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 811-22819
ETFis Series Trust I
(Exact name of registrant as specified in charter)
31 West 52nd Street, 16th Floor
New York, NY 10019
(Address of principal executive offices) (Zip code)
ETFis Series Trust I
c/o Corporation Service Company
2711 Centerville Road, Suite 400
Wilmington, DE 19808
(Name and address of agent for service)
Registrant’s telephone number, including area code: (212) 593-4383
Date of fiscal year end: October 31
Date of reporting period: April 30, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
ETFis Series Trust I
INFRACAP REIT PREFERRED ETF
VIRTUS INFRACAP U.S. PREFERRED STOCK ETF
VIRTUS LIFESCI BIOTECH CLINICAL TRIALS ETF
VIRTUS LIFESCI BIOTECH PRODUCTS ETF
VIRTUS NEWFLEET MULTI-SECTOR BOND ETF
VIRTUS PRIVATE CREDIT STRATEGY ETF
VIRTUS REAL ASSET INCOME ETF
VIRTUS WMC INTERNATIONAL DIVIDEND ETF
INFRACAP MLP ETF
SEMI-ANNUAL REPORT
April 30, 2024
Table of Contents
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1
June 2024
Dear Shareholder:
On behalf of Virtus ETF Advisers LLC (the “Adviser”), I am pleased to present the shareholder report for the ETFis Series Trust I (the “Trust”) for the semiannual fiscal period ended April 30, 2024.
The Adviser is part of Virtus Investment Partners, a distinctive partnership of boutique investment managers singularly committed to the long-term success of individual and institutional investors.
The report provides financial statements and portfolio information for the following funds within the Trust:
•InfraCap REIT Preferred ETF (PFFR)
•Virtus InfraCap U.S. Preferred Stock ETF (PFFA)
•Virtus LifeSci Biotech Clinical Trials ETF (BBC)
•Virtus LifeSci Biotech Products ETF (BBP)
•Virtus Newfleet Multi-Sector Bond ETF (NFLT)
•Virtus Private Credit Strategy ETF (VPC)
•Virtus Real Asset Income ETF (VRAI)
•Virtus WMC International Dividend ETF (VWID)
•InfraCap MLP ETF (AMZA)
On behalf of the Adviser and our fund Sub-Advisers, thank you for your investment. If you have questions, please contact your financial adviser, or call 1-888-383-0553. For more information about the funds and the other ETFs we offer, we invite you to visit our website, www.virtusetfs.com.
Sincerely,
William Smalley
President
ETFis Series Trust I
This material must be accompanied or preceded by the prospectus.
2
Asset Allocation as of 04/30/2024 (based on net assets)
InfraCap REIT Preferred ETF | | | |
Real Estate | | 68.1 | % |
Financials | | 31.1 | % |
Other Assets in Excess of Liabilities | | 0.8 | % |
Total | | 100.0 | % |
| | | |
Virtus InfraCap U.S. Preferred Stock ETF | | | |
Financials | | 52.3 | %* |
Real Estate | | 30.9 | %* |
Utilities | | 15.2 | % |
Industrials | | 10.5 | % |
Energy | | 10.3 | % |
Communication Services | | 7.0 | % |
Consumer Discretionary | | 1.7 | % |
Health Care | | 0.1 | % |
Liabilities in Excess of Other Assets | | (28.0 | )% |
Total | | 100.0 | % |
| | | |
Virtus LifeSci Biotech Clinical Trials ETF | | | |
Health Care | | 97.8 | % |
Money Market Fund | | 9.1 | % |
Liabilities in Excess of Other Assets | | (6.9 | )% |
Total | | 100.0 | % |
| | | |
Virtus LifeSci Biotech Products ETF | | | |
Health Care | | 99.3 | % |
Money Market Fund | | 1.5 | % |
Liabilities in Excess of Other Assets | | (0.8 | )% |
Total | | 100.0 | % |
*Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
3
Portfolio Composition (unaudited) (continued)
April 30, 2024
Asset Allocation as of 04/30/2024 (based on net assets)
Virtus Newfleet Multi-Sector Bond ETF | | | |
Corporate Bonds | | 33.1 | % |
Foreign Bonds | | 19.8 | % |
Mortgage Backed Securities | | 13.4 | % |
Term Loans | | 13.2 | % |
U.S. Government Securities | | 9.5 | % |
Asset Backed Securities | | 6.8 | % |
Money Market Fund | | 4.2 | % |
Residential Mortgage Backed Securities | | 0.9 | % |
Commercial Mortgage Backed Security | | 0.3 | % |
Common Stocks | | 0.0 | %** |
Liabilities in Excess of Other Assets | | (1.2 | )% |
Total | | 100.0 | % |
| | | |
Virtus Private Credit Strategy ETF | | | |
Financials | | 61.0 | % |
Closed-End Funds | | 37.2 | % |
Money Market Fund | | 7.4 | % |
Liabilities in Excess of Other Assets | | (5.6 | )% |
Total | | 100.0 | % |
| | | |
Virtus Real Asset Income ETF | | | |
Energy | | 34.3 | % |
Real Estate | | 31.2 | % |
Utilities | | 15.9 | % |
Materials | | 8.6 | % |
Communication Services | | 6.2 | % |
Consumer Staples | | 1.1 | % |
Money Market Fund | | 2.5 | % |
Other Assets in Excess of Liabilities | | 0.2 | % |
Total | | 100.0 | % |
**Amount rounds to less than 0.05%.
4
Portfolio Composition (unaudited) (continued)
April 30, 2024
Asset Allocation as of 04/30/2024 (based on net assets)
Virtus WMC International Dividend ETF | | | |
Financials | | 25.9 | %* |
Industrials | | 11.0 | % |
Energy | | 10.3 | % |
Communication Services | | 8.2 | % |
Consumer Staples | | 8.1 | % |
Consumer Discretionary | | 8.1 | % |
Utilities | | 6.7 | % |
Health Care | | 6.6 | % |
Materials | | 6.3 | % |
Information Technology | | 4.2 | % |
Real Estate | | 2.0 | % |
Other Assets in Excess of Liabilities | | 2.6 | % |
Total | | 100.0 | % |
| | | |
InfraCap MLP ETF | | | |
Energy | | 136.2 | % |
Utilities | | 0.2 | % |
Written Options | | (0.1 | )% |
Liabilities in Excess of Other Assets | | (36.3 | )% |
Total | | 100.0 | % |
*Amounts represent investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment.
5
We believe it is important for you to understand the impact of costs on your investment. All funds have operating expenses. As a shareholder of the InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, Virtus WMC International Dividend ETF and InfraCap MLP ETF (each, a “Fund”) you may incur two types of costs: (1) transaction costs, which include brokerage commissions that you pay when purchasing or selling shares of a Fund; and (2) ongoing costs, which include advisory fees and other fund expenses, if any . The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (November 1, 2023 to April 30, 2024).
Actual expenses
The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line under each Fund in the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning | | Ending | | Annualized | | Expenses Paid |
InfraCap REIT Preferred ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,137.00 | | 0.45% | | $2.39 |
Hypothetical(1) | | $1,000.00 | | $1,022.63 | | 0.45% | | $2.26 |
Virtus InfraCap U.S. Preferred Stock ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,171.70 | | 0.80% | | $4.32 |
Hypothetical(1) | | $1,000.00 | | $1,020.89 | | 0.80% | | $4.02 |
Virtus LifeSci Biotech Clinical Trials ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,464.70 | | 0.79% | | $4.84 |
Hypothetical(1) | | $1,000.00 | | $1,020.93 | | 0.79% | | $3.97 |
Virtus LifeSci Biotech Products ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,133.30 | | 0.79% | | $4.19 |
Hypothetical(1) | | $1,000.00 | | $1,020.93 | | 0.79% | | $3.97 |
Virtus Newfleet Multi-Sector Bond ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,074.80 | | 0.49% | | $2.53 |
Hypothetical(1) | | $1,000.00 | | $1,022.43 | | 0.49% | | $2.46 |
Virtus Private Credit Strategy ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,162.10 | | 0.75% | | $4.03 |
Hypothetical(1) | | $1,000.00 | | $1,021.13 | | 0.75% | | $3.77 |
Virtus Real Asset Income ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,111.10 | | 0.55% | | $2.89 |
Hypothetical(1) | | $1,000.00 | | $1,022.13 | | 0.55% | | $2.77 |
Virtus WMC International Dividend ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,115.20 | | 0.49% | | $2.58 |
Hypothetical(1) | | $1,000.00 | | $1,022.43 | | 0.49% | | $2.46 |
InfraCap MLP ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,187.00 | | 0.95% | | $5.17 |
Hypothetical(1) | | $1,000.00 | | $1,020.14 | | 0.95% | | $4.77 |
1Assuming 5% return before expenses.
2Annualized expense ratios reflect expenses net of waived fees or reimbursed expenses, if applicable.
3Expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/366 (to reflect the six-month period).
The accompanying notes are an integral part of these financial statements.
6
Security Description | | Shares | | Value |
| | | | |
PREFERRED STOCKS - 99.2% | | | | |
| | | | |
Financials - 31.1% | | | | |
ACRES Commercial Realty Corp., Series C, 8.63% | | 13,621 | | $330,309 |
AG Mortgage Investment Trust, Inc., Series B, 8.00% | | 4,364 | | 81,645 |
AG Mortgage Investment Trust, Inc., Series C, 8.00% | | 7,838 | | 187,485 |
AGNC Investment Corp., Series D, 9.92% | | 26,639 | | 660,914 |
AGNC Investment Corp., Series E, 6.50% | | 45,243 | | 1,105,287 |
AGNC Investment Corp., Series F, 6.13% | | 65,643 | | 1,533,420 |
AGNC Investment Corp., Series G, 7.75% | | 16,136 | | 372,419 |
Annaly Capital Management, Inc., Series F, 10.56% | | 3,694 | | 93,421 |
Annaly Capital Management, Inc., Series G, 9.74% | | 49,115 | | 1,236,225 |
Annaly Capital Management, Inc., Series I, 6.75% | | 49,370 | | 1,238,693 |
Arbor Realty Trust, Inc., Series D, 6.38% | | 26,085 | | 468,226 |
Arbor Realty Trust, Inc., Series E, 6.25% | | 15,746 | | 277,759 |
Arbor Realty Trust, Inc., Series F, 6.25% | | 31,667 | | 603,890 |
ARMOUR Residential REIT, Inc., Series C, 7.00% | | 19,233 | | 398,123 |
Chimera Investment Corp., Series A, 8.00% | | 16,796 | | 341,799 |
Chimera Investment Corp., Series B, 11.35% | | 36,853 | | 913,586 |
Chimera Investment Corp., Series C, 7.75% | | 29,203 | | 606,838 |
Chimera Investment Corp., Series D, 10.90% | | 22,924 | | 556,365 |
Dynex Capital, Inc., Series C, 6.90% | | 12,209 | | 295,702 |
Ellington Financial, Inc., 6.75% | | 6,668 | | 159,699 |
Ellington Financial, Inc., Series C, 8.63% | | 5,855 | | 136,539 |
Franklin BSP Realty Trust, Inc., Series E, 7.50% | | 29,292 | | 588,476 |
Granite Point Mortgage Trust, Inc., Series A, 7.00% | | 9,015 | | 153,255 |
Inpoint Commercial Real Estate Income, Inc., Series A, 6.75% | | 8,734 | | 172,059 |
Invesco Mortgage Capital, Inc., Series B, 7.75% | | 12,943 | | 312,832 |
Invesco Mortgage Capital, Inc., Series C, 7.50% | | 22,157 | | 487,897 |
KKR Real Estate Finance Trust, Inc., Series A, 6.50% | | 37,832 | | 693,839 |
MFA Financial, Inc., Series B, 7.50% | | 24,091 | | 480,856 |
MFA Financial, Inc., Series C, 6.50% | | 31,574 | | 699,364 |
New York Mortgage Trust, Inc., Series D, 8.00% | | 17,915 | | 383,023 |
New York Mortgage Trust, Inc., Series E, 7.88% | | 21,610 | | 506,971 |
New York Mortgage Trust, Inc., Series F, 6.88% | | 3,896 | | 76,556 |
PennyMac Mortgage Investment Trust, Series A, 8.13% | | 13,042 | | 301,270 |
PennyMac Mortgage Investment Trust, Series B, 8.00% | | 22,126 | | 500,048 |
PennyMac Mortgage Investment Trust, Series C, 6.75% | | 28,967 | | 546,028 |
Ready Capital Corp., 5.75% | | 17,503 | | 423,223 |
Ready Capital Corp., Series E, 6.50% | | 13,042 | | 239,842 |
Rithm Capital Corp., Series A, 7.50% | | 17,600 | | 437,184 |
Rithm Capital Corp., Series B, 7.13% | | 33,076 | | 817,308 |
Rithm Capital Corp., Series C, 6.38% | | 46,599 | | 1,056,399 |
Rithm Capital Corp., Series D, 7.00% | | 53,310 | | 1,197,343 |
TPG RE Finance Trust, Inc., Series C, 6.25% | | 23,400 | | 382,356 |
Two Harbors Investment Corp., Series A, 8.13% | | 14,267 | | 326,857 |
Two Harbors Investment Corp., Series B, 7.63% | | 32,039 | | 724,081 |
Two Harbors Investment Corp., Series C, 7.25% | | 36,240 | | 859,975 |
Total Financials | | | | 23,965,386 |
Security Description | | Shares | | Value |
| | | | |
PREFERRED STOCKS (continued) | | | | |
| | | | |
Real Estate - 68.1% | | | | |
Agree Realty Corp., Series A, 4.25% | | 47,555 | | $796,071 |
American Homes 4 Rent, Series G, 5.88% | | 8,724 | | 190,968 |
American Homes 4 Rent, Series H, 6.25% | | 31,161 | | 709,848 |
Armada Hoffler Properties, Inc., Series A, 6.75% | | 31,925 | | 702,350 |
Chatham Lodging Trust, Series A, 6.63% | | 12,253 | | 249,839 |
City Office REIT, Inc., Series A, 6.63% | | 18,361 | | 315,075 |
DiamondRock Hospitality Co., 8.25% | | 29,948 | | 760,080 |
Digital Realty Trust, Inc., Series J, 5.25% | | 55,763 | | 1,178,272 |
Digital Realty Trust, Inc., Series K, 5.85% | | 56,250 | | 1,280,812 |
Digital Realty Trust, Inc., Series L, 5.20% | | 90,535 | | 1,919,342 |
DigitalBridge Group, Inc., Series H, 7.13% | | 57,359 | | 1,283,694 |
DigitalBridge Group, Inc., Series I, 7.15% | | 91,511 | | 2,046,186 |
DigitalBridge Group, Inc., Series J, 7.13% | | 81,567 | | 1,851,571 |
Diversified Healthcare Trust, 5.63% | | 96,945 | | 1,221,507 |
Diversified Healthcare Trust, 6.25% | | 77,065 | | 1,095,094 |
EPR Properties, Series G, 5.75% | | 41,834 | | 788,989 |
Federal Realty Investment Trust, Series C, 5.00% | | 41,730 | | 861,724 |
Gladstone Commercial Corp., Series E, 6.63% | | 43,748 | | 977,768 |
Gladstone Commercial Corp., Series G, 6.00% | | 11,504 | | 219,956 |
Gladstone Land Corp., Series B, 6.00% | | 34,222 | | 652,956 |
Gladstone Land Corp., Series C, 6.00% | | 52,978 | | 1,017,178 |
Global Medical REIT, Inc., Series A, 7.50% | | 7,212 | | 174,600 |
Global Net Lease, Inc., Series A, 7.25% | | 53,622 | | 1,072,976 |
Global Net Lease, Inc., Series B, 6.88% | | 31,726 | | 611,360 |
Global Net Lease, Inc., Series D, 7.50% | | 57,638 | | 1,185,037 |
Global Net Lease, Inc., Series E, 7.38% | | 18,961 | | 385,667 |
Hudson Pacific Properties, Inc., Series C, 4.75% | | 117,286 | | 1,665,461 |
Kimco Realty Corp., Series L, 5.13% | | 60,407 | | 1,309,020 |
Kimco Realty Corp., Series M, 5.25% | | 71,100 | | 1,580,553 |
National Storage Affiliates Trust, Series A, 6.00% | | 57,860 | | 1,258,455 |
Office Properties Income Trust, 6.38% | | 21,784 | | 237,663 |
Pebblebrook Hotel Trust, Series E, 6.38% | | 5,686 | | 115,540 |
Pebblebrook Hotel Trust, Series F, 6.30% | | 41,810 | | 834,109 |
Pebblebrook Hotel Trust, Series G, 6.38% | | 62,139 | | 1,234,702 |
Pebblebrook Hotel Trust, Series H, 5.70% | | 63,107 | | 1,124,567 |
Public Storage, Series F, 5.15% | | 27,312 | | 618,344 |
Public Storage, Series G, 5.05% | | 29,092 | | 661,261 |
Public Storage, Series H, 5.60% | | 27,569 | | 680,127 |
Public Storage, Series I, 4.88% | | 30,741 | | 667,695 |
Public Storage, Series J, 4.70% | | 23,532 | | 486,877 |
Public Storage, Series K, 4.75% | | 22,898 | | 477,652 |
Public Storage, Series L, 4.63% | | 54,312 | | 1,117,741 |
Public Storage, Series M, 4.13% | | 4,115 | | 75,346 |
Public Storage, Series N, 3.88% | | 28,125 | | 478,687 |
Public Storage, Series O, 3.90% | | 16,916 | | 287,741 |
Public Storage, Series P, 4.00% | | 57,028 | | 1,013,958 |
Public Storage, Series Q, 3.95% | | 14,995 | | 258,064 |
Public Storage, Series R, 4.00% | | 41,149 | | 729,572 |
Public Storage, Series S, 4.10% | | 4,326 | | 77,652 |
Realty Income Corp., Series A, 6.00% | | 47,011 | | 1,109,930 |
Schedule of Investments — InfraCap REIT Preferred ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
7
Security Description | | Shares | | Value |
| | | | |
PREFERRED STOCKS (continued) | | | | |
| | | | |
Real Estate (continued) | | | | |
Regency Centers Corp., Series B, 5.88% | | 16,199 | | $347,793 |
Saul Centers, Inc., Series E, 6.00% | | 7,627 | | 154,065 |
SITE Centers Corp., Series A, 6.38% | | 48,729 | | 1,056,932 |
SL Green Realty Corp., Series I, 6.50% | | 62,926 | | 1,400,104 |
Summit Hotel Properties, Inc., Series E, 6.25% | | 11,009 | | 229,978 |
Summit Hotel Properties, Inc., Series F, 5.88% | | 14,290 | | 284,943 |
Sunstone Hotel Investors, Inc., Series H, 6.13% | | 30,909 | | 633,635 |
Sunstone Hotel Investors, Inc., Series I, 5.70% | | 12,633 | | 246,722 |
UMH Properties, Inc., Series D, 6.38% | | 71,334 | | 1,555,081 |
Vornado Realty Trust, Series L, 5.40% | | 82,992 | | 1,277,247 |
Vornado Realty Trust, Series M, 5.25% | | 88,490 | | 1,336,199 |
Vornado Realty Trust, Series N, 5.25% | | 83,191 | | 1,237,882 |
Vornado Realty Trust, Series O, 4.45% | | 82,355 | | 1,050,026 |
Total Real Estate | | | | 52,460,244 |
| | | | |
TOTAL INVESTMENTS - 99.2% | | | | |
(Cost $83,409,710) | | | | 76,425,630 |
Other Assets in Excess of Liabilities - 0.8% | | | | 631,849 |
Net Assets - 100.0% | | | | $77,057,479 |
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Preferred Stocks | | $76,425,630 | | $— | | $— | | $76,425,630 |
Total | | $76,425,630 | | $— | | $— | | $76,425,630 |
The accompanying notes are an integral part of these financial statements.
8
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS - 128.0% | | | | | |
| | | | | |
Communication Services - 7.0% | | | | | |
Liberty Broadband Corp., Series A, 7.00%(1) | | 65,330 | | $1,452,939 | |
Qwest Corp., 6.50%(1) | | 117,578 | | 1,142,858 | |
Qwest Corp., 6.75%(1) | | 64,424 | | 633,288 | |
Telephone and Data Systems, Inc., | | 532,574 | | 9,234,833 | |
Telephone and Data Systems, Inc., | | 1,104,080 | | 16,605,363 | |
United States Cellular Corp., 5.50%(1) | | 1,466,568 | | 25,965,031 | |
United States Cellular Corp., 6.25%(1) | | 533,040 | | 10,266,351 | |
Total Communication Services | | | | 65,300,663 | |
| | | | | |
Consumer Discretionary - 1.7% | | | | | |
Ford Motor Co., 6.00%(1) | | 656,674 | | 15,760,176 | |
| | | | | |
Energy - 10.3% | | | | | |
Brookfield Infrastructure Finance ULC, | | 14,424 | | 245,785 | |
Energy Transfer LP, Series E, 7.60%(1) | | 197,649 | | 4,929,366 | |
Energy Transfer LP, Series I, 9.25%(1) | | 2,415,368 | | 26,496,587 | |
GasLog Partners LP, Series A, 8.63% (Greece)(1) | | 561,613 | | 13,759,518 | |
GasLog Partners LP, Series B, 11.43% (Greece)(1) | | 125,884 | | 3,194,936 | |
Golar LNG Partners LP, Series A, 8.75% | | 47,750 | | 501,853 | |
NuStar Energy LP, Series A, 12.36%(1) | | 697,345 | | 17,831,112 | |
NuStar Energy LP, Series B, 11.23%(1) | | 996,083 | | 25,410,077 | |
NuStar Energy LP, Series C, 12.47%(1) | | 119,219 | | 3,046,045 | |
Total Energy | | | | 95,415,279 | |
| | | | | |
Financials - 52.3%† | | | | | |
Abacus Life, Inc., 9.88%(1) | | 225,876 | | 5,714,663 | |
ACRES Commercial Realty Corp., Series C, 8.63% | | 2,713 | | 65,790 | |
Affiliated Managers Group, Inc., 4.20% | | 2,972 | | 49,216 | |
Affiliated Managers Group, Inc., 6.75%* | | 955,519 | | 24,461,286 | |
AG Mortgage Investment Trust, Inc., Series B, 8.00%(1) | | 9,072 | | 169,726 | |
AG Mortgage Investment Trust, Inc., Series C, 8.00%(1) | | 310,047 | | 7,416,324 | |
AGNC Investment Corp., Series D, 9.92%(1) | | 56,927 | | 1,412,359 | |
AGNC Investment Corp., Series G, 7.75%(1) | | 253,796 | | 5,857,612 | |
American Equity Investment Life Holding Co., Series A, 5.95%(1) | | 233,492 | | 5,629,492 | |
American Equity Investment Life Holding Co., Series B, 6.63%(1) | | 8,955 | | 220,024 | |
Arbor Realty Trust, Inc., Series E, 6.25%(1) | | 41,302 | | 728,567 | |
Argo Group International Holdings, Inc., 7.00%(1) | | 13,748 | | 334,076 | |
ARMOUR Residential REIT, Inc., Series C, 7.00%(1) | | 494,853 | | 10,243,457 | |
Athene Holding Ltd., 7.25%* | | 624,779 | | 15,563,245 | |
Atlanticus Holdings Corp., 9.25% | | 176,743 | | 4,307,227 | |
Atlanticus Holdings Corp., Series B, 7.63%(1) | | 29,892 | | 662,706 | |
B Riley Financial, Inc., 5.25%(1) | | 36,209 | | 623,157 |
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Financials (continued) | | | | | |
B Riley Financial, Inc., 6.00%(1) | | 91,596 | | $1,724,753 | |
B Riley Financial, Inc., 6.38%(1) | | 87,760 | | 2,111,506 | |
B Riley Financial, Inc., Series B, 7.38%(1) | | 58,905 | | 1,299,444 | |
Banc of California, Inc., Series F, 7.75%(1) | | 585,448 | | 13,307,233 | |
Bank of America Corp., Series 4, 6.35%(1) | | 6,241 | | 139,174 | |
Bank OZK, Series A, 4.63%(1) | | 160,434 | | 2,749,839 | |
Brighthouse Financial, Inc., 6.25%(1) | | 5,616 | | 126,192 | |
Brighthouse Financial, Inc., Series C, 5.38%(1) | | 42,845 | | 788,776 | |
Brighthouse Financial, Inc., Series D, 4.63%(1) | | 136,737 | | 2,108,485 | |
Brookfield Finance, Inc., Series 50, | | 94,041 | | 1,605,280 | |
Brookfield Oaktree Holdings LLC, Series A, 6.63%(1) | | 7,322 | | 159,620 | |
Brookfield Oaktree Holdings LLC, Series B, 6.55%(1) | | 11,700 | | 251,550 | |
Chimera Investment Corp., Series A, 8.00%(1) | | 383,286 | | 7,799,870 | |
Chimera Investment Corp., Series B, 11.35%(1) | | 387,906 | | 9,616,190 | |
Chimera Investment Corp., Series C, 7.75%(1) | | 518,343 | | 10,771,168 | |
Chimera Investment Corp., Series D, 10.90%(1) | | 510,126 | | 12,380,758 | |
Citizens Financial Group, Inc., Series D, 9.21%(1) | | 29,007 | | 733,007 | |
CNO Financial Group, Inc., 5.13%(1) | | 2,645 | | 53,270 | |
Compass Diversified Holdings, Series A, 7.25%(1) | | 359,924 | | 8,728,157 | |
Compass Diversified Holdings, Series B, 7.88%(1) | | 4,291 | | 108,991 | |
Dime Community Bancshares, Inc., 5.50%(1) | | 8,119 | | 138,510 | |
Eagle Point Income Co., Inc., Series B, 7.75%(1) | | 11,877 | | 292,174 | |
Eagle Point Income Co., Inc., Series C, 8.00%* | | 50,955 | | 1,269,630 | |
Ellington Financial, Inc., 6.75%(1) | | 687,517 | | 16,466,032 | |
Enstar Group Ltd., Series D, 7.00%(1) | | 41,395 | | 1,055,572 | |
Enterprise Financial Services Corp., Series A, 5.00%(1) | | 204,004 | | 3,906,677 | |
F&G Annuities & Life, Inc., 7.95% | | 98,616 | | 2,564,016 | |
First Horizon Corp., Series D, 6.10%(1) | | 199,330 | | 4,981,257 | |
First Horizon Corp., Series E, 6.50% | | 209 | | 4,953 | |
First Horizon Corp., Series F, 4.70% | | 26 | | 455 | |
Goldman Sachs Group, Inc., Series A, 6.31%(1) | | 6,424 | | 145,761 | |
Goldman Sachs Group, Inc., Series C, 6.31%(1) | | 21,478 | | 501,511 | |
Goldman Sachs Group, Inc., Series D, 6.23%(1) | | 6,118 | | 138,328 | |
Heartland Financial USA, Inc., Series E, 7.00%(1) | | 11,444 | | 287,244 | |
Huntington Bancshares, Inc., Series J, 6.88%(1) | | 44,669 | | 1,109,578 | |
Invesco Mortgage Capital, Inc., Series B, 7.75%(1) | | 359,566 | | 8,690,710 | |
Invesco Mortgage Capital, Inc., Series C, 7.50%(1) | | 446,724 | | 9,836,862 | |
Jackson Financial, Inc., 8.00%(1) | | 66,170 | | 1,732,331 | |
Kemper Corp., 5.88%(1) | | 356,922 | | 7,977,207 | |
KeyCorp, Series E, 6.13% | | 49,566 | | 1,142,992 | |
KeyCorp, Series F, 5.65% | | 2,938 | | 60,435 | |
KKR Real Estate Finance Trust, Inc., Series A, 6.50%(1) | | 15,474 | | 283,793 | |
Merchants Bancorp, Series B, 6.00%(1) | | 155,893 | | 3,844,321 | |
Merchants Bancorp, Series C, 6.00%(1) | | 142,018 | | 2,749,468 | |
MFA Financial, Inc., 8.88% | | 5,474 | | 137,288 | |
MFA Financial, Inc., 9.00%* | | 98,014 | | 2,474,844 | |
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
9
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Financials (continued) | | | | | |
MFA Financial, Inc., Series B, 7.50%(1) | | 382,488 | | $7,634,460 | |
MFA Financial, Inc., Series C, 6.50%(1) | | 796,522 | | 17,642,962 | |
MidCap Financial Investment Corp., 8.00% | | 149,419 | | 3,780,301 | |
Morgan Stanley, Series A, 6.29%(1) | | 74,274 | | 1,645,912 | |
Navient Corp., 6.00%(1) | | 59,977 | | 1,122,170 | |
New York Community Bancorp, Inc., Series A, 6.38% | | 1,000 | | 15,620 | |
New York Mortgage Trust, Inc., Series D, 8.00%(1) | | 1,131,368 | | 24,188,648 | |
New York Mortgage Trust, Inc., Series E, 7.88%(1) | | 646,210 | | 15,160,087 | |
New York Mortgage Trust, Inc., Series F, 6.88%(1) | | 55,038 | | 1,081,497 | |
Oxford Lane Capital Corp., Series 2029, 6.00%(1) | | 67,747 | | 1,514,145 | |
PennyMac Mortgage Investment Trust, Series A, 8.13%(1) | | 172,986 | | 3,995,977 | |
PennyMac Mortgage Investment Trust, Series B, 8.00%(1) | | 584,591 | | 13,211,757 | |
PennyMac Mortgage Investment Trust, Series C, 6.75%(1) | | 104,930 | | 1,977,931 | |
Prospect Capital Corp., Series A, 5.35%(1) | | 569,581 | | 9,796,793 | |
Redwood Trust, Inc., 10.00%(1) | | 103,613 | | 2,536,135 | |
Rithm Capital Corp., Series A, 7.50%(1) | | 5,627 | | 139,775 | |
Rithm Capital Corp., Series B, 7.13%(1) | | 17,071 | | 421,824 | |
Rithm Capital Corp., Series D, 7.00%(1) | | 57,750 | | 1,297,065 | |
RiverNorth Opportunities Fund, Inc., Series A, 6.00%(1) | | 80,640 | | 1,850,688 | |
SLM Corp., Series B, 7.29%(1) | | 391,074 | | 31,086,472 | |
State Street Corp., Series G, 5.35% | | 13,381 | | 318,200 | |
Synchrony Financial, Series A, 5.63%(1) | | 513,767 | | 9,145,053 | |
Synchrony Financial, Series B, 8.25%* | | 461,704 | | 11,602,622 | |
Synovus Financial Corp., Series E, 5.88%(1) | | 224,127 | | 5,567,315 | |
Texas Capital Bancshares, Inc., Series B, 5.75%(1) | | 127,920 | | 2,439,434 | |
TPG Operating Group II LP, 6.95%* | | 5,667 | | 146,152 | |
Trinity Capital, Inc., 7.88%* | | 267,819 | | 6,842,775 | |
Two Harbors Investment Corp., Series A, 8.13%(1) | | 15,318 | | 350,935 | |
Two Harbors Investment Corp., Series B, 7.63%(1) | | 561,033 | | 12,679,346 | |
Two Harbors Investment Corp., Series C, 7.25%(1) | | 862,438 | | 20,465,654 | |
US Bancorp, Series A, 6.61%(1) | | 26,633 | | 22,957,646 | |
US Bancorp, Series B, 6.19%(1) | | 245,959 | | 4,894,584 | |
Valley National Bancorp, Series A, 6.25% | | 551,000 | | 12,083,430 | |
Valley National Bancorp, Series B, 9.14% | | 99,649 | | 2,415,492 | |
WesBanco, Inc., Series A, 6.75% | | 27,730 | | 666,075 | |
Wintrust Financial Corp., Series E, 6.88%(1) | | 12,091 | | 303,726 | |
Total Financials | | | | 484,792,797 | |
| | | | | |
Health Care - 0.1% | | | | | |
XOMA Corp., Series A, 8.63%(1) | | 27,893 | | 697,325 | |
| | | | | |
Industrials - 10.5% | | | | | |
Air Lease Corp., Series A, 9.24%(1) | | 26,352 | | 671,712 | |
Alta Equipment Group, Inc., Series A, 10.00%(1) | | 3,778 | | 98,879 | |
Atlas Corp., Series D, 7.95% (Canada) | | 4,797 | | 118,534 | |
Atlas Corp., Series H, 7.88% (Canada)(1) | | 67,204 | | 1,632,385 |
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Industrials (continued) | | | | | |
Babcock & Wilcox Enterprises, Inc., 6.50% | | 35,678 | | $591,541 | |
Babcock & Wilcox Enterprises, Inc., 8.13%(1) | | 547,630 | | 10,404,970 | |
Babcock & Wilcox Enterprises, Inc., Series A, 7.75%(1) | | 1,105,375 | | 11,551,169 | |
FTAI Aviation Ltd., Series A, 8.25%(1) | | 143,417 | | 3,624,148 | |
FTAI Aviation Ltd., Series B, 8.00%(1) | | 1,038,798 | | 26,333,529 | |
FTAI Aviation Ltd., Series C, 8.25%(1) | | 37,988 | | 956,918 | |
FTAI Aviation Ltd., Series D, 9.50% | | 16,926 | | 427,382 | |
Pitney Bowes, Inc., 6.70%(1) | | 602,655 | | 9,895,595 | |
Triton International Ltd., 6.88% (Bermuda)(1) | | 314,156 | | 7,162,757 | |
Triton International Ltd., 7.38% (Bermuda)(1) | | 638,440 | | 15,641,780 | |
Triton International Ltd., Series E, 5.75% (Bermuda)(1) | | 384,861 | | 7,743,403 | |
Total Industrials | | | | 96,854,702 | |
| | | | | |
Real Estate - 30.9%† | | | | | |
Armada Hoffler Properties, Inc., Series A, 6.75% | | 4,466 | | 98,252 | |
Braemar Hotels & Resorts, Inc., Series B, 5.50%(1) | | 368,565 | | 5,145,167 | |
Braemar Hotels & Resorts, Inc., Series D, 8.25%(1) | | 82,721 | | 1,532,820 | |
City Office REIT, Inc., Series A, 6.63%(1) | | 130,834 | | 2,245,111 | |
CTO Realty Growth, Inc., Series A, 6.38%(1) | | 201,401 | | 4,416,724 | |
DiamondRock Hospitality Co., 8.25%(1) | | 65,970 | | 1,674,319 | |
DigitalBridge Group, Inc., Series H, 7.13%(1) | | 568,115 | | 12,714,414 | |
DigitalBridge Group, Inc., Series I, 7.15%(1) | | 1,008,291 | | 22,545,387 | |
DigitalBridge Group, Inc., Series J, 7.13%(1) | | 465,713 | | 10,571,685 | |
Diversified Healthcare Trust, 5.63%(1) | | 731,839 | | 9,221,171 | |
Diversified Healthcare Trust, 6.25%(1) | | 598,244 | | 8,501,047 | |
EPR Properties, Series C, 5.75%(1) | | 77,748 | | 1,467,105 | |
EPR Properties, Series E, 9.00%(1) | | 481,906 | | 13,001,824 | |
EPR Properties, Series G, 5.75%(1) | | 392,485 | | 7,402,267 | |
Gladstone Commercial Corp., Series G, 6.00%(1) | | 17,428 | | 333,223 | |
Global Net Lease, Inc., Series A, 7.25%(1) | | 532,658 | | 10,658,487 | |
Global Net Lease, Inc., Series B, 6.88%(1) | | 564,443 | | 10,876,817 | |
Global Net Lease, Inc., Series D, 7.50%(1) | | 1,310,805 | | 26,950,151 | |
Global Net Lease, Inc., Series E, 7.38%(1) | | 330,268 | | 6,717,651 | |
Healthcare Trust, Inc., Series B, 7.13%(1) | | 370,608 | | 5,099,566 | |
Hudson Pacific Properties, Inc., Series C, 4.75%(1) | | 190,079 | | 2,699,122 | |
Kimco Realty Corp., Series N, 7.25%(1) | | 291,251 | | 16,071,230 | |
LXP Industrial Trust, Series C, 6.50%(1) | | 26,910 | | 1,264,770 | |
Office Properties Income Trust, 6.38%(1) | | 167,599 | | 1,828,505 | |
Pebblebrook Hotel Trust, Series E, 6.38%(1) | | 44,692 | | 908,141 | |
Pebblebrook Hotel Trust, Series F, 6.30%(1) | | 367,808 | | 7,337,770 | |
Pebblebrook Hotel Trust, Series G, 6.38%(1) | | 113,064 | | 2,246,582 | |
Pebblebrook Hotel Trust, Series H, 5.70%(1) | | 77,711 | | 1,384,810 | |
Regency Centers Corp., Series B, 5.88%(1) | | 255,692 | | 5,489,707 | |
Rexford Industrial Realty, Inc., Series B, 5.88% | | 2,140 | | 45,796 | |
RLJ Lodging Trust, Series A, 1.95%(1) | | 1,017,719 | | 25,412,443 | |
Saul Centers, Inc., Series E, 6.00%(1) | | 541,570 | | 10,939,714 | |
SL Green Realty Corp., Series I, 6.50%(1) | | 385,366 | | 8,574,393 | |
| | | | | |
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
10
Security Description | | Shares | | Value | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Real Estate (continued) | | | | | |
Summit Hotel Properties, Inc., Series E, 6.25%(1) | | 309,281 | | $6,460,880 | |
Summit Hotel Properties, Inc., Series F, 5.88%(1) | | 103,093 | | 2,055,674 | |
Sunstone Hotel Investors, Inc., Series H, 6.13%(1) | | 7,437 | | 152,459 | |
Sunstone Hotel Investors, Inc., Series I, 5.70%(1) | | 71,409 | | 1,394,618 | |
Vornado Realty Trust, Series L, 5.40%(1) | | 332,421 | | 5,115,959 | |
Vornado Realty Trust, Series M, 5.25%(1) | | 570,129 | | 8,608,948 | |
Vornado Realty Trust, Series N, 5.25%(1) | | 571,195 | | 8,499,382 | |
Vornado Realty Trust, Series O, 4.45%(1) | | 642,777 | | 8,195,407 | |
Total Real Estate | | | | 285,859,498 | |
| | | | | |
Utilities - 15.2% | | | | | |
Algonquin Power & Utilities Corp., | | 588,820 | | 12,577,195 | |
Brookfield BRP Holdings Canada, Inc., | | 4,304 | | 66,927 | |
Brookfield BRP Holdings Canada, Inc., | | 404,249 | | 10,037,503 | |
Eagle Point Credit Co., Inc., Series F, 8.00% | | 85,176 | | 2,113,395 | |
NextEra Energy, Inc., 6.93%(1) | | 727,781 | | 29,704,382 | |
SCE Trust II, 5.10% | | 2,724 | | 53,963 | |
SCE Trust III, Series H, 8.58%(1) | | 1,482,809 | | 37,470,583 | |
SCE Trust IV, Series J, 5.38%(1) | | 757,275 | | 17,864,117 | |
SCE Trust VI, 5.00%(1) | | 703,183 | | 13,937,087 | |
South Jersey Industries, Inc., 5.63%(1) | | 5,636 | | 78,299 | |
Spire, Inc., Series A, 5.90%(1) | | 7,959 | | 191,573 | |
UGI Corp., 7.25%(1) | | 270,693 | | 16,414,824 | |
Total Utilities | | | | 140,509,848 | |
| | | | | |
Total Preferred Stocks | | | | | |
(Cost $1,201,347,484) | | | | 1,185,190,288 | |
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCK - 0.0%(2) | | | | | |
Utilities - 0.0%(2) | | | | | |
AES Corp. (The) | | | | | |
(Cost $16,516) | | 934 | | $16,719 | |
| | | | | |
TOTAL INVESTMENTS - 128.0% | | | | | |
(Cost $1,201,364,000) | | | | 1,185,207,007 | |
Liabilities in Excess of Other Assets - (28.0)% | | | | (259,319,201 | ) |
Net Assets - 100.0% | | | | $925,887,806 | |
*Non-income producing security.
†Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at April 30, 2024 was $792,622,325.
(2)Amount rounds to less than 0.05%.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Preferred Stocks | | $1,185,190,288 | | $— | | $— | | $1,185,190,288 |
Common Stock | | 16,719 | | — | | — | | 16,719 |
Total | | $1,185,207,007 | | $— | | $— | | $1,185,207,007 |
The accompanying notes are an integral part of these financial statements.
11
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS - 97.8% | | | | | |
| | | | | |
Health Care - 97.8% | | | | | |
4D Molecular Therapeutics, Inc.* | | 5,215 | | $124,795 | |
89bio, Inc.* | | 8,038 | | 68,403 | |
AbCellera Biologics, Inc. (Canada)*(1) | | 15,812 | | 59,769 | |
ACELYRIN, Inc.*(1) | | 11,901 | | 49,746 | |
Agenus, Inc.* | | 5,690 | | 68,963 | |
Akero Therapeutics, Inc.* | | 3,879 | | 77,153 | |
Alector, Inc.* | | 10,829 | | 55,011 | |
Allakos, Inc.* | | 27,504 | | 28,879 | |
Allogene Therapeutics, Inc.* | | 31,967 | | 88,229 | |
Alpine Immune Sciences, Inc.* | | 4,591 | | 296,533 | |
ALX Oncology Holdings, Inc.* | | 6,566 | | 111,753 | |
AnaptysBio, Inc.* | | 4,551 | | 110,771 | |
Apogee Therapeutics, Inc.*(1) | | 3,727 | | 187,468 | |
Arcellx, Inc.* | | 1,688 | | 84,434 | |
Arcturus Therapeutics Holdings, Inc.* | | 3,087 | | 78,935 | |
Arcus Biosciences, Inc.* | | 4,911 | | 74,795 | |
Ardelyx, Inc.* | | 14,940 | | 95,616 | |
Arrowhead Pharmaceuticals, Inc.* | | 3,031 | | 68,561 | |
Arvinas, Inc.* | | 2,431 | | 77,233 | |
Avidity Biosciences, Inc.* | | 10,789 | | 260,339 | |
Beam Therapeutics, Inc.*(1) | | 2,911 | | 61,771 | |
Belite Bio, Inc.*(2) | | 1,959 | | 79,535 | |
Bicycle Therapeutics PLC (United Kingdom)*(2) | | 5,774 | | 135,400 | |
Biohaven Ltd.* | | 2,303 | | 89,356 | |
Biomea Fusion, Inc.*(1) | | 6,166 | | 66,223 | |
Cabaletta Bio, Inc.* | | 4,215 | | 44,869 | |
Caribou Biosciences, Inc.* | | 14,044 | | 50,980 | |
Cassava Sciences, Inc.*(1) | | 2,879 | | 63,770 | |
Celldex Therapeutics, Inc.*(1) | | 2,399 | | 89,771 | |
Cogent Biosciences, Inc.* | | 17,467 | | 113,536 | |
Compass Pathways PLC (United Kingdom)*(2) | | 11,221 | | 96,164 | |
Crinetics Pharmaceuticals, Inc.* | | 2,479 | | 108,630 | |
Cullinan Therapeutics, Inc.* | | 10,181 | | 274,989 | |
CureVac NV (Germany)* | | 14,988 | | 37,770 | |
Cytokinetics, Inc.* | | 2,367 | | 145,144 | |
Day One Biopharmaceuticals, Inc.*(1) | | 6,078 | | 103,934 | |
Denali Therapeutics, Inc.* | | 3,735 | | 57,668 | |
Disc Medicine, Inc.* | | 1,488 | | 41,426 | |
Dynavax Technologies Corp.*(1) | | 6,382 | | 72,563 | |
Dyne Therapeutics, Inc.* | | 7,326 | | 185,421 | |
Editas Medicine, Inc.* | | 7,990 | | 41,628 | |
Exscientia PLC (United Kingdom)*(1)(2) | | 14,684 | | 72,686 | |
Geron Corp.* | | 39,205 | | 154,076 | |
Ideaya Biosciences, Inc.* | | 2,535 | | 103,048 | |
IGM Biosciences, Inc.*(1) | | 13,332 | | 128,387 | |
Immatics NV (Germany)* | | 8,837 | | 87,751 | |
ImmunityBio, Inc.*(1) | | 21,290 | | 170,107 | |
Immunovant, Inc.* | | 2,031 | | 55,731 | |
Inhibrx, Inc.* | | 3,143 | | 106,988 | |
Intellia Therapeutics, Inc.* | | 2,719 | | 58,187 |
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
Health Care (continued) | | | | | |
Iovance Biotherapeutics, Inc.* | | 11,237 | | $132,372 | |
iTeos Therapeutics, Inc.* | | 8,046 | | 86,414 | |
Keros Therapeutics, Inc.* | | 2,567 | | 144,753 | |
Krystal Biotech, Inc.* | | 744 | | 113,921 | |
Kura Oncology, Inc.* | | 7,254 | | 142,323 | |
Kymera Therapeutics, Inc.*(1) | | 3,407 | | 114,543 | |
Liquidia Corp.* | | 11,885 | | 152,722 | |
Lyell Immunopharma, Inc.* | | 42,892 | | 93,076 | |
MacroGenics, Inc.* | | 9,309 | | 137,587 | |
Madrigal Pharmaceuticals, Inc.*(1) | | 368 | | 75,079 | |
Merus NV (Netherlands)* | | 3,431 | | 154,086 | |
Mineralys Therapeutics, Inc.* | | 10,501 | | 128,637 | |
MoonLake Immunotherapeutics* | | 1,504 | | 61,529 | |
Morphic Holding, Inc.* | | 2,935 | | 80,037 | |
Neumora Therapeutics, Inc.*(1) | | 5,918 | | 53,795 | |
Novavax, Inc.*(1) | | 15,228 | | 65,937 | |
Nurix Therapeutics, Inc.* | | 9,693 | | 116,510 | |
Nuvalent, Inc. Class A*(1) | | 1,096 | | 75,492 | |
Olema Pharmaceuticals, Inc.* | | 7,030 | | 71,495 | |
ORIC Pharmaceuticals, Inc.* | | 9,437 | | 83,329 | |
Phathom Pharmaceuticals, Inc.*(1) | | 9,701 | | 87,600 | |
Pliant Therapeutics, Inc.* | | 5,167 | | 61,074 | |
Precigen, Inc.* | | 68,764 | | 90,768 | |
Protagonist Therapeutics, Inc.* | | 4,175 | | 104,834 | |
Prothena Corp. PLC (Ireland)* | | 2,223 | | 45,216 | |
RAPT Therapeutics, Inc.* | | 4,479 | | 34,488 | |
Recursion Pharmaceuticals, Inc. Class A*(1) | | 9,093 | | 71,107 | |
REGENXBIO, Inc.* | | 4,159 | | 63,841 | |
Relay Therapeutics, Inc.* | | 8,702 | | 56,737 | |
Replimune Group, Inc.* | | 11,165 | | 70,898 | |
REVOLUTION Medicines, Inc.* | | 3,311 | | 123,434 | |
Rocket Pharmaceuticals, Inc.* | | 3,063 | | 65,916 | |
Sana Biotechnology, Inc.* | | 21,714 | | 195,426 | |
Scholar Rock Holding Corp.* | | 4,671 | | 68,524 | |
Scilex Holding Co. (Singapore)*(3)(4) | | 17,635 | | 13,542 | |
Soleno Therapeutics, Inc.* | | 2,327 | | 103,924 | |
Spyre Therapeutics, Inc.* | | 5,838 | | 192,829 | |
Structure Therapeutics, Inc.*(2) | | 1,480 | | 58,371 | |
Summit Therapeutics, Inc.*(1) | | 32,815 | | 128,963 | |
Syndax Pharmaceuticals, Inc.* | | 4,359 | | 92,106 | |
Tango Therapeutics, Inc.* | | 8,502 | | 65,465 | |
Terns Pharmaceuticals, Inc.* | | 13,372 | | 67,529 | |
TG Therapeutics, Inc.*(1) | | 4,815 | | 65,773 | |
uniQure NV (Netherlands)* | | 10,693 | | 47,156 | |
Vaxcyte, Inc.* | | 1,432 | | 86,708 | |
Vera Therapeutics, Inc.* | | 5,886 | | 232,556 | |
Verve Therapeutics, Inc.*(1) | | 6,046 | | 36,336 | |
Viking Therapeutics, Inc.*(1) | | 4,511 | | 358,985 | |
Vir Biotechnology, Inc.* | | 8,630 | | 73,010 | |
Viridian Therapeutics, Inc.* | | 4,479 | | 59,392 | |
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
12
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
Health Care (continued) | | | | | |
Xencor, Inc.* | | 4,087 | | $85,582 | |
Xenon Pharmaceuticals, Inc. (Canada)* | | 2,103 | | 85,487 | |
Zentalis Pharmaceuticals, Inc.* | | 5,790 | | 64,037 | |
Zymeworks, Inc.* | | 9,605 | | 82,411 | |
Total Health Care | | | | 10,188,557 | |
Total Common Stocks | | | | | |
(Cost $12,300,119) | | | | 10,188,557 | |
| | | | | |
SECURITIES LENDING COLLATERAL - 9.1% | | | | | |
Money Market Fund - 9.1% | | | | | |
Dreyfus Government Cash Management Fund, Institutional Shares, 5.19%(5)(6) | | | | | |
(Cost $953,505) | | 953,505 | | 953,505 | |
| | | | |
Security Description | | Shares | | Value | |
TOTAL INVESTMENTS - 106.9% | | | | | |
(Cost $13,253,624) | | | | $11,142,062 | |
Liabilities in Excess of Other Assets - (6.9)% | | | | (719,609 | ) |
Net Assets - 100.0% | | | | $10,422,453 | |
*Non-income producing security.
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $1,699,800; total market value of collateral held by the Fund was $1,765,334. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $811,829.
(2)American Depositary Receipts.
(3)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(4)Restricted security. See Note 5.
(5)Represents securities purchased with cash collateral received for securities on loan.
(6)The rate shown reflects the seven-day yield as of April 30, 2024.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $10,175,015 | | $— | | $13,542 | | $10,188,557 |
Money Market Fund | | 953,505 | | — | | — | | 953,505 |
Total | | $11,128,520 | | $— | | $13,542 | | $11,142,062 |
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended April 30, 2024.
The accompanying notes are an integral part of these financial statements.
13
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS - 99.3% | | | | | |
| | | | | |
Health Care - 99.3% | | | | | |
ACADIA Pharmaceuticals, Inc.* | | 13,579 | | $226,905 | |
ADMA Biologics, Inc.* | | 94,312 | | 614,914 | |
Agios Pharmaceuticals, Inc.* | | 16,395 | | 532,838 | |
Alnylam Pharmaceuticals, Inc.* | | 2,043 | | 294,090 | |
Amgen, Inc. | | 1,381 | | 378,311 | |
Amicus Therapeutics, Inc.* | | 30,604 | | 305,734 | |
Amylyx Pharmaceuticals, Inc.* | | 25,849 | | 46,787 | |
Apellis Pharmaceuticals, Inc.* | | 7,302 | | 322,675 | |
Ascendis Pharma A/S (Denmark)*(1) | | 3,172 | | 439,132 | |
Aurinia Pharmaceuticals, Inc. (Canada)* | | 42,195 | | 214,773 | |
Axsome Therapeutics, Inc.*(2) | | 5,200 | | 383,552 | |
BeiGene Ltd. (China)*(1) | | 2,031 | | 312,652 | |
BioCryst Pharmaceuticals, Inc.* | | 59,257 | | 244,731 | |
Biogen, Inc.* | | 1,486 | | 319,223 | |
BioMarin Pharmaceutical, Inc.* | | 3,904 | | 315,287 | |
BioNTech SE (Germany)*(1) | | 3,665 | | 325,525 | |
Bluebird Bio, Inc.* | | 115,461 | | 102,425 | |
Blueprint Medicines Corp.* | | 4,546 | | 415,232 | |
Bridgebio Pharma, Inc.* | | 10,611 | | 271,854 | |
CRISPR Therapeutics AG (Switzerland)*(2) | | 6,054 | | 320,801 | |
Deciphera Pharmaceuticals, Inc.* | | 24,069 | | 608,224 | |
Exelixis, Inc.* | | 16,346 | | 383,477 | |
Gilead Sciences, Inc. | | 4,659 | | 303,767 | |
Halozyme Therapeutics, Inc.* | | 9,659 | | 368,008 | |
Harmony Biosciences Holdings, Inc.* | | 11,280 | | 348,665 | |
Immunocore Holdings PLC (United Kingdom)*(1)(2) | | 5,962 | | 352,235 | |
Incyte Corp.* | | 5,969 | | 310,686 | |
Insmed, Inc.* | | 13,193 | | 326,131 | |
Intra-Cellular Therapies, Inc.* | | 5,833 | | 418,868 | |
Ionis Pharmaceuticals, Inc.* | | 7,648 | | 315,556 | |
Ironwood Pharmaceuticals, Inc.* | | 33,277 | | 257,897 | |
Kiniksa Pharmaceuticals Ltd. Class A* | | 22,347 | | 418,336 | |
Legend Biotech Corp.*(1) | | 6,207 | | 271,494 | |
Lexicon Pharmaceuticals, Inc.*(2) | | 293,092 | | 451,362 | |
Ligand Pharmaceuticals, Inc.* | | 5,628 | | 393,341 | |
Mirum Pharmaceuticals, Inc.* | | 11,015 | | 276,587 | |
Moderna, Inc.* | | 4,437 | | 489,445 | |
Neurocrine Biosciences, Inc.* | | 3,140 | | 431,876 | |
Omniab, Inc. - $12.50 Earnout*(3) | | 1,295 | | 0 | |
Omniab, Inc. - $15.00 Earnout*(3) | | 1,295 | | 0 | |
PTC Therapeutics, Inc.* | | 13,805 | | 443,831 | |
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
Health Care (continued) | | | | | |
Regeneron Pharmaceuticals, Inc.* | | 435 | | $387,437 | |
Rhythm Pharmaceuticals, Inc.* | | 8,874 | | 352,830 | |
Roivant Sciences Ltd.* | | 34,233 | | 373,140 | |
Sage Therapeutics, Inc.* | | 17,965 | | 250,432 | |
Sarepta Therapeutics, Inc.* | | 4,031 | | 510,566 | |
SpringWorks Therapeutics, Inc.* | | 10,987 | | 512,983 | |
Tarsus Pharmaceuticals, Inc.* | | 19,928 | | 626,337 | |
Theravance Biopharma, Inc.* | | 34,607 | | 292,083 | |
Travere Therapeutics, Inc.*(2) | | 44,150 | | 244,150 | |
Ultragenyx Pharmaceutical, Inc.* | | 8,299 | | 353,039 | |
United Therapeutics Corp.* | | 1,500 | | 351,495 | |
Vertex Pharmaceuticals, Inc.* | | 937 | | 368,063 | |
Zai Lab Ltd. (China)*(1)(2) | | 12,613 | | 199,285 | |
Total Health Care | | | | 18,379,067 | |
| | | | | |
Total Common Stocks | | | | | |
(Cost $19,650,520) | | | | 18,379,067 | |
| | | | | |
SECURITIES LENDING COLLATERAL - 1.5% | | | | | |
| | | | | |
Money Market Fund - 1.5% | | | | | |
Dreyfus Government Cash Management Fund, Institutional Shares, 5.19%(4)(5) | | | | | |
(Cost $288,993) | | 288,993 | | 288,993 | |
| | | | | |
TOTAL INVESTMENTS - 100.8% | | | | | |
(Cost $19,939,513) | | | | 18,668,060 | |
Liabilities in Excess of Other Assets - (0.8)% | | | | (156,174 | ) |
Net Assets - 100.0% | | | | $18,511,886 | |
*Non-income producing security.
(1)American Depositary Receipts.
(2)All or a portion of the security was on loan. The aggregate market value of securities on loan was $1,265,688; total market value of collateral held by the Fund was $1,330,522. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $1,041,529.
(3)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 2 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(4)Represents securities purchased with cash collateral received for securities on loan.
(5)The rate shown reflects the seven-day yield as of April 30, 2024.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $18,379,067 | | $0 | | $— | | $18,379,067 |
Money Market Fund | | 288,993 | | — | | — | | 288,993 |
Total | | $18,668,060 | | $0 | | $— | | $18,668,060 |
The accompanying notes are an integral part of these financial statements.
14
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS – 33.1% | | | | | | |
| | | | | | |
Communication Services – 1.5% | | | | | | |
CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 03/01/30(1) | | $245,000 | | $203,779 | | |
Cmg Media Corp., 8.88%, 12/15/27(1) | | 140,000 | | 76,515 | | |
CSC Holdings LLC, 11.75%, 01/31/29(1) | | 200,000 | | 177,810 | | |
DISH DBS Corp., 5.88%, 11/15/24 | | 55,000 | | 51,857 | | |
DISH DBS Corp., 7.75%, 07/01/26 | | 105,000 | | 65,989 | | |
Gray Television, Inc., 7.00%, 05/15/27(1) | | 115,000 | | 104,752 | | |
Gray Television, Inc., 5.38%, 11/15/31(1) | | 115,000 | | 69,249 | | |
Level 3 Financing, Inc., 3.63%, 01/15/29(1) | | 60,000 | | 20,703 | | |
Millennium Escrow Corp., 6.63%, 08/01/26(1) | | 200,000 | | 114,961 | | |
Rackspace Technology Global, Inc., 5.38%, 12/01/28(1) | | 65,000 | | 17,738 | | |
Sprint Capital Corp., 8.75%, 03/15/32 | | 160,000 | | 189,047 | | |
T-Mobile USA, Inc., 5.05%, 07/15/33 | | 96,000 | | 92,019 | | |
Univision Communications, Inc., 6.63%, 06/01/27(1) | | 180,000 | | 173,855 | | |
Total Communication Services | | | | 1,358,274 | | |
| | | | | | |
Consumer Discretionary – 2.0% | | | | | | |
Ashton Woods USA LLC / Ashton Woods Finance Co., 4.63%, 04/01/30(1) | | 255,000 | | 228,133 | | |
Churchill Downs, Inc., 6.75%, 05/01/31(1) | | 65,000 | | 64,610 | | |
Ford Motor Co., 3.25%, 02/12/32 | | 105,000 | | 84,609 | | |
Ford Motor Co., 4.75%, 01/15/43 | | 80,000 | | 63,025 | | |
Light & Wonder International, Inc., 7.00%, 05/15/28(1) | | 175,000 | | 175,735 | | |
Meritage Homes Corp., 3.88%, 04/15/29(1) | | 311,000 | | 282,235 | | |
Newell Brands, Inc., 6.63%, 09/15/29 | | 111,000 | | 107,421 | | |
Nissan Motor Acceptance Co. LLC, 7.05%, 09/15/28(1) | | 130,000 | | 133,518 | | |
NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/26(1) | | 115,000 | | 114,575 | | |
PetSmart, Inc. / PetSmart Finance Corp., 7.75%, 02/15/29(1) | | 35,000 | | 33,303 | | |
Prime Security Services Borrower LLC / Prime Finance, Inc., 6.25%, 01/15/28(1) | | 200,000 | | 195,557 | | |
Royal Caribbean Cruises Ltd., 9.25%, 01/15/29(1) | | 4,000 | | 4,275 | | |
Royal Caribbean Cruises Ltd., 6.25%, 03/15/32(1) | | 10,000 | | 9,865 | | |
Tapestry, Inc., 7.85%, 11/27/33 | | 140,000 | | 146,304 | | |
Wand Newco 3, Inc., 7.63%, 01/30/32(1) | | 5,000 | | 5,087 | | |
Weekley Homes LLC / Weekley Finance Corp., 4.88%, 09/15/28(1) | | 205,000 | | 187,679 | | |
Total Consumer Discretionary | | | | 1,835,931 | | |
| | | | | | |
Consumer Staples – 0.8% | | | | | | |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 02/15/30(1) | | 185,000 | | 172,693 | | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC, 6.63%, 07/15/30(1) | | 50,000 | | 50,069 | | |
Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.88%, 09/01/25(1) | | 14,000 | | 13,445 |
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Consumer Staples (continued) | | | | | | |
HLF Financing Sarl LLC / Herbalife International, Inc., 4.88%, 06/01/29(1) | | $80,000 | | $47,060 | | |
Pilgrim’s Pride Corp., 6.25%, 07/01/33 | | 208,000 | | 207,087 | | |
Post Holdings, Inc., 6.25%, 02/15/32(1) | | 55,000 | | 54,335 | | |
Triton Water Holdings, Inc., 6.25%, 04/01/29(1) | | 255,000 | | 228,921 | | |
Total Consumer Staples | | | | 773,610 | | |
| | | | | | |
Energy – 3.8% | | | | | | |
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.75%, 01/15/28(1) | | 180,000 | | 176,328 | | |
Antero Resources Corp., 5.38%, 03/01/30(1) | | 200,000 | | 190,314 | | |
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 8.25%, 12/31/28(1) | | 175,000 | | 178,738 | | |
CITGO Petroleum Corp., 7.00%, 06/15/25(1) | | 120,000 | | 119,966 | | |
Civitas Resources, Inc., 8.75%, 07/01/31(1) | | 175,000 | | 185,849 | | |
Columbia Pipelines Operating Co. LLC, 6.04%, 11/15/33(1) | | 135,000 | | 135,493 | | |
Columbia Pipelines Operating Co. LLC, 6.54%, 11/15/53(1) | | 70,000 | | 72,251 | | |
Columbia Pipelines Operating Co. LLC, 6.71%, 08/15/63(1) | | 25,000 | | 25,834 | | |
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(1) | | 50,000 | | 49,762 | | |
CrownRock LP / CrownRock Finance, Inc., 5.00%, 05/01/29(1) | | 50,000 | | 49,302 | | |
CVR Energy, Inc., 8.50%, 01/15/29(1) | | 230,000 | | 230,791 | | |
DT Midstream, Inc., 4.13%, 06/15/29(1) | | 105,000 | | 95,252 | | |
Encino Acquisition Partners Holdings LLC, 8.75%, 05/01/31(1) | | 15,000 | | 15,285 | | |
Energy Transfer LP, Series H, 6.50%, (US 5 Year CMT T- Note + 5.69%), perpetual(2)(3) | | 225,000 | | 218,891 | | |
EQM Midstream Partners LP, 6.38%, 04/01/29(1) | | 30,000 | | 29,745 | | |
Flex Intermediate Holdco LLC, 3.36%, 06/30/31(1) | | 225,000 | | 178,722 | | |
Genesis Energy LP / Genesis Energy Finance Corp., 8.88%, 04/15/30 | | 185,000 | | 191,621 | | |
Helix Energy Solutions Group, Inc., 9.75%, 03/01/29(1) | | 85,000 | | 90,430 | | |
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/29(1) | | 125,000 | | 120,202 | | |
Kinder Morgan, Inc., Series G, 7.75%, 01/15/32 | | 173,000 | | 191,620 | | |
Mesquite Energy, Inc., Escrow, 7.25%, | | 12,000 | | 900 | | |
Nabors Industries Ltd., 7.25%, 01/15/26(1) | | 175,000 | | 173,483 | | |
Ngl Energy Operating LLC / Ngl Energy Finance Corp., 8.13%, 02/15/29(1) | | 20,000 | | 20,335 | | |
Ngl Energy Operating LLC / Ngl Energy Finance Corp., 8.38%, 02/15/32(1) | | 30,000 | | 30,506 | | |
Occidental Petroleum Corp., 6.13%, 01/01/31 | | $185,000 | | $187,468 | | |
Transocean, Inc., 8.25%, 05/15/29(1) | | 30,000 | | 29,846 | | |
Transocean, Inc., 8.75%, 02/15/30(1) | | 67,500 | | 70,429 | | |
Transocean, Inc., 8.50%, 05/15/31(1) | | 45,000 | | 44,825 | | |
Venture Global Calcasieu Pass LLC, 4.13%, 08/15/31(1) | | 125,000 | | 109,186 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
15
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Energy (continued) | | | | | | |
Venture Global Lng, Inc., 9.88%, 02/01/32(1) | | $135,000 | | $144,144 | | |
Viper Energy Partners LP, 7.38%, 11/01/31(1) | | 15,000 | | 15,475 | | |
Western Midstream Operating LP, 5.25%, 02/01/50 | | 270,000 | | 229,244 | | |
Total Energy | | | | 3,602,237 | | |
| | | | | | |
Financials – 11.2% | | | | | | |
Acrisure LLC / Acrisure Finance, Inc., 8.25%, 02/01/29(1) | | 135,000 | | 134,004 | | |
Acrisure LLC / Acrisure Finance, Inc., 6.00%, 08/01/29(1) | | 110,000 | | 99,633 | | |
Allstate Corp. (The), Series B, 8.51%, (3-Month SOFR + 3.20%), 08/15/53(2) | | 245,000 | | 245,052 | | |
American Express Co., 5.63%, (SOFR + 1.93%), 07/28/34(2) | | 325,000 | | 318,179 | | |
AON North America, Inc., 5.45%, 03/01/34 | | 195,000 | | 190,828 | | |
Apollo Debt Solutions Bdc, 6.90%, 04/13/29(1) | | 210,000 | | 208,191 | | |
Athene Holding Ltd., 6.25%, 04/01/54 | | 60,000 | | 58,367 | | |
Bank of America Corp., 3.42%, (3-Month SOFR + 1.30%), 12/20/28(2) | | 150,000 | | 139,075 | | |
Bank of America Corp., 5.02%, (SOFR + 2.16%), 07/22/33(2) | | 180,000 | | 171,943 | | |
Bank of America Corp., 5.29%, (SOFR + 1.91%), 04/25/34(2) | | 120,000 | | 115,642 | | |
Bank of America Corp., 5.47%, (SOFR + 1.65%), 01/23/35(2) | | 95,000 | | 92,424 | | |
Bank of America Corp., 2.48%, (US 5 Year CMT T- Note + 1.20%), 09/21/36(2) | | 180,000 | | 140,745 | | |
Bank of New York Mellon Corp. (The), Series G, 4.70%, (US 5 Year CMT T- Note + 4.36%), perpetual(2)(3) | | 395,000 | | 386,892 | | |
Bank of New York Mellon Corp. (The), 5.83%, (SOFR + 2.07%), 10/25/33(2) | | 90,000 | | 91,516 | | |
Blackstone Private Credit Fund, 2.63%, 12/15/26 | | 69,000 | | 62,654 | | |
Blackstone Private Credit Fund, 7.30%, 11/27/28(1) | | 60,000 | | 61,698 | | |
Blue Owl Credit Income Corp., 4.70%, 02/08/27 | | 43,000 | | 40,645 | | |
Blue Owl Credit Income Corp., 6.65%, 03/15/31(1) | | 110,000 | | 105,937 | | |
Blue Owl Finance LLC, 3.13%, 06/10/31(1) | | 355,000 | | 292,179 | | |
BroadStreet Partners, Inc., 5.88%, 04/15/29(1) | | 100,000 | | 91,227 | | |
Capital One Financial Corp., 2.36%, | | 175,000 | | 132,908 | | |
Capital One Financial Corp., 6.05%, | | 70,000 | | 68,879 | | |
Charles Schwab Corp. (The), Series H, 4.00%, (US 10 Year CMT T- Note + 3.08%), perpetual(2)(3) | | 110,000 | | 89,664 | | |
Charles Schwab Corp. (The), 6.14%, (SOFR + 2.01%), 08/24/34(2) | | 180,000 | | 182,611 | | |
Citigroup, Inc., 3.98%, (3-Month SOFR + 1.60%), 03/20/30(2) | | 145,000 | | 134,384 | | |
Citigroup, Inc., 6.27%, (SOFR + 2.34%), 11/17/33(2) | | 130,000 | | 133,453 | | |
Citigroup, Inc., 6.17%, (SOFR + 2.66%), 05/25/34(2) | | 172,000 | | 170,775 | | |
| | | | |
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Financials (continued) | | | | | | |
Citizens Financial Group, Inc., 5.84%, | | $308,000 | | $301,733 | | |
Corebridge Financial, Inc., 6.88%, (US 5 Year CMT T-Note + 3.85%), 12/15/52(2) | | 279,000 | | 276,289 | | |
Discover Financial Services, 6.70%, 11/29/32 | | 118,000 | | 120,973 | | |
Fifth Third Bancorp, 4.34%, (SOFR + 1.66%), 04/25/33(2) | | 155,000 | | 137,216 | | |
Global Atlantic Finance Co., 7.95%, 06/15/33(1) | | 180,000 | | 194,907 | | |
Global Atlantic Finance Co., 6.75%, 03/15/54(1) | | 35,000 | | 33,985 | | |
Goldman Sachs Group, Inc. (The), 1.99%, (SOFR + 1.09%), 01/27/32(2) | | 115,000 | | 90,829 | | |
Goldman Sachs Group, Inc. (The), 3.10%, (SOFR + 1.41%), 02/24/33(2) | | 205,000 | | 170,617 | | |
Goldman Sachs Group, Inc. (The), 6.45%, 05/01/36 | | 130,000 | | 135,040 | | |
Hub International Ltd., 7.38%, 01/31/32(1) | | 15,000 | | 14,871 | | |
Huntington Bancshares, Inc./Oh, 2.55%, 02/04/30 | | 145,000 | | 120,977 | | |
Huntington National Bank (The), 5.70%, (SOFR + 1.22%), 11/18/25(2) | | 250,000 | | 248,553 | | |
JPMorgan Chase & Co., Series HH, 4.60%, (3-Month SOFR + 3.13%), perpetual(2)(3) | | 144,000 | | 142,006 | | |
JPMorgan Chase & Co., 1.95%, (SOFR + 1.07%), 02/04/32(2) | | 165,000 | | 130,981 | | |
JPMorgan Chase & Co., 5.72%, (SOFR + 2.58%), 09/14/33(2) | | 230,000 | | 229,217 | | |
JPMorgan Chase & Co., 6.25%, (SOFR + 1.81%), 10/23/34(2) | | 110,000 | | 113,964 | | |
KeyCorp, 4.79%, (SOFR + 2.06%), 06/01/33(2) | | 100,000 | | 88,735 | | |
KeyCorp, 6.40%, (SOFR + 2.42%), 03/06/35(2) | | 105,000 | | 103,333 | | |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 02/01/27(1) | | 75,000 | | 69,522 | | |
Liberty Mutual Group, Inc., 4.13%, (US 5 Year CMT T- Note + 3.32%), 12/15/51(1)(2) | | 55,000 | | 50,193 | | |
Lincoln National Corp., 7.63%, (3-Month SOFR + 2.30%), 04/20/67(2) | | 80,000 | | 59,631 | | |
MetLife, Inc., Series D, 5.88%, (3-Month SOFR + 3.22%), perpetual(2)(3) | | 62,000 | | 60,562 | | |
MetLife, Inc., Series G, 3.85%, (US 5 Year CMT T- Note + 3.58%), perpetual(2)(3) | | 185,000 | | 177,276 | | |
Midcap Financial Issuer Trust, 6.50%, 05/01/28(1) | | 75,000 | | 67,904 | | |
Morgan Stanley, 6.34%, (SOFR + 2.56%), 10/18/33(2) | | 130,000 | | 134,887 | | |
Morgan Stanley, 5.25%, (SOFR + 1.87%), 04/21/34(2) | | 190,000 | | 182,391 | | |
Morgan Stanley, 5.95%, (US 5 Year CMT T- Note + 2.43%), 01/19/38(2) | | 97,000 | | 94,318 | | |
MSCI, Inc., 3.63%, 09/01/30(1) | | 459,000 | | 399,969 | | |
National Rural Utilities Cooperative Finance Corp., 8.50%, (3-Month SOFR + 3.17%), 04/30/43(2) | | 105,000 | | 104,716 | | |
Nationstar Mortgage Holdings, Inc., 5.75%, 11/15/31(1) | | 185,000 | | 168,353 | | |
NCR Atleos Corp., 9.50%, 04/01/29(1) | | 77,000 | | 81,921 | | |
Northern Trust Corp., 6.13%, 11/02/32 | | 245,000 | | 252,140 | | |
Nuveen LLC, 5.85%, 04/15/34(1) | | 180,000 | | 177,612 | | |
Onemain Finance Corp., 6.63%, 01/15/28 | | 160,000 | | 159,632 | | |
Panther Escrow Issuer LLC, 7.13%, 06/01/31(1) | | 15,000 | | 15,087 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
16
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Financials (continued) | | | | | | |
Prudential Financial, Inc., 5.13%, (US 5 Year CMT T- Note + 3.16%), 03/01/52(2) | | $99,000 | | $91,489 | | |
Prudential Financial, Inc., 6.50%, (US 5 Year CMT T- Note + 2.40%), 03/15/54(2) | | 195,000 | | 192,612 | | |
Sammons Financial Group, Inc., 6.88%, 04/15/34(1) | | 85,000 | | 83,895 | | |
State Street Corp., Series I, 6.70%, (US 5 Year CMT T- Note + 2.61%), perpetual(2)(3) | | 100,000 | | 100,334 | | |
State Street Corp., 4.82%, (SOFR + 1.57%), 01/26/34(2) | | 167,000 | | 157,643 | | |
Synchrony Financial, 4.88%, 06/13/25 | | 95,000 | | 93,438 | | |
Synchrony Financial, 4.50%, 07/23/25 | | 85,000 | | 83,080 | | |
Synchrony Financial, 3.70%, 08/04/26 | | 50,000 | | 47,249 | | |
Texas Capital Bancshares, Inc., 4.00%, (US 5 Year CMT T- Note + 3.15%), 05/06/31(2) | | 70,000 | | 62,456 | | |
Truist Financial Corp., Series Q, 5.10%, (US 10 Year CMT T- Note + 4.35%), perpetual(2)(3) | | 255,000 | | 231,634 | | |
Wells Fargo & Co., Series BB, 3.90%, (US 5 Year CMT T-Note + 3.45%), perpetual(2)(3) | | 115,000 | | 109,148 | | |
Wells Fargo & Co., Series U, 5.88%, perpetual(3) | | 60,000 | | 59,739 | | |
Wells Fargo & Co., 5.39%, (SOFR + 2.02%), 04/24/34(2) | | 215,000 | | 207,276 | | |
Wells Fargo & Co., 6.49%, (SOFR + 2.06%), 10/23/34(2) | | 140,000 | | 145,823 | | |
Total Financials | | | | 10,535,661 | | |
| | | | | | |
Health Care – 3.0% | | | | | | |
Amgen, Inc., 5.25%, 03/02/33 | | 195,000 | | 190,832 | | |
Catalent Pharma Solutions, Inc., 3.50%, 04/01/30(1) | | 140,000 | | 133,328 | | |
CHS/Community Health Systems, Inc., 4.75%, 02/15/31(1) | | 250,000 | | 195,391 | | |
CVS Health Corp., 5.88%, 06/01/53 | | 195,000 | | 185,897 | | |
Dentsply Sirona, Inc., 3.25%, 06/01/30 | | 270,000 | | 233,244 | | |
Endo Finance Holdings, Inc., 8.50%, 04/15/31(1) | | 15,000 | | 15,260 | | |
HCA, Inc., 5.50%, 06/01/33 | | 170,000 | | 165,209 | | |
HCA, Inc., 5.60%, 04/01/34 | | 100,000 | | 97,612 | | |
Illumina, Inc., 2.55%, 03/23/31 | | 227,000 | | 182,944 | | |
Iqvia, Inc., 5.70%, 05/15/28 | | 200,000 | | 200,210 | | |
LifePoint Health, Inc., 9.88%, 08/15/30(1) | | 175,000 | | 182,446 | | |
Medline Borrower LP, 5.25%, 10/01/29(1) | | 150,000 | | 139,775 | | |
Medline Borrower LP/Medline Co.-Issuer, Inc., 6.25%, 04/01/29(1) | | 35,000 | | 34,820 | | |
Par Pharmaceutical, Inc., 04/01/27(1)(4) | | 35,000 | | 22,629 | | |
