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) |
1540 Broadway, 16th Floor |
New York, NY 10036 |
(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, 2020
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.
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 GLOBAL FACTOR OPPORTUNITIES ETF
INFRACAP MLP ETF
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect at any time to receive not only shareholder reports but also other communications such as prospectuses from the Fund electronically, or you alternatively may elect to receive all future shareholder reports in paper free of charge. Please contact your financial intermediary to make your request and to determine whether an election made with the financial intermediary will apply to all funds in which you own shares through that intermediary.
SEMI-ANNUAL REPORT
April 30, 2020
Table of Contents
| Page (s) |
1 | |
2 | |
5 | |
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 Global Factor Opportunities ETF | |
6 | |
29 | |
31 | |
33 | |
37 | |
38 | |
46 | |
InfraCap MLP ETF | |
55 | |
57 | |
58 | |
59 | |
60 | |
61 | |
62 | |
69 | |
72 |
1
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, 2020.
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 Global Factor Opportunities ETF (VGFO)
•InfraCap MLP ETF (AMZA)
Over the months of March and April 2020, many investors faced heightened volatility. While the risks and uncertainty may continue, our commitment to the shareholders of our ETFs remains our highest priority.
On behalf of Virtus ETF Advisers LLC (the “Adviser”) and our fund Sub-Advisers, thank you for your investment. If you have questions, please contact your financial adviser, or call 1-888-383-0553. For more information about the fund and the other ETFs we offer, we invite you to visit our website, www.virtusetfs.com.
Sincerely,
William Smalley
President
ETFis Series Trust I
This material must be accompanied or preceded by the prospectus.
2
Asset Allocation as of 04/30/2020 (based on net assets)
InfraCap REIT Preferred ETF | | ||
Real Estate | | 61.5 | % |
Financials | | 36.9 | % |
Other Assets in Excess of Liabilities | | 1.6 | % |
Total | | 100.0 | % |
| | ||
| | ||
Virtus InfraCap U.S. Preferred Stock ETF | | ||
Financials | | 43.2 | %* |
Real Estate | | 31.2 | %* |
Energy | | 20.9 | % |
Utilities | | 13.3 | % |
Industrials | | 6.8 | % |
Consumer Discretionary | | 3.4 | % |
Communication Services | | 2.7 | % |
Materials | | 0.2 | % |
Common Stock | | 0.0 | %** |
Liabilities in Excess of Other Assets | | (21.7 | )% |
Total | | 100.0 | % |
| | ||
| | ||
Virtus LifeSci Biotech Clinical Trials ETF | | ||
Health Care | | 97.9 | % |
Materials | | 0.9 | % |
Other Assets in Excess of Liabilities | | 1.2 | % |
Total | | 100.0 | % |
*Amounts represent investments in particular sectors. No industry within these sectors represented more than 25% of the Fund’s total assets at the time of investment.
**Amount rounds to less than 0.05%.
3
Portfolio Composition (continued)
April 30, 2020 (unaudited)
Asset Allocation as of 04/30/2020 (based on net assets)
Virtus LifeSci Biotech Products ETF | | ||
Health Care | | 98.8 | % |
Other Assets in Excess of Liabilities | | 1.2 | % |
Total | | 100.0 | % |
| | ||
| | ||
Virtus Newfleet Multi-Sector Bond ETF | | ||
Corporate Bonds | | 37.1 | % |
Foreign Bonds | | 24.3 | % |
U.S. Government Securities | | 10.4 | % |
Term Loans | | 10.2 | % |
Mortgage Backed Securities | | 9.0 | % |
Asset Backed Securities | | 4.9 | % |
Exchange Traded Funds | | 2.2 | % |
Municipal Bonds | | 1.7 | % |
Warrant | | 0.1 | % |
Common Stock | | 0.0 | %* |
Money Market Fund | | 0.8 | % |
Liabilities in Excess of Other Assets | | (0.7 | )% |
Total | | 100.0 | % |
| | ||
| | ||
Virtus Private Credit Strategy ETF | | ||
Financials | | 58.2 | % |
Closed-End Fund | | 38.1 | % |
Other Assets in Excess of Liabilities | | 3.7 | % |
Total | | 100.0 | % |
*Amount rounds to less than 0.05%.
4
Portfolio Composition (continued)
April 30, 2020 (unaudited)
Asset Allocation as of 04/30/2020 (based on net assets)
Virtus Real Asset Income ETF | | ||
Energy | | 32.5 | % |
Real Estate | | 30.7 | % |
Materials | | 16.7 | % |
Utilities | | 8.5 | % |
Communication Services | | 5.1 | % |
Industrials | | 1.1 | % |
Consumer Staples | | 0.9 | % |
Other Assets in Excess of Liabilities | | 4.5 | % |
Total | | 100.0 | % |
| | ||
| | ||
Virtus WMC Global Factor Opportunities ETF | | ||
Information Technology | | 22.2 | % |
Health Care | | 17.5 | % |
Financials | | 13.1 | % |
Consumer Discretionary | | 11.4 | % |
Industrials | | 10.2 | % |
Consumer Staples | | 8.5 | % |
Communication Services | | 7.8 | % |
Energy | | 3.2 | % |
Materials | | 3.2 | % |
Utilities | | 1.7 | % |
Real Estate | | 0.6 | % |
Other Assets in Excess of Liabilities | | 0.6 | % |
Total | | 100.0 | % |
| | ||
| | ||
InfraCap MLP ETF | | ||
Energy | | 121.3 | % |
Purchased Option | | 0.6 | % |
Written Options | | 0.0 | %* |
Liabilities in Excess of Other Assets | | (21.9 | )% |
Total | | 100.0 | % |
*Amount rounds to less than 0.05%.
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 Global Factor Opportunities 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, 2019 to April 30, 2020).
