744 | |||||||||
The Kraft Heinz Co. | 36,931 | 1,408,548 | |||||||||
The Kroger Co. | 20,576 | 973,862 | |||||||||
The Procter & Gamble Co. | 13,371 | 1,922,616 | |||||||||
Tyson Foods, Inc., Class A | 13,401 | 1,153,290 | |||||||||
Walgreens Boots Alliance, Inc. | 26,070 | 988,053 | |||||||||
Walmart, Inc. | 14,555 | 1,769,597 | |||||||||
51,520,803 | |||||||||||
Energy (3.6%): | |||||||||||
APA Corp. | 16,390 | 572,011 | |||||||||
Chevron Corp. | 9,209 | 1,333,279 | |||||||||
ConocoPhillips | 9,957 | 894,238 | |||||||||
Continental Resources, Inc. | 10,964 | 716,497 | |||||||||
Coterra Energy, Inc. | 32,366 | 834,719 | |||||||||
Devon Energy Corp. | 10,810 | 595,739 | |||||||||
Diamondback Energy, Inc. | 4,840 | 586,366 | |||||||||
EOG Resources, Inc. | 7,202 | 795,389 | |||||||||
Exxon Mobil Corp. | 14,211 | 1,217,030 | |||||||||
Halliburton Co. | 22,402 | 702,527 | |||||||||
Hess Corp. | 7,591 | 804,191 | |||||||||
Kinder Morgan, Inc. | 76,108 | 1,275,570 | |||||||||
Marathon Oil Corp. | 29,574 | 664,824 | |||||||||
Marathon Petroleum Corp. | 12,833 | 1,055,001 | |||||||||
Occidental Petroleum Corp. | 13,434 | 790,994 | |||||||||
ONEOK, Inc. | 16,439 | 912,364 | |||||||||
Ovintiv, Inc. | 13,129 | 580,171 | |||||||||
Phillips 66 | 10,436 | 855,648 | |||||||||
Pioneer Natural Resources Co. | 3,916 | 873,581 | |||||||||
Schlumberger NV | 20,526 | 734,010 | |||||||||
The Williams Cos., Inc. | 45,924 | 1,433,288 | |||||||||
Valero Energy Corp. | 10,405 | 1,105,843 | |||||||||
19,333,280 | |||||||||||
Financials (15.4%): | |||||||||||
Aflac, Inc. | 24,314 | 1,345,294 | |||||||||
Ally Financial, Inc. | 19,750 | 661,822 | |||||||||
American Express Co. | 5,367 | 743,974 | |||||||||
American Financial Group, Inc. | 10,158 | 1,410,032 | |||||||||
American International Group, Inc. | 17,347 | 886,952 | |||||||||
Ameriprise Financial, Inc. | 3,967 | 942,877 | |||||||||
Aon PLC, Class A | 4,401 | 1,186,862 | |||||||||
See notes to financial statements.
64
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Apollo Global Management, Inc. | 14,824 | $ | 718,668 | ||||||||
Arch Capital Group Ltd. (a) | 29,748 | 1,353,237 | |||||||||
Ares Management Corp., Class A | 12,854 | 730,878 | |||||||||
Arthur J. Gallagher & Co. | 10,119 | 1,649,802 | |||||||||
Bank of America Corp. | 27,153 | 845,273 | |||||||||
Berkshire Hathaway, Inc., Class B (a) | 6,450 | 1,760,979 | |||||||||
BlackRock, Inc. | 1,852 | 1,127,942 | |||||||||
Blackstone, Inc. | 6,545 | 597,100 | |||||||||
Brown & Brown, Inc. | 21,896 | 1,277,413 | |||||||||
Capital One Financial Corp. | 6,475 | 674,630 | |||||||||
Cboe Global Markets, Inc. | 11,699 | 1,324,210 | |||||||||
Chubb Ltd. | 6,994 | 1,374,881 | |||||||||
Cincinnati Financial Corp. | 9,984 | 1,187,896 | |||||||||
Citigroup, Inc. | 21,578 | 992,372 | |||||||||
Citizens Financial Group, Inc. | 18,949 | 676,290 | |||||||||
CME Group, Inc. | 7,114 | 1,456,236 | |||||||||
CNA Financial Corp. | 30,422 | 1,365,948 | |||||||||
Coinbase Global, Inc., Class A (a) (c) | 2,691 | 126,531 | |||||||||
Comerica, Inc. | 10,027 | 735,781 | |||||||||
Discover Financial Services | 7,691 | 727,415 | |||||||||
East West Bancorp, Inc. | 10,810 | 700,488 | |||||||||
Everest Re Group Ltd. | 4,397 | 1,232,391 | |||||||||
FactSet Research Systems, Inc. | 4,075 | 1,567,123 | |||||||||
Fidelity National Financial, Inc. | 27,624 | 1,020,983 | |||||||||
Fifth Third Bancorp | 21,529 | 723,374 | |||||||||
First Citizens BancShares, Inc., Class A | 1,142 | 746,617 | |||||||||
First Republic Bank | 6,370 | 918,554 | |||||||||
Franklin Resources, Inc. | 30,988 | 722,330 | |||||||||
Huntington Bancshares, Inc. | 64,592 | 777,042 | |||||||||
Interactive Brokers Group, Inc. | 16,942 | 931,979 | |||||||||
Intercontinental Exchange, Inc. | 14,608 | 1,373,736 | |||||||||
JPMorgan Chase & Co. | 9,385 | 1,056,845 | |||||||||
KeyCorp | 42,819 | 737,771 | |||||||||
KKR & Co., Inc. | 15,709 | 727,170 | |||||||||
Lincoln National Corp. | 12,312 | 575,832 | |||||||||
Loews Corp. | 23,766 | 1,408,373 | |||||||||
LPL Financial Holdings, Inc. | 5,355 | 987,890 | |||||||||
M&T Bank Corp. | 5,343 | 851,621 | |||||||||
Markel Corp. (a) | 1,210 | 1,564,832 | |||||||||
MarketAxess Holdings, Inc. | 2,908 | 744,477 | |||||||||
Marsh & McLennan Cos., Inc. | 11,292 | 1,753,083 | |||||||||
MetLife, Inc. | 18,177 | 1,141,334 | |||||||||
Moody's Corp. | 4,264 | 1,159,680 | |||||||||
Morgan Stanley | 12,357 | 939,873 | |||||||||
Morningstar, Inc. | 4,237 | 1,024,634 | |||||||||
MSCI, Inc. | 2,189 | 902,196 | |||||||||
Nasdaq, Inc. | 8,815 | 1,344,640 | |||||||||
Northern Trust Corp. | 9,561 | 922,445 | |||||||||
Principal Financial Group, Inc. | 15,877 | 1,060,425 | |||||||||
Prudential Financial, Inc. | 10,844 | 1,037,554 | |||||||||
See notes to financial statements.
65
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Raymond James Financial, Inc. | 10,610 | $ | 948,640 | ||||||||
Regions Financial Corp. | 39,315 | 737,156 | |||||||||
Rocket Cos., Inc., Class A (c) | 63,180 | 465,005 | |||||||||
S&P Global, Inc. | 3,831 | 1,291,277 | |||||||||
Signature Bank | 2,296 | 411,466 | |||||||||
State Street Corp. | 11,149 | 687,336 | |||||||||
SVB Financial Group (a) | 1,285 | 507,562 | |||||||||
Synchrony Financial | 22,495 | 621,312 | |||||||||
T. Rowe Price Group, Inc. | 7,792 | 885,249 | |||||||||
The Allstate Corp. | 11,698 | 1,482,488 | |||||||||
The Bank of New York Mellon Corp. | 21,096 | 879,914 | |||||||||
The Carlyle Group, Inc. | 19,507 | 617,592 | |||||||||
The Charles Schwab Corp. | 12,489 | 789,055 | |||||||||
The Goldman Sachs Group, Inc. | 3,501 | 1,039,867 | |||||||||
The Hartford Financial Services Group Inc. | 20,062 | 1,312,657 | |||||||||
The PNC Financial Services Group, Inc. | 6,252 | 986,378 | |||||||||
The Progressive Corp. | 15,585 | 1,812,068 | |||||||||
The Travelers Cos., Inc. | 8,540 | 1,444,370 | |||||||||
Tradeweb Markets, Inc., Class A | 16,551 | 1,129,606 | |||||||||
Truist Financial Corp. | 17,443 | 827,321 | |||||||||
U.S. Bancorp | 20,777 | 956,158 | |||||||||
Upstart Holdings, Inc. (a) (c) | 1,936 | 61,216 | |||||||||
W.R. Berkley Corp. | 23,785 | 1,623,564 | |||||||||
Webster Financial Corp. | 14,896 | 627,866 | |||||||||
Wells Fargo & Co. | 18,031 | 706,274 | |||||||||
Zions Bancorp NA | 13,027 | 663,074 | |||||||||
82,051,058 | |||||||||||
Health Care (14.4%): | |||||||||||
Abbott Laboratories | 13,392 | 1,455,041 | |||||||||
AbbVie, Inc. | 11,511 | 1,763,025 | |||||||||
ABIOMED, Inc. (a) | 2,605 | 644,764 | |||||||||
Agilent Technologies, Inc. | 10,425 | 1,238,177 | |||||||||
Align Technology, Inc. (a) | 1,629 | 385,535 | |||||||||
AmerisourceBergen Corp. | 11,329 | 1,602,827 | |||||||||
Amgen, Inc. | 6,614 | 1,609,186 | |||||||||
Avantor, Inc. (a) | 30,956 | 962,732 | |||||||||
Baxter International, Inc. | 19,410 | 1,246,704 | |||||||||
Becton Dickinson & Co. | 6,124 | 1,509,750 | |||||||||
Biogen, Inc. (a) | 4,702 | 958,926 | |||||||||
Bio-Rad Laboratories, Inc., Class A (a) | 1,796 | 889,020 | |||||||||
Bio-Techne Corp. | 2,334 | 809,058 | |||||||||
Boston Scientific Corp. (a) | 29,694 | 1,106,695 | |||||||||
Bristol-Myers Squibb Co. | 25,108 | 1,933,316 | |||||||||
Bruker Corp. | 15,709 | 985,897 | |||||||||
Cardinal Health, Inc. | 21,159 | 1,105,981 | |||||||||
Catalent, Inc. (a) | 10,366 | 1,112,168 | |||||||||
Centene Corp. (a) | 12,823 | 1,084,954 | |||||||||
Charles River Laboratories International, Inc. (a) | 3,511 | 751,249 | |||||||||
Cigna Corp. | 4,896 | 1,290,194 | |||||||||
CVS Health Corp. | 14,190 | 1,314,845 | |||||||||
See notes to financial statements.
66
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Danaher Corp. | 4,751 | $ | 1,204,474 | ||||||||
DaVita, Inc. (a) | 9,939 | 794,722 | |||||||||
DENTSPLY SIRONA, Inc. | 21,577 | 770,946 | |||||||||
Dexcom, Inc. (a) | 7,147 | 532,666 | |||||||||
Edwards Lifesciences Corp. (a) | 10,262 | 975,814 | |||||||||
Elevance Health, Inc. | 2,774 | 1,338,677 | |||||||||
Eli Lilly & Co. | 4,560 | 1,478,489 | |||||||||
Embecta Corp. (a) | 1,226 | 31,042 | |||||||||
Gilead Sciences, Inc. (b) | 31,209 | 1,929,028 | |||||||||
HCA Healthcare, Inc. | 4,271 | 717,784 | |||||||||
Henry Schein, Inc. (a) | 15,247 | 1,170,055 | |||||||||
Hologic, Inc. (a) | 19,415 | 1,345,459 | |||||||||
Horizon Therapeutics PLC (a) | 12,533 | 999,632 | |||||||||
Humana, Inc. | 2,225 | 1,041,456 | |||||||||
IDEXX Laboratories, Inc. (a) | 1,973 | 691,990 | |||||||||
Illumina, Inc. (a) | 2,561 | 472,146 | |||||||||
Incyte Corp. (a) | 16,404 | 1,246,212 | |||||||||
Insulet Corp. (a) | 2,731 | 595,194 | |||||||||
Intuitive Surgical, Inc. (a) | 3,814 | 765,508 | |||||||||
IQVIA Holdings, Inc. (a) | 5,622 | 1,219,918 | |||||||||
Johnson & Johnson (b) | 12,633 | 2,242,484 | |||||||||
Laboratory Corp. of America Holdings | 5,173 | 1,212,344 | |||||||||
McKesson Corp. | 5,698 | 1,858,745 | |||||||||
Medtronic PLC | 14,240 | 1,278,040 | |||||||||
Merck & Co., Inc. | 16,241 | 1,480,692 | |||||||||
Mettler-Toledo International, Inc. (a) | 906 | 1,040,786 | |||||||||
Moderna, Inc. (a) | 2,368 | 338,269 | |||||||||
Molina Healthcare, Inc. (a) | 3,429 | 958,783 | |||||||||
PerkinElmer, Inc. | 6,642 | 944,625 | |||||||||
Pfizer, Inc. | 21,310 | 1,117,283 | |||||||||
Quest Diagnostics, Inc. | 10,878 | 1,446,556 | |||||||||
Regeneron Pharmaceuticals, Inc. (a) | 1,962 | 1,159,797 | |||||||||
Repligen Corp. (a) | 3,520 | 571,648 | |||||||||
ResMed, Inc. | 5,191 | 1,088,189 | |||||||||
STERIS PLC | 5,772 | 1,189,898 | |||||||||
Stryker Corp. | 5,281 | 1,050,549 | |||||||||
Teleflex, Inc. | 2,964 | 728,699 | |||||||||
The Cooper Cos., Inc. | 3,332 | 1,043,316 | |||||||||
Thermo Fisher Scientific, Inc. | 2,613 | 1,419,591 | |||||||||
UnitedHealth Group, Inc. | 3,237 | 1,662,620 | |||||||||
Universal Health Services, Inc., Class B | 7,963 | 801,954 | |||||||||
Veeva Systems, Inc., Class A (a) | 4,418 | 874,941 | |||||||||
Vertex Pharmaceuticals, Inc. (a) | 5,625 | 1,585,069 | |||||||||
Waters Corp. (a) | 4,371 | 1,446,714 | |||||||||
West Pharmaceutical Services, Inc. | 2,827 | 854,800 | |||||||||
Zimmer Biomet Holdings, Inc. | 8,370 | 879,352 | |||||||||
Zoetis, Inc. | 8,050 | 1,383,714 | |||||||||
76,740,714 | |||||||||||
See notes to financial statements.
67
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (15.9%): | |||||||||||
3M Co. | 10,912 | $ | 1,412,122 | ||||||||
A O Smith Corp. | 17,588 | 961,712 | |||||||||
AMERCO, Inc. | 2,180 | 1,042,541 | |||||||||
AMETEK, Inc. | 12,706 | 1,396,262 | |||||||||
Booz Allen Hamilton Holding Corp. | 15,007 | 1,356,033 | |||||||||
Builders FirstSource, Inc. (a) | 11,254 | 604,340 | |||||||||
C.H. Robinson Worldwide, Inc. | 12,999 | 1,317,709 | |||||||||
Carlisle Cos., Inc. | 6,095 | 1,454,328 | |||||||||
Carrier Global Corp. | 26,144 | 932,295 | |||||||||
Caterpillar, Inc. | 6,521 | 1,165,694 | |||||||||
Cintas Corp. | 3,765 | 1,406,341 | |||||||||
Copart, Inc. (a) | 9,843 | 1,069,540 | |||||||||
CoStar Group, Inc. (a) (b) | 14,033 | 847,734 | |||||||||
CSX Corp. | 41,641 | 1,210,088 | |||||||||
Cummins, Inc. | 7,038 | 1,362,064 | |||||||||
Deere & Co. | 3,007 | 900,506 | |||||||||
Delta Air Lines, Inc. (a) | 20,302 | 588,149 | |||||||||
Dover Corp. | 9,572 | 1,161,275 | |||||||||
Eaton Corp. PLC | 8,979 | 1,131,264 | |||||||||
Emerson Electric Co. | 14,197 | 1,129,229 | |||||||||
Equifax, Inc. | 5,039 | 921,028 | |||||||||
Expeditors International of Washington, Inc. | 12,937 | 1,260,840 | |||||||||
Fastenal Co. | 30,335 | 1,514,323 | |||||||||
FedEx Corp. | 5,726 | 1,298,142 | |||||||||
Fortive Corp. | 22,609 | 1,229,477 | |||||||||
Fortune Brands Home & Security, Inc. | 13,473 | 806,763 | |||||||||
Generac Holdings, Inc. (a) | 2,254 | 474,647 | |||||||||
General Dynamics Corp. | 7,821 | 1,730,396 | |||||||||
Graco, Inc. | 21,202 | 1,259,611 | |||||||||
HEICO Corp. | 8,720 | 1,143,366 | |||||||||
Honeywell International, Inc. | 7,858 | 1,365,799 | |||||||||
Howmet Aerospace, Inc. | 27,031 | 850,125 | |||||||||
IDEX Corp. | 7,632 | 1,386,200 | |||||||||
Illinois Tool Works, Inc. | 8,075 | 1,471,669 | |||||||||
Ingersoll Rand, Inc. (b) | 23,838 | 1,003,103 | |||||||||
J.B. Hunt Transport Services, Inc. | 5,891 | 927,656 | |||||||||
Jacobs Engineering Group, Inc. | 10,420 | 1,324,695 | |||||||||
Johnson Controls International PLC | 21,515 | 1,030,138 | |||||||||
L3Harris Technologies, Inc. | 5,158 | 1,246,689 | |||||||||
Leidos Holdings, Inc. | 11,124 | 1,120,298 | |||||||||
Lockheed Martin Corp. | 3,224 | 1,386,191 | |||||||||
Masco Corp. | 25,333 | 1,281,850 | |||||||||
Nordson Corp. | 6,163 | 1,247,638 | |||||||||
Norfolk Southern Corp. | 5,342 | 1,214,183 | |||||||||
Northrop Grumman Corp. | 2,954 | 1,413,696 | |||||||||
Old Dominion Freight Line, Inc. | 3,719 | 953,105 | |||||||||
Otis Worldwide Corp. | 18,758 | 1,325,628 | |||||||||
PACCAR, Inc. | 15,689 | 1,291,832 | |||||||||
Parker-Hannifin Corp. | 4,105 | 1,010,035 | |||||||||
See notes to financial statements.
68
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Quanta Services, Inc. | 7,999 | $ | 1,002,595 | ||||||||
Raytheon Technologies Corp. | 13,886 | 1,334,584 | |||||||||
Regal Rexnord Corp. | 6,431 | 730,047 | |||||||||
Republic Services, Inc. (b) | 14,118 | 1,847,623 | |||||||||
Robert Half International, Inc. | 10,889 | 815,477 | |||||||||
Rockwell Automation, Inc. | 5,107 | 1,017,876 | |||||||||
Rollins, Inc. | 35,421 | 1,236,901 | |||||||||
Roper Technologies, Inc. | 3,676 | 1,450,733 | |||||||||
Snap-on, Inc. | 6,050 | 1,192,032 | |||||||||
Southwest Airlines Co. (a) | 21,793 | 787,163 | |||||||||
Stanley Black & Decker, Inc. | 7,396 | 775,545 | |||||||||
Textron, Inc. | 15,171 | 926,493 | |||||||||
Trane Technologies PLC | 8,398 | 1,090,648 | |||||||||
TransDigm Group, Inc. (a) | 1,647 | 883,896 | |||||||||
TransUnion | 13,169 | 1,053,388 | |||||||||
Trex Co., Inc. (a) | 8,231 | 447,931 | |||||||||
Union Pacific Corp. | 6,654 | 1,419,165 | |||||||||
United Parcel Service, Inc., Class B | 5,358 | 978,049 | |||||||||
United Rentals, Inc. (a) | 2,818 | 684,520 | |||||||||
Verisk Analytics, Inc. | 9,062 | 1,568,542 | |||||||||
W.W. Grainger, Inc. | 3,016 | 1,370,561 | |||||||||
Waste Management, Inc. | 13,797 | 2,110,665 | |||||||||
Watsco, Inc. | 5,165 | 1,233,505 | |||||||||
Westinghouse Air Brake Technologies Corp. | 12,910 | 1,059,653 | |||||||||
Xylem, Inc. | 13,201 | 1,032,054 | |||||||||
84,987,995 | |||||||||||
Information Technology (13.8%): | |||||||||||
Accenture PLC, Class A | 4,164 | 1,156,135 | |||||||||
Adobe, Inc. (a) | 1,969 | 720,772 | |||||||||
Advanced Micro Devices, Inc. (a) | 5,062 | 387,091 | |||||||||
Akamai Technologies, Inc. (a) | 12,956 | 1,183,271 | |||||||||
Amphenol Corp., Class A | 20,297 | 1,306,721 | |||||||||
Analog Devices, Inc. | 7,217 | 1,054,332 | |||||||||
ANSYS, Inc. (a) | 3,302 | 790,136 | |||||||||
Apple, Inc. | 8,000 | 1,093,760 | |||||||||
Applied Materials, Inc. | 5,851 | 532,324 | |||||||||
AppLovin Corp., Class A (a) (c) | 7,995 | 275,348 | |||||||||
Arista Networks, Inc. (a) | 6,759 | 633,589 | |||||||||
Autodesk, Inc. (a) | 3,808 | 654,824 | |||||||||
Automatic Data Processing, Inc. | 7,338 | 1,541,273 | |||||||||
Bentley Systems, Inc., Class B (c) | 22,748 | 757,508 | |||||||||
Block, Inc. (a) (b) | 3,893 | 239,264 | |||||||||
Broadcom, Inc. | 1,965 | 954,617 | |||||||||
Broadridge Financial Solutions, Inc. | 9,671 | 1,378,601 | |||||||||
Cadence Design Systems, Inc. (a) | 6,234 | 935,287 | |||||||||
CDW Corp. | 7,156 | 1,127,499 | |||||||||
Cisco Systems, Inc. | 27,262 | 1,162,452 | |||||||||
Cognex Corp. | 13,621 | 579,165 | |||||||||
Cognizant Technology Solutions Corp., Class A | 16,747 | 1,130,255 | |||||||||
Corning, Inc. | 29,185 | 919,619 | |||||||||
See notes to financial statements.
69
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Dell Technologies, Inc., Class C | 23,418 | $ | 1,082,146 | ||||||||
Dynatrace, Inc. (a) | 15,469 | 610,097 | |||||||||
Enphase Energy, Inc. (a) | 2,842 | 554,872 | |||||||||
Entegris, Inc. | 6,374 | 587,237 | |||||||||
EPAM Systems, Inc. (a) | 2,150 | 633,777 | |||||||||
F5, Inc. (a) | 5,592 | 855,800 | |||||||||
Fair Isaac Corp. (a) | 1,934 | 775,341 | |||||||||
Fidelity National Information Services, Inc. | 10,311 | 945,209 | |||||||||
Fiserv, Inc. (a) | 11,394 | 1,013,724 | |||||||||
FleetCor Technologies, Inc. (a) | 4,728 | 993,400 | |||||||||
Fortinet, Inc. (a) | 10,417 | 589,394 | |||||||||
Gartner, Inc. (a) | 3,555 | 859,706 | |||||||||
Global Payments, Inc. | 6,685 | 739,628 | |||||||||
GoDaddy, Inc., Class A (a) | 10,208 | 710,068 | |||||||||
Hewlett Packard Enterprise Co. | 70,429 | 933,889 | |||||||||
HP, Inc. | 30,264 | 992,054 | |||||||||
Intel Corp. | 23,573 | 881,866 | |||||||||
International Business Machines Corp. | 11,769 | 1,661,665 | |||||||||
Intuit, Inc. | 2,019 | 778,203 | |||||||||
Jack Henry & Associates, Inc. | 8,012 | 1,442,320 | |||||||||
Juniper Networks, Inc. | 37,101 | 1,057,378 | |||||||||
Keysight Technologies, Inc. (a) | 8,168 | 1,125,959 | |||||||||
KLA Corp. | 2,253 | 718,887 | |||||||||
Lam Research Corp. | 1,482 | 631,554 | |||||||||
Mastercard, Inc., Class A | 2,837 | 895,017 | |||||||||
Microchip Technology, Inc. | 12,538 | 728,207 | |||||||||
Micron Technology, Inc. | 9,552 | 528,035 | |||||||||
Microsoft Corp. (b) | 4,581 | 1,176,538 | |||||||||
Monolithic Power Systems, Inc. | 1,742 | 668,998 | |||||||||
Motorola Solutions, Inc. | 6,204 | 1,300,358 | |||||||||
NetApp, Inc. | 15,343 | 1,000,977 | |||||||||
NortonLifeLock, Inc. | 39,376 | 864,697 | |||||||||
NVIDIA Corp. | 2,588 | 392,315 | |||||||||
NXP Semiconductors NV | 4,440 | 657,253 | |||||||||
ON Semiconductor Corp. (a) | 10,073 | 506,773 | |||||||||
Oracle Corp. | 13,435 | 938,703 | |||||||||
Paychex, Inc. | 13,028 | 1,483,498 | |||||||||
Paycom Software, Inc. (a) | 2,356 | 659,963 | |||||||||
Paylocity Holding Corp. (a) | 3,519 | 613,784 | |||||||||
PayPal Holdings, Inc. (a) | 6,093 | 425,535 | |||||||||
PTC, Inc. (a) | 8,801 | 935,898 | |||||||||
Qorvo, Inc. (a) | 6,436 | 607,044 | |||||||||
QUALCOMM, Inc. | 5,017 | 640,872 | |||||||||
Salesforce, Inc. (a) | 4,406 | 727,166 | |||||||||
ServiceNow, Inc. (a) (b) | 1,383 | 657,644 | |||||||||
Skyworks Solutions, Inc. | 7,432 | 688,500 | |||||||||
SS&C Technologies Holdings, Inc. | 20,842 | 1,210,295 | |||||||||
Synopsys, Inc. (a) | 3,053 | 927,196 | |||||||||
TE Connectivity Ltd. | 8,767 | 991,986 | |||||||||
Teledyne Technologies, Inc. (a) | 3,423 | 1,284,002 | |||||||||
See notes to financial statements.
70
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Teradyne, Inc. | 5,813 | $ | 520,554 | ||||||||
Texas Instruments, Inc. | 7,455 | 1,145,461 | |||||||||
The Trade Desk, Inc., Class A (a) | 4,980 | 208,612 | |||||||||
Trimble, Inc. (a) | 16,046 | 934,359 | |||||||||
Tyler Technologies, Inc. (a) | 2,439 | 810,919 | |||||||||
Ubiquiti, Inc. (c) | 3,153 | 782,606 | |||||||||
VeriSign, Inc. (a) | 6,853 | 1,146,712 | |||||||||
Visa, Inc., Class A | 5,334 | 1,050,211 | |||||||||
VMware, Inc., Class A | 9,211 | 1,049,870 | |||||||||
Western Digital Corp. (a) | 15,967 | 715,801 | |||||||||
Workday, Inc., Class A (a) | 4,421 | 617,083 | |||||||||
Zebra Technologies Corp. (a) | 2,526 | 742,518 | |||||||||
Zoom Video Communications, Inc., Class A (a) | 4,746 | 512,426 | |||||||||
73,436,403 | |||||||||||
Materials (5.7%): | |||||||||||
Air Products and Chemicals, Inc. | 6,555 | 1,576,346 | |||||||||
Albemarle Corp. | 3,492 | 729,758 | |||||||||
Alcoa Corp. | 7,070 | 322,251 | |||||||||
Avery Dennison Corp. | 7,572 | 1,225,680 | |||||||||
Ball Corp. | 14,381 | 988,981 | |||||||||
Celanese Corp. | 8,437 | 992,276 | |||||||||
CF Industries Holdings, Inc. | 9,553 | 818,979 | |||||||||
Cleveland-Cliffs, Inc. (a) | 24,777 | 380,823 | |||||||||
Corteva, Inc. | 23,515 | 1,273,102 | |||||||||
Dow, Inc. | 20,776 | 1,072,249 | |||||||||
DuPont de Nemours, Inc. | 14,830 | 824,251 | |||||||||
Eastman Chemical Co. | 9,492 | 852,097 | |||||||||
Ecolab, Inc. | 8,094 | 1,244,533 | |||||||||
FMC Corp. | 9,165 | 980,747 | |||||||||
Freeport-McMoRan, Inc. | 14,843 | 434,306 | |||||||||
International Flavors & Fragrances, Inc. | 10,029 | 1,194,654 | |||||||||
International Paper Co. | 32,410 | 1,355,710 | |||||||||
LyondellBasell Industries NV, Class A | 12,026 | 1,051,794 | |||||||||
Martin Marietta Materials, Inc. | 3,133 | 937,519 | |||||||||
Newmont Corp. | 16,687 | 995,713 | |||||||||
Nucor Corp. | 5,394 | 563,188 | |||||||||
Packaging Corp. of America | 9,395 | 1,291,813 | |||||||||
PPG Industries, Inc. | 10,459 | 1,195,882 | |||||||||
Reliance Steel & Aluminum Co. | 5,761 | 978,563 | |||||||||
RPM International, Inc. | 18,332 | 1,443,095 | |||||||||
Steel Dynamics, Inc. | 10,776 | 712,832 | |||||||||
The Mosaic Co. | 14,486 | 684,174 | |||||||||
The Sherwin-Williams Co. | 6,092 | 1,364,060 | |||||||||
Vulcan Materials Co. | 6,713 | 953,917 | |||||||||
Westlake Corp. | 8,556 | 838,659 | |||||||||
Westrock Co. | 23,908 | 952,495 | |||||||||
30,230,447 | |||||||||||
See notes to financial statements.
71
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Real Estate (0.3%): | |||||||||||
CBRE Group, Inc., Class A (a) | 11,560 | $ | 850,931 | ||||||||
Jones Lang LaSalle, Inc. (a) | 3,944 | 689,648 | |||||||||
1,540,579 | |||||||||||
Utilities (8.5%): | |||||||||||
Alliant Energy Corp. | 29,443 | 1,725,654 | |||||||||
Ameren Corp. | 21,381 | 1,931,987 | |||||||||
American Electric Power Co., Inc. (b) | 21,663 | 2,078,348 | |||||||||
American Water Works Co., Inc. | 10,225 | 1,521,173 | |||||||||
Atmos Energy Corp. | 15,187 | 1,702,463 | |||||||||
CenterPoint Energy, Inc. | 60,875 | 1,800,683 | |||||||||
CMS Energy Corp. | 28,930 | 1,952,775 | |||||||||
Consolidated Edison, Inc. (b) | 20,178 | 1,918,928 | |||||||||
Dominion Energy, Inc. | 21,514 | 1,717,032 | |||||||||
DTE Energy Co. | 16,141 | 2,045,872 | |||||||||
Duke Energy Corp. (b) | 19,164 | 2,054,573 | |||||||||
Edison International | 25,473 | 1,610,913 | |||||||||
Entergy Corp. | 14,251 | 1,605,233 | |||||||||
Essential Utilities, Inc. | 33,252 | 1,524,604 | |||||||||
Evergy, Inc. (b) | 29,724 | 1,939,491 | |||||||||
Eversource Energy (b) | 19,902 | 1,681,122 | |||||||||
Exelon Corp. | 43,975 | 1,992,947 | |||||||||
FirstEnergy Corp. | 41,631 | 1,598,214 | |||||||||
NextEra Energy, Inc. (b) | 16,883 | 1,307,757 | |||||||||
NiSource, Inc. | 63,339 | 1,867,867 | |||||||||
PPL Corp. | 69,695 | 1,890,825 | |||||||||
Sempra Energy | 11,312 | 1,699,854 | |||||||||
The Southern Co. (b) | 30,356 | 2,164,686 | |||||||||
WEC Energy Group, Inc. (b) | 19,033 | 1,915,481 | |||||||||
Xcel Energy, Inc. (b) | 25,990 | 1,839,053 | |||||||||
45,087,535 | |||||||||||
Total Common Stocks (Cost $485,338,953) | 530,853,266 | ||||||||||
Collateral for Securities Loaned (0.6%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) | 104,778 | 104,778 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (d) | 52,289 | 52,289 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) | 652,152 | 652,152 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) | 416,938 | 416,938 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (d) | 278,050 | 278,050 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (d) | 1,874,634 | 1,874,634 | |||||||||
Total Collateral for Securities Loaned (Cost $3,378,841) | 3,378,841 | ||||||||||
Total Investments (Cost $488,717,794) — 100.2% | 534,232,107 | ||||||||||
Liabilities in excess of other assets — (0.2)% | (829,541 | ) | |||||||||
NET ASSETS — 100.00% | $ | 533,402,566 | |||||||||
See notes to financial statements.
72
| Victory Portfolios II VictoryShares US 500 Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 12 | 9/16/22 | $ | 2,362,022 | $ | 2,273,700 | $ | (88,322 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (88,322 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (88,322 | ) | ||||||||||||||||||||
See notes to financial statements.
73
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.6%) | |||||||||||
Communication Services (2.9%): | |||||||||||
Advantage Solutions, Inc. (a) | 6,101 | $ | 23,184 | ||||||||
AMC Networks, Inc., Class A (a) | 836 | 24,344 | |||||||||
Boston Omaha Corp., Class A (a) | 1,541 | 31,822 | |||||||||
Cars.com, Inc. (a) | 2,309 | 21,774 | |||||||||
EchoStar Corp., Class A (a) | 1,905 | 36,766 | |||||||||
Gray Television, Inc. | 2,110 | 35,638 | |||||||||
IDT Corp., Class B (a) | 822 | 20,673 | |||||||||
John Wiley & Sons, Inc., Class A | 1,316 | 62,852 | |||||||||
PubMatic, Inc., Class A (a) | 808 | 12,839 | |||||||||
Scholastic Corp. | 1,660 | 59,710 | |||||||||
Sciplay Corp., Class A (a) | 2,946 | 41,156 | |||||||||
Shenandoah Telecommunications Co. | 1,363 | 30,258 | |||||||||
Telephone & Data Systems, Inc. | 2,847 | 44,954 | |||||||||
The EW Scripps Co., Class A (a) | 2,325 | 28,993 | |||||||||
Thryv Holdings, Inc. (a) | 1,174 | 26,286 | |||||||||
United States Cellular Corp. (a) | 2,174 | 62,959 | |||||||||
WideOpenWest, Inc. (a) | 2,771 | 50,460 | |||||||||
Yelp, Inc. (a) | 1,506 | 41,822 | |||||||||
656,490 | |||||||||||
Consumer Discretionary (12.4%): | |||||||||||
1-800-Flowers.com, Inc., Class A (a) | 2,049 | 19,486 | |||||||||
Abercrombie & Fitch Co. (a) | 924 | 15,634 | |||||||||
Academy Sports & Outdoors, Inc. | 1,249 | 44,389 | |||||||||
Accel Entertainment, Inc. (a) | 3,873 | 41,131 | |||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 3,886 | 29,262 | |||||||||
Arko Corp. | 5,504 | 44,913 | |||||||||
Big Lots, Inc. | 1,164 | 24,409 | |||||||||
Bloomin' Brands, Inc. | 1,686 | 28,021 | |||||||||
Boot Barn Holdings, Inc. (a) | 447 | 30,803 | |||||||||
Brinker International, Inc. (a) | 940 | 20,708 | |||||||||
Caleres, Inc. | 1,736 | 45,553 | |||||||||
Camping World Holdings, Inc., Class A (b) | 1,419 | 30,636 | |||||||||
Carriage Services, Inc. | 1,142 | 45,280 | |||||||||
Cavco Industries, Inc. (a) | 189 | 37,042 | |||||||||
Century Communities, Inc. | 692 | 31,119 | |||||||||
Chuy's Holdings, Inc. (a) | 1,222 | 24,342 | |||||||||
Clarus Corp. | 2,251 | 42,746 | |||||||||
Dana, Inc. | 2,188 | 30,785 | |||||||||
Dave & Buster's Entertainment, Inc. (a) | 775 | 25,405 | |||||||||
Denny's Corp. (a) | 3,053 | 26,500 | |||||||||
Dine Brands Global, Inc. | 511 | 33,256 | |||||||||
Dorman Products, Inc. (a) | 727 | 79,759 | |||||||||
Dream Finders Homes, Inc., Class A (a) (b) | 1,918 | 20,408 | |||||||||
Ethan Allen Interiors, Inc. | 1,894 | 38,278 | |||||||||
Everi Holdings, Inc. (a) | 1,642 | 26,781 | |||||||||
Fossil Group, Inc. (a) | 2,287 | 11,824 | |||||||||
Franchise Group, Inc. | 1,052 | 36,894 | |||||||||
See notes to financial statements.
74
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Frontdoor, Inc. (a) | 1,763 | $ | 42,453 | ||||||||
Funko, Inc., Class A (a) | 2,298 | 51,291 | |||||||||
Genesco, Inc. (a) | 576 | 28,748 | |||||||||
Gentherm, Inc. (a) | 529 | 33,015 | |||||||||
G-III Apparel Group Ltd. (a) | 1,725 | 34,897 | |||||||||
Golden Entertainment, Inc. (a) | 686 | 27,131 | |||||||||
GoPro, Inc., Class A (a) | 5,545 | 30,664 | |||||||||
Graham Holdings Co., Class B | 120 | 68,021 | |||||||||
Green Brick Partners, Inc. (a) | 1,767 | 34,580 | |||||||||
Groupon, Inc. (a) (b) | 1,200 | 13,560 | |||||||||
Guess?, Inc. (b) | 1,752 | 29,872 | |||||||||
iRobot Corp. (a) | 641 | 23,557 | |||||||||
Jack in the Box, Inc. | 737 | 41,316 | |||||||||
Johnson Outdoors, Inc., Class A | 815 | 49,845 | |||||||||
Kontoor Brands, Inc. | 917 | 30,600 | |||||||||
La-Z-Boy, Inc. | 1,542 | 36,561 | |||||||||
M/I Homes, Inc. (a) | 978 | 38,787 | |||||||||
Malibu Boats, Inc., Class A (a) | 693 | 36,528 | |||||||||
MarineMax, Inc. (a) | 950 | 34,314 | |||||||||
Monarch Casino & Resort, Inc. (a) | 628 | 36,845 | |||||||||
Monro, Inc. | 1,071 | 45,924 | |||||||||
Movado Group, Inc. | 1,075 | 33,250 | |||||||||
National Vision Holdings, Inc. (a) | 1,321 | 36,328 | |||||||||
Ollie's Bargain Outlet Holdings, Inc. (a) | 885 | 51,994 | |||||||||
OneWater Marine, Inc. (a) | 809 | 26,737 | |||||||||
Overstock.com, Inc. (a) (b) | 444 | 11,104 | |||||||||
Oxford Industries, Inc. | 590 | 52,357 | |||||||||
Patrick Industries, Inc. | 680 | 35,251 | |||||||||
Perdoceo Education Corp. (a) | 6,152 | 72,471 | |||||||||
Qurate Retail, Inc., Class A | 5,662 | 16,250 | |||||||||
Rent-A-Center, Inc. | 1,263 | 24,565 | |||||||||
Ruth's Hospitality Group, Inc. | 1,796 | 29,203 | |||||||||
Sally Beauty Holdings, Inc. (a) | 2,169 | 25,854 | |||||||||
Shoe Carnival, Inc. | 1,329 | 28,720 | |||||||||
Sleep Number Corp. (a) | 584 | 18,075 | |||||||||
Smith & Wesson Brands, Inc. | 1,687 | 22,150 | |||||||||
Sonic Automotive, Inc., Class A | 842 | 30,842 | |||||||||
Standard Motor Products, Inc. | 1,721 | 77,428 | |||||||||
Strategic Education, Inc. | 725 | 51,171 | |||||||||
Stride, Inc. (a) | 1,087 | 44,339 | |||||||||
Sturm Ruger & Co., Inc. (c) | 873 | 55,566 | |||||||||
The Aaron's Co., Inc. | 1,785 | 25,972 | |||||||||
The Buckle, Inc. | 1,037 | 28,715 | |||||||||
The Cheesecake Factory, Inc. | 986 | 26,050 | |||||||||
The Children's Place, Inc. (a) | 497 | 19,343 | |||||||||
Tri Pointe Homes, Inc. (a) | 2,293 | 38,683 | |||||||||
Tupperware Brands Corp. (a) | 1,735 | 11,000 | |||||||||
Urban Outfitters, Inc. (a) | 1,544 | 28,811 | |||||||||
Vista Outdoor, Inc. (a) | 1,241 | 34,624 | |||||||||
Winmark Corp. | 258 | 50,457 | |||||||||
See notes to financial statements.
75
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Winnebago Industries, Inc. | 729 | $ | 35,400 | ||||||||
Wolverine World Wide, Inc. | 2,192 | 44,191 | |||||||||
WW International, Inc. (a) | 3,238 | 20,691 | |||||||||
XPEL, Inc. (a) | 475 | 21,817 | |||||||||
Zumiez, Inc. (a) | 845 | 21,970 | |||||||||
2,805,252 | |||||||||||
Consumer Staples (7.6%): | |||||||||||
B&G Foods, Inc. (b) | 2,490 | 59,212 | |||||||||
BellRing Brands, Inc. (a) | 1,644 | 40,919 | |||||||||
Central Garden & Pet Co., Class A (a) | 1,527 | 61,095 | |||||||||
e.l.f. Beauty, Inc. (a) | 2,248 | 68,969 | |||||||||
Edgewell Personal Care Co. | 1,438 | 49,640 | |||||||||
Energizer Holdings, Inc. | 2,307 | 65,403 | |||||||||
Fresh Del Monte Produce, Inc. | 2,250 | 66,443 | |||||||||
Grocery Outlet Holding Corp. (a) | 1,799 | 76,691 | |||||||||
Hostess Brands, Inc. (a) | 3,794 | 80,471 | |||||||||
Ingles Markets, Inc., Class A | 758 | 65,756 | |||||||||
Inter Parfums, Inc. | 639 | 46,685 | |||||||||
John B Sanfilippo & Son, Inc. | 1,223 | 88,655 | |||||||||
Medifast, Inc. | 251 | 45,308 | |||||||||
MGP Ingredients, Inc. | 573 | 57,352 | |||||||||
Mission Produce, Inc. (a) | 4,303 | 61,318 | |||||||||
Nu Skin Enterprises, Inc., Class A | 1,166 | 50,488 | |||||||||
PriceSmart, Inc. | 953 | 68,263 | |||||||||
SpartanNash Co. | 2,663 | 80,343 | |||||||||
The Andersons, Inc. | 1,281 | 42,260 | |||||||||
The Duckhorn Portfolio, Inc. (a) | 2,392 | 50,376 | |||||||||
Tootsie Roll Industries, Inc. | 2,052 | 72,538 | |||||||||
United Natural Foods, Inc. (a) | 897 | 35,342 | |||||||||
Universal Corp. | 1,557 | 94,199 | |||||||||
USANA Health Sciences, Inc. (a) | 859 | 62,157 | |||||||||
Utz Brands, Inc. | 3,222 | 44,528 | |||||||||
Vector Group Ltd. | 4,592 | 48,216 | |||||||||
WD-40 Co. | 285 | 57,388 | |||||||||
Weis Markets, Inc. (c) | 1,134 | 84,528 | |||||||||
1,724,543 | |||||||||||
Energy (2.6%): | |||||||||||
Arch Resources, Inc. | 328 | 46,934 | |||||||||
Archrock, Inc. | 5,891 | 48,719 | |||||||||
Brigham Minerals, Inc. | 2,192 | 53,989 | |||||||||
Centennial Resource Development, Inc., Class A (a) | 3,123 | 18,676 | |||||||||
CONSOL Energy, Inc. (a) | 851 | 42,022 | |||||||||
Core Laboratories NV | 1,348 | 26,704 | |||||||||
CVR Energy, Inc. | 1,771 | 59,328 | |||||||||
Gulfport Energy Corp. (a) | 726 | 57,724 | |||||||||
Laredo Petroleum, Inc. (a) | 276 | 19,027 | |||||||||
Noble Corp. (a) | 1,684 | 42,689 | |||||||||
Oasis Petroleum, Inc. | 306 | 37,225 | |||||||||
PBF Energy, Inc., Class A (a) | 1,483 | 43,037 | |||||||||
See notes to financial statements.
76
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Peabody Energy Corp. (a) (c) | 1,024 | $ | 21,842 | ||||||||
RPC, Inc. (a) | 3,372 | 23,300 | |||||||||
World Fuel Services Corp. (c) | 1,728 | 35,355 | |||||||||
576,571 | |||||||||||
Financials (24.9%): | |||||||||||
1st Source Corp. | 1,423 | 64,604 | |||||||||
A-Mark Precious Metals, Inc. | 1,204 | 38,829 | |||||||||
Amerant Bancorp, Inc. | 1,679 | 47,214 | |||||||||
AMERISAFE, Inc. | 1,310 | 68,133 | |||||||||
AssetMark Financial Holdings, Inc. (a) | 3,248 | 60,965 | |||||||||
Atlanticus Holdings Corp. (a) | 585 | 20,574 | |||||||||
B Riley Financial, Inc. | 704 | 29,744 | |||||||||
Banc of California, Inc. | 2,875 | 50,658 | |||||||||
BancFirst Corp. | 995 | 95,231 | |||||||||
Banner Corp. | 1,000 | 56,210 | |||||||||
Berkshire Hills Bancorp, Inc. | 2,045 | 50,655 | |||||||||
BGC Partners, Inc., Class A | 11,576 | 39,011 | |||||||||
Blucora, Inc. (a) | 3,193 | 58,943 | |||||||||
Brightsphere Investment Group, Inc. | 2,588 | 46,610 | |||||||||
Brookline Bancorp, Inc. | 4,235 | 56,368 | |||||||||
Byline Bancorp, Inc. | 2,305 | 54,859 | |||||||||
Capitol Federal Financial, Inc. | 8,054 | 73,936 | |||||||||
City Holding Co. | 1,004 | 80,200 | |||||||||
CNO Financial Group, Inc. | 2,768 | 50,073 | |||||||||
Columbia Banking System, Inc. | 1,433 | 41,055 | |||||||||
Columbia Financial, Inc. (a) (c) | 3,978 | 86,760 | |||||||||
ConnectOne Bancorp, Inc. | 2,032 | 49,682 | |||||||||
Customers Bancorp, Inc. (a) | 604 | 20,476 | |||||||||
Dime Community Bancshares, Inc. | 2,114 | 62,680 | |||||||||
Donnelley Financial Solutions, Inc. (a) | 1,283 | 37,579 | |||||||||
Eagle Bancorp, Inc. | 1,125 | 53,336 | |||||||||
Employers Holdings, Inc. | 2,041 | 85,498 | |||||||||
Encore Capital Group, Inc. (a) | 1,063 | 61,410 | |||||||||
Enova International, Inc. (a) | 1,084 | 31,241 | |||||||||
Enterprise Financial Services Corp. | 1,464 | 60,756 | |||||||||
FB Financial Corp. | 1,430 | 56,085 | |||||||||
Federal Agricultural Mortgage Corp., Class C | 568 | 55,465 | |||||||||
First BanCorp/Puerto Rico | 3,930 | 50,736 | |||||||||
First Bancorp/Southern Pines NC | 1,356 | 47,324 | |||||||||
First Busey Corp. | 2,406 | 54,977 | |||||||||
First Commonwealth Financial Corp. | 4,067 | 54,579 | |||||||||
First Financial Bancorp | 2,541 | 49,295 | |||||||||
First Foundation, Inc. | 2,326 | 47,636 | |||||||||
First Merchants Corp. | 1,481 | 52,753 | |||||||||
FirstCash Holdings, Inc. | 883 | 61,377 | |||||||||
Fulton Financial Corp. | 3,601 | 52,034 | |||||||||
GCM Grosvenor, Inc., Class A | 7,224 | 49,484 | |||||||||
Genworth Financial, Inc. (a) | 11,667 | 41,185 | |||||||||
German American Bancorp, Inc. | 1,574 | 53,799 | |||||||||
Green Dot Corp., Class A (a) | 1,755 | 44,068 | |||||||||
See notes to financial statements.
77
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Heartland Financial USA, Inc. | 1,338 | $ | 55,581 | ||||||||
Heritage Financial Corp. | 2,476 | 62,296 | |||||||||
Hilltop Holdings, Inc. | 2,078 | 55,400 | |||||||||
HomeStreet, Inc. | 1,296 | 44,932 | |||||||||
Hope Bancorp, Inc. | 3,460 | 47,886 | |||||||||
Horace Mann Educators Corp. | 1,819 | 69,813 | |||||||||
Horizon Bancorp, Inc. | 3,330 | 58,009 | |||||||||
International Bancshares Corp. | 1,431 | 57,355 | |||||||||
Kearny Financial Corp. | 6,005 | 66,716 | |||||||||
Lakeland Bancorp, Inc. | 3,876 | 56,667 | |||||||||
Lakeland Financial Corp. | 813 | 53,999 | |||||||||
LendingClub Corp. (a) | 997 | 11,655 | |||||||||
LendingTree, Inc. (a) | 284 | 12,445 | |||||||||
Live Oak Bancshares, Inc. | 592 | 20,063 | |||||||||
Merchants Bancorp | 2,050 | 46,474 | |||||||||
Meta Financial Group, Inc. | 993 | 38,399 | |||||||||
Metropolitan Bank Holding Corp. (a) | 480 | 33,322 | |||||||||
National Bank Holdings Corp., Class A | 1,520 | 58,170 | |||||||||
Navient Corp. | 2,677 | 37,451 | |||||||||
NBT Bancorp, Inc. | 1,889 | 71,008 | |||||||||
Nicolet Bankshares, Inc. (a) | 800 | 57,872 | |||||||||
NMI Holdings, Inc., Class A (a) | 2,255 | 37,546 | |||||||||
Northwest Bancshares, Inc. (c) | 6,142 | 78,618 | |||||||||
OceanFirst Financial Corp. | 2,982 | 57,046 | |||||||||
OFG Bancorp | 1,875 | 47,625 | |||||||||
Open Lending Corp., Class A (a) | 1,430 | 14,629 | |||||||||
Origin Bancorp, Inc. | 1,528 | 59,286 | |||||||||
Palomar Holdings, Inc. (a) | 680 | 43,792 | |||||||||
Park National Corp. | 494 | 59,898 | |||||||||
Peoples Bancorp, Inc. | 2,451 | 65,197 | |||||||||
Piper Sandler Cos. | 369 | 41,830 | |||||||||
PJT Partners, Inc., Class A | 1,018 | 71,545 | |||||||||
PRA Group, Inc. (a) | 1,691 | 61,485 | |||||||||
Preferred Bank | 885 | 60,198 | |||||||||
Premier Financial Corp. | 1,986 | 50,345 | |||||||||
ProAssurance Corp. | 2,589 | 61,178 | |||||||||
PROG Holdings, Inc. (a) | 1,394 | 23,001 | |||||||||
Provident Financial Services, Inc. | 3,199 | 71,210 | |||||||||
Renasant Corp. | 1,728 | 49,784 | |||||||||
S&T Bancorp, Inc. | 2,038 | 55,902 | |||||||||
Safety Insurance Group, Inc. (c) | 1,137 | 110,403 | |||||||||
Sandy Spring Bancorp, Inc. | 1,306 | 51,025 | |||||||||
Seacoast Banking Corp. of Florida | 1,579 | 52,170 | |||||||||
SiriusPoint Ltd. (a) | 9,686 | 52,498 | |||||||||
Southside Bancshares, Inc. (c) | 1,679 | 62,828 | |||||||||
Stewart Information Services Corp. | 1,059 | 52,685 | |||||||||
Stock Yards Bancorp, Inc. | 1,261 | 75,433 | |||||||||
StoneX Group, Inc. (a) | 731 | 57,069 | |||||||||
The Bancorp, Inc. (a) | 1,362 | 26,586 | |||||||||
Tompkins Financial Corp. (b) | 864 | 62,294 | |||||||||
See notes to financial statements.
78
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Towne Bank | 2,268 | $ | 61,576 | ||||||||
TriCo Bancshares | 1,583 | 72,248 | |||||||||
Triumph Bancorp, Inc. (a) | 431 | 26,963 | |||||||||
Trustmark Corp. | 1,964 | 57,329 | |||||||||
Veritex Holdings, Inc. | 1,413 | 41,344 | |||||||||
Victory Capital Holdings, Inc., Class A (d) | 1,478 | 35,620 | |||||||||
Virtus Investment Partners, Inc. | 216 | 36,940 | |||||||||
Washington Federal, Inc. | 1,993 | 59,830 | |||||||||
Washington Trust Bancorp, Inc. | 1,286 | 62,204 | |||||||||
WesBanco, Inc. | 1,625 | 51,529 | |||||||||
Westamerica Bancorp | 1,363 | 75,865 | |||||||||
World Acceptance Corp. (a) | 154 | 17,285 | |||||||||
5,631,439 | |||||||||||
Health Care (10.1%): | |||||||||||
AdaptHealth Corp. (a) | 2,207 | 39,814 | |||||||||
Addus HomeCare Corp. (a) | 509 | 42,390 | |||||||||
Agiliti, Inc. (a) | 2,042 | 41,881 | |||||||||
Allscripts Healthcare Solutions, Inc. (a) | 2,930 | 43,452 | |||||||||
Amneal Pharmaceuticals, Inc. (a) | 9,146 | 29,084 | |||||||||
Amphastar Pharmaceuticals, Inc. (a) | 2,033 | 70,728 | |||||||||
AnaptysBio, Inc. (a) | 1,281 | 26,004 | |||||||||
Apollo Medical Holdings, Inc. (a) (b) | 431 | 16,632 | |||||||||
Arcus Biosciences, Inc. (a) | 768 | 19,461 | |||||||||
Atrion Corp. | 79 | 49,680 | |||||||||
Avanos Medical, Inc. (a) | 1,380 | 37,729 | |||||||||
Aveanna Healthcare Holdings, Inc. (a) | 7,647 | 17,282 | |||||||||
Avid Bioservices, Inc. (a) | 1,544 | 23,561 | |||||||||
Bioventus, Inc., Class A (a) | 3,230 | 22,029 | |||||||||
Catalyst Pharmaceuticals, Inc. (a) | 4,906 | 34,391 | |||||||||
Collegium Pharmaceutical, Inc. (a) | 2,083 | 36,911 | |||||||||
Community Health Systems, Inc. (a) | 2,858 | 10,718 | |||||||||
Corcept Therapeutics, Inc. (a) | 1,676 | 39,855 | |||||||||
CorVel Corp. (a) | 350 | 51,545 | |||||||||
Cross Country Healthcare, Inc. (a) | 1,259 | 26,225 | |||||||||
Cutera, Inc. (a) | 1,157 | 43,388 | |||||||||
Dynavax Technologies Corp. (a) | 1,975 | 24,865 | |||||||||
Emergent BioSolutions, Inc. (a) | 706 | 21,914 | |||||||||
Fulgent Genetics, Inc. (a) | 468 | 25,520 | |||||||||
Haemonetics Corp. (a) | 677 | 44,127 | |||||||||
Hanger, Inc. (a) | 2,799 | 40,082 | |||||||||
Harmony Biosciences Holdings, Inc. (a) | 943 | 45,990 | |||||||||
Innovage Holding Corp. (a) (b) | 4,332 | 18,974 | |||||||||
Innoviva, Inc. (a) | 2,793 | 41,225 | |||||||||
Integer Holdings Corp. (a) | 757 | 53,490 | |||||||||
Ironwood Pharmaceuticals, Inc. (a) | 5,804 | 66,920 | |||||||||
iTeos Therapeutics, Inc. (a) | 772 | 15,903 | |||||||||
LeMaitre Vascular, Inc. | 1,178 | 53,658 | |||||||||
Ligand Pharmaceuticals, Inc. (a) | 356 | 31,762 | |||||||||
MEDNAX, Inc. (a) | 2,332 | 48,995 | |||||||||
Meridian Bioscience, Inc. (a) | 1,512 | 45,995 | |||||||||
See notes to financial statements.
79
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mesa Laboratories, Inc. | 273 | $ | 55,676 | ||||||||
Multiplan Corp. (a) (b) | 6,761 | 37,118 | |||||||||
National HealthCare Corp. (c) | 1,096 | 76,610 | |||||||||
National Research Corp. | 1,472 | 56,348 | |||||||||
Natus Medical, Inc. (a) | 1,777 | 58,232 | |||||||||
NextGen Healthcare, Inc. (a) | 3,234 | 56,401 | |||||||||
OptimizeRx Corp. (a) (c) | 667 | 18,269 | |||||||||
Organogenesis Holdings, Inc. (a) | 4,153 | 20,267 | |||||||||
Pacira BioSciences, Inc. (a) | 808 | 47,106 | |||||||||
Patterson Cos., Inc. (c) | 2,046 | 61,994 | |||||||||
Phibro Animal Health Corp., Class A | 2,357 | 45,089 | |||||||||
Prestige Consumer Healthcare, Inc. (a) | 1,201 | 70,619 | |||||||||
Prothena Corp. PLC (a) | 766 | 20,797 | |||||||||
RadNet, Inc. (a) | 1,524 | 26,335 | |||||||||
REGENXBIO, Inc. (a) | 1,028 | 25,392 | |||||||||
Simulations Plus, Inc. | 962 | 47,455 | |||||||||
Supernus Pharmaceuticals, Inc. (a) | 1,584 | 45,809 | |||||||||
Syndax Pharmaceuticals, Inc. (a) | 2,199 | 42,309 | |||||||||
U.S. Physical Therapy, Inc. | 504 | 55,037 | |||||||||
uniQure NV (a) | 1,865 | 34,764 | |||||||||
Varex Imaging Corp. (a) | 2,262 | 48,384 | |||||||||
Xencor, Inc. (a) | 1,524 | 41,712 | |||||||||
2,293,903 | |||||||||||
Industrials (21.2%): | |||||||||||
AAR Corp. (a) | 1,244 | 52,049 | |||||||||
ACCO Brands Corp. | 6,322 | 41,283 | |||||||||
AerSale Corp. (a) | 2,294 | 33,286 | |||||||||
Air Transport Services Group, Inc. (a) | 1,877 | 53,926 | |||||||||
Alamo Group, Inc. | 521 | 60,660 | |||||||||
Albany International Corp. | 721 | 56,808 | |||||||||
Altra Industrial Motion Corp. | 1,189 | 41,912 | |||||||||
ArcBest Corp. | 398 | 28,007 | |||||||||
Arcosa, Inc. | 1,017 | 47,219 | |||||||||
Astec Industries, Inc. | 987 | 40,250 | |||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 739 | 45,604 | |||||||||
AZZ, Inc. | 1,358 | 55,434 | |||||||||
Barnes Group, Inc. | 1,489 | 46,367 | |||||||||
BlueLinx Holdings, Inc. (a) | 285 | 19,041 | |||||||||
Brady Corp., Class A | 1,779 | 84,040 | |||||||||
BrightView Holdings, Inc. (a) | 3,698 | 44,376 | |||||||||
CBIZ, Inc. (a) | 2,047 | 81,798 | |||||||||
Columbus McKinnon Corp. | 1,300 | 36,881 | |||||||||
Construction Partners, Inc., Class A (a) | 1,758 | 36,813 | |||||||||
CRA International, Inc. | 557 | 49,751 | |||||||||
CSW Industrials, Inc. | 588 | 60,582 | |||||||||
Daseke, Inc. (a) | 3,594 | 22,966 | |||||||||
Deluxe Corp. | 1,633 | 35,387 | |||||||||
Douglas Dynamics, Inc. | 1,646 | 47,306 | |||||||||
Dycom Industries, Inc. (a) | 446 | 41,496 | |||||||||
Eagle Bulk Shipping, Inc. | 641 | 33,255 | |||||||||
See notes to financial statements.
80
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Encore Wire Corp. | 353 | $ | 36,684 | ||||||||
Energy Recovery, Inc. (a) | 2,731 | 53,036 | |||||||||
Enerpac Tool Group Corp. | 3,246 | 61,739 | |||||||||
EnPro Industries, Inc. | 559 | 45,799 | |||||||||
ESCO Technologies, Inc. | 1,035 | 70,763 | |||||||||
Federal Signal Corp. | 2,061 | 73,372 | |||||||||
Forrester Research, Inc. (a) | 1,313 | 62,814 | |||||||||
Forward Air Corp. | 566 | 52,049 | |||||||||
Franklin Covey Co. (a) | 1,082 | 49,967 | |||||||||
Genco Shipping & Trading Ltd. | 1,739 | 33,597 | |||||||||
Gibraltar Industries, Inc. (a) | 1,073 | 41,579 | |||||||||
Global Industrial Co. | 1,833 | 61,900 | |||||||||
GMS, Inc. (a) | 826 | 36,757 | |||||||||
GrafTech International Ltd. | 3,785 | 26,760 | |||||||||
Granite Construction, Inc. | 1,844 | 53,734 | |||||||||
Great Lakes Dredge & Dock Corp. (a) | 5,117 | 67,084 | |||||||||
Griffon Corp. | 2,327 | 65,226 | |||||||||
H&E Equipment Services, Inc. | 994 | 28,796 | |||||||||
Healthcare Services Group | 3,267 | 56,878 | |||||||||
Heartland Express, Inc. | 6,179 | 85,950 | |||||||||
Heidrick & Struggles International, Inc. | 1,469 | 47,537 | |||||||||
Helios Technologies, Inc. | 638 | 42,267 | |||||||||
Heritage-Crystal Clean, Inc. (a) | 2,258 | 60,876 | |||||||||
HNI Corp. | 1,542 | 53,492 | |||||||||
Hub Group, Inc., Class A (a) | 760 | 53,914 | |||||||||
Huron Consulting Group, Inc. (a) | 1,184 | 76,948 | |||||||||
Hydrofarm Holdings Group, Inc. (a) (b) | 1,389 | 4,834 | |||||||||
ICF International, Inc. | 870 | 82,650 | |||||||||
IES Holdings, Inc. (a) | 1,254 | 37,833 | |||||||||
Insteel Industries, Inc. | 1,297 | 43,670 | |||||||||
Interface, Inc. | 3,703 | 46,436 | |||||||||
Janus International Group, Inc. (a) | 4,016 | 36,264 | |||||||||
JELD-WEN Holding, Inc. (a) | 2,125 | 31,004 | |||||||||
Kadant, Inc. | 309 | 56,346 | |||||||||
Kaman Corp. | 1,285 | 40,156 | |||||||||
KAR Auction Services, Inc. (a) | 1,618 | 23,898 | |||||||||
Kelly Services, Inc., Class A | 1,993 | 39,521 | |||||||||
Kennametal, Inc. | 1,815 | 42,162 | |||||||||
Kforce, Inc. | 748 | 45,882 | |||||||||
Lindsay Corp. | 448 | 59,503 | |||||||||
Marten Transport Ltd. | 4,145 | 69,719 | |||||||||
Maxar Technologies, Inc. | 903 | 23,559 | |||||||||
McGrath RentCorp | 850 | 64,600 | |||||||||
Moog, Inc., Class A | 745 | 59,146 | |||||||||
Mueller Water Products, Inc., Class A | 5,083 | 59,624 | |||||||||
MYR Group, Inc. (a) | 620 | 54,641 | |||||||||
NOW, Inc. (a) | 3,888 | 38,025 | |||||||||
NV5 Global, Inc. (a) | 510 | 59,537 | |||||||||
Omega Flex, Inc. | 366 | 39,389 | |||||||||
PAM Transportation Services, Inc. (a) | 940 | 25,747 | |||||||||
See notes to financial statements.
81
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
PGT Innovations, Inc. (a) | 2,650 | $ | 44,096 | ||||||||
Pitney Bowes, Inc. | 7,568 | 27,396 | |||||||||
Primoris Services Corp. | 1,833 | 39,886 | |||||||||
Proto Labs, Inc. (a) | 651 | 31,144 | |||||||||
Quanex Building Products Corp. | 2,631 | 59,855 | |||||||||
REV Group, Inc. | 2,580 | 28,045 | |||||||||
Rush Enterprises, Inc., Class A | 1,235 | 59,527 | |||||||||
Shoals Technologies Group, Inc., Class A (a) | 1,685 | 27,769 | |||||||||
SkyWest, Inc. (a) | 1,250 | 26,563 | |||||||||
SP Plus Corp. (a) | 1,688 | 51,855 | |||||||||
SPX Corp. (a) | 1,260 | 66,578 | |||||||||
Standex International Corp. | 757 | 64,178 | |||||||||
Steelcase, Inc., Class A | 5,455 | 58,532 | |||||||||
Sterling Infrastructure, Inc. (a) | 1,482 | 32,485 | |||||||||
Sun Country Airlines Holdings, Inc. (a) | 1,376 | 25,236 | |||||||||
Tennant Co. | 1,057 | 62,627 | |||||||||
Terex Corp. | 1,076 | 29,450 | |||||||||
The Gorman-Rupp Co. | 1,893 | 53,572 | |||||||||
The Greenbrier Cos., Inc. | 1,094 | 39,373 | |||||||||
The Shyft Group, Inc. | 939 | 17,456 | |||||||||
Titan International, Inc. (a) | 2,911 | 43,956 | |||||||||
Trinity Industries, Inc. | 1,917 | 46,430 | |||||||||
TrueBlue, Inc. (a) | 1,832 | 32,793 | |||||||||
Veritiv Corp. (a) | 262 | 28,440 | |||||||||
Wabash National Corp. | 2,791 | 37,902 | |||||||||
Werner Enterprises, Inc. | 1,877 | 72,340 | |||||||||
4,787,645 | |||||||||||
Information Technology (9.5%): | |||||||||||
3D Systems Corp. (a) | 1,417 | 13,745 | |||||||||
A10 Networks, Inc. | 2,073 | 29,810 | |||||||||
ACM Research, Inc., Class A (a) | 998 | 16,796 | |||||||||
Alpha & Omega Semiconductor Ltd. (a) | 536 | 17,870 | |||||||||
American Software, Inc., Class A | 2,136 | 34,518 | |||||||||
Avid Technology, Inc. (a) | 1,031 | 26,755 | |||||||||
Axcelis Technologies, Inc. (a) | 516 | 28,297 | |||||||||
Badger Meter, Inc. | 616 | 49,828 | |||||||||
Belden, Inc. | 1,023 | 54,495 | |||||||||
Benchmark Electronics, Inc. | 2,523 | 56,919 | |||||||||
Cambium Networks Corp. (a) | 1,049 | 15,368 | |||||||||
Cerence, Inc. (a) | 742 | 18,721 | |||||||||
CEVA, Inc. (a) | 1,013 | 33,996 | |||||||||
Clearfield, Inc. (a) | 454 | 28,125 | |||||||||
Cohu, Inc. (a) | 1,240 | 34,410 | |||||||||
CommVault Systems, Inc. (a) | 808 | 50,823 | |||||||||
Corsair Gaming, Inc. (a) (b) | 1,896 | 24,895 | |||||||||
CSG Systems International, Inc. | 1,535 | 91,609 | |||||||||
Digi International, Inc. (a) | 2,912 | 70,529 | |||||||||
Ebix, Inc. (b) | 1,153 | 19,486 | |||||||||
ePlus, Inc. (a) | 1,196 | 63,532 | |||||||||
EVERTEC, Inc. | 1,755 | 64,724 | |||||||||
See notes to financial statements.
82
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Extreme Networks, Inc. (a) | 3,377 | $ | 30,123 | ||||||||
Harmonic, Inc. (a) | 4,014 | 34,801 | |||||||||
Ichor Holdings Ltd. (a) | 974 | 25,305 | |||||||||
InterDigital, Inc. | 1,147 | 69,738 | |||||||||
Knowles Corp. (a) | 4,718 | 81,763 | |||||||||
Methode Electronics, Inc. | 1,407 | 52,115 | |||||||||
Mitek Systems, Inc. (a) | 3,213 | 29,688 | |||||||||
N-able, Inc. (a) | 2,226 | 20,034 | |||||||||
Napco Security Technologies, Inc. (a) | 2,346 | 48,304 | |||||||||
NETGEAR, Inc. (a) | 2,351 | 43,541 | |||||||||
NetScout Systems, Inc. (a) | 1,963 | 66,448 | |||||||||
OSI Systems, Inc. (a) | 1,160 | 99,110 | |||||||||
Paymentus Holdings, Inc., Class A (a) (b) | 1,244 | 16,632 | |||||||||
PC Connection, Inc. | 1,129 | 49,732 | |||||||||
Photronics, Inc. (a) | 2,045 | 39,837 | |||||||||
Plexus Corp. (a) | 803 | 63,036 | |||||||||
Progress Software Corp. | 1,354 | 61,336 | |||||||||
Rambus, Inc. (a) | 2,261 | 48,589 | |||||||||
Riot Blockchain, Inc. (a) (b) | 1,158 | 4,852 | |||||||||
Sanmina Corp. (a) | 1,658 | 67,530 | |||||||||
ScanSource, Inc. (a) | 1,390 | 43,285 | |||||||||
Super Micro Computer, Inc. (a) | 1,167 | 47,088 | |||||||||
TTM Technologies, Inc. (a) | 5,343 | 66,788 | |||||||||
Ultra Clean Holdings, Inc. (a) | 690 | 20,541 | |||||||||
Veeco Instruments, Inc. (a) | 1,635 | 31,719 | |||||||||
Verra Mobility Corp. (a) | 3,478 | 54,639 | |||||||||
Vishay Intertechnology, Inc. | 3,581 | 63,813 | |||||||||
Vizio Holding Corp., Class A (a) | 2,365 | 16,129 | |||||||||
2,141,767 | |||||||||||
Materials (5.1%): | |||||||||||
AdvanSix, Inc. | 1,036 | 34,644 | |||||||||
Chase Corp. | 757 | 58,902 | |||||||||
Greif, Inc., Class A | 1,107 | 69,055 | |||||||||
Hawkins, Inc. | 1,160 | 41,795 | |||||||||
Ingevity Corp. (a) | 898 | 56,700 | |||||||||
Innospec, Inc. | 754 | 72,226 | |||||||||
Intrepid Potash, Inc. (a) | 519 | 23,505 | |||||||||
Kronos Worldwide, Inc. | 4,480 | 82,432 | |||||||||
Materion Corp. | 662 | 48,809 | |||||||||
Minerals Technologies, Inc. | 998 | 61,217 | |||||||||
O-I Glass, Inc. (a) | 3,651 | 51,114 | |||||||||
Origin Materials, Inc. (a) | 5,818 | 29,788 | |||||||||
Orion Engineered Carbons SA | 3,264 | 50,690 | |||||||||
Pactiv Evergreen, Inc. | 4,703 | 46,842 | |||||||||
Ramaco Resources, Inc. | 1,549 | 20,369 | |||||||||
Ryerson Holding Corp. | 1,224 | 26,059 | |||||||||
Schnitzer Steel Industries, Inc. | 800 | 26,272 | |||||||||
Schweitzer-Mauduit International, Inc. | 1,654 | 41,548 | |||||||||
Stepan Co. | 819 | 83,006 | |||||||||
SunCoke Energy, Inc. | 5,140 | 35,003 | |||||||||
See notes to financial statements.
83
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
TimkenSteel Corp. (a) | 1,669 | $ | 31,227 | ||||||||
TriMas Corp. | 1,958 | 54,217 | |||||||||
Trinseo PLC | 830 | 31,922 | |||||||||
Warrior Met Coal, Inc. | 1,157 | 35,416 | |||||||||
Worthington Industries, Inc. | 972 | 42,865 | |||||||||
1,155,623 | |||||||||||
Real Estate (0.7%): | |||||||||||
Anywhere Real Estate, Inc. (a) | 2,630 | 25,853 | |||||||||
Forestar Group, Inc. (a) | 3,150 | 43,124 | |||||||||
Marcus & Millichap, Inc. | 1,271 | 47,014 | |||||||||
The RMR Group, Inc., Class A | 1,754 | 49,726 | |||||||||
165,717 | |||||||||||
Utilities (2.6%): | |||||||||||
Chesapeake Utilities Corp. | 671 | 86,928 | |||||||||
MGE Energy, Inc. | 1,302 | 101,335 | |||||||||
Middlesex Water Co. | 589 | 51,644 | |||||||||
Northwest Natural Holding Co. | 1,629 | 86,500 | |||||||||
Otter Tail Corp. (c) | 1,311 | 88,007 | |||||||||
SJW Group | 1,385 | 86,438 | |||||||||
Unitil Corp. (c) | 1,553 | 91,192 | |||||||||
592,044 | |||||||||||
Total Common Stocks (Cost $23,695,380) | 22,530,994 | ||||||||||
Collateral for Securities Loaned (1.2%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (e) | 8,199 | 8,199 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (e) | 4,092 | 4,092 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (e) | 51,033 | 51,033 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (e) | 32,627 | 32,627 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (e) | 21,758 | 21,758 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (e) | 146,696 | 146,696 | |||||||||
Total Collateral for Securities Loaned (Cost $264,405) | 264,405 | ||||||||||
Total Investments (Cost $23,959,785) — 100.8% | 22,795,399 | ||||||||||
Liabilities in excess of other assets — (0.8)% | (178,636 | ) | |||||||||
NET ASSETS — 100.00% | $ | 22,616,763 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security is on loan.
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Affiliated security (See Note 10 in the Notes to Financial Statements).
(e) Rate disclosed is the daily yield on June 30, 2022.
See notes to financial statements.
84
| Victory Portfolios II VictoryShares US Small Cap Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
CVR — Contingent Value Right
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini Russell 2000 Index Futures | 1 | 9/16/22 | $ | 82,734 | $ | 85,400 | $ | 2,666 | |||||||||||||||
Total unrealized appreciation | $ | 2,666 | |||||||||||||||||||||
Total unrealized depreciation | — | ||||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | 2,666 | |||||||||||||||||||||
See notes to financial statements.
85
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.1%) | |||||||||||
Australia (5.2%): | |||||||||||
Communication Services (0.4%): | |||||||||||
REA Group Ltd. | 1,773 | $ | 136,829 | ||||||||
Telstra Corp. Ltd. | 101,549 | 269,803 | |||||||||
406,632 | |||||||||||
Consumer Discretionary (0.4%): | |||||||||||
Aristocrat Leisure Ltd. | 7,897 | 187,361 | |||||||||
Wesfarmers Ltd. | 6,706 | 193,951 | |||||||||
381,312 | |||||||||||
Consumer Staples (0.6%): | |||||||||||
Coles Group Ltd. | 22,477 | 276,257 | |||||||||
Woolworths Group Ltd. | 9,962 | 244,741 | |||||||||
520,998 | |||||||||||
Energy (0.4%): | |||||||||||
Santos Ltd. | 31,729 | 162,469 | |||||||||
Woodside Energy Group Ltd. | 8,450 | 185,670 | |||||||||
348,139 | |||||||||||
Financials (1.7%): | |||||||||||
ASX Ltd. | 4,603 | 259,553 | |||||||||
Australia & New Zealand Banking Group Ltd. | 15,503 | 235,690 | |||||||||
Commonwealth Bank of Australia | 3,261 | 203,392 | |||||||||
Macquarie Group Ltd. | 1,768 | 200,717 | |||||||||
National Australia Bank Ltd. | 14,214 | 268,670 | |||||||||
QBE Insurance Group Ltd. | 21,625 | 181,319 | |||||||||
Westpac Banking Corp. | 15,547 | 209,215 | |||||||||
1,558,556 | |||||||||||
Health Care (0.9%): | |||||||||||
Cochlear Ltd. | 1,117 | 153,166 | |||||||||
CSL Ltd. | 1,070 | 198,675 | |||||||||
Ramsay Health Care Ltd. | 5,866 | 296,484 | |||||||||
Sonic Healthcare Ltd. | 9,294 | 211,718 | |||||||||
860,043 | |||||||||||
Materials (0.8%): | |||||||||||
BHP Group Ltd. | 5,653 | 160,921 | |||||||||
Fortescue Metals Group Ltd. | 9,466 | 114,514 | |||||||||
Newcrest Mining Ltd. | 10,215 | 147,261 | |||||||||
Rio Tinto Ltd. | 2,084 | 147,700 | |||||||||
South32 Ltd. | 49,487 | 134,554 | |||||||||
704,950 | |||||||||||
4,780,630 | |||||||||||
Austria (0.4%): | |||||||||||
Energy (0.2%): | |||||||||||
OMV AG | 3,250 | 152,423 | |||||||||
See notes to financial statements.
86
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (0.1%): | |||||||||||
Erste Group Bank AG | 4,089 | $ | 103,684 | ||||||||
Utilities (0.1%): | |||||||||||
Verbund AG | 1,354 | 132,438 | |||||||||
388,545 | |||||||||||
Belgium (1.2%): | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Anheuser-Busch InBev SA | 2,915 | 156,871 | |||||||||
Financials (0.6%): | |||||||||||
Groupe Bruxelles Lambert SA | 3,266 | 272,674 | |||||||||
KBC Group NV | 2,815 | 157,919 | |||||||||
Sofina SA | 572 | 116,872 | |||||||||
547,465 | |||||||||||
Health Care (0.2%): | |||||||||||
UCB SA | 2,248 | 189,944 | |||||||||
Materials (0.2%): | |||||||||||
Solvay SA, Class A | 2,136 | 173,050 | |||||||||
1,067,330 | |||||||||||
Canada (14.7%): | |||||||||||
Communication Services (1.4%): | |||||||||||
BCE, Inc. (a) | 10,787 | 530,298 | |||||||||
Rogers Communications, Inc., Class B (b) | 6,007 | 287,888 | |||||||||
TELUS Corp. (a) (b) | 20,666 | 460,368 | |||||||||
1,278,554 | |||||||||||
Consumer Discretionary (0.7%): | |||||||||||
Dollarama, Inc. | 5,827 | 335,585 | |||||||||
Magna International, Inc. | 2,351 | 129,113 | |||||||||
Restaurant Brands International, Inc. | 4,459 | 223,712 | |||||||||
688,410 | |||||||||||
Consumer Staples (1.3%): | |||||||||||
Alimentation Couche-Tard, Inc. | 5,182 | 202,166 | |||||||||
George Weston Ltd. | 2,737 | 319,785 | |||||||||
Loblaw Cos. Ltd. | 4,013 | 361,981 | |||||||||
Metro, Inc. | 6,523 | 350,174 | |||||||||
1,234,106 | |||||||||||
Energy (2.0%): | |||||||||||
Canadian Natural Resources Ltd. | 2,999 | 161,182 | |||||||||
Cenovus Energy, Inc. | 8,222 | 156,454 | |||||||||
Enbridge, Inc. | 8,039 | 339,549 | |||||||||
Imperial Oil Ltd. (b) | 3,595 | 169,499 | |||||||||
Pembina Pipeline Corp. | 8,684 | 307,010 | |||||||||
Suncor Energy, Inc. | 4,773 | 167,482 | |||||||||
TC Energy Corp. | 5,981 | 309,878 | |||||||||
Tourmaline Oil Corp. | 3,675 | 191,117 | |||||||||
1,802,171 | |||||||||||
See notes to financial statements.
87
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (4.1%): | |||||||||||
Bank of Montreal | 2,866 | $ | 275,644 | ||||||||
Brookfield Asset Management, Inc., Class A | 3,939 | 175,250 | |||||||||
Canadian Imperial Bank of Commerce | 5,142 | 249,749 | |||||||||
Fairfax Financial Holdings Ltd. | 473 | 250,686 | |||||||||
Great-West Lifeco, Inc. | 15,030 | 367,050 | |||||||||
Intact Financial Corp. | 2,706 | 381,741 | |||||||||
Manulife Financial Corp. | 12,811 | 222,177 | |||||||||
National Bank of Canada (b) | 4,372 | 286,949 | |||||||||
Power Corp. of Canada | 13,714 | 352,920 | |||||||||
Royal Bank of Canada | 3,832 | 371,111 | |||||||||
Sun Life Financial, Inc. | 7,359 | 337,245 | |||||||||
The Bank of Nova Scotia | 5,031 | 297,794 | |||||||||
The Toronto-Dominion Bank | 4,010 | 263,002 | |||||||||
3,831,318 | |||||||||||
Industrials (1.4%): | |||||||||||
Canadian National Railway Co. | 1,956 | 220,054 | |||||||||
Canadian Pacific Railway Ltd. | 3,194 | 223,133 | |||||||||
Thomson Reuters Corp. | 3,011 | 313,944 | |||||||||
Waste Connections, Inc. | 2,492 | 309,031 | |||||||||
WSP Global, Inc. | 1,733 | 195,976 | |||||||||
1,262,138 | |||||||||||
Information Technology (0.8%): | |||||||||||
CGI, Inc. (c) | 3,119 | 248,502 | |||||||||
Constellation Software, Inc. | 132 | 195,987 | |||||||||
Open Text Corp. | 6,409 | 242,466 | |||||||||
Shopify, Inc., Class A (c) | 1,270 | 39,689 | |||||||||
726,644 | |||||||||||
Materials (1.3%): | |||||||||||
Aginco Eagle Mines Ltd. | 3,210 | 146,957 | |||||||||
Barrick Gold Corp. (b) | 7,876 | 139,283 | |||||||||
First Quantum Minerals Ltd. | 3,739 | 70,945 | |||||||||
Franco-Nevada Corp. | 1,449 | 190,633 | |||||||||
Ivanhoe Mines Ltd. (c) | 12,753 | 73,426 | |||||||||
Nutrien Ltd. | 2,258 | 179,851 | |||||||||
Teck Resources Ltd., Class B | 3,603 | 110,190 | |||||||||
West Fraser Timber Co. Ltd. | 1,773 | 136,068 | |||||||||
Wheaton Precious Metals Corp. | 4,401 | 158,600 | |||||||||
1,205,953 | |||||||||||
Utilities (1.7%): | |||||||||||
Emera, Inc. | 11,491 | 538,390 | |||||||||
Fortis, Inc. | 10,096 | 477,344 | |||||||||
Hydro One Ltd. (d) | 20,820 | 559,891 | |||||||||
1,575,625 | |||||||||||
13,604,919 | |||||||||||
See notes to financial statements.
88
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Denmark (1.9%): | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Carlsberg AS, Class B | 1,520 | $ | 193,630 | ||||||||
Financials (0.5%): | |||||||||||
Danske Bank A/S | 10,957 | 154,866 | |||||||||
Tryg A/S | 13,527 | 303,749 | |||||||||
458,615 | |||||||||||
Health Care (0.6%): | |||||||||||
Coloplast A/S, Class B | 1,422 | 161,990 | |||||||||
Genmab A/S (c) | 515 | 166,698 | |||||||||
Novo Nordisk A/S, Class B | 1,656 | 183,699 | |||||||||
512,387 | |||||||||||
Industrials (0.3%): | |||||||||||
AP Moller — Maersk A/S, Class B | 47 | 109,645 | |||||||||
DSV A/S | 980 | 136,883 | |||||||||
Vestas Wind Systems A/S (b) | 2,957 | 62,462 | |||||||||
308,990 | |||||||||||
Materials (0.2%): | |||||||||||
Novozymes A/S, B Shares | 3,370 | 202,303 | |||||||||
Utilities (0.1%): | |||||||||||
Orsted A/S (d) | 1,001 | 104,650 | |||||||||
1,780,575 | |||||||||||
Finland (1.5%): | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Kesko Oyj, Class B | 6,837 | 161,257 | |||||||||
Energy (0.2%): | |||||||||||
Neste Oyj | 3,875 | 171,504 | |||||||||
Financials (0.2%): | |||||||||||
Sampo Oyj, A Shares | 5,504 | 239,450 | |||||||||
Industrials (0.2%): | |||||||||||
Kone Oyj, Class B | 3,771 | 179,229 | |||||||||
Information Technology (0.2%): | |||||||||||
Nokia Oyj | 33,711 | 156,814 | |||||||||
Materials (0.4%): | |||||||||||
Stora Enso Oyj, Class R | 9,472 | 148,524 | |||||||||
UPM-Kymmene Oyj | 6,525 | 198,339 | |||||||||
346,863 | |||||||||||
Utilities (0.1%): | |||||||||||
Fortum Oyj | 8,906 | 133,583 | |||||||||
1,388,700 | |||||||||||
France (7.7%): | |||||||||||
Communication Services (0.8%): | |||||||||||
Bollore SE | 42,183 | 195,361 | |||||||||
Orange SA | 29,292 | 344,366 | |||||||||
See notes to financial statements.
89
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Publicis Groupe SA | 3,193 | $ | 156,107 | ||||||||
Vivendi SE | 5,123 | 52,047 | |||||||||
747,881 | |||||||||||
Consumer Discretionary (1.0%): | |||||||||||
Cie Generale des Etablissements Michelin SCA | 6,404 | 174,295 | |||||||||
EssilorLuxottica SA | 1,220 | 182,672 | |||||||||
Hermes International | 127 | 141,987 | |||||||||
Kering SA | 232 | 119,138 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 248 | 151,157 | |||||||||
Sodexo SA | 2,230 | 156,692 | |||||||||
925,941 | |||||||||||
Consumer Staples (0.9%): | |||||||||||
Carrefour SA (b) | 9,947 | 175,983 | |||||||||
Danone SA | 4,199 | 234,329 | |||||||||
L'Oreal SA | 595 | 205,299 | |||||||||
Pernod Ricard SA | 1,237 | 227,212 | |||||||||
842,823 | |||||||||||
Energy (0.2%): | |||||||||||
TotalEnergies SE (b) | 4,113 | 217,075 | |||||||||
Financials (0.8%): | |||||||||||
Amundi SA (d) | 3,210 | 175,571 | |||||||||
AXA SA | 8,860 | 201,081 | |||||||||
BNP Paribas SA (b) | 2,961 | 140,747 | |||||||||
Credit Agricole SA | 16,417 | 150,188 | |||||||||
Societe Generale SA | 5,108 | 111,807 | |||||||||
779,394 | |||||||||||
Health Care (0.6%): | |||||||||||
BioMerieux | 1,593 | 155,565 | |||||||||
Euroapi SA (b) (c) | 120 | 1,893 | |||||||||
Sanofi | 2,770 | 279,618 | |||||||||
Sartorius Stedim Biotech | 327 | 102,549 | |||||||||
539,625 | |||||||||||
Industrials (2.0%): | |||||||||||
Airbus SE | 1,251 | 121,183 | |||||||||
Bouygues SA | 8,133 | 250,199 | |||||||||
Bureau Veritas SA (b) | 10,125 | 259,390 | |||||||||
Cie de Saint-Gobain | 2,886 | 123,816 | |||||||||
Legrand SA | 2,891 | 213,437 | |||||||||
Safran SA | 1,192 | 117,666 | |||||||||
Schneider Electric SE | 1,306 | 154,496 | |||||||||
Teleperformance | 604 | 185,621 | |||||||||
Thales SA | 1,811 | 222,110 | |||||||||
Vinci SA | 2,151 | 191,484 | |||||||||
1,839,402 | |||||||||||
See notes to financial statements.
90
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Information Technology (0.6%): | |||||||||||
Capgemini SE | 948 | $ | 162,358 | ||||||||
Dassault Systemes SE | 4,246 | 156,225 | |||||||||
Edenred | 4,625 | 217,928 | |||||||||
536,511 | |||||||||||
Materials (0.3%): | |||||||||||
Air Liquide SA | 1,936 | 259,897 | |||||||||
Utilities (0.5%): | |||||||||||
Electricite de France SA | 15,253 | 124,756 | |||||||||
Engie SA | 17,007 | 195,413 | |||||||||
Veolia Environnement SA (b) (c) | 5,978 | 145,883 | |||||||||
466,052 | |||||||||||
7,154,601 | |||||||||||
Germany (6.4%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Deutsche Telekom AG | 12,995 | 257,972 | |||||||||
Consumer Discretionary (0.8%): | |||||||||||
adidas AG | 802 | 141,815 | |||||||||
Bayerische Motoren Werke AG | 1,895 | 145,861 | |||||||||
Continental AG | 1,851 | 128,975 | |||||||||
Mercedes-Benz Group AG | 2,205 | 127,580 | |||||||||
Puma SE | 2,393 | 157,564 | |||||||||
Zalando SE (b) (c) (d) | 2,126 | 55,602 | |||||||||
757,397 | |||||||||||
Consumer Staples (0.3%): | |||||||||||
Beiersdorf AG | 2,789 | 284,867 | |||||||||
Financials (1.4%): | |||||||||||
Allianz SE, Registered Shares | 1,060 | 202,275 | |||||||||
Commerzbank AG (c) | 15,425 | 108,061 | |||||||||
Deutsche Bank AG, Registered Shares | 11,062 | 96,412 | |||||||||
Deutsche Boerse AG | 1,758 | 293,989 | |||||||||
Hannover Rueck SE | 1,201 | 174,290 | |||||||||
Muenchener Rueckversicherungs-Gesellschaft AG, Class R | 813 | 190,987 | |||||||||
Talanx AG | 6,020 | 229,098 | |||||||||
1,295,112 | |||||||||||
Health Care (0.9%): | |||||||||||
Bayer AG, Registered Shares | 3,946 | 234,516 | |||||||||
Carl Zeiss Meditec AG | 936 | 111,706 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 3,233 | 161,349 | |||||||||
Fresenius SE & Co. KGaA | 6,138 | 185,867 | |||||||||
Merck KGaA | 973 | 164,141 | |||||||||
857,579 | |||||||||||
Industrials (0.9%): | |||||||||||
Brenntag SE | 2,967 | 193,058 | |||||||||
Deutsche Post AG, Registered Shares | 4,178 | 156,460 | |||||||||
See notes to financial statements.
91
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
KION Group AG | 2,376 | $ | 98,562 | ||||||||
Knorr-Bremse AG | 2,023 | 115,354 | |||||||||
MTU Aero Engines AG | 642 | 116,846 | |||||||||
Siemens AG, Registered Shares | 1,296 | 131,843 | |||||||||
812,123 | |||||||||||
Information Technology (0.3%): | |||||||||||
Infineon Technologies AG | 4,494 | 108,727 | |||||||||
SAP SE | 1,949 | 177,525 | |||||||||
286,252 | |||||||||||
Materials (0.8%): | |||||||||||
BASF SE | 3,481 | 151,458 | |||||||||
Evonik Industries AG | 9,870 | 210,559 | |||||||||
HeidelbergCement AG | 3,144 | 151,010 | |||||||||
Symrise AG | 2,345 | 255,169 | |||||||||
768,196 | |||||||||||
Real Estate (0.3%): | |||||||||||
Deutsche Wohnen SE | 6,557 | 150,737 | |||||||||
Vonovia SE | 4,360 | 134,312 | |||||||||
285,049 | |||||||||||
Utilities (0.4%): | |||||||||||
E.ON SE | 20,719 | 173,849 | |||||||||
RWE AG | 4,225 | 155,297 | |||||||||
329,146 | |||||||||||
5,933,693 | |||||||||||
Hong Kong (4.0%): | |||||||||||
Consumer Discretionary (0.1%): | |||||||||||
Galaxy Entertainment Group Ltd. | 21,000 | 125,252 | |||||||||
Financials (0.7%): | |||||||||||
AIA Group Ltd. | 18,330 | 198,680 | |||||||||
Hang Seng Bank Ltd. | 13,638 | 240,724 | |||||||||
Hong Kong Exchanges & Clearing Ltd. | 3,812 | 187,525 | |||||||||
626,929 | |||||||||||
Industrials (0.8%): | |||||||||||
CK Hutchison Holdings Ltd. | 41,435 | 280,137 | |||||||||
Jardine Matheson Holdings Ltd. | 3,900 | 204,984 | |||||||||
SITC International Holdings Co. Ltd. | 24,530 | 69,402 | |||||||||
Techtronic Industries Co. Ltd. | 8,343 | 87,028 | |||||||||
Xinyi Glass Holdings Ltd. | 37,536 | 90,030 | |||||||||
731,581 | |||||||||||
Real Estate (0.9%): | |||||||||||
CK Asset Holdings Ltd. | 35,350 | 250,035 | |||||||||
Henderson Land Development Co. Ltd. | 48,962 | 183,453 | |||||||||
Sun Hung Kai Properties Ltd. | 22,196 | 262,224 | |||||||||
The Wharf Holdings Ltd. | 46,000 | 167,665 | |||||||||
863,377 | |||||||||||
See notes to financial statements.
92
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (1.5%): | |||||||||||
CK Infrastructure Holdings Ltd. | 51,249 | $ | 314,159 | ||||||||
CLP Holdings Ltd. | 51,791 | 429,688 | |||||||||
Hong Kong & China Gas Co. Ltd. | 236,281 | 254,451 | |||||||||
Power Assets Holdings Ltd. (a) | 64,316 | 404,506 | |||||||||
1,402,804 | |||||||||||
3,749,943 | |||||||||||
Ireland (0.8%): | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Kerry Group PLC | 2,278 | 218,019 | |||||||||
Industrials (0.3%): | |||||||||||
Experian PLC | 5,552 | 162,580 | |||||||||
Kingspan Group PLC | 1,536 | 92,381 | |||||||||
254,961 | |||||||||||
Materials (0.3%): | |||||||||||
CRH PLC | 4,644 | 160,577 | |||||||||
Smurfit Kappa Group PLC | 4,430 | 148,908 | |||||||||
309,485 | |||||||||||
782,465 | |||||||||||
Israel (0.7%): | |||||||||||
Financials (0.4%): | |||||||||||
Bank Hapoalim BM | 22,147 | 185,024 | |||||||||
Bank Leumi Le-Israel BM | 22,143 | 196,980 | |||||||||
382,004 | |||||||||||
Information Technology (0.1%): | |||||||||||
Nice Ltd. (c) | 688 | 132,164 | |||||||||
Materials (0.2%): | |||||||||||
ICL Group Ltd. | 15,267 | 138,612 | |||||||||
652,780 | |||||||||||
Italy (2.2%): | |||||||||||
Consumer Discretionary (0.1%): | |||||||||||
Moncler SpA | 2,873 | 123,213 | |||||||||
Energy (0.2%): | |||||||||||
Eni SpA | 14,565 | 172,879 | |||||||||
Financials (0.7%): | |||||||||||
Assicurazioni Generali SpA | 15,067 | 240,360 | |||||||||
Intesa Sanpaolo SpA | 73,246 | 136,610 | |||||||||
Poste Italiane SpA (d) | 20,202 | 188,646 | |||||||||
UniCredit SpA | 10,593 | 100,616 | |||||||||
666,232 | |||||||||||
Industrials (0.3%): | |||||||||||
Atlantia SpA | 12,680 | 297,343 | |||||||||
See notes to financial statements.
93
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Information Technology (0.1%): | |||||||||||
Nexi SpA (b) (c) (d) | 11,396 | $ | 94,380 | ||||||||
Utilities (0.8%): | |||||||||||
Enel SpA | 30,323 | 165,852 | |||||||||
Snam SpA | 56,100 | 293,849 | |||||||||
Terna — Rete Elettrica Nazionale | 33,436 | 262,337 | |||||||||
722,038 | |||||||||||
2,076,085 | |||||||||||
Japan (19.6%): | |||||||||||
Communication Services (1.5%): | |||||||||||
Dentsu Group, Inc. | 4,300 | 129,165 | |||||||||
KDDI Corp. | 8,300 | 262,411 | |||||||||
Nexon Co. Ltd. | 5,500 | 112,627 | |||||||||
Nintendo Co. Ltd. (a) | 400 | 173,021 | |||||||||
Nippon Telegraph & Telephone Corp. | 10,100 | 290,060 | |||||||||
Softbank Corp. | 27,100 | 300,945 | |||||||||
SoftBank Group Corp. | 2,700 | 104,191 | |||||||||
Z Holdings Corp. | 27,900 | 81,524 | |||||||||
1,453,944 | |||||||||||
Consumer Discretionary (2.9%): | |||||||||||
Aisin Corp. | 4,700 | 145,511 | |||||||||
Bandai Namco Holdings, Inc. | 2,300 | 162,404 | |||||||||
Bridgestone Corp. (b) | 4,600 | 167,846 | |||||||||
Denso Corp. | 2,400 | 127,519 | |||||||||
Fast Retailing Co. Ltd. | 300 | 157,187 | |||||||||
Honda Motor Co. Ltd. | 6,600 | 160,208 | |||||||||
Isuzu Motors Ltd. | 12,300 | 136,092 | |||||||||
Nissan Motor Co. Ltd. | 29,400 | 114,470 | |||||||||
Nitori Holdings Co. Ltd. | 1,300 | 123,570 | |||||||||
Panasonic Corp. | 16,500 | 133,365 | |||||||||
Sekisui House Ltd. | 11,900 | 208,465 | |||||||||
Shimano, Inc. | 600 | 101,371 | |||||||||
Sony Group Corp. | 1,400 | 114,499 | |||||||||
Subaru Corp. | 12,100 | 215,090 | |||||||||
Sumitomo Electric Industries Ltd. | 13,800 | 152,486 | |||||||||
Suzuki Motor Corp. | 4,100 | 128,869 | |||||||||
Toyota Industries Corp. | 2,400 | 148,607 | |||||||||
Toyota Motor Corp. | 10,700 | 165,635 | |||||||||
2,663,194 | |||||||||||
Consumer Staples (2.0%): | |||||||||||
Ajinomoto Co., Inc. | 7,300 | 177,576 | |||||||||
Asahi Group Holdings Ltd. | 4,900 | 160,552 | |||||||||
Japan Tobacco, Inc. | 16,000 | 276,692 | |||||||||
Kao Corp. (b) | 5,600 | 225,882 | |||||||||
Kikkoman Corp. | 2,100 | 111,455 | |||||||||
Kirin Holdings Co. Ltd. | 14,900 | 234,769 | |||||||||
Seven & i Holdings Co. Ltd. | 4,500 | 174,713 | |||||||||
See notes to financial statements.
94
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Shiseido Co. Ltd. | 3,000 | $ | 120,434 | ||||||||
Suntory Beverage & Food Ltd. | 5,300 | 200,420 | |||||||||
Unicharm Corp. | 5,200 | 174,023 | |||||||||
1,856,516 | |||||||||||
Energy (0.4%): | |||||||||||
ENEOS Holdings, Inc. | 63,300 | 239,696 | |||||||||
Inpex Corp. | 12,700 | 137,616 | |||||||||
377,312 | |||||||||||
Financials (2.7%): | |||||||||||
Dai-ichi Life Holdings, Inc. | 8,800 | 162,819 | |||||||||
Japan Post Bank Co. Ltd. | 24,700 | 192,087 | |||||||||
Japan Post Holdings Co. Ltd. | 31,000 | 221,451 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 37,000 | 198,937 | |||||||||
Mizuho Financial Group, Inc. | 20,370 | 231,689 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 7,000 | 214,551 | |||||||||
ORIX Corp. | 10,800 | 181,194 | |||||||||
Resona Holdings, Inc. | 50,100 | 187,644 | |||||||||
Sompo Holdings, Inc. | 5,000 | 220,515 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 7,000 | 208,050 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 6,700 | 206,443 | |||||||||
Tokio Marine Holdings, Inc. | 4,300 | 250,500 | |||||||||
2,475,880 | |||||||||||
Health Care (2.4%): | |||||||||||
Astellas Pharma, Inc. | 12,000 | 187,085 | |||||||||
Chugai Pharmaceutical Co. Ltd. | 4,900 | 125,335 | |||||||||
Daiichi Sankyo Co. Ltd. | 6,100 | 154,546 | |||||||||
Eisai Co. Ltd. | 2,900 | 122,383 | |||||||||
Hoya Corp. | 1,200 | 102,477 | |||||||||
Kyowa Kirin Co. Ltd. | 7,500 | 168,620 | |||||||||
M3, Inc. | 3,600 | 103,441 | |||||||||
Olympus Corp. | 7,200 | 144,706 | |||||||||
Ono Pharmaceutical Co. Ltd. | 10,400 | 266,938 | |||||||||
Otsuka Holdings Co. Ltd. | 6,800 | 241,504 | |||||||||
Shionogi & Co. Ltd. | 2,300 | 116,221 | |||||||||
Sysmex Corp. | 1,600 | 96,311 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 9,400 | 264,553 | |||||||||
Terumo Corp. | 5,300 | 159,711 | |||||||||
2,253,831 | |||||||||||
Industrials (3.3%): | |||||||||||
Daikin Industries Ltd. | 900 | 144,294 | |||||||||
FANUC Corp. | 800 | 125,254 | |||||||||
Hitachi Ltd. | 3,300 | 156,608 | |||||||||
ITOCHU Corp. | 6,800 | 183,809 | |||||||||
Komatsu Ltd. | 7,900 | 175,167 | |||||||||
Kubota Corp. (b) | 8,700 | 129,993 | |||||||||
Marubeni Corp. | 17,100 | 154,286 | |||||||||
Mitsubishi Corp. | 6,400 | 190,453 | |||||||||
Mitsubishi Electric Corp. | 18,800 | 201,082 | |||||||||
See notes to financial statements.
95
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mitsui & Co. Ltd. | 7,200 | $ | 158,930 | ||||||||
Nidec Corp. | 2,100 | 129,721 | |||||||||
Nippon Yusen KK | 1,000 | 68,333 | |||||||||
Recruit Holdings Co. Ltd. | 3,100 | 91,291 | |||||||||
Secom Co. Ltd. | 3,800 | 234,818 | |||||||||
SG Holdings Co. Ltd. | 8,600 | 145,108 | |||||||||
SMC Corp. | 300 | 133,724 | |||||||||
Sumitomo Corp. | 14,800 | 202,592 | |||||||||
Toshiba Corp. | 5,400 | 219,527 | |||||||||
Toyota Tsusho Corp. | 3,600 | 117,559 | |||||||||
Yaskawa Electric Corp. | 4,200 | 135,294 | |||||||||
3,097,843 | |||||||||||
Information Technology (2.5%): | |||||||||||
Advantest Corp. | 1,700 | 90,977 | |||||||||
Canon, Inc. (b) | 8,400 | 191,022 | |||||||||
FUJIFILM Holdings Corp. | 3,100 | 166,311 | |||||||||
Fujitsu Ltd. | 1,100 | 137,561 | |||||||||
Keyence Corp. | 300 | 102,565 | |||||||||
Kyocera Corp. | 3,900 | 208,598 | |||||||||
Lasertec Corp. | 600 | 71,429 | |||||||||
Murata Manufacturing Co. Ltd. | 2,700 | 147,200 | |||||||||
NEC Corp. | 4,000 | 155,388 | |||||||||
Nomura Research Institute Ltd. | 4,778 | 127,146 | |||||||||
NTT Data Corp. | 9,900 | 136,904 | |||||||||
Obic Co. Ltd. | 1,200 | 169,748 | |||||||||
Omron Corp. | 2,500 | 126,990 | |||||||||
Renesas Electronics Corp. (c) | 11,000 | 99,978 | |||||||||
Shimadzu Corp. | 5,000 | 158,116 | |||||||||
TDK Corp. | 3,800 | 117,367 | |||||||||
Tokyo Electron Ltd. | 300 | 97,966 | |||||||||
2,305,266 | |||||||||||
Materials (1.0%): | |||||||||||
Asahi Kasei Corp. | 21,000 | 160,372 | |||||||||
Mitsubishi Chemical Holdings Corp. | 26,200 | 142,337 | |||||||||
Nippon Paint Holdings Co. Ltd. | 12,300 | 91,665 | |||||||||
Nippon Steel Corp. | 7,700 | 107,786 | |||||||||
Nitto Denko Corp. | 2,500 | 161,802 | |||||||||
Shin-Etsu Chemical Co. Ltd. | 1,200 | 135,338 | |||||||||
Sumitomo Metal Mining Co. Ltd. | 3,500 | 109,649 | |||||||||
908,949 | |||||||||||
Real Estate (0.9%): | |||||||||||
Daiwa House Industry Co. Ltd. | 8,000 | 186,466 | |||||||||
Mitsubishi Estate Co. Ltd. | 17,700 | 256,902 | |||||||||
Mitsui Fudosan Co. Ltd. | 9,000 | 193,554 | |||||||||
Sumitomo Realty & Development Co. Ltd. | 6,900 | 182,240 | |||||||||
819,162 | |||||||||||
18,211,897 | |||||||||||
See notes to financial statements.
96
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Korea, Republic Of (3.4%): | |||||||||||
Communication Services (0.2%): | |||||||||||
Kakao Corp. | 1,720 | $ | 92,619 | ||||||||
NAVER Corp. | 647 | 119,621 | |||||||||
212,240 | |||||||||||
Consumer Discretionary (0.7%): | |||||||||||
Hyundai Mobis Co. Ltd. | 1,078 | 165,258 | |||||||||
Hyundai Motor Co. | 1,643 | 228,458 | |||||||||
Kia Corp. | 3,166 | 188,531 | |||||||||
LG Electronics, Inc. | 1,315 | 89,450 | |||||||||
671,697 | |||||||||||
Consumer Staples (0.1%): | |||||||||||
LG Household & Health Care Ltd. | 197 | 103,197 | |||||||||
Energy (0.1%): | |||||||||||
SK Innovation Co. Ltd. | 785 | 116,108 | |||||||||
Financials (0.6%): | |||||||||||
Hana Financial Group, Inc. | 4,673 | 141,655 | |||||||||
KB Financial Group, Inc. | 3,922 | 145,477 | |||||||||
Shinhan Financial Group Co. Ltd. | 7,348 | 209,725 | |||||||||
496,857 | |||||||||||
Health Care (0.3%): | |||||||||||
Celltrion, Inc. | 860 | 118,257 | |||||||||
Samsung Biologics Co. Ltd. (c) (d) | 247 | 150,320 | |||||||||
268,577 | |||||||||||
Industrials (0.5%): | |||||||||||
HMM Co. Ltd. | 4,616 | 87,477 | |||||||||
Samsung C&T Corp. | 2,325 | 220,302 | |||||||||
SK, Inc. | 1,053 | 174,405 | |||||||||
482,184 | |||||||||||
Information Technology (0.6%): | |||||||||||
Samsung Electro-Mechanics Co. Ltd. | 1,099 | 110,484 | |||||||||
Samsung Electronics Co. Ltd. | 4,407 | 193,513 | |||||||||
Samsung SDI Co. Ltd. | 356 | 145,900 | |||||||||
SK Hynix, Inc. | 1,554 | 108,939 | |||||||||
558,836 | |||||||||||
Materials (0.3%): | |||||||||||
LG Chem Ltd. | 252 | 100,171 | |||||||||
POSCO Holdings, Inc. | 690 | 122,521 | |||||||||
222,692 | |||||||||||
3,132,388 | |||||||||||
Luxembourg (0.4%): | |||||||||||
Energy (0.2%): | |||||||||||
Tenaris SA | 11,886 | 152,812 | |||||||||
See notes to financial statements.
97
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Health Care (0.1%): | |||||||||||
Eurofins Scientific SE | 1,556 | $ | 122,409 | ||||||||
Materials (0.1%): | |||||||||||
ArcelorMittal SA | 3,693 | 83,234 | |||||||||
358,455 | |||||||||||
Netherlands (3.6%): | |||||||||||
Communication Services (0.4%): | |||||||||||
Koninklijke KPN NV | 92,359 | 329,128 | |||||||||
Consumer Discretionary (0.1%): | |||||||||||
Prosus NV | 1,970 | 128,969 | |||||||||
Consumer Staples (0.9%): | |||||||||||
Davide Campari-Milano NV | 20,654 | 217,170 | |||||||||
Heineken Holding NV | 3,009 | 218,964 | |||||||||
Heineken NV | 2,274 | 207,295 | |||||||||
Koninklijke Ahold Delhaize NV | 8,583 | 223,573 | |||||||||
867,002 | |||||||||||
Financials (0.7%): | |||||||||||
ABN AMRO Bank NV (d) | 12,788 | 143,573 | |||||||||
Aegon NV | 33,861 | 146,460 | |||||||||
ING Groep NV | 15,345 | 151,636 | |||||||||
NN Group NV | 4,974 | 225,878 | |||||||||
667,547 | |||||||||||
Health Care (0.1%): | |||||||||||
Koninklijke Philips NV | 4,696 | 101,140 | |||||||||
Industrials (0.5%): | |||||||||||
Randstad NV | 2,998 | 145,128 | |||||||||
Wolters Kluwer NV | 2,986 | 289,596 | |||||||||
434,724 | |||||||||||
Information Technology (0.5%): | |||||||||||
Adyen NV (c) (d) | 58 | 84,352 | |||||||||
ASM International NV | 391 | 97,752 | |||||||||
| ASML Holding NV | 215 | 102,693 | |||||||||
STMicroelectronics NV | 3,923 | 123,316 | |||||||||
408,113 | |||||||||||
Materials (0.4%): | |||||||||||
Akzo Nobel NV | 2,534 | 166,264 | |||||||||
Koninklijke DSM NV | 1,414 | 203,126 | |||||||||
369,390 | |||||||||||
3,306,013 | |||||||||||
New Zealand (0.1%): | |||||||||||
Health Care (0.1%): | |||||||||||
Fisher & Paykel Healthcare Corp. Ltd. | 9,510 | 118,623 | |||||||||
See notes to financial statements.
98
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Norway (1.6%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Telenor ASA | 20,157 | $ | 268,206 | ||||||||
Consumer Staples (0.2%): | |||||||||||
Mowi ASA | 8,503 | 193,546 | |||||||||
Energy (0.3%): | |||||||||||
Aker BP ASA | 3,321 | 115,390 | |||||||||
Equinor ASA | 4,985 | 173,445 | |||||||||
288,835 | |||||||||||
Financials (0.5%): | |||||||||||
DNB Bank ASA | 10,282 | 184,381 | |||||||||
Gjensidige Forsikring ASA | 13,088 | 265,209 | |||||||||
449,590 | |||||||||||
Materials (0.3%): | |||||||||||
Norsk Hydro ASA | 15,312 | 85,788 | |||||||||
Yara International ASA | 3,518 | 147,076 | |||||||||
232,864 | |||||||||||
1,433,041 | |||||||||||
Portugal (0.4%): | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Jeronimo Martins SGPS SA | 9,983 | 216,944 | |||||||||
Utilities (0.2%): | |||||||||||
EDP — Energias de Portugal SA | 42,013 | 195,983 | |||||||||
412,927 | |||||||||||
Singapore (1.5%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Singapore Telecommunications Ltd. | 174,700 | 318,208 | |||||||||
Consumer Staples (0.3%): | |||||||||||
Wilmar International Ltd. | 80,200 | 233,267 | |||||||||
Financials (0.9%): | |||||||||||
DBS Group Holdings Ltd. | 11,800 | 252,141 | |||||||||
Oversea-Chinese Banking Corp. Ltd. | 35,300 | 289,465 | |||||||||
United Overseas Bank Ltd. | 13,900 | 262,689 | |||||||||
804,295 | |||||||||||
1,355,770 | |||||||||||
Spain (2.5%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Telefonica SA | 48,223 | 245,668 | |||||||||
Consumer Discretionary (0.2%): | |||||||||||
Industria de Diseno Textil SA | 6,980 | 157,902 | |||||||||
Energy (0.2%): | |||||||||||
Repsol SA | 14,842 | 218,498 | |||||||||
See notes to financial statements.
99
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (0.5%): | |||||||||||
Banco Bilbao Vizcaya Argentaria SA | 26,611 | $ | 120,747 | ||||||||
Banco Santander SA | 49,400 | 139,135 | |||||||||
CaixaBank SA | 51,418 | 178,706 | |||||||||
438,588 | |||||||||||
Health Care (0.2%): | |||||||||||
Grifols SA (c) | 8,994 | 169,960 | |||||||||
Industrials (0.2%): | |||||||||||
Ferrovial SA | 7,263 | 184,090 | |||||||||
Utilities (0.9%): | |||||||||||
Endesa SA | 9,484 | 178,872 | |||||||||
Iberdrola SA | 19,202 | 199,106 | |||||||||
Naturgy Energy Group SA | 7,804 | 224,623 | |||||||||
Red Electrica Corp. SA | 14,315 | 270,362 | |||||||||
872,963 | |||||||||||
2,287,669 | |||||||||||
Sweden (4.4%): | |||||||||||
Communication Services (0.4%): | |||||||||||
Telia Co. AB | 87,707 | 336,101 | |||||||||
Consumer Discretionary (0.2%): | |||||||||||
Evolution AB (d) | 785 | 71,412 | |||||||||
H & M Hennes & Mauritz AB, Class B (b) | 10,023 | 119,756 | |||||||||
191,168 | |||||||||||
Consumer Staples (0.6%): | |||||||||||
Essity AB, Class B | 9,813 | 256,358 | |||||||||
Swedish Match AB | 28,920 | 294,738 | |||||||||
551,096 | |||||||||||
Energy (0.0%): (e) | |||||||||||
Orron Energy AB (b) | 3,492 | 2,387 | |||||||||
Financials (1.3%): | |||||||||||
EQT AB | 3,454 | 70,741 | |||||||||
Industrivarden AB, Class C (b) | 9,118 | 202,886 | |||||||||
Investor AB, Class B | 10,681 | 175,694 | |||||||||
L E Lundbergforetagen AB, Class B | 4,415 | 179,593 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 18,531 | 181,971 | |||||||||
Svenska Handelsbanken AB, Class A | 26,856 | 229,627 | |||||||||
Swedbank AB, Class A | 15,729 | 198,916 | |||||||||
1,239,428 | |||||||||||
Health Care (0.1%): | |||||||||||
Getinge AB, B Shares | 4,087 | 94,498 | |||||||||
Industrials (1.1%): | |||||||||||
Alfa Laval AB | 5,591 | 134,851 | |||||||||
Assa Abloy AB, Class B | 7,746 | 164,629 | |||||||||
Atlas Copco AB, Class A (c) | 14,172 | 132,472 | |||||||||
Epiroc AB, Class A | 9,843 | 152,061 | |||||||||
See notes to financial statements.
100
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Nibe Industrier AB, Class B | 14,853 | $ | 111,570 | ||||||||
Sandvik AB | 8,720 | 141,450 | |||||||||
Volvo AB, Class B | 11,057 | 171,280 | |||||||||
1,008,313 | |||||||||||
Information Technology (0.3%): | |||||||||||
Hexagon AB, Class B | 13,475 | 140,032 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 17,178 | 128,144 | |||||||||
268,176 | |||||||||||
Materials (0.3%): | |||||||||||
Boliden AB | 3,862 | 122,895 | |||||||||
Svenska Cellulosa AB SCA, Class B | 13,243 | 197,916 | |||||||||
320,811 | |||||||||||
Real Estate (0.1%): | |||||||||||
Fastighets AB Balder, B Shares (c) | 16,206 | 77,684 | |||||||||
4,089,662 | |||||||||||
Switzerland (6.4%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Swisscom AG, Registered Shares | 586 | 323,789 | |||||||||
Consumer Discretionary (0.3%): | |||||||||||
Cie Financiere Richemont SA, Registered Shares | 1,101 | 117,251 | |||||||||
The Swatch Group AG | 555 | 131,700 | |||||||||
248,951 | |||||||||||
Consumer Staples (1.0%): | |||||||||||
Barry Callebaut AG, Registered Shares | 159 | 354,814 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 22 | 223,803 | |||||||||
Nestle SA, Registered Shares | 2,919 | 340,800 | |||||||||
919,417 | |||||||||||
Financials (1.3%): | |||||||||||
Julius Baer Group Ltd. | 3,306 | 152,537 | |||||||||
Partners Group Holding AG | 140 | 126,169 | |||||||||
Swiss Life Holding AG | 440 | 214,353 | |||||||||
Swiss Re AG | 2,901 | 224,847 | |||||||||
UBS Group AG | 10,308 | 166,202 | |||||||||
Zurich Insurance Group AG | 703 | 305,799 | |||||||||
1,189,907 | |||||||||||
Health Care (1.3%): | |||||||||||
Alcon, Inc. | 2,564 | 179,117 | |||||||||
Lonza Group AG, Registered Shares | 288 | 153,580 | |||||||||
Novartis AG, Registered Shares | 3,816 | 323,231 | |||||||||
Roche Holding AG | 773 | 257,977 | |||||||||
Sonova Holding AG | 465 | 148,098 | |||||||||
Straumann Holding AG, Class R | 980 | 117,713 | |||||||||
1,179,716 | |||||||||||
See notes to financial statements.
101
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (1.1%): | |||||||||||
ABB Ltd., Registered Shares | 6,617 | $ | 176,500 | ||||||||
Geberit AG, Registered Shares | 407 | 195,633 | |||||||||
Kuehne + Nagel International AG, Class R | 678 | 160,532 | |||||||||
Schindler Holding AG | 983 | 179,298 | |||||||||
SGS SA, Registered Shares | 112 | 256,386 | |||||||||
VAT Group AG (d) | 365 | 87,034 | |||||||||
1,055,383 | |||||||||||
Information Technology (0.1%): | |||||||||||
Logitech International SA, Class R (b) | 2,043 | 106,741 | |||||||||
Materials (1.0%): | |||||||||||
EMS-Chemie Holding AG | 251 | 186,837 | |||||||||
Givaudan SA, Registered Shares | 61 | 214,538 | |||||||||
Glencore PLC | 29,309 | 158,775 | |||||||||
Holcim AG | 5,003 | 214,115 | |||||||||
Sika AG, Registered Shares | 581 | 133,913 | |||||||||
908,178 | |||||||||||
5,932,082 | |||||||||||
United Kingdom (8.5%): | |||||||||||
Communication Services (0.3%): | |||||||||||
BT Group PLC | 63,050 | 142,962 | |||||||||
WPP PLC | 13,242 | 132,899 | |||||||||
275,861 | |||||||||||
Consumer Discretionary (0.6%): | |||||||||||
Compass Group PLC | 7,689 | 157,218 | |||||||||
Entain PLC (c) | 6,187 | 93,751 | |||||||||
InterContinental Hotels Group PLC | 2,615 | 138,447 | |||||||||
Next PLC | 2,221 | 158,405 | |||||||||
547,821 | |||||||||||
Consumer Staples (1.5%): | |||||||||||
Associated British Foods PLC | 7,410 | 142,314 | |||||||||
British American Tobacco PLC | 6,301 | 269,907 | |||||||||
Diageo PLC | 6,042 | 259,622 | |||||||||
Imperial Brands PLC | 11,867 | 265,178 | |||||||||
Tesco PLC | 76,299 | 237,265 | |||||||||
Unilever PLC | 4,669 | 211,450 | |||||||||
1,385,736 | |||||||||||
Energy (0.4%): | |||||||||||
| BP PLC | 33,826 | 159,861 | |||||||||
Shell PLC | 7,067 | 183,549 | |||||||||
343,410 | |||||||||||
Financials (2.0%): | |||||||||||
| 3i Group PLC | 11,252 | 151,806 | |||||||||
Admiral Group PLC | 6,068 | 165,726 | |||||||||
Aviva PLC | 42,838 | 209,229 | |||||||||
See notes to financial statements.
102
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Barclays PLC | 69,906 | $ | 130,278 | ||||||||
HSBC Holdings PLC | 29,860 | 194,650 | |||||||||
Legal & General Group PLC | 57,199 | 166,731 | |||||||||
Lloyds Banking Group PLC | 250,485 | 128,988 | |||||||||
London Stock Exchange Group PLC | 2,322 | 215,687 | |||||||||
NatWest Group PLC | 60,539 | 160,847 | |||||||||
Schroders PLC | 5,415 | 176,100 | |||||||||
Standard Chartered PLC | 21,004 | 158,138 | |||||||||
1,858,180 | |||||||||||
Health Care (0.7%): | |||||||||||
AstraZeneca PLC | 1,655 | 217,543 | |||||||||
GSK PLC (a) | 14,371 | 308,818 | |||||||||
Smith & Nephew PLC | 11,273 | 157,441 | |||||||||
683,802 | |||||||||||
Industrials (1.8%): | |||||||||||
Ashtead Group PLC | 2,782 | 116,443 | |||||||||
BAE Systems PLC | 27,231 | 275,150 | |||||||||
Bunzl PLC | 6,560 | 217,089 | |||||||||
Ferguson PLC | 1,671 | 186,862 | |||||||||
Intertek Group PLC | 3,216 | 164,630 | |||||||||
RELX PLC | 10,154 | 275,097 | |||||||||
Rentokil Initial PLC | 28,822 | 166,485 | |||||||||
Rolls-Royce Holdings PLC (c) | 85,232 | 86,048 | |||||||||
Spirax-Sarco Engineering PLC | 1,308 | 157,254 | |||||||||
1,645,058 | |||||||||||
Information Technology (0.2%): | |||||||||||
Halma PLC | 6,625 | 161,991 | |||||||||
Materials (0.5%): | |||||||||||
Anglo American PLC | 2,547 | 91,045 | |||||||||
Antofagasta PLC | 6,527 | 91,753 | |||||||||
Croda International PLC | 2,190 | 172,507 | |||||||||
Evraz PLC (a) (f) (g) (h) (i) | 34,029 | 30,234 | |||||||||
Rio Tinto PLC | 2,151 | 128,712 | |||||||||
514,251 | |||||||||||
Utilities (0.5%): | |||||||||||
National Grid PLC | 21,980 | 281,428 | |||||||||
SSE PLC | 10,759 | 211,610 | |||||||||
493,038 | |||||||||||
7,909,148 | |||||||||||
Total Common Stocks (Cost $93,316,079) | 91,907,941 | ||||||||||
Collateral for Securities Loaned (3.4%)^ | |||||||||||
United States (3.4%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) | 97,660 | 97,660 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) | 48,737 | 48,737 | |||||||||
See notes to financial statements.
103
| Victory Portfolios II VictoryShares International Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) | 607,850 | $ | 607,850 | ||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) | 388,614 | 388,614 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (j) | 259,162 | 259,162 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) | 1,747,286 | 1,747,286 | |||||||||
Total Collateral for Securities Loaned (Cost $3,149,309) | 3,149,309 | ||||||||||
Total Investments (Cost $96,465,388) — 102.5% | 95,057,250 | ||||||||||
Liabilities in excess of other assets — (2.5)% | (2,344,487 | ) | |||||||||
NET ASSETS — 100.00% | $ | 92,712,763 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Non-income producing security.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $1,715,431 and amounted to 1.9% of net assets.
(e) Amount represents less than 0.05% of net assets.
(f) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(g) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
Evraz PLC | 3/19/2021 | $ | 213,602 | ||||||||
(j) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini MSCI EAFE Index Futures | 5 | 9/16/22 | $ | 467,990 | $ | 464,150 | $ | (3,840 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (3,840 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (3,840 | ) | ||||||||||||||||||||
See notes to financial statements.
104
| Victory Portfolios II VictoryShares US Large Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.2%) | |||||||||||
Communication Services (4.9%): | |||||||||||
AT&T, Inc. | 125,171 | $ | 2,623,584 | ||||||||
Lumen Technologies, Inc. | 161,311 | 1,759,903 | |||||||||
Omnicom Group, Inc. | 27,572 | 1,753,855 | |||||||||
Paramount Global, Class B | 51,414 | 1,268,897 | |||||||||
The Interpublic Group of Cos., Inc. | 56,611 | 1,558,501 | |||||||||
Verizon Communications, Inc. | 89,048 | 4,519,186 | |||||||||
Warner Bros. Discovery, Inc. (a) (b) | 30,281 | 406,371 | |||||||||
13,890,297 | |||||||||||
Consumer Discretionary (4.3%): | |||||||||||
Best Buy Co., Inc. | 20,024 | 1,305,365 | |||||||||
Darden Restaurants, Inc. | 15,363 | 1,737,862 | |||||||||
Genuine Parts Co. | 25,162 | 3,346,546 | |||||||||
Hasbro, Inc. | 25,217 | 2,064,768 | |||||||||
VF Corp. | 39,922 | 1,763,355 | |||||||||
Whirlpool Corp. | 12,287 | 1,902,888 | |||||||||
12,120,784 | |||||||||||
Consumer Staples (15.9%): | |||||||||||
Altria Group, Inc. | 63,763 | 2,663,380 | |||||||||
Campbell Soup Co. | 78,674 | 3,780,286 | |||||||||
Conagra Brands, Inc. | 97,337 | 3,332,819 | |||||||||
General Mills, Inc. | 53,646 | 4,047,591 | |||||||||
Kellogg Co. | 57,600 | 4,109,184 | |||||||||
Kimberly-Clark Corp. | 30,617 | 4,137,888 | |||||||||
PepsiCo, Inc. | 28,782 | 4,796,808 | |||||||||
Philip Morris International, Inc. | 33,887 | 3,346,002 | |||||||||
The Clorox Co. | 15,461 | 2,179,692 | |||||||||
The Coca-Cola Co. | 70,262 | 4,420,182 | |||||||||
The J.M. Smucker Co. | 25,584 | 3,275,008 | |||||||||
The Kraft Heinz Co. | 79,011 | 3,013,480 | |||||||||
Walgreens Boots Alliance, Inc. | 55,777 | 2,113,948 | |||||||||
45,216,268 | |||||||||||
Electric Utilities (15.3%): | |||||||||||
Alliant Energy Corp. | 62,995 | 3,692,137 | |||||||||
American Electric Power Co., Inc. (b) | 46,348 | 4,446,627 | |||||||||
Duke Energy Corp. (b) | 40,996 | 4,395,181 | |||||||||
Edison International | 54,498 | 3,446,453 | |||||||||
Entergy Corp. | 30,490 | 3,434,394 | |||||||||
Evergy, Inc. (b) | 63,595 | 4,149,574 | |||||||||
Eversource Energy (b) | 42,576 | 3,596,395 | |||||||||
Exelon Corp. | 94,085 | 4,263,932 | |||||||||
FirstEnergy Corp. | 89,072 | 3,419,474 | |||||||||
The Southern Co. (b) | 64,950 | 4,631,584 | |||||||||
Xcel Energy, Inc. (b) | 55,605 | 3,934,610 | |||||||||
43,410,361 | |||||||||||
See notes to financial statements.