Providence Service Corp. (The), 5.88%, 11/15/25(1) | | 40,000 | | 39,054 | | |
Universal Health Services, Inc., 2.65%, 01/15/32 | | 290,000 | | 230,832 | | |
US Acute Care Solutions LLC, 6.38%, 03/01/26(1) | | 170,000 | | 172,298 | | |
Viatris, Inc., Series WI, 2.70%, 06/22/30 | | 225,000 | | 186,133 | | |
Zimmer Biomet Holdings, Inc., 3.55%, 03/20/30 | | 190,000 | | 169,118 | | |
Total Health Care | | | | 2,777,032 | | |
| | | | |
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Industrials – 3.9% | | | | | | |
Alaska Airlines Pass-Through Trust, Class A, Series 2020-1, 4.80%, 08/15/27(1) | | $200,277 | | $194,338 | | |
Aviation Capital Group LLC, 3.50%, 11/01/27(1) | | 146,000 | | 134,424 | | |
Aviation Capital Group LLC, 6.75%, 10/25/28(1) | | 80,000 | | 82,275 | | |
Bnsf Funding Trust I, 6.61%, (3-Month USD LIBOR + 2.35%), 12/15/55(2) | | 185,000 | | 183,258 | | |
Boeing Co. (The), 5.81%, 05/01/50 | | 95,000 | | 84,139 | | |
Boeing Co. (The), 5.93%, 05/01/60 | | 143,000 | | 125,127 | | |
Builders FirstSource, Inc., 6.38%, 03/01/34(1) | | 55,000 | | 54,048 | | |
Chart Industries, Inc., 9.50%, 01/01/31(1) | | 80,000 | | 85,964 | | |
CoStar Group, Inc., 2.80%, 07/15/30(1) | | 278,000 | | 230,923 | | |
Delta Air Lines Through Trust, Series 2015-1, 3.63%, 07/30/27 | | 78,693 | | 73,706 | | |
Equipmentshare.Com, Inc., 8.63%, 05/15/32(1) | | 15,000 | | 15,280 | | |
Fortress Transportation And Infrastructure Investors LLC, 7.00%, 05/01/31(1) | | 110,000 | | 110,724 | | |
Global Infrastructure Solutions, Inc., 7.50%, 04/15/32(1) | | 160,000 | | 153,626 | | |
Graham Packaging Co., Inc., 7.13%, 08/15/28(1) | | 220,000 | | 198,954 | | |
Hertz Corp. (The), 4.63%, 12/01/26(1) | | 145,000 | | 112,461 | | |
Hertz Corp. (The), 5.00%, 12/01/29(1) | | 110,000 | | 75,642 | | |
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, 05/15/27 | | 90,000 | | 82,721 | | |
LBM Acquisition LLC, 6.25%, 01/15/29(1) | | 190,000 | | 174,594 | | |
Regal Rexnord Corp., 6.40%, 04/15/33(1) | | 340,000 | | 342,919 | | |
Science Applications International Corp., 4.88%, 04/01/28(1) | | 80,000 | | 75,593 | | |
Sempra Global, 3.25%, 01/15/32(1) | | 233,000 | | 188,255 | | |
TransDigm, Inc., 6.63%, 03/01/32(1) | | 230,000 | | 229,896 | | |
United Airlines Pass-Through Trust, Class A, Series 2023-1, 5.80%, 01/15/36 | | 162,000 | | 161,576 | | |
United Rentals North America, Inc., 3.75%, 01/15/32 | | 265,000 | | 226,622 | | |
Veralto Corp., 5.45%, 09/18/33(1) | | 215,000 | | 210,975 | | |
WESCO Distribution, Inc., 6.63%, 03/15/32(1) | | 60,000 | | 59,794 | | |
Total Industrials | | | | 3,667,834 | | |
| | | | | | |
Information Technology – 2.0% | | | | | | |
Boost Newco Borrower LLC, 7.50%, 01/15/31(1) | | 95,000 | | 98,117 | | |
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(1) | | 255,000 | | 236,105 | | |
Booz Allen Hamilton, Inc., 4.00%, 07/01/29(1) | | 110,000 | | 100,799 | | |
Commscope Technologies LLC, 6.00%, 06/15/25(1) | | 160,000 | | 126,600 | | |
Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(1) | | 100,000 | | 87,655 | | |
Dell International LLC / EMC Corp., 8.10%, 07/15/36 | | 87,000 | | 101,423 | | |
Gartner, Inc., 3.75%, 10/01/30(1) | | 260,000 | | 226,524 | | |
Helios Software Holdings, Inc. / Ion Corporate Solutions Finance Sarl, 8.75%, 05/01/29(1) | | 75,000 | | 75,210 | | |
Leidos, Inc., 2.30%, 02/15/31 | | 155,000 | | 125,081 | | |
Oracle Corp., 6.25%, 11/09/32 | | 170,000 | | 176,400 | | |
Oracle Corp., 5.55%, 02/06/53 | | 100,000 | | 91,968 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
17
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Information Technology (continued) | | | | | | |
Rocket Software, Inc., 9.00%, 11/28/28(1) | | $105,000 | | $105,494 | | |
Viasat, Inc., 5.63%, 09/15/25(1) | | 180,000 | | 173,141 | | |
Vontier Corp., 2.95%, 04/01/31 | | 200,000 | | 163,937 | | |
Total Information Technology | | | | 1,888,454 | | |
| | | | | | |
Materials – 1.5% | | | | | | |
Asp Unifrax Holdings, Inc., 5.25%, 09/30/28(1) | | 305,000 | | 184,084 | | |
Bayport Polymers LLC, 5.14%, 04/14/32(1) | | 80,000 | | 70,896 | | |
Berry Global, Inc., 5.65%, 01/15/34(1) | | 215,000 | | 207,731 | | |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.00%, 07/01/28(1) | | 195,000 | | 191,123 | | |
LSB Industries, Inc., 6.25%, 10/15/28(1) | | 150,000 | | 142,353 | | |
Mauser Packaging Solutions Holding Co., 9.25%, 04/15/27(1) | | 170,000 | | 166,786 | | |
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28(1) | | 85,000 | | 87,328 | | |
Windsor Holdings III LLC, 8.50%, 06/15/30(1) | | 165,000 | | 172,058 | | |
WR Grace Holdings LLC, 5.63%, 08/15/29(1) | | 250,000 | | 224,110 | | |
Total Materials | | | | 1,446,469 | | |
| | | | | | |
Real Estate – 1.4% | | | | | | |
EPR Properties, 4.75%, 12/15/26 | | 115,000 | | 110,337 | | |
EPR Properties, 3.60%, 11/15/31 | | 110,000 | | 89,341 | | |
GLP Capital LP / GLP Financing II, Inc., 3.25%, 01/15/32 | | 160,000 | | 131,004 | | |
GLP Capital LP / GLP Financing II, Inc., 6.75%, 12/01/33 | | 155,000 | | 158,918 | | |
Office Properties Income Trust, 4.50%, 02/01/25 | | 140,000 | | 110,554 | | |
Sabra Health Care LP, 3.20%, 12/01/31 | | 250,000 | | 200,976 | | |
Safehold GL Holdings LLC, 6.10%, 04/01/34 | | 240,000 | | 232,332 | | |
VICI Properties LP, 4.95%, 02/15/30 | | 70,000 | | 66,436 | | |
VICI Properties LP, 5.13%, 05/15/32 | | 135,000 | | 125,527 | | |
VICI Properties LP, 5.75%, 04/01/34 | | 25,000 | | 24,075 | | |
VICI Properties LP / VICI Note Co., Inc., 4.63%, 06/15/25(1) | | 15,000 | | 14,768 | | |
VICI Properties LP / VICI Note Co., Inc., 4.13%, 08/15/30(1) | | 35,000 | | 31,219 | | |
Total Real Estate | | | | 1,295,487 | | |
| | | | | | |
Utilities – 2.0% | | | | | | |
Black Hills Corp., 6.15%, 05/15/34 | | 240,000 | | 239,847 | | |
CMS Energy Corp., 4.75%, (US 5 Year CMT T- Note + 4.12%), 06/01/50(2) | | 315,000 | | 284,902 | | |
Ferrellgas LP / Ferrellgas Finance Corp., 5.38%, 04/01/26(1) | | 55,000 | | 53,936 | | |
Ferrellgas LP / Ferrellgas Finance Corp., 5.88%, 04/01/29(1) | | 80,000 | | 75,876 | | |
KeySpan Gas East Corp., 5.99%, 03/06/33(1) | | 261,000 | | 257,579 | | |
NRG Energy, Inc., 7.00%, 03/15/33(1) | | 226,000 | | 235,548 | | |
Pacificorp, 5.45%, 02/15/34 | | 140,000 | | 134,512 | | |
Pacificorp, 5.80%, 01/15/55 | | 125,000 | | 115,428 |
Security Description | | Principal | | Value | | |
| | | | | | |
CORPORATE BONDS (continued) | | | | | | |
| | | | | | |
Utilities (continued) | | | | | | |
Southern Co. (The), Series 21-A, 3.75%, (US 5 Year CMT T- Note + 2.92%), 09/15/51(2) | | $248,000 | | $227,625 | | |
Sunnova Energy Corp., 5.88%, 09/01/26(1) | | 110,000 | | 68,518 | | |
Vistra Corp., 8.00%, (US 5 Year CMT T- Note + 6.93%), perpetual(1)(2)(3) | | 51,000 | | 51,570 | | |
Vistra Operations Co. LLC, 6.88%, 04/15/32(1) | | 120,000 | | 119,582 | | |
Total Utilities | | | | 1,864,923 | | |
| | | | | | |
Total Corporate Bonds | | | | | | |
(Cost $31,490,017) | | | | 31,045,912 | | |
| | | | | | |
FOREIGN BONDS – 19.8% | | | | | | |
Communication Services – 0.6% | | | | | | |
Altice Financing SA, 5.00%, 01/15/28 (Luxembourg)(1) | | 275,000 | | 217,334 | | |
Altice France SA/France, 5.13%, 07/15/29 | | 200,000 | | 130,563 | | |
CT Trust, 5.13%, 02/03/32 (Guatemala)(1) | | 200,000 | | 174,431 | | |
Telesat Canada / Telesat LLC, 6.50%, 10/15/27 (Canada)(1) | | 35,000 | | 10,353 | | |
Total Communication Services | | | | 532,681 | | |
| | | | | | |
Consumer Discretionary – 1.4% | | | | | | |
Amer Sports Co., 6.75%, 02/16/31 (Finland)(1) | | 10,000 | | 9,857 | | |
Ashtead Capital, Inc., 5.50%, 08/11/32 | | 235,000 | | 225,423 | | |
Ashtead Capital, Inc., 5.80%, 04/15/34 | | 200,000 | | 194,743 | | |
Aston Martin Capital Holdings Ltd., 10.00%, 03/31/29 (Jersey Island)(1) | | 165,000 | | 161,767 | | |
Melco Resorts Finance Ltd., 7.63%, 04/17/32 | | 190,000 | | 186,671 | | |
Merlin Entertainments Group US Holdings, Inc., 7.38%, 02/15/31 (United Kingdom)(1) | | 200,000 | | 201,078 | | |
Ontario Gaming GTA LP/OTG Co.-Issuer LLC, 8.00%, 08/01/30 (Canada)(1) | | 95,000 | | 96,518 | | |
Raptor Acquisition Corp. / Raptor Co.-Issuer LLC, 4.88%, 11/01/26(1) | | 205,000 | | 195,063 | | |
Total Consumer Discretionary | | | | 1,271,120 | | |
| | | | | | |
Consumer Staples – 0.8% | | | | | | |
Bat Capital Corp., 7.75%, 10/19/32 (United Kingdom) | | 245,000 | | 271,905 | | |
Bat Capital Corp., 4.39%, 08/15/37 (United Kingdom) | | 100,000 | | 82,129 | | |
Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL, 5.25%, 04/27/29 (Guatemala)(1) | | 95,000 | | 88,778 | | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 7.00%, 12/31/27 (Canada)(1) | | 35,000 | | 33,891 | | |
Minerva Luxembourg SA, 8.88%, 09/13/33 | | 130,000 | | 133,851 | | |
Sigma Holdco BV, 7.88%, 05/15/26 (Netherlands)(1) | | 135,000 | | 128,120 | | |
Total Consumer Staples | | | | 738,674 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
18
Security Description | | Principal | | Value | | |
| | | | | | |
FOREIGN BONDS (continued) | | | | | | |
| | | | | | |
Energy – 2.2% | | | | | | |
BP Capital Markets PLC, 4.88%, (US 5 Year CMT T- Note + 4.40%), perpetual(2)(3) | | $270,000 | | $253,036 | | |
Coronado Finance Pty Ltd., 10.75%, 05/15/26 (Australia)(1) | | 68,000 | | 70,659 | | |
Ecopetrol SA, 4.63%, 11/02/31 (Colombia) | | 100,000 | | 80,800 | | |
Ecopetrol SA, 8.88%, 01/13/33 (Colombia) | | 150,000 | | 153,750 | | |
Enbridge, Inc., 7.63%, (US 5 Year CMT T- Note + 4.42%), 01/15/83 (Canada)(2) | | 200,000 | | 199,621 | | |
Enbridge, Inc., 8.50%, (US 5 Year CMT T- Note + 4.43%), 01/15/84 (Canada)(2) | | 30,000 | | 31,726 | | |
KazMunayGas National Co. JSC, 6.38%, 10/24/48 (Kazakhstan)(1) | | 335,000 | | 299,720 | | |
Pertamina Persero PT, 2.30%, 02/09/31 (Indonesia)(1) | | 345,000 | | 279,450 | | |
Petroleos Mexicanos, 6.50%, 03/13/27 (Mexico) | | 160,000 | | 150,533 | | |
Petroleos Mexicanos, 6.70%, 02/16/32 (Mexico) | | 325,000 | | 267,020 | | |
Petroleos Mexicanos, 6.35%, 02/12/48 (Mexico) | | 55,000 | | 33,928 | | |
Petroleos Mexicanos, 7.69%, 01/23/50 (Mexico) | | 150,000 | | 105,060 | | |
Teine Energy Ltd., 6.88%, 04/15/29 (Canada)(1) | | 110,000 | | 106,969 | | |
Total Energy | | | | 2,032,272 | | |
| | | | | | |
Financials – 3.1% | | | | | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 2.45%, 10/29/26 (Ireland) | | 175,000 | | 161,729 | | |
Allianz SE, 6.35%, (US 5 Year CMT T-Note + 3.23%), 09/06/53 (Germany)(1)(2) | | 205,000 | | 211,399 | | |
Ascot Group Ltd., 4.25%, 12/15/30 (Bermuda)(1) | | 195,000 | | 158,572 | | |
Banco de Credito del Peru S.A., 3.13%, (US 5 Year CMT T- Note + 3.00%), 07/01/30 (Peru)(2) | | 36,000 | | 34,382 | | |
Banco de Credito del Peru S.A., 3.13%, (US 5 Year CMT T- Note + 3.00%), 07/01/30 (Peru)(1)(2) | | 153,000 | | 146,123 | | |
Banco de Credito E Inversiones SA, 8.75%, (US 5 Year CMT T- Note + 4.94%), perpetual (Chile)(1)(2)(3) | | 200,000 | | 205,000 | | |
Banco Mercantil del Norte SA, 6.63%, (US 10 Year CMT T- Note + 5.03%), perpetual (Mexico)(1)(2)(3) | | 200,000 | | 177,368 | | |
Barclays, 7.44%, (US 1 Year CMT T- Note + 3.50%), 11/02/33 (United Kingdom)(2) | | 200,000 | | 216,430 | | |
BBVA Bancomer SA, 5.13%, (US 5 Year CMT T-Note + 2.65%), 01/18/33 (Mexico)(1)(2) | | 200,000 | | 183,895 | | |
Brookfield Finance, Inc., 6.35%, 01/05/34 (Canada) | | 185,000 | | 190,222 | | |
Export-Import Bank of Korea, 5.13%, 01/11/33 (South Korea) | | 220,000 | | 217,057 | | |
Ggam Finance Ltd., 6.88%, 04/15/29 (Cayman Islands)(1) | | 120,000 | | 120,187 | | |
Natwest Group PLC, 6.48%, (US 5 Year CMT T- Note + 2.20%), 06/01/34 (United Kingdom)(2) | | 175,000 | | 175,789 | | |
Nippon Life Insurance Co., 6.25%, (US 5 Year CMT T-Note + 2.95%), 09/13/53 (Japan)(1)(2) | | 200,000 | | 200,830 | | |
Societe Generale SA, 6.07%, (US 1 Year CMT T- Note + 2.10%), 01/19/35 (France)(1)(2) | | 200,000 | | 195,498 | | |
UBS Group AG, 9.25%, (US 5 Year CMT T- Note + 4.76%), perpetual (Switzerland)(1)(2)(3) | | 60,000 | | 65,999 | | |
UBS Group AG, 4.99%, (US 1 Year CMT T- Note + 2.40%), 08/05/33 (Switzerland)(1)(2) | | 230,000 | | 214,952 | | |
Total Financials | | | | 2,875,432 |
Security Description | | Principal | | Value | | |
| | | | | | |
FOREIGN BONDS (continued) | | | | | | |
| | | | | | |
Government – 8.0% | | | | | | |
Angolan Government International Bond, 8.75%, 04/14/32 (Angola)(1) | | $270,000 | | $245,278 | | |
Argentine Republic Government International Bond, 3.50%, 07/09/41 (Argentina)(5) | | 671,000 | | 294,569 | | |
Brazil Notas Do Tesouro Nacional Serie F, | 430,000 | | 78,771 | | ||
Brazilian Government International Bond, 6.00%, 10/20/33 (Brazil) | | 475,000 | | 454,575 | | |
Colombia Government International Bond, 8.00%, 11/14/35 (Colombia) | | 215,000 | | 217,246 | | |
Dominican Republic International Bond, 4.88%, 09/23/32 (Dominican Republic)(1) | | 255,000 | | 224,081 | | |
Ecuador Government International Bond, 6.00%, 07/31/30 (Ecuador)(1)(5) | | 198,000 | | 139,293 | | |
Egypt Government International Bond, 7.60%, 03/01/29 (Egypt)(1) | | 74,000 | | 67,016 | | |
Egypt Government International Bond, 5.88%, 02/16/31 (Egypt)(1) | | 20,000 | | 15,703 | | |
Egypt Government International Bond, 8.50%, 01/31/47 (Egypt)(1) | | 213,000 | | 163,648 | | |
El Salvador Government International Bond, 7.65%, 06/15/35 (El Salvador)(1) | | 185,000 | | 134,472 | | |
Ghana Government International Bond, 8.13%, 03/26/32 (Ghana)(1)(6) | | 40,000 | | 19,525 | | |
Hungary Government International Bond, 6.25%, 09/22/32 (Hungary)(1) | | 200,000 | | 202,000 | | |
Indonesia Government International Bond, 2.85%, 02/14/30 (Indonesia) | | 330,000 | | 288,956 | | |
Ivory Coast Government International Bond, 6.13%, 06/15/33 (Ivory Coast)(1) | | 200,000 | | 175,980 | | |
Ivory Coast Government International Bond, 8.25%, 01/30/37 (Ivory Coast)(1) | | 105,000 | | 100,664 | | |
Jordan Government International Bond, 7.50%, 01/13/29 (Jordan)(1) | | 200,000 | | 198,000 | | |
Mexico Government International Bond, 3.50%, 02/12/34 (Mexico) | | 320,000 | | 256,880 | | |
Mexico Government International Bond, 6.00%, 05/07/36 (Mexico) | | 200,000 | | 193,007 | | |
Mexico Government International Bond, 6.34%, 05/04/53 (Mexico) | | 205,000 | | 191,675 | | |
Morocco Government International Bond, 3.00%, 12/15/32 (Morocco)(1) | | 200,000 | | 156,500 | | |
Morocco Government International Bond, 5.50%, 12/11/42 (Morocco)(1) | | 25,000 | | 21,430 | | |
Nigeria Government International Bond, 7.38%, 09/28/33 (Nigeria)(1) | | 220,000 | | 183,150 | | |
Pakistan Government International Bond, 7.38%, 04/08/31 (Pakistan)(1) | | 155,000 | | 123,758 | | |
Panama Government International Bond, 3.88%, 03/17/28 (Panama) | | 70,000 | | 63,131 | | |
Panama Government International Bond, 7.50%, 03/01/31 (Panama) | | 3,000 | | 3,041 | | |
Panama Government International Bond, 8.00%, 03/01/38 (Panama) | | 177,000 | | 181,149 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
19
Security Description | | Principal | | Value | | |
| | | | | | |
FOREIGN BONDS (continued) | | | | | | |
| | | | | | |
Government (continued) | | | | | | |
Philippine Government International Bond, 3.70%, 03/01/41 (Philippines) | | $215,000 | | $168,842 | | |
Qatar Government International Bond, 3.75%, 04/16/30 (Qatar)(1) | | 200,000 | | 187,305 | | |
Republic of Armenia International Bond, 3.60%, 02/02/31 (Armenia)(1) | | 175,000 | | 139,289 | | |
Republic of Ghana, 8.13%, 03/26/32 (Ghana) | | 200,000 | | 97,625 | | |
Republic of Poland Government International Bond, 4.88%, 10/04/33 (Poland) | | 225,000 | | 215,033 | | |
Republic of South Africa Government International Bond, 5.88%, 06/22/30 (South Africa) | | 255,000 | | 235,556 | | |
Republic of South Africa Government International Bond, 5.65%, 09/27/47 (South Africa) | | 115,000 | | 81,650 | | |
Romanian Government International Bond, 7.13%, 01/17/33 (Romania)(1) | | 195,000 | | 201,581 | | |
Saudi Government International Bond, 5.50%, 10/25/32 (Saudi Arabia)(1) | | 325,000 | | 327,031 | | |
Saudi Government International Bond, 4.50%, 10/26/46 (Saudi Arabia)(1) | | 395,000 | | 321,925 | | |
Serbia International Bond, 6.50%, 09/26/33 (Serbia)(1) | | 215,000 | | 215,269 | | |
Turkey Government International Bond, 9.38%, 03/14/29 (Turkey) | | 150,000 | | 163,125 | | |
Turkey Government International Bond, 7.63%, 04/26/29 (Turkey) | | 200,000 | | 203,500 | | |
Turkey Government International Bond, 9.13%, 07/13/30 (Turkey) | | 385,000 | | 415,680 | | |
Ukraine Government International Bond, 7.75%, 09/01/26 (Ukraine)(6) | | 100,000 | | 29,384 | | |
Ukraine Government International Bond, 7.75%, 09/01/26 (Ukraine)(1)(6) | | 100,000 | | 29,200 | | |
Venezuela Government International Bond, 9.38%, 01/13/34 (Venezuela)(6) | | 565,000 | | 119,667 | | |
Total Government | | | | 7,545,160 | | |
| | | | | | |
Health Care – 0.7% | | | | | | |
Cheplapharm Arzneimittel GMBH, 5.50%, 01/15/28 (Germany)(1) | | 190,000 | | 178,450 | | |
Grifols SA, 4.75%, 10/15/28 (Spain)(1) | | 115,000 | | 93,011 | | |
ICON Investments Six Designated Activity Company, 6.00%, 05/08/34 (Ireland) | | 120,000 | | 119,875 | | |
Smith & Nephew PLC, 5.40%, 03/20/34 | | 230,000 | | 221,781 | | |
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (Netherlands) | | 70,000 | | 65,093 | | |
Total Health Care | | | | 678,210 | | |
| | | | | | |
Industrials – 0.8% | | | | | | |
Adani Ports & Special Economic Zone Ltd., 4.38%, 07/03/29 (India)(1) | | 207,000 | | 179,252 | | |
Avolon Holdings Funding Ltd., 4.38%, 05/01/26 (Ireland)(1) | | 282,000 | | 271,746 | | |
British Airways Pass-Through Trust, Class A, Series 2021-1, 2.90%, 03/15/35 | | 195,578 | | 166,490 |
Security Description | | Principal | | Value | | |
| | | | | | |
FOREIGN BONDS (continued) | | | | | | |
| | | | | | |
Industrials (continued) | | | | | | |
Gfl Environmental, Inc., 6.75%, 01/15/31(1) | | $5,000 | | $5,047 | | |
VistaJet Malta Finance PLC / Vista Management Holding, Inc., 9.50%, 06/01/28 (Switzerland)(1) | | 195,000 | | 174,830 | | |
Total Industrials | | | | 797,365 | | |
| | | | | | |
Materials – 1.5% | | | | | | |
Corp. Nacional del Cobre de Chile, 5.95%, 01/08/34 (Chile)(1) | | 200,000 | | 194,688 | | |
FMG Resources August 2006 Pty Ltd., 5.88%, 04/15/30 (Australia)(1) | | 100,000 | | 96,241 | | |
Glencore Funding LLC, 5.63%, 04/04/34 | | 265,000 | | 256,478 | | |
INEOS Quattro Finance 2 PLC, 3.38%, 01/15/26 (United Kingdom)(1) | | 81,000 | | 76,812 | | |
INEOS Quattro Finance 2 PLC, 9.63%, 03/15/29 (United Kingdom)(1) | | 200,000 | | 211,524 | | |
NOVA Chemicals Corp., 5.00%, 05/01/25 | | 48,000 | | 47,180 | | |
Smurfit Kappa Treasury Ulc, 5.44%, 04/03/34 (Ireland)(1) | | 225,000 | | 218,125 | | |
Taseko Mines Ltd., 8.25%, 05/01/30 (Canada)(1) | | 70,000 | | 71,206 | | |
Teck Resources Ltd., 6.13%, 10/01/35 (Canada) | | 95,000 | | 94,912 | | |
Trivium Packaging Finance BV, 8.50%, 08/15/27 (Netherlands)(1) | | 178,000 | | 176,457 | | |
Total Materials | | | | 1,443,623 | | |
| | | | | | |
Real Estate – 0.2% | | | | | | |
Ontario Teachers’ Cadillac Fairview Properties Trust, 2.50%, 10/15/31 (Canada)(1) | | 200,000 | | 158,275 | | |
| | | | | | |
Utilities – 0.5% | | | | | | |
Electricite de France SA, 6.25%, 05/23/33 | | 200,000 | | 204,952 | | |
ENEL Finance International NV, 7.50%, 10/14/32 (Italy)(1) | | 200,000 | | 219,658 | | |
Total Utilities | | | | 424,610 | | |
| | | | | | |
Total Foreign Bonds | | | | | | |
(Cost $18,579,988) | | | | 18,497,422 | | |
| | | | | | |
MORTGAGE BACKED SECURITIES - 13.4% | | | | |||
| | | | | | |
Asset Backed Security - 0.9% | | | | | | |
Credit Acceptance Auto Loan Trust, Class A, Series 2024-1A, 5.68%, 03/15/34(1) | | 162,000 | | 161,262 | | |
Hinnt, Class A, Series 2024-A, 5.49%, 03/15/43(1) | | 205,335 | | 204,207 | | |
Metronet Infrastructure Issuer LLC, Class A2, Series 2024-1A, 6.23%, 04/20/54(1) | | 175,000 | | 173,188 | | |
Powerpay Issuance Trust, Class A, Series 2024-1A, 6.53%, 02/18/39(1) | | 169,793 | | 168,370 | | |
Purchasing Power Funding, Class B, Series 2024-A, 6.43%, 08/15/28(1) | | 180,000 | | 178,939 | | |
Total Asset Backed Security | | | | 885,966 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
20
Security Description | | Principal | | Value | | |
| | | | | | |
MORTGAGE BACKED SECURITIES (continued) | | | | |||
| | | | | | |
Commercial Mortgage Backed Securities - 2.3% | | | | |||
BBCMS Mortgage Trust, Class A, Series 2018-TALL, 6.24%, (1-Month SOFR + 0.92%), 03/15/37(1)(2) | | $155,000 | | $147,453 | | |
BPR Trust, Class A, Series 2022-OANA, 7.22%, (1-Month SOFR + 1.90%), 04/15/37(1)(2) | | 300,000 | | 301,772 | | |
Bx Commercial Mortgage Trust, Class A, Series 2024-XL5, 6.71%, (1-Month SOFR + 1.39%), 03/15/41(1)(2) | | 289,980 | | 289,692 | | |
BX Trust, Class A, Series 2022-CLS, 5.76%, 10/13/27(1) | | 260,000 | | 255,814 | | |
BX Trust, Class D, Series 2019-OC11, 4.08%, 12/09/41(1)(2)(7) | | 85,000 | | 73,597 | | |
CF Hippolyta LLC, Class A1, Series 2020-1, 1.69%, 07/15/60(1) | | 89,945 | | 84,357 | | |
COMM Mortgage Trust, Class A1, Series 2013-300P, 4.35%, 08/10/30(1) | | 165,000 | | 152,599 | | |
COMM Mortgage Trust, Class B, Series 2020-CBM, 3.10%, 02/10/37(1) | | 45,000 | | 43,277 | | |
Extended Stay America Trust, Class C, Series 2021-ESH, 7.14%, (1-Month SOFR + 1.81%), 07/15/38(1)(2) | | 338,275 | | 337,965 | | |
JPMBB Commercial Mortgage Securities Trust, Class AS, Series 2014-C18, 4.44%, 02/15/47(2)(7) | | 144,000 | | 143,599 | | |
MIRA Trust, Class A, Series 2023-MILE, 6.75%, 06/10/38(1) | | 270,000 | | 275,304 | | |
Morgan Stanley Bank of America Merrill Lynch Trust, Class AS, Series 2015-C22, 3.56%, 04/15/48 | | 60,000 | | 58,046 | | |
Total Commercial Mortgage Backed Securities | | | | 2,163,475 | | |
| | | | | | |
Mortgage Backed Security - 4.0% | | | | | | |
Federal Home Loan Mortgage Corporation, 6.00%, 10/01/38 | | 168,480 | | 169,225 | | |
Federal Home Loan Mortgage Corporation, 5.50%, 01/01/53 | | 227,838 | | 221,460 | | |
Federal Home Loan Mortgage Corporation, 6.00%, 03/01/53 | | 616,775 | | 611,699 | | |
Federal Home Loan Mortgage Corporation, 6.00%, 07/01/53 | | 1,081,465 | | 1,072,415 | | |
Federal National Mortgage Association, 3.50%, 05/01/49 | | 24,175 | | 21,123 | | |
Federal National Mortgage Association, 5.00%, 11/01/52 | | 410,278 | | 389,232 | | |
Federal National Mortgage Association, 4.50%, 11/01/52 | | 400,866 | | 369,706 | | |
Federal National Mortgage Association, 6.00%, 04/01/53 | | 617,711 | | 613,006 | | |
Federal National Mortgage Association, 5.50%, 07/01/53 | | 272,091 | | 264,275 | | |
Total Mortgage Backed Security | | | | 3,732,141 | | |
| | | | |
Security Description | | Principal | | Value | | |
| | | | | | |
MORTGAGE BACKED SECURITIES (continued) | | | | |||
| | | | | | |
Residential Mortgage Backed Securities - 6.2% | | | | |||
Ajax Mortgage Loan Trust, Class A1, | | $49,429 | | $45,580 | | |
AMSR Trust, Class D, Series 2021-SFR3, 2.18%, 10/17/38(1) | | 100,000 | | 90,169 | | |
Angel Oak Mortgage Trust, Class A1, | | 90,832 | | 87,323 | | |
Arroyo Mortgage Trust, Class A1, | | 105,473 | | 98,369 | | |
Arroyo Mortgage Trust, Class A1, | | 93,544 | | 87,915 | | |
Arroyo Mortgage Trust, Class A3, | | 200,000 | | 159,129 | | |
CAFL Issuer LLC, Class A1, | | 100,000 | | 96,560 | | |
CIM Trust, Class A1, Series 2022-R2, 3.75%, 12/25/61(1)(2)(7) | | 234,041 | | 213,042 | | |
COLT Mortgage Loan Trust, Class A1, | | 291,339 | | 294,889 | | |
CSMC Trust, Class A1, Series 2020-RPL4, 2.00%, 01/25/60(1) | | 93,903 | | 81,154 | | |
Deephaven Residential Mortgage Trust, Class A1, Series 2022-1, 2.21%, 01/25/67(1)(2)(7) | | 75,353 | | 66,780 | | |
Ellington Financial Mortgage Trust, Class A1, Series 2022-1, 2.21%, 01/25/67(1)(2)(7) | | 119,666 | | 100,228 | | |
GCAT Trust, Class A1, Series 2020-NQM1, 3.25%, 01/25/60(1)(5) | | 316,202 | | 299,043 | | |
INTOWN Mortgage Trust, Class A, Series 2022-STAY, 7.81%, (1-Month SOFR + 2.49%), 08/15/39(1)(2) | | 159,000 | | 160,059 | | |
MetLife Securitization Trust, Class A1A, Series 2019-1A, 3.75%, 04/25/58(1)(2)(7) | | 91,832 | | 88,673 | | |
Mfra Trust, Class A1, Series 2022-INV2, 4.95%, 07/25/57(1)(5) | | 356,185 | | 345,623 | | |
Mill City Mortgage Loan Trust, Class B1, Series 2017-3, 3.25%, 01/25/61(1)(2)(7) | | 97,667 | | 80,936 | | |
New Residential Mortgage Loan Trust, Class A1, Series 2016-1A, 3.75%, 03/25/56(1)(2)(7) | | 34,957 | | 32,281 | | |
New Residential Mortgage Loan Trust, Class B1, Series 2016-3A, 4.00%, 09/25/56(1)(2)(7) | | 348,967 | | 320,935 | | |
New Residential Mortgage Loan Trust, Class A3, Series 2017-2A, 4.00%, 03/25/57(1)(2)(7) | | 437,153 | | 407,677 | | |
New Residential Mortgage Loan Trust, Class M2, Series 2019-RPL2, 3.75%, 02/25/59(1)(2)(7) | | 100,000 | | 84,737 | | |
New York Mortgage Trust, Class A1, Series 2024-CP1, 3.75%, 02/25/68(1)(2)(7) | | 294,749 | | 267,018 | | |
Pretium Mortgage Credit Partners, Class A1, Series 2024-RPL1, 3.90%, 10/25/63(1)(2)(7) | | 244,248 | | 226,096 | | |
RCKT Mortgage Trust, Class A1A, | | 141,209 | | 140,979 | | |
Sequoia Mortgage Trust, Class B1, Series 2013-8, 3.48%, 06/25/43(2)(7) | | 51,635 | | 48,741 | | |
Starwood Mortgage Residential Trust, Class A1, Series 2020-1, 2.28%, 02/25/50(1)(2)(7) | | 41,952 | | 39,176 | | |
Towd Point Mortgage Trust, Class A2, Series 2017-1, 3.50%, 10/25/56(1)(2)(7) | | 97,641 | | 95,670 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
21
Security Description | | Principal | | Value | | |
| | | | | | |
MORTGAGE BACKED SECURITIES (continued) | | | | |||
| | | | | | |
Residential Mortgage Backed Securities (continued) | | | | |||
Towd Point Mortgage Trust, Class A2, | | $225,000 | | $201,818 | | |
Towd Point Mortgage Trust, Class A2, | | 100,000 | | 86,933 | | |
Towd Point Mortgage Trust, Class A2, | | 100,000 | | 86,513 | | |
Towd Point Mortgage Trust, Class A2, | | 100,000 | | 78,937 | | |
Verus Securitization Trust, Class A1, | | 75,640 | | 72,663 | | |
Verus Securitization Trust, Class A1, | | 91,926 | | 84,409 | | |
Verus Securitization Trust, Class A1, | | 384,472 | | 374,202 | | |
Verus Securitization Trust, Class A1, | | 168,253 | | 165,758 | | |
Verus Securitization Trust, Class A1, | | 317,591 | | 317,493 | | |
Visio Trust, Class A1, S | | 210,638 | | 199,441 | | |