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 | | $831.50 | | 0.45% | | $2.05 |
Hypothetical(1) | | $1,000.00 | | $1,022.63 | | 0.45% | | $2.26 |
Virtus InfraCap U.S. Preferred Stock ETF | | | | | | | | |
Actual | | $1,000.00 | | $690.40 | | 0.80% | | $3.36 |
Hypothetical(1) | | $1,000.00 | | $1,020.89 | | 0.80% | | $4.02 |
Virtus LifeSci Biotech Clinical Trials ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,334.00 | | 0.79% | | $4.58 |
Hypothetical(1) | | $1,000.00 | | $1,020.93 | | 0.79% | | $3.97 |
Virtus LifeSci Biotech Products ETF | | | | | | | | |
Actual | | $1,000.00 | | $1,155.81 | | 0.79% | | $4.23 |
Hypothetical(1) | | $1,000.00 | | $1,020.93 | | 0.79% | | $3.97 |
Virtus Newfleet Multi-Sector Bond ETF | | | | | | | | |
Actual | | $1,000.00 | | $955.20 | | 0.60%(4) | | $2.92 |
Hypothetical(1) | | $1,000.00 | | $1,021.88 | | 0.60%(4) | | $3.02 |
Virtus Private Credit Strategy ETF | | | | | | | | |
Actual | | $1,000.00 | | $723.22 | | 0.75% | | $3.21 |
Hypothetical(1) | | $1,000.00 | | $1,021.13 | | 0.75% | | $3.77 |
Virtus Real Asset Income ETF | | | | | | | | |
Actual | | $1,000.00 | | $779.20 | | 0.55% | | $2.43 |
Hypothetical(1) | | $1,000.00 | | $1,022.13 | | 0.55% | | $2.77 |
Virtus WMC Global Factor Opportunities ETF | | | | | | | | |
Actual | | $1,000.00 | | $906.43 | | 0.49% | | $2.32 |
Hypothetical(1) | | $1,000.00 | | $1,022.43 | | 0.49% | | $2.46 |
InfraCap MLP ETF | | | | | | | | |
Actual | | $1,000.00 | | $450.50 | | 0.95% | | $3.43 |
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).
4The annualized ratio reflects the Fund’s prior expense limitation of 0.80% and current expense limitation of 0.49% effective January 1, 2020.
The accompanying notes are an integral part of these financial statements.
6
Security Description | | Shares | | Value |
| | | | |
PREFERRED STOCKS - 98.4% | | | | |
| | | | |
Financials - 36.9% | | | | |
AG Mortgage Investment Trust, Inc., Series C, 8.00% | | 10,695 | | $119,998 |
AGNC Investment Corp., Series C, 7.00% | | 30,228 | | 695,244 |
AGNC Investment Corp., Series D, 6.88% | | 21,856 | | 485,422 |
AGNC Investment Corp., Series E, 6.50% | | 37,434 | | 840,393 |
Annaly Capital Management, Inc., Series D, 7.50% | | 42,783 | | 1,046,900 |
Annaly Capital Management, Inc., Series F, 6.95% | | 66,964 | | 1,508,029 |
Annaly Capital Management, Inc., Series G, 6.50% | | 39,527 | | 867,618 |
Annaly Capital Management, Inc., Series I, 6.75% | | 41,155 | | 924,341 |
Apollo Global Management, Inc., Series A, 6.38% | | 25,576 | | 668,301 |
Apollo Global Management, Inc., Series B, 6.38% | | 27,902 | | 715,686 |
Arch Capital Group Ltd., Series F, 5.45% | | 30,692 | | 764,845 |
Capstead Mortgage Corp., Series E, 7.50% | | 24,017 | | 535,339 |
Chimera Investment Corp., Series A, 8.00% | | 13,486 | | 262,438 |
Chimera Investment Corp., Series B, 8.00% | | 30,228 | | 535,640 |
Chimera Investment Corp., Series C, 7.75% | | 24,181 | | 426,795 |
Chimera Investment Corp., Series D, 8.00% | | 18,601 | | 327,564 |
Exantas Capital Corp., 8.63% | | 11,161 | | 130,249 |
Invesco Mortgage Capital, Inc., Series A, 7.75% | | 13,020 | | 213,137 |
Invesco Mortgage Capital, Inc., Series B, 7.75% | | 14,416 | | 228,494 |
Invesco Mortgage Capital, Inc., Series C, 7.50% | | 26,739 | | 424,080 |
MFA Financial, Inc., 8.00% | | 9,550 | | 184,601 |
MFA Financial, Inc., Series B, 7.50% | | 18,601 | | 316,403 |
New Residential Investment Corp., | | 14,830 | | 285,774 |
New Residential Investment Corp., | | 27,002 | | 490,086 |
New York Mortgage Trust, Inc., Series D, 8.00% | | 14,237 | | 247,439 |
PennyMac Mortgage Investment Trust, Series A, 8.13% | | 10,695 | | 214,756 |
PennyMac Mortgage Investment Trust, Series B, 8.00% | | 18,136 | | 367,798 |
Ready Capital Corp., 6.20% | | 9,772 | | 161,727 |
Two Harbors Investment Corp., Series A, 8.13% | | 13,713 | | 285,230 |
Two Harbors Investment Corp., Series B, 7.63% | | 27,410 | | 541,347 |
Two Harbors Investment Corp., Series C, 7.25% | | 28,099 | | 536,410 |
Two Harbors Investment Corp., Series E, 7.50% | | 19,042 | | 393,789 |
Total Financials | | | | 15,745,873 |
| ||||
Real Estate - 61.5% | | | | |
American Finance Trust, Inc., Series A, 7.50% | | 16,548 | | 329,471 |
American Homes 4 Rent, Series D, 6.50% | | 24,995 | | 628,624 |
American Homes 4 Rent, Series E, 6.35% | | 21,391 | | 546,968 |
American Homes 4 Rent, Series F, 5.88% | | 14,416 | | 339,497 |
American Homes 4 Rent, Series G, 5.88% | | 10,695 | | 250,156 |
American Homes 4 Rent, Series H, 6.25% | | 10,695 | | 263,632 |
Ashford Hospitality Trust, Inc., Series F, 7.38% | | 11,161 | | 72,435 |