105
| Victory Portfolios II VictoryShares US Large Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Energy (6.9%): | |||||||||||
Chevron Corp. | 19,700 | $ | 2,852,166 | ||||||||
Exxon Mobil Corp. | 30,404 | 2,603,799 | |||||||||
Kinder Morgan, Inc. | 162,837 | 2,729,148 | |||||||||
Marathon Petroleum Corp. | 27,454 | 2,256,993 | |||||||||
ONEOK, Inc. | 35,173 | 1,952,101 | |||||||||
Phillips 66 | 22,330 | 1,830,837 | |||||||||
The Williams Cos., Inc. | 98,261 | 3,066,726 | |||||||||
Valero Energy Corp. | 22,261 | 2,365,899 | |||||||||
19,657,669 | |||||||||||
Financials (16.4%): | |||||||||||
Apollo Global Management, Inc. | 31,719 | 1,537,737 | |||||||||
Blackstone, Inc. | 14,003 | 1,277,494 | |||||||||
Citigroup, Inc. | 46,166 | 2,123,174 | |||||||||
Citizens Financial Group, Inc. | 40,544 | 1,447,015 | |||||||||
CME Group, Inc. | 15,218 | 3,115,125 | |||||||||
CNA Financial Corp. | 65,087 | 2,922,406 | |||||||||
Comerica, Inc. | 21,452 | 1,574,148 | |||||||||
Fidelity National Financial, Inc. | 59,100 | 2,184,336 | |||||||||
Franklin Resources, Inc. | 66,305 | 1,545,570 | |||||||||
Huntington Bancshares, Inc. | 138,194 | 1,662,474 | |||||||||
JPMorgan Chase & Co. | 20,083 | 2,261,547 | |||||||||
KeyCorp | 91,615 | 1,578,526 | |||||||||
Lincoln National Corp. | 26,343 | 1,232,062 | |||||||||
MetLife, Inc. | 38,890 | 2,441,903 | |||||||||
Morgan Stanley | 26,439 | 2,010,950 | |||||||||
Principal Financial Group, Inc. | 33,974 | 2,269,123 | |||||||||
Prudential Financial, Inc. | 23,203 | 2,220,063 | |||||||||
Regions Financial Corp. | 84,113 | 1,577,119 | |||||||||
State Street Corp. | 23,849 | 1,470,291 | |||||||||
T. Rowe Price Group, Inc. | 16,670 | 1,893,879 | |||||||||
The Allstate Corp. | 25,024 | 3,171,292 | |||||||||
Truist Financial Corp. | 37,322 | 1,770,182 | |||||||||
U.S. Bancorp | 44,456 | 2,045,865 | |||||||||
Webster Financial Corp. | 31,869 | 1,343,278 | |||||||||
46,675,559 | |||||||||||
Health Care (9.9%): | |||||||||||
AbbVie, Inc. | 24,624 | 3,771,412 | |||||||||
Amgen, Inc. | 14,148 | 3,442,209 | |||||||||
Bristol-Myers Squibb Co. | 53,717 | 4,136,209 | |||||||||
Cardinal Health, Inc. | 45,270 | 2,366,263 | |||||||||
Gilead Sciences, Inc. (b) | 66,769 | 4,126,992 | |||||||||
Johnson & Johnson (b) | 27,030 | 4,798,095 | |||||||||
Merck & Co., Inc. | 34,753 | 3,168,431 | |||||||||
Pfizer, Inc. | 45,589 | 2,390,231 | |||||||||
28,199,842 | |||||||||||
See notes to financial statements.
106
| Victory Portfolios II VictoryShares US Large Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (3.0%): | |||||||||||
3M Co. | 23,345 | $ | 3,021,076 | ||||||||
Cummins, Inc. | 15,060 | 2,914,562 | |||||||||
Watsco, Inc. | 11,052 | 2,639,439 | |||||||||
8,575,077 | |||||||||||
Information Technology (5.8%): | |||||||||||
Broadcom, Inc. | 4,206 | 2,043,317 | |||||||||
Cisco Systems, Inc. | 58,325 | 2,486,978 | |||||||||
Hewlett Packard Enterprise Co. | 150,687 | 1,998,110 | |||||||||
Intel Corp. | 50,438 | 1,886,885 | |||||||||
International Business Machines Corp. | 25,180 | 3,555,164 | |||||||||
NetApp, Inc. | 32,825 | 2,141,503 | |||||||||
Texas Instruments, Inc. | 15,952 | 2,451,025 | |||||||||
16,562,982 | |||||||||||
Materials (5.5%): | |||||||||||
Air Products and Chemicals, Inc. | 14,022 | 3,372,011 | |||||||||
Dow, Inc. | 44,454 | 2,294,271 | |||||||||
International Paper Co. | 69,346 | 2,900,743 | |||||||||
LyondellBasell Industries NV, Class A | 24,570 | 2,148,892 | |||||||||
Newmont Corp. | 35,700 | 2,130,219 | |||||||||
Packaging Corp. of America | 20,101 | 2,763,887 | |||||||||
15,610,023 | |||||||||||
Multi-Utilities (11.3%): | |||||||||||
Ameren Corp. | 45,748 | 4,133,789 | |||||||||
CMS Energy Corp. | 61,900 | 4,178,250 | |||||||||
Consolidated Edison, Inc. (b) | 43,178 | 4,106,228 | |||||||||
Dominion Energy, Inc. | 46,033 | 3,673,894 | |||||||||
DTE Energy Co. | 34,529 | 4,376,551 | |||||||||
NiSource, Inc. | 135,518 | 3,996,426 | |||||||||
Sempra Energy | 24,202 | 3,636,834 | |||||||||
WEC Energy Group, Inc. (b) | 40,728 | 4,098,866 | |||||||||
32,200,838 | |||||||||||
Total Common Stocks (Cost $277,667,437) | 282,119,700 | ||||||||||
Total Investments (Cost $277,667,437) — 99.2% | 282,119,700 | ||||||||||
Other assets in excess of liabilities — 0.8% | 2,187,348 | ||||||||||
NET ASSETS — 100.00% | $ | 284,307,048 | |||||||||
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
See notes to financial statements.
107
| Victory Portfolios II VictoryShares US Large Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 9 | 9/16/22 | $ | 1,776,474 | $ | 1,705,275 | $ | (71,199 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (71,199 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (71,199 | ) | ||||||||||||||||||||
See notes to financial statements.
108
| Victory Portfolios II VictoryShares US Small Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.3%) | |||||||||||
Communication Services (2.0%): | |||||||||||
John Wiley & Sons, Inc., Class A | 66,054 | $ | 3,154,739 | ||||||||
Telephone & Data Systems, Inc. | 142,908 | 2,256,517 | |||||||||
5,411,256 | |||||||||||
Consumer Discretionary (14.8%): | |||||||||||
Big Lots, Inc. (a) | 58,413 | 1,224,921 | |||||||||
Camping World Holdings, Inc., Class A (a) | 71,218 | 1,537,597 | |||||||||
Dana, Inc. | 109,842 | 1,545,477 | |||||||||
Ethan Allen Interiors, Inc. | 95,094 | 1,921,850 | |||||||||
Franchise Group, Inc. | 52,817 | 1,852,292 | |||||||||
Guess?, Inc. (a) | 87,943 | 1,499,428 | |||||||||
Jack in the Box, Inc. | 36,990 | 2,073,659 | |||||||||
Kontoor Brands, Inc. | 46,036 | 1,536,221 | |||||||||
La-Z-Boy, Inc. | 77,389 | 1,834,893 | |||||||||
Monro, Inc. | 53,753 | 2,304,929 | |||||||||
Movado Group, Inc. | 53,964 | 1,669,106 | |||||||||
Oxford Industries, Inc. | 29,636 | 2,629,899 | |||||||||
Patrick Industries, Inc. | 34,114 | 1,768,470 | |||||||||
Rent-A-Center, Inc. | 63,387 | 1,232,877 | |||||||||
Smith & Wesson Brands, Inc. | 84,697 | 1,112,072 | |||||||||
Standard Motor Products, Inc. | 86,378 | 3,886,146 | |||||||||
Strategic Education, Inc. | 36,415 | 2,570,171 | |||||||||
Sturm Ruger & Co., Inc. (b) | 43,847 | 2,790,861 | |||||||||
The Aaron's Co., Inc. | 89,623 | 1,304,015 | |||||||||
The Buckle, Inc. | 52,078 | 1,442,040 | |||||||||
Wolverine World Wide, Inc. | 110,060 | 2,218,809 | |||||||||
39,955,733 | |||||||||||
Consumer Staples (12.8%): | |||||||||||
B&G Foods, Inc. (a) | 124,999 | 2,972,476 | |||||||||
Edgewell Personal Care Co. | 72,187 | 2,491,895 | |||||||||
Energizer Holdings, Inc. | 115,815 | 3,283,355 | |||||||||
Fresh Del Monte Produce, Inc. | 112,970 | 3,336,004 | |||||||||
Medifast, Inc. | 12,586 | 2,271,899 | |||||||||
Nu Skin Enterprises, Inc., Class A | 58,521 | 2,533,959 | |||||||||
SpartanNash Co. | 133,678 | 4,033,065 | |||||||||
The Andersons, Inc. | 64,296 | 2,121,125 | |||||||||
Universal Corp. | 78,177 | 4,729,709 | |||||||||
Vector Group Ltd. | 230,529 | 2,420,555 | |||||||||
Weis Markets, Inc. (b) | 56,920 | 4,242,817 | |||||||||
34,436,859 | |||||||||||
Energy (2.6%): | |||||||||||
Archrock, Inc. | 295,754 | 2,445,886 | |||||||||
Brigham Minerals, Inc. | 110,026 | 2,709,940 | |||||||||
World Fuel Services Corp. (b) | 86,745 | 1,774,803 | |||||||||
6,930,629 | |||||||||||
See notes to financial statements.
109
| Victory Portfolios II VictoryShares US Small Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (22.9%): | |||||||||||
B Riley Financial, Inc. | 35,347 | $ | 1,493,411 | ||||||||
Capitol Federal Financial, Inc. | 396,079 | 3,636,005 | |||||||||
Columbia Banking System, Inc. (a) | 71,961 | 2,061,683 | |||||||||
First Busey Corp. | 120,806 | 2,760,417 | |||||||||
First Financial Bancorp | 127,538 | 2,474,237 | |||||||||
Fulton Financial Corp. | 180,778 | 2,612,242 | |||||||||
GCM Grosvenor, Inc., Class A (a) | 362,662 | 2,484,235 | |||||||||
Heritage Financial Corp. | 124,288 | 3,127,086 | |||||||||
Hope Bancorp, Inc. | 173,700 | 2,404,008 | |||||||||
Kearny Financial Corp. | 301,453 | 3,349,143 | |||||||||
Navient Corp. | 134,383 | 1,880,018 | |||||||||
Northwest Bancshares, Inc. (b) | 308,345 | 3,946,816 | |||||||||
Park National Corp. | 24,816 | 3,008,940 | |||||||||
Peoples Bancorp, Inc. | 123,065 | 3,273,529 | |||||||||
Premier Financial Corp. | 99,711 | 2,527,674 | |||||||||
Provident Financial Services, Inc. | 160,610 | 3,575,179 | |||||||||
S&T Bancorp, Inc. | 102,324 | 2,806,747 | |||||||||
Safety Insurance Group, Inc. (b) | 57,100 | 5,544,410 | |||||||||
Southside Bancshares, Inc. (b) | 84,290 | 3,154,132 | |||||||||
Washington Trust Bancorp, Inc. | 64,558 | 3,122,670 | |||||||||
WesBanco, Inc. | 81,586 | 2,587,092 | |||||||||
61,829,674 | |||||||||||
Health Care (3.4%): | |||||||||||
National HealthCare Corp. (b) | 55,029 | 3,846,527 | |||||||||
Patterson Cos., Inc. (b) | 102,719 | 3,112,386 | |||||||||
Phibro Animal Health Corp., Class A | 118,346 | 2,263,959 | |||||||||
9,222,872 | |||||||||||
Industrials (18.6%): | |||||||||||
ACCO Brands Corp. | 317,358 | 2,072,348 | |||||||||
Brady Corp., Class A | 89,305 | 4,218,768 | |||||||||
Deluxe Corp. | 81,968 | 1,776,247 | |||||||||
Douglas Dynamics, Inc. | 82,634 | 2,374,901 | |||||||||
Eagle Bulk Shipping, Inc. (a) | 32,203 | 1,670,692 | |||||||||
Genco Shipping & Trading Ltd. | 87,301 | 1,686,655 | |||||||||
Global Industrial Co. | 91,995 | 3,106,671 | |||||||||
Granite Construction, Inc. | 92,573 | 2,697,577 | |||||||||
H&E Equipment Services, Inc. | 49,919 | 1,446,153 | |||||||||
Healthcare Services Group | 163,994 | 2,855,136 | |||||||||
HNI Corp. | 77,415 | 2,685,526 | |||||||||
Kaman Corp. | 64,509 | 2,015,906 | |||||||||
Kennametal, Inc. | 91,100 | 2,116,253 | |||||||||
McGrath RentCorp | 42,650 | 3,241,400 | |||||||||
Mueller Water Products, Inc., Class A | 255,176 | 2,993,215 | |||||||||
Pitney Bowes, Inc. | 379,923 | 1,375,321 | |||||||||
Steelcase, Inc., Class A | 273,858 | 2,938,496 | |||||||||
The Gorman-Rupp Co. | 95,039 | 2,689,604 | |||||||||
The Greenbrier Cos., Inc. | 54,908 | 1,976,139 | |||||||||
See notes to financial statements.
110
| Victory Portfolios II VictoryShares US Small Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Trinity Industries, Inc. | 96,218 | $ | 2,330,400 | ||||||||
Wabash National Corp. | 140,096 | 1,902,504 | |||||||||
50,169,912 | |||||||||||
Information Technology (7.0%): | |||||||||||
American Software, Inc., Class A | 107,245 | 1,733,079 | |||||||||
Benchmark Electronics, Inc. | 126,678 | 2,857,856 | |||||||||
CSG Systems International, Inc. | 77,039 | 4,597,688 | |||||||||
InterDigital, Inc. | 57,594 | 3,501,715 | |||||||||
Progress Software Corp. | 67,982 | 3,079,585 | |||||||||
Vishay Intertechnology, Inc. | 179,770 | 3,203,501 | |||||||||
18,973,424 | |||||||||||
Materials (5.9%): | |||||||||||
Greif, Inc., Class A | 55,564 | 3,466,082 | |||||||||
Kronos Worldwide, Inc. | 224,881 | 4,137,810 | |||||||||
Pactiv Evergreen, Inc. | 236,076 | 2,351,317 | |||||||||
Schweitzer-Mauduit International, Inc. | 83,052 | 2,086,266 | |||||||||
SunCoke Energy, Inc. | 258,033 | 1,757,205 | |||||||||
Worthington Industries, Inc. | 48,776 | 2,151,022 | |||||||||
15,949,702 | |||||||||||
Real Estate (0.9%): | |||||||||||
The RMR Group, Inc., Class A | 88,044 | 2,496,047 | |||||||||
Utilities (8.4%): | |||||||||||
MGE Energy, Inc. | 65,383 | 5,088,759 | |||||||||
Northwest Natural Holding Co. | 81,783 | 4,342,677 | |||||||||
Otter Tail Corp. (b) | 65,821 | 4,418,564 | |||||||||
SJW Group | 69,507 | 4,337,932 | |||||||||
Unitil Corp. (b) | 77,964 | 4,578,046 | |||||||||
22,765,978 | |||||||||||
Total Common Stocks (Cost $297,529,768) | 268,142,086 | ||||||||||
Collateral for Securities Loaned (2.8%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (c) | 235,026 | 235,026 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (c) | 117,290 | 117,290 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (c) | 1,462,838 | 1,462,838 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (c) | 935,231 | 935,231 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (c) | 623,694 | 623,694 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (c) | 4,204,982 | 4,204,982 | |||||||||
Total Collateral for Securities Loaned (Cost $7,579,061) | 7,579,061 | ||||||||||
Total Investments (Cost $305,108,829) — 102.1% | 275,721,147 | ||||||||||
Liabilities in excess of other assets — (2.1)% | (5,702,215 | ) | |||||||||
NET ASSETS — 100.00% | $ | 270,018,932 | |||||||||
See notes to financial statements.
111
| Victory Portfolios II VictoryShares US Small Cap High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security is on loan.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) Rate disclosed is the daily yield on June 30, 2022.
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
E-Mini Russell 2000 Index Futures | 19 | 9/16/22 | $ | 1,707,363 | $ | 1,622,600 | $ | (84,763 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (84,763 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (84,763 | ) | ||||||||||||||||||||
See notes to financial statements.
112
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (98.7%) | |||||||||||
Australia (5.0%): | |||||||||||
Communication Services (1.2%): | |||||||||||
Telstra Corp. Ltd. | 71,366 | $ | 189,611 | ||||||||
Financials (1.9%): | |||||||||||
Australia & New Zealand Banking Group Ltd. | 10,840 | 164,799 | |||||||||
Westpac Banking Corp. | 10,870 | 146,276 | |||||||||
311,075 | |||||||||||
Materials (1.9%): | |||||||||||
BHP Group Ltd. | 3,974 | 113,126 | |||||||||
Fortescue Metals Group Ltd. | 6,651 | 80,460 | |||||||||
Rio Tinto Ltd. | 1,465 | 103,829 | |||||||||
297,415 | |||||||||||
798,101 | |||||||||||
Austria (0.7%): | |||||||||||
Energy (0.7%): | |||||||||||
OMV AG | 2,284 | 107,119 | |||||||||
Canada (15.0%): | |||||||||||
Communication Services (4.3%): | |||||||||||
BCE, Inc. (a) | 7,579 | 372,590 | |||||||||
TELUS Corp. (a) | 14,521 | 323,479 | |||||||||
696,069 | |||||||||||
Consumer Discretionary (1.0%): | |||||||||||
Restaurant Brands International, Inc. | 3,119 | 156,483 | |||||||||
Energy (4.2%): | |||||||||||
Enbridge, Inc. | 5,649 | 238,601 | |||||||||
Pembina Pipeline Corp. | 6,100 | 215,657 | |||||||||
TC Energy Corp. | 4,202 | 217,707 | |||||||||
671,965 | |||||||||||
Financials (3.1%): | |||||||||||
Great-West Lifeco, Inc. | 10,561 | 257,912 | |||||||||
Power Corp. of Canada | 9,593 | 246,869 | |||||||||
504,781 | |||||||||||
Utilities (2.4%): | |||||||||||
Emera, Inc. | 8,075 | 378,339 | |||||||||
2,407,637 | |||||||||||
Finland (1.5%): | |||||||||||
Materials (0.9%): | |||||||||||
UPM-Kymmene Oyj | 4,585 | 139,369 | |||||||||
Utilities (0.6%): | |||||||||||
Fortum Oyj | 6,257 | 93,850 | |||||||||
233,219 | |||||||||||
See notes to financial statements.
113
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
France (7.2%): | |||||||||||
Communication Services (1.7%): | |||||||||||
Orange SA | 20,583 | $ | 241,981 | ||||||||
Vivendi SE | 3,582 | 36,391 | |||||||||
278,372 | |||||||||||
Energy (1.0%): | |||||||||||
TotalEnergies SE (b) | 2,890 | 152,528 | |||||||||
Financials (2.9%): | |||||||||||
Amundi SA (c) | 2,245 | 122,791 | |||||||||
AXA SA | 6,226 | 141,301 | |||||||||
BNP Paribas SA | 2,070 | 98,394 | |||||||||
Credit Agricole SA (b) | 11,535 | 105,526 | |||||||||
468,012 | |||||||||||
Industrials (1.1%): | |||||||||||
Bouygues SA | 5,714 | 175,782 | |||||||||
Utilities (0.5%): | |||||||||||
Electricite de France SA | 10,677 | 87,329 | |||||||||
1,162,023 | |||||||||||
Germany (6.0%): | |||||||||||
Communication Services (1.1%): | |||||||||||
Deutsche Telekom AG | 9,085 | 180,352 | |||||||||
Financials (0.9%): | |||||||||||
Allianz SE, Registered Shares | 745 | 142,165 | |||||||||
Health Care (1.0%): | |||||||||||
Bayer AG, Registered Shares | 2,771 | 164,684 | |||||||||
Materials (2.2%): | |||||||||||
BASF SE | 2,446 | 106,425 | |||||||||
Evonik Industries AG | 6,935 | 147,946 | |||||||||
HeidelbergCement AG | 2,200 | 105,669 | |||||||||
360,040 | |||||||||||
Utilities (0.8%): | |||||||||||
E.ON SE | 14,561 | 122,178 | |||||||||
969,419 | |||||||||||
Hong Kong (10.0%): | |||||||||||
Industrials (1.9%): | |||||||||||
CK Hutchison Holdings Ltd. | 29,027 | 196,248 | |||||||||
SITC International Holdings Co. Ltd. | 17,511 | 49,543 | |||||||||
Xinyi Glass Holdings Ltd. | 26,528 | 63,627 | |||||||||
309,418 | |||||||||||
Real Estate (3.1%): | |||||||||||
CK Asset Holdings Ltd. | 25,129 | 177,740 | |||||||||
Henderson Land Development Co. Ltd. | 34,123 | 127,854 | |||||||||
Sun Hung Kai Properties Ltd. | 15,795 | 186,603 | |||||||||
492,197 | |||||||||||
See notes to financial statements.
114
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (5.0%): | |||||||||||
CK Infrastructure Holdings Ltd. | 36,128 | $ | 221,466 | ||||||||
CLP Holdings Ltd. | 36,123 | 299,698 | |||||||||
Power Assets Holdings Ltd. (a) | 45,039 | 283,266 | |||||||||
804,430 | |||||||||||
1,606,045 | |||||||||||
Italy (6.4%): | |||||||||||
Energy (0.7%): | |||||||||||
Eni SpA | 10,230 | 121,425 | |||||||||
Financials (2.5%): | |||||||||||
Assicurazioni Generali SpA | 10,534 | 168,046 | |||||||||
Intesa Sanpaolo SpA | 51,210 | 95,511 | |||||||||
Poste Italiane SpA (c) | 14,195 | 132,553 | |||||||||
396,110 | |||||||||||
Utilities (3.2%): | |||||||||||
Enel SpA | 21,306 | 116,534 | |||||||||
Snam SpA | 39,425 | 206,506 | |||||||||
Terna — Rete Elettrica Nazionale | 23,498 | 184,364 | |||||||||
507,404 | |||||||||||
1,024,939 | |||||||||||
Japan (12.4%): | |||||||||||
Communication Services (1.3%): | |||||||||||
Softbank Corp. | 19,000 | 210,994 | |||||||||
Consumer Discretionary (2.2%): | |||||||||||
Aisin Corp. | 3,300 | 102,167 | |||||||||
Honda Motor Co. Ltd. | 4,600 | 111,660 | |||||||||
Sekisui House Ltd. | 8,300 | 145,400 | |||||||||
359,227 | |||||||||||
Consumer Staples (1.2%): | |||||||||||
Japan Tobacco, Inc. | 11,300 | 195,414 | |||||||||
Energy (1.7%): | |||||||||||
ENEOS Holdings, Inc. | 44,500 | 168,507 | |||||||||
Inpex Corp. | 8,900 | 96,440 | |||||||||
264,947 | |||||||||||
Financials (1.9%): | |||||||||||
Mizuho Financial Group, Inc. | 14,300 | 162,648 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 4,900 | 145,635 | |||||||||
308,283 | |||||||||||
Health Care (1.2%): | |||||||||||
Takeda Pharmaceutical Co. Ltd. | 6,600 | 185,750 | |||||||||
Industrials (1.6%): | |||||||||||
Marubeni Corp. | 12,000 | 108,270 | |||||||||
Sumitomo Corp. | 10,400 | 142,362 | |||||||||
250,632 | |||||||||||
See notes to financial statements.
115
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Information Technology (0.8%): | |||||||||||
Canon, Inc. (b) | 5,800 | $ | 131,896 | ||||||||
Materials (0.5%): | |||||||||||
Nippon Steel Corp. | 5,400 | 75,590 | |||||||||
1,982,733 | |||||||||||
Korea, Republic Of (4.5%): | |||||||||||
Consumer Discretionary (0.8%): | |||||||||||
Kia Corp. | 2,218 | 132,079 | |||||||||
Financials (2.2%): | |||||||||||
Hana Financial Group, Inc. | 3,282 | 99,489 | |||||||||
KB Financial Group, Inc. | 2,756 | 102,227 | |||||||||
Shinhan Financial Group Co. Ltd. | 5,163 | 147,361 | |||||||||
349,077 | |||||||||||
Industrials (1.0%): | |||||||||||
Samsung C&T Corp. | 1,628 | 154,259 | |||||||||
Materials (0.5%): | |||||||||||
POSCO Holdings, Inc. | 485 | 86,120 | |||||||||
721,535 | |||||||||||
Netherlands (2.4%): | |||||||||||
Communication Services (1.4%): | |||||||||||
Koninklijke KPN NV | 64,893 | 231,251 | |||||||||
Financials (1.0%): | |||||||||||
NN Group NV | 3,496 | 158,759 | |||||||||
390,010 | |||||||||||
Norway (2.3%): | |||||||||||
Communication Services (1.2%): | |||||||||||
Telenor ASA | 14,165 | 188,477 | |||||||||
Energy (0.5%): | |||||||||||
Aker BP ASA | 2,333 | 81,058 | |||||||||
Materials (0.6%): | |||||||||||
Yara International ASA | 2,472 | 103,346 | |||||||||
372,881 | |||||||||||
Portugal (0.9%): | |||||||||||
Utilities (0.9%): | |||||||||||
EDP — Energias de Portugal SA | 29,520 | 137,705 | |||||||||
Spain (5.0%): | |||||||||||
Communication Services (1.1%): | |||||||||||
Telefonica SA | 33,882 | 172,609 | |||||||||
Energy (1.0%): | |||||||||||
Repsol SA | 10,431 | 153,561 | |||||||||
See notes to financial statements.
116
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (2.9%): | |||||||||||
Endesa SA | 6,665 | $ | 125,704 | ||||||||
Naturgy Energy Group SA | 5,482 | 157,789 | |||||||||
Red Electrica Corp. SA | 10,055 | 189,905 | |||||||||
473,398 | |||||||||||
799,568 | |||||||||||
Sweden (2.4%): | |||||||||||
Communication Services (1.5%): | |||||||||||
Telia Co. AB | 61,604 | 236,072 | |||||||||
Energy (0.0%): (d) | |||||||||||
Orron Energy AB (b) | 2,453 | 1,677 | |||||||||
Financials (0.9%): | |||||||||||
Swedbank AB, Class A | 11,006 | 139,187 | |||||||||
376,936 | |||||||||||
Switzerland (6.1%): | |||||||||||
Communication Services (1.4%): | |||||||||||
Swisscom AG, Registered Shares | 412 | 227,647 | |||||||||
Financials (2.3%): | |||||||||||
Swiss Re AG | 2,038 | 157,958 | |||||||||
Zurich Insurance Group AG | 494 | 214,886 | |||||||||
372,844 | |||||||||||
Health Care (1.4%): | |||||||||||
Novartis AG, Registered Shares | 2,681 | 227,092 | |||||||||
Materials (1.0%): | |||||||||||
Holcim AG | 3,515 | 150,432 | |||||||||
978,015 | |||||||||||
United Kingdom (10.9%): | |||||||||||
Consumer Staples (3.3%): | |||||||||||
British American Tobacco PLC | 4,428 | 189,676 | |||||||||
Imperial Brands PLC | 8,338 | 186,320 | |||||||||
Unilever PLC | 3,281 | 148,590 | |||||||||
524,586 | |||||||||||
Energy (0.7%): | |||||||||||
| BP PLC | 23,772 | 112,346 | |||||||||
Financials (2.4%): | |||||||||||
Admiral Group PLC | 4,263 | 116,429 | |||||||||
Aviva PLC | 30,097 | 147,000 | |||||||||
Legal & General Group PLC | 40,190 | 117,151 | |||||||||
380,580 | |||||||||||
Health Care (1.3%): | |||||||||||
GSK PLC (a) | 10,100 | 217,039 | |||||||||
See notes to financial statements.
117
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (1.1%): | |||||||||||
Anglo American PLC | 1,790 | $ | 63,985 | ||||||||
Evraz PLC (a) (e) (f) (g) (h) | 23,292 | 20,694 | |||||||||
Rio Tinto PLC | 1,512 | 90,476 | |||||||||
175,155 | |||||||||||
Utilities (2.1%): | |||||||||||
National Grid PLC | 15,447 | 197,780 | |||||||||
SSE PLC | 7,560 | 148,692 | |||||||||
346,472 | |||||||||||
1,756,178 | |||||||||||
Total Common Stocks (Cost $17,714,299) | 15,824,063 | ||||||||||
Collateral for Securities Loaned (2.3%)^ | |||||||||||
United States (2.3%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (i) | 11,581 | 11,581 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (i) | 5,779 | 5,779 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (i) | 72,081 | 72,081 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (i) | 46,083 | 46,083 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (i) | 30,732 | 30,732 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (i) | 207,199 | 207,199 | |||||||||
Total Collateral for Securities Loaned (Cost $373,455) | 373,455 | ||||||||||
Total Investments (Cost $18,087,754) — 101.0% | 16,197,518 | ||||||||||
Liabilities in excess of other assets — (1.0)% | (159,501 | ) | |||||||||
NET ASSETS — 100.00% | $ | 16,038,017 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $255,344 and amounted to 1.6% of net assets.
(d) Amount represents less than 0.05% of net assets.
(e) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.1% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(f) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were 0.1% of net assets.
(g) Restricted security that is not registered under the Securities Act of 1933.
See notes to financial statements.
118
| Victory Portfolios II VictoryShares International High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(h) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
Evraz PLC | 3/19/2021 | $ | 141,368 | ||||||||
(i) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
E-Mini MSCI EAFE Index Futures | 1 | 9/16/22 | $ | 93,044 | $ | 92,830 | $ | (214 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (214 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (214 | ) | ||||||||||||||||||||
See notes to financial statements.
119
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (98.5%) | |||||||||||
Brazil (9.5%): | |||||||||||
Consumer Discretionary (0.6%): | |||||||||||
Vibra Energia SA | 18,559 | $ | 59,264 | ||||||||
Consumer Staples (2.4%): | |||||||||||
Ambev SA | 34,300 | 87,833 | |||||||||
Atacadao SA | 24,700 | 78,684 | |||||||||
JBS SA | 12,800 | 77,271 | |||||||||
243,788 | |||||||||||
Energy (0.6%): | |||||||||||
Petroleo Brasileiro SA, Preference Shares | 12,700 | 67,785 | |||||||||
Financials (2.6%): | |||||||||||
B3 SA — Brasil Bolsa Balcao | 24,800 | 51,942 | |||||||||
Banco do Brasil SA | 15,100 | 96,321 | |||||||||
BB Seguridade Participacoes SA | 24,000 | 119,062 | |||||||||
267,325 | |||||||||||
Materials (1.3%): | |||||||||||
Cia Siderurgica Nacional SA | 12,200 | 35,997 | |||||||||
CSN Mineracao SA | 52,318 | 38,592 | |||||||||
Vale SA | 4,400 | 64,374 | |||||||||
138,963 | |||||||||||
Utilities (2.0%): | |||||||||||
Centrais Eletricas Brasileiras SA | 11,100 | 97,999 | |||||||||
| CPFL Energia SA | 18,700 | 110,351 | |||||||||
208,350 | |||||||||||
985,475 | |||||||||||
Chile (1.9%): | |||||||||||
Energy (0.6%): | |||||||||||
Empresas COPEC SA | 8,532 | 62,976 | |||||||||
Industrials (0.7%): | |||||||||||
Cia Sud Americana de Vapores SA | 781,420 | 69,852 | |||||||||
Materials (0.6%): | |||||||||||
Empresas CMPC SA | 37,981 | 63,150 | |||||||||
195,978 | |||||||||||
China (19.8%): | |||||||||||
Energy (1.8%): | |||||||||||
China Petroleum & Chemical Corp., Class H | 232,845 | 104,752 | |||||||||
China Shenhua Energy Co. Ltd., Class H | 26,220 | 75,185 | |||||||||
179,937 | |||||||||||
Financials (13.9%): | |||||||||||
Agricultural Bank of China Ltd., Class H (a) (b) | 495,426 | 186,891 | |||||||||
Bank of China Ltd., Class H (a) (b) (c) | 594,460 | 237,129 | |||||||||
Bank of Communications Co. Ltd., Class H | 201,311 | 139,055 | |||||||||
See notes to financial statements.
120
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
China CITIC Bank Corp. Ltd., Class H | 329,589 | $ | 147,434 | ||||||||
China Everbright Bank Co. Ltd., Class H | 361,667 | 117,074 | |||||||||
China Merchants Securities Co. Ltd., Class H (d) | 74,918 | 81,348 | |||||||||
China Minsheng Banking Corp. Ltd., Class H (c) | 271,174 | 96,766 | |||||||||
Industrial & Commercial Bank of China Ltd., Class H (c) | 290,256 | 172,380 | |||||||||
New China Life Insurance Co. Ltd., Class H | 38,453 | 108,058 | |||||||||
The People's Insurance Co. Group of China Ltd., Class H | 489,171 | 149,620 | |||||||||
1,435,755 | |||||||||||
Health Care (0.9%): | |||||||||||
Sinopharm Group Co. Ltd., Class H | 37,528 | 90,967 | |||||||||
Industrials (0.5%): | |||||||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H | 96,237 | 51,390 | |||||||||
Information Technology (1.2%): | |||||||||||
China Railway Signal & Communication Corp. Ltd., Class H (d) | 371,697 | 124,111 | |||||||||
Materials (0.4%): | |||||||||||
China Hongqiao Group Ltd. | 39,543 | 44,700 | |||||||||
Real Estate (1.1%): | |||||||||||
China Vanke Co. Ltd., Class H | 27,331 | 68,688 | |||||||||
Country Garden Holdings Co. Ltd. | 79,212 | 49,062 | |||||||||
117,750 | |||||||||||
2,044,610 | |||||||||||
Colombia (0.8%): | |||||||||||
Utilities (0.8%): | |||||||||||
Interconexion Electrica SA ESP | 16,846 | 83,377 | |||||||||
Hong Kong (0.6%): | |||||||||||
Utilities (0.6%): | |||||||||||
China Gas Holdings Ltd. | 37,886 | 58,519 | |||||||||
India (8.1%): | |||||||||||
Communication Services (0.6%): | |||||||||||
Indus Towers Ltd. | 22,477 | 59,517 | |||||||||
Consumer Discretionary (1.3%): | |||||||||||
Bajaj Auto Ltd. | 2,897 | 135,980 | |||||||||
Consumer Staples (1.3%): | |||||||||||
ITC Ltd. | 39,875 | 138,105 | |||||||||
Energy (1.5%): | |||||||||||
Bharat Petroleum Corp. Ltd. | 24,346 | 95,081 | |||||||||
Hindustan Petroleum Corp. Ltd. | 23,554 | 64,785 | |||||||||
159,866 | |||||||||||
Materials (1.4%): | |||||||||||
Ambuja Cements Ltd. | 23,328 | 107,235 | |||||||||
Vedanta Ltd. | 11,919 | 33,659 | |||||||||
140,894 | |||||||||||
See notes to financial statements.
121
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (2.0%): | |||||||||||
NTPC Ltd. | 58,640 | $ | 106,115 | ||||||||
Power Grid Corp. of India Ltd. | 37,782 | 101,384 | |||||||||
207,499 | |||||||||||
841,861 | |||||||||||
Indonesia (3.7%): | |||||||||||
Communication Services (0.9%): | |||||||||||
PT Telkom Indonesia Persero Tbk | 357,472 | 95,998 | |||||||||
Consumer Staples (2.1%): | |||||||||||
PT Gudang Garam Tbk | 41,764 | 87,411 | |||||||||
PT Indofood Sukses Makmur Tbk | 281,211 | 133,101 | |||||||||
220,512 | |||||||||||
Energy (0.7%): | |||||||||||
PT Adaro Energy Indonesia Tbk | 367,320 | 70,530 | |||||||||
387,040 | |||||||||||
Malaysia (11.6%): | |||||||||||
Consumer Staples (0.8%): | |||||||||||
Kuala Lumpur Kepong Bhd | 17,100 | 85,151 | |||||||||
Financials (6.0%): | |||||||||||
Malayan Banking Bhd (b) | 133,400 | 260,079 | |||||||||
Public Bank Bhd | 209,900 | 208,185 | |||||||||
RHB Bank Bhd | 116,500 | 151,508 | |||||||||
619,772 | |||||||||||
Health Care (0.6%): | |||||||||||
Hartalega Holdings Bhd | 57,700 | 40,073 | |||||||||
Top Glove Corp. Bhd | 100,200 | 23,651 | |||||||||
63,724 | |||||||||||
Industrials (2.6%): | |||||||||||
MISC Bhd | 88,600 | 142,774 | |||||||||
Sime Darby Bhd | 256,500 | 124,000 | |||||||||
266,774 | |||||||||||
Utilities (1.6%): | |||||||||||
Tenaga Nasional Bhd | 92,500 | 167,533 | |||||||||
1,202,954 | |||||||||||
Mexico (4.6%): | |||||||||||
Consumer Staples (2.9%): | |||||||||||
Arca Continental SAB de CV | 28,079 | 185,057 | |||||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 86,553 | 117,230 | |||||||||
302,287 | |||||||||||
Materials (1.7%): | |||||||||||
Grupo Mexico SAB de CV, Class B | 17,251 | 71,452 | |||||||||
Orbia Advance Corp. SAB de CV | 43,779 | 102,477 | |||||||||
173,929 | |||||||||||
476,216 | |||||||||||
See notes to financial statements.
122
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Netherlands (0.0%): (e) | |||||||||||
Consumer Staples (0.0%): | |||||||||||
X5 Retail Group NV, GDR (f) (g) (h) (i) | 5,583 | $ | 438 | ||||||||
Philippines (1.3%): | |||||||||||
Communication Services (1.3%): | |||||||||||
Globe Telecom, Inc. | 1,225 | 50,542 | |||||||||
PLDT, Inc. | 2,715 | 82,976 | |||||||||
133,518 | |||||||||||
Poland (2.9%): | |||||||||||
Communication Services (0.8%): | |||||||||||
Cyfrowy Polsat SA | 17,684 | 83,785 | |||||||||
Consumer Discretionary (0.5%): | |||||||||||
LPP SA | 25 | 50,209 | |||||||||
Energy (0.7%): | |||||||||||
Polski Koncern Naftowy ORLEN SA | 4,744 | 72,577 | |||||||||
Financials (0.9%): | |||||||||||
Powszechny Zaklad Ubezpieczen SA | 13,416 | 89,803 | |||||||||
296,374 | |||||||||||
Romania (1.2%): | |||||||||||
Real Estate (1.2%): | |||||||||||
NEPI Rockcastle S.A. | 24,084 | 128,987 | |||||||||
Russian Federation (0.2%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Mobile TeleSystems PJSC (f) (g) | 74,552 | 3,244 | |||||||||
Rostelecom PJSC (b) (f) (g) (h) (i) | 216,040 | 2,841 | |||||||||
6,085 | |||||||||||
Consumer Staples (0.0%): (e) | |||||||||||
Magnit PJSC (f) (g) | 2,982 | 49 | |||||||||
Energy (0.0%): (e) | |||||||||||
Tatneft PJSC (f) (g) | 26,475 | 1,851 | |||||||||
Financials (0.0%): (e) | |||||||||||
Moscow Exchange MICEX-RTS PJSC (a) (f) (g) | 83,340 | 1,540 | |||||||||
Materials (0.1%): | |||||||||||
Magnitogorsk Iron & Steel Works PJSC (f) (g) | 149,520 | 1,339 | |||||||||
MMC Norilsk Nickel PJSC (f) (g) | 476 | 1,775 | |||||||||
Novolipetsk Steel PJSC (f) (g) | 47,250 | 1,640 | |||||||||
Polyus PJSC (f) (g) | 1,101 | 2,268 | |||||||||
Severstal PAO (f) (g) (h) (i) | 7,165 | 1,871 | |||||||||
8,893 | |||||||||||
Utilities (0.0%): (e) | |||||||||||
Inter RAO UES PJSC (f) (g) | 4,103,676 | 2,166 | |||||||||
RusHydro PJSC (f) (g) (h) (i) | 22,215,994 | 2,880 | |||||||||
5,046 | |||||||||||
23,464 | |||||||||||
See notes to financial statements.
123
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
South Africa (5.5%): | |||||||||||
Communication Services (2.0%): | |||||||||||
MultiChoice Group | 12,092 | $ | 86,117 | ||||||||
Vodacom Group Ltd. | 14,343 | 115,662 | |||||||||
201,779 | |||||||||||
Energy (0.7%): | |||||||||||
Exxaro Resources Ltd. | 6,272 | 76,439 | |||||||||
Financials (0.9%): | |||||||||||
Sanlam Ltd. | 29,536 | 96,030 | |||||||||
Materials (1.9%): | |||||||||||
African Rainbow Minerals Ltd. | 3,870 | 50,870 | |||||||||
Anglo American Platinum Ltd. | 388 | 34,001 | |||||||||
Impala Platinum Holdings Ltd. | 2,869 | 31,959 | |||||||||
Kumba Iron Ore Ltd. | 1,508 | 48,747 | |||||||||
Sibanye Stillwater Ltd. | 12,727 | 31,831 | |||||||||
197,408 | |||||||||||
571,656 | |||||||||||
Taiwan (18.7%): | |||||||||||
Communication Services (2.8%): | |||||||||||
Far EasTone Telecommunications Co. Ltd. | 104,000 | 292,426 | |||||||||
Financials (1.1%): | |||||||||||
Yuanta Financial Holding Co. Ltd. | 176,000 | 116,615 | |||||||||
Industrials (1.7%): | |||||||||||
Far Eastern New Century Corp. | 164,000 | 175,407 | |||||||||
Information Technology (10.3%): | |||||||||||
Asustek Computer, Inc. | 10,000 | 104,433 | |||||||||
Catcher Technology Co. Ltd. | 22,000 | 122,461 | |||||||||
Compal Electronics, Inc. (b) | 253,000 | 193,588 | |||||||||
Largan Precision Co. Ltd. | 1,000 | 58,018 | |||||||||
Lite-On Technology Corp. | 49,059 | 95,537 | |||||||||
Pegatron Corp. | 83,000 | 159,121 | |||||||||
Quanta Computer, Inc. (b) | 43,000 | 115,411 | |||||||||
Synnex Technology International Corp. | 54,000 | 96,623 | |||||||||
WPG Holdings Ltd. (b) | 63,000 | 116,753 | |||||||||
1,061,945 | |||||||||||
Materials (2.8%): | |||||||||||
Asia Cement Corp. | 99,000 | 145,843 | |||||||||
Taiwan Cement Corp. (b) | 107,000 | 142,153 | |||||||||
287,996 | |||||||||||
1,934,389 | |||||||||||
Thailand (6.8%): | |||||||||||
Communication Services (0.6%): | |||||||||||
Total Access Communication PCL | 51,300 | 64,580 | |||||||||
See notes to financial statements.
124
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Consumer Staples (1.3%): | |||||||||||
Charoen Pokphand Foods PCL | 183,600 | $ | 135,042 | ||||||||
Energy (1.1%): | |||||||||||
PTT PCL | 115,100 | 110,707 | |||||||||
Materials (2.5%): | |||||||||||
PTT Global Chemical PCL | 73,000 | 93,963 | |||||||||
The Siam Cement PCL | 15,600 | 165,051 | |||||||||
259,014 | |||||||||||
Real Estate (1.3%): | |||||||||||
Land & Houses PCL | 559,600 | 132,186 | |||||||||
701,529 | |||||||||||
Turkey (1.3%): | |||||||||||
Industrials (0.8%): | |||||||||||
Enka Insaat ve Sanayi A/S | 81,595 | 84,353 | |||||||||
Materials (0.5%): | |||||||||||
Eregli Demir ve Celik Fabrikalari TAS | 28,235 | 45,952 | |||||||||
130,305 | |||||||||||
Total Common Stocks (Cost $13,793,624) | 10,196,690 | ||||||||||
Collateral for Securities Loaned (2.6%)^ | |||||||||||
United States (2.6%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) | 8,255 | 8,255 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) | 4,120 | 4,120 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) | 51,381 | 51,381 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) | 32,849 | 32,849 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (j) | 21,907 | 21,907 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) | 147,696 | 147,696 | |||||||||
Total Collateral for Securities Loaned (Cost $266,208) | 266,208 | ||||||||||
Total Investments (Cost $14,059,832) — 101.1% | 10,462,898 | ||||||||||
Liabilities in excess of other assets — (1.1)% | (112,045 | ) | |||||||||
NET ASSETS — 100.00% | $ | 10,350,853 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $205,459 and amounted to 2.0% of net assets.
(e) Amount represents less than 0.05% of net assets.
See notes to financial statements.
125
| Victory Portfolios II VictoryShares Emerging Market High Div Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.2% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were 0.2% of net assets.
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
Rostelecom PJSC | 9/18/2020 | $ | 283,116 | ||||||||
RusHydro PJSC | 9/18/2020 | 235,617 | |||||||||
Severstal PAO | 6/1/2018 | 106,124 | |||||||||
X5 Retail Group NV | 9/18/2020 | 199,826 | |||||||||
(j) Rate disclosed is the daily yield on June 30, 2022.
GDR — Global Depositary Receipt
PCL — Public Company Limited
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
| E-Mini MSCI Emerging Markets Index Futures | 2 | 9/16/22 | $ | 100,683 | $ | 100,270 | $ | (413 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (413 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (413 | ) | ||||||||||||||||||||
See notes to financial statements.
126
| Victory Portfolios II VictoryShares Dividend Accelerator ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.6%) | |||||||||||
Aerospace & Defense (3.1%): | |||||||||||
Lockheed Martin Corp. | 10,996 | $ | 4,727,840 | ||||||||
Northrop Grumman Corp. | 8,273 | 3,959,210 | |||||||||
8,687,050 | |||||||||||
Commercial Services & Supplies (0.6%): | |||||||||||
Cintas Corp. | 4,784 | 1,786,968 | |||||||||
Communication Services (0.5%): | |||||||||||
AT&T, Inc. | 70,708 | 1,482,040 | |||||||||
Consumer Discretionary (7.6%): | |||||||||||
Genuine Parts Co. | 27,155 | 3,611,615 | |||||||||
Leggett & Platt, Inc. | 128,998 | 4,460,751 | |||||||||
Lithia Motors, Inc. | 10,175 | 2,796,192 | |||||||||
Lowe's Cos., Inc. | 12,107 | 2,114,729 | |||||||||
NIKE, Inc., Class B | 41,542 | 4,245,592 | |||||||||
Target Corp. (a) | 26,786 | 3,782,987 | |||||||||
21,011,866 | |||||||||||
Consumer Staples (19.4%): | |||||||||||
Altria Group, Inc. | 28,621 | 1,195,499 | |||||||||
Archer-Daniels-Midland Co. | 40,220 | 3,121,072 | |||||||||
Brown-Forman Corp., Class B | 67,646 | 4,746,043 | |||||||||
Colgate-Palmolive Co. | 82,673 | 6,625,414 | |||||||||
Costco Wholesale Corp. | 9,516 | 4,560,829 | |||||||||
Hormel Foods Corp. (b) | 79,789 | 3,778,807 | |||||||||
Kimberly-Clark Corp. | 34,336 | 4,640,510 | |||||||||
McCormick & Co., Inc. | 29,414 | 2,448,716 | |||||||||
PepsiCo, Inc. | 20,264 | 3,377,198 | |||||||||
Sysco Corp. | 28,234 | 2,391,702 | |||||||||
The Clorox Co. | 38,303 | 5,399,957 | |||||||||
The Coca-Cola Co. | 48,935 | 3,078,501 | |||||||||
The Procter & Gamble Co. | 23,335 | 3,355,340 | |||||||||
Walgreens Boots Alliance, Inc. | 46,758 | 1,772,128 | |||||||||
Walmart, Inc. | 28,674 | 3,486,185 | |||||||||
53,977,901 | |||||||||||
Electrical Equipment (2.0%): | |||||||||||
Emerson Electric Co. | 71,295 | 5,670,804 | |||||||||
Energy (0.8%): | |||||||||||
ONEOK, Inc. | 39,263 | 2,179,096 | |||||||||
Financials (8.6%): | |||||||||||
Aflac, Inc. | 63,104 | 3,491,544 | |||||||||
Aon PLC, Class A | 27,531 | 7,424,560 | |||||||||
Axis Capital Holdings Ltd. | 31,459 | 1,795,994 | |||||||||
Cincinnati Financial Corp. | 9,047 | 1,076,412 | |||||||||
Commerce Bancshares, Inc. | 49,736 | 3,265,169 | |||||||||
Franklin Resources, Inc. | 107,726 | 2,511,093 | |||||||||
Old Republic International Corp. | 54,079 | 1,209,207 | |||||||||
See notes to financial statements.
127
| Victory Portfolios II VictoryShares Dividend Accelerator ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
S&P Global, Inc. | 3,823 | $ | 1,288,580 | ||||||||
T. Rowe Price Group, Inc. | 16,158 | 1,835,710 | |||||||||
23,898,269 | |||||||||||
Health Care (12.4%): | |||||||||||
Abbott Laboratories | 31,505 | 3,423,018 | |||||||||
Becton Dickinson & Co. | 8,863 | 2,184,996 | |||||||||
DENTSPLY SIRONA, Inc. | 10,885 | 388,921 | |||||||||
Elevance Health, Inc. | 17,307 | 8,352,012 | |||||||||
Johnson & Johnson (a) | 15,554 | 2,760,991 | |||||||||
Medtronic PLC | 48,263 | 4,331,604 | |||||||||
Merck & Co., Inc. | 68,106 | 6,209,224 | |||||||||
Quest Diagnostics, Inc. | 43,671 | 5,807,370 | |||||||||
West Pharmaceutical Services, Inc. | 2,947 | 891,084 | |||||||||
34,349,220 | |||||||||||
Industrial Conglomerates (6.8%): | |||||||||||
3M Co. | 73,222 | 9,475,659 | |||||||||
Carlisle Cos., Inc. | 17,278 | 4,122,704 | |||||||||
Honeywell International, Inc. | 30,416 | 5,286,605 | |||||||||
18,884,968 | |||||||||||
Information Technology (13.0%): | |||||||||||
Apple, Inc. | 54,634 | 7,469,560 | |||||||||
Automatic Data Processing, Inc. | 16,550 | 3,476,162 | |||||||||
Cisco Systems, Inc. | 141,413 | 6,029,850 | |||||||||
Jack Henry & Associates, Inc. | 18,703 | 3,366,914 | |||||||||
Mastercard, Inc., Class A | 19,717 | 6,220,319 | |||||||||
Microchip Technology, Inc. | 69,347 | 4,027,674 | |||||||||
QUALCOMM, Inc. | 15,912 | 2,032,599 | |||||||||
Texas Instruments, Inc. | 23,529 | 3,615,231 | |||||||||
36,238,309 | |||||||||||
Machinery (12.1%): | |||||||||||
Caterpillar, Inc. | 14,683 | 2,624,733 | |||||||||
Donaldson Co., Inc. | 128,663 | 6,193,837 | |||||||||
Dover Corp. | 27,058 | 3,282,677 | |||||||||
Illinois Tool Works, Inc. | 26,352 | 4,802,652 | |||||||||
ITT, Inc. | 48,598 | 3,267,730 | |||||||||
Lincoln Electric Holdings, Inc. | 66,059 | 8,149,038 | |||||||||
Nordson Corp. | 15,958 | 3,230,537 | |||||||||
Stanley Black & Decker, Inc. | 19,035 | 1,996,010 | |||||||||
33,547,214 | |||||||||||
Materials (5.7%): | |||||||||||
Air Products and Chemicals, Inc. | 13,721 | 3,299,626 | |||||||||
Nucor Corp. | 5,223 | 545,333 | |||||||||
PPG Industries, Inc. | 27,630 | 3,159,214 | |||||||||
RPM International, Inc. | 61,559 | 4,845,925 | |||||||||
Sonoco Products Co. | 30,164 | 1,720,555 | |||||||||
The Sherwin-Williams Co. | 10,152 | 2,273,134 | |||||||||
15,843,787 | |||||||||||
See notes to financial statements.
128
| Victory Portfolios II VictoryShares Dividend Accelerator ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Professional Services (1.5%): | |||||||||||
Robert Half International, Inc. | 53,958 | $ | 4,040,915 | ||||||||
Trading Companies & Distributors (1.8%): | |||||||||||
W.W. Grainger, Inc. | 10,929 | 4,966,465 | |||||||||
Utilities (3.7%): | |||||||||||
Consolidated Edison, Inc. (a) | 85,886 | 8,167,759 | |||||||||
National Fuel Gas Co. | 7,667 | 506,405 | |||||||||
UGI Corp. | 37,906 | 1,463,551 | |||||||||
10,137,715 | |||||||||||
Total Common Stocks (Cost $283,697,397) | 276,702,587 | ||||||||||
Collateral for Securities Loaned (0.1%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (c) | 11,345 | 11,345 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (c) | 5,662 | 5,662 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (c) | 70,616 | 70,616 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (c) | 45,146 | 45,146 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (c) | 30,108 | 30,108 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (c) | 202,987 | 202,987 | |||||||||
Total Collateral for Securities Loaned (Cost $365,864) | 365,864 | ||||||||||
Total Investments (Cost $284,063,261) — 99.7% | 277,068,451 | ||||||||||
Other assets in excess of liabilities — 0.3% | 840,930 | ||||||||||
NET ASSETS — 100.00% | $ | 277,909,381 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 4 | 9/16/22 | $ | 765,639 | $ | 757,900 | $ | (7,739 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (7,739 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (7,739 | ) | ||||||||||||||||||||
See notes to financial statements.
129
| Victory Portfolios II VictoryShares US Multi-Factor Minimum Volatility ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.6%) | |||||||||||
Communication Services (5.1%): | |||||||||||
Charter Communications, Inc., Class A (a) | 6,509 | $ | 3,049,662 | ||||||||
Comcast Corp., Class A | 54,266 | 2,129,398 | |||||||||
Fox Corp., Class A | 12,892 | 414,606 | |||||||||
Ziff Davis, Inc. (a) | 6,551 | 488,246 | |||||||||
6,081,912 | |||||||||||
Consumer Discretionary (9.9%): | |||||||||||
AutoZone, Inc. (a) | 2,035 | 4,373,459 | |||||||||
Gentex Corp. | 19,082 | 533,724 | |||||||||
Lowe's Cos., Inc. | 2,653 | 463,399 | |||||||||
Tapestry, Inc. | 9,333 | 284,843 | |||||||||
Target Corp. (b) | 18,832 | 2,659,643 | |||||||||
Thor Industries, Inc. | 4,278 | 319,695 | |||||||||
Tractor Supply Co. | 16,581 | 3,214,227 | |||||||||
11,848,990 | |||||||||||
Consumer Staples (13.8%): | |||||||||||
Colgate-Palmolive Co. | 4,445 | 356,222 | |||||||||
Kellogg Co. | 19,849 | 1,416,028 | |||||||||
Philip Morris International, Inc. | 3,587 | 354,180 | |||||||||
The Clorox Co. | 16,910 | 2,383,972 | |||||||||
The Hershey Co. | 14,124 | 3,038,920 | |||||||||
The J.M. Smucker Co. | 10,801 | 1,382,636 | |||||||||
The Kroger Co. | 67,948 | 3,215,979 | |||||||||
Tyson Foods, Inc., Class A | 5,986 | 515,155 | |||||||||
Walmart, Inc. | 31,017 | 3,771,047 | |||||||||
16,434,139 | |||||||||||
Energy (8.9%): | |||||||||||
Chevron Corp. | 26,951 | 3,901,966 | |||||||||
ConocoPhillips | 15,956 | 1,433,008 | |||||||||
Devon Energy Corp. | 5,692 | 313,686 | |||||||||
EOG Resources, Inc. | 7,881 | 870,378 | |||||||||
Exxon Mobil Corp. | 4,075 | 348,983 | |||||||||
Hess Corp. | 3,151 | 333,817 | |||||||||
Marathon Oil Corp. | 13,417 | 301,614 | |||||||||
Phillips 66 | 5,972 | 489,644 | |||||||||
Pioneer Natural Resources Co. | 5,977 | 1,333,349 | |||||||||
Valero Energy Corp. | 12,060 | 1,281,737 | |||||||||
10,608,182 | |||||||||||
Financials (5.9%): | |||||||||||
American International Group, Inc. | 9,919 | 507,158 | |||||||||
Arch Capital Group Ltd. (a) | 8,887 | 404,270 | |||||||||
Evercore, Inc. | 3,323 | 311,066 | |||||||||
First American Financial Corp. | 15,211 | 804,966 | |||||||||
Lazard Ltd., Class A | 10,358 | 335,703 | |||||||||
SEI Investments Co. | 6,139 | 331,629 | |||||||||
See notes to financial statements.
130
| Victory Portfolios II VictoryShares US Multi-Factor Minimum Volatility ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
T. Rowe Price Group, Inc. | 2,460 | $ | 279,481 | ||||||||
The Allstate Corp. | 29,941 | 3,794,423 | |||||||||
The Hartford Financial Services Group Inc. | 5,089 | 332,973 | |||||||||
7,101,669 | |||||||||||
Health Care (19.4%): | |||||||||||
AbbVie, Inc. | 30,217 | 4,628,036 | |||||||||
Bristol-Myers Squibb Co. | 61,186 | 4,711,322 | |||||||||
DaVita, Inc. (a) | 2,976 | 237,961 | |||||||||
Gilead Sciences, Inc. (b) | 5,667 | 350,277 | |||||||||
Hologic, Inc. (a) | 29,790 | 2,064,447 | |||||||||
Johnson & Johnson (b) | 31,101 | 5,520,738 | |||||||||
Laboratory Corp. of America Holdings | 14,135 | 3,312,679 | |||||||||
McKesson Corp. | 1,099 | 358,505 | |||||||||
Merck & Co., Inc. | 14,979 | 1,365,635 | |||||||||
Molina Healthcare, Inc. (a) | 1,006 | 281,288 | |||||||||
UnitedHealth Group, Inc. | 662 | 340,023 | |||||||||
23,170,911 | |||||||||||
Industrials (11.0%): | |||||||||||
A O Smith Corp. | 5,273 | 288,328 | |||||||||
Atkore, Inc. (a) | 3,418 | 283,728 | |||||||||
Clean Harbors, Inc. (a) | 3,021 | 264,851 | |||||||||
CSX Corp. | 8,997 | 261,453 | |||||||||
Cummins, Inc. | 1,645 | 318,357 | |||||||||
Emerson Electric Co. | 3,433 | 273,061 | |||||||||
Illinois Tool Works, Inc. | 5,343 | 973,762 | |||||||||
Landstar System, Inc. | 2,237 | 325,304 | |||||||||
Lincoln Electric Holdings, Inc. | 3,192 | 393,765 | |||||||||
Lockheed Martin Corp. | 10,006 | 4,302,180 | |||||||||
Oshkosh Corp. | 3,350 | 275,169 | |||||||||
Robert Half International, Inc. | 6,535 | 489,406 | |||||||||
Snap-on, Inc. | 1,641 | 323,326 | |||||||||
Textron, Inc. | 4,525 | 276,342 | |||||||||
Waste Management, Inc. | 26,679 | 4,081,353 | |||||||||
13,130,385 | |||||||||||
Information Technology (24.6%): | |||||||||||
Applied Materials, Inc. | 4,410 | 401,222 | |||||||||
Broadcom, Inc. | 6,353 | 3,086,351 | |||||||||
Cisco Systems, Inc. | 73,024 | 3,113,743 | |||||||||
Cognizant Technology Solutions Corp., Class A | 39,106 | 2,639,264 | |||||||||
HP, Inc. | 95,580 | 3,133,112 | |||||||||
Microsoft Corp. (b) | 36,309 | 9,325,241 | |||||||||
NetApp, Inc. | 27,931 | 1,822,218 | |||||||||
NXP Semiconductors NV | 9,912 | 1,467,273 | |||||||||
Texas Instruments, Inc. | 24,794 | 3,809,598 | |||||||||
Visa, Inc., Class A | 1,522 | 299,667 | |||||||||
Zebra Technologies Corp. (a) | 810 | 238,100 | |||||||||
29,335,789 | |||||||||||
See notes to financial statements.
131
| Victory Portfolios II VictoryShares US Multi-Factor Minimum Volatility ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (0.5%): | |||||||||||
Avery Dennison Corp. | 1,934 | $ | 313,057 | ||||||||
Packaging Corp. of America | 2,159 | 296,862 | |||||||||
609,919 | |||||||||||
Real Estate (0.5%): | |||||||||||
CBRE Group, Inc., Class A (a) | 3,723 | 274,050 | |||||||||
Weyerhaeuser Co. | 10,623 | 351,834 | |||||||||
625,884 | |||||||||||
Total Common Stocks (Cost $120,662,458) | 118,947,780 | ||||||||||
Total Investments (Cost $120,662,458) — 99.6% | 118,947,780 | ||||||||||
Other assets in excess of liabilities — 0.4% | 492,932 | ||||||||||
NET ASSETS — 100.00% | $ | 119,440,712 | |||||||||
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 2 | 9/16/22 | $ | 392,928 | $ | 378,950 | $ | (13,978 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (13,978 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (13,978 | ) | ||||||||||||||||||||
See notes to financial statements.
132
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.5%) | |||||||||||
Communication Services (4.2%): | |||||||||||
Alphabet, Inc., Class A (a) | 779 | $ | 1,697,643 | ||||||||
AT&T, Inc. | 97,786 | 2,049,595 | |||||||||
Charter Communications, Inc., Class A (a) | 3,609 | 1,690,925 | |||||||||
Comcast Corp., Class A | 47,395 | 1,859,780 | |||||||||
DISH Network Corp., Class A (a) | 42,745 | 766,418 | |||||||||
Electronic Arts, Inc. | 15,812 | 1,923,530 | |||||||||
Fox Corp., Class A | 47,043 | 1,512,903 | |||||||||
Liberty Broadband Corp., Class C (a) | 15,512 | 1,793,808 | |||||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 38,212 | 2,425,316 | |||||||||
Lumen Technologies, Inc. | 126,017 | 1,374,845 | |||||||||
Match Group, Inc. (a) | 11,590 | 807,707 | |||||||||
Meta Platforms, Inc., Class A (a) | 5,673 | 914,771 | |||||||||
Netflix, Inc. (a) | 3,111 | 544,021 | |||||||||
News Corp., Class A | 90,809 | 1,414,804 | |||||||||
Omnicom Group, Inc. | 21,541 | 1,370,223 | |||||||||
Paramount Global, Class B | 40,162 | 991,198 | |||||||||
Pinterest, Inc., Class A (a) | 32,735 | 594,468 | |||||||||
Roku, Inc. (a) (b) | 5,340 | 438,628 | |||||||||
Sirius XM Holdings, Inc. (c) | 342,890 | 2,101,916 | |||||||||
Take-Two Interactive Software, Inc. (a) | 9,295 | 1,138,916 | |||||||||
The Interpublic Group of Cos., Inc. | 44,223 | 1,217,459 | |||||||||
The Walt Disney Co. (a) | 13,844 | 1,306,874 | |||||||||
T-Mobile U.S., Inc. (a) | 16,201 | 2,179,682 | |||||||||
Verizon Communications, Inc. | 69,562 | 3,530,271 | |||||||||
Warner Bros. Discovery, Inc. (a) (b) | 23,468 | 314,940 | |||||||||
Warner Music Group Corp., Class A | 39,923 | 972,524 | |||||||||
ZoomInfo Technologies, Inc. (a) | 17,778 | 590,941 | |||||||||
37,524,106 | |||||||||||
Consumer Discretionary (8.1%): | |||||||||||
Advance Auto Parts, Inc. | 10,326 | 1,787,327 | |||||||||
Amazon.com, Inc. (a) | 10,558 | 1,121,365 | |||||||||
Aptiv PLC (a) | 12,719 | 1,132,881 | |||||||||
AutoZone, Inc. (a) | 1,193 | 2,563,900 | |||||||||
Bath & Body Works, Inc. | 24,127 | 649,499 | |||||||||
Best Buy Co., Inc. | 15,645 | 1,019,898 | |||||||||
Booking Holdings, Inc. (a) | 729 | 1,275,014 | |||||||||
Burlington Stores, Inc. (a) | 6,120 | 833,728 | |||||||||
CarMax, Inc. (a) | 13,719 | 1,241,295 | |||||||||
Chewy, Inc., Class A (a) (c) | 17,786 | 617,530 | |||||||||
Chipotle Mexican Grill, Inc. (a) | 1,090 | 1,424,913 | |||||||||
D.R. Horton, Inc. | 19,294 | 1,277,070 | |||||||||
Darden Restaurants, Inc. | 12,000 | 1,357,440 | |||||||||
Dollar General Corp. | 13,084 | 3,211,337 | |||||||||
Dollar Tree, Inc. (a) | 9,332 | 1,454,392 | |||||||||
Domino's Pizza, Inc. | 3,973 | 1,548,318 | |||||||||
Etsy, Inc. (a) (b) | 5,685 | 416,199 | |||||||||
Ford Motor Co. | 68,915 | 767,024 | |||||||||
See notes to financial statements.
133
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Garmin Ltd. | 19,118 | $ | 1,878,343 | ||||||||
General Motors Co. (a) | 30,334 | 963,408 | |||||||||
Genuine Parts Co. | 19,655 | 2,614,115 | |||||||||
Hasbro, Inc. | 19,703 | 1,613,282 | |||||||||
Hilton Worldwide Holdings, Inc. | 11,530 | 1,284,903 | |||||||||
Lennar Corp., Class A | 17,611 | 1,242,808 | |||||||||
LKQ Corp. | 36,031 | 1,768,762 | |||||||||
Lowe's Cos., Inc. | 9,540 | 1,666,352 | |||||||||
Marriott International, Inc., Class A | 9,885 | 1,344,459 | |||||||||
McDonald's Corp. | 14,464 | 3,570,872 | |||||||||
MGM Resorts International | 30,545 | 884,278 | |||||||||
NIKE, Inc., Class B | 13,082 | 1,336,980 | |||||||||
NVR, Inc. (a) | 411 | 1,645,701 | |||||||||
O'Reilly Automotive, Inc. (a) | 3,846 | 2,429,749 | |||||||||
Pool Corp. | 4,120 | 1,447,068 | |||||||||
PulteGroup, Inc. | 31,025 | 1,229,521 | |||||||||
Ross Stores, Inc. | 19,519 | 1,370,819 | |||||||||
Starbucks Corp. | 25,305 | 1,933,049 | |||||||||
Tapestry, Inc. | 35,947 | 1,097,102 | |||||||||
Target Corp. (b) | 11,992 | 1,693,630 | |||||||||
Tesla, Inc. (a) | 1,109 | 746,823 | |||||||||
The Home Depot, Inc. | 7,067 | 1,938,266 | |||||||||
The TJX Cos., Inc. | 30,487 | 1,702,699 | |||||||||
Tractor Supply Co. | 10,015 | 1,941,408 | |||||||||
Ulta Beauty, Inc. (a) | 4,300 | 1,657,564 | |||||||||
Vail Resorts, Inc. | 7,172 | 1,563,855 | |||||||||
VF Corp. | 31,190 | 1,377,662 | |||||||||
Whirlpool Corp. (c) | 9,601 | 1,486,907 | |||||||||
Williams-Sonoma, Inc. | 9,103 | 1,009,978 | |||||||||
Yum! Brands, Inc. | 22,187 | 2,518,446 | |||||||||
72,657,939 | |||||||||||
Consumer Staples (9.7%): | |||||||||||
Albertsons Cos., Inc., Class A | 37,571 | 1,003,897 | |||||||||
Altria Group, Inc. | 49,810 | 2,080,564 | |||||||||
Archer-Daniels-Midland Co. | 31,645 | 2,455,652 | |||||||||
Brown-Forman Corp., Class B | 42,348 | 2,971,136 | |||||||||
Bunge Ltd. | 20,907 | 1,896,056 | |||||||||
Campbell Soup Co. | 61,459 | 2,953,105 | |||||||||
Church & Dwight Co., Inc. | 29,711 | 2,753,021 | |||||||||
Colgate-Palmolive Co. | 42,232 | 3,384,472 | |||||||||
Conagra Brands, Inc. | 76,042 | 2,603,678 | |||||||||
Costco Wholesale Corp. | 4,808 | 2,304,378 | |||||||||
Darling Ingredients, Inc. (a) | 20,404 | 1,220,159 | |||||||||
General Mills, Inc. | 41,911 | 3,162,185 | |||||||||
Hormel Foods Corp. | 61,396 | 2,907,715 | |||||||||
Kellogg Co. | 44,996 | 3,210,015 | |||||||||
Keurig Dr Pepper, Inc. | 73,437 | 2,598,935 | |||||||||
Kimberly-Clark Corp. | 23,922 | 3,233,058 | |||||||||
McCormick & Co., Inc. | 30,480 | 2,537,460 | |||||||||
Molson Coors Beverage Co., Class B | 36,858 | 2,009,130 | |||||||||
See notes to financial statements.
134
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mondelez International, Inc., Class A | 50,821 | $ | 3,155,476 | ||||||||
Monster Beverage Corp. (a) | 27,790 | 2,576,133 | |||||||||
PepsiCo, Inc. | 22,483 | 3,747,017 | |||||||||
Philip Morris International, Inc. | 26,470 | 2,613,648 | |||||||||
Sysco Corp. | 24,183 | 2,048,542 | |||||||||
The Clorox Co. | 12,076 | 1,702,474 | |||||||||
The Coca-Cola Co. | 54,888 | 3,453,004 | |||||||||
The Estee Lauder Cos., Inc. | 6,528 | 1,662,486 | |||||||||
The Hershey Co. | 16,632 | 3,578,541 | |||||||||
The J.M. Smucker Co. | 19,987 | 2,558,536 | |||||||||
The Kraft Heinz Co. | 61,725 | 2,354,191 | |||||||||
The Kroger Co. | 34,390 | 1,627,679 | |||||||||
The Procter & Gamble Co. | 22,349 | 3,213,563 | |||||||||
Tyson Foods, Inc., Class A | 22,400 | 1,927,744 | |||||||||
Walgreens Boots Alliance, Inc. | 43,573 | 1,651,417 | |||||||||
Walmart, Inc. | 24,328 | 2,957,798 | |||||||||
86,112,865 | |||||||||||
Energy (3.6%): | |||||||||||
APA Corp. | 27,394 | 956,051 | |||||||||
Chevron Corp. | 15,390 | 2,228,164 | |||||||||
ConocoPhillips | 16,642 | 1,494,618 | |||||||||
Continental Resources, Inc. | 18,326 | 1,197,604 | |||||||||
Coterra Energy, Inc. | 54,095 | 1,395,110 | |||||||||
Devon Energy Corp. | 18,068 | 995,727 | |||||||||
Diamondback Energy, Inc. | 8,088 | 979,861 | |||||||||
EOG Resources, Inc. | 11,873 | 1,311,254 | |||||||||
Exxon Mobil Corp. | 23,753 | 2,034,207 | |||||||||
Halliburton Co. | 37,442 | 1,174,181 | |||||||||
Hess Corp. | 12,690 | 1,344,379 | |||||||||
Kinder Morgan, Inc. | 127,205 | 2,131,956 | |||||||||
Marathon Oil Corp. | 49,429 | 1,111,164 | |||||||||
Marathon Petroleum Corp. | 21,449 | 1,763,322 | |||||||||
Occidental Petroleum Corp. | 22,454 | 1,322,092 | |||||||||
ONEOK, Inc. | 27,477 | 1,524,973 | |||||||||
Ovintiv, Inc. | 21,943 | 969,661 | |||||||||
Phillips 66 | 17,443 | 1,430,152 | |||||||||
Pioneer Natural Resources Co. | 6,548 | 1,460,728 | |||||||||
Schlumberger NV | 34,308 | 1,226,854 | |||||||||
The Williams Cos., Inc. | 76,760 | 2,395,680 | |||||||||
Valero Energy Corp. | 17,391 | 1,848,315 | |||||||||
32,296,053 | |||||||||||
Financials (15.4%): | |||||||||||
Aflac, Inc. | 40,637 | 2,248,445 | |||||||||
Ally Financial, Inc. | 33,011 | 1,106,199 | |||||||||
American Express Co. | 8,969 | 1,243,283 | |||||||||
American Financial Group, Inc. | 16,980 | 2,356,994 | |||||||||
American International Group, Inc. | 28,992 | 1,482,361 | |||||||||
Ameriprise Financial, Inc. | 6,631 | 1,576,056 | |||||||||
Aon PLC, Class A | 7,357 | 1,984,036 | |||||||||
See notes to financial statements.
135
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Apollo Global Management, Inc. | 24,776 | $ | 1,201,140 | ||||||||
Arch Capital Group Ltd. (a) | 49,719 | 2,261,717 | |||||||||
Ares Management Corp., Class A | 21,483 | 1,221,523 | |||||||||
Arthur J. Gallagher & Co. | 16,913 | 2,757,496 | |||||||||
Bank of America Corp. | 45,385 | 1,412,835 | |||||||||
Berkshire Hathaway, Inc., Class B (a) | 10,782 | 2,943,702 | |||||||||
BlackRock, Inc. | 3,095 | 1,884,979 | |||||||||
Blackstone, Inc. | 10,939 | 997,965 | |||||||||
Brown & Brown, Inc. | 36,596 | 2,135,011 | |||||||||
Capital One Financial Corp. | 10,822 | 1,127,544 | |||||||||
Cboe Global Markets, Inc. | 19,553 | 2,213,204 | |||||||||
Chubb Ltd. | 11,690 | 2,298,020 | |||||||||
Cincinnati Financial Corp. | 16,686 | 1,985,300 | |||||||||
Citigroup, Inc. | 36,066 | 1,658,675 | |||||||||
Citizens Financial Group, Inc. | 31,671 | 1,130,338 | |||||||||
CME Group, Inc. | 11,891 | 2,434,088 | |||||||||
CNA Financial Corp. | 50,848 | 2,283,075 | |||||||||
Coinbase Global, Inc., Class A (a) (c) | 4,497 | 211,449 | |||||||||
Comerica, Inc. | 16,757 | 1,229,629 | |||||||||
Discover Financial Services | 12,854 | 1,215,731 | |||||||||
East West Bancorp, Inc. | 18,067 | 1,170,742 | |||||||||
Everest Re Group Ltd. | 7,347 | 2,059,217 | |||||||||
FactSet Research Systems, Inc. | 6,813 | 2,620,075 | |||||||||
Fidelity National Financial, Inc. | 46,170 | 1,706,443 | |||||||||
Fifth Third Bancorp | 35,984 | 1,209,062 | |||||||||
First Citizens BancShares, Inc., Class A | 1,909 | 1,248,066 | |||||||||
First Republic Bank | 10,646 | 1,535,153 | |||||||||
Franklin Resources, Inc. | 51,795 | 1,207,341 | |||||||||
Huntington Bancshares, Inc. | 107,959 | 1,298,747 | |||||||||
Interactive Brokers Group, Inc. | 28,317 | 1,557,718 | |||||||||
Intercontinental Exchange, Inc. | 24,416 | 2,296,081 | |||||||||
JPMorgan Chase & Co. | 15,688 | 1,766,626 | |||||||||
KeyCorp | 71,568 | 1,233,117 | |||||||||
KKR & Co., Inc. | 26,257 | 1,215,437 | |||||||||
Lincoln National Corp. | 20,578 | 962,433 | |||||||||
Loews Corp. | 39,722 | 2,353,926 | |||||||||
LPL Financial Holdings, Inc. | 8,949 | 1,650,912 | |||||||||
M&T Bank Corp. | 8,931 | 1,423,512 | |||||||||
Markel Corp. (a) | 2,022 | 2,614,951 | |||||||||
MarketAxess Holdings, Inc. | 4,861 | 1,244,465 | |||||||||
Marsh & McLennan Cos., Inc. | 18,873 | 2,930,033 | |||||||||
MetLife, Inc. | 30,379 | 1,907,497 | |||||||||
Moody's Corp. | 7,129 | 1,938,874 | |||||||||
Morgan Stanley | 20,652 | 1,570,791 | |||||||||
Morningstar, Inc. | 7,083 | 1,712,882 | |||||||||
MSCI, Inc. | 3,658 | 1,507,645 | |||||||||
Nasdaq, Inc. | 14,734 | 2,247,524 | |||||||||
Northern Trust Corp. | 15,981 | 1,541,847 | |||||||||
Principal Financial Group, Inc. | 26,538 | 1,772,473 | |||||||||
Prudential Financial, Inc. | 18,124 | 1,734,104 | |||||||||
See notes to financial statements.
136
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Raymond James Financial, Inc. | 17,734 | $ | 1,585,597 | ||||||||
Regions Financial Corp. | 65,712 | 1,232,100 | |||||||||
Rocket Cos., Inc., Class A (c) | 105,601 | 777,223 | |||||||||
S&P Global, Inc. | 6,403 | 2,158,195 | |||||||||
Signature Bank | 3,838 | 687,808 | |||||||||
State Street Corp. | 18,634 | 1,148,786 | |||||||||
SVB Financial Group (a) | 2,149 | 848,833 | |||||||||
Synchrony Financial | 37,599 | 1,038,484 | |||||||||
T. Rowe Price Group, Inc. | 13,024 | 1,479,657 | |||||||||
The Allstate Corp. | 19,551 | 2,477,698 | |||||||||
The Bank of New York Mellon Corp. | 35,259 | 1,470,653 | |||||||||
The Carlyle Group, Inc. | 32,606 | 1,032,306 | |||||||||
The Charles Schwab Corp. | 20,873 | 1,318,756 | |||||||||
The Goldman Sachs Group, Inc. | 5,851 | 1,737,864 | |||||||||
The Hartford Financial Services Group Inc. | 33,532 | 2,193,999 | |||||||||
The PNC Financial Services Group, Inc. | 10,450 | 1,648,696 | |||||||||
The Progressive Corp. | 26,051 | 3,028,950 | |||||||||
The Travelers Cos., Inc. | 14,272 | 2,413,823 | |||||||||
Tradeweb Markets, Inc., Class A | 27,664 | 1,888,068 | |||||||||
Truist Financial Corp. | 29,155 | 1,382,822 | |||||||||
U.S. Bancorp | 34,727 | 1,598,137 | |||||||||
Upstart Holdings, Inc. (a) (c) | 3,237 | 102,354 | |||||||||
W.R. Berkley Corp. | 39,453 | 2,693,062 | |||||||||
Webster Financial Corp. | 24,898 | 1,049,451 | |||||||||
Wells Fargo & Co. | 30,139 | 1,180,545 | |||||||||
Zions Bancorp NA | 21,773 | 1,108,246 | |||||||||
137,120,602 | |||||||||||
Health Care (14.4%): | |||||||||||
Abbott Laboratories | 22,385 | 2,432,130 | |||||||||
AbbVie, Inc. | 19,238 | 2,946,492 | |||||||||
ABIOMED, Inc. (a) | 4,354 | 1,077,659 | |||||||||
Agilent Technologies, Inc. | 17,426 | 2,069,686 | |||||||||
Align Technology, Inc. (a) | 2,723 | 644,452 | |||||||||
AmerisourceBergen Corp. | 18,934 | 2,678,782 | |||||||||
Amgen, Inc. | 11,055 | 2,689,682 | |||||||||
Avantor, Inc. (a) | 51,739 | 1,609,083 | |||||||||
Baxter International, Inc. | 32,441 | 2,083,685 | |||||||||
Becton Dickinson & Co. | 10,237 | 2,523,728 | |||||||||
Biogen, Inc. (a) | 7,858 | 1,602,561 | |||||||||
Bio-Rad Laboratories, Inc., Class A (a) | 3,002 | 1,485,990 | |||||||||
Bio-Techne Corp. | 3,901 | 1,352,243 | |||||||||
Boston Scientific Corp. (a) | 49,630 | 1,849,710 | |||||||||
Bristol-Myers Squibb Co. | 41,966 | 3,231,382 | |||||||||
Bruker Corp. | 26,257 | 1,647,889 | |||||||||
Cardinal Health, Inc. | 35,364 | 1,848,476 | |||||||||
Catalent, Inc. (a) | 17,323 | 1,858,585 | |||||||||
Centene Corp. (a) | 21,432 | 1,813,362 | |||||||||
Charles River Laboratories International, Inc. (a) | 5,868 | 1,255,576 | |||||||||
Cigna Corp. | 8,184 | 2,156,648 | |||||||||
See notes to financial statements.
137
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
CVS Health Corp. | 23,716 | $ | 2,197,525 | ||||||||
Danaher Corp. | 7,943 | 2,013,709 | |||||||||
DaVita, Inc. (a) | 16,613 | 1,328,375 | |||||||||
DENTSPLY SIRONA, Inc. | 36,063 | 1,288,531 | |||||||||
Dexcom, Inc. (a) | 11,946 | 890,335 | |||||||||
Edwards Lifesciences Corp. (a) | 17,154 | 1,631,174 | |||||||||
Elevance Health, Inc. | 4,638 | 2,238,206 | |||||||||
Eli Lilly & Co. | 7,619 | 2,470,308 | |||||||||
Embecta Corp. (a) | 2,047 | 51,830 | |||||||||
Gilead Sciences, Inc. (b) | 52,162 | 3,224,133 | |||||||||
HCA Healthcare, Inc. | 7,140 | 1,199,948 | |||||||||
Henry Schein, Inc. (a) | 25,485 | 1,955,719 | |||||||||
Hologic, Inc. (a) | 32,450 | 2,248,785 | |||||||||
Horizon Therapeutics PLC (a) | 20,950 | 1,670,972 | |||||||||
Humana, Inc. | 3,718 | 1,740,284 | |||||||||
IDEXX Laboratories, Inc. (a) | 3,299 | 1,157,058 | |||||||||
Illumina, Inc. (a) | 4,278 | 788,692 | |||||||||
Incyte Corp. (a) | 27,418 | 2,082,945 | |||||||||
Insulet Corp. (a) | 4,563 | 994,460 | |||||||||
Intuitive Surgical, Inc. (a) | 6,376 | 1,279,727 | |||||||||
IQVIA Holdings, Inc. (a) | 9,397 | 2,039,055 | |||||||||
Johnson & Johnson (b) | 21,115 | 3,748,124 | |||||||||
Laboratory Corp. of America Holdings | 8,646 | 2,026,277 | |||||||||
McKesson Corp. | 9,522 | 3,106,172 | |||||||||
Medtronic PLC | 23,802 | 2,136,230 | |||||||||
Merck & Co., Inc. | 27,145 | 2,474,810 | |||||||||
Mettler-Toledo International, Inc. (a) | 1,512 | 1,736,940 | |||||||||
Moderna, Inc. (a) | 3,958 | 565,400 | |||||||||
Molina Healthcare, Inc. (a) | 5,732 | 1,602,725 | |||||||||
PerkinElmer, Inc. | 11,101 | 1,578,784 | |||||||||
Pfizer, Inc. | 35,616 | 1,867,347 | |||||||||
Quest Diagnostics, Inc. | 18,183 | 2,417,975 | |||||||||
Regeneron Pharmaceuticals, Inc. (a) | 3,281 | 1,939,498 | |||||||||
Repligen Corp. (a) | 5,882 | 955,237 | |||||||||
ResMed, Inc. | 8,675 | 1,818,540 | |||||||||
STERIS PLC | 9,648 | 1,988,935 | |||||||||
Stryker Corp. | 8,828 | 1,756,154 | |||||||||
Teleflex, Inc. | 4,956 | 1,218,433 | |||||||||
The Cooper Cos., Inc. | 5,568 | 1,743,452 | |||||||||
Thermo Fisher Scientific, Inc. | 4,368 | 2,373,047 | |||||||||
UnitedHealth Group, Inc. | 5,408 | 2,777,711 | |||||||||
Universal Health Services, Inc., Class B | 13,309 | 1,340,349 | |||||||||
Veeva Systems, Inc., Class A (a) | 7,386 | 1,462,723 | |||||||||
Vertex Pharmaceuticals, Inc. (a) | 9,401 | 2,649,108 | |||||||||
Waters Corp. (a) | 7,304 | 2,417,478 | |||||||||
West Pharmaceutical Services, Inc. | 4,726 | 1,429,001 | |||||||||
Zimmer Biomet Holdings, Inc. | 13,987 | 1,469,474 | |||||||||
Zoetis, Inc. | 13,454 | 2,312,608 | |||||||||
128,262,104 | |||||||||||
See notes to financial statements.
138
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (15.9%): | |||||||||||
3M Co. | 18,238 | $ | 2,360,180 | ||||||||
A O Smith Corp. | 29,397 | 1,607,428 | |||||||||
AMERCO, Inc. | 3,643 | 1,742,192 | |||||||||
AMETEK, Inc. | 21,238 | 2,333,844 | |||||||||
Booz Allen Hamilton Holding Corp. | 25,080 | 2,266,229 | |||||||||
Builders FirstSource, Inc. (a) | 18,811 | 1,010,151 | |||||||||
C.H. Robinson Worldwide, Inc. | 21,725 | 2,202,263 | |||||||||
Carlisle Cos., Inc. | 10,189 | 2,431,197 | |||||||||
Carrier Global Corp. | 43,699 | 1,558,306 | |||||||||
Caterpillar, Inc. | 10,898 | 1,948,126 | |||||||||
Cintas Corp. | 6,294 | 2,350,998 | |||||||||
Copart, Inc. (a) | 16,450 | 1,787,457 | |||||||||
CoStar Group, Inc. (a) (b) | 23,456 | 1,416,977 | |||||||||
CSX Corp. | 69,600 | 2,022,576 | |||||||||
Cummins, Inc. | 11,762 | 2,276,300 | |||||||||
Deere & Co. | 5,025 | 1,504,837 | |||||||||
Delta Air Lines, Inc. (a) | 33,933 | 983,039 | |||||||||
Dover Corp. | 15,999 | 1,940,999 | |||||||||
Eaton Corp. PLC | 15,008 | 1,890,858 | |||||||||
Emerson Electric Co. | 23,730 | 1,887,484 | |||||||||
Equifax, Inc. | 8,421 | 1,539,190 | |||||||||
Expeditors International of Washington, Inc. | 21,623 | 2,107,378 | |||||||||
Fastenal Co. | 50,702 | 2,531,044 | |||||||||
FedEx Corp. | 9,572 | 2,170,068 | |||||||||
Fortive Corp. | 37,788 | 2,054,911 | |||||||||
Fortune Brands Home & Security, Inc. | 22,519 | 1,348,438 | |||||||||
Generac Holdings, Inc. (a) | 3,770 | 793,887 | |||||||||
General Dynamics Corp. | 13,071 | 2,891,959 | |||||||||
Graco, Inc. | 35,438 | 2,105,372 | |||||||||
HEICO Corp. | 14,576 | 1,911,205 | |||||||||
Honeywell International, Inc. | 13,132 | 2,282,473 | |||||||||
Howmet Aerospace, Inc. | 45,180 | 1,420,911 | |||||||||
IDEX Corp. | 12,757 | 2,317,054 | |||||||||
Illinois Tool Works, Inc. | 13,497 | 2,459,828 | |||||||||
Ingersoll Rand, Inc. (b) | 39,844 | 1,676,636 | |||||||||
J.B. Hunt Transport Services, Inc. | 9,844 | 1,550,135 | |||||||||
Jacobs Engineering Group, Inc. | 17,417 | 2,214,223 | |||||||||
Johnson Controls International PLC | 35,961 | 1,721,813 | |||||||||
L3Harris Technologies, Inc. | 8,620 | 2,083,454 | |||||||||
Leidos Holdings, Inc. | 18,594 | 1,872,602 | |||||||||
Lockheed Martin Corp. | 5,388 | 2,316,624 | |||||||||
Masco Corp. | 42,343 | 2,142,556 | |||||||||
Nordson Corp. | 10,301 | 2,085,334 | |||||||||
Norfolk Southern Corp. | 8,929 | 2,029,472 | |||||||||
Northrop Grumman Corp. | 4,938 | 2,363,179 | |||||||||
Old Dominion Freight Line, Inc. | 6,215 | 1,592,780 | |||||||||
Otis Worldwide Corp. | 31,353 | 2,215,716 | |||||||||
PACCAR, Inc. | 26,224 | 2,159,284 | |||||||||
Parker-Hannifin Corp. | 6,862 | 1,688,395 | |||||||||
See notes to financial statements.
139
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Quanta Services, Inc. | 13,369 | $ | 1,675,670 | ||||||||
Raytheon Technologies Corp. | 23,210 | 2,230,713 | |||||||||
Regal Rexnord Corp. | 10,750 | 1,220,340 | |||||||||
Republic Services, Inc. (b) | 23,598 | 3,088,270 | |||||||||
Robert Half International, Inc. | 18,201 | 1,363,073 | |||||||||
Rockwell Automation, Inc. | 8,537 | 1,701,509 | |||||||||
Rollins, Inc. | 59,202 | 2,067,334 | |||||||||
Roper Technologies, Inc. | 6,144 | 2,424,730 | |||||||||
Snap-on, Inc. | 10,111 | 1,992,170 | |||||||||
Southwest Airlines Co. (a) | 36,424 | 1,315,635 | |||||||||
Stanley Black & Decker, Inc. | 12,363 | 1,296,384 | |||||||||
Textron, Inc. | 25,356 | 1,548,491 | |||||||||
Trane Technologies PLC | 14,037 | 1,822,985 | |||||||||
TransDigm Group, Inc. (a) | 2,753 | 1,477,453 | |||||||||
TransUnion | 22,010 | 1,760,580 | |||||||||
Trex Co., Inc. (a) | 13,758 | 748,710 | |||||||||
Union Pacific Corp. | 11,120 | 2,371,674 | |||||||||
United Parcel Service, Inc., Class B | 8,953 | 1,634,281 | |||||||||
United Rentals, Inc. (a) | 4,711 | 1,144,349 | |||||||||
Verisk Analytics, Inc. | 15,148 | 2,621,967 | |||||||||
W.W. Grainger, Inc. | 5,040 | 2,290,327 | |||||||||
Waste Management, Inc. | 23,060 | 3,527,719 | |||||||||
Watsco, Inc. | 8,631 | 2,061,255 | |||||||||
Westinghouse Air Brake Technologies Corp. | 21,578 | 1,771,122 | |||||||||
Xylem, Inc. | 22,065 | 1,725,042 | |||||||||
142,049,145 | |||||||||||
Information Technology (13.8%): | |||||||||||
Accenture PLC, Class A | 6,960 | 1,932,444 | |||||||||
Adobe, Inc. (a) | 3,292 | 1,205,070 | |||||||||
Advanced Micro Devices, Inc. (a) | 8,459 | 646,860 | |||||||||
Akamai Technologies, Inc. (a) | 21,655 | 1,977,751 | |||||||||
Amphenol Corp., Class A | 33,923 | 2,183,963 | |||||||||
Analog Devices, Inc. | 12,060 | 1,761,845 | |||||||||
ANSYS, Inc. (a) | 5,519 | 1,320,642 | |||||||||
Apple, Inc. | 13,371 | 1,828,083 | |||||||||
Applied Materials, Inc. | 9,779 | 889,693 | |||||||||
AppLovin Corp., Class A (a) (c) | 13,362 | 460,187 | |||||||||
Arista Networks, Inc. (a) | 11,299 | 1,059,168 | |||||||||
Autodesk, Inc. (a) | 6,365 | 1,094,525 | |||||||||
Automatic Data Processing, Inc. | 12,264 | 2,575,931 | |||||||||
Bentley Systems, Inc., Class B (c) | 38,021 | 1,266,099 | |||||||||
Block, Inc. (a) (b) | 6,505 | 399,797 | |||||||||
Broadcom, Inc. | 3,285 | 1,595,886 | |||||||||
Broadridge Financial Solutions, Inc. | 16,164 | 2,304,178 | |||||||||
Cadence Design Systems, Inc. (a) | 10,421 | 1,563,463 | |||||||||
CDW Corp. | 11,960 | 1,884,418 | |||||||||
Cisco Systems, Inc. | 45,567 | 1,942,977 | |||||||||
Cognex Corp. | 22,766 | 968,010 | |||||||||
Cognizant Technology Solutions Corp., Class A | 27,991 | 1,889,113 | |||||||||
See notes to financial statements.
140
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Corning, Inc. | 48,781 | $ | 1,537,089 | ||||||||
Dell Technologies, Inc., Class C | 39,142 | 1,808,752 | |||||||||
Dynatrace, Inc. (a) | 25,854 | 1,019,682 | |||||||||
Enphase Energy, Inc. (a) | 4,750 | 927,390 | |||||||||
Entegris, Inc. | 10,653 | 981,461 | |||||||||
EPAM Systems, Inc. (a) | 3,594 | 1,059,439 | |||||||||
F5, Inc. (a) | 9,347 | 1,430,465 | |||||||||
Fair Isaac Corp. (a) | 3,235 | 1,296,911 | |||||||||
Fidelity National Information Services, Inc. | 17,233 | 1,579,749 | |||||||||
Fiserv, Inc. (a) | 19,044 | 1,694,345 | |||||||||
FleetCor Technologies, Inc. (a) | 7,900 | 1,659,869 | |||||||||
Fortinet, Inc. (a) | 17,419 | 985,567 | |||||||||
Gartner, Inc. (a) | 5,941 | 1,436,712 | |||||||||
Global Payments, Inc. | 11,172 | 1,236,070 | |||||||||
GoDaddy, Inc., Class A (a) | 17,059 | 1,186,624 | |||||||||
Hewlett Packard Enterprise Co. | 117,715 | 1,560,901 | |||||||||
HP, Inc. | 50,582 | 1,658,078 | |||||||||
Intel Corp. | 39,399 | 1,473,917 | |||||||||
International Business Machines Corp. | 19,671 | 2,777,348 | |||||||||
Intuit, Inc. | 3,374 | 1,300,475 | |||||||||
Jack Henry & Associates, Inc. | 13,391 | 2,410,648 | |||||||||
Juniper Networks, Inc. | 62,013 | 1,767,371 | |||||||||
Keysight Technologies, Inc. (a) | 13,652 | 1,881,928 | |||||||||
KLA Corp. | 3,767 | 1,201,974 | |||||||||
Lam Research Corp. | 2,477 | 1,055,574 | |||||||||
Mastercard, Inc., Class A | 4,742 | 1,496,006 | |||||||||
Microchip Technology, Inc. | 20,957 | 1,217,183 | |||||||||
Micron Technology, Inc. | 15,965 | 882,545 | |||||||||
Microsoft Corp. (b) | 7,659 | 1,967,061 | |||||||||
Monolithic Power Systems, Inc. | 2,910 | 1,117,556 | |||||||||
Motorola Solutions, Inc. | 10,367 | 2,172,923 | |||||||||
NetApp, Inc. | 25,643 | 1,672,949 | |||||||||
NortonLifeLock, Inc. | 65,813 | 1,445,253 | |||||||||
NVIDIA Corp. | 4,327 | 655,930 | |||||||||
NXP Semiconductors NV | 7,423 | 1,098,827 | |||||||||
ON Semiconductor Corp. (a) | 16,837 | 847,069 | |||||||||
Oracle Corp. | 22,456 | 1,569,001 | |||||||||
Paychex, Inc. | 21,774 | 2,479,405 | |||||||||
Paycom Software, Inc. (a) | 3,938 | 1,103,113 | |||||||||
Paylocity Holding Corp. (a) | 5,881 | 1,025,764 | |||||||||
PayPal Holdings, Inc. (a) | 10,185 | 711,320 | |||||||||
PTC, Inc. (a) | 14,711 | 1,564,368 | |||||||||
Qorvo, Inc. (a) | 10,758 | 1,014,695 | |||||||||
QUALCOMM, Inc. | 8,384 | 1,070,972 | |||||||||
Salesforce, Inc. (a) | 7,365 | 1,215,520 | |||||||||
ServiceNow, Inc. (a) (b) | 2,310 | 1,098,451 | |||||||||
Skyworks Solutions, Inc. | 12,423 | 1,150,867 | |||||||||
SS&C Technologies Holdings, Inc. | 34,836 | 2,022,927 | |||||||||
Synopsys, Inc. (a) | 5,100 | 1,548,870 | |||||||||
TE Connectivity Ltd. | 14,654 | 1,658,100 | |||||||||
See notes to financial statements.
141
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Security Description | Shares | Value | |||||||||
Teledyne Technologies, Inc. (a) | 5,723 | $ | 2,146,755 | ||||||||
Teradyne, Inc. | 9,716 | 870,068 | |||||||||
Texas Instruments, Inc. | 12,460 | 1,914,479 | |||||||||
The Trade Desk, Inc., Class A (a) | 8,324 | 348,692 | |||||||||
Trimble, Inc. (a) | 26,819 | 1,561,670 | |||||||||
Tyler Technologies, Inc. (a) | 4,077 | 1,355,521 | |||||||||
Ubiquiti, Inc. | 5,270 | 1,308,067 | |||||||||
VeriSign, Inc. (a) | 11,453 | 1,916,430 | |||||||||
Visa, Inc., Class A | 8,916 | 1,755,471 | |||||||||
VMware, Inc., Class A | 15,393 | 1,754,494 | |||||||||
Western Digital Corp. (a) | 26,688 | 1,196,423 | |||||||||
Workday, Inc., Class A (a) | 7,391 | 1,031,636 | |||||||||
Zebra Technologies Corp. (a) | 4,221 | 1,240,763 | |||||||||
Zoom Video Communications, Inc., Class A (a) | 7,934 | 856,634 | |||||||||
122,742,220 | |||||||||||
Materials (5.7%): | |||||||||||
Air Products and Chemicals, Inc. | 10,955 | 2,634,458 | |||||||||
Albemarle Corp. | 5,836 | 1,219,607 | |||||||||
Alcoa Corp. | 11,818 | 538,665 | |||||||||
Avery Dennison Corp. | 12,657 | 2,048,789 | |||||||||
Ball Corp. | 24,038 | 1,653,093 | |||||||||
Celanese Corp. | 14,103 | 1,658,654 | |||||||||
CF Industries Holdings, Inc. | 15,968 | 1,368,937 | |||||||||
Cleveland-Cliffs, Inc. (a) | 41,412 | 636,502 | |||||||||
Corteva, Inc. | 39,304 | 2,127,919 | |||||||||
Dow, Inc. | 34,725 | 1,792,157 | |||||||||
DuPont de Nemours, Inc. | 24,786 | 1,377,606 | |||||||||
Eastman Chemical Co. | 15,864 | 1,424,111 | |||||||||
Ecolab, Inc. | 13,530 | 2,080,373 | |||||||||
FMC Corp. | 15,318 | 1,639,179 | |||||||||
Freeport-McMoRan, Inc. | 24,807 | 725,853 | |||||||||
International Flavors & Fragrances, Inc. | 16,761 | 1,996,570 | |||||||||
International Paper Co. | 54,170 | 2,265,931 | |||||||||
LyondellBasell Industries NV, Class A | 20,179 | 1,764,855 | |||||||||
Martin Marietta Materials, Inc. | 5,238 | 1,567,419 | |||||||||
Newmont Corp. | 27,891 | 1,664,256 | |||||||||
Nucor Corp. | 9,014 | 941,152 | |||||||||
Packaging Corp. of America | 15,703 | 2,159,163 | |||||||||
PPG Industries, Inc. | 17,482 | 1,998,892 | |||||||||
Reliance Steel & Aluminum Co. | 9,630 | 1,635,752 | |||||||||
RPM International, Inc. | 30,639 | 2,411,902 | |||||||||
Steel Dynamics, Inc. | 18,012 | 1,191,494 | |||||||||
The Mosaic Co. | 24,211 | 1,143,486 | |||||||||
The Sherwin-Williams Co. | 10,184 | 2,280,299 | |||||||||
Vulcan Materials Co. | 11,219 | 1,594,220 | |||||||||
Westlake Corp. | 14,302 | 1,401,882 | |||||||||
Westrock Co. | 39,960 | 1,592,006 | |||||||||
50,535,182 | |||||||||||
See notes to financial statements.
142
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Real Estate (0.3%): | |||||||||||
CBRE Group, Inc., Class A (a) | 19,322 | $ | 1,422,292 | ||||||||
Jones Lang LaSalle, Inc. (a) | 6,593 | 1,152,852 | |||||||||
2,575,144 | |||||||||||
Utilities (8.4%): | |||||||||||
Alliant Energy Corp. | 49,210 | 2,884,198 | |||||||||
Ameren Corp. | 35,737 | 3,229,195 | |||||||||
American Electric Power Co., Inc. (b) | 36,206 | 3,473,604 | |||||||||
American Water Works Co., Inc. | 17,090 | 2,542,479 | |||||||||
Atmos Energy Corp. | 25,382 | 2,845,322 | |||||||||
CenterPoint Energy, Inc. | 101,747 | 3,009,676 | |||||||||
CMS Energy Corp. | 48,354 | 3,263,895 | |||||||||
Consolidated Edison, Inc. (b) | 33,728 | 3,207,533 | |||||||||
Dominion Energy, Inc. | 35,959 | 2,869,888 | |||||||||
DTE Energy Co. | 26,977 | 3,419,335 | |||||||||
Duke Energy Corp. (b) | 32,028 | 3,433,722 | |||||||||
Edison International | 42,574 | 2,692,380 | |||||||||
Entergy Corp. | 23,821 | 2,683,197 | |||||||||
Essential Utilities, Inc. | 55,577 | 2,548,205 | |||||||||
Evergy, Inc. (b) | 49,680 | 3,241,620 | |||||||||
Eversource Energy (b) | 33,264 | 2,809,810 | |||||||||
Exelon Corp. | 73,500 | 3,331,020 | |||||||||
FirstEnergy Corp. | 69,582 | 2,671,253 | |||||||||
NextEra Energy, Inc. (b) | 28,219 | 2,185,844 | |||||||||
NiSource, Inc. | 105,865 | 3,121,959 | |||||||||
PPL Corp. | 116,489 | 3,160,347 | |||||||||
Sempra Energy | 18,906 | 2,841,005 | |||||||||
The Southern Co. (b) | 50,717 | 3,616,629 | |||||||||
WEC Energy Group, Inc. (b) | 31,813 | 3,201,660 | |||||||||
Xcel Energy, Inc. (b) | 43,442 | 3,073,956 | |||||||||
75,357,732 | |||||||||||
Total Common Stocks (Cost $901,489,305) | 887,233,092 | ||||||||||
Investment Companies (0.4%) | |||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (d) | 3,245,046 | 3,245,046 | |||||||||
Total Investment Companies (Cost $3,245,046) | 3,245,046 | ||||||||||
Collateral for Securities Loaned (0.1%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) | 39,474 | 39,474 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (d) | 19,699 | 19,699 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) | 245,691 | 245,691 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) | 157,077 | 157,077 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (d) | 104,753 | 104,753 | |||||||||
See notes to financial statements.
143
| Victory Portfolios II VictoryShares US 500 Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (d) | 706,249 | $ | 706,249 | ||||||||
Total Collateral for Securities Loaned (Cost $1,272,943) | 1,272,943 | ||||||||||
Total Investments (Cost $906,007,294) — 100.0% | 891,751,081 | ||||||||||
Liabilities in excess of other assets — 0.0% | (397,700 | ) | |||||||||
NET ASSETS — 100.00% | $ | 891,353,381 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 19 | 9/16/22 | $ | 3,778,541 | $ | 3,600,025 | $ | (178,516 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (178,516 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (178,516 | ) | ||||||||||||||||||||
See notes to financial statements.
144
| Victory Portfolios II VictoryShares US EQ Income Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.3%) | |||||||||||
Communication Services (4.9%): | |||||||||||
AT&T, Inc. | 840,130 | $ | 17,609,125 | ||||||||
Lumen Technologies, Inc. | 1,082,623 | 11,811,417 | |||||||||
Omnicom Group, Inc. | 185,122 | 11,775,610 | |||||||||
Paramount Global, Class B | 345,055 | 8,515,957 | |||||||||
The Interpublic Group of Cos., Inc. | 380,035 | 10,462,364 | |||||||||
Verizon Communications, Inc. | 597,700 | 30,333,275 | |||||||||
Warner Bros. Discovery, Inc. (a) (b) | 203,190 | 2,726,810 | |||||||||
93,234,558 | |||||||||||
Consumer Discretionary (4.3%): | |||||||||||
Best Buy Co., Inc. | 134,427 | 8,763,296 | |||||||||
Darden Restaurants, Inc. | 103,147 | 11,667,989 | |||||||||
Genuine Parts Co. | 168,924 | 22,466,892 | |||||||||
Hasbro, Inc. | 169,221 | 13,855,815 | |||||||||
VF Corp. | 267,909 | 11,833,541 | |||||||||
Whirlpool Corp. (c) | 82,498 | 12,776,465 | |||||||||
81,363,998 | |||||||||||
Consumer Staples (15.9%): | |||||||||||
Altria Group, Inc. | 428,006 | 17,877,810 | |||||||||
Campbell Soup Co. | 528,024 | 25,371,553 | |||||||||
Conagra Brands, Inc. | 653,295 | 22,368,821 | |||||||||
General Mills, Inc. | 360,087 | 27,168,564 | |||||||||
Kellogg Co. | 386,596 | 27,579,759 | |||||||||
Kimberly-Clark Corp. | 205,498 | 27,773,055 | |||||||||
PepsiCo, Inc. | 193,201 | 32,198,879 | |||||||||
Philip Morris International, Inc. | 227,408 | 22,454,266 | |||||||||
The Clorox Co. | 103,788 | 14,632,032 | |||||||||
The Coca-Cola Co. | 471,546 | 29,664,959 | |||||||||
The J.M. Smucker Co. (c) | 171,784 | 21,990,070 | |||||||||
The Kraft Heinz Co. | 530,323 | 20,226,519 | |||||||||
Walgreens Boots Alliance, Inc. | 374,408 | 14,190,063 | |||||||||
303,496,350 | |||||||||||
Electric Utilities (15.3%): | |||||||||||
Alliant Energy Corp. | 422,847 | 24,783,063 | |||||||||
American Electric Power Co., Inc. (b) | 311,062 | 29,843,288 | |||||||||
Duke Energy Corp. (b) | 275,200 | 29,504,192 | |||||||||
Edison International | 365,804 | 23,133,445 | |||||||||
Entergy Corp. | 204,708 | 23,058,309 | |||||||||
Evergy, Inc. (b) | 426,883 | 27,854,116 | |||||||||
Eversource Energy (b) | 285,743 | 24,136,711 | |||||||||
Exelon Corp. | 631,430 | 28,616,408 | |||||||||
FirstEnergy Corp. | 597,825 | 22,950,502 | |||||||||
The Southern Co. (b) | 436,007 | 31,091,659 | |||||||||
Xcel Energy, Inc. (b) | 373,269 | 26,412,514 | |||||||||
291,384,207 | |||||||||||
See notes to financial statements.
145
| Victory Portfolios II VictoryShares US EQ Income Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Energy (6.9%): | |||||||||||
Chevron Corp. | 132,205 | $ | 19,140,640 | ||||||||
Exxon Mobil Corp. | 204,129 | 17,481,608 | |||||||||
Kinder Morgan, Inc. | 1,092,914 | 18,317,239 | |||||||||
Marathon Petroleum Corp. | 184,219 | 15,144,644 | |||||||||
ONEOK, Inc. | 236,053 | 13,100,941 | |||||||||
Phillips 66 | 149,908 | 12,290,957 | |||||||||
The Williams Cos., Inc. | 659,511 | 20,583,338 | |||||||||
Valero Energy Corp. | 149,429 | 15,881,314 | |||||||||
131,940,681 | |||||||||||
Financials (16.4%): | |||||||||||
Apollo Global Management, Inc. | 212,887 | 10,320,762 | |||||||||
Blackstone, Inc. | 94,002 | 8,575,803 | |||||||||
Citigroup, Inc. | 309,866 | 14,250,737 | |||||||||
Citizens Financial Group, Inc. | 272,182 | 9,714,176 | |||||||||
CME Group, Inc. | 102,154 | 20,910,924 | |||||||||
CNA Financial Corp. | 436,850 | 19,614,565 | |||||||||
Comerica, Inc. | 144,052 | 10,570,536 | |||||||||
Fidelity National Financial, Inc. | 396,606 | 14,658,558 | |||||||||
Franklin Resources, Inc. | 444,973 | 10,372,321 | |||||||||
Huntington Bancshares, Inc. | 927,641 | 11,159,521 | |||||||||
JPMorgan Chase & Co. | 134,851 | 15,185,571 | |||||||||
KeyCorp | 614,962 | 10,595,795 | |||||||||
Lincoln National Corp. | 176,738 | 8,266,036 | |||||||||
MetLife, Inc. | 260,960 | 16,385,678 | |||||||||
Morgan Stanley | 177,514 | 13,501,715 | |||||||||
Principal Financial Group, Inc. | 227,989 | 15,227,385 | |||||||||
Prudential Financial, Inc. | 155,741 | 14,901,299 | |||||||||
Regions Financial Corp. | 564,676 | 10,587,675 | |||||||||
State Street Corp. | 160,022 | 9,865,356 | |||||||||
T. Rowe Price Group, Inc. | 111,908 | 12,713,868 | |||||||||
The Allstate Corp. | 167,958 | 21,285,317 | |||||||||
Truist Financial Corp. | 250,474 | 11,879,982 | |||||||||
U.S. Bancorp | 298,348 | 13,729,975 | |||||||||
Webster Financial Corp. | 213,955 | 9,018,203 | |||||||||
313,291,758 | |||||||||||
Health Care (9.9%): | |||||||||||
AbbVie, Inc. | 165,221 | 25,305,248 | |||||||||
Amgen, Inc. | 95,045 | 23,124,448 | |||||||||
Bristol-Myers Squibb Co. | 360,569 | 27,763,813 | |||||||||
Cardinal Health, Inc. | 303,911 | 15,885,428 | |||||||||
Gilead Sciences, Inc. (b) | 448,214 | 27,704,107 | |||||||||
Johnson & Johnson (b) | 181,350 | 32,191,439 | |||||||||
Merck & Co., Inc. | 233,206 | 21,261,391 | |||||||||
Pfizer, Inc. | 305,955 | 16,041,221 | |||||||||
189,277,095 | |||||||||||
See notes to financial statements.
146
| Victory Portfolios II VictoryShares US EQ Income Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (3.0%): | |||||||||||
3M Co. | 156,770 | $ | 20,287,606 | ||||||||
Cummins, Inc. | 101,038 | 19,553,884 | |||||||||
Watsco, Inc. | 74,238 | 17,729,519 | |||||||||
57,571,009 | |||||||||||
Information Technology (5.8%): | |||||||||||
Broadcom, Inc. | 28,237 | 13,717,817 | |||||||||
Cisco Systems, Inc. | 391,574 | 16,696,716 | |||||||||
Hewlett Packard Enterprise Co. | 1,011,418 | 13,411,403 | |||||||||
Intel Corp. | 338,566 | 12,665,754 | |||||||||
International Business Machines Corp. | 169,021 | 23,864,075 | |||||||||
NetApp, Inc. | 220,338 | 14,374,851 | |||||||||
Texas Instruments, Inc. | 107,128 | 16,460,217 | |||||||||
111,190,833 | |||||||||||
Materials (5.5%): | |||||||||||
Air Products and Chemicals, Inc. | 94,101 | 22,629,409 | |||||||||
Dow, Inc. | 298,338 | 15,397,224 | |||||||||
International Paper Co. | 465,481 | 19,471,070 | |||||||||
LyondellBasell Industries NV, Class A | 164,931 | 14,424,865 | |||||||||
Newmont Corp. | 239,591 | 14,296,395 | |||||||||
Packaging Corp. of America | 134,952 | 18,555,900 | |||||||||
104,774,863 | |||||||||||
Multi-Utilities (11.4%): | |||||||||||
Ameren Corp. | 307,019 | 27,742,237 | |||||||||
CMS Energy Corp. | 415,444 | 28,042,470 | |||||||||
Consolidated Edison, Inc. (b) | 289,751 | 27,555,320 | |||||||||
Dominion Energy, Inc. | 308,887 | 24,652,271 | |||||||||
DTE Energy Co. | 231,829 | 29,384,326 | |||||||||
NiSource, Inc. | 909,489 | 26,820,831 | |||||||||
Sempra Energy | 162,515 | 24,421,129 | |||||||||
WEC Energy Group, Inc. (b) | 273,385 | 27,513,466 | |||||||||
216,132,050 | |||||||||||
Total Common Stocks (Cost $1,908,577,051) | 1,893,657,402 | ||||||||||
Investment Companies (0.5%) | |||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (d) | 9,879,922 | 9,879,922 | |||||||||
Total Investment Companies (Cost $9,879,922) | 9,879,922 | ||||||||||
Collateral for Securities Loaned (0.8%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) | 476,069 | 476,069 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (d) | 237,582 | 237,582 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) | 2,963,123 | 2,963,123 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) | 1,894,403 | 1,894,403 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (d) | 1,263,353 | 1,263,353 | |||||||||
See notes to financial statements.
147
| Victory Portfolios II VictoryShares US EQ Income Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (d) | 8,517,607 | 8,517,607 | |||||||||
Total Collateral for Securities Loaned (Cost $15,352,137) | 15,352,137 | ||||||||||
Total Investments (Cost $1,933,809,110) — 100.6% | 1,918,889,461 | ||||||||||
Liabilities in excess of other assets — (0.6)% | (11,493,616 | ) | |||||||||
NET ASSETS — 100.00% | $ | 1,907,395,845 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 57 | 9/16/22 | $ | 11,188,349 | $ | 10,800,075 | $ | (388,274 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (388,274 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (388,274 | ) | ||||||||||||||||||||
See notes to financial statements.
148
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (23.6%) | |||||||||||
Communication Services (0.7%): | |||||||||||
Advantage Solutions, Inc. (a) | 4,579 | $ | 17,400 | ||||||||
AMC Networks, Inc., Class A (a) | 627 | 18,258 | |||||||||
Boston Omaha Corp., Class A (a) | 1,156 | 23,871 | |||||||||
Cars.com, Inc. (a) | 1,733 | 16,342 | |||||||||
EchoStar Corp., Class A (a) | 1,430 | 27,599 | |||||||||
Gray Television, Inc. | 1,583 | 26,737 | |||||||||
IDT Corp., Class B (a) | 617 | 15,517 | |||||||||
John Wiley & Sons, Inc., Class A | 987 | 47,139 | |||||||||
PubMatic, Inc., Class A (a) | 607 | 9,645 | |||||||||
Scholastic Corp. | 1,246 | 44,819 | |||||||||
Sciplay Corp., Class A (a) | 2,211 | 30,888 | |||||||||
Shenandoah Telecommunications Co. | 1,023 | 22,711 | |||||||||
Telephone & Data Systems, Inc. | 2,137 | 33,743 | |||||||||
The EW Scripps Co., Class A (a) | 1,745 | 21,760 | |||||||||
Thryv Holdings, Inc. (a) | 881 | 19,726 | |||||||||
United States Cellular Corp. (a) | 1,632 | 47,263 | |||||||||
WideOpenWest, Inc. (a) | 2,080 | 37,877 | |||||||||
Yelp, Inc. (a) | 1,130 | 31,380 | |||||||||
492,675 | |||||||||||
Consumer Discretionary (2.9%): | |||||||||||
1-800-Flowers.com, Inc., Class A (a) | 1,538 | 14,626 | |||||||||
Abercrombie & Fitch Co. (a) | 694 | 11,742 | |||||||||
Academy Sports & Outdoors, Inc. | 937 | 33,301 | |||||||||
Accel Entertainment, Inc. (a) | 2,907 | 30,872 | |||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 2,917 | 21,965 | |||||||||
Arko Corp. | 4,131 | 33,709 | |||||||||
Big Lots, Inc. | 873 | 18,307 | |||||||||
Bloomin' Brands, Inc. | 1,265 | 21,024 | |||||||||
Boot Barn Holdings, Inc. (a) | 336 | 23,154 | |||||||||
Brinker International, Inc. (a) | 705 | 15,531 | |||||||||
Caleres, Inc. | 1,303 | 34,191 | |||||||||
Camping World Holdings, Inc., Class A (b) | 1,065 | 22,993 | |||||||||
Carriage Services, Inc. | 857 | 33,980 | |||||||||
Cavco Industries, Inc. (a) | 142 | 27,831 | |||||||||
Century Communities, Inc. | 519 | 23,339 | |||||||||
Chuy's Holdings, Inc. (a) | 917 | 18,267 | |||||||||
Clarus Corp. | 1,690 | 32,093 | |||||||||
Dana, Inc. | 1,642 | 23,103 | |||||||||
Dave & Buster's Entertainment, Inc. (a) | 582 | 19,078 | |||||||||
Denny's Corp. (a) | 2,292 | 19,895 | |||||||||
Dine Brands Global, Inc. | 383 | 24,926 | |||||||||
Dorman Products, Inc. (a) | 546 | 59,902 | |||||||||
Dream Finders Homes, Inc., Class A (a) (b) | 1,439 | 15,311 | |||||||||
Ethan Allen Interiors, Inc. | 1,422 | 28,739 | |||||||||
Everi Holdings, Inc. (a) | 1,233 | 20,110 | |||||||||
Fossil Group, Inc. (a) | 1,716 | 8,872 | |||||||||
Franchise Group, Inc. | 790 | 27,705 | |||||||||
See notes to financial statements.
149
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Frontdoor, Inc. (a) | 1,323 | $ | 31,858 | ||||||||
Funko, Inc., Class A (a) | 1,725 | 38,502 | |||||||||
Genesco, Inc. (a) | 432 | 21,561 | |||||||||
Gentherm, Inc. (a) | 397 | 24,777 | |||||||||
G-III Apparel Group Ltd. (a) | 1,295 | 26,198 | |||||||||
Golden Entertainment, Inc. (a) | 515 | 20,368 | |||||||||
GoPro, Inc., Class A (a) | 4,162 | 23,016 | |||||||||
Graham Holdings Co., Class B | 90 | 51,016 | |||||||||
Green Brick Partners, Inc. (a) | 1,326 | 25,950 | |||||||||
Groupon, Inc. (a) (b) | 901 | 10,181 | |||||||||
Guess?, Inc. (b) | 1,315 | 22,421 | |||||||||
iRobot Corp. (a) | 481 | 17,677 | |||||||||
Jack in the Box, Inc. | 553 | 31,001 | |||||||||
Johnson Outdoors, Inc., Class A | 611 | 37,369 | |||||||||
Kontoor Brands, Inc. | 688 | 22,959 | |||||||||
La-Z-Boy, Inc. | 1,157 | 27,432 | |||||||||
M/I Homes, Inc. (a) | 734 | 29,110 | |||||||||
Malibu Boats, Inc., Class A (a) | 520 | 27,409 | |||||||||
MarineMax, Inc. (a) | 713 | 25,753 | |||||||||
Monarch Casino & Resort, Inc. (a) | 471 | 27,634 | |||||||||
Monro, Inc. | 804 | 34,475 | |||||||||
Movado Group, Inc. | 807 | 24,960 | |||||||||
National Vision Holdings, Inc. (a) | 991 | 27,252 | |||||||||
Ollie's Bargain Outlet Holdings, Inc. (a) | 664 | 39,010 | |||||||||
OneWater Marine, Inc. (a) | 607 | 20,061 | |||||||||
Overstock.com, Inc. (a) | 333 | 8,328 | |||||||||
Oxford Industries, Inc. | 443 | 39,312 | |||||||||
Patrick Industries, Inc. | 510 | 26,438 | |||||||||
Perdoceo Education Corp. (a) | 4,618 | 54,400 | |||||||||
Qurate Retail, Inc., Class A | 4,249 | 12,195 | |||||||||
Rent-A-Center, Inc. | 948 | 18,439 | |||||||||
Ruth's Hospitality Group, Inc. | 1,348 | 21,918 | |||||||||
Sally Beauty Holdings, Inc. (a) | 1,628 | 19,406 | |||||||||
Shoe Carnival, Inc. | 998 | 21,567 | |||||||||
Sleep Number Corp. (a) | 438 | 13,556 | |||||||||
Smith & Wesson Brands, Inc. | 1,266 | 16,623 | |||||||||
Sonic Automotive, Inc., Class A | 632 | 23,150 | |||||||||
Standard Motor Products, Inc. | 1,291 | 58,082 | |||||||||
Strategic Education, Inc. | 544 | 38,395 | |||||||||
Stride, Inc. (a) | 815 | 33,244 | |||||||||
Sturm Ruger & Co., Inc. (c) | 655 | 41,691 | |||||||||
The Aaron's Co., Inc. | 1,340 | 19,497 | |||||||||
The Buckle, Inc. | 778 | 21,543 | |||||||||
The Cheesecake Factory, Inc. | 740 | 19,551 | |||||||||
The Children's Place, Inc. (a) | 373 | 14,517 | |||||||||
Tri Pointe Homes, Inc. (a) | 1,721 | 29,033 | |||||||||
Tupperware Brands Corp. (a) | 1,302 | 8,255 | |||||||||
Urban Outfitters, Inc. (a) | 1,159 | 21,627 | |||||||||
Vista Outdoor, Inc. (a) | 931 | 25,975 | |||||||||
Winmark Corp. | 194 | 37,941 | |||||||||
See notes to financial statements.
150
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Winnebago Industries, Inc. | 547 | $ | 26,562 | ||||||||
Wolverine World Wide, Inc. | 1,645 | 33,163 | |||||||||
WW International, Inc. (a) | 2,430 | 15,528 | |||||||||
XPEL, Inc. (a) | 356 | 16,351 | |||||||||
Zumiez, Inc. (a) | 634 | 16,484 | |||||||||
2,105,287 | |||||||||||
Consumer Staples (1.8%): | |||||||||||
B&G Foods, Inc. (b) | 1,869 | 44,445 | |||||||||
BellRing Brands, Inc. (a) | 1,234 | 30,714 | |||||||||
Central Garden & Pet Co., Class A (a) | 1,146 | 45,851 | |||||||||
e.l.f. Beauty, Inc. (a) | 1,687 | 51,757 | |||||||||
Edgewell Personal Care Co. | 1,079 | 37,247 | |||||||||
Energizer Holdings, Inc. | 1,731 | 49,074 | |||||||||
Fresh Del Monte Produce, Inc. | 1,689 | 49,876 | |||||||||
Grocery Outlet Holding Corp. (a) | 1,350 | 57,551 | |||||||||
Hostess Brands, Inc. (a) | 2,847 | 60,385 | |||||||||
Ingles Markets, Inc., Class A | 569 | 49,361 | |||||||||
Inter Parfums, Inc. | 480 | 35,069 | |||||||||
John B Sanfilippo & Son, Inc. | 918 | 66,546 | |||||||||
Medifast, Inc. | 188 | 33,936 | |||||||||
MGP Ingredients, Inc. | 430 | 43,039 | |||||||||
Mission Produce, Inc. (a) | 3,229 | 46,013 | |||||||||
Nu Skin Enterprises, Inc., Class A | 875 | 37,887 | |||||||||
PriceSmart, Inc. | 715 | 51,215 | |||||||||
SpartanNash Co. | 1,999 | 60,310 | |||||||||
The Andersons, Inc. | 961 | 31,703 | |||||||||
The Duckhorn Portfolio, Inc. (a) | 1,795 | 37,803 | |||||||||
Tootsie Roll Industries, Inc. | 1,540 | 54,439 | |||||||||
United Natural Foods, Inc. (a) | 674 | 26,556 | |||||||||
Universal Corp. | 1,169 | 70,724 | |||||||||
USANA Health Sciences, Inc. (a) | 645 | 46,672 | |||||||||
Utz Brands, Inc. | 2,418 | 33,417 | |||||||||
Vector Group Ltd. | 3,446 | 36,183 | |||||||||
WD-40 Co. | 214 | 43,091 | |||||||||
Weis Markets, Inc. (c) | 851 | 63,434 | |||||||||
1,294,298 | |||||||||||
Energy (0.6%): | |||||||||||
Arch Resources, Inc. | 246 | 35,200 | |||||||||
Archrock, Inc. | 4,422 | 36,570 | |||||||||
Brigham Minerals, Inc. | 1,645 | 40,516 | |||||||||
Centennial Resource Development, Inc., Class A (a) | 2,344 | 14,017 | |||||||||
CONSOL Energy, Inc. (a) | 638 | 31,504 | |||||||||
Core Laboratories NV | 1,011 | 20,028 | |||||||||
CVR Energy, Inc. | 1,329 | 44,522 | |||||||||
Gulfport Energy Corp. (a) | 545 | 43,333 | |||||||||
Laredo Petroleum, Inc. (a) | 207 | 14,271 | |||||||||
Noble Corp. (a) | 1,264 | 32,042 | |||||||||
Oasis Petroleum, Inc. | 230 | 27,980 | |||||||||
PBF Energy, Inc., Class A (a) | 1,113 | 32,299 | |||||||||
See notes to financial statements.
151
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Peabody Energy Corp. (a) (c) | 768 | $ | 16,381 | ||||||||
RPC, Inc. (a) | 2,531 | 17,489 | |||||||||
World Fuel Services Corp. (c) | 1,297 | 26,537 | |||||||||
432,689 | |||||||||||
Financials (5.9%): | |||||||||||
1st Source Corp. | 1,068 | 48,487 | |||||||||
A-Mark Precious Metals, Inc. | 903 | 29,122 | |||||||||
Amerant Bancorp, Inc. | 1,260 | 35,431 | |||||||||
AMERISAFE, Inc. | 983 | 51,126 | |||||||||
AssetMark Financial Holdings, Inc. (a) | 2,438 | 45,761 | |||||||||
Atlanticus Holdings Corp. (a) | 439 | 15,440 | |||||||||
B Riley Financial, Inc. | 528 | 22,308 | |||||||||
Banc of California, Inc. | 2,157 | 38,006 | |||||||||
BancFirst Corp. | 747 | 71,495 | |||||||||
Banner Corp. | 751 | 42,214 | |||||||||
Berkshire Hills Bancorp, Inc. | 1,535 | 38,022 | |||||||||
BGC Partners, Inc., Class A | 8,688 | 29,279 | |||||||||
Blucora, Inc. (a) | 2,397 | 44,249 | |||||||||
Brightsphere Investment Group, Inc. | 1,942 | 34,975 | |||||||||
Brookline Bancorp, Inc. | 3,179 | 42,312 | |||||||||
Byline Bancorp, Inc. | 1,730 | 41,174 | |||||||||
Capitol Federal Financial, Inc. | 5,921 | 54,355 | |||||||||
City Holding Co. | 754 | 60,230 | |||||||||
CNO Financial Group, Inc. | 2,077 | 37,573 | |||||||||
Columbia Banking System, Inc. | 1,076 | 30,827 | |||||||||
Columbia Financial, Inc. (a) (c) | 2,986 | 65,125 | |||||||||
ConnectOne Bancorp, Inc. | 1,525 | 37,286 | |||||||||
Customers Bancorp, Inc. (a) | 454 | 15,391 | |||||||||
Dime Community Bancshares, Inc. | 1,587 | 47,055 | |||||||||
Donnelley Financial Solutions, Inc. (a) | 963 | 28,206 | |||||||||
Eagle Bancorp, Inc. | 844 | 40,014 | |||||||||
Employers Holdings, Inc. | 1,496 | 62,667 | |||||||||
Encore Capital Group, Inc. (a) | 798 | 46,100 | |||||||||
Enova International, Inc. (a) | 814 | 23,459 | |||||||||
Enterprise Financial Services Corp. | 1,099 | 45,609 | |||||||||
FB Financial Corp. | 1,073 | 42,083 | |||||||||
Federal Agricultural Mortgage Corp., Class C | 427 | 41,697 | |||||||||
First BanCorp/Puerto Rico | 2,950 | 38,085 | |||||||||
First Bancorp/Southern Pines NC | 1,018 | 35,528 | |||||||||
First Busey Corp. | 1,806 | 41,267 | |||||||||
First Commonwealth Financial Corp. | 3,052 | 40,958 | |||||||||
First Financial Bancorp | 1,907 | 36,996 | |||||||||
First Foundation, Inc. | 1,746 | 35,758 | |||||||||
First Merchants Corp. | 1,112 | 39,609 | |||||||||
FirstCash Holdings, Inc. | 662 | 46,016 | |||||||||
Fulton Financial Corp. | 2,703 | 39,058 | |||||||||
GCM Grosvenor, Inc., Class A | 5,422 | 37,141 | |||||||||
Genworth Financial, Inc. (a) | 8,757 | 30,912 | |||||||||
German American Bancorp, Inc. | 1,181 | 40,367 | |||||||||
Green Dot Corp., Class A (a) | 1,317 | 33,070 | |||||||||
See notes to financial statements.