Visio Trust, Class A2, | | 81,929 | | 80,758 | | |
Total Residential Mortgage Backed Securities | | | | 5,807,707 | | |
| | | | | | |
Total Mortgage Backed Securities | | | | | | |
(Cost $12,838,367) | | | | 12,589,289 | | |
| | | | | | |
TERM LOANS – 13.2% | | | | | | |
| | | | | | |
Aerospace – 0.6% | | | | | | |
Amentum Government Services Holdings LLC, 9.32%, (1-Month SOFR + 4.00%), 02/15/29(2) | | 14,738 | | 14,790 | | |
Brown Group Holding, LLC, 8.47%, (1-Month SOFR + 3.15%), 06/07/28(2) | | 170,520 | | 170,851 | | |
Dynasty Acquisition Co, Inc., 8.82%, (1-Month SOFR + 3.50%), 08/24/28(2) | | 83,214 | | 83,705 | | |
Dynasty Acquisition Co, Inc., 8.82%, (1-Month SOFR + 3.50%), 08/24/28(2) | | 30,518 | | 30,698 | | |
Mileage Plus Holdings LLC, 10.73%, (3-Month SOFR + 5.40%), 06/21/27(2) | | 19,500 | | 20,044 | | |
Peraton Corp., 9.17%, (1-Month SOFR + 3.85%), 02/01/28(2) | | 167,430 | | 167,699 | | |
TransDigm, Inc., 8.06%, (3-Month SOFR + 2.75%), 08/24/28(2) | | 74,580 | | 75,038 | | |
Total Aerospace | | | | 562,825 | | |
| | | | | | |
Chemicals – 0.3% | | | | | | |
Innophos Holdings, Inc., 8.93%, (1-Month SOFR + 3.61%), 02/05/27(2) | | 114,701 | | 114,833 | | |
LSF11 A5 Holdco LLC, 9.67%, (1-Month SOFR + 4.35%), 10/15/28(2) | | 59,550 | | 59,788 | | |
Lummus Technology Holdings V LLC, 8.93%, (1-Month SOFR + 3.61%), 12/31/29(2) | | 45,000 | | 45,213 |
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Chemicals (continued) | | | | | | |
Nouryon Finance BV, 9.42%, (3-Month SOFR + 4.10%), 04/03/28(2) | | $54,724 | | $54,938 | | |
Windsor Holdings III LLC, 9.32%, (1-Month SOFR + 4.00%), 08/01/30(2) | | 49,750 | | 50,242 | | |
Total Chemicals | | | | 325,014 | | |
| | | | | | |
Consumer Non-Durables – 0.2% | | | | | | |
Amer Sports Co., 8.58%, (3-Month SOFR + 3.25%), 02/17/31(2) | | 15,000 | | 15,061 | | |
DS Parent, Inc., 10.80%, (3-Month SOFR + 5.50%), 12/13/30(2) | | 60,000 | | 59,662 | | |
Kronos Acquisition Holdings Inc., 9.31%, (3-Month SOFR + 4.01%), 12/22/26(2) | | 118,772 | | 119,127 | | |
Total Consumer Non-Durables | | | | 193,850 | | |
| | | | | | |
Energy – 0.5% | | | | | | |
Freeport LNG Investments, 9.09%, (3-Month SOFR + 3.76%), 12/21/28(2) | | 168,876 | | 168,166 | | |
Gip Pilot Acquisition Partners, L.P., 8.31%, (3-Month SOFR + 3.00%), 10/04/30(2) | | 14,963 | | 15,056 | | |
Hamilton Projects Acquiror LLC, 9.93%, (1-Month SOFR + 4.61%), 06/17/27(2) | | 18,133 | | 18,269 | | |
Medallion Midland Acquisition LP, 8.83%, (3-Month SOFR + 3.50%), 10/18/28(2) | | 29,175 | | 29,330 | | |
Oryx Midstream Services Permian Basin LLC, 8.44%, (1-Month SOFR + 3.11%), 10/05/28(2) | | 58,369 | | 58,630 | | |
Traverse Midstream, 8.83%, (3-Month SOFR + 3.50%), 02/16/28(2) | | 105,000 | | 105,443 | | |
WhiteWater DBR Holdco LLC, 8.05%, (3-Month SOFR + 2.75%), 02/16/31(2) | | 40,000 | | 40,092 | | |
Total Energy | | | | 434,986 | | |
| | | | | | |
Financials – 0.7% | | | | | | |
Acrisure LLC, 8.93%, (1-Month USD LIBOR + 3.50%), 02/15/27(2) | | 49,741 | | 49,777 | | |
Acrisure LLC, 9.82%, (1-Month SOFR + 4.50%), 11/06/30(2) | | 34,913 | | 35,109 | | |
AssuredPartners, Inc., 8.82%, (1-Month SOFR + 3.50%), 02/14/31(2) | | 70,000 | | 70,386 | | |
Asurion LLC, 8.68%, (1-Month SOFR + 3.36%), 12/23/26(2) | | 109,716 | | 107,484 | | |
Asurion LLC, 8.68%, (1-Month SOFR + 3.36%), 07/31/27(2) | | 24,164 | | 23,533 | | |
Blackhawk Network Holdings, Inc., 10.32%, (1-Month SOFR + 5.00%), 03/12/29(2) | | 54,092 | | 54,382 | | |
Hub International Ltd., 8.57%, (1-Month SOFR + 3.25%), 06/20/30(2) | | 139,650 | | 140,514 | | |
Hub International Ltd., 8.57%, (3-Month SOFR + 3.25%), 06/20/30(2) | | 350 | | 352 | | |
Lannett Co., Inc., 0.00%, 06/16/30(2)(4)(7) | | 1,688 | | 371 | | |
Truist Financial Corp., 0.00%, (SOFR + 0.00%), 03/24/31(8) | | 145,000 | | 145,476 | | |
Total Financials | | | | 627,384 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
22
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Food and Drug – 0.0%(9) | | | | | | |
Chobani LLC, 8.57%, (1-Month SOFR + 3.75%), 10/25/27(2) | | $29,925 | | $30,126 | | |
| | | | | | |
Food/Tobacco – 0.8% | | | | | | |
Del Monte Foods, Inc., 9.67%, (1-Month SOFR + 4.35%), 05/16/29(2) | | 103,945 | | 88,821 | | |
Froneri US, Inc., 7.67%, (1-Month SOFR + 2.25%), 01/29/27(2) | | 111,822 | | 112,069 | | |
Pegasus Bidco BV, 9.06%, (3-Month SOFR + 3.75%), 07/12/29(2) | | 84,088 | | 84,456 | | |
Shearer’s Foods LLC, 9.32%, (1-Month SOFR + 4.00%), 01/31/31(2) | | 35,000 | | 35,182 | | |
Sigma Bidco BV, 10.31%, (6-Month SOFR + 4.91%), 07/05/24(2) | | 79,643 | | 79,709 | | |
Triton Water Holdings, Inc., 0.00%, (SOFR + 0.00%), 03/31/28(8) | | 95,000 | | 94,744 | | |
Triton Water Holdings, Inc., 8.81%, (3-Month SOFR + 3.51%), 03/31/28(2) | | 108,806 | | 108,513 | | |
Tropicana (Naked Juice LLC), 8.66%, (3-Month SOFR + 3.35%), 01/24/29(2) | | 123,741 | | 119,922 | | |
Total Food/Tobacco | | | | 723,416 | | |
| | | | | | |
Forest Prod/Containers – 0.4% | | | | | | |
Clydesdale Acquisition Holdings Inc., 9.09%, (1-Month SOFR + 3.68%), 04/13/29(2) | | 99,746 | | 100,289 | | |
Kloeckner Pentaplast of America, Inc., 10.27%, (6-Month SOFR + 4.98%), 02/12/26(2) | | 112,053 | | 101,596 | | |
Mauser Packaging Solutions Holding Co., 8.82%, (1-Month SOFR + 3.50%), 04/15/27(2) | | 47,528 | | 47,642 | | |
TricorBraun Holdings, Inc., 8.68%, (1-Month SOFR + 3.36%), 03/03/28(2) | | 178,269 | | 176,590 | | |
Total Forest Prod/Containers | | | | 426,117 | | |
| | | | | | |
Gaming/Leisure – 0.6% | | | | | | |
Alterra Mountain, 0.00%, (SOFR + 0.00%), 05/31/30(8) | | 5,000 | | 5,033 | | |
Caesars Entertainment, Inc., 8.07%, (1-Month SOFR + 2.75%), 02/06/31(2) | | 20,000 | | 20,053 | | |
ECL Entertainment LLC, 0.00%, (SOFR + 0.00%), 08/31/30(8) | | 20,000 | | 20,111 | | |
ECL Entertainment LLC, 10.07%, (3-Month SOFR + 4.75%), 09/03/30(2) | | 59,700 | | 60,032 | | |
Entain, 0.00%, (SOFR + 0.00%), 10/31/29(8) | | 95,000 | | 95,430 | | |
Fertitta Entertainment LLC, 9.07%, (1-Month SOFR + 3.75%), 01/27/29(2) | | 49,873 | | 50,044 | | |
J&J Ventures Gaming, LLC, 9.43%, (1-Month SOFR + 4.11%), 04/26/28(2) | | 19,451 | | 19,420 | | |
Merlin Buyer, Inc, 0.00%, (SOFR + 0.00%), 11/12/29(8) | | 75,000 | | 75,010 | | |
One Toronto Gaming, 9.56%, (3-Month SOFR + 4.25%), 08/01/30(2) | | 114,775 | | 115,540 | | |
Scientific Games Holdings LP, 0.00%, (2-Month SOFR + 0.00%), 04/04/29(8) | | 20,000 | | 20,033 |
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Gaming/Leisure (continued) | | | | | | |
Scientific Games Holdings LP, 8.56%, (3-Month SOFR + 3.25%), 04/04/29(2) | | $103,831 | | $104,001 | | |
Scientific Games Holdings LP, 8.56%, (2-Month SOFR + 3.25%), 04/04/29(8) | | 264 | | 265 | | |
Total Gaming/Leisure | | | | 584,972 | | |
| | | | | | |
Health Care – 1.7% | | | | | | |
Agiliti Health, 0.00%, (SOFR + 0.00%), 05/01/30(8) | | 155,000 | | 155,194 | | |
Bausch & Lomb Corporation, 9.32%, (1-Month SOFR + 4.00%), 09/29/28(2) | | 44,775 | | 44,999 | | |
CHG Healthcare Services, Inc., 8.68%, (1-Month SOFR + 3.36%), 09/29/28(2) | | 58,089 | | 58,280 | | |
Cotiviti (Verscend), 0.00%, (SOFR + 0.00%), 03/31/31(8) | | 55,000 | | 55,114 | | |
Endo Finance Holdings, Inc., 0.00%, (SOFR + 0.00%), 04/09/31(8) | | 30,000 | | 29,959 | | |
eResearch Technology, Inc., 9.94%, (1-Month SOFR + 4.61%), 02/04/27(2) | | 49,870 | | 50,103 | | |
Hunter US Bidco, Inc., 9.66%, (3-Month SOFR + 4.35%), 08/19/28(2) | | 55,797 | | 55,936 | | |
IVC Acquisition Ltd, 10.81%, (3-Month SOFR + 5.50%), 12/12/28(2) | | 169,575 | | 170,296 | | |
Medline Borrower LP, 8.07%, (1-Month SOFR + 2.75%), 10/23/28(2) | | 121,115 | | 121,572 | | |
Milano Acquisition Corp., 9.41%, (3-Month SOFR + 4.10%), 10/01/27(2) | | 68,759 | | 65,773 | | |
Packaging Coordinators Midco, Inc., 9.07%, (3-Month SOFR + 3.76%), 11/30/27(2) | | 83,493 | | 83,877 | | |
Phoenix Guarantor, Inc., 8.57%, (1-Month SOFR + 3.25%), 02/21/31(2) | | 98,496 | | 97,919 | | |
Phoenix Newco, Inc., 8.68%, (1-Month SOFR + 3.36%), 11/15/28(2) | | 95,266 | | 95,677 | | |
Radiology Partners, Inc., 9.09%, (2-Month SOFR + 3.76%), 01/31/29(2) | | 104,738 | | 100,767 | | |
Radnet Management, Inc., 0.00%, (SOFR + 0.00%), 04/10/31(8) | | 50,000 | | 49,977 | | |
Sotera Health Holdings LLC, 8.18%, (3-Month SOFR + 2.86%), 12/11/26(2) | | 55,000 | | 54,966 | | |
Southern Veterinary Partners LLC, 9.43%, (1-Month SOFR + 4.11%), 10/05/27(2) | | 79,678 | | 79,952 | | |
Star Parent, Inc., 9.31%, (1-Month SOFR + 4.00%), 09/27/30(2) | | 80,000 | | 80,075 | | |
Upstream Newco, Inc., 9.68%, (1-Month SOFR + 4.36%), 11/20/26(2) | | 56 | | 52 | | |
Upstream Newco, Inc., 9.84%, (3-Month SOFR + 4.51%), 11/20/26(2) | | 21,825 | | 20,114 | | |
Viant Medical Holdings, Inc., 9.18%, (1-Month SOFR + 3.86%), 07/02/25(2) | | 117,715 | | 117,765 | | |
Waystar Technologies, Inc, 9.32%, (1-Month SOFR + 4.00%), 10/22/29(2) | | 25,000 | | 25,172 | | |
Total Health Care | | | | 1,613,539 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
23
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Housing – 0.3% | | | | | | |
Chariot Buyer LLC, 8.67%, (1-Month SOFR + 3.25%), 11/03/28(2) | | $40,333 | | $40,347 | | |
Chariot Buyer LLC, 9.07%, (1-Month SOFR + 3.75%), 11/03/28(2) | | 45,000 | | 45,149 | | |
Hunter Douglas Holding BV, 8.82%, (3-Month SOFR + 3.50%), 02/26/29(2) | | 94,620 | | 94,130 | | |
Miter Brands (MI Windows), 0.00%, (SOFR + 0.00%), 03/20/31(8) | | 15,000 | | 15,087 | | |
SRS Distribution, Inc., 8.67%, (1-Month SOFR + 3.35%), 06/02/28(2) | | 4,888 | | 4,928 | | |
SRS Distribution, Inc., 8.93%, (1-Month SOFR + 3.61%), 06/02/28(2) | | 108,144 | | 109,047 | | |
Total Housing | | | | 308,688 | | |
| | | | | | |
Information Technology – 2.0% | | | | | | |
Ahead DB Holdings LLC, 9.56%, (3-Month SOFR + 4.25%), 02/01/31(2) | | 80,000 | | 80,570 | | |
Applied Systems, 8.81%, (3-Month SOFR + 3.50%), 02/24/31(2) | | 178,650 | | 180,191 | | |
Applied Systems, 10.56%, (3-Month SOFR + 5.25%), 02/23/32(2) | | 10,000 | | 10,367 | | |
Barracuda Parent LLC, 9.81%, (6-Month SOFR + 4.50%), 08/15/29(2) | | 168,198 | | 168,474 | | |
BMC Software (Boxer/ Bladelogic), 9.57%, (1-Month SOFR + 4.25%), 12/29/28(2) | | 19,950 | | 20,097 | | |
Central Parent, Inc., 9.31%, (3-Month SOFR + 4.00%), 07/06/29(2) | | 108,404 | | 108,971 | | |
ConnectWise LLC, 9.06%, (1-Month SOFR + 3.76%), 09/29/28(2) | | 39,100 | | 39,206 | | |
Delivery Hero Finco LLC, 0.00%, (SOFR + 0.00%), 12/12/29(8) | | 180,000 | | 180,514 | | |
Ellucian (Sophia), 8.92%, (1-Month SOFR + 3.60%), 10/07/29(2) | | 27,090 | | 27,216 | | |
Endurance International Group Holdings Inc, 8.94%, (1-Month SOFR + 3.61%), 02/10/28(2) | | 130,000 | | 126,141 | | |
Epicor Software Corp, 9.07%, (1-Month SOFR + 3.75%), 07/30/27(2) | | 4,988 | | 5,023 | | |
Epicor Software Corp., 8.68%, (1-Month SOFR + 3.36%), 07/30/27(2) | | 33,601 | | 33,788 | | |
Indicor LLC, 9.30%, (3-Month SOFR + 4.00%), 11/22/29(2) | | 89,102 | | 89,904 | | |
Infinite Bidco LLC, 9.34%, (3-Month SOFR + 4.01%), 03/02/28(2) | | 79,798 | | 78,634 | | |
Ncr Atleos, LLC, 10.17%, (3-Month SOFR + 4.85%), 03/22/29(2) | | 193 | | 194 | | |
Ncr Atleos, LLC, 10.18%, (1-Month SOFR + 4.85%), 03/27/29(2) | | 54,615 | | 55,070 | | |
Polaris Newco LLC, 9.59%, (1-Month SOFR + 4.26%), 06/02/28(2) | | 64,504 | | 64,204 | | |
Project Ruby Ultimate Parent Corp., 0.00%, (SOFR + 0.00%), 03/10/28(8) | | 80,000 | | 80,050 | | |
Project Ruby Ultimate Parent Corp., 8.68%, (1-Month SOFR + 3.36%), 03/10/28(2) | | 29,100 | | 29,118 | | |
Project Ruby Ultimate Parent Corp., 8.93%, (1-Month SOFR + 3.61%), 03/10/28(2) | | 15,000 | | 15,041 |
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Information Technology (continued) | | | | | | |
Proofpoint, Inc., 8.68%, (1-Month SOFR + 3.36%), 08/31/28(2) | | $54,238 | | $54,534 | | |
RealPage, Inc., 8.43%, (1-Month SOFR + 3.11%), 04/24/28(2) | | 34,051 | | 32,874 | | |
Rocket Software, Inc., 0.00%, (SOFR + 0.00%), 11/28/28(8) | | 145,000 | | 144,400 | | |
SOFTWARE AG/MOSEL, 10.06%, (3-Month SOFR + 4.75%), 09/16/30(2) | | 37,000 | | 37,208 | | |
UKG (Ultimate Software Group), 8.81%, (3-Month SOFR + 3.50%), 02/10/31(2) | | 139,257 | | 140,055 | | |
WORLDPAY, 8.31%, (3-Month SOFR + 3.00%), 09/20/30(2) | | 35,000 | | 35,194 | | |
Total Information Technology | | | | 1,837,038 | | |
| | | | | | |
Manufacturing – 0.6% | | | | | | |
Alliance Laundry Systems LLC, 8.90%, (1-Month SOFR + 3.60%), 10/08/27(2) | | 28,990 | | 29,137 | | |
Alliance Laundry Systems LLC, 8.92%, (3-Month SOFR + 3.60%), 10/08/27(2) | | 996 | | 1,001 | | |
Arcline FM Holdings LLC, 10.32%, (3-Month SOFR + 4.99%), 06/23/28(2) | | 127,735 | | 128,202 | | |
Arcline FM Holdings LLC, 13.82%, (3-Month SOFR + 8.51%), 06/15/29(2) | | 7,697 | | 7,620 | | |
Chart Industries, Inc., 8.67%, (1-Month SOFR + 3.35%), 03/15/30(2) | | 54,672 | | 54,928 | | |
CPM Holdings, Inc, 9.83%, (1-Month SOFR + 4.50%), 09/21/28(2) | | 68,828 | | 69,104 | | |
Filtration Group Corp., 8.93%, (1-Month SOFR + 3.61%), 10/21/28(2) | | 106,558 | | 106,965 | | |
Madison IAQ LLC, 8.68%, (1-Month SOFR + 3.36%), 06/21/28(2) | | 114,147 | | 114,339 | | |
Star US Bidco LLC, 9.67%, (1-Month SOFR + 4.35%), 03/17/27(2) | | 46,873 | | 47,214 | | |
Total Manufacturing | | | | 558,510 | | |
| | | | | | |
Media/Telecom - Broadcasting – 0.4% | | | | | | |
Gray Television, Inc., 8.44%, (1-Month SOFR + 3.11%), 12/01/28(2) | | 118,776 | | 111,987 | | |
Terrier Media Buyer, Inc., 8.91%, (3-Month SOFR + 3.60%), 12/17/26(2) | | 134,268 | | 113,848 | | |
Univision Communications, Inc., 8.68%, (1-Month SOFR + 3.36%), 03/15/26(2) | | 113,830 | | 114,049 | | |
Total Media/Telecom - Broadcasting | | | | 339,884 | | |
| | | | | | |
Media/Telecom - Cable/Wireless Video – 0.5% | | | | | | |
CSC Holdings LLC, 9.82%, (1-Month SOFR + 4.50%), 01/18/28(2) | | 179,545 | | 173,742 | | |
Directv Financing LLC, 10.68%, (1-Month SOFR + 5.36%), 08/02/29(2) | | 112,741 | | 112,936 | | |
Eagle Broadband Investments LLC, 0.00%, | | 90,000 | | 89,634 | | |
Eagle Broadband Investments LLC, 8.57%, (3-Month SOFR + 3.26%), 11/12/27(2) | | 59,532 | | 59,290 | | |
Total Media/Telecom - Cable/Wireless Video | | | | 435,602 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
24
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Media/Telecom - Diversified Media – 0.4% | | | | |||
Century DE Buyer LLC, 9.33%, (3-Month SOFR + 4.00%), 10/30/30(2) | | $42,000 | | $42,231 | | |
McGraw-Hill Education, Inc., 10.18%, (1-Month SOFR + 4.86%), 07/28/28(2) | | 78,259 | | 78,439 | | |
MH Sub I LLC, 9.57%, (1-Month SOFR + 4.25%), 05/03/28(2) | | 69,824 | | 69,681 | | |
Neilson Holdings, 10.41%, (3-Month SOFR + 5.10%), 04/11/29(2) | | 168,637 | | 158,741 | | |
Total Media/Telecom - Diversified Media | | | | 349,092 | | |
| | | | | | |
Media/Telecom - Telecommunications – 0.2% | | | | |||
Altice France SA/France, 9.28%, (3-Month SOFR + 3.69%), 01/31/26(2) | | 48,665 | | 41,967 | | |
Cincinnati Bell, Inc., 8.67%, (1-Month SOFR + 3.35%), 11/22/28(2) | | 74,809 | | 74,879 | | |
Numericable U.S. LLC, 8.34%, (3-Month SOFR + 2.75%), 07/31/25(2) | | 59,548 | | 53,565 | | |
Total Media/Telecom - Telecommunications | | | | 170,411 | | |
| | | | |||
Media/Telecom - Wireless Communications – 0.1% | | | | |||
Viasat, Inc., 0.00%, (SOFR + 0.00%), 03/02/29(8) | | 25,000 | | 24,021 | | |
Viasat, Inc., 9.82%, (1-Month SOFR + 4.50%), 03/02/29(2) | | 49,747 | | 47,800 | | |
Total Media/Telecom - Wireless Communications | | | | 71,821 | | |
| | | | | | |
Metals/Minerals – 0.1% | | | | | | |
Covia Holdings LLC, 9.57%, (3-Month SOFR + 4.26%), 07/31/26(2) | | 95,000 | | 94,921 | | |
| | | | | | |
Retail – 0.3% | | | | | | |
CNT Holdings Corp, 8.83%, (3-Month SOFR + 3.50%), 11/08/27(2) | | 74,813 | | 75,161 | | |
EG America LLC, 11.26%, (SOFR + 5.93%), 02/07/28(2) | | 54,862 | | 54,108 | | |
PetSmart, Inc., 9.17%, (1-Month SOFR + 3.85%), 02/11/28(2) | | 187,743 | | 185,396 | | |
Total Retail | | | | 314,665 | | |
| | | | | | |
Service – 1.9% | | | | | | |
Allied Universal Holdco LLC, 0.00%, | | 190,000 | | 190,356 | | |
Ascend Learning LLC, 0.00%, | | 110,000 | | 109,809 | | |
Ascend Learning LLC, 8.92%, | | 74,809 | | 74,679 | | |
BIFM US Finance LLC, 9.57%, | | 40,000 | | 40,317 | | |
Brightview Landscapes LLC, 8.33%, | | 73,877 | | 74,120 | | |
Crisis Prevention Inst, Inc., 10.04%, | | 50,000 | | 50,281 | | |
CSC Holdings LLC, 9.59%, (3-Month SOFR + 4.26%), 03/04/28(2) | | 119,833 | | 106,127 | | |
| | | | |
Security Description | | Principal | | Value | | |
| | | | | | |
TERM LOANS (continued) | | | | | | |
| | | | | | |
Service (continued) | | | | |||
DG Investment Intermediate Holdings 2, Inc, 10.07%, (1-Month SOFR + 4.75%), 03/31/28(2) | | $64,509 | | $64,697 | | |
DXP Enterprises, Inc., 10.16%, | | 39,800 | | 40,061 | | |
Garda World Security Corp., 9.58%, | | 79,797 | | 80,238 | | |
Hertz Corp. (The), 9.08%, | | 114,713 | | 105,715 | | |
Kindercare (Kuehg Corp.), 9.82%, | | 134,462 | | 135,072 | | |
NAB Holdings LLC, 8.21%, | | 139,643 | | 139,707 | | |
Planet US Buyer LLC, 8.81%, | | 30,000 | | 30,170 | | |
Titan Acquisition (Husky), 0.00%, | | 85,000 | | 85,540 | | |
Titan Acquisition (Husky), 8.44%, | | 70,547 | | 70,995 | | |
TMF Sapphire, 9.31%, | | 34,913 | | 35,080 | | |
Trugreen Limited Partnership, 9.42%, (1-Month SOFR + 4.10%), 11/02/27(2) | | 114,704 | | 110,316 | | |
University Support Services LLC, 8.42%, | | 125,120 | | 125,260 | | |
Win Waste Innovations Holdings, Inc., 8.18%, (1-Month SOFR + 2.86%), 03/24/28(2) | | 154,719 | | 146,556 | | |
Total Service | | | | 1,815,096 | | |
| | | | | | |
Transportation - Automotive – 0.3% | | | | | | |
American Axle, 8.92%, | | 47,196 | | 47,476 | | |
First Brands Group LLC, 0.00%, | | 50,000 | | 48,042 | | |
First Brands Group LLC, 10.57%, | | 59,860 | | 57,515 | | |
PAI Holdco, Inc., 9.34%, | | 138,848 | | 129,545 | | |
Wand Newco 3, Inc., 9.07%, | | 15,000 | | 15,115 | | |
Total Transportation - Automotive | | | | 297,693 | | |
| | | | | | |
Utilities – 0.3% | | | | | | |
Generation Bridge Northeast LLC, 8.82%, | | 39,441 | | 39,671 | | |
NGL Energy Operating LLC, 9.82%, | | 25,000 | | 25,134 | | |
Vistra Operations Co. LLC, 8.07%, | | 35,000 | | 35,147 | | |
Westing House, 8.07%, | | 145,000 | | 145,267 | | |
Total Utilities | | | | 245,219 | | |
| | | | | | |
Total Term Loans | | | | | | |
(Cost $12,304,995) | | | | 12,360,869 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
25
Security Description | | Principal | | Value | | |
| | | | | | |
U.S. GOVERNMENT SECURITIES – 9.5% | | | | |||
U.S. Treasury Bond | | | | | | |
1.88%, 11/15/51 | | $1,005,000 | | $557,579 | | |
3.63%, 05/15/53 | | 735,000 | | 600,920 | | |
4.25%, 02/15/54 | | 945,000 | | 865,413 | | |
U.S. Treasury Note | | | | | | |
1.00%, 12/15/24 | | 1,040,000 | | 1,012,660 | | |
0.88%, 06/30/26 | | 555,000 | | 508,638 | | |
4.38%, 08/15/26 | | 215,000 | | 212,174 | | |
1.38%, 12/31/28 | | 490,000 | | 421,620 | | |
2.63%, 02/15/29 | | 3,015,000 | | 2,744,062 | | |
3.38%, 05/15/33 | | 1,220,000 | | 1,102,766 | | |
4.00%, 02/15/34 | | 930,000 | | 880,739 | | |
| | | | | | |
Total U.S. Government Securities | | | | | | |
(Cost $9,067,417) | | | | 8,906,571 | | |
| | | | | | |
ASSET BACKED SECURITIES – 6.8% | | | | | | |
ACHV ABS Trust, Class A, Series 2024-1PL, 5.90%, 04/25/31(1) | | 193,467 | | 193,176 | | |
ACHV ABS Trust, Class B, Series 2023-1PL, 6.80%, 03/18/30(1) | | 51,124 | | 51,175 | | |
Affirm Asset Securitization Trust, Class 1A, Series 2022-A, 4.30%, 05/17/27(1) | | 70,000 | | 69,943 | | |
Affirm Asset Securitization Trust, Class A, Series 2023-B, 6.82%, 09/15/28(1) | | 125,000 | | 126,356 | | |
American Credit Acceptance Receivables Trust, Class C, Series 2024-1, 5.63%, 01/14/30(1) | | 135,000 | | 133,710 | | |
Applebee’s Funding LLC / Ihop Funding LLC, Class A2, Series 2023-1A, 7.82%, 03/05/53(1) | | 109,000 | | 110,816 | | |
Aqua Finance Trust, Class A, Series 2017-A, 3.72%, 11/15/35(1) | | 5,445 | | 5,436 | | |
Arivo Acceptance Auto Loan Receivables Trust, Class B, Series 2024-1A, 6.87%, 06/17/30(1) | | 228,000 | | 226,722 | | |
Auxilior Term Funding, Class D, Series 2023-1A, 7.27%, 12/16/30(1) | | 90,000 | | 89,495 | | |
Avant Credit Card Master Trust, Class A, Series 2021-1A, 1.37%, 04/15/27(1) | | 50,000 | | 48,490 | | |
Avis Budget Rental Car Funding Aesop LLC, Class C, Series 2024-5A, 6.24%, 04/20/27(1) | | 160,000 | | 158,969 | | |
Bhg Securitization Trust, Class A, Series 2024-1CON, 5.81%, 04/17/35(1) | | 197,165 | | 196,951 | | |
Carvana Auto Receivables Trust, Class B, Series 2024-N1, 5.63%, 05/10/30(1) | | 200,000 | | 198,928 | | |
Carvana Auto Receivables Trust, Class E, Series 2019-3A, 4.60%, 07/15/26(1) | | 26,604 | | 26,512 | | |
CLI Funding VI LLC, Class A, Series 2020-1A, 2.08%, 09/18/45(1) | | 227,295 | | 202,425 | | |
CPS Auto Receivables Trust, Class D, Series 2022-D, 8.73%, 01/16/29(1) | | 100,000 | | 104,421 | | |
CPS Auto Receivables Trust, Class E, Series 2019-D, 3.86%, 10/15/25(1) | | 28,290 | | 28,258 | | |
Dext ABS LLC, Class A2, Series 2023-1, 5.99%, 03/15/32(1) | | 105,452 | | 104,566 | | |
DT Auto Owner Trust, Class D, Series 2023-1A, 6.44%, 11/15/28(1) | | 155,000 | | 154,997 |
Security Description | | Principal | | Value | | |
| | | | | | |
ASSET BACKED SECURITIES (continued) | | | | | | |
Encina Equipment Finance LLC, Class B, Series 2022-1A, 5.15%, 01/16/29(1) | | $100,000 | | $97,742 | | |
Exeter Automobile Receivables Trust, Class B, Series 2023-1A, 5.72%, 04/15/27 | | 160,000 | | 159,818 | | |
Exeter Automobile Receivables Trust, Class C, Series 2024-2A, 5.74%, 05/15/29 | | 263,000 | | 261,297 | | |
FAT Brands Royalty LLC, Class A2, Series 2021-1A, 5.75%, 04/25/51(1) | | 49,250 | | 46,205 | | |
FHF Trust, Class A2, Series 2023-1A, 6.57%, 06/15/28(1) | | 92,432 | | 92,687 | | |
Five Guys Holdings, Inc., Class A2, Series 2023-1A, 7.55%, 01/26/54(1) | | 125,000 | | 126,258 | | |
GLS Auto Receivables Issuer Trust, Class D, Series 2022-2A, 6.15%, 04/17/28(1) | | 65,000 | | 64,652 | | |
Hardee’s Funding LLC, Class A2, Series 2024-1A, 7.25%, 03/20/54(1) | | 230,000 | | 229,483 | | |
Hertz Vehicle Financing III LLC, Class C, Series 2022-1A, 2.63%, 06/25/26(1) | | 285,000 | | 274,362 | | |
Hotwire Funding LLC, Class C, Series 2021-1, 4.46%, 11/20/51(1) | | 65,000 | | 58,196 | | |
Jack in the Box Funding LLC, Class A2I, Series 2022-1A, 3.45%, 02/26/52(1) | | 196,800 | | 181,419 | | |
LAD Auto Receivables Trust, Class D, Series 2021-1A, 3.99%, 11/15/29(1) | | 55,000 | | 52,743 | | |
LAD Auto Receivables Trust, Class D, Series 2023-2A, 6.30%, 02/15/31(1) | | 135,000 | | 133,985 | | |
Lendbuzz Securitization Trust, Class A2, Series 2023-2A, 7.09%, 10/16/28(1) | | 109,608 | | 110,418 | | |
Lendbuzz Securitization Trust, Class A2, Series 2024-2A, 5.99%, 05/15/29(1) | | 285,000 | | 284,998 | | |
Lobel Automobile Receivables Trust, Class B, Series 2023-1, 7.05%, 09/15/28(1) | | 160,000 | | 159,772 | | |
MAPS Trust, Class A, Series 2021-1A, 2.52%, 06/15/46(1) | | 20,195 | | 18,008 | | |
Mission Lane Credit Card Master Trust, Class A, Series 2023-A, 7.23%, 07/17/28(1) | | 133,000 | | 133,715 | | |
Momnt Technologies Trust, Class A, Series 2023-1A, 6.92%, 03/20/45(1) | | 113,457 | | 113,548 | | |
MVW Owner Trust, Class A, Series 2019-1A, 2.89%, 11/20/36(1) | | 15,444 | | 15,010 | | |
MVW Owner Trust, Class A, Series 2024-1A, 5.32%, 02/20/43(1) | | 218,424 | | 216,024 | | |
NMEF Funding LLC, Class B, Series 2021-A, 1.85%, 12/15/27(1) | | 8,199 | | 8,174 | | |
OneMain Direct Auto Receivables Trust, Class C, Series 2022-1A, 5.31%, 06/14/29(1) | | 55,000 | | 53,743 | | |
Reach ABS Trust, Class B, Series 2024-1A, 6.29%, 02/18/31(1) | | 160,000 | | 159,393 | | |
Santander Drive Auto Receivables Trust, Class C, Series 2022-5, 4.74%, 10/16/28 | | 100,000 | | 98,621 | | |
Taco Bell Funding LLC, Class A23, Series 2016-1A, 4.97%, 05/25/46(1) | | 217,500 | | 212,977 | | |
Tesla Auto Lease Trust, Class B, Series 2023-A, 6.41%, 07/20/27(1) | | 147,000 | | 147,665 | | |
United Auto Credit Securitization Trust, Class C, Series 2023-1, 6.28%, 07/10/28(1) | | 203,000 | | 202,258 | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
26
Security Description | | Principal | | Value | | |
| | | | | | |
ASSET BACKED SECURITIES (continued) | | | | | | |
Westlake Automobile Receivables Trust, Class B, Series 2024-1A, 5.55%, 11/15/27(1) | | $218,000 | | $216,508 | | |
ZAXBY’S Funding LLC, Class A2, Series 2021-1A, 3.24%, 07/30/51(1) | | 229,510 | | 199,317 | | |
| | | | | | |
Total Asset Backed Securities | | | | | | |
(Cost $6,375,243) | | | | 6,360,342 | | |
| | | | | | |
RESIDENTIAL MORTGAGE BACKED SECURITIES - 0.9% | | |||||
| | | | |||
Residential Mortgage Backed Securities - 0.9% | | | | |||
Onslow Bay Financial LLC, Class A1A, Series 2023-NQM5, 6.57%, 06/25/63(1)(5) | | 443,104 | | 445,597 | | |
Onslow Bay Financial LLC, Class A1, Series 2023-NQM9, 7.16%, 10/25/63(1)(5) | | 183,197 | | 185,771 | | |
Onslow Bay Financial LLC, Class A1, Series 2024-NQM3, 6.13%, 12/25/63(1)(5) | | 164,680 | | 164,098 | | |
Total Residential Mortgage Backed Securities | | | | 795,466 | | |
Total Residential Mortgage Backed Securities | | | | | | |
(Cost $798,577) | | | | 795,466 | | |
| | | | |||
COMMERCIAL MORTGAGE BACKED SECURITY - 0.3% | | |||||
| | | | |||
Commercial Mortgage Backed Securities - 0.3% | | | | |||
Thpt Mortgage Trust, Class A, Series 2023-THL, 7.23%, 12/10/34(1) | | |||||
(Cost $299,250) | | 300,000 | | 302,988 | | |
| | | | | | |
COMMON STOCKS - 0.0%(9) | | | | | | |
Consumer Discretionary - 0.0%(9) | | | | | | |
West Marine (Rising Tide)*(4) | | 38 | | 166 | | |
Health Care - 0.0%(9) | | | | | | |
Endo Finance Holdings, Inc.*(4) | | 339 | | 9,831 | | |
Lannett Co., Inc.*(4) | | 277 | | — | | |
Total Health Care | | | | 9,831 | | |
| | | | | | |
Total Common Stocks | | | | | | |
(Cost $7,550) | | | | 9,997 | |
Security Description | | Principal | | Value | |
| | | | | |
MONEY MARKET FUND - 4.2% | | | | | |
JP Morgan U.S. Government Money Market Institutional Shares, 5.16%(10) | | $3,923,652 | | $3,923,652 | |
| | | | | |
TOTAL INVESTMENTS - 101.2% | | | | | |
(Cost $95,685,056) | | | | 94,792,508 | |
Liabilities in Excess of Other Assets - (1.2)% | | | | (1,100,365 | ) |
Net Assets - 100.0% | | | | $93,692,143 | |
*Non-income producing security.