Ashford Hospitality Trust, Inc., Series G, 7.38% | | 14,416 | | 92,407 |
Ashford Hospitality Trust, Inc., Series H, 7.50% | | 8,836 | | 57,434 |
Ashford Hospitality Trust, Inc., Series I, 7.50% | | 12,555 | | 83,616 |
Bluerock Residential Growth REIT, Inc., | | 13,302 | | 286,259 |
Security Description | | Shares | | Value |
| | | | |
PREFERRED STOCKS (continued) | | | | |
| | | | |
Real Estate (continued) | | | | |
Brookfield Property Partners LP, Series A-1, 6.50% | | 17,113 | | $367,074 |
Brookfield Property Partners LP, Series A2, 6.38% | | 23,251 | | 499,199 |
Brookfield Property REIT, Inc., Series A, 6.38% | | 23,287 | | 360,948 |
| 11,626 | | 171,367 | |
Colony Capital, Inc., Series H, 7.13% | | 28,202 | | 472,666 |
Colony Capital, Inc., Series I, 7.15% | | 33,536 | | 549,990 |
Colony Capital, Inc., Series J, 7.13% | | 30,704 | | 500,782 |
Digital Realty Trust, Inc., Series J, 5.25% | | 18,216 | | 463,962 |
Digital Realty Trust, Inc., Series K, 5.85% | | 19,531 | | 515,228 |
Diversified Healthcare Trust, 5.63% | | 33,208 | | 604,718 |
Diversified Healthcare Trust, 6.25% | | 23,251 | | 438,746 |
EPR Properties, Series G, 5.75% | | 13,951 | | 260,744 |
Farmland Partners, Inc., Series B, 6.00% | | 13,886 | | 308,408 |
Federal Realty Investment Trust, Series C, 5.00% | | 13,662 | | 334,036 |
Global Net Lease, Inc., Series A, 7.25% | | 16,198 | | 360,244 |
iStar, Inc., Series I, 7.50% | | 11,626 | | 243,332 |
Kimco Realty Corp., Series L, 5.13% | | 20,926 | | 491,761 |
Kimco Realty Corp., Series M, 5.25% | | 24,600 | | 559,650 |
Monmouth Real Estate Investment Corp., Series C, 6.13% | | 36,505 | | 892,182 |
National Retail Properties, Inc., Series F, 5.20% | | 32,087 | | 778,751 |
National Storage Affiliates Trust, Series A, 6.00% | | 20,291 | | 517,420 |
Office Properties Income Trust, 5.88% | | 28,832 | | 658,523 |
Pebblebrook Hotel Trust, Series C, 6.50% | | 11,840 | | 212,173 |
Pebblebrook Hotel Trust, Series D, 6.38% | | 11,840 | | 216,080 |
Pebblebrook Hotel Trust, Series F, 6.30% | | 13,951 | | 256,559 |
PS Business Parks, Inc., Series W, 5.20% | | 17,282 | | 436,371 |
PS Business Parks, Inc., Series X, 5.25% | | 21,391 | | 531,994 |
PS Business Parks, Inc., Series Y, 5.20% | | 18,216 | | 459,408 |
Public Storage, Series B, 5.40% | | 11,094 | | 285,116 |
Public Storage, Series C, 5.13% | | 7,243 | | 187,376 |
Public Storage, Series D, 4.95% | | 11,770 | | 299,664 |
Public Storage, Series E, 4.90% | | 12,675 | | 321,692 |
Public Storage, Series F, 5.15% | | 10,140 | | 267,088 |
Public Storage, Series G, 5.05% | | 10,865 | | 282,599 |
Public Storage, Series H, 5.60% | | 10,322 | | 282,720 |
Public Storage, Series I, 4.88% | | 11,911 | | 304,445 |
Public Storage, Series V, 5.38% | | 18,642 | | 475,930 |
Public Storage, Series W, 5.20% | | 18,831 | | 476,048 |
Public Storage, Series X, 5.20% | | 8,148 | | 204,107 |
QTS Realty Trust, Inc., Series A, 7.13% | | 9,952 | | 252,283 |
Rexford Industrial Realty, Inc., Series C, 5.63% | | 8,022 | | 195,336 |
Saul Centers, Inc., Series E, 6.00% | | 10,230 | | 197,132 |
SITE Centers Corp., Series A, 6.38% | | 16,276 | | 324,381 |
SITE Centers Corp., Series K, 6.25% | | 13,662 | | 274,196 |
Spirit Realty Capital, Inc., Series A, 6.00% | | 15,711 | | 372,036 |
Summit Hotel Properties, Inc., Series E, 6.25% | | 14,880 | | 248,347 |
Sunstone Hotel Investors, Inc., Series E, 6.95% | | 10,695 | | 243,311 |
Taubman Centers, Inc., Series J, 6.50% | | 17,904 | | 405,019 |
Taubman Centers, Inc., Series K, 6.25% | | 16,102 | | 360,685 |
Schedule of Investments — InfraCap REIT Preferred ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
7
Security Description | | Shares | | Value |
| | | | |
PREFERRED STOCKS (continued) | | | | |
| | | | |
Real Estate (continued) | | | | |
UMH Properties, Inc., Series C, 6.75% | | 22,670 | | $535,465 |
Urstadt Biddle Properties, Inc., Series K, 5.88% | | 10,415 | | 215,903 |
VEREIT, Inc., Series F, 6.70% | | 73,100 | | 1,794,605 |
Vornado Realty Trust, Series K, 5.70% | | 27,902 | | 686,389 |
Vornado Realty Trust, Series L, 5.40% | | 27,902 | | 643,141 |
Vornado Realty Trust, Series M, 5.25% | | 29,715 | | 663,536 |
Total Real Estate | | | | 26,211,365 |
| | | | |
TOTAL INVESTMENTS - 98.4% | | | | |
(Cost $44,688,058) | | | | 41,957,238 |
Other Assets in Excess of Liabilities - 1.6% | | | | 687,761 |
Net Assets - 100.0% | | | | $42,644,999 |
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2020.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Preferred Stocks | | $41,957,238 | | $— | | $— | | $41,957,238 |
Total | | $41,957,238 | | $— | | $— | | $41,957,238 |
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
8