152
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Heartland Financial USA, Inc. | 1,004 | $ | 41,706 | ||||||||
Heritage Financial Corp. | 1,858 | 46,747 | |||||||||
Hilltop Holdings, Inc. | 1,560 | 41,590 | |||||||||
HomeStreet, Inc. | 973 | 33,734 | |||||||||
Hope Bancorp, Inc. | 2,597 | 35,942 | |||||||||
Horace Mann Educators Corp. | 1,365 | 52,389 | |||||||||
Horizon Bancorp, Inc. | 2,499 | 43,533 | |||||||||
International Bancshares Corp. | 1,074 | 43,046 | |||||||||
Kearny Financial Corp. | 4,507 | 50,073 | |||||||||
Lakeland Bancorp, Inc. | 2,909 | 42,530 | |||||||||
Lakeland Financial Corp. | 610 | 40,516 | |||||||||
LendingClub Corp. (a) | 748 | 8,744 | |||||||||
LendingTree, Inc. (a) | 214 | 9,377 | |||||||||
Live Oak Bancshares, Inc. | 444 | 15,047 | |||||||||
Merchants Bancorp | 1,539 | 34,889 | |||||||||
Meta Financial Group, Inc. | 745 | 28,809 | |||||||||
Metropolitan Bank Holding Corp. (a) | 360 | 24,991 | |||||||||
National Bank Holdings Corp., Class A | 1,141 | 43,666 | |||||||||
Navient Corp. | 2,009 | 28,106 | |||||||||
NBT Bancorp, Inc. | 1,418 | 53,303 | |||||||||
Nicolet Bankshares, Inc. (a) | 600 | 43,404 | |||||||||
NMI Holdings, Inc., Class A (a) | 1,692 | 28,172 | |||||||||
Northwest Bancshares, Inc. (c) | 4,610 | 59,008 | |||||||||
OceanFirst Financial Corp. | 2,238 | 42,813 | |||||||||
OFG Bancorp | 1,407 | 35,738 | |||||||||
Open Lending Corp., Class A (a) | 1,073 | 10,977 | |||||||||
Origin Bancorp, Inc. | 1,147 | 44,504 | |||||||||
Palomar Holdings, Inc. (a) | 510 | 32,844 | |||||||||
Park National Corp. | 371 | 44,984 | |||||||||
Peoples Bancorp, Inc. | 1,840 | 48,944 | |||||||||
Piper Sandler Cos. | 277 | 31,401 | |||||||||
PJT Partners, Inc., Class A | 764 | 53,694 | |||||||||
PRA Group, Inc. (a) | 1,269 | 46,141 | |||||||||
Preferred Bank | 664 | 45,165 | |||||||||
Premier Financial Corp. | 1,491 | 37,797 | |||||||||
ProAssurance Corp. | 1,943 | 45,913 | |||||||||
PROG Holdings, Inc. (a) | 1,046 | 17,259 | |||||||||
Provident Financial Services, Inc. | 2,401 | 53,446 | |||||||||
Renasant Corp. | 1,297 | 37,367 | |||||||||
S&T Bancorp, Inc. | 1,530 | 41,968 | |||||||||
Safety Insurance Group, Inc. (c) | 854 | 82,923 | |||||||||
Sandy Spring Bancorp, Inc. | 980 | 38,289 | |||||||||
Seacoast Banking Corp. of Florida | 1,185 | 39,152 | |||||||||
SiriusPoint Ltd. (a) | 7,270 | 39,403 | |||||||||
Southside Bancshares, Inc. (c) | 1,260 | 47,149 | |||||||||
Stewart Information Services Corp. | 795 | 39,551 | |||||||||
Stock Yards Bancorp, Inc. | 946 | 56,590 | |||||||||
StoneX Group, Inc. (a) | 549 | 42,860 | |||||||||
The Bancorp, Inc. (a) | 1,022 | 19,949 | |||||||||
Tompkins Financial Corp. (b) | 648 | 46,721 | |||||||||
See notes to financial statements.
153
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Towne Bank | 1,703 | $ | 46,236 | ||||||||
TriCo Bancshares | 1,188 | 54,220 | |||||||||
Triumph Bancorp, Inc. (a) | 324 | 20,269 | |||||||||
Trustmark Corp. | 1,474 | 43,026 | |||||||||
Veritex Holdings, Inc. | 1,060 | 31,016 | |||||||||
Victory Capital Holdings, Inc., Class A (d) | 1,110 | 26,751 | |||||||||
Virtus Investment Partners, Inc. | 162 | 27,705 | |||||||||
Washington Federal, Inc. | 1,496 | 44,910 | |||||||||
Washington Trust Bancorp, Inc. | 965 | 46,677 | |||||||||
WesBanco, Inc. | 1,220 | 38,686 | |||||||||
Westamerica Bancorp | 1,023 | 56,940 | |||||||||
World Acceptance Corp. (a) (b) | 116 | 13,020 | |||||||||
4,224,163 | |||||||||||
Health Care (2.4%): | |||||||||||
AdaptHealth Corp. (a) | 1,657 | 29,892 | |||||||||
Addus HomeCare Corp. (a) | 382 | 31,813 | |||||||||
Agiliti, Inc. (a) | 1,532 | 31,421 | |||||||||
Allscripts Healthcare Solutions, Inc. (a) | 2,199 | 32,611 | |||||||||
Amneal Pharmaceuticals, Inc. (a) | 6,864 | 21,828 | |||||||||
Amphastar Pharmaceuticals, Inc. (a) | 1,526 | 53,090 | |||||||||
AnaptysBio, Inc. (a) | 961 | 19,508 | |||||||||
Apollo Medical Holdings, Inc. (a) | 323 | 12,465 | |||||||||
Arcus Biosciences, Inc. (a) | 577 | 14,621 | |||||||||
Atrion Corp. | 60 | 37,732 | |||||||||
Avanos Medical, Inc. (a) | 1,036 | 28,324 | |||||||||
Aveanna Healthcare Holdings, Inc. (a) | 5,739 | 12,970 | |||||||||
Avid Bioservices, Inc. (a) | 1,159 | 17,686 | |||||||||
Bioventus, Inc., Class A (a) | 2,424 | 16,532 | |||||||||
Catalyst Pharmaceuticals, Inc. (a) | 3,682 | 25,811 | |||||||||
Collegium Pharmaceutical, Inc. (a) | 1,564 | 27,714 | |||||||||
Community Health Systems, Inc. (a) | 2,145 | 8,044 | |||||||||
Corcept Therapeutics, Inc. (a) | 1,258 | 29,915 | |||||||||
CorVel Corp. (a) | 262 | 38,585 | |||||||||
Cross Country Healthcare, Inc. (a) | 945 | 19,684 | |||||||||
Cutera, Inc. (a) | 868 | 32,550 | |||||||||
Dynavax Technologies Corp. (a) | 1,482 | 18,658 | |||||||||
Emergent BioSolutions, Inc. (a) | 530 | 16,451 | |||||||||
Fulgent Genetics, Inc. (a) | 351 | 19,140 | |||||||||
Haemonetics Corp. (a) | 509 | 33,177 | |||||||||
Hanger, Inc. (a) | 2,101 | 30,086 | |||||||||
Harmony Biosciences Holdings, Inc. (a) | 708 | 34,529 | |||||||||
Innovage Holding Corp. (a) (b) | 3,251 | 14,239 | |||||||||
Innoviva, Inc. (a) | 2,096 | 30,937 | |||||||||
Integer Holdings Corp. (a) | 568 | 40,135 | |||||||||
Ironwood Pharmaceuticals, Inc. (a) | 4,356 | 50,225 | |||||||||
iTeos Therapeutics, Inc. (a) | 579 | 11,927 | |||||||||
LeMaitre Vascular, Inc. | 884 | 40,266 | |||||||||
Ligand Pharmaceuticals, Inc. (a) | 267 | 23,822 | |||||||||
MEDNAX, Inc. (a) | 1,750 | 36,768 | |||||||||
Meridian Bioscience, Inc. (a) | 1,135 | 34,527 | |||||||||
See notes to financial statements.
154
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mesa Laboratories, Inc. | 205 | $ | 41,808 | ||||||||
Multiplan Corp. (a) (b) | 5,075 | 27,862 | |||||||||
National HealthCare Corp. (c) | 823 | 57,528 | |||||||||
National Research Corp. | 1,105 | 42,299 | |||||||||
Natus Medical, Inc. (a) | 1,333 | 43,683 | |||||||||
NextGen Healthcare, Inc. (a) | 2,427 | 42,327 | |||||||||
OptimizeRx Corp. (a) (c) | 501 | 13,722 | |||||||||
Organogenesis Holdings, Inc. (a) | 3,117 | 15,211 | |||||||||
Pacira BioSciences, Inc. (a) | 606 | 35,330 | |||||||||
Patterson Cos., Inc. (c) | 1,536 | 46,541 | |||||||||
Phibro Animal Health Corp., Class A | 1,769 | 33,841 | |||||||||
Prestige Consumer Healthcare, Inc. (a) | 901 | 52,979 | |||||||||
Prothena Corp. PLC (a) | 575 | 15,611 | |||||||||
RadNet, Inc. (a) | 1,144 | 19,768 | |||||||||
REGENXBIO, Inc. (a) | 772 | 19,068 | |||||||||
Simulations Plus, Inc. | 722 | 35,616 | |||||||||
Supernus Pharmaceuticals, Inc. (a) | 1,189 | 34,386 | |||||||||
Syndax Pharmaceuticals, Inc. (a) | 1,650 | 31,746 | |||||||||
U.S. Physical Therapy, Inc. | 378 | 41,278 | |||||||||
uniQure NV (a) | 1,400 | 26,096 | |||||||||
Varex Imaging Corp. (a) | 1,698 | 36,320 | |||||||||
Xencor, Inc. (a) | 1,144 | 31,311 | |||||||||
1,722,014 | |||||||||||
Industrials (5.0%): | |||||||||||
AAR Corp. (a) | 933 | 39,037 | |||||||||
ACCO Brands Corp. | 4,745 | 30,985 | |||||||||
AerSale Corp. (a) | 1,722 | 24,986 | |||||||||
Air Transport Services Group, Inc. (a) | 1,409 | 40,481 | |||||||||
Alamo Group, Inc. | 391 | 45,524 | |||||||||
Albany International Corp. | 541 | 42,625 | |||||||||
Altra Industrial Motion Corp. | 893 | 31,478 | |||||||||
ArcBest Corp. | 299 | 21,041 | |||||||||
Arcosa, Inc. | 764 | 35,473 | |||||||||
Astec Industries, Inc. | 741 | 30,218 | |||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 555 | 34,249 | |||||||||
AZZ, Inc. | 1,020 | 41,636 | |||||||||
Barnes Group, Inc. | 1,118 | 34,815 | |||||||||
BlueLinx Holdings, Inc. (a) | 214 | 14,297 | |||||||||
Brady Corp., Class A | 1,335 | 63,065 | |||||||||
BrightView Holdings, Inc. (a) | 2,775 | 33,300 | |||||||||
CBIZ, Inc. (a) | 1,536 | 61,379 | |||||||||
Columbus McKinnon Corp. | 976 | 27,689 | |||||||||
Construction Partners, Inc., Class A (a) | 1,319 | 27,620 | |||||||||
CRA International, Inc. | 418 | 37,336 | |||||||||
CSW Industrials, Inc. | 441 | 45,436 | |||||||||
Daseke, Inc. (a) | 2,697 | 17,234 | |||||||||
Deluxe Corp. | 1,225 | 26,546 | |||||||||
Douglas Dynamics, Inc. | 1,236 | 35,523 | |||||||||
Dycom Industries, Inc. (a) | 335 | 31,168 | |||||||||
Eagle Bulk Shipping, Inc. | 481 | 24,954 | |||||||||
See notes to financial statements.
155
| Victory Portfolios II VictoryShares US Discovery Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Encore Wire Corp. | 265 | $ | 27,539 | ||||||||
Energy Recovery, Inc. (a) | 2,050 | 39,811 | |||||||||
Enerpac Tool Group Corp. | 2,436 | 46,333 | |||||||||
EnPro Industries, Inc. | 420 | 34,411 | |||||||||
ESCO Technologies, Inc. | 776 | 53,055 | |||||||||
Federal Signal Corp. | 1,547 | 55,073 | |||||||||
Forrester Research, Inc. (a) | 985 | 47,122 | |||||||||
Forward Air Corp. | 425 | 39,083 | |||||||||
Franklin Covey Co. (a) | 812 | 37,498 | |||||||||
Genco Shipping & Trading Ltd. | 1,305 | 25,213 | |||||||||
Gibraltar Industries, Inc. (a) | 805 | 31,194 | |||||||||
Global Industrial Co. | 1,375 | 46,434 | |||||||||
GMS, Inc. (a) | 620 | 27,590 | |||||||||
GrafTech International Ltd. | 2,841 | 20,086 | |||||||||
Granite Construction, Inc. | 1,384 | 40,330 | |||||||||
Great Lakes Dredge & Dock Corp. (a) | 3,840 | 50,342 | |||||||||
Griffon Corp. | 1,747 | 48,968 | |||||||||
H&E Equipment Services, Inc. | 746 | 21,612 | |||||||||
Healthcare Services Group | 2,452 | 42,689 | |||||||||
Heartland Express, Inc. | 4,638 | 64,515 | |||||||||
Heidrick & Struggles International, Inc. | 1,102 | 35,661 | |||||||||
Helios Technologies, Inc. | 479 | 31,734 | |||||||||
Heritage-Crystal Clean, Inc. (a) | 1,695 | 45,697 | |||||||||
HNI Corp. | 1,157 | 40,136 | |||||||||
Hub Group, Inc., Class A (a) | 571 | 40,507 | |||||||||
Huron Consulting Group, Inc. (a) | 889 | 57,776 | |||||||||
Hydrofarm Holdings Group, Inc. (a) | 1,042 | 3,626 | |||||||||
ICF International, Inc. | 653 | 62,035 | |||||||||
IES Holdings, Inc. (a) | 941 | 28,390 | |||||||||
Insteel Industries, Inc. | 973 | 32,761 | |||||||||
Interface, Inc. | 2,779 | 34,849 | |||||||||
Janus International Group, Inc. (a) | 3,014 | 27,216 | |||||||||
JELD-WEN Holding, Inc. (a) | 1,595 | 23,271 | |||||||||
Kadant, Inc. | 232 | 42,305 | |||||||||
Kaman Corp. | 964 | 30,125 | |||||||||
KAR Auction Services, Inc. (a) | 1,214 | 17,931 | |||||||||
Kelly Services, Inc., Class A | 1,496 | 29,666 | |||||||||
Kennametal, Inc. | 1,362 | 31,639 | |||||||||
Kforce, Inc. | 561 | 34,412 | |||||||||
Lindsay Corp. | 336 | 44,628 | |||||||||
Marten Transport Ltd. | 3,111 | 52,327 | |||||||||
Maxar Technologies, Inc. | 678 | 17,689 | |||||||||
McGrath RentCorp | 638 | 48,488 | |||||||||
Moog, Inc., Class A | 559 | 44,379 | |||||||||
Mueller Water Products, Inc., Class A | 3,815 | 44,750 | |||||||||
MYR Group, Inc. (a) | 465 | 40,980 | |||||||||
NOW, Inc. (a) | 2,918 | 28,538 | |||||||||
NV5 Global, Inc. (a) | 383 | 44,711 | |||||||||
Omega Flex, Inc. | 275 | 29,596 | |||||||||
PAM Transportation Services, Inc. (a) | 705 | 19,310 | |||||||||
See notes to financial statements.
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Security Description | Shares | Value | |||||||||
PGT Innovations, Inc. (a) | 1,989 | $ | 33,097 | ||||||||
Pitney Bowes, Inc. | 5,680 | 20,562 | |||||||||
Primoris Services Corp. | 1,375 | 29,920 | |||||||||
Proto Labs, Inc. (a) | 488 | 23,346 | |||||||||
Quanex Building Products Corp. | 1,974 | 44,908 | |||||||||
REV Group, Inc. | 1,937 | 21,055 | |||||||||
Rush Enterprises, Inc., Class A | 927 | 44,681 | |||||||||
Shoals Technologies Group, Inc., Class A (a) | 1,265 | 20,847 | |||||||||
SkyWest, Inc. (a) | 938 | 19,932 | |||||||||
SP Plus Corp. (a) | 1,267 | 38,922 | |||||||||
SPX Corp. (a) | 946 | 49,987 | |||||||||
Standex International Corp. | 568 | 48,155 | |||||||||
Steelcase, Inc., Class A | 4,094 | 43,929 | |||||||||
Sterling Infrastructure, Inc. (a) | 1,112 | 24,375 | |||||||||
Sun Country Airlines Holdings, Inc. (a) | 1,032 | 18,927 | |||||||||
Tennant Co. | 793 | 46,985 | |||||||||
Terex Corp. | 808 | 22,115 | |||||||||
The Gorman-Rupp Co. | 1,421 | 40,214 | |||||||||
The Greenbrier Cos., Inc. | 821 | 29,548 | |||||||||
The Shyft Group, Inc. | 705 | 13,106 | |||||||||
Titan International, Inc. (a) | 2,185 | 32,993 | |||||||||
Trinity Industries, Inc. | 1,439 | 34,853 | |||||||||
TrueBlue, Inc. (a) | 1,375 | 24,612 | |||||||||
Veritiv Corp. (a) | 197 | 21,384 | |||||||||
Wabash National Corp. | 2,095 | 28,450 | |||||||||
Werner Enterprises, Inc. | 1,409 | 54,303 | |||||||||
3,593,332 | |||||||||||
Information Technology (2.3%): | |||||||||||
3D Systems Corp. (a) | 1,063 | 10,311 | |||||||||
A10 Networks, Inc. | 1,556 | 22,375 | |||||||||
ACM Research, Inc., Class A (a) | 749 | 12,606 | |||||||||
Alpha & Omega Semiconductor Ltd. (a) | 402 | 13,403 | |||||||||
American Software, Inc., Class A | 1,603 | 25,904 | |||||||||
Avid Technology, Inc. (a) | 774 | 20,085 | |||||||||
Axcelis Technologies, Inc. (a) | 388 | 21,278 | |||||||||
Badger Meter, Inc. | 463 | 37,452 | |||||||||
Belden, Inc. | 768 | 40,911 | |||||||||
Benchmark Electronics, Inc. | 1,894 | 42,729 | |||||||||
Cambium Networks Corp. (a) | 787 | 11,530 | |||||||||
Cerence, Inc. (a) | 557 | 14,053 | |||||||||
CEVA, Inc. (a) | 760 | 25,506 | |||||||||
Clearfield, Inc. (a) | 341 | 21,125 | |||||||||
Cohu, Inc. (a) | 931 | 25,835 | |||||||||
CommVault Systems, Inc. (a) | 606 | 38,117 | |||||||||
Corsair Gaming, Inc. (a) (b) | 1,423 | 18,684 | |||||||||
CSG Systems International, Inc. | 1,152 | 68,751 | |||||||||
Digi International, Inc. (a) | 2,186 | 52,945 | |||||||||
Ebix, Inc. (b) | 865 | 14,618 | |||||||||
ePlus, Inc. (a) | 897 | 47,649 | |||||||||
EVERTEC, Inc. | 1,317 | 48,571 | |||||||||
See notes to financial statements.
157
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Security Description | Shares | Value | |||||||||
Extreme Networks, Inc. (a) | 2,534 | $ | 22,603 | ||||||||
Harmonic, Inc. (a) | 3,013 | 26,123 | |||||||||
Ichor Holdings Ltd. (a) | 731 | 18,991 | |||||||||
InterDigital, Inc. | 861 | 52,349 | |||||||||
Knowles Corp. (a) | 3,541 | 61,366 | |||||||||
Methode Electronics, Inc. | 1,056 | 39,114 | |||||||||
Mitek Systems, Inc. (a) | 2,411 | 22,278 | |||||||||
N-able, Inc. (a) | 1,671 | 15,039 | |||||||||
Napco Security Technologies, Inc. (a) | 1,760 | 36,238 | |||||||||
NETGEAR, Inc. (a) | 1,764 | 32,669 | |||||||||
NetScout Systems, Inc. (a) | 1,474 | 49,895 | |||||||||
OSI Systems, Inc. (a) | 870 | 74,333 | |||||||||
Paymentus Holdings, Inc., Class A (a) (b) | 933 | 12,474 | |||||||||
PC Connection, Inc. | 847 | 37,310 | |||||||||
Photronics, Inc. (a) | 1,535 | 29,902 | |||||||||
Plexus Corp. (a) | 603 | 47,335 | |||||||||
Progress Software Corp. | 1,016 | 46,025 | |||||||||
Rambus, Inc. (a) | 1,697 | 36,469 | |||||||||
Riot Blockchain, Inc. (a) (b) | 869 | 3,641 | |||||||||
Sanmina Corp. (a) | 1,244 | 50,668 | |||||||||
ScanSource, Inc. (a) | 1,044 | 32,510 | |||||||||
Super Micro Computer, Inc. (a) | 876 | 35,347 | |||||||||
TTM Technologies, Inc. (a) | 4,010 | 50,125 | |||||||||
Ultra Clean Holdings, Inc. (a) | 518 | 15,421 | |||||||||
Veeco Instruments, Inc. (a) | 1,227 | 23,804 | |||||||||
Verra Mobility Corp. (a) | 2,610 | 41,003 | |||||||||
Vishay Intertechnology, Inc. | 2,688 | 47,900 | |||||||||
Vizio Holding Corp., Class A (a) | 1,775 | 12,106 | |||||||||
1,607,476 | |||||||||||
Materials (1.2%): | |||||||||||
AdvanSix, Inc. | 778 | 26,016 | |||||||||
Chase Corp. | 568 | 44,196 | |||||||||
Greif, Inc., Class A | 831 | 51,838 | |||||||||
Hawkins, Inc. | 870 | 31,346 | |||||||||
Ingevity Corp. (a) | 674 | 42,556 | |||||||||
Innospec, Inc. | 566 | 54,217 | |||||||||
Intrepid Potash, Inc. (a) | 389 | 17,618 | |||||||||
Kronos Worldwide, Inc. | 3,362 | 61,861 | |||||||||
Materion Corp. | 497 | 36,644 | |||||||||
Minerals Technologies, Inc. | 749 | 45,944 | |||||||||
O-I Glass, Inc. (a) | 2,740 | 38,360 | |||||||||
Origin Materials, Inc. (a) | 4,366 | 22,354 | |||||||||
Orion Engineered Carbons SA | 2,450 | 38,048 | |||||||||
Pactiv Evergreen, Inc. | 3,529 | 35,149 | |||||||||
Ramaco Resources, Inc. | 1,163 | 15,293 | |||||||||
Ryerson Holding Corp. | 918 | 19,544 | |||||||||
Schnitzer Steel Industries, Inc. | 601 | 19,737 | |||||||||
Schweitzer-Mauduit International, Inc. | 1,242 | 31,199 | |||||||||
Stepan Co. | 615 | 62,330 | |||||||||
SunCoke Energy, Inc. | 3,858 | 26,273 | |||||||||
See notes to financial statements.
158
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Security Description | Shares | Value | |||||||||
TimkenSteel Corp. (a) | 1,253 | $ | 23,444 | ||||||||
TriMas Corp. | 1,470 | 40,704 | |||||||||
Trinseo PLC | 623 | 23,961 | |||||||||
Warrior Met Coal, Inc. | 855 | 26,172 | |||||||||
Worthington Industries, Inc. | 729 | 32,149 | |||||||||
866,953 | |||||||||||
Real Estate (0.2%): | |||||||||||
Anywhere Real Estate, Inc. (a) | 1,974 | 19,404 | |||||||||
Forestar Group, Inc. (a) | 2,364 | 32,363 | |||||||||
Marcus & Millichap, Inc. | 954 | 35,289 | |||||||||
The RMR Group, Inc., Class A | 1,316 | 37,309 | |||||||||
124,365 | |||||||||||
Utilities (0.6%): | |||||||||||
Chesapeake Utilities Corp. | 504 | 65,293 | |||||||||
MGE Energy, Inc. | 970 | 75,495 | |||||||||
Middlesex Water Co. | 442 | 38,755 | |||||||||
Northwest Natural Holding Co. | 1,223 | 64,941 | |||||||||
Otter Tail Corp. (c) | 984 | 66,056 | |||||||||
SJW Group | 1,039 | 64,844 | |||||||||
Unitil Corp. (c) | 1,165 | 68,409 | |||||||||
443,793 | |||||||||||
Total Common Stocks (Cost $15,780,338) | 16,907,045 | ||||||||||
Investment Companies (76.3%) | |||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (e) (f) | 54,597,924 | 54,597,924 | |||||||||
Total Investment Companies (Cost $54,597,924) | 54,597,924 | ||||||||||
Collateral for Securities Loaned (0.1%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (e) | 2,064 | 2,064 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (e) | 1,030 | 1,030 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (e) | 12,848 | 12,848 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (e) | 8,214 | 8,214 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (e) | 5,478 | 5,478 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (e) | 36,933 | 36,933 | |||||||||
Total Collateral for Securities Loaned (Cost $66,567) | 66,567 | ||||||||||
Total Investments (Cost $70,444,829) — 100.0% | 71,571,536 | ||||||||||
Other assets in excess of liabilities — 0.0% | 6,478 | ||||||||||
NET ASSETS — 100.00% | $ | 71,578,014 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security is on loan.
See notes to financial statements.
159
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(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Affiliated security (See Note 10 in the Notes to Financial Statements).
(e) Rate disclosed is the daily yield on June 30, 2022.
(f) Represents investments greater than 25% of the Fund's net assets. Performance of the Fund may be adversely impacted by concentrated investments in securities. The financial statements and portfolio holdings for these securities can be found at www.sec.gov.
CVR — Contingent Value Right
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
E-Mini Russell 2000 Index Futures | 4 | 9/16/22 | $ | 361,506 | $ | 341,600 | $ | (19,906 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (19,906 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (19,906 | ) | ||||||||||||||||||||
See notes to financial statements.
160
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Security Description | Shares | Value | |||||||||
Common Stocks (22.7%) | |||||||||||
Australia (1.2%): | |||||||||||
Communication Services (0.1%): | |||||||||||
REA Group Ltd. | 156 | $ | 12,039 | ||||||||
Telstra Corp. Ltd. | 8,941 | 23,755 | |||||||||
35,794 | |||||||||||
Consumer Discretionary (0.1%): | |||||||||||
Aristocrat Leisure Ltd. | 696 | 16,513 | |||||||||
Wesfarmers Ltd. | 590 | 17,064 | |||||||||
33,577 | |||||||||||
Consumer Staples (0.1%): | |||||||||||
Coles Group Ltd. | 1,979 | 24,323 | |||||||||
Woolworths Group Ltd. | 877 | 21,546 | |||||||||
45,869 | |||||||||||
Energy (0.1%): | |||||||||||
Santos Ltd. | 2,807 | 14,373 | |||||||||
Woodside Energy Group Ltd. | 746 | 16,392 | |||||||||
30,765 | |||||||||||
Financials (0.4%): | |||||||||||
ASX Ltd. | 405 | 22,837 | |||||||||
Australia & New Zealand Banking Group Ltd. | 1,365 | 20,752 | |||||||||
Commonwealth Bank of Australia | 287 | 17,900 | |||||||||
Macquarie Group Ltd. | 156 | 17,710 | |||||||||
National Australia Bank Ltd. | 1,251 | 23,646 | |||||||||
QBE Insurance Group Ltd. | 1,913 | 16,040 | |||||||||
Westpac Banking Corp. | 1,369 | 18,423 | |||||||||
137,308 | |||||||||||
Health Care (0.2%): | |||||||||||
Cochlear Ltd. | 99 | 13,575 | |||||||||
CSL Ltd. | 94 | 17,454 | |||||||||
Ramsay Health Care Ltd. | 519 | 26,232 | |||||||||
Sonic Healthcare Ltd. | 818 | 18,634 | |||||||||
75,895 | |||||||||||
Materials (0.2%): | |||||||||||
BHP Group Ltd. | 503 | 14,319 | |||||||||
Fortescue Metals Group Ltd. | 834 | 10,089 | |||||||||
Newcrest Mining Ltd. | 899 | 12,960 | |||||||||
Rio Tinto Ltd. | 184 | 13,041 | |||||||||
South32 Ltd. | 4,377 | 11,901 | |||||||||
62,310 | |||||||||||
421,518 | |||||||||||
Austria (0.1%): | |||||||||||
Energy (0.1%): | |||||||||||
OMV AG | 286 | 13,413 | |||||||||
See notes to financial statements.
161
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (0.0%): (a) | |||||||||||
Erste Group Bank AG | 360 | $ | 9,128 | ||||||||
Utilities (0.0%): (a) | |||||||||||
Verbund AG | 119 | 11,640 | |||||||||
34,181 | |||||||||||
Belgium (0.3%): | |||||||||||
Consumer Staples (0.0%): (a) | |||||||||||
Anheuser-Busch InBev SA | 257 | 13,831 | |||||||||
Financials (0.1%): | |||||||||||
Groupe Bruxelles Lambert SA | 287 | 23,961 | |||||||||
KBC Group NV | 230 | 12,903 | |||||||||
Sofina SA | 50 | 10,216 | |||||||||
47,080 | |||||||||||
Health Care (0.1%): | |||||||||||
UCB SA | 198 | 16,730 | |||||||||
Materials (0.1%): | |||||||||||
Solvay SA, Class A | 188 | 15,231 | |||||||||
92,872 | |||||||||||
Canada (3.4%): | |||||||||||
Communication Services (0.3%): | |||||||||||
BCE, Inc. (b) | 950 | 46,703 | |||||||||
Rogers Communications, Inc., Class B | 529 | 25,353 | |||||||||
TELUS Corp. (b) | 1,820 | 40,543 | |||||||||
112,599 | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Dollarama, Inc. | 513 | 29,545 | |||||||||
Magna International, Inc. | 208 | 11,423 | |||||||||
Restaurant Brands International, Inc. | 393 | 19,717 | |||||||||
60,685 | |||||||||||
Consumer Staples (0.3%): | |||||||||||
Alimentation Couche-Tard, Inc. | 456 | 17,790 | |||||||||
George Weston Ltd. | 241 | 28,158 | |||||||||
Loblaw Cos. Ltd. | 353 | 31,841 | |||||||||
Metro, Inc. | 574 | 30,814 | |||||||||
108,603 | |||||||||||
Energy (0.4%): | |||||||||||
Canadian Natural Resources Ltd. | 264 | 14,189 | |||||||||
Cenovus Energy, Inc. | 727 | 13,834 | |||||||||
Enbridge, Inc. | 708 | 29,904 | |||||||||
Imperial Oil Ltd. | 318 | 14,993 | |||||||||
Pembina Pipeline Corp. | 768 | 27,152 | |||||||||
Suncor Energy, Inc. | 420 | 14,738 | |||||||||
TC Energy Corp. | 527 | 27,304 | |||||||||
Tourmaline Oil Corp. | 325 | 16,901 | |||||||||
159,015 | |||||||||||
See notes to financial statements.
162
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (1.0%): | |||||||||||
Bank of Montreal | 252 | $ | 24,237 | ||||||||
Brookfield Asset Management, Inc., Class A | 347 | 15,438 | |||||||||
Canadian Imperial Bank of Commerce | 452 | 21,954 | |||||||||
Fairfax Financial Holdings Ltd. | 42 | 22,260 | |||||||||
Great-West Lifeco, Inc. | 1,323 | 32,309 | |||||||||
Intact Financial Corp. | 238 | 33,575 | |||||||||
Manulife Financial Corp. | 1,128 | 19,562 | |||||||||
National Bank of Canada | 385 | 25,269 | |||||||||
Power Corp. of Canada | 1,208 | 31,087 | |||||||||
Royal Bank of Canada | 337 | 32,637 | |||||||||
Sun Life Financial, Inc. | 648 | 29,696 | |||||||||
The Bank of Nova Scotia | 443 | 26,222 | |||||||||
The Toronto-Dominion Bank | 353 | 23,152 | |||||||||
337,398 | |||||||||||
Industrials (0.3%): | |||||||||||
Canadian National Railway Co. | 172 | 19,350 | |||||||||
Canadian Pacific Railway Ltd. | 281 | 19,631 | |||||||||
Thomson Reuters Corp. | 265 | 27,630 | |||||||||
Waste Connections, Inc. | 219 | 27,158 | |||||||||
WSP Global, Inc. | 153 | 17,302 | |||||||||
111,071 | |||||||||||
Information Technology (0.2%): | |||||||||||
CGI, Inc. (c) | 275 | 21,910 | |||||||||
Constellation Software, Inc. | 12 | 17,817 | |||||||||
Open Text Corp. | 564 | 21,337 | |||||||||
Shopify, Inc., Class A (c) | 110 | 3,438 | |||||||||
64,502 | |||||||||||
Materials (0.3%): | |||||||||||
Aginco Eagle Mines Ltd. | 283 | 12,956 | |||||||||
Barrick Gold Corp. (d) | 693 | 12,255 | |||||||||
First Quantum Minerals Ltd. | 329 | 6,243 | |||||||||
Franco-Nevada Corp. | 128 | 16,840 | |||||||||
Ivanhoe Mines Ltd. (c) | 1,128 | 6,495 | |||||||||
Nutrien Ltd. | 199 | 15,850 | |||||||||
Teck Resources Ltd., Class B | 317 | 9,695 | |||||||||
West Fraser Timber Co. Ltd. | 157 | 12,049 | |||||||||
Wheaton Precious Metals Corp. | 388 | 13,982 | |||||||||
106,365 | |||||||||||
Utilities (0.4%): | |||||||||||
Emera, Inc. | 1,012 | 47,416 | |||||||||
Fortis, Inc. | 889 | 42,032 | |||||||||
Hydro One Ltd. (e) | 1,833 | 49,293 | |||||||||
138,741 | |||||||||||
1,198,979 | |||||||||||
See notes to financial statements.
163
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Denmark (0.4%): | |||||||||||
Consumer Staples (0.0%): (a) | |||||||||||
Carlsberg AS, Class B | 134 | $ | 17,070 | ||||||||
Financials (0.1%): | |||||||||||
Danske Bank A/S | 965 | 13,639 | |||||||||
Tryg A/S | 1,192 | 26,767 | |||||||||
40,406 | |||||||||||
Health Care (0.1%): | |||||||||||
Coloplast A/S, Class B | 125 | 14,239 | |||||||||
Genmab A/S (c) | 45 | 14,566 | |||||||||
Novo Nordisk A/S, Class B | 146 | 16,196 | |||||||||
45,001 | |||||||||||
Industrials (0.1%): | |||||||||||
AP Moller — Maersk A/S, Class B | 4 | 9,332 | |||||||||
DSV A/S | 86 | 12,012 | |||||||||
Vestas Wind Systems A/S | 260 | 5,492 | |||||||||
26,836 | |||||||||||
Materials (0.1%): | |||||||||||
Novozymes A/S, B Shares | 297 | 17,829 | |||||||||
Utilities (0.0%): (a) | |||||||||||
Orsted A/S (e) | 88 | 9,200 | |||||||||
156,342 | |||||||||||
Finland (0.3%): | |||||||||||
Consumer Staples (0.0%): (a) | |||||||||||
Kesko Oyj, Class B | 602 | 14,199 | |||||||||
Energy (0.0%): (a) | |||||||||||
Neste Oyj | 342 | 15,137 | |||||||||
Financials (0.1%): | |||||||||||
Sampo Oyj, A Shares | 485 | 21,100 | |||||||||
Industrials (0.1%): | |||||||||||
Kone Oyj, Class B | 332 | 15,779 | |||||||||
Information Technology (0.0%): (a) | |||||||||||
Nokia Oyj | 2,982 | 13,871 | |||||||||
Materials (0.1%): | |||||||||||
Stora Enso Oyj, Class R | 834 | 13,078 | |||||||||
UPM-Kymmene Oyj | 575 | 17,478 | |||||||||
30,556 | |||||||||||
Utilities (0.0%): (a) | |||||||||||
Fortum Oyj | 784 | 11,759 | |||||||||
122,401 | |||||||||||
France (1.8%): | |||||||||||
Communication Services (0.2%): | |||||||||||
Bollore SE | 3,716 | 17,210 | |||||||||
Orange SA | 2,579 | 30,319 | |||||||||
See notes to financial statements.
164
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Publicis Groupe SA | 281 | $ | 13,738 | ||||||||
Vivendi SE | 451 | 4,582 | |||||||||
65,849 | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Cie Generale des Etablissements Michelin SCA | 564 | 15,350 | |||||||||
EssilorLuxottica SA | 107 | 16,021 | |||||||||
Hermes International | 11 | 12,298 | |||||||||
Kering SA | 21 | 10,784 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 22 | 13,409 | |||||||||
Sodexo SA | 197 | 13,843 | |||||||||
81,705 | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Carrefour SA (d) | 876 | 15,499 | |||||||||
Danone SA | 370 | 20,648 | |||||||||
L'Oreal SA | 53 | 18,287 | |||||||||
Pernod Ricard SA | 109 | 20,021 | |||||||||
74,455 | |||||||||||
Energy (0.1%): | |||||||||||
TotalEnergies SE | 362 | 19,105 | |||||||||
Financials (0.2%): | |||||||||||
Amundi SA (e) | 283 | 15,479 | |||||||||
AXA SA | 780 | 17,702 | |||||||||
BNP Paribas SA (d) | 261 | 12,406 | |||||||||
Credit Agricole SA (d) | 1,446 | 13,229 | |||||||||
Societe Generale SA | 450 | 9,850 | |||||||||
68,666 | |||||||||||
Health Care (0.1%): | |||||||||||
BioMerieux | 140 | 13,672 | |||||||||
Euroapi SA (c) | 10 | 158 | |||||||||
Sanofi | 244 | 24,631 | |||||||||
Sartorius Stedim Biotech | 29 | 9,094 | |||||||||
47,555 | |||||||||||
Industrials (0.5%): | |||||||||||
Airbus SE | 110 | 10,656 | |||||||||
Bouygues SA | 717 | 22,058 | |||||||||
Bureau Veritas SA (d) | 891 | 22,826 | |||||||||
Cie de Saint-Gobain | 254 | 10,897 | |||||||||
Legrand SA | 255 | 18,826 | |||||||||
Safran SA | 105 | 10,365 | |||||||||
Schneider Electric SE | 115 | 13,604 | |||||||||
Teleperformance | 53 | 16,288 | |||||||||
Thales SA | 160 | 19,623 | |||||||||
Vinci SA | 189 | 16,825 | |||||||||
161,968 | |||||||||||
See notes to financial statements.
165
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Information Technology (0.1%): | |||||||||||
Capgemini SE | 83 | $ | 14,215 | ||||||||
Dassault Systemes SE | 374 | 13,761 | |||||||||
Edenred | 407 | 19,177 | |||||||||
47,153 | |||||||||||
Materials (0.1%): | |||||||||||
Air Liquide SA | 170 | 22,821 | |||||||||
Utilities (0.1%): | |||||||||||
Electricite de France SA | 1,345 | 11,001 | |||||||||
Engie SA | 1,497 | 17,201 | |||||||||
Veolia Environnement SA (c) (d) | 526 | 12,836 | |||||||||
41,038 | |||||||||||
630,315 | |||||||||||
Germany (1.5%): | |||||||||||
Communication Services (0.0%): (a) | |||||||||||
Deutsche Telekom AG | 1,144 | 22,710 | |||||||||
Consumer Discretionary (0.2%): | |||||||||||
adidas AG | 71 | 12,555 | |||||||||
Bayerische Motoren Werke AG | 167 | 12,854 | |||||||||
Continental AG | 163 | 11,358 | |||||||||
Mercedes-Benz Group AG | 194 | 11,225 | |||||||||
Puma SE | 211 | 13,893 | |||||||||
Zalando SE (c) (d) (e) | 187 | 4,890 | |||||||||
66,775 | |||||||||||
Consumer Staples (0.1%): | |||||||||||
Beiersdorf AG | 246 | 25,126 | |||||||||
Financials (0.3%): | |||||||||||
Allianz SE, Registered Shares | 93 | 17,747 | |||||||||
Commerzbank AG (c) | 1,364 | 9,556 | |||||||||
Deutsche Bank AG, Registered Shares | 974 | 8,489 | |||||||||
Deutsche Boerse AG | 155 | 25,920 | |||||||||
Hannover Rueck SE | 106 | 15,383 | |||||||||
Muenchener Rueckversicherungs-Gesellschaft AG, Class R | 72 | 16,914 | |||||||||
Talanx AG | 533 | 20,284 | |||||||||
114,293 | |||||||||||
Health Care (0.2%): | |||||||||||
Bayer AG, Registered Shares | 349 | 20,742 | |||||||||
Carl Zeiss Meditec AG | 82 | 9,786 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 285 | 14,223 | |||||||||
Fresenius SE & Co. KGaA | 541 | 16,382 | |||||||||
Merck KGaA | 86 | 14,508 | |||||||||
75,641 | |||||||||||
Industrials (0.2%): | |||||||||||
Brenntag SE | 261 | 16,983 | |||||||||
Deutsche Post AG, Registered Shares | 368 | 13,781 | |||||||||
See notes to financial statements.
166
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
KION Group AG | 209 | $ | 8,670 | ||||||||
Knorr-Bremse AG | 178 | 10,150 | |||||||||
MTU Aero Engines AG | 56 | 10,192 | |||||||||
Siemens AG, Registered Shares | 114 | 11,597 | |||||||||
71,373 | |||||||||||
Information Technology (0.1%): | |||||||||||
Infineon Technologies AG | 396 | 9,581 | |||||||||
SAP SE | 172 | 15,667 | |||||||||
25,248 | |||||||||||
Materials (0.2%): | |||||||||||
BASF SE | 306 | 13,314 | |||||||||
Evonik Industries AG | 869 | 18,539 | |||||||||
HeidelbergCement AG | 277 | 13,305 | |||||||||
Symrise AG | 207 | 22,524 | |||||||||
67,682 | |||||||||||
Real Estate (0.1%): | |||||||||||
Deutsche Wohnen SE | 580 | 13,334 | |||||||||
Vonovia SE | 384 | 11,829 | |||||||||
25,163 | |||||||||||
Utilities (0.1%): | |||||||||||
E.ON SE | 1,824 | 15,305 | |||||||||
RWE AG | 372 | 13,673 | |||||||||
28,978 | |||||||||||
522,989 | |||||||||||
Hong Kong (0.9%): | |||||||||||
Consumer Discretionary (0.0%): (a) | |||||||||||
Galaxy Entertainment Group Ltd. | 2,000 | 11,929 | |||||||||
Financials (0.2%): | |||||||||||
AIA Group Ltd. | 1,582 | 17,147 | |||||||||
Hang Seng Bank Ltd. | 1,212 | 21,393 | |||||||||
Hong Kong Exchanges & Clearing Ltd. | 277 | 13,627 | |||||||||
52,167 | |||||||||||
Industrials (0.2%): | |||||||||||
CK Hutchison Holdings Ltd. | 3,577 | 24,184 | |||||||||
Jardine Matheson Holdings Ltd. | 300 | 15,768 | |||||||||
SITC International Holdings Co. Ltd. | 2,000 | 5,658 | |||||||||
Techtronic Industries Co. Ltd. | 514 | 5,362 | |||||||||
Xinyi Glass Holdings Ltd. | 3,239 | 7,769 | |||||||||
58,741 | |||||||||||
Real Estate (0.2%): | |||||||||||
CK Asset Holdings Ltd. | 3,069 | 21,707 | |||||||||
Henderson Land Development Co. Ltd. | 4,711 | 17,651 | |||||||||
Sun Hung Kai Properties Ltd. | 2,035 | 24,042 | |||||||||
The Wharf Holdings Ltd. | 4,000 | 14,580 | |||||||||
77,980 | |||||||||||
See notes to financial statements.
167
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (0.3%): | |||||||||||
China Common Rich Renewable Energy Investments Ltd. (c) (f) (g) | 26,000 | $ | 663 | ||||||||
CK Infrastructure Holdings Ltd. | 4,492 | 27,536 | |||||||||
CLP Holdings Ltd. | 4,330 | 35,924 | |||||||||
Hong Kong & China Gas Co. Ltd. | 21,268 | 22,903 | |||||||||
Power Assets Holdings Ltd. (b) | 5,622 | 35,359 | |||||||||
122,385 | |||||||||||
323,202 | |||||||||||
Ireland (0.2%): | |||||||||||
Consumer Staples (0.0%): (a) | |||||||||||
Kerry Group PLC | 201 | 19,237 | |||||||||
Industrials (0.1%): | |||||||||||
Experian PLC | 489 | 14,320 | |||||||||
Kingspan Group PLC | 135 | 8,119 | |||||||||
22,439 | |||||||||||
Materials (0.1%): | |||||||||||
CRH PLC | 409 | 14,142 | |||||||||
Smurfit Kappa Group PLC | 390 | 13,109 | |||||||||
27,251 | |||||||||||
68,927 | |||||||||||
Israel (0.2%): | |||||||||||
Financials (0.1%): | |||||||||||
Bank Hapoalim BM | 1,959 | 16,366 | |||||||||
Bank Leumi Le-Israel BM | 1,949 | 17,338 | |||||||||
33,704 | |||||||||||
Information Technology (0.0%): (a) | |||||||||||
Nice Ltd. (c) | 61 | 11,718 | |||||||||
Materials (0.1%): | |||||||||||
ICL Group Ltd. | 1,350 | 12,257 | |||||||||
57,679 | |||||||||||
Italy (0.5%): | |||||||||||
Consumer Discretionary (0.0%): (a) | |||||||||||
Moncler SpA | 253 | 10,850 | |||||||||
Energy (0.0%): (a) | |||||||||||
Eni SpA | 1,288 | 15,288 | |||||||||
Financials (0.2%): | |||||||||||
Assicurazioni Generali SpA | 1,327 | 21,170 | |||||||||
Intesa Sanpaolo SpA | 6,449 | 12,028 | |||||||||
Poste Italiane SpA (e) | 1,779 | 16,612 | |||||||||
UniCredit SpA | 933 | 8,862 | |||||||||
58,672 | |||||||||||
Industrials (0.1%): | |||||||||||
Atlantia SpA | 1,117 | 26,193 | |||||||||
See notes to financial statements.
168
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Information Technology (0.0%): (a) | |||||||||||
Nexi SpA (c) (e) | 1,004 | $ | 8,315 | ||||||||
Utilities (0.2%): | |||||||||||
Enel SpA | 2,671 | 14,609 | |||||||||
Snam SpA | 4,939 | 25,870 | |||||||||
Terna — Rete Elettrica Nazionale | 2,944 | 23,099 | |||||||||
63,578 | |||||||||||
182,896 | |||||||||||
Japan (4.3%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Dentsu Group, Inc. | 400 | 12,015 | |||||||||
KDDI Corp. | 708 | 22,384 | |||||||||
Nexon Co. Ltd. | 500 | 10,239 | |||||||||
Nippon Telegraph & Telephone Corp. | 928 | 26,651 | |||||||||
Softbank Corp. | 2,400 | 26,652 | |||||||||
SoftBank Group Corp. | 200 | 7,718 | |||||||||
Z Holdings Corp. | 2,430 | 7,101 | |||||||||
112,760 | |||||||||||
Consumer Discretionary (0.6%): | |||||||||||
Aisin Corp. | 400 | 12,384 | |||||||||
Bandai Namco Holdings, Inc. | 200 | 14,122 | |||||||||
Bridgestone Corp. (d) | 400 | 14,595 | |||||||||
Denso Corp. | 200 | 10,627 | |||||||||
Honda Motor Co. Ltd. | 600 | 14,564 | |||||||||
Isuzu Motors Ltd. | 1,100 | 12,171 | |||||||||
Nissan Motor Co. Ltd. | 2,600 | 10,123 | |||||||||
Nitori Holdings Co. Ltd. | 130 | 12,357 | |||||||||
Panasonic Corp. | 1,500 | 12,124 | |||||||||
Sekisui House Ltd. | 1,072 | 18,779 | |||||||||
Shimano, Inc. | 40 | 6,758 | |||||||||
Sony Group Corp. | 100 | 8,179 | |||||||||
Subaru Corp. | 1,100 | 19,554 | |||||||||
Sumitomo Electric Industries Ltd. | 1,200 | 13,260 | |||||||||
Suzuki Motor Corp. | 400 | 12,573 | |||||||||
Toyota Industries Corp. | 208 | 12,879 | |||||||||
Toyota Motor Corp. | 920 | 14,241 | |||||||||
219,290 | |||||||||||
Consumer Staples (0.5%): | |||||||||||
Ajinomoto Co., Inc. | 600 | 14,595 | |||||||||
Asahi Group Holdings Ltd. | 460 | 15,072 | |||||||||
Japan Tobacco, Inc. | 1,444 | 24,972 | |||||||||
Kao Corp. (d) | 518 | 20,894 | |||||||||
Kikkoman Corp. | 200 | 10,615 | |||||||||
Kirin Holdings Co. Ltd. | 1,300 | 20,483 | |||||||||
Seven & i Holdings Co. Ltd. | 400 | 15,530 | |||||||||
Shiseido Co. Ltd. | 300 | 12,043 | |||||||||
See notes to financial statements.
169
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Suntory Beverage & Food Ltd. | 500 | $ | 18,908 | ||||||||
Unicharm Corp. | 494 | 16,532 | |||||||||
169,644 | |||||||||||
Energy (0.1%): | |||||||||||
ENEOS Holdings, Inc. | 5,600 | 21,205 | |||||||||
Inpex Corp. | 1,100 | 11,920 | |||||||||
33,125 | |||||||||||
Financials (0.6%): | |||||||||||
Dai-ichi Life Holdings, Inc. | 788 | 14,580 | |||||||||
Japan Post Bank Co. Ltd. | 2,212 | 17,202 | |||||||||
Japan Post Holdings Co. Ltd. | 2,700 | 19,288 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 3,300 | 17,743 | |||||||||
Mizuho Financial Group, Inc. | 1,800 | 20,473 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 600 | 18,390 | |||||||||
ORIX Corp. | 968 | 16,240 | |||||||||
Resona Holdings, Inc. | 4,400 | 16,480 | |||||||||
Sompo Holdings, Inc. | 400 | 17,641 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 584 | 17,357 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 600 | 18,488 | |||||||||
Tokio Marine Holdings, Inc. | 400 | 23,302 | |||||||||
217,184 | |||||||||||
Health Care (0.6%): | |||||||||||
Astellas Pharma, Inc. | 1,052 | 16,401 | |||||||||
Chugai Pharmaceutical Co. Ltd. | 390 | 9,975 | |||||||||
Daiichi Sankyo Co. Ltd. | 500 | 12,668 | |||||||||
Eisai Co. Ltd. | 254 | 10,719 | |||||||||
Hoya Corp. | 118 | 10,077 | |||||||||
Kyowa Kirin Co. Ltd. | 700 | 15,738 | |||||||||
M3, Inc. | 300 | 8,620 | |||||||||
Olympus Corp. | 600 | 12,059 | |||||||||
Ono Pharmaceutical Co. Ltd. | 884 | 22,690 | |||||||||
Otsuka Holdings Co. Ltd. | 600 | 21,309 | |||||||||
Shionogi & Co. Ltd. | 228 | 11,521 | |||||||||
Sysmex Corp. | 174 | 10,474 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 800 | 22,515 | |||||||||
Terumo Corp. | 500 | 15,067 | |||||||||
199,833 | |||||||||||
Industrials (0.7%): | |||||||||||
Daikin Industries Ltd. | 66 | 10,582 | |||||||||
FANUC Corp. | 30 | 4,697 | |||||||||
Hitachi Ltd. | 300 | 14,237 | |||||||||
ITOCHU Corp. | 600 | 16,218 | |||||||||
Komatsu Ltd. | 688 | 15,255 | |||||||||
Kubota Corp. (d) | 804 | 12,013 | |||||||||
Marubeni Corp. | 1,500 | 13,534 | |||||||||
Mitsubishi Corp. | 592 | 17,617 | |||||||||
Mitsubishi Electric Corp. | 1,652 | 17,670 | |||||||||
See notes to financial statements.
170
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mitsui & Co. Ltd. | 586 | $ | 12,935 | ||||||||
Nidec Corp. | 154 | 9,513 | |||||||||
Nippon Yusen KK | 100 | 6,833 | |||||||||
Recruit Holdings Co. Ltd. | 220 | 6,479 | |||||||||
Secom Co. Ltd. | 310 | 19,156 | |||||||||
SG Holdings Co. Ltd. | 800 | 13,498 | |||||||||
SMC Corp. | 14 | 6,240 | |||||||||
Sumitomo Corp. | 1,300 | 17,795 | |||||||||
Toshiba Corp. | 500 | 20,327 | |||||||||
Toyota Tsusho Corp. | 300 | 9,797 | |||||||||
Yaskawa Electric Corp. | 400 | 12,885 | |||||||||
257,281 | |||||||||||
Information Technology (0.5%): | |||||||||||
Advantest Corp. | 100 | 5,352 | |||||||||
Canon, Inc. | 714 | 16,237 | |||||||||
FUJIFILM Holdings Corp. | 260 | 13,949 | |||||||||
Fujitsu Ltd. | 100 | 12,505 | |||||||||
Keyence Corp. | 28 | 9,573 | |||||||||
Kyocera Corp. | 300 | 16,046 | |||||||||
Murata Manufacturing Co. Ltd. | 202 | 11,013 | |||||||||
NEC Corp. | 300 | 11,654 | |||||||||
Nomura Research Institute Ltd. | 374 | 9,952 | |||||||||
NTT Data Corp. | 908 | 12,556 | |||||||||
Obic Co. Ltd. | 100 | 14,146 | |||||||||
Omron Corp. | 200 | 10,159 | |||||||||
Renesas Electronics Corp. (c) | 1,000 | 9,089 | |||||||||
Shimadzu Corp. | 400 | 12,649 | |||||||||
TDK Corp. | 300 | 9,266 | |||||||||
Tokyo Electron Ltd. | 26 | 8,490 | |||||||||
182,636 | |||||||||||
Materials (0.2%): | |||||||||||
Asahi Kasei Corp. | 1,900 | 14,510 | |||||||||
Mitsubishi Chemical Holdings Corp. | 2,300 | 12,495 | |||||||||
Nippon Paint Holdings Co. Ltd. | 1,090 | 8,123 | |||||||||
Nippon Steel Corp. | 700 | 9,799 | |||||||||
Nitto Denko Corp. | 200 | 12,944 | |||||||||
Shin-Etsu Chemical Co. Ltd. | 70 | 7,895 | |||||||||
Sumitomo Metal Mining Co. Ltd. | 300 | 9,398 | |||||||||
75,164 | |||||||||||
Real Estate (0.2%): | |||||||||||
Daiwa House Industry Co. Ltd. | 700 | 16,316 | |||||||||
Mitsubishi Estate Co. Ltd. | 1,552 | 22,526 | |||||||||
Mitsui Fudosan Co. Ltd. | 778 | 16,732 | |||||||||
Sumitomo Realty & Development Co. Ltd. | 600 | 15,847 | |||||||||
71,421 | |||||||||||
1,538,338 | |||||||||||
See notes to financial statements.
171
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Korea, Republic Of (0.8%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Kakao Corp. | 152 | $ | 8,185 | ||||||||
NAVER Corp. | 57 | 10,538 | |||||||||
18,723 | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Hyundai Mobis Co. Ltd. | 95 | 14,563 | |||||||||
Hyundai Motor Co. | 145 | 20,162 | |||||||||
Kia Corp. | 279 | 16,614 | |||||||||
LG Electronics, Inc. | 116 | 7,891 | |||||||||
59,230 | |||||||||||
Consumer Staples (0.0%): (a) | |||||||||||
LG Household & Health Care Ltd. | 18 | 9,429 | |||||||||
Energy (0.0%): (a) | |||||||||||
SK Innovation Co. Ltd. | 69 | 10,206 | |||||||||
Financials (0.1%): | |||||||||||
Hana Financial Group, Inc. | 413 | 12,520 | |||||||||
KB Financial Group, Inc. | 345 | 12,797 | |||||||||
Shinhan Financial Group Co. Ltd. | 647 | 18,466 | |||||||||
43,783 | |||||||||||
Health Care (0.1%): | |||||||||||
Celltrion, Inc. | 76 | 10,451 | |||||||||
Samsung Biologics Co. Ltd. (c) (e) | 22 | 13,389 | |||||||||
23,840 | |||||||||||
Industrials (0.1%): | |||||||||||
HMM Co. Ltd. | 407 | 7,713 | |||||||||
Samsung C&T Corp. | 205 | 19,425 | |||||||||
SK, Inc. | 93 | 15,403 | |||||||||
42,541 | |||||||||||
Information Technology (0.1%): | |||||||||||
Samsung Electro-Mechanics Co. Ltd. | 97 | 9,752 | |||||||||
Samsung Electronics Co. Ltd. | 388 | 17,037 | |||||||||
Samsung SDI Co. Ltd. | 32 | 13,114 | |||||||||
SK Hynix, Inc. | 137 | 9,604 | |||||||||
49,507 | |||||||||||
Materials (0.1%): | |||||||||||
LG Chem Ltd. | 22 | 8,745 | |||||||||
POSCO Holdings, Inc. | 61 | 10,832 | |||||||||
19,577 | |||||||||||
276,836 | |||||||||||
Luxembourg (0.1%): | |||||||||||
Energy (0.1%): | |||||||||||
Tenaris SA | 1,047 | 13,461 | |||||||||
See notes to financial statements.
172
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Health Care (0.0%): (a) | |||||||||||
Eurofins Scientific SE | 137 | $ | 10,777 | ||||||||
Materials (0.0%): (a) | |||||||||||
ArcelorMittal SA | 325 | 7,325 | |||||||||
31,563 | |||||||||||
Netherlands (0.8%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Koninklijke KPN NV | 8,138 | 29,000 | |||||||||
Consumer Discretionary (0.0%): (a) | |||||||||||
Prosus NV | 174 | 11,391 | |||||||||
Consumer Staples (0.2%): | |||||||||||
Davide Campari-Milano NV | 1,818 | 19,116 | |||||||||
Heineken Holding NV | 265 | 19,284 | |||||||||
Heineken NV | 200 | 18,232 | |||||||||
Koninklijke Ahold Delhaize NV | 756 | 19,692 | |||||||||
76,324 | |||||||||||
Financials (0.2%): | |||||||||||
ABN AMRO Bank NV (e) | 1,126 | 12,642 | |||||||||
Aegon NV | 2,995 | 12,954 | |||||||||
ING Groep NV | 1,352 | 13,360 | |||||||||
NN Group NV | 438 | 19,890 | |||||||||
58,846 | |||||||||||
Health Care (0.0%): (a) | |||||||||||
Koninklijke Philips NV | 413 | 8,895 | |||||||||
Industrials (0.1%): | |||||||||||
Randstad NV | 264 | 12,780 | |||||||||
Wolters Kluwer NV | 263 | 25,507 | |||||||||
38,287 | |||||||||||
Information Technology (0.1%): | |||||||||||
Adyen NV (c) (e) | 5 | 7,272 | |||||||||
ASM International NV | 34 | 8,500 | |||||||||
| ASML Holding NV | 19 | 9,075 | |||||||||
STMicroelectronics NV | 345 | 10,845 | |||||||||
35,692 | |||||||||||
Materials (0.1%): | |||||||||||
Akzo Nobel NV | 223 | 14,632 | |||||||||
Koninklijke DSM NV | 124 | 17,813 | |||||||||
32,445 | |||||||||||
290,880 | |||||||||||
New Zealand (0.0%): (a) | |||||||||||
Health Care (0.0%): | |||||||||||
Fisher & Paykel Healthcare Corp. Ltd. | 838 | 10,453 | |||||||||
See notes to financial statements.
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Security Description | Shares | Value | |||||||||
Norway (0.4%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Telenor ASA | 1,775 | $ | 23,618 | ||||||||
Consumer Staples (0.0%): (a) | |||||||||||
Mowi ASA | 749 | 17,049 | |||||||||
Energy (0.1%): | |||||||||||
Aker BP ASA | 294 | 10,210 | |||||||||
Equinor ASA | 441 | 15,344 | |||||||||
25,554 | |||||||||||
Financials (0.1%): | |||||||||||
DNB Bank ASA | 905 | 16,229 | |||||||||
Gjensidige Forsikring ASA | 1,152 | 23,343 | |||||||||
39,572 | |||||||||||
Materials (0.1%): | |||||||||||
Norsk Hydro ASA | 1,348 | 7,553 | |||||||||
Yara International ASA | 310 | 12,960 | |||||||||
20,513 | |||||||||||
126,306 | |||||||||||
Portugal (0.1%): | |||||||||||
Consumer Staples (0.1%): | |||||||||||
Jeronimo Martins SGPS SA | 879 | 19,102 | |||||||||
Utilities (0.0%): (a) | |||||||||||
EDP — Energias de Portugal SA | 3,700 | 17,260 | |||||||||
36,362 | |||||||||||
Singapore (0.3%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Singapore Telecommunications Ltd. | 15,400 | 28,050 | |||||||||
Consumer Staples (0.0%): (a) | |||||||||||
Wilmar International Ltd. | 7,062 | 20,540 | |||||||||
Financials (0.2%): | |||||||||||
DBS Group Holdings Ltd. | 1,078 | 23,035 | |||||||||
Oversea-Chinese Banking Corp. Ltd. | 3,138 | 25,732 | |||||||||
United Overseas Bank Ltd. | 1,192 | 22,527 | |||||||||
71,294 | |||||||||||
119,884 | |||||||||||
Spain (0.6%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Telefonica SA | 4,249 | 21,646 | |||||||||
Consumer Discretionary (0.0%): (a) | |||||||||||
Industria de Diseno Textil SA | 615 | 13,913 | |||||||||
Energy (0.1%): | |||||||||||
Repsol SA | 1,307 | 19,241 | |||||||||
See notes to financial statements.
174
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Security Description | Shares | Value | |||||||||
Financials (0.1%): | |||||||||||
Banco Bilbao Vizcaya Argentaria SA | 2,343 | $ | 10,631 | ||||||||
Banco Santander SA | 4,350 | 12,252 | |||||||||
CaixaBank SA | 4,527 | 15,734 | |||||||||
38,617 | |||||||||||
Health Care (0.0%): (a) | |||||||||||
Grifols SA (c) | 792 | 14,967 | |||||||||
Industrials (0.1%): | |||||||||||
Ferrovial SA | 642 | 16,272 | |||||||||
Utilities (0.2%): | |||||||||||
Endesa SA | 835 | 15,749 | |||||||||
Iberdrola SA | 1,691 | 17,534 | |||||||||
Naturgy Energy Group SA | 690 | 19,860 | |||||||||
Red Electrica Corp. SA | 1,266 | 23,910 | |||||||||
77,053 | |||||||||||
201,709 | |||||||||||
Sweden (1.0%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Telia Co. AB | 7,758 | 29,729 | |||||||||
Consumer Discretionary (0.0%): (a) | |||||||||||
Evolution AB (e) | 69 | 6,277 | |||||||||
H & M Hennes & Mauritz AB, Class B | 882 | 10,538 | |||||||||
16,815 | |||||||||||
Consumer Staples (0.1%): | |||||||||||
Essity AB, Class B | 864 | 22,571 | |||||||||
Swedish Match AB | 2,546 | 25,948 | |||||||||
48,519 | |||||||||||
Energy (0.0%): (a) | |||||||||||
Orron Energy AB (d) | 309 | 211 | |||||||||
Financials (0.3%): | |||||||||||
EQT AB | 304 | 6,226 | |||||||||
Industrivarden AB, Class C (d) | 803 | 17,868 | |||||||||
Investor AB, Class B | 940 | 15,462 | |||||||||
L E Lundbergforetagen AB, Class B | 389 | 15,824 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 1,632 | 16,026 | |||||||||
Svenska Handelsbanken AB, Class A | 2,366 | 20,230 | |||||||||
Swedbank AB, Class A | 1,399 | 17,692 | |||||||||
109,328 | |||||||||||
Health Care (0.0%): (a) | |||||||||||
Getinge AB, B Shares | 361 | 8,347 | |||||||||
Industrials (0.3%): | |||||||||||
Alfa Laval AB | 492 | 11,867 | |||||||||
Assa Abloy AB, Class B | 682 | 14,495 | |||||||||
Atlas Copco AB, Class A (c) | 1,248 | 11,666 | |||||||||
Epiroc AB, Class A | 866 | 13,378 | |||||||||
See notes to financial statements.
175
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Security Description | Shares | Value | |||||||||
Nibe Industrier AB, Class B | 1,309 | $ | 9,833 | ||||||||
Sandvik AB | 768 | 12,458 | |||||||||
Volvo AB, Class B | 1,003 | 15,537 | |||||||||
89,234 | |||||||||||
Information Technology (0.1%): | |||||||||||
Hexagon AB, Class B | 1,186 | 12,325 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 1,512 | 11,279 | |||||||||
23,604 | |||||||||||
Materials (0.1%): | |||||||||||
Boliden AB | 325 | 10,342 | |||||||||
Svenska Cellulosa AB SCA, Class B | 1,171 | 17,501 | |||||||||
27,843 | |||||||||||
Real Estate (0.0%): (a) | |||||||||||
Fastighets AB Balder, B Shares (c) | 1,428 | 6,845 | |||||||||
360,475 | |||||||||||
Switzerland (1.5%): | |||||||||||
Communication Services (0.1%): | |||||||||||
Swisscom AG, Registered Shares | 52 | 28,732 | |||||||||
Consumer Discretionary (0.1%): | |||||||||||
Cie Financiere Richemont SA, Registered Shares | 97 | 10,330 | |||||||||
The Swatch Group AG | 49 | 11,628 | |||||||||
21,958 | |||||||||||
Consumer Staples (0.2%): | |||||||||||
Barry Callebaut AG, Registered Shares | 14 | 31,242 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 2 | 20,346 | |||||||||
Nestle SA, Registered Shares | 257 | 30,005 | |||||||||
81,593 | |||||||||||
Financials (0.3%): | |||||||||||
Julius Baer Group Ltd. | 291 | 13,427 | |||||||||
Partners Group Holding AG | 12 | 10,814 | |||||||||
Swiss Life Holding AG | 39 | 18,999 | |||||||||
Swiss Re AG | 255 | 19,764 | |||||||||
UBS Group AG | 908 | 14,640 | |||||||||
Zurich Insurance Group AG | 62 | 26,970 | |||||||||
104,614 | |||||||||||
Health Care (0.3%): | |||||||||||
Alcon, Inc. | 226 | 15,788 | |||||||||
Lonza Group AG, Registered Shares | 25 | 13,332 | |||||||||
Novartis AG, Registered Shares | 336 | 28,460 | |||||||||
Roche Holding AG | 68 | 22,694 | |||||||||
Sonova Holding AG | 41 | 13,058 | |||||||||
Straumann Holding AG, Class R | 86 | 10,330 | |||||||||
103,662 | |||||||||||
See notes to financial statements.
176
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (0.3%): | |||||||||||
ABB Ltd., Registered Shares | 583 | $ | 15,551 | ||||||||
Geberit AG, Registered Shares | 36 | 17,304 | |||||||||
Kuehne + Nagel International AG, Class R | 60 | 14,206 | |||||||||
Schindler Holding AG | 87 | 15,869 | |||||||||
SGS SA, Registered Shares | 10 | 22,892 | |||||||||
VAT Group AG (e) | 32 | 7,630 | |||||||||
93,452 | |||||||||||
Information Technology (0.0%): (a) | |||||||||||
Logitech International SA, Class R (d) | 180 | 9,405 | |||||||||
Materials (0.2%): | |||||||||||
EMS-Chemie Holding AG | 22 | 16,376 | |||||||||
Givaudan SA, Registered Shares | 5 | 17,585 | |||||||||
Glencore PLC | 2,580 | 13,976 | |||||||||
Holcim AG | 441 | 18,874 | |||||||||
Sika AG, Registered Shares | 51 | 11,755 | |||||||||
78,566 | |||||||||||
521,982 | |||||||||||
United Kingdom (2.0%): | |||||||||||
Communication Services (0.1%): | |||||||||||
BT Group PLC | 5,551 | 12,587 | |||||||||
WPP PLC | 1,171 | 11,752 | |||||||||
24,339 | |||||||||||
Consumer Discretionary (0.1%): | |||||||||||
Compass Group PLC | 680 | 13,904 | |||||||||
Entain PLC (c) | 545 | 8,258 | |||||||||
InterContinental Hotels Group PLC | 231 | 12,230 | |||||||||
Next PLC | 196 | 13,979 | |||||||||
48,371 | |||||||||||
Consumer Staples (0.3%): | |||||||||||
Associated British Foods PLC | 652 | 12,522 | |||||||||
British American Tobacco PLC | 555 | 23,774 | |||||||||
Diageo PLC | 532 | 22,860 | |||||||||
Imperial Brands PLC | 1,045 | 23,351 | |||||||||
Tesco PLC | 6,718 | 20,891 | |||||||||
Unilever PLC | 411 | 18,613 | |||||||||
122,011 | |||||||||||
Energy (0.1%): | |||||||||||
| BP PLC | 2,978 | 14,074 | |||||||||
Shell PLC | 622 | 16,155 | |||||||||
30,229 | |||||||||||
Financials (0.5%): | |||||||||||
| 3i Group PLC | 991 | 13,370 | |||||||||
Admiral Group PLC | 535 | 14,612 | |||||||||
Aviva PLC | 3,791 | 18,516 | |||||||||
See notes to financial statements.
177
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Barclays PLC | 6,157 | $ | 11,474 | ||||||||
HSBC Holdings PLC | 2,629 | 17,138 | |||||||||
Legal & General Group PLC | 5,038 | 14,686 | |||||||||
Lloyds Banking Group PLC | 22,053 | 11,356 | |||||||||
London Stock Exchange Group PLC | 205 | 19,042 | |||||||||
NatWest Group PLC | 5,330 | 14,161 | |||||||||
Schroders PLC | 477 | 15,512 | |||||||||
Standard Chartered PLC | 1,849 | 13,921 | |||||||||
163,788 | |||||||||||
Health Care (0.2%): | |||||||||||
AstraZeneca PLC | 146 | 19,191 | |||||||||
GSK PLC (b) | 1,265 | 27,184 | |||||||||
Smith & Nephew PLC | 993 | 13,868 | |||||||||
60,243 | |||||||||||
Industrials (0.4%): | |||||||||||
Ashtead Group PLC | 245 | 10,255 | |||||||||
BAE Systems PLC | 2,397 | 24,220 | |||||||||
Bunzl PLC | 578 | 19,128 | |||||||||
Ferguson PLC | 147 | 16,438 | |||||||||
Intertek Group PLC | 283 | 14,487 | |||||||||
RELX PLC | 894 | 24,221 | |||||||||
Rentokil Initial PLC | 2,537 | 14,654 | |||||||||
Rolls-Royce Holdings PLC (c) | 7,508 | 7,580 | |||||||||
Spirax-Sarco Engineering PLC | 115 | 13,826 | |||||||||
144,809 | |||||||||||
Information Technology (0.0%): (a) | |||||||||||
Halma PLC | 583 | 14,255 | |||||||||
Materials (0.2%): | |||||||||||
Anglo American PLC | 224 | 8,007 | |||||||||
Antofagasta PLC | 575 | 8,083 | |||||||||
Croda International PLC | 193 | 15,203 | |||||||||
Evraz PLC (b) (f) (g) (h) (i) | 12,158 | 10,802 | |||||||||
Rio Tinto PLC | 189 | 11,310 | |||||||||
53,405 | |||||||||||
Utilities (0.1%): | |||||||||||
National Grid PLC | 1,935 | 24,775 | |||||||||
SSE PLC | 948 | 18,646 | |||||||||
43,421 | |||||||||||
704,871 | |||||||||||
Total Common Stocks (Cost $7,731,346) | 8,031,960 | ||||||||||
Investment Companies (76.7%) | |||||||||||
United States (76.7%): | |||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (j) | 27,126,268 | 27,126,268 | |||||||||
Total Investment Companies (Cost $27,126,268) | 27,126,268 | ||||||||||
See notes to financial statements.
178
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Collateral for Securities Loaned (0.5%)^ | |||||||||||
United States (0.5%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) | 4,962 | $ | 4,962 | ||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) | 2,476 | 2,476 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) | 30,885 | 30,885 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) | 19,746 | 19,746 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (j) | 13,168 | 13,168 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) | 88,781 | 88,781 | |||||||||
Total Collateral for Securities Loaned (Cost $160,018) | 160,018 | ||||||||||
Total Investments (Cost $35,017,632) — 99.9% | 35,318,246 | ||||||||||
Other assets in excess of liabilities — 0.1% | 30,865 | ||||||||||
NET ASSETS — 100.00% | $ | 35,349,111 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Amount represents less than 0.05% of net assets.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) Non-income producing security.
(d) All or a portion of this security is on loan.
(e) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $150,999 and amounted to 0.4% of net assets.
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
Evraz PLC | 3/19/2021 | $ | 75,288 | ||||||||
(j) Rate disclosed is the daily yield on June 30, 2022.
PLC — Public Limited Company
See notes to financial statements.
179
| Victory Portfolios II VictoryShares Developed Enhanced Volatility Wtd ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
E-Mini MSCI EAFE Index Futures | 2 | 9/16/22 | $ | 192,278 | $ | 185,660 | $ | (6,618 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (6,618 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (6,618 | ) | ||||||||||||||||||||
See notes to financial statements.
180
| Victory Portfolios II VictoryShares Nasdaq Next 50 ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.9%) | |||||||||||
Communication Services (9.9%): | |||||||||||
Fox Corp., Class A | 34,829 | $ | 1,120,101 | ||||||||
Fox Corp., Class B | 27,384 | 813,305 | |||||||||
Liberty Broadband Corp., Class A (a) | 2,521 | 286,260 | |||||||||
Liberty Broadband Corp., Class C (a) | 15,384 | 1,779,006 | |||||||||
Paramount Global, Class B | 67,984 | 1,677,845 | |||||||||
Take-Two Interactive Software, Inc. (a) | 18,096 | 2,217,303 | |||||||||
Yandex NV, Class A (a) (b) (e) (f) (g) | 45,921 | 8,697 | |||||||||
ZoomInfo Technologies, Inc. (a) | 45,077 | 1,498,359 | |||||||||
9,400,876 | |||||||||||
Consumer Discretionary (13.5%): | |||||||||||
Caesars Entertainment, Inc. (a) | 23,954 | 917,438 | |||||||||
Expedia Group, Inc. (a) | 16,937 | 1,606,136 | |||||||||
LKQ Corp. | 31,604 | 1,551,440 | |||||||||
Pool Corp. | 4,478 | 1,572,808 | |||||||||
Rivian Automotive, Inc., Class A (a) (c) | 99,689 | 2,565,995 | |||||||||
Tractor Supply Co. | 12,502 | 2,423,513 | |||||||||
Ulta Beauty, Inc. (a) | 5,790 | 2,231,929 | |||||||||
12,869,259 | |||||||||||
Consumer Staples (2.8%): | |||||||||||
Coca-Cola Europacific Partners PLC | 51,042 | 2,634,277 | |||||||||
Electronic Equipment, Instruments & Components (6.0%): | |||||||||||
CDW Corp. | 15,097 | 2,378,683 | |||||||||
Trimble, Inc. (a) | 27,952 | 1,627,645 | |||||||||
Zebra Technologies Corp. (a) | 5,867 | 1,724,605 | |||||||||
5,730,933 | |||||||||||
Energy (5.8%): | |||||||||||
Baker Hughes Co. | 110,019 | 3,176,248 | |||||||||
Diamondback Energy, Inc. | 19,834 | 2,402,889 | |||||||||
5,579,137 | |||||||||||
Health Care (19.3%): | |||||||||||
Alnylam Pharmaceuticals, Inc. (a) | 13,500 | 1,968,975 | |||||||||
BioMarin Pharmaceutical, Inc. (a) | 20,672 | 1,713,089 | |||||||||
Bio-Techne Corp. | 4,434 | 1,537,002 | |||||||||
Hologic, Inc. (a) | 27,866 | 1,931,114 | |||||||||
Horizon Therapeutics PLC (a) | 25,687 | 2,048,795 | |||||||||
ICON PLC (a) | 9,084 | 1,968,503 | |||||||||
Incyte Corp. (a) | 24,752 | 1,880,409 | |||||||||
Insulet Corp. (a) | 7,748 | 1,688,599 | |||||||||
Royalty Pharma PLC, Class A | 48,643 | 2,044,952 | |||||||||
Sanofi, ADR | 31,786 | 1,590,253 | |||||||||
18,371,691 | |||||||||||
See notes to financial statements.
181
| Victory Portfolios II VictoryShares Nasdaq Next 50 ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (8.0%): | |||||||||||
CoStar Group, Inc. (a) (d) | 44,276 | $ | 2,674,713 | ||||||||
Expeditors International of Washington, Inc. | 18,745 | 1,826,888 | |||||||||
J.B. Hunt Transport Services, Inc. | 11,709 | 1,843,816 | |||||||||
United Airlines Holdings, Inc. (a) | 36,481 | 1,292,157 | |||||||||
7,637,574 | |||||||||||
IT Services (3.8%): | |||||||||||
Akamai Technologies, Inc. (a) | 17,912 | 1,635,903 | |||||||||
MongoDB, Inc. (a) | 7,606 | 1,973,757 | |||||||||
3,609,660 | |||||||||||
Materials (1.5%): | |||||||||||
Steel Dynamics, Inc. | 21,068 | 1,393,648 | |||||||||
Semiconductors & Semiconductor Equipment (15.2%): | |||||||||||
Enphase Energy, Inc. (a) | 15,089 | 2,945,976 | |||||||||
Entegris, Inc. | 15,184 | 1,398,902 | |||||||||
GLOBALFOUNDRIES, Inc. (a) (c) | 59,430 | 2,397,406 | |||||||||
Monolithic Power Systems, Inc. | 5,211 | 2,001,233 | |||||||||
ON Semiconductor Corp. (a) | 48,553 | 2,442,701 | |||||||||
SolarEdge Technologies, Inc. (a) | 6,259 | 1,712,963 | |||||||||
Teradyne, Inc. | 17,903 | 1,603,214 | |||||||||
14,502,395 | |||||||||||
Software (7.2%): | |||||||||||
Check Point Software Technologies Ltd. (a) | 14,315 | 1,743,281 | |||||||||
NortonLifeLock, Inc. | 64,818 | 1,423,403 | |||||||||
SS&C Technologies Holdings, Inc. | 28,469 | 1,653,195 | |||||||||
The Trade Desk, Inc., Class A (a) | 49,401 | 2,069,408 | |||||||||
6,889,287 | |||||||||||
Technology Hardware, Storage & Peripherals (5.2%): | |||||||||||
NetApp, Inc. | 24,866 | 1,622,258 | |||||||||
Seagate Technology Holdings PLC | 24,461 | 1,747,494 | |||||||||
Western Digital Corp. (a) | 34,994 | 1,568,781 | |||||||||
4,938,533 | |||||||||||
Utilities (1.7%): | |||||||||||
Alliant Energy Corp. | 28,026 | 1,642,604 | |||||||||
Total Common Stocks (Cost $112,690,651) | 95,199,874 | ||||||||||
Collateral for Securities Loaned (2.8%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (h) | 84,257 | 84,257 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (h) | 42,048 | 42,048 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (h) | 524,429 | 524,429 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (h) | 335,282 | 335,282 | |||||||||
See notes to financial statements.
182
| Victory Portfolios II VictoryShares Nasdaq Next 50 ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (h) | 223,595 | $ | 223,595 | ||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (h) | 1,507,491 | 1,507,491 | |||||||||
Total Collateral for Securities Loaned (Cost $2,717,102) | 2,717,102 | ||||||||||
Total Investments (Cost $115,407,753) — 102.7% | 97,916,976 | ||||||||||
Liabilities in excess of other assets — (2.7)% | (2,553,342 | ) | |||||||||
NET ASSETS — 100.00% | $ | 95,363,634 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(c) All or a portion of this security is on loan.
(d) All or a portion of this security has been segregated as collateral for derivative instruments.
(e) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(f) Restricted security that is not registered under the Securities Act of 1933.
(g) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
Yandex NV, Class A | 9/9/2020 | $ | 2,892,222 | ||||||||
(h) Rate disclosed is the daily yield on June 30, 2022.
ADR — American Depositary Receipt
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Unrealized Value | Appreciation (Depreciation) | |||||||||||||||||||
NASDAQ 100 E-Mini Futures | 1 | 9/16/22 | $ | 222,909 | $ | 230,590 | $ | 7,681 | |||||||||||||||
Total unrealized appreciation | $ | 7,681 | |||||||||||||||||||||
Total unrealized depreciation | — | ||||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | 7,681 | |||||||||||||||||||||
See notes to financial statements.
183
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Asset-Backed Securities (15.9%) | |||||||||||
| AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, 8/18/27, Callable 3/18/25 @ 100 | $ | 500,000 | $ | 454,448 | |||||||
| Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class B, 2.20%, 1/20/28, Callable 9/20/25 @ 100 (a) | 676,000 | 632,063 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class C, 4.17%, 1/15/31, Callable 3/15/25 @ 100 (a) | 250,000 | 244,142 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class B, 3.79%, 1/15/31, Callable 3/15/25 @ 100 (a) | 116,000 | 114,908 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class A3, 3.43%, 1/15/31, Callable 3/15/25 @ 100 (a) | 190,000 | 187,292 | |||||||||
CARDS II Trust, Series 2021-1A, Class C, 1.20%, 4/15/27 (a) | 540,000 | 509,296 | |||||||||
| Carvana Auto Receivables Trust, Series 2019-2A, Class D, 3.28%, 1/15/25, Callable 10/15/24 @ 100 (a) | 250,000 | 248,975 | |||||||||
| Carvana Auto Receivables Trust, Series 2021-P4, Class B, 1.98%, 2/10/28, Callable 9/10/25 @ 100 | 500,000 | 426,355 | |||||||||
| Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.30%, 9/11/28, Callable 6/10/25 @ 100 | 875,000 | 820,037 | |||||||||
| CCG Receivables Trust, Series 2021-2, Class C, 1.50%, 3/14/29, Callable 9/14/24 @ 100 (a) | 250,000 | 233,017 | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2021-4, Class B, 1.74%, 12/16/30, Callable 4/15/25 @ 100 (a) | 320,000 | 295,665 | |||||||||
| DB Master Finance LLC, Series 2021-1A, Class A2II, 2.49%, 11/20/51, Callable 11/20/25 @ 100 (a) | 1,343,250 | 1,143,127 | |||||||||
| Diamond Issuer, Series 2021-1A, Class B, 2.70%, 11/20/51, Callable 11/20/25 @ 100 (a) | 654,000 | 567,497 | |||||||||
| Drive Auto Receivables Trust, Series 2020-2, Class C, 2.28%, 8/17/26, Callable 12/15/23 @ 100 | 420,000 | 416,927 | |||||||||
| Drive Auto Receivables Trust, Series 2021-3, Class C, 1.47%, 1/15/27, Callable 3/15/24 @ 100 | 500,000 | 471,714 | |||||||||
| DT Auto Owner Trust, Series 2020-2A, Class D, 4.73%, 3/16/26, Callable 3/15/24 @ 100 (a) | 500,000 | 500,378 | |||||||||
Evergreen Credit Card Trust, Series 2021-1, Class B, 1.15%, 10/15/26 (a) | 391,000 | 369,094 | |||||||||
Evergreen Credit Card Trust, Series 2021-1, Class C, 1.42%, 10/15/26 (a) | 319,000 | 301,014 | |||||||||
| Exeter Automobile Receivables Trust, Series 2019-4A, Class D, 2.58%, 9/15/25, Callable 3/15/24 @ 100 (a) | 250,000 | 247,311 | |||||||||
| First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.55%, 4/15/25, Callable 2/15/23 @ 100 (a) | 250,000 | 248,690 | |||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class A, 2.14%, 12/17/38 (a) | 748,981 | 684,279 | |||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class B, 2.44%, 12/17/38 (a) | 500,000 | 451,411 | |||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class D, 2.79%, 12/17/38 (a) | 750,000 | 673,307 | |||||||||
| Flagship Credit Auto Trust, Series 2018-3, Class D, 4.15%, 12/16/24, Callable 1/15/24 @ 100 (a) | 350,000 | 349,333 | |||||||||
| Flagship Credit Auto Trust, Series 2018-4, Class D, 4.33%, 12/16/24, Callable 11/15/23 @ 100 (a) | 500,000 | 499,734 | |||||||||
| Flagship Credit Auto Trust, Series 4, Class C, 1.96%, 12/15/27, Callable 4/15/25 @ 100 (a) | 500,000 | 466,501 | |||||||||
| Flagship Credit Auto Trust, Series 2019-4, Class E, 4.11%, 3/15/27, Callable 7/15/24 @ 100 (a) | 1,265,000 | 1,200,709 | |||||||||
See notes to financial statements.
184
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Ford Credit Auto Lease Trust, Series 2022-A, Class B, 3.81%, 8/15/25, Callable 11/15/24 @ 100 | $ | 321,000 | $ | 320,401 | |||||||
| Ford Credit Auto Owner Trust, Series 22-1, Class C, 4.67%, 11/15/34, Callable 5/15/27 @ 100 (a) | 950,000 | 945,636 | |||||||||
| Ford Credit Auto Owner Trust, Series 2021-2, Class C, 2.11%, 5/15/34, Callable 11/15/26 @ 100 (a) | 500,000 | 460,894 | |||||||||
| Hertz Vehicle Financing LLC, Series 2022-4A, Class B, 4.12%, 9/25/26, Callable 9/25/25 @ 100 (a) | 500,000 | 490,776 | |||||||||
| Hertz Vehicle Financing LLC, Series 2022-2A, Class B, 2.65%, 6/26/28, Callable 6/25/27 @ 100 (a) | 1,000,000 | 907,650 | |||||||||
| Hpefs Equipment Trust, Series 22-2A, Class D, 4.94%, 3/20/30, Callable 11/20/25 @ 100 (a) | 1,300,000 | 1,290,570 | |||||||||
| HPEFS Equipment Trust, Series 2022-1A, Class D, 2.40%, 11/20/29, Callable 1/20/25 @ 100 (a) | 333,000 | 308,723 | |||||||||
| Hyundai Auto Receivables Trust, Series 2021-C, Class C, 1.66%, 6/15/28, Callable 12/15/25 @ 100 | 500,000 | 458,597 | |||||||||
| JPMorgan Chase Bank NA, Series 2021-2, Class B, 0.89%, 12/26/28, Callable 3/25/25 @ 100 (a) | 154,873 | 150,606 | |||||||||
| JPMorgan Chase Bank NA, Series 2020-2, Class C, 1.14%, 2/25/28, Callable 8/25/24 @ 100 (a) | 192,281 | 188,179 | |||||||||
| Kubota Credit Owner Trust, Series 2022-1A, Class A3, 2.67%, 10/15/26, Callable 1/15/26 @ 100 (a) | 500,000 | 484,807 | |||||||||
Master Credit Card Trust, Series 2022-2A, Class B, 2.38%, 7/21/28 (a) | 500,000 | 469,931 | |||||||||
Master Credit Card Trust, Series 2022-2A, Class C, 2.73%, 7/21/28 (a) | 312,000 | 293,455 | |||||||||
Master Credit Card Trust, Series 2021-1A, Class C, 1.06%, 11/21/25 (a) | 1,000,000 | 936,194 | |||||||||
| New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, 10/20/61, Callable 10/20/24 @ 100 (a) | 677,000 | 590,420 | |||||||||
| New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, 10/20/61, Callable 10/20/24 @ 100 (a) | 366,000 | 316,802 | |||||||||
| Oscar U.S. Funding XII LLC, Series 1A, Class A4, 1.00%, 4/10/28, Callable 2/10/25 @ 100 (a) | 250,000 | 229,935 | |||||||||
| Oscar US Funding XIV LLC, Series 2022-1A, Class A4, 2.82%, 4/10/29, Callable 2/10/26 @ 100 (a) | 1,000,000 | 947,039 | |||||||||
| Pawnee Equipment Receivables LLC, Series 2021-1, Class B, 1.82%, 7/15/27, Callable 8/15/25 @ 100 (a) | 136,000 | 126,398 | |||||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.28%, 5/15/32, Callable 4/15/25 @ 100 (a) | 952,583 | 939,722 | |||||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class C, 7.38%, 5/15/32, Callable 4/15/25 @ 100 (a) | 952,583 | 939,581 | |||||||||
| Santander Bank NA, Series 2021-1A, Class C, 3.27%, 12/15/31, Callable 2/15/25 @ 100 (a) | 548,932 | 535,048 | |||||||||
| Santander Bank NA, Series 2021-1A, Class B, 1.83%, 12/15/31, Callable 2/15/25 @ 100 (a) | 585,527 | 570,574 | |||||||||
| Santander Consumer Auto Receivables Trust, Series 2020-AA, Class D, 5.49%, 4/15/26, Callable 4/15/24 @ 100 (a) | 250,000 | 251,156 | |||||||||
| Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, 2/16/27, Callable 6/15/24 @ 100 (b) | 250,000 | 239,232 | |||||||||
| SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.93%, 9/20/30, Callable 7/20/26 @ 100 (a) | 500,000 | 441,221 | |||||||||
Synchrony Card Funding LLC, Series 2022-A1, Class A, 3.37%, 4/17/28 | 220,000 | 218,495 | |||||||||
See notes to financial statements.
185
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Tesla Auto Lease Trust, Series 2019-A, Class E, 5.48%, 5/22/23, Callable 11/20/22 @ 100 (a) | $ | 500,000 | $ | 502,302 | |||||||
Tricon Residential Trust, Series 2022-SFR1, Class A, 3.86%, 4/17/39 (a) | 750,000 | 723,709 | |||||||||
| Tricon Residential Trust, Series SFR2, Class B, 5.24%, 7/17/40, Callable 7/17/28 @ 100 (a) (c) | 200,000 | 199,992 | |||||||||
Trillium Credit Card Trust II, Series 2021-1A, Class C, 2.42%, 10/26/29 (a) | 744,000 | 689,396 | |||||||||
| Trinity Rail Leasing LLC, Series 2022-1, Class A, 4.55%, 5/20/52, Callable 10/19/24 @ 100 (a) | 500,000 | 494,122 | |||||||||
| United Auto Credit Securitization Trust, Series 2022-1, Class C, 2.61%, 6/10/27, Callable 6/10/25 @ 100 (a) (b) | 250,000 | 241,495 | |||||||||
| Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, 9/15/45, Callable 9/15/25 @ 100 (a) | 453,000 | 395,242 | |||||||||
| VB S1 Issuer LLC VBTEL, Series 2022-1A, Class C2II, 3.71%, 2/15/57, Callable 2/15/30 @ 100 (a) | 1,000,000 | 887,637 | |||||||||
| VB S1 Issuer LLC VBTEL, Series 2022-1A, Class F, 5.27%, 2/15/52, Callable 2/15/26 @ 100 (a) | 1,000,000 | 942,615 | |||||||||
| Verizon Master Trust, Series 2021-2, Class C, 1.38%, 4/20/28, Callable 10/20/24 @ 100 | 500,000 | 470,010 | |||||||||
| Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.58%, 1/15/27, Callable 1/15/25 @ 100 (a) | 500,000 | 473,749 | |||||||||
| Westlake Automobile Receivables Trust, Series 2019-2A, Class E, 4.02%, 4/15/25, Callable 5/15/23 @ 100 (a) | 1,250,000 | 1,245,848 | |||||||||
Total Asset-Backed Securities (Cost $36,197,103) | 34,075,383 | ||||||||||
Collateralized Mortgage Obligations (17.7%) | |||||||||||
| 37 Capital CLO I, Series 2021-1A, Class C, 3.10% (LIBOR03M+225bps), 10/15/34, Callable 10/15/23 @ 100 (a) (d) | 250,000 | 227,577 | |||||||||
| AB BSL CLO 1 Ltd., Series 2020-1A, Class A2AR, 2.50% (TSFR3M+165bps), 1/15/35, Callable 1/15/24 @ 100 (a) (d) | 500,000 | 479,119 | |||||||||
| AB BSL CLO 1 Ltd., Series 2020-1A, Class CR, 3.35% (TSFR3M+250bps), 1/15/35, Callable 1/15/24 @ 100 (a) (d) | 250,000 | 236,441 | |||||||||
AIMCO CLO, Ltd., Series 17A, Class B, 4.27% (TSFR3M+210bps), 7/20/35 (a) (d) | 250,000 | 244,169 | |||||||||
| AOA Mortgage Trust, Series 2021-1177, Class B, 2.50% (LIBOR01M+117bps), 10/15/38 (a) (d) | 250,000 | 236,606 | |||||||||
| AOA Mortgage Trust, Series 2021-1177, Class D, 3.15% (LIBOR01M+182bps), 10/15/38 (a) (d) | 300,000 | 274,999 | |||||||||
| Arbor Multifamily Mortgage Securities Trust, Series 2022-MF4, Class A5, 3.40%, 2/15/55, Callable 1/15/32 @ 100 (a) (e) | 500,000 | 459,605 | |||||||||
Aventura Mall Trust, Series 2018-AVM, Class A, 4.25%, 7/5/40 (a) (e) | 500,000 | 491,739 | |||||||||
| Ballyrock CLO 18 Ltd., Series 2021-18A, Class A2, 1.88% (LIBOR03M+165bps), 1/15/35, Callable 1/15/24 @ 100 (a) (d) | 750,000 | 701,392 | |||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.49%, 4/14/33, Callable 4/14/25 @ 100 (a) | 750,000 | 711,938 | |||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class D, 3.72% (LIBOR01M+105bps), 4/14/33, Callable 4/14/25 @ 100 (a) (d) | 750,000 | 692,440 | |||||||||
| BBCMS Mortgage Trust, Series 2020-BID, Class B, 3.86% (LIBOR01M+254bps), 10/15/37 (a) (d) | 500,000 | 490,117 | |||||||||
| BBCMS Mortgage Trust, Series 2020-BID, Class C, 4.96% (LIBOR01M+364bps), 10/15/37 (a) (d) | 300,000 | 295,988 | |||||||||
See notes to financial statements.
186
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| BBCMS Mortgage Trust, Series 2022-C16, Class AS, 4.60%, 6/15/55, Callable 5/15/32 @ 100 (e) | $ | 135,135 | $ | 134,058 | |||||||
| Benchmark Mortgage Trust, Series 2020-B19, Class AS, 2.15%, 9/15/53, Callable 9/15/30 @ 100 | 1,000,000 | 820,815 | |||||||||
BPR Trust, Series 2022-OANA, Class A, 3.18% (TSFR1M+190bps), 4/15/37 (a) (d) | 1,000,000 | 978,422 | |||||||||
BPR Trust, Series 2021-TY, Class D, 3.67% (LIBOR01M+235bps), 9/23/23 (a) (d) | 500,000 | 462,482 | |||||||||
BPR Trust, Series 2022-OANA, Class D, 4.97% (TSFR1M+370bps), 4/15/37 (a) (d) | 500,000 | 481,738 | |||||||||
BPR Trust, Series 2021-TY, Class A, 2.37% (LIBOR01M+105bps), 9/15/38 (a) (d) | 500,000 | 478,901 | |||||||||
| BX Commercial Mortgage Trust, Series 2021-VOLT, Class B, 2.27% (LIBOR01M+85bps), 9/15/26 (a) (d) | 250,000 | 236,549 | |||||||||
| BX Commercial Mortgage Trust, Series 22-CSMO, Class D, 5.09% (TSFR1M+434bps), 6/15/27 (a) (d) | 500,000 | 484,971 | |||||||||
| BX Commercial Mortgage Trust, Series 2019-XL, Class D, 2.77% (LIBOR01M+145bps), 10/15/36 (a) (d) | 1,215,500 | 1,191,134 | |||||||||
| BX Commercial Mortgage Trust, Series 2021-XL2, Class B, 2.32% (LIBOR01M+100bps), 10/15/38 (a) (d) | 233,366 | 220,437 | |||||||||
| BX Commercial Mortgage Trust, Series 2021-SOAR, Class D, 2.72% (LIBOR01M+140bps), 6/15/38 (a) (d) | 248,120 | 232,662 | |||||||||
| BX Commercial Mortgage Trust, Series 22-CSMO, Class C, 4.64% (TSFR1M+389bps), 6/15/27 (a) (d) | 1,000,000 | 979,962 | |||||||||
| BX Mortgage Trust, Series 2021-PAC, Class B, 2.22% (LIBOR01M+90bps), 10/15/36 (a) (d) | 250,000 | 235,383 | |||||||||
| BX Trust, Series 2021-ARIA, Class D, 3.22% (LIBOR01M+190bps), 10/15/36 (a) (d) | 250,000 | 233,104 | |||||||||
| BX Trust, Series 2021-RISE, Class B, 2.57% (LIBOR01M+125bps), 11/15/36 (a) (d) | 500,000 | 477,900 | |||||||||
BXP Trust, Series 2021-601L, Class D, 2.87%, 1/15/44 (a) (e) | 1,000,000 | 724,900 | |||||||||
BXP Trust, Series 2021-601L, Class B, 2.87%, 1/15/44 (a) (e) | 500,000 | 417,152 | |||||||||
BXP Trust, Series 2021-601L, Class C, 2.87%, 1/15/44 (a) (e) | 250,000 | 185,709 | |||||||||
| CAMB Commercial Mortgage Trust, Series 2021-CX2, Class A, 2.70%, 11/10/46, Callable 11/10/31 @ 100 (a) | 1,000,000 | 838,401 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class D, 4.90%, 1/10/36 (a) (e) | 615,000 | 602,061 | |||||||||
| Columbia Cent CLO Ltd., Series 2020-29A, Class BR, 2.76% (LIBOR03M+170bps), 10/20/34, Callable 10/20/23 @ 100 (a) (c) (d) | 500,000 | 469,925 | |||||||||
Columbia Cent CLO, Ltd., Series 22-32A, Class BF, 5.20%, 7/24/34 (a) | 250,000 | 248,125 | |||||||||
| COMM Mortgage Trust, Series 2014-277P, Class A, 3.73%, 8/10/49, Callable 8/10/24 @ 100 (a) (e) | 500,000 | 485,177 | |||||||||
| COMM Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46, Callable 11/10/30 @ 100 (a) | 825,000 | 679,811 | |||||||||
| Eaton Vance CLO Ltd., Series 2020-2A, Class BR, 2.74% (LIBOR03M+170bps), 1/15/35, Callable 1/15/24 @ 100 (a) (d) | 500,000 | 471,963 | |||||||||
| Flatiron CLO 20 Ltd., Series 2020-1A, Class B, 3.23% (LIBOR03M+175bps), 11/20/33, Callable 11/20/22 @ 100 (a) (d) | 750,000 | 711,209 | |||||||||
| Golub Capital Partners CLO Ltd., Series 2020-52A, Class C, 3.86% (LIBOR03M+280bps), 1/20/34, Callable 1/20/23 @ 100 (a) (d) | 500,000 | 470,913 | |||||||||
Hilton USA Trust, Series 2016-HHV, Class C, 4.33%, 11/5/38 (a) (e) | 200,000 | 187,126 | |||||||||
Hilton USA Trust, Series 2016-HHV, Class B, 4.33%, 11/5/38 (a) (e) | 350,000 | 333,823 | |||||||||
Hudson Yards Mortgage Trust, Series 2019-30HY, Class A, 3.23%, 7/10/39 (a) | 1,200,000 | 1,084,755 | |||||||||
See notes to financial statements.
187
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Hudson Yards Mortgage Trust, Series 2019-55HY, Class A, 3.04%, 12/10/41 (a) (e) | $ | 1,000,000 | $ | 893,443 | |||||||
| ILPT Commercial Mortgage Trust, Series 2022-LPFX, Class A, 3.95%, 3/15/32 (a) (e) | 750,000 | 623,898 | |||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class B, 3.67%, 12/15/47, Callable 2/15/23 @ 100 (e) | 449,000 | 445,342 | |||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class B, 4.21%, 1/15/46, Callable 6/15/23 @ 100 (b) (e) | 338,000 | 336,231 | |||||||||
| KNDL Mortgage Trust, Series 2019-KNSQ, Class B, 2.27% (LIBOR01M+95bps), 5/15/36 (a) (d) | 250,000 | 245,378 | |||||||||
| LCM Ltd., Series 36A, Class A2, 1.65% (LIBOR03M+140bps), 1/15/34, Callable 1/15/24 @ 100 (a) (d) | 750,000 | 706,514 | |||||||||
| Life Mortgage Trust US, Series 22-BMR2, Class C, 3.37% (TSFR1M+209bps), 5/15/39, Callable 5/15/24 @ 100 (a) (d) | 250,000 | 241,248 | |||||||||
Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.13%, 9/10/39 (a) | 500,000 | 441,663 | |||||||||
| MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 2.12% (LIBOR01M+80bps), 4/15/38 (a) (d) | 250,000 | 241,756 | |||||||||
| MHC Commercial Mortgage Trust, Series MHC, Class D, 2.92% (LIBOR01M+160bps), 4/15/26 (a) (d) | 500,000 | 471,433 | |||||||||
MHP, Series 2022-MHIL, Class D, 2.89% (SOFR30A+161bps), 1/15/27 (a) (d) | 500,000 | 467,762 | |||||||||
| Morgan Stanley Capital I Trust, Series 2017-CLS, Class F, 3.92% (LIBOR01M+260bps), 11/15/34 (a) (d) | 500,000 | 494,620 | |||||||||
| Morgan Stanley Capital I Trust, Series 2021-PLZA, Class B, 2.90%, 11/9/43, Callable 5/9/31 @ 100 (a) | 500,000 | 406,443 | |||||||||
| Morgan Stanley Capital I Trust, Series 2021-PLZA, Class C, 2.81%, 11/9/43, Callable 5/9/31 @ 100 (a) | 750,000 | 588,545 | |||||||||
| MTN Commercial Mortgage Trust, Series 2022-LPFL, Class C, 3.67% (TSFR1M+239bps), 3/15/39 (a) (d) | 250,000 | 242,077 | |||||||||
| Oaktree CLO Ltd., Series 2022-1A, Class B, 3.06% (TSFR3M+195bps), 5/15/33, Callable 11/15/23 @ 100 (a) (d) | 333,000 | 316,204 | |||||||||
Oaktree CLO, Ltd., Series 22-2A, Class B, 7/15/33 (a) (d) (f) | 500,000 | 492,894 | |||||||||
| Octagon Investment Partners 48 Ltd., Series 2020-3A, Class BR, 2.66% (LIBOR03M+160bps), 10/20/34, Callable 10/20/23 @ 100 (a) (d) | 500,000 | 471,633 | |||||||||
| Palmer Square Loan Funding Ltd., Series 2019-4A, Class B, 3.28% (LIBOR03M+210bps), 10/24/27, Callable 7/24/22 @ 100 (a) (d) | 1,000,000 | 968,054 | |||||||||
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41 (a) (b) | 500,000 | 425,561 | |||||||||
SLG Office Trust, Series 2021-OVA, Class C, 2.85%, 7/15/41 (a) | 500,000 | 410,095 | |||||||||
SMRT, Series 2022-MINI, Class E, 3.98% (SOFR30A+270bps), 1/15/39 (a) (d) | 250,000 | 231,035 | |||||||||
| Sound Point CLO XXXII Ltd., Series 2021-4A, Class B1, 2.93% (LIBOR03M+175bps), 10/25/34, Callable 10/25/23 @ 100 (a) (d) | 500,000 | 472,250 | |||||||||
| SREIT Trust, Series 2021-MFP2, Class D, 2.89% (LIBOR01M+157bps), 11/15/36 (a) (d) | 760,000 | 707,573 | |||||||||
| SREIT Trust, Series 2021-MFP2, Class B, 2.50% (LIBOR01M+117bps), 11/15/36 (a) (d) | 500,000 | 475,066 | |||||||||
| Stratus CLO Ltd., Series 2021-3A, Class B, 1.77% (LIBOR03M+155bps), 12/29/29, Callable 1/20/23 @ 100 (a) (d) | 205,000 | 196,240 | |||||||||
Stratus CLO, Ltd., Series 22-1A, Class B, 7/20/30 (a) (c) (d) (f) | 250,000 | 245,724 | |||||||||
| SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.99%, 2/12/41, Callable 2/12/29 @ 100 (a) (e) | 363,636 | 295,217 | |||||||||
See notes to financial statements.
188
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Symphony CLO XXII Ltd., Series 2020-22A, Class C, 3.19% (LIBOR03M+215bps), 4/18/33, Callable 7/18/22 @ 100 (a) (d) | $ | 500,000 | $ | 469,053 | |||||||
| Symphony CLO XXIX Ltd., Series 2021-29A, Class B, 1.89% (LIBOR03M+165bps), 1/15/34, Callable 1/15/23 @ 100 (a) (d) | 500,000 | 474,605 | |||||||||
| TRESTLES CLO III Ltd., Series 2020-3A, Class C, 3.31% (LIBOR03M+225bps), 1/20/33, Callable 7/20/22 @ 100 (a) (d) | 500,000 | 469,947 | |||||||||
| Trimaran Cavu Ltd., Series 2021-3A, Class C1, 3.51% (LIBOR03M+247bps), 1/18/35, Callable 1/18/24 @ 100 (a) (d) | 750,000 | 692,207 | |||||||||
| Trimaran Cavu Ltd., Series 2021-2A, Class B1, 2.93% (LIBOR03M+175bps), 10/25/34, Callable 10/25/23 @ 100 (a) (d) | 500,000 | 469,569 | |||||||||
TTAN, Series 2021-MHC, Class C, 2.68% (LIBOR01M+140bps), 3/15/38 (a) (d) | 698,218 | 659,648 | |||||||||
Venture CLO, Ltd., Series 46A, Class A2F, 5.02%, 7/20/35 (a) (c) | 475,000 | 475,000 | |||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class B, 2.77% (LIBOR01M+145bps), 2/15/40 (a) (d) | 227,255 | 216,880 | |||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class C, 3.12% (LIBOR01M+180bps), 2/15/40 (a) (d) | 227,255 | 210,573 | |||||||||
Total Collateralized Mortgage Obligations (Cost $41,090,148) | 37,793,079 | ||||||||||
Senior Secured Loans (5.5%) | |||||||||||
| AAdvantage Loyalty IP Ltd., Initial Term Loan, First Lien, 5.81% (LIBOR03M+475bps), 4/20/28 (d) | 250,000 | 238,035 | |||||||||
Bausch Lomb, Initial Term Loan, 4.45% (SOFR01M+325bps), 5/5/27 (d) | 500,000 | 464,500 | |||||||||
Bausch Lomb, Inc., Initial Term Loan, 5/10/27 (f) | 500,000 | 464,500 | |||||||||
Central Parent, Inc., 6/9/29 (c) (f) | 250,000 | 235,658 | |||||||||
| Covanta Holding Corp., Initial Term B Loans, 3.56% (LIBOR01M+250bps), 11/30/28 (d) | 463,994 | 437,546 | |||||||||
| Covanta Holding Corp., Initial Term C Loan, 3.56% (LIBOR01M+250bps), 11/30/28 (d) | 34,843 | 32,857 | |||||||||
| Delta Air Lines, Inc. and Skymiles IP Ltd., Initial Term Loan, First Lien, 4.75% (LIBOR03M+375bps), 10/20/27 (d) | 750,000 | 744,608 | |||||||||
| Directv Financing LLC, Closing Date Term Loans, First Lien, 6.06% (LIBOR01M+500bps), 8/2/27 (d) | 932,500 | 855,960 | |||||||||
| Great Outdoors Group LLC, Term B1, First Lien, 4.81% (LIBOR01M+375bps), 3/5/28 (d) | 496,250 | 451,091 | |||||||||
| Hub International Ltd., B-3 Incremental Term Loans, First Lien, 4.35% (LIBOR03M+325bps), 4/25/25 (d) | 496,222 | 469,664 | |||||||||
| IRB Holding Corp., Term Loan B, First Lien, 4.09% (SOFR01M+300bps), 12/15/27 (d) | 745,589 | 698,371 | |||||||||
| Mileage Plus Holdings LLC, Initial Term Loan, First Lien, 7.31% (LIBOR03M+525bps), 6/20/27 (d) | 1,000,000 | 986,000 | |||||||||
Oeg Borrower LLC, Initial Term Loan, 6.68% (SOFR03M+500bps), 5/20/29 (d) | 500,000 | 472,500 | |||||||||
Reynolds Consumer Products LLC, 1.92% (LIBOR01M+175bps), 2/4/27 (c) (d) | 498,549 | 478,098 | |||||||||
| Scientific Games International, Inc., Initial Term B Loans, First Lien, 4.36% (SOFR01M+300bps), 4/16/29 (d) | 1,000,000 | 947,500 | |||||||||
| Sotheby's, 2021 2nd Refin Term Loan, First Lien, 5.54% (LIBOR03M+450bps), 1/15/27 (d) | 496,250 | 473,919 | |||||||||
| UKG, Inc., Incremental Term Loans, First Lien, 4.21% (LIBOR03M+325bps), 5/3/26 (c) (d) | 747,500 | 698,449 | |||||||||
See notes to financial statements.
189
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Walker & Dunlop, Inc., Term Loan B, First Lien, 2.75% (SOFR06M+225bps), 12/16/28 (d) | $ | 1,492,500 | $ | 1,425,337 | |||||||
| Whatabrands LLC, Initial Term B Loans, First Lien, 4.31% (LIBOR01M+325bps), 8/3/28 (d) | 1,244,997 | 1,164,072 | |||||||||
Total Senior Secured Loans (Cost $12,416,347) | 11,738,665 | ||||||||||
Corporate Bonds (31.9%) | |||||||||||
Communication Services (1.7%): | |||||||||||
AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | 250,000 | 237,018 | |||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 | 500,000 | 447,924 | |||||||||
Comcast Corp., 2.89%, 11/1/51, Callable 5/1/51 @ 100 (a) | 250,000 | 178,785 | |||||||||
CSC Holdings LLC, 3.38%, 2/15/31, Callable 2/15/26 @ 101.69 (a) | 500,000 | 371,025 | |||||||||
Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38 (a) | 250,000 | 195,698 | |||||||||
Lamar Media Corp., 3.63%, 1/15/31, Callable 1/15/26 @ 101.81 | 232,000 | 189,869 | |||||||||
Netflix, Inc., 4.88%, 6/15/30, Callable 3/15/30 @ 100 (a) | 906,000 | 831,472 | |||||||||
T-Mobile USA, Inc., 3.50%, 4/15/31, Callable 4/15/26 @ 101.75 (a) | 1,000,000 | 858,890 | |||||||||
Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 500,000 | 427,605 | |||||||||
3,738,286 | |||||||||||
Consumer Discretionary (4.0%): | |||||||||||
Asbury Automotive Group, Inc., 4.75%, 3/1/30, Callable 3/1/25 @ 102.38 | 500,000 | 411,345 | |||||||||
| AutoNation, Inc. 2.40%, 8/1/31, Callable 5/1/31 @ 100 | 250,000 | 192,100 | |||||||||
3.85%, 3/1/32, Callable 12/1/31 @ 100 | 750,000 | 647,077 | |||||||||
Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31 (a) | 750,000 | 585,308 | |||||||||
Carnival Corp., 10.50%, 6/1/30, Callable 6/1/25 @ 105.25 (a) | 250,000 | 206,175 | |||||||||
Dollar Tree, Inc., 2.65%, 12/1/31, Callable 9/1/31 @ 100 | 500,000 | 411,195 | |||||||||
Group 1 Automotive, Inc., 4.00%, 8/15/28, Callable 8/15/23 @ 102 (a) | 100,000 | 84,686 | |||||||||
| GSK Consumer Healthcare Capital US LLC, 3.63%, 3/24/32, Callable 12/24/31 @ 100 (a) | 250,000 | 230,680 | |||||||||
| Hilton Domestic Operating Co., Inc. 4.00%, 5/1/31, Callable 5/1/26 @ 102 (a) | 250,000 | 207,625 | |||||||||
3.63%, 2/15/32, Callable 8/15/26 @ 101.81 (a) | 750,000 | 596,873 | |||||||||
Kohl's Corp., 3.38%, 5/1/31, Callable 2/1/31 @ 100 | 200,000 | 173,110 | |||||||||
Lithia Motors, Inc., 3.88%, 6/1/29, Callable 6/1/24 @ 101.94 (a) | 250,000 | 212,788 | |||||||||
| Magallanes, Inc. 4.28%, 3/15/32, Callable 12/15/31 @ 100 (a) | 250,000 | 223,348 | |||||||||
5.14%, 3/15/52, Callable 9/15/51 @ 100 (a) | 500,000 | 419,770 | |||||||||
Marriott International, Inc., 3.50%, 10/15/32, Callable 7/15/32 @ 100 (b) | 1,000,000 | 862,069 | |||||||||
Nordstrom, Inc., 4.25%, 8/1/31, Callable 5/1/31 @ 100 | 250,000 | 189,843 | |||||||||
| Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, 4/6/31, Callable 1/6/31 @ 100 (a) | 500,000 | 402,075 | |||||||||
Sodexo, Inc., 2.72%, 4/16/31, Callable 1/16/31 @ 100 (a) | 1,000,000 | 840,119 | |||||||||
Sonic Automotive, Inc., 4.88%, 11/15/31, Callable 11/15/26 @ 102.44 (a) | 250,000 | 188,563 | |||||||||
Sotheby's, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69 (a) | 500,000 | 462,640 | |||||||||
Toll Brothers Finance Corp., 3.80%, 11/1/29, Callable 8/1/29 @ 100 | 420,000 | 358,352 | |||||||||
Tractor Supply Co., 1.75%, 11/1/30, Callable 8/1/30 @ 100 | 750,000 | 588,915 | |||||||||
8,494,656 | |||||||||||
See notes to financial statements.
190
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Consumer Staples (1.4%): | |||||||||||
7-Eleven, Inc., 2.80%, 2/10/51, Callable 8/2/50 @ 100 (a) | $ | 750,000 | $ | 489,795 | |||||||
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42 (b) | 750,000 | 610,958 | |||||||||
General Mills, Inc., 2.25%, 10/14/31, Callable 7/14/31 @ 100 | 250,000 | 205,140 | |||||||||
| JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100 (a) | 250,000 | 192,418 | |||||||||
Kraft Heinz Foods Co., 5.00%, 6/4/42 | 500,000 | 457,365 | |||||||||
Sysco Corp., 2.45%, 12/14/31, Callable 9/14/31 @ 100 | 333,000 | 276,806 | |||||||||
Unilever Capital Corp., 2.63%, 8/12/51, Callable 2/12/51 @ 100 | 500,000 | 361,805 | |||||||||
Walgreens Boots Alliance, Inc., 4.10%, 4/15/50, Callable 10/15/49 @ 100 | 250,000 | 197,275 | |||||||||
2,791,562 | |||||||||||
Energy (1.2%): | |||||||||||
Boardwalk Pipelines LP, 3.40%, 2/15/31, Callable 11/15/30 @ 100 (b) | 250,000 | 213,480 | |||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, 11/1/28, Callable 11/1/23 @ 103.13 (a) | 267,000 | 248,307 | |||||||||
Magellan Midstream Partners LP, 5.15%, 10/15/43, Callable 4/15/43 @ 100 (b) | 500,000 | 462,235 | |||||||||
Midwest Connector Capital Co. LLC, 4.63%, 4/1/29, Callable 1/1/29 @ 100 (a) (b) | 500,000 | 472,035 | |||||||||
| Plains All American Pipeline LP/PAA Finance Corp., 3.80%, 9/15/30, Callable 6/15/30 @ 100 (b) | 750,000 | 663,607 | |||||||||
Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69 (a) | 500,000 | 480,965 | |||||||||
2,540,629 | |||||||||||
Financials (8.0%): | |||||||||||
Alleghany Corp., 3.63%, 5/15/30, Callable 2/15/30 @ 100 (b) | 500,000 | 467,895 | |||||||||
Ares Finance Co. IV LLC, 3.65%, 2/1/52, Callable 8/1/51 @ 100 (a) | 500,000 | 349,050 | |||||||||
| Bank of America Corp., 3.85% (H15T5Y+200bps), 3/8/37, Callable 3/8/32 @ 100 (d) | 750,000 | 649,553 | |||||||||
| Blackstone Holdings Finance Co. LLC, 2.55%, 3/30/32, Callable 12/30/31 @ 100 (a) | 500,000 | 418,945 | |||||||||
Blackstone Private Credit Fund, 3.25%, 3/15/27, Callable 2/15/27 @ 100 (a) | 750,000 | 636,577 | |||||||||
Blue Owl Finance LLC, 3.13%, 6/10/31, Callable 3/10/31 @ 100 (a) (b) | 1,250,000 | 961,212 | |||||||||
Brown & Brown, Inc., 4.20%, 3/17/32, Callable 12/17/31 @ 100 | 250,000 | 227,598 | |||||||||
| Charles Schwab Corp. The, 5.38% (H15T5Y+497bps), Callable 6/1/25 @ 100 (d) (g) | 250,000 | 247,933 | |||||||||
Citizens Financial Group, Inc., 2.64%, 9/30/32, Callable 7/2/32 @ 100 | 500,000 | 398,700 | |||||||||
Cullen/Frost Bankers, Inc., 4.50%, 3/17/27, Callable 2/17/27 @ 100 (b) | 500,000 | 495,820 | |||||||||
F&G Global Funding, 2.00%, 9/20/28 (a) | 500,000 | 422,750 | |||||||||
Fells Point Funding Trust, 3.05%, 1/31/27, Callable 12/31/26 @ 100 (a) | 500,000 | 461,005 | |||||||||
Fifth Third Bancorp, 4.34% (SOFR+268bps), 4/25/33, Callable 4/25/32 @ 100 (d) | 217,000 | 206,434 | |||||||||
| Global Atlantic Fin Co. 4.40%, 10/15/29, Callable 7/15/29 @ 100 (a) | 1,000,000 | 912,299 | |||||||||
3.13%, 6/15/31, Callable 3/15/31 @ 100 (a) | 250,000 | 199,298 | |||||||||
HUB International Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81 (a) | 450,000 | 377,033 | |||||||||
| Huntington Bancshares, Inc., 2.49% (H15T5Y+117bps), 8/15/36, Callable 8/15/31 @ 100 (d) | 1,000,000 | 775,449 | |||||||||
| JPMorgan Chase & Co., 2.96% (SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100 (b) (d) | 750,000 | 649,035 | |||||||||
KeyCorp., 4.79% (SOFR+273bps), 6/1/33, Callable 6/1/32 @ 100, MTN (d) | 189,000 | 186,328 | |||||||||
Metropolitan Life Global Funding I, 2.40%, 1/11/32 (a) | 500,000 | 420,775 | |||||||||
See notes to financial statements.
191
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Morgan Stanley 1.93% (SOFR+102bps), 4/28/32, Callable 4/28/31 @ 100, MTN (d) | $ | 250,000 | $ | 198,328 | |||||||
2.48% (SOFR+136bps), 9/16/36, Callable 9/16/31 @ 100 (b) (d) | 500,000 | 384,465 | |||||||||
New York Life Global Funding, 1.85%, 8/1/31 (a) | 1,600,000 | 1,299,583 | |||||||||
| OWL Rock Core Income Corp. 5.50%, 3/21/25 (a) | 500,000 | 479,790 | |||||||||
4.70%, 2/8/27, Callable 1/8/27 @ 100 (a) | 375,000 | 343,110 | |||||||||
Regions Financial Corp., 5.75% (H15T5Y+543bps), Callable 6/15/25 @ 100 (d) (g) | 250,000 | 248,653 | |||||||||
State Street Corp., 1.68% (SOFR+56bps), 11/18/27, Callable 11/18/26 @ 100 (d) | 750,000 | 672,967 | |||||||||
| Texas Capital Bancshares, Inc., 4.00% (H15T5Y+315bps), 5/6/31, Callable 5/6/26 @ 100 (d) | 500,000 | 457,410 | |||||||||
| The Bank of New York Mellon Corp., 3.75% (H15T5Y+263bps), Callable 12/20/26 @ 100 (d) (g) | 500,000 | 410,775 | |||||||||
| The Huntington National Bank, 5.50% (LIBOR03M+509bps), 5/6/30, Callable 5/6/25 @ 100 (d) | 750,000 | 755,715 | |||||||||
| The PNC Financial Services Group, Inc. 2.31% (SOFR+98bps), 4/23/32, Callable 4/23/31 @ 100 (d) | 250,000 | 209,130 | |||||||||
4.63% (SOFR+278bps), 6/6/33, Callable 6/6/32 @ 100 (d) | 250,000 | 241,715 | |||||||||
| Truist Financial Corp. 5.10% (H15T10Y+435bps), Callable 3/1/30 @ 100 (b) (d) (g) | 1,000,000 | 911,079 | |||||||||
4.95% (H15T5Y+461bps), Callable 9/1/25 @ 100 (d) (g) | 500,000 | 492,115 | |||||||||
United Financial Bancorp, Inc., 5.75%, 10/1/24 | 300,000 | 295,794 | |||||||||
Willis North America, Inc., 2.95%, 9/15/29, Callable 6/15/29 @ 100 | 500,000 | 428,190 | |||||||||
17,292,508 | |||||||||||
Health Care (3.1%): | |||||||||||
Amgen, Inc., 3.00%, 1/15/52, Callable 7/15/51 @ 100 | 250,000 | 177,858 | |||||||||
| Baxter International, Inc. 2.27%, 12/1/28, Callable 10/1/28 @ 100 (a) | 250,000 | 218,875 | |||||||||
2.54%, 2/1/32, Callable 11/1/31 @ 100 (a) (b) | 250,000 | 210,868 | |||||||||
Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 | 660,000 | 541,173 | |||||||||
Bio-Rad Laboratories, Inc., 3.70%, 3/15/32, Callable 12/15/31 @ 100 | 500,000 | 444,260 | |||||||||
Centene Corp., 2.50%, 3/1/31, Callable 12/1/30 @ 100 | 1,000,000 | 798,340 | |||||||||
| CHS/Community Health System, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38 (a) | 250,000 | 183,903 | |||||||||
CVS Health Corp., 1.88%, 2/28/31, Callable 11/28/30 @ 100 | 1,000,000 | 801,789 | |||||||||
DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31 (a) | 250,000 | 194,883 | |||||||||
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100 | 750,000 | 633,420 | |||||||||
| HCA, Inc. 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 1,000,000 | 852,739 | |||||||||
3.63%, 3/15/32, Callable 12/15/31 @ 100 (a) | 250,000 | 211,005 | |||||||||
Illumina, Inc., 2.55%, 3/23/31, Callable 12/23/30 @ 100 | 750,000 | 609,615 | |||||||||
Prestige Brands, Inc., 3.75%, 4/1/31, Callable 4/1/26 @ 101.88 (a) | 309,000 | 256,130 | |||||||||
Royalty Pharma PLC, 2.15%, 9/2/31, Callable 6/2/31 @ 100 | 250,000 | 195,183 | |||||||||
Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19 (a) | 50,000 | 42,479 | |||||||||
Universal Health Services, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100 (a) | 500,000 | 387,105 | |||||||||
6,759,625 | |||||||||||
Industrials (3.7%): | |||||||||||
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100 | 250,000 | 198,108 | |||||||||
Air Lease Corp., 2.88%, 1/15/32, Callable 10/15/31 @ 100 | 1,000,000 | 780,250 | |||||||||
See notes to financial statements.