(1)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At April 30, 2024, the aggregate value of these securities was $42,108,738, or 44.9% of net assets.
(2)Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2024.
(3)Perpetual security with no stated maturity date.
(4)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(5)Represents step coupon bond. Rate shown reflects the rate in effect as of April 30, 2024.
(6)Security in default, no interest payments are being received during the bankruptcy proceedings.
(7)Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions.
(8)The loan will settle after April 30, 2024. The interest rate, based on the SOFR and the agreed upon spread on trade date, will be determined at the time of settlement.
(9)Amount rounds to less than 0.05%.
(10)The rate shown reflects the seven-day yield as of April 30, 2024.
Abbreviations:
CMT — Constant Maturity Treasury Index
LIBOR — London InterBank Offered Rate
NTNF — National Treasury Note Fixed
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
Currency Abbreviations
BRL — Brazilian Real
USD — United States Dollar
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Corporate Bonds | | $— | | $31,022,383 | | $23,529 | | $31,045,912 |
Foreign Bonds | | — | | 18,497,422 | | — | | 18,497,422 |
Mortgage Backed Securities | | — | | 12,589,289 | | — | | 12,589,289 |
Term Loans | | — | | 12,360,498 | | 371 | | 12,360,869 |
U.S. Government Securities | | — | | 8,906,571 | | — | | 8,906,571 |
Asset Backed Securities | | — | | 6,360,342 | | — | | 6,360,342 |
Residential Mortgage Backed Securities | | — | | 795,466 | | — | | 795,466 |
Commercial Mortgage Backed Security | | — | | 302,988 | | — | | 302,988 |
Common Stocks | | — | | — | | 9,997 | | 9,997 |
Money Market Fund | | 3,923,652 | | — | | — | | 3,923,652 |
Total | | $3,923,652 | | $90,834,959 | | $33,897 | | $94,792,508 |
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended April 30, 2024.
The accompanying notes are an integral part of these financial statements.
27
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS - 61.0% | | | | | |
| | | | | |
Financials - 61.0% | | | | | |
Ares Capital Corp.(1) | | 36,586 | | $754,037 | |
Bain Capital Specialty Finance, Inc. | | 50,305 | | 836,572 | |
Barings BDC, Inc. | | 91,414 | | 848,322 | |
BlackRock TCP Capital Corp. | | 169,156 | | 1,705,093 | |
Blackstone Secured Lending Fund(1) | | 18,170 | | 575,807 | |
Capital Southwest Corp. | | 30,797 | | 795,179 | |
Carlyle Secured Lending, Inc. | | 48,334 | | 829,895 | |
CION Investment Corp. | | 61,988 | | 708,523 | |
Crescent Capital BDC, Inc. | | 50,730 | | 879,151 | |
Fidus Investment Corp. | | 37,808 | | 769,771 | |
FS KKR Capital Corp. | | 50,926 | | 973,705 | |
Gladstone Capital Corp.(1) | | 34,168 | | 731,879 | |
Gladstone Investment Corp.(1) | | 48,992 | | 700,586 | |
Goldman Sachs BDC, Inc. | | 62,672 | | 973,923 | |
Golub Capital BDC, Inc. | | 40,630 | | 705,743 | |
Hercules Capital, Inc.(1) | | 33,794 | | 646,141 | |
Horizon Technology Finance Corp.(1) | | 58,484 | | 669,642 | |
Main Street Capital Corp.(1) | | 11,904 | | 590,438 | |
MidCap Financial Investment Corp. | | 55,464 | | 843,053 | |
Monroe Capital Corp. | | 60,409 | | 442,194 | |
New Mountain Finance Corp. | | 64,906 | | 815,868 | |
Oaktree Specialty Lending Corp.(1) | | 41,918 | | 803,149 | |
OFS Capital Corp. | | 38,590 | | 374,323 | |
Oxford Square Capital Corp.(1) | | 143,046 | | 460,608 | |
PennantPark Floating Rate Capital Ltd. | | 75,355 | | 856,786 | |
PennantPark Investment Corp. | | 121,310 | | 863,727 | |
Portman Ridge Finance Corp. | | 23,829 | | 467,525 | |
Prospect Capital Corp.(1) | | 172,428 | | 898,350 | |
Runway Growth Finance Corp.(1) | | 53,759 | | 680,051 | |
Saratoga Investment Corp.(1) | | 33,939 | | 800,960 | |
Sixth Street Specialty Lending, Inc. | | 29,681 | | 643,781 | |
SLR Investment Corp. | | 59,969 | | 921,124 | |
Stellus Capital Investment Corp.(1) | | 65,952 | | 927,285 | |
TriplePoint Venture Growth BDC Corp. | | 100,867 | | 947,141 | |
WhiteHorse Finance, Inc. | | 73,711 | | 949,398 | |
Total Financials | | | | 27,389,730 | |
| | | | | |
Total Common Stocks | | | | | |
(Cost $28,135,102) | | | | 27,389,730 | |
Security Description | | Shares | | Value | |
| | | | | |
CLOSED-END FUNDS(2) - 37.2% | | | | | |
Ares Dynamic Credit Allocation Fund, Inc. | | 55,074 | | $768,282 | |
BlackRock 2037 Municipal Target Term Trust(1) | | 6,182 | | 148,739 | |
BlackRock Debt Strategies Fund, Inc. | | 57,990 | | 619,333 | |
BlackRock Floating Rate Income Strategies | | 50,732 | | 659,516 | |
BlackRock Floating Rate Income Trust | | 49,311 | | 632,167 | |
BlackRock Income Trust, Inc. | | 66,821 | | 751,068 | |
BlackRock Innovation and Growth Term Trust | | 112,066 | | 795,669 | |
BlackRock Limited Duration Income Trust | | 49,780 | | 665,559 | |
Blackstone Senior Floating Rate Term Fund | | 44,834 | | 632,428 | |
Blackstone Strategic Credit Term Fund | | 57,747 | | 680,260 | |
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc. | | 63,795 | | 542,895 | |
Eaton Vance Floating-Rate Income Trust(1) | | 49,324 | | 659,955 | |
Eaton Vance Senior Floating-Rate Trust | | 51,839 | | 678,054 | |
Eaton Vance Senior Income Trust(1) | | 100,712 | | 639,521 | |
First Trust Senior Floating Rate Income Fund II | | 79,479 | | 821,018 | |
Invesco Dynamic Credit Opportunity Fund | | 2,389 | | $26,303 | |
Invesco Quality Municipal Income Trust | | 46,800 | | 436,644 | |
Invesco Senior Income Trust | | 198,903 | | 853,294 | |
KKR Income Opportunities Fund(1) | | 64,562 | | 859,320 | |
Nuveen Credit Strategies Income Fund | | 156,431 | | 863,499 | |
Nuveen Floating Rate Income Fund | | 92,726 | | 797,444 | |
Oxford Lane Capital Corp.(1) | | 283,537 | | 1,414,850 | |
Pioneer Floating Rate Fund, Inc. | | 76,921 | | 736,903 | |
XAI Octagon Floating Rate Alternative | | 145,036 | | 1,018,153 | |
| | | | | |
Total Closed-End Funds | | | | | |
(Cost $17,212,805) | | | | 16,700,874 | |
| | | | | |
SECURITIES LENDING COLLATERAL - 7.4% | | | | ||
Money Market Fund - 7.4% | | | | | |
Dreyfus Government Cash Management Fund, Institutional Shares, 5.19%(3)(4) | | | | | |
(Cost $3,317,319) | | 3,317,319 | | 3,317,319 | |
| | | | | |
TOTAL INVESTMENTS - 105.6% | | | | | |
(Cost $48,665,226) | | | | 47,407,923 | |
Liabilities in Excess of Other Assets - (5.6)% | | | | (2,525,948 | ) |
Net Assets - 100.0% | | | | $44,881,975 | |
(1)All or a portion of the security was on loan. The aggregate market value of securities on loan was $4,238,956; total market value of collateral held by the Fund was $4,391,279. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $1,073,960.
(2)Shares of each fund are publicly offered, and each prospectus and annual report are publicly available.
(3)Represents securities purchased with cash collateral received for securities on loan.
(4)The rate shown reflects the seven-day yield as of April 30, 2024.
Schedule of Investments — Virtus Private Credit Strategy ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
28
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $27,389,730 | | $— | | $— | | $27,389,730 |
Closed-End Funds | | 16,700,874 | | — | | — | | 16,700,874 |
Money Market Fund | | 3,317,319 | | — | | — | | 3,317,319 |
Total | | $47,407,923 | | $— | | $— | | $47,407,923 |
The accompanying notes are an integral part of these financial statements.
29
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS - 97.3% | | | | | |
| | | | | |
Communication Services - 6.2% | | | | | |
Cogent Communications Holdings, Inc. | | 2,851 | | $182,977 | |
KT Corp. (South Korea)(1) | | 12,797 | | 161,754 | |
Mobile TeleSystems PJSC (Russia)(2) | | 387,202 | | 4 | |
Orange SA (France)(1) | | 15,445 | | 171,285 | |
Spok Holdings, Inc. | | 10,683 | | 165,052 | |
TELUS Corp. (Canada) | | 10,735 | | 172,512 | |
TIM SA/Brazil (Brazil)(1) | | 9,785 | | 166,639 | |
Total Communication Services | | | | 1,020,223 | |
Consumer Staples - 1.1% | | | | | |
Fresh Del Monte Produce, Inc. | | 7,132 | | 182,365 | |
Energy - 34.3% | | | | | |
Alliance Resource Partners LP(3) | | 8,976 | | 201,332 | |
APA Corp. | | 5,302 | | 166,695 | |
Berry Corp. | | 22,911 | | 194,514 | |
Black Stone Minerals LP(3) | | 11,404 | | 181,894 | |
Canadian Natural Resources Ltd. (Canada) | | 2,428 | | 184,091 | |
ConocoPhillips | | 1,470 | | 184,661 | |
Coterra Energy, Inc. | | 6,604 | | 180,685 | |
Crescent Point Energy Corp. (Canada) | | 22,679 | | 199,802 | |
Devon Energy Corp. | | 3,686 | | 188,649 | |
Diamondback Energy, Inc. | | 929 | | 186,850 | |
Dorchester Minerals LP | | 5,340 | | 172,322 | |
Ecopetrol SA (Colombia)(1)(3) | | 16,258 | | 188,755 | |
EOG Resources, Inc. | | 1,425 | | 188,285 | |
Equinor ASA (Norway)(1) | | 6,680 | | 177,621 | |
Geopark Ltd. (Colombia) | | 18,859 | | 175,766 | |
Hess Midstream LP Class A | | 5,071 | | 172,921 | |
Imperial Oil Ltd. (Canada) | | 2,665 | | 183,752 | |
Kimbell Royalty Partners LP(3) | | 11,433 | | 181,099 | |
Natural Resource Partners LP | | 2,003 | | 180,270 | |
New Fortress Energy, Inc.(3) | | 5,828 | | 152,694 | |
Ovintiv, Inc. | | 3,481 | | 178,645 | |
Patterson-UTI Energy, Inc. | | 15,274 | | 165,265 | |
Petroleo Brasileiro SA (Brazil)(1) | | 12,000 | | 203,640 | |
Pioneer Natural Resources Co. | | 705 | | 189,871 | |
Plains All American Pipeline LP | | 10,368 | | 178,641 | |
Plains GP Holdings LP Class A* | | 10,003 | | 182,155 | |
Sabine Royalty Trust | | 2,867 | | 176,406 | |
Sitio Royalties Corp. Class A(3) | | 7,313 | | 169,954 | |
Tenaris SA(1) | | 4,568 | | 150,698 | |
Viper Energy, Inc. | | 4,807 | | 183,435 | |
Western Midstream Partners LP | | 5,134 | | 175,069 | |
Total Energy | | | | 5,596,437 | |
Materials - 8.6% | | | | | |
B2Gold Corp. (Canada) | | 69,713 | | 177,768 | |
Cia Siderurgica Nacional SA (Brazil)(1) | | 54,958 | | 147,837 | |
Gerdau SA (Brazil)(1) | | 49,310 | | 171,599 | |
Gold Fields Ltd. (South Africa)(1) | | 11,834 | | 191,356 | |
ICL Group Ltd. (Israel) | | 33,997 | | 157,746 |
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
Materials (continued) | | | | | |
Sibanye Stillwater Ltd. (South Africa)(1) | | 39,463 | | $183,503 | |
Southern Copper Corp. (Mexico)(3) | | 1,735 | | 202,423 | |
Vale SA (Brazil)(1) | | 14,472 | | 176,124 | |
Total Materials | | | | 1,408,356 | |
| | | | | |
Real Estate - 31.2% | | | | | |
Agree Realty Corp. | | 3,178 | | 181,845 | |
American Assets Trust, Inc. | | 8,329 | | 177,824 | |
American Tower Corp. | | 921 | | 158,007 | |
Apple Hospitality REIT, Inc. | | 10,845 | | 160,072 | |
Brixmor Property Group, Inc. | | 7,861 | | 173,728 | |
Broadstone Net Lease, Inc. | | 11,857 | | 172,638 | |
Camden Property Trust | | 1,821 | | 181,517 | |
Crown Castle, Inc. | | 1,714 | | 160,739 | |
CubeSmart | | 4,126 | | 166,856 | |
EastGroup Properties, Inc. | | 998 | | 155,049 | |
EPR Properties | | 4,299 | | 174,496 | |
Essential Properties Realty Trust, Inc. | | 7,020 | | 184,907 | |
Extra Space Storage, Inc. | | 1,275 | | 171,207 | |
First Industrial Realty Trust, Inc. | | 3,445 | | 156,472 | |
Host Hotels & Resorts, Inc. | | 8,622 | | 162,697 | |
Innovative Industrial Properties, Inc. | | 1,802 | | 186,327 | |
InvenTrust Properties Corp. | | 7,164 | | 181,536 | |
Invitation Homes, Inc. | | 5,142 | | 175,856 | |
Kimco Realty Corp. | | 9,216 | | 171,694 | |
Mid-America Apartment Communities, Inc. | | 1,365 | | 177,450 | |
National Storage Affiliates Trust | | 4,815 | | 168,718 | |
Outfront Media, Inc. | | 11,094 | | 175,951 | |
Public Storage | | 635 | | 164,751 | |
Regency Centers Corp. | | 2,973 | | 176,061 | |
Retail Opportunity Investments Corp. | | 14,041 | | 172,283 | |
Rexford Industrial Realty, Inc.(3) | | 3,535 | | 151,333 | |
Ryman Hospitality Properties, Inc. | | 1,537 | | 162,123 | |
SITE Centers Corp. | | 12,635 | | 170,446 | |
Tanger, Inc. | | 6,221 | | 176,365 | |
Terreno Realty Corp. | | 2,814 | | 152,941 | |
Total Real Estate | | | | 5,101,889 | |
Utilities - 15.9% | | | | | |
Alliant Energy Corp. | | 3,671 | | 182,816 | |
American Electric Power Co., Inc. | | 2,162 | | 185,997 | |
Avista Corp. | | 5,315 | | 191,234 | |
Cia Energetica de Minas Gerais (Brazil)(1) | | 76,239 | | 182,974 | |
Clearway Energy, Inc. Class C | | 8,451 | | 197,584 | |
CMS Energy Corp. | | 3,061 | | 185,527 | |
Enel Chile SA (Chile)(1) | | 60,939 | | 179,770 | |
Eversource Energy | | 3,026 | | 183,436 | |
New Jersey Resources Corp. | | 4,266 | | 186,382 | |
NextEra Energy Partners LP(3) | | 6,611 | | 187,488 | |
NiSource, Inc. | | 6,670 | | 185,826 | |
ONE Gas, Inc. | | 2,848 | | 183,753 | |
Schedule of Investments — Virtus Real Asset Income ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
30
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
Utilities (continued) | | | | | |
PNM Resources, Inc. | | 4,833 | | $179,111 | |
WEC Energy Group, Inc. | | 2,224 | | 183,791 | |
Total Utilities | | | | 2,595,689 | |
Total Common Stocks | | | | | |
(Cost $18,472,203) | | | | 15,904,959 | |
| | | | | |
SECURITIES LENDING COLLATERAL - 2.5% | | | | ||
Money Market Fund - 2.5% | | | | | |
Dreyfus Government Cash Management Fund, Institutional Shares, 5.19%(4)(5) | | | | | |
(Cost $399,917) | | 399,917 | | 399,917 | |
| | | | | |
| | | | |
Security Description | | Shares | | Value | |
TOTAL INVESTMENTS - 99.8% | | | | | |
(Cost $18,872,120) | | | | $16,304,876 | |
Other Assets in Excess of Liabilities - 0.2% | | | | 36,757 | |
Net Assets - 100.0% | | | | $16,341,633 | |
*Non-income producing security.
(1)American Depositary Receipts.
(2)Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(3)All or a portion of the security was on loan. The aggregate market value of securities on loan was $1,096,058; total market value of collateral held by the Fund was $1,148,933. Market value of the collateral held includes non-cash U.S. Treasury securities having a value of $749,016.
(4)Represents securities purchased with cash collateral received for securities on loan.
(5)The rate shown reflects the seven-day yield as of April 30, 2024.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $15,904,955 | | $— | | $4 | | $15,904,959 |
Money Market Fund | | 399,917 | | — | | — | | 399,917 |
Total | | $16,304,872 | | $— | | $4 | | $16,304,876 |
The value of level 3 security represents valuations of Russian Common Stock for which Management has determined include significant unobservable inputs as of April 30, 2024.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended April 30, 2024.
The accompanying notes are an integral part of these financial statements.
31
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS - 95.6% | | | | | |
| | | | | |
Australia - 6.8% | | | | | |
Ampol Ltd. | | 824 | | $19,649 | |
Aurizon Holdings Ltd. | | 3,661 | | 9,083 | |
BHP Group Ltd. | | 6,645 | | 185,228 | |
Computershare Ltd. | | 2,417 | | 42,635 | |
Dexus | | 2,784 | | 12,841 | |
Fortescue Ltd. | | 3,697 | | 62,387 | |
GPT Group (The) | | 3,270 | | 8,939 | |
Rio Tinto PLC | | 3,083 | | 210,801 | |
Transurban Group | | 1,051 | | 8,538 | |
Woodside Energy Group Ltd. | | 4,059 | | 74,228 | |
Total Australia | | | | 634,329 | |
Austria - 1.2% | | | | | |
OMV AG | | 2,356 | | 112,340 | |
Belgium - 0.1% | | | | | |
Ageas SA/NV | | 258 | | 11,878 | |
Brazil - 0.4% | | | | | |
Yara International ASA | | 1,185 | | 33,869 | |
Canada - 10.9% | | | | | |
Bank of Montreal | | 602 | | 53,774 | |
Bank of Nova Scotia (The) | | 2,221 | | 101,898 | |
BCE, Inc. | | 2,547 | | 83,682 | |
Canadian Imperial Bank of Commerce | | 1,584 | | 73,939 | |
Emera, Inc. | | 2,529 | | 85,295 | |
Enbridge, Inc. | | 2,676 | | 95,151 | |
IGM Financial, Inc. | | 356 | | 8,898 | |
Keyera Corp. | | 3,559 | | 91,312 | |
Manulife Financial Corp. | | 5,724 | | 133,511 | |
Royal Bank of Canada | | 120 | | 11,610 | |
TC Energy Corp. | | 2,482 | | 88,920 | |
TELUS Corp. | | 6,774 | | 108,795 | |
Toronto-Dominion Bank (The) | | 1,444 | | 85,666 | |
Total Canada | | | | 1,022,451 | |
China - 2.4% | | | | | |
BOC Hong Kong Holdings Ltd. | | 32,088 | | 99,061 | |
SITC International Holdings Co., Ltd. | | 56,259 | | 122,548 | |
Total China | | | | 221,609 | |
Denmark - 1.0% | | | | | |
Tryg A/S | | 4,499 | | 89,157 | |
Finland - 1.1% | | | | | |
Kesko OYJ Class B | | 5,077 | | 86,853 | |
Kone OYJ Class B | | 183 | | 8,945 | |
UPM-Kymmene OYJ | | 278 | | 9,767 | |
Total Finland | | | | 105,565 | |
France - 8.7% | | | | | |
AXA SA | | 3,505 | | 121,343 | |
Bouygues SA | | 3,194 | | 117,973 | |
Engie SA* | | 5,534 | | 96,089 |
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
France (continued) | | | | | |
Gecina SA | | 250 | | $25,613 | |
Orange SA | | 9,866 | | 109,765 | |
TotalEnergies SE | | 3,328 | | 243,607 | |
Vinci SA | | 819 | | 96,363 | |
Total France | | | | 810,753 | |
Germany - 4.3% | | | | | |
Allianz SE | | 842 | | 239,563 | |
BASF SE | | 1,599 | | 83,881 | |
Deutsche Post AG | | 1,533 | | 64,230 | |
Siemens AG | | 68 | | 12,765 | |
Total Germany | | | | 400,439 | |
Hong Kong - 2.4% | | | | | |
HKT Trust & HKT Ltd. | | 79,878 | | 88,428 | |
MTR Corp. Ltd. | | 13,154 | | 43,467 | |
Power Assets Holdings Ltd. | | 16,631 | | 95,776 | |
Total Hong Kong | | | | 227,671 | |
Israel - 0.2% | | | | | |
Bank Leumi Le-Israel BM | | 2,779 | | 21,762 | |
Italy - 4.4% | | | | | |
Assicurazioni Generali SpA | | 4,940 | | 120,728 | |
Enel SpA | | 14,351 | | 94,665 | |
Eni SpA | | 2,536 | | 40,964 | |
Intesa Sanpaolo SpA | | 33,940 | | 127,715 | |
Snam SpA | | 5,802 | | 26,638 | |
Total Italy | | | | 410,710 | |
Japan - 17.5% | | | | | |
Brother Industries Ltd. | | 1,678 | | 29,812 | |
Canon, Inc. | | 4,220 | | 114,520 | |
Daito Trust Construction Co., Ltd. | | 832 | | 89,232 | |
Daiwa House Industry Co., Ltd. | | 328 | | 9,234 | |
Hirose Electric Co. Ltd. | | 182 | | 19,358 | |
Honda Motor Co., Ltd. | | 9,340 | | 107,308 | |
Isuzu Motors Ltd. | | 6,442 | | 81,671 | |
Japan Tobacco, Inc. | | 6,944 | | 186,902 | |
Komatsu Ltd. | | 2,748 | | 82,850 | |
Kyocera Corp. | | 4,571 | | 56,009 | |
Murata Manufacturing Co. Ltd. | | 716 | | 13,181 | |
Obic Co., Ltd. | | 189 | | 24,399 | |
Otsuka Corp. | | 758 | | 15,130 | |
SBI Holdings, Inc. | | 3,629 | | 88,634 | |
SCSK Corp. | | 5,256 | | 95,829 | |
Seiko Epson Corp. | | 1,406 | | 23,214 | |
Sekisui House Ltd. | | 6,246 | | 143,601 | |
SoftBank Corp. | | 10,089 | | 122,246 | |
Sumitomo Corp. | | 1,696 | | 44,681 | |
Takeda Pharmaceutical Co., Ltd. | | 2,659 | | 70,018 | |
Tokio Marine Holdings, Inc. | | 3,199 | | 101,235 | |
Toyota Motor Corp. | | 3,214 | | 74,137 | |
Schedule of Investments — Virtus WMC International Dividend ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
32
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
| | | | | |
Japan (continued) | | | | | |
USS Co., Ltd. | | 5,934 | | $45,376 | |
Total Japan | | | | 1,638,577 | |
Netherlands - 0.4% | | | | | |
ASR Nederland NV | | 226 | | 11,329 | |
Koninklijke Ahold Delhaize NV | | 841 | | 25,525 | |
Total Netherlands | | | | 36,854 | |
New Zealand - 0.3% | | | | | |
Spark New Zealand Ltd. | | 10,792 | | 30,333 | |
Norway - 2.7% | | | | | |
Aker BP ASA | | 4,053 | | 99,241 | |
Equinor ASA | | 2,533 | | 68,167 | |
Telenor ASA | | 7,208 | | 82,991 | |
Total Norway | | | | 250,399 | |
Singapore - 5.0% | | | | | |
CapitaLand Integrated Commercial Trust | | 6,695 | | 9,613 | |
DBS Group Holdings Ltd. | | 3,922 | | 100,273 | |
Mapletree Pan Asia Commercial Trust | | 36,513 | | 33,703 | |
Oversea-Chinese Banking Corp. Ltd. | | 20,460 | | 213,586 | |
Singapore Technologies Engineering Ltd. | | 31,130 | | 91,904 | |
United Overseas Bank Ltd. | | 819 | | 18,239 | |
Total Singapore | | | | 467,318 | |
Spain - 4.4% | | | | | |
ACS Actividades de Construccion y Servicios SA | | 2,517 | | 100,945 | |
Aena SME SA(1) | | 166 | | 30,400 | |
Banco Bilbao Vizcaya Argentaria SA | | 6,048 | | 65,674 | |
CaixaBank SA | | 21,755 | | 114,970 | |
Enagas SA | | 5,969 | | 87,653 | |
Iberdrola SA | | 807 | | 9,913 | |
Total Spain | | | | 409,555 | |
Sweden - 1.1% | | | | | |
Tele2 AB Class B | | 10,615 | | 99,307 | |
Switzerland - 4.5% | | | | | |
Adecco Group AG | | 2,349 | | 82,384 | |
Kuehne + Nagel International AG | | 30 | | 7,953 | |
Novartis AG | | 2,714 | | 262,912 | |
SGS SA | | 658 | | 58,023 | |
Swatch Group AG (The) | | 311 | | 12,924 | |
Total Switzerland | | | | 424,196 |
Security Description | | Shares | | Value | |
| | | | | |
COMMON STOCKS (continued) | | | | | |
United Kingdom - 9.8% | | | | | |
abrdn PLC | | 9,622 | | $17,614 | |
British American Tobacco PLC | | 5,298 | | 155,638 | |
HSBC Holdings PLC | | 3,993 | | 34,707 | |
Imperial Brands PLC | | 7,025 | | 160,507 | |
Legal & General Group PLC | | 32,943 | | 97,147 | |
M&G PLC | | 9,798 | | 24,621 | |
National Grid PLC | | 9,770 | | 127,941 | |
Phoenix Group Holdings PLC | | 15,384 | | 94,154 | |
St James’s Place PLC | | 2,808 | | 15,284 | |
Unilever PLC | | 2,773 | | 143,451 | |
Vodafone Group PLC | | 49,152 | | 41,555 | |
Total United Kingdom | | | | 912,619 | |
United States - 6.0% | | | | | |
Roche Holding AG | | 293 | | 70,314 | |
Sanofi SA | | 2,148 | | 213,372 | |
Shell PLC | | 719 | | 25,722 | |
Stellantis NV | | 5,821 | | 129,710 | |
Swiss Re AG | | 1,146 | | 124,442 | |
Total United States | | | | 563,560 | |
Total Common Stocks | | | | | |
(Cost $8,320,528) | | | | 8,935,251 | |
PREFERRED STOCKS - 1.8% | | | | | |
Germany - 1.8% | | | | | |
Bayerische Motoren Werke AG, 8.82% | | 1,260 | | 129,761 | |
Volkswagen AG, 7.66% | | 267 | | 32,811 | |
Total Germany | | | | 162,572 | |
Total Preferred Stocks | | | | | |
(Cost $158,782) | | | | 162,572 | |
| | | | | |
TOTAL INVESTMENTS - 97.4% | | | | | |
(Cost $8,479,310) | | | | 9,097,823 | |
Other Assets in Excess of Liabilities - 2.6% | | | | 245,029 | |
Net Assets - 100.0% | | | | $9,342,852 | |
*Non-income producing security.
(1)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At April 30, 2024, the aggregate value of these securities was $30,400, or 0.3% of net assets.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $8,935,251 | | $— | | $— | | $8,935,251 |
Preferred Stocks | | 162,572 | | — | | — | | 162,572 |
Total | | $9,097,823 | | $— | | $— | | $9,097,823 |
The accompanying notes are an integral part of these financial statements.
33
| | InfraCap REIT | | Virtus InfraCap | | Virtus LifeSci | | Virtus LifeSci | ||||||||
Assets: | | | | | | | | | | | | | | | | |
Investments, at cost | | | $83,409,710 | | | | $1,201,364,000 | | | | $13,253,624 | | | | $19,939,513 | |
Investments, at value (including securities on loan)(a) | | | 76,425,630 | | | | 1,185,207,007 | | | | 11,142,062 | | | | 18,668,060 | |
Cash | | | 596,698 | | | | 1,353,904 | | | | 231,209 | | | | 143,424 | |
Receivables: | | | | | | | | | | | | | | | | |
Investment securities sold | | | 3,539,977 | | | | 9,254,624 | | | | — | | | | — | |
Dividends and interest | | | 109,417 | | | | 1,175,606 | | | | 447 | | | | 303 | |
Capital shares sold | | | — | | | | 3,073,561 | | | | — | | | | — | |
Securities lending | | | — | | | | — | | | | 5,166 | | | | 572 | |
Tax reclaim | | | — | | | | 107,635 | | | | 3,637 | | | | 284 | |
Prepaid expenses | | | 287 | | | | 287 | | | | 287 | | | | 287 | |
Total Assets | | | 80,672,009 | | | | 1,200,172,624 | | | | 11,382,808 | | | | 18,812,930 | |
Liabilities: | | | | | | | | | | | | | | | | |
Bank borrowings | | | — | | | | 266,012,406 | | | | — | | | | — | |
Payables: | | | | | | | | | | | | | | | | |
Investment securities purchased | | | — | | | | 6,199,666 | | | | — | | | | — | |
Collateral for securities on loan | | | — | | | | — | | | | 953,505 | | | | 288,993 | |
Capital shares payable | | | 3,584,065 | | | | — | | | | — | | | | — | |
Interest expense | | | — | | | | 1,470,662 | | | | — | | | | — | |
Advisory fees | | | 30,465 | | | | 602,084 | | | | 6,850 | | | | 12,051 | |
Total Liabilities | | | 3,614,530 | | | | 274,284,818 | | | | 960,355 | | | | 301,044 | |
Net Assets | | | $77,057,479 | | | | $925,887,806 | | | | $10,422,453 | | | | $18,511,886 | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in capital | | | $97,239,882 | | | | $976,978,514 | | | | $71,827,935 | | | | $36,128,070 | |
Total distributable earnings (accumulated deficit) | | | (20,182,403 | ) | | | (51,090,708 | ) | | | (61,405,482 | ) | | | (17,616,184 | ) |
Net Assets | | | $77,057,479 | | | | $925,887,806 | | | | $10,422,453 | | | | $18,511,886 | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | 4,300,004 | | | | 45,300,004 | | | | 400,004 | | | | 350,004 | |
Net asset value per share | | | $17.92 | | | | $20.44 | | | | $26.06 | | | | $52.89 | |
(a)Market value of securities on loan | | | $— | | | | $— | | | | $1,699,800 | | | | $1,265,688 | |
Statements of Assets and Liabilities (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
34
| | Virtus Newfleet | | Virtus Private | | Virtus Real Asset | | Virtus WMC | ||||||||
Assets: | | | | | | | | | | | | | | | | |
Investments, at cost | | | $95,685,056 | | | | $48,665,226 | | | | $18,872,120 | | | | $8,479,310 | |
Investments, at value (including securities on loan)(a) | | | 94,792,508 | | | | 47,407,923 | | | | 16,304,876 | | | | 9,097,823 | |
Cash | | | 52,334 | | | | 739,565 | | | | 373,309 | | | | 131,221 | |
Foreign currency(b) | | | — | | | | — | | | | — | | | | 7,817 | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends and interest | | | 942,772 | | | | 64,152 | | | | 55,176 | | | | 65,582 | |
Investment securities sold | | | 296,136 | | | | — | | | | 11,959 | | | | 38 | |
Due from Adviser | | | 40,546 | | | | — | | | | — | | | | — | |
Securities lending | | | — | | | | 11,436 | | | | 656 | | | | — | |
Tax reclaim | | | — | | | | — | | | | 2,789 | | | | 43,804 | |
Prepaid expenses | | | 14,014 | | | | 230 | | | | 230 | | | | 287 | |
Total Assets | | | 96,138,310 | | | | 48,223,306 | | | | 16,748,995 | | | | 9,346,572 | |
Liabilities: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Investment securities purchased | | | 2,290,023 | | | | — | | | | — | | | | — | |
Collateral for securities on loan | | | — | | | | 3,317,319 | | | | 399,917 | | | | — | |
Insurance fees | | | 2,650 | | | | — | | | | — | | | | — | |
Advisory fees | | | 59,874 | | | | 24,012 | | | | 7,445 | | | | 3,720 | |
Transfer agent fees | | | 17,505 | | | | — | | | | — | | | | — | |
Accounting and administration fees | | | 23,750 | | | | — | | | | — | | | | — | |
Custody fees | | | 1,764 | | | | — | | | | — | | | | — | |
Professional fees | | | 31,142 | | | | — | | | | — | | | | — | |
Pricing fees | | | 5,078 | | | | — | | | | — | | | | — | |
Report to shareholder fees | | | 1,382 | | | | — | | | | — | | | | — | |
Trustee fees | | | 12,731 | | | | — | | | | — | | | | — | |
Other accrued expenses | | | 268 | | | | — | | | | — | | | | — | |
Total Liabilities | | | 2,446,167 | | | | 3,341,331 | | | | 407,362 | | | | 3,720 | |
Net Assets | | | $93,692,143 | | | | $44,881,975 | | | | $16,341,633 | | | | $9,342,852 | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in capital | | | $99,960,649 | | | | $56,357,048 | | | | $64,504,820 | | | | $8,972,705 | |
Total distributable earnings (accumulated deficit) | | | (6,268,506 | ) | | | (11,475,073 | ) | | | (48,163,187 | ) | | | 370,147 | |
Net Assets | | | $93,692,143 | | | | $44,881,975 | | | | $16,341,633 | | | | $9,342,852 | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | 4,250,004 | | | | 2,000,004 | | | | 700,004 | | | | 350,004 | |
Net asset value per share | | | $22.05 | | | | $22.44 | | | | $23.35 | | | | $26.69 | |
(a)Market value of securities on loan | | | $— | | | | $4,238,956 | | | | $1,096,058 | | | | $— | |
(b)Foreign currency, at cost | | | $— | | | | $— | | | | $— | | | | $7,827 | |
The accompanying notes are an integral part of these financial statements.
