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:811-23078
Virtus ETF Trust II
(Exact name of registrant as specified in charter)
1540 Broadway, 16th Floor
New York, NY 10036
(Address of principal executive offices) (Zip code)
Virtus ETF Trust II
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:July 31
Date of reporting period:January 31, 2019
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, 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.
The Report to Shareholders is attached herewith.
Table of Contents
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Shareholder Letter(unaudited)
March 2019
President
Shareholder Expense Examples(unaudited)
Beginning Account Value 8/01/18 | Ending Account Value 1/31/19 | Annualized Expense Ratios for the period(2) | Expenses Paid During Period(3) | |||||||||||||||
Virtus Newfleet Dynamic Credit ETF | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 997.00 | 0.68 | % | $ | 3.42 | ||||||||||
Hypothetical(1) | $ | 1,000.00 | $ | 1,021.78 | 0.68 | % | $ | 3.47 |
(1) | Assuming 5% return before expenses. |
(2) | Annualized expense ratios reflect expenses net of waived fees or reimbursed expenses, if applicable. |
(3) | Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period). |
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF
January 31, 2019 (unaudited)
Security Description | Principal | Value | ||||||||
TERM LOANS — 58.0% | ||||||||||
Aerospace — 0.6% | ||||||||||
Dynasty Acquisition Co., Inc. (aka StandardAero Holding Corp.), 0.00%, 01/23/26(1)(2) | $ | 143,077 | $ | 142,693 | ||||||
Dynasty Acquisition Co., Inc. (aka StandardAero Holding Corp.), 0.00%, 01/23/26(1)(2) | 76,923 | 76,717 | ||||||||
TransDigm, Inc., 5.00%, (1-Month USD LIBOR + 2.50%), 06/09/23(1) | 177,946 | 174,498 | ||||||||
Total Aerospace | 393,908 | |||||||||
Chemicals — 0.9% | ||||||||||
Kraton Polymers LLC, 5.00%, (1-Month USD LIBOR + 2.50%), 03/08/25(1) | 132,149 | 130,729 | ||||||||
Univar USA, Inc., 4.75%, (1-Month USD LIBOR + 2.25%), 07/01/24(1) | 428,027 | 420,117 | ||||||||
Total Chemicals | 550,846 | |||||||||
Consumer Durables — 0.3% | ||||||||||
Global Appliance, Inc. (aka SharkNinja Operating LLC), 0.00%, 09/29/24(1)(2) | 185,000 | 183,381 | ||||||||
Consumer Non-Durables — 1.7% | ||||||||||
Diamond (BC) B.V., 5.63%, (2-Month USD LIBOR + 3.00%), 09/06/24 (Netherlands)(1) | 356,400 | 337,023 | ||||||||
Kronos Acquisition Intermediate, Inc. (aka KIK Custom Products), 6.50%, (1-Month USD LIBOR + 4.00%), 05/15/23 (Nigeria)(1) | 185,074 | 175,681 | ||||||||
Libbey Glass, Inc., 5.51%, (1-Month USD LIBOR + 3.00%), 04/09/21(1) | 309,621 | 299,043 | ||||||||
Revlon Consumer Products Corp., 6.21%, (3-Month USD LIBOR + 3.50%), 09/07/23(1) | 374,809 | 268,820 | ||||||||
Total Consumer Non-Durables | 1,080,567 | |||||||||
Energy — 3.8% | ||||||||||
California Resources Corp., 7.25%, (1-Month USD LIBOR + 4.75%), 12/31/22(1) | 190,000 | 186,754 | ||||||||
Fieldwood Energy LLC, 7.75%, (1-Month USD LIBOR + 5.25%), 04/11/22(1) | 295,000 | 271,584 | ||||||||
Gavilan Resources, LLC, 8.52%, (1-Month USD LIBOR + 6.00%), 03/01/24(1) | 170,000 | 137,488 | ||||||||
McDermott Technology Americas, Inc., 7.50%, (1-Month USD LIBOR + 5.00%), 05/12/25 (Panama)(1) | 263,013 | 252,967 | ||||||||
MRC Global US., Inc. (fka McJunkin Red Man Corp.), 5.50%, (1-Month USD LIBOR + 3.00%), 09/20/24(1) | 311,850 | 309,511 | ||||||||
Seadrill Operating LP (Seadrill Partners Finco LLC), 8.80%, (3-Month USD LIBOR + 6.00%), 02/21/21 (Marshall Islands)(1) | 478,543 | 386,955 | ||||||||
Traverse Midstream Partners LLC, 6.60%, (3-Month USD LIBOR + 4.00%), 09/27/24 (Turkey)(1) | 209,475 | 209,081 | ||||||||
Ultra Resources, Inc., 6.50%, (1-Month USD LIBOR + 4.00%), 04/12/24(1) | 395,000 | 355,281 | ||||||||
Weatherford International Ltd., 3.93%, (1-Month USD LIBOR + 1.43%), 07/13/20 (Bermuda)(1) | 268,000 | 258,620 | ||||||||
Total Energy | 2,368,241 | |||||||||
Security Description | Principal | Value | ||||||||
TERM LOANS (continued) | ||||||||||
Financials — 3.3% | ||||||||||
Asurion, LLC, 5.50%, (1-Month USD LIBOR + 3.00%), 11/03/23(1) | $ | 288,081 | $ | 284,094 | ||||||
Asurion, LLC (fka Asurion Corp.), 9.00%, (1-Month USD LIBOR + 6.50%), 08/04/25(1) | 387,193 | 390,823 | ||||||||
Blackhawk Network Holdings, Inc., 5.50%, (1-Month USD LIBOR + 3.00%), 06/15/25(1) | 228,850 | 225,360 | ||||||||
Ditech Holding Corp., 8.50%, (1-Month USD LIBOR + 6.00%), 06/30/22(1) | 412,225 | 280,313 | ||||||||
Financial & Risk US Holdings, Inc. (aka Refinitiv), 6.25%, (1-Month USD LIBOR + 3.75%), 10/01/25(1) | 360,000 | 346,360 | ||||||||
iStar, Inc. (fka iStar Financial, Inc.), 5.25%, (1-Month USD LIBOR + 2.75%), 06/28/23(1) | 223,875 | 222,056 | ||||||||
Tempo Acquisition, LLC, 5.50%, (1-Month USD LIBOR + 3.00%), 05/01/24(1) | 268,650 | 264,333 | ||||||||
Total Financials | 2,013,339 | |||||||||
Food and Drug — 0.9% | ||||||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertsons LP / Albertson’s LLC, 5.50%, (1-Month USD LIBOR + 3.00%), 11/17/25(1) | 113,624 | 111,458 | ||||||||
Albertson’s LLC, 5.82%, (3-Month USD LIBOR + 3.00%), 12/21/22(1) | 466,945 | 461,575 | ||||||||
Total Food and Drug | 573,033 | |||||||||
Food/Tobacco — 2.4% | ||||||||||
Chobani, LLC (Chobani Idaho, LLC), 6.00%, (1-Month USD LIBOR + 3.50%), 10/10/23(1) | 267,812 | 257,702 | ||||||||
Dole Food Co., Inc., 5.69%, (3-Month USD LIBOR + 2.75%), 04/06/24(1) | 341,688 | 331,864 | ||||||||
H-Food Holdings, LLC (aka Hearthside Food Solutions, LLC), 6.19%, (1-Month USD LIBOR + 3.69%), 05/23/25(1) | 194,025 | 187,234 | ||||||||