192
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29 (a) | $ | 1,000,000 | $ | 853,800 | |||||||
Ashtead Capital, Inc., 2.45%, 8/12/31, Callable 5/12/31 @ 100 (a) | 250,000 | 191,243 | |||||||||
CoStar Group, Inc., 2.80%, 7/15/30, Callable 4/15/30 @ 100 (a) | 250,000 | 210,143 | |||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (a) | 500,000 | 471,920 | |||||||||
GXO Logistics, Inc., 2.65%, 7/15/31 (a) | 1,000,000 | 777,500 | |||||||||
| Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27, Callable 6/30/23 @ 103.25 (a) (b) | 1,250,000 | 1,227,637 | |||||||||
Molex Electronic Technologies LLC, 3.90%, 4/15/25, Callable 1/15/25 @ 100 (a) | 500,000 | 490,955 | |||||||||
Pentair Finance Sarl, 5.90%, 7/15/32, Callable 4/15/32 @ 100 (c) | 250,000 | 250,155 | |||||||||
| Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25, Callable 9/20/23 @ 104 (a) | 500,000 | 514,235 | |||||||||
| The Boeing Co. 3.63%, 2/1/31, Callable 11/1/30 @ 100 (b) | 750,000 | 649,110 | |||||||||
5.81%, 5/1/50, Callable 11/1/49 @ 100 | 1,250,000 | 1,151,038 | |||||||||
United Rentals North America, Inc., 3.88%, 2/15/31, Callable 8/15/25 @ 101.94 | 250,000 | 211,165 | |||||||||
7,977,259 | |||||||||||
Information Technology (3.0%): | |||||||||||
Autodesk, Inc., 2.40%, 12/15/31, Callable 9/15/31 @ 100 | 350,000 | 285,096 | |||||||||
| Broadcom, Inc. 2.60%, 2/15/33, Callable 11/15/32 @ 100 (a) (b) | 500,000 | 385,580 | |||||||||
3.42%, 4/15/33, Callable 1/15/33 @ 100 (a) | 250,000 | 206,668 | |||||||||
| Global Payments, Inc. 2.90%, 11/15/31, Callable 8/15/31 @ 100 | 500,000 | 409,240 | |||||||||
4.15%, 8/15/49, Callable 2/15/49 @ 100 | 750,000 | 586,328 | |||||||||
Micron Technology, Inc., 2.70%, 4/15/32, Callable 1/15/32 @ 100 | 250,000 | 199,638 | |||||||||
Microsoft Corp., 2.53%, 6/1/50, Callable 12/1/49 @ 100 | 1,250,000 | 920,262 | |||||||||
Oracle Corp., 3.60%, 4/1/50, Callable 10/1/49 @ 100 | 1,250,000 | 872,400 | |||||||||
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a) | 500,000 | 395,345 | |||||||||
TSMC Arizona Corp., 2.50%, 10/25/31, Callable 7/25/31 @ 100 | 1,000,000 | 859,559 | |||||||||
Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | 250,000 | 210,030 | |||||||||
VMware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 (b) | 500,000 | 393,300 | |||||||||
Western Digital Corp., 3.10%, 2/1/32, Callable 11/1/31 @ 100 | 200,000 | 153,218 | |||||||||
Workday, Inc., 3.80%, 4/1/32, Callable 1/1/32 @ 100 | 250,000 | 228,600 | |||||||||
6,105,264 | |||||||||||
Materials (1.4%): | |||||||||||
Albemarle Corp., 5.05%, 6/1/32, Callable 3/1/32 @ 100 | 250,000 | 244,115 | |||||||||
Amcor Flexibles North America, Inc., 2.69%, 5/25/31, Callable 2/25/31 @ 100 | 1,000,000 | 816,140 | |||||||||
AptarGroup, Inc., 3.60%, 3/15/32, Callable 12/15/31 @ 100 | 507,000 | 450,140 | |||||||||
Avery Dennison Corp., 2.25%, 2/15/32, Callable 11/15/31 @ 100 | 500,000 | 393,150 | |||||||||
Eagle Materials, Inc., 2.50%, 7/1/31, Callable 4/1/31 @ 100 (b) | 750,000 | 591,743 | |||||||||
Reliance Steel & Aluminum Co., 2.15%, 8/15/30, Callable 5/15/30 @ 100 | 355,000 | 287,500 | |||||||||
Vulcan Materials Co., 4.50%, 6/15/47, Callable 12/15/46 @ 100 | 250,000 | 222,490 | |||||||||
3,005,278 | |||||||||||
Real Estate (3.4%): | |||||||||||
Alexandria Real Estate Equities, Inc., 1.88%, 2/1/33, Callable 11/1/32 @ 100 | 1,500,000 | 1,128,359 | |||||||||
| Boston Properties LP 2.55%, 4/1/32, Callable 1/1/32 @ 100 (b) | 250,000 | 198,273 | |||||||||
2.45%, 10/1/33, Callable 7/1/33 @ 100 | 500,000 | 382,830 | |||||||||
See notes to financial statements.
193
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | $ | 250,000 | $ | 201,563 | |||||||
Crown Castle International Corp., 2.90%, 4/1/41, Callable 10/1/40 @ 100 | 750,000 | 543,113 | |||||||||
Equinix, Inc., 3.90%, 4/15/32, Callable 1/15/32 @ 100 | 250,000 | 226,105 | |||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/32, Callable 10/15/31 @ 100 | 733,000 | 588,554 | |||||||||
Healthpeak Properties, Inc., 2.13%, 12/1/28, Callable 10/1/28 @ 100 | 500,000 | 431,925 | |||||||||
Host Hotels & Resorts LP, 3.50%, 9/15/30, Callable 6/15/30 @ 100 | 500,000 | 426,600 | |||||||||
| Invitation Homes Operating Partnership LP, 2.70%, 1/15/34, Callable 10/15/33 @ 100 | 500,000 | 384,450 | |||||||||
| RHP Hotel Properties LP/RHP Finance Corp., 4.50%, 2/15/29, Callable 2/15/24 @ 102.25 (a) | 500,000 | 423,790 | |||||||||
RLJ Lodging Trust LP, 3.75%, 7/1/26, Callable 7/1/23 @ 101.88 (a) | 250,000 | 219,718 | |||||||||
SBA Tower Trust, 2.59%, 10/15/31 (a) | 500,000 | 432,946 | |||||||||
Simon Property Group LP, 2.25%, 1/15/32, Callable 10/15/31 @ 100 (b) | 1,000,000 | 796,249 | |||||||||
| VICI Properties LP/VICI Note Co., Inc., 4.13%, 8/15/30, Callable 2/15/25 @ 102.06 (a) | 914,000 | 787,603 | |||||||||
7,172,078 | |||||||||||
Utilities (1.0%): | |||||||||||
Duke Energy Corp., 2.55%, 6/15/31, Callable 3/15/31 @ 100 | 250,000 | 207,848 | |||||||||
Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100 (a) | 500,000 | 410,940 | |||||||||
Entergy Corp., 2.40%, 6/15/31, Callable 3/5/31 @ 100 | 1,000,000 | 813,620 | �� | ||||||||
NRG Energy, Inc., 4.45%, 6/15/29, Callable 3/15/29 @ 100 (a) (b) | 750,000 | 671,025 | |||||||||
2,103,433 | |||||||||||
Total Corporate Bonds (Cost $78,720,560) | 67,980,578 | ||||||||||
Yankee Dollars (5.9%) | |||||||||||
Communication Services (0.7%): | |||||||||||
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a) | 1,250,000 | 1,109,725 | |||||||||
Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100 (a) | 500,000 | 457,910 | |||||||||
1,567,635 | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Royal Caribbean Cruises Ltd., 5.50%, 4/1/28, Callable 10/1/27 @ 100 (a) | 500,000 | 347,470 | |||||||||
Consumer Staples (0.2%): | |||||||||||
Becle SAB de CV, 2.50%, 10/14/31, Callable 7/14/31 @ 100 (a) | 500,000 | 411,585 | |||||||||
Financials (3.3%): | |||||||||||
Bank of Montreal, 3.09% (H15T5Y+140bps), 1/10/37, Callable 1/10/32 @ 100 (d) | 500,000 | 408,970 | |||||||||
| Barclays PLC 2.28% (H15T1Y+105bps), 11/24/27, Callable 11/24/26 @ 100 (d) | 500,000 | 443,605 | |||||||||
3.56% (H15T5Y+66bps), 9/23/35, Callable 9/23/30 @ 100 (d) | 250,000 | 198,500 | |||||||||
| BP Capital Markets PLC, 4.38% (H15T5Y+404bps), Callable 6/22/25 @ 100 (b) (d) (g) | 500,000 | 472,125 | |||||||||
Brookfield Finance I UK PLC, 2.34%, 1/30/32, Callable 10/30/31 @ 100 | 250,000 | 200,933 | |||||||||
Brookfield Finance, Inc., 2.72%, 4/15/31, Callable 1/15/31 @ 100 | 600,000 | 508,500 | |||||||||
| Credit Suisse Group AG, 3.09% (SOFR+173bps), 5/14/32, Callable 5/14/31 @ 100 (a) (d) | 500,000 | 399,870 | |||||||||
| Deutsche Bank AG 2.31% (SOFR+122bps), 11/16/27, Callable 11/16/26 @ 100 (d) | 500,000 | 431,345 | |||||||||
3.74% (SOFR+226bps), 1/7/33, Callable 10/7/31 @ 100 (d) | 1,000,000 | 739,330 | |||||||||
See notes to financial statements.
194
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
JAB Holdings BV, 3.75%, 5/28/51, Callable 11/28/50 @ 100 (a) | $ | 250,000 | $ | 173,043 | |||||||
| Lloyds Banking Group PLC, 3.75% (H15T1Y+180bps), 3/18/28, Callable 3/18/27 @ 100 (d) | 500,000 | 475,514 | |||||||||
| Macquarie Bank Ltd., 3.05% (H15T5Y+170bps), 3/3/36, Callable 3/3/31 @ 100 (a) (d) | 500,000 | 401,200 | |||||||||
Mizuho Financial Group, Inc., 2.56%, 9/13/31 | 500,000 | 400,000 | |||||||||
| NXP BV/NXP Funding LLC/NXP USA, Inc., 2.65%, 2/15/32, Callable 11/15/31 @ 100 (a) (b) | 500,000 | 410,930 | |||||||||
| Societe Generale SA 3.34% (H15T1Y+160bps), 1/21/33, Callable 1/21/32 @ 100 (a) (d) | 500,000 | 409,425 | |||||||||
4.03% (H15T1Y+190bps), 1/21/43, Callable 1/21/42 @ 100 (a) (d) | 500,000 | 353,995 | |||||||||
| Westpac Banking Corp., 3.02% (H15T5Y+153bps), 11/18/36, Callable 11/18/31 @ 100 (d) | 750,000 | 604,575 | |||||||||
7,031,860 | |||||||||||
Health Care (0.4%): | |||||||||||
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100 | 250,000 | 198,175 | |||||||||
STERIS Irish FinCo Unlimited Co., 2.70%, 3/15/31, Callable 12/15/30 @ 100 | 650,000 | 548,704 | |||||||||
746,879 | |||||||||||
Industrials (0.4%): | |||||||||||
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100 (b) | 500,000 | 460,565 | |||||||||
Ferguson Finance PLC, 4.65%, 4/20/32, Callable 1/20/32 @ 100 (a) | 500,000 | 470,320 | |||||||||
930,885 | |||||||||||
Real Estate (0.7%): | |||||||||||
| Ontario Teachers' Cadillac Fairview Properties Trust, 2.50%, 10/15/31, Callable 7/15/31 @ 100 (a) | 1,792,000 | 1,526,084 | |||||||||
Total Yankee Dollars (Cost $14,958,013) | 12,562,398 | ||||||||||
Municipal Bonds (0.7%) | |||||||||||
Alabama (0.1%): | |||||||||||
Homewood Educational Building Authority Revenue, 2.25%, 12/1/29 | 250,000 | 214,233 | |||||||||
Louisiana (0.1%): | |||||||||||
| Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, Series A, 4.48%, 8/1/39 | 145,000 | 148,176 | |||||||||
Montana (0.1%): | |||||||||||
Montana Facility Finance Authority Revenue, 2.44%, 8/15/31 | 250,000 | 210,033 | |||||||||
New York (0.1%): | |||||||||||
New York City Housing Development Corp. Revenue, 3.76%, 1/1/29 (c) | 250,000 | 242,152 | |||||||||
South Carolina (0.1%): | |||||||||||
County of Charleston SC Revenue, 1.92%, 12/1/29 | 250,000 | 220,339 | |||||||||
Texas (0.2%): | |||||||||||
Central Texas Regional Mobility Authority Revenue, 1.34%, 1/1/25 | 250,000 | 235,250 | |||||||||
| Dallas Fort Worth International Airport Revenue, 2.44%, 11/1/32, Continuously Callable @ 100 | 350,000 | 298,122 | |||||||||
533,372 | |||||||||||
Total Municipal Bonds (Cost $1,743,305) | 1,568,305 | ||||||||||
See notes to financial statements.
195
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
U.S. Government Agency Mortgages (2.1%) | |||||||||||
| Federal National Mortgage Association 4.00%, 5/1/52 | $ | 1,983,754 | $ | 1,957,472 | |||||||
4.50%, 6/1/52 | 1,495,136 | 1,503,403 | |||||||||
5.50%, 6/1/52 | 499,855 | 520,310 | |||||||||
6.00%, 7/1/52 | 500,000 | 523,824 | |||||||||
4,505,009 | |||||||||||
Total U.S. Government Agency Mortgages (Cost $4,553,041) | 4,505,009 | ||||||||||
U.S. Treasury Obligations (19.2%) | |||||||||||
| U.S. Treasury Bonds 1.38%, 11/15/40 | 2,500,000 | 1,800,000 | |||||||||
1.75%, 8/15/41 (b) | 14,000,000 | 10,646,562 | |||||||||
1.25%, 5/15/50 (b) | 1,000,000 | 636,094 | |||||||||
2.00%, 8/15/51 | 700,000 | 541,078 | |||||||||
| U.S. Treasury Notes 0.38%, 7/31/27 (b) | 1,200,000 | 1,048,688 | |||||||||
1.25%, 9/30/28 | 10,500,000 | 9,404,883 | |||||||||
2.38%, 3/31/29 | 8,500,000 | 8,138,750 | |||||||||
0.63%, 8/15/30 (b) | 750,000 | 621,797 | |||||||||
1.25%, 8/15/31 (b) | 3,750,000 | 3,227,930 | |||||||||
1.88%, 2/15/32 | 5,500,000 | 4,982,656 | |||||||||
Total U.S. Treasury Obligations (Cost $43,966,394) | 41,048,438 | ||||||||||
Total Investments (Cost $233,644,911) — 98.9% | 211,271,855 | ||||||||||
Other assets in excess of liabilities — 1.1% | 2,457,293 | ||||||||||
NET ASSETS — 100.00% | $ | 213,729,148 | |||||||||
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $98,945,120 and amounted to 46.3% of net assets.
(b) All or a portion of this security has been segregated as collateral for derivative instruments, delayed delivered and/or when-issued securities.
(c) Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.
(d) Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2022.
(e) The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2022.
(f) The rates for this senior secured loan will be known on settlement date of the loan, subsequent to this report date. Senior secured loans have rates that will fluctuate over time in line with prevailing interest rates.
(g) Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.
bps — Basis points
See notes to financial statements.
196
| Victory Portfolios II VictoryShares ESG Core Plus Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
H15T1Y — 1 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T10Y — 10 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
LIBOR — London Interbank Offered Rate
LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
SOFR — Secured Overnight Financing Rate
SOFR01M — 1 Month SOFR, rate disclosed as of June 30, 2022
SOFR03M — 3 Month SOFR, rate disclosed as of June 30, 2022
SOFR06M — 6 Month SOFR, rate disclosed as of June 30, 2022
TSFR1M — 1 month Term SOFR, rate disclosed as of June 30, 2022.
TSFR3M — 3 month Term SOFR, rate disclosed as of June 30, 2022.
Futures Contracts Purchased | |||||||||||||||||||||||
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
10-Year U.S. Treasury Note Futures | 10 | 9/21/22 | $ | 1,193,291 | $ | 1,185,313 | $ | (7,978 | ) | ||||||||||||||
30-Year U.S. Treasury Bond Futures | 30 | 9/21/22 | 4,071,452 | 4,158,750 | 87,298 | ||||||||||||||||||
$ | 79,320 | ||||||||||||||||||||||
Total unrealized appreciation | $ | 87,298 | |||||||||||||||||||||
Total unrealized depreciation | (7,978 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | 79,320 | |||||||||||||||||||||
See notes to financial statements.
197
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Corporate Bonds (81.8%) | |||||||||||
Communication Services (8.5%): | |||||||||||
AT&T, Inc., 3.10%, 2/1/43, Callable 8/1/42 @ 100 | $ | 2,000,000 | $ | 1,488,160 | |||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 | 750,000 | 671,888 | |||||||||
Comcast Corp., 2.89%, 11/1/51, Callable 5/1/51 @ 100 (a) | 1,000,000 | 715,140 | |||||||||
Discovery Communications LLC, 3.95%, 3/20/28, Callable 12/20/27 @ 100 | 500,000 | 467,595 | |||||||||
Netflix, Inc., 4.88%, 6/15/30, Callable 3/15/30 @ 100 (a) | 78,000 | 71,584 | |||||||||
Rogers Communications, Inc., 4.50%, 3/15/42, Callable 9/15/41 @ 100 (a) | 500,000 | 445,025 | |||||||||
The Walt Disney Co., 2.20%, 1/13/28 | 1,000,000 | 906,350 | |||||||||
| T-Mobile USA, Inc. 2.55%, 2/15/31, Callable 11/15/30 @ 100 | 1,500,000 | 1,261,875 | |||||||||
2.25%, 11/15/31, Callable 8/15/31 @ 100 | 500,000 | 406,095 | |||||||||
| Verizon Communications, Inc. 1.75%, 1/20/31, Callable 10/20/30 @ 100 | 1,000,000 | 803,130 | |||||||||
2.88%, 11/20/50, Callable 5/20/50 @ 100 | 1,000,000 | 709,710 | |||||||||
ViacomCBS, Inc., 3.38%, 2/15/28, Callable 11/15/27 @ 100 | 1,000,000 | 918,930 | |||||||||
8,865,482 | |||||||||||
Consumer Discretionary (6.4%): | |||||||||||
Advance Auto Parts, Inc., 3.50%, 3/15/32, Callable 12/15/31 @ 100 | 250,000 | 214,510 | |||||||||
Amazon.com, Inc., 2.88%, 5/12/41, Callable 11/12/40 @ 100 | 500,000 | 400,935 | |||||||||
AutoNation, Inc., 3.85%, 3/1/32, Callable 12/1/31 @ 100 | 500,000 | 431,385 | |||||||||
Daimler Trucks Finance North America LLC, 2.38%, 12/14/28 (a) | 350,000 | 301,431 | |||||||||
General Motors Financial Co., Inc., 4.30%, 4/6/29, Callable 2/6/29 @ 100 | 500,000 | 460,685 | |||||||||
Genuine Parts Co., 2.75%, 2/1/32, Callable 11/1/31 @ 100 | 167,000 | 138,289 | |||||||||
| GSK Consumer Healthcare Capital US LLC, 3.38%, 3/24/29, Callable 1/24/29 @ 100 (a) | 500,000 | 467,395 | |||||||||
Hasbro, Inc., 3.55%, 11/19/26, Callable 9/19/26 @ 100 | 500,000 | 477,775 | |||||||||
Kohl's Corp., 3.38%, 5/1/31, Callable 2/1/31 @ 100 | 250,000 | 216,388 | |||||||||
Lowe's Cos., Inc., 2.80%, 9/15/41, Callable 3/15/41 @ 100 | 1,000,000 | 724,390 | |||||||||
Magallanes, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100 (a) | 389,000 | 330,821 | |||||||||
Marriott International, Inc., 3.50%, 10/15/32, Callable 7/15/32 @ 100 (b) | 500,000 | 431,035 | |||||||||
Sodexo, Inc., 2.72%, 4/16/31, Callable 1/16/31 @ 100 (a) | 500,000 | 420,060 | |||||||||
The Home Depot, Inc., 2.38%, 3/15/51, Callable 9/15/50 @ 100 | 600,000 | 405,336 | |||||||||
Tractor Supply Co., 1.75%, 11/1/30, Callable 8/1/30 @ 100 | 500,000 | 392,610 | |||||||||
VF Corp., 2.95%, 4/23/30, Callable 1/23/30 @ 100 | 500,000 | 437,505 | |||||||||
| Volkswagen Group of America Finance LLC, 4.60%, 6/8/29, Callable 4/8/29 @ 100 (a) | 500,000 | 486,855 | |||||||||
6,737,405 | |||||||||||
Consumer Staples (3.5%): | |||||||||||
| Anheuser-Busch InBev Worldwide, Inc. 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 750,000 | 702,809 | |||||||||
3.75%, 7/15/42 (b) | 750,000 | 610,958 | |||||||||
Bunge Ltd. Finance Corp., 2.75%, 5/14/31, Callable 2/14/31 @ 100 | 500,000 | 412,415 | |||||||||
Church & Dwight Co., Inc., 2.30%, 12/15/31, Callable 9/15/31 @ 100 | 250,000 | 210,925 | |||||||||
General Mills, Inc., 2.25%, 10/14/31, Callable 7/14/31 @ 100 | 750,000 | 615,420 | |||||||||
See notes to financial statements.
198
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Keurig Dr Pepper, Inc. 3.95%, 4/15/29, Callable 2/15/29 @ 100 | $ | 250,000 | $ | 238,688 | |||||||
4.50%, 4/15/52, Callable 10/15/51 @ 100 | 75,000 | 66,052 | |||||||||
McCormick & Co., Inc., 1.85%, 2/15/31, Callable 11/15/30 @ 100 | 500,000 | 397,305 | |||||||||
Sysco Corp., 2.45%, 12/14/31, Callable 9/14/31 @ 100 | 500,000 | 415,625 | |||||||||
3,670,197 | |||||||||||
Energy (0.9%): | |||||||||||
Boardwalk Pipelines LP, 4.95%, 12/15/24, Callable 9/15/24 @ 100 | 500,000 | 503,830 | |||||||||
| Plains All American Pipeline LP/PAA Finance Corp., 3.80%, 9/15/30, Callable 6/15/30 @ 100 (b) | 500,000 | 442,405 | |||||||||
946,235 | |||||||||||
Financials (23.0%): | |||||||||||
| American Express Co., 4.99% (SOFR+226bps), 5/26/33, Callable 2/26/32 @ 100 (c) | 500,000 | 499,785 | |||||||||
AmFam Holdings, Inc., 2.81%, 3/11/31, Callable 12/11/30 @ 100 (a) | 500,000 | 417,455 | |||||||||
Assurant, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100 | 250,000 | 195,130 | |||||||||
| Bank of America Corp. 3.42% (LIBOR03M+104bps), 12/20/28, Callable 12/20/27 @ 100 (c) | 2,000,000 | 1,862,900 | |||||||||
2.69% (SOFR+110bps), 4/22/32, Callable 4/22/31 @ 100 (b) (c) | 2,000,000 | 1,680,540 | |||||||||
2.57% (SOFR+121bps), 10/20/32, Callable 10/20/31 @ 100 (b) (c) | 250,000 | 206,285 | |||||||||
Blue Owl Finance LLC, 3.13%, 6/10/31, Callable 3/10/31 @ 100 (a) (b) | 250,000 | 192,243 | |||||||||
BMW US Capital LLC, 3.70%, 4/1/32, Callable 1/1/32 @ 100 (a) | 500,000 | 470,205 | |||||||||
Corebridge Financial, Inc., 3.85%, 4/5/29, Callable 2/5/29 @ 100 (a) | 250,000 | 230,683 | |||||||||
Cullen/Frost Bankers, Inc., 4.50%, 3/17/27, Callable 2/17/27 @ 100 (b) | 500,000 | 495,820 | |||||||||
F&G Global Funding, 2.00%, 9/20/28 (a) | 250,000 | 211,375 | |||||||||
Fells Point Funding Trust, 3.05%, 1/31/27, Callable 12/31/26 @ 100 (a) | 750,000 | 691,508 | |||||||||
First American Financial Corp., 2.40%, 8/15/31, Callable 5/15/31 @ 100 | 500,000 | 382,810 | |||||||||
GA Global Funding Trust, 1.63%, 1/15/26 (a) | 500,000 | 450,265 | |||||||||
GlaxoSmithKline Capital, Inc., 4.20%, 3/18/43 | 500,000 | 471,125 | |||||||||
Global Atlantic Fin Co., 3.13%, 6/15/31, Callable 3/15/31 @ 100 (a) | 250,000 | 199,298 | |||||||||
| Huntington Bancshares, Inc., 2.49% (H15T5Y+117bps), 8/15/36, Callable 8/15/31 @ 100 (c) | 500,000 | 387,725 | |||||||||
| JPMorgan Chase & Co. 2.96% (SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100 (b) (c) | 250,000 | 216,345 | |||||||||
1.95% (SOFR+107bps), 2/4/32, Callable 2/4/31 @ 100 (c) | 3,000,000 | 2,396,279 | |||||||||
3.33% (SOFR+158bps), 4/22/52, Callable 4/22/51 @ 100 (c) | 1,000,000 | 764,570 | |||||||||
| JPMorgan Chase Co., 2.95% (SOFR+117bps), 2/24/28, Callable 2/24/27 @ 100 (c) | 500,000 | 463,265 | |||||||||
KeyBank NA, 3.90%, 4/13/29 | 500,000 | 471,320 | |||||||||
Level 3 Financing, Inc., 3.88%, 11/15/29, Callable 8/15/29 @ 100 (a) | 500,000 | 416,980 | |||||||||
MetLife, Inc., 4.13%, 8/13/42 | 500,000 | 449,294 | |||||||||
Metropolitan Life Global Funding I, 3.30%, 3/21/29 (a) | 500,000 | 467,939 | |||||||||
| Morgan Stanley 1.59% (SOFR+88bps), 5/4/27, Callable 5/4/26 @ 100 (b) (c) | 2,500,000 | 2,229,974 | |||||||||
1.93% (SOFR+102bps), 4/28/32, Callable 4/28/31 @ 100, MTN (c) | 500,000 | 396,655 | |||||||||
2.48% (SOFR+136bps), 9/16/36, Callable 9/16/31 @ 100 (b) (c) | 250,000 | 192,233 | |||||||||
2.80% (SOFR+143bps), 1/25/52, Callable 1/25/51 @ 100 (c) | 1,000,000 | 692,049 | |||||||||
New York Life Global Funding, 1.85%, 8/1/31 (a) | 500,000 | 406,120 | |||||||||
OWL Rock Core Income Corp., 4.70%, 2/8/27, Callable 1/8/27 @ 100 (a) | 375,000 | 343,110 | |||||||||
See notes to financial statements.
199
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Prudential Financial, Inc., 3.94%, 12/7/49, Callable 6/7/49 @ 100 | $ | 500,000 | $ | 430,785 | |||||||
Regions Bank, 6.45%, 6/26/37 | 1,000,000 | 1,118,520 | |||||||||
Stewart Information Services Corp., 3.60%, 11/15/31, Callable 8/15/31 @ 100 | 250,000 | 207,313 | |||||||||
| The Allstate Corp., 5.75% (LIBOR03M+294bps), 8/15/53, Callable 8/15/23 @ 100 (c) | 500,000 | 443,989 | |||||||||
| The PNC Financial Services Group, Inc., 2.55%, 1/22/30, Callable 10/24/29 @ 100 | 500,000 | 434,890 | |||||||||
| Truist Financial Corp. 5.10% (H15T10Y+435bps), Callable 3/1/30 @ 100 (b) (c) (d) | 500,000 | 455,540 | |||||||||
1.89% (SOFR+63bps), 6/7/29, Callable 6/7/28 @ 100, MTN (c) | 1,000,000 | 858,980 | |||||||||
U.S. Bancorp, 3.10%, 4/27/26, Callable 3/27/26 @ 100, MTN | 500,000 | 482,300 | |||||||||
W R Berkley Corp., 3.55%, 3/30/52, Callable 9/30/51 @ 100 | 250,000 | 192,513 | |||||||||
Webster Financial Corp., 4.10%, 3/25/29, Callable 12/25/28 @ 100 | 500,000 | 473,675 | |||||||||
24,049,790 | |||||||||||
Health Care (7.3%): | |||||||||||
AbbVie, Inc., 4.25%, 11/21/49, Callable 5/21/49 @ 100 (b) | 500,000 | 443,185 | |||||||||
| Amgen, Inc. 1.65%, 8/15/28, Callable 6/15/28 @ 100 | 500,000 | 429,095 | |||||||||
4.20%, 2/22/52, Callable 8/22/51 @ 100 | 250,000 | 219,340 | |||||||||
Baxter International, Inc., 2.54%, 2/1/32, Callable 11/1/31 @ 100 (a) (b) | 250,000 | 210,868 | |||||||||
Bio Rad Laboratories, Inc., 3.30%, 3/15/27, Callable 2/15/27 @ 100 | 250,000 | 236,253 | |||||||||
Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 | 250,000 | 204,990 | |||||||||
Bristol-Myers Squibb Co., 2.55%, 11/13/50, Callable 5/13/50 @ 100 | 500,000 | 353,535 | |||||||||
Cigna Corp., 3.40%, 3/1/27, Callable 12/1/26 @ 100 | 500,000 | 480,785 | |||||||||
CVS Health Corp., 3.25%, 8/15/29, Callable 5/15/29 @ 100 (b) | 2,000,000 | 1,826,600 | |||||||||
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100 | 1,000,000 | 844,560 | |||||||||
| Fresenius Medical Care U.S. Finance III, Inc., 2.38%, 2/16/31, Callable 11/16/30 @ 100 (a) | 500,000 | 390,650 | |||||||||
| HCA, Inc. 4.50%, 2/15/27, Callable 8/15/26 @ 100 | 250,000 | 240,563 | |||||||||
4.38%, 3/15/42, Callable 9/15/41 @ 100 (a) | 94,000 | 74,597 | |||||||||
Illumina, Inc., 2.55%, 3/23/31, Callable 12/23/30 @ 100 | 500,000 | 406,410 | |||||||||
Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100 | 500,000 | 471,420 | |||||||||
PerkinElmer, Inc., 2.55%, 3/15/31, Callable 12/15/30 @ 100 | 500,000 | 407,205 | |||||||||
Roche Holdings, Inc., 1.93%, 12/13/28, Callable 10/13/28 @ 100 (a) | 500,000 | 443,250 | |||||||||
7,683,306 | |||||||||||
Industrials (7.4%): | |||||||||||
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100 | 750,000 | 594,323 | |||||||||
Air Lease Corp., 2.88%, 1/15/32, Callable 10/15/31 @ 100 | 250,000 | 195,063 | |||||||||
| Burlington Northern Santa Fe LLC 3.65%, 9/1/25, Callable 6/1/25 @ 100 | 500,000 | 502,280 | |||||||||
3.90%, 8/1/46, Callable 2/1/46 @ 100 | 500,000 | 443,800 | |||||||||
Carlisle Cos., Inc., 2.75%, 3/1/30, Callable 12/1/29 @ 100 | 500,000 | 420,005 | |||||||||
Carrier Global Corp., 3.38%, 4/5/40, Callable 10/5/39 @ 100 | 750,000 | 589,043 | |||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (a) | 250,000 | 235,960 | |||||||||
| Fortune Brands Home & Security, Inc., 4.00%, 3/25/32, Callable 12/25/31 @ 100 | 250,000 | 221,355 | |||||||||
GXO Logistics, Inc., 2.65%, 7/15/31 (a) | 750,000 | 583,125 | |||||||||
Hubbell, Inc., 2.30%, 3/15/31, Callable 12/15/30 @ 100 | 500,000 | 419,390 | |||||||||
See notes to financial statements.
200
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
IDEX Corp., 3.00%, 5/1/30, Callable 2/1/30 @ 100 | $ | 500,000 | $ | 434,905 | |||||||
Otis Worldwide Corp., 3.11%, 2/15/40, Callable 8/15/39 @ 100 | 500,000 | 387,695 | |||||||||
Pentair Finance Sarl, 5.90%, 7/15/32, Callable 4/15/32 @ 100 (e) | 500,000 | 500,310 | |||||||||
| Quanta Services, Inc. 2.90%, 10/1/30, Callable 7/1/30 @ 100 | 500,000 | 411,700 | |||||||||
2.35%, 1/15/32, Callable 10/15/31 @ 100 | 250,000 | 192,655 | |||||||||
Ryder System, Inc., 2.85%, 3/1/27, Callable 2/1/27 @ 100, MTN | 500,000 | 463,870 | |||||||||
The Boeing Co., 3.63%, 2/1/31, Callable 11/1/30 @ 100 (b) | 750,000 | 649,110 | |||||||||
The Timken Co., 4.13%, 4/1/32, Callable 1/1/32 @ 100 | 400,000 | 362,412 | |||||||||
7,607,001 | |||||||||||
Information Technology (7.5%): | |||||||||||
Autodesk, Inc., 2.40%, 12/15/31, Callable 9/15/31 @ 100 | 750,000 | 610,920 | |||||||||
Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100 (a) (b) | 1,000,000 | 771,160 | |||||||||
Dell, Inc., 5.40%, 9/10/40 (b) | 500,000 | 438,630 | |||||||||
HP, Inc., 4.00%, 4/15/29, Callable 2/15/29 @ 100 | 500,000 | 467,970 | |||||||||
Jabil, Inc., 3.00%, 1/15/31, Callable 10/15/30 @ 100 | 500,000 | 417,770 | |||||||||
Micron Technology, Inc., 2.70%, 4/15/32, Callable 1/15/32 @ 100 | 500,000 | 399,275 | |||||||||
| Microsoft Corp. 3.45%, 8/8/36, Callable 2/8/36 @ 100 | 500,000 | 472,150 | |||||||||
2.53%, 6/1/50, Callable 12/1/49 @ 100 | 250,000 | 184,053 | |||||||||
| Oracle Corp. 1.65%, 3/25/26, Callable 2/25/26 @ 100 | 1,000,000 | 895,690 | |||||||||
2.95%, 4/1/30, Callable 1/1/30 @ 100 | 500,000 | 426,800 | |||||||||
3.60%, 4/1/50, Callable 10/1/49 @ 100 | 250,000 | 174,480 | |||||||||
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a) | 1,000,000 | 790,690 | |||||||||
TSMC Arizona Corp., 2.50%, 10/25/31, Callable 7/25/31 @ 100 | 1,000,000 | 859,560 | |||||||||
VMware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 (b) | 500,000 | 393,300 | |||||||||
Western Digital Corp., 3.10%, 2/1/32, Callable 11/1/31 @ 100 | 100,000 | 76,609 | |||||||||
Workday, Inc., 3.70%, 4/1/29, Callable 2/1/29 @ 100 | 500,000 | 468,640 | |||||||||
7,847,697 | |||||||||||
Materials (5.3%): | |||||||||||
Albemarle Corp., 4.65%, 6/1/27, Callable 5/1/27 @ 100 | 500,000 | 492,215 | |||||||||
AptarGroup, Inc., 3.60%, 3/15/32, Callable 12/15/31 @ 100 | 338,000 | 300,093 | |||||||||
Avery Dennison Corp., 2.25%, 2/15/32, Callable 11/15/31 @ 100 | 500,000 | 393,150 | |||||||||
Bayport Polymers LLC, 4.74%, 4/14/27, Callable 3/14/27 @ 100 (a) | 500,000 | 486,895 | |||||||||
Eagle Materials, Inc., 2.50%, 7/1/31, Callable 4/1/31 @ 100 (b) | 250,000 | 197,248 | |||||||||
| Ecolab, Inc. 1.65%, 2/1/27, Callable 1/1/27 @ 100 | 234,000 | 214,009 | |||||||||
2.70%, 12/15/51, Callable 6/15/51 @ 100 | 250,000 | 178,610 | |||||||||
LYB International Finance III LLC, 2.25%, 10/1/30, Callable 7/1/30 @ 100 | 500,000 | 412,285 | |||||||||
Nucor Corp., 4.30%, 5/23/27, Callable 4/23/27 @ 100 | 500,000 | 498,060 | |||||||||
Packaging Corp. of America, 3.05%, 10/1/51, Callable 4/1/51 @ 100 | 750,000 | 530,663 | |||||||||
Reliance Steel & Aluminum Co., 2.15%, 8/15/30, Callable 5/15/30 @ 100 | 500,000 | 404,930 | |||||||||
The Dow Chemical Co., 4.25%, 10/1/34, Callable 4/1/34 @ 100 | 500,000 | 473,945 | |||||||||
WRKCo, Inc., 3.00%, 6/15/33, Callable 3/15/33 @ 100 (b) | 1,000,000 | 842,530 | |||||||||
5,424,633 | |||||||||||
See notes to financial statements.
201
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Security Description | Principal Amount | Value | |||||||||
Real Estate (5.1%): | |||||||||||
Alexandria Real Estate Equities, Inc., 2.00%, 5/18/32, Callable 2/18/32 @ 100 | $ | 1,000,000 | $ | 789,829 | |||||||
American Tower Corp., 1.50%, 1/31/28, Callable 11/30/27 @ 100 | 500,000 | 415,660 | |||||||||
Boston Properties LP, 2.55%, 4/1/32, Callable 1/1/32 @ 100 (b) | 500,000 | 396,545 | |||||||||
CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | 250,000 | 201,563 | |||||||||
| Crown Castle International Corp. 2.90%, 3/15/27, Callable 2/15/27 @ 100 | 250,000 | 231,325 | |||||||||
2.25%, 1/15/31, Callable 10/15/30 @ 100 | 250,000 | 202,888 | |||||||||
2.90%, 4/1/41, Callable 10/1/40 @ 100 | 250,000 | 181,038 | |||||||||
ERP Operating LP, 2.85%, 11/1/26, Callable 8/1/26 @ 100 | 500,000 | 473,854 | |||||||||
Essex Portfolio LP, 2.65%, 3/15/32, Callable 12/15/31 @ 100 | 1,000,000 | 827,419 | |||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/32, Callable 10/15/31 @ 100 | 117,000 | 93,944 | |||||||||
Host Hotels & Resorts LP, 3.50%, 9/15/30, Callable 6/15/30 @ 100 | 500,000 | 426,600 | |||||||||
Kilroy Realty LP, 2.65%, 11/15/33, Callable 8/15/33 @ 100 | 500,000 | 387,780 | |||||||||
| Physicians Realty LP 4.30%, 3/15/27, Callable 12/15/26 @ 100 | 250,000 | 244,990 | |||||||||
2.63%, 11/1/31, Callable 8/1/31 @ 100 | 250,000 | 201,660 | |||||||||
Simon Property Group LP, 2.25%, 1/15/32, Callable 10/15/31 @ 100 (b) | 250,000 | 199,063 | |||||||||
5,274,158 | |||||||||||
Utilities (6.9%): | |||||||||||
Alabama Power Co., 3.13%, 7/15/51, Callable 1/15/51 @ 100 | 500,000 | 374,870 | |||||||||
Ameren Corp., 3.50%, 1/15/31, Callable 10/15/30 @ 100 | 250,000 | 229,095 | |||||||||
DTE Electric Co., 3.65%, 3/1/52, Callable 9/1/51 @ 100 | 500,000 | 432,530 | |||||||||
Duke Energy Carolinas LLC, 2.85%, 3/15/32, Callable 12/15/31 @ 100 | 250,000 | 221,808 | |||||||||
Duke Energy Florida LLC, 2.40%, 12/15/31, Callable 9/15/31 @ 100 | 1,000,000 | 855,019 | |||||||||
Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100 (a) | 250,000 | 205,470 | |||||||||
Entergy Corp., 2.40%, 6/15/31, Callable 3/5/31 @ 100 | 500,000 | 406,810 | |||||||||
| Florida Power & Light Co. 3.15%, 10/1/49, Callable 4/1/49 @ 100 | 250,000 | 199,080 | |||||||||
2.88%, 12/4/51, Callable 6/4/51 @ 100 | 500,000 | 375,000 | |||||||||
ITC Holdings Corp., 3.35%, 11/15/27, Callable 8/15/27 @ 100 | 500,000 | 477,405 | |||||||||
MidAmerican Energy Co., 2.70%, 8/1/52, Callable 2/1/52 @ 100 | 500,000 | 361,470 | |||||||||
| NextEra Energy Capital Holdings, Inc. 1.51% (SOFR+40bps), 11/3/23, Callable 8/8/22 @ 100 (c) | 250,000 | 246,870 | |||||||||
2.44%, 1/15/32, Callable 10/15/31 @ 100 | 500,000 | 416,410 | |||||||||
Oglethorpe Power Corp., 4.50%, 4/1/47, Callable 10/1/46 @ 100 (a) | 312,000 | 267,677 | |||||||||
Oncor Electric Delivery Co. LLC, 3.75%, 4/1/45, Callable 10/1/44 @ 100 | 500,000 | 431,085 | |||||||||
PECO Energy Co., 3.00%, 9/15/49, Callable 3/15/49 @ 100 | 500,000 | 379,170 | |||||||||
Southwestern Electric Power Co., 3.25%, 11/1/51, Callable 5/1/51 @ 100 | 250,000 | 184,460 | |||||||||
The Southern Co., 5.11%, 8/1/27 | 100,000 | 100,981 | |||||||||
Union Electric Co., 2.15%, 3/15/32, Callable 12/15/31 @ 100 | 500,000 | 416,900 | |||||||||
Wisconsin Public Service Corp., 2.85%, 12/1/51, Callable 6/1/51 @ 100 | 250,000 | 181,510 | |||||||||
Xcel Energy, Inc., 2.35%, 11/15/31, Callable 5/15/31 @ 100 | 500,000 | 414,095 | |||||||||
7,177,715 | |||||||||||
Total Corporate Bonds (Cost $101,475,717) | 85,283,619 | ||||||||||
See notes to financial statements.
202
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Security Description | Principal Amount | Value | |||||||||
Yankee Dollars (16.6%) | |||||||||||
Communication Services (0.4%): | |||||||||||
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a) | $ | 500,000 | $ | 443,890 | |||||||
Consumer Staples (1.1%): | |||||||||||
Alimentation Couche-Tard, Inc., 2.95%, 1/25/30, Callable 10/25/29 @ 100 (a) | 500,000 | 430,595 | |||||||||
Bacardi Ltd., 4.70%, 5/15/28, Callable 2/15/28 @ 100 (a) (b) | 500,000 | 494,350 | |||||||||
Becle SAB de CV, 2.50%, 10/14/31, Callable 7/14/31 @ 100 (a) | 250,000 | 205,793 | |||||||||
1,130,738 | |||||||||||
Financials (11.8%): | |||||||||||
| Banco Santander SA, 4.18% (H15T1Y+200bps), 3/24/28, Callable 3/24/27 @ 100 (c) | 500,000 | 477,830 | |||||||||
Bank of New Zealand, 2.87%, 1/27/32 (a) | 250,000 | 220,710 | |||||||||
Barclays PLC, 4.95%, 1/10/47 | 1,000,000 | 947,829 | |||||||||
BNP Paribas SA, 4.38%, 5/12/26 (a) | 500,000 | 490,015 | |||||||||
| BP Capital Markets PLC 4.38% (H15T5Y+404bps), Callable 6/22/25 @ 100 (b) (c) (d) | 500,000 | 472,125 | |||||||||
4.88% (H15T5Y+440bps), Callable 3/22/30 @ 100 (c) (d) | 250,000 | 218,750 | |||||||||
BPCE SA, 3.25%, 1/11/28 (a) | 500,000 | 464,330 | |||||||||
Brookfield Finance, Inc., 2.72%, 4/15/31, Callable 1/15/31 @ 100 | 500,000 | 423,750 | |||||||||
Canadian Imperial Bank of Commerce, 7.26%, 4/10/32 (a) | 239,583 | 283,340 | |||||||||
Commonwealth Bank of Australia, 2.69%, 3/11/31 (a) | 500,000 | 407,600 | |||||||||
Credit Agricole SA, 3.25%, 10/4/24 (a) | 500,000 | 487,390 | |||||||||
| Credit Suisse Group AG, 3.09% (SOFR+173bps), 5/14/32, Callable 5/14/31 @ 100 (a) (c) | 500,000 | 399,870 | |||||||||
| Deutsche Bank AG, 4.87% (USISDA05+255bps), 12/1/32, Callable 12/1/27 @ 100 (c) | 500,000 | 430,340 | |||||||||
| HSBC Holdings PLC, 2.21% (SOFR+129bps), 8/17/29, Callable 8/17/28 @ 100 (c) | 1,000,000 | 839,890 | |||||||||
JAB Holdings BV, 3.75%, 5/28/51, Callable 11/28/50 @ 100 (a) | 250,000 | 173,043 | |||||||||
| Lloyds Banking Group PLC, 1.63% (H15T1Y+85bps), 5/11/27, Callable 5/11/26 @ 100 (c) | 1,000,000 | 889,400 | |||||||||
| Macquarie Bank Ltd., 3.05% (H15T5Y+170bps), 3/3/36, Callable 3/3/31 @ 100 (a) (c) | 500,000 | 401,200 | |||||||||
| NatWest Group PLC, 1.64% (H15T1Y+90bps), 6/14/27, Callable 6/14/26 @ 100 (c) | 1,000,000 | 878,220 | |||||||||
| Shell International Finance BV 2.75%, 4/6/30, Callable 1/6/30 @ 100 | 500,000 | 451,480 | |||||||||
2.88%, 11/26/41, Callable 5/26/41 @ 100 | 500,000 | 386,925 | |||||||||
Siemens Financieringsmaatschappij NV, 3.40%, 3/16/27 (a) | 500,000 | 483,600 | |||||||||
| Societe Generale SA, 1.49% (H15T1Y+1bps), 12/14/26, Callable 12/14/25 @ 100 (a) (c) | 500,000 | 441,020 | |||||||||
Sumitomo Mitsui Financial Group, Inc., 2.47%, 1/14/29 | 250,000 | 217,903 | |||||||||
The Bank of Nova Scotia, 4.50%, 12/16/25 | 500,000 | 500,615 | |||||||||
| The Toronto-Dominion Bank, 3.62% (USSW5+221bps), 9/15/31, Callable 9/15/26 @ 100 (c) | 500,000 | 481,175 | |||||||||
| Westpac Banking Corp., 4.32% (USISDA05+224bps), 11/23/31, Callable 11/23/26 @ 100 (c) | 500,000 | 481,560 | |||||||||
12,349,910 | |||||||||||
See notes to financial statements.
203
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Health Care (0.5%): | |||||||||||
Olympus Corp., 2.14%, 12/8/26, Callable 11/8/26 @ 100 (a) | $ | 152,000 | $ | 138,902 | |||||||
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100 | 500,000 | 396,350 | |||||||||
535,252 | |||||||||||
Industrials (1.5%): | |||||||||||
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100 (b) | 500,000 | 460,565 | |||||||||
CNH Industrial NV, 3.85%, 11/15/27, Callable 8/15/27 @ 100, MTN | 500,000 | 471,245 | |||||||||
| Ferguson Finance PLC 3.25%, 6/2/30, Callable 3/2/30 @ 100 (a) | 500,000 | 432,575 | |||||||||
4.65%, 4/20/32, Callable 1/20/32 @ 100 (a) | 250,000 | 235,160 | |||||||||
1,599,545 | |||||||||||
Materials (0.7%): | |||||||||||
| CCL Industries, Inc. 3.25%, 10/1/26, Callable 7/1/26 @ 100 (a) | 500,000 | 474,970 | |||||||||
3.05%, 6/1/30, Callable 3/1/30 @ 100 (a) | 235,000 | 203,726 | |||||||||
678,696 | |||||||||||
Real Estate (0.4%): | |||||||||||
| Ontario Teachers' Cadillac Fairview Properties Trust, 2.50%, 10/15/31, Callable 7/15/31 @ 100 (a) | 504,000 | 429,211 | |||||||||
Technology (0.2%): | |||||||||||
NXP BV/NXP Funding LLC/NXP USA,Inc., 4.40%, 6/1/27, Callable 5/1/27 @ 100 | 167,000 | 165,121 | |||||||||
Total Yankee Dollars (Cost $20,294,791) | 17,332,363 | ||||||||||
Commercial Papers (1.2%) (f) | |||||||||||
Hannover Funding Co. LLC, 1.63%, 7/1/22 (a) | 1,000,000 | 999,955 | |||||||||
Jabil, Inc., 2.25%, 7/5/22 (a) | 300,000 | 299,906 | |||||||||
Total Commercial Papers (Cost $1,299,920) | 1,299,861 | ||||||||||
Total Investments (Cost $123,070,428) — 99.6% | 103,915,843 | ||||||||||
Other assets in excess of liabilities — 0.4% | 407,025 | ||||||||||
NET ASSETS — 100.00% | $ | 104,322,868 | |||||||||
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $21,236,985 and amounted to 20.4% of net assets.
(b) All or a portion of the security has been segregated as collateral for securities purchased on a delayed-delivery and/or when-issued basis.
(c) Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2022.
(d) Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.
(e) Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.
(f) Rate represents the effective yield at June 30, 2022.
See notes to financial statements.
204
| Victory Portfolios II VictoryShares ESG Corporate Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
bps — Basis points
H15T1Y — 1 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T10Y — 10 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
LIBOR — London Interbank Offered Rate
LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
SOFR — Secured Overnight Financing Rate
USISDA05 — 5 Year ICE Swap Rate, rate disclosed as of June 30, 2022
USSW5 — USD 5 Year Swap Rate, rate disclosed as of June 30, 2022.
See notes to financial statements.
205
| Victory Portfolios II VictoryShares THB Mid Cap ESG ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (100.1%) | |||||||||||
Aerospace & Defense (3.8%): | |||||||||||
HEICO Corp. | 597 | $ | 78,279 | ||||||||
Air Freight & Logistics (2.2%): | |||||||||||
GXO Logistics, Inc. (a) | 1,033 | 44,698 | |||||||||
Commercial Services & Supplies (10.9%): | |||||||||||
Cintas Corp. | 192 | 71,718 | |||||||||
Copart, Inc. (a) | 844 | 91,709 | |||||||||
Rollins, Inc. | 1,744 | 60,900 | |||||||||
224,327 | |||||||||||
Consumer Discretionary (6.1%): | |||||||||||
LKQ Corp. | 1,176 | 57,730 | |||||||||
NVR, Inc. (a) | 17 | 68,070 | |||||||||
125,800 | |||||||||||
Consumer Staples (3.1%): | |||||||||||
Darling Ingredients, Inc. (a) | 1,059 | 63,328 | |||||||||
Electrical Equipment (2.8%): | |||||||||||
Generac Holdings, Inc. (a) | 276 | 58,120 | |||||||||
Health Care (17.7%): | |||||||||||
Chemed Corp. | 158 | 74,164 | |||||||||
DENTSPLY SIRONA, Inc. | 1,248 | 44,591 | |||||||||
Laboratory Corp. of America Holdings | 304 | 71,245 | |||||||||
STERIS PLC | 356 | 73,389 | |||||||||
Waters Corp. (a) | 296 | 97,970 | |||||||||
361,359 | |||||||||||
Industrial Conglomerates (4.0%): | |||||||||||
Carlisle Cos., Inc. | 340 | 81,127 | |||||||||
Information Technology (19.8%): | |||||||||||
Amphenol Corp., Class A | 1,400 | 90,133 | |||||||||
Cadence Design Systems, Inc. (a) | 648 | 97,220 | |||||||||
Keysight Technologies, Inc. (a) | 372 | 51,280 | |||||||||
Teledyne Technologies, Inc. (a) | 148 | 55,516 | |||||||||
Tyler Technologies, Inc. (a) | 192 | 63,836 | |||||||||
Zebra Technologies Corp. (a) | 166 | 48,796 | |||||||||
406,781 | |||||||||||
Machinery (9.4%): | |||||||||||
Graco, Inc. | 1,068 | 63,450 | |||||||||
Parker-Hannifin Corp. | 276 | 67,910 | |||||||||
The Toro Co. | 812 | 61,541 | |||||||||
192,901 | |||||||||||
Materials (2.2%): | |||||||||||
Crown Holdings, Inc. | 500 | 46,085 | |||||||||
See notes to financial statements.
206
| Victory Portfolios II VictoryShares THB Mid Cap ESG ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Professional Services (7.6%): | |||||||||||
CACI International, Inc., Class A (a) | 257 | $ | 72,417 | ||||||||
Verisk Analytics, Inc. | 484 | 83,776 | |||||||||
156,193 | |||||||||||
Road & Rail (6.9%): | |||||||||||
J.B. Hunt Transport Services, Inc. | 512 | 80,625 | |||||||||
Old Dominion Freight Line, Inc. | 240 | 61,507 | |||||||||
142,132 | |||||||||||
Trading Companies & Distributors (3.6%): | |||||||||||
Fastenal Co. | 1,500 | 74,880 | |||||||||
Total Common Stocks (Cost $2,373,428) | 2,056,010 | ||||||||||
Total Investments (Cost $2,373,428) — 100.1% | 2,056,010 | ||||||||||
Liabilities in excess of other assets — (0.1)% | (2,371 | ) | |||||||||
NET ASSETS — 100.00% | $ | 2,053,639 | |||||||||
(a) Non-income producing security.
PLC — Public Limited Company
See notes to financial statements.
207
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares US 500 Volatility Wtd ETF | VictoryShares US Small Cap Volatility Wtd ETF | VictoryShares International Volatility Wtd ETF | |||||||||||||
Assets: | |||||||||||||||
| Affiliated investments, at value (Cost $—, $32,778 and $—) | $ | — | $ | 35,620 | $ | — | |||||||||
| Investments, at value (Cost $488,717,794, $23,927,007 and $96,465,388) | 534,232,107 | (a) | 22,759,779 | (b) | 95,057,250 | (c) | |||||||||
| Foreign currency, at value (Cost $—, $— and $62,029) | — | — | 62,084 | ||||||||||||
Cash | 1,894,430 | 73,293 | 362,899 | ||||||||||||
Deposit with broker for futures contracts | 323,182 | 16,124 | 48,163 | ||||||||||||
Receivables: | |||||||||||||||
Interest and dividends | 570,103 | 12,822 | 165,886 | ||||||||||||
Investments sold | 6,427,377 | — | 143,401 | ||||||||||||
Reclaims | — | — | 203,983 | ||||||||||||
From Adviser | — | 5,387 | 14,197 | ||||||||||||
Prepaid expenses | 3,727 | 151 | 649 | ||||||||||||
Total Assets | 543,450,926 | 22,903,176 | 96,058,512 | ||||||||||||
Liabilities: | |||||||||||||||
Payables: | |||||||||||||||
Collateral received on loaned securities | 3,378,841 | 264,405 | 3,149,309 | ||||||||||||
Investments purchased | — | — | 119,186 | ||||||||||||
Capital shares redeemed | 6,461,712 | — | — | ||||||||||||
Payable to Adviser | 2,514 | — | — | ||||||||||||
| Variation margin on open futures contracts | 16,379 | 670 | 879 | ||||||||||||
Accrued expenses and other payables: | |||||||||||||||
Investment advisory fees | 137,116 | 5,734 | 31,726 | ||||||||||||
Administration fees | 6,023 | 374 | 1,053 | ||||||||||||
Custodian fees | 5,046 | 487 | 17,589 | ||||||||||||
Compliance fees | 349 | 15 | 60 | ||||||||||||
Trustees' fees | 971 | 49 | — | ||||||||||||
Other accrued expenses | 39,409 | 14,679 | 25,947 | ||||||||||||
Total Liabilities | 10,048,360 | 286,413 | 3,345,749 | ||||||||||||
Net Assets: | |||||||||||||||
Capital | 566,445,950 | 32,479,404 | 97,742,059 | ||||||||||||
Total accumulated earnings/(loss) | (33,043,384 | ) | (9,862,641 | ) | (5,029,296 | ) | |||||||||
Net Assets | $ | 533,402,566 | $ | 22,616,763 | $ | 92,712,763 | |||||||||
| Shares (unlimited shares authorized, with no par value): | 8,300,000 | 400,000 | 2,550,000 | ||||||||||||
Net asset value: | $ | 64.27 | $ | 56.54 | $ | 36.36 | |||||||||
(a) Includes $3,264,907 of securities on loan.
(b) Includes $258,713 of securities on loan.
(c) Includes $2,846,722 of securities on loan.
See notes to financial statements.
208
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares US Large Cap High Div Volatility Wtd ETF | VictoryShares US Small Cap High Div Volatility Wtd ETF | ||||||||||
Assets: | |||||||||||
Investments, at value (Cost $277,667,437 and $305,108,829) | $ | 282,119,700 | $ | 275,721,147 | (a) | ||||||
Cash | 1,573,792 | 1,437,945 | |||||||||
Deposit with broker for futures contracts | 171,420 | 135,171 | |||||||||
Receivables: | |||||||||||
Interest and dividends | 557,824 | 396,507 | |||||||||
Capital shares issued | — | 2,620,247 | |||||||||
From Adviser | 6,833 | 7,798 | |||||||||
Prepaid expenses | 1,531 | 1,564 | |||||||||
Total Assets | 284,431,100 | 280,320,379 | |||||||||
Liabilities: | |||||||||||
Payables: | |||||||||||
Collateral received on loaned securities | — | 7,579,061 | |||||||||
Investments purchased | — | 2,603,018 | |||||||||
Variation margin on open futures contracts | 11,617 | 11,409 | |||||||||
Accrued expenses and other payables: | |||||||||||
Investment advisory fees | 70,948 | 67,169 | |||||||||
Administration fees | 4,100 | 4,235 | |||||||||
Custodian fees | 2,687 | 2,731 | |||||||||
Compliance fees | 179 | 170 | |||||||||
Trustees' fees | 500 | 474 | |||||||||
Other accrued expenses | 34,021 | 33,180 | |||||||||
Total Liabilities | 124,052 | 10,301,447 | |||||||||
Net Assets: | |||||||||||
Capital | 332,196,635 | 342,259,226 | |||||||||
Total accumulated earnings/(loss) | (47,889,587 | ) | (72,240,294 | ) | |||||||
Net Assets | $ | 284,307,048 | $ | 270,018,932 | |||||||
| Shares (unlimited shares authorized, with no par value): | 4,900,000 | 5,150,000 | |||||||||
Net asset value: | $ | 58.02 | $ | 52.43 | |||||||
(a) Includes $7,435,145 of securities on loan.
See notes to financial statements.
209
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares International High Div Volatility Wtd ETF | VictoryShares Emerging Market High Div Volatility Wtd ETF | VictoryShares Dividend Accelerator ETF | |||||||||||||
Assets: | |||||||||||||||
| Investments, at value (Cost $18,087,754, $14,059,832 and $284,063,261) | $ | 16,197,518 | (a) | $ | 10,462,898 | (b) | $ | 277,068,451 | (c) | ||||||
| Foreign currency, at value (Cost $14,904, $5,290 and $—) | 14,909 | 5,349 | — | ||||||||||||
Cash | 56,134 | 56,234 | 717,975 | ||||||||||||
Deposit with broker for futures contracts | 9,528 | 28,403 | 111,841 | ||||||||||||
Receivables: | |||||||||||||||
Interest and dividends | 60,327 | 116,715 | 478,402 | ||||||||||||
Investments sold | 100,734 | — | — | ||||||||||||
Reclaims | 75,795 | 2,092 | — | ||||||||||||
From Adviser | 8,435 | 1,851 | 1,371 | ||||||||||||
Prepaid expenses | 109 | 99 | 1,901 | ||||||||||||
Total Assets | 16,523,489 | 10,673,641 | 278,379,941 | ||||||||||||
Liabilities: | |||||||||||||||
Payables: | |||||||||||||||
| Collateral received on loaned securities | 373,455 | 266,208 | 365,864 | ||||||||||||
Investments purchased | 83,634 | — | — | ||||||||||||
| Variation margin on open futures contracts | 465 | 470 | 6,350 | ||||||||||||
Accrued foreign capital gains taxes | — | 753 | — | ||||||||||||
Accrued expenses and other payables: | |||||||||||||||
Investment advisory fees | 5,531 | 4,201 | 69,631 | ||||||||||||
Administration fees | 100 | 194 | 2,870 | ||||||||||||
Custodian fees | 4,758 | 12,374 | 2,835 | ||||||||||||
Compliance fees | 11 | 8 | 175 | ||||||||||||
Trustees' fees | 38 | 31 | 491 | ||||||||||||
Other accrued expenses | 17,480 | 38,549 | 22,344 | ||||||||||||
Total Liabilities | 485,472 | 322,788 | 470,560 | ||||||||||||
Net Assets: | |||||||||||||||
Capital | 31,405,444 | 18,641,195 | 296,982,789 | ||||||||||||
Total accumulated earnings/(loss) | (15,367,427 | ) | (8,290,342 | ) | (19,073,408 | ) | |||||||||
Net Assets | $ | 16,038,017 | $ | 10,350,853 | $ | 277,909,381 | |||||||||
| Shares (unlimited shares authorized, with no par value): | 550,000 | 550,000 | 6,700,000 | ||||||||||||
Net asset value: | $ | 29.16 | $ | 18.82 | $ | 41.48 | |||||||||
(a) Includes $265,887 of securities on loan.
(b) Includes $239,063 of securities on loan.
(c) Includes $354,300 of securities on loan.
See notes to financial statements.
210
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares US Multi-Factor Minimum Volatility ETF | VictoryShares US 500 Enhanced Volatility Wtd ETF | VictoryShares US EQ Income Enhanced Volatility Wtd ETF | |||||||||||||
Assets: | |||||||||||||||
| Investments, at value (Cost $120,662,458, $906,007,294 and $1,933,809,110) | $ | 118,947,780 | $ | 891,751,081 | (a) | $ | 1,918,889,461 | (b) | |||||||
Cash | 368,548 | — | — | ||||||||||||
| Deposit with broker for futures contracts | 41,767 | 335,629 | 873,354 | ||||||||||||
Receivables: | |||||||||||||||
Interest and dividends | 139,042 | 950,254 | 3,614,597 | ||||||||||||
Capital shares issued | — | 4,855 | 9,917,137 | ||||||||||||
From Adviser | 2,518 | — | 61,102 | ||||||||||||
Prepaid expenses | 908 | 5,918 | 7,327 | ||||||||||||
Total Assets | 119,500,563 | 893,047,737 | 1,933,362,978 | ||||||||||||
Liabilities: | |||||||||||||||
Payables: | |||||||||||||||
| Collateral received on loaned securities | — | 1,272,943 | 15,352,137 | ||||||||||||
Investments purchased | — | 86,240 | 9,846,792 | ||||||||||||
Payable to Adviser | — | 3,376 | — | ||||||||||||
| Variation margin on open futures contracts | 3,175 | 24,833 | 77,171 | ||||||||||||
Accrued expenses and other payables: | |||||||||||||||
Investment advisory fees | 33,476 | 226,682 | 455,715 | ||||||||||||
Administration fees | 1,384 | 13,220 | 30,810 | ||||||||||||
Custodian fees | 1,605 | 5,369 | 13,750 | ||||||||||||
Compliance fees | 86 | 570 | 1,137 | ||||||||||||
Trustees' fees | 247 | 1,579 | 3,149 | ||||||||||||
Other accrued expenses | 19,878 | 59,544 | 186,472 | ||||||||||||
Total Liabilities | 59,851 | 1,694,356 | 25,967,133 | ||||||||||||
Net Assets: | |||||||||||||||
Capital | 136,196,118 | 925,205,185 | 2,005,529,728 | ||||||||||||
Total accumulated earnings/(loss) | (16,755,406 | ) | (33,851,804 | ) | (98,133,883 | ) | |||||||||
Net Assets | $ | 119,440,712 | $ | 891,353,381 | $ | 1,907,395,845 | |||||||||
| Shares (unlimited shares authorized, with no par value): | 3,250,000 | 13,850,000 | 28,850,000 | ||||||||||||
Net asset value: | $ | 36.75 | $ | 64.36 | $ | 66.11 | |||||||||
(a) Includes $1,233,294 of securities on loan.
(b) Includes $14,783,444 of securities on loan.
See notes to financial statements.
211
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares US Discovery Enhanced Volatility Wtd ETF | VictoryShares Developed Enhanced Volatility Wtd ETF | VictoryShares Nasdaq Next 50 ETF | |||||||||||||
Assets: | |||||||||||||||
| Affiliated investments, at value (Cost $18,663, $— and $—) | $ | 26,751 | $ | — | $ | — | |||||||||
| Investments, at value (Cost $70,426,166, $35,017,632 and $115,407,753) | 71,544,785 | (a) | 35,318,246 | (b) | 97,916,976 | (c) | |||||||||
| Foreign currency, at value (Cost $—, $14,816 and $—) | — | 14,828 | — | ||||||||||||
Cash | — | — | 125,277 | ||||||||||||
| Deposit with broker for futures contracts | 56,253 | 32,134 | 54,383 | ||||||||||||
Receivables: | |||||||||||||||
Interest and dividends | 51,786 | 35,171 | 46,566 | ||||||||||||
Investments sold | — | 12,689 | — | ||||||||||||
Reclaims | — | 157,838 | 4,092 | ||||||||||||
From Adviser | 5,968 | 16,728 | 19,167 | ||||||||||||
Prepaid expenses | 457 | 233 | 775 | ||||||||||||
Total Assets | 71,686,000 | 35,587,867 | 98,167,236 | ||||||||||||
Liabilities: | |||||||||||||||
Payables: | |||||||||||||||
| Collateral received on loaned securities | 66,567 | 160,018 | 2,717,102 | ||||||||||||
Investments purchased | — | 10,598 | — | ||||||||||||
| Variation margin on open futures contracts | 1,364 | 930 | 3,230 | ||||||||||||
Accrued expenses and other payables: | |||||||||||||||
Investment advisory fees | 18,239 | 11,727 | 12,620 | ||||||||||||
Administration fees | 1,264 | 666 | 1,781 | ||||||||||||
Custodian fees | 855 | 30,065 | 1,285 | ||||||||||||
Compliance fees | 45 | 21 | 65 | ||||||||||||
Trustees' fees | 132 | 68 | 195 | ||||||||||||
Other accrued expenses | 19,520 | 24,663 | 67,324 | ||||||||||||
Total Liabilities | 107,986 | 238,756 | 2,803,602 | ||||||||||||
Net Assets: | |||||||||||||||
Capital | 107,562,233 | 60,455,880 | 141,257,307 | ||||||||||||
Total accumulated earnings/(loss) | (35,984,219 | ) | (25,106,769 | ) | (45,893,673 | ) | |||||||||
Net Assets | $ | 71,578,014 | $ | 35,349,111 | $ | 95,363,634 | |||||||||
| Shares (unlimited shares authorized, with no par value): | 1,300,000 | 1,200,000 | 4,125,000 | ||||||||||||
Net asset value: | $ | 55.06 | $ | 29.46 | $ | 23.12 | |||||||||
(a) Includes $65,265 of securities on loan.
(b) Includes $139,439 of securities on loan.
(c) Includes $2,512,144 of securities on loan.
See notes to financial statements.
212
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares ESG Core Plus Bond ETF | VictoryShares ESG Corporate Bond ETF | VictoryShares THB Mid Cap ESG ETF | |||||||||||||
Assets: | |||||||||||||||
| Investments, at value (Cost $233,644,911, $123,070,428 and $2,373,428) | $ | 211,271,855 | $ | 103,915,843 | $ | 2,056,010 | |||||||||
Cash | 1,538,787 | 294,736 | 7,679 | ||||||||||||
Deposit with broker for futures contracts | 1,222,795 | — | — | ||||||||||||
Receivables: | |||||||||||||||
Interest and dividends | 1,345,506 | 903,575 | 733 | ||||||||||||
Investments sold | 2,693,793 | — | — | ||||||||||||
| Variation margin on open futures contracts | 73,568 | — | — | ||||||||||||
From Adviser | 19,606 | 11,362 | 3,654 | ||||||||||||
Prepaid expenses | 1,029 | 567 | 12 | ||||||||||||
Total Assets | 218,166,939 | 105,126,083 | 2,068,088 | ||||||||||||
Liabilities: | |||||||||||||||
Payables: | |||||||||||||||
Investments purchased | 4,322,572 | 728,595 | — | ||||||||||||
Accrued expenses and other payables: | |||||||||||||||
Investment advisory fees | 61,461 | 30,195 | 869 | ||||||||||||
Administration fees | 4,499 | 2,460 | 52 | ||||||||||||
Custodian fees | 1,440 | 7,619 | 500 | ||||||||||||
Compliance fees | 127 | 63 | 1 | ||||||||||||
Trustees' fees | 371 | 218 | 3 | ||||||||||||
Other accrued expenses | 47,321 | 34,065 | 13,024 | ||||||||||||
Total Liabilities | 4,437,791 | 803,215 | 14,449 | ||||||||||||
Net Assets: | |||||||||||||||
Capital | 240,989,786 | 124,252,438 | 2,373,729 | ||||||||||||
Total accumulated earnings/(loss) | (27,260,638 | ) | (19,929,570 | ) | (320,090 | ) | |||||||||
Net Assets | $ | 213,729,148 | $ | 104,322,868 | $ | 2,053,639 | |||||||||
| Shares (unlimited shares authorized, with no par value): | 9,750,000 | 5,000,000 | 100,000 | ||||||||||||
Net asset value: | $ | 21.92 | $ | 20.86 | $ | 20.54 | |||||||||
See notes to financial statements.
213
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares US 500 Volatility Wtd ETF | VictoryShares US Small Cap Volatility Wtd ETF | VictoryShares International Volatility Wtd ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividends | $ | 10,795,800 | $ | 431,006 | $ | 3,698,775 | |||||||||
Non-cash dividends | — | — | 443,149 | ||||||||||||
Affiliated dividend income | — | 1,431 | — | ||||||||||||
Interest | 457 | — | 35 | ||||||||||||
Securities lending (net of fees) | 47,095 | 2,093 | 42,677 | ||||||||||||
Foreign tax withholding | (1,891 | ) | (349 | ) | (582,858 | ) | |||||||||
Total Income | 10,841,461 | 434,181 | 3,601,778 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees | 1,976,520 | 77,382 | 445,426 | ||||||||||||
Administration fees | 356,980 | 13,974 | 60,335 | ||||||||||||
Sub-Administration fees | 17,950 | 17,950 | 17,950 | ||||||||||||
Custodian fees | 33,871 | 3,697 | 75,061 | ||||||||||||
Servicing fees | 5,364 | 5,259 | 5,259 | ||||||||||||
Trustees' fees | 41,465 | 3,219 | 8,392 | ||||||||||||
Compliance fees | 4,752 | 184 | 801 | ||||||||||||
Legal and audit fees | 27,066 | 13,942 | 17,074 | ||||||||||||
Interest fees | — | 36 | — | ||||||||||||
Other expenses | 64,533 | 12,620 | 17,750 | ||||||||||||
Total Expenses | 2,528,501 | 148,263 | 648,048 | ||||||||||||
Expenses waived/reimbursed by Adviser | (224,189 | ) | (57,981 | ) | (147,230 | ) | |||||||||
Net Expenses | 2,304,312 | 90,282 | 500,818 | ||||||||||||
Net Investment Income (Loss) | 8,537,149 | 343,899 | 3,100,960 | ||||||||||||
| Realized/Unrealized Gains (Losses) from Investments: | |||||||||||||||
| Net realized gains (losses) from unaffiliated investment securities and foreign currency transactions | (5,995,805 | ) | (387,778 | ) | 2,788,004 | ||||||||||
| Net realized gains (losses) from affiliated securities transactions | — | 21,855 | — | ||||||||||||
Net realized gains (losses) from futures contracts | (50,828 | ) | (13,052 | ) | (126,506 | ) | |||||||||
Net realized gains (losses) from in-kind redemptions | 91,319,107 | 2,036,548 | 635,621 | ||||||||||||
| Net change in unrealized appreciation/depreciation on unaffiliated investment securities and foreign currency translations | (139,645,212 | ) | (5,016,942 | ) | (24,312,845 | ) | |||||||||
| Net change in unrealized appreciation/depreciation on affiliated investments | — | (31,784 | ) | — | |||||||||||
| Net change in unrealized appreciation/depreciation on futures contracts | (142,083 | ) | (470 | ) | 2,017 | ||||||||||
Net realized/unrealized gains (losses) on investments | (54,514,821 | ) | (3,391,623 | ) | (21,013,709 | ) | |||||||||
Change in net assets resulting from operations | $ | (45,977,672 | ) | $ | (3,047,724 | ) | $ | (17,912,749 | ) | ||||||
See notes to financial statements.
214
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares US Large Cap High Div Volatility Wtd ETF | VictoryShares US Small Cap High Div Volatility Wtd ETF | ||||||||||
Investment Income: | |||||||||||
Dividends | $ | 8,591,688 | $ | 8,993,806 | |||||||
Interest | 136 | 163 | |||||||||
Securities lending (net of fees) | 5,277 | 76,361 | |||||||||
Foreign tax withholding | — | (631 | ) | ||||||||
Total Income | 8,597,101 | 9,069,699 | |||||||||
Expenses: | |||||||||||
Investment advisory fees | 754,805 | 778,451 | |||||||||
Administration fees | 136,274 | 140,567 | |||||||||
Sub-Administration fees | 17,950 | 17,950 | |||||||||
Custodian fees | 14,456 | 14,643 | |||||||||
Servicing fees | 5,801 | 5,259 | |||||||||
Trustees' fees | 15,434 | 16,277 | |||||||||
Compliance fees | 1,749 | 1,818 | |||||||||
Legal and audit fees | 23,914 | 21,652 | |||||||||
Other expenses | 36,093 | 45,497 | |||||||||
Total Expenses | 1,006,476 | 1,042,114 | |||||||||
Expenses waived/reimbursed by Adviser | (125,256 | ) | (133,750 | ) | |||||||
Net Expenses | 881,220 | 908,364 | |||||||||
Net Investment Income (Loss) | 7,715,881 | 8,161,335 | |||||||||
Realized/Unrealized Gains (Losses) from Investments: | |||||||||||
Net realized gains (losses) from investment securities | (4,311,656 | ) | (18,667,826 | ) | |||||||
Net realized gains (losses) from futures contracts | 17,960 | (167,614 | ) | ||||||||
Net realized gains (losses) from in-kind redemptions | 29,721,304 | 23,321,495 | |||||||||
| Net change in unrealized appreciation/depreciation on investment securities | (24,311,885 | ) | (41,790,557 | ) | |||||||
| Net change in unrealized appreciation/depreciation on futures contracts | (83,381 | ) | (82,552 | ) | |||||||
Net realized/unrealized gains (losses) on investments | 1,032,342 | (37,387,054 | ) | ||||||||
Change in net assets resulting from operations | $ | 8,748,223 | $ | (29,225,719 | ) | ||||||
See notes to financial statements.
215
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares International High Div Volatility Wtd ETF | VictoryShares Emerging Market High Div Volatility Wtd ETF | VictoryShares Dividend Accelerator ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividends | $ | 1,116,651 | $ | 1,165,925 | $ | 6,264,685 | |||||||||
Non-cash dividends | 179,524 | — | — | ||||||||||||
Interest | — | — | 369 | ||||||||||||
Securities lending (net of fees) | 9,944 | 562 | 231 | ||||||||||||
Foreign tax withholding | (152,222 | ) | (152,363 | ) | — | ||||||||||
Total Income | 1,153,897 | 1,014,124 | 6,265,285 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees | 76,795 | 72,890 | 988,444 | ||||||||||||
Administration fees | 10,404 | 8,778 | 178,505 | ||||||||||||
Sub-Administration fees | 17,950 | 19,944 | 17,950 | ||||||||||||
Custodian fees | 22,646 | 58,425 | 18,240 | ||||||||||||
Servicing fees | 5,259 | 5,118 | 5,119 | ||||||||||||
Trustees' fees | 2,892 | 2,731 | 21,473 | ||||||||||||
Compliance fees | 140 | 119 | 2,373 | ||||||||||||
Legal and audit fees | 14,705 | 41,593 | 17,213 | ||||||||||||
Line of credit fees | — | 118 | — | ||||||||||||
Interest fees | 95 | 1,103 | — | ||||||||||||
Other expenses | 12,027 | 15,471 | 33,667 | ||||||||||||
Total Expenses | 162,913 | 226,290 | 1,282,984 | ||||||||||||
Expenses waived/reimbursed by Adviser | (76,507 | ) | (144,206 | ) | (130,427 | ) | |||||||||
Net Expenses | 86,406 | 82,084 | 1,152,557 | ||||||||||||
Net Investment Income (Loss) | 1,067,491 | 932,040 | 5,112,728 | ||||||||||||
| Realized/Unrealized Gains (Losses) from Investments: | |||||||||||||||
| Net realized gains (losses) from investment securities and foreign currency transactions | 725,293 | 694,244 | (5,427,003 | ) | |||||||||||
Foreign taxes on realized gains | — | (33,298 | ) | — | |||||||||||
Net realized gains (losses) from futures contracts | (35,135 | ) | (41,203 | ) | (38,209 | ) | |||||||||
| Net realized gains (losses) from in-kind redemptions | 469,742 | 182,316 | 47,315,548 | ||||||||||||
| Net change in unrealized appreciation/ depreciation on investment securities and foreign currency translations | (3,118,740 | ) | (4,552,282 | ) | (59,202,189 | ) | |||||||||
| Net change in unrealized appreciation/ depreciation on futures contracts | 2,369 | (639 | ) | (18,558 | ) | ||||||||||
| Net change in accrued foreign taxes on unrealized gains | — | 9,083 | — | ||||||||||||
| Net realized/unrealized gains (losses) on investments | (1,956,471 | ) | (3,741,779 | ) | (17,370,411 | ) | |||||||||
Change in net assets resulting from operations | $ | (888,980 | ) | $ | (2,809,739 | ) | $ | (12,257,683 | ) | ||||||
See notes to financial statements.
216
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares US Multi-Factor Minimum Volatility ETF | VictoryShares US 500 Enhanced Volatility Wtd ETF | VictoryShares US EQ Income Enhanced Volatility Wtd ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividends | $ | 3,254,931 | $ | 15,331,096 | $ | 43,519,970 | |||||||||
Interest | 264 | — | — | ||||||||||||
Securities lending (net of fees) | — | 55,101 | 29,802 | ||||||||||||
Foreign tax withholding | (2,154 | ) | (2,951 | ) | — | ||||||||||
Total Income | 3,253,041 | 15,383,246 | 43,549,772 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees | 485,351 | 2,986,132 | 3,745,447 | ||||||||||||
Administration fees | 87,659 | 539,204 | 676,086 | ||||||||||||
Sub-Administration fees | 17,950 | 17,950 | 17,950 | ||||||||||||
Custodian fees | 10,232 | 47,731 | 61,645 | ||||||||||||
Servicing fees | 3,907 | 5,364 | 5,364 | ||||||||||||
Trustees' fees | 11,271 | 58,757 | 62,888 | ||||||||||||
Compliance fees | 1,158 | 7,043 | 8,367 | ||||||||||||
Legal and audit fees | 16,813 | 41,838 | 91,378 | ||||||||||||
Line of credit fees | — | — | 2,186 | ||||||||||||
Broker interest fees | — | 1,172 | 6,561 | ||||||||||||
Other expenses | 23,419 | 98,582 | 185,723 | ||||||||||||
Total Expenses | 657,760 | 3,803,773 | 4,863,595 | ||||||||||||
| Expenses waived/reimbursed by Adviser | (91,940 | ) | (319,183 | ) | (475,603 | ) | |||||||||
Net Expenses | 565,820 | 3,484,590 | 4,387,992 | ||||||||||||
Net Investment Income (Loss) | 2,687,221 | 11,898,656 | 39,161,780 | ||||||||||||
| Realized/Unrealized Gains (Losses) from Investments: | |||||||||||||||
| Net realized gains (losses) from investment securities | (4,770,456 | ) | 42,568,196 | (19,212,052 | ) | ||||||||||
| Net realized gains (losses) from futures contracts | (31,366 | ) | 87,203 | (274,957 | ) | ||||||||||
| Net realized gains (losses) from in-kind redemptions | 27,847,511 | 82,305,281 | 134,200,800 | ||||||||||||
| Net change in unrealized appreciation/ depreciation on investment securities | (27,406,624 | ) | (222,754,562 | ) | (147,549,007 | ) | |||||||||
| Net change in unrealized appreciation/ depreciation on futures contracts | (22,971 | ) | (248,810 | ) | (429,346 | ) | |||||||||
| Net realized/unrealized gains (losses) on investments | (4,383,906 | ) | (98,042,692 | ) | (33,264,562 | ) | |||||||||
| Change in net assets resulting from operations | $ | (1,696,685 | ) | $ | (86,144,036 | ) | $ | 5,897,218 | |||||||
See notes to financial statements.
217
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares US Discovery Enhanced Volatility Wtd ETF | VictoryShares Developed Enhanced Volatility Wtd ETF | VictoryShares Nasdaq Next 50 ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividends | $ | 1,065,062 | $ | 1,081,930 | $ | 720,543 | |||||||||
Non-cash dividends | — | 113,952 | — | ||||||||||||
Affiliated dividend income | 3,259 | — | — | ||||||||||||
Interest | — | 20 | — | ||||||||||||
Securities lending (net of fees) | 3,430 | 11,602 | 72,159 | ||||||||||||
Foreign tax withholding | (775 | ) | (166,093 | ) | (3,069 | ) | |||||||||
Total Income | 1,070,976 | 1,041,411 | 789,633 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees | 214,633 | 158,950 | 203,595 | ||||||||||||
Administration fees | 38,752 | 21,531 | 73,542 | ||||||||||||
Sub-Administration fees | 17,950 | 17,950 | 13,480 | ||||||||||||
Custodian fees | 5,848 | 80,662 | 7,250 | ||||||||||||
Servicing fees | 3,991 | 5,259 | 1,772 | ||||||||||||
Trustees' fees | 5,705 | 4,084 | 9,251 | ||||||||||||
Compliance fees | 500 | 285 | 975 | ||||||||||||
Legal and audit fees | 15,948 | 16,347 | 10,832 | ||||||||||||
Interest fees | 18 | 93 | 56 | ||||||||||||
Licensing fees | — | — | 43,658 | ||||||||||||
Other expenses | 20,146 | 16,202 | 55,197 | ||||||||||||
Total Expenses | 323,491 | 321,363 | 419,608 | ||||||||||||
Expenses waived/reimbursed by Adviser | (72,992 | ) | (142,542 | ) | (175,496 | ) | |||||||||
Net Expenses | 250,499 | 178,821 | 244,112 | ||||||||||||
Net Investment Income (Loss) | 820,477 | 862,590 | 545,521 | ||||||||||||
| Realized/Unrealized Gains (Losses) from Investments: | |||||||||||||||
| Net realized gains (losses) from unaffiliated investment securities | (3,624,959 | ) | 1,181,730 | (21,641,692 | ) | ||||||||||
| Net realized gains (losses) from affiliated securities transactions | 50,503 | — | — | ||||||||||||
| Net realized gains (losses) from futures contracts | (42,049 | ) | (37,533 | ) | 128,723 | ||||||||||
| Net realized gains (losses) from in-kind redemptions | 5,706,850 | 447,202 | 10,742,832 | ||||||||||||
| Net change in unrealized appreciation/ depreciation on unaffiliated investment securities | (9,534,916 | ) | (6,883,907 | ) | (38,836,077 | ) | |||||||||
| Net change in unrealized appreciation/ depreciation on affiliated investments | (70,169 | ) | — | — | |||||||||||
| Net change in unrealized appreciation/ depreciation on futures contracts | (20,923 | ) | (780 | ) | (2,285 | ) | |||||||||
| Net realized/unrealized gains (losses) on investments | (7,535,663 | ) | (5,293,288 | ) | (49,608,499 | ) | |||||||||
| Change in net assets resulting from operations | $ | (6,715,186 | ) | $ | (4,430,698 | ) | $ | (49,062,978 | ) | ||||||
See notes to financial statements.
218
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares ESG Core Plus Bond ETF(a) | VictoryShares ESG Corporate Bond ETF(a) | VictoryShares THB Mid Cap ESG ETF(a) | |||||||||||||
Investment Income: | |||||||||||||||
Dividends | $ | — | $ | — | $ | 10,776 | |||||||||
Interest | 3,684,383 | 2,024,688 | — | ||||||||||||
Total Income | 3,684,383 | 2,024,688 | 10,776 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees | 493,664 | 274,535 | 8,872 | ||||||||||||
Administration fees | 76,218 | 42,396 | 959 | ||||||||||||
Sub-Administration fees | 13,777 | 13,777 | 10,629 | ||||||||||||
Custodian fees | 3,558 | 2,438 | 1,110 | ||||||||||||
Servicing fees | 1,339 | 739 | 784 | ||||||||||||
Trustees' fees | 5,459 | 3,202 | 73 | ||||||||||||
Compliance fees | 875 | 497 | 11 | ||||||||||||
Legal and audit fees | 54,885 | 43,037 | 7,437 | ||||||||||||
Printing fees | — | — | 4,458 | ||||||||||||
Interest fees | — | — | 1 | ||||||||||||
Listing fees | 9,000 | 9,000 | 9,000 | ||||||||||||
Other expenses | 45,751 | 28,630 | 877 | ||||||||||||
Total Expenses | 704,526 | 418,251 | 44,211 | ||||||||||||
Expenses waived/reimbursed by Adviser | (138,029 | ) | (103,382 | ) | (34,457 | ) | |||||||||
Net Expenses | 566,497 | 314,869 | 9,754 | ||||||||||||
Net Investment Income (Loss) | 3,117,886 | 1,709,819 | 1,022 | ||||||||||||
| Realized/Unrealized Gains (Losses) from Investments: | |||||||||||||||
| Net realized gains (losses) from investment securities | (5,429,683 | ) | (991,577 | ) | 4,207 | ||||||||||
| Net realized gains (losses) from futures contracts | (64,017 | ) | — | — | |||||||||||
| Net change in unrealized appreciation/ depreciation on investment securities | (22,373,056 | ) | (19,154,585 | ) | (317,418 | ) | |||||||||
| Net change in unrealized appreciation/ depreciation on futures contracts | 79,320 | — | — | ||||||||||||
| Net realized/unrealized gains (losses) on investments | (27,787,436 | ) | (20,146,162 | ) | (313,211 | ) | |||||||||
Change in net assets resulting from operations | $ | (24,669,550 | ) | $ | (18,436,343 | ) | $ | (312,189 | ) | ||||||
(a) Commencement of operations on October 5, 2021.
See notes to financial statements.
219
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares US 500 Volatility Wtd ETF | VictoryShares US Small Cap Volatility Wtd ETF | VictoryShares International Volatility Wtd ETF | |||||||||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||||||||
From Investment Activities: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
| Net Investment Income (Loss) | $ | 8,537,149 | $ | 7,661,551 | $ | 343,899 | $ | 281,342 | $ | 3,100,960 | $ | 2,422,654 | |||||||||||||||
| Net realized gains (losses) | 85,272,474 | 69,253,916 | 1,657,573 | 3,440,333 | 3,297,119 | 2,246,705 | |||||||||||||||||||||
| Net change in unrealized appreciation/ depreciation | (139,787,295 | ) | 160,491,386 | (5,049,196 | ) | 6,333,917 | (24,310,828 | ) | 23,696,788 | ||||||||||||||||||
| Change in net assets resulting from operations | (45,977,672 | ) | 237,406,853 | (3,047,724 | ) | 10,055,592 | (17,912,749 | ) | 28,366,147 | ||||||||||||||||||
| Change in net assets resulting from distributions to shareholders | (8,500,286 | ) | (7,561,107 | ) | (334,788 | ) | (287,612 | ) | (3,855,525 | ) | (2,408,306 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | (117,556,950 | ) | (194,413,139 | ) | 13,588 | 128,296 | (2,229,024 | ) | 7,632,260 | ||||||||||||||||||
Change in net assets | (172,034,908 | ) | 35,432,607 | (3,368,924 | ) | 9,896,276 | (23,997,298 | ) | 33,590,101 | ||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 705,437,474 | 670,004,867 | 25,985,687 | 16,089,411 | 116,710,061 | 83,119,960 | |||||||||||||||||||||
End of period | $ | 533,402,566 | $ | 705,437,474 | $ | 22,616,763 | $ | 25,985,687 | $ | 92,712,763 | $ | 116,710,061 | |||||||||||||||
Capital Transactions: | |||||||||||||||||||||||||||
| Proceeds from shares issued | $ | 149,606,089 | $ | 109,696,136 | $ | 6,396,215 | $ | 9,846,161 | $ | — | $ | 11,872,178 | |||||||||||||||
Cost of shares redeemed | (267,163,039 | ) | (304,109,275 | ) | (6,382,627 | ) | (9,717,865 | ) | (2,229,024 | ) | (4,239,918 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | $ | (117,556,950 | ) | $ | (194,413,139 | ) | $ | 13,588 | $ | 128,296 | $ | (2,229,024 | ) | $ | 7,632,260 | ||||||||||||
Share Transactions: | |||||||||||||||||||||||||||
Issued | 2,050,000 | 1,650,000 | 100,000 | 150,000 | — | 300,000 | |||||||||||||||||||||
Redeemed | (3,650,000 | ) | (5,000,000 | ) | (100,000 | ) | (150,000 | ) | (50,000 | ) | (100,000 | ) | |||||||||||||||
Change in Shares | (1,600,000 | ) | (3,350,000 | ) | — | — | (50,000 | ) | 200,000 | ||||||||||||||||||
See notes to financial statements.
220
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares US Large Cap High Div Volatility Wtd ETF | VictoryShares US Small Cap High Div Volatility Wtd ETF | ||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||
From Investment Activities: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net Investment Income (Loss) | $ | 7,715,881 | $ | 5,978,979 | $ | 8,161,335 | $ | 4,617,664 | |||||||||||
Net realized gains (losses) | 25,427,608 | 13,598,702 | 4,486,055 | 24,892,624 | |||||||||||||||
| Net change in unrealized appreciation/ depreciation | (24,395,266 | ) | 54,543,611 | (41,873,109 | ) | 22,086,728 | |||||||||||||
Change in net assets resulting from operations | 8,748,223 | 74,121,292 | (29,225,719 | ) | 51,597,016 | ||||||||||||||
| Change in net assets resulting from distributions to shareholders | (7,496,456 | ) | (5,707,683 | ) | (8,027,701 | ) | (4,510,283 | ) | |||||||||||
Change in net assets resulting from capital transactions | 61,999,721 | (40,993,350 | ) | 55,474,967 | 138,568,910 | ||||||||||||||
Change in net assets | 63,251,488 | 27,420,259 | 18,221,547 | 185,655,643 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 221,055,560 | 193,635,301 | 251,797,385 | 66,141,742 | |||||||||||||||
End of period | $ | 284,307,048 | $ | 221,055,560 | $ | 270,018,932 | $ | 251,797,385 | |||||||||||
Capital Transactions: | |||||||||||||||||||
Proceeds from shares issued | $ | 180,785,637 | $ | 73,170,915 | $ | 210,566,850 | $ | 248,883,695 | |||||||||||
Cost of shares redeemed | (118,785,916 | ) | (114,164,265 | ) | (155,091,883 | ) | (110,314,785 | ) | |||||||||||
Change in net assets resulting from capital transactions | $ | 61,999,721 | $ | (40,993,350 | ) | $ | 55,474,967 | $ | 138,568,910 | ||||||||||
Share Transactions: | |||||||||||||||||||
Issued | 3,000,000 | 1,350,000 | 3,600,000 | 4,350,000 | |||||||||||||||
Redeemed | (2,000,000 | ) | (2,350,000 | ) | (2,650,000 | ) | (1,950,000 | ) | |||||||||||
Change in Shares | 1,000,000 | (1,000,000 | ) | 950,000 | 2,400,000 | ||||||||||||||
See notes to financial statements.
221
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares International High Div Volatility Wtd ETF | VictoryShares Emerging Market High Div Volatility Wtd ETF | VictoryShares Dividend Accelerator ETF | |||||||||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||||||||
From Investment Activities: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
| Net Investment Income (Loss) | $ | 1,067,491 | $ | 1,511,245 | $ | 932,040 | $ | 915,679 | $ | 5,112,728 | $ | 5,136,658 | |||||||||||||||
Net realized gains (losses) | 1,159,900 | 744,698 | 802,059 | (315,457 | ) | 41,850,336 | 38,451,332 | ||||||||||||||||||||
| Net change in unrealized appreciation/ depreciation | (3,116,371 | ) | 10,014,311 | (4,543,838 | ) | 4,615,926 | (59,220,747 | ) | 47,590,115 | ||||||||||||||||||
| Change in net assets resulting from operations | (888,980 | ) | 12,270,254 | (2,809,739 | ) | 5,216,148 | (12,257,683 | ) | 91,178,105 | ||||||||||||||||||
| Change in net assets resulting from distributions to shareholders | (1,097,626 | ) | (1,705,787 | ) | (1,055,027 | ) | (809,574 | ) | (5,149,858 | ) | (4,931,587 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | (4,953,633 | ) | (49,628,242 | ) | (5,470,754 | ) | (6,399,375 | ) | (48,837,549 | ) | 22,631,344 | ||||||||||||||||
Change in net assets | (6,940,239 | ) | (39,063,775 | ) | (9,335,520 | ) | (1,992,801 | ) | (66,245,090 | ) | 108,877,862 | ||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 22,978,256 | 62,042,031 | 19,686,373 | 21,679,174 | 344,154,471 | 235,276,609 | |||||||||||||||||||||
End of period | $ | 16,038,017 | $ | 22,978,256 | $ | 10,350,853 | $ | 19,686,373 | $ | 277,909,381 | $ | 344,154,471 | |||||||||||||||
Capital Transactions: | |||||||||||||||||||||||||||
| Proceeds from shares issued | $ | 53 | $ | 3,066,706 | $ | 1,067 | $ | 1,135,264 | $ | 167,875,902 | $ | 156,222,479 | |||||||||||||||
Cost of shares redeemed | (4,953,686 | ) | (52,694,948 | ) | (5,471,821 | ) | (7,534,639 | ) | (216,713,451 | ) | (133,591,135 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | $ | (4,953,633 | ) | $ | (49,628,242 | ) | $ | (5,470,754 | ) | $ | (6,399,375 | ) | $ | (48,837,549 | ) | $ | 22,631,344 | ||||||||||
Share Transactions: | |||||||||||||||||||||||||||
Issued | — | 100,000 | — | 50,000 | 3,650,000 | 3,850,000 | |||||||||||||||||||||
Redeemed | (150,000 | ) | (1,850,000 | ) | (250,000 | ) | (350,000 | ) | (4,750,000 | ) | (3,150,000 | ) | |||||||||||||||
Change in Shares | (150,000 | ) | (1,750,000 | ) | (250,000 | ) | (300,000 | ) | (1,100,000 | ) | 700,000 | ||||||||||||||||
See notes to financial statements.
222
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares US Multi-Factor Minimum Volatility ETF | VictoryShares US 500 Enhanced Volatility Wtd ETF | VictoryShares US EQ Income Enhanced Volatility Wtd ETF | |||||||||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||||||||
From Investment Activities: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
| Net Investment Income (Loss) | $ | 2,687,221 | $ | 2,767,382 | $ | 11,898,656 | $ | 8,590,245 | $ | 39,161,780 | $ | 19,769,279 | |||||||||||||||
| Net realized gains (losses) | 23,045,689 | 13,042,099 | 124,960,680 | 72,481,462 | 114,713,791 | 122,693,510 | |||||||||||||||||||||
| Net change in unrealized appreciation/ depreciation | (27,429,595 | ) | 20,081,016 | (223,003,372 | ) | 162,743,239 | (147,978,353 | ) | 97,533,008 | ||||||||||||||||||
| Change in net assets resulting from operations | (1,696,685 | ) | 35,890,497 | (86,144,036 | ) | 243,814,946 | 5,897,218 | 239,995,797 | |||||||||||||||||||
| Change in net assets resulting from distributions to shareholders | (2,679,211 | ) | (2,790,098 | ) | (11,440,022 | ) | (7,661,659 | ) | (36,342,855 | ) | (18,139,639 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | (40,248,349 | ) | (24,217,756 | ) | 51,596,689 | 91,574,225 | 1,020,995,531 | 129,097,767 | |||||||||||||||||||
Change in net assets | (44,624,245 | ) | 8,882,643 | (45,987,369 | ) | 327,727,512 | 990,549,894 | 350,953,925 | |||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 164,064,957 | 155,182,314 | 937,340,750 | 609,613,238 | 916,845,951 | 565,892,026 | |||||||||||||||||||||
End of period | $ | 119,440,712 | $ | 164,064,957 | $ | 891,353,381 | $ | 937,340,750 | $ | 1,907,395,845 | $ | 916,845,951 | |||||||||||||||
Capital Transactions: | |||||||||||||||||||||||||||
| Proceeds from shares issued | $ | 96,773,697 | $ | 52,363,615 | $ | 280,873,318 | $ | 281,258,675 | $ | 1,582,185,104 | $ | 465,006,422 | |||||||||||||||
| Cost of shares redeemed | (137,022,046 | ) | (76,581,371 | ) | (229,276,629 | ) | (189,684,450 | ) | (561,189,573 | ) | (335,908,655 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | $ | (40,248,349 | ) | $ | (24,217,756 | ) | $ | 51,596,689 | $ | 91,574,225 | $ | 1,020,995,531 | $ | 129,097,767 | |||||||||||||
Share Transactions: | |||||||||||||||||||||||||||
Issued | 2,400,000 | 1,450,000 | 3,850,000 | 4,250,000 | 22,950,000 | 7,600,000 | |||||||||||||||||||||
Redeemed | (3,450,000 | ) | (2,200,000 | ) | (3,150,000 | ) | (2,850,000 | ) | (8,300,000 | ) | (5,550,000 | ) | |||||||||||||||
Change in Shares | (1,050,000 | ) | (750,000 | ) | 700,000 | 1,400,000 | 14,650,000 | 2,050,000 | |||||||||||||||||||
See notes to financial statements.
223
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares US Discovery Enhanced Volatility Wtd ETF | VictoryShares Developed Enhanced Volatility Wtd ETF | VictoryShares Nasdaq Next 50 ETF | |||||||||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | For the Period September 10, 2020(a) through June 30, 2021 | ||||||||||||||||||||||
From Investment Activities: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
| Net Investment Income (loss) | $ | 820,477 | $ | 612,754 | $ | 862,590 | $ | 943,772 | $ | 545,521 | $ | 428,808 | |||||||||||||||
| Net realized gains (losses) | 2,090,345 | 13,619,143 | 1,591,399 | 2,593,353 | (10,770,137 | ) | 6,489,508 | ||||||||||||||||||||
| Net change in unrealized appreciation/ depreciation | (9,626,008 | ) | 6,795,969 | (6,884,687 | ) | 7,824,474 | (38,838,362 | ) | 21,355,266 | ||||||||||||||||||
| Change in net assets resulting from operations | (6,715,186 | ) | 21,027,866 | (4,430,698 | ) | 11,361,599 | (49,062,978 | ) | 28,273,582 | ||||||||||||||||||
| Change in net assets resulting from distributions to shareholders | (805,290 | ) | (596,428 | ) | (1,203,675 | ) | (879,139 | ) | (586,469 | ) | (345,554 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | 15,526,039 | 5,938,386 | (1,758,974 | ) | (16,195,189 | ) | (3,453,861 | ) | 120,538,914 | ||||||||||||||||||
Change in net assets | 8,005,563 | 26,369,824 | (7,393,347 | ) | (5,712,729 | ) | (53,103,308 | ) | 148,466,942 | ||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 63,572,451 | 37,202,627 | 42,742,458 | 48,455,187 | 148,466,942 | — | |||||||||||||||||||||
End of period | $ | 71,578,014 | $ | 63,572,451 | $ | 35,349,111 | $ | 42,742,458 | $ | 95,363,634 | $ | 148,466,942 | |||||||||||||||
Capital Transactions: | |||||||||||||||||||||||||||
| Proceeds from shares issued | $ | 36,104,432 | $ | 34,562,229 | $ | — | $ | — | $ | 38,309,198 | $ | 196,036,909 | |||||||||||||||
Cost of shares redeemed | (20,578,393 | ) | (28,623,843 | ) | (1,758,974 | ) | (16,195,189 | ) | (41,763,059 | ) | (75,497,995 | ) | |||||||||||||||
| Change in net assets resulting from capital transactions | $ | 15,526,039 | $ | 5,938,386 | $ | (1,758,974 | ) | $ | (16,195,189 | ) | $ | (3,453,861 | ) | $ | 120,538,914 | ||||||||||||
Share Transactions: | |||||||||||||||||||||||||||
Issued | 600,000 | 600,000 | — | — | 1,150,000 | 6,675,000 | |||||||||||||||||||||
Redeemed | (350,000 | ) | (500,000 | ) | (50,000 | ) | (550,000 | ) | (1,350,000 | ) | (2,350,000 | ) | |||||||||||||||
Change in Shares | 250,000 | 100,000 | (50,000 | ) | (550,000 | ) | (200,000 | ) | 4,325,000 | ||||||||||||||||||
(a) Commencement of operations.
See notes to financial statements.
224
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares ESG Core Plus Bond ETF | VictoryShares ESG Corporate Bond ETF | VictoryShares THB Mid Cap ESG ETF | |||||||||||||
| For the Period October 5, 2021(a) through June 30, 2022 | For the Period October 5, 2021(a) through June 30, 2022 | For the Period October 5, 2021(a) through June 30, 2022 | |||||||||||||
From Investment Activities: | |||||||||||||||
Operations: | |||||||||||||||
Net Investment Income (Loss) | $ | 3,117,886 | $ | 1,709,819 | $ | 1,022 | |||||||||
Net realized gains (losses) | (5,493,700 | ) | (991,577 | ) | 4,207 | ||||||||||
| Net change in unrealized appreciation/ depreciation | (22,293,736 | ) | (19,154,585 | ) | (317,418 | ) | |||||||||
| Change in net assets resulting from operations | (24,669,550 | ) | (18,436,343 | ) | (312,189 | ) | |||||||||
| Change in net assets resulting from distributions to shareholders | (2,591,088 | ) | (1,493,227 | ) | (7,901 | ) | |||||||||
| Change in net assets resulting from capital transactions | 240,989,786 | 124,252,438 | 2,373,729 | ||||||||||||
Change in net assets | 213,729,148 | 104,322,868 | 2,053,639 | ||||||||||||
Net Assets: | |||||||||||||||
Beginning of period | — | — | — | ||||||||||||
End of period | $ | 213,729,148 | $ | 104,322,868 | $ | 2,053,639 | |||||||||
Capital Transactions: | |||||||||||||||
Proceeds from shares issued | $ | 240,989,786 | $ | 124,252,438 | $ | 2,373,729 | |||||||||
| Change in net assets resulting from capital transactions | $ | 240,989,786 | $ | 124,252,438 | $ | 2,373,729 | |||||||||
Share Transactions: | |||||||||||||||
Issued | 9,750,000 | 5,000,000 | 100,000 | ||||||||||||
Change in Shares | 9,750,000 | 5,000,000 | 100,000 | ||||||||||||
(a) Commencement of operations.
See notes to financial statements.
225
Victory Portfolios II | Financial Highlights | ||||||
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Total Distributions | Net Asset Value, End of Period | Total Return | ||||||||||||||||||||||||||||
VictoryShares US 500 Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | $ | 71.26 | 0.94 | (6.99 | ) | (6.05 | ) | (0.94 | ) | (0.94 | ) | $ | 64.27 | (8.63 | )% | ||||||||||||||||||||
2021 | $ | 50.57 | 0.69 | 20.68 | 21.37 | (0.68 | ) | (0.68 | ) | $ | 71.26 | 42.51 | % | ||||||||||||||||||||||
2020 | $ | 52.46 | 0.77 | (1.88 | ) | (1.11 | ) | (0.78 | ) | (0.78 | ) | $ | 50.57 | (2.12 | )% | ||||||||||||||||||||
2019 | $ | 49.34 | 0.73 | 3.09 | 3.82 | (0.70 | ) | (0.70 | ) | $ | 52.46 | 7.86 | % | ||||||||||||||||||||||
2018 | $ | 44.05 | 0.63 | 5.26 | 5.89 | (0.60 | ) | (0.60 | ) | $ | 49.34 | 13.42 | % | ||||||||||||||||||||||
VictoryShares US Small Cap Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | $ | 64.96 | 0.86 | (8.44 | ) | (7.58 | ) | (0.84 | ) | (0.84 | ) | $ | 56.54 | (11.82 | )% | ||||||||||||||||||||
2021 | $ | 40.22 | 0.70 | 24.76 | 25.46 | (0.72 | ) | (0.72 | ) | $ | 64.96 | 63.72 | % | ||||||||||||||||||||||
2020 | $ | 45.87 | 0.59 | (5.62 | ) | (5.03 | ) | (0.62 | ) | (0.62 | ) | $ | 40.22 | (11.00 | )% | ||||||||||||||||||||
2019 | $ | 48.54 | 0.63 | (2.62 | ) | (1.99 | ) | (0.68 | ) | (0.68 | ) | $ | 45.87 | (4.07 | )% | ||||||||||||||||||||
2018 | $ | 42.40 | 0.50 | 6.14 | 6.64 | (0.50 | ) | (0.50 | ) | $ | 48.54 | 15.75 | % | ||||||||||||||||||||||
VictoryShares International Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | $ | 44.89 | 1.20 | (8.23 | ) | (7.03 | ) | (1.50 | ) | (1.50 | ) | $ | 36.36 | (16.10 | )% | ||||||||||||||||||||
2021 | $ | 34.63 | 0.95 | 10.25 | 11.20 | (0.94 | ) | (0.94 | ) | $ | 44.89 | 32.59 | % | ||||||||||||||||||||||
2020 | $ | 38.12 | 0.77 | (3.51 | ) | (2.74 | ) | (0.75 | ) | (0.75 | ) | $ | 34.63 | (7.23 | )% | ||||||||||||||||||||
2019 | $ | 39.09 | 1.17 | (1.07 | ) | 0.10 | (1.07 | ) | (1.07 | ) | $ | 38.12 | 0.33 | % | |||||||||||||||||||||
2018 | $ | 37.20 | 1.04 | 1.81 | 2.85 | (0.96 | ) | (0.96 | ) | $ | 39.09 | 7.62 | % | ||||||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Excludes impact of in-kind transactions.
See notes to financial statements.
226
Victory Portfolios II | Financial Highlights — continued | ||||||
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||
| Net Expenses(b) | Net Investment Income (Loss) | Gross Expenses(b) | Net Assets, End of Period (000's) | Portfolio Turnover(c) | |||||||||||||||||||
VictoryShares US 500 Volatility Wtd ETF | |||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||
2022 | 0.35 | % | 1.30 | % | 0.38 | % | $ | 533,403 | 21 | % | |||||||||||||
2021 | 0.35 | % | 1.13 | % | 0.39 | % | $ | 705,437 | 34 | % | |||||||||||||
2020 | 0.35 | % | 1.49 | % | 0.40 | % | $ | 670,005 | 28 | % | |||||||||||||
2019 | 0.35 | % | 1.48 | % | 0.40 | % | $ | 731,775 | 46 | % | |||||||||||||
2018 | 0.35 | % | 1.32 | % | 0.41 | % | $ | 567,370 | 36 | % | |||||||||||||
VictoryShares US Small Cap Volatility Wtd ETF | |||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||
2022 | 0.35 | % | 1.33 | % | 0.58 | % | $ | 22,617 | 55 | % | |||||||||||||
2021 | 0.35 | % | 1.30 | % | 0.55 | % | $ | 25,986 | 71 | % | |||||||||||||
2020 | 0.35 | % | 1.35 | % | 0.55 | % | $ | 16,089 | 50 | % | |||||||||||||
2019 | 0.35 | % | 1.36 | % | 0.46 | % | $ | 29,814 | 62 | % | |||||||||||||
2018 | 0.35 | % | 1.10 | % | 0.47 | % | $ | 41,261 | 47 | % | |||||||||||||
VictoryShares International Volatility Wtd ETF | |||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||
2022 | 0.45 | % | 2.79 | % | 0.58 | % | $ | 92,713 | 32 | % | |||||||||||||
2021 | 0.45 | % | 2.34 | % | 0.63 | % | $ | 116,710 | 45 | % | |||||||||||||
2020 | 0.45 | % | 2.12 | % | 0.64 | % | $ | 83,120 | 41 | % | |||||||||||||
2019 | 0.45 | % | 3.14 | % | 0.73 | % | $ | 36,215 | 53 | % | |||||||||||||
2018 | 0.45 | % | 2.61 | % | 0.98 | % | $ | 21,497 | 37 | % | |||||||||||||
See notes to financial statements.
227
Victory Portfolios II | Financial Highlights | ||||||
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Net Realized Gains from Investments | ||||||||||||||||||||||
VictoryShares US Large Cap High Div Volatility Wtd ETF | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 56.68 | 1.84 | 1.30 | 3.14 | (1.80 | ) | — | |||||||||||||||||||
2021 | $ | 39.52 | 1.45 | 17.10 | 18.55 | (1.39 | ) | — | |||||||||||||||||||
2020 | $ | 47.03 | 1.58 | (7.44 | ) | (5.86 | ) | (1.65 | ) | — | |||||||||||||||||
2019 | $ | 45.06 | 1.51 | 1.83 | 3.34 | (1.37 | ) | — | |||||||||||||||||||
2018 | $ | 42.17 | 1.34 | 2.92 | 4.26 | (1.37 | ) | — | |||||||||||||||||||
VictoryShares US Small Cap High Div Volatility Wtd ETF | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 59.95 | 1.83 | (7.52 | ) | (5.69 | ) | (1.83 | ) | — | |||||||||||||||||
2021 | $ | 36.75 | 1.85 | 23.26 | 25.11 | (1.91 | ) | — | |||||||||||||||||||
2020 | $ | 44.28 | 1.53 | (7.47 | ) | (5.94 | ) | (1.59 | ) | — | |||||||||||||||||
2019 | $ | 45.96 | 1.38 | (1.74 | ) | (0.36 | ) | (1.32 | ) | — | |||||||||||||||||
2018 | $ | 40.41 | 1.39 | 5.61 | 7.00 | (1.45 | ) | — | |||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Excludes impact of in-kind transactions.
See notes to financial statements.
228
Victory Portfolios II | Financial Highlights — continued | ||||||
| Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||
| Total Distributions | Net Asset Value, End of Period | Total Return | Net Expenses(b) | Net Investment Income (Loss) | Gross Expenses(b) | Net Assets, End of Period (000's) | Portfolio Turnover(c) | ||||||||||||||||||||||||||||
VictoryShares US Large Cap High Div Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (1.80 | ) | $ | 58.02 | 5.50 | % | 0.35 | % | 3.06 | % | 0.40 | % | $ | 284,307 | 43 | % | |||||||||||||||||||
2021 | (1.39 | ) | $ | 56.68 | 47.74 | % | 0.35 | % | 3.04 | % | 0.41 | % | $ | 221,056 | 67 | % | |||||||||||||||||||
2020 | (1.65 | ) | $ | 39.52 | (12.78 | )% | 0.35 | % | 3.47 | % | 0.41 | % | $ | 193,635 | 56 | % | |||||||||||||||||||
2019 | (1.37 | ) | $ | 47.03 | 7.59 | % | 0.35 | % | 3.33 | % | 0.42 | % | $ | 331,527 | 66 | % | |||||||||||||||||||
2018 | (1.37 | ) | $ | 45.06 | 10.23 | % | 0.35 | % | 3.04 | % | 0.42 | % | $ | 144,187 | 52 | % | |||||||||||||||||||
VictoryShares US Small Cap High Div Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (1.83 | ) | $ | 52.43 | (9.76 | )% | 0.35 | % | 3.14 | % | 0.40 | % | $ | 270,019 | 68 | % | |||||||||||||||||||
2021 | (1.91 | ) | $ | 59.95 | 69.75 | % | 0.35 | % | 3.51 | % | 0.42 | % | $ | 251,797 | 104 | % | |||||||||||||||||||
2020 | (1.59 | ) | $ | 36.75 | (13.61 | )% | 0.35 | % | 3.69 | % | 0.44 | % | $ | 66,142 | 68 | % | |||||||||||||||||||
2019 | (1.32 | ) | $ | 44.28 | (0.70 | )% | 0.35 | % | 3.10 | % | 0.44 | % | $ | 75,277 | 83 | % | |||||||||||||||||||
2018 | (1.45 | ) | $ | 45.96 | 17.64 | % | 0.35 | % | 3.23 | % | 0.45 | % | $ | 43,665 | 68 | % | |||||||||||||||||||
See notes to financial statements.
229
Victory Portfolios II | Financial Highlights | ||||||
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Net Realized Gains from Investments | ||||||||||||||||||||||
VictoryShares International High Div Volatility Wtd ETF | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 32.83 | 1.80 | (3.63 | ) | (1.83 | ) | (1.84 | ) | — | |||||||||||||||||
2021 | $ | 25.32 | 1.11 | 7.73 | 8.84 | (1.33 | ) | — | |||||||||||||||||||
2020 | $ | 32.43 | 1.02 | (7.13 | ) | (6.11 | ) | (1.00 | ) | — | |||||||||||||||||
2019 | $ | 33.94 | 1.63 | (1.48 | ) | 0.15 | (1.66 | ) | — | ||||||||||||||||||
2018 | $ | 34.25 | 1.47 | (0.41 | ) | 1.06 | (1.37 | ) | — | ||||||||||||||||||
VictoryShares Emerging Market High Div Volatility Wtd ETF | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 24.61 | 1.32 | (5.66 | ) | (4.34 | ) | (1.45 | ) | — | |||||||||||||||||
2021 | $ | 19.71 | 0.99 | 4.73 | 5.72 | (0.82 | ) | — | |||||||||||||||||||
2020 | $ | 24.39 | 0.94 | (4.63 | ) | (3.69 | ) | (0.99 | ) | — | |||||||||||||||||
2019 | $ | 23.92 | 1.31 | 0.35 | 1.66 | (1.05 | ) | (0.14 | ) | ||||||||||||||||||
| October 26, 2017(f) through June 30, 2018 | $ | 24.95 | 0.78 | (1.29 | ) | (0.51 | ) | (0.52 | ) | — | |||||||||||||||||
VictoryShares Dividend Accelerator ETF | |||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||
2022 | $ | 44.12 | 0.70 | (2.63 | ) | (1.93 | ) | (0.71 | ) | — | |||||||||||||||||
2021 | $ | 33.14 | 0.66 | 10.95 | 11.61 | (0.63 | ) | — | |||||||||||||||||||
2020 | $ | 32.90 | 0.55 | 0.19 | 0.74 | (0.50 | ) | — | |||||||||||||||||||
2019 | $ | 28.41 | 0.48 | 4.47 | 4.95 | (0.46 | ) | — | |||||||||||||||||||
2018 | $ | 25.95 | 0.48 | 2.45 | 2.93 | (0.47 | ) | — | |||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Does not include acquired fund fees and expenses, if any.
(d) Annualized for periods less than one year.
(e) Excludes impact of in-kind transactions.
(f) Commencement of operations.
(g) During the period, the Fund paid interest fees. Excluding these fees, the ratio of net expense to average net assets for the years ended June 30, 2022, and June 30, 2019, was 0.50%.
See notes to financial statements.
230
Victory Portfolios II | Financial Highlights — continued | ||||||
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||||||||||||||
| Total Distributions | Net Asset Value, End of Period | Total Return(b) | Net Expenses(c)(d) | Net Investment Income (Loss)(d) | Gross Expenses(c)(d) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(e) | ||||||||||||||||||||||||||||
VictoryShares International High Div Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (1.84 | ) | $ | 29.16 | (5.92 | )% | 0.45 | % | 5.57 | % | 0.85 | % | $ | 16,038 | 62 | % | |||||||||||||||||||
2021 | (1.33 | ) | $ | 32.83 | 35.49 | % | 0.45 | % | 3.95 | % | 0.66 | % | $ | 22,978 | 111 | % | |||||||||||||||||||
2020 | (1.00 | ) | $ | 25.32 | (19.22 | )% | 0.45 | % | 3.45 | % | 0.57 | % | $ | 62,042 | 71 | % | |||||||||||||||||||
2019 | (1.66 | ) | $ | 32.43 | 0.58 | % | 0.45 | % | 5.06 | % | 0.59 | % | $ | 40,540 | 76 | % | |||||||||||||||||||
2018 | (1.37 | ) | $ | 33.94 | 3.00 | % | 0.45 | % | 4.14 | % | 0.60 | % | $ | 45,824 | 58 | % | |||||||||||||||||||
VictoryShares Emerging Market High Div Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (1.45 | ) | $ | 18.82 | (18.55 | )% | 0.51 | %(g) | 5.76 | % | 1.40 | % | $ | 10,351 | 86 | % | |||||||||||||||||||
2021 | (0.82 | ) | $ | 24.61 | 29.69 | % | 0.50 | % | 4.55 | % | 1.19 | % | $ | 19,686 | 101 | % | |||||||||||||||||||
2020 | (0.99 | ) | $ | 19.71 | (15.55 | )% | 0.50 | % | 4.24 | % | 0.85 | % | $ | 21,679 | 86 | % | |||||||||||||||||||
2019 | (1.19 | ) | $ | 24.39 | 7.30 | % | 0.51 | %(g) | 5.52 | % | 0.88 | % | $ | 40,251 | 103 | % | |||||||||||||||||||
| October 26, 2017(f) through June 30, 2018 | (0.52 | ) | $ | 23.92 | (2.17 | )% | 0.50 | % | 4.44 | % | 1.05 | % | $ | 21,532 | 52 | % | |||||||||||||||||||
VictoryShares Dividend Accelerator ETF | |||||||||||||||||||||||||||||||||||
Year Ended June 30: | |||||||||||||||||||||||||||||||||||
2022 | (0.71 | ) | $ | 41.48 | (4.49 | )% | 0.35 | % | 1.55 | % | 0.39 | % | $ | 277,909 | 43 | % | |||||||||||||||||||
2021 | (0.63 | ) | $ | 44.12 | 35.33 | % | 0.35 | % | 1.67 | % | 0.40 | % | $ | 344,154 | 41 | % | |||||||||||||||||||
2020 | (0.50 | ) | $ | 33.14 | 2.23 | % | 0.35 | % | 1.65 | % | 0.42 | % | $ | 235,277 | 74 | % | |||||||||||||||||||
2019 | (0.46 | ) | $ | 32.90 | 17.60 | % | 0.35 | % | 1.57 | % | 0.59 | % | $ | 16,450 | 62 | % | |||||||||||||||||||
2018 | (0.47 | ) | $ | 28.41 | 11.33 | % | 0.35 | % | 1.75 | % | 0.67 | % | $ | 7,102 | 43 | % | |||||||||||||||||||
See notes to financial statements.
231
Victory Portfolios II | Financial Highlights | ||||||
Investment Activities | Distributions to | ||||||||||||||||||||||||||||||||||
Net Asset | Net |
| Total from | Net | Total | Net Asset | Total | ||||||||||||||||||||||||||||
VictoryShares US Multi-Factor Minimum Volatility ETF | |||||||||||||||||||||||||||||||||||
2022 | $ | 38.15 | 0.66 | (1.39 | ) | (0.73 | ) | (0.67 | ) | (0.67 | ) | $ | 36.75 | (2.04 | )% | ||||||||||||||||||||
2021 | $ | 30.73 | 0.62 | 7.43 | 8.05 | (0.63 | ) | (0.63 | ) | $ | 38.15 | 26.47 | % | ||||||||||||||||||||||
2020 | $ | 30.87 | 0.70 |
| (0.14 | ) | 0.56 | (0.70 | ) | (0.70 | ) | $ | 30.73 | 1.82 | % | ||||||||||||||||||||
2019 | $ | 27.58 | 0.73 | 3.20 | 3.93 | (0.64 | ) | (0.64 | ) | $ | 30.87 | 14.47 | % | ||||||||||||||||||||||
2018 | $ | 24.83 | 0.63 | 2.69 | 3.32 | (0.57 | ) | (0.57 | ) | $ | 27.58 | 13.41 | % | ||||||||||||||||||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
2022 | $ | 71.28 | 0.87 | (6.95 | ) | (6.08 | ) | (0.84 | ) | (0.84 | ) | $ | 64.36 | (8.67 | )% | ||||||||||||||||||||
2021 | $ | 51.88 | 0.70 | 19.32 | 20.02 | (0.62 | ) | (0.62 | ) | $ | 71.28 | 38.78 | % | ||||||||||||||||||||||
2020 | $ | 48.89 | 0.60 | 3.04 | 3.64 | (0.65 | ) | (0.65 | ) | $ | 51.88 | 7.49 | % | ||||||||||||||||||||||
2019 | $ | 49.30 | 0.73 | (0.42 | ) | 0.31 | (0.72 | ) | (0.72 | ) | $ | 48.89 | 0.69 | % | |||||||||||||||||||||
2018 | $ | 44.00 | 0.64 | 5.25 | 5.89 | (0.59 | ) | (0.59 | ) | $ | 49.30 | 13.42 | % | ||||||||||||||||||||||
VictoryShares US EQ Income Enhanced Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
2022 | $ | 64.57 | 2.14 |
| 1.42 | (f) | 3.56 | (2.02 | ) | (2.02 | ) | $ | 66.11 | 5.49 | % | ||||||||||||||||||||
2021 | $ | 46.58 | 1.56 | 17.87 | 19.43 | (1.44 | ) | (1.44 | ) | $ | 64.57 | 42.31 | % | ||||||||||||||||||||||
2020 | $ | 45.54 | 1.39 | 1.09 | 2.48 | (1.44 | ) | (1.44 | ) | $ | 46.58 | 5.49 | % | ||||||||||||||||||||||
2019 | $ | 46.29 | 1.46 | (0.80 | ) | 0.66 | (1.41 | ) | (1.41 | ) | $ | 45.54 | 1.52 | % | |||||||||||||||||||||
2018 | $ | 43.30 | 1.39 | 2.99 | 4.38 | (1.39 | ) | (1.39 | ) | $ | 46.29 | 10.23 | % | ||||||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Excludes impact of in-kind transactions.
(d) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
(e) Increased trading levels in a given year reflect additional portfolio transactions required to track the "enhanced volatility" methodology of the Fund's underlying index. The Fund expects trading levels to be lower during periods of lower market volatility
(f) The amount shown reflects a net realized and unrealized gain per share, whereas the Statement of Operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.
See notes to financial statements.
232
Victory Portfolios II | Financial Highlights — continued | ||||||
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||
| Net Expenses(b) | Net Investment Income (Loss) | Gross Expenses(b) | Net Assets, End of Period (000's) | Portfolio Turnover(c) | |||||||||||||||||||
VictoryShares US Multi-Factor Minimum Volatility ETF | |||||||||||||||||||||||
2022 | 0.35 | % | 1.66 | % | 0.41 | % | $ | 119,441 | 63 | % | |||||||||||||
2021 | 0.35 | % | 1.80 | % | 0.41 | % | $ | 164,065 | 56 | % | |||||||||||||
2020 | 0.35 | % | 2.23 | % | 0.42 | % | $ | 155,182 | 69 | % | |||||||||||||
2019 | 0.35 | % | 2.50 | % | 0.48 | % | $ | 43,213 | 34 | % | |||||||||||||
2018 | 0.35 | % | 2.33 | % | 0.74 | % | $ | 8,273 | 26 | % | |||||||||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF | |||||||||||||||||||||||
2022 | 0.35 | % | 1.20 | % | 0.38 | % | $ | 891,353 | 101 | %(d) | |||||||||||||
2021 | 0.35 | % | 1.13 | % | 0.39 | % | $ | 937,341 | 34 | % | |||||||||||||
2020 | 0.35 | % | 1.20 | % | 0.40 | % | $ | 609,613 | 56 | % | |||||||||||||
2019 | 0.35 | % | 1.51 | % | 0.40 | % | $ | 828,729 | 116 | %(d) | |||||||||||||
2018 | 0.35 | % | 1.32 | % | 0.41 | % | $ | 951,411 | 37 | % | |||||||||||||
VictoryShares US EQ Income Enhanced Volatility Wtd ETF | |||||||||||||||||||||||
2022 | 0.35 | % | 3.13 | % | 0.39 | % | $ | 1,907,396 | 41 | % | |||||||||||||
2021 | 0.35 | % | 2.80 | % | 0.40 | % | $ | 916,846 | 65 | %(e) | |||||||||||||
2020 | 0.35 | % | 3.02 | % | 0.40 | % | $ | 565,892 | 116 | % | |||||||||||||
2019 | 0.35 | % | 3.22 | % | 0.40 | % | $ | 696,814 | 143 | %(d) | |||||||||||||
2018 | 0.35 | % | 3.06 | % | 0.41 | % | $ | 738,260 | 52 | % | |||||||||||||
See notes to financial statements.
233
Victory Portfolios II | Financial Highlights | ||||||
Investment Activities | Distributions to | ||||||||||||||||||||||||||||||||||
Net Asset | Net |
| Total from | Net | Total | Net Asset | Total | ||||||||||||||||||||||||||||
VictoryShares US Discovery Enhanced Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
2022 | $ | 60.55 | 0.69 | (5.48 | ) | (4.79 | ) | (0.70 | ) | (0.70 | ) | $ | 55.06 | (8.00 | )% | ||||||||||||||||||||
2021 | $ | 39.16 | 0.62 | 21.38 | 22.00 | (0.61 | ) | (0.61 | ) | $ | 60.55 | 56.47 | % | ||||||||||||||||||||||
2020 | $ | 37.80 | 0.44 |
| 1.42 | 1.86 | (0.50 | ) | (0.50 | ) | $ | 39.16 | 5.00 | % | |||||||||||||||||||||
2019 | $ | 47.41 | 0.64 | (9.61 | ) | (8.97 | ) | (0.64 | ) | (0.64 | ) | $ | 37.80 | (19.04 | )% | ||||||||||||||||||||
2018 | $ | 41.41 | 0.50 | 5.98 | 6.48 | (0.48 | ) | (0.48 | ) | $ | 47.41 | 15.75 | % | ||||||||||||||||||||||
VictoryShares Developed Enhanced Volatility Wtd ETF | |||||||||||||||||||||||||||||||||||
2022 | $ | 34.19 | 0.72 | (4.45 | ) | (3.73 | ) | (1.00 | ) | (1.00 | ) | $ | 29.46 | (11.20 | )% | ||||||||||||||||||||
2021 | $ | 26.92 | 0.66 | 7.26 | 7.92 | (0.65 | ) | (0.65 | ) | $ | 34.19 | 29.63 | % | ||||||||||||||||||||||
2020 | $ | 32.10 | 0.52 | (5.14 | ) | (4.62 | ) | (0.56 | ) | (0.56 | ) | $ | 26.92 | (14.55 | )% | ||||||||||||||||||||
2019 | $ | 33.79 | 0.85 | (1.59 | ) | (0.74 | ) | (0.95 | ) | (0.95 | ) | $ | 32.10 | (2.16 | )% | ||||||||||||||||||||
2018 | $ | 32.22 | 0.94 | 1.45 | 2.39 | (0.82 | ) | (0.82 | ) | $ | 33.79 | 7.41 | % | ||||||||||||||||||||||
VictoryShares Nasdaq Next 50 ETF | |||||||||||||||||||||||||||||||||||
Year Ended | $ | 34.33 | 0.12 | (11.20 | ) | (11.08 | ) | (0.13 | ) | (0.13 | ) | $ | 23.12 | (32.34 | )% | ||||||||||||||||||||
September 10, 2020(i) | $ | 25.45 | 0.12 | 8.85 | 8.97 | (0.09 | ) | (0.09 | ) | $ | 34.33 | 35.26 | % | ||||||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Does not include acquired fund fees and expenses, if any.
(d) Annualized for periods less than one year
(e) Excludes impact of in-kind transactions.
(f) Increased trading levels in a given year reflect additional portfolio transactions required to track the "enhanced volatility" methodology of the Fund's underlying index. The Fund expects trading levels to be lower during periods of lower market volatility.
(g) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
(i) Commencement of operations.
See notes to financial statements.