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS - 121.7% | | | | | |
| | | | | |
Communication Services - 2.7% | | | | | |
GCI Liberty, Inc., Series A, 7.00% | | 11,445 | | $286,125 | |
Qwest Corp., 6.13% | | 19,740 | | 443,755 | |
Qwest Corp., 6.50% | | 5,300 | | 122,960 | |
Qwest Corp., 6.75% | | 8,136 | | 194,207 | |
Telephone and Data Systems, Inc., 5.88% | | 52,212 | | 1,245,778 | |
United States Cellular Corp., 6.95% | | 5,578 | | 139,952 | |
Total Communication Services | | | | 2,432,777 | |
| | | | | |
Consumer Discretionary - 3.4% | | | | | |
Ford Motor Co., 6.00% | | 116,074 | | 1,968,615 | |
Ford Motor Co., 6.20% | | 61,395 | | 1,089,147 | |
Total Consumer Discretionary | | | | 3,057,762 | |
| | | | | |
Energy - 20.9% | | | | | |
DCP Midstream LP, Series B, 7.88% | | 242,608 | | 3,939,954 | |
DCP Midstream LP, Series C, 7.95% | | 58,004 | | 998,249 | |
Energy Transfer Operating LP, Series C, 7.38% | | 28,586 | | 599,162 | |
Energy Transfer Operating LP, Series D, 7.63% | | 36,383 | | 762,224 | |
Energy Transfer Operating LP, Series E, 7.60% | | 35,232 | | 745,157 | |
GasLog Partners LP, Series A, 8.63% (Monaco) | | 93,604 | | 1,731,674 | |
GasLog Partners LP, Series B, 8.20% (Monaco) | | 78,924 | | 1,382,149 | |
Golar LNG Partners LP, Series A, 8.75% | | 13,467 | | 279,440 | |
Hoegh LNG Partners LP, Series A, 8.75% (Bermuda) | | 21,323 | | 505,568 | |
NuStar Energy LP, Series A, 8.50% | | 169,536 | | 2,932,973 | |
NuStar Energy LP, Series B, 7.63% | | 126,433 | | 2,035,571 | |
NuStar Energy LP, Series C, 9.00% | | 143,384 | | 2,625,361 | |
Total Energy | | | | 18,537,482 | |
| | | | | |
Financials - 43.2% | | | | | |
AG Mortgage Investment Trust, Inc., Series C, 8.00% | | 22,819 | | 256,029 | |
AGNC Investment Corp., Series D, 6.88% | | 15,220 | | 338,036 | |
AGNC Investment Corp., Series E, 6.50% | | 15,931 | | 357,651 | |
AGNC Investment Corp., Series F, 6.13% | | 21,876 | | 476,022 | |
Allied Capital Corp., 6.88% | | 3,142 | | 77,136 | |
American Equity Investment Life Holding Co., | | 113,385 | | 2,633,934 | |
Annaly Capital Management, Inc., Series F, 6.95% | | 16,855 | | 379,575 | |
Annaly Capital Management, Inc., Series G, 6.50% | | 33,383 | | 732,757 | |
Annaly Capital Management, Inc., Series I, 6.75% | | 15,426 | | 346,468 | |
Arch Capital Group Ltd., Series E, 5.25% | | 19,486 | | 469,807 | |
ARMOUR Residential REIT, Inc., Series C, 7.00% | | 63,138 | | 1,411,134 | |
Athene Holding Ltd., Series A, 6.35% | | 2,480 | | 60,190 | |
B Riley Financial, Inc., 6.38% | | 29,891 | | 628,309 | |
BancorpSouth Bank, Series A, 5.50% | | 763 | | 19,243 | |
Capital One Financial Corp., Series I, 5.00% | | 15,490 | | 359,368 | |
Capital One Financial Corp., Series J, 4.80%* | | 56,812 | | 1,256,113 | |
Chimera Investment Corp., Series A, 8.00% | | 47,973 | | 933,555 | |
Chimera Investment Corp., Series B, 8.00% | | 42,859 | | 759,461 | |
Chimera Investment Corp., Series C, 7.75% | | 27,108 | | 478,456 | |
Chimera Investment Corp., Series D, 8.00% | | 67,349 | | 1,186,016 | |
CIT Group, Inc., Series B, 5.63% | | 11,668 | | 244,095 |
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Financials (continued) | | | | | |
Compass Diversified Holdings, Series A, 7.25% | | 71,329 | | $1,604,902 | |
Compass Diversified Holdings, Series B, 7.88% | | 19,093 | | 446,203 | |
Dynex Capital, Inc., Series C, 6.90% | | 2,463 | | 56,009 | |
Ellington Financial, Inc., 6.75% | | 94,411 | | 1,795,697 | |
Enstar Group Ltd., Series D, 7.00% (Bermuda) | | 36,311 | | 903,055 | |
Equitable Holdings, Inc., Series A, 5.25% | | 4,348 | | 104,874 | |
GMAC Capital Trust I, Series 2, 7.48% | | 135,056 | | 3,045,513 | |
Invesco Mortgage Capital, Inc., Series B, 7.75% | | 442 | | 7,006 | |
Invesco Mortgage Capital, Inc., Series C, 7.50% | | 51,980 | | 824,403 | |
MFA Financial, Inc., Series B, 7.50% | | 15,842 | | 269,472 | |
MFA Financial, Inc., Series C, 6.50%* | | 102,016 | | 1,550,643 | |
Morgan Stanley, Series L, 4.88% | | 12 | | 293 | |
National General Holdings Corp., Series B, 7.50% | | 104,172 | | 2,354,287 | |
National General Holdings Corp., Series C, 7.50% | | 88,042 | | 2,038,172 | |
New Residential Investment Corp., Series C, 6.38% | | 4,140 | | 71,788 | |
New York Community Capital Trust V, 6.00% | | 1,059 | | 46,596 | |
New York Mortgage Trust, Inc., Series B, 7.75% | | 22,824 | | 428,863 | |
New York Mortgage Trust, Inc., Series C, 7.88% | | 14,956 | | 276,088 | |
New York Mortgage Trust, Inc., Series D, 8.00% | | 120,145 | | 2,088,120 | |
New York Mortgage Trust, Inc., Series E, 7.88% | | 83,822 | | 1,446,768 | |
PennyMac Mortgage Investment Trust, Series A, 8.13% | | 40,288 | | 808,983 | |