Hostess Brands, LLC, 0.00%, 08/03/22(1)(2) | 342,940 | 332,295 | ||||||||
JBS USA LUX SA, 5.00%, (3-Month USD LIBOR + 2.50%), 10/30/22 (Luxembourg)(1) | 254,771 | 252,622 | ||||||||
Sigma US Corp., 5.80%, (3-Month USD LIBOR + 3.00%), 07/02/25 (Netherlands)(1) | 114,425 | 110,062 | ||||||||
Total Food/Tobacco | 1,471,779 | |||||||||
Forest Prod/Containers — 1.7% | ||||||||||
Berlin Packaging LLC, 5.81%, (3-Month USD LIBOR + 3.00%), 11/07/25 (Mexico)(1) | 258,700 | 249,753 | ||||||||
BWAY Holding Co., 6.03%, (3-Month USD LIBOR + 3.25%), 04/03/24(1) | 298,982 | 289,080 | ||||||||
Klockner Pentaplast of America, Inc. (fka Kleopatra Acquisition Corp.), 6.75%, (1-Month USD LIBOR + 4.25%), 06/30/22(1) | 413,906 | 358,807 | ||||||||
Trident TPI Holdings, Inc., 5.75%, (1-Month USD LIBOR + 3.25%), 10/17/24(1) | 143,649 | 138,981 | ||||||||
Total Forest Prod/Containers | 1,036,621 | |||||||||
Gaming/Leisure — 4.4% | ||||||||||
Caesars Resort Collection, LLC, 5.25%, (1-Month USD LIBOR + 2.75%), 12/23/24(1) | 494,603 | 488,608 | ||||||||
CityCenter Holdings, LLC, 4.75%, (1-Month USD LIBOR + 2.25%), 04/18/24(1) | 253,278 | 249,184 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF(continued)
January 31, 2019 (unaudited)
Security Description | Principal | Value | ||||||||
TERM LOANS (continued) | ||||||||||
Gaming/Leisure (continued) | ||||||||||
Everi Payments, Inc., 5.50%, (1-Month USD LIBOR + 3.00%), 05/09/24(1) | $ | 369,375 | $ | 364,296 | ||||||
Golden Nugget, Inc. (aka Landry’s, Inc.), 5.25%, (1-Month USD LIBOR + 2.75%), 10/04/23(1) | 178,129 | 175,656 | ||||||||
GVC Holdings PLC, 5.00%, (1-Month USD LIBOR + 2.50%), 03/29/24(1) | 223,313 | 221,303 | ||||||||
Playa Resorts Holding B.V., 5.25%, (1-Month USD LIBOR + 2.75%), 04/29/24(1) | 188,600 | 182,706 | ||||||||
Scientific Games International, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 08/14/24(1) | 233,238 | 226,458 | ||||||||
Stars Group Holdings B.V., 6.30%, (3-Month USD LIBOR + 3.50%), 07/10/25(1) | 94,525 | 93,800 | ||||||||
Station Casinos LLC, 5.00%, (1-Month USD LIBOR + 2.50%), 06/08/23(1) | 350,339 | 346,879 | ||||||||
UFC Holdings, LLC, 5.75%, (1-Month USD LIBOR + 3.25%), 08/18/23(1) | 355,230 | 353,120 | ||||||||
Total Gaming/Leisure | 2,702,010 | |||||||||
Health Care — 7.3% | ||||||||||
AHP Health Partners, Inc. (aka Ardent Health Partners, LLC), 7.00%, (1-Month USD LIBOR + 4.50%), 06/30/25(1) | 233,825 | 232,899 | ||||||||
Amneal Pharmaceuticals LLC, 6.00%, (1-Month USD LIBOR + 3.50%), 05/04/25(1) | 313,352 | 311,262 | ||||||||
Bausch Health Companies, Inc. (fka Valeant Pharmaceuticals International, Inc.), 5.51%, (1-Month USD LIBOR + 3.00%), 06/02/25 (Canada)(1) | 274,060 | 271,537 | ||||||||
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), 5.25%, (1-Month USD LIBOR + 2.75%), 03/01/24(1) | 286,001 | 280,317 | ||||||||
CHS / Community Health Systems, Inc., 5.96%, (3-Month USD LIBOR + 3.25%), 01/27/21(1) | 236,300 | 232,903 | ||||||||
Envision Health Care Corp., 6.25%, (1-Month USD LIBOR + 3.75%), 10/10/25(1) | 423,675 | 400,267 | ||||||||
Greatbatch Ltd., 5.51%, (1-Month USD LIBOR + 3.00%), 10/27/22(1) | 185,000 | 183,728 | ||||||||
Iqvia, Inc. (Quintiles IMS), 4.25%, (1-Month USD LIBOR + 1.75%), 06/11/25(1) | 298,500 | 294,396 | ||||||||
NVA Holdings, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 02/02/25(1) | 342,417 | 328,720 | ||||||||
Ortho-Clinical Diagnostics, Inc., 5.76%, (1-Month USD LIBOR + 3.25%), 06/30/25(1) | 420,334 | 407,594 | ||||||||
Parexel International Corp., 5.25%, (1-Month USD LIBOR + 2.75%), 09/27/24(1) | 69,125 | 65,677 | ||||||||
PharMerica Corp., 6.01%, (1-Month USD LIBOR + 3.50%), 12/06/24(1) | 64,513 | 64,422 | ||||||||
Prospect Medical Holdings, Inc., 8.06%, (1-Month USD LIBOR + 5.50%), 02/22/24(1) | 148,875 | 148,131 | ||||||||
Regionalcare Hospital Partners Holdings, Inc., 7.13%, (3-Month USD LIBOR + 4.50%), 11/16/25(1) | 225,000 | 220,050 | ||||||||
Select Medical Corp., 7.00%, (3-Month USD LIBOR + 1.50%), 03/06/25(1) | 343,875 | 340,866 | ||||||||
Sterigenics-Nordion Holdings, LLC, 5.50%, (1-Month USD LIBOR + 3.00%), 05/15/22(1) | 256,225 | 250,414 | ||||||||
Surgery Partners, LLC, 5.75%, (1-Month USD LIBOR + 3.25%), 09/02/24(1) | 227,125 | 221,731 | ||||||||
Security Description | Principal | Value | ||||||||
TERM LOANS (continued) | ||||||||||
Health Care (continued) | ||||||||||
U.S. Renal Care, Inc., 7.05%, (3-Month USD LIBOR + 4.25%), 12/30/22(1) | $ | 283,984 | $ | 278,304 | ||||||
Total Health Care | 4,533,218 | |||||||||
Housing — 2.0% | ||||||||||
American Builders & Contractors Supply Co., Inc., 4.50%, (1-Month USD LIBOR + 2.00%), 10/31/23 (Mexico)(1) | 238,785 | 233,591 | ||||||||
Capital Automotive L.P., 8.50%, (1-Month USD LIBOR + 6.00%), 03/24/25 (Chile)(1) | 343,594 | 343,273 | ||||||||
CPG International LLC (fka CPG International, Inc.), 6.63%, (3-Month USD LIBOR + 3.75%), 05/05/24(1) | 192,994 | 187,083 | ||||||||
Quikrete Holdings, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 11/15/23(1) | 212,424 | 206,400 | ||||||||
Siteone Landscape Supply, LLC (fka John Deere Landscapes LLC), 5.26%, (1-Month USD LIBOR + 2.75%), 10/29/24(1) | 267,046 | 264,542 | ||||||||
Total Housing | 1,234,889 | |||||||||
Information Technology — 5.1% | ||||||||||
Applied Systems, Inc., 5.50%, (1-Month USD LIBOR + 3.00%), 09/19/24(1) | 376,242 | 368,153 | ||||||||
Applied Systems, Inc., 9.50%, (1-Month USD LIBOR + 7.00%), 09/19/25(1) | 60,000 | 60,100 | ||||||||
Blackboard, Inc., 7.78%, (3-Month USD LIBOR + 5.00%), 06/30/21(1) | 248,303 | 233,715 | ||||||||