35
| | InfraCap REIT | | Virtus InfraCap | | Virtus LifeSci | | Virtus LifeSci | ||||||||
Investment Income: | | | | | | | | | | | | | | | | |
Dividend income (net of foreign withholding taxes) | | | $2,059,650 | | | | $31,804,374 | | | | $— | | | | $12,347 | |
Interest income | | | 6,450 | | | | 32,609 | | | | 2,704 | | | | 1,725 | |
Securities lending, net of fees | | | — | | | | — | | | | 30,492 | | | | 16,669 | |
Total Investment Income | | | 2,066,100 | | | | 31,836,983 | | | | 33,196 | | | | 30,741 | |
Expenses: | | | | | | | | | | | | | | | | |
Advisory fees | | | 162,059 | | | | 3,174,451 | | | | 41,130 | | | | 69,068 | |
Interest expenses | | | — | | | | 6,901,054 | | | | — | | | | — | |
Total Expenses | | | 162,059 | | | | 10,075,505 | | | | 41,130 | | | | 69,068 | |
Net Investment Income (Loss) | | | 1,904,041 | | | | 21,761,478 | | | | (7,934 | ) | | | (38,327 | ) |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments | | | (54,445 | ) | | | (1,398,311 | ) | | | (1,977,797 | ) | | | 67,868 | |
In-kind redemptions | | | 382,892 | | | | — | | | | 310,125 | | | | — | |
Total Net Realized Gain (Loss) | | | 328,447 | | | | (1,398,311 | ) | | | (1,667,672 | ) | | | 67,868 | |
Change in Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 5,276,015 | | | | 89,245,760 | | | | 5,329,885 | | | | 1,468,439 | |
Total Change in Net Unrealized Appreciation | | | 5,276,015 | | | | 89,245,760 | | | | 5,329,885 | | | | 1,468,439 | |
Net Realized and Change in Unrealized Gain | | | 5,604,462 | | | | 87,847,449 | | | | 3,662,213 | | | | 1,536,307 | |
Net Increase in Net Assets Resulting from Operations | | | $7,508,503 | | | | $109,608,927 | | | | $3,654,279 | | | | $1,497,980 | |
Foreign withholding taxes | | | $— | | | | $155,627 | | | | $— | | | | $— | |
Statements of Operations (continued)
For the Six Months Ended April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
36
| | Virtus Newfleet | | Virtus Private | | Virtus Real Asset | | Virtus WMC | ||||||||
Investment Income: | | | | | | | | | | | | | | | | |
Dividend income (net of foreign withholding taxes) | | | $— | | | | $1,743,243 | | | | $394,309 | | | | $225,408 | |
Interest income | | | 2,139,096 | | | | 7,955 | | | | 5,175 | | | | 816 | |
Securities lending, net of fees | | | — | | | | 59,453 | | | | 7,090 | | | | — | |
Total Investment Income | | | 2,139,096 | | | | 1,810,651 | | | | 406,574 | | | | 226,224 | |
Expenses: | | | | | | | | | | | | | | | | |
Advisory fees | | | 142,966 | | | | 118,315 | | | | 47,682 | | | | 22,589 | |
Professional fees | | | 24,703 | | | | — | | | | — | | | | — | |
Accounting and administration fees | | | 23,422 | | | | — | | | | — | | | | — | |
Pricing fees | | | 22,274 | | | | — | | | | — | | | | — | |
Transfer agent fees | | | 12,321 | | | | — | | | | — | | | | — | |
Trustee fees | | | 5,289 | | | | — | | | | — | | | | — | |
Exchange listing fees | | | 4,608 | | | | — | | | | — | | | | — | |
Report to shareholders fees | | | 3,675 | | | | — | | | | — | | | | — | |
Custody fees | | | 2,424 | | | | — | | | | — | | | | — | |
Insurance fees | | | 1,026 | | | | — | | | | — | | | | — | |
Other expenses | | | 335 | | | | — | | | | — | | | | — | |
Total Expenses | | | 243,043 | | | | 118,315 | | | | 47,682 | | | | 22,589 | |
Less expense waivers/reimbursements | | | (87,370 | ) | | | — | | | | — | | | | — | |
Net Expenses | | | 155,673 | | | | 118,315 | | | | 47,682 | | | | 22,589 | |
Net Investment Income | | | 1,983,423 | | | | 1,692,336 | | | | 358,892 | | | | 203,635 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments | | | (100,694 | ) | | | (247,243 | ) | | | (1,457,313 | ) | | | 73,028 | |
In-kind redemptions | | | — | | | | (45,365 | ) | | | 212,251 | | | | — | |
Foreign currency transactions | | | (904 | ) | | | — | | | | (38 | ) | | | 87 | |
Total Net Realized Gain (Loss) | | | (101,598 | ) | | | (292,608 | ) | | | (1,245,100 | ) | | | 73,115 | |
Change in Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 1,542,034 | | | | 2,951,429 | | | | 2,804,480 | | | | 705,981 | |
Foreign currency translations | | | (111 | ) | | | — | | | | 4 | | | | (471 | ) |
Total Change in Net Unrealized Appreciation | | | 1,541,923 | | | | 2,951,429 | | | | 2,804,484 | | | | 705,510 | |
Net Realized and Change in Unrealized Gain | | | 1,440,325 | | | | 2,658,821 | | | | 1,559,384 | | | | 778,625 | |
Net Increase in Net Assets Resulting from Operations | | | $3,423,748 | | | | $4,351,157 | | | | $1,918,276 | | | | $982,260 | |
Foreign withholding taxes | | | $— | | | | $— | | | | $9,948 | | | | $31,249 | |
The accompanying notes are an integral part of these financial statements.
37
| | InfraCap REIT Preferred ETF | | Virtus InfraCap | |||||||||||
| | For the | | For the | | For the | | For the | |||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | |
Net investment income | | | $1,904,041 | | | | $3,929,411 | | | | $21,761,478 | | | $42,228,880 | |
Net realized gain (loss) | | | 328,447 | | | | (1,999,819 | ) | | | (1,398,311 | ) | | (20,326,346 | ) |
Net change in unrealized appreciation | | | 5,276,015 | | | | 2,474,881 | | | | 89,245,760 | | | 17,688,788 | |
Net increase in net assets resulting from operations | | | 7,508,503 | | | | 4,404,473 | | | | 109,608,927 | | | 39,591,322 | |
Distributions to Shareholders | | | (2,892,003 | ) | | | (3,748,137 | ) | | | (39,657,254 | ) | | (46,177,337 | ) |
Distributions to Shareholders from return of capital | | | — | | | | (1,285,869 | ) | | | — | | | (10,423,671 | ) |
Total distributions | | | (2,892,003 | ) | | | (5,034,006 | ) | | | (39,657,254 | ) | | (56,601,008 | ) |
Shareholder Transactions: | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 21,282,725 | | | | 8,236,173 | | | | 246,657,717 | | | 190,529,617 | |
Cost of shares redeemed | | | (5,405,901 | ) | | | (5,106,974 | ) | | | — | | | (20,377,242 | ) |
Net increase in net assets resulting from shareholder transactions | | | 15,876,824 | | | | 3,129,199 | | | | 246,657,717 | | | 170,152,375 | |
Increase in net assets | | | 20,493,324 | | | | 2,499,666 | | | | 316,609,390 | | | 153,142,689 | |
Net Assets: | | | | | | | | | | | | | | | |
Beginning of period/year | | | 56,564,155 | | | | 54,064,489 | | | | 609,278,416 | | | 456,135,727 | |
End of period/year | | | $77,057,479 | | | | $56,564,155 | | | | $925,887,806 | | | $609,278,416 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 3,450,004 | | | | 3,300,004 | | | | 33,250,004 | | | 24,500,004 | |
Shares sold | | | 1,150,000 | | | | 450,000 | | | | 12,050,000 | | | 9,750,000 | |
Shares redeemed | | | (300,000 | ) | | | (300,000 | ) | | | — | | | (1,000,000 | ) |
Shares outstanding, end of period/year | | | 4,300,004 | | | | 3,450,004 | | | | 45,300,004 | | | 33,250,004 | |
Statements of Changes in Net Assets (continued)
The accompanying notes are an integral part of these financial statements.
38
| | Virtus LifeSci Biotech | | Virtus LifeSci Biotech Products ETF | ||||||||||||
| | For the | | For the | | For the | | For the | ||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $(7,934 | ) | | | $29,011 | | | | $(38,327 | ) | | | $(110,020 | ) |
Net realized gain (loss) | | | (1,667,672 | ) | | | (4,026,783 | ) | | | 67,868 | | | | 1,686,918 | |
Net change in unrealized appreciation (depreciation) | | | 5,329,885 | | | | (63,857 | ) | | | 1,468,439 | | | | (1,260,331 | ) |
Net increase (decrease) in net assets resulting from operations | | | 3,654,279 | | | | (4,061,629 | ) | | | 1,497,980 | | | | 316,567 | |
Distributions to Shareholders | | | (37,035 | ) | | | — | | | | — | | | | — | |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | — | | | | 3,012,729 | | | | — | |
Cost of shares redeemed | | | (1,229,884 | ) | | | (6,019,212 | ) | | | — | | | | (2,664,613 | ) |
Net increase (decrease) in net assets resulting from shareholder transactions | | | (1,229,884 | ) | | | (6,019,212 | ) | | | 3,012,729 | | | | (2,664,613 | ) |
Increase (decrease) in net assets | | | 2,387,360 | | | | (10,080,841 | ) | | | 4,510,709 | | | | (2,348,046 | ) |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 8,035,093 | | | | 18,115,934 | | | | 14,001,177 | | | | 16,349,223 | |
End of period/year | | | $10,422,453 | | | | $8,035,093 | | | | $18,511,886 | | | | $14,001,177 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 450,004 | | | | 700,004 | | | | 300,004 | | | | 350,004 | |
Shares sold | | | — | | | | — | | | | 50,000 | | | | — | |
Shares redeemed | | | (50,000 | ) | | | (250,000 | ) | | | — | | | | (50,000 | ) |
Shares outstanding, end of period/year | | | 400,004 | | | | 450,004 | | | | 350,004 | | | | 300,004 | |
Statements of Changes in Net Assets (continued)
The accompanying notes are an integral part of these financial statements.
39
| | Virtus Newfleet Multi-Sector | | Virtus Private Credit Strategy ETF | ||||||||||||
| | For the | | For the | | For the | | For the | ||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | |
Net investment income | | | $1,983,423 | | | | $3,237,630 | | | | $1,692,336 | | | | $2,925,000 | |
Net realized loss | | | (101,598 | ) | | | (1,528,857 | ) | | | (292,608 | ) | | | (4,123,409 | ) |
Net change in unrealized appreciation | | | 1,541,923 | | | | 569,218 | | | | 2,951,429 | | | | 1,195,696 | |
Net increase (decrease) in net assets resulting from operations | | | 3,423,748 | | | | 2,277,991 | | | | 4,351,157 | | | | (2,713 | ) |
Distributions to Shareholders | | | (1,987,882 | ) | | | (3,089,988 | ) | | | (1,771,605 | ) | | | (2,724,501 | ) |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 47,917,317 | | | | 40,472,226 | | | | 18,948,432 | | | | 36,194,903 | |
Cost of shares redeemed | | | (3,279,674 | ) | | | (33,834,144 | ) | | | (3,240,000 | ) | | | (28,608,764 | ) |
Net increase in net assets resulting from shareholder transactions | | | 44,637,643 | | | | 6,638,082 | | | | 15,708,432 | | | | 7,586,139 | |
Increase in net assets | | | 46,073,509 | | | | 5,826,085 | | | | 18,287,984 | | | | 4,858,925 | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 47,618,634 | | | | 41,792,549 | | | | 26,593,991 | | | | 21,735,066 | |
End of period/year | | | $93,692,143 | | | | $47,618,634 | | | | $44,881,975 | | | | $26,593,991 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 2,250,004 | | | | 1,950,004 | | | | 1,300,004 | | | | 1,050,004 | |
Shares sold | | | 2,150,000 | | | | 1,850,000 | | | | 850,000 | | | | 1,650,000 | |
Shares redeemed | | | (150,000 | ) | | | (1,550,000 | ) | | | (150,000 | ) | | | (1,400,000 | ) |
Shares outstanding, end of period/year | | | 4,250,004 | | | | 2,250,004 | | | | 2,000,004 | | | | 1,300,004 | |
Statements of Changes in Net Assets (continued)
The accompanying notes are an integral part of these financial statements.
40
| | Virtus Real Asset Income ETF | | Virtus WMC International | ||||||||||||
| | For the | | For the | | For the | | For the | ||||||||
Increase (Decrease) in Net Assets Resulting from | | | | | | | | | | | | | | | | |
Net investment income | | | $358,892 | | | | $863,063 | | | | $203,635 | | | | $385,030 | |
Net realized gain (loss) | | | (1,245,100 | ) | | | (7,046,668 | ) | | | 73,115 | | | | (241,998 | ) |
Net change in unrealized appreciation | | | 2,804,484 | | | | 7,181,666 | | | | 705,510 | | | | 1,002,822 | |
Net increase in net assets resulting from operations | | | 1,918,276 | | | | 998,061 | | | | 982,260 | | | | 1,145,854 | |
Distributions to Shareholders | | | (551,003 | ) | | | (1,496,841 | ) | | | (182,485 | ) | | | (380,432 | ) |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,182,735 | | | | — | | | | — | | | | 1,270,370 | |
Cost of shares redeemed | | | (3,528,323 | ) | | | (27,601,677 | ) | | | — | | | | — | |
Net increase (decrease) in net assets resulting from | | | (2,345,588 | ) | | | (27,601,677 | ) | | | — | | | | 1,270,370 | |
Increase (decrease) in net assets | | | (978,315 | ) | | | (28,100,457 | ) | | | 799,775 | | | | 2,035,792 | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 17,319,948 | | | | 45,420,405 | | | | 8,543,077 | | | | 6,507,285 | |
End of period/year | | | $16,341,633 | | | | $17,319,948 | | | | $9,342,852 | | | | $8,543,077 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 800,004 | | | | 1,950,004 | | | | 350,004 | | | | 300,004 | |
Shares sold | | | 50,000 | | | | — | | | | — | | | | 50,000 | |
Shares redeemed | | | (150,000 | ) | | | (1,150,000) | ) | | | — | | | | — | |
Shares outstanding, end of period/year | | | 700,004 | | | | 800,004 | | | | 350,004 | | | | 350,004 | |
The accompanying notes are an integral part of these financial statements.
41
| | Virtus InfraCap U.S. Preferred Stock ETF | |
Cash Flows From Operating Activities: | | | |
Net increase (decrease) in net assets from operations | | $109,608,927 | |
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | | | |
Purchases of investment securities | | (238,099,382 | ) |
Proceeds from sales of investments | | 207,785,977 | |
Net realized (gain) loss on investments | | 1,398,311 | |
Net change in unrealized (appreciation) depreciation on investments | | (89,245,760 | ) |
(Increase) decrease in dividends and interest receivable | | (401,905 | ) |
(Increase) decrease in prepaid expenses | | (58 | ) |
(Increase) decrease in tax reclaim receivable | | (21,747 | ) |
Increase (decrease) in advisory fees payable | | 190,189 | |
Increase (decrease) in interest expense | | 550,428 | |
Net cash provided by (used in) operating activities | | (8,235,020 | ) |
| | | |
Cash Flows provided by (used in) Financing Activities: | | | |
Proceeds from borrowings | | 107,054,979 | |
Payments for fund shares sold in excess of in-kind creations | | (60,077,379 | ) |
Distributions paid | | (39,657,254 | ) |
Net cash provided by (used in) financing activities | | 7,320,346 | |
Net increase (decrease) in cash | | (914,674 | ) |
Cash, beginning of period | | 2,268,578 | |
Cash, end of period | | $1,353,904 | |
| | | |
Supplemental information: | | | |
Interest paid on borrowings | | $6,901,054 | |
| | | |
Non-cash financing activities: | | | |
In-kind creations — Issued | | $307,308,752 | |
In-kind creations — Redeemed | | — | |
The accompanying notes are an integral part of these financial statements.
42
| | InfraCap REIT Preferred ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning | | | $16.40 | | | | $16.38 | | | | $24.32 | | | | $21.71 | | | | $25.26 | | | | $23.65 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.48 | | | | 1.13 | | | | 0.68 | | | | 0.63 | | | | 1.05 | | | | 1.32 | |
Net realized and unrealized gain (loss) | | | 1.76 | | | | 0.33 | | | | (7.18 | ) | | | 3.42 | | | | (3.14 | ) | | | 1.83 | |
Total from investment operations | | | 2.24 | | | | 1.46 | | | | (6.50 | ) | | | 4.05 | | | | (2.09 | ) | | | 3.15 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.72 | ) | | | (1.07 | ) | | | (0.96 | ) | | | (1.44 | ) | | | (1.22 | ) | | | (1.30 | ) |
Return of capital | | | — | | | | (0.37 | ) | | | (0.48 | ) | | | — | | | | (0.24 | ) | | | (0.24 | ) |
Total distributions | | | (0.72 | ) | | | (1.44 | ) | | | (1.44 | ) | | | (1.44 | ) | | | (1.46 | ) | | | (1.54 | ) |
Net Asset Value, End of period | | | $17.92 | | | | $16.40 | | | | $16.38 | | | | $24.32 | | | | $21.71 | | | | $25.26 | |
Net Asset Value Total Return(2) | | | 13.70 | % | | | 8.84 | % | | | (27.70 | )% | | | 18.93 | % | | | (8.06 | )% | | | 13.78 | % |
Net assets, end of period | | | $77,057 | | | | $56,564 | | | | $54,064 | | | | $87,539 | | | | $52,104 | | | | $37,885 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | |||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.45 | %(3) | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | %(4) |
Net investment income | | | 5.29 | %(3) | | | 6.51 | % | | | 3.25 | % | | | 2.61 | % | | | 4.75 | % | | | 5.42 | % |
Portfolio turnover rate(5) | | | 7 | %(6) | | | 14 | % | | | 79 | % | | | 144 | % | | | 38 | % | | | 66 | % |
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
43
| | Virtus InfraCap U.S. Preferred Stock ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $18.32 | | | | $18.62 | | | | $25.16 | | | | $19.26 | | | | $26.43 | | | | $24.47 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.55 | | | | 1.48 | | | | 1.50 | | | | 1.18 | | | | 1.40 | | | | 1.44 | |
Net realized and unrealized gain (loss) | | | 2.57 | | | | 0.20 | (2) | | | (6.09 | ) | | | 6.62 | | | | (6.25 | ) | | | 2.80 | |
Total from investment operations | | | 3.12 | | | | 1.68 | | | | (4.59 | ) | | | 7.80 | | | | (4.85 | ) | | | 4.24 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (1.00 | ) | | | (1.62 | ) | | | (1.95 | ) | | | (1.59 | ) | | | (1.81 | ) | | | (2.28 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (0.26 | ) | | | (0.43 | ) | | | — | |
Return of capital | | | — | | | | (0.36 | ) | | | — | | | | (0.05 | ) | | | (0.08 | ) | | | — | |
Total distributions | | | (1.00 | ) | | | (1.98 | ) | | | (1.95 | ) | | | (1.90 | ) | | | (2.32 | ) | | | (2.28 | ) |
Net Asset Value, End | | | $20.44 | | | | $18.32 | | | | $18.62 | | | | $25.16 | | | | $19.26 | | | | $26.43 | |
Net Asset Value Total Return(3) | | | 17.17 | % | | | 9.15 | % | | | (19.28 | )% | | | 41.52 | % | | | (18.37 | )% | | | 18.37 | % |
Net assets, end of period (000’s omitted) | | | $925,888 | | | | $609,278 | | | | $456,136 | | | | $527,121 | | | | $146,397 | | | | $88,525 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | |||||||
Ratios to Average | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 2.54 | %(4),(5) | | | 2.52 | %(6) | | | 1.40 | %(7) | | | 1.21 | %(8) | | | 1.47 | %(9) | | | 2.00 | %(10),(11) |
Net investment income | | | 5.48 | %(4) | | | 7.71 | % | | | 6.64 | % | | | 4.93 | % | | | 6.93 | % | | | 5.66 | % |
Portfolio turnover rate(12) | | | 20 | %(13) | | | 26 | % | | | 22 | % | | | 35 | % | | | 96 | % | | | 150 | % |
(1)Based on average shares outstanding.
(2)The per share amount of realized and unrealized gain (loss) on investments does not accord with the amounts reported in the Statements of Changes in Net Assets due to the timing of creation of Fund shares in relation to fluctuating market values.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The ratios of expenses to average net assets include interest expense fees of 1.74%.
(6)The ratios of expenses to average net assets include interest expense fees of 1.72%.
(7)The ratios of expenses to average net assets include interest expense fees of 0.60%.
(8)The ratios of expenses to average net assets include interest expense fees of 0.41%.
(9)The ratios of expenses to average net assets include interest expense of 0.63% and dividend expense on securities sold short fees of 0.04%.
(10)The ratios of expenses to average net assets include interest expense of 0.75% and dividend expense on securities sold short fees of 0.45%.
(11)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(12)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(13)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
44
| | Virtus LifeSci Biotech Clinical Trials ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $17.86 | | | | $25.88 | | | | $44.36 | | | | $38.97 | | | | $26.42 | | | | $26.87 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(1) | | | (0.02 | ) | | | 0.05 | | | | (0.16 | ) | | | (0.26 | ) | | | (0.15 | ) | | | (0.13 | ) |
Net realized and unrealized | | | 8.30 | | | | (8.07 | ) | | | (18.32 | ) | | | 5.65 | | | | 12.70 | | | | (0.32 | ) |
Total from investment operations | | | 8.28 | | | | (8.02 | ) | | | (18.48 | ) | | | 5.39 | | | | 12.55 | | | | (0.45 | ) |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.08 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (0.08 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Asset Value, End of period | | | $26.06 | | | | $17.86 | | | | $25.88 | | | | $44.36 | | | | $38.97 | | | | $26.42 | |
Net Asset Value Total Return(2) | | | 46.47 | % | | | (31.01 | )% | | | (41.66 | )% | | | 13.85 | % | | | 47.50 | % | | | (1.67 | )% |
Net assets, end of period | | | $10,422 | | | | $8,035 | | | | $18,116 | | | | $35,490 | | | | $37,018 | | | | $23,775 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.79 | %(3) | | | 0.79 | % | | | 0.79 | % | | | 0.79 | % | | | 0.79 | % | | | 0.79 | %(4) |
Net investment income (loss) | | | (0.15) | %(3) | | | 0.22 | % | | | (0.56 | )% | | | (0.53 | )% | | | (0.41 | )% | | | (0.50 | )% |
Portfolio turnover rate(5) | | | 35 | %(6) | | | 66 | % | | | 61 | % | | | 76 | % | | | 81 | % | | | 67 | % |
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
45
| | Virtus LifeSci Biotech Products ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $46.67 | | | | $46.71 | | | | $51.83 | | | | $48.19 | | | | $37.86 | | | | $36.33 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss(1) | | | (0.12 | ) | | | (0.32 | ) | | | (0.26 | ) | | | (0.30 | ) | | | (0.19 | ) | | | (0.20 | ) |
Net realized and unrealized | | | 6.34 | | | | 0.28 | | | | (4.86 | ) | | | 3.94 | | | | 10.52 | | | | 1.73 | |
Total from investment operations | | | 6.22 | | | | (0.04 | ) | | | (5.12 | ) | | | 3.64 | | | | 10.33 | | | | 1.53 | |
Net Asset Value, End of period | | | $52.89 | | | | $46.67 | | | | $46.71 | | | | $51.83 | | | | $48.19 | | | | $37.86 | |
Net Asset Value Total Return(2) | | | 13.33 | % | | | 0.09 | % | | | (9.88 | )% | | | 7.56 | % | | | 27.27 | % | | | 4.22 | % |
Net assets, end of period | | | $18,512 | | | | $14,001 | | | | $16,349 | | | | $23,325 | | | | $26,505 | | | | $26,505 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | |||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.79 | %(3) | | | 0.79 | % | | | 0.79 | % | | | 0.79 | % | | | 0.79 | % | | | 0.79 | %(4) |
Net investment loss | | | (0.44) | %(3) | | | (0.63 | )% | | | (0.59 | )% | | | (0.57 | )% | | | (0.43 | )% | | | (0.51 | )% |
Portfolio turnover rate(5) | | | 18 | %(6) | | | 49 | % | | | 48 | % | | | 44 | % | | | 46 | % | | | 41 | % |
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
46
| | Virtus Newfleet Multi-Sector Bond ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $21.16 | | | | $21.43 | | | | $25.21 | | | | $24.66 | | | | $24.54 | | | | $23.85 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.68 | | | | 1.31 | | | | 0.90 | | | | 0.89 | | | | 0.96 | | | | 1.06 | |
Net realized and unrealized | | | 0.90 | | | | (0.33 | ) | | | (3.80 | ) | | | 0.50 | | | | 0.10 | | | | 0.74 | |
Total from investment operations | | | 1.58 | | | | 0.98 | | | | (2.90 | ) | | | 1.39 | | | | 1.06 | | | | 1.80 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.69 | ) | | | (1.25 | ) | | | (0.88 | ) | | | (0.84 | ) | | | (0.91 | ) | | | (1.02 | ) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.03 | ) | | | (0.09 | ) |
Total distributions | | | (0.69 | ) | | | (1.25 | ) | | | (0.88 | ) | | | (0.84 | ) | | | (0.94 | ) | | | (1.11 | ) |
Net Asset Value, End of period | | | $22.05 | | | | $21.16 | | | | $21.43 | | | | $25.21 | | | | $24.66 | | | | $24.54 | |
Net Asset Value Total Return(2) | | | 7.48 | % | | | 4.56 | % | | | (11.72 | )% | | | 5.71 | % | | | 4.51 | % | | | 7.74 | % |
Net assets, end of period | | | $93,692 | | | | $47,619 | | | | $41,793 | | | | $20,171 | | | | $18,494 | | | | $24,535 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | |||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, net of expense waivers | | | 0.49 | %(3) | | | 0.49 | % | | | 0.49 | % | | | 0.49 | %(4) | | | 0.55 | %(4) | | | 0.80 | % |
Expenses, prior to expense waivers | | | 0.77 | %(3) | | | 0.80 | % | | | 1.02 | % | | | 1.21 | %(4) | | | 1.15 | %(4) | | | 1.06 | % |
Net investment income | | | 6.24 | %(3) | | | 5.95 | % | | | 3.92 | % | | | 3.52 | % | | | 3.95 | % | | | 4.37 | % |
Portfolio turnover rate(5) | | | 31 | %(6) | | | 138 | % | | | 84 | % | | | 107 | % | | | 103 | % | | | 95 | % |
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
47
| | Virtus Private Credit Strategy ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the Period | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning | | | $20.46 | | | | $20.70 | | | | $25.99 | | | | $17.37 | | | | $24.72 | | | | $24.85 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 1.18 | | | | 2.51 | | | | 2.13 | | | | 1.71 | | | | 1.89 | | | | 1.70 | |
Net realized and unrealized | | | 2.07 | | | | (0.30 | ) | | | (5.33 | ) | | | 8.62 | | | | (7.20 | ) | | | (0.45 | ) |
Total from investment operations | | | 3.25 | | | | 2.21 | | | | (3.20 | ) | | | 10.33 | | | | (5.31 | ) | | | 1.25 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (1.27 | ) | | | (2.45 | ) | | | (2.09 | ) | | | (1.71 | ) | | | (2.04 | ) | | | (1.38 | ) |
Total distributions | | | (1.27 | ) | | | (2.45 | ) | | | (2.09 | ) | | | (1.71 | ) | | | (2.04 | ) | | | (1.38 | ) |
Net Asset Value, End of period | | | $22.44 | | | | $20.46 | | | | $20.70 | | | | $25.99 | | | | $17.37 | | | | $24.72 | |
Net Asset Value Total Return(3) | | | 16.21 | % | | | 11.22 | % | | | (12.75 | )% | | | 61.32 | % | | | (21.70 | )% | | | 5.03 | % |
Net assets, end of period | | | $44,882 | | | | $26,594 | | | | $21,735 | | | | $31,189 | | | | $19,109 | | | | $211,344 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | |||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.75 | %(4),(5) | | | 0.75 | %(5) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | %(6) | | | 0.75 | %(4) |
Net investment income | | | 10.73 | %(4),(5) | | | 11.85 | %(5) | | | 8.97 | % | | | 7.27 | % | | | 8.59 | % | | | 9.24 | %(4) |
Portfolio turnover rate(7) | | | 6 | %(8) | | | 40 | % | | | 27 | % | | | 34 | % | | | 24 | % | | | 22 | %(8) |
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(4)Annualized.
(5)The Fund indirectly bears its proportionate shares of expenses and net investment income of any underlying funds in which the Fund invests. Such expenses and income are not included in the calculation of this ratio.
(6)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(7)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(8)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
48
| | Virtus Real Asset Income ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the Period | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $21.65 | | | | $23.29 | | | | $26.84 | | | | $18.67 | | | | $24.72 | | | | $24.79 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.48 | | | | 0.73 | | | | 0.93 | | | | 0.57 | | | | 0.64 | | | | 0.58 | |
Net realized and unrealized | | | 1.93 | | | | (1.17 | )(3) | | | (3.61 | ) | | | 8.66 | | | | (5.95 | ) | | | (0.12 | ) |
Total from investment operations | | | 2.41 | | | | (0.44 | ) | | | (2.68 | ) | | | 9.23 | | | | (5.31 | ) | | | 0.46 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.71 | ) | | | (1.20 | ) | | | (0.87 | ) | | | (1.06 | ) | | | (0.74 | ) | | | (0.53 | ) |
Total distributions | | | (0.71 | ) | | | (1.20 | ) | | | (0.87 | ) | | | (1.06 | ) | | | (0.74 | ) | | | (0.53 | ) |
Net Asset Value, End of period | | | $23.35 | | | | $21.65 | | | | $23.29 | | | | $26.84 | | | | $18.67 | | | | $24.72 | |
Net Asset Value Total Return(4) | | | 11.11 | % | | | (2.15 | )% | | | (10.25 | )% | | | 50.16 | % | | | (21.53 | )% | | | 1.87 | % |
Net assets, end of period | | | $16,342 | | | | $17,320 | | | | $45,420 | | | | $139,583 | | | | $100,810 | | | | $244,751 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | |||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.55 | %(5) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | %(6) | | | 0.55 | %(5) |
Net investment income | | | 4.14 | %(5) | | | 3.06 | % | | | 3.52 | % | | | 2.30 | % | | | 2.93 | % | | | 3.20 | %(5) |
Portfolio turnover rate(7) | | | 55 | %(8) | | | 88 | % | | | 70 | % | | | 66 | % | | | 91 | % | | | 15 | %(8) |
(1)Commencement of operations.
(2)Based on average shares outstanding.
(3)The per share amount of realized and unrealized gain (loss) on investments does not accord with the amounts reported in the Statements of Changes in Net Assets due to the timing of creation of Fund shares in relation to fluctuating market values.
(4)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(5)Annualized.
(6)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(7)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(8)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
49
| | Virtus WMC International Dividend ETF | ||||||||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | ||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $24.41 | | | | $21.69 | | | | $28.57 | | | | $23.94 | | | | $26.41 | | | | $24.97 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.58 | | | | 1.20 | | | | 1.50 | | | | 1.29 | | | | 0.52 | | | | 0.52 | |
Net realized and unrealized | | | 2.22 | | | | 2.65 | | | | (5.13 | ) | | | 5.18 | | | | (2.08 | ) | | | 1.95 | |
Total from investment operations | | | 2.80 | | | | 3.85 | | | | (3.63 | ) | | | 6.47 | | | | (1.56 | ) | | | 2.47 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.52 | ) | | | (1.13 | ) | | | (1.69 | ) | | | (1.15 | ) | | | (0.91 | ) | | | (0.49 | ) |
Net realized gains | | | — | | | | — | | | | (1.56 | ) | | | (0.69 | ) | | | — | | | | (0.54 | ) |
Total distributions | | | (0.52 | ) | | | (1.13 | ) | | | (3.25 | ) | | | (1.84 | ) | | | (0.91 | ) | | | (1.03 | ) |
Net Asset Value, End of period | | | $26.69 | | | | $24.41 | | | | $21.69 | | | | $28.57 | | | | $23.94 | | | | $26.41 | |
Net Asset Value Total Return(2) | | | 11.52 | % | | | 17.67 | % | | | (14.03 | )% | | | 27.41 | % | | | (6.20 | )% | | | 10.60 | % |
Net assets, end of period | | | $9,343 | | | | $8,543 | | | | $6,507 | | | | $7,142 | | | | $4,788 | | | | $5,281 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | |||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.49 | %(3) | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % | | | 0.49 | %(4) |
Net investment income | | | 4.42 | %(3) | | | 4.77 | % | | | 5.87 | % | | | 4.47 | % | | | 2.04 | % | | | 2.08 | % |
Portfolio turnover rate(5) | | | 15 | %(6) | | | 61 | % | | | 50 | % | | | 68 | % | | | 211 | % | | | 88 | % |
(1)Based on average shares outstanding.
(2)Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the period, reinvestment of dividends and distributions at net asset value during the period, and redemptions at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized.
(3)Annualized.
(4)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(5)Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
(6)Not annualized.