PennyMac Mortgage Investment Trust, Series B, 8.00% | | 80,685 | | 1,636,292 | |
Synchrony Financial, Series A, 5.63% | | 33,373 | | 695,493 | |
Two Harbors Investment Corp., Series B, 7.63% | | 39,623 | | 782,554 | |
Two Harbors Investment Corp., Series C, 7.25% | | 87,952 | | 1,679,004 | |
Wells Fargo & Co., Series Z, 4.75% | | 22 | | 525 | |
Total Financials | | | | 38,364,958 | |
| | | | | |
Industrials - 6.8% | | | | | |
Atlas Corp., Series G, 8.20% (Canada) | | 9,186 | | 206,593 | |
Atlas Corp., Series H, 7.88% (Canada) | | 13,799 | | 291,849 | |
Atlas Corp., Series I, 8.00% (Canada) | | 99,941 | | 1,999,819 | |
Fortress Transportation and Infrastructure Investors LLC, Series B, 8.00% | | 76,707 | | 1,572,494 | |
Triton International Ltd., 6.88% (Bermuda) | | 22,865 | | 477,879 | |
Triton International Ltd., 7.38% (Bermuda) | | 67,464 | | 1,483,533 | |
Total Industrials | | | | 6,032,167 | |
| | | | | |
Materials - 0.2% | | | | | |
International Flavors & Fragrances, Inc., 6.00% | | 3,058 | | 145,408 | |
| | | | | |
Real Estate - 31.2% | | | | | |
American Finance Trust, Inc., Series A, 7.50% | | 251,247 | | 5,002,328 | |
Ashford Hospitality Trust, Inc., Series F, 7.38% | | 117,648 | | 763,535 | |
Ashford Hospitality Trust, Inc., Series G, 7.38% | | 89,182 | | 571,657 | |
Ashford Hospitality Trust, Inc., Series H, 7.50% | | 106,547 | | 692,555 | |
Ashford Hospitality Trust, Inc., Series I, 7.50% | | 144,609 | | 963,096 | |
Braemar Hotels & Resorts, Inc., Series b, 5.50% | | 317,955 | | 3,017,393 | |
Braemar Hotels & Resorts, Inc., Series D, 8.25% | | 4,094 | | 55,664 | |
Brookfield Property Partners LP, Series A2, 6.38% | | 4,680 | | 100,480 | |
Schedule of Investments — Virtus InfraCap U.S. Preferred Stock ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
9
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Real Estate (continued) | | | | | |
Colony Capital, Inc., Series H, 7.13% | | 110,402 | | $1,850,338 | |
Colony Capital, Inc., Series I, 7.15% | | 150,167 | | 2,462,739 | |
Colony Capital, Inc., Series J, 7.13% | | 43,640 | | 711,768 | |
EPR Properties, Series C, 5.75% | | 17,399 | | 318,402 | |
EPR Properties, Series G, 5.75% | | 30,620 | | 572,288 | |
Equity Commonwealth, Series D, 6.50% | | 62,484 | | 1,705,813 | |
Global Net Lease, Inc., Series A, 7.25% | | 73,027 | | 1,624,120 | |
Global Net Lease, Inc., Series B, 6.88% | | 36,178 | | 742,094 | |
iStar, Inc., Series I, 7.50% | | 60,770 | | 1,271,916 | |
Lexington Realty Trust, Series C, 6.50% | | 3,530 | | 173,464 | |
Monmouth Real Estate Investment Corp., | | 16,724 | | 408,735 | |
PS Business Parks, Inc., Series Z, 4.88% | | 4 | | 96 | |
Public Storage, Series W, 5.20% | | 4 | | 101 | |
RLJ Lodging Trust, Series A, 1.95% | | 1,018 | | 22,325 | |
Saul Centers, Inc., Series E, 6.00% | | 73,561 | | 1,417,520 | |
SITE Centers Corp., Series A, 6.38% | | 7,758 | | 154,617 | |
Urstadt Biddle Properties, Inc., Series K, 5.88% | | 31,163 | | 646,009 | |
VEREIT, Inc., Series F, 6.70% | | 102,081 | | 2,506,089 | |
Total Real Estate | | | | 27,755,142 | |
| | | | | |
Utilities - 13.3% | | | | | |
Algonquin Power & Utilities Corp., 6.88% (Canada) | | 26 | | 718 | |
Algonquin Power & Utilities Corp., | | 38 | | 1,039 | |
American Electric Power Co., Inc., 6.13% | | 490 | | 24,892 | |
Dominion Energy, Inc., Series A, 7.25% | | 2,828 | | 277,795 |
Security Description | | Shares | | Value | |
| | | | | |
PREFERRED STOCKS (continued) | | | | | |
| | | | | |
Utilities (continued) | | | | | |
DTE Energy Co., 6.25% | | 4,733 | | $197,839 | |
Essential Utilities, Inc., 6.00% | | 1,332 | | 76,057 | |
NextEra Energy, Inc., 4.87% | | 3,812 | | 182,747 | |
SCE Trust II, 5.10% | | 281,407 | | 6,590,552 | |
SCE Trust IV, Series J, 5.38% | | 24,549 | | 537,132 | |
SCE Trust VI, 5.00% | | 158,458 | | 3,490,830 | |
Sempra Energy, Series B, 6.75% | | 1,892 | | 191,679 | |
South Jersey Industries, Inc., 5.63% | | 1,076 | | 27,395 | |
South Jersey Industries, Inc., 7.25% | | 2,272 | | 101,808 | |
Southern Co., Series 2019, 6.75% | | 3,080 | | 145,807 | |
Southern Co., Series 2020, 4.95% | | 20 | | 493 | |
Total Utilities | | | | 11,846,783 | |
| | | | | |
Total Preferred Stocks | | | | | |
(Cost $126,432,242) | | | | 108,172,479 | |
| |||||
COMMON STOCK - 0.0% (1) | | | | | |
| | | | | |
Utilities - 0.0%(1) | | | | | |
Dominion Energy, Inc. | | | | | |
(Cost $134) | | 2 | | 154 | |
| | | | | |
TOTAL INVESTMENTS - 121.7% | | | | | |
(Cost $126,432,376) | | | | 108,172,633 | |
Liabilities in Excess of Other Assets - (21.7)% | | | | (19,282,133 | ) |
Net Assets - 100.0% | | | | $88,890,500 | |
*Non-income producing security.