BMC Software Finance, Inc., 7.05%, (3-Month USD LIBOR + 4.25%), 10/02/25(1) | 430,000 | 420,710 | ||||||||
Go Daddy Operating Company, LLC (GD Finance Co, Inc.), 4.75%, (1-Month USD LIBOR + 2.25%), 02/15/24(1) | 300,000 | 296,785 | ||||||||
Kronos, Inc., 5.54%, (3-Month USD LIBOR + 3.00%), 11/01/23 (Oman)(1) | 452,880 | 444,814 | ||||||||
Presidio LLC (fka Presidio, Inc.), 5.25%, (3-Month USD LIBOR + 2.75%), 02/02/24(1) | 238,883 | 236,394 | ||||||||
Rackspace Hosting, Inc., 5.58%, (3-Month USD LIBOR + 3.00%), 11/03/23(1) | 182,324 | 169,582 | ||||||||
SS&C Technologies, Inc., 4.75%, (1-Month USD LIBOR + 2.25%), 04/16/25(1) | 159,598 | 156,835 | ||||||||
SS&C Technologies, Inc., 4.75%, (1-Month USD LIBOR + 2.25%), 04/16/25(1) | 198,746 | 195,033 | ||||||||
SS&C Technologies, Inc., 4.75%, (1-Month USD LIBOR + 2.25%), 04/16/25(1) | 75,929 | 74,511 | ||||||||
Vertafore, Inc., 6.05%, (3-Month USD LIBOR + 3.25%), 07/02/25(1) | 505,000 | 491,360 | ||||||||
Total Information Technology | 3,147,992 | |||||||||
Manufacturing — 3.9% | ||||||||||
Accudyne Industries Borrower SCA, 5.50%, (1-Month USD LIBOR + 3.00%), 08/18/24(1) | 328,683 | 321,357 | ||||||||
Brand Energy & Infrastructure Services, Inc. (fka FR Brand Acquisition Corp.), 7.01%, (3-Month USD LIBOR + 4.25%), 06/21/24(1) | 378,592 | 363,651 | ||||||||
CPI Acquisition, Inc., 7.35%, (3-Month USD LIBOR + 4.50%), 08/17/22(1) | 630,638 | 407,550 | ||||||||
Filtration Group Corp., 5.50%, (1-Month USD LIBOR + 3.00%), 03/29/25 (Israel)(1) | 190,000 | 188,734 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF(continued)
January 31, 2019 (unaudited)
Security Description | Principal | Value | ||||||||
TERM LOANS (continued) | ||||||||||
Manufacturing (continued) | ||||||||||
Gardner Denver, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 07/30/24(1) | $ | 330,439 | $ | 329,160 | ||||||
Gates Global LLC, 5.25%, (1-Month USD LIBOR + 2.75%), 04/01/24(1) | 435,764 | 427,668 | ||||||||
RBS Global, Inc. (Rexnord LLC), 4.50%, (1-Month USD LIBOR + 2.00%), 08/21/24(1) | 172,188 | 171,080 | ||||||||
Titan Acquisition Ltd. / Titan Co.-Borrower LLC, 5.50%, (1-Month USD LIBOR + 3.00%), 03/28/25 (Canada)(1) | 233,238 | 220,378 | ||||||||
Total Manufacturing | 2,429,578 | |||||||||
Media/Telecom - Broadcasting — 0.9% | ||||||||||
Sinclair Television Group, Inc., 4.75%, (1-Month USD LIBOR + 2.25%), 01/03/24(1) | 196,000 | 194,938 | ||||||||
Univision Communications, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 03/15/24(1) | 386,090 | 360,934 | ||||||||
Total Media/Telecom - Broadcasting | 555,872 | |||||||||
Media/Telecom - Cable/Wireless Video — 2.3% | ||||||||||
CSC Holdings, LLC, 4.76%, (1-Month USD LIBOR + 2.25%), 01/15/26(1) | 165,000 | 159,431 | ||||||||
Radiate Holdco, LLC (aka RCN Grande), 5.50%, (1-Month USD LIBOR + 3.00%), 02/01/24(1) | 262,000 | 254,795 | ||||||||
Telenet Financing USD LLC, 4.76%, (3-Month USD LIBOR + 2.25%), 08/15/26(1) | 350,000 | 341,632 | ||||||||
UPC Financing Partnership, 5.01%, (1-Month USD LIBOR + 2.50%), 01/15/26(1) | 262,367 | 258,998 | ||||||||
Ziggo Secured Finance Partnership, 5.01%, (1-Month USD LIBOR + 2.50%), 04/15/25(1) | 445,000 | 431,285 | ||||||||
Total Media/Telecom - Cable/Wireless Video | 1,446,141 | |||||||||
Media/Telecom - Diversified Media — 1.0% | ||||||||||
Cineworld Finance US, Inc., 5.00%, (1-Month USD LIBOR + 2.50%), 02/28/25 (Kazakhstan)(1) | 267,975 | 262,214 | ||||||||
Delta 2 LUX S.a.r.l, 5.00%, (1-Month USD LIBOR + 2.50%), 02/01/24 (United Kingdom)(1) | 245,653 | 237,260 | ||||||||
Meredith Corp., 5.25%, (1-Month USD LIBOR + 2.75%), 01/31/25(1) | 105,701 | 105,239 | ||||||||
Total Media/Telecom - Diversified Media | 604,713 | |||||||||
Media/Telecom - Telecommunications — 2.2% | ||||||||||
CenturyLink, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 01/31/25(1) | 170,480 | 163,328 | ||||||||
Communications Sales & Leasing, Inc. (CSL Capital, LLC), 5.50%, (1-Month USD LIBOR + 3.00%), 10/24/22(1) | 268,775 | 252,761 | ||||||||
Frontier Communications Corp., 6.25%, (1-Month USD LIBOR + 3.75%), 06/15/24(1) | 139,293 | 133,591 | ||||||||
Level 3 Financing, Inc., 4.76%, (1-Month USD LIBOR + 2.25%), 02/22/24(1) | 260,000 | 255,897 | ||||||||
Numericable U.S. LLC, 5.25%, (1-Month USD LIBOR + 2.75%), 07/31/25(1) | 355,164 | 328,527 | ||||||||
Securus Technologies Holdings, Inc., 0.00%, 11/01/24(1)(2) | 32,000 | 31,200 | ||||||||
West Corp., 6.50%, (1-Month USD LIBOR + 4.00%), 10/10/24(1) | 209,536 | 192,987 | ||||||||
Total Media/Telecom - Telecommunications | 1,358,291 | |||||||||
Security Description | Principal | Value | ||||||||
TERM LOANS (continued) | ||||||||||
Media/Telecom - Wireless Communications — 0.7% | ||||||||||
Digicel International Finance Ltd., 5.96%, (3-Month USD LIBOR + 3.25%), 05/27/24(1) | $ | 148,125 | $ | 136,583 | ||||||
Sprint Corp., 5.50%, (1-Month USD LIBOR + 3.00%), 02/02/24(1) | 320,000 | 316,101 | ||||||||
Total Media/Telecom - Wireless Communications | 452,684 | |||||||||
Metals/Minerals — 0.4% | ||||||||||
GrafTech Finance, Inc., 6.00%, (1-Month USD LIBOR + 3.50%), 02/12/25(1) | 232,519 | 228,741 | ||||||||
Retail — 1.2% | ||||||||||
Bass Pro Group, LLC, 7.50%, (1-Month USD LIBOR + 5.00%), 09/25/24(1) | 319,634 | 316,677 | ||||||||
Neiman Marcus Group, Inc. (The), 5.76%, (1-Month USD LIBOR + 3.25%), 10/25/20(1) | 275,397 | 244,966 | ||||||||
PetSmart, Inc., 5.52%, (1-Month USD LIBOR + 3.00%), 03/11/22(1) | 245,814 | 206,736 | ||||||||
Total Retail | 768,379 | |||||||||
Service — 7.0% | ||||||||||
AlixPartners, LLP, 5.25%, (1-Month USD LIBOR + 2.75%), 04/04/24(1) | 394,195 | 390,253 | ||||||||