234
Victory Portfolios II | Financial Highlights — continued | ||||||
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||
| Net Expenses(c)(d) | Net Investment Income (Loss)(d) | Gross Expenses(c)(d) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(e) | |||||||||||||||||||
VictoryShares US Discovery Enhanced Volatility Wtd ETF | |||||||||||||||||||||||
2022 | 0.35 | % | 1.15 | % | 0.45 | % | $ | 71,578 | 64 | % | |||||||||||||
2021 | 0.35 | % | 1.22 | % | 0.46 | % | $ | 63,572 | 70 | %(f) | |||||||||||||
2020 | 0.35 | % | 1.19 | % | 0.47 | % | $ | 37,203 | 232 | % | |||||||||||||
2019 | 0.35 | % | 1.48 | % | 0.42 | % | $ | 92,614 | 398 | %(g) | |||||||||||||
2018 | 0.35 | % | 1.13 | % | 0.43 | % | $ | 116,157 | 47 | % | |||||||||||||
VictoryShares Developed Enhanced Volatility Wtd ETF | |||||||||||||||||||||||
2022 | 0.45 | % | 2.17 | % | 0.81 | % | $ | 35,349 | 37 | % | |||||||||||||
2021 | 0.45 | % | 2.16 | % | 0.88 | % | $ | 42,742 | 55 | % | |||||||||||||
2020 | 0.45 | % | 1.69 | % | 0.65 | % | $ | 48,455 | 33 | % | |||||||||||||
2019 | 0.45 | % | 2.63 | % | 0.56 | % | $ | 110,746 | 154 | %(g) | |||||||||||||
2018 | 0.45 | % | 2.73 | % | 0.58 | % | $ | 179,103 | 38 | % | |||||||||||||
VictoryShares Nasdaq Next 50 ETF | |||||||||||||||||||||||
| Year Ended June 30, 2022 | 0.18 | % | 0.40 | % | 0.31 | % | $ | 95,364 | 95 | % | |||||||||||||
| September 10, 2020(i) through June 30, 2021 | 0.18 | % | 0.46 | % | 0.30 | % | $ | 148,467 | 68 | % | |||||||||||||
See notes to financial statements.
235
Victory Portfolios II | Financial Highlights | ||||||
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Total Distributions | Net Asset Value, End of Period | Total Return(b) | ||||||||||||||||||||||||||||
VictoryShares ESG Core Plus Bond ETF | |||||||||||||||||||||||||||||||||||
| October 5, 2021(f) through June 30, 2022 | $ | 25.00 | 0.38 | (3.17 | ) | (2.79 | ) | (0.29 | ) | (0.29 | ) | $ | 21.92 | (11.20 | )% | ||||||||||||||||||||
VictoryShares ESG Corporate Bond ETF | |||||||||||||||||||||||||||||||||||
| October 5, 2021(f) through June 30, 2022 | $ | 25.00 | 0.37 | (4.19 | ) | (3.82 | ) | (0.32 | ) | (0.32 | ) | $ | 20.86 | (15.37 | )% | ||||||||||||||||||||
VictoryShares THB Mid Cap ESG ETF | |||||||||||||||||||||||||||||||||||
| October 5, 2021(f) through June 30, 2022 | $ | 23.74 | 0.01 | (3.13 | ) | (3.12 | ) | (0.08 | ) | (0.08 | ) | $ | 20.54 | (13.23 | )% | ||||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) Commencement of operations.
See notes to financial statements.
236
Victory Portfolios II | Financial Highlights — continued | ||||||
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||
| Net Expenses(c)(d) | Net Investment Income (Loss)(c) | Gross Expenses(c)(d) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(e) | |||||||||||||||||||
VictoryShares ESG Core Plus Bond ETF | |||||||||||||||||||||||
| October 5, 2021(f) through June 30, 2022 | 0.40 | % | 2.20 | % | 0.50 | % | $ | 213,729 | 56 | % | |||||||||||||
VictoryShares ESG Corporate Bond ETF | |||||||||||||||||||||||
| October 5, 2021(f) through June 30, 2022 | 0.40 | % | 2.17 | % | 0.53 | % | $ | 104,323 | 9 | % | |||||||||||||
VictoryShares THB Mid Cap ESG ETF | |||||||||||||||||||||||
| October 5, 2021(f) through June 30, 2022 | 0.55 | % | 0.06 | % | 2.49 | % | $ | 2,054 | 17 | % | |||||||||||||
See notes to financial statements.
237
Victory Portfolios II | Notes to Financial Statements June 30, 2022 | ||||||
1. Organization:
Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 25 funds, 23 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.
The accompanying financial statements are those of the following 17 Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.
Funds (Legal Name) | Funds (Short Name) | ||||||
VictoryShares US 500 Volatility Wtd ETF | US 500 Volatility Wtd ETF | ||||||
VictoryShares US Small Cap Volatility Wtd ETF | US Small Cap Volatility Wtd ETF | ||||||
VictoryShares International Volatility Wtd ETF | International Volatility Wtd ETF | ||||||
| VictoryShares US Large Cap High Div Volatility Wtd ETF | US Large Cap High Div Volatility Wtd ETF | ||||||
| VictoryShares US Small Cap High Div Volatility Wtd ETF | US Small Cap High Div Volatility Wtd ETF | ||||||
| VictoryShares International High Div Volatility Wtd ETF | International High Div Volatility Wtd ETF | ||||||
| VictoryShares Emerging Market High Div Volatility Wtd ETF | Emerging Market High Div Volatility Wtd ETF | ||||||
VictoryShares Dividend Accelerator ETF | Dividend Accelerator ETF | ||||||
| VictoryShares US Multi-Factor Minimum Volatility ETF | US Multi-Factor Minimum Volatility ETF | ||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF | US 500 Enhanced Volatility Wtd ETF | ||||||
| VictoryShares US EQ Income Enhanced Volatility Wtd ETF | US EQ Income Enhanced Volatility Wtd ETF | ||||||
| VictoryShares US Discovery Enhanced Volatility Wtd ETF | US Discovery Enhanced Volatility Wtd ETF | ||||||
| VictoryShares Developed Enhanced Volatility Wtd ETF | Developed Enhanced Volatility Wtd ETF | ||||||
VictoryShares Nasdaq Next 50 ETF | Nasdaq Next 50 ETF | ||||||
VictoryShares ESG Core Plus Bond ETF | ESG Core Plus Bond ETF* | ||||||
VictoryShares ESG Corporate Bond ETF | ESG Corporate Bond ETF* | ||||||
VictoryShares THB Mid Cap ESG ETF | THB Mid Cap ESG ETF* | ||||||
* Commenced operations on October 5, 2021.
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. Generally Accepted Accounting Principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make 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 the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
238
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Shares of the Funds are listed and traded on Nasdaq Stock Market, LLC. (the "Exchange"). The Funds issue and redeem shares at Net Asset Value ("NAV") only in aggregations of 50,000 shares, or 25,000 shares in the case of THB Mid Cap ESG ETF, ESG Core Plus Bond ETF, ESG Corporate Bond ETF, and Nasdaq Next 50 ETF (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). 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. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance of such cash creations or redemptions, transaction fees may be imposed and may be higher than the transaction fees associated with in-kind creations or redemptions.
Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transactional costs associated with the purchase of Creation Units. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units. Variable fees received by each Fund are displayed in the Capital Transactions section of the Statements of Changes in Net Assets as an increase to Capital.
The transaction fees for each Fund are listed below:
| Fee for In-Kind and Cash Purchases and Redemptions | Maximum Additional Variable Charge for Cash Purchases and Redemptions* | ||||||||||
US 500 Volatility Wtd ETF | $ | 750 | 2.00 | % | |||||||
US Small Cap Volatility Wtd ETF | 750 | 2.00 | % | ||||||||
International Volatility Wtd ETF | 6,000 | 2.00 | % | ||||||||
US Large Cap High Div Volatility Wtd ETF | 250 | 2.00 | % | ||||||||
US Small Cap High Div Volatility Wtd ETF | 250 | 2.00 | % | ||||||||
International High Div Volatility Wtd ETF | 1,500 | 2.00 | % | ||||||||
Emerging Market High Div Volatility Wtd ETF | 3,400 | 2.00 | % | ||||||||
Dividend Accelerator ETF | 250 | 2.00 | % | ||||||||
US Multi-Factor Minimum Volatility ETF | 250 | 2.00 | % | ||||||||
US 500 Enhanced Volatility Wtd ETF | 750 | 2.00 | % | ||||||||
US EQ Income Enhanced Volatility Wtd ETF | 250 | 2.00 | % | ||||||||
US Discovery Enhanced Volatility Wtd ETF | 750 | 2.00 | % | ||||||||
Developed Enhanced Volatility Wtd ETF | 4,500 | 2.00 | % | ||||||||
Nasdaq Next 50 ETF | 250 | 2.00 | % | ||||||||
ESG Core Plus Bond ETF | 100 | 2.00 | % | ||||||||
ESG Corporate Bond ETF | 100 | 2.00 | % | ||||||||
| THB Mid Cap ESG ETF | 250 | 2.00 | % | ||||||||
* As a percentage of the amount invested.
Investment Valuation:
The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
239
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical securities
• Level 2 — other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)
• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.
Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to the Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.
Portfolio securities listed or traded on securities exchanges, including Exchange-Traded Funds ("ETFs"), and American Depositary Receipts ("ADRs"), are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Investments in open-end investment companies are valued at their NAV. These valuations are typically categorized as Level 1 in the fair value hierarchy.
Debt securities are valued each business day by a pricing service approved by the Board. The approved pricing service uses the evaluated bid or the last sale price to value securities. Debt obligations maturing within 60 days may be valued at amortized cost, provided that the amortized cost represents the fair value of such securities. These valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.
In the event that price quotations or valuations are not readily available, investments are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
A summary of the valuations as of June 30, 2022, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
US 500 Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 530,853,266 | $ | — | $ | — | $ | 530,853,266 | |||||||||||
Collateral for Securities Loaned | 3,378,841 | — | — | 3,378,841 | |||||||||||||||
Total | $ | 534,232,107 | $ | — | $ | — | $ | 534,232,107 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (88,322 | ) | $ | — | $ | — | $ | (88,322 | ) | |||||||||
Total | $ | (88,322 | ) | $ | — | $ | — | $ | (88,322 | ) | |||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
US Small Cap Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 22,530,994 | $ | — | $ | — | $ | 22,530,994 | |||||||||||
Collateral for Securities Loaned | 264,405 | — | — | 264,405 | |||||||||||||||
Total | $ | 22,795,399 | $ | — | $ | — | $ | 22,795,399 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Assets: | |||||||||||||||||||
Futures Contracts | $ | 2,666 | $ | — | $ | — | $ | 2,666 | |||||||||||
Total | $ | 2,666 | $ | — | $ | — | $ | 2,666 | |||||||||||
International Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 91,877,707 | $ | — | $ | 30,234 | $ | 91,907,941 | |||||||||||
Collateral for Securities Loaned | 3,149,309 | — | — | 3,149,309 | |||||||||||||||
Total | $ | 95,027,016 | $ | — | $ | 30,234 | $ | 95,057,250 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (3,840 | ) | $ | — | $ | — | $ | (3,840 | ) | |||||||||
Total | $ | (3,840 | ) | $ | — | $ | — | $ | (3,840 | ) | |||||||||
US Large Cap High Div Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 282,119,700 | $ | — | $ | — | $ | 282,119,700 | |||||||||||
Total | $ | 282,119,700 | $ | — | $ | — | $ | 282,119,700 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (71,199 | ) | $ | — | $ | — | $ | (71,199 | ) | |||||||||
Total | $ | (71,199 | ) | $ | — | $ | — | $ | (71,199 | ) | |||||||||
US Small Cap High Div Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 268,142,086 | $ | — | $ | — | $ | 268,142,086 | |||||||||||
Collateral for Securities Loaned | 7,579,061 | — | — | 7,579,061 | |||||||||||||||
Total | $ | 275,721,147 | $ | — | $ | — | $ | 275,721,147 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (84,763 | ) | $ | — | $ | — | $ | (84,763 | ) | |||||||||
Total | (84,763 | ) | $ | — | $ | — | $ | (84,763 | ) | ||||||||||
International High Div Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 15,803,369 | $ | — | $ | 20,694 | $ | 15,824,063 | |||||||||||
Collateral for Securities Loaned | 373,455 | — | — | 373,455 | |||||||||||||||
Total | $ | 16,176,824 | $ | — | $ | 20,694 | $ | 16,197,518 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (214 | ) | $ | — | $ | — | $ | (214 | ) | |||||||||
Total | $ | (214 | ) | $ | — | $ | — | $ | (214 | ) | |||||||||
Emerging Market High Div Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 10,172,788 | $ | — | $ | 23,902 | $ | 10,196,690 | |||||||||||
Collateral for Securities Loaned | 266,208 | — | — | 266,208 | |||||||||||||||
Total | $ | 10,438,996 | $ | — | $ | 23,902 | $ | 10,462,898 | |||||||||||
241
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (413 | ) | $ | — | $ | — | $ | (413 | ) | |||||||||
Total | $ | (413 | ) | $ | — | $ | — | $ | (413 | ) | |||||||||
Dividend Accelerator ETF | |||||||||||||||||||
Common Stocks | $ | 276,702,587 | $ | — | $ | — | $ | 276,702,587 | |||||||||||
Collateral for Securities Loaned | 365,864 | — | — | 365,864 | |||||||||||||||
Total | $ | 277,068,451 | $ | — | $ | — | $ | 277,068,451 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (7,739 | ) | $ | — | $ | — | $ | (7,739 | ) | |||||||||
Total | $ | (7,739 | ) | $ | — | $ | — | $ | (7,739 | ) | |||||||||
US Multi-Factor Minimum Volatility ETF | |||||||||||||||||||
Common Stocks | $ | 118,947,780 | $ | — | $ | — | $ | 118,947,780 | |||||||||||
Total | $ | 118,947,780 | $ | — | $ | — | $ | 118,947,780 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (13,978 | ) | $ | — | $ | — | $ | (13,978 | ) | |||||||||
Total | $ | (13,978 | ) | $ | — | $ | — | $ | (13,978 | ) | |||||||||
US 500 Enhanced Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 887,233,092 | $ | — | $ | — | $ | 887,233,092 | |||||||||||
Investment Companies | 3,245,046 | — | — | 3,245,046 | |||||||||||||||
Collateral for Securities Loaned | 1,272,943 | — | — | 1,272,943 | |||||||||||||||
Total | $ | 891,751,081 | $ | — | $ | — | $ | 891,751,081 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (178,516 | ) | $ | — | $ | — | $ | (178,516 | ) | |||||||||
Total | $ | (178,516 | ) | $ | — | $ | — | $ | (178,516 | ) | |||||||||
US EQ Income Enhanced Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 1,893,657,402 | $ | — | $ | — | $ | 1,893,657,402 | |||||||||||
Investment Companies | 9,879,922 | — | — | 9,879,922 | |||||||||||||||
Collateral for Securities Loaned | 15,352,137 | — | — | 15,352,137 | |||||||||||||||
Total | $ | 1,918,889,461 | $ | — | $ | — | $ | 1,918,889,461 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (388,274 | ) | $ | — | $ | — | $ | (388,274 | ) | |||||||||
Total | $ | (388,274 | ) | $ | — | $ | — | $ | (388,274 | ) | |||||||||
US Discovery Enhanced Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 16,907,045 | $ | — | $ | — | $ | 16,907,045 | |||||||||||
Investment Companies | 54,597,924 | — | — | 54,597,924 | |||||||||||||||
Collateral for Securities Loaned | 66,567 | — | — | 66,567 | |||||||||||||||
Total | $ | 71,571,536 | $ | — | $ | — | $ | 71,571,536 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (19,906 | ) | $ | — | $ | — | $ | (19,906 | ) | |||||||||
Total | $ | (19,906 | ) | $ | — | $ | — | $ | (19,906 | ) | |||||||||
242
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Developed Enhanced Volatility Wtd ETF | |||||||||||||||||||
Common Stocks | $ | 8,020,495 | $ | — | $ | 11,465 | $ | 8,031,960 | |||||||||||
Investment Companies | 27,126,268 | — | — | 27,126,268 | |||||||||||||||
Collateral for Securities Loaned | 160,018 | — | — | 160,018 | |||||||||||||||
Total | $ | 35,306,781 | $ | — | $ | 11,465 | $ | 35,318,246 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (6,618 | ) | $ | — | $ | — | $ | (6,618 | ) | |||||||||
Total | $ | (6,618 | ) | $ | — | $ | — | $ | (6,618 | ) | |||||||||
Nasdaq Next 50 ETF | |||||||||||||||||||
Common Stocks | $ | 95,191,177 | $ | — | $ | 8,697 | $ | 95,199,874 | |||||||||||
Collateral for Securities Loaned | 2,717,102 | — | — | 2,717,102 | |||||||||||||||
Total | $ | 97,908,279 | $ | — | $ | 8,697 | $ | 97,916,976 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Assets: | |||||||||||||||||||
Futures Contracts | $ | 7,681 | $ | — | $ | — | $ | 7,681 | |||||||||||
Total | $ | 7,681 | $ | — | $ | — | $ | 7,681 | |||||||||||
ESG Core Plus Bond ETF | |||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 34,075,383 | $ | — | $ | 34,075,383 | |||||||||||
Collateralized Mortgage Obligations | — | 37,793,079 | — | 37,793,079 | |||||||||||||||
Senior Secured Loans | — | 11,738,665 | — | 11,738,665 | |||||||||||||||
Corporate Bonds | — | 67,980,578 | — | 67,980,578 | |||||||||||||||
Yankee Dollars | — | 12,562,398 | — | 12,562,398 | |||||||||||||||
Municipal Bonds | — | 1,568,305 | — | 1,568,305 | |||||||||||||||
U.S. Government Agency Mortgages | — | 4,505,009 | — | 4,505,009 | |||||||||||||||
U.S. Treasury Obligations | — | 41,048,438 | — | 41,048,438 | |||||||||||||||
Total | $ | — | $ | 211,271,855 | $ | — | $ | 211,271,855 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Assets: | |||||||||||||||||||
Futures Contracts | $ | 87,298 | $ | — | $ | — | $ | 87,298 | |||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (7,978 | ) | $ | — | $ | — | $ | (7,978 | ) | |||||||||
Total | 79,320 | $ | — | $ | — | $ | 79,320 | ||||||||||||
ESG Corporate Bond ETF | |||||||||||||||||||
Corporate Bonds | $ | — | $ | 85,283,619 | $ | — | $ | 85,283,619 | |||||||||||
Yankee Dollars | — | 17,332,363 | — | 17,332,363 | |||||||||||||||
Commercial Papers | — | 1,299,861 | — | 1,299,861 | |||||||||||||||
Total | $ | — | $ | 103,915,843 | $ | — | $ | 103,915,843 | |||||||||||
THB Mid Cap ESG ETF | |||||||||||||||||||
Common Stocks | $ | 2,056,010 | $ | — | $ | — | $ | 2,056,010 | |||||||||||
Total | $ | 2,056,010 | $ | — | $ | — | $ | 2,056,010 | |||||||||||
* Futures contracts are valued at the unrealized appreciation (depreciation) on the investment.
For the year ended June 30, 2022, the transfers into/out of Level 3 investments were immaterial for all Funds. For Emerging Market High Div Volatility Wtd ETF and Nasdaq Next 50 ETF, the change in unrealized appreciation/(depreciation) on these investments was $(2,619,945) and $(3,103,527), respectively.
243
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Real Estate Investment Trusts ("REITs"):
The Funds may invest in REITs, which report information on the source of their distributions annually. REITs are pooled investment vehicles that invest primarily in income-producing real estate or real-estate related loans or interests (such as mortgages). Certain distributions received from REITs during the year are recorded as realized gains or return of capital as estimated by the Funds or when such information becomes known.
Securities Purchased on a Delayed-Delivery or When-Issued Basis:
The Funds may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond normal settlement periods at a stated price and/or yield, thereby involving the risk that the price and/or yield obtained may be more or less than those available in the market when delivery takes place. At the time a Fund makes the commitment to purchase a security on a when-issued basis, the Fund records the transaction and reflects the value of the security in determining net asset value. No interest accrues to the Fund until the transaction settles and payment takes place. Normally, the settlement date occurs within one month of the purchase. A segregated account is established and the Fund maintains cash and/or marketable securities at least equal in value to commitments for when-issued securities. If a Fund owns when-issued securities, these values are included in Payable for investments purchased on the accompanying Statements of Assets and Liabilities and the segregated assets are identified on the Schedules of Portfolio Investments.
Municipal Obligations:
The values of municipal obligations can fluctuate and may be affected by adverse tax, legislative, or political changes, and by financial developments affecting municipal issuers. Payment of municipal obligations may depend on a relatively limited source of revenue, resulting in greater credit risk. Future changes in federal tax laws or the activity of an issuer may adversely affect the tax-exempt status of municipal obligations.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Mortgage- and Asset-Backed Securities:
The values of some mortgage-related or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The values of mortgage- and asset-backed securities depend in part on the credit quality and adequacy of the underlying assets or collateral and may fluctuate in response to the market's perception of these factors as well as current and future repayment rates. Some mortgage-backed securities are backed by the full faith and credit of the U.S. government (e.g., mortgage-backed securities issued by the Government National Mortgage Association, commonly known as "Ginnie Mae"), while other mortgage-backed securities (e.g., mortgage-backed securities issued by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, commonly known as "Fannie Mae" and "Freddie Mac," respectively), are backed only by the credit of the government entity issuing them. In addition, some mortgage-backed securities are issued by private entities and, as such, are not guaranteed by the U.S. government or any agency or instrumentality of the U.S. government.
244
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Loans:
Floating rate loans in which a Fund invests are primarily "senior" loans. Senior floating rate loans typically hold a senior position in the capital structures of the borrower, are typically secured by specific collateral, and have a claim on the assets and/or stock of the borrower that is senior to that held by subordinated debtholders and stockholders of the borrower. While these protections may reduce risk, these investments still present significant credit risk. A significant portion of a Fund's floating rate investments may be issued in connection with highly leveraged transactions such as leveraged buyouts, leveraged recapitalization loans, and other types of acquisition financing. Obligations in these types of transactions are subject to greater credit risk (including default and bankruptcy) than many other investments and may be, or become, illiquid. See the note below regarding below investment grade securities.
The Funds may purchase second-lien loans (secured loans with a claim on collateral subordinate to a senior lender's claim on such collateral), fixed rate loans, unsecured loans, and other debt obligations.
Transactions in loans often settle on a delayed basis, and a Fund may not receive the proceeds from the sale of a loan or pay for a loan purchase for a substantial period of time after entering into the transactions.
Derivative Instruments:
Foreign Exchange Currency Contracts:
Certain Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Funds record realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. For the year ended June 30, 2022, the Funds had no open forward foreign exchange currency contracts.
Futures Contracts:
The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of the underlying asset is made. The Funds may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Funds the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage
245
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
costs and require the Funds to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Funds based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. The Funds may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is reflected on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.
Management has determined that no offsetting requirements exist as a result of their conclusion that the Funds are not subject to master netting agreements for futures contracts. As of June 30, 2022, the Funds entered into futures contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.
Summary of Derivative Instruments:
The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset | Liabilities | ||||||||||
| Variation Margin Receivable on Open Futures Contracts* | Variation Margin Payable on Open Futures Contracts* | ||||||||||
Equity Risk Exposure | |||||||||||
US 500 Volatility Wtd ETF | $ | — | $ | 88,322 | |||||||
US Small Cap Volatility Wtd ETF | 2,666 | — | |||||||||
International Volatility Wtd ETF | — | 3,840 | |||||||||
US Large Cap High Div Volatility Wtd ETF | — | 71,199 | |||||||||
US Small Cap High Div Volatility Wtd ETF | — | 84,763 | |||||||||
International High Div Volatility Wtd ETF | — | 214 | |||||||||
Emerging Market High Div Volatility Wtd ETF | — | 413 | |||||||||
Dividend Accelerator ETF | — | 7,739 | |||||||||
US Multi-Factor Minimum Volatility ETF | — | 13,978 | |||||||||
US 500 Enhanced Volatility Wtd ETF | — | 178,516 | |||||||||
US EQ Income Enhanced Volatility Wtd ETF | — | 388,274 | |||||||||
US Discovery Enhanced Volatility Wtd ETF | — | 19,906 | |||||||||
Developed Enhanced Volatility Wtd ETF | — | 6,618 | |||||||||
Nasdaq Next 50 ETF | 7,681 | — | |||||||||
Interest Rate Risk Exposure | |||||||||||
ESG Core Plus Bond ETF | 87,298 | 7,978 | |||||||||
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin for futures contracts is reported within the Statements of Assets and Liabilities.
246
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2022:
| Net Realized Gains (Losses) on Derivatives Recognized as a Result of Operations | Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations | ||||||||||
| Net Realized Gains (Losses) from Futures Contracts | Net Change in Unrealized Appreciation/Depreciation on Futures Contracts | ||||||||||
Equity Risk Exposure | |||||||||||
US 500 Volatility Wtd ETF | $ | (50,828 | ) | $ | (142,083 | ) | |||||
US Small Cap Volatility Wtd ETF | (13,052 | ) | (470 | ) | |||||||
International Volatility Wtd ETF | (126,506 | ) | 2,017 | ||||||||
US Large Cap High Div Volatility Wtd ETF | 17,960 | (83,381 | ) | ||||||||
US Small Cap High Div Volatility Wtd ETF | (167,614 | ) | (82,552 | ) | |||||||
International High Div Volatility Wtd ETF | (35,135 | ) | 2,369 | ||||||||
| Emerging Market High Div Volatility Wtd ETF | (41,203 | ) | (639 | ) | |||||||
Dividend Accelerator ETF | (38,209 | ) | (18,558 | ) | |||||||
US Multi-Factor Minimum Volatility ETF | (31,366 | ) | (22,971 | ) | |||||||
US 500 Enhanced Volatility Wtd ETF | 87,203 | (248,810 | ) | ||||||||
US EQ Income Enhanced Volatility Wtd ETF | (274,957 | ) | (429,346 | ) | |||||||
US Discovery Enhanced Volatility Wtd ETF | (42,049 | ) | (20,923 | ) | |||||||
Developed Enhanced Volatility Wtd ETF | (37,533 | ) | (780 | ) | |||||||
Nasdaq Next 50 ETF | 128,723 | (2,285 | ) | ||||||||
Interest Rate Risk Exposure | |||||||||||
ESG Core Plus Bond ETF | (64,017 | ) | 79,320 | ||||||||
All open derivative positions at year end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year.
Investment Transactions and Related Income:
Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date or the last business day of the reporting period. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are recorded on the identified cost basis. Paydown gains or losses on applicable securities, if any, are recorded as a component of Interest income on the Statements of Operations.
The Funds may receive other income from investments in loan assignments and/or unfunded commitments, including amendment fees, consent fees, and commitment fees. These fees are recorded as income when received. These amounts, if received, are included in Interest income on the Statements of Operations.
Withholding taxes on interest, dividends, and gains as a result of certain investments by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.
Securities Lending:
The Funds, through a Securities Lending Agreement with Citibank, N.A. ("Citibank"), may lend their securities to qualified financial institutions, such as certain broker-dealers and banks, to earn additional income, net of income retained by Citibank. Borrowers are required to initially secure their loans for
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are generally cured the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities and other securities as permitted by Securities and Exchange Commission ("SEC") guidelines. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Funds effectively do not have control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. Collateral requirements are determined daily based on the value of the Funds' securities on loan as of the end of the prior business day. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay Citibank various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) is disclosed on the Statements of Operations. Loans are terminable upon demand and the borrower must return the loaned securities within the lesser of one standard settlement period or five business days. Although risk is mitigated by the collateral, a Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. In addition, there is a risk that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower.
The Funds' agreement with Citibank does not include master netting provisions. Non-cash collateral received by the Funds may not be sold or repledged, except to satisfy borrower default.
The following table is a summary of the Funds' securities lending transactions as of June 30, 2022.
| Value of Securities on Loan | Non-Cash Collateral | Cash Collateral | |||||||||||||
US 500 Volatility Wtd ETF | $ | 3,264,907 | $ | — | $ | 3,378,841 | |||||||||
US Small Cap Volatility Wtd ETF | 258,713 | — | 264,405 | ||||||||||||
| International Volatility Wtd ETF | 2,969,007 | (a) | — | 3,149,309 | |||||||||||
US Small Cap High Div Volatility Wtd ETF | 7,435,145 | — | 7,579,061 | ||||||||||||
| International High Div Volatility Wtd ETF | 351,782 | (b) | — | 373,455 | |||||||||||
Emerging Market High Div Volatility Wtd ETF | 239,063 | — | 266,208 | ||||||||||||
Dividend Accelerator ETF | 354,300 | — | 365,864 | ||||||||||||
US 500 Enhanced Volatility Wtd ETF | 1,233,294 | — | 1,272,943 | ||||||||||||
US EQ Income Enhanced Volatility Wtd ETF | 14,783,444 | — | 15,352,137 | ||||||||||||
US Discovery Enhanced Volatility Wtd ETF | 65,265 | — | 66,567 | ||||||||||||
| Developed Enhanced Volatility Wtd ETF | 150,259 | (c) | — | 160,018 | |||||||||||
Nasdaq Next 50 ETF | 2,512,144 | — | 2,717,102 | ||||||||||||
(a) Includes $122,285 of securities on loan that were sold prior to June 30, 2022.
(b) Includes $85,895 of securities on loan that were sold prior to June 30, 2022.
(c) Includes $10,820 of securities on loan that were sold prior to June 30, 2022.
Foreign Currency Translations:
The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities and foreign currency transactions on the Statements of Operations.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Foreign Taxes:
The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.
For the year ended June 30, 2022, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain tax positions.
Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Allocations:
Expenses directly attributable to a Fund are charged to that Fund, while expenses that are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or an affiliated trust based upon net assets or another appropriate basis.
3. Purchases and Sales:
Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and purchases and sales associated with in-kind transactions for the year ended June 30, 2022, are included in the table below. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as net realized gains (losses) from in kind redemptions.
| Excluding U.S. Government Securities | Associated with In-Kind Transactions | ||||||||||||||||||
Purchases | Sales | Purchases | Sales | ||||||||||||||||
US 500 Volatility Wtd ETF | $ | 140,804,663 | $ | 139,578,762 | $ | 148,897,209 | $ | 266,346,232 | |||||||||||
US Small Cap Volatility Wtd ETF | 13,983,521 | 13,928,508 | 6,363,119 | 6,356,550 | |||||||||||||||
International Volatility Wtd ETF | 35,604,768 | 37,104,869 | — | 2,182,596 | |||||||||||||||
| US Large Cap High Div Volatility Wtd ETF | 106,791,675 | 106,098,462 | 179,889,826 | 118,822,567 | |||||||||||||||
| US Small Cap High Div Volatility Wtd ETF | 173,224,399 | 173,268,594 | 209,546,524 | 153,763,517 | |||||||||||||||
| International High Div Volatility Wtd ETF | 11,835,860 | 12,112,259 | — | 4,829,699 | |||||||||||||||
| Emerging Market High Div Volatility Wtd ETF | 13,808,283 | 16,584,131 | — | 2,845,595 | |||||||||||||||
Dividend Accelerator ETF | 138,830,309 | 138,326,637 | 166,867,050 | 216,330,158 | |||||||||||||||
| US Multi-Factor Minimum Volatility ETF | 99,067,740 | 99,084,563 | 96,359,797 | 136,449,194 | |||||||||||||||
| US 500 Enhanced Volatility Wtd ETF | 936,647,605 | 931,174,350 | 274,217,506 | 226,571,836 | |||||||||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
| Excluding U.S. Government Securities | Associated with In-Kind Transactions | ||||||||||||||||||
Purchases | Sales | Purchases | Sales | ||||||||||||||||
| US EQ Income Enhanced Volatility Wtd ETF | $ | 518,588,784 | $ | 515,408,132 | $ | 1,573,956,566 | $ | 561,100,815 | |||||||||||
| US Discovery Enhanced Volatility Wtd ETF | 39,471,579 | 93,790,337 | 33,841,218 | 18,381,960 | |||||||||||||||
| Developed Enhanced Volatility Wtd ETF | 13,049,928 | 40,420,062 | — | 1,682,156 | |||||||||||||||
Nasdaq Next 50 ETF | 128,140,398 | 127,620,782 | 38,213,829 | 41,897,085 | |||||||||||||||
ESG Core Plus Bond ETF | 241,176,638 | 52,666,695 | — | — | |||||||||||||||
ESG Corporate Bond ETF | 132,070,904 | 8,928,199 | — | — | |||||||||||||||
| THB Mid Cap ESG ETF | 450,152 | 414,413 | 2,333,480 | — | |||||||||||||||
| U.S. Government Securities | ||||||||||
| Purchase | Sales | |||||||||
ESG Core Plus Bond ETF | $ | 106,165,807 | $ | 55,591,692 | |||||||
4. Affiliated Fund Ownership:
The Funds offer shares for investment by other funds. The fund-of-funds do not invest in the underlying funds for the purpose of exercising management or control, and the affiliated fund-of-funds annual and semi-annual reports may be viewed at www.vcm.com. As of June 30, 2022, certain fund-of-funds owned total outstanding shares of the Funds as follows:
VictoryShares International Volatility Wtd ETF | Ownership % | ||||||
USAA Target Retirement Income Fund | 7.0 | ||||||
USAA Target Retirement 2030 Fund | 19.4 | ||||||
USAA Target Retirement 2040 Fund | 27.6 | ||||||
USAA Target Retirement 2050 Fund | 18.3 | ||||||
USAA Target Retirement 2060 Fund | 3.0 | ||||||
VictoryShares Dividend Accelerator ETF | Ownership % | ||||||
USAA Target Retirement Income Fund | 2.3 | ||||||
USAA Target Retirement 2030 Fund | 8.6 | ||||||
USAA Target Retirement 2040 Fund | 13.3 | ||||||
USAA Target Retirement 2050 Fund | 9.4 | ||||||
USAA Target Retirement 2060 Fund | 1.3 | ||||||
VictoryShares US Multi-Factor Minimum Volatility ETF | Ownership % | ||||||
Victory Strategic Allocation Fund | 1.5 | ||||||
USAA Target Retirement Income Fund | 4.4 | ||||||
USAA Target Retirement 2030 Fund | 8.1 | ||||||
USAA Target Retirement 2040 Fund | 13.2 | ||||||
USAA Target Retirement 2050 Fund | 9.5 | ||||||
USAA Target Retirement 2060 Fund | 1.3 | ||||||
VictoryShares Nasdaq Next 50 ETF | Ownership % | ||||||
USAA Target Retirement Income Fund | 3.6 | ||||||
USAA Target Retirement 2030 Fund | 16.9 | ||||||
USAA Target Retirement 2040 Fund | 28.2 | ||||||
USAA Target Retirement 2050 Fund | 19.2 | ||||||
USAA Target Retirement 2060 Fund | 2.7 | ||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
VictoryShares ESG Core Plus Bond ETF | Ownership % | ||||||
USAA Cornerstone Moderately Conservative Fund | 6.9 | ||||||
USAA Cornerstone Aggressive Fund | 3.0 | ||||||
USAA Cornerstone Moderate Fund | 33.2 | ||||||
USAA Cornerstone Moderately Aggressive Fund | 57.3 | ||||||
VictoryShares ESG Corporate Bond ETF | Ownership % | ||||||
USAA Target Retirement Income Fund | 38.0 | ||||||
USAA Target Retirement 2030 Fund | 35.4 | ||||||
USAA Target Retirement 2040 Fund | 17.5 | ||||||
USAA Target Retirement 2050 Fund | 8.4 | ||||||
USAA Target Retirement 2060 Fund | 0.9 | ||||||
5. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
Flat Rate | |||||||
US 500 Volatility Wtd ETF | 0.30 | % | |||||
US Small Cap Volatility Wtd ETF | 0.30 | % | |||||
International Volatility Wtd ETF | 0.40 | % | |||||
US Large Cap High Div Volatility Wtd ETF | 0.30 | % | |||||
US Small Cap High Div Volatility Wtd ETF | 0.30 | % | |||||
International High Div Volatility Wtd ETF | 0.40 | % | |||||
US 500 Enhanced Volatility Wtd ETF | 0.30 | % | |||||
US EQ Income Enhanced Volatility Wtd ETF | 0.30 | % | |||||
US Discovery Enhanced Volatility Wtd ETF | 0.30 | % | |||||
Developed Enhanced Volatility Wtd ETF | 0.40 | % | |||||
Emerging Market High Div Volatility Wtd ETF | 0.45 | % | |||||
US Multi-Factor Minimum Volatility ETF | 0.30 | % | |||||
Dividend Accelerator ETF | 0.30 | % | |||||
Nasdaq Next 50 ETF | 0.15 | % | |||||
ESG Core Plus Bond ETF | 0.35 | % | |||||
ESG Corporate Bond ETF | 0.35 | % | |||||
| THB Mid Cap ESG ETF | 0.50 | % | |||||
Amounts incurred and paid to VCM for the year ended June 30, 2022, are reflected on the Statements of Operations as Investment advisory fees.
Administration and Servicing Fees:
VCM also serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios. The tiered rates at which VCM is paid by the Funds are shown in the table below:
Net Assets | |||||||||||
Up to $15 billion | $15 billion – $30 billion | Over $30 billion | |||||||||
0.08 | %, plus | 0.05 | %, plus | 0.04 | % | ||||||
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Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Administration fees.
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator, sub-fund accountant, and transfer agent to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Sub-Administration fees.
The Funds (as part of the Trust) have entered into an agreement with the Adviser to provide compliance services, pursuant to which the Adviser furnishes its compliance personnel, including the services of the Chief Compliance Officer ("CCO"), and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration, and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. The CCO is an employee of the Adviser, which pays the compensation of the CCO and support staff. The funds in the Trust, Victory Variable Insurance Funds, Victory Portfolios and USAA Mutual Funds (collectively, the "Victory Funds Complex"), in aggregate, compensate the Adviser for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Compliance fees.
Distributor/Underwriting Services:
Foreside Fund Services, LLC serves as the Funds' distributor.
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain Funds in any fiscal year exceed the expense limit for such Fund. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2022, the expense limits (excluding voluntary waivers) are as follows:
| In Effect Until October 31, 2022 | |||||||
US 500 Volatility Wtd ETF | 0.35 | % | |||||
US Small Cap Volatility Wtd ETF | 0.35 | % | |||||
International Volatility Wtd ETF | 0.45 | % | |||||
US Large Cap High Div Volatility Wtd ETF | 0.35 | % | |||||
US Small Cap High Div Volatility Wtd ETF | 0.35 | % | |||||
International High Div Volatility Wtd ETF | 0.45 | % | |||||
Emerging Market High Div Volatility Wtd ETF | 0.50 | % | |||||
Dividend Accelerator ETF | 0.35 | % | |||||
US Multi-Factor Minimum Volatility ETF | 0.35 | % | |||||
US 500 Enhanced Volatility Wtd ETF | 0.35 | % | |||||
US EQ Income Enhanced Volatility Wtd ETF | 0.35 | % | |||||
US Discovery Enhanced Volatility Wtd ETF | 0.35 | % | |||||
Developed Enhanced Volatility Wtd ETF | 0.45 | % | |||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
| In Effect Until October 31, 2022 | |||||||
Nasdaq Next 50 ETF | 0.18 | % | |||||
ESG Core Plus Bond ETF | 0.40 | %(a) | |||||
ESG Corporate Bond ETF | 0.40 | %(a) | |||||
| THB Mid Cap ESG ETF | 0.55 | %(a) | |||||
(a) In effect from October 5, 2021, until at least October 31, 2022.
Under the terms of the expense limitation agreements, as amended May 1, 2022, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount.
As of June 30, 2022, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at June 30, 2022.
| Expires 2023 | Expires 2024 | Expires 2025 | Total | ||||||||||||||||
US 500 Volatility Wtd ETF | $ | 99,179 | $ | 66,415 | $ | 15,251 | $ | 180,845 | |||||||||||
US Small Cap Volatility Wtd ETF | 39,631 | 35,421 | 49,801 | 124,853 | |||||||||||||||
International Volatility Wtd ETF | 121,119 | 150,668 | 111,915 | 383,702 | |||||||||||||||
US Large Cap High Div Volatility Wtd ETF | 64,858 | 47,070 | 45,449 | 157,377 | |||||||||||||||
US Small Cap High Div Volatility Wtd ETF | 45,375 | 47,951 | 51,444 | 144,770 | |||||||||||||||
International High Div Volatility Wtd ETF | 63,200 | 65,624 | 70,418 | 199,242 | |||||||||||||||
Emerging Market High Div Volatility Wtd ETF | 117,270 | 130,204 | 139,070 | 386,544 | |||||||||||||||
Dividend Accelerator ETF | 51,403 | 46,360 | 25,944 | 123,707 | |||||||||||||||
US Multi-Factor Minimum Volatility ETF | 47,372 | 40,209 | 40,631 | 128,212 | |||||||||||||||
US 500 Enhanced Volatility Wtd ETF | 90,547 | 77,028 | 3,538 | 171,113 | |||||||||||||||
US EQ Income Enhanced Volatility Wtd ETF | 75,542 | 89,656 | 79,459 | 244,657 | |||||||||||||||
US Discovery Enhanced Volatility Wtd ETF | 45,253 | 38,554 | 50,302 | 134,109 | |||||||||||||||
Developed Enhanced Volatility Wtd ETF | 132,700 | 172,550 | 129,939 | 435,189 | |||||||||||||||
Nasdaq Next 50 ETF | — | 74,147 | 132,460 | 206,607 | |||||||||||||||
ESG Core Plus Bond ETF | — | — | 93,356 | 93,356 | |||||||||||||||
ESG Corporate Bond ETF | — | — | 78,541 | 78,541 | |||||||||||||||
| THB Mid Cap ESG ETF | — | — | 33,895 | 33,895 | |||||||||||||||
The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. For the year ended June 30, 2022, the Adviser voluntarily waived the following amounts:
US 500 Volatility Wtd ETF | $ | 208,938 | |||||
US Small Cap Volatility Wtd ETF | 8,180 | ||||||
International Volatility Wtd ETF | 35,315 | ||||||
US Large Cap High Div Volatility Wtd ETF | 79,807 | ||||||
US Small Cap High Div Volatility Wtd ETF | 82,306 | ||||||
International High Div Volatility Wtd ETF | 6,089 | ||||||
| Emerging Market High Div Volatility Wtd ETF | 5,136 | ||||||
Dividend Accelerator ETF | 104,483 | ||||||
US Multi-Factor Minimum Volatility ETF | 51,309 | ||||||
US 500 Enhanced Volatility Wtd ETF | 315,645 | ||||||
US EQ Income Enhanced Volatility Wtd ETF | 396,144 | ||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
US Discovery Enhanced Volatility Wtd ETF | $ | 22,690 | |||||
Developed Enhanced Volatility Wtd ETF | 12,603 | ||||||
Nasdaq Next 50 ETF | 43,036 | ||||||
ESG Core Plus Bond ETF | 44,673 | ||||||
ESG Corporate Bond ETF | 24,841 | ||||||
| THB Mid Cap ESG ETF | 562 | ||||||
Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.
6. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Equity Risk — The value of the equity securities in which the Fund invests may decline in response to developments affecting individual companies and/or general economic conditions in the United States or abroad. A company's earnings or dividends may not increase as expected (or may decline) because of poor management, competitive pressures, reliance on particular suppliers or geographical regions, labor problems or shortages, corporate restructurings, fraudulent disclosures, man-made or natural disasters, military confrontations or wars, terrorism, public health crises, or other events, conditions and factors. Price changes may be temporary or last for extended periods.
Foreign Securities Risk — The Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, International High Div Volatility Wtd ETF and Emerging Market High Div Volatility Wtd ETF invest in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised, and continue to exercise, substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital reinvestment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographic composition, as relevant.
Passive Investment Risk — Certain Funds are designed to track their indices and are not actively managed. is designed to track its index and is not actively managed. A Fund will not buy or sell shares of an equity security due to current or projected performance of a security, industry or sector, unless that security is added to or removed, respectively, from its index. A Fund does not, therefore, seek returns in excess of its index, and does not attempt to take defensive positions or hedge against potential risks unless such defensive positions are also taken by its index. Different types of investment styles, for example passively managed or actively managed, or growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.
LIBOR Discontinuations Risk — The London Interbank Offered Rate ("LIBOR") discontinuation may adversely affect the financial markets generally and the Funds' operations, finances and investments specifically. LIBOR has been the principal floating-rate benchmark in the financial markets. However, LIBOR has been or will be discontinued as a floating rate benchmark. The date of discontinuation
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
depends on the LIBOR currency and tenor. With limited exceptions, no new LIBOR obligations will be entered into after December 31, 2021. Existing LIBOR obligations have transitioned or will transition to another benchmark, depending on the LIBOR currency and tenor. For some existing LIBOR-based obligations, the contractual consequences of the discontinuation of LIBOR may not be clear.
Non-LIBOR floating-rate obligations, including Secured Overnight Financing Rate ("SOFR")-based obligations, may have returns and values that fluctuate more than those of floating-rate debt obligations that are based on LIBOR or other rates. Also, because SOFR and some alternative floating rates are relatively new market indexes, markets for certain non-LIBOR obligations may never develop or may not be liquid. Market terms for non-LIBOR floating rate obligations, such as the spread over the index reflected in interest-rate provisions, may evolve over time, and prices of non-LIBOR floating rate obligations may be different depending on when they are issued and changing views about correct spread levels.
Various SOFR-based rates, including SOFR-based term rates, and various non-SOFR-based rates are expected to develop in response to the discontinuation of U.S. dollar LIBOR, which may create various risks for the Funds and the financial markets more generally. There are non-LIBOR forward-looking floating rates that are not based on SOFR and that may be considered by participants in the financial markets as LIBOR alternatives. Such rates include AMERIBOR (American Interbank Offered Rate), BSBY (Bloomberg Short-Term Bank Yield Index) and BYI (Bank Yield Index). Unlike forward-looking SOFR-based term rates, such rates are intended to reflect a bank credit spread component.
It is not clear how replacement rates for LIBOR — including SOFR-based rates and non-SOFR-based rates — will develop and to what extent they will be used. There is no assurance that these replacement rates will be suitable substitutes for LIBOR, and thus the substitution of such rates for LIBOR could have an adverse effect on the Funds and the financial markets more generally. Concerns about market depth and stability could affect the development of non-SOFR-based term rates, and such rates may create various risks, which may or may not be similar to the risks relating to SOFR.
Market Risk — Overall market risks may affect the value of the Funds. Domestic and international factors such as political events, war, terrorism, trade disputes, inflation rates, interest rate levels and other fiscal and monetary policy changes, cybersecurity incidents, pandemics and other public health crises, sanctions against a particular foreign country, its nationals, businesses or industries and related geopolitical events, as well as environmental disasters such as earthquakes, fires, and floods or other catastrophes, may add to instability in global economies and markets generally, and may lead to increased market volatility. Global economies and financial markets are highly interconnected, which increases the possibility that conditions in one country or region might adversely affect issuers in another country or region. The impact of these and other factors may be short-term or may last for extended periods.
7. Borrowing:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 27, 2022, with a termination date of June 26, 2023. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2022, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the commitment fees plus any interest on amounts borrowed. For the period from July 1, 2021, through June 27, 2022, interest was based on the one-month LIBOR plus one percent. Effective with the renewal, for the period June 28, 2022, through June 30, 2022, interest was based on the one-month SOFR plus 1.10 percent.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees. Effective with the renewal, the interest rate was changed to the one-month SOFR plus 1.10 percent on amounts borrowed. Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees.
| Amount Outstanding at June 30, 2022 | Average Borrowing | Days Borrowing Outstanding | Average Interest Rate* | Maximum Borrowing During the Period | |||||||||||||||||||
| Emerging Market High Div Volatility Wtd ETF | $ | — | $ | 3,956,000 | 5 | 2.16 | % | $ | 17,000,000 | ||||||||||||||
| US EQ Income Enhanced Volatility Wtd ETF | — | 14,333,333 | 3 | 1.88 | % | 15,000,000 | |||||||||||||||||
* Based on the number of days the borrowings were outstanding for the year ended June 30, 2022.
8. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.
Declared | Paid | ||||||||||
US 500 Volatility Wtd ETF | Monthly | Monthly | |||||||||
US Small Cap Volatility Wtd ETF | Monthly | Monthly | |||||||||
International Volatility Wtd ETF | Monthly | Monthly | |||||||||
US Large Cap High Div Volatility Wtd ETF | Monthly | Monthly | |||||||||
US Small Cap High Div Volatility Wtd ETF | Monthly | Monthly | |||||||||
International High Div Volatility Wtd ETF | Monthly | Monthly | |||||||||
Emerging Market High Div Volatility Wtd ETF | Monthly | Monthly | |||||||||
Dividend Accelerator ETF | Monthly | Monthly | |||||||||
US Multi-Factor Minimum Volatility ETF | Monthly | Monthly | |||||||||
US 500 Enhanced Volatility Wtd ETF | Monthly | Monthly | |||||||||
US EQ Income Enhanced Volatility Wtd ETF | Monthly | Monthly | |||||||||
US Discovery Enhanced Volatility Wtd ETF | Monthly | Monthly | |||||||||
Developed Enhanced Volatility Wtd ETF | Monthly | Monthly | |||||||||
Nasdaq Next 50 ETF | Monthly | Monthly | |||||||||
ESG Core Plus Bond ETF | Monthly | Monthly | |||||||||
ESG Corporate Bond ETF | Monthly | Monthly | |||||||||
| THB Mid Cap ESG ETF | Monthly | Monthly | |||||||||
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
256
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
As of June 30, 2022, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:
| Total Accumulated Earnings/(Loss) | Capital | |||||||||
US 500 Volatility Wtd ETF | $ | (91,457,198 | ) | $ | 91,457,198 | ||||||
US Small Cap Volatility Wtd ETF | (2,045,443 | ) | 2,045,443 | ||||||||
International Volatility Wtd ETF | (631,956 | ) | 631,956 | ||||||||
US Large Cap High Div Volatility Wtd ETF | (29,897,967 | ) | 29,897,967 | ||||||||
US Small Cap High Div Volatility Wtd ETF | (23,534,123 | ) | 23,534,123 | ||||||||
International High Div Volatility Wtd ETF | (469,193 | ) | 469,193 | ||||||||
Emerging Market High Div Volatility Wtd ETF | (175,705 | ) | 175,705 | ||||||||
Dividend Accelerator ETF | (47,304,966 | ) | 47,304,966 | ||||||||
US Multi-Factor Minimum Volatility ETF | (27,793,232 | ) | 27,793,232 | ||||||||
US 500 Enhanced Volatility Wtd ETF | (79,669,283 | ) | 79,669,283 | ||||||||
US EQ Income Enhanced Volatility Wtd ETF | (129,821,854 | ) | 129,821,854 | ||||||||
US Discovery Enhanced Volatility Wtd ETF | (5,300,320 | ) | 5,300,320 | ||||||||
Developed Enhanced Volatility Wtd ETF | (443,589 | ) | 443,589 | ||||||||
Nasdaq Next 50 ETF | (10,371,089 | ) | 10,371,089 | ||||||||
The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid).
Year Ended June 30, 2022 | |||||||||||
| Distributions paid from: | ||||||||||
| Ordinary Income | Total Distributions Paid | |||||||||
US 500 Volatility Wtd ETF | $ | 8,500,286 | $ | 8,500,286 | |||||||
US Small Cap Volatility Wtd ETF | 334,788 | 334,788 | |||||||||
International Volatility Wtd ETF | 3,855,525 | 3,855,525 | |||||||||
US Large Cap High Div Volatility Wtd ETF | 7,496,456 | 7,496,456 | |||||||||
US Small Cap High Div Volatility Wtd ETF | 8,027,701 | 8,027,701 | |||||||||
International High Div Volatility Wtd ETF | 1,097,626 | 1,097,626 | |||||||||
Emerging Market High Div Volatility Wtd ETF | 1,055,027 | 1,055,027 | |||||||||
Dividend Accelerator ETF | 5,149,858 | 5,149,858 | |||||||||
US Multi-Factor Minimum Volatility ETF | 2,679,211 | 2,679,211 | |||||||||
US 500 Enhanced Volatility Wtd ETF | 11,440,022 | 11,440,022 | |||||||||
US EQ Income Enhanced Volatility Wtd ETF | 36,342,855 | 36,342,855 | |||||||||
US Discovery Enhanced Volatility Wtd ETF | 805,290 | 805,290 | |||||||||
Developed Enhanced Volatility Wtd ETF | 1,203,675 | 1,203,675 | |||||||||
Nasdaq Next 50 ETF | 586,469 | 586,469 | |||||||||
ESG Core Plus Bond ETF | 2,591,088 | 2,591,088 | |||||||||
ESG Corporate Bond ETF | 1,493,227 | 1,493,227 | |||||||||
| THB Mid Cap ESG ETF | 7,901 | 7,901 | |||||||||
| Year Ended June 30, 2021 | ||||||||||
| Distributions paid from: | ||||||||||
| Ordinary Income | Total Distributions Paid | |||||||||
US 500 Volatility Wtd ETF | $ | 7,561,107 | $ | 7,561,107 | |||||||
US Small Cap Volatility Wtd ETF | 287,612 | 287,612 | |||||||||
International Volatility Wtd ETF | 2,408,306 | 2,408,306 | |||||||||
US Large Cap High Div Volatility Wtd ETF | 5,707,683 | 5,707,683 | |||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
| Year Ended June 30, 2021 | ||||||||||
| Distributions paid from: | ||||||||||
| Ordinary Income | Total Distributions Paid | |||||||||
US Small Cap High Div Volatility Wtd ETF | $ | 4,510,283 | $ | 4,510,283 | |||||||
International High Div Volatility Wtd ETF | 1,705,787 | 1,705,787 | |||||||||
Emerging Market High Div Volatility Wtd ETF | 809,574 | 809,574 | |||||||||
Dividend Accelerator ETF | 4,931,587 | 4,931,587 | |||||||||
US Multi-Factor Minimum Volatility ETF | 2,790,098 | 2,790,098 | |||||||||
US 500 Enhanced Volatility Wtd ETF | 7,661,659 | 7,661,659 | |||||||||
US EQ Income Enhanced Volatility Wtd ETF | 18,139,639 | 18,139,639 | |||||||||
US Discovery Enhanced Volatility Wtd ETF | 596,428 | 596,428 | |||||||||
Developed Enhanced Volatility Wtd ETF | 879,139 | 879,139 | |||||||||
Nasdaq Next 50 ETF | 345,554 | 345,554 | |||||||||
As of June 30, 2022, the components of accumulated earnings/(loss) on a tax basis were as follows:
| Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Earnings | Accumulated Capital and Other Losses | Qualified Late-Year Losses* | Unrealized Appreciation (Depreciation)** | Total Accumulated Earnings (Loss) | |||||||||||||||||||||||||
| US 500 Volatility Wtd ETF | $ | 799,443 | $ | — | $ | 799,443 | $ | (79,312,540 | ) | $ | — | $ | 45,469,713 | $ | (33,043,384 | ) | |||||||||||||||
| US Small Cap Volatility Wtd ETF | 27,152 | — | 27,152 | (8,715,756 | ) | — | (1,174,037 | ) | (9,862,641 | ) | |||||||||||||||||||||
| International Volatility Wtd ETF | — | — | — | (3,162,002 | ) | (141,945 | ) | (1,725,349 | ) | (5,029,296 | ) | ||||||||||||||||||||
| US Large Cap High Div Volatility Wtd ETF | 808,907 | — | 808,907 | (53,140,050 | ) | — | 4,441,556 | (47,889,587 | ) | ||||||||||||||||||||||
| US Small Cap High Div Volatility Wtd ETF | 745,610 | — | 745,610 | (43,291,719 | ) | — | (29,694,185 | ) | (72,240,294 | ) | |||||||||||||||||||||
| International High Div Volatility Wtd ETF | 178,697 | — | 178,697 | (13,645,461 | ) | — | (1,900,663 | ) | (15,367,427 | ) | |||||||||||||||||||||
| Emerging Market High Div Volatility Wtd ETF | 98,524 | — | 98,524 | (4,757,696 | ) | — | (3,631,170 | ) | (8,290,342 | ) | |||||||||||||||||||||
| Dividend Accelerator ETF | 484,682 | — | 484,682 | (12,551,085 | ) | — | (7,007,005 | ) | (19,073,408 | ) | |||||||||||||||||||||
| US Multi-Factor Minimum Volatility ETF | 151,157 | — | 151,157 | (15,185,680 | ) | — | (1,720,883 | ) | (16,755,406 | ) | |||||||||||||||||||||
| US 500 Enhanced Volatility Wtd ETF | 1,573,167 | 18,459,782 | 20,032,949 | — | — | (53,884,753 | ) | (33,851,804 | ) | ||||||||||||||||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
| Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Earnings | Accumulated Capital and Other Losses | Qualified Late-Year Losses* | Unrealized Appreciation (Depreciation)** | Total Accumulated Earnings (Loss) | ||||||||||||||||||||||||
| US EQ Income Enhanced Volatility Wtd ETF | $ | 5,231,276 | $ | — | $ | 5,231,2776 | $ | (82,801,448 | ) | $ | — | $ | (20,563,711 | ) | $ | (98,133,883 | ) | ||||||||||||||
| US Discovery Enhanced Volatility Wtd ETF | 71,837 | — | 71,837 | (36,519,033 | ) | — | 462,977 | (35,984,219 | ) | ||||||||||||||||||||||
| Developed Enhanced Volatility Wtd ETF | — | — | — | (25,267,555 | ) | (62,671 | ) | 223,457 | (25,106,769 | ) | |||||||||||||||||||||
| Nasdaq Next 50 ETF | 173,976 | — | 173,976 | (28,193,513 | ) | — | (17,874,136 | ) | (45,893,673 | ) | |||||||||||||||||||||
| ESG Core Plus Bond ETF | 526,797 | 526,797 | (5,176,406 | ) | — | (22,611,029 | ) | (27,260,638 | ) | ||||||||||||||||||||||
| ESG Corporate Bond ETF | 223,306 | — | 223,306 | (998,291 | ) | — | (19,154,585 | ) | (19,929,570 | ) | |||||||||||||||||||||
| THB Mid Cap ESG ETF | — | — | — | — | (2,672 | ) | (317,418 | ) | (320,090 | ) | |||||||||||||||||||||
* Qualified late-year losses are comprised of post-October capital losses incurred after October 31 and certain late-year ordinary losses. Late-year ordinary losses represent ordinary losses incurred after December 31 and specified losses incurred after October 31. These losses are deemed to arise on the first day of the Fund's next taxable year.
** The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales.
As of June 30, 2022, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.
| Short-Term Amount | Long-Term Amount | Total | ||||||||||||
US 500 Volatility Wtd ETF | $ | 38,312,708 | $ | 40,999,832 | $ | 79,312,540 | |||||||||
US Small Cap Volatility Wtd ETF | 5,192,078 | 3,523,678 | 8,715,756 | ||||||||||||
International Volatility Wtd ETF | 1,338,567 | 1,823,435 | 3,162,002 | ||||||||||||
US Large Cap High Div Volatility Wtd ETF | 27,791,522 | 25,348,528 | 53,140,050 | ||||||||||||
US Small Cap High Div Volatility Wtd ETF | 34,727,680 | 8,564,039 | 43,291,719 | ||||||||||||
International High Div Volatility Wtd ETF | 6,034,546 | 7,610,915 | 13,645,461 | ||||||||||||
Emerging Market High Div Volatility Wtd ETF | 1,371,659 | 3,386,037 | 4,757,696 | ||||||||||||
Dividend Accelerator ETF | 9,031,729 | 3,519,356 | 12,551,085 | ||||||||||||
US Multi-Factor Minimum Volatility ETF | 12,688,394 | 2,497,286 | 15,185,680 | ||||||||||||
US EQ Income Enhanced Volatility Wtd ETF | 43,234,925 | 39,566,523 | 82,801,448 | ||||||||||||
US Discovery Enhanced Volatility Wtd ETF | 34,846,891 | 1,672,142 | 36,519,033 | ||||||||||||
Developed Enhanced Volatility Wtd ETF | 16,259,710 | 9,007,845 | 25,267,555 | ||||||||||||
Nasdaq Next 50 ETF | 25,621,923 | 2,571,590 | 28,193,513 | ||||||||||||
ESG Core Plus Bond ETF | 5,176,406 | — | 5,176,406 | ||||||||||||
ESG Corporate Bond ETF | 998,291 | — | 998,291 | ||||||||||||
259
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
During the tax year ended June 30, 2022, the following Funds utilized capital loss carryforwards as shown in the table below:
| Short-Term Amount | ||||||
International Volatility Wtd ETF | $ | 2,599,387 | |||||
International High Div Volatility Wtd ETF | 690,291 | ||||||
Emerging Market High Div Volatility Wtd ETF | 623,835 | ||||||
US 500 Enhanced Volatility Wtd ETF | 58,934,247 | ||||||
Developed Enhanced Volatility Wtd ETF | 1,003,849 | ||||||
As of June 30, 2022, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:
| Cost of Investments for Federal Tax Purposes | Net Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
US 500 Volatility Wtd ETF | $ | 488,762,394 | $ | 77,547,203 | $ | (32,077,490 | ) | $ | 45,469,713 | ||||||||||
US Small Cap Volatility Wtd ETF | 23,969,436 | 2,048,419 | (3,222,456 | ) | (1,174,037 | ) | |||||||||||||
International Volatility Wtd ETF | 96,772,892 | 8,816,211 | (10,531,853 | ) | (1,715,642 | ) | |||||||||||||
| US Large Cap High Div Volatility Wtd ETF | 277,678,144 | 20,181,836 | (15,740,280 | ) | 4,441,556 | ||||||||||||||
| US Small Cap High Div Volatility Wtd ETF | 305,415,332 | 7,829,148 | (37,523,333 | ) | (29,694,185 | ) | |||||||||||||
| International High Div Volatility Wtd ETF | 18,093,207 | 577,603 | (2,473,292 | ) | (1,895,689 | ) | |||||||||||||
| Emerging Market High Div Volatility Wtd ETF | 14,092,026 | 561,482 | (4,190,610 | ) | (3,629,128 | ) | |||||||||||||
Dividend Accelerator ETF | 284,075,456 | 13,496,617 | (20,503,622 | ) | (7,007,005 | ) | |||||||||||||
| US Multi-Factor Minimum Volatility ETF | 120,668,663 | 9,025,225 | (10,746,108 | ) | (1,720,883 | ) | |||||||||||||
US 500 Enhanced Volatility Wtd ETF | 945,635,834 | 24,179,987 | (78,064,740 | ) | (53,884,753 | ) | |||||||||||||
| US EQ Income Enhanced Volatility Wtd ETF | 1,939,453,172 | 84,940,280 | (105,503,991 | ) | (20,563,711 | ) | |||||||||||||
| US Discovery Enhanced Volatility Wtd ETF | 7,108,559 | 2,665,562 | (2,202,585 | ) | 462,977 | ||||||||||||||
| Developed Enhanced Volatility Wtd ETF | 35,086,397 | 1,012,304 | (780,455 | ) | 231,849 | ||||||||||||||
Nasdaq Next 50 ETF | 115,791,112 | 2,682,830 | (20,556,966 | ) | (17,874,136 | ) | |||||||||||||
ESG Core Plus Bond ETF | 233,882,884 | 21,098 | (22,632,127 | ) | (22,611,029 | ) | |||||||||||||
ESG Corporate Bond ETF | 123,070,428 | 11,784 | (19,166,369 | ) | (19,154,585 | ) | |||||||||||||
| THB Mid Cap ESG ETF | 2,373,428 | 18,871 | (336,289 | ) | (317,418 | ) | |||||||||||||
9. Affiliated Securities:
An affiliated security is a security in which a Fund has ownership of at least 5% of the security's outstanding voting shares, an investment company managed by VCM, or an issuer under common control with a Fund or VCM. The Funds do not invest in affiliated securities for the purpose of exercising management or control. These securities are noted as affiliated on a Fund's Schedule of Portfolio Investments.
Section 12(d)(3) of the 1940 Act, and Rule 12d3-1(c) under the 1940 Act, generally prohibit a fund from purchasing the securities issued by, among other entities, a fund's investment adviser. When a fund's investment objective is to track the performance of an unaffiliated index by investing in the stocks that comprise that index, the staff of the SEC has taken the position that, subject to certain conditions, the
260
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
fund may establish and maintain a position in the common stock of an affiliate of the fund's investment adviser in an amount approximately in proportion to the percentage that the stock is represented in the index. In seeking to provide investment results that closely correspond to its respective unaffiliated index, one or more Funds may hold the securities of Victory Capital Holdings, Inc., the parent company of VCM and other Fund service providers.
Transactions in affiliated securities during the year ended June 30, 2022, were as follows:
| US Small Cap Volatility Wtd ETF | Fair Value 6/30/21 | Purchases at Cost | Proceeds from Sales | Realized Gains (Losses) | Capital Gain Distribution | Net Change in Unrealized Appreciation/ Depreciation | Fair Value 6/30/22 | Dividend Income | |||||||||||||||||||||||||||
| Victory Capital Holdings Inc. | $ | 74,558 | $ | 21,786 | $ | (50,795 | ) | $ | 21,855 | $ | — | $ | (31,784 | ) | $ | 35,620 | $ | 1,431 | |||||||||||||||||
| US Discovery Enhanced Volatility Wtd ETF | Fair Value 6/30/21 | Purchases at Cost | Proceeds from Sales | Realized Gains (Losses) | Capital Gain Distribution | Net Change in Unrealized Appreciation/ Depreciation | Fair Value 6/30/22 | Dividend Income | |||||||||||||||||||||||||||
| Victory Capital Holdings Inc. | $ | 182,471 | $ | 93,532 | $ | (229,586 | ) | $ | 50,503 | $ | — | $ | (70,169 | ) | $ | 26,751 | $ | 3,259 | |||||||||||||||||
261
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Victory Portfolios II
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory Portfolios II, comprising the Funds listed below (the "Funds"), as of June 30, 2022, and the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated 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 | Financial Highlights | ||||||||||||
| VictoryShares US 500 Volatility Wtd ETF, VictoryShares US Small Cap Volatility Wtd ETF, VictoryShares International Volatility Wtd ETF, VictoryShares US Large Cap High Div Volatility Wtd ETF, VictoryShares US Small Cap High Div Volatility Wtd ETF, VictoryShares International High Div Volatility Wtd ETF, VictoryShares Dividend Accelerator ETF, VictoryShares US Multi-Factor Minimum Volatility ETF, VictoryShares US 500 Enhanced Volatility Wtd ETF, VictoryShares US EQ Income Enhanced Volatility Wtd ETF, VictoryShares US Discovery Enhanced Volatility Wtd ETF, and VictoryShares Developed Enhanced Volatility Wtd ETF | For the year ended June 30, 2022 | For the years ended June 30, 2022, and 2021 | For the years ended June 30, 2022, 2021, 2020, 2019, and 2018 | ||||||||||||
VictoryShares Emerging Market High Div Volatility Wtd ETF | For the year ended June 30, 2022 | For the years ended June 30, 2022 and 2021 | For the years ended June 30, 2022, 2021, 2020, 2019 and for the period from October 26, 2017 (commencement of operations) through June 30, 2018 | ||||||||||||
262
| Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights | ||||||||||||
VictoryShares Nasdaq Next 50 ETF | For the year ended June 30, 2022 | For the year ended June 30, 2022, and for the period from September 10, 2020 (commencement of operations) through June 30, 2021 | |||||||||||||
VictoryShares ESG Corporate Bond ETF, VictoryShares ESG Core Plus Bond ETF, and VictoryShares THB Mid Cap ESG ETF | For the period from October 5, 2021 (commencement of operations) through June 30, 2022 | ||||||||||||||
Basis for Opinion
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 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 procedures included confirmation of securities owned as of June 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. 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. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.
COHEN & COMPANY, LTD.
Cleveland, Ohio
August 26, 2022
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Victory Portfolios II | Supplemental Information June 30, 2022 | ||||||
(Unaudited)
Trustee and Officer Information
Board of Trustees:
Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently nine Trustees, eight of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.
The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 25 portfolios in the Trust, six portfolios in Victory Variable Insurance Funds, and 40 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 45 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
Independent Trustees. | |||||||||||||||||||
| David Brooks Adcock, Born October 1951 | Trustee | May 2015 | Consultant (since 2006). | Chair and Trustee, Turner Funds (December 2016-December 2017). | |||||||||||||||
| Nigel D. T. Andrews, Born April 1947 | Trustee | May 2015 | Retired. | Director, Carlyle Secured Lending, Inc. (formerly TCG BDC I, Inc.) (since 2012); Director, Carlyle Credit Solutions, Inc. (formerly TCG BDC II, Inc.) (since 2017); Trustee, Carlyle Secured Lending III (since 2021). | |||||||||||||||
| E. Lee Beard,* Born August 1951 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Dennis M. Bushe, Born January 1944 | Trustee | July 2016 | Retired. | None. | |||||||||||||||
264
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
| John L. Kelly, Born April 1953 | Chair and Trustee | May 2015 | Partner, McCarvill Capital Partners (September 2016- September 2017). | Director, Caledonia Mining Corporation (since May 2012). | |||||||||||||||
| David L. Meyer, Born April 1957 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Gloria S. Nelund, Born May 1961 | Trustee | July 2016 | Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm. | TriLinc Global Impact Fund, LLC (since 2012). | |||||||||||||||
| Leigh A. Wilson, Born December 1944 | Trustee | May 2015 | Private Investor. | Chair (since 2013), Caledonia Mining Corporation. | |||||||||||||||
Interested Trustee. | |||||||||||||||||||
| David C. Brown,** Born May 1972 | Trustee | May 2015 | Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc. | Trustee, USAA Mutual Funds Trust. | |||||||||||||||
* The Board has designated Ms. Beard as its Audit Committee Financial Expert.
** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.
The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.
265
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Officers:
The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Christopher K. Dyer, Born February 1962 | President | May 2015 | Director of Mutual Fund Administration, the Adviser (since 2004); Chief Operating Officer, Victory Capital Services, Inc. (since 2020); Vice President, Victory Capital Transfer Agency, Inc. (since 2019). | ||||||||||||
| Scott A. Stahorsky, Born July 1969 | Vice President | May 2015 | Manager, Fund Administration, the Adviser (since 2015). | ||||||||||||
| Erin G. Wagner, Born February 1974 | Secretary* | May 2015- April 2022 | Associate General Counsel, the Adviser (2013-2022). | ||||||||||||
| Thomas Dusenberry, Born July 1977 | Secretary | May 2022 | Manager, Fund Administration, the Adviser (since 2022); Treasurer and Principal Financial Officer (2020-2022), Assistant Treasurer (2019), Salient MF Trust, Salient Midstream, MLP Fund and Forward Funds; Principal Financial Officer (2018-2021) and Treasurer (2020-2021), Salient Private Access Funds and Endowment PMF Funds; Senior Vice President of Fund Accounting and Operations, Salient Partners (2020-2022); Director of Fund Operations, Salient Partners (2016-2019). | ||||||||||||
| Allan Shaer, Born March 1965 | Treasurer | December 2017 | Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016). | ||||||||||||
| Christopher A. Ponte, Born March 1984 | Assistant Treasurer | May 2015 | Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018). | ||||||||||||
| Colin Kinney, Born October 1973 | Chief Compliance Officer** | July 2017- June 2022 | Chief Compliance Officer (2013-2022) and Chief Risk Officer (2009-2017), the Adviser. | ||||||||||||
| Sean Fox, Born September 1976 | Chief Compliance Officer | June 2022 | Sr. Compliance Officer, the Adviser (since 2019); Compliance Officer, the Adviser (2015-2019). | ||||||||||||
266
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Chuck Booth, Born April 1960 | Anti-Money Laundering Compliance Officer and Identity Theft Officer | May 2015 | Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc. | ||||||||||||
| Jay G. Baris, Born January 1954 | Assistant Secretary | May 2015 | Partner, Sidley Austin LLP (since 2020); Partner, Shearman & Sterling LLP (2018-2020); Partner, Morrison & Foerster LLP (2011-2018). | ||||||||||||
* On April 27, 2022, Ms. Wagner resigned her position with the Trust.
** On June 10, 2022, Mr. Kinney resigned his position with the Trust.
267
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Proxy Voting and Portfolio Holdings Information
Proxy Voting:
Information regarding the policies and procedures each Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.
Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 months ended June 30 is available on the SEC's website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Trust files a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's website at www.sec.gov.
Expense Examples
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022, through June 30, 2022.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, 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 table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expenses in the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Account Value 1/1/22 | Actual Ending Account Value 6/30/22 | Hypothetical Ending Account Value 6/30/22 | Actual Expenses Paid During Period 1/1/22- 6/30/22* | Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* | Annualized Expense Ratio During Period 1/1/22- 6/30/22 | ||||||||||||||||||||||
US 500 Volatility Wtd ETF | $ | 1,000.00 | $ | 832.20 | $ | 1,023.06 | $ | 1.59 | $ | 1.76 | 0.35 | % | |||||||||||||||
| US Small Cap Volatility Wtd ETF | 1,000.00 | 824.10 | 1,023.06 | 1.58 | 1.76 | 0.35 | % | ||||||||||||||||||||
| International Volatility Wtd ETF | 1,000.00 | 817.70 | 1,022.56 | 2.03 | 2.26 | 0.45 | % | ||||||||||||||||||||
| US Large Cap High Div Volatility Wtd ETF | 1,000.00 | 962.30 | 1,023.06 | 1.70 | 1.76 | 0.35 | % | ||||||||||||||||||||
| US Small Cap High Div Volatility Wtd ETF | 1,000.00 | 864.40 | 1,023.06 | 1.62 | 1.76 | 0.35 | % | ||||||||||||||||||||
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Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
| Beginning Account Value 1/1/22 | Actual Ending Account Value 6/30/22 | Hypothetical Ending Account Value 6/30/22 | Actual Expenses Paid During Period 1/1/22- 6/30/22* | Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* | Annualized Expense Ratio During Period 1/1/22- 6/30/22 | ||||||||||||||||||||||
| International High Div Volatility Wtd ETF | $ | 1,000.00 | $ | 920.70 | $ | 1,022.56 | $ | 2.14 | $ | 2.26 | 0.45 | % | |||||||||||||||
| Emerging Market High Div Volatility Wtd ETF | 1,000.00 | 816.90 | 1,022.32 | 2.25 | 2.51 | 0.50 | % | ||||||||||||||||||||
Dividend Accelerator ETF | 1,000.00 | 877.10 | 1,023.06 | 1.63 | 1.76 | 0.35 | % | ||||||||||||||||||||
| US Multi-Factor Minimum Volatility ETF | 1,000.00 | 881.10 | 1,023.06 | 1.63 | 1.76 | 0.35 | % | ||||||||||||||||||||
| US 500 Enhanced Volatility Wtd ETF | 1,000.00 | 831.90 | 1,023.06 | 1.59 | 1.76 | 0.35 | % | ||||||||||||||||||||
| US EQ Income Enhanced Volatility Wtd ETF | 1,000.00 | 962.20 | 1,023.06 | 1.70 | 1.76 | 0.35 | % | ||||||||||||||||||||
| US Discovery Enhanced Volatility Wtd ETF | 1,000.00 | 859.50 | 1,023.06 | 1.61 | 1.76 | 0.35 | % | ||||||||||||||||||||
| Developed Enhanced Volatility Wtd ETF | 1,000.00 | 865.90 | 1,022.56 | 2.08 | 2.26 | 0.45 | % | ||||||||||||||||||||
Nasdaq Next 50 ETF | 1,000.00 | 679.50 | 1,023.90 | 0.75 | 0.90 | 0.18 | % | ||||||||||||||||||||
ESG Core Plus Bond ETF | 1,000.00 | 889.30 | 1,022.81 | 1.87 | 2.01 | 0.40 | % | ||||||||||||||||||||
ESG Corporate Bond ETF | 1,000.00 | 848.40 | 1,022.81 | 1.83 | 2.01 | 0.40 | % | ||||||||||||||||||||
| THB Mid Cap ESG ETF | 1,000.00 | 755.50 | 1,022.07 | 2.39 | 2.76 | 0.55 | % | ||||||||||||||||||||
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
269
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Additional Federal Income Tax Information
For the year ended June 30, 2022, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:
| Percent | ||||||
US 500 Volatility Wtd ETF | 100 | % | |||||
US Small Cap Volatility Wtd ETF | 100 | % | |||||
International Volatility Wtd ETF | 88 | % | |||||
US Large Cap High Div Volatility Wtd ETF | 100 | % | |||||
US Small Cap High Div Volatility Wtd ETF | 100 | % | |||||
International High Div Volatility Wtd ETF | 72 | % | |||||
Emerging Market High Div Volatility Wtd ETF | 71 | % | |||||
Dividend Accelerator ETF | 100 | % | |||||
US Multi-Factor Minimum Volatility ETF | 100 | % | |||||
US 500 Enhanced Volatility Wtd ETF | 100 | % | |||||
US EQ Income Enhanced Volatility Wtd ETF | 100 | % | |||||
US Discovery Enhanced Volatility Wtd ETF | 100 | % | |||||
Developed Enhanced Volatility Wtd ETF | 89 | % | |||||
Nasdaq Next 50 ETF | 98 | % | |||||
| THB Mid Cap ESG ETF | 100 | % | |||||
Dividends qualified for corporate dividends received deductions of:
| Percent | ||||||
US 500 Volatility Wtd ETF | 100 | % | |||||
US Small Cap Volatility Wtd ETF | 100 | % | |||||
US Large Cap High Div Volatility Wtd ETF | 100 | % | |||||
US Small Cap High Div Volatility Wtd ETF | 100 | % | |||||
Dividend Accelerator ETF | 100 | % | |||||
US Multi-Factor Minimum Volatility ETF | 100 | % | |||||
US 500 Enhanced Volatility Wtd ETF | 100 | % | |||||
US EQ Income Enhanced Volatility Wtd ETF | 100 | % | |||||
US Discovery Enhanced Volatility Wtd ETF | 100 | % | |||||
Nasdaq Next 50 ETF | 69 | % | |||||
| THB Mid Cap ESG ETF | 100 | % | |||||
For the year ended June 30, 2022, the following Funds designated short-term capital gain distributions:
| Amount | ||||||
| THB Mid Cap ESG ETF | $ | 6,879 | |||||
The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2022, were as follows:
| Foreign Source Income | Foreign Tax Expense | |||||||||
International Volatility Wtd ETF | 1.42 | 0.19 | |||||||||
International High Div Volatility Wtd ETF | 2.09 | 0.23 | |||||||||
Emerging Market High Div Volatility Wtd ETF | 2.18 | 0.34 | |||||||||
270
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Liquidity Risk Management Program:
The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.
Victory Capital manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every Fund investment as either highly liquid, moderately liquid, less liquid, or illiquid on at least a monthly basis. To assist with the classification of Fund investments, Victory Capital has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by Victory Capital. Victory Capital reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.
At a meeting held on February 24, 2022, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that each Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.
271
Privacy Policy
Protecting the Privacy of Information
The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.
We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.
To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic, and procedural safeguards to guard your personal information.*
* You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.
The Victory Funds
P.O. Box 182593
Columbus, Ohio 43218-2593
Visit our website at: | Call Victory at: | ||||||
www.vcm.com | 866-376-7890 | ||||||
VPII-VICTORYSHARESETF-AR (6/22)
June 30, 2022
Annual Report
VictoryShares USAA Core Short-Term Bond ETF
VictoryShares USAA Core Intermediate-Term Bond ETF
vcm.com
News, Information And Education 24 Hours A Day, 7 Days A Week
The Victory Capital website gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:
• Detailed performance records
• Daily share prices
• The latest fund news
• Investment resources to help you become a better investor
• A section dedicated to investment professionals
Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.
Victory Portfolios II
TABLE OF CONTENTS
Shareholder Letter (Unaudited) | 3 | ||||||
| Managers' Commentary / Investment Overview (Unaudited) | 5 | ||||||
| Investment Objective and Portfolio Holdings (Unaudited) | 11 | ||||||
Schedules of Portfolio Investments | |||||||
VictoryShares USAA Core Short-Term Bond ETF | 13 | ||||||
| VictoryShares USAA Core Intermediate-Term Bond ETF | 27 | ||||||
Financial Statements | |||||||
Statements of Assets and Liabilities | 54 | ||||||
Statements of Operations | 55 | ||||||
Statements of Changes in Net Assets | 56 | ||||||
Financial Highlights | 58 | ||||||
Notes to Financial Statements | 60 | ||||||
| Report of Independent Registered Public Accounting Firm | 72 | ||||||
Supplemental Information (Unaudited) | 73 | ||||||
Trustee and Officer Information | 73 | ||||||
Proxy Voting and Portfolio Holdings Information | 77 | ||||||
Expense Examples | 77 | ||||||
Additional Federal Income Tax Information | 78 | ||||||
Liquidity Risk Management Program | 79 | ||||||
Privacy Policy (inside back cover) | |||||||
1
IRA DISTRIBUTION WITHHOLDING DISCLOSURE
We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call 800-539-3863 and form W-4P (OMB No. 1545-0074 withholding certificate for pension or annuity payments) will be electronically sent.
If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.
For more specific information, please consult your tax adviser.
The Funds are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus of the Victory Funds.
For additional information about any Victory Fund, including fees, expenses, and risks, view our prospectus online at vcm.com or call 800-539-3863. Read it carefully before you invest or send money.
The information in this report is based on data obtained from recognized services and sources and is believed to be reliable. Any opinions, projections, or recommendations in this report are subject to change without notice and are not intended as individual investment advice. Past investment performance of the Funds, markets or securities mentioned herein should not be considered to be indicative of future results.
• NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Call Victory at:
800-539-FUND (800-539-3863)
Visit our website at:
www.vcm.com
2
Victory Funds Letter to Shareholders
(Unaudited)
Dear Shareholder,
Looking back over our most recent annual reporting period offers us a stark reminder that markets go up and down, and that investor sentiment can shift quickly.
Although most of 2021 was constructive for financial markets, the script flipped as we entered the new calendar year. More recently, investors have been focused on a host of worries. Inflation data has been running hotter than expected. The U.S. Federal Reserve (the "Fed") has embarked on a new rate-hike cycle and a terrible war is raging in Eastern Europe. All these issues, among other factors, have ratcheted up market volatility in both stock and bond markets. Many broad-market stock indices have pulled back substantially during the first half of 2022 and even entered "bear market" territory, which is typically considered a 20% pullback from the most recent highs. Meanwhile, fixed income investors are also dealing with elevated volatility, and wide swaths of the bond market have struggled in the face of rising interest rates.
Throughout the ups and downs of the past annual reporting period, there have been interesting differences playing out within the broader market. In general, large-cap stocks outperformed smaller-capitalization companies for the full annual reporting period. Meanwhile, growth-oriented styles led value-oriented investments during the earlier part of our annual reporting period, while the reverse was true during the latter segment of the reporting period (as measured by the Russell family of indices). Perhaps this reflects investors' realization and expectations for future higher interest rates and corresponding higher borrowing costs.
There were other notable subplots, too. During much of 2021 we watched crypto assets captivate investors, only to see them fall out of favor as sentiment soured. This year we've seen oil prices surge, which helped fuel gains across the energy landscape while many other sectors lagged. The Energy and Utilities sectors (and yes, Cash) have been the lone bright spots for many investor portfolios. If anything, this underscores the importance of diversification.
Looking at the numbers, we see that the S&P 500® Index, the bell-weather proxy for our domestic stock market, declined by 10.62% for the 12-month period ended June 30, 2022. Over this same annual period, the yield on the 10-Year U.S. Treasury jumped 1.53%, thanks largely to the Fed's shift toward a less accommodative monetary policy and the first rate hike in three years. At the end of our reporting period, the yield on the 10-Year U.S. Treasury finished at 2.98%.
Given the market environment of the past few months, it's no surprise that investors have become more focused on risk management and downside protection. Remember, our experience managing portfolios through various economic cycles has taught us to remain calm in the face of market turmoil. It is our view that a long-term perspective, a well-diversified portfolio across asset classes and investment types, and a clear understanding of individual risk tolerances are some of the key ingredients for staying the course and progressing on investment goals.
3
As ever, there will be challenges ahead. The Fed has declared its intent to continue raising rates until the recent elevated inflation readings decline. Labor shortages, ongoing supply chain issues, high energy prices, and the Russia-Ukraine war are among the performance detractors investors continue to navigate. There's even some chatter about a possible recession.
Although we cannot tell you with any certainty what markets will do in the future, we can assure you that the investment professionals at all our independent franchises continually monitor the environment and work hard to position portfolios opportunistically no matter what the markets bring.
On the following pages you will find information relating to your Victory Funds investment. If you have any questions regarding the current market dynamics or your specific portfolio or investment plan, we encourage you to contact your financial advisor. If you invest with us directly, you may call 800-539-3863 or visit our website at www.vcm.com.
From all of us here at Victory Capital, thank you for letting us help you work toward your investment goals.
Christopher K. Dyer, CFA
President,
Victory Funds
4
VictoryShares USAA Core Short-Term Bond ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
As the world attempted to return to normal, coming out of the historical COVID-19 government-imposed lockdowns, the consequences of those lockdowns began to manifest themselves. In particular, global supply chains that functioned smoothly pre-COVID-19 were disrupted in ways that have yet to work themselves out. Generally speaking, the result was demand that rebounded faster than supply could keep up. To make matters worse, apart from the human tragedy itself, Russia's invasion of Ukraine in February 2022 added to the supply chain issues, with impacts on the price of oil, natural gas, wheat, and fertilizer, to name but a few. While the general price level fell during COVID-19, when demand fell faster than supply, the reverse is now true. As measured by the Consumer Price Index, the price level skyrocketed to 7% in 2021. During 2022, prices have risen even further, to 8.6% as of the end of May 2022.
These events have taken their toll on the financial markets, with the S&P 500® Index down 10.6% year over year, and 20% year to date; officially "bear market" territory. The bond market did not escape the pain, either. Indeed, the past year has been one of the worst for fixed income markets over the last 50 years, if not all of history. The one-year total return for the period ending June 30, 2022, for the Bloomberg US Aggregate Bond Index was worse than even during the U.S. dollar devaluation period in the late 1970s/early 1980s, down 10.3% year over year and down 10.4% year to date, performance almost as poor as the stock market.
These results were driven primarily by the significant rise in interest rates, as the bond market reacted to the dramatic increases in the price level. While the U.S. Federal Reserve (the "Fed") initially believed these price increases to be transitory, the bond market forced them to quickly abandon that thought. What was originally expected to be a gradual increase of 25 basis points ("bps") (a basis point is 1/100th of a percentage point) in the Fed Funds rate morphed into rate hikes that haven't been seen since 1994. The Fed started hiking rates by 25 bps in March, then was forced to higher hikes of 50 bps in May and a whopping 75-bps hike in June.
In addition to the jump in U.S. Treasury rates, bond spreads have widened out as well. Year over year, the Bloomberg U.S. Corporate Index option-adjusted spread rose from 0.80% to 1.55%, an increase of 75 bps. This took its toll on the fixed income market, leaving the Bloomberg U.S. Corporate Index with a one-year negative total return of -14.2%.
Some economists are starting to predict a recession. The recent rise in interest rates is already beginning to dampen demand, particularly for housing, as well as automobiles. Higher gasoline and food prices are also taking their toll, forcing consumers to curtail other purchases. Although the employment situation looks decent with the unemployment rate at 3.6%, that's typically a lagging indicator, and the COVID-19 lockdowns caused havoc in the labor markets, as many businesses still cannot fill all the positions they need. Real Gross Domestic Product decreased -1.6% in the first quarter of 2022, and a decrease in the second quarter would fit the textbook definition of recession, although the consensus estimate is for growth in the second quarter. Recession or no recession, economic activity is likely to slow in the near term as the economy readjusts from the COVID-19 pandemic.
5
VictoryShares USAA Core Short-Term Bond ETF
Managers' Commentary (continued)
How did VictoryShares USAA Core Short-Term Bond ETF (the "Fund") perform during the reporting period?
The Fund returned -3.73% for the fiscal year ended June 30, 2022, underperforming its benchmark, the Bloomberg 1-3 Yr Credit Index (the "Index"), which returned -3.72% for the period.
What strategies did you employ during the reporting period?
The Fund earned a negative total return during the reporting period, driven primarily by the increases in U.S. Treasury rates and credit spreads. Because the Fund's duration is always close to the Index duration, changes in interest rates typically have little effect on the Fund's relative performance. However, the Fund tends to have a more laddered portfolio compared to the Index, which has most of its bonds concentrated in 2-3-year maturities. Since U.S. Treasury rates increased the most in the 1-3-year maturities, the Fund benefited relative to the Index, as rates at both the short end (< 1 year) and longer end (4-7 years) did not increase as much.
The Fund also underperformed the Index due to allocation and selection. Reflecting the portfolio's diversification, the Fund's results were spread among a variety of sectors. Within corporate bonds, the Fund benefited from investments in the Banking, Technology, Utilities, and Pharmaceuticals sectors. Taxable municipal bonds and cash also added to underperformance. Certain other market segments weighed on relative performance. These included Asset-Backed Securities, Commercial Mortgage-Backed Securities, Finance Companies, Airlines, and Wireless. We continued to adhere to our disciplined investment approach, which is to maintain an attractive yield with an acceptable level of risk. From a credit risk perspective, our higher exposure to BBB and high yield bonds caused underperformance as credit spreads rose, while higher-rated investment-grade bonds aided performance.
To identify attractive investment opportunities, we worked with our in-house team of credit analysts, continuing to build the portfolio bond by bond, through fundamental bottom-up analysis. We seek ideas where our fundamental understanding of the credit risk is different than the market. This approach, we believe, will generate total returns that may outperform our peers over the long run, with less volatility. Our credit analysts review all securities considered for purchase and assign their own independent credit rating. They continuously monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.
6
VictoryShares USAA Core Short-Term Bond ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/24/17 | 10/24/17 | |||||||||||||
Net Asset Value | Market Price Value | Bloomberg 1-3 Year Credit Index1 | |||||||||||||
One Year | –3.73 | % | –3.78 | % | –3.72 | % | |||||||||
Since Inception | 1.82 | % | 1.82 | % | N/A | ||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares USAA Core Short-Term Bond ETF — Growth of $10,000
1The Bloomberg 1-3 Yr Credit Index measures the performance of investment-grade corporate debt and sovereign, supranational, local authority, and non-U.S. agency bonds that have a remaining maturity of at least one year and less than three years. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index. As of August 24, 2021, Bloomberg rebranded the Bloomberg Barclays fixed income indices as "Bloomberg Indices."
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
7
VictoryShares USAA Core Intermediate-Term Bond ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
As the world attempted to return to normal, coming out of the historical COVID-19 government-imposed lockdowns, the consequences of those lockdowns began to manifest themselves. In particular, global supply chains that functioned smoothly pre-COVID-19 were disrupted in ways that have yet to work themselves out. Generally speaking, the result was demand that rebounded faster than supply could keep up. To make matters worse, apart from the human tragedy itself, Russia's invasion of Ukraine in February 2022 added to the supply chain issues, with impacts on the price of oil, natural gas, wheat, and fertilizer, to name but a few. While the general price level fell during COVID-19, when demand fell faster than supply, the reverse is now true. As measured by the Consumer Price Index, the price level skyrocketed to 7% in 2021. During 2022, prices have risen even further, to 8.6% as of the end of May 2022.
These events have taken their toll on the financial markets, with the S&P 500® Index down 10.6% year over year, and 20% year to date; officially "bear market" territory. The bond market did not escape the pain, either. Indeed, the past year has been one of the worst for fixed income markets over the last 50 years, if not all of history. The one-year total return for the period ending June 30, 2022, for the Bloomberg US Aggregate Bond Index (the "Index") was worse than even during the U.S. dollar devaluation period in the late 1970s/early 1980s, down 10.3% year over year and down 10.4% year to date, performance almost as poor as the stock market.
These results were driven primarily by the significant rise in interest rates, as the bond market reacted to the dramatic increases in the price level. While the U.S. Federal Reserve (the "Fed") initially believed these price increases to be transitory, the bond market forced them to quickly abandon that thought. What was originally expected to be a gradual increase of 25 basis points ("bps") (a basis point is 1/100th of a percentage point) in the Fed Funds rate morphed into rate hikes that haven't been seen since 1994. The Fed started hiking rates by 25 bps in March, then was forced to higher hikes of 50 bps in May and a whopping 75-bps hike in June.
In addition to the jump in U.S. Treasury rates, bond spreads have widened out as well. Year over year, the Bloomberg U.S. Corporate Index option-adjusted spread rose from 0.80% to 1.55%, an increase of 75 bps. This took its toll on the fixed income market, leaving the Bloomberg U.S. Corporate Index with a one-year negative total return of -14.2%.
Some economists are starting to predict a recession. The recent rise in interest rates is already beginning to dampen demand, particularly for housing, as well as automobiles. Higher gasoline and food prices are also taking their toll, forcing consumers to curtail other purchases. Although the employment situation looks decent with the unemployment rate at 3.6%, that's typically a lagging indicator, and the COVID-19 lockdowns caused havoc in the labor markets, as many businesses still cannot fill all the positions they need. Real Gross Domestic Product decreased -1.6% in the first quarter of 2022, and a decrease in the second quarter would fit the textbook definition of recession, although the consensus estimate is for growth in the second quarter. Recession or no recession, economic activity is likely to slow in the near term as the economy readjusts from the COVID-19 pandemic.
8
VictoryShares USAA Core Intermediate-Term Bond ETF
Managers' Commentary (continued)
How did the VictoryShares USAA Core Intermediate-Term Bond ETF (the "Fund") perform during the reporting period?
The Fund returned -10.35% for the fiscal year ended June 30, 2022, underperforming the Index, which returned -10.29% for the period,
What strategies did you employ during the reporting period?
The negative total returns for both the Fund and the Index were primarily driven by increases in interest rates during the second half of the reporting period. While bond credit spreads held firm during the summer and fall of 2021, spreads began to widen into the end of 2021. This spread widening precipitately increased following Russia's invasion of Ukraine, combined with persistent global inflation pressures. Higher inflation also led to a more restrictive monetary policy by the U.S. Federal Reserve and greater uncertainty regarding economic growth. Global financial markets performed poorly as the macroeconomic and geopolitical environment deteriorated. The Fund, which has a higher allocation to BBB-rated corporate credit relative to the Index, was a primary driver of underperformance. Offsetting this underperformance was the Fund's large underweight to Agency Mortgage-Backed Securities, which performed poorly as interest rates increased.
In keeping with our investment process, we continued to build the Fund bond by bond. We seek ideas where our fundamental understanding of the credit risk is different than that of the market, working with our team of analysts to evaluate each potential investment individually. During the reporting period, we found select attractive opportunities as we continued to seek relative values across the fixed income market.
Our analysts continued to analyze and monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.
9
VictoryShares USAA Core Intermediate-Term Bond ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/24/17 | 10/24/17 | |||||||||||||
Net Asset Value | Market Price Value | Bloomberg US Aggregate Bond Index1 | |||||||||||||
One Year | –10.35 | % | –10.30 | % | –10.29 | % | |||||||||
Since Inception | 1.39 | % | 1.42 | % | N/A | ||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares USAA Core Intermediate-Term Bond ETF — Growth of $10,000
1The Bloomberg US Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market. This includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities and collateralized mortgage-backed securities. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index. As of August 24, 2021, Bloomberg rebranded the Bloomberg Barclays fixed income indices as "Bloomberg Indices."
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
10
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide high current income consistent with preservation of principal.
Asset Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
11
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide high current income without undue risk to principal.
Asset Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
12
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Asset-Backed Securities (24.5%) | |||||||||||
| AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, 1/19/27, Callable 9/18/24 @ 100 | $ | 1,000,000 | $ | 922,146 | |||||||
| Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class A2, 1.64%, 10/20/27, Callable 9/20/25 @ 100 (a) | 594,000 | 571,607 | |||||||||
| Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class B, 2.20%, 1/20/28, Callable 9/20/25 @ 100 (a) | 541,000 | 505,837 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class A3, 3.43%, 1/15/31, Callable 3/15/25 @ 100 (a) | 762,000 | 751,141 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class A2, 3.12%, 1/15/31, Callable 3/15/25 @ 100 (a) | 1,000,000 | 989,831 | |||||||||
| Atalaya Equipment Leasing Trust, Series 2021-1A, Class A2, 1.23%, 5/15/26, Callable 10/15/24 @ 100 (a) | 1,249,194 | 1,221,074 | |||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B, 3.33%, 3/20/24, Callable 4/20/23 @ 100 (a) | 1,000,000 | 995,740 | |||||||||
| Canadian Pacer Auto Receivables Trust, Series 2020-1A, Class B, 2.00%, 7/21/25, Callable 8/19/23 @ 100 (a) | 1,156,000 | 1,124,380 | |||||||||
| Canadian Pacer Auto Receivables Trust, Series 2019-1A, Class B, 3.16%, 10/21/24, Callable 1/19/23 @ 100 (a) | 860,000 | 857,582 | |||||||||
| CarMax Auto Owner Trust, Series 2021-2, Class A3, 0.52%, 2/17/26, Callable 8/15/24 @ 100 | 2,000,000 | 1,940,726 | |||||||||
| CarMax Auto Owner Trust, Series 2020-4, Class A3, 0.50%, 8/15/25, Callable 8/15/24 @ 100 | 1,000,000 | 979,770 | |||||||||
CARS LP, Series 2020-1A, Class A1, 2.69%, 2/15/50, Callable 2/15/23 @ 100 (a) | 583,878 | 552,765 | |||||||||
| Carvana Auto Receivables Trust, Series 2019-2A, Class D, 3.28%, 1/15/25, Callable 10/15/24 @ 100 (a) | 500,000 | 497,950 | |||||||||
| Carvana Auto Receivables Trust, Series 2021-N1, Class C, 1.30%, 1/10/28, Callable 2/10/25 @ 100 | 1,075,315 | 1,040,525 | |||||||||
| Carvana Auto Receivables Trust, Series 2021-N1, Class A, 0.70%, 1/10/28, Callable 2/10/25 @ 100 | 685,715 | 658,624 | |||||||||
| Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.72%, 9/11/28, Callable 6/10/25 @ 100 | 1,000,000 | 955,622 | |||||||||
| CNH Equipment Trust, Series 2018-B, Class B, 3.56%, 2/17/26, Callable 9/15/22 @ 100 | 350,000 | 350,557 | |||||||||
| Conn's Receivables Funding LLC, Series 2021-A, Class A, 1.05%, 5/15/26, Callable 8/15/23 @ 100 (a) | 668,678 | 656,855 | |||||||||
| Conn's Receivables Funding LLC, Series 2021-A, Class B, 2.87%, 5/15/26, Callable 8/15/23 @ 100.25 (a) | 1,000,000 | 973,530 | |||||||||
| CP EF Asset Securitization I LLC, Series 2022-1A, Class A, 5.96%, 4/15/30, Callable 11/15/25 @ 100 (a) (b) | 1,500,000 | 1,500,000 | |||||||||
| CPS Auto Receivables Trust, Series 2019-C, Class D, 3.17%, 6/16/25, Callable 9/15/23 @ 100 (a) | 815,687 | 813,276 | |||||||||
| CPS Auto Receivables Trust, Series 2022-A, Class B, 1.70%, 4/16/29, Callable 5/15/26 @ 100 (a) | 800,000 | 766,269 | |||||||||
Credit Acceptance Auto Loan Trust, Series 2022-1A, Class B, 4.95%, 8/16/32 (a) | 1,000,000 | 1,003,871 | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2021-4, Class B, 1.74%, 12/16/30, Callable 4/15/25 @ 100 (a) | 320,000 | 295,665 | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2021-4, Class A, 1.26%, 10/15/30, Callable 4/15/25 @ 100 (a) | 333,000 | 313,775 | |||||||||
See notes to financial statements.
13
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2019-3A, Class B, 2.86%, 1/16/29, Callable 6/15/23 @ 100 (a) | $ | 1,000,000 | $ | 991,925 | |||||||
| Dell Equipment Finance Trust, Series 2020-2, Class D, 1.92%, 3/23/26, Callable 5/22/23 @ 100 (a) | 1,000,000 | 980,749 | |||||||||
| Diamond Issuer, Series 2021-1A, Class B, 2.70%, 11/20/51, Callable 11/20/25 @ 100 (a) | 655,000 | 568,365 | |||||||||
| DLLST LLC, Series 2022-1A, Class A4, 3.69%, 9/20/28, Callable 8/20/25 @ 100 (a) | 1,000,000 | 995,180 | |||||||||
| Drive Auto Receivables Trust, Series 2020-2, Class C, 2.28%, 8/17/26, Callable 12/15/23 @ 100 | 750,000 | 744,513 | |||||||||
| Drive Auto Receivables Trust, Series 2021-1, Class B, 0.65%, 7/15/25, Callable 12/15/23 @ 100 | 750,000 | 745,800 | |||||||||
| Drive Auto Receivables Trust, Series 2021-1, Class C, 1.02%, 6/15/27, Callable 12/15/23 @ 100 (c) | 708,000 | 691,435 | |||||||||
| Encina Equipment Finance LLC, Series 2022-1A, Class A2, 4.88%, 11/15/28, Callable 5/15/26 @ 100 (a) | 975,000 | 977,455 | |||||||||
| Enterprise Fleet Financing LLC, Series 2022-1, Class A2, 3.03%, 1/20/28, Callable 7/20/25 @ 100 (a) | 500,000 | 491,935 | |||||||||
| Enterprise Fleet Financing LLC, Series 2022-2, Class A2, 4.65%, 5/21/29, Callable 2/20/26 @ 100 (a) | 1,000,000 | 1,007,463 | |||||||||
Evergreen Credit Card Trust, Series 2021-1A, Class A, 0.90%, 10/15/26 (a) | 1,500,000 | 1,417,338 | |||||||||
Evergreen Credit Card Trust, Series 2019-2, Class B, 2.27%, 9/15/24 (a) | 750,000 | 749,228 | |||||||||
| Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.98%, 6/15/26, Callable 9/15/24 @ 100 | 1,500,000 | 1,440,763 | |||||||||
| Exeter Automobile Receivables Trust, Series 2021-4, Class C, 1.46%, 10/15/27, Callable 9/15/24 @ 100 | 1,000,000 | 944,499 | |||||||||
| Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.32%, 7/15/25, Callable 8/15/24 @ 100 | 472,000 | 467,937 | |||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class A, 2.14%, 12/17/38 (a) | 998,642 | 912,372 | |||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class B, 2.44%, 12/17/38 (a) | 1,000,000 | 902,823 | |||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class C, 2.54%, 12/17/38 (a) | 1,000,000 | 907,475 | |||||||||
| Flagship Credit Auto Trust, Series 2019-4, Class E, 4.11%, 3/15/27, Callable 7/15/24 @ 100 (a) | 1,000,000 | 949,177 | |||||||||
| Flagship Credit Auto Trust, Series 4, Class B, 1.49%, 2/15/27, Callable 4/15/25 @ 100 (a) | 1,000,000 | 949,734 | |||||||||
| Flagship Credit Auto Trust, Series 4, Class C, 1.96%, 12/15/27, Callable 4/15/25 @ 100 (a) | 1,000,000 | 933,001 | |||||||||
| Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100 (a) | 1,000,000 | 909,139 | |||||||||
| Ford Credit Auto Lease Trust, Series 2022-A, Class B, 3.81%, 8/15/25, Callable 11/15/24 @ 100 | 643,000 | 641,801 | |||||||||
| Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.83%, 12/15/26, Callable 11/15/24 @ 100 (a) | 600,000 | 573,742 | |||||||||
| Foursight Capital Automobile Receivables Trust, Series 2022-1, Class B, 2.15%, 5/17/27, Callable 11/15/24 @ 100 (a) | 1,000,000 | 937,584 | |||||||||
| GLS Auto Receivables Issuer Trust, Series 4A, Class B, 1.53%, 4/15/26, Callable 12/15/25 @ 100 (a) | 500,000 | 476,454 | |||||||||
GLS Auto Receivables Issuer Trust, Series 4A, Class A, 0.84%, 7/15/25 (a) | 648,389 | 637,125 | |||||||||
See notes to financial statements.
14
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
GLS Auto Receivables Issuer Trust, Series 2022-2A, Class B, 4.70%, 9/15/26 (a) | $ | 1,000,000 | $ | 998,165 | |||||||
| GLS Auto Receivables Issuer Trust, Series 2020-2A, Class B, 3.16%, 6/16/25, Callable 5/15/24 @ 100 (a) | 1,250,000 | 1,245,542 | |||||||||
GLS Auto Receivables Trust, Series 2022-1A, Class B, 2.84%, 5/15/26 (a) | 1,000,000 | 969,752 | |||||||||
| GM Financial Automobile Leasing Trust, Series 2020-3, Class A4, 0.51%, 10/21/24, Callable 4/20/23 @ 100 | 1,000,000 | 989,128 | |||||||||
| Hertz Vehicle Financing III LLC, Series 2022-1A, Class B, 2.19%, 6/25/26, Callable 6/25/25 @ 100 (a) | 1,000,000 | 933,197 | |||||||||
| Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 3/25/25, Callable 3/25/24 @ 100 (a) | 1,000,000 | 985,442 | |||||||||
| Hertz Vehicle Financing III LLC, Series 2022-1A, Class A, 1.99%, 6/25/26, Callable 6/25/25 @ 100 (a) | 1,000,000 | 937,571 | |||||||||
| Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.37%, 10/18/24, Callable 12/18/23 @ 100 | 835,120 | 820,394 | |||||||||
| HPEFS Equipment Trust, Series 2022-1A, Class D, 2.40%, 11/20/29, Callable 1/20/25 @ 100 (a) | 667,000 | 618,373 | |||||||||
| HPEFS Equipment Trust, Series 2020-2A, Class C, 2.00%, 7/22/30, Callable 4/20/23 @ 100 (a) | 885,000 | 875,771 | |||||||||
| HPEFS Equipment Trust, Series 2020-1A, Class D, 2.26%, 2/20/30, Callable 2/20/23 @ 100 (a) | 1,000,000 | 987,851 | |||||||||
| Hyundai Auto Receivables Trust, Series 2020-C, Class A3, 0.38%, 5/15/25, Callable 12/15/24 @ 100 | 981,327 | 961,835 | |||||||||
| John Deere Owner Trust, Series 2021-B, Class A3, 0.52%, 3/16/26, Callable 3/15/25 @ 100 | 1,500,000 | 1,423,184 | |||||||||
| JPMorgan Chase Bank NA — CACLN, Series 2021-3, Class B, 0.76%, 2/26/29, Callable 4/25/25 @ 100 (a) | 478,431 | 461,528 | |||||||||
| Kubota Credit Owner Trust, Series 2022-1A, Class A3, 2.67%, 10/15/26, Callable 1/15/26 @ 100 (a) | 1,000,000 | 969,615 | |||||||||
| LAD Auto Receivables Trust, Series 2021-1A, Class B, 1.94%, 11/16/26, Callable 7/15/24 @ 100 (a) | 1,000,000 | 954,738 | |||||||||
| LAD Auto Receivables Trust, Series 2021-1A, Class A, 1.30%, 8/17/26, Callable 7/15/24 @ 100 (a) | 621,746 | 605,585 | |||||||||
Master Credit Card Trust, Series 2021-1A, Class C, 1.06%, 11/21/25 (a) | 1,500,000 | 1,404,291 | |||||||||
Master Credit Card Trust II, Series 2022-1A, Class B, 1.97%, 7/21/26 (a) | 1,000,000 | 944,595 | |||||||||
| Mercedes-Benz Auto Lease Trust, Series 2020-B, Class A3, 0.40%, 11/15/23, Callable 4/15/23 @ 100 | 789,972 | 784,187 | |||||||||
| New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, 10/20/61, Callable 10/20/24 @ 100 (a) | 903,000 | 787,518 | |||||||||
| New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, 10/20/61, Callable 10/20/24 @ 100 (a) | 293,000 | 253,615 | |||||||||
| Nissan Auto Lease Trust, Series 2020-B, Class A3, 0.43%, 10/16/23, Callable 6/15/23 @ 100 | 629,163 | 626,459 | |||||||||
| NMEF Funding LLC, Series 2022-A, Class B, 3.35%, 10/16/28, Callable 12/15/25 @ 100 (a) | 1,000,000 | 941,867 | |||||||||
| NMEF Funding LLC, Series 2022-A, Class A2, 2.58%, 10/16/28, Callable 12/15/25 @ 100 (a) | 1,000,000 | 973,902 | |||||||||
| Oscar U.S. Funding XII LLC, Series 1A, Class A4, 1.00%, 4/10/28, Callable 2/10/25 @ 100 (a) | 2,500,000 | 2,299,354 | |||||||||
See notes to financial statements.
15
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Oscar U.S. Funding XIV LLC, Series 2022-1A, Class A3, 2.30%, 4/10/26, Callable 2/10/26 @ 100 (a) | $ | 1,000,000 | $ | 961,927 | |||||||
| Pawnee Equipment Receivables LLC, Series 2021-1, Class A2, 1.10%, 7/15/27, Callable 8/15/25 @ 100 (a) | 545,000 | 526,076 | |||||||||
| Prestige Auto Receivables Trust, Series 2018-1A, Class D, 4.14%, 10/15/24, Callable 10/15/22 @ 100 (a) | 1,000,000 | 1,000,953 | |||||||||
PSNH Funding LLC, Series 2018-1, Class A1, 3.09%, 2/1/26 | 160,118 | 159,643 | |||||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.28%, 5/15/32, Callable 4/15/25 @ 100 (a) | 1,190,728 | 1,174,652 | |||||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class C, 7.38%, 5/15/32, Callable 4/15/25 @ 100 (a) | 952,583 | 939,581 | |||||||||
| Santander Drive Auto Receivables Trust, Series 2021-2, Class B, 0.59%, 9/15/25, Callable 3/15/24 @ 100 | 1,000,000 | 989,480 | |||||||||
| Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, 1/15/26, Callable 2/15/24 @ 100 | 1,000,000 | 985,616 | |||||||||
| Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25, Callable 7/15/23 @ 100 | 14,232 | 14,227 | |||||||||
| Santander Retail Auto Lease Trust, Series 2020-B, Class C, 1.18%, 12/20/24, Callable 2/20/24 @ 100 (a) | 500,000 | 477,190 | |||||||||
| SCF Equipment Leasing LLC, Series 2020-1A, Class A3, 1.19%, 10/20/27, Callable 3/20/25 @ 100 (a) | 1,278,013 | 1,257,811 | |||||||||
| SCF Equipment Leasing LLC, Series 2019-2A, Class A2, 2.47%, 4/20/26, Callable 3/20/24 @ 100 (a) | 649,147 | 640,849 | |||||||||
| United Auto Credit Securitization Trust, Series 2022-1, Class C, 2.61%, 6/10/27, Callable 6/10/25 @ 100 (a) (c) | 1,000,000 | 965,980 | |||||||||
| Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100 (a) | 1,000,000 | 906,298 | |||||||||
| VB-S1 Issuer LLC-VBTEL, Series 2022-1A, Class C2I, 3.16%, 2/15/52, Callable 2/15/26 @ 100 (a) | 1,000,000 | 938,979 | |||||||||
| Westlake Automobile Receivables Trust, Series 2022-2A, Class B, 4.31%, 9/15/27, Callable 7/15/25 @ 100 (a) | 800,000 | 797,828 | |||||||||
| Westlake Automobile Receivables Trust, Series 2021-3A, Class D, 2.12%, 1/15/27, Callable 1/15/25 @ 100 (a) | 1,000,000 | 929,780 | |||||||||
| Westlake Automobile Receivables Trust, Series 2019-2A, Class E, 4.02%, 4/15/25, Callable 5/15/23 @ 100 (a) | 1,000,000 | 996,678 | |||||||||
| Westlake Automobile Receivables Trust, Series 2022-1A, Class B, 2.75%, 3/15/27, Callable 8/15/25 @ 100 (a) | 1,000,000 | 977,755 | |||||||||
| Wheels Fleet Lease Funding 1 LLC, Series 2022-1A, Class A, 2.47%, 10/18/36, Callable 9/18/24 @ 100 (a) | 1,000,000 | 982,951 | |||||||||
| World Omni Select Auto Trust, Series 2021-A, Class A3, 0.53%, 3/15/27, Callable 5/15/24 @ 100 | 2,000,000 | 1,930,899 | |||||||||
| World Omni Select Auto Trust, Series 2020-A, Class A3, 0.55%, 7/15/25, Callable 12/15/23 @ 100 | 726,384 | 720,773 | |||||||||
Total Asset-Backed Securities (Cost $91,444,851) | 88,213,515 | ||||||||||
Collateralized Mortgage Obligations (6.4%) | |||||||||||
| BBCMS Mortgage Trust, Series 2020-BID, Class A, 3.46% (LIBOR01M+214bps), 10/15/37 (a) (d) | 1,000,000 | 979,052 | |||||||||
| BBCMS Mortgage Trust, Series 2020-BID, Class B, 3.86% (LIBOR01M+254bps), 10/15/37 (a) (d) | 1,750,000 | 1,715,409 | |||||||||
See notes to financial statements.
16
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
BPR Trust, Series 2021-TY, Class C, 3.02% (LIBOR01M+170bps), 9/15/38 (a) (d) | $ | 1,000,000 | $ | 944,405 | |||||||
BPR Trust, Series 2021-TY, Class A, 2.37% (LIBOR01M+105bps), 9/15/38 (a) (d) | 1,000,000 | 957,801 | |||||||||
| BX Commercial Mortgage Trust, Series 2019-XL, Class D, 2.77% (LIBOR01M+145bps), 10/15/36 (a) (d) | 2,465,000 | 2,415,586 | |||||||||
BX Trust, Series 2022-LBA6, Class C, 2.88% (TSFR1M+160bps), 1/15/39 (a) (d) | 1,000,000 | 950,203 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class B, 4.38%, 1/10/36 (a) | 500,000 | 490,968 | |||||||||
| COMM Mortgage Trust, Series 2014-277P, Class A, 3.73%, 8/10/49, Callable 8/10/24 @ 100 (a) (e) | 2,000,000 | 1,940,708 | |||||||||
| COMM Mortgage Trust, Series 2015-PC1, Class AM, 4.29%, 7/10/50, Callable 5/10/25 @ 100 (e) | 1,500,000 | 1,465,505 | |||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class C, 4.21%, 1/15/46, Callable 7/15/23 @ 100 (e) | 1,000,000 | 982,369 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A5, 3.14%, 12/15/47, Callable 2/15/23 @ 100 | 979,433 | 971,802 | |||||||||
| KNDL Mortgage Trust, Series 2019-KNSQ, Class B, 2.27% (LIBOR01M+95bps), 5/15/36 (a) (d) | 500,000 | 490,757 | |||||||||
| KNDL Mortgage Trust, Series 2019-KNSQ, Class C, 2.37% (LIBOR01M+105bps), 5/15/36 (a) (d) | 1,175,000 | 1,148,462 | |||||||||
| Morgan Stanley Capital I Trust, Series 2017-CLS, Class F, 3.92% (LIBOR01M+260bps), 11/15/34 (a) (d) | 1,000,000 | 989,240 | |||||||||
| Palmer Square Loan Funding Ltd., Series 2020-1A, Class A1, 2.28% (LIBOR03M+80bps), 2/20/28, Callable 8/20/22 @ 100 (a) (d) | 174,346 | 171,117 | |||||||||
SMRT, Series 2022-MINI, Class B, 2.63% (TSFR1M+135bps), 1/15/39 (a) (d) | 1,000,000 | 958,253 | |||||||||
| SREIT Trust, Series 2021-MFP2, Class B, 2.50% (LIBOR01M+117bps), 11/15/36 (a) (d) | 1,000,000 | 950,132 | |||||||||
| Stratus CLO Ltd., Series 2021-3A, Class B, 1.77% (LIBOR03M+155bps), 12/29/29, Callable 1/20/23 @ 100 (a) (d) | 821,000 | 785,917 | |||||||||
| Stratus CLO Ltd., Series 2021-3A, Class A, 2.01% (LIBOR03M+95bps), 12/29/29, Callable 1/20/23 @ 100 (a) (d) | 984,122 | 968,969 | |||||||||
| STREIT Trust, Series 2021-MFP2, Class A, 2.15% (LIBOR01M+82bps), 11/15/36 (a) (d) | 1,000,000 | 952,606 | |||||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C12, Class B, 3.86%, 3/15/48, Callable 3/15/23 @ 100 (e) | 2,000,000 | 1,981,848 | |||||||||
| WFRBS Commercial Mortgage Trust, Series 2012-C9, Class ASB, 2.45%, 11/15/45, Callable 7/15/22 @ 100 | 3 | 3 | |||||||||
Total Collateralized Mortgage Obligations (Cost $24,019,430) | 23,211,112 | ||||||||||
Senior Secured Loans (1.3%) | |||||||||||
CHI Doors Holdings Corp., Initial Term Loan, 7/31/25 (f) | 500,000 | 494,375 | |||||||||
| Clean Harbors, Inc., Initial Term Loan, First Lien, 2.81% (LIBOR01M+175bps), 6/30/24 (d) | 493,507 | 488,882 | |||||||||
| Genpact International, Inc., Term Loan, First Lien, 2.43% (LIBOR01M+138bps), 8/9/23 (d) | 2,865,672 | 2,844,179 | |||||||||
Plantronics, Inc., Term Loan B, First Lien, 7/2/25 (b) (f) | 1,000,000 | 982,680 | |||||||||
Total Senior Secured Loans (Cost $4,847,590) | 4,810,116 | ||||||||||
See notes to financial statements.
17
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Corporate Bonds (39.1%) | |||||||||||
Communication Services (1.4%): | |||||||||||
DISH DBS Corp., 5.88%, 7/15/22 | $ | 1,374,000 | $ | 1,374,110 | |||||||
Netflix, Inc., 5.88%, 2/15/25 | 500,000 | 507,990 | |||||||||
Sprint Corp., 7.88%, 9/15/23 (c) | 1,000,000 | 1,032,850 | |||||||||
TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38 (a) (c) | 2,000,000 | 1,937,540 | |||||||||
4,852,490 | |||||||||||
Consumer Discretionary (3.8%): | |||||||||||
Association of American Medical Colleges, 2.12%, 10/1/24 | 750,000 | 712,833 | |||||||||
Daimler Trucks Finance North America LLC, 1.63%, 12/13/24 (a) | 2,000,000 | 1,881,660 | |||||||||
Expedia Group, Inc., 6.25%, 5/1/25, Callable 2/1/25 @ 100 (a) | 1,000,000 | 1,031,330 | |||||||||
| Genting New York LLC/GENNY Capital, Inc., 3.30%, 2/15/26, Callable 1/15/26 @ 100 (a) | 500,000 | 449,270 | |||||||||
Howard University, 2.74%, 10/1/22 | 500,000 | 497,840 | |||||||||
Lithia Motors, Inc., 4.63%, 12/15/27, Callable 12/15/22 @ 103.47 (a) | 2,000,000 | 1,843,940 | |||||||||
Magallanes, Inc., 3.64%, 3/15/25 (a) | 1,000,000 | 970,560 | |||||||||
MGM Resorts International, 6.00%, 3/15/23 | 1,000,000 | 998,470 | |||||||||
Murphy Oil USA, Inc., 5.63%, 5/1/27, Callable 8/8/22 @ 102.81 | 1,500,000 | 1,469,985 | |||||||||
Newell Brands, Inc., 4.45%, 4/1/26, Callable 1/1/26 @ 100 | 1,000,000 | 952,070 | |||||||||
Nordstrom, Inc., 2.30%, 4/8/24, Callable 7/22/22 @ 100 | 1,500,000 | 1,419,690 | |||||||||
QVC, Inc., 4.45%, 2/15/25, Callable 11/15/24 @ 100 | 617,000 | 550,432 | |||||||||
Toll Brothers Finance Corp., 4.38%, 4/15/23, Callable 1/15/23 @ 100 | 750,000 | 746,662 | |||||||||
13,524,742 | |||||||||||
Consumer Staples (1.0%): | |||||||||||
Central Garden & Pet Co., 5.13%, 2/1/28, Callable 1/1/23 @ 102.56 | 1,000,000 | 896,590 | |||||||||
Darling Ingredients, Inc., 5.25%, 4/15/27, Callable 7/18/22 @ 102.63 (a) | 2,500,000 | 2,424,275 | |||||||||
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25 (a) | 319,000 | 324,599 | |||||||||
3,645,464 | |||||||||||
Energy (6.3%): | |||||||||||
DCP Midstream Operating LP, 3.88%, 3/15/23, Callable 12/15/22 @ 100 | 1,000,000 | 991,110 | |||||||||
Energy Transfer LP, 4.90%, 2/1/24, Callable 11/1/23 @ 100 | 1,715,000 | 1,728,651 | |||||||||
EnLink Midstream Partners LP, 4.40%, 4/1/24, Callable 1/1/24 @ 100 | 900,000 | 879,273 | |||||||||
EQM Midstream Partners LP, 4.00%, 8/1/24, Callable 5/1/24 @ 100 | 324,000 | 304,541 | |||||||||
Gray Oak Pipeline LLC, 2.00%, 9/15/23 (a) | 833,000 | 809,534 | |||||||||
Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 8/8/22 @ 102.81 (a) | 3,000,000 | 2,857,980 | |||||||||
| HollyFrontier Corp. 2.63%, 10/1/23 (c) | 1,000,000 | 971,880 | |||||||||
5.88%, 4/1/26, Callable 1/1/26 @ 100 (c) | 1,881,000 | 1,889,540 | |||||||||
Midwest Connector Capital Co. LLC, 3.90%, 4/1/24, Callable 3/1/24 @ 100 (a) | 2,500,000 | 2,454,150 | |||||||||
MPLX LP, 3.50%, 12/1/22, Callable 11/1/22 @ 100 | 271,000 | 270,591 | |||||||||
Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | 2,690,000 | 2,510,281 | |||||||||
| Parsley Energy LLC/Parsley Finance Corp., 4.13%, 2/15/28, Callable 2/15/23 @ 102.06 (a) | 2,000,000 | 1,862,320 | |||||||||
SM Energy Co., 5.63%, 6/1/25, Callable 8/8/22 @ 100.94 | 1,000,000 | 944,430 | |||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.50%, 7/15/27, Callable 8/8/22 @ 104.88 | 1,000,000 | 1,022,010 | |||||||||
USX Corp., 8.13%, 7/15/23 | 400,000 | 415,724 | |||||||||
See notes to financial statements.
18
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Western Midstream Operating LP 2.62% (LIBOR03M+185bps), 1/13/23 (d) | $ | 500,000 | $ | 497,560 | |||||||
3.60%, 2/1/25, Callable 1/1/25 @ 100 | 2,000,000 | 1,849,900 | |||||||||
WPX Energy, Inc., 8.25%, 8/1/23, Callable 6/1/23 @ 100 | 500,000 | 516,050 | |||||||||
22,775,525 | |||||||||||
Financials (14.7%): | |||||||||||
Alexander Funding Trust, 1.84%, 11/15/23 (a) | 2,000,000 | 1,909,360 | |||||||||
Ares Capital Corp., 3.25%, 7/15/25, Callable 6/15/25 @ 100 | 750,000 | 693,713 | |||||||||
| Athene Global Funding 2.80%, 5/26/23 (a) | 750,000 | 742,823 | |||||||||
1.20%, 10/13/23 (a) | 500,000 | 481,320 | |||||||||
1.72%, 1/7/25 (a) | 2,000,000 | 1,866,820 | |||||||||
| Blackstone Private Credit Fund 1.75%, 9/15/24 (a) | 1,000,000 | 922,990 | |||||||||
2.35%, 11/22/24 (a) | 1,000,000 | 916,400 | |||||||||
BMW US Capital LLC, 3.25%, 4/1/25 (a) | 1,000,000 | 987,600 | |||||||||
| Cadence Bancorp, 4.75% (LIBOR03M+303bps), 6/30/29, Callable 6/30/24 @ 100 (d) | 1,832,000 | 1,808,037 | |||||||||
DAE Funding LLC, 1.55%, 8/1/24, Callable 7/1/24 @ 100 (a) | 250,000 | 232,980 | |||||||||
Entergy Texas Restoration Funding II LLC, 3.05%, 12/15/27 | 667,000 | 657,555 | |||||||||
F&G Global Funding, 5.15%, 7/7/25 (a) (b) | 1,000,000 | 1,004,690 | |||||||||
First American Financial Corp., 4.30%, 2/1/23 | 2,800,000 | 2,805,404 | |||||||||
| First Citizens BancShares, Inc., 3.38% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (d) | 1,000,000 | 951,980 | |||||||||
First Financial Bancorp, 5.13%, 8/25/25 | 1,000,000 | 976,180 | |||||||||
FNB Corp., 2.20%, 2/24/23, Callable 1/24/23 @ 100 | 1,876,000 | 1,846,584 | |||||||||
| Ford Motor Credit Co. LLC 2.30%, 2/10/25, Callable 1/10/25 @ 100 | 2,000,000 | 1,796,080 | |||||||||
3.38%, 11/13/25, Callable 10/13/25 @ 100 | 1,000,000 | 900,330 | |||||||||
| FS KKR Capital Corp. 1.65%, 10/12/24 | 1,024,000 | 914,842 | |||||||||
4.25%, 2/14/25, Callable 1/14/25 @ 100 (a) | 1,400,000 | 1,332,674 | |||||||||
| Fulton Financial Corp., 3.25% (SOFR+230bps), 3/15/30, Callable 3/15/25 @ 100 (d) | 1,000,000 | 937,180 | |||||||||
GA Global Funding Trust, 1.63%, 1/15/26 (a) | 500,000 | 450,265 | |||||||||
General Motors Financial Co., Inc., 3.80%, 4/7/25 | 1,000,000 | 976,310 | |||||||||
| Main Street Capital Corp. 5.20%, 5/1/24 | 2,400,000 | 2,388,192 | |||||||||
3.00%, 7/14/26, Callable 6/14/26 @ 100 | 500,000 | 437,280 | |||||||||
Morgan Stanley, 0.79% (SOFR+53bps), 5/30/25, Callable 5/30/24 @ 100 (d) | 2,000,000 | 1,863,440 | |||||||||
OWL Rock Core Income Corp., 5.50%, 3/21/25 (a) | 1,000,000 | 959,580 | |||||||||
People's United Bank NA, 4.00%, 7/15/24, Callable 4/16/24 @ 100 | 1,000,000 | 993,280 | |||||||||
ProAssurance Corp., 5.30%, 11/15/23 | 1,000,000 | 999,060 | |||||||||
| Prudential Financial, Inc., 5.63% (LIBOR03M+392bps), 6/15/43, Callable 6/15/23 @ 100 (d) | 500,000 | 488,010 | |||||||||
Radian Group, Inc., 4.50%, 10/1/24, Callable 7/1/24 @ 100 | 2,503,000 | 2,374,921 | |||||||||
| Regions Financial Corp., 5.75% (H15T5Y+543bps), Callable 6/15/25 @ 100 (d) (g) | 1,000,000 | 994,610 | |||||||||
Reliance Standard Life Global Funding II, 2.75%, 5/7/25 (a) | 750,000 | 715,208 | |||||||||
Santander Holdings USA, Inc., 3.40%, 1/18/23, Callable 12/18/22 @ 100 | 250,000 | 249,613 | |||||||||
See notes to financial statements.