(1)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, 2020.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Preferred Stocks | | $108,172,479 | | $— | | $— | | $108,172,479 |
Common Stocks | | 154 | | — | | — | | 154 |
Total | | $108,172,633 | | $— | | $— | | $108,172,633 |
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
10
| | |||
| | | | |
| | | | |
| | | | |
| | | | |
Adverum Biotechnologies, Inc.* | | 35,448 | | $420,059 |
Agenus, Inc.* | | 97,312 | | 259,337 |
Akebia Therapeutics, Inc.* | | 58,473 | | 473,631 |
Akero Therapeutics, Inc.* | | 17,724 | | 361,570 |
Alector, Inc.* | | 18,492 | | 457,122 |
Allakos, Inc.* | | 3,035 | | 199,582 |
Allogene Therapeutics, Inc.* | | 13,789 | | 398,502 |
AnaptysBio, Inc.* | | 23,757 | | 371,084 |
Apellis Pharmaceuticals, Inc.* | | 13,508 | | 462,919 |
Ardelyx, Inc.* | | 53,377 | | 351,221 |
Arena Pharmaceuticals, Inc.* | | 7,944 | | 389,018 |
Arrowhead Pharmaceuticals, Inc.* | | 5,621 | | 193,531 |
Arvinas, Inc.* | | 8,787 | | 461,318 |
Ascendis Pharma A/S (Denmark)*(1) | | 3,241 | | 439,901 |
Assembly Biosciences, Inc.* | | 17,405 | | 304,762 |
Atara Biotherapeutics, Inc.* | | 24,188 | | 200,519 |
Athenex, Inc.* | | 25,686 | | 229,633 |
Autolus Therapeutics PLC (United Kingdom)*(1) | | 29,546 | | 278,323 |
Avrobio, Inc.* | | 17,087 | | 219,910 |
Axsome Therapeutics, Inc.* | | 7,981 | | 758,434 |
BioCryst Pharmaceuticals, Inc.* | | 125,809 | | 491,913 |
Biohaven Pharmaceutical Holding Co., Ltd.* | | 7,119 | | 335,305 |
Bluebird Bio, Inc.* | | 4,159 | | 224,087 |
Blueprint Medicines Corp.* | | 5,040 | | 296,503 |
Bridgebio Pharma, Inc.* | | 10,230 | | 312,322 |
Cara Therapeutics, Inc.* | | 22,558 | | 334,310 |
CEL-SCI Corp.* | | 48,281 | | 849,746 |
ChemoCentryx, Inc.* | | 11,897 | | 630,660 |
Constellation Pharmaceuticals, Inc.* | | 9,480 | | 341,090 |
Corbus Pharmaceuticals Holdings, Inc.* | | 74,136 | | 480,401 |
Cortexyme, Inc.* | | 9,574 | | 436,766 |
CRISPR Therapeutics AG (Switzerland)* | | 5,714 | | 281,129 |
Cytokinetics, Inc.* | | 35,092 | | 530,240 |
CytomX Therapeutics, Inc.* | | 52,197 | | 538,673 |
Deciphera Pharmaceuticals, Inc.* | | 5,789 | | 335,646 |
Denali Therapeutics, Inc.* | | 19,766 | | 432,085 |
Dicerna Pharmaceuticals, Inc.* | | 13,939 | | 274,598 |
Eidos Therapeutics, Inc.* | | 5,883 | | 273,207 |
Epizyme, Inc.* | | 21,096 | | 347,240 |
Esperion Therapeutics, Inc.* | | 7,532 | | 298,267 |
Fate Therapeutics, Inc.* | | 19,878 | | 544,260 |
FibroGen, Inc.* | | 8,000 | | 295,120 |
G1 Therapeutics, Inc.* | | 15,138 | | 198,762 |
Geron Corp.* | | 249,107 | | 296,437 |
GlycoMimetics, Inc.* | | 62,689 | | 174,902 |
Gossamer Bio, Inc.* | | 14,726 | | 191,733 |
Homology Medicines, Inc.* | | 18,042 | | 217,767 |
ImmunoGen, Inc.* | | 104,375 | | 425,850 |
Immunomedics, Inc.* | | 18,080 | | 549,270 |
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
Health Care (continued) | | | | |
Intra-Cellular Therapies, Inc.* | | 29,152 | | $515,116 |
Iovance Biotherapeutics, Inc.* | | 14,295 | | 459,584 |
Kadmon Holdings, Inc.* | | 79,008 | | 339,734 |
Karuna Therapeutics, Inc.* | | 5,733 | | 476,298 |
Kodiak Sciences, Inc.* | | 5,883 | | 320,918 |
Krystal Biotech, Inc.* | | 5,733 | | 270,540 |
Kura Oncology, Inc.* | | 25,274 | | 367,737 |
MacroGenics, Inc.* | | 35,279 | | 254,009 |
Madrigal Pharmaceuticals, Inc.* | | 3,841 | | 321,415 |
MeiraGTx Holdings PLC* | | 17,780 | | 244,831 |
Mirati Therapeutics, Inc.* | | 3,335 | | 283,608 |
Moderna, Inc.* | | 20,066 | | 922,835 |
MyoKardia, Inc.* | | 5,602 | | 351,918 |
Myovant Sciences Ltd.* | | 24,825 | | 297,404 |
NextCure, Inc.* | | 7,194 | | 233,230 |
Odonate Therapeutics, Inc.* | | 12,890 | | 362,854 |
Orchard Therapeutics PLC (United Kingdom)*(1) | | 30,258 | | 340,705 |
Precision BioSciences, Inc.* | | 36,309 | | 249,806 |
Principia Biopharma, Inc.* | | 7,513 | | 467,158 |
Progenics Pharmaceuticals, Inc.* | | 74,586 | | 293,869 |
Provention Bio, Inc.* | | 31,850 | | 364,364 |
Reata Pharmaceuticals, Inc. Class A* | | 1,799 | | 284,530 |
REGENXBIO, Inc.* | | 8,562 | | 340,939 |
Rhythm Pharmaceuticals, Inc.* | | 15,831 | | 298,256 |
Rigel Pharmaceuticals, Inc.* | | 167,570 | | 299,950 |
Rocket Pharmaceuticals, Inc.* | | 17,049 | | 252,325 |
Sangamo Therapeutics, Inc.* | | 43,916 | | 357,915 |
Sorrento Therapeutics, Inc.* | | 91,804 | | 208,395 |