Allied Universal Holdco LLC (fka USAGM Holdco, LLC), 6.75%, (1-Month USD LIBOR + 4.25%), 07/28/22(1) | 190,000 | 184,004 | ||||||||
CEVA Logistics Finance B.V., 6.55%, (3-Month USD LIBOR + 3.75%), 08/04/25(1) | 194,513 | 192,811 | ||||||||
First Data Corp., 4.52%, (1-Month USD LIBOR + 2.00%), 07/08/22(1) | 295,977 | 295,171 | ||||||||
GFL Environmental, Inc., 5.50%, (1-Month USD LIBOR + 3.00%), 05/30/25(1) | 254,361 | 246,023 | ||||||||
Greenrock Finance, Inc., 6.30%, (3-Month USD LIBOR + 3.50%), 06/28/24(1) | 152,650 | 151,506 | ||||||||
Laureate Education, Inc., 8.00%, (3-Month USD LIBOR + 2.50%), 04/26/24(1) | 314,417 | 313,501 | ||||||||
One Call Corp., 7.76%, (1-Month USD LIBOR + 5.25%), 11/27/22(1) | 218,591 | 194,205 | ||||||||
PI UK Holdco II Limited, 6.00%, (1-Month USD LIBOR + 3.50%), 01/03/25(1) | 192,357 | 188,317 | ||||||||
Red Ventures, LLC, 5.50%, (1-Month USD LIBOR + 3.00%), 11/08/24(1) | 313,078 | 310,681 | ||||||||
Sedgwick Claims Management Services, Inc., 5.75%, (1-Month USD LIBOR + 3.25%), 12/31/25(1) | 335,000 | 327,322 | ||||||||
Spin Holdco, Inc., 6.03%, (3-Month USD LIBOR + 3.25%), 11/14/22(1) | 269,934 | 264,467 | ||||||||
TKC Holdings, Inc., 6.25%, (1-Month USD LIBOR + 3.75%), 02/01/23(1) | 376,545 | 366,033 | ||||||||
Trans Union LLC, 4.50%, (1-Month USD LIBOR + 2.00%), 06/19/25(1) | 439,800 | 435,008 | ||||||||
WEX, Inc., 4.75%, (1-Month USD LIBOR + 2.25%), 06/30/23(1) | 476,749 | 470,704 | ||||||||
Total Service | 4,330,006 | |||||||||
Transportation - Automotive — 2.4% | ||||||||||
Accuride Corp., 8.05%, (3-Month USD LIBOR + 5.25%), 11/17/23(1) | 197,038 | 182,260 | ||||||||
American Axle & Manufacturing, Inc., 4.76%, (1-Month USD LIBOR + 2.25%), 04/06/24(1) | 249,359 | 241,411 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF(continued)
January 31, 2019 (unaudited)
Security Description | Principal | Value | ||||||||
TERM LOANS (continued) | ||||||||||
Transportation - Automotive (continued) | ||||||||||
DexKo Global, Inc., 6.00%, (1-Month USD LIBOR + 3.50%), 07/24/24(1) | $ | 250,359 | $ | 247,073 | ||||||
Navistar, Inc., 6.02%, (1-Month USD LIBOR + 3.50%), 11/06/24(1) | 415,800 | 410,345 | ||||||||
Tenneco, Inc., 5.25%, (1-Month USD LIBOR + 2.75%), 10/01/25(1) | 320,000 | 313,733 | ||||||||
Wand Newco 3, Inc. (aka Caliber Collision), 0.00%, 01/23/26(1)(2) | 105,000 | 104,978 | ||||||||
Total Transportation - Automotive | 1,499,800 | |||||||||
Utilities — 1.6% | ||||||||||
Brookfield WEC Holdings, Inc. (aka Westinghouse Electric Co. LLC), 6.25%, (1-Month USD LIBOR + 3.75%), 08/01/25(1) | 240,000 | 239,208 | ||||||||
Brookfield WEC Holdings, Inc. (aka Westinghouse Electric Co. LLC), 9.25%, (1-Month USD LIBOR + 6.75%), 08/03/26(1) | 135,000 | 135,042 | ||||||||
Lightstone Holdco LLC, 6.25%, (1-Month USD LIBOR + 3.75%), 01/30/24(1) | 7,075 | 6,822 | ||||||||
Lightstone Holdco LLC, 6.25%, (1-Month USD LIBOR + 3.75%), 01/30/24(1) | 128,326 | 123,746 | ||||||||
Talen Energy Supply, LLC, 6.50%, (1-Month USD LIBOR + 4.00%), 04/15/24(1) | 340,137 | 336,918 | ||||||||
Vistra Operations Co. LLC (fka Tex Operations Co. LLC), 4.51%, (1-Month USD LIBOR + 2.00%), 12/31/25(1) | 179,100 | 176,090 | ||||||||
Total Utilities | 1,017,826 | |||||||||
Total Term Loans | ||||||||||
(Cost $37,185,998) | 35,981,855 | |||||||||
CORPORATE BONDS — 30.2% | ||||||||||
Communication Services — 4.7% | ||||||||||
Cablevision Systems Corp., 5.88%, 09/15/22 | 190,000 | 191,425 | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.13%, 05/01/27(3) | 140,000 | 135,800 | ||||||||
Cincinnati Bell, Inc., 7.00%, 07/15/24(3) | 175,000 | 151,812 | ||||||||
Clear Channel Worldwide Holdings, Inc., 7.63%, 03/15/20 | 295,000 | 295,737 | ||||||||
CSC Holdings LLC, 6.75%, 11/15/21 | 120,000 | 126,336 | ||||||||
CSC Holdings LLC, 7.50%, 04/01/28(3) | 200,000 | 206,500 | ||||||||
DISH DBS Corp., 5.00%, 03/15/23 | 175,000 | 152,906 | ||||||||
DISH DBS Corp., 7.75%, 07/01/26 | 130,000 | 112,288 | ||||||||
Frontier Communications Corp., 8.50%, 04/15/20 | 110,000 | 99,825 | ||||||||
Frontier Communications Corp., 7.63%, 04/15/24 | 180,000 | 98,550 | ||||||||
Frontier Communications Corp., 8.50%, 04/01/26(3) | 55,000 | 50,036 | ||||||||
iHeartCommunications, Inc., 9.00%, 12/15/19(4) | 150,000 | 101,250 | ||||||||
Level 3 Financing, Inc., 5.38%, 01/15/24 | 250,000 | 249,375 | ||||||||
Live Nation Entertainment, Inc., 5.63%, 03/15/26(3) | 220,000 | 222,750 | ||||||||
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance, 7.88%, 05/15/24(3) | 185,000 | 139,444 | ||||||||
Meredith Corp., 6.88%, 02/01/26(3) | 180,000 | 185,850 | ||||||||
Sprint Corp., 7.88%, 09/15/23 | 165,000 | 175,725 | ||||||||
Security Description | Principal | Value | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Communication Services (continued) | ||||||||||
Univision Communications, Inc., 5.13%, 05/15/23(3) | $ | 115,000 | $ | 107,813 | ||||||
West Corp., 8.50%, 10/15/25(3) | 120,000 | 100,650 | ||||||||
Zayo Group LLC / Zayo Capital, Inc., 5.75%, 01/15/27(3) | 50,000 | 48,435 | ||||||||
Total Communication Services | 2,952,507 | |||||||||
Consumer Discretionary — 5.0% | ||||||||||
American Greetings Corp., 8.75%, 04/15/25(3) | 185,000 | 170,662 | ||||||||
Beazer Homes USA, Inc., 6.75%, 03/15/25 | 90,000 | 80,887 | ||||||||
Beazer Homes USA, Inc., 5.88%, 10/15/27 | 170,000 | 145,350 | ||||||||
Boyd Gaming Corp., 6.38%, 04/01/26 | 365,000 | 374,125 | ||||||||
Boyne USA, Inc., 7.25%, 05/01/25(3) | 90,000 | 95,175 | ||||||||