19
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
SCE Recovery Funding LLC, 0.86%, 11/15/31 | $ | 1,828,723 | $ | 1,600,992 | |||||||
StanCorp Financial Group, Inc., 5.00%, 8/15/22 | 2,000,000 | 2,004,660 | |||||||||
Synchrony Financial, 4.88%, 6/13/25, Callable 5/13/25 @ 100 | 1,000,000 | 988,470 | |||||||||
| Synovus Financial Corp., 5.90% (USSW5+338bps), 2/7/29, Callable 2/7/24 @ 100 (d) | 500,000 | 483,235 | |||||||||
| Texas Capital Bancshares, Inc., 4.00% (H15T5Y+315bps), 5/6/31, Callable 5/6/26 @ 100 (d) | 1,000,000 | 914,820 | |||||||||
| The Huntington National Bank, 5.50% (LIBOR03M+509bps), 5/6/30, Callable 5/6/25 @ 100 (d) | 2,000,000 | 2,015,240 | |||||||||
The Prudential Insurance Co. of America, 8.30%, 7/1/25(a) | 1,000,000 | 1,104,650 | |||||||||
| TIAA FSB Holdings, Inc. 5.75%, 7/2/25, Callable 6/2/25 @ 100 | 1,000,000 | 1,035,270 | |||||||||
6.53% (LIBOR03M+470bps), 3/15/26, Callable 8/8/22 @ 100 (d) | 750,000 | 761,445 | |||||||||
| UMB Financial Corp., 3.70% (H15T5Y+344bps), 9/17/30, Callable 9/17/25 @ 100 (d) | 1,000,000 | 945,220 | |||||||||
Webster Financial Corp., 4.38%, 2/15/24, Callable 1/16/24 @ 100 | 2,550,000 | 2,520,241 | |||||||||
52,949,554 | |||||||||||
Health Care (1.1%): | |||||||||||
Astrazeneca Finance LLC, 0.70%, 5/28/24, Callable 8/8/22 @ 100 | 1,000,000 | 948,620 | |||||||||
HCA, Inc., 7.50%, 12/15/23 | 1,000,000 | 1,034,440 | |||||||||
Hikma Finance USA LLC, 3.25%, 7/9/25 | 2,000,000 | 1,894,320 | |||||||||
3,877,380 | |||||||||||
Industrials (4.1%): | |||||||||||
Air Lease Corp., 2.25%, 1/15/23 | 250,000 | 247,615 | |||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 4/20/26 (a) | 1,000,000 | 921,310 | |||||||||
Ashtead Capital, Inc., 4.38%, 8/15/27, Callable 8/15/22 @ 102.19 (a) (c) | 3,435,000 | 3,191,081 | |||||||||
Aviation Capital Group LLC, 5.50%, 12/15/24, Callable 11/15/24 @ 100 (a) | 1,000,000 | 992,900 | |||||||||
Delta Air Lines Pass Through Trust, 2.00%, 6/10/28 | 880,412 | 772,491 | |||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, 10/20/25 (a) | 1,370,000 | 1,330,708 | |||||||||
EnerSys, 5.00%, 4/30/23, Callable 1/30/23 @ 100 (a) | 908,000 | 900,255 | |||||||||
Hillenbrand, Inc., 5.75%, 6/15/25, Callable 8/8/22 @ 102.88 | 1,000,000 | 1,019,740 | |||||||||
| Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27, Callable 6/30/23 @ 103.25 (a) (c) | 1,000,000 | 982,110 | |||||||||
Spirit Airlines Pass Through Trust, 4.45%, 4/1/24 | 859,159 | 829,595 | |||||||||
The Nature Conservancy, 0.63%, 7/1/24 | 650,000 | 611,006 | |||||||||
TransDigm, Inc., 8.00%, 12/15/25, Callable 8/8/22 @ 104 (a) (c) | 2,000,000 | 2,026,020 | |||||||||
U.S. Airways Pass Through Trust, 3.95%, 11/15/25 | 307,661 | 275,710 | |||||||||
| United Airlines Pass Through Trust 4.15%, 4/11/24 | 557,032 | 539,591 | |||||||||
4.88%, 1/15/26 | 284,690 | 269,411 | |||||||||
14,909,543 | |||||||||||
Information Technology (0.4%): | |||||||||||
Qorvo, Inc., 1.75%, 12/15/24, Callable 12/15/22 @ 100 (a) | 1,675,000 | 1,567,180 | |||||||||
Materials (3.2%): | |||||||||||
Bayport Polymers LLC, 4.74%, 4/14/27, Callable 3/14/27 @ 100 (a) | 1,000,000 | 973,790 | |||||||||
Berry Global, Inc., 4.88%, 7/15/26, Callable 8/8/22 @ 102.44 (a) (c) | 3,150,000 | 3,008,061 | |||||||||
Commercial Metals Co., 4.88%, 5/15/23, Callable 2/15/23 @ 100 | 2,625,000 | 2,608,489 | |||||||||
Freeport-McMoRan, Inc., 5.00%, 9/1/27, Callable 9/1/22 @ 102.5 (c) | 3,000,000 | 2,976,900 | |||||||||
See notes to financial statements.
20
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Sealed Air Corp., 5.25%, 4/1/23, Callable 1/1/23 @ 100 (a) | $ | 1,000,000 | $ | 999,070 | |||||||
West Fraser Timber Co. Ltd., 4.35%, 10/15/24, Callable 7/15/24 @ 100 (a) | 1,000,000 | 999,850 | |||||||||
11,566,160 | |||||||||||
Real Estate (2.6%): | |||||||||||
Brandywine Operating Partnership LP, 3.95%, 2/15/23, Callable 11/15/22 @ 100 | 500,000 | 498,400 | |||||||||
Host Hotels & Resorts LP, 4.50%, 2/1/26, Callable 11/1/25 @ 100 | 1,044,000 | 1,028,089 | |||||||||
LXP Industrial Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 1,000,000 | 996,380 | |||||||||
| MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27, Callable 10/15/22 @ 102.5 | 2,500,000 | 2,292,425 | |||||||||
Newmark Group, Inc., 6.13%, 11/15/23, Callable 10/15/23 @ 100 | 800,000 | 799,304 | |||||||||
Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | 919,000 | 920,709 | |||||||||
SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100 (a) | 750,000 | 723,813 | |||||||||
| VICI Properties LP/VICI Note Co., Inc., 3.50%, 2/15/25, Callable 8/8/22 @ 101.75 (a) | 864,000 | 811,832 | |||||||||
Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | 1,500,000 | 1,334,730 | |||||||||
9,405,682 | |||||||||||
Utilities (0.5%): | |||||||||||
Calpine Corp., 5.25%, 6/1/26, Callable 8/8/22 @ 101.75 (a) | 802,000 | 766,913 | |||||||||
CenterPoint Energy Resources Corp., 0.70%, 3/2/23, Callable 8/8/22 @ 100 | 1,000,000 | 980,350 | |||||||||
1,747,263 | |||||||||||
Total Corporate Bonds (Cost $148,716,226) | 140,820,983 | ||||||||||
Yankee Dollars (9.3%) | |||||||||||
Communication Services (0.6%): | |||||||||||
Bharti Airtel International Netherlands BV, 5.35%, 5/20/24 (a) | 1,000,000 | 1,019,470 | |||||||||
Telefonica Chile SA, 3.88%, 10/12/22 (a) | 1,000,000 | 1,000,470 | |||||||||
2,019,940 | |||||||||||
Communications (0.2%): | |||||||||||
Videotron Ltd., 5.38%, 6/15/24, Callable 3/15/24 @ 100 (a) | 812,000 | 811,959 | |||||||||
Consumer Staples (0.4%): | |||||||||||
Imperial Brands Finance PLC, 3.13%, 7/26/24, Callable 6/26/24 @ 100 (a) | 948,000 | 917,806 | |||||||||
Leviathan Bond Ltd., 5.75%, 6/30/23, Callable 3/30/23 @ 100 (a) | 500,000 | 493,125 | |||||||||
1,410,931 | |||||||||||
Energy (0.8%): | |||||||||||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/27 (a) | 446,010 | 414,549 | |||||||||
Harbour Energy PLC, 5.50%, 10/15/26, Callable 10/15/23 @ 102.75 (a) | 1,500,000 | 1,370,025 | |||||||||
Var Energi ASA, 5.00%, 5/18/27, Callable 4/18/27 @ 100 (a) | 1,000,000 | 994,610 | |||||||||
2,779,184 | |||||||||||
Financials (3.9%): | |||||||||||
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 4/17/25 (a) (c) | 3,000,000 | 3,014,010 | |||||||||
Barclays Bank PLC, 7.63%, 11/21/22 | 1,000,000 | 1,008,720 | |||||||||
BAT International Finance PLC, 1.67%, 3/25/26, Callable 2/25/26 @ 100 | 1,000,000 | 886,950 | |||||||||
BBVA Bancomer SA, 6.75%, 9/30/22 (a) | 3,305,000 | 3,314,485 | |||||||||
Element Fleet Management Corp., 1.60%, 4/6/24, Callable 3/6/24 @ 100 (a) | 400,000 | 380,196 | |||||||||
Ontario Teachers' Finance Trust, 0.38%, 9/29/23 (a) | 1,000,000 | 967,450 | |||||||||
See notes to financial statements.
21
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Phoenix Group Holdings PLC, 5.38%, 7/6/27, MTN | $ | 2,000,000 | $ | 1,925,000 | |||||||
SA Global Sukuk Ltd., 0.95%, 6/17/24, Callable 5/17/24 @ 100 (a) | 416,000 | 392,717 | |||||||||
| Santander UK Group Holdings PLC, 3.37% (LIBOR03M+108bps), 1/5/24, Callable 1/5/23 @ 100 (d) | 250,000 | 248,645 | |||||||||
SMBC Aviation Capital Finance DAC, 3.00%, 7/15/22 | 1,000,000 | 999,858 | |||||||||
VEON Holdings BV, 5.95%, 2/13/23 | 1,000,000 | 825,000 | |||||||||
13,963,031 | |||||||||||
Industrials (1.1%): | |||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/24, Callable 1/15/24 @ 100 | 1,000,000 | 971,620 | |||||||||
| Air Canada Pass Through Trust 5.00%, 12/15/23 (a) | 219,999 | 215,879 | |||||||||
4.13%, 5/15/25 (a) | 893,086 | 809,967 | |||||||||
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100 (c) | 500,000 | 460,565 | |||||||||
Avolon Holdings Funding Ltd., 2.13%, 2/21/26, Callable 1/21/26 @ 100 (a) | 750,000 | 652,605 | |||||||||
The Weir Group PLC, 2.20%, 5/13/26, Callable 4/13/26 @ 100 (a) | 1,000,000 | 876,190 | |||||||||
3,986,826 | |||||||||||
Information Technology (0.2%): | |||||||||||
TSMC Global Ltd., 0.75%, 9/28/25, Callable 8/28/25 @ 100 (a) | 1,000,000 | 910,200 | |||||||||
Materials (1.7%): | |||||||||||
Alcoa Nederland Holding, 5.50%, 12/15/27, Callable 6/15/23 @ 102.75 (a) | 667,000 | 632,016 | |||||||||
OCI NV, 4.63%, 10/15/25, Callable 10/15/22 @ 102.31 (a) | 2,000,000 | 1,940,400 | |||||||||
POSCO, 2.38%, 1/17/23 | 2,100,000 | 2,088,954 | |||||||||
Syngenta Finance NV, 4.89%, 4/24/25, Callable 2/24/25 @ 100 (a) | 1,500,000 | 1,494,060 | |||||||||
6,155,430 | |||||||||||
Utilities (0.4%): | |||||||||||
TransAlta Corp., 4.50%, 11/15/22, Callable 8/15/22 @ 100 | 1,300,000 | 1,297,114 | |||||||||
Total Yankee Dollars (Cost $35,275,243) | 33,334,615 | ||||||||||
Municipal Bonds (13.1%) | |||||||||||
Alabama (0.3%): | |||||||||||
City of Birmingham, GO, 0.86%, 3/1/24 | 1,015,000 | 977,879 | |||||||||
California (1.3%): | |||||||||||
| California Municipal Finance Authority Revenue 0.93%, 2/1/23 | 1,000,000 | 985,734 | |||||||||
1.36%, 2/1/24 | 495,000 | 476,640 | |||||||||
| California Statewide Communities Development Authority Revenue, 2.15%, 11/15/30, Continuously Callable @100 | 1,155,000 | 1,029,349 | |||||||||
| California Statewide Communities Development Authority Revenue (NBGA — California Health Insurance Construction Loan Insurance Program), 2.05%, 8/1/30 | 1,545,000 | 1,441,547 | |||||||||
City of Gardena Revenue, 1.30%, 4/1/23 | 565,000 | 556,045 | |||||||||
Placentia Public Financing Authority Revenue, Series A, 1.93%, 6/1/23 | 300,000 | 295,502 | |||||||||
4,784,817 | |||||||||||
See notes to financial statements.
22
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Colorado (1.2%): | |||||||||||
| City of Loveland Electric & Communications Enterprise Revenue, 2.85%, 12/1/23 | $ | 600,000 | $ | 597,503 | |||||||
| Colorado Health Facilities Authority Revenue Series B, 2.24%, 11/1/22 | 750,000 | 748,725 | |||||||||
Series B, 2.80%, 12/1/26 | 500,000 | 474,476 | |||||||||
County of El Paso Co. Revenue, Series B, 1.05%, 6/1/24 | 1,230,000 | 1,175,473 | |||||||||
| Denver City & County Housing Authority Revenue, 1.33%, 6/1/24, Continuously Callable @100 | 750,000 | 718,042 | |||||||||
Park Creek Metropolitan District Revenue, Series B, 2.43%, 12/1/23 | 700,000 | 691,995 | |||||||||
4,406,214 | |||||||||||
Florida (0.3%): | |||||||||||
Hillsborough County IDA Revenue, 2.16%, 8/1/25 | 1,250,000 | 1,191,953 | |||||||||
Georgia (0.3%): | |||||||||||
| Municipal Electric Authority of Georgia Revenue 1.42%, 1/1/25 | 500,000 | 471,371 | |||||||||
Series B, 1.58%, 1/1/26 | 555,000 | 510,892 | |||||||||
982,263 | |||||||||||
Guam (0.3%): | |||||||||||
Territory of Guam Revenue, Series E, 3.25%, 11/15/26 | 1,000,000 | 977,498 | |||||||||
Hawaii (0.5%): | |||||||||||
| State of Hawaii Airports System Revenue Series B, 0.90%, 7/1/23 | 300,000 | 291,231 | |||||||||
Series E, 1.39%, 7/1/25 | 1,500,000 | 1,396,596 | |||||||||
1,687,827 | |||||||||||
Illinois (0.8%): | |||||||||||
Chicago O'Hare International Airport Revenue, Series D, 0.96%, 1/1/23 | 165,000 | 163,316 | |||||||||
Sales Tax Securitization Corp. Revenue, 0.79%, 1/1/23 | 1,750,000 | 1,729,592 | |||||||||
State of Illinois Sales Tax Revenue, Series B, 0.94%, 6/15/24 | 1,000,000 | 939,700 | |||||||||
2,832,608 | |||||||||||
Indiana (0.5%): | |||||||||||
| Indiana Finance Authority Revenue 0.96%, 3/1/24 | 450,000 | 429,967 | |||||||||
2.48%, 3/1/24 (c) | 1,000,000 | 982,109 | |||||||||
1.41%, 3/1/25 | 570,000 | 533,434 | |||||||||
1,945,510 | |||||||||||
Kentucky (0.3%): | |||||||||||
County of Warren Revenue, Series B, 0.92%, 4/1/25 | 1,200,000 | 1,111,772 | |||||||||
Maine (0.2%): | |||||||||||
Maine State Housing Authority Revenue, Series H, 1.70%, 11/15/26 | 600,000 | 552,319 | |||||||||
Maryland (0.7%): | |||||||||||
County of Howard, GO, Series C, 1.34%, 8/15/23 | 500,000 | 491,286 | |||||||||
| Maryland Health & Higher Educational Facilities Authority Revenue 1.81%, 1/1/25 | 1,000,000 | 938,300 | |||||||||
1.89%, 1/1/26 | 1,000,000 | 914,825 | |||||||||
2,344,411 | |||||||||||
See notes to financial statements.
23
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Michigan (0.8%): | |||||||||||
City of Grand Rapids MI Sanitary Sewer System Revenue, 0.94%, 1/1/25 | $ | 1,000,000 | $ | 942,762 | |||||||
Ecorse Public School District, GO, 2.00%, 5/1/24 | 750,000 | 731,606 | |||||||||
| Michigan Finance Authority Revenue 2.21%, 12/1/23 | 185,000 | 181,635 | |||||||||
2.31%, 12/1/24 | 105,000 | 101,667 | |||||||||
Series A-1, 2.33%, 6/1/30 | 497,786 | 492,091 | |||||||||
Ypsilanti School District, GO, 1.89%, 5/1/24 | 510,000 | 493,298 | |||||||||
2,943,059 | |||||||||||
Mississippi (0.1%): | |||||||||||
Medical Center Educational Building Corp. Revenue, 0.67%, 6/1/23 | 280,000 | 274,474 | |||||||||
Missouri (0.4%): | |||||||||||
| Missouri State Environmental Improvement & Energy Resources Authority Revenue, Series B, 0.70%, 1/1/24 | 1,495,000 | 1,441,672 | |||||||||
Nebraska (0.2%): | |||||||||||
| Papio-Missouri River Natural Resource District Special Tax, 2.09%, 12/15/24, Continuously Callable @100 | 630,000 | 615,974 | |||||||||
New Jersey (0.6%): | |||||||||||
Essex County Improvement Authority Revenue, Series B, 1.96%, 8/1/22 (a) | 350,000 | 349,438 | |||||||||
| South Jersey Transportation Authority Revenue Series B, 2.10%, 11/1/24 | 750,000 | 718,942 | |||||||||
Series B, 2.20%, 11/1/25 | 750,000 | 706,434 | |||||||||
| South Jersey Transportation Authority System Revenue, Series B, 3.02%, 11/1/25 | 425,000 | 411,099 | |||||||||
2,185,913 | |||||||||||
New York (0.2%): | |||||||||||
Madison County Capital Resource Corp. Revenue, 2.18%, 7/1/23 | 500,000 | 494,225 | |||||||||
New York City Housing Development Corp. Revenue, 2.32%, 1/1/23 | 240,000 | 239,278 | |||||||||
733,503 | |||||||||||
Oklahoma (0.2%): | |||||||||||
Oklahoma Turnpike Authority Revenue, Series B, 0.63%, 1/1/23 | 560,000 | 554,518 | |||||||||
The University of Oklahoma Revenue, Series B, 0.93%, 7/1/24 | 350,000 | 332,036 | |||||||||
886,554 | |||||||||||
Pennsylvania (0.1%): | |||||||||||
State Public School Building Authority Revenue, 2.75%, 4/1/25 | 500,000 | 484,244 | |||||||||
Rhode Island (0.3%): | |||||||||||
Providence Redevelopment Agency Revenue, Series A, 2.50%, 3/15/26 | 805,000 | 759,749 | |||||||||
Rhode Island Commerce Corp. Revenue, 2.86%, 5/1/24 | 500,000 | 496,053 | |||||||||
1,255,802 | |||||||||||
Tennessee (0.2%): | |||||||||||
| Metropolitan Government Nashville & Davidson County Sports Authority Revenue, 1.03%, 8/1/24 | 600,000 | 567,598 | |||||||||
Texas (2.3%): | |||||||||||
| Aledo Independent School District, GO (NBGA — Texas Permanent School Fund), 2/15/24 (i) | 250,000 | 237,876 | |||||||||
See notes to financial statements.
24
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Boerne School District, GO 0.64%, 2/1/24 | $ | 400,000 | $ | 384,822 | |||||||
0.79%, 2/1/25 | 250,000 | 234,920 | |||||||||
Central Texas Turnpike System Revenue, Series B, 1.98%, 8/15/42 | 1,000,000 | 999,238 | |||||||||
Denton Independent School District, GO, Series A, 8/15/24 (i) | 500,000 | 467,428 | |||||||||
| Harris County Cultural Education Facilities Finance Corp. Revenue 1.59%, 11/15/23 | 675,000 | 657,677 | |||||||||
1.84%, 11/15/24 | 500,000 | 478,917 | |||||||||
Series B, 2.30%, 5/15/24 | 600,000 | 587,588 | |||||||||
Lubbock Texas Water & Wastewater System Revenue, Series B, 1.93%, 2/15/24 | 750,000 | 735,153 | |||||||||
| Marshall Independent School District, GO (NBGA — Texas Permanent School Fund), 2/15/24 (i) | 1,000,000 | 950,775 | |||||||||
State of Texas, GO, 3.11%, 10/1/23 | 500,000 | 500,537 | |||||||||
| Tarrant County Cultural Education Facilities Finance Corp. Revenue 1.07%, 9/1/23 | 525,000 | 508,724 | |||||||||
1.36%, 9/1/24 | 700,000 | 662,893 | |||||||||
| White Settlement Independent School District, GO (NBGA — Texas Permanent School Fund), Series A, 8/15/25 (i) | 920,000 | 831,150 | |||||||||
8,237,698 | |||||||||||
Virginia (0.9%): | |||||||||||
County of Arlington, GO, Series B, 0.64%, 8/1/24 (c) | 2,000,000 | 1,898,314 | |||||||||
| Virginia Small Business Financing Authority Revenue, 2.25%, 7/1/50, Callable 8/8/22 @ 100 (a) | 1,250,000 | 1,240,311 | |||||||||
3,138,625 | |||||||||||
Washington (0.1%): | |||||||||||
Washington State University Revenue, Series A, 0.86%, 10/1/23 | 480,000 | 466,920 | |||||||||
Total Municipal Bonds (Cost $48,970,922) | 47,027,107 | ||||||||||
U.S. Treasury Obligations (0.3%) | |||||||||||
U S Treasury Notes, 2.50%, 5/31/24 | 1,000,000 | 991,133 | |||||||||
Total U.S. Treasury Obligations (Cost $989,849) | 991,133 | ||||||||||
Commercial Papers (5.6%) (h) | |||||||||||
Aviation Capital Group, 1.67%, 7/5/22 (a) | 2,500,000 | 2,499,420 | |||||||||
ConAgra Brands, Inc., 2.14%, 7/1/22 (a) (h) | 2,400,000 | 2,399,857 | |||||||||
Constellation Brands, Inc., 2.11%, 7/8/22 (a) | 3,200,000 | 3,198,504 | |||||||||
Energy Transfer LP, 2.06%, 7/1/22 (a) | 1,800,000 | 1,799,897 | |||||||||
FMC Corp., 2.12%, 7/1/22 (a) | 3,500,000 | 3,499,794 | |||||||||
Jabil, Inc., 2.26%, 7/7/22 (a) | 3,500,000 | 3,498,462 | |||||||||
Viatris, Inc., 2.09%, 7/6/22 (a) | 3,100,000 | 3,098,919 | |||||||||
Total Commercial Papers (Cost $19,995,475) | 19,994,853 | ||||||||||
Total Investments (Cost $374,259,586) — 99.6% | 358,403,434 | ||||||||||
Other assets in excess of liabilities — 0.4% | 1,333,501 | ||||||||||
NET ASSETS — 100.00% | $ | 359,736,935 | |||||||||
See notes to financial statements.
25
| Victory Portfolios II VictoryShares USAA Core Short-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $179,968,759 and amounted to 50.0% of net assets.
(b) Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.
(c) All or a portion of the security has been segregated as collateral for securities purchased on a delayed-delivery and/or when-issued basis.
(d) Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2022.
(e) The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2022.
(f) The rates for this senior secured loan will be known on settlement date of the loan, subsequent to this report date. Senior secured loans have rates that will fluctuate over time in line with prevailing interest rates.
(g) Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.
(h) Rate represents the effective yield at June 30, 2022.
(i) Zero-coupon bond.
bps — Basis points
GO — General Obligation
H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
IDA — Industrial Development Authority
LIBOR — London InterBank Offered Rate
LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
SOFR — Secured Overnight Financing Rate
TSFR1M — 1 month Term SOFR, rate disclosed as of June 30, 2022.
USSW5 — USD 5 Year Swap Rate, rate disclosed as of June 30, 2022.
Credit Enhancements — Adds the financial strength of the provider of the enhancement to support the issuer's ability to repay the principal and interest payments when due. The enhancement may be provided by a high-quality bank, insurance company or other corporation, or a collateral trust. The enhancements do not guarantee the market values of the securities.
NBGA Principal and interest payments or, under certain circumstances, underlying mortgages, are guaranteed by a nonbank guarantee agreement from the name listed.
See notes to financial statements.
26
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Asset-Backed Securities (9.1%) | |||||||||||
| Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, 8/15/46, Callable 8/15/24 @ 100 (a) | $ | 1,500,000 | $ | 1,327,923 | |||||||
| American Credit Acceptance Receivables Trust, Series 2022-1, Class C, 2.12%, 3/13/28, Callable 9/13/24 @ 100 (a) | 1,000,000 | 942,975 | |||||||||
| American Credit Acceptance Receivables Trust, Series 2022-1, Class B, 1.68%, 9/14/26, Callable 9/13/24 @ 100 (a) | 1,000,000 | 956,663 | |||||||||
| AmeriCredit Automobile Receivables Trust, Series 2021-3, Class B, 1.17%, 8/18/27, Callable 3/18/25 @ 100 | 1,000,000 | 934,849 | |||||||||
| Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class A2, 1.64%, 10/20/27, Callable 9/20/25 @ 100 (a) | 1,187,000 | 1,142,252 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class B, 3.79%, 1/15/31, Callable 3/15/25 @ 100 (a) | 467,000 | 462,604 | |||||||||
| ARI Fleet Lease Trust, Series 2022-A, Class A3, 3.43%, 1/15/31, Callable 3/15/25 @ 100 (a) | 762,000 | 751,141 | |||||||||
| ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, 8/15/28, Callable 1/15/23 @ 100 (a) | 900,000 | 894,849 | |||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class B, 3.55%, 9/22/25, Callable 10/20/24 @ 100 (a) | 500,000 | 487,752 | |||||||||
| Bank of The West Auto Trust, Series 2019-1, Class C, 2.90%, 4/15/25, Callable 5/15/23 @ 100 (a) | 1,062,000 | 1,050,029 | |||||||||
| Canadian Pacer Auto Receivables Trust, Series 2020-1A, Class A4, 1.89%, 3/19/25, Callable 8/19/23 @ 100 (a) | 433,000 | 423,658 | |||||||||
CARDS II Trust, Series 2021-1A, Class A, 0.60%, 4/15/27 (a) | 2,300,000 | 2,186,843 | |||||||||
| CarMax Auto Owner Trust, Series 2021-2, Class B, 1.03%, 12/15/26, Callable 8/15/24 @ 100 | 2,000,000 | 1,885,584 | |||||||||
| CarMax Auto Owner Trust, Series 2020-2, Class D, 5.75%, 5/17/27, Callable 2/15/24 @ 100 | 780,000 | 786,938 | |||||||||
| CarMax Auto Owner Trust, Series 2020-1, Class B, 2.21%, 9/15/25, Callable 12/15/23 @ 100 | 1,275,000 | 1,242,973 | |||||||||
| CarNow Auto Receivables Trust, Series 2021-1A, Class A, 0.97%, 10/15/24, Callable 1/15/24 @ 100 (a) | 154,436 | 153,937 | |||||||||
| Carvana Auto Receivables Trust, Series 2021-P2, Class B, 1.27%, 3/10/27, Callable 12/10/25 @ 100 | 1,500,000 | 1,350,680 | |||||||||
| CF Hippolyta LLC, Series 2021-1A, Class A1, 1.53%, 3/15/61, Callable 3/15/24 @ 100 (a) | 1,446,758 | 1,275,338 | |||||||||
| Chesapeake Funding II LLC, Series 2019-1A, Class A1, 2.94%, 4/15/31, Callable 7/15/22 @ 100 (a) | 371,764 | 371,771 | |||||||||
| CPS Auto Receivables Trust, Series 2019-C, Class D, 3.17%, 6/16/25, Callable 9/15/23 @ 100 (a) | 1,631,374 | 1,626,553 | |||||||||
| CPS Auto Receivables Trust, Series 2022-A, Class B, 1.70%, 4/16/29, Callable 5/15/26 @ 100 (a) | 1,200,000 | 1,149,404 | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.39%, 4/16/29, Callable 9/15/23 @ 100 (a) | 823,000 | 810,105 | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2019-3A, Class B, 2.86%, 1/16/29, Callable 6/15/23 @ 100 (a) | 1,000,000 | 991,925 | |||||||||
| Credit Acceptance Auto Loan Trust, Series 2021-2A, Class B, 1.26%, 4/15/30, Callable 12/15/24 @ 100 (a) | 1,038,000 | 960,183 | |||||||||
See notes to financial statements.
27
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Crossroads Asset Trust, Series 2021-A, Class A2, 0.82%, 3/20/24 (a) | $ | 301,961 | $ | 298,417 | |||||||
| Dell Equipment Finance Trust, Series 2020-1, Class A3, 2.24%, 2/22/23, Callable 10/22/22 @ 100 (a) | 285,593 | 285,234 | |||||||||
| Diamond Infrastructure Funding LLC, Series 2021-1A, Class A, 1.76%, 4/15/49, Callable 9/20/25 @ 100 (a) | 1,000,000 | 858,763 | |||||||||
| Diamond Issuer, Series 2021-1A, Class A, 2.31%, 11/20/51, Callable 11/20/25 @ 100 (a) | 1,125,000 | 988,652 | |||||||||
| DLLST LLC, Series 2022-1A, Class A4, 3.69%, 9/20/28, Callable 8/20/25 @ 100 (a) | 2,000,000 | 1,990,360 | |||||||||
| Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class B, 0.98%, 12/11/34 (a) | 1,327,000 | 1,249,394 | |||||||||
| Drive Auto Receivables Trust, Series 2021-1, Class B, 0.65%, 7/15/25, Callable 12/15/23 @ 100 | 1,500,000 | 1,491,600 | |||||||||
| DT Auto Owner Trust, Series 2018-2A, Class D, 4.15%, 3/15/24, Callable 9/15/22 @ 100 (a) | 40,531 | 40,537 | |||||||||
| DT Auto Owner Trust, Series 2021-3A, Class B, 0.58%, 11/17/25, Callable 5/15/25 @ 100 (a) | 2,000,000 | 1,917,875 | |||||||||
| Encina Equipment Finance LLC, Series 2021-1A, Class B, 1.21%, 2/16/27, Callable 2/15/24 @ 100 (a) | 1,187,000 | 1,126,697 | |||||||||
| Encina Equipment Finance LLC, Series 2021-1A, Class A2, 0.74%, 12/15/26, Callable 2/15/24 @ 100 (a) | 877,000 | 857,012 | |||||||||
| Enterprise Fleet Financing LLC, Series 2020-1, Class A3, 1.86%, 12/22/25, Callable 7/20/23 @ 100 (a) | 820,000 | 801,956 | |||||||||
| Enterprise Fleet Financing LLC, Series 22-1, Class A3, 3.27%, 1/20/28, Callable 7/20/25 @ 100 (a) | 1,000,000 | 977,931 | |||||||||
| Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.05%, 5/15/26, Callable 9/15/24 @ 100 | 1,000,000 | 968,597 | |||||||||
| ExteNet LLC, Series 2019-1A, Class A2, 3.20%, 7/26/49, Callable 1/25/23 @ 100 (a) | 500,000 | 479,991 | |||||||||
| First Investors Auto Owner Trust, Series 2018-2A, Class F, 7.31%, 9/15/25, Callable 2/15/23 @ 100 (a) | 750,000 | 754,273 | |||||||||
| First Investors Auto Owner Trust, Series 2019-2A, Class C, 2.71%, 12/15/25, Callable 7/15/23 @ 100 (a) | 1,500,000 | 1,493,395 | |||||||||
FirstKey Homes Trust, Series 2021-SFR2, Class B, 1.61%, 9/17/38 (a) | 1,153,846 | 1,011,801 | |||||||||
| Flagship Credit Auto Trust, Series 2020-2, Class D, 5.75%, 4/15/26, Callable 4/15/24 @ 100 (a) | 1,000,000 | 1,008,464 | |||||||||
| Ford Credit Auto Owner Trust, Series 2020-1, Class B, 2.29%, 8/15/31, Callable 2/15/25 @ 100 (a) | 1,500,000 | 1,410,025 | |||||||||
| Foursight Capital Automobile Receivables Trust, Series 2021-1, Class B, 0.87%, 1/15/26, Callable 10/15/23 @ 100 (a) | 1,406,000 | 1,382,492 | |||||||||
| Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.83%, 12/15/26, Callable 11/15/24 @ 100 (a) | 1,200,000 | 1,147,485 | |||||||||
| GLS Auto Receivables Issuer Trust, Series 2020-1A, Class B, 2.43%, 11/15/24, Callable 2/15/24 @ 100 (a) | 588,499 | 587,584 | |||||||||
| GM Financial Consumer Automobile Receivables Trust, Series 19-4, Class A4, 1.76%, 1/16/25, Callable 6/16/23 @ 100 | 345,000 | 341,603 | |||||||||
| GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class B, 2.32%, 12/16/24, Callable 3/16/23 @ 100 | 2,000,000 | 1,983,437 | |||||||||
See notes to financial statements.
28
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 8/18/25, Callable 12/16/23 @ 100 | $ | 750,000 | $ | 731,486 | |||||||
| GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A4, 1.90%, 3/17/25, Callable 9/16/23 @ 100 | 1,000,000 | 983,621 | |||||||||
Hertz Vehicle Financing III LP, Series 2021-2A, Class A, 1.68%, 12/27/27 (a) | 1,000,000 | 885,194 | |||||||||
Hertz Vehicle Financing LLC, Series 2021-1A, Class C, 2.05%, 12/26/25 (a) | 1,333,000 | 1,234,733 | |||||||||
| HPEFS Equipment Trust, Series 2020-1A, Class D, 2.26%, 2/20/30, Callable 2/20/23 @ 100 (a) | 1,000,000 | 987,851 | |||||||||
| HPEFS Equipment Trust, Series 2022-1A, Class C, 1.96%, 5/21/29, Callable 1/20/25 @ 100 (a) | 2,000,000 | 1,882,345 | |||||||||
| HPEFS Equipment Trust, Series 2021-1A, Class D, 1.03%, 3/20/31, Callable 12/20/23 @ 100 (a) | 1,500,000 | �� | 1,408,605 | ||||||||
| HPEFS Equipment Trust, Series 2019-1A, Class C, 2.49%, 9/20/29, Callable 8/20/22 @ 100 (a) | 127,146 | 127,047 | |||||||||
| HPEFS Equipment Trust, Series 2020-1A, Class B, 1.89%, 2/20/30, Callable 2/20/23 @ 100 (a) | 369,713 | 369,241 | |||||||||
| Hyundai Auto Receivables Trust, Series 2020-C, Class B, 0.81%, 11/16/26, Callable 12/15/24 @ 100 | 1,271,000 | 1,186,522 | |||||||||
| Hyundai Auto Receivables Trust, Series 2021-C, Class B, 1.49%, 12/15/27, Callable 12/15/25 @ 100 | 2,000,000 | 1,857,495 | |||||||||
| John Deere Owner Trust, Series 2020-A, Class A4, 1.21%, 11/16/26, Callable 8/15/23 @ 100 | 2,000,000 | 1,949,808 | |||||||||
| John Deere Owner Trust, Series 22-A, Class A4, 2.49%, 1/16/29, Callable 9/15/25 @ 100 | 1,000,000 | 968,143 | |||||||||
| JPMorgan Chase Bank NA, Series 2021-1, Class B, 0.88%, 9/25/28, Callable 1/25/25 @ 100 (a) | 526,264 | 511,138 | |||||||||
| JPMorgan Chase Bank NA, Series 2021-2, Class B, 0.89%, 12/26/28, Callable 3/25/25 @ 100 (a) | 494,974 | 481,336 | |||||||||
| Kubota Credit Owner Trust, Series 22-1A, Class A4, 2.78%, 2/15/28, Callable 1/15/26 @ 100 (a) | 2,000,000 | 1,929,450 | |||||||||
| Kubota Credit Owner Trust, Series 2020-1A, Class A4, 2.26%, 7/15/26, Callable 9/15/23 @ 100 (a) | 433,000 | 425,198 | |||||||||
| LAD Auto Receivables Trust, Series 2021-1A, Class A, 1.30%, 8/17/26, Callable 7/15/24 @ 100 (a) | 1,243,493 | 1,211,170 | |||||||||
Master Credit Card Trust, Series 2022-2A, Class C, 2.73%, 7/21/28 (a) | 625,000 | 587,851 | |||||||||
Master Credit Card Trust, Series 2021-1A, Class B, 0.79%, 11/21/25 (a) | 539,000 | 505,493 | |||||||||
MMAF Equipment Finance LLC, Series 2017-B, Class A4, 2.41%, 11/15/24 (a) | 186,041 | 185,892 | |||||||||
MMAF Equipment Finance LLC, Series 2022-A, Class A4, 3.32%, 6/13/44 (a) | 1,500,000 | 1,473,340 | |||||||||
| MVW LLC, Series 2021-1WA, Class A, 1.14%, 1/22/41, Callable 9/20/26 @ 100 (a) | 726,972 | 673,359 | |||||||||
| Navient Student Loan Trust, Series 2018-2A, Class B, 2.77% (LIBOR01M+115bps), 3/25/67, Callable 2/25/34 @ 100 (a) (b) | 1,000,000 | 962,996 | |||||||||
| Navient Student Loan Trust, Series 2015-2, Class B, 3.12% (LIBOR01M+150bps), 8/25/50, Callable 8/25/30 @ 100 (b) | 3,000,000 | 2,968,848 | |||||||||
| Nelnet Student Loan Trust, Series 2019-5, Class A, 2.53%, 10/25/67, Callable 4/25/35 @ 100 (a) | 3,014,469 | 2,744,537 | |||||||||
| New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, 10/20/61, Callable 10/20/24 @ 100 (a) | 1,807,000 | 1,575,908 | |||||||||
See notes to financial statements.
29
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
NP SPE II LLC, Series 2019-2A, Class C1, 6.44%, 11/19/49 (a) | $ | 839,167 | $ | 753,473 | |||||||
NP SPE LLC, Series 2019-1A, Class A2, 3.24%, 9/20/49 (a) | 500,000 | 469,151 | |||||||||
| Oscar U.S. Funding XIII LLC, Series 2021-2A, Class A4, 1.27%, 9/11/28, Callable 5/10/25 @ 100 (a) | 1,500,000 | 1,372,800 | |||||||||
| Pawnee Equipment Receivables LLC, Series 2020-1, Class B, 1.84%, 1/15/26, Callable 2/15/24 @ 100 (a) | 1,000,000 | 965,829 | |||||||||
| Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.53%, 2/15/28, Callable 4/15/25 @ 100 (a) | 1,000,000 | 911,337 | |||||||||
| Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.31%, 11/16/26, Callable 6/15/23 @ 100 (a) | 929,000 | 920,276 | |||||||||
| Prestige Auto Receivables Trust, Series 2018-1A, Class D, 4.14%, 10/15/24, Callable 10/15/22 @ 100 (a) | 1,000,000 | 1,000,953 | |||||||||
| Progress Residential Trust, Series 2021-SFR6, Class A, 1.52%, 7/17/38, Callable 7/17/26 @ 100 (a) | 1,098,743 | 987,279 | |||||||||
PSNH Funding LLC, Series 2018-1, Class A3, 3.81%, 2/1/35 | 1,000,000 | 960,764 | |||||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.28%, 5/15/32, Callable 4/15/25 @ 100 (a) | 952,583 | 939,722 | |||||||||
| Santander Bank NA, Series 2021-1A, Class B, 1.83%, 12/15/31, Callable 2/15/25 @ 100 (a) | 1,673,144 | 1,630,416 | |||||||||
| Santander Consumer Auto Receivables Trust, Series 2020-AA, Class D, 5.49%, 4/15/26, Callable 4/15/24 @ 100 (a) | 1,000,000 | 1,004,625 | |||||||||
| Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.13%, 8/16/27, Callable 6/15/26 @ 100 | 1,062,000 | 1,055,654 | |||||||||
| SCF Equipment Leasing LLC, Series 2020-1A, Class A3, 1.19%, 10/20/27, Callable 3/20/25 @ 100 (a) | 852,009 | 838,541 | |||||||||
| SLM Student Loan Trust, Series 2006-10, Class B, 1.40% (LIBOR03M+22bps), 3/25/44, Callable 10/25/32 @ 100 (b) | 189,927 | 178,901 | |||||||||
| SLM Student Loan Trust, Series 2007-1, Class B, 1.40% (LIBOR03M+22bps), 1/27/42, Callable 10/25/29 @ 100 (b) | 301,597 | 284,234 | |||||||||
| Synchrony Credit Card Master Note Trust, Series 2018-2, Class A, 3.47%, 5/15/26 | 2,000,000 | 2,002,612 | |||||||||
| Tesla Auto Lease Trust, Series 2019-A, Class E, 5.48%, 5/22/23, Callable 11/20/22 @ 100 (a) | 825,000 | 828,798 | |||||||||
| Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A, 1.07%, 2/27/34, Callable 2/25/26 @ 100 (a) (c) | 2,000,000 | 1,814,134 | |||||||||
| Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, 3.82%, 4/25/35, Callable 4/25/27 @ 100 (a) | 2,000,000 | 1,981,740 | |||||||||
| Transportation Finance Equipment Trust, Series 2019-1, Class A4, 1.88%, 3/25/24, Callable 5/23/23 @ 100 (a) | 1,280,000 | 1,268,970 | |||||||||
Trillium Credit Card Trust II, Series 2021-1A, Class C, 2.42%, 10/26/29 (a) | 2,000,000 | 1,853,214 | |||||||||
Trillium Credit Card Trust II, Series 2021-1A, Class A, 1.53%, 10/26/29 (a) | 2,000,000 | 1,851,439 | |||||||||
| VB-S1 Issuer LLC-VBTEL, Series 2022-1A, Class C2I, 3.16%, 2/15/52, Callable 2/15/26 @ 100 (a) | 1,000,000 | 938,979 | |||||||||
| Volvo Financial Equipment LLC, Series 20-1A, Class A3, 0.51%, 10/15/24, Callable 6/15/24 @ 100 (a) | 1,538,808 | 1,507,451 | |||||||||
| Wepco Environmental Trust Finance I LLC, Series 2021-1, Class A, 1.58%, 12/15/35 | 1,392,863 | 1,227,343 | |||||||||
| Westlake Automobile Receivables Trust, Series 2019-2A, Class E, 4.02%, 4/15/25, Callable 5/15/23 @ 100 (a) | 1,000,000 | 996,678 | |||||||||
See notes to financial statements.
30
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Westlake Automobile Receivables Trust, Series 2022-2A, Class C, 4.85%, 9/15/27, Callable 7/15/25 @ 100 (a) | $ | 1,071,000 | $ | 1,069,168 | |||||||
| Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.58%, 1/15/27, Callable 1/15/25 @ 100 (a) | 1,000,000 | 947,497 | |||||||||
Total Asset-Backed Securities (Cost $118,504,893) | 112,991,089 | ||||||||||
Collateralized Mortgage Obligations (3.4%) | |||||||||||
| Arbor Multifamily Mortgage Securities Trust, Series 2022-MF4, Class A5, 3.40%, 2/15/55, Callable 1/15/32 @ 100 (a) (c) | 2,000,000 | 1,838,421 | |||||||||
Aventura Mall Trust, Series 2018-AVM, Class D, 4.25%, 7/5/40 (a) (c) | 1,000,000 | 876,157 | |||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class D, 3.72% (LIBOR01M+105bps), 4/14/33, Callable 4/14/25 @ 100 (a) (b) | 500,000 | 461,627 | |||||||||
| BBCMS Mortgage Trust, Series 2020-BID, Class B, 3.86% (LIBOR01M+254bps), 10/15/37 (a) (b) | 1,750,000 | 1,715,409 | |||||||||
| BBCMS Mortgage Trust, Series 2022-C16, Class AS, 4.60%, 6/15/55, Callable 5/15/32 @ 100 (c) | 540,540 | 536,232 | |||||||||
| Benchmark Mortgage Trust, Series 2020-B17, Class ASB, 2.18%, 3/15/53, Callable 11/15/29 @ 100 | 1,000,000 | 898,739 | |||||||||
| BPR Trust, Series 2022-OANA, Class B, 3.73% (TSFR1M+245bps), 4/15/37 (a) (b) | 2,000,000 | 1,983,951 | |||||||||
| BPR Trust, Series 2021-TY, Class A, 2.37% (LIBOR01M+105bps), 9/15/38 (a) (b) | 865,000 | 828,498 | |||||||||
| BPR Trust, Series 2022-OANA, Class D, 4.97% (TSFR1M+370bps), 4/15/37 (a) (b) | 1,000,000 | 963,475 | |||||||||
| BX Commercial Mortgage Trust, Series 2022-CSMO, Class B, 3.89% (TSFR1M+314bps), 6/15/27 (a) (b) | 1,500,000 | 1,473,695 | |||||||||
| BX Commercial Mortgage Trust, Series 2019-XL, Class B, 2.40% (LIBOR01M+108bps), 10/15/36 (a) (b) | 218,450 | 215,038 | |||||||||
| BX Commercial Mortgage Trust, Series 2019-XL, Class D, 2.77% (LIBOR01M+145bps), 10/15/36 (a) (b) | 1,015,750 | 995,388 | |||||||||
BX Trust, Series 2019-OC11, Class A, 3.20%, 12/9/41 (a) | 923,077 | 827,643 | |||||||||
BXP Trust, Series 2021-601L, Class C, 2.87%, 1/15/44 (a) (c) | 1,500,000 | 1,114,256 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2017-P8, Class AS, 3.79%, 9/15/50, Callable 9/15/27 @ 100 (c) | 500,000 | 473,320 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class C, 4.68%, 1/10/36 (a) | 500,000 | 488,375 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2020-555, Class A, 2.65%, 12/10/41 (a) | 2,000,000 | 1,751,038 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class AAB, 2.61%, 2/15/53, Callable 11/15/29 @ 100 | 732,000 | 673,538 | |||||||||
| COMM Mortgage Trust, Series 2015-PC1, Class B, 4.44%, 7/10/50, Callable 6/10/25 @ 100 (c) | 865,000 | 828,196 | |||||||||
| COMM Mortgage Trust, Series 2015-PC1, Class AM, 4.29%, 7/10/50, Callable 5/10/25 @ 100 (c) | 1,750,000 | 1,709,756 | |||||||||
| COMM Mortgage Trust, Series 2015-LC23, Class AM, 4.16%, 10/10/48, Callable 10/10/25 @ 100 (c) | 250,000 | 242,223 | |||||||||
| COMM Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46, Callable 11/10/30 @ 100 (a) | 1,500,000 | 1,236,020 | |||||||||
See notes to financial statements.
31
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| COMM Mortgage Trust, Series 2014-277P, Class A, 3.73%, 8/10/49, Callable 8/10/24 @ 100 (a) (c) | $ | 1,000,000 | $ | 970,354 | |||||||
| DBJPM Mortgage Trust, Series 2016-SFC, Class A, 2.83%, 8/10/36, Callable 8/10/26 @ 100 (a) | 250,000 | 233,703 | |||||||||
| Extended Stay America Trust, Series 2021-ESH, Class B, 2.71% (LIBOR01M+138bps), 7/15/38 (a) (b) | 773,020 | 748,258 | |||||||||
| GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A, 2.86%, 5/10/34 (a) | 1,000,000 | 996,347 | |||||||||
| Houston Galleria Mall Trust, Series 2015-HGLR, Class A1A2, 3.09%, 3/5/37 (a) | 1,000,000 | 950,346 | |||||||||
| Hudson Yards Mortgage Trust, Series 2019-55HY, Class A, 3.04%, 12/10/41 (a) (c) | 535,000 | 477,992 | |||||||||
| Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.56%, 7/10/39 (a) (c) | 595,000 | 511,314 | |||||||||
| ILPT Commercial Mortgage Trust, Series 2022-LPFX, Class A, 3.38%, 3/15/32 (a) | 2,000,000 | 1,759,498 | |||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-2NU, Class B, 2.15%, 1/5/40 (a) (c) | 1,000,000 | 844,724 | |||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class B, 3.67%, 12/15/47, Callable 2/15/23 @ 100 (c) | 2,300,000 | 2,281,261 | |||||||||
| Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.13%, 9/10/39 (a) | 750,000 | 662,495 | |||||||||
| MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 2.12% (LIBOR01M+80bps), 4/15/38 (a) (b) | 2,290,000 | 2,214,482 | |||||||||
| Morgan Stanley Capital I Trust, Series 2021-PLZA, Class B, 2.90%, 11/9/43, Callable 5/9/31 @ 100 (a) | 1,000,000 | 812,886 | |||||||||
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41 (a) (d) | 800,000 | 680,897 | |||||||||
SMRT, Series 2022-MINI, Class B, 2.63% (TSFR1M+135bps), 1/15/39 (a) (b) | 1,500,000 | 1,437,380 | |||||||||
| SREIT Trust, Series 2021-MFP2, Class B, 2.50% (LIBOR01M+117bps), 11/15/36 (a) (b) | 1,500,000 | 1,425,198 | |||||||||
| VLS Commercial Mortgage Trust, Series 2020-LAB, Class A, 2.13%, 10/10/42 (a) | 1,000,000 | 822,489 | |||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A, 4.19%, 8/17/36 (a) (c) | 250,000 | 242,274 | |||||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C12, Class B, 3.86%, 3/15/48, Callable 3/15/23 @ 100 (c) | 1,939,500 | 1,921,897 | |||||||||
Total Collateralized Mortgage Obligations (Cost $45,914,769) | 42,124,790 | ||||||||||
Corporate Bonds (34.4%) | |||||||||||
Communication Services (1.8%): | |||||||||||
| AT&T, Inc. 4.35%, 3/1/29, Callable 12/1/28 @ 100 | 1,000,000 | 985,500 | |||||||||
3.10%, 2/1/43, Callable 8/1/42 @ 100 (e) | 2,000,000 | 1,488,160 | |||||||||
CenturyLink, Inc., 4.50%, 1/15/29, Callable 1/15/24 @ 102.25 (a) | 1,000,000 | 746,220 | |||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital 3.75%, 2/15/28, Callable 11/15/27 @ 100 | 500,000 | 460,330 | |||||||||
2.25%, 1/15/29, Callable 11/15/28 @ 100 | 2,000,000 | 1,645,920 | |||||||||
2.30%, 2/1/32, Callable 11/1/31 @ 100 (d) | 2,500,000 | 1,894,200 | |||||||||
4.40%, 4/1/33, Callable 1/1/33 @ 100 | 750,000 | 671,887 | |||||||||
See notes to financial statements.
32
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Comcast Corp. 3.55%, 5/1/28, Callable 2/1/28 @ 100 | $ | 750,000 | $ | 727,448 | |||||||
2.89%, 11/1/51, Callable 5/1/51 @ 100 (a) | 1,250,000 | 893,925 | |||||||||
Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 1,000,000 | 981,910 | |||||||||
Netflix, Inc., 4.88%, 6/15/30, Callable 3/15/30 @ 100 (a) (e) | 469,000 | 430,420 | |||||||||
| T-Mobile USA, Inc. 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | 643,000 | 619,807 | |||||||||
3.88%, 4/15/30, Callable 1/15/30 @ 100 | 1,000,000 | 933,630 | |||||||||
2.25%, 11/15/31, Callable 8/15/31 @ 100 | 4,500,000 | 3,654,855 | |||||||||
| Verizon Communications, Inc. 2.10%, 3/22/28, Callable 1/22/28 @ 100 | 1,500,000 | 1,332,300 | |||||||||
1.75%, 1/20/31, Callable 10/20/30 @ 100 | 4,000,000 | 3,212,520 | |||||||||
ViacomCBS, Inc., 3.38%, 2/15/28, Callable 11/15/27 @ 100 | 1,000,000 | 918,930 | |||||||||
21,597,962 | |||||||||||
Consumer Discretionary (2.8%): | |||||||||||
Advance Auto Parts, Inc., 3.50%, 3/15/32, Callable 12/15/31 @ 100 | 2,000,000 | 1,716,080 | |||||||||
AutoNation, Inc., 2.40%, 8/1/31, Callable 5/1/31 @ 100 | 3,000,000 | 2,305,200 | |||||||||
AutoZone, Inc., 3.75%, 6/1/27, Callable 3/1/27 @ 100 | 500,000 | 485,140 | |||||||||
Brunswick Corp., 2.40%, 8/18/31, Callable 5/18/31 @ 100 | 1,500,000 | 1,110,870 | |||||||||
D.R. Horton, Inc., 4.75%, 2/15/23, Callable 11/15/22 @ 100 (d) | 500,000 | 504,100 | |||||||||
| Daimler Finance North America LLC 3.70%, 5/4/23 (a) | 1,000,000 | 999,700 | |||||||||
3.45%, 1/6/27 (a) | 1,000,000 | 965,140 | |||||||||
Daimler Trucks Finance North America LLC, 2.38%, 12/14/28 (a) | 1,050,000 | 904,292 | |||||||||
General Motors Financial Co., Inc., 4.30%, 4/6/29, Callable 2/6/29 @ 100 | 1,500,000 | 1,382,055 | |||||||||
| Genting New York LLC/GENNY Capital, Inc., 3.30%, 2/15/26, Callable 1/15/26 @ 100 (a) | 1,000,000 | 898,540 | |||||||||
Genuine Parts Co., 2.75%, 2/1/32, Callable 11/1/31 @ 100 | 1,000,000 | 828,080 | |||||||||
| GSK Consumer Healthcare Capital US LLC, 3.38%, 3/24/29, Callable 1/24/29 @ 100 (a) | 1,500,000 | 1,402,185 | |||||||||
Hasbro, Inc., 3.90%, 11/19/29, Callable 8/19/29 @ 100 (d) | 2,000,000 | 1,836,520 | |||||||||
Kohl's Corp., 3.38%, 5/1/31, Callable 2/1/31 @ 100 (e) | 1,500,000 | 1,298,325 | |||||||||
| Magallanes, Inc. 4.05%, 3/15/29, Callable 1/15/29 @ 100 (a) | 2,000,000 | 1,833,540 | |||||||||
4.28%, 3/15/32, Callable 12/15/31 @ 100 (a) | 1,000,000 | 893,390 | |||||||||
| Marriott International, Inc. 2.85%, 4/15/31, Callable 1/15/31 @ 100 (d) | 2,000,000 | 1,659,100 | |||||||||
3.50%, 10/15/32, Callable 7/15/32 @ 100 (d) | 1,000,000 | 862,070 | |||||||||
| Murphy Oil USA, Inc. 4.75%, 9/15/29, Callable 9/15/24 @ 102.38 | 1,000,000 | 903,070 | |||||||||
3.75%, 2/15/31, Callable 2/15/26 @ 101.88 (a) (d) | 235,000 | 200,392 | |||||||||
Newell Brands, Inc., 4.45%, 4/1/26, Callable 1/1/26 @ 100 | 500,000 | 476,035 | |||||||||
Nordstrom, Inc., 4.25%, 8/1/31, Callable 5/1/31 @ 100 (e) | 750,000 | 569,527 | |||||||||
Novant Health, Inc., 2.64%, 11/1/36, Callable 8/1/36 @ 100 | 2,000,000 | 1,608,980 | |||||||||
O'Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | 500,000 | 482,390 | |||||||||
| Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, 4/6/31, Callable 1/6/31 @ 100 (a) | 1,300,000 | 1,045,395 | |||||||||
Sodexo, Inc., 2.72%, 4/16/31, Callable 1/16/31 @ 100 (a) | 2,000,000 | 1,680,240 | |||||||||
Stellantis Finance U.S., Inc., 2.69%, 9/15/31, Callable 6/15/31 @ 100 (a) | 1,200,000 | 952,536 | |||||||||
The Home Depot, Inc., 2.38%, 3/15/51, Callable 9/15/50 @ 100 | 1,400,000 | 945,784 | |||||||||
See notes to financial statements.
33
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Tractor Supply Co., 1.75%, 11/1/30, Callable 8/1/30 @ 100 | $ | 1,000,000 | $ | 785,220 | |||||||
VF Corp., 2.95%, 4/23/30, Callable 1/23/30 @ 100 | 2,000,000 | 1,750,020 | |||||||||
| Volkswagen Group of America Finance LLC, 4.60%, 6/8/29, Callable 4/8/29 @ 100 (a) | 1,500,000 | 1,460,565 | |||||||||
34,744,481 | |||||||||||
Consumer Staples (2.1%): | |||||||||||
7-Eleven, Inc., 1.80%, 2/10/31, Callable 11/10/30 @ 100 (a) | 1,500,000 | 1,171,410 | |||||||||
Altria Group, Inc., 2.45%, 2/4/32, Callable 11/4/31 @ 100 (d) | 1,500,000 | 1,129,650 | |||||||||
| Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 3.65%, 2/1/26, Callable 11/1/25 @ 100 | 1,000,000 | 984,830 | |||||||||
| Anheuser-Busch InBev Worldwide, Inc. 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 1,500,000 | 1,405,620 | |||||||||
4.38%, 4/15/38, Callable 10/15/37 @ 100 | 500,000 | 457,415 | |||||||||
5.45%, 1/23/39, Callable 7/23/38 @ 100 | 500,000 | 507,840 | |||||||||
4.35%, 6/1/40, Callable 12/1/39 @ 100 | 1,000,000 | 895,740 | |||||||||
3.75%, 7/15/42 (d) | 750,000 | 610,957 | |||||||||
| BAT Capital Corp. 2.73%, 3/25/31, Callable 12/25/30 @ 100 (d) | 1,000,000 | 787,650 | |||||||||
4.39%, 8/15/37, Callable 2/15/37 @ 100 | 1,250,000 | 993,400 | |||||||||
Bunge Ltd. Finance Corp., 2.75%, 5/14/31, Callable 2/14/31 @ 100 | 2,000,000 | 1,649,660 | |||||||||
Cargill, Inc., 2.13%, 11/10/31, Callable 8/10/31 @ 100 (a) | 1,000,000 | 833,610 | |||||||||
Church & Dwight Co., Inc., 2.30%, 12/15/31, Callable 9/15/31 @ 100 | 1,000,000 | 843,700 | |||||||||
| Constellation Brands, Inc. 3.50%, 5/9/27, Callable 2/9/27 @ 100 | 750,000 | 720,398 | |||||||||
2.25%, 8/1/31, Callable 5/1/31 @ 100 | 1,769,000 | 1,433,951 | |||||||||
General Mills, Inc., 4.55%, 4/17/38, Callable 10/17/37 @ 100 | 1,000,000 | 943,020 | |||||||||
JBS Finance Luxembourg Sarl, 2.50%, 1/15/27, Callable 12/15/26 @ 100 (a) | 1,500,000 | 1,304,400 | |||||||||
| Keurig Dr Pepper, Inc. 3.95%, 4/15/29, Callable 2/15/29 @ 100 | 750,000 | 716,063 | |||||||||
2.25%, 3/15/31, Callable 12/15/30 @ 100 | 1,000,000 | 821,940 | |||||||||
4.50%, 4/15/52, Callable 10/15/51 @ 100 | 1,000,000 | 880,690 | |||||||||
Kraft Heinz Foods Co., 5.00%, 6/4/42 | 1,000,000 | 914,730 | |||||||||
Mars, Inc., 3.88%, 4/1/39, Callable 10/1/38 @ 100 (a) | 1,000,000 | 899,510 | |||||||||
McCormick & Co., Inc., 1.85%, 2/15/31, Callable 11/15/30 @ 100 | 1,000,000 | 794,610 | |||||||||
PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100 | 1,000,000 | 920,980 | |||||||||
Sysco Corp., 2.45%, 12/14/31, Callable 9/14/31 @ 100 | 1,500,000 | 1,246,875 | |||||||||
The Coca-Cola Co., 2.00%, 3/5/31 | 2,000,000 | 1,721,980 | |||||||||
The Kroger Co., 3.50%, 2/1/26, Callable 11/1/25 @ 100 | 500,000 | 492,335 | |||||||||
26,082,964 | |||||||||||
Energy (2.1%): | |||||||||||
| Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., 2.06%, 12/15/26, Callable 11/15/26 @ 100 | 1,312,000 | 1,205,676 | |||||||||
| Boardwalk Pipelines LP 4.45%, 7/15/27, Callable 4/15/27 @ 100 | 1,500,000 | 1,454,310 | |||||||||
4.80%, 5/3/29, Callable 2/3/29 @ 100 (d) | 500,000 | 485,275 | |||||||||
Boardwalk Pipelines, LP, 3.60%, 9/1/32, Callable 6/1/32 @ 100 | 1,000,000 | 848,180 | |||||||||
Buckeye Partners LP, 4.13%, 12/1/27, Callable 9/1/27 @ 100 | 1,000,000 | 850,080 | |||||||||
Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100 (a) | 1,091,000 | 933,492 | |||||||||
See notes to financial statements.
34
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Cheniere Corpus Christi Holdings LLC, 2.74%, 12/31/39, Callable 7/4/39 @ 100 (a) | $ | 1,333,000 | $ | 1,035,301 | |||||||
Enable Midstream Partners LP, 4.15%, 9/15/29, Callable 6/15/29 @ 100 | 1,000,000 | 911,940 | |||||||||
Energy Transfer LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 (d) | 1,000,000 | 900,450 | |||||||||
| Enterprise Products Operating LLC, 2.80%, 1/31/30, Callable 10/31/29 @ 100 | 1,000,000 | 876,330 | |||||||||
EQT Corp., 7.50%, 2/1/30, Callable 11/1/29 @ 100 | 514,000 | 552,699 | |||||||||
Exxon Mobil Corp., 2.61%, 10/15/30, Callable 7/15/30 @ 100 | 1,500,000 | 1,348,110 | |||||||||
Florida Gas Transmission Co. LLC, 2.55%, 7/1/30, Callable 4/1/30 @ 100 (a) | 1,500,000 | 1,268,535 | |||||||||
Gray Oak Pipeline LLC, 3.45%, 10/15/27, Callable 8/15/27 @ 100 (a) | 1,334,000 | 1,234,417 | |||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, 11/1/28, Callable 11/1/23 @ 103.13 (a) | 1,000,000 | 929,990 | |||||||||
HollyFrontier Corp., 4.50%, 10/1/30, Callable 7/1/30 @ 100 | 2,000,000 | 1,819,320 | |||||||||
| Midwest Connector Capital Co. LLC, 4.63%, 4/1/29, Callable 1/1/29 @ 100 (a) (d) | 2,500,000 | 2,360,175 | |||||||||
| MPLX LP 4.25%, 12/1/27, Callable 9/1/27 @ 100 | 500,000 | 481,675 | |||||||||
4.00%, 3/15/28, Callable 12/15/27 @ 100 | 750,000 | 711,300 | |||||||||
4.80%, 2/15/29, Callable 11/15/28 @ 100 (d) | 250,000 | 246,138 | |||||||||
| Murphy Oil Corp. 6.88%, 8/15/24, Callable 8/8/22 @ 101.72 | 410,000 | 410,135 | |||||||||
5.75%, 8/15/25, Callable 8/8/22 @ 102.88 | 500,000 | 495,425 | |||||||||
Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | 500,000 | 400,275 | |||||||||
Pioneer Natural Resources Co., 1.90%, 8/15/30, Callable 5/15/30 @ 100 (d) | 1,500,000 | 1,224,825 | |||||||||
| Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/29, Callable 9/15/29 @ 100 | 2,280,000 | 2,011,826 | |||||||||
Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100 (a) | 1,000,000 | 855,280 | |||||||||
Southwestern Energy Co., 7.75%, 10/1/27, Callable 10/1/22 @ 103.88 | 500,000 | 512,015 | |||||||||
26,363,174 | |||||||||||
Financials (8.7%): | |||||||||||
Alleghany Corp., 3.63%, 5/15/30, Callable 2/15/30 @ 100 (d) | 1,500,000 | 1,403,685 | |||||||||
| American Express Co., 4.99% (SOFR+226bps), 5/26/33, Callable 2/26/32 @ 100 (b) | 1,500,000 | 1,499,355 | |||||||||
American Honda Finance Corp., 1.30%, 9/9/26 | 1,000,000 | 902,720 | |||||||||
American National Group, Inc., 6.14%, 6/13/32, Callable 3/13/32 @ 100 (a) | 750,000 | 744,405 | |||||||||
AmFam Holdings, Inc., 2.81%, 3/11/31, Callable 12/11/30 @ 100 (a) | 1,000,000 | 834,910 | |||||||||
Assurant, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100 | 1,000,000 | 780,520 | |||||||||
| Athene Global Funding 1.45%, 1/8/26 (a) | 1,000,000 | 891,620 | |||||||||
2.72%, 1/7/29 (a) | 1,000,000 | 851,950 | |||||||||
Athene Holding Ltd., 3.50%, 1/15/31, Callable 10/15/30 @ 100 (d) | 1,000,000 | 846,290 | |||||||||
AXA Equitable Holdings, Inc., 4.35%, 4/20/28, Callable 1/20/28 @ 100 | 1,000,000 | 966,030 | |||||||||
| Bank of America Corp. 1.53% (SOFR+65bps), 12/6/25, Callable 12/6/24 @ 100, MTN (b) | 500,000 | 465,285 | |||||||||
1.66% (SOFR+91bps), 3/11/27, Callable 3/11/26 @ 100 (b) | 1,500,000 | 1,348,455 | |||||||||
3.71% (LIBOR03M+151bps), 4/24/28, Callable 4/24/27 @ 100 (b) | 1,000,000 | 952,620 | |||||||||
2.57% (SOFR+121bps), 10/20/32, Callable 10/20/31 @ 100 (b) (d) | 2,750,000 | 2,269,135 | |||||||||
Belrose Funding Trust, 2.33%, 8/15/30, Callable 5/15/30 @ 100 (a) | 1,000,000 | 801,290 | |||||||||
See notes to financial statements.
35
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Blackstone Private Credit Fund, 2.63%, 12/15/26, Callable 11/15/26 @ 100 (a) | $ | 1,290,000 | $ | 1,075,899 | |||||||
Blue Owl Finance LLC, 3.13%, 6/10/31, Callable 3/10/31 @ 100 (a) (d) | 1,000,000 | 768,970 | |||||||||
| BMW US Capital LLC 1.25%, 8/12/26, Callable 7/12/26 @ 100 (a) | 1,000,000 | 895,340 | |||||||||
3.75%, 4/12/28, Callable 1/12/28 @ 100 (a) | 1,000,000 | 976,670 | |||||||||
3.70%, 4/1/32, Callable 1/1/32 @ 100 (a) | 1,500,000 | 1,410,615 | |||||||||
Brown & Brown, Inc., 4.20%, 3/17/32, Callable 12/17/31 @ 100 | 1,000,000 | 910,390 | |||||||||
| Cadence Bank, 4.13% (LIBOR03M+247bps), 11/20/29, Callable 11/20/24 @ 100 (b) | 625,000 | 613,975 | |||||||||
| Capital One Financial Corp. 3.75%, 7/28/26, Callable 6/28/26 @ 100 | 1,000,000 | 956,790 | |||||||||
2.36% (SOFR+134bps), 7/29/32, Callable 7/29/31 @ 100 (b) (d) | 1,000,000 | 761,360 | |||||||||
Citigroup, Inc., 2.52% (SOFR+118bps), 11/3/32, Callable 11/3/31 @ 100 (b) | 2,000,000 | 1,621,520 | |||||||||
| Citizens Financial Group, Inc. 2.50%, 2/6/30, Callable 11/6/29 @ 100 | 2,000,000 | 1,681,640 | |||||||||
5.64% (H15T5Y+275bps), 5/21/37, Callable 5/21/32 @ 100 (b) | 1,000,000 | 983,270 | |||||||||
| Compeer Financial FLCA/Compeer Financial PCA, 3.38% (SOFR+197bps), 6/1/36, Callable 6/1/31 @ 100 (a) (b) | 978,000 | 806,889 | |||||||||
Corebridge Financial, Inc., 3.85%, 4/5/29, Callable 2/5/29 @ 100 (a) | 750,000 | 692,048 | |||||||||
Credit Acceptance Corp., 6.63%, 3/15/26, Callable 7/18/22 @ 103.31 | 500,000 | 469,600 | |||||||||
F&G Global Funding, 2.00%, 9/20/28 (a) | 2,000,000 | 1,691,000 | |||||||||
Fells Point Funding Trust, 3.05%, 1/31/27, Callable 12/31/26 @ 100 (a) | 1,750,000 | 1,613,518 | |||||||||
| Fifth Third Bancorp 3.95%, 3/14/28, Callable 2/14/28 @ 100 | 500,000 | 485,820 | |||||||||
4.34% (SOFR+268bps), 4/25/33, Callable 4/25/32 @ 100 (b) | 1,739,000 | 1,654,328 | |||||||||
First American Financial Corp., 2.40%, 8/15/31, Callable 5/15/31 @ 100 | 2,275,000 | 1,741,786 | |||||||||
| First Citizens BancShares, Inc., 3.38% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (b) | 1,000,000 | 951,980 | |||||||||
First Horizon Bank, 5.75%, 5/1/30, Callable 2/1/30 @ 100 | 2,000,000 | 2,041,600 | |||||||||
| Ford Motor Credit Co. LLC 4.54%, 8/1/26, Callable 6/1/26 @ 100 | 1,000,000 | 914,300 | |||||||||
5.11%, 5/3/29, Callable 2/3/29 @ 100 | 500,000 | 448,040 | |||||||||
FS KKR Capital Corp., 4.63%, 7/15/24, Callable 6/15/24 @ 100 | 1,000,000 | 981,920 | |||||||||
| GA Global Funding Trust 1.63%, 1/15/26 (a) | 250,000 | 225,132 | |||||||||
1.95%, 9/15/28 (a) | 1,000,000 | 849,010 | |||||||||
| Glencore Funding LLC 2.50%, 9/1/30, Callable 6/1/30 @ 100 (a) | 500,000 | 407,565 | |||||||||
2.85%, 4/27/31, Callable 1/27/31 @ 100 (a) | 1,000,000 | 825,480 | |||||||||
Global Atlantic Fin Co., 4.40%, 10/15/29, Callable 7/15/29 @ 100 (a) | 1,714,000 | 1,563,682 | |||||||||
Guardian Life Global Funding, 1.25%, 5/13/26 (a) | 2,000,000 | 1,804,520 | |||||||||
Huntington Bancshares, Inc., 2.49%, 8/15/36, Callable 8/15/31 @ 100 (a) | 1,000,000 | 775,450 | |||||||||
| Hyundai Capital America 3.40%, 6/20/24 (a) | 500,000 | 491,905 | |||||||||
3.50%, 11/2/26, Callable 9/2/26 @ 100 (a) | 500,000 | 474,990 | |||||||||
ILFC E-Capital Trust I, 4.85%, 12/21/65, Callable 8/8/22 @ 100 (a) | 500,000 | 370,920 | |||||||||
| JPMorgan Chase & Co. 2.52% (SOFR+204bps), 4/22/31, Callable 4/22/30 @ 100 (b) | 2,500,000 | 2,131,150 | |||||||||
1.95% (SOFR+107bps), 2/4/32, Callable 2/4/31 @ 100 (b) | 3,333,000 | 2,662,267 | |||||||||
See notes to financial statements.
36
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| JPMorgan Chase Co., 2.95% (SOFR+117bps), 2/24/28, Callable 2/24/27 @ 100 (b) | $ | 500,000 | $ | 463,265 | |||||||
KeyBank NA, 3.90%, 4/13/29 | 1,500,000 | 1,413,960 | |||||||||
KeyCorp, 2.25%, 4/6/27, MTN | 500,000 | 449,625 | |||||||||
KeyCorp., 4.79% (SOFR+273bps), 6/1/33, Callable 6/1/32 @ 100, MTN(b) | 757,000 | 746,296 | |||||||||
| Level 3 Financing, Inc. 3.75%, 7/15/29, Callable 1/15/24 @ 101.88 (a) | 1,500,000 | 1,161,570 | |||||||||
3.88%, 11/15/29, Callable 8/15/29 @ 100 (a) | 1,500,000 | 1,250,940 | |||||||||
Lincoln National Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100 | 500,000 | 478,380 | |||||||||
Loews Corp., 3.20%, 5/15/30, Callable 2/15/30 @ 100 | 2,000,000 | 1,819,100 | |||||||||
| Main Street Capital Corp. 4.50%, 12/1/22 | 500,000 | 501,130 | |||||||||
3.00%, 7/14/26, Callable 6/14/26 @ 100 | 1,000,000 | 874,560 | |||||||||
MassMutual Global Funding II, 1.20%, 7/16/26 (a) | 1,500,000 | 1,346,460 | |||||||||
Mercury General Corp., 4.40%, 3/15/27, Callable 12/15/26 @ 100 | 1,000,000 | 978,950 | |||||||||
| Metropolitan Life Global Funding I 3.30%, 3/21/29 (a) | 1,000,000 | 935,880 | |||||||||
2.40%, 1/11/32 (a) | 2,000,000 | 1,683,100 | |||||||||
| Morgan Stanley 2.51% (SOFR+120bps), 10/20/32, Callable 10/20/31 @ 100, MTN (b) | 3,000,000 | 2,484,120 | |||||||||
2.48% (SOFR+136bps), 9/16/36, Callable 9/16/31 @ 100 (b) (d) | 1,250,000 | 961,162 | |||||||||
| New York Community Bancorp, Inc., 5.90% (LIBOR03M+278bps), 11/6/28, Callable 11/6/23 @ 100 (b) | 1,250,000 | 1,262,775 | |||||||||
New York Life Global Funding, 1.85%, 8/1/31 (a) | 1,500,000 | 1,218,360 | |||||||||
| OWL Rock Core Income Corp. 5.50%, 3/21/25 (a) | 500,000 | 479,790 | |||||||||
3.13%, 9/23/26, Callable 8/23/26 @ 100 (a) | 250,000 | 215,647 | |||||||||
4.70%, 2/8/27, Callable 1/8/27 @ 100 (a) | 1,125,000 | 1,029,330 | |||||||||
Pacific Life Global Funding II, 1.38%, 4/14/26 (a) | 2,000,000 | 1,806,220 | |||||||||
Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100 (a) | 500,000 | 482,440 | |||||||||
Primerica, Inc., 2.80%, 11/19/31, Callable 8/19/31 @ 100 | 1,500,000 | 1,261,725 | |||||||||
Principal Life Global Funding II, 1.25%, 8/16/26 (a) | 2,000,000 | 1,768,180 | |||||||||
Protective Life Global Funding, 1.90%, 7/6/28 (a) | 2,000,000 | 1,727,540 | |||||||||
Prudential Financial, Inc., 3.94%, 12/7/49, Callable 6/7/49 @ 100 | 1,000,000 | 861,570 | |||||||||
Regions Financial Corp., 1.80%, 8/12/28, Callable 6/12/28 @ 100 (d) | 4,000,000 | 3,401,640 | |||||||||
| Santander Holdings USA, Inc. 3.40%, 1/18/23, Callable 12/18/22 @ 100 | 250,000 | 249,612 | |||||||||
4.40%, 7/13/27, Callable 4/14/27 @ 100 | 750,000 | 722,047 | |||||||||
| Stewart Information Services Corp., 3.60%, 11/15/31, Callable 8/15/31 @ 100 | 2,250,000 | 1,865,812 | |||||||||
| Synchrony Financial 4.50%, 7/23/25, Callable 4/23/25 @ 100 | 500,000 | 485,855 | |||||||||
5.15%, 3/19/29, Callable 12/19/28 @ 100 | 500,000 | 468,255 | |||||||||
| Synovus Bank/Columbus GA, 4.00% (H15T5Y+363bps), 10/29/30, Callable 10/29/25 @ 100 (b) | 500,000 | 484,345 | |||||||||
| Synovus Financial Corp., 5.90% (USSW5+338bps), 2/7/29, Callable 2/7/24 @ 100 (b) | 500,000 | 483,235 | |||||||||
| TCF National Bank, 4.13% (LIBOR03M+238bps), 7/2/29, Callable 7/2/24 @ 100 (b) | 1,000,000 | 989,800 | |||||||||
See notes to financial statements.
37
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Texas Capital Bancshares, Inc., 4.00% (H15T5Y+315bps), 5/6/31, Callable 5/6/26 @ 100 (b) | $ | 1,000,000 | $ | 914,820 | |||||||
Texas Capital Bank NA, 5.25%, 1/31/26 | 250,000 | 249,943 | |||||||||
| The Bank of New York Mellon Corp. 3.75% (H15T5Y+263bps), Callable 12/20/26 @ 100 (b) (f) | 1,000,000 | 821,550 | |||||||||
3.99% (SOFR+284bps), 6/13/28, Callable 6/13/27 @ 100, MTN (b) | 1,000,000 | 989,430 | |||||||||
| The PNC Financial Services Group, Inc. 2.55%, 1/22/30, Callable 10/24/29 @ 100 | 1,500,000 | 1,304,670 | |||||||||
4.63% (SOFR+278bps), 6/6/33, Callable 6/6/32 @ 100 (b) | 500,000 | 483,430 | |||||||||
Torchmark Corp., 4.55%, 9/15/28, Callable 6/15/28 @ 100 | 500,000 | 492,260 | |||||||||
Truist Bank, 2.25%, 3/11/30, Callable 12/11/29 @ 100 | 1,050,000 | 879,281 | |||||||||
Truist Financial Corp., 4.25%, 9/30/24 | 750,000 | 750,465 | |||||||||
| UMB Financial Corp., 3.70% (H15T5Y+344bps), 9/17/30, Callable 9/17/25 @ 100 (b) | 375,000 | 354,458 | |||||||||
US BanCorp, 2.49% (H15T5Y+95bps), 11/3/36, Callable 11/3/31 @ 100 (b) | 1,500,000 | 1,224,600 | |||||||||
W R Berkley Corp., 3.55%, 3/30/52, Callable 9/30/51 @ 100 | 1,172,000 | 902,499 | |||||||||
| Webster Financial Corp. 4.38%, 2/15/24, Callable 1/16/24 @ 100 | 1,000,000 | 988,330 | |||||||||
4.10%, 3/25/29, Callable 12/25/28 @ 100 | 500,000 | 473,675 | |||||||||
| Wells Fargo & Co. 2.19% (SOFR+200bps), 4/30/26, Callable 4/30/25 @ 100 (b) | 750,000 | 703,095 | |||||||||
3.00%, 10/23/26 | 1,000,000 | 944,200 | |||||||||
Zions Bancorp NA, 3.25%, 10/29/29, Callable 7/29/29 @ 100 | 1,000,000 | 873,050 | |||||||||
107,452,041 | |||||||||||
Health Care (3.3%): | |||||||||||
| AbbVie, Inc. 3.20%, 11/21/29, Callable 8/21/29 @ 100 (d) | 2,000,000 | 1,838,860 | |||||||||
4.25%, 11/21/49, Callable 5/21/49 @ 100 (d) | 500,000 | 443,185 | |||||||||
| Amgen, Inc. 3.00%, 1/15/52, Callable 7/15/51 @ 100 | 1,250,000 | 889,288 | |||||||||
4.20%, 2/22/52, Callable 8/22/51 @ 100 | 1,250,000 | 1,096,700 | |||||||||
| Anthem, Inc. 2.88%, 9/15/29, Callable 6/15/29 @ 100 | 323,000 | 291,107 | |||||||||
2.55%, 3/15/31, Callable 12/15/30 @ 100 | 2,000,000 | 1,728,400 | |||||||||
Baxter International, Inc., 2.54%, 2/1/32, Callable 11/1/31 @ 100 (a) (d) | 1,750,000 | 1,476,072 | |||||||||
Bio Rad Laboratories, Inc., 3.30%, 3/15/27, Callable 2/15/27 @ 100 | 1,250,000 | 1,181,262 | |||||||||
Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 | 1,750,000 | 1,434,930 | |||||||||
Boston Medical Center Corp., 3.91%, 7/1/28 | 500,000 | 472,535 | |||||||||
Bristol Myers Squibb Co., 3.90%, 2/20/28, Callable 11/20/27 @ 100 | 500,000 | 500,850 | |||||||||
Centene Corp., 2.50%, 3/1/31, Callable 12/1/30 @ 100 | 1,500,000 | 1,197,510 | |||||||||
Cigna Corp., 2.38%, 3/15/31, Callable 12/15/30 @ 100 | 2,000,000 | 1,689,040 | |||||||||
| CVS Health Corp. 3.25%, 8/15/29, Callable 5/15/29 @ 100 (d) | 500,000 | 456,650 | |||||||||
1.75%, 8/21/30, Callable 5/21/30 @ 100 | 1,000,000 | 802,570 | |||||||||
2.13%, 9/15/31, Callable 6/15/31 @ 100 | 2,000,000 | 1,619,880 | |||||||||
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100 | 4,000,000 | 3,378,240 | |||||||||
Duke University Health System, Inc., 2.60%, 6/1/30 | 2,000,000 | 1,738,160 | |||||||||
| Eastern Maine Healthcare Systems, 3.71%, 7/1/26 | 335,000 | 318,676 | |||||||||
| Fresenius Medical Care U.S. Finance III, Inc., 2.38%, 2/16/31, Callable 11/16/30 @ 100 (a) | 2,500,000 | 1,953,250 | |||||||||
See notes to financial statements.
38
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Gilead Sciences, Inc., 1.20%, 10/1/27, Callable 8/1/27 @ 100 | $ | 1,000,000 | $ | 861,250 | |||||||
| HCA, Inc. 4.50%, 2/15/27, Callable 8/15/26 @ 100 | 1,250,000 | 1,202,813 | |||||||||
4.38%, 3/15/42, Callable 9/15/41 @ 100 (a) | 750,000 | 595,193 | |||||||||
Illumina, Inc., 2.55%, 3/23/31, Callable 12/23/30 @ 100 | 2,000,000 | 1,625,640 | |||||||||
Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100 | 1,000,000 | 942,840 | |||||||||
| Orlando Health Obligated Group 3.78%, 10/1/28, Callable 7/1/28 @ 100 | 500,000 | 478,045 | |||||||||
2.89%, 10/1/35 | 1,000,000 | 836,250 | |||||||||
| PerkinElmer, Inc. 2.55%, 3/15/31, Callable 12/15/30 @ 100 | 1,500,000 | 1,221,615 | |||||||||
2.25%, 9/15/31, Callable 6/15/31 @ 100 | 500,000 | 395,365 | |||||||||
Quest Diagnostics, Inc., 3.45%, 6/1/26, Callable 3/1/26 @ 100 | 1,250,000 | 1,217,887 | |||||||||
Roche Holdings, Inc., 1.93%, 12/13/28, Callable 10/13/28 @ 100 (a) | 1,500,000 | 1,329,750 | |||||||||
| Royalty Pharma PLC 2.20%, 9/2/30, Callable 6/2/30 @ 100 | 2,000,000 | 1,614,080 | |||||||||
2.15%, 9/2/31, Callable 6/2/31 @ 100 | 1,500,000 | 1,171,095 | |||||||||
| Southern Illinois Healthcare Enterprises, Inc., 3.97%, 5/15/50, Callable 11/15/49 @ 100 | 1,000,000 | 830,520 | |||||||||
Universal Health Services, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100 (a) | 1,000,000 | 774,210 | |||||||||
Viatris, Inc., 2.30%, 6/22/27, Callable 4/22/27 @ 100 | 1,000,000 | 855,460 | |||||||||
40,459,178 | |||||||||||
Industrials (3.8%): | |||||||||||
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100 | 2,250,000 | 1,782,968 | |||||||||
Air Lease Corp., 2.88%, 1/15/32, Callable 10/15/31 @ 100 | 1,000,000 | 780,250 | |||||||||
| American Airlines Pass Through Trust 3.70%, 10/1/26 | 300,146 | 251,387 | |||||||||
3.85%, 2/15/28 | 405,241 | 342,197 | |||||||||
3.60%, 10/15/29 | 391,755 | 327,088 | |||||||||
Arconic, Inc., 5.90%, 2/1/27 | 250,000 | 247,752 | |||||||||
| Ashtead Capital, Inc. 4.25%, 11/1/29, Callable 11/1/24 @ 102.13 (a) | 1,448,000 | 1,275,746 | |||||||||
2.45%, 8/12/31, Callable 5/12/31 @ 100 (a) | 667,000 | 510,235 | |||||||||
| British Airways Pass Through Trust 3.35%, 6/15/29 (a) | 391,846 | 342,179 | |||||||||
3.80%, 9/20/31 (a) | 568,235 | 529,720 | |||||||||
Builders FirstSource, Inc., 6.38%, 6/15/32, Callable 6/15/27 @ 103.19 (a) | 500,000 | 448,195 | |||||||||
Carlisle Cos., Inc., 2.75%, 3/1/30, Callable 12/1/29 @ 100 | 1,000,000 | 840,010 | |||||||||
Carrier Global Corp., 3.38%, 4/5/40, Callable 10/5/39 @ 100 | 2,250,000 | 1,767,127 | |||||||||
CNH Industrial Capital LLC, 1.88%, 1/15/26, Callable 12/15/25 @ 100 | 1,000,000 | 907,490 | |||||||||
CoStar Group, Inc., 2.80%, 7/15/30, Callable 4/15/30 @ 100 (a) | 2,091,000 | 1,757,632 | |||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (a) | 1,250,000 | 1,179,800 | |||||||||
FedEx Corp., 3.90%, 2/1/35 | 1,250,000 | 1,116,012 | |||||||||
Fluor Corp., 4.25%, 9/15/28, Callable 6/15/28 @ 100 (e) | 1,000,000 | 874,050 | |||||||||
| Fortune Brands Home & Security, Inc., 4.00%, 3/25/32, Callable 12/25/31 @ 100 | 1,250,000 | 1,106,775 | |||||||||
GXO Logistics, Inc., 2.65%, 7/15/31 (a) | 2,000,000 | 1,555,000 | |||||||||
Hawaiian Airlines Pass Through Certificates, 3.90%, 1/15/26 | 98,086 | 82,328 | |||||||||
See notes to financial statements.
39
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Hillenbrand, Inc. 5.00%, 9/15/26, Callable 7/15/26 @ 100 (d) | $ | 1,000,000 | $ | 945,750 | |||||||
3.75%, 3/1/31, Callable 3/1/26 @ 101.88 | 350,000 | 284,900 | |||||||||
Howmet Aerospace, Inc., 3.00%, 1/15/29, Callable 11/15/28 @ 100 | 1,500,000 | 1,242,255 | |||||||||
| Hubbell, Inc. 3.50%, 2/15/28, Callable 11/15/27 @ 100 | 1,000,000 | 959,330 | |||||||||
2.30%, 3/15/31, Callable 12/15/30 @ 100 | 1,500,000 | 1,258,170 | |||||||||
| Huntington Ingalls Industries, Inc., 2.04%, 8/16/28, Callable 6/16/28 @ 100 (a) | 1,500,000 | 1,276,920 | |||||||||
IDEX Corp., 3.00%, 5/1/30, Callable 2/1/30 @ 100 | 500,000 | 434,905 | |||||||||
| Ingersoll-Rand Global Holding Co. Ltd., 3.75%, 8/21/28, Callable 5/21/28 @ 100 | 500,000 | 472,455 | |||||||||
JetBlue Pass Through Trust, 2.95%, 5/15/28 | 217,225 | 181,100 | |||||||||
Kennametal, Inc., 4.63%, 6/15/28, Callable 3/15/28 @ 100 | 1,058,000 | 1,030,545 | |||||||||
Leidos, Inc., 2.30%, 2/15/31, Callable 11/15/30 @ 100 | 1,500,000 | 1,187,220 | |||||||||
Northrop Grumman Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100 | 500,000 | 475,010 | |||||||||
Otis Worldwide Corp., 3.11%, 2/15/40, Callable 8/15/39 @ 100 | 1,000,000 | 775,390 | |||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 4.45%, 1/29/26, Callable 11/29/25 @ 100 (a) | 1,000,000 | 990,590 | |||||||||
1.70%, 6/15/26, Callable 5/15/26 @ 100 (a) | 1,000,000 | 889,590 | |||||||||
Pentair Finance Sarl, 5.90%, 7/15/32, Callable 4/15/32 @ 100 (g) | 2,000,000 | 2,001,240 | |||||||||
| Quanta Services, Inc. 2.90%, 10/1/30, Callable 7/1/30 @ 100 | 1,500,000 | 1,235,100 | |||||||||
2.35%, 1/15/32, Callable 10/15/31 @ 100 | 250,000 | 192,655 | |||||||||
| Ryder System, Inc. 3.40%, 3/1/23, Callable 2/1/23 @ 100, MTN | 1,000,000 | 997,080 | |||||||||
2.85%, 3/1/27, Callable 2/1/27 @ 100, MTN | 2,000,000 | 1,855,480 | |||||||||
Southwest Airlines Co., 5.13%, 6/15/27, Callable 4/15/27 @ 100 | 800,000 | 807,088 | |||||||||
Teledyne Technologies, Inc., 2.75%, 4/1/31, Callable 1/1/31 @ 100 | 2,000,000 | 1,672,580 | |||||||||
| The Boeing Co. 2.20%, 2/4/26, Callable 2/4/23 @ 100 (d) | 1,333,000 | 1,202,993 | |||||||||
3.25%, 2/1/28, Callable 12/1/27 @ 100 | 1,500,000 | 1,345,290 | |||||||||
3.63%, 2/1/31, Callable 11/1/30 @ 100 (d) | 2,750,000 | 2,380,070 | |||||||||
5.71%, 5/1/40, Callable 11/1/39 @ 100 | 1,000,000 | 934,240 | |||||||||
The Timken Co., 4.13%, 4/1/32, Callable 1/1/32 @ 100 | 1,200,000 | 1,087,236 | |||||||||
Union Pacific Corp., 3.25%, 2/5/50, Callable 8/5/49 @ 100 | 1,000,000 | 786,010 | |||||||||
| United Airlines Pass Through Trust 4.88%, 1/15/26 | 284,690 | 269,411 | |||||||||
3.70%, 3/1/30 | 416,948 | 352,876 | |||||||||
47,547,420 | |||||||||||
Information Technology (2.7%): | |||||||||||
| Amphenol Corp. 4.35%, 6/1/29, Callable 3/1/29 @ 100 | 500,000 | 490,685 | |||||||||
2.20%, 9/15/31, Callable 6/15/31 @ 100 | 1,125,000 | 920,340 | |||||||||
| Broadcom, Inc. 4.00%, 4/15/29, Callable 2/15/29 @ 100 (a) | 500,000 | 464,210 | |||||||||
2.45%, 2/15/31, Callable 11/15/30 @ 100 (a) | 2,500,000 | 2,010,125 | |||||||||
3.42%, 4/15/33, Callable 1/15/33 @ 100 (a) | 2,000,000 | 1,653,340 | |||||||||
4.93%, 5/15/37, Callable 2/15/37 @ 100 (a) | 500,000 | 449,095 | |||||||||
See notes to financial statements.
40
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Dell International LLC/EMC Corp., 3.38%, 12/15/41, Callable 6/15/41 @ 100 (a) | $ | 500,000 | $ | 357,270 | |||||||
Dell, Inc., 5.40%, 9/10/40 (d) | 2,000,000 | 1,754,520 | |||||||||
Global Payments, Inc., 2.90%, 11/15/31, Callable 8/15/31 @ 100 | 1,500,000 | 1,227,720 | |||||||||
| HP, Inc. 4.00%, 4/15/29, Callable 2/15/29 @ 100 | 1,500,000 | 1,403,910 | |||||||||
2.65%, 6/17/31, Callable 3/17/31 @ 100 (a) | 1,500,000 | 1,203,870 | |||||||||
| Jabil, Inc. 4.25%, 5/15/27, Callable 4/15/27 @ 100 | 1,000,000 | 970,360 | |||||||||
3.00%, 1/15/31, Callable 10/15/30 @ 100 | 1,474,000 | 1,231,586 | |||||||||
Marvell Technology, Inc., 2.45%, 4/15/28, Callable 2/15/28 @ 100 | 1,050,000 | 916,062 | |||||||||
Micron Technology, Inc., 2.70%, 4/15/32, Callable 1/15/32 @ 100 | 2,250,000 | 1,796,737 | |||||||||
| Microsoft Corp. 3.45%, 8/8/36, Callable 2/8/36 @ 100 | 2,000,000 | 1,888,600 | |||||||||
2.53%, 6/1/50, Callable 12/1/49 @ 100 | 750,000 | 552,158 | |||||||||
| Motorola Solutions, Inc. 2.75%, 5/24/31, Callable 2/24/31 @ 100 | 1,000,000 | 809,640 | |||||||||
5.60%, 6/1/32, Callable 3/1/32 @ 100 | 1,000,000 | 1,008,120 | |||||||||
| Oracle Corp. 2.95%, 4/1/30, Callable 1/1/30 @ 100 | 1,000,000 | 853,600 | |||||||||
2.88%, 3/25/31, Callable 12/25/30 @ 100 | 750,000 | 617,955 | |||||||||
3.60%, 4/1/50, Callable 10/1/49 @ 100 | 1,000,000 | 697,920 | |||||||||
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a) | 3,909,000 | 3,090,807 | |||||||||
Skyworks Solutions, Inc., 3.00%, 6/1/31, Callable 3/1/31 @ 100 | 1,200,000 | 977,748 | |||||||||
TSMC Arizona Corp., 2.50%, 10/25/31, Callable 7/25/31 @ 100 | 3,400,000 | 2,922,504 | |||||||||
Western Digital Corp., 3.10%, 2/1/32, Callable 11/1/31 @ 100 | 1,500,000 | 1,149,135 | |||||||||
Workday, Inc., 3.70%, 4/1/29, Callable 2/1/29 @ 100 | 1,500,000 | 1,405,920 | |||||||||
32,823,937 | |||||||||||
Materials (2.2%): | |||||||||||
Albemarle Corp., 4.65%, 6/1/27, Callable 5/1/27 @ 100 | 1,500,000 | 1,476,645 | |||||||||
AptarGroup, Inc., 3.60%, 3/15/32, Callable 12/15/31 @ 100 | 1,352,000 | 1,200,373 | |||||||||
| Avery Dennison Corp. 2.65%, 4/30/30, Callable 2/1/30 @ 100 | 800,000 | 668,344 | |||||||||
2.25%, 2/15/32, Callable 11/15/31 @ 100 | 1,500,000 | 1,179,450 | |||||||||
Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | 1,500,000 | 1,211,895 | |||||||||
Bayport Polymers LLC, 4.74%, 4/14/27, Callable 3/14/27 @ 100 (a) | 1,500,000 | 1,460,685 | |||||||||
Berry Global, Inc., 4.88%, 7/15/26, Callable 8/8/22 @ 102.44 (a) (d) | 1,000,000 | 954,940 | |||||||||
Colonial Enterprises, Inc., 3.25%, 5/15/30, Callable 2/15/30 @ 100 (a) | 1,000,000 | 908,910 | |||||||||
| Commercial Metals Co. 3.88%, 2/15/31, Callable 2/15/26 @ 101.94 | 1,000,000 | 802,350 | |||||||||
4.38%, 3/15/32, Callable 3/15/27 @ 102.19 | 500,000 | 412,075 | |||||||||
Eagle Materials, Inc., 2.50%, 7/1/31, Callable 4/1/31 @ 100 (d) | 1,500,000 | 1,183,485 | |||||||||
| Ecolab, Inc. 1.65%, 2/1/27, Callable 1/1/27 @ 100 | 700,000 | 640,199 | |||||||||
2.70%, 12/15/51, Callable 6/15/51 @ 100 | 1,250,000 | 893,050 | |||||||||
Freeport-McMoRan, Inc., 4.38%, 8/1/28, Callable 8/1/23 @ 102.19 | 2,000,000 | 1,877,740 | |||||||||
| LYB International Finance III LLC 2.25%, 10/1/30, Callable 7/1/30 @ 100 (e) | 500,000 | 412,285 | |||||||||
3.38%, 10/1/40, Callable 4/1/40 @ 100 | 500,000 | 383,060 | |||||||||
See notes to financial statements.
41
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Martin Marietta Materials, Inc. 3.50%, 12/15/27, Callable 9/15/27 @ 100 | $ | 625,000 | $ | 590,606 | |||||||
2.40%, 7/15/31, Callable 4/15/31 @ 100 | 1,000,000 | 816,920 | |||||||||
NewMarket Corp., 2.70%, 3/18/31, Callable 12/18/30 @ 100 | 1,250,000 | 1,029,538 | |||||||||
Nucor Corp., 4.30%, 5/23/27, Callable 4/23/27 @ 100 | 2,000,000 | 1,992,240 | |||||||||
| Packaging Corp. of America 3.40%, 12/15/27, Callable 9/15/27 @ 100 | 500,000 | 480,680 | |||||||||
3.05%, 10/1/51, Callable 4/1/51 @ 100 | 1,875,000 | 1,326,656 | |||||||||
| Reliance Steel & Aluminum Co. 4.50%, 4/15/23, Callable 1/15/23 @ 100 | 500,000 | 501,455 | |||||||||
2.15%, 8/15/30, Callable 5/15/30 @ 100 | 1,000,000 | 809,860 | |||||||||
The Mosaic Co., 4.05%, 11/15/27, Callable 8/15/27 @ 100 | 1,000,000 | 977,680 | |||||||||
| Vulcan Materials Co. 3.90%, 4/1/27, Callable 1/1/27 @ 100 | 500,000 | 491,940 | |||||||||
3.50%, 6/1/30, Callable 3/1/30 @ 100 | 1,000,000 | 901,240 | |||||||||
WRKCo, Inc., 3.00%, 6/15/33, Callable 3/15/33 @ 100 (d) | 1,500,000 | 1,263,795 | |||||||||
26,848,096 | |||||||||||
Real Estate (1.8%): | |||||||||||
| Alexandria Real Estate Equities, Inc., 2.00%, 5/18/32, Callable 2/18/32 @ 100 | 2,750,000 | 2,172,033 | |||||||||
| AvalonBay Communities, Inc. 3.20%, 1/15/28, Callable 10/15/27 @ 100, MTN | 750,000 | 707,565 | |||||||||
2.45%, 1/15/31, Callable 10/17/30 @ 100, MTN | 1,000,000 | 863,480 | |||||||||
Boston Properties LP, 2.55%, 4/1/32, Callable 1/1/32 @ 100 (d) | 2,250,000 | 1,784,452 | |||||||||
CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | 500,000 | 403,125 | |||||||||
| Crown Castle International Corp. 2.90%, 3/15/27, Callable 2/15/27 @ 100 | 500,000 | 462,650 | |||||||||
2.25%, 1/15/31, Callable 10/15/30 @ 100 | 1,500,000 | 1,217,325 | |||||||||
2.90%, 4/1/41, Callable 10/1/40 @ 100 | 1,750,000 | 1,267,263 | |||||||||
| Essex Portfolio LP 1.70%, 3/1/28, Callable 1/1/28 @ 100 | 1,500,000 | 1,287,165 | |||||||||
2.65%, 3/15/32, Callable 12/15/31 @ 100 | 1,500,000 | 1,241,130 | |||||||||
| GLP Capital LP/GLP Financing II, Inc. 4.00%, 1/15/31, Callable 10/15/30 @ 100 | 1,000,000 | 866,900 | |||||||||
3.25%, 1/15/32, Callable 10/15/31 @ 100 | 933,000 | 749,143 | |||||||||
| Host Hotels & Resorts LP 3.38%, 12/15/29, Callable 9/15/29 @ 100 | 500,000 | 422,260 | |||||||||
3.50%, 9/15/30, Callable 6/15/30 @ 100 | 1,017,000 | 867,704 | |||||||||
| Hudson Pacific Properties LP 3.95%, 11/1/27, Callable 8/1/27 @ 100 | 500,000 | 476,395 | |||||||||
4.65%, 4/1/29, Callable 1/1/29 @ 100 | 500,000 | 481,705 | |||||||||
3.25%, 1/15/30, Callable 10/15/29 @ 100 | 1,500,000 | 1,304,580 | |||||||||
Kilroy Realty LP, 2.65%, 11/15/33, Callable 8/15/33 @ 100 | 2,000,000 | 1,551,120 | |||||||||
| Physicians Realty LP 4.30%, 3/15/27, Callable 12/15/26 @ 100 | 750,000 | 734,970 | |||||||||
2.63%, 11/1/31, Callable 8/1/31 @ 100 | 1,000,000 | 806,640 | |||||||||
VICI Properties LP, 5.13%, 5/15/32, Callable 2/15/32 @ 100 | 2,000,000 | 1,887,000 | |||||||||
Vornado Realty LP, 3.50%, 1/15/25, Callable 11/15/24 @ 100 | 500,000 | 484,125 | |||||||||
22,038,730 | |||||||||||
See notes to financial statements.
42
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Utilities (3.1%): | |||||||||||
AEP Texas, Inc., 3.45%, 1/15/50, Callable 7/15/49 @ 100 | $ | 1,500,000 | $ | 1,156,440 | |||||||
Alabama Power Co., 3.13%, 7/15/51, Callable 1/15/51 @ 100 | 2,000,000 | 1,499,480 | |||||||||
| Ameren Corp. 1.75%, 3/15/28, Callable 1/15/28 @ 100 | 1,400,000 | 1,206,170 | |||||||||
3.50%, 1/15/31, Callable 10/15/30 @ 100 | 1,000,000 | 916,380 | |||||||||
American Water Capital Corp., 2.95%, 9/1/27, Callable 6/1/27 @ 100 | 1,000,000 | 939,620 | |||||||||
Appalachian Power Co., 2.70%, 4/1/31, Callable 1/1/31 @ 100 | 1,500,000 | 1,291,695 | |||||||||
CenterPoint Energy, Inc., 2.65%, 6/1/31, Callable 3/1/31 @ 100 | 1,500,000 | 1,279,215 | |||||||||
Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | 1,000,000 | 892,480 | |||||||||
Dominion Energy, Inc., 2.25%, 8/15/31, Callable 5/15/31 @ 100 | 1,500,000 | 1,235,085 | |||||||||
| DTE Electric Co. 2.25%, 3/1/30, Callable 12/1/29 @ 100 | 1,000,000 | 875,390 | |||||||||
3.00%, 3/1/32, Callable 12/1/31 @ 100 | 1,000,000 | 904,690 | |||||||||
3.65%, 3/1/52, Callable 9/1/51 @ 100 (e) | 500,000 | 432,530 | |||||||||
Duke Energy Carolinas LLC, 2.85%, 3/15/32, Callable 12/15/31 @ 100 | 750,000 | 665,422 | |||||||||
Duke Energy Corp., 2.55%, 6/15/31, Callable 3/15/31 @ 100 | 2,500,000 | 2,078,475 | |||||||||
Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100 (a) | 1,200,000 | 986,256 | |||||||||
Entergy Corp., 1.90%, 6/15/28, Callable 4/15/28 @ 100 | 2,000,000 | 1,716,840 | |||||||||
Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100 | 1,000,000 | 950,270 | |||||||||
Florida Power & Light Co., 2.88%, 12/4/51, Callable 6/4/51 @ 100 | 1,000,000 | 750,000 | |||||||||
IPALCO Enterprises, Inc., 4.25%, 5/1/30, Callable 2/1/30 @ 100 | 1,525,000 | 1,416,420 | |||||||||
ITC Holdings Corp., 2.95%, 5/14/30, Callable 2/14/30 @ 100 (a) | 500,000 | 440,640 | |||||||||
National Fuel Gas Co., 4.75%, 9/1/28, Callable 6/1/28 @ 100 | 1,000,000 | 974,430 | |||||||||
| NextEra Energy Capital Holdings, Inc. 1.51% (SOFR+40bps), 11/3/23, Callable 8/8/22 @ 100 (b) | 1,500,000 | 1,481,220 | |||||||||
2.44%, 1/15/32, Callable 10/15/31 @ 100 | 2,000,000 | 1,665,640 | |||||||||
NRG Energy, Inc., 4.45%, 6/15/29, Callable 3/15/29 @ 100 (a) (d) | 1,000,000 | 894,700 | |||||||||
Oglethorpe Power Corp., 4.50%, 4/1/47, Callable 10/1/46 @ 100 (a) | 938,000 | 804,748 | |||||||||
| Oncor Electric Delivery Co. LLC, 2.70%, 11/15/51, Callable 5/15/51 @ 100 (a) | 1,500,000 | 1,085,670 | |||||||||
Public Service Co. of Colorado, 1.88%, 6/15/31, Callable 12/15/30 @ 100 | 2,000,000 | 1,670,380 | |||||||||
| Public Service Electric & Gas Co., 1.90%, 8/15/31, Callable 5/15/31 @ 100, MTN | 2,000,000 | 1,666,080 | |||||||||
Rayburn Country Securitization LLC, 2.31%, 12/1/30 (a) | 1,000,000 | 927,420 | |||||||||
South Jersey Industries, Inc., 5.02%, 4/15/31 | 1,000,000 | 870,450 | |||||||||
Southern Co. Gas Capital Corp., 1.75%, 1/15/31, Callable 10/15/30 @ 100 | 1,000,000 | 788,700 | |||||||||
Southwestern Electric Power Co., 3.25%, 11/1/51, Callable 5/1/51 @ 100 | 750,000 | 553,380 | |||||||||
The AES Corp., 2.45%, 1/15/31, Callable 10/15/30 @ 100 | 1,000,000 | 804,360 | |||||||||
| The Cleveland Electric Illuminating Co., 4.55%, 11/15/30, Callable 8/15/30 @ 100 (a) | 500,000 | 493,505 | |||||||||
The Southern Co., 5.11%, 8/1/27 | 600,000 | 605,886 | |||||||||
Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100 (a) | 500,000 | 448,630 | |||||||||
Wisconsin Public Service Corp., 2.85%, 12/1/51, Callable 6/1/51 @ 100 | 1,250,000 | 907,550 | |||||||||
Xcel Energy, Inc., 2.35%, 11/15/31, Callable 5/15/31 @ 100 | 500,000 | 414,095 | |||||||||
38,690,342 | |||||||||||
Total Corporate Bonds (Cost $488,371,705) | 424,648,325 | ||||||||||
See notes to financial statements.
43
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Yankee Dollars (8.1%) | |||||||||||
Communication Services (0.4%): | |||||||||||
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a) | $ | 1,000,000 | $ | 887,780 | |||||||
Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100 (a) | 4,000,000 | 3,663,280 | |||||||||
4,551,060 | |||||||||||
Consumer Discretionary (0.3%): | |||||||||||
Ascot Group Ltd., 4.25%, 12/15/30, Callable 12/15/25 @ 100 (a) | 1,000,000 | 881,550 | |||||||||
GENM Capital Labuan Ltd., 3.88%, 4/19/31, Callable 1/19/31 @ 100 (a) | 1,500,000 | 1,201,440 | |||||||||
| International Game Technology PLC, 5.25%, 1/15/29, Callable 1/15/24 @ 102.63 (a) | 1,000,000 | 905,640 | |||||||||
Nemak SAB de CV, 3.63%, 6/28/31, Callable 3/28/31 @ 100 (a) | 1,269,000 | 881,067 | |||||||||
3,869,697 | |||||||||||
Consumer Staples (0.7%): | |||||||||||
| Alimentation Couche-Tard, Inc. 2.95%, 1/25/30, Callable 10/25/29 @ 100 (a) | 667,000 | 574,414 | |||||||||
3.44%, 5/13/41, Callable 11/13/40 @ 100 (a) | 750,000 | 559,935 | |||||||||
| Bacardi Ltd. 4.45%, 5/15/25, Callable 3/15/25 @ 100 (a) | 1,500,000 | 1,488,600 | |||||||||
2.75%, 7/15/26, Callable 4/15/26 @ 100 (a) | 500,000 | 461,310 | |||||||||
4.70%, 5/15/28, Callable 2/15/28 @ 100 (a) (d) | 500,000 | 494,350 | |||||||||
Becle SAB de CV, 2.50%, 10/14/31, Callable 7/14/31 @ 100 (a) | 1,750,000 | 1,440,547 | |||||||||
Imperial Brands Finance PLC, 3.88%, 7/26/29, Callable 4/26/29 @ 100 (a) | 1,000,000 | 898,020 | |||||||||
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, 2/2/29, Callable 12/2/28 @ 100 (a) | 750,000 | 640,718 | |||||||||
JDE Peet's NV, 2.25%, 9/24/31, Callable 6/24/31 @ 100 (a) | 3,000,000 | 2,329,080 | |||||||||
8,886,974 | |||||||||||
Energy (0.2%): | |||||||||||
Aker BP ASA, 4.00%, 1/15/31, Callable 10/15/30 @ 100 (a) | 750,000 | 674,002 | |||||||||
Korea National Oil Corp., 2.63%, 4/18/32 (a) | 1,500,000 | 1,288,185 | |||||||||
Petroleos Mexicanos, 6.70%, 2/16/32, Callable 11/16/31 @ 100 (a) | 500,000 | 381,210 | |||||||||
Transocean Guardian Ltd., 5.88%, 1/15/24, Callable 8/8/22 @ 101.47 (a) | 303,199 | 281,023 | |||||||||
2,624,420 | |||||||||||
Financials (4.7%): | |||||||||||
ABN AMRO Bank NV, 4.80%, 4/18/26 (a) | 500,000 | 493,675 | |||||||||
| Banco Santander SA 4.18% (H15T1Y+200bps), 3/24/28, Callable 3/24/27 @ 100 (b) | 1,000,000 | 955,660 | |||||||||
4.38%, 4/12/28 | 600,000 | 577,290 | |||||||||
| Bank of Montreal, 3.09% (H15T5Y+140bps), 1/10/37, Callable 1/10/32 @ 100 (b) | 1,500,000 | 1,226,910 | |||||||||
| Bank of New Zealand 1.00%, 3/3/26 (a) | 1,600,000 | 1,433,440 | |||||||||
2.87%, 1/27/32 (a) | 750,000 | 662,130 | |||||||||
| Barclays PLC 3.93% (LIBOR03M+161bps), 5/7/25, Callable 5/7/24 @ 100 (b) | 500,000 | 492,285 | |||||||||
2.28% (H15T1Y+105bps), 11/24/27, Callable 11/24/26 @ 100 (b) | 2,000,000 | 1,774,420 | |||||||||
| BNP Paribas SA, 4.71% (LIBOR03M+224bps), 1/10/25, Callable 1/10/24 @ 100 (a) (b) | 1,000,000 | 1,000,120 | |||||||||
See notes to financial statements.
44
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| BP Capital Markets PLC 4.88% (H15T5Y+440bps), Callable 3/22/30 @ 100 (b) (f) | $ | 750,000 | $ | 656,250 | |||||||
4.38% (H15T5Y+404bps), Callable 6/22/25 @ 100 (b) (d) (f) | 1,500,000 | 1,416,375 | |||||||||
| BPCE SA 4.00%, 9/12/23 (a) | 500,000 | 499,285 | |||||||||
3.25%, 1/11/28 (a) | 1,000,000 | 928,660 | |||||||||
Brookfield Finance, Inc., 2.72%, 4/15/31, Callable 1/15/31 @ 100 | 1,000,000 | 847,500 | |||||||||
| Commonwealth Bank of Australia 2.69%, 3/11/31 (a) | 1,000,000 | 815,200 | |||||||||
3.78%, 3/14/32 (a) | 2,000,000 | 1,763,800 | |||||||||
| Cooperatieve Rabobank UA 1.11% (H15T1Y+55bps), 2/24/27, Callable 2/24/26 @ 100 (a) (b) | 2,000,000 | 1,766,640 | |||||||||
4.00% (USSW5+189bps), 4/10/29, Callable 4/10/24 @ 100, MTN (b) | 600,000 | 587,191 | |||||||||
Credit Agricole SA, 3.25%, 10/4/24 (a) | 1,250,000 | 1,218,475 | |||||||||
| Credit Suisse Group AG, 1.31% (SOFR+98bps), 2/2/27, Callable 2/2/26 @ 100 (a) (b) | 1,000,000 | 860,520 | |||||||||
Credit Suisse Group Funding Guernsey Ltd., 3.75%, 3/26/25 | 500,000 | 484,670 | |||||||||
| Deutsche Bank AG 1.69%, 3/19/26 | 1,500,000 | 1,345,455 | |||||||||
3.74% (SOFR+226bps), 1/7/33, Callable 10/7/31 @ 100 (b) | 2,000,000 | 1,478,660 | |||||||||
Enel Finance International NV, 1.88%, 7/12/28, Callable 5/12/28 @ 100 (a) | 2,000,000 | 1,682,360 | |||||||||
| HSBC Holdings PLC 3.80% (LIBOR03M+121bps), 3/11/25, Callable 3/11/24 @ 100 (b) | 500,000 | 493,055 | |||||||||
2.21% (SOFR+129bps), 8/17/29, Callable 8/17/28 @ 100 (b) | 1,000,000 | 839,890 | |||||||||
ING Groep NV, 2.73% (SOFR+112bps), 4/1/32, Callable 4/1/31 @ 100 (b) | 2,000,000 | 1,666,240 | |||||||||
JAB Holdings BV, 3.75%, 5/28/51, Callable 11/28/50 @ 100 (a) | 500,000 | 346,085 | |||||||||
| Lloyds Banking Group PLC 2.91% (LIBOR03M+81bps), 11/7/23, Callable 11/7/22 @ 100 (b) | 250,000 | 249,132 | |||||||||
1.63% (H15T1Y+85bps), 5/11/27, Callable 5/11/26 @ 100 (b) | 1,000,000 | 889,400 | |||||||||
3.57% (LIBOR03M+121bps), 11/7/28, Callable 11/7/27 @ 100 (b) | 250,000 | 234,090 | |||||||||
| Macquarie Bank Ltd., 3.05% (H15T5Y+170bps), 3/3/36, Callable 3/3/31 @ 100 (a) (b) | 1,250,000 | 1,003,000 | |||||||||
| Macquarie Group Ltd., 4.10% (SOFR+213bps), 6/21/28, Callable 6/21/27 @ 100 (a) (b) | 1,000,000 | 956,990 | |||||||||
| Mizuho Financial Group, Inc. 2.56%, 9/13/31 | 1,000,000 | 800,000 | |||||||||
2.17% (H15T1Y+87bps), 5/22/32, Callable 5/22/31 @ 100 (b) | 1,500,000 | 1,192,605 | |||||||||
| National Australia Bank Ltd., 3.93% (H15T5Y+188bps), 8/2/34, Callable 8/2/29 @ 100 (a) (b) | 1,500,000 | 1,361,385 | |||||||||
| Nationwide Building Society 4.36% (LIBOR03M+139bps), 8/1/24, Callable 8/1/23 @ 100 (a) (b) | 750,000 | 750,855 | |||||||||
4.30% (LIBOR03M+145bps), 3/8/29, Callable 3/8/28 @ 100 (a) (b) | 250,000 | 239,565 | |||||||||
3.96% (LIBOR03M+186bps), 7/18/30, Callable 7/18/29 @ 100 (a) (b) | 500,000 | 465,860 | |||||||||
Nomura Holdings, Inc., 5.61%, 7/6/29(g) | 1,500,000 | 1,501,019 | |||||||||
| NXP BV/NXP Funding LLC/NXP USA, Inc., 2.65%, 2/15/32, Callable 11/15/31 @ 100 (a) (d) | 1,500,000 | 1,232,790 | |||||||||
| Royal Bank of Scotland Group PLC 4.27% (LIBOR03M+176bps), 3/22/25, Callable 3/22/24 @ 100 (b) | 1,000,000 | 989,530 | |||||||||
5.08% (LIBOR03M+191bps), 1/27/30, Callable 1/27/29 @ 100 (b) | 500,000 | 489,735 | |||||||||
4.45% (LIBOR03M+187bps), 5/8/30, Callable 5/8/29 @ 100 (b) | 1,000,000 | 944,470 | |||||||||
See notes to financial statements.
45
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Santander UK Group Holdings PLC, 2.90% (SOFR+148bps), 3/15/32, Callable 3/15/31 @ 100 (b) | $ | 2,000,000 | $ | 1,664,560 | |||||||
Shell International Finance BV, 2.88%, 11/26/41, Callable 5/26/41 @ 100 | 1,500,000 | 1,160,775 | |||||||||
| Siemens Financieringsmaatschappij NV 1.70%, 3/11/28 (a) | 1,000,000 | 877,330 | |||||||||
2.15%, 3/11/31 (a) | 1,000,000 | 847,680 | |||||||||
| Societe Generale SA 1.49% (H15T1Y+1bps), 12/14/26, Callable 12/14/25 @ 100 (a) (b) | 500,000 | 441,020 | |||||||||
3.34% (H15T1Y+160bps), 1/21/33, Callable 1/21/32 @ 100 (a) (b) | 1,000,000 | 818,850 | |||||||||
6.22% (H15T1Y+320bps), 6/15/33, Callable 6/15/32 @ 100 (a) (b) | 1,000,000 | 956,240 | |||||||||
| Standard Chartered PLC, 4.87% (LIBOR03M+197bps), 3/15/33, Callable 3/15/28 @ 100 (a) (b) | 500,000 | 470,650 | |||||||||
Sumitomo Mitsui Financial Group, Inc., 2.22%, 9/17/31 | 1,500,000 | 1,213,395 | |||||||||
Swedbank AB, 0.85%, 3/18/24 (a) | 1,500,000 | 1,426,785 | |||||||||
| The Bank of Nova Scotia 4.50%, 12/16/25 | 500,000 | 500,615 | |||||||||
1.30%, 9/15/26 | 1,500,000 | 1,331,070 | |||||||||
2.45%, 2/2/32 | 1,000,000 | 830,380 | |||||||||
The Toronto-Dominion Bank, 2.00%, 9/10/31 | 1,500,000 | 1,219,830 | |||||||||
| Westpac Banking Corp. 4.32% (USISDA05+224bps), 11/23/31, Callable 11/23/26 @ 100 (b) | 1,000,000 | 963,120 | |||||||||
2.67% (H15T5Y+2bps), 11/15/35, Callable 11/15/30 @ 100 (b) | 1,000,000 | 802,480 | |||||||||
3.02% (H15T5Y+153bps), 11/18/36, Callable 11/18/31 @ 100 (b) | 1,000,000 | 806,100 | |||||||||
57,943,547 | |||||||||||
Health Care (0.4%): | |||||||||||
Olympus Corp., 2.14%, 12/8/26, Callable 11/8/26 @ 100 (a) | 758,000 | 692,683 | |||||||||
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100 | 3,500,000 | 2,774,450 | |||||||||
STERIS Irish FinCo Unlimited Co., 2.70%, 3/15/31, Callable 12/15/30 @ 100 | 2,000,000 | 1,688,320 | |||||||||
5,155,453 | |||||||||||
Industrials (0.8%): | |||||||||||
Air Canada Pass Through Trust, 4.13%, 5/15/25 (a) | 1,785,578 | 1,619,394 | |||||||||
| Aircastle Ltd. 4.40%, 9/25/23, Callable 8/25/23 @ 100 | 500,000 | 494,885 | |||||||||
4.25%, 6/15/26, Callable 4/15/26 @ 100 (d) | 1,000,000 | 921,130 | |||||||||
BAE Systems PLC, 3.40%, 4/15/30, Callable 1/15/30 @ 100 (a) | 750,000 | 685,823 | |||||||||
Canadian Pacific Railway Co., 2.45%, 12/2/31, Callable 9/2/31 @ 100 | 833,000 | 714,656 | |||||||||
| CK Hutchison International 19 II Ltd., 2.75%, 9/6/29, Callable 6/6/29 @ 100 (a) | 1,500,000 | 1,359,840 | |||||||||
| Ferguson Finance PLC 3.25%, 6/2/30, Callable 3/2/30 @ 100 (a) | 1,800,000 | 1,557,270 | |||||||||
4.65%, 4/20/32, Callable 1/20/32 @ 100 (a) | 750,000 | 705,480 | |||||||||
| Port of Newcastle Investments Financing Pty Ltd., 5.90%, 11/24/31, Callable 8/24/31 @ 100 (a) | 1,000,000 | 909,800 | |||||||||
Rolls-Royce PLC, 3.63%, 10/14/25, Callable 7/14/25 @ 100 (a) | 275,000 | 243,963 | |||||||||
9,212,241 | |||||||||||
Information Technology (0.1%): | |||||||||||
CGI, Inc., 1.45%, 9/14/26, Callable 8/14/26 @ 100 | 533,000 | 470,570 | |||||||||
See notes to financial statements.
46
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Materials (0.3%): | |||||||||||
Anglo American Capital PLC, 4.00%, 9/11/27 (a) | $ | 1,000,000 | $ | 953,960 | |||||||
Braskem Netherlands Finance BV, 4.50%, 1/31/30 (a) | 1,000,000 | 851,620 | |||||||||
CCL Industries, Inc., 3.05%, 6/1/30, Callable 3/1/30 @ 100 (a) | 2,500,000 | 2,167,300 | |||||||||
3,972,880 | |||||||||||
Real Estate (0.2%): | |||||||||||
| Ontario Teachers' Cadillac Fairview Properties Trust, 2.50%, 10/15/31, Callable 7/15/31 @ 100 (a) | 3,233,000 | 2,753,255 | |||||||||
Technology (0.0%): (h) | |||||||||||
| NXP BV/NXP Funding LLC/NXP USA,Inc., 4.40%, 6/1/27, Callable 5/1/27 @ 100 | 333,000 | 329,254 | |||||||||
Total Yankee Dollars (Cost $114,213,111) | 99,769,351 | ||||||||||
Municipal Bonds (2.7%) | |||||||||||
Arizona (0.1%): | |||||||||||
The University of Arizona Revenue, Series A, 1.82%, 6/1/30 | 1,000,000 | 837,312 | |||||||||
California (0.2%): | |||||||||||
| California Statewide Communities Development Authority Revenue, 1.73%, 4/1/27 | 1,000,000 | 885,708 | |||||||||
| City of El Cajon Revenue Series A, 1.70%, 4/1/27 | 620,000 | 557,429 | |||||||||
Series A, 1.90%, 4/1/28 | 500,000 | 442,478 | |||||||||
| San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 3.13%, 8/1/28, Continuously Callable @100 | 500,000 | 476,023 | |||||||||
2,361,638 | |||||||||||
Colorado (0.1%): | |||||||||||
| City & County of Denver Co. Airport System Revenue, Series C, 2.14%, 11/15/29 | 1,500,000 | 1,300,296 | |||||||||
Connecticut (0.0%): (h) | |||||||||||
State of Connecticut, GO, Series A, 3.43%, 4/15/28 | 500,000 | 490,678 | |||||||||
Florida (0.3%): | |||||||||||
| County of Miami-Dade Seaport Department Revenue, Series B-3, 2.34%, 10/1/33, Continuously Callable @100 | 1,500,000 | 1,195,071 | |||||||||
| Florida Development Finance Corp. Revenue, Series A, 3.22%, 2/1/32, Continuously Callable @100 | 1,020,000 | 898,100 | |||||||||
| Hillsborough County IDA Revenue, 3.58%, 8/1/35, Continuously Callable @100 | 1,500,000 | 1,413,299 | |||||||||
| Hillsborough County School Board Certificate of Participation, Series B, 1.92%, 7/1/25 | 750,000 | 707,897 | |||||||||
4,214,367 | |||||||||||
Georgia (0.1%): | |||||||||||
| City of Atlanta GA Water & Wastewater Revenue, 2.26%, 11/1/35, Continuously Callable @100 | 1,500,000 | 1,216,060 | |||||||||
Hawaii (0.1%): | |||||||||||
State of Hawaii Airports System Revenue, Series E, 1.81%, 7/1/27 | 915,000 | 820,781 | |||||||||
See notes to financial statements.
47
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
Illinois (0.0%): (h) | |||||||||||
Illinois Finance Authority Revenue, 3.55%, 8/15/29 | $ | 500,000 | $ | 477,593 | |||||||
Louisiana (0.2%): | |||||||||||
| Louisiana Local Government Environmental Facilities & Community Development Authority Revenue 1.55%, 2/1/27 | 700,000 | 632,164 | |||||||||
| Series A, 4.48%, 8/1/39 | 835,000 | 853,287 | |||||||||
Louisiana Public Facilities Authority Revenue, 2.28%, 6/1/30 | 500,000 | 429,500 | |||||||||
| 1,914,951 | ||||||||||
Michigan (0.1%): | |||||||||||
| Michigan Finance Authority Revenue 2.47%, 12/1/25 | 1,000,000 | 956,447 | |||||||||
3.08%, 12/1/34 | 1,000,000 | 885,320 | |||||||||
1,841,767 | |||||||||||
New Jersey (0.2%): | |||||||||||
| New Jersey Economic Development Authority Revenue, Series NNN, 3.47%, 6/15/27 | 1,000,000 | 960,553 | |||||||||
| New Jersey Health Care Facilities Financing Authority Revenue, Series A, 3.36%, 7/1/40 | 1,000,000 | 830,524 | |||||||||
New Jersey Transportation Trust Fund Authority Revenue, 4.08%, 6/15/39 | 385,000 | 348,106 | |||||||||
South Jersey Transportation Authority Revenue, Series B, 2.38%, 11/1/27 | 900,000 | 810,417 | |||||||||
2,949,600 | |||||||||||
New York (0.2%): | |||||||||||
New York City Industrial Development Agency Revenue, 2.73%, 3/1/34 | 1,500,000 | 1,255,917 | |||||||||
New York State Dormitory Authority Revenue, Series A, 2.46%, 7/1/32 | 750,000 | 627,071 | |||||||||
1,882,988 | |||||||||||
Oklahoma (0.1%): | |||||||||||
The University of Oklahoma Revenue, Series C, 2.05%, 7/1/29 | 1,000,000 | 876,359 | |||||||||
Pennsylvania (0.2%): | |||||||||||
Commonwealth Financing Authority Revenue, Series A, 3.63%, 6/1/29 | 500,000 | 484,417 | |||||||||
Public Parking Authority Of Pittsburgh Revenue, 2.33%, 12/1/29 | 895,000 | 784,713 | |||||||||
State Public School Building Authority Revenue, 3.15%, 4/1/30 | 1,290,000 | 1,196,714 | |||||||||
2,465,844 | |||||||||||
Texas (0.6%): | |||||||||||
City of Houston Airport System Revenue, Series C, 2.09%, 7/1/28 | 750,000 | 671,347 | |||||||||
City of San Antoni, GO, 1.76%, 2/1/31, Continuously Callable @100 | 630,000 | 535,020 | |||||||||
County of Bexar Revenue, 2.28%, 8/15/32, Continuously Callable @100 | 1,070,000 | 863,151 | |||||||||
| Harris County Cultural Education Facilities Finance Corp. Revenue 3.34%, 11/15/37 | 2,000,000 | 1,727,774 | |||||||||
Series D, 2.28%, 7/1/34 | 370,000 | 296,181 | |||||||||
North Texas Tollway Authority Revenue, 1.02%, 1/1/25 | 1,000,000 | 934,315 | |||||||||
San Antonio Education Facilities Corp. Revenue, 2.50%, 4/1/29 | 1,270,000 | 1,095,419 | |||||||||
See notes to financial statements.