SpringWorks Therapeutics, Inc.* | | 12,927 | | 391,171 |
TG Therapeutics, Inc.* | | 37,003 | | 435,155 |
Translate Bio, Inc.* | | 43,242 | | 555,227 |
Tricida, Inc.* | | 9,461 | | 286,195 |
Turning Point Therapeutics, Inc.* | | 6,745 | | 347,435 |
uniQure N.V. (Netherlands)* | | 5,059 | | 321,955 |
UNITY Biotechnology, Inc.* | | 44,703 | | 290,122 |
Viking Therapeutics, Inc.* | | 47,007 | | 270,760 |
Voyager Therapeutics, Inc.* | | 27,766 | | 300,150 |
WaVe Life Sciences Ltd.* | | 9,930 | | 86,192 |
XBiotech, Inc.* | | 18,810 | | 297,574 |
Xencor, Inc.* | | 10,005 | | 292,446 |
Y-mAbs Therapeutics, Inc.* | | 11,785 | | 395,740 |
ZIOPHARM Oncology, Inc.* | | 75,804 | | 212,251 |
Zymeworks, Inc. (Canada)* | | 8,899 | | 325,080 |
Total Health Care | | | | 32,756,361 |
| | | | |
| | | | |
Amyris, Inc.* | | 114,624 | | 309,485 |
| | | | |
Total Common Stocks | | | | |
(Cost $36,689,137) | | | | 33,065,846 |
| | | | |
Schedule of Investments — Virtus LifeSci Biotech Clinical Trials ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
11
| | |||
| | | | |
TOTAL INVESTMENTS - 98.8% | | | | |
(Cost $36,689,137) | | | | $33,065,846 |
Other Assets in Excess of Liabilities - 1.2% | | | | 412,452 |
Net Assets - 100.0% | | | | $33,478,298 |
*Non-income producing security.
(1)American Depositary Receipts.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2020.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $33,065,846 | | $— | | $— | | $33,065,846 |
Total | | $33,065,846 | | $— | | $— | | $33,065,846 |
Schedule of Investments — Virtus LifeSci Biotech Products ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
12
| | |||
| | | | |
| | | | |
| | | | |
| | | | |
ACADIA Pharmaceuticals, Inc.* | | 12,159 | | $587,401 |
Acceleron Pharma, Inc.* | | 10,682 | | 967,042 |
Agios Pharmaceuticals, Inc.* | | 11,539 | | 474,715 |
Aimmune Therapeutics, Inc.* | | 17,217 | | 294,755 |
Akcea Therapeutics, Inc.* | | 27,919 | | 476,298 |
Alexion Pharmaceuticals, Inc.* | | 4,885 | | 524,991 |
Alnylam Pharmaceuticals, Inc.* | | 4,581 | | 603,318 |
Amgen, Inc. | | 2,278 | | 544,943 |
Amicus Therapeutics, Inc.* | | 57,142 | | 674,847 |
BeiGene Ltd. (China)*(1) | | 3,062 | | 467,965 |
Biogen, Inc.* | | 1,813 | | 538,153 |
BioMarin Pharmaceutical, Inc.* | | 6,719 | | 618,282 |
Clovis Oncology, Inc.* | | 41,901 | | 318,867 |
Enanta Pharmaceuticals, Inc.* | | 8,087 | | 374,994 |
Exelixis, Inc.* | | 30,244 | | 746,876 |
Gilead Sciences, Inc. | | 8,189 | | 687,876 |
Global Blood Therapeutics, Inc.* | | 7,013 | | 536,635 |
Halozyme Therapeutics, Inc.* | | 28,385 | | 643,062 |
Incyte Corp.* | | 5,883 | | 574,534 |
Insmed, Inc.* | | 23,220 | | 534,060 |
Intercept Pharmaceuticals, Inc.* | | 4,722 | | 386,826 |
Ionis Pharmaceuticals, Inc.* | | 8,543 | | 474,393 |
Ironwood Pharmaceuticals, Inc.* | | 42,129 | | 421,290 |
Karyopharm Therapeutics, Inc.* | | 32,176 | | 709,481 |
Lexicon Pharmaceuticals, Inc.* | | 110,875 | | 209,554 |
Ligand Pharmaceuticals, Inc.* | | 5,080 | | 500,736 |
Momenta Pharmaceuticals, Inc.* | 32,229 | | 1,021,659 |
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
Health Care (continued) | | | | |
Nektar Therapeutics* | | 25,337 | | $486,470 |
Neurocrine Biosciences, Inc.* | | 4,874 | | 478,334 |
Omeros Corp.* | | 40,219 | | 668,440 |
Portola Pharmaceuticals, Inc.* | | 20,485 | | 145,034 |
PTC Therapeutics, Inc.* | | 11,170 | | 568,776 |
Radius Health, Inc.* | | 24,076 | | 377,752 |
Regeneron Pharmaceuticals, Inc.* | | 1,433 | | 753,586 |
Retrophin, Inc.* | | 37,602 | | 572,302 |
Sage Therapeutics, Inc.* | | 7,392 | | 288,140 |
Sarepta Therapeutics, Inc.* | | 4,082 | | 481,186 |
Seattle Genetics, Inc.* | | 4,733 | | 649,510 |
Stemline Therapeutics, Inc.* | | 53,614 | | 280,401 |
Theravance Biopharma, Inc.* | | 24,674 | | 719,494 |
Ultragenyx Pharmaceutical, Inc.* | | 12,614 | | 762,264 |
United Therapeutics Corp.* | | 6,014 | | 658,894 |
Vanda Pharmaceuticals, Inc.* | | 32,206 | | 370,369 |
Vertex Pharmaceuticals, Inc.* | | 2,455 | | 616,696 |
| | | | |
Total Common Stocks | | | | |
(Cost $26,186,791) | | | | 23,791,201 |
| | | | |
TOTAL INVESTMENTS - 98.8% | | | | |
(Cost $26,186,791) | | | | 23,791,201 |
Other Assets in Excess of Liabilities - 1.2% | | | | 279,162 |
Net Assets - 100.0% | | | | $24,070,363 |
*Non-income producing security.