Caesars Resort Collection LLC / CRC Finco, Inc., 5.25%, 10/15/25(3) | 215,000 | 200,982 | ||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 02/15/23(3) | 100,000 | 99,000 | ||||||||
Eldorado Resorts, Inc., 6.00%, 09/15/26(3) | 75,000 | 75,188 | ||||||||
frontdoor, Inc., 6.75%, 08/15/26(3) | 35,000 | 34,825 | ||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(3) | 170,000 | 170,425 | ||||||||
Hilton Domestic Operating Co., Inc., 5.13%, 05/01/26(3) | 85,000 | 85,850 | ||||||||
Lennar Corp., 5.25%, 06/01/26 | 175,000 | 171,281 | ||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc., 5.75%, 02/01/27(3) | 105,000 | 106,181 | ||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.50%, 01/15/28 | 125,000 | 116,563 | ||||||||
MGM Resorts International, 5.75%, 06/15/25 | 130,000 | 131,300 | ||||||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(3) | 145,000 | 65,975 | ||||||||
Scientific Games International, Inc., 6.63%, 05/15/21 | 75,000 | 74,625 | ||||||||
Servicemaster Co. LLC (The), 5.13%, 11/15/24(3) | 60,000 | 58,800 | ||||||||
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.88%, 06/15/24 | 250,000 | 241,875 | ||||||||
Viking Cruises Ltd., 5.88%, 09/15/27(3) | 180,000 | 176,400 | ||||||||
Vista Outdoor, Inc., 5.88%, 10/01/23 | 135,000 | 126,225 | ||||||||
Weekley Homes LLC / Weekley Finance Corp., 6.63%, 08/15/25 | 160,000 | 148,000 | ||||||||
William Lyon Homes, Inc., 6.00%, 09/01/23 | 150,000 | 137,625 | ||||||||
Total Consumer Discretionary | 3,087,319 | |||||||||
Consumer Staples — 1.5% | ||||||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertsons LP / Albertson’s LLC, 5.75%, 03/15/25 | 70,000 | 65,887 | ||||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertsons LP / Albertson’s LLC, 7.50%, 03/15/26(3) | 45,000 | 45,225 | ||||||||
Cumberland Farms, Inc., 6.75%, 05/01/25(3) | 135,000 | 137,362 | ||||||||
Dole Food Co., Inc., 7.25%, 06/15/25(3) | 265,000 | 242,475 | ||||||||
Matterhorn Merger Sub LLC / Matterhorn Finance Sub, Inc., 8.50%, 06/01/26(3) | 105,000 | 93,975 | ||||||||
Post Holdings, Inc., 5.50%, 03/01/25(3) | 150,000 | 149,813 | ||||||||
Prestige Brands, Inc., 6.38%, 03/01/24(3) | 200,000 | 200,000 | ||||||||
Total Consumer Staples | 934,737 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF(continued)
January 31, 2019 (unaudited)
Security Description | Principal | Value | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Energy — 4.3% | ||||||||||
American Midstream Partners LP / American Midstream Finance Corp., 9.50%, 12/15/21(3) | $ | 80,000 | $ | 74,800 | ||||||
Bristow Group, Inc., 8.75%, 03/01/23(3) | 105,000 | 88,331 | ||||||||
California Resources Corp., 8.00%, 12/15/22(3) | 160,000 | 128,800 | ||||||||
Callon Petroleum Co., 6.13%, 10/01/24 | 118,000 | 119,180 | ||||||||
Cheniere Corpus Christi Holdings LLC, 5.88%, 03/31/25 | 165,000 | 173,456 | ||||||||
Cheniere Energy Partners LP, 5.63%, 10/01/26(3) | 125,000 | 125,607 | ||||||||
Chesapeake Energy Corp., 8.00%, 06/15/27 | 195,000 | 187,875 | ||||||||
Citgo Holding, Inc., 10.75%, 02/15/20(3) | 135,000 | 137,362 | ||||||||
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(3) | 190,000 | 183,112 | ||||||||
CSI Compressco LP / CSI Compressco Finance, Inc., 7.25%, 08/15/22 | 65,000 | 57,850 | ||||||||
Denbury Resources, Inc., 9.25%, 03/31/22(3) | 128,000 | 126,400 | ||||||||
Denbury Resources, Inc., 7.50%, 02/15/24(3) | 135,000 | 118,800 | ||||||||
EP Energy LLC / Everest Acquisition Finance, Inc., 8.00%, 11/29/24(3) | 80,000 | 64,400 | ||||||||
EP Energy LLC / Everest Acquisition Finance, Inc., 8.00%, 02/15/25(3) | 60,000 | 29,925 | ||||||||
EP Energy LLC / Everest Acquisition Finance, Inc., 7.75%, 05/15/26(3) | 95,000 | 87,875 | ||||||||
Jagged Peak Energy LLC, 5.88%, 05/01/26(3) | 135,000 | 130,950 | ||||||||
Nabors Industries, Inc., 5.75%, 02/01/25 | 90,000 | 78,750 | ||||||||
Range Resources Corp., 5.00%, 03/15/23 | 70,000 | 66,763 | ||||||||
Sanchez Energy Corp., 7.25%, 02/15/23(3) | 70,000 | 59,325 | ||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.88%, 04/15/26(3) | 200,000 | 202,750 | ||||||||
Transocean, Inc., 9.00%, 07/15/23(3) | 115,000 | 120,426 | ||||||||
Transocean, Inc., 7.50%, 01/15/26(3) | 70,000 | 66,938 | ||||||||
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 04/01/26 | 190,000 | 190,950 | ||||||||
Vine Oil & Gas LP / Vine Oil & Gas Finance Corp., 8.75%, 04/15/23(3) | 80,000 | 66,200 | ||||||||
Total Energy | 2,686,825 | |||||||||
Financials — 2.7% | ||||||||||
Acrisure, LLC / Acrisure Finance, Inc., 8.13%, 02/15/24(3) | 60,000 | 61,140 | ||||||||
Huntington Bancshares, Inc., 5.70%, (3-Month USD LIBOR + 2.88%), perpetual(1)(5) | 135,000 | 127,350 | ||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.88%, 02/01/22 | 65,000 | 65,738 | ||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.25%, 02/01/22 | 80,000 | 82,300 | ||||||||
iStar, Inc., 6.00%, 04/01/22 | 100,000 | 100,000 | ||||||||
iStar, Inc., 5.25%, 09/15/22 | 80,000 | 78,960 | ||||||||
KeyCorp, 5.00%, (3-Month USD LIBOR + 3.61%), perpetual(1)(5) | 165,000 | 156,178 | ||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 5.88%, 08/01/21(3) | 210,000 | 213,150 | ||||||||
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.50%, 07/01/21 | 60,000 | 60,000 | ||||||||
Navient Corp., 6.50%, 06/15/22 | 169,000 | 173,064 | ||||||||
Navient Corp., 7.25%, 09/25/23 | 40,000 | 40,750 | ||||||||
Navient Corp., 6.75%, 06/25/25 | 150,000 | 144,563 | ||||||||
Springleaf Finance Corp., 6.13%, 05/15/22 | 215,000 | 222,078 | ||||||||
Springleaf Finance Corp., 6.88%, 03/15/25 | 65,000 | 62,400 | ||||||||
Security Description | Principal | Value | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Financials (continued) | ||||||||||