48
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
| Tarrant County Cultural Education Facilities Finance Corp. Revenue 1.63%, 9/1/26 | $ | 525,000 | $ | 473,028 | |||||||
1.82%, 9/1/27 | 700,000 | 617,798 | |||||||||
| Uptown Development Authority Tax Allocation Series B, 2.58%, 9/1/31 | 270,000 | 229,344 | |||||||||
Series B, 2.78%, 9/1/33, Continuously Callable @100 | 500,000 | 418,989 | |||||||||
7,862,366 | |||||||||||
Virginia (0.1%): | |||||||||||
| Virginia Housing Development Authority Revenue Series J, 1.97%, 11/1/28 | 225,000 | 202,731 | |||||||||
Series J, 2.27%, 11/1/31, Continuously Callable @100 | 225,000 | 198,255 | |||||||||
Series J, 2.42%, 11/1/32, Continuously Callable @100 | 275,000 | 241,811 | |||||||||
Series J, 2.47%, 11/1/33, Continuously Callable @100 | 270,000 | 235,013 | |||||||||
Series J, 2.52%, 11/1/34, Continuously Callable @100 | 250,000 | 215,511 | |||||||||
Series J, 2.57%, 11/1/35, Continuously Callable @100 | 300,000 | 256,280 | |||||||||
1,349,601 | |||||||||||
Washington (0.1%): | |||||||||||
Washington State University Revenue, Series A, 2.24%, 10/1/28 | 1,000,000 | 907,879 | |||||||||
Total Municipal Bonds (Cost $38,184,968) | 33,770,080 | ||||||||||
U.S. Government Agency Mortgages (7.1%) | |||||||||||
| Federal Home Loan Mortgage Corp. Series K028, Class A2, 3.11%, 2/25/23 | 978,396 | 975,364 | |||||||||
Series K059, Class A2, 3.12%, 9/25/26 (c) | 1,000,000 | 990,703 | |||||||||
Series KIR3, Class A2, 3.28%, 8/25/27 | 1,500,000 | 1,493,075 | |||||||||
Series K069, Class A2, 3.19%, 9/25/27 (c) | 86,000 | 85,202 | |||||||||
Series K071, Class A2, 3.29%, 11/25/27 | 500,000 | 497,642 | |||||||||
Series K075, Class A2, 3.65%, 2/25/28 (c) | 500,000 | 506,312 | |||||||||
Series K087, Class A2, 3.77%, 12/25/28 (d) | 500,000 | 509,397 | |||||||||
Series K091, Class A2, 3.51%, 3/25/29 | 1,250,000 | 1,253,524 | |||||||||
Series K095, Class A2, 2.79%, 6/25/29 | 1,000,000 | 961,358 | |||||||||
Series K097, Class A2, 2.51%, 7/25/29 | 2,000,000 | 1,887,110 | |||||||||
Series K096, Class A2, 2.52%, 7/25/29 | 1,000,000 | 944,621 | |||||||||
Series KG02, Class A2, 2.41%, 8/25/29 | 909,000 | 843,892 | |||||||||
Series K100, Class A2, 2.67%, 9/25/29 | 545,000 | 518,490 | |||||||||
Series K159, Class A2, 3.95%, 11/25/30 (c) | 500,000 | 510,649 | |||||||||
3.00%, 3/1/31 – 2/1/33 | 252,310 | 250,305 | |||||||||
3.50%, 5/1/33 – 11/1/47 | 1,300,074 | 1,279,073 | |||||||||
Series K-1510, Class A3, 3.79%, 1/25/34 | 1,000,000 | 985,301 | |||||||||
Series K-1512, Class A3, 3.06%, 4/25/34 | 1,000,000 | 922,301 | |||||||||
4.00%, 7/1/42 – 5/1/46 | 1,110,536 | 1,119,579 | |||||||||
4.50%, 12/1/45 | 81,194 | 83,732 | |||||||||
16,617,630 | |||||||||||
| Federal National Mortgage Association Series M4, Class A2, 3.16%, 3/25/28 (c) | 453,035 | 446,920 | |||||||||
Series 2019-M1, Class A2, 3.67%, 9/25/28 (c) | 746,176 | 753,331 | |||||||||
Series 2019-M12, Class A2, 2.89%, 6/25/29 (c) | 1,000,000 | 968,093 | |||||||||
See notes to financial statements.
49
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
2.50%, 11/1/34 (d) | $ | 294,558 | $ | 283,645 | |||||||
4.00%, 12/1/41 – 6/1/52 | 28,774,169 | 28,435,428 | |||||||||
3.50%, 9/1/45 – 2/1/50 | 4,299,695 | 4,199,083 | |||||||||
4.50%, 8/1/47 – 6/1/52 | 24,931,431 | 25,069,451 | |||||||||
3.50%, 9/1/49 (d) | 350,268 | 340,402 | |||||||||
3.00%, 2/1/50 – 2/1/52 | 2,484,873 | 2,327,434 | |||||||||
2.00%, 11/1/51 – 12/1/51 | 3,321,520 | 2,888,169 | |||||||||
5.00%, 6/1/52 | 2,990,249 | 3,058,364 | |||||||||
68,770,320 | |||||||||||
| Government National Mortgage Association 3.00%, 10/20/51 | 2,777,863 | 2,630,899 | |||||||||
Total U.S. Government Agency Mortgages (Cost $90,873,952) | 88,018,849 | ||||||||||
U.S. Treasury Obligations (33.8%) | |||||||||||
| U.S. Treasury Bonds 4.38%, 2/15/38 | 750,000 | 872,930 | |||||||||
3.50%, 2/15/39 (d) | 2,770,000 | 2,892,486 | |||||||||
4.38%, 11/15/39 | 1,000,000 | 1,154,687 | |||||||||
1.13%, 5/15/40 (d) | 1,000,000 | 696,094 | |||||||||
1.38%, 11/15/40 | 5,000,000 | 3,600,000 | |||||||||
1.88%, 2/15/41 (d) | 9,000,000 | 7,057,969 | |||||||||
1.75%, 8/15/41 (d) | 21,000,000 | 15,969,844 | |||||||||
2.00%, 11/15/41 | 4,000,000 | 3,176,250 | |||||||||
2.75%, 8/15/47 | 500,000 | 447,109 | |||||||||
2.75%, 11/15/47 (d) | 500,000 | 447,812 | |||||||||
3.00%, 2/15/48 | 3,500,000 | 3,297,656 | |||||||||
3.38%, 11/15/48 (d) | 2,012,000 | 2,044,381 | |||||||||
1.38%, 8/15/50 (d) | 7,000,000 | 4,606,875 | |||||||||
1.63%, 11/15/50 | 3,000,000 | 2,109,375 | |||||||||
1.88%, 2/15/51 | 3,000,000 | 2,250,469 | |||||||||
2.00%, 8/15/51 | 2,000,000 | 1,545,937 | |||||||||
| U.S. Treasury Inflation Indexed Bonds, 0.88%, 1/15/29 | 572,380 | 577,416 | |||||||||
| U.S. Treasury Notes 2.00%, 10/31/22 | 400,000 | 399,766 | |||||||||
0.13%, 8/31/23 | 5,000,000 | 4,838,672 | |||||||||
0.13%, 10/15/23 | 2,500,000 | 2,410,449 | |||||||||
0.25%, 11/15/23 | 7,000,000 | 6,743,789 | |||||||||
0.13%, 1/15/24 | 10,000,000 | 9,572,266 | |||||||||
0.25%, 6/15/24 | 10,000,000 | 9,481,641 | |||||||||
0.38%, 7/15/24 | 7,000,000 | 6,639,609 | |||||||||
0.38%, 8/15/24 | 10,000,000 | 9,459,375 | |||||||||
0.38%, 9/15/24 | 5,000,000 | 4,717,969 | |||||||||
1.50%, 10/31/24 | 3,000,000 | 2,898,047 | |||||||||
1.00%, 12/15/24 | 30,000,000 | 28,565,625 | |||||||||
2.25%, 12/31/24 | 5,000,000 | 4,906,641 | |||||||||
1.13%, 1/15/25 | 4,000,000 | 3,814,063 | |||||||||
2.75%, 2/28/25 | 850,000 | 843,758 | |||||||||
2.63%, 4/15/25 | 8,000,000 | 7,913,125 | |||||||||
See notes to financial statements.
50
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Principal Amount | Value | |||||||||
2.88%, 6/15/25 | $ | 5,000,000 | $ | 4,980,469 | |||||||
| 2.75%, 5/31/29 | 5,000,000 | 4,980,469 | |||||||||
0.25%, 6/30/25 (d) | 10,000,000 | 9,206,250 | |||||||||
3.00%, 9/30/25 | 300,000 | 299,508 | |||||||||
0.25%, 9/30/25 | 3,500,000 | 3,197,031 | |||||||||
0.38%, 11/30/25 (d) | 18,000,000 | 16,439,062 | |||||||||
0.38%, 1/31/26 (d) | 4,000,000 | 3,636,563 | |||||||||
0.75%, 5/31/26 | 5,000,000 | 4,574,609 | |||||||||
1.50%, 8/15/26 | 2,000,000 | 1,878,125 | |||||||||
1.38%, 8/31/26 | 8,000,000 | 7,476,875 | |||||||||
1.13%, 10/31/26 | 4,000,000 | 3,686,875 | |||||||||
1.63%, 10/31/26 | 5,000,000 | 4,708,594 | |||||||||
2.00%, 11/15/26 | 2,700,000 | 2,581,453 | |||||||||
1.25%, 12/31/26 | 10,000,000 | 9,242,969 | |||||||||
0.50%, 6/30/27 | 2,500,000 | 2,203,125 | |||||||||
2.25%, 8/15/27 | 1,000,000 | 960,234 | |||||||||
2.25%, 11/15/27 | 1,700,000 | 1,629,609 | |||||||||
0.63%, 11/30/27 | 13,000,000 | 11,414,609 | |||||||||
0.75%, 1/31/28 | 10,000,000 | 8,807,812 | |||||||||
2.75%, 2/15/28 (d) | 2,000,000 | 1,964,687 | |||||||||
1.25%, 3/31/28 | 8,000,000 | 7,227,500 | |||||||||
1.25%, 4/30/28 | 10,000,000 | 9,021,094 | |||||||||
2.88%, 5/15/28 | 4,000,000 | 3,953,125 | |||||||||
1.25%, 6/30/28 | 15,000,000 | 13,492,969 | |||||||||
1.00%, 7/31/28 | 22,000,000 | 19,457,969 | |||||||||
2.88%, 8/15/28 | 630,000 | 622,273 | |||||||||
1.13%, 8/31/28 | 5,000,000 | 4,450,000 | |||||||||
1.25%, 9/30/28 | 10,000,000 | 8,957,031 | |||||||||
3.13%, 11/15/28 (d) | 1,000,000 | 1,001,953 | |||||||||
1.75%, 1/31/29 | 4,000,000 | 3,688,750 | |||||||||
2.63%, 2/15/29 | 1,000,000 | 973,437 | |||||||||
2.38%, 3/31/29 | 15,000,000 | 14,362,500 | |||||||||
1.63%, 8/15/29 (d) | 10,000,000 | 9,104,688 | |||||||||
0.63%, 5/15/30 (d) | 2,500,000 | 2,084,766 | |||||||||
0.63%, 8/15/30 (d) | 5,000,000 | 4,145,312 | |||||||||
0.88%, 11/15/30 | 17,000,000 | 14,351,719 | |||||||||
1.13%, 2/15/31 | 12,000,000 | 10,310,625 | |||||||||
1.63%, 5/15/31 (d) | 20,000,000 | 17,868,750 | |||||||||
1.25%, 8/15/31 (d) | 5,000,000 | 4,303,906 | |||||||||
1.38%, 11/15/31 | 4,000,000 | 3,469,375 | |||||||||
1.88%, 2/15/32 | 6,000,000 | 5,435,625 | |||||||||
Total U.S. Treasury Obligations (Cost $455,794,006) | 418,104,380 | ||||||||||
Commercial Papers (0.8%) (i) | |||||||||||
Hannover Funding Co. LLC, 1.63%, 7/1/22 (a) | 4,500,000 | 4,499,796 | |||||||||
Hannover Funding Co. LLC, 1.65%, 7/5/22 (a) | 5,000,000 | 4,998,853 | |||||||||
Total Commercial Papers (Cost $9,498,989) | 9,498,649 | ||||||||||
See notes to financial statements.
51
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Collateral for Securities Loaned (0.3%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) | 127,328 | $ | 127,328 | ||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) | 63,543 | 63,543 | |||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) | 792,508 | 792,508 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) | 506,671 | 506,671 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (j) | 337,893 | 337,893 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) | 2,278,093 | 2,278,093 | |||||||||
Total Collateral for Securities Loaned (Cost $4,106,036) | 4,106,036 | ||||||||||
Total Investments (Cost $1,365,462,429) — 99.7% | 1,233,031,549 | ||||||||||
Other assets in excess of liabilities — 0.3% | 3,176,090 | ||||||||||
NET ASSETS — 100.00% | $ | 1,236,207,639 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $288,060,341 and amounted to 23.3% of net assets.
(b) Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2022.
(c) The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2022.
(d) All or a portion of the security has been segregated as collateral for securities purchased on a delayed-delivery and/or when-issued basis.
(e) All or a portion of this security is on loan.
(f) Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.
(g) Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.
(h) Amount represents less than 0.05% of net assets.
(i) Rate represents the effective yield at June 30, 2022.
(j) Rate disclosed is the daily yield on June 30, 2022.
bps — Basis points
GO — General Obligation
H15T1Y — 1 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
IDA — Industrial Development Authority
See notes to financial statements.
52
| Victory Portfolios II VictoryShares USAA Core Intermediate-Term Bond ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
LIBOR — London InterBank Offered Rate
LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
SOFR — Secured Overnight Financing Rate
TSFR1M — 1 month Term SOFR, rate disclosed as of June 30, 2022.
USISDA05 — 5 Year ICE Swap Rate, rate disclosed as of June 30, 2022.
USSW5 — USD 5 Year Swap Rate, rate disclosed as of June 30, 2022.
See notes to financial statements.
53
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares USAA Core Short-Term Bond ETF | VictoryShares USAA Core Intermediate-Term Bond ETF | ||||||||||
Assets: | |||||||||||
Investments, at value (Cost $374,259,586 and $1,365,462,429) | $ | 358,403,434 | $ | 1,233,031,549 | (a) | ||||||
Cash | 702,457 | 9,366,036 | |||||||||
Deposit with broker for futures contracts | — | 40,214 | |||||||||
Receivables: | |||||||||||
Interest and dividends | 2,315,086 | 7,083,814 | |||||||||
Investments sold | 2,430,175 | 982,578 | |||||||||
Prepaid expenses | 2,253 | 7,287 | |||||||||
Total Assets | 363,853,405 | 1,250,511,478 | |||||||||
Liabilities: | |||||||||||
Payables: | |||||||||||
Collateral received on loaned securities | — | 4,106,036 | |||||||||
Investments purchased | 3,981,101 | 9,724,212 | |||||||||
Accrued expenses and other payables: | |||||||||||
Investment advisory fees | 74,078 | 301,315 | |||||||||
Administration fees | 5,056 | 49,623 | |||||||||
Custodian fees | 3,995 | 11,187 | |||||||||
Compliance fees | 214 | 726 | |||||||||
Trustees' fees | 600 | 2,010 | |||||||||
Other accrued expenses | 51,426 | 108,730 | |||||||||
Total Liabilities | 4,116,470 | 14,303,839 | |||||||||
Net Assets: | |||||||||||
Capital | 377,081,830 | 1,369,184,340 | |||||||||
Total accumulated earnings/(loss) | (17,344,895 | ) | (132,976,701 | ) | |||||||
Net Assets | $ | 359,736,935 | $ | 1,236,207,639 | |||||||
Shares (unlimited shares authorized, with no par value): | 7,350,000 | 26,200,000 | |||||||||
Net asset value: | $ | 48.94 | $ | 47.18 | |||||||
(a) Includes $3,980,183 of securities on loan.
See notes to financial statements.
54
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares USAA Core Short-Term Bond ETF | VictoryShares USAA Core Intermediate-Term Bond ETF | ||||||||||
Investment Income: | |||||||||||
Interest | $ | 6,829,172 | $ | 24,400,652 | |||||||
Securities lending (net of fees) | 1,443 | 16,162 | |||||||||
Total Income | 6,830,615 | 24,416,814 | |||||||||
Expenses: | |||||||||||
Investment advisory fees | 844,725 | 3,440,008 | |||||||||
Administration fees | 182,941 | 620,976 | |||||||||
Sub-Administration fees | 19,943 | 24,911 | |||||||||
Custodian fees | 20,662 | 58,810 | |||||||||
Servicing fees | 15,029 | 15,024 | |||||||||
Trustees' fees | 20,052 | 62,660 | |||||||||
Compliance fees | 2,346 | 7,878 | |||||||||
Legal and audit fees | 30,743 | 69,645 | |||||||||
Other expenses | 65,768 | 132,228 | |||||||||
Total Expenses | 1,202,209 | 4,432,140 | |||||||||
Expenses waived/reimbursed by Adviser | (107,121 | ) | — | ||||||||
Net Expenses | 1,095,088 | 4,432,140 | |||||||||
Net Investment Income (Loss) | 5,735,527 | 19,984,674 | |||||||||
Realized/Unrealized Gains (Losses) from Investments: | |||||||||||
Net realized gains (losses) from investment securities | (1,615,096 | ) | (290,125 | ) | |||||||
| Net change in unrealized appreciation/depreciation on investment securities | (18,669,472 | ) | (155,730,262 | ) | |||||||
Net realized/unrealized gains (losses) on investments | (20,284,568 | ) | (156,020,387 | ) | |||||||
Change in net assets resulting from operations | $ | (14,549,041 | ) | $ | (136,035,713 | ) | |||||
See notes to financial statements.
55
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares USAA Core Short-Term Bond ETF | VictoryShares USAA Core Intermediate-Term Bond ETF | ||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||
From Investment Activities: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net Investment Income (Loss) | $ | 5,735,527 | $ | 3,587,482 | $ | 19,984,674 | $ | 12,759,697 | |||||||||||
Net realized gains (losses) | (1,615,096 | ) | 1,090,676 | (290,125 | ) | 3,145,663 | |||||||||||||
| Net change in unrealized appreciation/depreciation | (18,669,472 | ) | 1,492,704 | (155,730,262 | ) | (2,477,903 | ) | ||||||||||||
| Change in net assets resulting from operations | (14,549,041 | ) | 6,170,862 | (136,035,713 | ) | 13,427,457 | |||||||||||||
| Change in net assets resulting from distributions to shareholders | (6,848,232 | ) | (4,553,556 | ) | (23,367,285 | ) | (14,839,541 | ) | |||||||||||
| Change in net assets resulting from capital transactions | 108,838,303 | 165,678,281 | 501,277,517 | 444,955,757 | |||||||||||||||
Change in net assets | 87,441,030 | 167,295,587 | 341,874,519 | 443,543,673 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 272,295,905 | 105,000,318 | 894,333,120 | 450,789,447 | |||||||||||||||
End of period | $ | 359,736,935 | $ | 272,295,905 | $ | 1,236,207,639 | $ | 894,333,120 | |||||||||||
Capital Transactions: | |||||||||||||||||||
Proceeds from shares issued | $ | 123,658,260 | $ | 181,229,714 | $ | 501,277,517 | $ | 458,507,492 | |||||||||||
Cost of shares redeemed | (14,819,957 | ) | (15,551,433 | ) | — | (13,551,735 | ) | ||||||||||||
| Change in net assets resulting from capital transactions | $ | 108,838,303 | $ | 165,678,281 | $ | 501,277,517 | $ | 444,955,757 | |||||||||||
Share Transactions: | |||||||||||||||||||
Issued | 2,400,000 | 3,500,000 | 9,550,000 | 8,500,000 | |||||||||||||||
Redeemed | (300,000 | ) | (300,000 | ) | — | (250,000 | ) | ||||||||||||
Change in Shares | 2,100,000 | 3,200,000 | 9,550,000 | 8,250,000 | |||||||||||||||
See notes to financial statements.
56
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57
Victory Portfolios II | Financial Highlights | ||||||
For a Share Outstanding Throughout Each Period
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Net Realized Gains from Investments | ||||||||||||||||||||||
VictoryShares USAA Core Short-Term Bond ETF | |||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 51.87 | 0.86 | (2.78 | ) | (1.92 | ) | (0.84 | ) | (0.17 | ) | ||||||||||||||||
2021 | $ | 51.22 | 0.84 | 0.93 | 1.77 | (0.90 | ) | (0.22 | ) | ||||||||||||||||||
| Ten Months Ended June 30, 2020 (h) | $ | 50.65 | 1.10 | 0.48 | 1.58 | (1.01 | ) | — | |||||||||||||||||||
| Year Ended August 31, 2019 | $ | 49.50 | 1.37 | 1.13 | 2.50 | (1.35 | ) | — | |||||||||||||||||||
| October 24, 2017 (j) through August 31, 2018 | $ | 50.00 | 0.93 | (0.59 | ) | 0.34 | (0.84 | ) | — | ||||||||||||||||||
VictoryShares USAA Core Intermediate-Term Bond ETF | |||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 53.71 | 0.89 | (6.37 | ) | (5.48 | ) | (0.92 | ) | (0.13 | ) | ||||||||||||||||
2021 | $ | 53.67 | 1.08 | 0.27 | 1.35 | (1.11 | ) | (0.20 | ) | ||||||||||||||||||
| Ten Months Ended June 30, 2020 (h) | $ | 52.48 | 1.21 | 1.12 | 2.33 | (1.14 | ) | — | |||||||||||||||||||
| Year Ended August 31, 2019 | $ | 48.61 | 1.62 | 3.81 | 5.43 | (1.56 | ) | — | |||||||||||||||||||
| October 24, 2017 (j) through August 31, 2018 | $ | 49.93 | 1.29 | (1.46 | ) | (0.17 | ) | (1.15 | ) | — | |||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) Includes impact of voluntary waiver. Without this voluntary waiver, the net expense ratio would have been 0.02% higher.
(g) Includes impact of voluntary waivers. Without these voluntary waivers, the net expense ratio would have been at the contractual cap. (See Note 5 in the Notes to Financial Statements).
(h) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(i) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the period.
(j) Commencement of operations.
(k) Includes impact of voluntary waiver. Without this voluntary waiver, the net expense ratio would have been 0.02% higher for the ten months ended June 30, 2020.
(l) Portfolio turnover decreased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
See notes to financial statements.
58
Victory Portfolios II | Financial Highlights — continued | ||||||
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||||||||||||||
| Total Distributions | Net Asset Value, End of Period | Total Return(b) | Net Expenses(c)(d) | Net Investment Income (Loss)(c) | Gross Expenses(c)(d) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(e) | ||||||||||||||||||||||||||||
VictoryShares USAA Core Short-Term Bond ETF | |||||||||||||||||||||||||||||||||||
| Year Ended June 30: 2022 | (1.01 | ) | $ | 48.94 | (3.73 | )% | 0.32 | %(f) | 1.70 | % | 0.36 | % | $ | 359,737 | 67 | % | |||||||||||||||||||
2021 | (1.12 | ) | $ | 51.87 | 3.48 | % | 0.34 | %(g) | 1.62 | % | 0.37 | % | $ | 272,296 | 80 | % | |||||||||||||||||||
| Ten Months Ended June 30, 2020 (h) | (1.01 | ) | $ | 51.22 | 3.17 | % | 0.35 | % | 2.62 | % | 0.44 | % | $ | 105,000 | 72 | %(i) | |||||||||||||||||||
| Year Ended August 31, 2019 | (1.35 | ) | $ | 50.65 | 5.11 | % | 0.35 | % | 2.75 | % | 0.40 | % | $ | 83,573 | 30 | % | |||||||||||||||||||
| October 24, 2017 (j) through August 31, 2018 | (0.84 | ) | $ | 49.50 | 0.70 | % | 0.35 | % | 2.21 | % | 0.40 | % | $ | 61,872 | 22 | % | |||||||||||||||||||
VictoryShares USAA Core Intermediate-Term Bond ETF | |||||||||||||||||||||||||||||||||||
| Year Ended June 30: 2022 | (1.05 | ) | $ | 47.18 | (10.35 | )% | 0.39 | % | 1.74 | % | 0.39 | % | $ | 1,236,208 | 24 | % | |||||||||||||||||||
2021 | (1.31 | ) | $ | 53.71 | 2.55 | % | 0.37 | %(g) | 2.01 | % | 0.41 | % | $ | 894,333 | 16 | % | |||||||||||||||||||
| Ten Months Ended June 30, 2020 (h) | (1.14 | ) | $ | 53.67 | 4.52 | % | 0.38 | %(k) | 2.80 | % | 0.42 | % | $ | 450,789 | 13 | % | |||||||||||||||||||
| Year Ended August 31, 2019 | (1.56 | ) | $ | 52.48 | 11.37 | % | 0.39 | % | 3.27 | % | 0.44 | % | $ | 314,856 | 3 | %(l) | |||||||||||||||||||
| October 24, 2017 (j) through August 31, 2018 | (1.15 | ) | $ | 48.61 | (0.33 | )% | 0.40 | % | 3.10 | % | 0.45 | % | $ | 150,703 | 10 | % | |||||||||||||||||||
See notes to financial statements.
59
Victory Portfolios II | Notes to Financial Statements June 30, 2022 | ||||||
1. Organization:
Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 25 funds, 23 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.
The accompanying financial statements are those of the following two Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.
Funds (Legal Name) | Funds (Short Name) | ||||||
VictoryShares USAA Core Short-Term Bond ETF | USAA Core Short-Term Bond ETF | ||||||
VictoryShares USAA Core Intermediate-Term Bond ETF | USAA Core Intermediate-Term Bond ETF | ||||||
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. Generally Accepted Accounting Principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make 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 the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the "Exchange"). The Funds issue and redeem shares at net asset value ("NAV") only in aggregations of 50,000 shares, (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). 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. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance of such cash creations or redemptions, transaction fees may be imposed and may be higher than the transaction fees associated with in-kind creations or redemptions.
Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transactional costs associated with the purchase of Creation Units. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units. Variable fees received by each Fund are displayed in the Capital Transactions section of the Statements of Changes in Net Assets as an increase to Capital.
60
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
The transaction fees for each Fund are listed below:
| Fee for In-Kind and Cash Purchases and Redemptions | Maximum Additional Variable Charge for Cash Purchases and Redemptions* | ||||||||||
USAA Core Short-Term Bond ETF | $ | 100 | 2.00 | % | |||||||
USAA Core Intermediate-Term Bond ETF | 100 | 2.00 | % | ||||||||
* As a percentage of the amount invested.
Investment Valuation:
The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical securities
• Level 2 — other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)
• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.
Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to the Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.
Investments in open-end investment companies are valued at their NAV. These valuations are typically categorized as Level 1 in the fair value hierarchy.
Debt securities are valued each business day by a pricing service approved by the Board. The approved pricing service uses the evaluated bid or the last sale price to value securities. Debt obligations maturing within 60 days may be valued at amortized cost, provided that the amortized cost represents the fair value of such securities. These valuations are typically categorized as Level 2 in the fair value hierarchy.
In the event that price quotations or valuations are not readily available, investments are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
A summary of the valuations as of June 30, 2022, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
USAA Core Short-Term Bond ETF | |||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 88,213,515 | $ | — | $ | 88,213,515 | |||||||||||
Collateralized Mortgage Obligations | — | 23,211,112 | — | 23,211,112 | |||||||||||||||
Senior Secured Loans | — | 4,810,116 | — | 4,810,116 | |||||||||||||||
61
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Corporate Bonds | $ | — | $ | 140,820,983 | $ | — | $ | 140,820,983 | |||||||||||
Yankee Dollars | — | 33,334,615 | — | 33,334,615 | |||||||||||||||
Municipal Bonds | — | 47,027,107 | — | 47,027,107 | |||||||||||||||
U.S. Treasury Obligations | — | 991,133 | — | 991,133 | |||||||||||||||
Commercial Papers | — | 19,994,853 | — | 19,994,853 | |||||||||||||||
Total | $ | — | $ | 358,403,434 | $ | — | $ | 358,403,434 | |||||||||||
USAA Core Intermediate-Term Bond ETF | |||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 112,991,089 | $ | — | $ | 112,991,089 | |||||||||||
Collateralized Mortgage Obligations | — | 42,124,790 | — | 42,124,790 | |||||||||||||||
Corporate Bonds | — | 424,648,325 | — | 424,648,325 | |||||||||||||||
Yankee Dollars | — | 99,769,351 | — | 99,769,351 | |||||||||||||||
Municipal Bonds | — | 33,770,080 | — | 33,770,080 | |||||||||||||||
U.S. Government Agency Mortgages | — | 88,018,849 | — | 88,018,849 | |||||||||||||||
U.S. Treasury Obligations | — | 418,104,380 | — | 418,104,380 | |||||||||||||||
Commercial Papers | — | 9,498,649 | — | 9,498,649 | |||||||||||||||
Collateral for Securities Loaned | 4,106,036 | — | — | 4,106,036 | |||||||||||||||
Total | $ | 4,106,036 | $ | 1,228,925,513 | $ | — | $ | 1,233,031,549 | |||||||||||
For the year ended June 30, 2022, there were no transfers in or out of Level 3 in the fair value hierarchy.
Securities Purchased on a Delayed-Delivery or When-Issued Basis:
The Funds may purchase securities on a delayed-delivery or when-issued basis. Delivery and payment for securities that have been purchased by the Fund on a delayed-delivery or when-issued basis, or for delayed draws on loans can take place a month or more after the trade date. At the time a Fund makes the commitment to purchase a security on a when-issued basis, the Fund records the transaction and reflects the value of the security in determining NAV. No interest accrues to the Fund until the transaction settles and payment takes place. A segregated account is established and the Fund maintains cash and/or marketable securities at least equal in value to commitments for when-issued securities. If a Fund owns when-issued securities, these values are included in Payables for Investments purchased on the accompanying Statements of Assets and Liabilities and the segregated assets are identified on the Schedules of Portfolio Investments.
Municipal Obligations:
The values of municipal obligations can fluctuate and may be affected by adverse tax, legislative, or political changes, and by financial developments affecting municipal issuers. Payment of municipal obligations may depend on a relatively limited source of revenue, resulting in greater credit risk. Future changes in federal tax laws or the activity of an issuer may adversely affect the tax-exempt status of municipal obligations.
Mortgage- and Asset-Backed Securities:
The values of some mortgage-related or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The values of mortgage- and asset-backed securities depend in part on the credit quality and adequacy of the underlying assets or collateral and may fluctuate in response to the market's perception of these factors as well as current and future repayment rates. Some mortgage-backed securities are backed by the full faith and credit of the U.S. government (e.g., mortgage-backed securities issued by the Government National Mortgage Association, commonly known as "Ginnie Mae"), while other mortgage-backed securities (e.g., mortgage-backed securities issued by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, commonly known as "Fannie Mae" and "Freddie Mac," respectively), are backed only by the credit of the government entity issuing them. In addition, some mortgage-backed securities
62
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
are issued by private entities and, as such, are not guaranteed by the U.S. government or any agency or instrumentality of the U.S. government.
Below-Investment-Grade Securities:
Certain Funds may invest in below-investment-grade securities (i.e., lower-quality, "junk" debt), which are subject to various risks. Lower-quality debt is considered to be speculative because it is less certain that the issuer will be able to pay interest or repay the principal than in the case of investment-grade debt. These securities can involve a substantially greater risk of default than higher-rated securities, and their values can decline significantly over short periods of time. Lower-quality debt securities tend to be more sensitive to adverse news about their issuers, the market and the economy in general, than higher-quality debt securities. The market for these securities can be less liquid, especially during periods of recession or general market decline.
Collateralized Loan Obligations ("CLOs"):
CLOs are securities issued by entities that are collateralized by a pool of loans. CLOs are issued in multiple classes (tranches) and can be equity or debt with specific adjustable or fixed interest rates and varying maturities. The cash flow from the underlying loans is used to pay off each tranche separately within the debt, or senior tranches. Equity, or subordinated tranches, typically are not paid a cash flow but do offer ownership in the CLO itself in the event of a sale.
Loans:
Floating rate loans in which a Fund invests are primarily "senior" loans. Senior floating rate loans typically hold a senior position in the capital structures of the borrower, are typically secured by specific collateral, and have a claim on the assets and/or stock of the borrower that is senior to that held by subordinated debtholders and stockholders of the borrower. While these protections may reduce risk, these investments still present significant credit risk. A significant portion of a Fund's floating rate investments may be issued in connection with highly leveraged transactions such as leveraged buyouts, leveraged recapitalization loans, and other types of acquisition financing. Obligations in these types of transactions are subject to greater credit risk (including default and bankruptcy) than many other investments and may be, or become, illiquid. See the note below regarding below investment grade securities.
The Funds may purchase second-lien loans (secured loans with a claim on collateral subordinate to a senior lender's claim on such collateral), fixed rate loans, unsecured loans, and other debt obligations.
Transactions in loans often settle on a delayed basis, and a Fund may not receive the proceeds from the sale of a loan or pay for a loan purchase for a substantial period of time after entering into the transactions.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Investment Transactions and Related Income:
Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date or the last business day of the reporting period. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend
63
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
date. Gains or losses realized on sales of securities are recorded on the identified cost basis. Paydown gains or losses on applicable securities, if any, are recorded as a component of Interest income on the Statements of Operations.
The Funds may receive other income from investments in loan assignments and/or unfunded commitments, including amendment fees, consent fees, and commitment fees. These fees are recorded as income when received. These amounts, if received, are included in Interest income on the Statements of Operations.
Securities Lending:
The Funds, through a Securities Lending Agreement with Citibank, N.A. ("Citibank"), may lend their securities to qualified financial institutions, such as certain broker-dealers and banks, to earn additional income, net of income retained by Citibank. Borrowers are required to initially secure their loans for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are generally cured the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities and other securities as permitted by Securities and Exchange Commission ("SEC") guidelines. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Funds effectively do not have control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. Collateral requirements are determined daily based on the value of the Funds' securities on loan as of the end of the prior business day. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay Citibank various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) is disclosed on the Statements of Operations. Loans are terminable upon demand and the borrower must return the loaned securities within the lesser of one standard settlement period or five business days. Although risk is mitigated by the collateral, a Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. In addition, there is a risk that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower.
The Funds' agreement with Citibank does not include master netting provisions. Non-cash collateral received by the Funds may not be sold or repledged, except to satisfy borrower default.
The following table is a summary of the Funds' securities lending transactions as of June 30, 2022.
| Value of Securities on Loan | Non-Cash Collateral | Cash Collateral | |||||||||||||
USAA Core Intermediate-Term Bond ETF | $ | 3,980,183 | $ | — | $ | 4,106,036 | |||||||||
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.
For the year ended June 30, 2022, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain tax positions.
Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
64
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Allocations:
Expenses directly attributable to a Fund are charged to that Fund, while expenses that are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or an affiliated trust based upon net assets or another appropriate basis.
Cross-Trade Transactions:
Pursuant to Rule 17a-7 under the 1940 Act, the Funds may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Adviser and any applicable sub-adviser. Any such purchase or sale transaction must be effected without brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security's last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. For the year ended June 30, 2021, the Fund engaged in the following securities transactions with affiliated funds, which resulted in the following net realized gains (losses):
Purchases | Sales | Net Realized Gains (Losses) | |||||||||||||
USAA Core Intermediate-Term Bond ETF | $ | 19,298,531 | $ | — | $ | — | |||||||||
3. Purchases and Sales:
Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the year ended June 30, 2022, are included in the table below. There were no purchases and sales associated with in-kind transactions during the year ended June 30, 2022.
| Excluding U.S. Government Securities | U.S. Government Securities | ||||||||||||||||||
Purchases | Sales | Purchases | Sales | ||||||||||||||||
USAA Core Short-Term Bond ETF | $ | 292,375,662 | $ | 178,981,402 | $ | 32,921,094 | $ | 31,603,047 | |||||||||||
| USAA Core Intermediate-Term Bond ETF | 422,388,670 | 87,710,387 | 357,284,878 | 177,213,825 | |||||||||||||||
4. Affiliated Fund Ownership:
The Funds offer shares for investment by other funds. The fund-of-funds do not invest in the underlying funds for the purpose of exercising management or control, and the affiliated fund-of-funds annual and semi-annual reports may be viewed at www.vcm.com. As of June 30, 2022, certain fund-of-funds owned total outstanding shares of the Funds as follows:
USAA Core Short-Term Bond ETF | Ownership % | ||||||
USAA Cornerstone Aggressive Fund | 1.4 | ||||||
USAA Cornerstone Conservative Fund | 9.1 | ||||||
USAA Cornerstone Moderate Fund | 4.6 | ||||||
USAA Cornerstone Moderately Aggressive Fund | 13.2 | ||||||
USAA Cornerstone Moderately Conservative Fund | 0.7 | ||||||
USAA Target Retirement 2030 Fund | 11.4 | ||||||
USAA Target Retirement 2040 Fund | 6.7 | ||||||
USAA Target Retirement Income Fund | 6.0 | ||||||
USAA Core Intermediate-Term Bond ETF | Ownership % | ||||||
USAA Cornerstone Aggressive Fund | 2.1 | ||||||
USAA Cornerstone Conservative Fund | 1.3 | ||||||
USAA Cornerstone Moderate Fund | 24.4 | ||||||
USAA Cornerstone Moderately Aggressive Fund | 42.8 | ||||||
USAA Cornerstone Moderately Conservative Fund | 4.7 | ||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
5. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
Flat Rate | |||||||
USAA Core Short-Term Bond ETF | 0.25 | % | |||||
USAA Core Intermediate-Term Bond ETF | 0.30 | % | |||||
Amounts incurred and paid to VCM for the year ended June 30, 2022, are reflected on the Statements of Operations as Investment advisory fees.
Administration and Servicing Fees:
VCM also serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios. The tiered rates at which VCM is paid by the Funds are shown in the table below:
Net Assets | |||||||||||
Up to $15 billion | $15 billion – $30 billion | Over $30 billion | |||||||||
0.08%, plus | 0.05%, plus | 0.04% | |||||||||
Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Administration fees.
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator, sub-fund accountant, and transfer agent to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Sub-Administration fees.
The Funds (as part of the Trust) have entered into an agreement with the Adviser to provide compliance services, pursuant to which the Adviser furnishes its compliance personnel, including the services of the Chief Compliance Officer ("CCO"), and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration, and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. The CCO is an employee of the Adviser, which pays the compensation of the CCO and support staff. The funds in the Trust, Victory Variable Insurance Funds, Victory Portfolios and USAA Mutual Funds (collectively, the "Victory Funds Complex"), in aggregate, compensate the Adviser for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Compliance fees.
Distributor/Underwriting Services:
Foreside Fund Services, LLC serves as the Funds' distributor.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the expense limit for such classes of the Fund. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2022, the expense limits (excluding voluntary waivers) are as follows:
| In Effect Until October 31, 2022 | |||||||
USAA Core Short-Term Bond ETF | 0.35 | % | |||||
USAA Core Intermediate-Term Bond ETF | 0.40 | % | |||||
Under the terms of the expense limitation agreements, as amended May 1, 2022, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount.
As of June 30, 2022, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at June 30, 2022.
| Expires 2023 | |||||||
USAA Core Short-Term Bond ETF | $ | 41,935 | |||||
The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. For the year ended June 30, 2022, the Adviser voluntarily waived the following amounts:
USAA Core Short-Term Bond ETF | $ | 107,121 | |||||
Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.
6. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Debt Securities or Bond Risk — The Funds are subject to the risk that the market value of the bonds in the Funds' portfolios will fluctuate because of changes in interest rates, changes in the supply of and demand for debt securities, and other market factors. Bond prices generally are linked to the prevailing market interest rates. In general, when interest rates rise, bond prices typically fall; conversely, when interest rates fall, bond prices typically rise. The price volatility of a bond also depends on its duration,
67
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
which is a measure of a bond's sensitivity to a change in interest rates. Generally, the longer the duration of a bond, the greater is its sensitivity to interest rates. To compensate investors for this higher interest rate risk, bonds with longer durations generally offer higher yields than bonds with shorter durations. Should the U.S. Federal Reserve raise interest rates, the Funds may be subject to risks associated with rising interest rates. The fixed-income securities in the Funds' portfolios also are subject to credit risk, which is the possibility that an issuer of a fixed income security cannot make timely interest and principal payments on its securities or that negative market perceptions of the issuer's ability to make such payments will cause the price of that security to decline. The Funds accept some credit risk as a recognized means to enhance an investor's return.
High-Yield Bond Risk — Fixed-income securities rated below investment grade, also known as "junk" or high-yield bonds, generally entail greater credit and liquidity risk than investment-grade securities. Their prices also may be more volatile, especially during economic downturns and financial setbacks or liquidity events. The Funds' values could be hurt by price declines due to actual or perceived changes in an issuer's ability to make such payments. These securities are considered by the major rating agencies to be predominantly speculative with respect to the issuer's continuing ability to pay principal and interest, and they carry a greater risk that the issuer of such securities will default on the timely payment of principal and interest. Issuers of securities that are in default or have defaulted may fail to resume principal or interest payments, in which case the Funds may lose their entire investment. The creditworthiness of issuers of these securities may be more complex to analyze than that of issuers of investment-grade debt securities, and the overreliance on credit ratings may present additional risks.
Asset-Backed and Mortgage-Backed Securities Risk — Mortgage- and asset-backed securities ("MBS" or "ABS," respectively) differ from conventional debt securities because principal is paid back over the life of the security rather than at maturity. MBS and ABS are subject to prepayment or call risk, which is the risk that a borrower's payments may be received earlier than expected due to changes in prepayment rates on underlying loans. As a result, the Funds may reinvest these early payments at lower interest rates, thereby reducing the Fund's income. These securities also are subject to extension risk, which is the risk that the life of the ABS or MBS may be extended due to higher interest rates and lower prepayments. As a result, the value of the securities will decrease. The value of MBS can be impacted by factors affecting the housing market, and MBS also are subject to the risk of high default rates on the mortgages within the mortgage pool. The liquidity of non-agency or privately issued ABS or MBS securities, in particular those that are rated as non-investment grade, may change dramatically over time.
LIBOR Discontinuation Risk — The London Interbank Offered Rate ("LIBOR") discontinuation may adversely affect the financial markets generally and the Funds' operations, finances and investments specifically. LIBOR has been the principal floating-rate benchmark in the financial markets. However, LIBOR has been or will be discontinued as a floating rate benchmark. The date of discontinuation depends on the LIBOR currency and tenor. With limited exceptions, no new LIBOR obligations will be entered into after December 31, 2021. Existing LIBOR obligations have transitioned or will transition to another benchmark, depending on the LIBOR currency and tenor. For some existing LIBOR-based obligations, the contractual consequences of the discontinuation of LIBOR may not be clear.
Non-LIBOR floating-rate obligations, including Secured Overnight Financing Rate ("SOFR")-based obligations, may have returns and values that fluctuate more than those of floating-rate debt obligations that are based on LIBOR or other rates. Also, because SOFR and some alternative floating rates are relatively new market indexes, markets for certain non-LIBOR obligations may never develop or may not be liquid. Market terms for non-LIBOR floating rate obligations, such as the spread over the index reflected in interest-rate provisions, may evolve over time, and prices of non-LIBOR floating rate obligations may be different depending on when they are issued and changing views about correct spread levels.
Various SOFR-based rates, including SOFR-based term rates, and various non-SOFR-based rates are expected to develop in response to the discontinuation of U.S. dollar LIBOR, which may create various risks for the Funds and the financial markets more generally. There are non-LIBOR forward-looking
68
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
floating rates that are not based on SOFR and that may be considered by participants in the financial markets as LIBOR alternatives. Such rates include AMERIBOR (American Interbank Offered Rate), BSBY (Bloomberg Short-Term Bank Yield Index) and BYI (Bank Yield Index). Unlike forward-looking SOFR-based term rates, such rates are intended to reflect a bank credit spread component.
It is not clear how replacement rates for LIBOR — including SOFR-based rates and non-SOFR-based rates — will develop and to what extent they will be used. There is no assurance that these replacement rates will be suitable substitutes for LIBOR, and thus the substitution of such rates for LIBOR could have an adverse effect on the Funds and the financial markets more generally. Concerns about market depth and stability could affect the development of non-SOFR-based term rates, and such rates may create various risks, which may or may not be similar to the risks relating to SOFR.
Market Risk — Overall market risks may affect the value of the Fund. Domestic and international factors such as political events, war, terrorism, trade disputes, inflation rates, interest rate levels and other fiscal and monetary policy changes, cybersecurity incidents, pandemics and other public health crises, sanctions against a particular foreign country, its nationals, businesses or industries and related geopolitical events, as well as environmental disasters such as earthquakes, fires, and floods or other catastrophes, may add to instability in global economies and markets generally, and may lead to increased market volatility. Global economies and financial markets are highly interconnected, which increases the possibility that conditions in one country or region might adversely affect issuers in another country or region. The impact of these and other factors may be short-term or may last for extended periods.
7. Borrowing:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 27, 2022, with a termination date of June 26, 2023. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2022, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the commitment fees plus any interest on amounts borrowed. For the period from July 1, 2021, through June 27, 2022, interest was based on the one-month LIBOR plus one percent. Effective with the renewal, for the period June 28, 2022, through June 30, 2022, interest was based on the one-month SOFR plus 1.10 percent. Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees.
The Funds had no borrowings under the Line of Credit agreement during the year ended June 30, 2022.
8. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.
Declared | Paid | ||||||||||
USAA Core Short-Term Bond ETF | Monthly | Monthly | |||||||||
USAA Core Intermediate-Term Bond ETF | Monthly | Monthly | |||||||||
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within
69
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
As of June 30, 2022, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:
| Total Accumulated Earnings/(Loss) | Capital | ||||||||||
USAA Core Intermediate-Term Bond ETF | $ | (1 | ) | $ | 1 | ||||||
The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid).
| Year Ended June 30, 2022 | ||||||||||||||
| Distributions paid from: |
| |||||||||||||
| Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||||
USAA Core Short-Term Bond ETF | $ | 6,045,684 | $ | 802,548 | $ | 6,848,232 | |||||||||
USAA Core Intermediate-Term Bond ETF | 20,527,607 | 2,839,678 | 23,367,285 | ||||||||||||
| Year Ended June 30, 2021 | ||||||||||||||||||
| Distributions paid from |
| |||||||||||||||||
| Ordinary Income | Net Long-Term Capital Gains | Total Taxable Distributions | Total Distributions Paid | |||||||||||||||
USAA Core Short-Term Bond ETF | $ | 4,110,866 | $ | 442,690 | $ | 4,553,556 | $ | 4,553,556 | |||||||||||
USAA Core Intermediate-Term Bond ETF | 13,763,785 | 1,075,756 | 14,839,541 | 14,839,541 | |||||||||||||||
As of June 30, 2022, the components of accumulated earnings/(loss) on a tax basis were as follows:
| Undistributed Ordinary Income | Accumulated Earnings | Qualified Late-Year Losses* | Unrealized Appreciation (Depreciation)** | Total Accumulated Earnings (Loss) | |||||||||||||||||||
USAA Core Short-Term Bond ETF | $ | 1,078,141 | $ | 1,078,141 | $ | (2,112,458 | ) | $ | (16,310,578 | ) | $ | (17,344,895 | ) | ||||||||||
| USAA Core Intermediate-Term Bond ETF | 1,883,261 | 1,883,261 | (2,427,421 | ) | (132,432,541 | ) | (132,976,701 | ) | |||||||||||||||
* Qualified late-year losses are comprised of post-October capital losses incurred after October 31 and certain late-year ordinary losses. Late-year ordinary losses represent ordinary losses incurred after December 31 and specified losses incurred after October 31. These losses are deemed to arise on the first day of the Fund's next taxable year.
** The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on as of trades.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
At the tax year ended June 30, 2022, the Funds had no capital loss carryforward for federal income tax purposes.
As of June 30, 2022, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:
| Cost of Investments for Federal Tax Purposes | Net Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
USAA Core Short-Term Bond ETF | $ | 374,714,012 | $ | 85,793 | $ | (16,396,371 | ) | $ | (16,310,578 | ) | |||||||||
| USAA Core Intermediate-Term Bond ETF | 1,365,464,089 | 746,032 | (133,178,572 | ) | (132,432,540 | ) | |||||||||||||
71
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Victory Portfolios II
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA Core Short-Term Bond ETF and VictoryShares USAA Core Intermediate-Term Bond ETF (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for the years ended June 30, 2022 and 2021, for the ten months ended June 30, 2020, and for the year ended August 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for the years ended June 30, 2022 and 2021, for the ten months ended June 30, 2020, and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.
The Funds' financial highlights for the period ended August 31, 2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
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 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 procedures included confirmation of securities owned as of June 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. 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. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.
COHEN & COMPANY, LTD.
Cleveland, Ohio
August 26, 2022
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Victory Portfolios II | Supplemental Information June 30, 2022 | ||||||
(Unaudited)
Trustee and Officer Information
Board of Trustees:
Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently nine Trustees, eight of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.
The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 25 portfolios in the Trust, six portfolios in Victory Variable Insurance Funds, and 40 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 45 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
Independent Trustees. | |||||||||||||||||||
| David Brooks Adcock, Born October 1951 | Trustee | May 2015 | Consultant (since 2006). | Chair and Trustee, Turner Funds (December 2016-December 2017). | |||||||||||||||
| Nigel D. T. Andrews, Born April 1947 | Trustee | May 2015 | Retired. | Director, Carlyle Secured Lending, Inc. (formerly TCG BDC I, Inc.) (since 2012); Director, Carlyle Credit Solutions, Inc. (formerly TCG BDC II, Inc.) (since 2017); Trustee, Carlyle Secured Lending III (since 2021). | |||||||||||||||
| E. Lee Beard,* Born August 1951 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Dennis M. Bushe, Born January 1944 | Trustee | July 2016 | Retired. | None. | |||||||||||||||
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(Unaudited)
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
| John L. Kelly, Born April 1953 | Chair and Trustee | May 2015 | Partner, McCarvill Capital Partners (September 2016- September 2017). | Director, Caledonia Mining Corporation (since May 2012). | |||||||||||||||
| David L. Meyer, Born April 1957 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Gloria S. Nelund, Born May 1961 | Trustee | July 2016 | Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm. | TriLinc Global Impact Fund, LLC (since 2012). | |||||||||||||||
| Leigh A. Wilson, Born December 1944 | Trustee | May 2015 | Private Investor. | Chair (since 2013), Caledonia Mining Corporation. | |||||||||||||||
Interested Trustee. | |||||||||||||||||||
| David C. Brown,** Born May 1972 | Trustee | May 2015 | Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc. | Trustee, USAA Mutual Funds Trust. | |||||||||||||||
* The Board has designated Ms. Beard as its Audit Committee Financial Expert.
** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.
The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.
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(Unaudited)
Officers:
The officers of the Trust, their date of birth, their commencement of service, and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Christopher K. Dyer, Born February 1962 | President | May 2015 | Director of Mutual Fund Administration, the Adviser (since 2004); Chief Operating Officer, Victory Capital Services, Inc. (since 2020); Vice President, Victory Capital Transfer Agency, Inc. (since 2019). | ||||||||||||
| Scott A. Stahorsky, Born July 1969 | Vice President | May 2015 | Manager, Fund Administration, the Adviser (since 2015). | ||||||||||||
| Erin G. Wagner, Born February 1974 | Secretary* | May 2015- April 2022 | Associate General Counsel, the Adviser (2013-2022). | ||||||||||||
| Thomas Dusenberry, Born July 1977 | Secretary | May 2022 | Manager, Fund Administration, the Adviser (since 2022); Treasurer and Principal Financial Officer (2020-2022), Assistant Treasurer (2019), Salient MF Trust, Salient Midstream, MLP Fund and Forward Funds; Principal Financial Officer (2018-2021) and Treasurer (2020-2021), Salient Private Access Funds and Endowment PMF Funds; Senior Vice President of Fund Accounting and Operations, Salient Partners (2020-2022); Director of Fund Operations, Salient Partners (2016-2019). | ||||||||||||
| Allan Shaer, Born March 1965 | Treasurer | December 2017 | Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016). | ||||||||||||
| Christopher A. Ponte, Born March 1984 | Assistant Treasurer | May 2015 | Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018). | ||||||||||||
| Colin Kinney, Born October 1973 | Chief Compliance Officer** | July 2017- June 2022 | Chief Compliance Officer (2013-2022) and Chief Risk Officer (2009-2017), the Adviser. | ||||||||||||
| Sean Fox, Born September 1976 | Chief Compliance Officer | June 2022 | Sr. Compliance Officer, the Adviser (since 2019); Compliance Officer, the Adviser (2015-2019). | ||||||||||||
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(Unaudited)
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Chuck Booth, Born April 1960 | Anti-Money Laundering Compliance Officer and Identity Theft Officer | May 2015 | Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc. | ||||||||||||
| Jay G. Baris, Born January 1954 | Assistant Secretary | May 2015 | Partner, Sidley Austin LLP (since 2020); Partner, Shearman & Sterling LLP (2018-2020); Partner, Morrison & Foerster LLP (2011-2018). | ||||||||||||
* On April 27, 2022, Ms. Wagner resigned her position with the Trust.
** On June 10, 2022, Mr. Kinney resigned his position with the Trust.
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(Unaudited)
Proxy Voting and Portfolio Holdings Information
Proxy Voting:
Information regarding the policies and procedures each Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.
Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 months ended June 30 is available on the SEC's website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Trust files a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's website at www.sec.gov.
Expense Examples
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022, through June 30, 2022.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, 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 table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expenses in the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Account Value 1/1/22 | Actual Ending Account Value 6/30/22 | Hypothetical Ending Account Value 6/30/22 | Actual Expenses Paid During Period 1/1/22- 6/30/22* | Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* | Annualized Expense Ratio During Period 1/1/22- 6/30/22 | ||||||||||||||||||||||
| USAA Core Short-Term Bond ETF | $ | 1,000.00 | $ | 962.30 | $ | 1,023.16 | $ | 1.61 | $ | 1.66 | 0.33 | % | |||||||||||||||
| USAA Core Intermediate- Term Bond ETF | 1,000.00 | 898.10 | 1,022.76 | 1.93 | 2.06 | 0.41 | % | ||||||||||||||||||||
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
77
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Additional Federal Income Tax Information
For the year ended June 30, 2022, the following Funds designated short-term capital gain distributions:
| Amount | ||||||
USAA Core Short-Term Bond ETF | $ | 488,756 | |||||
USAA Core Intermediate-Term Bond ETF | 199,297 | ||||||
For the year ended June 30, 2022, the following Funds designated long-term capital gain distributions:
| Amount | ||||||
USAA Core Short-Term Bond ETF | $ | 802,548 | |||||
USAA Core Intermediate-Term Bond ETF | 2,839,678 | ||||||
78
Victory Portfolios II | Supplemental Information — continued June 30, 2022 | ||||||
(Unaudited)
Liquidity Risk Management Program:
The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.
Victory Capital manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every Fund investment as either highly liquid, moderately liquid, less liquid, or illiquid on at least a monthly basis. To assist with the classification of Fund investments, Victory Capital has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by Victory Capital. Victory Capital reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.
At a meeting held on February 24, 2022, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that each Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.
79
Privacy Policy
Protecting the Privacy of Information
The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.
We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.
To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic, and procedural safeguards to guard your personal information.*
* You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.
The Victory Funds
P.O. Box 182593
Columbus, Ohio 43218-2593
Visit our website at: | Call Victory at: | ||||||
www.vcm.com | 866-376-7890 | ||||||
VS-BOND-ETF-AR (6/22)
June 30, 2022
Annual Report
VictoryShares USAA MSCI USA Value Momentum ETF
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
VictoryShares USAA MSCI International Value Momentum ETF
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
vcm.com
News, Information And Education 24 Hours A Day, 7 Days A Week
The Victory Capital website gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:
• Detailed performance records
• Daily share prices
• The latest fund news
• Investment resources to help you become a better investor
• A section dedicated to investment professionals
Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.
Victory Portfolios II
TABLE OF CONTENTS
Shareholder Letter (Unaudited) | 3 | ||||||
| Managers' Commentary / Investment Overview (Unaudited) | 5 | ||||||
| Investment Objective and Portfolio Holdings (Unaudited) | 13 | ||||||
Schedules of Portfolio Investments | |||||||
| VictoryShares USAA MSCI USA Value Momentum ETF | 17 | ||||||
| VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | 22 | ||||||
| VictoryShares USAA MSCI International Value Momentum ETF | 35 | ||||||
| VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | 47 | ||||||
Financial Statements | |||||||
Statements of Assets and Liabilities | 59 | ||||||
Statements of Operations | 61 | ||||||
Statements of Changes in Net Assets | 63 | ||||||
Financial Highlights | 66 | ||||||
Notes to Financial Statements | 70 | ||||||
| Report of Independent Registered Public Accounting Firm | 84 | ||||||
Supplemental Information (Unaudited) | 85 | ||||||
Trustee and Officer Information | 85 | ||||||
Proxy Voting and Portfolio Holdings Information | 89 | ||||||
Expense Examples | 89 | ||||||
Additional Federal Income Tax Information | 90 | ||||||
Liquidity Risk Management Program | 91 | ||||||
Privacy Policy (inside back cover) | |||||||
1
IRA DISTRIBUTION WITHHOLDING DISCLOSURE
We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call 800-539-3863 and form W-4P (OMB No. 1545-0074 withholding certificate for pension or annuity payments) will be electronically sent.
If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.
For more specific information, please consult your tax adviser.
The Funds are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus of the Victory Funds.
For additional information about any Victory Fund, including fees, expenses, and risks, view our prospectus online at vcm.com or call 800-539-3863. Read it carefully before you invest or send money.
The information in this report is based on data obtained from recognized services and sources and is believed to be reliable. Any opinions, projections, or recommendations in this report are subject to change without notice and are not intended as individual investment advice. Past investment performance of the Funds, markets or securities mentioned herein should not be considered to be indicative of future results.
• NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Call Victory at:
800-539-FUND (800-539-3863)
Visit our website at:
www.vcm.com
2
Victory Funds Letter to Shareholders
(Unaudited)
Dear Shareholder,
Looking back over our most recent annual reporting period offers us a stark reminder that markets go up and down, and that investor sentiment can shift quickly.
Although most of 2021 was constructive for financial markets, the script flipped as we entered the new calendar year. More recently, investors have been focused on a host of worries. Inflation data has been running hotter than expected. The U.S. Federal Reserve (the "Fed") has embarked on a new rate-hike cycle and a terrible war is raging in Eastern Europe. All these issues, among other factors, have ratcheted up market volatility in both stock and bond markets. Many broad-market stock indices have pulled back substantially during the first half of 2022 and even entered "bear market" territory, which is typically considered a 20% pullback from the most recent highs. Meanwhile, fixed income investors are also dealing with elevated volatility, and wide swaths of the bond market have struggled in the face of rising interest rates.
Throughout the ups and downs of the past annual reporting period, there have been interesting differences playing out within the broader market. In general, large-cap stocks outperformed smaller-capitalization companies for the full annual reporting period. Meanwhile, growth-oriented styles led value-oriented investments during the earlier part of our annual reporting period, while the reverse was true during the latter segment of the reporting period (as measured by the Russell family of indices). Perhaps this reflects investors' realization and expectations for future higher interest rates and corresponding higher borrowing costs.
There were other notable subplots, too. During much of 2021 we watched crypto assets captivate investors, only to see them fall out of favor as sentiment soured. This year we've seen oil prices surge, which helped fuel gains across the energy landscape while many other sectors lagged. The Energy and Utilities sectors (and yes, Cash) have been the lone bright spots for many investor portfolios. If anything, this underscores the importance of diversification.
Looking at the numbers, we see that the S&P 500® Index, the bell-weather proxy for our domestic stock market, declined by 10.62% for the 12-month period ended June 30, 2022. Over this same annual period, the yield on the 10-Year U.S. Treasury jumped 1.53%, thanks largely to the Fed's shift toward a less accommodative monetary policy and the first rate hike in three years. At the end of our reporting period, the yield on the 10-Year U.S. Treasury finished at 2.98%.
Given the market environment of the past few months, it's no surprise that investors have become more focused on risk management and downside protection. Remember, our experience managing portfolios through various economic cycles has taught us to remain calm in the face of market turmoil. It is our view that a long-term perspective, a well-diversified portfolio across asset classes and investment types, and a clear understanding of individual risk tolerances are some of the key ingredients for staying the course and progressing on investment goals.
3
As ever, there will be challenges ahead. The Fed has declared its intent to continue raising rates until the recent elevated inflation readings decline. Labor shortages, ongoing supply chain issues, high energy prices, and the Russia-Ukraine war are among the performance detractors investors continue to navigate. There's even some chatter about a possible recession.
Although we cannot tell you with any certainty what markets will do in the future, we can assure you that the investment professionals at all our independent franchises continually monitor the environment and work hard to position portfolios opportunistically no matter what the markets bring.
On the following pages you will find information relating to your Victory Funds investment. If you have any questions regarding the current market dynamics or your specific portfolio or investment plan, we encourage you to contact your financial advisor. If you invest with us directly, you may call 800-539-3863 or visit our website at www.vcm.com.
From all of us here at Victory Capital, thank you for letting us help you work toward your investment goals.
Christopher K. Dyer, CFA
President,
Victory Funds
4
VictoryShares USAA MSCI USA Value Momentum ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy — a development investors took as an indication that the first interest rate increases may be on the way in 2022.
Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500® Index. The markets faced a shift in Fed policy, as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.
The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500® Index also posted a negative return during the quarter.
The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.
How did VictoryShares USAA MSCI USA Value Momentum ETF (the "Fund") perform during the reporting period?
The Fund returned -6.94%, underperforming its benchmark, the MSCI USA Select Value Momentum Blend Index (the "Index"), which returned -6.75% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.
In tracking the Index and its rules-based methodology, the Fund, which provides exposure to U.S. large- and mid-cap stocks with value and momentum characteristics, had a negative return over the evaluation period. The Energy, Materials, Utilities, Consumer Staples, and Health Care sectors contributed, while the Real Estate, Industrials, Financials, Information Technology, consumer discretionary, and Communication Services sectors detracted.
5
VictoryShares USAA MSCI USA Value Momentum ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/24/17 | 10/24/17 | |||||||||||||||||
Net Asset Value | Market Price Value | MSCI USA Select Value Momentum Blend Index1 | MSCI USA Index2 | ||||||||||||||||
One Year | –6.94 | % | –7.08 | % | –6.75 | % | –12.80 | % | |||||||||||
Since Inception | 5.63 | % | 5.59 | % | N/A | N/A | |||||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares USAA MSCI USA Value Momentum ETF — Growth of $10,000
1The MSCI USA Select Value Momentum Blend Index is based on MSCI USA Index, its parent index, which includes large- and mid-cap stocks in the U.S. equity market. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI USA Index is designed to measure the performance of the large- and mid-cap segments of the U.S. market. With 627 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
6
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy — a development investors took as an indication that the first interest rate increases may be on the way in 2022.
Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500® Index. The markets faced a shift in Fed policy as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.
The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500® Index also posted a negative return during the quarter.
The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.
How did VictoryShares USAA MSCI USA Small Cap Value Momentum ETF (the "Fund") perform during the reporting period?
The Fund returned -15.24%, narrowly underperforming its benchmark, the MSCI USA Small Cap Select Value Momentum Blend Index (the "Index"), which returned -15.00% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.
In tracking the Index and its rules-based methodology, the Fund, which provides exposure to U.S. small-cap stocks with value and momentum characteristics, had a negative return over the evaluation period. The Energy, Consumer Staples, Utilities, and Materials sectors contributed while the Financials, Industrials, Real Estate, Information Technology, Health Care, Consumer Discretionary, and Communication Services sectors detracted.
7
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/24/17 | 10/24/17 | |||||||||||||||||
Net Asset Value | MSCI USA | Small Cap | MSCI USA | ||||||||||||||||
One Year | –15.24 | % | –15.24 | % | –15.00 | % | –20.93 | % | |||||||||||
Since Inception | 5.51 | % |
| 5.52 | % |
| N/A |
| N/A | ||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF — Growth of $10,000
1The MSCI USA Small Cap Select Value Momentum Blend Index is based on a traditional market cap-weighted parent index, the MSCI USA Small Cap Index, which includes U.S. small-cap stocks. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI USA Small Cap Index is designed to measure the performance of the small-cap segment of the U.S. equity market. With 1,974 constituents, the index represents approximately 14% of the free float-adjusted market capitalization in the United States. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
8
VictoryShares USAA MSCI International Value
Momentum ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy — a development investors took as an indication that the first interest rate increases may be on the way in 2022.
Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500® Index. The markets faced a shift in Fed policy as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.
The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500® Index also posted a negative return during the quarter.
The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.
How did VictoryShares USAA MSCI International Value Momentum ETF (the "Fund") perform during the reporting period?
The Fund returned -16.12%, underperforming its benchmark, the MSCI World ex USA Select Value Momentum Blend Index (the "Index"), which returned -15.86% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.
In tracking the Index and its rules-based methodology, the Fund, which provides exposure to equities in non-U.S. markets with value and momentum characteristics, had a negative return over the evaluation period. The Fund's top-contributing countries were Japan, Spain, and New Zealand. The lowest-contributing countries were Belgium, Sweden, and Finland.
9
VictoryShares USAA MSCI International Value
Momentum ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/24/17 | 10/24/17 | |||||||||||||||||
Net Asset Value | MSCI World | ex USA | MSCI World | ||||||||||||||||
One Year | –16.12 | % | –15.75 | % | –15.86 | % | –16.76 | % | |||||||||||
Since Inception | –1.85 | % | –1.78 | % |
| N/A |
| N/A | |||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares USAA MSCI International Value Momentum ETF — Growth of $10,000
1The MSCI World ex USA Select Value Momentum Blend Index is based on the MSCI World ex USA (Net) Index, its parent index, which includes large- and mid-cap stocks across 22 of 23 Developed Markets (DM) countries, excluding the United States. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI World ex USA Index (Net) captures large- and mid-cap representation across 22 of 23 Developed Markets (DM) countries, excluding the United States. With 890 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
10
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF
Managers' Commentary
(Unaudited)
What were the market conditions during the reporting period?
The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy — a development investors took as an indication that the first interest rate increases may be on the way in 2022.
Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500® Index. The markets faced a shift in Fed policy as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.
The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500® Index also posted a negative return during the quarter.
The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.
How did VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Fund") perform during the reporting period?
The Fund returned -18.34%, underperforming its benchmark, the MSCI Emerging Markets Select Value Momentum Blend Index (the "Index"), which returned -17.61% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.
In tracking the Index and its rules-based methodology, the Fund, which provides exposure to equities in emerging markets with value and momentum characteristics, had a negative return over the evaluation period. The Fund's top-contributing countries were Czech Republic, Philippines, and India, which account for less than 10% of the Fund. The lowest-contributing countries were Russia, Korea, and Malaysia.
11
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF
Investment Overview
(Unaudited)
Average Annual Total Return
Year Ended June 30, 2022
INCEPTION DATE | 10/24/17 | 10/24/17 | |||||||||||||||||
Net Asset Value | MSCI Emerging | Markets | MSCI Emerging | ||||||||||||||||
One Year | –18.34 | % | –16.91 | % | –17.61 | % | –25.28 | % | |||||||||||
Since Inception | –1.56 | % | –1.30 | % |
| N/A |
| N/A | |||||||||||
The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.
Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF — Growth of $10,000
1The MSCI Emerging Markets Select Value Momentum Blend Index is based on the MSCI Emerging Markets Index (Net), its parent index, which includes large- and mid-cap stocks across 24 Emerging Markets (EM) countries. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
2The MSCI Emerging Markets Index (Net) captures large- and mid-cap representation across 24 Emerging Markets (EM) countries. With 1,380 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.
The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.
The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.
Past performance is not indicative of future results.
12
| Victory Portfolios II VictoryShares USAA MSCI USA Value Momentum ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Select Value Momentum Blend Index.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
The J.M. Smucker Co. | 1.2 | % | |||||
Northrop Grumman Corp. | 1.2 | % | |||||
Republic Services, Inc. | 1.2 | % | |||||
Consolidated Edison, Inc. | 1.2 | % | |||||
Bristol-Myers Squibb Co. | 1.1 | % | |||||
AT&T, Inc. | 1.0 | % | |||||
AbbVie, Inc. | 1.0 | % | |||||
Pfizer, Inc. | 1.0 | % | |||||
International Business Machines Corp. | 1.0 | % | |||||
Huntington Ingalls Industries, Inc. | 1.0 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
13
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Small Cap Select Value Momentum Blend Index.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Weis Markets, Inc. | 0.5 | % | |||||
Hostess Brands, Inc. | 0.5 | % | |||||
National Fuel Gas Co. | 0.5 | % | |||||
Universal Corp. | 0.5 | % | |||||
United Therapeutics Corp. | 0.5 | % | |||||
CSG Systems International, Inc. | 0.5 | % | |||||
Sanderson Farms, Inc. | 0.4 | % | |||||
Amphastar Pharmaceuticals, Inc. | 0.4 | % | |||||
Resources Connection, Inc. | 0.4 | % | |||||
Seaboard Corp. | 0.4 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
14
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI World ex USA Select Value Momentum Blend Index.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Metro, Inc. | 1.4 | % | |||||
Loblaw Cos. Ltd. | 1.3 | % | |||||
George Weston Ltd. | 1.2 | % | |||||
Elbit Systems Ltd. | 1.1 | % | |||||
GSK PLC | 1.0 | % | |||||
Novo Nordisk A/S, Class B | 0.9 | % | |||||
Koninklijke Ahold Delhaize NV | 0.9 | % | |||||
National Grid PLC | 0.9 | % | |||||
Sanofi | 0.9 | % | |||||
Tesco PLC | 0.9 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
15
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | June 30, 2022 | ||||||
(Unaudited)
Investment Objective and Portfolio Holdings:
The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI Emerging Markets Select Value Momentum Blend Index.
Top 10 Holdings*:
June 30, 2022
(% of Net Assets)
Taiwan Cooperative Financial Holding Co. Ltd. | 1.2 | % | |||||
Bank of China Ltd., Class H | 1.1 | % | |||||
Arca Continental SAB de CV | 1.1 | % | |||||
SinoPac Financial Holdings Co. Ltd. | 1.0 | % | |||||
KT&G Corp. | 1.0 | % | |||||
WPG Holdings Ltd. | 1.0 | % | |||||
IHH Healthcare Bhd | 0.9 | % | |||||
Bank of Communications Co. Ltd., Class H | 0.9 | % | |||||
Yuexiu Property Co. Ltd. | 0.9 | % | |||||
Agricultural Bank of China Ltd., Class H | 0.9 | % | |||||
Sector Allocation*:
June 30, 2022
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
16
| Victory Portfolios II VictoryShares USAA MSCI USA Value Momentum ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.3%) | |||||||||||
Communication Services (6.6%): | |||||||||||
Alphabet, Inc., Class A (a) | 503 | $ | 1,096,168 | ||||||||
AT&T, Inc. | 130,061 | 2,726,079 | |||||||||
DISH Network Corp., Class A (a) | 60,797 | 1,090,090 | |||||||||
Fox Corp., Class A | 49,766 | 1,600,475 | |||||||||
Liberty Global PLC, Class C (a) | 79,749 | 1,761,655 | |||||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 29,936 | 1,900,038 | |||||||||
Lumen Technologies, Inc. | 172,615 | 1,883,230 | |||||||||
News Corp., Class A | 94,854 | 1,477,825 | |||||||||
Omnicom Group, Inc. | 13,660 | 868,913 | |||||||||
Paramount Global, Class B | 36,755 | 907,113 | |||||||||
The Interpublic Group of Cos., Inc. | 51,262 | 1,411,243 | |||||||||
Warner Bros. Discovery, Inc. (a) (b) | 73,046 | 980,277 | |||||||||
17,703,106 | |||||||||||
Consumer Discretionary (9.9%): | |||||||||||
Advance Auto Parts, Inc. | 3,975 | 688,033 | |||||||||
AutoZone, Inc. (a) | 1,096 | 2,355,435 | |||||||||
Bath & Body Works, Inc. | 21,527 | 579,507 | |||||||||
BorgWarner, Inc. | 38,386 | 1,280,941 | |||||||||
D.R. Horton, Inc. | 21,455 | 1,420,106 | |||||||||
Dollar General Corp. | 6,562 | 1,610,577 | |||||||||
Dollar Tree, Inc. (a) | 14,145 | 2,204,498 | |||||||||
Expedia Group, Inc. (a) | 4,848 | 459,736 | |||||||||
Ford Motor Co. | 91,732 | 1,020,977 | |||||||||
General Motors Co. (a) | 33,806 | 1,073,679 | |||||||||
Genuine Parts Co. | 8,016 | 1,066,128 | |||||||||
Lear Corp. | 9,997 | 1,258,522 | |||||||||
Lennar Corp., Class A | 17,480 | 1,233,564 | |||||||||
LKQ Corp. | 27,347 | 1,342,464 | |||||||||
Mohawk Industries, Inc. (a) | 8,100 | 1,005,129 | |||||||||
Newell Brands, Inc. | 75,240 | 1,432,570 | |||||||||
PulteGroup, Inc. | 28,960 | 1,147,685 | |||||||||
Target Corp. (b) | 6,605 | 932,824 | |||||||||
Tractor Supply Co. | 11,198 | 2,170,732 | |||||||||
Ulta Beauty, Inc. (a) | 1,945 | 749,759 | |||||||||
Whirlpool Corp. | 8,884 | 1,375,865 | |||||||||
26,408,731 | |||||||||||
Consumer Staples (6.9%): | |||||||||||
Archer-Daniels-Midland Co. | 31,352 | 2,432,915 | |||||||||
Bunge Ltd. | 10,911 | 989,519 | |||||||||
Costco Wholesale Corp. | 3,486 | 1,670,770 | |||||||||
Molson Coors Beverage Co., Class B | 41,103 | 2,240,524 | |||||||||
The J.M. Smucker Co. | 25,166 | 3,221,500 | |||||||||
The Kraft Heinz Co. | 59,606 | 2,273,373 | |||||||||
The Kroger Co. | 52,220 | 2,471,573 | |||||||||
Tyson Foods, Inc., Class A | 25,254 | 2,173,359 | |||||||||
Walgreens Boots Alliance, Inc. | 21,735 | 823,756 | |||||||||
18,297,289 | |||||||||||
See notes to financial statements.
17
| Victory Portfolios II VictoryShares USAA MSCI USA Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Energy (3.3%): | |||||||||||
APA Corp. | 10,207 | $ | 356,224 | ||||||||
ConocoPhillips | 15,671 | 1,407,412 | |||||||||
Devon Energy Corp. | 16,709 | 920,833 | |||||||||
Diamondback Energy, Inc. | 7,544 | 913,955 | |||||||||
EOG Resources, Inc. | 11,363 | 1,254,930 | |||||||||
EQT Corp. | 11,649 | 400,726 | |||||||||
Exxon Mobil Corp. | 22,857 | 1,957,473 | |||||||||
Marathon Oil Corp. | 20,395 | 458,480 | |||||||||
Occidental Petroleum Corp. | 6,686 | 393,672 | |||||||||
Pioneer Natural Resources Co. | 3,374 | 752,672 | |||||||||
8,816,377 | |||||||||||
Financials (10.9%): | |||||||||||
Alleghany Corp. (a) | 1,062 | 884,752 | |||||||||
Ally Financial, Inc. | 27,874 | 934,058 | |||||||||
American International Group, Inc. | 23,571 | 1,205,185 | |||||||||
Arch Capital Group Ltd. (a) | 17,667 | 803,672 | |||||||||
Berkshire Hathaway, Inc., Class B (a) | 4,913 | 1,341,347 | |||||||||
Blackstone, Inc. | 7,425 | 677,383 | |||||||||
Capital One Financial Corp. | 9,874 | 1,028,772 | |||||||||
Citigroup, Inc. | 27,956 | 1,285,696 | |||||||||
Citizens Financial Group, Inc. | 32,793 | 1,170,382 | |||||||||
Equitable Holdings, Inc. | 45,946 | 1,197,812 | |||||||||
Everest Re Group Ltd. | 6,965 | 1,952,150 | |||||||||
Fifth Third Bancorp | 14,515 | 487,704 | |||||||||
Franklin Resources, Inc. | 34,778 | 810,675 | |||||||||
Invesco Ltd. | 70,681 | 1,140,085 | |||||||||
KKR & Co., Inc. | 14,496 | 671,020 | |||||||||
Lincoln National Corp. | 16,029 | 749,676 | |||||||||
Loews Corp. | 33,643 | 1,993,684 | |||||||||
MetLife, Inc. | 25,433 | 1,596,938 | |||||||||
Morgan Stanley | 9,776 | 743,563 | |||||||||
Prudential Financial, Inc. | 14,857 | 1,421,518 | |||||||||
Raymond James Financial, Inc. | 10,224 | 914,128 | |||||||||
Regions Financial Corp. | 63,878 | 1,197,713 | |||||||||
The Bank of New York Mellon Corp. | 17,463 | 728,382 | |||||||||
The Goldman Sachs Group, Inc. | 5,849 | 1,737,270 | |||||||||
W.R. Berkley Corp. | 15,705 | 1,072,023 | |||||||||
Wells Fargo & Co. | 32,275 | 1,264,212 | |||||||||
29,009,800 | |||||||||||
Health Care (14.2%): | |||||||||||
AbbVie, Inc. | 17,707 | 2,712,004 | |||||||||
AmerisourceBergen Corp. | 17,545 | 2,482,266 | |||||||||
Bristol-Myers Squibb Co. | 39,655 | 3,053,435 | |||||||||
Cardinal Health, Inc. | 18,386 | 961,036 | |||||||||
Centene Corp. (a) | 19,825 | 1,677,393 | |||||||||
Cigna Corp. | 7,873 | 2,074,693 | |||||||||
CVS Health Corp. | 22,956 | 2,127,103 | |||||||||
Elevance Health, Inc. | 3,781 | 1,824,635 | |||||||||
See notes to financial statements.
18
| Victory Portfolios II VictoryShares USAA MSCI USA Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Eli Lilly & Co. | 3,665 | $ | 1,188,303 | ||||||||
HCA Healthcare, Inc. | 3,365 | 565,522 | |||||||||
Horizon Therapeutics PLC (a) | 8,289 | 661,131 | |||||||||
Jazz Pharmaceuticals PLC (a) | 14,262 | 2,225,015 | |||||||||
Laboratory Corp. of America Holdings | 7,153 | 1,676,377 | |||||||||
McKesson Corp. | 7,198 | 2,348,059 | |||||||||
Merck & Co., Inc. | 15,375 | 1,401,739 | |||||||||
Moderna, Inc. (a) | 5,861 | 837,244 | |||||||||
Molina Healthcare, Inc. (a) | 5,041 | 1,409,514 | |||||||||
Pfizer, Inc. | 51,179 | 2,683,315 | |||||||||
Quest Diagnostics, Inc. | 8,618 | 1,146,022 | |||||||||
Regeneron Pharmaceuticals, Inc. (a) | 1,614 | 954,084 | |||||||||
Universal Health Services, Inc., Class B | 13,575 | 1,367,138 | |||||||||
Vertex Pharmaceuticals, Inc. (a) | 4,524 | 1,274,818 | |||||||||
Viatris, Inc. | 125,844 | 1,317,587 | |||||||||
37,968,433 | |||||||||||
Industrials (15.6%): | |||||||||||
AMERCO, Inc. | 3,727 | 1,782,363 | |||||||||
C.H. Robinson Worldwide, Inc. | 15,008 | 1,521,361 | |||||||||
Deere & Co. | 2,571 | 769,937 | |||||||||
Eaton Corp. PLC | 7,245 | 912,798 | |||||||||
FedEx Corp. | 8,693 | 1,970,790 | |||||||||
General Dynamics Corp. | 10,966 | 2,426,227 | |||||||||
Huntington Ingalls Industries, Inc. | 11,916 | 2,595,543 | |||||||||
Ingersoll Rand, Inc. (b) | 17,037 | 716,917 | |||||||||
J.B. Hunt Transport Services, Inc. | 6,288 | 990,171 | |||||||||
Jacobs Engineering Group, Inc. | 16,921 | 2,151,167 | |||||||||
Johnson Controls International PLC | 17,146 | 820,950 | |||||||||
Knight-Swift Transportation Holdings, Inc. | 44,621 | 2,065,506 | |||||||||
L3Harris Technologies, Inc. | 10,332 | 2,497,244 | |||||||||
Leidos Holdings, Inc. | 9,466 | 953,321 | |||||||||
Lockheed Martin Corp. | 2,800 | 1,203,888 | |||||||||
Northrop Grumman Corp. | 6,651 | 3,182,969 | |||||||||
Owens Corning | 16,094 | 1,195,945 | |||||||||
PACCAR, Inc. | 13,458 | 1,108,132 | |||||||||
Raytheon Technologies Corp. | 19,096 | 1,835,317 | |||||||||
Republic Services, Inc. (b) | 24,279 | 3,177,393 | |||||||||
Robert Half International, Inc. | 18,512 | 1,386,364 | |||||||||
Sensata Technologies Holding PLC | 15,478 | 639,396 | |||||||||
Snap-on, Inc. | 9,164 | 1,805,583 | |||||||||
Textron, Inc. | 23,750 | 1,450,413 | |||||||||
United Rentals, Inc. (a) | 4,832 | 1,173,741 | |||||||||
Westinghouse Air Brake Technologies Corp. | 18,028 | 1,479,738 | |||||||||
41,813,174 | |||||||||||
Information Technology (16.6%): | |||||||||||
Accenture PLC, Class A | 4,179 | 1,160,299 | |||||||||
Akamai Technologies, Inc. (a) | 13,005 | 1,187,747 | |||||||||
Apple, Inc. | 8,132 | 1,111,807 | |||||||||
Applied Materials, Inc. | 5,615 | 510,853 | |||||||||
See notes to financial statements.
19
| Victory Portfolios II VictoryShares USAA MSCI USA Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Arista Networks, Inc. (a) | 14,077 | $ | 1,319,578 | ||||||||
Arrow Electronics, Inc. (a) | 16,832 | 1,886,699 | |||||||||
Broadcom, Inc. | 3,748 | 1,820,816 | |||||||||
Cisco Systems, Inc. | 30,320 | 1,292,845 | |||||||||
Cognizant Technology Solutions Corp., Class A | 27,442 | 1,852,061 | |||||||||
Corning, Inc. | 26,759 | 843,176 | |||||||||
Dell Technologies, Inc., Class C | 37,198 | 1,718,920 | |||||||||
F5, Inc. (a) | 5,599 | 856,871 | |||||||||
Fortinet, Inc. (a) | 28,165 | 1,593,576 | |||||||||
Gartner, Inc. (a) | 6,080 | 1,470,326 | |||||||||
Hewlett Packard Enterprise Co. | 115,648 | 1,533,492 | |||||||||
HP, Inc. | 47,380 | 1,553,116 | |||||||||
Intel Corp. | 45,824 | 1,714,276 | |||||||||
International Business Machines Corp. | 18,985 | 2,680,492 | |||||||||
Intuit, Inc. | 2,093 | 806,726 | |||||||||
Jack Henry & Associates, Inc. | 6,764 | 1,217,655 | |||||||||
Juniper Networks, Inc. | 76,950 | 2,193,075 | |||||||||
Micron Technology, Inc. | 19,662 | 1,086,915 | |||||||||
NetApp, Inc. | 23,653 | 1,543,122 | |||||||||
NortonLifeLock, Inc. | 38,096 | 836,588 | |||||||||
NVIDIA Corp. | 3,195 | 484,330 | |||||||||
NXP Semiconductors NV | 4,669 | 691,152 | |||||||||
ON Semiconductor Corp. (a) | 22,231 | 1,118,442 | |||||||||
Oracle Corp. | 17,999 | 1,257,590 | |||||||||
Palo Alto Networks, Inc. (a) (b) | 1,937 | 956,762 | |||||||||
Paychex, Inc. | 9,570 | 1,089,736 | |||||||||
QUALCOMM, Inc. | 6,546 | 836,186 | |||||||||
Seagate Technology Holdings PLC | 20,026 | 1,430,657 | |||||||||
TE Connectivity Ltd. | 7,849 | 888,114 | |||||||||
VMware, Inc., Class A | 8,035 | 915,829 | |||||||||
Western Digital Corp. (a) | 22,432 | 1,005,627 | |||||||||
44,465,456 | |||||||||||
Materials (4.0%): | |||||||||||
Alcoa Corp. | 7,555 | 344,357 | |||||||||
CF Industries Holdings, Inc. | 17,660 | 1,513,992 | |||||||||
Cleveland-Cliffs, Inc. (a) | 21,461 | 329,855 | |||||||||
Corteva, Inc. | 33,097 | 1,791,872 | |||||||||
LyondellBasell Industries NV, Class A | 13,984 | 1,223,041 | |||||||||
Nucor Corp. | 14,023 | 1,464,141 | |||||||||
Steel Dynamics, Inc. | 23,407 | 1,548,373 | |||||||||
The Mosaic Co. | 24,412 | 1,152,979 | |||||||||
Westlake Corp. | 5,461 | 535,287 | |||||||||
Westrock Co. | 17,788 | 708,674 | |||||||||
10,612,571 | |||||||||||
Real Estate (5.4%): | |||||||||||
Camden Property Trust | 13,647 | 1,835,249 | |||||||||
CBRE Group, Inc., Class A (a) | 8,612 | 633,929 | |||||||||
Extra Space Storage, Inc. | 12,536 | 2,132,624 | |||||||||
Iron Mountain, Inc. | 42,764 | 2,082,179 | |||||||||
See notes to financial statements.
20
| Victory Portfolios II VictoryShares USAA MSCI USA Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Mid-America Apartment Communities, Inc. | 10,270 | $ | 1,793,861 | ||||||||
Prologis, Inc. | 16,057 | 1,889,106 | |||||||||
Public Storage | 8,088 | 2,528,875 | |||||||||
Simon Property Group, Inc. | 3,757 | 356,615 | |||||||||
Weyerhaeuser Co. | 38,177 | 1,264,422 | |||||||||
14,516,860 | |||||||||||
Utilities (5.9%): | |||||||||||
CenterPoint Energy, Inc. | 31,264 | 924,789 | |||||||||
Consolidated Edison, Inc. (b) | 33,030 | 3,141,153 | |||||||||
Constellation Energy Corp. | 18,004 | 1,030,909 | |||||||||
Edison International | 18,443 | 1,166,335 | |||||||||
Evergy, Inc. (b) | 18,841 | 1,229,375 | |||||||||
Exelon Corp. | 51,262 | 2,323,194 | |||||||||
FirstEnergy Corp. | 26,659 | 1,023,439 | |||||||||
NiSource, Inc. | 44,993 | 1,326,844 | |||||||||
PG&E Corp. (a) | 75,500 | 753,490 | |||||||||
UGI Corp. | 30,005 | 1,158,493 | |||||||||
Vistra Corp. | 77,783 | 1,777,342 | |||||||||
15,855,363 | |||||||||||
Total Common Stocks (Cost $267,371,038) | 265,467,160 | ||||||||||
Total Investments (Cost $267,371,038) — 99.3% | 265,467,160 | ||||||||||
Other assets in excess of liabilities — 0.7% | 1,993,988 | ||||||||||
NET ASSETS — 100.00% | $ | 267,461,148 | |||||||||
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini S&P 500 Futures | 9 | 9/16/22 | $ | 1,762,408 | $ | 1,705,275 | $ | (57,133 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (57,133 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (57,133 | ) | ||||||||||||||||||||
See notes to financial statements.
21
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.2%) | |||||||||||
Communication Services (3.0%): | |||||||||||
AMC Networks, Inc., Class A (a) (b) | 14,172 | $ | 412,689 | ||||||||
Cars.com, Inc. (a) | 33,470 | 315,622 | |||||||||
Consolidated Communications Holdings, Inc. (a) | 36,321 | 254,247 | |||||||||
EchoStar Corp., Class A (a) | 33,521 | 646,955 | |||||||||
Entercom Communications Corp. (a) | 207,767 | 195,758 | |||||||||
Gannett Co., Inc. (a) | 48,306 | 140,087 | |||||||||
Gray Television, Inc. | 28,465 | 480,774 | |||||||||
IDT Corp., Class B (a) | 5,876 | 147,782 | |||||||||
Liberty Latin America Ltd., Class C (a) | 29,615 | 230,701 | |||||||||
Lions Gate Entertainment Corp., Class A (a) | 39,033 | 363,397 | |||||||||
Nexstar Media Group, Inc., Class A | 3,562 | 580,179 | |||||||||
Scholastic Corp. | 19,320 | 694,941 | |||||||||
TEGNA, Inc. | 35,966 | 754,207 | |||||||||
Telephone & Data Systems, Inc. | 42,532 | 671,580 | |||||||||
The EW Scripps Co., Class A (a) | 25,013 | 311,912 | |||||||||
Thryv Holdings, Inc. (a) | 10,287 | 230,326 | |||||||||
United States Cellular Corp. (a) | 27,692 | 801,960 | |||||||||
WideOpenWest, Inc. (a) | 25,463 | 463,681 | |||||||||
7,696,798 | |||||||||||
Consumer Discretionary (11.7%): | |||||||||||
Abercrombie & Fitch Co. (a) | 14,282 | 241,651 | |||||||||
Academy Sports & Outdoors, Inc. | 16,027 | 569,600 | |||||||||
Adtalem Global Education, Inc. (a) | 11,056 | 397,684 | |||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 26,837 | 202,083 | |||||||||
Asbury Automotive Group, Inc. (a) | 1,503 | 254,518 | |||||||||
AutoNation, Inc. (a) | 6,039 | 674,919 | |||||||||
Big Lots, Inc. | 7,375 | 154,654 | |||||||||
Boot Barn Holdings, Inc. (a) | 6,000 | 413,460 | |||||||||
Caleres, Inc. | 17,353 | 455,343 | |||||||||
Capri Holdings Ltd. (a) | 8,049 | 330,089 | |||||||||
Carriage Services, Inc. | 8,089 | 320,729 | |||||||||
Century Communities, Inc. | 7,351 | 330,574 | |||||||||
Chico's FAS, Inc. (a) | 42,336 | 210,410 | |||||||||
Clarus Corp. | 18,296 | 347,441 | |||||||||
Dana, Inc. | 26,013 | 366,003 | |||||||||
Dick's Sporting Goods, Inc. (b) | 5,756 | 433,830 | |||||||||
Dillard's, Inc., Class A | 1,691 | 372,984 | |||||||||
Ethan Allen Interiors, Inc. | 32,344 | 653,672 | |||||||||
Foot Locker, Inc. | 7,697 | 194,349 | |||||||||
Franchise Group, Inc. | 12,869 | 451,316 | |||||||||
Funko, Inc., Class A (a) | 25,039 | 558,870 | |||||||||
Genesco, Inc. (a) | 6,547 | 326,761 | |||||||||
G-III Apparel Group Ltd. (a) | 15,459 | 312,736 | |||||||||
Golden Entertainment, Inc. (a) | 8,132 | 321,621 | |||||||||
Graham Holdings Co., Class B | 1,615 | 915,447 | |||||||||
Grand Canyon Education, Inc. (a) | 4,491 | 423,007 | |||||||||
Green Brick Partners, Inc. (a) | 26,366 | 515,983 | |||||||||
See notes to financial statements.
22
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Group 1 Automotive, Inc. | 2,795 | $ | 474,591 | ||||||||
H&R Block, Inc. | 28,085 | 991,962 | |||||||||
Haverty Furniture Cos., Inc. (b) | 12,472 | 289,101 | |||||||||
Hibbett, Inc. | 4,662 | 203,776 | |||||||||
Hilton Grand Vacations, Inc. (a) | 5,807 | 207,484 | |||||||||
Hovnanian Enterprises, Inc., Class A (a) | 6,600 | 282,414 | |||||||||
Hyatt Hotels Corp., Class A (a) | 3,955 | 292,314 | |||||||||
KB Home | 13,797 | 392,663 | |||||||||
Kohl's Corp. (c) | 7,839 | 279,774 | |||||||||
Laureate Education, Inc., Class A | 56,202 | 650,257 | |||||||||
M/I Homes, Inc. (a) | 9,777 | 387,756 | |||||||||
Macy's, Inc. | 20,683 | 378,913 | |||||||||
MarineMax, Inc. (a) | 11,522 | 416,175 | |||||||||
Mattel, Inc. (a) | 13,808 | 308,333 | |||||||||
MDC Holdings, Inc. | 15,255 | 492,889 | |||||||||
Meritage Homes Corp. (a) | 6,152 | 446,020 | |||||||||
Modine Manufacturing Co. (a) | 44,350 | 467,005 | |||||||||
Movado Group, Inc. | 14,369 | 444,433 | |||||||||
Murphy USA, Inc. | 4,656 | 1,084,243 | |||||||||
Penske Automotive Group, Inc. | 5,569 | 583,019 | |||||||||
Perdoceo Education Corp. (a) | 72,215 | 850,693 | |||||||||
Playa Hotels & Resorts NV (a) | 28,947 | 198,866 | |||||||||
PVH Corp. | 2,470 | 140,543 | |||||||||
Qurate Retail, Inc., Class A | 110,111 | 316,019 | |||||||||
Service Corp. International | 6,976 | 482,181 | |||||||||
Shoe Carnival, Inc. | 15,903 | 343,664 | |||||||||
Signet Jewelers Ltd. | 6,078 | 324,930 | |||||||||
Skyline Champion Corp. (a) | 8,696 | 412,364 | |||||||||
Smith & Wesson Brands, Inc. | 38,312 | 503,036 | |||||||||
Sonic Automotive, Inc., Class A | 10,074 | 369,011 | |||||||||
Standard Motor Products, Inc. | 10,682 | 480,583 | |||||||||
Strategic Education, Inc. | 5,511 | 388,966 | |||||||||
Stride, Inc. (a) | 15,964 | 651,171 | |||||||||
Tapestry, Inc. | 7,070 | 215,776 | |||||||||
Taylor Morrison Home Corp. (a) | 15,840 | 370,022 | |||||||||
Tenneco, Inc., Class A (a) | 31,464 | 539,922 | |||||||||
The Aaron's Co., Inc. | 26,466 | 385,080 | |||||||||
The Buckle, Inc. | 9,193 | 254,554 | |||||||||
The Container Store Group, Inc. (a) | 23,973 | 149,352 | |||||||||
The Goodyear Tire & Rubber Co. (a) | 36,323 | 389,019 | |||||||||
The ODP Corp. (a) | 12,799 | 387,042 | |||||||||
Toll Brothers, Inc. | 11,109 | 495,461 | |||||||||
TravelCenters of America, Inc. (a) | 10,920 | 376,412 | |||||||||
Tri Pointe Homes, Inc. (a) | 25,457 | 429,460 | |||||||||
Vista Outdoor, Inc. (a) | 12,131 | 338,455 | |||||||||
Zumiez, Inc. (a) | 14,283 | 371,358 | |||||||||
29,986,796 | |||||||||||
Consumer Staples (5.7%): | |||||||||||
Cal-Maine Foods, Inc. | 10,586 | 523,054 | |||||||||
Coca-Cola Consolidated, Inc. | 1,393 | 785,513 | |||||||||
See notes to financial statements.
23
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Edgewell Personal Care Co. | 19,635 | $ | 677,800 | ||||||||
Flowers Foods, Inc. | 33,193 | 873,640 | |||||||||
Fresh Del Monte Produce, Inc. | 25,639 | 757,120 | |||||||||
Hostess Brands, Inc. (a) | 63,520 | 1,347,259 | |||||||||
Ingles Markets, Inc., Class A | 11,604 | 1,006,647 | |||||||||
Ingredion, Inc. | 7,195 | 634,311 | |||||||||
MGP Ingredients, Inc. | 3,413 | 341,607 | |||||||||
Pilgrim's Pride Corp. (a) | 32,397 | 1,011,759 | |||||||||
Sanderson Farms, Inc. | 5,221 | 1,125,282 | |||||||||
Seaboard Corp. | 283 | 1,098,770 | |||||||||
SpartanNash Co. | 20,064 | 605,331 | |||||||||
Sprouts Farmers Market, Inc. (a) | 17,112 | 433,276 | |||||||||
The Andersons, Inc. | 16,319 | 538,364 | |||||||||
United Natural Foods, Inc. (a) | 10,048 | 395,891 | |||||||||
Universal Corp. | 20,328 | 1,229,844 | |||||||||
Weis Markets, Inc. (c) | 18,178 | 1,354,988 | |||||||||
14,740,456 | |||||||||||
Energy (3.6%): | |||||||||||
Antero Resources Corp. (a) | 16,061 | 492,270 | |||||||||
Arch Resources, Inc. | 3,924 | 561,485 | |||||||||
Berry Corp. | 45,286 | 345,079 | |||||||||
Callon Petroleum Co. (a) | 4,127 | 161,778 | |||||||||
Centennial Resource Development, Inc., Class A (a) | 54,445 | 325,581 | |||||||||
Civitas Resources, Inc. | 8,781 | 459,159 | |||||||||
CNX Resources Corp. (a) | 12,016 | 197,783 | |||||||||
Comstock Resources, Inc. (a) | 12,950 | 156,436 | |||||||||
CONSOL Energy, Inc. (a) | 3,635 | 179,496 | |||||||||
Dorian LPG Ltd. | 50,102 | 761,550 | |||||||||
Gran Tierra Energy, Inc. (a) | 124,763 | 143,477 | |||||||||
Helix Energy Solutions Group, Inc. (a) | 96,513 | 299,190 | |||||||||
International Seaways, Inc. | 32,060 | 679,672 | |||||||||
Kosmos Energy Ltd. (a) | 27,827 | 172,249 | |||||||||
Laredo Petroleum, Inc. (a) | 6,011 | 414,398 | |||||||||
Matador Resources Co. | 4,939 | 230,108 | |||||||||
Murphy Oil Corp. | 13,179 | 397,874 | |||||||||
Oasis Petroleum, Inc. | 1,892 | 230,162 | |||||||||
Ovintiv, Inc. | 10,466 | 462,493 | |||||||||
Patterson-UTI Energy, Inc. | 11,931 | 188,033 | |||||||||
PBF Energy, Inc., Class A (a) | 6,174 | 179,170 | |||||||||
PDC Energy, Inc. | 6,967 | 429,237 | |||||||||
Peabody Energy Corp. (a) (c) | 21,805 | 465,101 | |||||||||
SandRidge Energy, Inc. (a) | 9,505 | 148,943 | |||||||||
SilverBow Resources, Inc. (a) | 5,810 | 164,772 | |||||||||
SM Energy Co. | 11,260 | 384,979 | |||||||||
Transocean Ltd. (a) | 105,714 | 352,028 | |||||||||
Whiting Petroleum Corp. | 5,738 | 390,356 | |||||||||
9,372,859 | |||||||||||
See notes to financial statements.
24
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (10.4%): | |||||||||||
A-Mark Precious Metals, Inc. | 7,844 | $ | 252,969 | ||||||||
Amerant Bancorp, Inc. | 12,171 | 342,249 | |||||||||
American Equity Investment Life Holding Co. | 11,154 | 407,902 | |||||||||
Associated Banc-Corp. | 16,640 | 303,846 | |||||||||
Assured Guaranty Ltd. | 10,036 | 559,908 | |||||||||
Axis Capital Holdings Ltd. | 7,658 | 437,195 | |||||||||
BancFirst Corp. | 4,701 | 449,933 | |||||||||
Berkshire Hills Bancorp, Inc. | 10,661 | 264,073 | |||||||||
Blucora, Inc. (a) | 16,867 | 311,365 | |||||||||
Brighthouse Financial, Inc. (a) | 9,495 | 389,485 | |||||||||
BrightSpire Capital, Inc. | 23,520 | 177,576 | |||||||||
Chimera Investment Corp. | 60,284 | 531,705 | |||||||||
Cowen, Inc., Class A | 21,523 | 509,880 | |||||||||
Customers Bancorp, Inc. (a) | 12,079 | 409,478 | |||||||||
CVB Financial Corp. | 21,350 | 529,694 | |||||||||
Dime Community Bancshares, Inc. | 13,248 | 392,803 | |||||||||
Encore Capital Group, Inc. (a) | 7,037 | 406,528 | |||||||||
Enova International, Inc. (a) | 12,798 | 368,838 | |||||||||
Enstar Group Ltd. (a) | 3,908 | 836,234 | |||||||||
First BanCorp/Puerto Rico | 20,920 | 270,077 | |||||||||
First Horizon Corp. | 13,702 | 299,526 | |||||||||
Flagstar Bancorp, Inc. | 17,714 | 627,961 | |||||||||
Flushing Financial Corp. | 16,090 | 342,073 | |||||||||
FNB Corp. | 60,515 | 657,193 | |||||||||
Franklin BSP Realty Trust, Inc. (b) | 18,679 | 251,793 | |||||||||
Genworth Financial, Inc. (a) | 127,866 | 451,367 | |||||||||
Granite Point Mortgage Trust, Inc. | 37,407 | 357,985 | |||||||||
Hancock Whitney Corp. | 5,489 | 243,327 | |||||||||
Hanmi Financial Corp. | 15,740 | 353,206 | |||||||||
HarborOne Bancorp, Inc. | 40,085 | 552,772 | |||||||||
Hope Bancorp, Inc. | 52,391 | 725,091 | |||||||||
Jefferies Financial Group, Inc. | 22,899 | 632,470 | |||||||||
Metropolitan Bank Holding Corp. (a) | 6,977 | 484,343 | |||||||||
MFA Financial, Inc. | 14,239 | 153,069 | |||||||||
MGIC Investment Corp. | 41,074 | 517,532 | |||||||||
Midland States Bancorp, Inc. | 32,089 | 771,420 | |||||||||
Mr. Cooper Group, Inc. (a) | 11,115 | 408,365 | |||||||||
National Western Life Group, Inc., Class A | 3,278 | 664,451 | |||||||||
Navient Corp. | 32,954 | 461,026 | |||||||||
Nelnet, Inc., Class A | 5,852 | 498,883 | |||||||||
New Residential Investment Corp. | 20,756 | 193,446 | |||||||||
New York Community Bancorp, Inc. | 43,830 | 400,168 | |||||||||
Nicolet Bankshares, Inc. (a) | 13,012 | 941,288 | |||||||||
OceanFirst Financial Corp. | 19,062 | 364,656 | |||||||||
OFG Bancorp | 11,359 | 288,519 | |||||||||
Old Republic International Corp. | 18,804 | 420,457 | |||||||||
Pennymac Financial Services | 10,653 | 465,643 | |||||||||
Popular, Inc. | 8,731 | 671,676 | |||||||||
ProAssurance Corp. | 16,968 | 400,954 | |||||||||
See notes to financial statements.
25
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Radian Group, Inc. | 14,342 | $ | 281,820 | ||||||||
Ready Capital Corp. | 17,212 | 205,167 | |||||||||
Safety Insurance Group, Inc. (c) | 7,428 | 721,259 | |||||||||
ServisFirst Bancshares, Inc. | 5,916 | 466,891 | |||||||||
SiriusPoint Ltd. (a) | 114,543 | 620,823 | |||||||||
The Hanover Insurance Group, Inc. | 3,549 | 519,041 | |||||||||
TPG RE Finance Trust, Inc. | 18,839 | 169,739 | |||||||||
United Fire Group, Inc. | 11,472 | 392,687 | |||||||||
Universal Insurance Holdings, Inc. | 65,289 | 850,716 | |||||||||
Unum Group | 17,702 | 602,222 | |||||||||
Wintrust Financial Corp. | 3,608 | 289,181 | |||||||||
26,871,944 | |||||||||||
Health Care (22.5%): | |||||||||||
Acadia Healthcare Co., Inc. (a) | 8,763 | 592,642 | |||||||||
AdaptHealth Corp. (a) | 29,495 | 532,090 | |||||||||
Addus HomeCare Corp. (a) | 9,785 | 814,895 | |||||||||
Adicet Bio, Inc. (a) | 18,046 | 263,472 | |||||||||
Agiliti, Inc. (a) | 13,542 | 277,746 | |||||||||
Alkermes PLC (a) | 27,295 | 813,118 | |||||||||
Allscripts Healthcare Solutions, Inc. (a) | 35,312 | 523,677 | |||||||||
AMN Healthcare Services, Inc. (a) | 7,989 | 876,473 | |||||||||
Amneal Pharmaceuticals, Inc. (a) | 113,519 | 360,990 | |||||||||
Amphastar Pharmaceuticals, Inc. (a) | 32,172 | 1,119,264 | |||||||||
AnaptysBio, Inc. (a) | 7,443 | 151,093 | |||||||||
Anavex Life Sciences Corp. (a) (b) | 17,097 | 171,141 | |||||||||
AngioDynamics, Inc. (a) | 34,432 | 666,259 | |||||||||
ANI Pharmaceuticals, Inc. (a) | 16,990 | 504,093 | |||||||||
Anika Therapeutics, Inc. (a) (b) | 10,890 | 243,065 | |||||||||
Apollo Medical Holdings, Inc. (a) (b) | 10,208 | 393,927 | |||||||||
Arvinas, Inc. (a) | 4,275 | 179,935 | |||||||||
Atea Pharmaceuticals, Inc. (a) | 33,545 | 238,169 | |||||||||
AtriCure, Inc. (a) | 5,818 | 237,723 | |||||||||
Atrion Corp. | 781 | 491,140 | |||||||||
Avanos Medical, Inc. (a) | 23,272 | 636,256 | |||||||||
Avid Bioservices, Inc. (a) | 10,673 | 162,870 | |||||||||
BioCryst Pharmaceuticals, Inc. (a) | 10,954 | 115,893 | |||||||||
BioLife Solutions, Inc. (a) | 10,884 | 150,308 | |||||||||
Bioventus, Inc., Class A (a) | 28,116 | 191,751 | |||||||||
Bruker Corp. | 7,625 | 478,545 | |||||||||
Cassava Sciences, Inc. (a) (b) | 4,439 | 124,825 | |||||||||
Catalyst Pharmaceuticals, Inc. (a) | 63,758 | 446,944 | |||||||||
Celldex Therapeutics, Inc. (a) | 13,300 | 358,568 | |||||||||
Cerevel Therapeutics Holdings, Inc. (a) | 19,478 | 514,998 | |||||||||
Change Healthcare, Inc. (a) | 24,530 | 565,662 | |||||||||
ChemoCentryx, Inc. (a) | 6,874 | 170,338 | |||||||||
Collegium Pharmaceutical, Inc. (a) | 27,182 | 481,665 | |||||||||
Computer Programs and Systems, Inc. (a) | 26,564 | 849,251 | |||||||||
CONMED Corp. | 5,342 | 511,550 | |||||||||
Corcept Therapeutics, Inc. (a) | 27,417 | 651,976 | |||||||||
CorVel Corp. (a) | 5,670 | 835,021 | |||||||||
See notes to financial statements.
26
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Covetrus, Inc. (a) | 26,898 | $ | 558,134 | ||||||||
Cross Country Healthcare, Inc. (a) | 32,972 | 686,807 | |||||||||
Cutera, Inc. (a) | 3,789 | 142,088 | |||||||||
Cytokinetics, Inc. (a) | 11,830 | 464,801 | |||||||||
Dynavax Technologies Corp. (a) (b) | 33,450 | 421,136 | |||||||||
Eagle Pharmaceuticals, Inc. (a) | 18,614 | 827,020 | |||||||||
Emergent BioSolutions, Inc. (a) | 14,429 | 447,876 | |||||||||
Enanta Pharmaceuticals, Inc. (a) | 14,695 | 694,633 | |||||||||
Encompass Health Corp. | 6,547 | 366,959 | |||||||||
Endo International PLC (a) (b) | 66,806 | 31,112 | |||||||||
Enovis Corp. (a) | 4,480 | 246,400 | |||||||||
Envista Holdings Corp. (a) | 11,378 | 438,508 | |||||||||
Evolent Health, Inc., Class A (a) | 17,712 | 543,936 | |||||||||
Evolus, Inc. (a) | 15,635 | 181,366 | |||||||||
Exelixis, Inc. (a) | 38,394 | 799,363 | |||||||||
Fulcrum Therapeutics, Inc. (a) (c) | 26,280 | 128,772 | |||||||||
Fulgent Genetics, Inc. (a) | 6,558 | 357,608 | |||||||||
Globus Medical, Inc. (a) | 6,689 | 375,520 | |||||||||
Hanger, Inc. (a) | 19,244 | 275,574 | |||||||||
Harmony Biosciences Holdings, Inc. (a) | 13,178 | 642,691 | |||||||||
HealthStream, Inc. (a) | 25,220 | 547,526 | |||||||||
ICU Medical, Inc. (a) | 4,244 | 697,671 | |||||||||
Ideaya Biosciences, Inc. (a) | 19,119 | 263,842 | |||||||||
Innoviva, Inc. (a) | 44,574 | 657,912 | |||||||||
Inspire Medical Systems, Inc. (a) | 1,178 | 215,185 | |||||||||
Integer Holdings Corp. (a) | 8,717 | 615,943 | |||||||||
Integra LifeSciences Holdings Corp. (a) | 14,247 | 769,765 | |||||||||
Intellia Therapeutics, Inc. (a) | 2,258 | 116,874 | |||||||||
Intra-Cellular Therapies, Inc. (a) | 7,142 | 407,665 | |||||||||
iRhythm Technologies, Inc. (a) | 3,146 | 339,862 | |||||||||
Ironwood Pharmaceuticals, Inc. (a) | 77,127 | 889,274 | |||||||||
iTeos Therapeutics, Inc. (a) | 22,321 | 459,813 | |||||||||
IVERIC bio, Inc. (a) | 31,542 | 303,434 | |||||||||
Kezar Life Sciences, Inc. (a) | 34,316 | 283,793 | |||||||||
Krystal Biotech, Inc. (a) | 3,474 | 228,103 | |||||||||
Lantheus Holdings, Inc. (a) | 14,953 | 987,347 | |||||||||
LeMaitre Vascular, Inc. | 9,832 | 447,848 | |||||||||
LHC Group, Inc. (a) | 2,437 | 379,538 | |||||||||
Ligand Pharmaceuticals, Inc. (a) | 2,612 | 233,043 | |||||||||
LivaNova PLC (a) | 9,262 | 578,597 | |||||||||
MEDNAX, Inc. (a) | 23,230 | 488,062 | |||||||||
Medpace Holdings, Inc. (a) | 2,683 | 401,565 | |||||||||
Meridian Bioscience, Inc. (a) (b) | 19,420 | 590,756 | |||||||||
Merit Medical Systems, Inc. (a) | 13,177 | 715,116 | |||||||||
Mesa Laboratories, Inc. | 1,948 | 397,275 | |||||||||
ModivCare, Inc. (a) | 3,633 | 306,988 | |||||||||
Multiplan Corp. (a) (b) | 51,525 | 282,872 | |||||||||
Myriad Genetics, Inc. (a) | 18,228 | 331,203 | |||||||||
National HealthCare Corp. (c) | 15,375 | 1,074,713 | |||||||||
Natus Medical, Inc. (a) | 26,899 | 881,480 | |||||||||
See notes to financial statements.
27
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
NextGen Healthcare, Inc. (a) | 33,868 | $ | 590,658 | ||||||||
NuVasive, Inc. (a) | 7,039 | 346,037 | |||||||||
Ocugen, Inc. (a) (b) | 56,660 | 128,618 | |||||||||
Omnicell, Inc. (a) | 3,273 | 372,304 | |||||||||
OPKO Health, Inc. (a) | 130,099 | 329,150 | |||||||||
OptimizeRx Corp. (a) (c) | 5,413 | 148,262 | |||||||||
Option Care Health, Inc. (a) | 20,327 | 564,887 | |||||||||
OraSure Technologies, Inc. (a) | 75,655 | 205,025 | |||||||||
Orthofix Medical, Inc. (a) | 27,142 | 638,923 | |||||||||
Owens & Minor, Inc. | 10,411 | 327,426 | |||||||||
Pacira BioSciences, Inc. (a) | 11,449 | 667,477 | |||||||||
Patterson Cos., Inc. (c) | 12,652 | 383,356 | |||||||||
Perrigo Co. PLC | 24,155 | 979,968 | |||||||||
Phibro Animal Health Corp., Class A | 18,131 | 346,846 | |||||||||
Premier, Inc., Class A | 26,417 | 942,559 | |||||||||
Prestige Consumer Healthcare, Inc. (a) | 18,338 | 1,078,274 | |||||||||
Prothena Corp. PLC (a) | 13,714 | 372,335 | |||||||||
QuidelOrtho Corp. (a) | 2,376 | 230,900 | |||||||||
R1 RCM, Inc. (a) | 15,152 | 317,586 | |||||||||
RadNet, Inc. (a) | 11,481 | 198,392 | |||||||||
REGENXBIO, Inc. (a) | 12,054 | 297,734 | |||||||||
Repligen Corp. (a) | 2,025 | 328,860 | |||||||||
Select Medical Holdings Corp. | 23,500 | 555,070 | |||||||||
Shockwave Medical, Inc. (a) | 1,846 | 352,900 | |||||||||
SIGA Technologies, Inc. (b) | 40,831 | 472,823 | |||||||||
Sorrento Therapeutics, Inc. (a) (b) | 119,234 | 239,660 | |||||||||
Supernus Pharmaceuticals, Inc. (a) | 23,896 | 691,072 | |||||||||
Surgery Partners, Inc. (a) (b) | 9,061 | 262,044 | |||||||||
Syneos Health, Inc. (a) | 8,632 | 618,742 | |||||||||
Tandem Diabetes Care, Inc. (a) | 2,505 | 148,271 | |||||||||
Tenet Healthcare Corp. (a) | 5,476 | 287,819 | |||||||||
The Ensign Group, Inc. | 9,758 | 716,920 | |||||||||
The Joint Corp. (a) | 5,105 | 78,158 | |||||||||
Tilray, Inc., Class 2 (a) (b) | 68,825 | 214,734 | |||||||||
Travere Therapeutics, Inc. (a) | 10,786 | 261,345 | |||||||||
Tricida, Inc. (a) (b) | 20,939 | 202,690 | |||||||||
United Therapeutics Corp. (a) | 5,072 | 1,195,166 | |||||||||
Vanda Pharmaceuticals, Inc. (a) | 59,477 | 648,299 | |||||||||
Varex Imaging Corp. (a) | 30,570 | 653,892 | |||||||||
Xenon Pharmaceuticals, Inc. (a) | 13,138 | 399,658 | |||||||||
58,015,542 | |||||||||||
Industrials (14.0%): | |||||||||||
AAR Corp. (a) | 5,006 | 209,451 | |||||||||
ACCO Brands Corp. | 74,498 | 486,472 | |||||||||
Acuity Brands, Inc. | 2,153 | 331,648 | |||||||||
Air Lease Corp. | 13,550 | 452,977 | |||||||||
Air Transport Services Group, Inc. (a) | 30,611 | 879,454 | |||||||||
ArcBest Corp. | 8,244 | 580,130 | |||||||||
Argan, Inc. | 26,533 | 990,212 | |||||||||
Atkore, Inc. (a) | 5,064 | 420,363 | |||||||||
See notes to financial statements.
28
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 7,717 | $ | 476,216 | ||||||||
Avis Budget Group, Inc. (a) (c) | 2,287 | 336,372 | |||||||||
Beacon Roofing Supply, Inc. (a) | 4,651 | 238,875 | |||||||||
BlueLinx Holdings, Inc. (a) | 2,268 | 151,525 | |||||||||
Boise Cascade Co. | 8,182 | 486,747 | |||||||||
Builders FirstSource, Inc. (a) | 8,585 | 461,015 | |||||||||
Carlisle Cos., Inc. | 4,106 | 979,733 | |||||||||
CBIZ, Inc. (a) | 26,538 | 1,060,458 | |||||||||
Comfort Systems USA, Inc. | 4,585 | 381,243 | |||||||||
Ducommun, Inc. (a) | 6,087 | 261,984 | |||||||||
DXP Enterprises, Inc. (a) | 18,021 | 551,983 | |||||||||
Eagle Bulk Shipping, Inc. | 3,207 | 166,379 | |||||||||
EMCOR Group, Inc. | 4,240 | 436,550 | |||||||||
Encore Wire Corp. | 7,685 | 798,625 | |||||||||
EnPro Industries, Inc. | 7,034 | 576,296 | |||||||||
FTI Consulting, Inc. (a) | 3,770 | 681,804 | |||||||||
GATX Corp. | 4,328 | 407,524 | |||||||||
Genco Shipping & Trading Ltd. | 25,024 | 483,464 | |||||||||
GMS, Inc. (a) | 10,634 | 473,213 | |||||||||
Granite Construction, Inc. | 8,680 | 252,935 | |||||||||
Heidrick & Struggles International, Inc. | 22,620 | 731,983 | |||||||||
Herc Holdings, Inc. | 1,677 | 151,182 | |||||||||
Hub Group, Inc., Class A (a) | 12,698 | 900,796 | |||||||||
Insteel Industries, Inc. | 8,034 | 270,505 | |||||||||
Interface, Inc. | 18,082 | 226,748 | |||||||||
JetBlue Airways Corp. (a) | 23,740 | 198,704 | |||||||||
KAR Auction Services, Inc. (a) | 17,025 | 251,459 | |||||||||
Kelly Services, Inc., Class A | 33,149 | 657,345 | |||||||||
Kforce, Inc. | 6,596 | 404,599 | |||||||||
Kirby Corp. (a) | 11,111 | 675,993 | |||||||||
Korn Ferry | 5,916 | 343,246 | |||||||||
ManpowerGroup, Inc. | 3,964 | 302,889 | |||||||||
Marten Transport Ltd. | 27,400 | 460,868 | |||||||||
Matson, Inc. | 8,493 | 618,970 | |||||||||
Matthews International Corp., Class A | 11,469 | 328,816 | |||||||||
McGrath RentCorp | 5,806 | 441,256 | |||||||||
Meritor, Inc. (a) | 7,022 | 255,109 | |||||||||
MRC Global, Inc. (a) | 21,287 | 212,019 | |||||||||
Mueller Industries, Inc. | 14,264 | 760,129 | |||||||||
MYR Group, Inc. (a) | 3,713 | 327,227 | |||||||||
Nielsen Holdings PLC | 13,687 | 317,812 | |||||||||
NOW, Inc. (a) | 55,612 | 543,885 | |||||||||
NV5 Global, Inc. (a) | 2,446 | 285,546 | |||||||||
nVent Electric PLC | 24,045 | 753,330 | |||||||||
Primoris Services Corp. | 25,396 | 552,617 | |||||||||
Quanex Building Products Corp. | 14,770 | 336,017 | |||||||||
Regal Rexnord Corp. | 6,396 | 726,074 | |||||||||
Resideo Technologies, Inc. (a) | 16,223 | 315,051 | |||||||||
Resources Connection, Inc. | 54,650 | 1,113,220 | |||||||||
REV Group, Inc. | 36,409 | 395,766 | |||||||||
See notes to financial statements.
29
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Rush Enterprises, Inc., Class A | 17,333 | $ | 835,451 | ||||||||
Ryder System, Inc. | 8,049 | 571,962 | |||||||||
Saia, Inc. (a) | 1,480 | 278,240 | |||||||||
Schneider National, Inc., Class B | 24,235 | 542,379 | |||||||||
SkyWest, Inc. (a) | 16,587 | 352,474 | |||||||||
Sterling Infrastructure, Inc. (a) | 21,999 | 482,218 | |||||||||
The Greenbrier Cos., Inc. | 13,027 | 468,842 | |||||||||
The Manitowoc Co., Inc. (a) | 38,203 | 402,278 | |||||||||
Titan International, Inc. (a) | 11,055 | 166,930 | |||||||||
Titan Machinery, Inc. (a) | 13,561 | 303,902 | |||||||||
Triton International Ltd. | 13,363 | 703,562 | |||||||||
TrueBlue, Inc. (a) | 32,317 | 578,474 | |||||||||
Tutor Perini Corp. (a) | 43,691 | 383,607 | |||||||||
UFP Industries, Inc. | 9,168 | 624,708 | |||||||||
Univar Solutions, Inc. (a) | 10,446 | 259,792 | |||||||||
Veritiv Corp. (a) | 3,440 | 373,412 | |||||||||
Wabash National Corp. | 22,638 | 307,424 | |||||||||
WESCO International, Inc. (a) | 4,408 | 472,097 | |||||||||
35,980,561 | |||||||||||
Information Technology (15.8%): | |||||||||||
A10 Networks, Inc. | 42,890 | 616,758 | |||||||||
Alpha & Omega Semiconductor Ltd. (a) | 10,601 | 353,437 | |||||||||
Amkor Technology, Inc. | 27,322 | 463,108 | |||||||||
Avnet, Inc. | 21,614 | 926,808 | |||||||||
Axcelis Technologies, Inc. (a) | 8,801 | 482,647 | |||||||||
Belden, Inc. | 12,076 | 643,288 | |||||||||
Benchmark Electronics, Inc. | 34,416 | 776,425 | |||||||||
Bread Financial Holdings, Inc. | 7,907 | 293,033 | |||||||||
Calix, Inc. (a) | 4,463 | 152,367 | |||||||||
CDK Global, Inc. | 8,649 | 473,706 | |||||||||
Ciena Corp. (a) | 13,441 | 614,254 | |||||||||
Clearfield, Inc. (a) | 9,277 | 574,710 | |||||||||
CMC Materials, Inc. | 1,785 | 311,465 | |||||||||
Cohu, Inc. (a) | 8,301 | 230,353 | |||||||||
Comtech Telecommunications Corp. | 32,122 | 291,347 | |||||||||
Concentrix Corp. | 3,674 | 498,341 | |||||||||
Conduent, Inc. (a) | 84,604 | 365,489 | |||||||||
Consensus Cloud Solutions, Inc. (a) | 5,755 | 251,378 | |||||||||
CSG Systems International, Inc. | 19,951 | 1,190,676 | |||||||||
CTS Corp. | 9,747 | 331,885 | |||||||||
Digi International, Inc. (a) | 31,194 | 755,519 | |||||||||
Diodes, Inc. (a) | 9,234 | 596,239 | |||||||||
DXC Technology Co. (a) | 15,893 | 481,717 | |||||||||
E2open Parent Holdings, Inc. (a) | 71,669 | 557,585 | |||||||||
Eastman Kodak Co. (a) | 87,067 | 403,991 | |||||||||
Ebix, Inc. (b) | 12,934 | 218,585 | |||||||||
ePlus, Inc. (a) | 15,505 | 823,626 | |||||||||
ExlService Holdings, Inc. (a) | 6,744 | 993,593 | |||||||||
Fabrinet (a) | 8,536 | 692,270 | |||||||||
First Solar, Inc. (a) | 4,910 | 334,518 | |||||||||
See notes to financial statements.
30
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Flex Ltd. (a) | 19,796 | $ | 286,448 | ||||||||
Grid Dynamics Holdings, Inc. (a) | 15,529 | 261,198 | |||||||||
Harmonic, Inc. (a) | 37,794 | 327,674 | |||||||||
Ichor Holdings Ltd. (a) | 7,796 | 202,540 | |||||||||
II-VI, Inc. (a) | 5,356 | 272,888 | |||||||||
Insight Enterprises, Inc. (a) | 8,100 | 698,868 | |||||||||
International Money Express, Inc. (a) | 17,014 | 348,277 | |||||||||
Jabil, Inc. | 12,125 | 620,921 | |||||||||
Kimball Electronics, Inc. (a) | 42,455 | 853,345 | |||||||||
Knowles Corp. (a) | 44,118 | 764,565 | |||||||||
Kulicke & Soffa Industries, Inc. | 13,236 | 566,633 | |||||||||
Lumentum Holdings, Inc. (a) | 7,429 | 590,011 | |||||||||
Magnachip Semiconductor Corp. (a) | 15,015 | 218,168 | |||||||||
Mandiant, Inc. (a) | 13,240 | 288,897 | |||||||||
Marathon Digital Holdings, Inc. (a) (b) | 7,621 | 40,696 | |||||||||
MaxLinear, Inc. (a) | 11,589 | 393,794 | |||||||||
Methode Electronics, Inc. | 18,141 | 671,943 | |||||||||
NCR Corp. (a) | 16,571 | 515,524 | |||||||||
NeoPhotonics Corp. (a) | 28,660 | 450,822 | |||||||||
NETGEAR, Inc. (a) | 32,869 | 608,734 | |||||||||
NetScout Systems, Inc. (a) | 26,455 | 895,502 | |||||||||
Onto Innovation, Inc. (a) | 7,633 | 532,325 | |||||||||
PC Connection, Inc. | 9,327 | 410,854 | |||||||||
PDF Solutions, Inc. (a) | 11,445 | 246,182 | |||||||||
Perficient, Inc. (a) | 7,568 | 693,910 | |||||||||
Photronics, Inc. (a) | 40,693 | 792,700 | |||||||||
Rambus, Inc. (a) | 32,388 | 696,018 | |||||||||
Ribbon Communications, Inc. (a) | 131,966 | 401,177 | |||||||||
Riot Blockchain, Inc. (a) (b) | 26,422 | 110,708 | |||||||||
Rogers Corp. (a) | 2,704 | 708,691 | |||||||||
Sanmina Corp. (a) | 19,445 | 791,995 | |||||||||
ScanSource, Inc. (a) | 18,949 | 590,072 | |||||||||
SiTime Corp. (a) | 3,024 | 493,003 | |||||||||
SMART Global Holdings, Inc. (a) | 21,334 | 349,238 | |||||||||
SolarWinds Corp. | 30,106 | 308,586 | |||||||||
Super Micro Computer, Inc. (a) | 14,173 | 571,881 | |||||||||
Switch, Inc., Class A | 12,618 | 422,703 | |||||||||
Synaptics, Inc. (a) | 3,163 | 373,392 | |||||||||
TD SYNNEX Corp. | 7,250 | 660,475 | |||||||||
The Hackett Group, Inc. | 19,887 | 377,256 | |||||||||
TTM Technologies, Inc. (a) | 68,258 | 853,225 | |||||||||
Ultra Clean Holdings, Inc. (a) | 12,069 | 359,294 | |||||||||
Veeco Instruments, Inc. (a) | 9,781 | 189,751 | |||||||||
Verint Systems, Inc. (a) | 20,017 | 847,720 | |||||||||
Viasat, Inc. (a) | 13,030 | 399,109 | |||||||||
Vishay Intertechnology, Inc. | 40,262 | 717,469 | |||||||||
Vishay Precision Group, Inc. (a) | 13,075 | 380,875 | |||||||||
Vonage Holdings Corp. (a) | 32,076 | 604,312 | |||||||||
Xerox Holdings Corp. | 34,980 | 519,453 | |||||||||
Xperi Holding Corp. | 37,519 | 541,399 | |||||||||
40,520,339 | |||||||||||
See notes to financial statements.