50
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of April 30, 2024, ten funds of the Trust are offered for sale. The InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC International Dividend ETF (each a “Fund” and collectively, the “Funds”) are presented in this semi-annual report. The offering of each Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Funds | Investment objective(s) |
InfraCap REIT Preferred ETF | Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx REIT Preferred Stock Index. |
Virtus InfraCap U.S. Preferred Stock ETF | Seeks current income and, secondarily, capital appreciation. |
Virtus LifeSci Biotech Clinical Trials ETF | Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Clinical Trials Index. |
Virtus LifeSci Biotech Products ETF | Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Products Index. |
Virtus Newfleet Multi-Sector Bond ETF | Seeks to provide a high level of current income and, secondarily, capital appreciation. |
Virtus Private Credit Strategy ETF | Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Private Credit Index. |
Virtus Real Asset Income ETF | Seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Real Asset Income Index. |
Virtus WMC International Dividend ETF | Seeks income. |
There is no guarantee that a Fund will achieve its objective(s).
InfraCap REIT Preferred ETF and Virtus InfraCap U.S. Preferred Stock ETF are “non-diversified” Funds, as defined under the 1940 Act, as of the period ended April 30, 2024. Virtus Private Credit Strategy ETF is a “fund of funds,” meaning it will generally invest its assets in other registered investment companies.
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Funds may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
51
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
(c) Security Valuation
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and exchange-traded funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. The Board of Trustees of the Trust (the “Board”) has designated Virtus ETF Advisers LLC (the “Adviser”) to serve as its valuation designee, pursuant to Rule 2a-5 under the 1940 Act, to perform the fair value determinations relating to any or all Fund investments. Accordingly, if market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued by the Adviser at fair value as determined in good faith using procedures approved by the Board. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. Such valuations are typically categorized as Level 2 in the fair value hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Adviser are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in other open-end investment companies are valued based on their net asset value (“NAV”) each business day. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the fair value hierarchy.
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. The Adviser, on behalf of each Fund, utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. These inputs are summarized in the following hierarchy:
•Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
•Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
•Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value each Fund’s investments at April 30, 2024, is disclosed at the end of each Fund’s Schedule of Investments.
(e) Security Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses and interest income are recognized on the accrual basis. Amortization of premium and accretion of discount on debt securities are included in interest income. Each Fund amortizes premiums and accretes discounts using the effective interest method.
52
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
Dividend income from REIT investments is recorded using management’s estimate of the income included in distributions received from the REIT investments. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each domestic REIT after its fiscal year-end, and may differ from the estimated amounts.
(f) Foreign Taxes
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
(g) Expenses
Each Fund pays all of its expenses not assumed by its Sub-Adviser, if any, as defined in Note 3, or the Adviser. General Trust expenses that are allocated among and charged to the assets of the Funds and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of each Fund and other series of the Trust or the nature of the services performed and relative applicability to each Fund and other series of the Trust.
(h) Short Sales
The Virtus InfraCap U.S. Preferred Stock ETF may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
(i) Distributions to Shareholders
Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from GAAP in the United States of America.
(j) Foreign Currency Translation
Non-U.S. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date the income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
(k) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
(l) Loan Agreements
The Virtus Newfleet Multi-Sector Bond ETF may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan
53
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
agreement. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers, and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the London Interbank Offered Rate (“LIBOR”), Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
(m) Securities Lending
Certain Funds may loan securities to qualified brokers through an agreement with The Bank of New York Mellon (“BNY Mellon”), as a third party lending agent. Under the terms of the agreement, a Fund doing so is required to maintain collateral with a market value not less than 102% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by a Fund net of fees and rebates charged by BNY Mellon for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
At April 30, 2024, the following Funds had securities on loan:
Funds | | Market Value | | Cash Collateral | | Non Cash Collateral(a) | | Net Amount(b) | | ||||
Virtus LifeSci Biotech Clinical Trials ETF | | $ | 1,699,800 | | $ | 953,505 | | $ | 811,829 | | $ | 0 | |
Virtus LifeSci Biotech Products ETF | | | 1,265,688 | | | 288,993 | | | 1,041,528 | | | 0 | |
Virtus Private Credit Strategy ETF | | | 4,238,956 | | | 3,317,320 | | | 1,073,959 | | | 0 | |
Virtus Real Asset Income ETF | | | 1,096,058 | | | 399,917 | | | 749,016 | | | 0 | |
(a)Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s statement of assets and liabilities.
(b)Net amount represents the net amount receivable due from the counterparty in the event of default.
Funds not listed in table above did not have any securities on loan at April 30, 2024.
54
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
The following table presents the contract value of securities lending transactions and the type of collateral provided to counterparties.
Remaining Contractual Maturity of the Agreements, as of April 30, 2024
| | | Overnight and | | Between | | Total | | |||||||||
| | | | <30 Days | | 30 & 90 days | | >90 days | | | |||||||
| Virtus LifeSci Biotech Clinical Trials ETF | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 1,765,334 | | $ | — | | $ | — | | $ | — | | $ | 1,765,334 | |
| Gross amount of recognized liabilities for securities lending transactions: | | | | | | | | $ | 1,765,334 | | ||||||
| Virtus LifeSci Biotech Products ETF | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 1,330,522 | | $ | — | | $ | — | | $ | — | | $ | 1,330,522 | |
| Gross amount of recognized liabilities for securities lending transactions: | | | | | | | | $ | 1,330,522 | | ||||||
| Virtus Private Credit Strategy ETF | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 4,391,279 | | $ | — | | $ | — | | $ | — | | $ | 4,391,279 | |
| Gross amount of recognized liabilities for securities lending transactions: | | | | | | | | $ | 4,391,279 | | ||||||
| Virtus Real Asset Income ETF | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 1,148,933 | | $ | — | | $ | — | | $ | — | | $ | 1,148,933 | |
| Gross amount of recognized liabilities for securities lending transactions: | | $ | 1,148,933 | |
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreements
The Trust, on behalf of each Fund, has entered into Investment Advisory Agreements (collectively, the “Advisory Agreement”) with the Adviser, an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Funds’ securities portfolios. The Adviser has agreed to pay all of the ordinary operating expenses of the Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF, except for each Fund’s management fee; payments under any 12b-1 plan; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Funds. The Adviser is entitled to receive a fee from each Fund (unless otherwise noted below) based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate as follows:
Funds | | Rate |
InfraCap REIT Preferred ETF | | 0.45%, subject to a minimum annual fee of $25,000 per year |
Virtus InfraCap U.S. Preferred Stock ETF | | 0.80% |
Virtus LifeSci Biotech Clinical Trials ETF | | 0.79% |
Virtus LifeSci Biotech Products ETF | | 0.79% |
Virtus Newfleet Multi-Sector Bond ETF | | 0.45% |
Virtus Private Credit Strategy ETF | | 0.75% |
Virtus Real Asset Income ETF | | 0.55% |
Virtus WMC International Dividend ETF | | 0.49% |
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Expense Limitation Agreement
The Adviser has contractually agreed to reduce its fees and reimburse expenses in order to limit Virtus Newfleet Multi-Sector Bond ETF’s total operating expenses (excluding interest, taxes, brokerage fees and commissions, other expenditures that are capitalized in accordance with generally accepted accounting principles, acquired fund fees and expenses, other extraordinary expenses not incurred in the ordinary course of the Funds’ business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under
55
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
the 1940 Act) from exceeding 0.49% of the Fund’s average daily net assets through at least February 28, 2025. The expense limitation agreement with respect to Virtus Newfleet Multi-Sector Bond ETF will be terminated upon termination of the Advisory Agreement between the Adviser and the Fund. In addition, while the Adviser or the Fund may discontinue the expense limitation agreement after the contractual period, it may only be terminated during its term with the approval of the Fund’s Board.
Under certain conditions, the Adviser may recapture operating expenses waived or reimbursed under the expense limitation agreement for a period of three years following the date on which such waiver or reimbursement occurred; provided that such recapture may not cause the Fund’s total operating expenses to exceed 0.49% of the average daily net assets of the Fund (or any lower expense limitation or limitations to which the Fund and the Adviser may otherwise agree). All or a portion of the following expenses reimbursed by the Adviser may be recaptured during the fiscal years indicated:
Fund | | 2024 | | 2025 | | 2026 | | 2027 |
Virtus Newfleet Multi-Sector Bond ETF | | $140,870 | | $137,763 | | $168,746 | | $87,370 |
Sub-Advisory Agreement
Each Sub-Adviser provides investment advice and management services to its respective Fund. Pursuant to an investment sub-advisory agreement among the Trust, the respective Sub-Adviser and the Adviser, the Adviser pays each Fund’s Sub-Adviser a sub-advisory fee calculated as shown below. The Adviser has delegated to the InfraCap REIT Preferred ETF and Virtus InfraCap U.S. Preferred Stock ETF’s sub-adviser the obligation to pay all of the ordinary operating expenses of each of those Funds, except for the management fee paid to the Adviser; payments under any 12b-1 plan adopted by the Fund; taxes and other governmental fees; brokerage fees, commissions and other transaction expenses; interest and other costs of borrowing; litigation or arbitration expenses; acquired fund fees and expenses; and extraordinary or other non-routine expenses of the Fund. The Sub-Advisers and sub-advisory fees for each Fund are listed below.
Funds | | Sub-Advisers | | Sub-Advisory Fees |
InfraCap REIT Preferred ETF | | Infrastructure Capital Advisors, LLC | | 0.375%* |
Virtus InfraCap U.S. Preferred Stock ETF | | Infrastructure Capital Advisors, LLC | | 0.66%* |
Virtus Newfleet Multi-Sector Bond ETF | | Virtus Fixed Income Advisers, LLC, operating through its division Newfleet Asset Management(1) | | 50% of the net advisory fee*+ |
Virtus WMC International Dividend ETF | | Wellington Management Company LLP | | 0.21%* |
(1) An indirect wholly-owned subsidiary of Virtus.
*InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Newfleet Multi-Sector Bond ETF and Virtus WMC International Dividend ETF’s sub-advisory fees are paid for by the Adviser, not the Funds.
+Net advisory fee: In the event the Adviser waives its entire fee and also assumes expenses of the Trust pursuant to an applicable expense limitation agreement, the Sub-Adviser will similarly waive its entire fee and will share in the expense assumption by promptly paying to the Adviser (or its designee) 50% of the assumed amount. If during the term of the Sub-Advisory Agreement the Adviser later recaptures some or all of fees waived or expenses reimbursed by the Adviser and the Sub-Adviser together, then the Adviser will pay to the Sub-Adviser 50% of the amount recaptured.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Funds’ principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Funds. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly-owned subsidiary of Virtus.
Distribution and Service (12b-1 Plan)
The Board has adopted a distribution and service plan, under which InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC International Dividend ETF (collectively, the “12b-1 Funds”) are authorized to pay an amount up to 0.25% of their average daily net assets each year to finance activities primarily intended to result in the sale of Creation Units of the 12b-1 Funds or the provision of investor services. No 12b-1 fees are currently paid by the 12b-1 Funds and there are no current plans to impose these fees.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Funds’ operational administrator. The Administrator supervises the overall administration of the Trust and the Funds including, among other responsibilities, the coordination and day-to-day oversight of the Funds’ operations, the service providers’ communications with the Funds and each other and assistance with Trust, Board and contractual matters related to the Funds and other series of the Trust. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
56
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Funds’ accounting services administrator. BNY Mellon also serves as the custodian for the Funds’ assets, and serves as transfer agent and dividend paying agent for the Funds.
Affiliated Shareholders
At April 30, 2024, Virtus Partners, Inc. held shares of the below Fund which may be sold at any time that aggregated to the following:
| | Shares | | % of share |
Virtus WMC International Dividend ETF | | 184,507 | | 52.7% |
At April 30, 2024, the sub-adviser of the below Funds held shares of such Fund which may be redeemed at any time that aggregated to the following:
| | Shares | | % of share |
InfraCap REIT Preferred ETF | | 2,595 | | 0.1% |
Virtus InfraCap U.S. Preferred Stock ETF | | 473,114 | | 1.0% |
4. CREATION AND REDEMPTION TRANSACTIONS
The Funds issue and redeem shares on a continuous basis at NAV in aggregate blocks of shares or multiples thereof called “Creation Units.” The Funds’ Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Funds. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
Authorized participants pay a fixed transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
The following table discloses each Fund’s transaction fee:
Funds | | Creation/Redemption | |
InfraCap REIT Preferred ETF | | $ 500 | |
Virtus InfraCap U.S. Preferred Stock ETF | | 600 | |
Virtus LifeSci Biotech Clinical Trials ETF | | 500 | |
Virtus LifeSci Biotech Products ETF | | 500 | |
Virtus Newfleet Multi-Sector Bond ETF | | 500 | |
Virtus Private Credit Strategy ETF | | 500 | |
Virtus Real Asset Income ETF | | 500 | |
Virtus WMC International Dividend ETF | | 1,200 | |
5. RESTRICTED SECURITIES
Restricted securities are not registered under the Securities Act. Generally, 144A securities are excluded from this category. Each Fund will bear any costs, including those involved in registration under the Securities Act, in connection with the disposition of such securities. At April 30, 2024, the following Fund held a security that was considered to be restricted:
Fund | | Investment | | Date of | | Cost | | Value | | Percentage of |
Virtus LifeSci Biotech Clinical Trials ETF | | Scilex Holding Co | | 1/11/2023 | | $89,057 | | $13,542 | | 0.1% |
57
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
6. FEDERAL INCOME TAX
Each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders. Therefore, no federal income or excise tax provision is required. Accounting for Uncertainty in Income Taxes as issued by the FASB provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing a Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalties related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2021, 2022 and 2023), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of April 30, 2024, the Funds did not have a liability for any unrecognized tax benefits or uncertain tax positions that would require recognition in the financial statements. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
The Funds recognize interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period ended April 30, 2024, the Funds had no accrued penalties or interest.
At October 31, 2023, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
| | Federal Tax | | Gross | | Gross Unrealized | | Net Unrealized | | ||||
InfraCap REIT Preferred ETF | | $ | 68,147,413 | | $ | 588,441 | | $ | (12,939,095 | ) | $ | (12,350,654 | ) |
Virtus InfraCap U.S. Preferred Stock ETF | | | 876,588,284 | | | 12,991,691 | | | (121,469,222 | ) | | (108,477,531 | ) |
Virtus LifeSci Biotech Clinical Trials ETF | | | 16,394,523 | | | 1,140,803 | | | (9,129,963 | ) | | (7,989,160 | ) |
Virtus LifeSci Biotech Products ETF | | | 17,123,648 | | | 1,846,411 | | | (5,079,846 | ) | | (3,233,435 | ) |
Virtus Newfleet Multi-Sector Bond ETF | | | 49,293,528 | | | 193,430 | | | (2,751,185 | ) | | (2,557,755 | ) |
Virtus Private Credit Strategy ETF | | | 32,873,969 | | | 74,139 | | | (4,584,313 | ) | | (4,510,174 | ) |
Virtus Real Asset Income ETF | | | 24,299,721 | | | 532,747 | | | (7,126,004 | ) | | (6,593,257 | ) |
Virtus WMC International Dividend ETF | | | 8,599,853 | | | 526,680 | | | (664,438 | ) | | (137,758 | ) |
Ordinary losses incurred after December 31 (“Late Year Ordinary Losses”) within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. During the fiscal year ended October 31, 2023, the following Fund incurred and elected to defer Late Year Ordinary Losses as follows:
Virtus LifeSci Biotech Products ETF | $ | 93,921 |
At October 31, 2023, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains for an unlimited period. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders:
| | Short-Term | | Long-Term | | Total | | |||
InfraCap REIT Preferred ETF | | $ | 11,979,428 | | $ | 468,821 | | $ | 12,448,249 | |
Virtus InfraCap U.S. Preferred Stock ETF | | | 7,866,238 | | | 4,698,612 | | | 12,564,850 | |
Virtus LifeSci Biotech Clinical Trials ETF | | | 25,838,539 | | | 31,229,917 | | | 57,068,456 | |
Virtus LifeSci Biotech Products ETF | | | 2,765,986 | | | 13,020,822 | | | 15,786,808 | |
Virtus Newfleet Multi-Sector Bond ETF | | | 1,741,735 | | | 3,583,641 | | | 5,325,376 | |
Virtus Private Credit Strategy ETF | | | 3,453,124 | | | 6,476,760 | | | 9,929,884 | |
Virtus Real Asset Income ETF | | | 26,035,352 | | | 17,254,178 | | | 43,289,530 | |
Virtus WMC International Dividend ETF | | | 93,209 | | | 280,736 | | | 373,945 | |
| | | | | | | | | | |
58
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
7. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding U.S. government and agency securities and short-term securities), subscriptions in-kind and redemptions in-kind for the period ended April 30, 2024 were as follows:
| | | Purchases | | Sales | | Subscriptions | | Redemptions | | |||
InfraCap REIT Preferred ETF | | $ | 4,659,062 | | $ | 4,710,381 | | $ | 21,143,072 | | $ | 5,346,771 | |
Virtus InfraCap U.S. Preferred Stock ETF | | | 238,336,272 | | | 205,818,259 | | | 307,308,752 | | | — | |
Virtus LifeSci Biotech Clinical Trials ETF | | | 3,546,377 | | | 3,529,370 | | | — | | | 1,229,648 | |
Virtus LifeSci Biotech Products ETF | | | 3,225,697 | | | 3,285,508 | | | 3,013,780 | | | — | |
Virtus Newfleet Multi-Sector Bond ETF | | | 57,158,707 | | | 18,567,350 | | | — | | | — | |
Virtus Private Credit Strategy ETF | | | 1,856,734 | | | 1,857,305 | | | 18,966,673 | | | 3,240,278 | |
Virtus Real Asset Income ETF | | | 9,315,169 | | | 9,231,593 | | | 1,182,947 | | | 3,525,105 | |
Virtus WMC International Dividend ETF | | | 1.382.420 | | | 1,527,048 | | | — | | | — | |
Purchases and sales of long-term U.S. government and agency securities for the period ended April 30, 2024 were as follows:
| | | Purchases | | | Sales | |
Virtus Newfleet Multi-Sector Bond ETF | | $ | 6,022,830 | | $ | 961,434 | |
8. BORROWINGS
The Virtus InfraCap U.S. Preferred Stock ETF entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the Overnight Bank Funding Rate (“OBFR”) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the period ended April 30, 2024, the average daily borrowings under the Agreements and the weighted daily average interest rate were $212,158,093 and 6.42%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Funds could result in a loss or the performance of the Funds could be inferior to that of other investments. An investor should consider each Fund’s investment objectives, risks, and charges and expenses carefully before investing. Each Fund’s prospectus and statement of additional information contain this and other important information.
Credit Risk
Junk Bonds or High Yield Securities: High yield securities are generally subject to greater levels of credit quality risk than investment grade securities. The retail secondary market for these “junk bonds” may be less liquid than that of higher-rated fixed income securities, and adverse conditions could make it difficult at times to sell these securities or could result in lower prices than higher-rated fixed income securities. These risks can reduce the value of the Fund’s shares and the income it earns.
Cash Concentration Risk
At various times, the Funds may have cash and cash collateral balances that exceed federally insured limits.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on each Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. LIBOR REPLACEMENT RISK
In July 2017, the head of the United Kingdom Financial Conduct Authority (“FCA”) announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other regulators, certain of the most widely used LIBORs continued until approximately June 30, 2023. The ICE Benchmark Administration Limited, which is regulated and authorized by FCA, and the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021. On April 3, 2023, the FCA announced its decision to require LIBOR’s administrator to continue to publish the 1-month, 3-month, and 6-month U.S. dollar settings under an unrepresentative synthetic methodology until September 30, 2024. On March 15, 2022, the
59
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
Adjustable Interest Act (LIBOR) Act (the “LIBOR Act”) was enacted into law which directs the Federal Reserve Board, as a fallback mechanism, to identify benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. On December 16, 2022, the Federal Reserve adopted regulations implementing the LIBOR Act. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes will have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
11. 10% SHAREHOLDERS
As of April 30, 2024, certain Funds had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
Funds | | % of Shares | | Number of |
InfraCap REIT Preferred ETF | | 62% | | 3 |
Virtus InfraCap U.S. Preferred Stock ETF | | 52% | | 2 |
Virtus LifeSci Biotech Clinical Trials ETF | | 56% | | 3 |
Virtus LifeSci Biotech Products ETF | | 50% | | 3 |
Virtus Newfleet Multi-Sector Bond ETF | | 85% | | 4 |
Virtus Private Credit Strategy ETF | | 80% | | 3 |
Virtus Real Asset Income ETF | | 69% | | 1 |
Virtus WMC International Dividend ETF | | 88% | | 4* |
*Includes affiliated shareholder account.
12. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, the FASB issued Accounting Standards Update (“ASU”) No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating the impact, if any, of ASU 2020-04 and ASU 2020-06, but does not believe there will be a material impact.
13. NEW REGULATORY PRONOUNCEMENT
In October 2022, the SEC adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
14. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
The accompanying notes are an integral part of these financial statements.
60
| | Shares | | Value | |
| | | | | |
COMMON STOCKS - 135.7% | | | | | |
| | | | | |
Energy - 135.5% | | | | | |
Cheniere Energy Partners LP(1) | | 462,582 | | $22,412,098 | |
Cheniere Energy, Inc.(1)(2) | | 33,559 | | 5,296,281 | |
Delek Logistics Partners LP | | 197,596 | | 7,803,066 | |
Energy Transfer LP(1)(2) | | 4,186,867 | | 65,859,418 | |
EnLink Midstream LLC*(1) | | 2,572,026 | | 35,288,197 | |
Enterprise Products Partners LP(1)(2) | | 2,301,329 | | 64,621,318 | |
Genesis Energy LP(1) | | 844,084 | | 9,985,514 | |
Global Partners LP | | 68,082 | | 3,192,365 | |
Hess Midstream LP Class A | | 484,677 | | 16,527,486 | |
HF Sinclair Corp. | | 35,627 | | 1,932,765 | |
Kinder Morgan, Inc.(1)(2) | | 181,658 | | 3,320,708 | |
Marathon Petroleum Corp.(2) | | 27,803 | | 5,052,361 | |
MPLX LP(1) | | 1,629,250 | | 68,102,650 | |
New Fortress Energy, Inc. | | 128,349 | | 3,362,744 | |
NuStar Energy LP(1) | | 2,735,622 | | 61,742,988 | |
ONEOK, Inc.(1) | | 124,461 | | 9,847,354 | |
Phillips 66 | | 2,260 | | 323,655 | |
Plains All American Pipeline LP(1) | | 3,738,998 | | 64,422,936 | |
Sunoco LP | | 8,787 | | 494,708 | |
Targa Resources Corp.(1) | | 30,495 | | 3,478,260 | |
USA Compression Partners LP | | 117,696 | | 2,851,774 | |
Valero Energy Corp.(2) | | 31,216 | | 4,990,502 | |
Western Midstream Partners LP(1) | | 1,543,070 | | 52,618,687 | |
Williams Cos., Inc. (The)(2) | | 40,907 | | 1,569,192 | |
Total Energy | | | | 515,097,027 | |
Utilities - 0.2% | | | | | |
Suburban Propane Partners LP | | 46,780 | | 913,613 | |
Total Common Stocks | | | | | |
(Cost $333,489,868) | | | | 516,010,640 | |
| | | | | |
PREFERRED STOCKS - 0.7% | | | | | |
| | | | | |
Energy - 0.7% | | | | | |
Brookfield Infrastructure Finance ULC, 5.00% (Canada) | | 957 | | 16,308 | |
Energy Transfer LP, Series I, 9.25% | | 225,127 | | 2,469,643 | |
NuStar Energy LP, Series B, 11.23% | | 1,065 | | 27,168 | |
Total Energy | | | | 2,513,119 | |
| | | | | |
Total Preferred Stocks | | | | | |
(Cost $2,165,965) | | | | 2,513,119 | |
| | | | | |
TOTAL INVESTMENTS - 136.4% | | | | | |
(Cost $335,655,833) | | | | 518,523,759 | |
Liabilities in Excess of Other Assets - (36.4)% | | | | (138,320,450 | ) |
Net Assets - 100.0% | | | | $380,203,309 | |
Security Description | | Notional Amount | | Number of contracts | | Value | |
| | | | | | | |
WRITTEN OPTIONS - (0.1)% | | | | | | | |
| | | | | | | |
Written Call Options | | | | | | | |
Cheniere Energy, Inc., Expires 05/03/24, | | (10,000 | ) | (100 | ) | $(2,500 | ) |
Cheniere Energy, Inc., Expires 05/10/24, | | (10,000 | ) | (100 | ) | (2,500 | ) |
Cheniere Energy, Inc., Expires 05/17/24, | | (10,000 | ) | (100 | ) | (6,500 | ) |
Cheniere Energy, Inc., Expires 05/17/24, | | (10,000 | ) | (100 | ) | (3,000 | ) |
Energy Transfer LP, Expires 05/03/24, | | (100,000 | ) | (1,000 | ) | (30,000 | ) |
Energy Transfer LP, Expires 06/21/24, | | (100,000 | ) | (1,000 | ) | (80,000 | ) |
Enterprise Products Partners LP, Expires 05/03/24, | | (25,000 | ) | (250 | ) | (250 | ) |
Enterprise Products Partners LP, Expires 05/10/24, | | (25,000 | ) | (250 | ) | (1,000 | ) |
Kinder Morgan, Inc., | | (100 | ) | (1 | ) | (46 | ) |
Kinder Morgan, Inc., | | (100,000 | ) | (1,000 | ) | (5,000 | ) |
Marathon Petroleum Corp., | | (25,000 | ) | (250 | ) | (3,000 | ) |
Marathon Petroleum Corp., | | (10,000 | ) | (100 | ) | (6,800 | ) |
Marathon Petroleum Corp., | | (10,000 | ) | (100 | ) | (12,000 | ) |
Marathon Petroleum Corp., | | (10,000 | ) | (100 | ) | (12,500 | ) |
Marathon Petroleum Corp., | | (10,000 | ) | (100 | ) | (4,600 | ) |
Valero Energy Corp., | | (15,000 | ) | (150 | ) | (4,050 | ) |
Valero Energy Corp., | | (15,000 | ) | (150 | ) | (1,950 | ) |
Valero Energy Corp., | | (10,000 | ) | (100 | ) | (7,000 | ) |
Valero Energy Corp., | | (10,000 | ) | (100 | ) | (6,700 | ) |
Schedule of Investments — InfraCap MLP ETF (continued)
April 30, 2024 (unaudited)
The accompanying notes are an integral part of these financial statements.
61
Security Description | | Notional Amount | | Number of contracts | | Value | |
| | | | | | | |
WRITTEN OPTIONS (continued) | | | | | | | |
| | | | | | | |
Written Call Options (continued) | | | | | | | |
Williams Cos., Inc. (The), | | (20,000 | ) | (200 | ) | $(4,000 | ) |
Williams Cos., Inc. (The), | | (21,000 | ) | (210 | ) | (2,100 | ) |
Written Put Options | | | | | | | |
Enterprise Products Partners LP, Expires 05/17/24, | | (100,000 | ) | (1,000 | ) | (5,000 | ) |
Enterprise Products Partners LP, Expires 05/24/24, | | (100,000 | ) | (1,000 | ) | $(8,000 | ) |
Enterprise Products Partners LP, Expires 06/21/24, | | (100,000 | ) | (1,000 | ) | (19,000 | ) |
Kinder Morgan, Inc., | | (100,000 | ) | (1,000 | ) | (9,000 | ) |
Kinder Morgan, Inc., | | (100,000 | ) | (1,000 | ) | (12,000 | ) |
ONEOK, Inc., Expires 06/21/24, | | (75,000 | ) | (750 | ) | (19,500 | ) |
Security Description | | Notional Amount | | Number of contracts | | Value | |
| | | | | | | |
WRITTEN OPTIONS (continued) | | | | | | | |
| | | | | | | |
Written Call Options (continued) | | | | | | | |
ONEOK, Inc., Expires 06/21/24, | | (10,000 | ) | (100 | ) | $(4,250 | ) |
ONEOK, Inc., Expires 07/19/24, | | (10,000 | ) | (100 | ) | (7,500 | ) |
Phillips 66, Expires 05/03/24, | | (10,000 | ) | (100 | ) | (39,300 | ) |
Targa Resources Corp., | | (50,000 | ) | (500 | ) | (15,000 | ) |
Targa Resources Corp., | | (10,000 | ) | (100 | ) | (10,500 | ) |
Targa Resources Corp., | | (50,000 | ) | (500 | ) | (4,500 | ) |
Total Written Options - (0.1)% | | | | | |
| |
(Premiums Received $572,506) | | | | | | $(349,046 | ) |
*Non-income producing security.
(1)Security, or a portion thereof, has been pledged as collateral for borrowings. The aggregate market value of the collateral at April 30, 2024 was $395,917,534.
(2)Subject to written call options.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2024.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $516,010,640 | | $— | | $— | | $516,010,640 |
Preferred Stocks | | 2,513,119 | | — | | — | | 2,513,119 |
Total | | $518,523,759 | | $— | | $— | | $518,523,759 |
Liability Valuation Inputs | | | | | | | | |
Written Options | | $344,546 | | $4,500 | | $— | | $349,046 |
Total | | $344,546 | | $4,500 | | $— | | $349,046 |
The accompanying notes are an integral part of these financial statements.
62
| | InfraCap MLP ETF | |
Assets: | | | |
Investments, at cost | | $335,655,833 | |
Investments, at value | | 518,523,759 | |
Cash | | 179,296 | |
Due from brokers | | 4,160,240 | |
Receivables: | | | |
Investment securities sold | | 4,545,877 | |
Dividends and interest | | 586,632 | |
Prepaid taxes | | 232,066 | |
Prepaid expenses | | 2,860 | |
Total Assets | | 528,230,730 | |
Liabilities: | | | |
Bank borrowings | | 129,136,508 | |
Payables: | | | |
Interest expense | | 687,001 | |
Sub-Advisory fees | | 304,866 | |
Written options, at value(a) | | 349,046 | |
Deferred Income Tax Liability | | 17,550,000 | |
Total Liabilities | | 148,027,421 | |
Net Assets | | $380,203,309 | |
Net Assets Consist of: | | | |
Paid-in capital | | $486,917,563 | |
Total distributable earnings (accumulated deficit), net of income taxes | | (106,714,254 | ) |
Net Assets | | $380,203,309 | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | 9,690,000 | |
| |
| |
Net asset value per share | | $39.24 | |
(a)Premiums received from written options | | $572,506 | |
The accompanying notes are an integral part of these financial statements.
63
| | InfraCap MLP ETF | |
Investment Income: | | | |
Distributions from master limited partnerships | | $(14,465,158 | ) |
Dividend income | | 2,044,640 | |
Interest income | | 28,016 | |
Less: Return of capital distributions | | 14,465,158 | |
Total Investment Income | | 2,072,656 | |
Expenses: | | | |
Interest expenses | | 3,797,988 | |
Sub-Advisory fees | | 1,694,041 | |
Total Expenses | | 5,492,029 | |
Net Investment (Loss) Before Income Taxes | | (3,419,373 | ) |
Current and Deferred Income Tax Benefit / (Expense) | | 354,150 | |
Net Investment (Loss), Net of Income Taxes | | (3,065,223 | ) |
Net Realized Gain (Loss) on: | | | |
Investments | | 8,568,368 | |
Written options | | 1,339,693 | |
Current and Deferred Income Tax Benefit (Expense) | | (1,026,195 | ) |
Total Net Realized Gain, Net of Income Taxes | | 8,881,866 | |
Change in Net Unrealized Appreciation (Depreciation) on: | | | |
Investments | | 60,895,638 | |
Written options | | 149,884 | |
Current and Deferred Income Tax Benefit (Expense) | | (6,322,590 | ) |
Total Change in Net Unrealized Appreciation | | 54,722,932 | |
Net Realized and Change in Unrealized Gain, Net of Income Taxes | | 63,604,798 | |
Net Increase in Net Assets Resulting from Operations | | $60,539,575 | |
The accompanying notes are an integral part of these financial statements.
64
| | InfraCap MLP ETF | | ||
| | For the | | For the | |
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | |
Net investment loss, net of income taxes | | $(3,065,223 | ) | $(6,220,973 | ) |
Net realized gain, net of income taxes | | 8,881,866 | | 37,633,482 | |
Net change in unrealized appreciation, net of income taxes | | 54,722,932 | | 5,854,071 | |
Net increase in net assets resulting from operations | | 60,539,575 | | 37,266,580 | |
Distributions to Shareholders | | (12,172,882 | ) | (26,762,601 | ) |
Distributions to Shareholders from return of capital | | (2,373,919 | ) | — | |
Total distributions | | (14,546,801 | ) | (26,762,601 | ) |
Shareholder Transactions: | | | | | |
Proceeds from shares sold | | 14,810,984 | | 23,202,124 | |
Cost of shares redeemed | | (7,212,629 | ) | (40,630,273 | ) |
Net increase (decrease) in net assets resulting from shareholder transactions | | 7,598,355 | | (17,428,149 | ) |
Increase (decrease) in net assets | | 53,591,129 | | (6,924,170 | ) |
Net Assets: | | | | | |
Beginning of period/year | | 326,612,180 | | 333,536,350 | |
End of period/year | | $380,203,309 | | $326,612,180 | |
Changes in Shares Outstanding: | | | | | |
Shares outstanding, beginning of period/year | | 9,490,000 | | 10,040,000 | |
Shares sold | | 400,000 | | 700,000 | |
Shares redeemed | | (200,000 | ) | (1,250,000 | ) |
Shares outstanding, end of period/year | | 9,690,000 | | 9,490,000 | |
The accompanying notes are an integral part of these financial statements.
65
| | InfraCap MLP ETF | |
Cash Flows From Operating Activities: | | | |
Net increase (decrease) in net assets from operations | | $60,539,575 | |
Adjustments to reconcile net increase (decrease) in net assets from | | | |
Purchases of investment securities | | (138,242,613 | ) |
Proceeds from sales of investments | | 138,438,872 | |
Net proceeds from purchased and written options | | 2,018,517 | |
Net realized (gain) loss on investments | | (8,568,368 | ) |
Net realized (gain) loss on written options | | (1,339,693 | ) |
Net change in unrealized (appreciation) depreciation on investments | | (60,895,638 | ) |
Net change in unrealized (appreciation) depreciation on written options | | (149,884 | ) |
(Increase) decrease in due from brokers | | (4,118,277 | ) |
(Increase) decrease in dividends and interest receivable | | 48,924 | |
(Increase) decrease in prepaid expenses | | 1,706 | |
(Increase) decrease in prepaid taxes | | 2,296,194 | |
Increase (decrease) in deferred income tax liability . | | 6,905,841 | |
Increase (decrease) in current income tax liability . | | (4,484,106 | ) |
Increase (decrease) in sub-advisory fees payable | | 40,839 | |
Increase (decrease) in interest expense | | 687,001 | |
Net cash provided by (used in) operating activities | | (6,821,110 | ) |
| | | |
Cash Flows provided by (used in) Financing Activities: | | | |
Proceeds from borrowings | | 31,820,788 | |
Payments for fund shares sold in excess of in-kind creations | | (12,184,348 | ) |
Distributions paid | | (14,546,801 | ) |
Net cash provided by (used in) financing activities | | 5,089,639 | |
| | | |
Net increase (decrease) in cash | | (1,731,471 | ) |
Cash, beginning of year | | 1,910,767 | |
Cash, end of period | | $179,296 | |
| | | |
Supplemental information: | | | |
Interest paid on borrowings | | $3,797,988 | |
| | | |
Non-cash financing activities: | | | |
In-kind creations — Issued | | 19,782,703 | |
In-kind creations — Redeemed | | — | |
The accompanying notes are an integral part of these financial statements.