Springleaf Finance Corp., 7.13%, 03/15/26 | $ | 80,000 | $ | 76,350 | ||||||
Synovus Financial Corp., 5.90%, (USD 5 Year Swap + 3.38%), 02/07/29(1) | 36,000 | 36,000 | ||||||||
Total Financials | 1,700,021 | |||||||||
Health Care — 5.6% | ||||||||||
Avantor, Inc., 6.00%, 10/01/24(3) | 200,000 | 204,942 | ||||||||
Avantor, Inc., 9.00%, 10/01/25(3) | 155,000 | 160,425 | ||||||||
Bausch Health Cos., Inc., 5.50%, 11/01/25(3) | 250,000 | 250,278 | ||||||||
Bausch Health Cos., Inc., 9.00%, 12/15/25(3) | 90,000 | 96,020 | ||||||||
Centene Corp., 5.38%, 06/01/26(3) | 35,000 | 36,367 | ||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 03/01/25(3) | 80,000 | 76,900 | ||||||||
Charles River Laboratories International, Inc., 5.50%, 04/01/26(3) | 80,000 | 82,000 | ||||||||
DaVita, Inc., 5.13%, 07/15/24 | 145,000 | 143,231 | ||||||||
DJO Finance LLC / DJO Finance Corp., 8.13%, 06/15/21(3) | 140,000 | 145,838 | ||||||||
Eagle Holding Co. II LLC, 7.63%, 05/15/22(3)(6) | 185,000 | 185,462 | ||||||||
Elanco Animal Health, Inc., 4.27%, 08/28/23(3) | 62,000 | 62,508 | ||||||||
HCA, Inc., 5.38%, 02/01/25 | 215,000 | 222,458 | ||||||||
HCA, Inc., 5.63%, 09/01/28 | 335,000 | 347,040 | ||||||||
HCA, Inc., 5.88%, 02/01/29 | 30,000 | 31,462 | ||||||||
MPH Acquisition Holdings LLC, 7.13%, 06/01/24(3) | 125,000 | 124,438 | ||||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(3) | 80,000 | 77,600 | ||||||||
Polaris Intermediate Corp., 8.50%, 12/01/22(3)(6) | 65,000 | 62,644 | ||||||||
Sotera Health Holdings, LLC, 6.50%, 05/15/23(3) | 145,000 | 146,450 | ||||||||
Surgery Center Holdings, Inc., 8.88%, 04/15/21(3) | 105,000 | 107,625 | ||||||||
Tenet Healthcare Corp., 8.13%, 04/01/22 | 115,000 | 120,606 | ||||||||
Tenet Healthcare Corp., 5.13%, 05/01/25 | 60,000 | 58,763 | ||||||||
Tenet Healthcare Corp., 7.00%, 08/01/25 | 270,000 | 261,398 | ||||||||
Tenet Healthcare Corp., 6.25%, 02/01/27(3) | 110,000 | 111,788 | ||||||||
Valeant Pharmaceuticals International, 8.50%, 01/31/27(3) | 130,000 | 136,175 | ||||||||
WellCare Health Plans, Inc., 5.25%, 04/01/25 | 75,000 | 76,781 | ||||||||
West Street Merger Sub, Inc., 6.38%, 09/01/25(3) | 150,000 | 136,500 | ||||||||
Total Health Care | 3,465,699 | |||||||||
Industrials — 1.5% | ||||||||||
Compass Group Diversified Holdings LLC, 8.00%, 05/01/26(3) | 70,000 | 71,050 | ||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(3) | 130,000 | 125,125 | ||||||||
Hillman Group, Inc. (The), 6.38%, 07/15/22(3) | 115,000 | 94,300 | ||||||||
Navistar International Corp., 6.63%, 11/01/25(3) | 180,000 | 180,900 | ||||||||
New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(3) | 70,000 | 70,350 | ||||||||
TransDigm, Inc., 6.50%, 05/15/25 | 145,000 | 141,194 | ||||||||
TransDigm, Inc., 6.38%, 06/15/26 | 125,000 | 120,781 | ||||||||
Vertiv Intermediate Holding Corp., 12.00%, 02/15/22(3)(6) | 150,000 | 143,437 | ||||||||
Total Industrials | 947,137 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF(continued)
January 31, 2019 (unaudited)
Security Description | Principal | Value | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Information Technology — 0.8% | ||||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26(3) | $ | 90,000 | $ | 85,950 | ||||||
Exela Intermediate LLC / Exela Finance, Inc., 10.00%, 07/15/23(3) | 165,000 | 166,031 | ||||||||
Infor US, Inc., 6.50%, 05/15/22 | 100,000 | 102,125 | ||||||||
Radiate Holdco LLC / Radiate Finance, Inc., 6.63%, 02/15/25(3) | 95,000 | 88,588 | ||||||||
ViaSat, Inc., 5.63%, 09/15/25(3) | 75,000 | 70,875 | ||||||||
Total Information Technology | 513,569 | |||||||||
Materials — 2.0% | ||||||||||
Cornerstone Chemical Co., 6.75%, 08/15/24(3) | 60,000 | 56,850 | ||||||||
Greif, Inc., 6.50%, 03/01/27(3) | 120,000 | 120,900 | ||||||||
Hexion, Inc., 13.75%, 02/01/22(3) | 200,000 | 93,000 | ||||||||
Hexion, Inc., 10.38%, 02/01/22(3) | 60,000 | 48,300 | ||||||||
Kraton Polymers LLC / Kraton Polymers Capital Corp., 7.00%, 04/15/25(3) | 165,000 | 161,700 | ||||||||
LSB Industries, Inc., 9.63%, 05/01/23(3) | 135,000 | 138,038 | ||||||||
Platform Specialty Products Corp., 5.88%, 12/01/25(3) | 90,000 | 90,225 | ||||||||
Owens-Brockway Glass Container, Inc., 6.38%, 08/15/25(3) | 165,000 | 173,250 | ||||||||
Schweitzer-Mauduit International, Inc., 6.88%, 10/01/26(3) | 120,000 | 115,500 | ||||||||
Trident Merger Sub, Inc., 6.63%, 11/01/25(3) | 140,000 | 130,900 | ||||||||
U.S. Steel Corp., 6.25%, 03/15/26 | 100,000 | 91,000 | ||||||||
Total Materials | 1,219,663 | |||||||||
Real Estate — 0.5% | ||||||||||
ESH Hospitality, Inc., 5.25%, 05/01/25(3) | 155,000 | 153,621 | ||||||||
MPT Operating Partnership LP / MPT Finance Corp., 5.00%, 10/15/27 | 80,000 | 78,080 | ||||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 7.13%, 12/15/24(3) | 65,000 | 57,687 | ||||||||
Total Real Estate | 289,388 | |||||||||
Utilities — 1.6% | ||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp., 5.50%, 05/20/25 | 85,000 | 83,725 | ||||||||
Calpine Corp., 5.38%, 01/15/23 | 345,000 | 336,375 | ||||||||
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp., 8.63%, 06/15/20 | 80,000 | 59,900 | ||||||||
NRG Energy, Inc., 5.75%, 01/15/28 | 105,000 | 106,580 | ||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.50%, 06/01/24 | 110,000 | 108,625 | ||||||||
TerraForm Power Operating LLC, 4.25%, 01/31/23(3) | 120,000 | 117,900 | ||||||||
TerraForm Power Operating LLC, 5.00%, 01/31/28(3) | 165,000 | 153,863 | ||||||||
Total Utilities | 966,968 | |||||||||
Total Corporate Bonds | ||||||||||