31
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (3.5%): | |||||||||||
AdvanSix, Inc. | 12,670 | $ | 423,685 | ||||||||
Alpha Metallurgical Resources, Inc. | 3,787 | 489,015 | |||||||||
American Vanguard Corp. | 16,132 | 360,550 | |||||||||
Clearwater Paper Corp. (a) | 18,007 | 605,575 | |||||||||
Commercial Metals Co. | 20,718 | 685,766 | |||||||||
FutureFuel Corp. | 49,583 | 360,964 | |||||||||
Huntsman Corp. | 10,140 | 287,469 | |||||||||
Intrepid Potash, Inc. (a) | 2,943 | 133,288 | |||||||||
Louisiana-Pacific Corp. | 8,872 | 464,981 | |||||||||
LSB Industries, Inc. (a) | 9,538 | 132,197 | |||||||||
Mercer International, Inc. | 52,117 | 685,339 | |||||||||
Olin Corp. | 9,901 | 458,218 | |||||||||
Ramaco Resources, Inc. | 13,565 | 178,380 | |||||||||
Reliance Steel & Aluminum Co. | 5,632 | 956,652 | |||||||||
Ryerson Holding Corp. | 17,928 | 381,687 | |||||||||
Schnitzer Steel Industries, Inc. | 15,781 | 518,248 | |||||||||
SunCoke Energy, Inc. | 65,134 | 443,563 | |||||||||
TimkenSteel Corp. (a) | 9,701 | 181,506 | |||||||||
Tronox Holdings PLC, Class A | 23,749 | 398,983 | |||||||||
United States Steel Corp. | 18,548 | 332,195 | |||||||||
Warrior Met Coal, Inc. | 18,540 | 567,509 | |||||||||
9,045,770 | |||||||||||
Real Estate (6.7%): | |||||||||||
American Campus Communities, Inc. | 5,086 | 327,894 | |||||||||
Anywhere Real Estate, Inc. (a) | 28,241 | 277,609 | |||||||||
Bluerock Residential Growth REIT, Inc. | 7,621 | 200,356 | |||||||||
Brixmor Property Group, Inc. | 11,365 | 229,687 | |||||||||
Centerspace | 4,663 | 380,268 | |||||||||
City Office REIT, Inc. | 48,437 | 627,259 | |||||||||
CoreCivic, Inc. (a) | 53,106 | 590,008 | |||||||||
CubeSmart | 10,838 | 462,999 | |||||||||
EastGroup Properties, Inc. | 5,672 | 875,360 | |||||||||
Farmland Partners, Inc. | 28,244 | 389,767 | |||||||||
First Industrial Realty Trust, Inc. | 10,362 | 491,988 | |||||||||
Gladstone Land Corp. | 39,126 | 867,032 | |||||||||
Independence Realty Trust, Inc. | 32,239 | 668,314 | |||||||||
Jones Lang LaSalle, Inc. (a) | 3,246 | 567,596 | |||||||||
Life Storage, Inc. | 7,991 | 892,275 | |||||||||
LXP Industrial Trust | 40,220 | 431,963 | |||||||||
Marcus & Millichap, Inc. | 9,605 | 355,289 | |||||||||
National Storage Affiliates Trust | 17,714 | 886,940 | |||||||||
NexPoint Residential Trust, Inc. | 9,387 | 586,781 | |||||||||
One Liberty Properties, Inc. | 13,439 | 349,145 | |||||||||
Plymouth Industrial REIT, Inc. | 33,727 | 591,572 | |||||||||
PotlatchDeltic Corp. | 15,539 | 686,668 | |||||||||
PS Business Parks, Inc. | 5,838 | 1,092,582 | |||||||||
Rayonier, Inc. | 12,292 | 459,475 | |||||||||
RE/MAX Holdings, Inc. | 10,371 | 254,297 | |||||||||
Rexford Industrial Realty, Inc. | 14,834 | 854,290 | |||||||||
See notes to financial statements.
32
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
| RPT Realty | 19,267 | $ | 189,395 | ||||||||
SITE Centers Corp. | 16,050 | 216,193 | |||||||||
STAG Industrial, Inc. | 14,852 | 458,630 | |||||||||
Tanger Factory Outlet Centers, Inc. | 26,754 | 380,442 | |||||||||
The GEO Group, Inc. (a) (b) | 89,333 | 589,598 | |||||||||
UMH Properties, Inc. | 20,432 | 360,829 | |||||||||
Urstadt Biddle Properties, Inc., Class A | 15,557 | 252,023 | |||||||||
Whitestone REIT | 24,448 | 262,816 | |||||||||
17,107,340 | |||||||||||
Utilities (2.3%): | |||||||||||
Hawaiian Electric Industries, Inc. | 17,628 | 720,985 | |||||||||
MDU Resources Group, Inc. | 18,072 | 487,763 | |||||||||
National Fuel Gas Co. | 19,547 | 1,291,079 | |||||||||
Otter Tail Corp. (c) | 9,312 | 625,115 | |||||||||
Pinnacle West Capital Corp. | 5,946 | 434,772 | |||||||||
South Jersey Industries, Inc. | 10,652 | 363,659 | |||||||||
Southwest Gas Holdings, Inc. | 12,213 | 1,063,508 | |||||||||
Spire, Inc. | 6,827 | 507,724 | |||||||||
Unitil Corp. (c) | 7,919 | 465,004 | |||||||||
5,959,609 | |||||||||||
Total Common Stocks (Cost $262,175,815) | 255,298,014 | ||||||||||
Rights (0.0%) (d) | |||||||||||
Health Care (0.0%): | |||||||||||
Achillion Pharmaceuticals, CVR (a) (e) (f) | 17,954 | 4,129 | |||||||||
Zogenix, Inc., CVR (a) (e) (f) | 9,491 | 6,454 | |||||||||
10,583 | |||||||||||
Total Rights (Cost $—) | 10,583 | ||||||||||
Collateral for Securities Loaned (1.6%)^ | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (g) | 126,242 | 126,242 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (g) | 63,001 | 63,001 | |||||||||
HSBC U.S. Government Money Market Fund I Shares, 1.46% (g) | 785,747 | 785,747 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (g) | 502,349 | 502,349 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (g) | 335,010 | 335,010 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (g) | 2,258,659 | 2,258,659 | |||||||||
Total Collateral for Securities Loaned (Cost $4,071,008) | 4,071,008 | ||||||||||
Total Investments (Cost $266,246,823) — 100.8% | 259,379,605 | ||||||||||
Liabilities in excess of other assets — (0.8)% | (2,023,155 | ) | |||||||||
NET ASSETS — 100.00% | $ | 257,356,450 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
See notes to financial statements.
33
| Victory Portfolios II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(b) All or a portion of this security is on loan.
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Amount represents less than 0.05% of net assets.
(e) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.5% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) Rate disclosed is the daily yield on June 30, 2022.
CVR — Contingent Value Right
PLC — Public Limited Company
REIT — Real Estate Investment Trust
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini Russell 2000 Index Futures | 22 | 9/16/22 | $ | 1,946,580 | $ | 1,878,800 | $ | (67,780 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (67,780 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (67,780 | ) | ||||||||||||||||||||
See notes to financial statements.
34
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (99.2%) | |||||||||||
Australia (4.0%): | |||||||||||
Information Technology (0.8%): | |||||||||||
Computershare Ltd. | 126,111 | $ | 2,136,784 | ||||||||
Materials (1.0%): | |||||||||||
BlueScope Steel Ltd. | 136,932 | 1,497,163 | |||||||||
South32 Ltd. | 542,501 | 1,469,818 | |||||||||
2,966,981 | |||||||||||
Real Estate (1.7%): | |||||||||||
Dexus | 345,734 | 2,111,164 | |||||||||
Goodman Group | 67,160 | 823,896 | |||||||||
Stockland | 480,804 | 1,193,554 | |||||||||
Vicinity Centres | 492,216 | 621,096 | |||||||||
4,749,710 | |||||||||||
Utilities (0.5%): | |||||||||||
Origin Energy Ltd. | 373,637 | 1,472,216 | |||||||||
11,325,691 | |||||||||||
Austria (0.6%): | |||||||||||
Energy (0.4%): | |||||||||||
OMV AG | 25,099 | 1,174,486 | |||||||||
Materials (0.2%): | |||||||||||
voestalpine AG | 25,288 | 536,147 | |||||||||
1,710,633 | |||||||||||
Belgium (1.4%): | |||||||||||
Consumer Discretionary (0.3%): | |||||||||||
D'ieteren Group | 4,435 | 647,263 | |||||||||
Financials (0.5%): | |||||||||||
Sofina SA | 7,027 | 1,432,537 | |||||||||
Health Care (0.3%): | |||||||||||
UCB SA | 10,533 | 887,982 | |||||||||
Utilities (0.3%): | |||||||||||
Elia Group SA | 6,173 | 872,518 | |||||||||
3,840,300 | |||||||||||
Canada (11.7%): | |||||||||||
Communication Services (0.4%): | |||||||||||
Shaw Communications, Inc., Class B (a) | 35,732 | 1,050,672 | |||||||||
Consumer Discretionary (0.7%): | |||||||||||
Dollarama, Inc. | 24,514 | 1,408,565 | |||||||||
Magna International, Inc. | 10,048 | 550,558 | |||||||||
1,959,123 | |||||||||||
See notes to financial statements.
35
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Consumer Staples (4.6%): | |||||||||||
Alimentation Couche-Tard, Inc. | 24,939 | $ | 970,725 | ||||||||
Empire Co. Ltd., Class A | 40,191 | 1,235,376 | |||||||||
George Weston Ltd. | 29,460 | 3,434,164 | |||||||||
Loblaw Cos. Ltd. | 40,318 | 3,628,448 | |||||||||
Metro, Inc. | 71,045 | 3,805,186 | |||||||||
13,073,899 | |||||||||||
Energy (1.5%): | |||||||||||
ARC Resources Ltd. | 38,012 | 478,263 | |||||||||
Cenovus Energy, Inc. | 51,960 | 986,473 | |||||||||
Imperial Oil Ltd. | 28,235 | 1,328,191 | |||||||||
Tourmaline Oil Corp. | 29,261 | 1,518,228 | |||||||||
4,311,155 | |||||||||||
Financials (1.5%): | |||||||||||
Bank of Montreal | 22,263 | 2,136,295 | |||||||||
Canadian Imperial Bank of Commerce | 22,331 | 1,082,143 | |||||||||
Fairfax Financial Holdings Ltd. | 1,803 | 953,391 | |||||||||
4,171,829 | |||||||||||
Industrials (0.4%): | |||||||||||
WSP Global, Inc. | 9,447 | 1,065,868 | |||||||||
Materials (1.4%): | |||||||||||
First Quantum Minerals Ltd. | 17,597 | 333,128 | |||||||||
Nutrien Ltd. | 23,141 | 1,838,974 | |||||||||
Teck Resources Ltd., Class B | 32,152 | 981,048 | |||||||||
West Fraser Timber Co. Ltd. | 11,849 | 907,264 | |||||||||
4,060,414 | |||||||||||
Real Estate (0.6%): | |||||||||||
RioCan Real Estate Investment Trust | 105,604 | 1,638,972 | |||||||||
Utilities (0.6%): | |||||||||||
AltaGas Ltd. | 78,872 | 1,660,656 | |||||||||
32,992,588 | |||||||||||
Denmark (1.6%): | |||||||||||
Financials (0.3%): | |||||||||||
Danske Bank A/S | 54,887 | 773,920 | |||||||||
Health Care (0.9%): | |||||||||||
Novo Nordisk A/S, Class B | 23,396 | 2,589,122 | |||||||||
Industrials (0.4%): | |||||||||||
AP Moller - Maersk A/S, Class B | 557 | 1,296,314 | |||||||||
4,659,356 | |||||||||||
Finland (0.7%): | |||||||||||
Information Technology (0.5%): | |||||||||||
Nokia Oyj | 279,115 | 1,295,444 | |||||||||
Utilities (0.2%): | |||||||||||
Fortum Oyj | 39,717 | 594,387 | |||||||||
1,889,831 | |||||||||||
See notes to financial statements.
36
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
France (11.1%): | |||||||||||
Communication Services (2.6%): | |||||||||||
Bollore SE | 384,222 | $ | 1,775,440 | ||||||||
Orange SA | 196,922 | 2,309,875 | |||||||||
Publicis Groupe SA | 24,230 | 1,181,951 | |||||||||
Vivendi SE | 197,128 | 1,998,216 | |||||||||
7,265,482 | |||||||||||
Consumer Discretionary (1.9%): | |||||||||||
Cie Generale des Etablissements Michelin SCA | 60,627 | 1,646,353 | |||||||||
EssilorLuxottica SA | 6,449 | 963,443 | |||||||||
Hermes International | 907 | 1,011,750 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,523 | 926,190 | |||||||||
Renault SA (b) | 35,524 | 883,523 | |||||||||
5,431,259 | |||||||||||
Consumer Staples (0.7%): | |||||||||||
Carrefour SA (c) | 112,414 | 1,984,371 | |||||||||
Financials (1.0%): | |||||||||||
BNP Paribas SA | 22,562 | 1,070,040 | |||||||||
Credit Agricole SA | 112,125 | 1,023,453 | |||||||||
Societe Generale SA | 39,085 | 853,591 | |||||||||
2,947,084 | |||||||||||
Health Care (1.4%): | |||||||||||
Euroapi SA (b) | — | — | |||||||||
Ipsen SA | 14,434 | 1,358,851 | |||||||||
Sanofi | 25,123 | 2,530,344 | |||||||||
3,889,195 | |||||||||||
Industrials (1.8%): | |||||||||||
Bouygues SA | 51,101 | 1,568,508 | |||||||||
Cie de Saint-Gobain | 24,882 | 1,065,093 | |||||||||
Dassault Aviation SA | 4,915 | 765,103 | |||||||||
Eiffage SA | 8,450 | 758,665 | |||||||||
Thales SA | 6,979 | 854,016 | |||||||||
5,011,385 | |||||||||||
Information Technology (0.5%): | |||||||||||
Capgemini SE | 8,750 | 1,495,183 | |||||||||
Materials (0.2%): | |||||||||||
Arkema SA | 7,443 | 660,784 | |||||||||
Utilities (1.0%): | |||||||||||
Electricite de France SA | 156,297 | 1,275,500 | |||||||||
Engie SA | 64,238 | 736,447 | |||||||||
Veolia Environnement SA (b) (c) | 28,240 | 687,600 | |||||||||
2,699,547 | |||||||||||
31,384,290 | |||||||||||
See notes to financial statements.
37
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Germany (5.9%): | |||||||||||
Consumer Discretionary (1.7%): | |||||||||||
Bayerische Motoren Werke AG | 19,065 | $ | 1,464,162 | ||||||||
Mercedes-Benz Group AG | 18,230 | 1,052,409 | |||||||||
Porsche Automobil Holding SE, Preference Shares | 16,428 | 1,084,059 | |||||||||
Volkswagen AG, Preference Shares | 8,158 | 1,086,733 | |||||||||
4,687,363 | |||||||||||
Financials (0.6%): | |||||||||||
Commerzbank AG (b) | 132,666 | 927,315 | |||||||||
Deutsche Bank AG, Registered Shares | 104,042 | 904,751 | |||||||||
1,832,066 | |||||||||||
Health Care (1.5%): | |||||||||||
Bayer AG, Registered Shares | 28,880 | 1,712,517 | |||||||||
Fresenius SE & Co. KGaA | 48,058 | 1,451,995 | |||||||||
Merck KGaA | 6,041 | 1,016,801 | |||||||||
4,181,313 | |||||||||||
Industrials (1.0%): | |||||||||||
Daimler Truck Holding AG (b) | 51,981 | 1,353,692 | |||||||||
Deutsche Post AG, Registered Shares | 20,669 | 772,281 | |||||||||
Rheinmetall AG | 3,359 | 773,617 | |||||||||
2,899,590 | |||||||||||
Materials (0.6%): | |||||||||||
Covestro AG (d) | 15,214 | 524,560 | |||||||||
HeidelbergCement AG | 24,407 | 1,169,662 | |||||||||
1,694,222 | |||||||||||
Utilities (0.5%): | |||||||||||
E.ON SE | 99,799 | 835,510 | |||||||||
Uniper SE | 31,562 | 467,558 | |||||||||
1,303,068 | |||||||||||
16,597,622 | |||||||||||
Hong Kong (4.0%): | |||||||||||
Consumer Staples (0.7%): | |||||||||||
WH Group Ltd. (d) | 2,461,764 | 1,901,158 | |||||||||
Industrials (1.7%): | |||||||||||
CK Hutchison Holdings Ltd. | 326,344 | 2,206,277 | |||||||||
Jardine Matheson Holdings Ltd. | 39,100 | 2,055,096 | |||||||||
SITC International Holdings Co. Ltd. | 182,199 | 515,464 | |||||||||
4,776,837 | |||||||||||
Real Estate (1.2%): | |||||||||||
CK Asset Holdings Ltd. | 347,623 | 2,458,672 | |||||||||
Hongkong Land Holdings Ltd. | 209,900 | 1,053,698 | |||||||||
3,512,370 | |||||||||||
See notes to financial statements.
38
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Utilities (0.4%): | |||||||||||
CK Infrastructure Holdings Ltd. | 165,982 | $ | 1,017,431 | ||||||||
11,207,796 | |||||||||||
Israel (6.0%): | |||||||||||
Financials (3.0%): | |||||||||||
Bank Hapoalim BM | 257,857 | 2,146,998 | |||||||||
Bank Leumi Le-Israel BM | 254,065 | 2,252,536 | |||||||||
Israel Discount Bank Ltd., Class A | 346,221 | 1,795,290 | |||||||||
Mizrahi Tefahot Bank Ltd. | 68,197 | 2,249,119 | |||||||||
8,443,943 | |||||||||||
Health Care (0.4%): | |||||||||||
Teva Pharmaceutical Industries Ltd., ADR (b) | 142,455 | 1,071,262 | |||||||||
Industrials (1.2%): | |||||||||||
Elbit Systems Ltd. | 13,371 | 3,043,662 | |||||||||
Zim Integrated Shipping Services Ltd. | 10,348 | 488,736 | |||||||||
3,532,398 | |||||||||||
Information Technology (0.3%): | |||||||||||
Tower Semiconductor Ltd. (b) | 16,342 | 759,203 | |||||||||
Materials (0.5%): | |||||||||||
ICL Group Ltd. | 155,352 | 1,405,738 | |||||||||
Real Estate (0.6%): | |||||||||||
Azrieli Group Ltd. | 25,669 | 1,791,329 | |||||||||
17,003,873 | |||||||||||
Italy (0.9%): | |||||||||||
Communication Services (0.3%): | |||||||||||
Telecom Italia SpA (b) | 3,568,496 | 931,548 | |||||||||
Energy (0.2%): | |||||||||||
Eni SpA | 53,986 | 639,346 | |||||||||
Financials (0.4%): | |||||||||||
UniCredit SpA | 98,333 | 931,898 | |||||||||
2,502,792 | |||||||||||
Japan (25.1%): | |||||||||||
Communication Services (1.0%): | |||||||||||
Dentsu Group, Inc. | 9,200 | 275,956 | |||||||||
KDDI Corp. | 34,800 | 1,098,651 | |||||||||
Nippon Telegraph & Telephone Corp. | 46,600 | 1,336,378 | |||||||||
SoftBank Group Corp. | 6,200 | 238,909 | |||||||||
2,949,894 | |||||||||||
Consumer Discretionary (3.9%): | |||||||||||
Aisin Corp. | 19,000 | 587,391 | |||||||||
Bridgestone Corp. (c) | 25,700 | 936,403 | |||||||||
Denso Corp. | 11,500 | 610,150 | |||||||||
Honda Motor Co. Ltd. | 30,400 | 736,868 | |||||||||
Iida Group Holdings Co. Ltd. | 46,600 | 716,554 | |||||||||
See notes to financial statements.
39
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Isuzu Motors Ltd. | 48,900 | $ | 540,274 | ||||||||
Mazda Motor Corp. | 74,000 | 604,615 | |||||||||
Nissan Motor Co. Ltd. (c) | 151,400 | 588,638 | |||||||||
Open House Group Co. Ltd. | 7,100 | 282,213 | |||||||||
Panasonic Corp. | 38,100 | 307,509 | |||||||||
Sekisui House Ltd. | 56,700 | 991,848 | |||||||||
Subaru Corp. | 44,200 | 784,574 | |||||||||
Sumitomo Electric Industries Ltd. | 67,400 | 743,680 | |||||||||
Toyota Industries Corp. | 12,000 | 741,968 | |||||||||
Toyota Motor Corp. | 60,300 | 932,097 | |||||||||
USS Co. Ltd. | 27,200 | 470,301 | |||||||||
Yamaha Motor Co. Ltd. | 29,600 | 541,648 | |||||||||
11,116,731 | |||||||||||
Consumer Staples (1.8%): | |||||||||||
Ajinomoto Co., Inc. | 41,500 | 1,008,060 | |||||||||
Asahi Group Holdings Ltd. | 24,400 | 798,336 | |||||||||
Japan Tobacco, Inc. | 76,200 | 1,315,853 | |||||||||
Seven & i Holdings Co. Ltd. | 24,700 | 957,601 | |||||||||
Suntory Beverage & Food Ltd. | 28,300 | 1,068,632 | |||||||||
5,148,482 | |||||||||||
Energy (0.9%): | |||||||||||
ENEOS Holdings, Inc. | 237,000 | 896,153 | |||||||||
Idemitsu Kosan Co. Ltd. | 38,244 | 920,525 | |||||||||
Inpex Corp. | 61,700 | 667,616 | |||||||||
2,484,294 | |||||||||||
Financials (3.8%): | |||||||||||
Concordia Financial Group Ltd. | 208,800 | 722,358 | |||||||||
Daiwa Securities Group, Inc. | 85,700 | 382,277 | |||||||||
Japan Post Bank Co. Ltd. | 123,500 | 959,056 | |||||||||
Japan Post Holdings Co. Ltd. | 128,800 | 918,774 | |||||||||
Japan Post Insurance Co. Ltd. | 48,500 | 775,043 | |||||||||
Mitsubishi HC Capital, Inc. | 89,400 | 411,942 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 157,600 | 846,148 | |||||||||
Mizuho Financial Group, Inc. | 81,800 | 929,060 | |||||||||
ORIX Corp. | 39,400 | 660,074 | |||||||||
Resona Holdings, Inc. | 212,500 | 794,754 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 29,700 | 881,458 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 28,200 | 867,660 | |||||||||
The Chiba Bank Ltd. | 137,600 | 750,518 | |||||||||
The Shizuoka Bank Ltd. | 144,100 | 864,462 | |||||||||
10,763,584 | |||||||||||
Health Care (0.6%): | |||||||||||
Ono Pharmaceutical Co. Ltd. | 16,900 | 433,152 | |||||||||
Shionogi & Co. Ltd. | 15,100 | 761,919 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 15,600 | 438,414 | |||||||||
1,633,485 | |||||||||||
See notes to financial statements.
40
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Industrials (5.2%): | |||||||||||
AGC, Inc. | 18,800 | $ | 660,086 | ||||||||
Dai Nippon Printing Co. Ltd. | 35,300 | 760,280 | |||||||||
Fuji Electric Co. Ltd. | 14,700 | 608,104 | |||||||||
Hitachi Ltd. | 15,100 | 715,570 | |||||||||
ITOCHU Corp. | 37,800 | 1,020,298 | |||||||||
Kajima Corp. | 75,900 | 869,871 | |||||||||
Marubeni Corp. | 78,600 | 708,155 | |||||||||
Mitsubishi Corp. | 33,100 | 983,583 | |||||||||
Mitsubishi Heavy Industries Ltd. | 10,200 | 356,255 | |||||||||
Mitsui & Co. Ltd. | 39,800 | 877,267 | |||||||||
Mitsui Osk Lines Ltd. | 20,900 | 477,675 | |||||||||
NGK Insulators Ltd. | 50,100 | 674,122 | |||||||||
Nippon Express Holdings, Inc. | 6,700 | 363,468 | |||||||||
Nippon Yusen KK | 7,100 | 484,465 | |||||||||
Obayashi Corp. | 116,900 | 847,569 | |||||||||
Shimizu Corp. | 152,600 | 842,442 | |||||||||
Sumitomo Corp. | 67,500 | 922,656 | |||||||||
Taisei Corp. | 30,400 | 945,420 | |||||||||
TOPPAN, Inc. | 42,100 | 702,519 | |||||||||
Toshiba Corp. | 7,800 | 316,639 | |||||||||
Toyota Tsusho Corp. | 17,200 | 560,863 | |||||||||
14,697,307 | |||||||||||
Information Technology (3.5%): | |||||||||||
Brother Industries Ltd. | 45,100 | 791,752 | |||||||||
Canon, Inc. (c) | 38,500 | 874,259 | |||||||||
FUJIFILM Holdings Corp. | 17,000 | 910,721 | |||||||||
Fujitsu Ltd. | 5,700 | 711,792 | |||||||||
Hirose Electric Co. Ltd. | 3,600 | 477,244 | |||||||||
Ibiden Co. Ltd. | 15,200 | 427,956 | |||||||||
Kyocera Corp. | 18,900 | 1,009,447 | |||||||||
NEC Corp. | 19,300 | 748,673 | |||||||||
NTT Data Corp. | 47,900 | 661,444 | |||||||||
Renesas Electronics Corp. (b) | 45,200 | 410,229 | |||||||||
Ricoh Co. Ltd. | 78,700 | 614,631 | |||||||||
Rohm Co. Ltd. | 9,200 | 640,624 | |||||||||
Seiko Epson Corp. | 44,500 | 628,906 | |||||||||
SUMCO Corp. (a) | 18,500 | 239,531 | |||||||||
TDK Corp. | 9,800 | 302,249 | |||||||||
Tokyo Electron Ltd. | 1,400 | 456,516 | |||||||||
9,905,974 | |||||||||||
Materials (1.7%): | |||||||||||
JFE Holdings, Inc. | 45,200 | 475,772 | |||||||||
Mitsubishi Chemical Holdings Corp. | 72,700 | 394,390 | |||||||||
Mitsui Chemicals, Inc. | 32,100 | 682,853 | |||||||||
Nippon Steel Corp. | 38,300 | 535,363 | |||||||||
Oji Holdings Corp. | 167,300 | 724,099 | |||||||||
Sumitomo Chemical Co. Ltd. | 181,300 | 708,625 | |||||||||
See notes to financial statements.
41
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Sumitomo Metal Mining Co. Ltd. | 15,700 | $ | 491,149 | ||||||||
Tosoh Corp. | 56,000 | 694,564 | |||||||||
4,706,815 | |||||||||||
Real Estate (1.0%): | |||||||||||
Daito Trust Construction Co. Ltd. | 8,900 | 767,134 | |||||||||
Daiwa House Industry Co. Ltd. | 30,200 | 702,900 | |||||||||
Hulic Co. Ltd. | 110,700 | 855,581 | |||||||||
Nippon Building Fund, Inc. | 75 | 373,192 | |||||||||
2,698,807 | |||||||||||
Utilities (1.7%): | |||||||||||
Chubu Electric Power Co., Inc. | 117,200 | 1,178,427 | |||||||||
Osaka Gas Co. Ltd. | 64,100 | 1,224,862 | |||||||||
The Kansai Electric Power Co., Inc. | 103,900 | 1,027,872 | |||||||||
Tokyo Electric Power Co. Holdings, Inc. (b) | 208,900 | 871,858 | |||||||||
Tokyo Gas Co. Ltd. | 26,500 | 547,536 | |||||||||
4,850,555 | |||||||||||
70,955,928 | |||||||||||
Luxembourg (0.3%): | |||||||||||
Materials (0.3%): | |||||||||||
ArcelorMittal SA | 37,565 | 844,744 | |||||||||
Netherlands (2.7%): | |||||||||||
Consumer Staples (0.9%): | |||||||||||
Koninklijke Ahold Delhaize NV | 99,319 | 2,581,279 | |||||||||
Financials (1.3%): | |||||||||||
ABN AMRO Bank NV (d) | 46,846 | 524,767 | |||||||||
Aegon NV | 239,530 | 1,033,715 | |||||||||
ING Groep NV | 48,187 | 475,104 | |||||||||
NN Group NV | 34,521 | 1,564,133 | |||||||||
3,597,719 | |||||||||||
Industrials (0.1%): | |||||||||||
AerCap Holdings NV (b) | 7,539 | 308,647 | |||||||||
Information Technology (0.2%): | |||||||||||
ASM International NV | 2,222 | 554,263 | |||||||||
Materials (0.2%): | |||||||||||
OCI NV | 14,823 | 487,834 | |||||||||
7,529,742 | |||||||||||
Norway (1.4%): | |||||||||||
Energy (0.7%): | |||||||||||
Equinor ASA | 59,113 | 2,049,562 | |||||||||
Industrials (0.3%): | |||||||||||
Kongsberg Gruppen ASA | 26,428 | 944,263 | |||||||||
See notes to financial statements.
42
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (0.4%): | |||||||||||
Norsk Hydro ASA | 202,177 | $ | 1,128,782 | ||||||||
4,122,607 | |||||||||||
Portugal (0.4%): | |||||||||||
Consumer Staples (0.4%): | |||||||||||
Jeronimo Martins SGPS SA | 56,309 | 1,220,922 | |||||||||
Singapore (2.2%): | |||||||||||
Consumer Staples (0.7%): | |||||||||||
Wilmar International Ltd. | 723,700 | 2,100,847 | |||||||||
Industrials (0.4%): | |||||||||||
Keppel Corp. Ltd. | 233,300 | 1,087,962 | |||||||||
Real Estate (1.1%): | |||||||||||
CapitaLand Investment Ltd. | 801,200 | 2,199,169 | |||||||||
City Developments Ltd. | 161,700 | 946,939 | |||||||||
3,146,108 | |||||||||||
6,334,917 | |||||||||||
Spain (2.6%): | |||||||||||
Communication Services (0.7%): | |||||||||||
Telefonica SA | 373,053 | 1,896,212 | |||||||||
Energy (0.5%): | |||||||||||
Repsol SA | 102,440 | 1,504,691 | |||||||||
Financials (1.0%): | |||||||||||
Banco Bilbao Vizcaya Argentaria SA | 234,423 | 1,061,304 | |||||||||
Banco Santander SA | 398,335 | 1,119,384 | |||||||||
CaixaBank SA (c) | 209,271 | 725,698 | |||||||||
2,906,386 | |||||||||||
Utilities (0.4%): | |||||||||||
Naturgy Energy Group SA (c) | 34,001 | 976,454 | |||||||||
7,283,743 | |||||||||||
Sweden (2.1%): | |||||||||||
Consumer Discretionary (0.2%): | |||||||||||
Volvo Car AB, Class B (b) (c) | 82,537 | 547,379 | |||||||||
Financials (0.8%): | |||||||||||
Investor AB, Class A (c) | 126,563 | 2,268,214 | |||||||||
Health Care (0.2%): | |||||||||||
Getinge AB, B Shares | 23,579 | 543,950 | |||||||||
Information Technology (0.3%): | |||||||||||
Telefonaktiebolaget LM Ericsson, Class B | 99,461 | 740,275 | |||||||||
Materials (0.5%): | |||||||||||
Boliden AB | 20,272 | 643,626 | |||||||||
Holmen AB, B Shares | 21,720 | 879,407 | |||||||||
1,523,033 | |||||||||||
See notes to financial statements.
43
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Real Estate (0.1%): | |||||||||||
Fastighets AB Balder, B Shares (b) | 75,228 | $ | 359,791 | ||||||||
5,982,642 | |||||||||||
Switzerland (2.3%): | |||||||||||
Consumer Discretionary (0.5%): | |||||||||||
Cie Financiere Richemont SA, Registered Shares | 14,135 | 1,500,833 | |||||||||
Health Care (1.3%): | |||||||||||
Novartis AG, Registered Shares | 15,986 | 1,350,048 | |||||||||
Sonova Holding AG | 2,756 | 875,149 | |||||||||
Vifor Pharma AG | 9,075 | 1,568,823 | |||||||||
3,794,020 | |||||||||||
Materials (0.5%): | |||||||||||
Glencore PLC | 248,571 | 1,343,651 | |||||||||
6,638,504 | |||||||||||
United Kingdom (12.0%): | |||||||||||
Communication Services (1.4%): | |||||||||||
BT Group PLC | 635,971 | 1,438,894 | |||||||||
Vodafone Group PLC | 1,191,941 | 1,833,466 | |||||||||
WPP PLC | 53,943 | 540,203 | |||||||||
3,812,563 | |||||||||||
Consumer Discretionary (0.8%): | |||||||||||
Barratt Developments PLC | 105,068 | 583,640 | |||||||||
Kingfisher PLC | 214,163 | 635,399 | |||||||||
Stellantis NV | 88,928 | 1,096,295 | |||||||||
2,315,334 | |||||||||||
Consumer Staples (2.9%): | |||||||||||
British American Tobacco PLC | 50,286 | 2,149,347 | |||||||||
Imperial Brands PLC | 80,484 | 1,794,572 | |||||||||
J Sainsbury PLC | 672,998 | 1,667,334 | |||||||||
Tesco PLC | 812,738 | 2,521,855 | |||||||||
8,133,108 | |||||||||||
Energy (0.2%): | |||||||||||
Shell PLC | 24,923 | 645,912 | |||||||||
Financials (2.4%): | |||||||||||
| 3i Group PLC | 55,902 | 752,561 | |||||||||
Aviva PLC | 114,763 | 559,306 | |||||||||
Barclays PLC | 613,902 | 1,141,588 | |||||||||
HSBC Holdings PLC | 153,013 | 995,285 | |||||||||
Lloyds Banking Group PLC | 1,098,622 | 564,508 | |||||||||
NatWest Group PLC | 486,656 | 1,290,192 | |||||||||
Standard Chartered PLC | 215,078 | 1,615,789 | |||||||||
6,919,229 | |||||||||||
See notes to financial statements.
44
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Health Care (1.4%): | |||||||||||
AstraZeneca PLC | 8,245 | $ | 1,081,416 | ||||||||
GSK PLC (a) | 135,847 | 2,912,869 | |||||||||
3,994,285 | |||||||||||
Industrials (0.8%): | |||||||||||
BAE Systems PLC | 114,904 | 1,158,501 | |||||||||
| CNH Industrial NV | 96,284 | 1,109,270 | |||||||||
2,267,771 | |||||||||||
Materials (0.4%): | |||||||||||
Anglo American PLC | 29,476 | 1,051,359 | |||||||||
Real Estate (0.8%): | |||||||||||
Segro PLC | 189,615 | 2,249,349 | |||||||||
Utilities (0.9%): | |||||||||||
National Grid PLC | 198,422 | 2,535,036 | |||||||||
33,923,946 | |||||||||||
United States (0.2%): | |||||||||||
Health Care (0.2%): | |||||||||||
Bausch Health Cos., Inc. (b) | 86,381 | 720,539 | |||||||||
Total Common Stocks (Cost $299,869,900) | 280,673,006 | ||||||||||
Collateral for Securities Loaned (3.3%)^ | |||||||||||
United States (3.3%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (e) | 293,077 | 293,077 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (e) | 146,260 | 146,260 | |||||||||
HSBC U.S. Government Money Market Fund I Shares, 1.46% (e) | 1,824,154 | 1,824,154 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (e) | 1,166,230 | 1,166,230 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (e) | 777,744 | 777,744 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (e) | 5,243,597 | 5,243,597 | |||||||||
Total Collateral for Securities Loaned (Cost $9,451,062) | 9,451,062 | ||||||||||
Total Investments (Cost $309,320,962) — 102.5% | 290,124,068 | ||||||||||
Liabilities in excess of other assets — (2.5)% | (7,166,906 | ) | |||||||||
NET ASSETS — 100.00% | $ | 282,957,162 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) Non-income producing security.
(c) All or a portion of this security is on loan.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $2,950,485 and amounted to 1.0% of net assets.
See notes to financial statements.
45
| Victory Portfolios II VictoryShares USAA MSCI International Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(e) Rate disclosed is the daily yield on June 30, 2022.
ADR — American Depositary Receipt
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
E-Mini MSCI EAFE Index Futures | 13 | 9/16/22 | $ | 1,218,983 | $ | 1,206,790 | $ | (12,193 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (12,193 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (12,193 | ) | ||||||||||||||||||||
See notes to financial statements.
46
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Common Stocks (98.3%) | |||||||||||
Brazil (2.7%): | |||||||||||
Communication Services (1.1%): | |||||||||||
Telefonica Brasil SA | 198,900 | $ | 1,789,908 | ||||||||
TIM SA | 255,400 | 623,183 | |||||||||
2,413,091 | |||||||||||
Consumer Staples (0.4%): | |||||||||||
JBS SA | 152,100 | 918,804 | |||||||||
Energy (0.2%): | |||||||||||
Petroleo Brasileiro SA, Preference Shares | 67,100 | 358,375 | |||||||||
Health Care (0.3%): | |||||||||||
Hypera SA | 85,400 | 621,216 | |||||||||
Materials (0.5%): | |||||||||||
Braskem SA, Preference Shares | 34,300 | 244,257 | |||||||||
Cia Siderurgica Nacional SA | 97,400 | 287,574 | |||||||||
Vale SA | 34,900 | 510,942 | |||||||||
1,042,773 | |||||||||||
Utilities (0.2%): | |||||||||||
Centrais Eletricas Brasileiras SA | 46,600 | 411,691 | |||||||||
5,765,950 | |||||||||||
Chile (0.5%): | |||||||||||
Consumer Staples (0.4%): | |||||||||||
Cencosud SA | 602,418 | 751,041 | |||||||||
Industrials (0.1%): | |||||||||||
Cia Sud Americana de Vapores SA | 3,681,842 | 322,218 | |||||||||
1,073,259 | |||||||||||
China (20.7%): | |||||||||||
Communication Services (0.5%): | |||||||||||
China Tower Corp. Ltd., Class H (a) | 5,738,000 | 738,552 | |||||||||
JOYY, Inc., ADR (b) | 7,520 | 224,547 | |||||||||
963,099 | |||||||||||
Consumer Discretionary (1.6%): | |||||||||||
Brilliance China Automotive Holdings Ltd. (c) (d) (g) | 937,510 | 610,515 | |||||||||
Dongfeng Motor Group Co. Ltd., Class H | 1,182,000 | 897,765 | |||||||||
Guangzhou Automobile Group Co. Ltd., Class H | 1,002,000 | 969,189 | |||||||||
TAL Education Group, ADR (c) | 93,405 | 454,882 | |||||||||
Xtep International Holdings Ltd. | 248,500 | 449,691 | |||||||||
3,382,042 | |||||||||||
Consumer Staples (0.7%): | |||||||||||
Want Want China Holdings Ltd. | 1,666,000 | 1,447,966 | |||||||||
See notes to financial statements.
47
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Energy (2.7%): | |||||||||||
China Coal Energy Co. Ltd., Class H | 1,438,000 | $ | 1,218,652 | ||||||||
China Shenhua Energy Co. Ltd., Class H | 469,500 | 1,346,224 | |||||||||
China Suntien Green Energy Corp. Ltd., Class H | 741,000 | 377,726 | |||||||||
Inner Mongolia Yitai Coal Co. Ltd., Class B (c) | 392,300 | 642,980 | |||||||||
PetroChina Co. Ltd., Class H | 2,472,000 | 1,178,200 | |||||||||
Yankuang Energy Group Co. Ltd., Class H | 302,000 | 946,763 | |||||||||
5,710,545 | |||||||||||
Financials (8.5%): | |||||||||||
360 DigiTech, Inc., ADR | 18,250 | 315,725 | |||||||||
Agricultural Bank of China Ltd., Class H (c) (e) | 4,957,000 | 1,869,863 | |||||||||
Bank of China Ltd., Class H (b) (c) (e) | 5,786,000 | 2,307,926 | |||||||||
Bank of Communications Co. Ltd., Class H | 2,795,000 | 1,930,546 | |||||||||
China Cinda Asset Management Co. Ltd., Class H | 7,807,000 | 1,223,738 | |||||||||
China CITIC Bank Corp. Ltd., Class H | 3,897,000 | 1,743,158 | |||||||||
China Construction Bank Corp., Class H (e) | 2,587,000 | 1,737,425 | |||||||||
China Everbright Bank Co. Ltd., Class H | 4,069,000 | 1,317,105 | |||||||||
China Galaxy Securities Co. Ltd., Class H | 2,088,000 | 1,205,391 | |||||||||
China Minsheng Banking Corp. Ltd., Class H (b) | 4,396,000 | 1,568,609 | |||||||||
Industrial & Commercial Bank of China Ltd., Class H (b) | 3,010,000 | 1,787,523 | |||||||||
The People's Insurance Co. Group of China Ltd., Class H | 2,441,000 | 746,583 | |||||||||
17,753,592 | |||||||||||
Health Care (2.4%): | |||||||||||
3SBio, Inc. (a) | 1,121,500 | 891,832 | |||||||||
Cansino Biologics, Inc., Class H (a) (c) | 29,400 | 301,046 | |||||||||
China Medical System Holdings Ltd. | 530,000 | 826,716 | |||||||||
Genscript Biotech Corp. (c) | 96,000 | 348,059 | |||||||||
Shanghai Pharmaceuticals Holding Co. Ltd. | 837,000 | 1,386,653 | |||||||||
Sinopharm Group Co. Ltd., Class H | 510,800 | 1,238,114 | |||||||||
4,992,420 | |||||||||||
Industrials (1.6%): | |||||||||||
China Railway Group Ltd., Class H | 2,124,000 | 1,312,790 | |||||||||
China State Construction International Holdings Ltd. | 792,000 | 876,081 | |||||||||
COSCO SHIPPING Holdings Co. Ltd., Class H | 409,000 | 571,259 | |||||||||
Fosun International Ltd. | 643,500 | 594,546 | |||||||||
3,354,676 | |||||||||||
Information Technology (0.4%): | |||||||||||
Daqo New Energy Corp., ADR (c) | 12,288 | 877,117 | |||||||||
Materials (1.1%): | |||||||||||
Aluminum Corp. of China Ltd., Class H | 596,000 | 225,581 | |||||||||
China Hongqiao Group Ltd. (b) | 680,000 | 768,655 | |||||||||
China National Building Material Co. Ltd., Class H | 664,000 | 709,106 | |||||||||
Dongyue Group Ltd. | 229,000 | 286,580 | |||||||||
Jiangxi Copper Co. Ltd., Class H | 268,000 | 366,808 | |||||||||
2,356,730 | |||||||||||
See notes to financial statements.
48
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Real Estate (0.2%): | |||||||||||
Longfor Group Holdings Ltd. (a) | 107,000 | $ | 505,209 | ||||||||
Utilities (1.0%): | |||||||||||
China Power International Development Ltd. | 1,861,000 | 1,181,068 | |||||||||
Huaneng Power International, Inc., Class H | 1,842,000 | 917,837 | |||||||||
2,098,905 | |||||||||||
43,442,301 | |||||||||||
Cyprus (0.0%): (f) | |||||||||||
Financials (0.0%): | |||||||||||
TCS Group Holding PLC, GDR (c) (d) (g) | 15,868 | 9,854 | |||||||||
Czech Republic (0.8%): | |||||||||||
Utilities (0.8%): | |||||||||||
CEZ A/S (e) | 38,445 | 1,727,252 | |||||||||
Greece (1.1%): | |||||||||||
Communication Services (0.6%): | |||||||||||
Hellenic Telecommunications Organization SA | 71,411 | 1,237,055 | |||||||||
Consumer Discretionary (0.2%): | |||||||||||
FF Group (c) (d) (g) | 14,913 | 3,742 | |||||||||
OPAP SA | 33,578 | 479,169 | |||||||||
482,911 | |||||||||||
Financials (0.3%): | |||||||||||
Alpha Services and Holdings SA (c) | 176,781 | 153,766 | |||||||||
Eurobank Ergasias Services and Holdings SA (c) | 590,397 | 520,447 | |||||||||
674,213 | |||||||||||
2,394,179 | |||||||||||
Hong Kong (7.2%): | |||||||||||
Health Care (0.6%): | |||||||||||
China Traditional Chinese Medicine Holdings Co. Ltd. | 1,862,000 | 1,150,855 | |||||||||
Industrials (2.0%): | |||||||||||
China Everbright Environment Group Ltd. | 849,000 | 500,942 | |||||||||
China Merchants Port Holdings Co. Ltd. | 666,000 | 1,132,216 | |||||||||
CITIC Ltd. | 1,330,000 | 1,347,466 | |||||||||
Orient Overseas International Ltd. | 10,000 | 265,071 | |||||||||
Sinotruk Hong Kong Ltd. | 695,500 | 974,965 | |||||||||
4,220,660 | |||||||||||
Information Technology (0.8%): | |||||||||||
Kingboard Holdings Ltd. | 247,000 | 934,873 | |||||||||
Kingboard Laminates Holdings Ltd. | 273,500 | 337,390 | |||||||||
Lenovo Group Ltd. | 524,000 | 489,479 | |||||||||
1,761,742 | |||||||||||
Materials (0.2%): | |||||||||||
Nine Dragons Paper Holdings Ltd. | 509,000 | 430,710 | |||||||||
See notes to financial statements.
49
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Real Estate (2.3%): | |||||||||||
China Jinmao Holdings Group Ltd. | 1,480,000 | $ | 397,964 | ||||||||
China Overseas Land & Investment Ltd., Class H | 204,000 | 644,735 | |||||||||
China Overseas Property Holdings Ltd. | 780,000 | 839,944 | |||||||||
China Resources Land Ltd. | 120,000 | 559,708 | |||||||||
The Wharf Holdings Ltd. | 139,000 | 506,617 | |||||||||
Yuexiu Property Co. Ltd. | 1,472,000 | 1,887,143 | |||||||||
4,836,111 | |||||||||||
Utilities (1.3%): | |||||||||||
Beijing Enterprises Holdings Ltd. | 473,000 | 1,681,761 | |||||||||
China Resources Power Holdings Co. Ltd. | 252,000 | 520,253 | |||||||||
Kunlun Energy Co. Ltd. | 532,000 | 435,935 | |||||||||
2,637,949 | |||||||||||
15,038,027 | |||||||||||
Hungary (0.8%): | |||||||||||
Energy (0.6%): | |||||||||||
MOL Hungarian Oil & Gas PLC | 162,165 | 1,246,766 | |||||||||
Health Care (0.2%): | |||||||||||
Richter Gedeon Nyrt | 30,507 | 548,988 | |||||||||
1,795,754 | |||||||||||
India (8.9%): | |||||||||||
Consumer Discretionary (1.5%): | |||||||||||
Page Industries Ltd. | 2,198 | 1,117,933 | |||||||||
Tata Motors Ltd. (c) | 119,741 | 624,386 | |||||||||
Titan Co. Ltd. | 40,815 | 1,003,288 | |||||||||
Trent Ltd. | 36,734 | 499,640 | |||||||||
3,245,247 | |||||||||||
Consumer Staples (0.3%): | |||||||||||
United Spirits Ltd. (c) | 61,270 | 589,444 | |||||||||
Energy (1.1%): | |||||||||||
Indian Oil Corp. Ltd. | 1,327,421 | 1,248,042 | |||||||||
Oil & Natural Gas Corp. Ltd. | 505,813 | 970,666 | |||||||||
2,218,708 | |||||||||||
Financials (0.2%): | |||||||||||
State Bank of India | 73,967 | 436,370 | |||||||||
Health Care (1.1%): | |||||||||||
Apollo Hospitals Enterprise Ltd. | 22,129 | 1,032,159 | |||||||||
Sun Pharmaceutical Industries Ltd. | 121,516 | 1,278,055 | |||||||||
2,310,214 | |||||||||||
Industrials (0.8%): | |||||||||||
Adani Enterprises Ltd. | 31,324 | 869,008 | |||||||||
Bharat Electronics Ltd. | 168,130 | 498,392 | |||||||||
Indian Railway Catering & Tourism Corp. Ltd. | 51,103 | 372,858 | |||||||||
1,740,258 | |||||||||||
See notes to financial statements.
50
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Information Technology (0.7%): | |||||||||||
Mindtree Ltd. | 11,487 | $ | 419,938 | ||||||||
Mphasis Ltd. | 20,027 | 581,759 | |||||||||
Tata Elxsi Ltd. | 4,260 | 440,742 | |||||||||
1,442,439 | |||||||||||
Materials (1.7%): | |||||||||||
Hindalco Industries Ltd. | 146,310 | 627,407 | |||||||||
JSW Steel Ltd. | 62,395 | 446,003 | |||||||||
SRF Ltd. | 40,078 | 1,142,976 | |||||||||
Tata Steel Ltd. | 66,634 | 731,584 | |||||||||
Vedanta Ltd. | 188,502 | 532,286 | |||||||||
3,480,256 | |||||||||||
Real Estate (0.2%): | |||||||||||
DLF Ltd. | 95,255 | 377,172 | |||||||||
Utilities (1.3%): | |||||||||||
Adani Total Gas Ltd. | 14,922 | 452,143 | |||||||||
Adani Transmission Ltd. (c) | 25,824 | 808,883 | |||||||||
NTPC Ltd. | 396,197 | 716,915 | |||||||||
The Tata Power Co. Ltd. | 309,435 | 792,273 | |||||||||
2,770,214 | |||||||||||
18,610,322 | |||||||||||
Indonesia (2.9%): | |||||||||||
Communication Services (0.6%): | |||||||||||
PT Telkom Indonesia Persero Tbk | 4,896,900 | 1,314,825 | |||||||||
Consumer Discretionary (0.3%): | |||||||||||
PT Astra International Tbk | 1,217,000 | 541,206 | |||||||||
Consumer Staples (1.3%): | |||||||||||
PT Gudang Garam Tbk | 536,400 | 1,122,488 | |||||||||
PT Indofood Sukses Makmur Tbk | 3,221,900 | 1,524,712 | |||||||||
2,647,200 | |||||||||||
Energy (0.4%): | |||||||||||
PT Adaro Energy Indonesia Tbk | 4,538,600 | 871,314 | |||||||||
Materials (0.3%): | |||||||||||
PT Merdeka Copper Gold Tbk (c) | 1,364,100 | 365,347 | |||||||||
PT Vale Indonesia Tbk (c) | 702,600 | 266,467 | |||||||||
631,814 | |||||||||||
6,006,359 | |||||||||||
Korea, Republic Of (16.6%): | |||||||||||
Communication Services (1.4%): | |||||||||||
LG Uplus Corp. | 144,485 | 1,418,811 | |||||||||
Pearl Abyss Corp. (c) | 5,150 | 202,684 | |||||||||
SK Telecom Co. Ltd. | 35,441 | 1,419,387 | |||||||||
3,040,882 | |||||||||||
See notes to financial statements.
51
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Consumer Discretionary (3.2%): | |||||||||||
CJ ENM Co. Ltd. | 6,546 | $ | 472,397 | ||||||||
F&F Co. Ltd. | 6,827 | 707,202 | |||||||||
Hankook Tire & Technology Co. Ltd. | 36,521 | 926,808 | |||||||||
Hyundai Mobis Co. Ltd. | 5,686 | 871,468 | |||||||||
Hyundai Motor Co. | 6,701 | 931,555 | |||||||||
Kia Corp. | 15,090 | 898,380 | |||||||||
LG Electronics, Inc. | 11,234 | 763,988 | |||||||||
Lotte Shopping Co. Ltd. | 14,981 | 1,199,957 | |||||||||
6,771,755 | |||||||||||
Consumer Staples (2.3%): | |||||||||||
BGF Retail Co. Ltd. | 4,063 | 591,426 | |||||||||
CJ CheilJedang Corp. | 3,886 | 1,134,315 | |||||||||
E-MART, Inc. | 12,403 | 1,007,791 | |||||||||
KT&G Corp. | 33,602 | 2,127,298 | |||||||||
4,860,830 | |||||||||||
Energy (0.8%): | |||||||||||
GS Holdings Corp. | 49,502 | 1,595,547 | |||||||||
Financials (4.2%): | |||||||||||
DB Insurance Co. Ltd. | 23,001 | 1,085,922 | |||||||||
Hana Financial Group, Inc. | 29,452 | 892,588 | |||||||||
Industrial Bank of Korea | 156,259 | 1,157,742 | |||||||||
KB Financial Group, Inc. | 25,897 | 960,367 | |||||||||
Meritz Financial Group, Inc. | 14,284 | 284,382 | |||||||||
Meritz Fire & Marine Insurance Co. Ltd. | 29,692 | 758,079 | |||||||||
Meritz Securities Co. Ltd. | 242,873 | 849,232 | |||||||||
NH Investment & Securities Co. Ltd. | 69,489 | 484,347 | |||||||||
Shinhan Financial Group Co. Ltd. | 42,068 | 1,200,415 | |||||||||
Woori Financial Group, Inc. | 119,108 | 1,109,987 | |||||||||
8,783,061 | |||||||||||
Health Care (0.2%): | |||||||||||
Seegene, Inc. | 14,710 | 409,555 | |||||||||
Industrials (1.4%): | |||||||||||
Ecopro BM Co. Ltd. | 5,248 | 458,755 | |||||||||
GS Engineering & Construction Corp. | 34,735 | 844,030 | |||||||||
HMM Co. Ltd. | 30,771 | 583,000 | |||||||||
Hyundai Engineering & Construction Co. Ltd. | 16,068 | 511,716 | |||||||||
LG Corp. | 8,563 | 513,754 | |||||||||
2,911,255 | |||||||||||
Information Technology (1.6%): | |||||||||||
L&F Co. Ltd. (c) | 1,526 | 246,811 | |||||||||
LG Display Co. Ltd. | 69,627 | 780,247 | |||||||||
LG Innotek Co. Ltd. | 3,809 | 1,004,761 | |||||||||
SK Hynix, Inc. | 12,470 | 873,976 | |||||||||
SK Square Co. Ltd. (c) | 12,384 | 372,455 | |||||||||
3,278,250 | |||||||||||
See notes to financial statements.
52
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Materials (1.5%): | |||||||||||
Hyundai Steel Co. | 26,877 | $ | 664,473 | ||||||||
Kumho Petrochemical Co. Ltd. | 6,726 | 720,051 | |||||||||
Lotte Chemical Corp. | 6,510 | 902,495 | |||||||||
POSCO Holdings, Inc. | 5,113 | 907,692 | |||||||||
3,194,711 | |||||||||||
34,845,846 | |||||||||||
Luxembourg (0.3%): | |||||||||||
Financials (0.3%): | |||||||||||
Reinet Investments SCA | 31,218 | 544,612 | |||||||||
Malaysia (2.1%): | |||||||||||
Consumer Discretionary (0.6%): | |||||||||||
Genting Bhd | 1,154,800 | 1,189,516 | |||||||||
Consumer Staples (0.6%): | |||||||||||
Kuala Lumpur Kepong Bhd | 138,000 | 686,947 | |||||||||
Sime Darby Plantation Bhd | 513,500 | 504,471 | |||||||||
1,191,418 | |||||||||||
Health Care (0.9%): | |||||||||||
IHH Healthcare Bhd | 1,356,600 | 1,985,268 | |||||||||
4,366,202 | |||||||||||
Mexico (3.1%): | |||||||||||
Communication Services (0.4%): | |||||||||||
America Movil SAB de CV, Class L | 803,613 | 818,520 | |||||||||
Consumer Staples (2.7%): | |||||||||||
Arca Continental SAB de CV | 335,400 | 2,202,669 | |||||||||
Coca-Cola Femsa SAB de CV | 173,987 | 960,148 | |||||||||
Gruma SAB de CV, Class B | 65,900 | 726,914 | |||||||||
Grupo Bimbo SAB de CV, Class A | 543,801 | 1,761,931 | |||||||||
5,651,662 | |||||||||||
6,470,182 | |||||||||||
Philippines (0.5%): | |||||||||||
Communication Services (0.5%): | |||||||||||
PLDT, Inc. | 33,710 | 1,029,968 | |||||||||
Poland (1.3%): | |||||||||||
Communication Services (0.6%): | |||||||||||
Cyfrowy Polsat SA | 84,724 | 399,889 | |||||||||
Orange Polska SA | 574,480 | 801,181 | |||||||||
1,201,070 | |||||||||||
Consumer Discretionary (0.1%): | |||||||||||
LPP SA | 102 | 204,075 | |||||||||
Energy (0.2%): | |||||||||||
Polski Koncern Naftowy ORLEN SA | 27,329 | 416,514 | |||||||||
See notes to financial statements.
53
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Financials (0.1%): | |||||||||||
Bank Polska Kasa Opieki SA | 15,254 | $ | 276,658 | ||||||||
Utilities (0.3%): | |||||||||||
PGE Polska Grupa Energetyczna SA (c) | 282,387 | 669,247 | |||||||||
2,767,564 | |||||||||||
Russian Federation (0.0%): (f) | |||||||||||
Consumer Staples (0.0%): | |||||||||||
Magnit PJSC, GDR (d) (g) | 32,414 | 74 | |||||||||
Energy (0.0%): | |||||||||||
Gazprom PJSC (d) (g) (h) (i) | 324,752 | 14,117 | |||||||||
Financials (0.0%): | |||||||||||
Sberbank of Russia PJSC (c) (d) (g) (h) (i) | 177,888 | 691 | |||||||||
Materials (0.0%): | |||||||||||
PhosAgro PJSC, GDR (d) (e) (g) | 35,429 | 274 | |||||||||
Severstal PAO (d) (g) (h) (i) | 37,552 | 9,671 | |||||||||
United Co. RUSAL International PJSC (c) (d) (g) (h) (i) | 555,630 | 6,323 | |||||||||
16,268 | |||||||||||
Utilities (0.0%): (f) | |||||||||||
Inter RAO UES PJSC (d) (g) | 23,475,472 | 12,220 | |||||||||
43,370 | |||||||||||
South Africa (2.8%): | |||||||||||
Communication Services (0.2%): | |||||||||||
MTN Group Ltd. | 64,663 | 521,172 | |||||||||
Consumer Discretionary (0.7%): | |||||||||||
Pepkor Holdings Ltd. (a) | 606,663 | 708,036 | |||||||||
The Foschini Group Ltd. | 41,738 | 310,821 | |||||||||
Woolworths Holdings Ltd. | 134,299 | 444,726 | |||||||||
1,463,583 | |||||||||||
Consumer Staples (0.4%): | |||||||||||
Shoprite Holdings Ltd. | 71,729 | 866,396 | |||||||||
Energy (0.2%): | |||||||||||
Exxaro Resources Ltd. | 35,145 | 425,151 | |||||||||
Health Care (0.3%): | |||||||||||
Aspen Pharmacare Holdings Ltd. | 75,967 | 644,740 | |||||||||
Materials (1.0%): | |||||||||||
African Rainbow Minerals Ltd. | 53,872 | 702,893 | |||||||||
Gold Fields Ltd. | 25,573 | 238,832 | |||||||||
Impala Platinum Holdings Ltd. | 43,098 | 476,531 | |||||||||
Sasol Ltd. (c) | 19,555 | 443,657 | |||||||||
Sibanye Stillwater Ltd. | 76,508 | 189,933 | |||||||||
2,051,846 | |||||||||||
5,972,888 | |||||||||||
See notes to financial statements.
54
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Taiwan (16.8%): | |||||||||||
Communication Services (1.5%): | |||||||||||
Chunghwa Telecom Co. Ltd. | 407,000 | $ | 1,669,968 | ||||||||
Far EasTone Telecommunications Co. Ltd. | 523,000 | 1,470,490 | |||||||||
3,140,458 | |||||||||||
Consumer Discretionary (0.7%): | |||||||||||
Pou Chen Corp. | 1,365,000 | 1,354,280 | |||||||||
Financials (4.7%): | |||||||||||
Cathay Financial Holding Co. Ltd. | 438,000 | 749,801 | |||||||||
China Development Financial Holding Corp. | 2,885,000 | 1,426,320 | |||||||||
Fubon Financial Holding Co. Ltd. | 341,000 | 685,819 | |||||||||
Shin Kong Financial Holding Co. Ltd. | 2,203,000 | 649,042 | |||||||||
SinoPac Financial Holdings Co. Ltd. | 3,785,000 | 2,138,598 | |||||||||
Taishin Financial Holding Co. Ltd. | 3,127,000 | 1,714,231 | |||||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 2,784,000 | 2,514,013 | |||||||||
9,877,824 | |||||||||||
Industrials (1.2%): | |||||||||||
China Airlines Ltd. (c) | 490,000 | 387,274 | |||||||||
Eva Airways Corp. (c) | 410,000 | 436,427 | |||||||||
Evergreen Marine Corp. Ltd. | 156,000 | 443,863 | |||||||||
Walsin Lihwa Corp. | 355,000 | 430,415 | |||||||||
Wan Hai Lines Ltd. | 116,000 | 464,258 | |||||||||
Yang Ming Marine Transport Corp. | 148,000 | 409,652 | |||||||||
2,571,889 | |||||||||||
Information Technology (7.8%): | |||||||||||
Acer, Inc. | 1,549,000 | 1,130,486 | |||||||||
ASE Technology Holding Co. Ltd. | 343,000 | 881,336 | |||||||||
Asustek Computer, Inc. | 141,000 | 1,472,430 | |||||||||
AU Optronics Corp. (c) | 1,383,000 | 758,165 | |||||||||
Catcher Technology Co. Ltd. | 129,000 | 718,028 | |||||||||
Compal Electronics, Inc. (e) | 1,241,000 | 949,527 | |||||||||
E Ink Holdings, Inc. | 174,000 | 1,103,099 | |||||||||
Hon Hai Precision Industry Co. Ltd. | 209,000 | 766,173 | |||||||||
Innolux Corp. | 1,653,000 | 672,686 | |||||||||
Lite-On Technology Corp. | 831,000 | 1,618,205 | |||||||||
Nan Ya Printed Circuit Board Corp. | 20,000 | 175,223 | |||||||||
Pegatron Corp. | 331,000 | 634,537 | |||||||||
Quanta Computer, Inc. (e) | 283,000 | 759,527 | |||||||||
Synnex Technology International Corp. | 836,000 | 1,495,794 | |||||||||
Unimicron Technology Corp. | 95,000 | 506,415 | |||||||||
United Microelectronics Corp. | 265,000 | 348,925 | |||||||||
Winbond Electronics Corp. | 389,000 | 283,899 | |||||||||
WPG Holdings Ltd. (e) | 1,121,000 | 2,077,357 | |||||||||
16,351,812 | |||||||||||
Materials (0.3%): | |||||||||||
China Steel Corp. | 620,000 | 593,236 | |||||||||
See notes to financial statements.
55
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
Real Estate (0.6%): | |||||||||||
Ruentex Development Co. Ltd. | 528,000 | $ | 1,303,419 | ||||||||
35,192,918 | |||||||||||
Thailand (3.4%): | |||||||||||
Communication Services (0.2%): | |||||||||||
True Corp. PCL | 3,875,200 | 504,198 | |||||||||
Consumer Staples (0.9%): | |||||||||||
Charoen Pokphand Foods PCL | 967,900 | 711,792 | |||||||||
Thai Union Group PCL | 2,430,400 | 1,175,501 | |||||||||
1,887,293 | |||||||||||
Financials (0.9%): | |||||||||||
JMT Network Services PCL | 225,200 | 466,579 | |||||||||
Krung Thai Bank PCL | 3,348,400 | 1,467,973 | |||||||||
1,934,552 | |||||||||||
Health Care (1.1%): | |||||||||||
Bangkok Dusit Medical Services PCL | 1,059,800 | 749,399 | |||||||||
Bumrungrad Hospital PCL | 301,700 | 1,527,487 | |||||||||
2,276,886 | |||||||||||
Real Estate (0.3%): | |||||||||||
Land & Houses PCL | 2,692,400 | 635,880 | |||||||||
7,238,809 | |||||||||||
Turkey (3.8%): | |||||||||||
Communication Services (0.5%): | |||||||||||
Turkcell Iletisim Hizmetleri A/S | 982,938 | 953,709 | |||||||||
Consumer Discretionary (0.3%): | |||||||||||
Ford Otomotiv Sanayi A/S | 43,431 | 694,521 | |||||||||
Consumer Staples (0.3%): | |||||||||||
BIM Birlesik Magazalar A/S | 114,742 | 555,619 | |||||||||
Energy (0.2%): | |||||||||||
Turkiye Petrol Rafinerileri A/S (c) | 33,316 | 527,780 | |||||||||
Financials (1.0%): | |||||||||||
Akbank TAS | 1,645,522 | 790,410 | |||||||||
Haci Omer Sabanci Holding A/S | 392,042 | 444,016 | |||||||||
Turkiye Is Bankasi A/S | 3,421,992 | 897,693 | |||||||||
2,132,119 | |||||||||||
Industrials (1.2%): | |||||||||||
KOC Holding AS | 392,727 | 860,888 | |||||||||
Turk Hava Yollari AO (c) | 144,123 | 403,974 | |||||||||
Turkiye Sise ve Cam Fabrikalari A/S | 902,458 | 1,162,091 | |||||||||
2,426,953 | |||||||||||
Materials (0.3%): | |||||||||||
Eregli Demir ve Celik Fabrikalari TAS (b) | 453,200 | 736,672 | |||||||||
8,027,373 | |||||||||||
See notes to financial statements.
56
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
Security Description | Shares | Value | |||||||||
United Arab Emirates (2.0%): | |||||||||||
Communication Services (0.6%): | |||||||||||
Emirates Telecommunications Group Co. PJSC | 171,091 | $ | 1,215,724 | ||||||||
Financials (0.7%): | |||||||||||
Abu Dhabi Islamic Bank PJSC | 316,952 | 647,175 | |||||||||
Dubai Islamic Bank PJSC | 492,858 | 772,879 | |||||||||
1,420,054 | |||||||||||
Real Estate (0.7%): | |||||||||||
Aldar Properties PJSC | 839,778 | 1,017,400 | |||||||||
Emaar Properties PJSC | 320,666 | 453,966 | |||||||||
1,471,366 | |||||||||||
4,107,144 | |||||||||||
Total Common Stocks (Cost $221,419,851) | 206,470,133 | ||||||||||
Rights (0.0%) (f) | |||||||||||
Taiwan (0.0%): (f) | |||||||||||
Financials (0.0%): | |||||||||||
Taishin Financial Holdings, Expires 7/14/22 (c) (d) | 61,601 | — | |||||||||
Industrials (0.0%): (f) | |||||||||||
Walsin Lihwa Corp., Expires 8/4/22 (c) | 24,814 | 3,421 | |||||||||
3,421 | |||||||||||
Total Rights (Cost $—) | 3,421 | ||||||||||
Collateral for Securities Loaned (0.7%)^ | |||||||||||
United States (0.7%): | |||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) | 41,993 | 41,993 | |||||||||
| Goldman Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) | 20,957 | 20,957 | |||||||||
HSBC U.S. Government Money Market Fund I Shares, 1.46% (j) | 261,371 | 261,371 | |||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) | 167,101 | 167,101 | |||||||||
| Morgan Stanley Institutional Liquidity Government Portfolio, Institutional Shares, 1.39% (j) | 111,438 | 111,438 | |||||||||
| Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) | 751,321 | 751,321 | |||||||||
Total Collateral for Securities Loaned (Cost $1,354,181) | 1,354,181 | ||||||||||
Total Investments (Cost $222,774,032) — 99.0% | 207,827,735 | ||||||||||
Other assets in excess of liabilities — 1.0% | 2,108,072 | ||||||||||
NET ASSETS — 100.00% | $ | 209,935,807 | |||||||||
^ Purchased with cash collateral from securities on loan.
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $3,144,675 and amounted to 1.5% of net assets.
See notes to financial statements.
57
| Victory Portfolios II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | Schedule of Portfolio Investments — continued June 30, 2022 | ||||||
(b) All or a portion of this security is on loan.
(c) Non-income producing security.
(d) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.3% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(e) All or a portion of this security has been segregated as collateral for derivative instruments.
(f) Amount represents less than 0.05% of net assets.
(g) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were 0.3% of net assets.
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name | Acquisition Date | Cost | |||||||||
Gazprom PJSC | 12/8/2017 | $ | 722,938 | ||||||||
Sberbank of Russia PJSC | 10/24/2017 | 634,243 | |||||||||
Severstal PAO | 5/27/2021 | 881,363 | |||||||||
United Co. RUSAL International PJSC | 11/30/2021 | 516,962 | |||||||||
(j) Rate disclosed is the daily yield on June 30, 2022.
ADR — American Depositary Receipt
GDR — Global Depositary Receipt
PCL — Public Company Limited
PLC — Public Limited Company
Futures Contracts Purchased
| Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
| E-Mini MSCI Emerging Markets Index Futures | 24 | 9/16/22 | $ | 1,219,243 | $ | 1,203,240 | $ | (16,003 | ) | ||||||||||||||
Total unrealized appreciation | $ | — | |||||||||||||||||||||
Total unrealized depreciation | (16,003 | ) | |||||||||||||||||||||
Total net unrealized appreciation (depreciation) | $ | (16,003 | ) | ||||||||||||||||||||
See notes to financial statements.
58
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares USAA MSCI USA Value Momentum ETF | VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | ||||||||||
Assets: | |||||||||||
Investments, at value (Cost $267,371,038 and $266,246,823) | $ | 265,467,160 | $ | 259,379,605 | (a) | ||||||
Cash | 1,600,126 | 1,706,128 | |||||||||
Deposit with broker for futures contracts | 183,316 | 166,461 | |||||||||
Receivables: | |||||||||||
Interest and dividends | 292,016 | 257,265 | |||||||||
From Adviser | 6,735 | — | |||||||||
Prepaid expenses | 1,878 | 1,626 | |||||||||
Total Assets | 267,551,231 | 261,511,085 | |||||||||
Liabilities: | |||||||||||
Payables: | |||||||||||
Collateral received on loaned securities | — | 4,071,008 | |||||||||
Variation margin on open futures contracts | 14,288 | 6,825 | |||||||||
Accrued expenses and other payables: | |||||||||||
Investment advisory fees | 34,016 | 32,250 | |||||||||
Administration fees | 1,158 | 2,467 | |||||||||
Custodian fees | 2,673 | 2,538 | |||||||||
Compliance fees | 172 | 162 | |||||||||
Trustees' fees | 29,550 | 26,234 | |||||||||
Other accrued expenses | 8,226 | 13,151 | |||||||||
Total Liabilities | 90,083 | 4,154,635 | |||||||||
Net Assets: | |||||||||||
| Capital | 344,422,766 | 313,777,472 | |||||||||
Total accumulated earnings/(loss) | (76,961,618 | ) | (56,421,022 | ) | |||||||
Net Assets | $ | 267,461,148 | $ | 257,356,450 | |||||||
Shares (unlimited shares authorized, with no par value): | 4,450,000 | 4,250,000 | |||||||||
Net asset value: | $ | 60.10 | $ | 60.55 | |||||||
(a) Includes $3,833,348 of securities on loan.
See notes to financial statements.
59
Victory Portfolios II | Statements of Assets and Liabilities June 30, 2022 | ||||||
| VictoryShares USAA MSCI International Value Momentum ETF | VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | ||||||||||
Assets: | |||||||||||
Investments, at value (Cost $309,320,962 and $222,774,032) | $ | 290,124,068 | (a) | $ | 207,827,735 | (b) | |||||
Foreign currency, at value (Cost $142,044 and $143,124) | 143,016 | 143,097 | |||||||||
Cash | 1,457,014 | 873,546 | |||||||||
Deposit with broker for futures contracts | 179,369 | 153,077 | |||||||||
Receivables: | |||||||||||
Interest and dividends | 679,430 | 2,482,874 | |||||||||
Investments sold | 789 | — | |||||||||
Reclaims | 630,240 | 7,626 | |||||||||
From Adviser | 6,608 | 15,671 | |||||||||
Prepaid expenses | 2,050 | 1,401 | |||||||||
Total Assets | 293,222,584 | 211,505,027 | |||||||||
Liabilities: | |||||||||||
Payables: | |||||||||||
Collateral received on loaned securities | 9,451,062 | 1,354,181 | |||||||||
Investments purchased | 665,522 | — | |||||||||
Variation margin on open futures contracts | 3,158 | 3,177 | |||||||||
Accrued foreign capital gains taxes | — | 61,778 | |||||||||
Accrued expenses and other payables: | |||||||||||
Investment advisory fees | 60,986 | 53,975 | |||||||||
Administration fees | 2,407 | 2,282 | |||||||||
Custodian fees | 17,921 | 38,025 | |||||||||
Compliance fees | 187 | 135 | |||||||||
Trustees' fees | 47,478 | 33,789 | |||||||||
Other accrued expenses | 16,701 | 21,878 | |||||||||
Total Liabilities | 10,265,422 | 1,569,220 | |||||||||
Net Assets: | |||||||||||
| Capital | 365,634,117 | 245,475,741 | |||||||||
Total accumulated earnings/(loss) | (82,676,955 | ) | (35,539,934 | ) | |||||||
Net Assets | $ | 282,957,162 | $ | 209,935,807 | |||||||
Shares (unlimited shares authorized, with no par value): | 7,050,000 | 5,150,000 | |||||||||
Net asset value: | $ | 40.14 | $ | 40.76 | |||||||
(a) Includes $7,545,965 of securities on loan.
(b) Includes $1,278,323 of securities on loan.
See notes to financial statements.
60
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares USAA MSCI USA Value Momentum ETF | VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | ||||||||||
Investment Income: | |||||||||||
Dividends | $ | 6,271,457 | $ | 3,871,937 | |||||||
Interest | — | 341 | |||||||||
Securities lending (net of fees) | 10,633 | 155,351 | |||||||||
Foreign tax withholding | (2,676 | ) | (4,221 | ) | |||||||
Total Income | 6,279,414 | 4,023,408 | |||||||||
Expenses: | |||||||||||
Investment advisory fees | 525,522 | 429,272 | |||||||||
Administration fees | 189,874 | 155,055 | |||||||||
Sub-Administration fees | 17,949 | 19,616 | |||||||||
Custodian fees | 18,854 | 15,952 | |||||||||
Servicing fees | 3,756 | 3,756 | |||||||||
Trustees' fees | 24,299 | 18,708 | |||||||||
Compliance fees | 2,560 | 2,034 | |||||||||
Legal and audit fees | 16,477 | 20,111 | |||||||||
Line of credit fees | 143 | — | |||||||||
Licensing fees | 48,927 | 37,138 | |||||||||
Other expenses | 93,162 | 83,052 | |||||||||
Total Expenses | 941,523 | 784,694 | |||||||||
Expenses waived/reimbursed by Adviser | (241,640 | ) | (90,764 | ) | |||||||
Net Expenses | 699,883 | 693,930 | |||||||||
Net Investment Income (Loss) | 5,579,531 | 3,329,478 | |||||||||
Realized/Unrealized Gains (Losses) from Investments: | |||||||||||
Net realized gains (losses) from investment securities | (1,669,264 | ) | (12,074,123 | ) | |||||||
Net realized gains (losses) from futures contracts | 47,624 | (198,572 | ) | ||||||||
Net realized gains (losses) from in-kind redemptions | 65,867,169 | 33,659,945 | |||||||||
| Net change in unrealized appreciation/depreciation on investment securities | (84,415,089 | ) | (69,287,683 | ) | |||||||
| Net change in unrealized appreciation/depreciation on futures contracts | (103,321 | ) | (60,729 | ) | |||||||
Net realized/unrealized gains (losses) on investments | (20,272,881 | ) | (47,961,162 | ) | |||||||
Change in net assets resulting from operations | $ | (14,693,350 | ) | $ | (44,631,684 | ) | |||||
See notes to financial statements.
61
Victory Portfolios II | Statements of Operations For the Year Ended June 30, 2022 | ||||||
| VictoryShares USAA MSCI International Value Momentum ETF | VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | ||||||||||
Investment Income: | |||||||||||
Dividends | $ | 12,577,196 | $ | 11,239,103 | |||||||
Non-cash dividends | — | 896,433 | |||||||||
Interest | 617 | 11 | |||||||||
Securities lending (net of fees) | 99,151 | 17,838 | |||||||||
Foreign tax withholding | (1,406,327 | ) | (1,464,610 | ) | |||||||
Total Income | 11,270,637 | 10,688,775 | |||||||||
Expenses: | |||||||||||
Investment advisory fees | 851,308 | 713,002 | |||||||||
Administration fees | 184,501 | 128,768 | |||||||||
Sub-Administration fees | 17,949 | 19,943 | |||||||||
Custodian fees | 105,065 | 245,809 | |||||||||
Servicing fees | 5,008 | 5,008 | |||||||||
Trustees' fees | 22,354 | 15,890 | |||||||||
Compliance fees | 2,443 | 1,703 | |||||||||
Legal and audit fees | 56,456 | 42,873 | |||||||||
Line of credit fees | 5,626 | 7,295 | |||||||||
Interest fees | — | 3,354 | |||||||||
Licensing fees | 62,409 | 42,626 | |||||||||
Other expenses | 95,826 | 76,551 | |||||||||
Total Expenses | 1,408,945 | 1,302,822 | |||||||||
Expenses waived/reimbursed by Adviser | (212,159 | ) | (223,331 | ) | |||||||
Net Expenses | 1,196,786 | 1,079,491 | |||||||||
Net Investment Income (Loss) | 10,073,851 | 9,609,284 | |||||||||
Realized/Unrealized Gains (Losses) from Investments: | |||||||||||
| Net realized gains (losses) from investment securities and foreign currency transactions | (1,225,674 | ) | 2,039,721 | ||||||||
Foreign taxes on realized gains | — | (353,810 | ) | ||||||||
Net realized gains (losses) from futures contracts | (493,864 | ) | (239,366 | ) | |||||||
Net realized gains (losses) from in-kind redemptions | 1,030,109 | 480,667 | |||||||||
| Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations | (64,726,392 | ) | (59,338,826 | ) | |||||||
| Net change in unrealized appreciation/depreciation on futures contracts | 24,448 | (20,653 | ) | ||||||||
Net change in accrued foreign taxes on unrealized gains | — | 268,592 | |||||||||
Net realized/unrealized gains (losses) on investments | (65,391,373 | ) | (57,163,675 | ) | |||||||
Change in net assets resulting from operations | $ | (55,317,522 | ) | $ | (47,554,391 | ) | |||||
See notes to financial statements.
62
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares USAA MSCI USA Value Momentum ETF | VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | ||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||
From Investment Activities: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net Investment Income (Loss) | $ | 5,579,531 | $ | 7,298,240 | $ | 3,329,478 | $ | 2,465,298 | |||||||||||
Net realized gains (losses) | 64,245,529 | 91,664,113 | 21,387,250 | 68,043,756 | |||||||||||||||
| Net change in unrealized appreciation/depreciation | (84,518,410 | ) | 93,224,120 | (69,348,412 | ) | 59,565,325 | |||||||||||||
| Change in net assets resulting from operations | (14,693,350 | ) | 192,186,473 | (44,631,684 | ) | 130,074,379 | |||||||||||||
| Change in net assets resulting from distributions to shareholders | (5,861,933 | ) | (7,140,505 | ) | (3,010,992 | ) | (3,526,739 | ) | |||||||||||
| Change in net assets resulting from capital transactions | (155,196,933 | ) | (206,179,954 | ) | 5,367,845 | (66,163,688 | ) | ||||||||||||
Change in net assets | (175,752,216 | ) | (21,133,986 | ) | (42,274,831 | ) | 60,383,952 | ||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 443,213,364 | 464,347,350 | 299,631,281 | 239,247,329 | |||||||||||||||
End of period | $ | 267,461,148 | $ | 443,213,364 | $ | 257,356,450 | $ | 299,631,281 | |||||||||||
Capital Transactions: | |||||||||||||||||||
Proceeds from shares issued | $ | 88,866,918 | $ | 189,957,267 | $ | 95,338,557 | $ | 143,357,344 | |||||||||||
Cost of shares redeemed | (244,063,851 | ) | (396,137,221 | ) | (89,970,712 | ) | (209,521,032 | ) | |||||||||||
| Change in net assets resulting from capital transactions | $ | (155,196,933 | ) | $ | (206,179,954 | ) | $ | 5,367,845 | $ | (66,163,688 | ) | ||||||||
Share Transactions: | |||||||||||||||||||
Issued | 1,300,000 | 3,200,000 | 1,350,000 | 2,200,000 | |||||||||||||||
Redeemed | (3,600,000 | ) | (6,700,000 | ) | (1,250,000 | ) | (3,300,000 | ) | |||||||||||
Change in Shares | (2,300,000 | ) | (3,500,000 | ) | 100,000 | (1,100,000 | ) | ||||||||||||
See notes to financial statements.
63
Victory Portfolios II | Statements of Changes in Net Assets | ||||||
| VictoryShares USAA MSCI International Value Momentum ETF | VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | ||||||||||||||||||
| Year Ended June 30, 2022 | Year Ended June 30, 2021 | Year Ended June 30, 2022 | Year Ended June 30, 2021 | ||||||||||||||||
From Investment Activities: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net Investment Income (Loss) | $ | 10,073,851 | $ | 10,949,323 | $ | 9,609,284 | $ | 7,389,948 | |||||||||||
Net realized gains (losses) | (689,429 | ) | 36,512,318 | 1,927,212 | 19,617,138 | ||||||||||||||
| Net change in unrealized appreciation/depreciation | (64,701,944 | ) | 62,078,654 | (59,090,887 | ) | 61,071,078 | |||||||||||||
| Change in net assets resulting from operations | (55,317,522 | ) | 109,540,295 | (47,554,391 | ) | 88,078,164 | |||||||||||||
| Change in net assets resulting from distributions to shareholders | (12,229,755 | ) | (10,100,636 | ) | (10,246,565 | ) | (6,382,157 | ) | |||||||||||
| Change in net assets resulting from capital transactions | (6,876,009 | ) | (57,063,375 | ) | 2,145,943 | 19,002,805 | |||||||||||||
Change in net assets | (74,423,286 | ) | 42,376,284 | (55,655,013 | ) | 100,698,812 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 357,380,448 | 315,004,164 | 265,590,820 | 164,892,008 | |||||||||||||||
End of period | $ | 282,957,162 | $ | 357,380,448 | $ | 209,935,807 | $ | 265,590,820 | |||||||||||
Capital Transactions: | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | 45,460,436 | $ | 9,384,929 | $ | 72,396,227 | |||||||||||
Cost of shares redeemed | (6,876,009 | ) | (102,523,811 | ) | (7,238,986 | ) | (53,393,422 | ) | |||||||||||
| Change in net assets resulting from capital transactions | $ | (6,876,009 | ) | $ | (57,063,375 | ) | $ | 2,145,943 | $ | 19,002,805 | |||||||||
Share Transactions: | |||||||||||||||||||
Issued | — | 1,100,000 | 200,000 | 1,800,000 | |||||||||||||||
Redeemed | (150,000 | ) | (2,100,000 | ) | (150,000 | ) | (1,050,000 | ) | |||||||||||
Change in Shares | (150,000 | ) | (1,000,000 | ) | 50,000 | 750,000 | |||||||||||||
See notes to financial statements.
64
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65
Victory Portfolios II | Financial Highlights | ||||||
For a Share Outstanding Throughout Each Period
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Total Distributions | ||||||||||||||||||||||
VictoryShares USAA MSCI USA Value Momentum ETF | |||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 65.66 | 1.07 | (5.52 | ) | (4.45 | ) | (1.11 | ) | (1.11 | ) | ||||||||||||||||
2021 | $ | 45.30 | 0.81 | 20.32 | 21.13 | (0.77 | ) | (0.77 | ) | ||||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 50.37 | 0.72 | (4.85 | ) | (4.13 | ) | (0.94 | ) | (0.94 | ) | ||||||||||||||||
| Year Ended August 31, 2019 | $ | 53.85 | 1.00 | (3.59 | ) | (2.59 | ) | (0.89 | ) | (0.89 | ) | ||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 50.19 | 0.78 | 3.34 | 4.12 | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | |||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 72.20 | 0.88 | (11.79 | ) | (10.91 | ) | (0.74 | ) | (0.74 | ) | ||||||||||||||||
2021 | $ | 45.57 | 0.52 | 26.84 | 27.36 | (0.73 | ) | (0.73 | ) | ||||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 49.54 | 0.60 | (3.74 | ) | (3.14 | ) | (0.83 | ) | (0.83 | ) | ||||||||||||||||
| Year Ended August 31, 2019 | $ | 57.21 | 1.00 | (7.86 | ) | (6.86 | ) | (0.81 | ) | (0.81 | ) | ||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 50.13 | 0.57 | 6.81 | 7.38 | (0.30 | ) | (0.30 | ) | ||||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year,
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(g) Commencement of operations.
(h) Includes impact of voluntary waivers. Without these voluntary waivers, the net expense ratio would have been at the contractual cap. (See Note 5 in the Notes to Financial Statements).
See notes to financial statements.
66
Victory Portfolios II | Financial Highlights — continued | ||||||
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||||||||||
| Net Asset Value, End of Period | Total Return(b) | Net Expenses(c)(d) | Net Investment Income (Loss)(c) | Gross Expenses(c)(d) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(e) | |||||||||||||||||||||||||
VictoryShares USAA MSCI USA Value Momentum ETF | |||||||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 60.10 | (6.94 | )% | 0.20 | % | 1.59 | % | 0.27 | % | $ | 267,461 | 53 | % | |||||||||||||||||
2021 | $ | 65.66 | 47.02 | % | 0.20 | % | 1.47 | % | 0.27 | % | $ | 443,213 | 76 | % | |||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 45.30 | (8.31 | )% | 0.20 | % | 1.80 | % | 0.28 | % | $ | 464,347 | 66 | % | |||||||||||||||||
| Year Ended August 31, 2019 | $ | 50.37 | (4.79 | )% | 0.20 | % | 2.00 | % | 0.25 | % | $ | 468,445 | 87 | % | |||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 53.85 | 8.23 | % | 0.20 | % | 1.76 | % | 0.25 | % | $ | 398,504 | 84 | % | |||||||||||||||||
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | |||||||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 60.55 | (15.24 | )% | 0.24 | %(h) | 1.26 | % | 0.27 | % | $ | 257,356 | 70 | % | |||||||||||||||||
2021 | $ | 72.20 | 60.47 | % | 0.24 | %(h) | 0.87 | % | 0.28 | % | $ | 299,631 | 78 | % | |||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 45.57 | (6.44 | )% | 0.25 | % | 1.53 | % | 0.31 | % | $ | 239,247 | 70 | % | |||||||||||||||||
| Year Ended August 31, 2019 | $ | 49.54 | (11.99 | )% | 0.25 | % | 1.98 | % | 0.30 | % | $ | 101,564 | 88 | % | |||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 57.21 | 14.80 | % | 0.25 | % | 1.25 | % | 0.30 | % | $ | 71,517 | 81 | % | |||||||||||||||||
See notes to financial statements.
67
Victory Portfolios II | Financial Highlights | ||||||
For a Share Outstanding Throughout Each Period
Investment Activities | Distributions to Shareholders From | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gains (Losses) | Total from Investment Activities | Net Investment Income | Total Distributions | ||||||||||||||||||||||
VictoryShares USAA MSCI International Value Momentum ETF | |||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 49.64 | 1.41 | (9.20 | ) | (7.79 | ) | (1.71 | ) | (1.71 | ) | ||||||||||||||||
2021 | $ | 38.42 | 1.28 | 11.17 | 12.45 | (1.23 | ) | (1.23 | ) | ||||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 43.16 | 0.83 | (4.35 | ) | (3.52 | ) | (1.22 | ) | (1.22 | ) | ||||||||||||||||
| Year Ended August 31, 2019 | $ | 48.10 | 1.30 | (4.99 | ) | (3.69 | ) | (1.25 | ) | (1.25 | ) | ||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 50.08 | 1.34 | (2.64 | ) | (1.30 | ) | (0.68 | ) | (0.68 | ) | ||||||||||||||||
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | |||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 52.08 | 1.91 | (11.18 | ) | (9.27 | ) | (2.05 | ) | (2.05 | ) | ||||||||||||||||
2021 | $ | 37.91 | 1.36 | 14.10 | 15.46 | (1.29 | ) | (1.29 | ) | ||||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 41.23 | 0.73 | (2.85 | ) | (2.12 | ) | (1.20 | ) | (1.20 | ) | ||||||||||||||||
| Year Ended August 31, 2019 | $ | 45.58 | 1.31 | (4.73 | ) | (3.42 | ) | (0.93 | ) | (0.93 | ) | ||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 49.95 | 1.17 | (5.10 | ) | (3.93 | ) | (0.44 | ) | (0.44 | ) | ||||||||||||||||
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year,
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(g) Commencement of operations.
See notes to financial statements.
68
Victory Portfolios II | Financial Highlights — continued | ||||||
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets | Supplemental Data | ||||||||||||||||||||||||||||||
| Net Asset Value, End of Period | Total Return(b) | Net Expenses(c)(d) | Net Investment Income (Loss)(c) | Gross Expenses(c)(d) | Net Assets, End of Period (000's) | Portfolio Turnover(b)(e) | |||||||||||||||||||||||||
VictoryShares USAA MSCI International Value Momentum ETF | |||||||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 40.14 | (16.12 | )% | 0.35 | % | 2.96 | % | 0.41 | % | $ | 282,957 | 68 | % | |||||||||||||||||
2021 | $ | 49.64 | 32.66 | % | 0.35 | % | 2.86 | % | 0.42 | % | $ | 357,380 | 90 | % | |||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 38.42 | (8.39 | )% | 0.35 | % | 2.41 | % | 0.41 | % | $ | 315,004 | 62 | % | |||||||||||||||||
| Year Ended August 31, 2019 | $ | 43.16 | (7.70 | )% | 0.35 | % | 2.90 | % | 0.40 | % | $ | 323,693 | 87 | % | |||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 48.10 | (2.64 | )% | 0.35 | % | 3.12 | % | 0.40 | % | $ | 307,836 | 65 | % | |||||||||||||||||
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | |||||||||||||||||||||||||||||||
| Year Ended June 30: 2022 | $ | 40.76 | (18.34 | )% | 0.45 | % | 4.05 | % | 0.55 | % | $ | 209,936 | 70 | % | |||||||||||||||||
2021 | $ | 52.08 | 41.48 | % | 0.45 | % | 2.98 | % | 0.56 | % | $ | 265,591 | 95 | % | |||||||||||||||||
| Ten Months Ended June 30, 2020 (f) | $ | 37.91 | (5.47 | )% | 0.45 | % | 2.18 | % | 0.57 | % | $ | 164,892 | 51 | % | |||||||||||||||||
| Year Ended August 31, 2019 | $ | 41.23 | (7.62 | )% | 0.45 | % | 3.00 | % | 0.50 | % | $ | 169,051 | 67 | % | |||||||||||||||||
| October 24, 2017 (g) through August 31, 2018 | $ | 45.58 | (7.95 | )% | 0.45 | % | 2.77 | % | 0.50 | % | $ | 154,974 | 58 | % | |||||||||||||||||
See notes to financial statements.
69
Victory Portfolios II | Notes to Financial Statements June 30, 2022 | ||||||
1. Organization:
Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 25 funds, 23 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.
The accompanying financial statements are those of the following four Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.
Funds (Legal Name) | Funds (Short Name) | ||||||
| VictoryShares USAA MSCI USA Value Momentum ETF | USAA MSCI USA Value Momentum ETF | ||||||
| VictoryShares USAA MSCI USA Small Cap Value Momentum ETF | USAA MSCI USA Small Cap Value Momentum ETF | ||||||
| VictoryShares USAA MSCI International Value Momentum ETF | USAA MSCI International Value Momentum ETF | ||||||
| VictoryShares USAA MSCI Emerging Markets Value Momentum ETF | USAA MSCI Emerging Markets Value Momentum ETF | ||||||
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. Generally Accepted Accounting Principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make 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 the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the "Exchange"). The Funds issue and redeem shares at net asset value ("NAV") only in aggregations of 50,000 shares, (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). 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. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance of such cash creations or redemptions, transaction fees may be imposed and may be higher than the transaction fees associated with in-kind creations or redemptions.
Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transactional costs associated with the purchase of Creation Units. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units. Variable fees received by each Fund are displayed in the Capital Transactions section of the Statements of Changes in Net Assets as an increase to Capital.
70
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
The transaction fees for each Fund are listed below:
| Fee for In-Kind and Cash Purchases and Redemptions | Maximum Additional Variable Charge for Cash Purchases and Redemptions* | ||||||||||
USAA MSCI USA Value Momentum ETF | $ | 500 | 2.00 | % | |||||||
USAA MSCI USA Small Cap Value Momentum ETF | 750 | 2.00 | % | ||||||||
USAA MSCI International Value Momentum ETF | 3,000 | 2.00 | % | ||||||||
USAA MSCI Emerging Markets Value Momentum ETF | 5,500 | 2.00 | % | ||||||||
* As a percentage of the amount invested.
Investment Valuation:
The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical securities
• Level 2 — other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)
• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.
Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to the Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.
Portfolio securities listed or traded on securities exchanges, including Exchange-Traded Funds ("ETFs"), American Depositary Receipts ("ADRs"), and Rights, are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Investments in open-end investment companies, other than ETFs, are valued at their NAV. These valuations are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.
In the event that price quotations or valuations are not readily available, investments are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
In accordance with procedures adopted by the Board, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time a Fund's NAV is calculated. The Funds use a systematic valuation model, provided daily by an independent third party to fair value its international equity securities. The valuations are considered as Level 2 in the fair value hierarchy.
A summary of the valuations as of June 30, 2022, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
USAA MSCI USA Value Momentum ETF | |||||||||||||||||||
Common Stocks | $ | 265,467,160 | $ | — | $ | — | $ | 265,467,160 | |||||||||||
Total | $ | 265,467,160 | $ | — | $ | — | $ | 265,467,160 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (57,133 | ) | $ | — | $ | — | $ | (57,133 | ) | |||||||||
Total | $ | (57,133 | ) | $ | — | $ | — | $ | (57,133 | ) | |||||||||
| USAA MSCI USA Small Cap Value Momentum ETF | |||||||||||||||||||
Common Stocks | $ | 255,298,014 | $ | — | $ | — | $ | 255,298,014 | |||||||||||
Rights | — | — | 10,583 | 10,583 | |||||||||||||||
Collateral for Securities Loaned | 4,071,008 | — | — | 4,071,008 | |||||||||||||||
Total | $ | 259,369,022 | $ | — | $ | 10,583 | $ | 259,379,605 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (67,780 | ) | $ | — | $ | — | $ | (67,780 | ) | |||||||||
Total | $ | (67,780 | ) | $ | — | $ | — | $ | (67,780 | ) | |||||||||
| USAA MSCI International Value Momentum ETF | |||||||||||||||||||
Common Stocks | $ | 280,673,006 | $ | — | $ | — | $ | 280,673,006 | |||||||||||
Collateral for Securities Loaned | 9,451,062 | — | — | 9,451,062 | |||||||||||||||
Total | $ | 290,124,068 | $ | — | $ | — | $ | 290,124,068 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (12,193 | ) | $ | — | $ | — | $ | (12,193 | ) | |||||||||
Total | $ | (12,193 | ) | $ | — | $ | — | $ | (12,193 | ) | |||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | |||||||||||||||||||
Common Stocks | $ | 205,802,652 | $ | — | $ | 667,481 | $ | 206,470,133 | |||||||||||
Rights | — | 3,421 | — | (a) | 3,421 | ||||||||||||||
Collateral for Securities Loaned | 1,354,181 | — | — | 1,354,181 | |||||||||||||||
Total | $ | 207,156,833 | $ | 3,421 | $ | 667,481 | $ | 207,827,735 | |||||||||||
Other Financial Investments* | |||||||||||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | (16,003 | ) | $ | — | $ | — | $ | (16,003 | ) | |||||||||
Total | $ | (16,003 | ) | $ | — | $ | — | $ | (16,003 | ) | |||||||||
* Futures contracts are valued at the unrealized appreciation (depreciation) on the investment.
(a) Zero market value security.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
For the year ended June 30, 2022, there were no significant changes into/out of Level 3. The transfers into Level 3 investments for the MSCI Emerging Markets Value Momentum ETF were immaterial, although the change in unrealized appreciation/(depreciation) on these investments was $(7,791,463). These securities were impacted by the invasion of Ukraine and sanctions on market conditions in Russia. From the start of the conflict in Ukraine until June 30, 2022, Russian-held investments were valued at an approximately 99 percent discount from their last traded prices.
Real Estate Investment Trusts ("REITs"):
The Funds may invest in REITs, which report information on the source of their distributions annually. REITs are pooled investment vehicles that invest primarily in income-producing real estate or real-estate related loans or interests (such as mortgages). Certain distributions received from REITs during the year are recorded as realized gains or return of capital as estimated by the Funds or when such information becomes known.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Derivative Instruments:
Foreign Exchange Currency Contracts:
The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Funds record realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. For the year ended June 30, 2022, the Funds had no open forward foreign exchange currency contracts.
Futures Contracts:
The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
the underlying asset is made. The Funds may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Funds the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require the Funds to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Funds based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. The Funds may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is reflected on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.
Management has determined that no offsetting requirements exist as a result of their conclusion that the Funds are not subject to master netting agreements for futures contracts. As of June 30, 2022, the Funds entered into futures contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.
Summary of Derivative Instruments:
The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Liabilities | |||||||
| Variation Margin Payable on Open Futures Contracts* | |||||||
Equity Risk Exposure | |||||||
USAA MSCI USA Value Momentum ETF | $ | 57,133 | |||||
USAA MSCI USA Small Cap Value Momentum ETF | 67,780 | ||||||
USAA MSCI International Value Momentum ETF | 12,193 | ||||||
USAA MSCI Emerging Markets Value Momentum ETF | 16,003 | ||||||
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2022:
| Net Realized Gains (Losses) on Derivatives Recognized as a Result of Operations | Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations | ||||||||||
| Net Realized Gains (Losses) from Futures Contracts | Net Change in Unrealized Appreciation/Depreciation on Futures Contracts | ||||||||||
Equity Risk Exposure | |||||||||||
USAA MSCI USA Value Momentum ETF | $ | 47,624 | $ | (103,321 | ) | ||||||
| USAA MSCI USA Small Cap Value Momentum ETF | (198,572 | ) | (60,729 | ) | |||||||
| USAA MSCI International Value Momentum ETF | (493,864 | ) | 24,448 | ||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | (239,366 | ) | (20,653 | ) | |||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
All open derivative positions at year end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year.
Investment Transactions and Related Income:
Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date or the last business day of the reporting period. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are recorded on the identified cost basis.
Withholding taxes on interest, dividends, and gains as a result of certain investments by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.
Securities Lending:
The Funds, through a Securities Lending Agreement with Citibank, N.A. ("Citibank"), may lend their securities to qualified financial institutions, such as certain broker-dealers and banks, to earn additional income, net of income retained by Citibank. Borrowers are required to initially secure their loans for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are generally cured the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities and other securities as permitted by Securities and Exchange Commission ("SEC") guidelines. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Funds effectively do not have control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. Collateral requirements are determined daily based on the value of the Funds' securities on loan as of the end of the prior business day. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay Citibank various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) is disclosed on the Statements of Operations. Loans are terminable upon demand and the borrower must return the loaned securities within the lesser of one standard settlement period or five business days. Although risk is mitigated by the collateral, a Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. In addition, there is a risk that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower.
The Funds' agreement with Citibank does not include master netting provisions. Non-cash collateral received by the Funds may not be sold or repledged, except to satisfy borrower default.
The following table is a summary of the Funds' securities lending transactions as of June 30, 2022.
| Value of Securities on Loan | Non-Cash Collateral | Cash Collateral | |||||||||||||
| USAA MSCI USA Small Cap Value Momentum ETF | $ | 3,833,348 | $ | — | $ | 4,071,008 | |||||||||
| USAA MSCI International Value Momentum ETF | 7,546,965 | — | 9,451,062 | ||||||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | 1,278,323 | — | 1,354,181 | ||||||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Foreign Currency Translations:
The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities and foreign currency transactions on the Statements of Operations.
Foreign Taxes:
The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.
For the year ended June 30, 2022, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain tax positions.
Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Allocations:
Expenses directly attributable to a Fund are charged to that Fund, while expenses that are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or an affiliated trust based upon net assets or another appropriate basis.
3. Purchases and Sales:
Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and purchases and sales associated with in-kind transactions for the year ended June 30, 2022, are included in the table below. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as Net realized gains (losses) from in-kind redemptions.
| Excluding U.S. Government Securities | Associated with In-Kind Transactions | ||||||||||||||||||
Purchases | Sales | Purchases | Sales | ||||||||||||||||
| USAA MSCI USA Value Momentum ETF | $ | 188,734,906 | $ | 187,657,991 | $ | 88,394,838 | $ | 243,106,147 | |||||||||||
| USAA MSCI USA Small Cap Value Momentum ETF | 203,753,280 | 203,083,093 | 94,715,313 | 89,841,140 | |||||||||||||||
| USAA MSCI International Value Momentum ETF | 226,918,781 | 228,719,065 | — | 6,898,055 | |||||||||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | 167,500,188 | 165,849,278 | 1,955,422 | 3,587,996 | |||||||||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
4. Affiliated Fund Ownership:
The Funds offer shares for investment by other funds. The fund-of-funds do not invest in the underlying funds for the purpose of exercising management or control, and the affiliated fund-of-funds annual and semi-annual reports may be viewed at www.vcm.com. As of June 30, 2022, certain fund-of-funds owned total outstanding shares of the Funds as follows:
USAA MSCI USA Value Momentum ETF | Ownership % | ||||||
USAA Cornerstone Conservative Fund | 1.8 | ||||||
USAA Cornerstone Equity Fund | 9.1 | ||||||
USAA Target Retirement Income Fund | 4.5 | ||||||
USAA Target Retirement 2030 Fund | 15.5 | ||||||
USAA Target Retirement 2040 Fund | 25.2 | ||||||
USAA Target Retirement 2050 Fund | 17.2 | ||||||
USAA Target Retirement 2060 Fund | 2.4 | ||||||
USAA MSCI USA Small Cap Value Momentum ETF | Ownership % | ||||||
USAA Cornerstone Conservative Fund | 0.4 | ||||||
USAA Cornerstone Equity Fund | 2.4 | ||||||
USAA Target Retirement Income Fund | 2.0 | ||||||
USAA Target Retirement 2030 Fund | 8.1 | ||||||
USAA Target Retirement 2040 Fund | 10.7 | ||||||
USAA Target Retirement 2050 Fund | 6.6 | ||||||
USAA Target Retirement 2060 Fund | 1.0 | ||||||
USAA MSCI International Value Momentum ETF | Ownership % | ||||||
USAA Cornerstone Conservative Fund | 1.6 | ||||||
USAA Cornerstone Equity Fund | 7.9 | ||||||
USAA Target Retirement Income Fund | 6.3 | ||||||
USAA Target Retirement 2030 Fund | 17.8 | ||||||
USAA Target Retirement 2040 Fund | 26.3 | ||||||
USAA Target Retirement 2050 Fund | 17.5 | ||||||
USAA Target Retirement 2060 Fund | 2.5 | ||||||
USAA MSCI Emerging Markets Value Momentum ETF | Ownership % | ||||||
USAA Cornerstone Aggressive Fund | 0.3 | ||||||
USAA Cornerstone Conservative Fund | 1.3 | ||||||
USAA Cornerstone Equity Fund | 5.2 | ||||||
USAA Cornerstone Moderate Fund | 1.0 | ||||||
USAA Cornerstone Moderately Aggressive Fund | 1.3 | ||||||
USAA Cornerstone Moderately Conservative Fund | 0.2 | ||||||
USAA Target Retirement 2030 Fund | 17.3 | ||||||
USAA Target Retirement 2040 Fund | 24.6 | ||||||
USAA Target Retirement 2050 Fund | 16.2 | ||||||
USAA Target Retirement 2060 Fund | 2.3 | ||||||
USAA Target Retirement Income Fund | 8.8 | ||||||
5. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
Flat Rate | |||||||
USAA MSCI USA Value Momentum ETF | 0.15 | % | |||||
USAA MSCI USA Small Cap Value Momentum ETF | 0.15 | % | |||||
USAA MSCI International Value Momentum ETF | 0.25 | % | |||||
USAA MSCI Emerging Markets Value Momentum ETF | 0.30 | % | |||||
Amounts incurred and paid to VCM for the year ended June 30, 2022, are reflected on the Statements of Operations as Investment advisory fees.
Administration and Servicing Fees:
VCM also serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios. The tiered rates at which VCM is paid by the Funds are shown in the table below:
Net Assets | |||||||||||
Up to $15 billion | $15 billion – $30 billion | Over $30 billion | |||||||||
0.08 | %, plus | 0.05 | %, plus | 0.04 | % | ||||||
Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Administration fees.
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator, sub-fund accountant, and transfer agent to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Sub-Administration fees.
The Funds (as part of the Trust) have entered into an agreement with the Adviser to provide compliance services, pursuant to which the Adviser furnishes its compliance personnel, including the services of the Chief Compliance Officer ("CCO"), and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration, and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. The CCO is an employee of the Adviser, which pays the compensation of the CCO and support staff. The funds in the Trust, Victory Variable Insurance Funds, Victory Portfolios and USAA Mutual Funds (collectively, the "Victory Funds Complex"), in aggregate, compensate the Adviser for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Compliance fees.
Distributor/Underwriting Services:
Foreside Fund Services, LLC serves as the Funds' distributor.
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the expense limit for such classes of the Fund. Such excess amounts will be the liability of the Adviser. Acquired
78
Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
fund fees and expenses, interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2022, the expense limits (excluding voluntary waivers) are as follows:
| In Effect Until October 31, 2022 | |||||||
USAA MSCI USA Value Momentum ETF | 0.20 | % | |||||
USAA MSCI USA Small Cap Value Momentum ETF | 0.25 | % | |||||
USAA MSCI International Value Momentum ETF | 0.35 | % | |||||
USAA MSCI Emerging Markets Value Momentum ETF | 0.45 | % | |||||
Under the terms of the expense limitation agreements, as amended May 1, 2022, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount.
As of June 30, 2022, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at June 30, 2022.
| Expires 2023 | Expires 2024 | Expires 2025 | Total | ||||||||||||||||
USAA MSCI USA Value Momentum ETF | $ | 188,636 | $ | 169,706 | $ | 130,524 | $ | 488,866 | |||||||||||
| USAA MSCI USA Small Cap Value Momentum ETF | 37,764 | — | — | 37,764 | |||||||||||||||
USAA MSCI International Value Momentum ETF | 71,346 | 144,936 | 104,166 | 320,448 | |||||||||||||||
USAA MSCI Emerging Markets Value Momentum ETF | 114,256 | 195,585 | 147,952 | 457,793 | |||||||||||||||
The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. For the year ended June 30, 2022, the Adviser voluntarily waived the following amounts:
USAA MSCI USA Value Momentum ETF | $ | 111,116 | |||||
USAA MSCI USA Small Cap Value Momentum ETF | 90,764 | ||||||
USAA MSCI International Value Momentum ETF | 107,993 | ||||||
USAA MSCI Emerging Markets Value Momentum ETF | 75,379 | ||||||
Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.
6. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Equity Risk — The value of the equity securities in which the Fund invests may decline in response to developments affecting individual companies and/or general economic conditions in the United States or abroad. A company's earnings or dividends may not increase as expected (or may decline) because of poor management, competitive pressures, reliance on particular suppliers or geographical regions, labor problems or shortages, corporate restructurings, fraudulent disclosures, man-made or natural disasters, military confrontations or wars, terrorism, public health crises, or other events, conditions and factors. Price changes may be temporary or last for extended periods.
Foreign Securities Risk — The USAA MSCI Emerging Markets Value Mom ETF and USAA MSCI International Value Mom ETF, invest in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised, and continue to exercise, substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital reinvestment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographic composition, as relevant.
Passive Investment Risk — Each Fund is designed to track its index and is not actively managed. A Fund will not buy or sell shares of an equity security due to current or projected performance of a security, industry or sector, unless that security is added to or removed, respectively, from its index. A Fund does not, therefore, seek returns in excess of its index, and does not attempt to take defensive positions or hedge against potential risks unless such defensive positions are also taken by its index. Different types of investment styles, for example passively managed or actively managed, or growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.
Market Risk — Overall market risks may affect the value of the Funds. Domestic and international factors such as political events, war, terrorism, trade disputes, inflation rates, interest rate levels and other fiscal and monetary policy changes, cybersecurity incidents, pandemics and other public health crises, sanctions against a particular foreign country, its nationals, businesses or industries and related geopolitical events, as well as environmental disasters such as earthquakes, fires, and floods or other catastrophes, may add to instability in global economies and markets generally, and may lead to increased market volatility. Global economies and financial markets are highly interconnected, which increases the possibility that conditions in one country or region might adversely affect issuers in another country or region. The impact of these and other factors may be short-term or may last for extended periods.
7. Borrowing:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 27, 2022, with a termination date of June 26, 2023. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2022, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the commitment fees plus any interest on amounts borrowed. For the period from July 1, 2021, through June 27, 2022, interest was based on the one-month London Interbank Offered Rate ("LIBOR") plus one percent. Effective with the renewal, for the period June 28, 2022, through June 30, 2022, interest was based on the one-month Secured Overnight Financing Rate (SOFR) plus 1.10 percent. Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees.
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Amount | Outstanding at June 30, 2022 | Average Borrowing | Days Borrowing Outstanding | Maximum Average Interest Rate* | Borrowing During the Period | ||||||||||||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | $ | — | $ | 11,600,000 | 9 | 1.63 | % | $ | 18,000,000 | ||||||||||||||
* Based on the number of days borrowings were outstanding for the year ended June 30, 2022.
8. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund
Declared | Paid | ||||||||||
USAA MSCI USA Value Momentum ETF | Monthly | Monthly | |||||||||
USAA MSCI USA Small Cap Value Momentum ETF | Monthly | Monthly | |||||||||
USAA MSCI International Value Momentum ETF | Monthly | Monthly | |||||||||
USAA MSCI Emerging Markets Value Momentum ETF | Monthly | Monthly | |||||||||
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
As of June 30, 2022, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments (inclusive of in-kind redemptions as applicable) were as follows:
| Total Accumulated Earnings/(Loss) | Capital | ||||||||||
USAA MSCI USA Value Momentum ETF | $ | (66,052,070 | ) | $ | 66,052,070 | ||||||
USAA MSCI USA Small Cap Value Momentum ETF | (33,670,369 | ) | 33,670,369 | ||||||||
USAA MSCI International Value Momentum ETF | (962,065 | ) | 962,065 | ||||||||
USAA MSCI Emerging Markets Value Momentum ETF | (409,734 | ) | 409,734 | ||||||||
The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid).
| Year Ended June 30, 2022 | ||||||||||
| Distributions paid from: | ||||||||||
| Ordinary Income | Total Distributions Paid | ||||||||||
USAA MSCI USA Value Momentum ETF | $ | 5,861,933 | $ | 5,861,933 | |||||||
USAA MSCI USA Small Cap Value Momentum ETF | 3,010,992 | 3,010,992 | |||||||||
USAA MSCI International Value Momentum ETF | 12,229,755 | 12,229,755 | |||||||||
USAA MSCI Emerging Markets Value Momentum ETF | 10,246,565 | 10,246,565 | |||||||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
Year Ended June 30, 2021 | |||||||||||
| Distributions paid from | Total | |||||||||
| Ordinary Income | Distributions Paid | |||||||||
USAA MSCI USA Value Momentum ETF | $ | 7,140,505 | $ | 7,140,505 | |||||||
USAA MSCI USA Small Cap Value Momentum ETF | 3,526,739 | 3,526,739 | |||||||||
USAA MSCI International Value Momentum ETF | 10,100,636 | 10,100,636 | |||||||||
USAA MSCI Emerging Markets Value Momentum ETF | 6,382,157 | 6,382,157 | |||||||||
As of June 30, 2022, the components of accumulated earnings/(loss) on a tax basis were as follows:
| Undistributed Ordinary Income | Accumulated Earnings | Accumulated Capital and Other Losses | Qualified Late-Year Losses* | Unrealized Appreciation (Depreciation)** | Total Accumulated Earnings (Loss) | ||||||||||||||||||||||
| USAA MSCI USA Value Momentum ETF | $ | 492,140 | $ | 492,140 | $ | (75,365,747 | ) | $ | — | $ | (2,088,011 | ) | $ | (76,961,618 | ) | ||||||||||||
| USAA MSCI USA Small Cap Value Momentum ETF | 208,854 | 208,854 | (49,315,703 | ) | — | (7,314,173 | ) | (56,421,022 | ) | ||||||||||||||||||
| USAA MSCI International Value Momentum ETF | — | — | (61,202,604 | ) | (471,036 | ) | (21,003,315 | ) | (82,676,955 | ) | |||||||||||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | 1,876,625 | 1,876,625 | (18,603,385 | ) | — | (18,813,174 | ) | (35,539,934 | ) | ||||||||||||||||||
* Qualified late-year losses are comprised of post-October capital losses incurred after October 31 and certain late-year ordinary losses. Late-year ordinary losses represent ordinary losses incurred after December 31 and specified losses incurred after October 31. These losses are deemed to arise on the first day of the Fund's next taxable year.
** The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales, futures and passive foreign investment company adjustments.
As of June 30, 2022, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.
| Short-Term Amount | Long-Term Amount | Total | |||||||||||||
USAA MSCI USA Value Momentum ETF | $ | 55,201,537 | $ | 20,164,210 | $ | 75,365,747 | |||||||||
USAA MSCI USA Small Cap Value Momentum ETF | 44,173,153 | 5,142,550 | 49,315,703 | ||||||||||||
USAA MSCI International Value Momentum ETF | 50,644,306 | 10,558,298 | 61,202,604 | ||||||||||||
USAA MSCI Emerging Markets Value Momentum ETF | 17,581,884 | 1,021,501 | 18,603,385 | ||||||||||||
During the tax year ended June 30, 2022, the following Funds utilized capital loss carryforwards:
| Short-Term Amount | |||||||
USAA MSCI Emerging Markets Value Momentum ETF | $ | 1,776,733 | |||||
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Victory Portfolios II | Notes to Financial Statements — continued June 30, 2022 | ||||||
As of June 30, 2022, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:
| Cost of Investments for Federal Tax Purposes | Net Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||
USAA MSCI USA Value Momentum ETF | $ | 267,555,171 | $ | 22,997,638 | $ | (25,085,649 | ) | $ | (2,088,011 | ) | |||||||||
| USAA MSCI USA Small Cap Value Momentum ETF | 266,693,778 | 24,495,445 | (31,809,618 | ) | (7,314,173 | ) | |||||||||||||
| USAA MSCI International Value Momentum ETF | 311,074,103 | 15,799,942 | (36,749,977 | ) | (20,950,035 | ) | |||||||||||||
| USAA MSCI Emerging Markets Value Momentum ETF | 226,573,690 | 15,485,265 | (34,231,220 | ) | (18,745,955 | ) | |||||||||||||
83
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Victory Portfolios II
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA MSCI USA Value Momentum ETF, VictoryShares USAA MSCI USA Small Cap Value Momentum ETF, VictoryShares USAA MSCI International Value Momentum ETF, and VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for the years ended June 30, 2022 and 2021, for the ten months ended June 30, 2020, and for the year ended August 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for the years ended June 30, 2022 and 2021, for the ten months ended June 30, 2020, and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.
The Funds' financial highlights for the period ended August 31, 2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
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 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 procedures included confirmation of securities owned as of June 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. 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. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.
COHEN & COMPANY, LTD.
Cleveland, Ohio
August 26, 2022
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Trustee and Officer Information
Board of Trustees:
Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently nine Trustees, eight of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.
The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 25 portfolios in the Trust, six portfolios in Victory Variable Insurance Funds, and 40 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 45 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.
Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
Independent Trustees. | |||||||||||||||||||
| David Brooks Adcock, Born October 1951 | Trustee | May 2015 | Consultant (since 2006). | Chair and Trustee, Turner Funds (December 2016-December 2017). | |||||||||||||||
| Nigel D. T. Andrews, Born April 1947 | Trustee | May 2015 | Retired. | Director, Carlyle Secured Lending, Inc. (formerly TCG BDC I, Inc.) (since 2012); Director, Carlyle Credit Solutions, Inc. (formerly TCG BDC II, Inc.) (since 2017); Trustee, Carlyle Secured Lending III (since 2021). | |||||||||||||||
| E. Lee Beard,* Born August 1951 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Dennis M. Bushe, Born January 1944 | Trustee | July 2016 | Retired. | None. | |||||||||||||||
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Name and Date of Birth | Position Held with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | Other Directorships Held During Past 5 Years | |||||||||||||||
| John L. Kelly, Born April 1953 | Chair and Trustee | May 2015 | Partner, McCarvill Capital Partners (September 2016- September 2017). | Director, Caledonia Mining Corporation (since May 2012). | |||||||||||||||
| David L. Meyer, Born April 1957 | Trustee | May 2015 | Retired. | None. | |||||||||||||||
| Gloria S. Nelund, Born May 1961 | Trustee | July 2016 | Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm. | TriLinc Global Impact Fund, LLC (since 2012). | |||||||||||||||
| Leigh A. Wilson, Born December 1944 | Trustee | May 2015 | Private Investor. | Chair (since 2013), Caledonia Mining Corporation. | |||||||||||||||
Interested Trustee. | |||||||||||||||||||
| David C. Brown,** Born May 1972 | Trustee | May 2015 | Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc. | Trustee, USAA Mutual Funds Trust. | |||||||||||||||
* The Board has designated Ms. Beard as its Audit Committee Financial Expert.
** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.
The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.
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Officers:
The officers of the Trust, their date of birth, their commencement of service, and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.
Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Christopher K. Dyer, Born February 1962 | President | May 2015 | Director of Mutual Fund Administration, the Adviser (since 2004); Chief Operating Officer, Victory Capital Services, Inc. (since 2020); Vice President, Victory Capital Transfer Agency, Inc. (since 2019). | ||||||||||||
| Scott A. Stahorsky, Born July 1969 | Vice President | May 2015 | Manager, Fund Administration, the Adviser (since 2015). | ||||||||||||
| Erin G. Wagner, Born February 1974 | Secretary* | May 2015- April 2022 | Associate General Counsel, the Adviser (2013-2022). | ||||||||||||
| Thomas Dusenberry, Born July 1977 | Secretary | May 2022 | Manager, Fund Administration, the Adviser (since 2022); Treasurer and Principal Financial Officer (2020-2022), Assistant Treasurer (2019), Salient MF Trust, Salient Midstream, MLP Fund and Forward Funds; Principal Financial Officer (2018-2021) and Treasurer (2020-2021), Salient Private Access Funds and Endowment PMF Funds; Senior Vice President of Fund Accounting and Operations, Salient Partners (2020-2022); Director of Fund Operations, Salient Partners (2016-2019). | ||||||||||||
| Allan Shaer, Born March 1965 | Treasurer | December 2017 | Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016). | ||||||||||||
| Christopher A. Ponte, Born March 1984 | Assistant Treasurer | May 2015 | Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018). | ||||||||||||
| Colin Kinney, Born October 1973 | Chief Compliance Officer** | July 2017- June 2022 | Chief Compliance Officer (2013-2022) and Chief Risk Officer (2009-2017), the Adviser. | ||||||||||||
| Sean Fox, Born September 1976 | Chief Compliance Officer | June 2022 | Sr. Compliance Officer, the Adviser (since 2019); Compliance Officer, the Adviser (2015-2019). | ||||||||||||
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Name and Date of Birth | Position with the Trust | Date Commenced Service | Principal Occupation During Past 5 Years | ||||||||||||
| Chuck Booth, Born April 1960 | Anti-Money Laundering Compliance Officer and Identity Theft Officer | May 2015 | Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc. | ||||||||||||
| Jay G. Baris, Born January 1954 | Assistant Secretary | May 2015 | Partner, Sidley Austin LLP (since 2020); Partner, Shearman & Sterling LLP (2018-2020); Partner, Morrison & Foerster LLP (2011-2018). | ||||||||||||
* On April 27, 2022, Ms. Wagner resigned her position with the Trust.
** On June 10, 2022, Mr. Kinney resigned his position with the Trust.
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Proxy Voting and Portfolio Holdings Information
Proxy Voting:
Information regarding the policies and procedures each Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.
Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 months ended June 30 is available on the SEC's website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Trust files a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's website at www.sec.gov.
Expense Examples
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022, through June 30, 2022.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, 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 table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expenses in the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Account Value 1/1/22 | Actual Ending Account Value 6/30/22 | Hypothetical Ending Account Value 6/30/22 | Actual Expenses Paid During Period 1/1/22- 6/30/22* | Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* | Annualized Expense Ratio During Period 1/1/22- 6/30/22 | ||||||||||||||||||||||
| USAA MSCI USA Value Mom Index ETF | $ | 1,000.00 | $ | 853.80 | $ | 1,023.80 | $ | 0.92 | $ | 1.00 | 0.20 | % | |||||||||||||||
| USAA MSCI USA Small Cap Value Mom ETF | 1,000.00 | 826.40 | 1,023.55 | 1.13 | 1.25 | 0.25 | % | ||||||||||||||||||||
| USAA MSCI International Value Mom ETF | 1,000.00 | 829.00 | 1,023.06 | 1.59 | 1.76 | 0.35 | % | ||||||||||||||||||||
| USAA MSCI Emerging Markets Value Mom ETF | 1,000.00 | 847.90 | 1,022.56 | 2.06 | 2.26 | 0.45 | % | ||||||||||||||||||||
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
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Additional Federal Income Tax Information
For the year ended June 30, 2022, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:
Percent | |||||||
USAA MSCI USA Value Momentum ETF | 100 | % | |||||
USAA MSCI USA Small Cap Value Momentum ETF | 100 | % | |||||
USAA MSCI Emerging Markets Value Momentum ETF | 58 | % | |||||
Dividends qualified for corporate dividends received deductions of:
Percent | |||||||
USAA MSCI USA Value Momentum ETF | 98 | % | |||||
USAA MSCI USA Small Cap Value Momentum ETF | 85 | % | |||||
The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2022, were as follows:
| Foreign Source Income | Foreign Tax Expense | ||||||||||
USAA MSCI International Value Momentum ETF | 1.46 | 0.15 | |||||||||
USAA MSCI Emerging Markets Value Momentum ETF | 2.35 | 0.32 | |||||||||
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Liquidity Risk Management Program:
The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.
Victory Capital manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every Fund investment as either highly liquid, moderately liquid, less liquid, or illiquid on at least a monthly basis. To assist with the classification of Fund investments, Victory Capital has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by Victory Capital. Victory Capital reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.
At a meeting held on February 24, 2022, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that each Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.
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Privacy Policy
Protecting the Privacy of Information
The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.
We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.
To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic, and procedural safeguards to guard your personal information.*
* You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.
The Victory Funds
P.O. Box 182593
Columbus, Ohio 43218-2593
Visit our website at: | Call Victory at: | ||||||
www.vcm.com | 866-376-7890 | ||||||
VS-MSCI-ETF-AR (6/22)
Item 2. Code of Ethics.
| (a) | The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics in included as an Exhibit. |
| (b) | During the period covered by the report, with respect to the registrant’s code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions; there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2. |
Item 3. Audit Committee Financial Expert.
(a)(1) The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee.
(a)(2) The audit committee financial expert is E. Lee Beard, who is “independent” for purposes of this Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
| 2022 | 2021 | |||||||
| (a) Audit Fees (1) | $ | 266,950 | $ | 249,000 | ||||
| (b) Audit-Related Fees (2) | 0 | 0 | ||||||
| (c) Tax Fees (3) | 82,500 | 81,250 | ||||||
| (d) All Other Fees (4) | 0 | 0 | ||||||
(1) Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit fees billed were for professional services provided by Cohen Fund Audit Services, Ltd for audit compliance, audit advice and audit planning.
(2) Represents the fee for assurance and related services by Cohen Fund Audit Services, Ltd reasonably related to the performance of the audit of the Registrant’s financial statements that was not reported under (a) of this item.
(3) Represents the aggregate tax fee billed for professional services rendered by Cohen Fund Audit Services, Ltd for tax compliance, tax advice, international tax fee transactions and tax planning. Such tax services included the review of income and excise tax returns for the Registrant.
(4) For the fiscal years ended June 30, 2022, and June 30, 2021, there were no fees billed for professional services rendered by Cohen Fund Audit Services, Ltd to the Registrant, other than the services reported in (a) through (c) of this item.
Tax fees for 2022 and 2021 are for recurring tax fees for the preparation of the federal and state tax returns and procedures performed relating to the Registrant’s analysis of complex securities.
(e)(1) The Registrant’s Audit Committee must pre-approve non-audit services to be provided by the principal accountant and the fees charged with these services. The Committee may delegate authority to one or more Committee members to pre-approve these services, subject to subsequent review and approval by the Committee.
(e)(2) There were no services performed under Rule 2.01 (c)(7)(i)(C).
(f) Not applicable.
(g)
| 2022 | $ | 82,500 | |||
| 2021 | $ | 81,250 |
(h) The Registrant’s Audit Committee has evaluated the non-audit services that the principal accountant provided to the Registrant’s investment adviser (and the adviser’s relevant affiliated), which services the Committee did not pre-approve, and has concluded that the provision of those services was compatible with maintaining the accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a)The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a)(1) Not applicable.
(a)(2) Not applicable.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Victory Portfolios II |
| By (Signature and Title)* | /s/ Allan Shaer | |
| Allan Shaer, Principal Financial Officer |
| Date | September 2, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Christopher K. Dyer | |
| Christopher K. Dyer, Principal Executive Officer |
| Date | September 2, 2022 |
| By (Signature and Title)* | /s/ Allan Shaer | |
| Allan Shaer, Principal Financial Officer |
| Date | September 2, 2022 |