66
| | InfraCap MLP ETF1 | | ||||||||||||||||
| | For the | | For the | | For the | | For the | | For the | | For the | | ||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $34.42 | | | $33.22 | | | $27.31 | | | $13.78 | | | $44.80 | | | $63.87 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | |
Net investment loss2 | | (0.32 | ) | | (0.65 | ) | | (0.31 | ) | | (0.33 | ) | | (0.09 | ) | | (0.96 | ) | |
Net realized and unrealized gain (loss) | | 6.66 | | | 4.69 | | | 8.86 | | | 16.50 | | | (28.94 | ) | | (7.91 | ) | |
Total from investment operations | | 6.34 | | | 4.04 | | | 8.55 | | | 16.17 | | | (29.03 | ) | | (8.87 | ) | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | |
Net investment income | | (1.27 | ) | | (2.84 | ) | | — | | | — | | | — | | | — | | |
Net realized gains | | — | | | — | | | (2.64 | ) | | — | | | — | | | — | | |
Return of capital | | (0.25 | ) | | — | | | — | | | (2.64 | ) | | (1.99 | ) | | (10.20 | )3 | |
Total distributions | | (1.52 | ) | | (2.84 | ) | | (2.64 | ) | | (2.64 | ) | | (1.99 | ) | | (10.20 | ) | |
Net Asset Value, End of period | | $39.24 | | | $34.42 | | | $33.22 | | | $27.31 | | | $13.78 | | | $44.80 | | |
Net Asset Value Total Return4 | | 18.70 | % | | 12.91 | % | | 33.13 | % | | 121.30 | % | | (62.67 | )% | | (15.62 | )% | |
Net assets, end of period (000’s omitted) | | $380,203 | | | $326,612 | | | $333,536 | | | $294,628 | | | $99,107 | | | $331,936 | | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | ||
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Expenses, including current and deferred income tax expense/benefit | | 2.88 | %5,6 | 2.18 | %8 | | 1.64 | %10 | 1.40 | %11 | 2.01 | %12 | 2.41 | %13 | |||||
Expenses, excluding current and deferred income tax expense/benefit | | 3.08 | %5,7 | 2.99 | %9 | | 1.64 | %10 | 1.40 | %11 | 1.89 | %12 | 2.40 | %13 | |||||
Net investment loss, net of income taxes | | (1.72 | )%5 | | (1.98 | )% | | (1.06 | )% | | (1.31 | )% | | (1.71 | )% | | (1.72 | )% | |
Portfolio turnover rate14 | | 26 | %15 | | 69 | % | | 62 | % | | 99 | % | | 96 | % | | 136 | % | |
1Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
2Based on average shares outstanding.
3The per share distribution amount of $10.20 was originally misclassified and shown as distributions from net investment income in the Fund’s October 31, 2019 Annual Report. This amount has been subsequently reclassified to distributions from return of capital.
4Net Asset Value Total Return is calculated assuming an initial investment made at the net asset value on the first day of the year, reinvestment of dividends and distributions at net asset value during the year, and redemptions at net asset value on the last day of the year. Total return calculated for a period of less than one year is not annualized.
5Annualized.
6The ratios of expenses to average net assets include interest expense of 2.13% and current and deferred income tax benefit / expense of 0.20%.
7The ratios of expenses to average net assets include interest expense of 2.13%.
8The ratios of expenses to average net assets include interest expense of 2.04% and current and deferred income tax benefit / expense of 0.81%.
9The ratios of expenses to average net assets include interest expense of 2.04%.
10The ratios of expenses to average net assets include interest expense fees of 0.69%.
11The ratios of expenses to average net assets include interest expense fees of 0.45%.
12The ratios of expenses to average net assets include interest expense of 0.93% and tax expense of 0.01%.
13The ratios of expenses to average net assets include interest expense of 1.28% and dividend expense on securities sold short fees of 0.17%.
14Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
15Not annualized.
67
1. ORGANIZATION
The ETFis Series Trust I (the “Trust”) was organized as a Delaware statutory trust on September 20, 2012 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”).
As of April 30, 2024, ten funds of the Trust are offered for sale. The InfraCap MLP ETF (the “Fund”) is presented in this semi-annual report. The offering of the Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Fund | Investment objective |
InfraCap MLP ETF | Seeks total return primarily through investments in equity securities of publicly traded master limited partnerships and limited liability companies taxed as partnerships (“MLPs”). |
There is no guarantee that the Fund will achieve its objective(s).
The Fund is “non-diversified,” as defined under the 1940 Act, as of the period ended April 30, 2024.
Reverse Split
After the close of the markets on March 30, 2020 (the Record Date), the Fund effected a reverse split of its issued and outstanding shares, with a 1 for 10 ratio. Shares of the Fund began trading on the NYSE Arca on a split-adjusted basis on March 31, 2020.
The effect of the reverse split was reducing the number of Shares outstanding and resulted in a proportionate increase in the net asset value (“NAV”) per Share of the Fund. Therefore, the reverse split did not change the aggregate value of a shareholder’s investment or the total market value of the shares outstanding.
The reverse split was applied retroactively for all periods presented in the financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Fund may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
(c) Security Valuation
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and exchange-traded funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. The Board of Trustees of the Trust (the “Board”) has designated Virtus ETF Advisers LLC (the “Adviser”) to serve as its valuation designee, pursuant to Rule 2a-5 under the 1940 Act, to perform the fair value determinations relating to any or all Fund investments. Accordingly, if market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued by the Adviser at fair value as determined in good faith using procedures approved by the Board. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
68
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. The Adviser, on behalf of the Fund, utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. These inputs are summarized in the following hierarchy:
•Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
•Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
•Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund’s investments at April 30, 2024, is disclosed at the end of the Fund’s Schedule of Investments.
(e) Security Transactions, Investment Income and Return of Capital Estimates
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses are recognized on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method.
The Fund invests in master limited partnerships (“MLPs”) which make distributions that are primarily attributable to return of capital. The Fund records investment income and return of capital in the Statement of Operations using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year ends.
The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts.
(f) Expenses
The Fund pays all of its expenses not assumed by Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) or the Adviser. General Trust expenses that are allocated among and charged to the assets of the Fund and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of the Fund and other series of the Trust or the nature of the services performed and relative applicability to the Fund and other series of the Trust.
(g) Short Sales
The Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
69
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
(h) Distributions to Shareholders
Distributions to shareholders are declared and paid on a monthly basis and are recorded on the ex-dividend date. The Fund uses a cash flow-based distribution approach based on the Fund’s net cash flow received from portfolio investments.
The estimated character of the distributions paid will either be a dividend (ordinary income eligible to be treated as qualified dividend income) or a return of capital. Distributions made from current or accumulated earnings and profits of the Fund will be taxable to shareholders as dividend income. Distributions that are in an amount greater than the Fund’s current and accumulated earnings and profits will represent a return of capital to the extent of a shareholder’s basis in their common shares, and such distributions will correspondingly increase the realized gain upon the sale of their common shares. Additionally, distributions not paid from current or accumulated earnings and profits that exceed a shareholder’s tax basis in their common shares will generally be taxed as a capital gain. This estimate is based on the Fund’s operating results during the period.
(i) Cash and Cash Equivalents
Cash is comprised of demand deposits. Cash equivalents are highly liquid investments with original maturities of 90 days or less. The carrying amount of cash equivalents, primarily representing money market funds is a reasonable estimate of fair value. These assets are considered to be Level 1 securities, per Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures.
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreement
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser, an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Fund’s securities portfolio. For its services to the Fund, the Adviser is entitled to receive a fee, payable monthly, at an annual rate of 0.075% of the Fund’s average daily net assets, subject to a minimum annual fee of $25,000. The Sub-Adviser pays the Adviser’s fee out of the Sub-Adviser’s fee, pursuant to the Sub-Adviser’s unified fee arrangement with the Fund, as described below.
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Sub-Advisory Agreement
The Sub-Adviser provides investment advice and management services to the Fund. Pursuant to an investment sub-advisory agreement among the Trust, the Sub-Adviser and the Adviser, the Fund pays the Sub-Adviser a fee, payable monthly, at an annual rate of 0.95% of the Fund’s average daily net assets. The Sub-Adviser has agreed to pay all expenses of the Fund, except the Sub-Adviser’s fee, brokerage expenses, taxes, interest, litigation expenses, payments under any 12b-1 plan adopted by the Fund, and other non-routine or extraordinary expenses of the Fund.
Principal Underwriter
Pursuant to the terms of a Distribution Agreement with the Trust, VP Distributors, LLC (the “Distributor”) serves as the Fund’s principal underwriter. The Distributor receives compensation from the Adviser for the statutory underwriting services it provides to the Fund. The Distributor will not distribute shares in less than Creation Units (as hereinafter defined), and does not maintain a secondary market in shares. The shares are traded in the secondary market. The Distributor is an indirect wholly-owned subsidiary of Virtus.
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Fund’s operational administrator. The Administrator supervises the overall administration of the Trust and the Fund including, among other responsibilities, the coordination and day-to-day oversight of the Fund’s operations, the service providers’ communications with the Fund and each other and assistance with Trust, Board and contractual matters related to the Fund. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Fund’s accounting services administrator. BNY Mellon also serves as the custodian for the Fund’s assets, and serves as transfer agent and dividend paying agent for the Fund.
70
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
Affiliated Shareholders
At April 30, 2024, the Sub-Adviser held shares of the Fund which may be redeemed at any time that aggregated to the following:
Fund | | Shares | | % of shares |
InfraCap MLP ETF | | 47,834 | | 0.5% |
4. CREATION AND REDEMPTION TRANSACTIONS
The Fund issues and redeems shares on a continuous basis at NAV in aggregate blocks of shares or multiples thereof called “Creation Units.” The Fund’s Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Fund. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
Authorized participants pay a fixed transaction fee of $500 to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
5. FEDERAL INCOME TAX
The Fund is taxed as a regular C-corporation for federal income tax purposes and as such is obligated to pay federal and applicable state and foreign corporate taxes on its taxable income. Currently, the federal income tax rate for a corporation is 21 percent. This treatment differs from most investment companies, which elect to be treated as “regulated investment companies” under the Code in order to avoid paying entity level income taxes. Under current law, the Fund is not eligible to elect treatment as a regulated investment company due to its investments primarily in MLPs invested in energy assets. The Fund expects that substantially all of the distributions it receives from MLPs may be treated as a tax-deferred return of capital, thus reducing the Fund’s current tax liability. However, the amount of taxes paid by the Fund will vary depending on the amount of income and gains derived from investments and/or sales of MLP interests and such taxes will reduce your return from an investment in the Fund.
Cash distributions from MLPs to the Fund that exceed the Fund’s allocable share of such MLP’s net taxable income are considered a tax deferred return of capital that will reduce the Fund’s adjusted tax basis in the equity securities of the MLP. These reductions in the Fund’s adjusted tax basis in the MLP equity securities will increase the amount of any taxable gain (or decrease the amount of any tax loss) recognized by the Fund on a subsequent sale of the securities. The Fund will accrue deferred income taxes for any future tax liability associated with (i) that portion of MLP distributions considered to be a tax-deferred return of capital as well as (ii) capital appreciation of its investments. Upon the sale of an MLP security, the Fund may be liable for previously deferred taxes. The Fund will rely to some extent on information provided by the MLPs, which is not necessarily timely, to estimate the deferred tax liability for purposes of financial statement reporting and determining the Fund’s NAV. From time to time, the Adviser will modify the estimates or assumptions related to the Fund’s deferred tax liability as new information becomes available. The Fund will generally compute deferred income taxes based on the federal income tax rate applicable to corporations and an assumed rate attributable to state taxes.
The Fund’s income tax expense/(benefit) consists of the following:
As of April 30, 2024 | | Current | | Deferred | | Total | | |||
Federal | | $ | — | | $ | 21,937,046 | | $ | 21,937,046 | |
State | | | — | | | 788,643 | | | 788,643 | |
Valuation Allowance | |
| — | |
| (15,731,054 | ) |
| (15,731,054 | ) |
Total Tax Expense/(Benefit) | | $ | — | | $ | 6,994,635 | | $ | 6,994,635 | |
71
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
Components of the Fund’s deferred tax assets and liabilities are as follows:
| | As of | |
Deferred Tax Assets: | | | |
Capital Loss Carryforward | | $37,122,011 | |
Other | | 594,817 | |
Total Deferred Tax Assets | | 40,293,425 | |
Less Valuation Allowance | | (14,191,386 | ) |
Net Deferred Tax Assets | | $26,102,039 | |
Deferred Tax Liabilities: | | | |
Net Unrealized Gain on Investment | | $23,112,940 | |
Book vs tax deferred income from MLP Investments | | 20,539,099 | |
Total Deferred Tax Liabilities | | 43,652,039 | |
Total Net Deferred Tax Asset/(Liability) | | $(17,550,000 | ) |
The Fund reviews the recoverability of its deferred tax assets based upon the weight of available evidence. When assessing the recoverability of its deferred tax assets, significant weight was given to the effects of potential future realized and unrealized gains on investments and the period over which these deferred tax assets can be realized. Currently, any capital losses that may be generated by the Fund in the future are eligible to be carried back up to three years and can be carried forward for five years to offset capital gains recognized by the Fund in those years. As of the period ended April 30, 2024, the Fund has a capital loss carryforward of $169,856,695 of which $153,290,897 expires in 2025, and $16,565,798 expires in 2026. As of the period ended April 30, 2024, the Fund has a net operating loss (NOL) carryforward of $11,789,563 that cannot be carried back and can be carried forward indefinitely. The utilization of the NOL of $11,789,563 is limited to the lesser of the aggregate of available NOLs generated after 2018 or 80% of taxable income.
Based upon the Fund’s assessment, it has determined that it is “more-likely-than-not” that a portion of its deferred tax assets will not be realized through future taxable income of the appropriate character. Accordingly, a valuation allowance has been established for the Fund’s deferred tax assets. The Fund will continue to assess the need for a valuation allowance in the future. Significant changes in the fair value of its portfolio of investments may change the Fund’s assessment of the recoverability of these assets and may result in an adjustment of the valuation allowance against all or a portion of the Fund’s gross deferred tax assets.
Total income tax (benefit)/expense (current and deferred) differs from the amount computed by applying the federal statutory income tax rate of 21% to net investment and realized and unrealized gain/(losses) on investment before taxes as follows for the Fund:
| | Amount | | Rate | |
Income Tax (Benefit) at Statutory Rate | | $14,182,184 | | 21.00 | % |
State Income Taxes (Net of Federal Benefit) | | 577,350 | | 0.85 | % |
Permanent Differences, Net | | (94,459 | ) | (0.14 | )% |
Capital Loss Carryforward Expiration | | 8,519,970 | | 12.62 | % |
Provision to Return Adjustment and Other | | (459,356 | ) | (0.68 | )% |
Valuation Allowance | | (15,731,054 | ) | (23.29 | )% |
Net Income Tax Expense/(Benefit) | | $6,994,635 | | 10.36 | % |
The Fund recognizes interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period from inception to April 30, 2024, the Fund does not have any accrued penalties or interest.
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more-likely-than-not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Fund. The Fund’s tax years, October 31, 2021 through October 31, 2023, remain subject to examination by tax authorities in the United States. Due to the nature of the Fund’s investments, the Fund may be required to file income tax returns in several states. As of the period ended April 30, 2024, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially over the next fiscal year.
72
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
At April 30, 2024, the adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments, excluding written options, for federal income tax purposes were as follows:
Fund | | Federal Tax | | Gross | | Gross | | Net Unrealized |
InfraCap MLP ETF | | $320,095,491 | | $201,108,362 | | $(2,680,094 | ) | $198,428,268 |
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term securities), subscriptions in-kind and redemptions in-kind for the period ended April 30, 2024 were as follows:
Fund | | Purchases | | Sales | | Subscriptions | | Redemptions |
InfraCap MLP ETF | | $133,835,920 | | $123,538,213 | | $19,782,703 | | $— |
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Fund may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
Transactions in derivative instruments reflected on the Statement of Assets and Liabilities at April 30, 2024 are as follows:
Liabilities | | Equity Risk | |
Written options, at value | | $(349,046 | ) |
Transactions in derivative instruments reflected on the Statement of Operations during the period ended April 30, 2024 were as follows:
Net Realized Gain (Loss) on: | | Equity Risk |
Written options | | $1,339,693 |
Change in Net Unrealized Appreciation (Depreciation) on: | | Equity Risk |
Written options | | $149,884 |
For the period ended April 30, 2024, the monthly average market value of the written options contracts held by the Fund was $(681,407).
73
Notes to Financial Statements (continued)
April 30, 2024 (unaudited)
8. BORROWINGS
The Fund entered into Lending Agreements (the “Agreements”) with commercial banks (the “Banks”) that allows the Fund to borrow cash from the Banks. Borrowings under the Agreements are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreements, the Banks may foreclose on assets of the Fund and/or the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the Agreements, necessitating the sale of securities at potentially inopportune times. Interest is charged at the Overnight Bank Funding Rate (“OBFR”) plus an additional percentage rate on the amount borrowed. The Agreements have an on-demand commitment term. For the period ended April 30, 2024, the average daily borrowings under the Agreements and the weighted daily average interest rate were $100,958,346 and 6.42%, respectively.
9. INVESTMENT RISKS
As with any investment, an investment in the Fund could result in a loss or the performance of the Fund could be inferior to that of other investments. An investor should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and statement of additional information contain this and other important information.
MLP Risk
Investments in securities of MLPs involve risks that differ from investments in common stock including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner and cash flow risks. MLP common units and other equity securities can be affected by macro-economic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards MLPs or the energy sector, changes in a particular issuer’s financial condition or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs and other equity securities also can be affected by fundamentals unique to the partnership or company, including earnings power and coverage ratios.
Market Risk
Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Fund and its investments, including hampering the ability of the Fund’s portfolio manager(s) to invest the Fund’s assets as intended.
10. 10% SHAREHOLDERS
As of April 30, 2024, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
Fund | | % of Shares | | Number of |
InfraCap MLP ETF | | 55% | | 2 |
11. NEW REGULATORY PRONOUNCEMENT
In October 2022, the SEC adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
12. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the issuance of these financial statements and has determined that there are no material events that would require disclosure.
74
During executive session, the Independent Trustees of ETFis Series Trust I (the “Trust”) considered the following factors in connection with their approval of the continuance of the advisory and sub-advisory agreements as listed below for the Trust.
November 13, 2023 Annual Consideration of Advisory and Sub-Advisory Agreements for:
InfraCap MLP ETF (“AMZA”)
InfraCap REIT Preferred ETF (“PFFR”)
Virtus InfraCap U.S. Preferred Stock ETF (“PFFA”)
Virtus LifeSci Biotech Clinical Trials ETF (“BBC”) (no sub-adviser—Advisory Agreement only)
Virtus LifeSci Biotech Products ETF (“BBP”) (no sub-adviser—Advisory Agreement only)
Virtus Newfleet Multi-Sector Bond ETF (“NFLT”)
Virtus Private Credit Strategy ETF (“VPC”) (no sub-adviser—Advisory Agreement only)
Virtus Real Asset Income ETF (“VRAI”) (no sub-adviser—Advisory Agreement only)
Virtus WMC International Dividend ETF (“VWID”)
(each, a “Fund” and collectively, the “Funds”)
On November 13, 2023, at a meeting (the “Meeting”) at which all of the Trustees were present and could hear and be heard, including all of the Trustees who were not “interested persons” (as that term is defined in the Investment Company Act of 1940) of the Trust (the “Independent Trustees”), the Board of Trustees (the “Board”) of the Trust, including the Independent Trustees voting separately, reviewed and unanimously approved for each of the respective Funds the continuance of an investment advisory agreement between Virtus ETF Advisers LLC (the “Adviser”) and the Trust (each, an “Advisory Agreement” and collectively, the “Advisory Agreements”), and an investment sub-advisory agreement among each Sub-Adviser,1 the Adviser and the Trust (each, a “Sub-Advisory Agreement” and collectively, the “Sub-Advisory Agreements”).
At the Meeting, the Board received and reviewed information provided by the Adviser and each Sub-Adviser in response to requests of the Board and its counsel, including a memorandum from the Adviser that included a description of the Adviser’s business, a copy of the Adviser’s Form ADV, and certain other information about the Adviser to be considered in connection with the Trustees’ review process (the “Adviser Memorandum”), and a memorandum from each Sub-Adviser that included a description of the Sub-Adviser’s business, a copy of the Sub-Adviser’s Form ADV and certain other information about the Sub-Adviser to be considered in connection with the Trustees’ review process (each, a “Sub-Adviser Memorandum”). The Board also engaged with representatives of the Adviser to discuss the Funds.
Advisory Agreements
In deciding on whether to approve the continuance of the Advisory Agreements with the Adviser on behalf of the Funds, the Board considered numerous factors, including:
The nature, extent, and quality of the services provided by the Adviser. The Board considered the responsibilities the Adviser has under the respective Advisory Agreement, and the services provided by the Adviser to the Funds, including, without limitation, the management, oversight, and administrative services that the Adviser and its employees provide to the Funds, the Adviser’s coordination of services for the Funds by the Trust’s service providers, and its compliance procedures and practices, and its efforts to promote the Funds. The Board noted that many of the Trust’s executive officers are employees of the Adviser and serve the Trust without additional compensation from the Funds. The Board also considered the information in the Adviser Memorandum, including descriptions of the Adviser’s investment advisory services and its related non-advisory business. The Board concluded that the quality, extent, and nature of the services provided by the Adviser are satisfactory and adequate for the Funds.
Investment performance of the Funds and the Adviser. The Board evaluated the investment management experience of the Adviser, in light of the services it has provided to each Fund. In this regard, the Board received information from the Adviser regarding, among other things, the Adviser’s experience in organizing, managing and overseeing the Funds, coordinating their operation and administration, and, for those Funds to which it provides portfolio management services, its experience in carrying out the day-to-day management of those Funds’ portfolios. In particular, the Board received and reviewed information dated as of August 31, 2023, comparing each Fund’s performance to its applicable peer group. In conducting its review, the Board considered the fact that AMZA, NFLT, PFFR, PFFA and VWID were sub-advised funds, and thus their performance results were specifically relevant to their respective Sub-Adviser’s portfolio management capabilities. With respect to the Adviser’s portfolio management of BBC, BBP, VPC and VRAI, the Board considered that each Fund utilized an index-based strategy, and thus took into account both the Funds’ performance relative to their respective peer groups as well as the Adviser’s performance in tracking the relevant indexes (i.e., tracking error).
1The Sub-Advisers include Infrastructure Capital Advisors, LLC; Virtus Fixed Income Advisers, LLC (“VFIA”); and Wellington Management Company LLP.
75
Approval of Advisory Agreements & Board Considerations (unaudited) (continued)
Specifically, with respect to BBC, the Board noted that the Fund outperformed the median and average performance of its peer group for the one-year period but underperformed the median and average performance of its peer group for each of the three-year and five-year periods. For BBP, the Board noted that the Fund outperformed the median and average performance of its peer group for the one-year and three-year periods but underperformed the median and average performance of its peer group for the five-year period. Notwithstanding BBC’s underperformance over the three-year and five-year periods and BBP’s underperformance over the five-year period, the Board considered that each of BBC and BBP still performed in accordance with its investment objective of tracking its underlying index. With respect to BBC’s and BBP’s performance, the Board also considered the Funds’ focus on biotechnology companies and how those companies performed relative to the Funds’ peer group, which was comprised mostly of funds focusing on the broader U.S. health care sector.
For VPC, the Board noted that the Fund outperformed the median and average performance of its peer group for the one-year and three-year periods. For VRAI, the Board noted that the Fund underperformed the average and median performance of its peer group for the one-year and three-year periods, but still performed in accordance with its investment objective of tracking its underlying index. The Board also considered that VRAI was included in a peer group comprised of U.S. mid-cap value funds, due to a lack of peers focusing on real assets, when evaluating its performance relative to its peers. The Board also noted that each of these index-based Funds tracked their respective underlying indexes with minimal tracking error of less than 300 basis points, which was primarily attributable to trading as well as Fund fees and expenses.
After consideration of these factors, the Board determined that the Adviser possessed adequate capabilities and experience for the management of each Fund, and that each Fund to which the Adviser provided portfolio management services had satisfactory performance and tracking error results.
The costs of the services provided and profits realized by the Adviser from its relationship with the Funds. The Board examined and evaluated the arrangements between the Adviser and the Funds under the Advisory Agreements. The Board considered the fact that AMZA, PFFR, BBC, BBP, PFFA, VPC, VRAI and VWID utilize a “unified fee” structure in which a Fund’s ordinary operating expenses (subject to customary exclusions) are paid from the Adviser’s and/or Sub-Adviser’s management fee. The Board also considered that NFLT is subject to an expense limitation agreement (subject to customary exclusions) to cap the Fund’s total expenses. The Board noted that, under either arrangement, the Adviser or Sub-Adviser would likely supplement a portion of the cost of operating each Fund for some period of time and considered the benefits that would accrue to those Funds.
The Board also considered potential benefits to the Adviser in managing the Funds, including promotion of the Adviser’s name, and the interests of the Adviser in providing management and oversight services to the Funds. In addition, at the Meeting, the Board compared the management fees and net expense ratios of the Funds to the management fees and net expense ratios of other funds considered by the Adviser to have similar investment objectives and strategies to the Funds and comparable assets under management (“AUM”).
Specifically, the Board noted that the management fees and expense ratios for BBC, BBP, VRAI and VWID were higher than the median and average, but below the maximum, management fees and expense ratios of their respective peer groups. The Board also considered that VRAI was included in a peer group comprised of U.S. mid-cap value funds, due to a lack of peers focusing on real assets, when evaluating its management fee and expense ratio relative to its peers. Further, the Board noted that the management fees and expense ratios for PFFR and NFLT were below the median and average management fees and expense ratios of their respective peer groups. For VPC, the Board noted that the management fee was equal to the median, but above the average, management fees of its peer group and the expense ratio was above the median and average, but below the maximum (when excluding acquired fund fees and expenses), expense ratios of its peer group. For PFFA, the Board noted that the management fee was above the median and average, but below the maximum, management fee of its peer group. For AMZA, the Board noted that the management fee was equal to the maximum management fee of its peer group, for which four other peers charged the same fee. In considering the management fees of both PFFA and AMZA, the Board also took into account the complexity of each Fund’s strategy. The Board also noted that, although PFFA’s and AMZA’s expense ratios were the highest of their respective peer groups, that was primarily the result of interest expenses relating to borrowings; without those expenses, the expense ratios for PFFA and AMZA would have been comparable to their respective peer groups.
Following these comparisons and upon further consideration and discussion of the foregoing, the Board concluded that the fees paid to the Adviser by the Funds (including, where applicable, pursuant to the Sub-Advisory Agreements) are appropriate and representative of arm’s-length negotiations.
The extent to which economies of scale would be realized as the Funds grow and whether management fee levels reflect these economies of scale for the benefit of the Funds’ investors. The Board considered the AUM and operational history of each of the Funds, together with the fees paid to the Adviser (including, where applicable, any capped fees). The Board considered that AMZA, PFFR, BBC, BBP, PFFA, VPC, VRAI and VWID are subject to a unified fee. The Board considered that these Funds have experienced benefits from the
76
Approval of Advisory Agreements & Board Considerations (unaudited) (continued)
unified fee arrangement, and would continue to do so even after the Adviser reaches firm-wide profitability. The Board also considered that NFLT currently experiences benefits from the capped fees pursuant to the expense limitation agreement, and would continue to do so even after NFLT’s assets grow to a level where the Adviser is no longer required to waive its advisory fee or reimburse the Fund’s expenses in excess of the amount received by the Adviser under the Advisory Agreement. Accordingly, the Board concluded that each Fund’s fee arrangement provides benefits through the unified fee structure or, for NFLT, the capped fee arrangement, and that, at each Fund’s current and projected asset levels, each Fund’s arrangement with the Adviser is appropriate.
Other benefits derived by the Adviser from its relationship with the Funds. The Board considered material “fall-out” or ancillary benefits that accrue to the Adviser as a result of its relationship with each Fund (other than the advisory fee). The Board noted that affiliates of the Adviser serve as principal underwriter and operational administrator for the Funds, and that the association could result in non-quantifiable reputational benefits for those entities. Based on the foregoing information, the Board concluded that such potential benefits are immaterial to its consideration and approval of the continuance of the Advisory Agreements.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed with counsel to the Independent Trustees the legal standards applicable to its consideration of the Advisory Agreements. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the Advisory Agreements were fair and reasonable in light of the services performed or to be performed, expenses incurred or to be incurred and such other matters as the Board considered relevant.
After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the continuance of the Advisory Agreements on behalf of each Fund.
Sub-Advisory Agreements
In deciding on whether to approve the continuance of the Sub-Advisory Agreements with each Sub-Adviser on behalf of the respective Funds, the Board considered numerous factors, including:
The nature, extent, and quality of the services provided by the Sub-Advisers. The Board considered the responsibilities the Sub-Advisers have under the Sub-Advisory Agreements and the services provided by the Sub-Advisers including, without limitation, the investment advisory services and each Sub-Adviser’s compliance procedures and practices, and their efforts to promote each Fund. The Board also considered that VFIA, in managing NFLT, operates through its Newfleet Asset Management division (“Newfleet”). After reviewing the foregoing information and further information in the materials, including each Sub-Adviser Memorandum (which included descriptions of each Sub-Adviser’s business and each Sub-Adviser’s Form ADV), the Board concluded that the quality, extent, and nature of the services provided by the Sub-Advisers are satisfactory and adequate for the Funds.
Investment performance of the Funds and the Sub-Advisers. The Board evaluated the experience of each Sub-Adviser in carrying out the day-to-day management of the respective Fund’s portfolio. The Board also considered the ability of VFIA to provide day-to-day portfolio management of NFLT’s portfolio through Newfleet. In particular, the Board received and reviewed information from the Adviser regarding the performance of each Sub-Adviser in implementing the investment objective and strategies for the respective Fund. In conducting its review, the Board considered that AMZA, NFLT and PFFA were actively managed funds. The Board also considered that PFFR utilized an index-based strategy, and thus took into account both the Fund’s performance relative to its peer group as well as the Sub-Adviser’s performance in tracking the relevant index (i.e., tracking error).
Specifically, with respect to NFLT and PFFA, the Board noted that the Funds had outperformed the median and average performance of their respective peer groups for each of the one-year, three-year, and five-year periods. With respect to VWID, the Board noted that the Fund underperformed the median and average performance of its peer group for each of the one-year and three-year periods but outperformed the median and average performance of its peer group for the five-year period. With respect to PFFR, the Board noted that the Fund underperformed the average performance of its peer group for the one-year period and underperformed the median and average performance of its peer group for the five-year period, but performed equal to the median of its peer group for the one-year period, outperformed the median and average performance of its peer group for the three-year period, and still performed in accordance with its investment objective of tracking its underlying index. With respect to AMZA, the Board noted that, although the Fund underperformed the median and average performance of its peer group for the five-year period, the Fund outperformed the median and average performance of its peer group for each of the one-year and three-year periods and was within the top quartile of its peer group over the year-to-date period ended September 29, 2023.
After consideration of these factors, the Board determined that each Sub-Adviser possessed adequate capabilities and experience for the management of the respective Funds, and that the sub-advised Funds generally had satisfactory performance.
77
Approval of Advisory Agreements & Board Considerations (unaudited) (continued)
The costs of the services provided and profits realized by the Sub-Advisers from their relationship with the respective Funds. The Board examined and evaluated the arrangements between the respective Sub-Adviser and the Adviser under the Sub-Advisory Agreements. The Board considered the fact that AMZA, PFFR, PFFA and VWID utilize a “unified fee” structure in which a Fund’s ordinary operating expenses (subject to customary exclusions) are paid from the Adviser’s and/or Sub-Adviser’s management fee. The Board also considered that NFLT is subject to an expense limitation agreement (subject to customary exclusions) to cap the Fund’s total expenses. The Board considered the extent to which each Sub-Adviser bears a portion of Fund expenses. The Board noted that, under either arrangement, the Sub-Advisers would likely supplement a portion of the cost of operating the Funds for some period of time and considered the benefits that would accrue to those Funds.
The Board considered the Sub-Advisers’ staffing, personnel, and methods of operating; the Sub-Advisers’ compliance policies and procedures; the financial condition of the Sub-Advisers and the level of commitment to the Funds by the Sub-Advisers; the current and projected asset levels of the Funds; and the overall expenses of the Funds. The Board also considered potential benefits to the Sub-Advisers in sub-advising the respective Funds, including promotion of the Sub-Advisers’ names.
The Board compared the fees and expenses of the Funds (including the sub-advisory fee) to other funds considered by the Adviser to have investment objectives and strategies similar to the Funds and comparable AUM, as noted above. The Board also noted that VFIA recently rebranded after a merger of several Virtus-affiliated investment advisers (including the predecessors to Newfleet) into a single entity, which, post-merger, operate as separate divisions within VFIA. Following these comparisons and upon further consideration and discussion of the foregoing, the Board concluded that the fees paid to the Sub-Advisers (including, where applicable, pursuant to the Advisory Agreements) are appropriate and representative of arm’s-length negotiations.
The extent to which economies of scale would be realized as the Funds grow and whether sub-advisory fee levels reflect these economies of scale for the benefit of the Funds’ investors. The Board considered the AUM and operational history of each of the sub-advised Funds, together with the fees paid to the respective Sub-Advisers (including, where applicable, any capped fees). The Board considered that AMZA, PFFR, PFFA and VWID are subject to a unified fee. The Board considered that the Funds have experienced benefits from the unified fee arrangement, and that NFLT benefits from any additional capped fees, particularly where the Sub-Adviser is paying or contributing to Fund expenses in excess of its sub-advisory fee. The Board considered that the applicable Fund would continue to experience such benefits even after such Fund’s assets grow to a level where the Sub-Adviser is no longer required to waive its sub-advisory fee or reimburse, pay or contribute to the Fund’s expenses in excess of the amount received by the Sub-Adviser under its Sub-Advisory Agreement. Accordingly, the Board concluded that each Fund’s fee arrangement provides benefits through the unified fee structure or, for NFLT, the capped fee arrangement, and that, at each Fund’s current and projected asset levels, each Fund’s arrangement with its respective Sub-Adviser is appropriate.
Other benefits derived by the Sub-Advisers from their relationships with the Funds. The Board considered material “fall-out” or ancillary benefits that accrue to the Sub-Advisers as a result of their relationships with their respective Funds (other than the sub-advisory fees). For example, the Board noted that the Sub-Advisers may obtain reputational benefits from the success of one or more Funds or other Virtus ETFs. Based on their review and other considerations, the Board concluded that such potential benefits are immaterial to its consideration and approval of the continuance of the Sub-Advisory Agreements.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed with counsel to the Independent Trustees the legal standards applicable to its consideration of each Sub-Advisory Agreement. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the sub-advisory arrangements, as outlined in each Sub-Adviser’s Sub-Advisory Agreement, were fair and reasonable in light of the services performed or to be performed, expenses incurred or to be incurred, and such other matters as the Board considered relevant.
After full consideration of the above factors as well as other factors, the Board, including the Independent Trustees, unanimously approved the continuance of each of the Sub-Advisory Agreements with the respective Sub-Adviser on behalf of each Fund.
78
INFORMATION ABOUT PORTFOLIO HOLDINGS
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT-P. Form N-PORT-P is available on the SEC’s website at https://www.sec.gov.
The Funds’ premium/discount information for the most recently completed calendar year, and the most recently completed calendar quarters since that year is available by visiting www.virtusetfs.com or by calling (888) 383-4184.
INFORMATION ABOUT PROXY VOTING
A description of the policies and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the SAI. The SAI is available without charge upon request by calling toll-free at (888) 383- 0553, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.virtusetfs.com.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30th is available by calling toll-free at (888) 383-0553 or by accessing the SEC’s website at www.sec.gov.
c/o VP Distributors, LLC
One Financial Plaza
Hartford, Connecticut 06103
8572(06/24)
(b) | Not applicable |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(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.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is 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.
Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(2)(1) Not applicable.
(a)(2)(2) Not applicable.
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) | ETFis Series Trust I |
By (Signature and Title)* | /s/ William J. Smalley | |
William J. Smalley, President and Principal Executive Officer (Principal Executive Officer) |
Date | July 3, 2024 |
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/ William J. Smalley | |
William J. Smalley, President and Principal Executive Officer (Principal Executive Officer) |
Date | July 3, 2024 |
By (Signature and Title)* | /s/ Brinton W. Frith | |
Brinton W. Frith, Treasurer and Principal Financial Officer/Principal Accounting Officer (Principal Financial Officer/Principal Accounting Officer) |
Date | July 3, 2024 |
* Print the name and title of each signing officer under his or her signature.