(Cost $19,451,891) | 18,763,833 | |||||||||
Security Description | Principal | Value | ||||||||
FOREIGN BONDS — 4.6% | ||||||||||
Communication Services — 0.4% | ||||||||||
Altice Luxembourg SA, 7.63%, 02/15/25 (Luxembourg)(3) | $ | 310,000 | $ | 264,662 | ||||||
Consumer Discretionary — 0.2% | ||||||||||
Gateway Casinos & Entertainment Ltd., 8.25%, 03/01/24 (Canada)(3) | 135,000 | 139,725 | ||||||||
Consumer Staples — 0.2% | ||||||||||
Kronos Acquisition Holdings, Inc., 9.00%, 08/15/23 (Canada)(3) | 150,000 | 127,500 | ||||||||
Energy — 0.2% | ||||||||||
Petroleos Mexicanos, 4.63%, 09/21/23 (Mexico) | 65,000 | 61,645 | ||||||||
Petroleos Mexicanos, 5.35%, 02/12/28 (Mexico) | 70,000 | 61,425 | ||||||||
Total Energy | 123,070 | |||||||||
Health Care — 0.1% | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (Israel) | 65,000 | 54,068 | ||||||||
Industrials — 0.9% | ||||||||||
Bombardier, Inc., 7.50%, 12/01/24 (Canada)(3) | 115,000 | 111,837 | ||||||||
Garda World Security Corp., 8.75%, 05/15/25 (Canada)(3) | 190,000 | 177,175 | ||||||||
Titan Acquisition Ltd. / Titan Co.-Borrower LLC, 7.75%, 04/15/26 (Canada)(3) | 70,000 | 61,425 | ||||||||
Topaz Marine SA, 9.13%, 07/26/22 (United Arab Emirates)(3) | 200,000 | 200,588 | ||||||||
Total Industrials | 551,025 | |||||||||
Materials — 2.6% | ||||||||||
Alpha 3 BV / Alpha US Bidco, Inc., 6.25%, 02/01/25 (United Kingdom)(3) | 320,000 | 304,128 | ||||||||
ARD Securities Finance S.a.r.l, 8.75%, 01/31/23 (Luxembourg)(3)(7) | 218,288 | 192,366 | ||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 6.00%, 02/15/25 (Ireland)(3) | 380,000 | 370,500 | ||||||||
FMG Resources August 2006 Pty Ltd., 5.13%, 03/15/23 (Australia)(3) | 110,000 | 109,174 | ||||||||
James Hardie International Finance DAC, 4.75%, 01/15/25 (Ireland)(3) | 200,000 | 191,000 | ||||||||
Mercer International, Inc., 5.50%, 01/15/26 (Canada) | 40,000 | 37,300 | ||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24 (Canada)(3) | 75,000 | 71,531 | ||||||||
NOVA Chemicals Corp., 5.00%, 05/01/25 (Canada)(3) | 125,000 | 115,469 | ||||||||
Vedanta Resources PLC, 6.38%, 07/30/22 (India)(3) | 200,000 | 193,850 | ||||||||
Total Materials | 1,585,318 | |||||||||
Total Foreign Bonds | ||||||||||
(Cost $3,054,455) | 2,845,368 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments — Virtus Newfleet Dynamic Credit ETF(continued)
January 31, 2019 (unaudited)
Shares | Value | |||||||||
MONEY MARKET FUND — 7.5% | ||||||||||
JP Morgan U.S. Government Money Market Institutional Shares, 2.25%(8) (Cost $4,666,974) | 4,666,974 | $ | 4,666,974 | |||||||
TOTAL INVESTMENTS — 100.3% | ||||||||||
(Cost $64,359,318) | 62,258,030 | |||||||||
Liabilities in Excess of Other Assets — (0.3)% | (156,538 | ) | ||||||||
Net Assets — 100.0% | $ | 62,101,492 |
(1) | Variable rate instrument. The interest rate shown reflects the rate in effect at January 31, 2019. |
(2) | The loan will settle after January 31, 2019 at which the interest will be determined. |
(3) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At January 31, 2019, the aggregate value of these securities was $13,186,924, or 21.2% of net assets. |
(4) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(5) | Perpetual security with no stated maturity date. |
(6) | Payment in-kind security. 100% of the income was received in cash. |
(7) | Payment in-kind security. 100% of the income was received in payment in kind. |
(8) | The rate shown reflects the seven-day yield as of January 31, 2019. |
LIBOR — London InterBank Offered Rate
Portfolio Composition
January 31, 2019 (unaudited)
Term Loans | 58.0 | % | ||||
Corporate Bonds | 30.2 | % | ||||
Foreign Bonds | 4.6 | % | ||||
Money Market Fund | 7.5 | % | ||||
Liabilities in Excess of Other Assets | (0.3 | )% | ||||
Total | 100.0 | % |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||||
Term Loans | $ | — | $ | 35,981,855 | $ | — | $ | 35,981,855 | ||||||||||
Corporate Bonds | — | 18,763,833 | — | 18,763,833 | ||||||||||||||
Foreign Bonds | — | 2,845,368 | — | 2,845,368 | ||||||||||||||
Money Market Fund | 4,666,974 | — | — | 4,666,974 | ||||||||||||||
Total | $ | 4,666,974 | $ | 57,591,056 | $ | — | $ | 62,258,030 |
The accompanying notes are an integral part of these financial statements.
Statement of Assets and Liabilities
January 31, 2019 (unaudited)
Virtus Newfleet Dynamic Credit ETF | ||||||
Assets: | ||||||
Investments, at cost | $ | 64,359,318 | ||||
Investments, at value | 62,258,030 | |||||
Cash and cash equivalents | 133,846 | |||||
Receivables: | ||||||
Investment securities sold | 816,735 | |||||
Dividends and interest | 494,476 | |||||
Tax reclaim | 79 | |||||
Prepaid expenses | 16,449 | |||||
Total Assets | 63,719,615 | |||||
Liabilities: | �� | |||||
Payables: | ||||||
Investment securities purchased | 1,512,187 | |||||
Insurance fees | 9,237 | |||||
Advisory fees | 15,381 | |||||
Transfer agent fees | 7,292 | |||||
Accounting and Administration fees | 6,561 | |||||
Custody fees | 8,268 | |||||
Professional fees | 18,247 | |||||
Pricing fees | 35,932 | |||||
Trustee fees | 2,319 | |||||
Exchange listing fees | 2,427 | |||||
Other accrued expenses | 272 | |||||
Total Liabilities | 1,618,123 | |||||
Net Assets | $ | 62,101,492 | ||||
Net Assets Consist of: | ||||||
Paid-in capital | $ | 65,626,239 | ||||
Total distributable earnings (accumulated deficit) | (3,524,747 | ) | ||||
Net Assets | $ | 62,101,492 | ||||
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | 2,604,000 | |||||
Net asset value per share | $ | 23.85 |
The accompanying notes are an integral part of these financial statements.
Statement of Operations
For the Six Months Ended January 31, 2019 (unaudited)
Virtus Newfleet Dynamic Credit ETF | ||||||
Investment Income: | ||||||
Interest income (net of foreign withholding taxes) | $ | 2,310,140 | ||||
Total Investment Income | 2,310,140 | |||||
Expenses: | ||||||
Advisory fees | 205,282 | |||||
Pricing fees | 59,234 | |||||
Professional fees | 28,379 | |||||
Accounting and administration fees | 15,523 | |||||
Insurance fees | 5,325 | |||||
Report to shareholders fees | 5,230 | |||||
Trustee fees | 5,143 | |||||
Transfer agent fees | 3,765 | |||||
Custody fees | 246 | |||||
Exchange listing fees | 28 | |||||
Other expenses | 523 | |||||
Total Expenses | 328,678 | |||||
Less expense waivers/reimbursements | (74,874 | ) | ||||
Net Expenses | 253,804 | |||||
Net Investment Income | 2,056,336 | |||||
Net Realized Gain (Loss) on: | ||||||
Investments | (665,594 | ) | ||||
Total Net Realized Loss | (665,594 | ) | ||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||
Investments | (1,566,607 | ) | ||||
Total Change in Net Unrealized Depreciation | (1,566,607 | ) | ||||
Net Realized and Change in Unrealized Loss | (2,232,201 | ) | ||||
Net Decrease in Net Assets Resulting from Operations | $ | (175,865 | ) | |||
Foreign withholding taxes | $ | 1,175 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Virtus Newfleet Dynamic Credit ETF | |||||||||||
For the Six Months Ended January 31, 2019 (unaudited) | For the Year Ended July 31, 2018 | ||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | |||||||||||
Net investment income | $ | 2,056,336 | $ | 4,800,192 | |||||||
Net realized loss on investments | (665,594 | ) | (598,109 | ) | |||||||
Net change in unrealized depreciation on investments | (1,566,607 | ) | (1,674,583 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | (175,865 | ) | 2,527,500 | ||||||||
Distributions to Shareholders(1) | (2,084,657 | ) | (5,176,642 | ) | |||||||
Shareholder Transactions: | |||||||||||
Proceeds from shares sold | 2,467,252 | 13,635,880 | |||||||||
Cost of shares redeemed | (20,661,009 | ) | (49,893,511 | ) | |||||||
Net decrease in net assets resulting from shareholder transactions | (18,193,757 | ) | (36,257,631 | ) | |||||||
Decrease in net assets | (20,454,279 | ) | (38,906,773 | ) | |||||||
Net Assets: | |||||||||||
Beginning of year | 82,555,771 | 121,462,544 | |||||||||
End of period(2) | $ | 62,101,492 | $ | 82,555,771 | |||||||
Changes in Shares Outstanding: | |||||||||||
Shares outstanding, beginning of year | 3,354,000 | 4,804,000 | |||||||||
Shares sold | 100,000 | 550,000 | |||||||||
Shares redeemed | (850,000 | ) | (2,000,000 | ) | |||||||
Shares outstanding, end of period | 2,604,000 | 3,354,000 |
(1) | For the year ended July 31, 2018, the distributions to shareholders were $4,822,539 from net investment income and $354,103 from net realized gains. |
(2) | Undistributed net investment income was $166,603 at July 31, 2018. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Virtus Newfleet Dynamic Credit ETF | |||||||||||||||
For the Six Months Ended January 31, 2019 (unaudited) | For the Year Ended July 31, 2018 | For the Period December 5, 2016(1) Through July 31, 2017 | |||||||||||||
Per Share Data for a Share Outstanding throughout each period presented: | |||||||||||||||
Net asset value, beginning of period | $ | 24.61 | $ | 25.28 | $ | 25.00 | |||||||||
Investment operations: | |||||||||||||||
Net investment income(2) | 0.68 | 1.22 | 0.47 | ||||||||||||
Net realized and unrealized gain (loss) | (0.75 | ) | (0.57 | ) | 0.22 | ||||||||||
Total from investment operations | (0.07 | ) | 0.65 | 0.69 | |||||||||||
Less Distributions from: | |||||||||||||||
Net investment income | (0.69 | ) | (1.24 | ) | (0.41 | ) | |||||||||
Net realized gains | — | (0.08 | ) | — | |||||||||||
Total distributions | (0.69 | ) | (1.32 | ) | (0.41 | ) | |||||||||
Net Asset Value, End of period | $ | 23.85 | $ | 24.61 | $ | 25.28 | |||||||||
Net Asset Value Total Return(3) | (0.30 | )% | 2.67 | % | 2.79 | % | |||||||||
Net assets, end of period (000’s omitted) | $ | 62,101 | $ | 82,556 | $ | 121,463 | |||||||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||
Expenses, net of expense waivers | 0.68 %(4 | ) | 0.68 | % | 0.68 %(4 | ) | |||||||||
Expenses, prior to expense waivers | 0.88 %(4 | ) | 0.80 | % | 0.73 %(4 | ) | |||||||||
Net investment income | 5.51 %(4 | ) | 4.89 | % | 2.85 %(4 | ) | |||||||||
Portfolio turnover rate(5) | 39 %(6 | ) | 96 | % | 41 %(6 | ) |
(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 redemption 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) | 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. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements(unaudited)
January 31, 2019
Notes to Financial Statements(unaudited) (continued)
January 31, 2019
and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the following hierarchy:
• | Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
• | Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
• | Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
Notes to Financial Statements(unaudited) (continued)
January 31, 2019
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.
Expense Limit | Effective Through | |||
0.68% | November 28, 2019 |
2020 | 2021 | 2022 | ||||||
$17,624 | $ | 49,635 | $ | 74,874 |
Notes to Financial Statements(unaudited) (continued)
January 31, 2019
Sub-Adviser | Sub-Advisory Fees | |
Newfleet Asset Management, LLC(1) | 50% of the Net Advisory Fee(2) |
(1) | An indirect wholly-owned subsidiary of Virtus. |
(2) | Net Advisory Fee: In the event the Adviser waives all or a portion of its fee and/or assumes all or a portion of the expenses of the Fund, the Sub-Adviser will similarly waive its fee and/or pay a portion of the assumed expenses, in either case, in the same proportion as the Adviser by promptly paying to the Adviser (or its designee) 50% of the amount waived and/or assumed by the Adviser. 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. |
Notes to Financial Statements(unaudited) (continued)
January 31, 2019
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 Fund is required to analyze all open tax years (2017 and 2018), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of January 31, 2019, the Fund did not have a liability for any unrecognized tax benefits. The Fund has no examination in progress and is 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.
Federal Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||
$87,921,028 | $ | 634,512 | $ | (1,197,582) | $ | (563,070) |
Late-Year Ordinary Losses | Capital Post-October Losses | |||||
$ — | $ | 880,483 |
Purchases | Sales | Subscriptions In-Kind | Redemptions In-Kind | |||
$27,493,509 | $46,631,631 | $ — | $ — |
% of Shares Outstanding | Number of Account | |||
85% | 1 |
Notes to Financial Statements(unaudited) (continued)
January 31, 2019
Supplemental Information(unaudited)
c/o ETF Distributors LLC
1540 Broadway, Suite 1610
New York, NY 10036
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 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 trustees, 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 registrant’s last fiscal quarter 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) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) Not applicable.
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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) | Virtus ETF Trust II |
By (Signature and Title)* | /s/ William J. Smalley |
William J. Smalley, President and Principal Executive Officer | |
(Principal Executive Officer) |
Date | 4/03/2019 |
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 | 4/03/2019 |
By (Signature and Title)* | /s/ Brinton W. Frith |
Brinton W. Frith, Treasurer and Principal Financial Officer | |
(Principal Financial Officer) |
Date | 4/03/2019 |
* Print the name and title of each signing officer under his or her signature.