(1)American Depositary Receipts.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2020.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $23,791,201 | | $— | | $— | | $23,791,201 |
Total | | $23,791,201 | | $— | | $— | | $23,791,201 |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
13
Security Description | | Principal | | Value |
| | | ||
CORPORATE BONDS – 37.1% | | | ||
| | | ||
Communication Services – 2.8% | | | ||
CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 08/15/30(1) | | $55,000 | | $55,533 |
Cincinnati Bell, Inc., 7.00%, 07/15/24(1) | | 64,000 | | 65,180 |
Clear Channel Worldwide Holdings, Inc., | | 10,000 | | 8,377 |
Clear Channel Worldwide Holdings, Inc., | | 15,000 | | 14,164 |
Consolidated Communications, Inc., | | 70,000 | | 63,263 |
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 08/15/26(1) | | 25,000 | | 19,118 |
Diamond Sports Group LLC / Diamond Sports Finance Co., 6.63%, 08/15/27(1) | | 40,000 | | 22,086 |
DISH DBS Corp., 5.88%, 07/15/22 | | 40,000 | | 40,548 |
DISH DBS Corp., 7.75%, 07/01/26 | | 13,000 | | 12,865 |
Frontier Communications Corp., 8.50%, 04/01/26(1)(2) | | 18,000 | | 16,734 |
iHeartCommunications, Inc., 8.38%, 05/01/27 | | 29,008 | | 24,356 |
Live Nation Entertainment, Inc., | | 25,000 | | 21,491 |
McGraw-Hill Global Education Holdings LLC / | | 55,000 | | 35,602 |
Sirius XM Radio, Inc., 5.50%, 07/01/29(1) | | 25,000 | | 26,490 |
T-Mobile USA, Inc., 3.88%, 04/15/30(1) | | 60,000 | | 65,931 |
Twitter, Inc., 3.88%, 12/15/27(1) | | 55,000 | | 55,118 |
Univision Communications, Inc., | | 35,000 | | 30,931 |
Total Communication Services | | | | 577,787 |
| | | ||
Consumer Discretionary – 4.5% | | | ||
American Axle & Manufacturing, Inc., | | 40,000 | | 30,352 |
Aramark Services, Inc., 6.38%, 05/01/25(1) | | 40,000 | | 41,700 |
Caesars Resort Collection LLC / CRC Finco, Inc., | | 31,000 | | 24,538 |
Carnival Corp., 11.50%, 04/01/23(1) | | 5,000 | | 5,236 |
Dana, Inc., 5.38%, 11/15/27 | | 25,000 | | 22,219 |
Downstream Development Authority of the | | 21,000 | | 12,753 |
Eldorado Resorts, Inc., 6.00%, 09/15/26 | | 23,000 | | 23,216 |
Expedia Group, Inc., 6.25%, 05/01/25(1) | | 30,000 | | 30,641 |
Ford Motor Co., 9.00%, 04/22/25 | | 34,000 | | 33,235 |
Golden Nugget, Inc., 8.75%, 10/01/25(1) | | 25,000 | | 14,156 |
Hanesbrands, Inc., 5.38%, 05/15/25(1) | | 20,000 | | 20,200 |
Lear Corp., 3.80%, 09/15/27 | | 111,000 | | 103,146 |
Lithia Motors, Inc., 4.63%, 12/15/27(1) | | 20,000 | | 19,025 |
M/I Homes, Inc., 4.95%, 02/01/28(1) | | 70,000 | | 61,688 |
Michaels Stores, Inc., 8.00%, 07/15/27(1) | | 25,000 | | 17,516 |
Neiman Marcus Group Ltd. LLC / Neiman Marcus Group LLC / Mariposa Borrower / NMG, 8.00%, 10/25/24(1)(2) | 88,000 | | 7,920 |
Security Description | | Principal | | Value |
| | | ||
CORPORATE BONDS (continued) | | | | |
| | | | |
Consumer Discretionary (continued) | | | | |
NVR, Inc., 3.00%, 05/15/30 | | $15,000 | | $14,972 |
Panther BF Aggregator 2 LP / Panther Finance Co., Inc., 8.50%, 05/15/27(1) | | 45,000 | | 38,347 |
PulteGroup, Inc., 7.88%, 06/15/32 | | 40,000 | | 46,322 |
QVC, Inc., 4.75%, 02/15/27 | | 20,000 | | 18,400 |
Ross Stores, Inc., 4.80%, 04/15/30 | | 50,000 | | 54,597 |
Scientific Games International, Inc., | | 25,000 | | 18,993 |
Station Casinos LLC, 4.50%, 02/15/28(1) | | 25,000 | | 20,156 |
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., | | 30,000 | | 29,322 |
Under Armour, Inc., 3.25%, 06/15/26 | | 50,000 | | 45,107 |
VF Corp., 2.95%, 04/23/30 | | 50,000 | | 51,703 |
Vista Outdoor, Inc., 5.88%, 10/01/23 | | 68,000 | | 64,926 |
Weekley Homes LLC / Weekley Finance Corp., | | 70,000 | | 63,539 |
Total Consumer Discretionary | | | | 933,925 |
| | | ||
Consumer Staples – 0.6% | | | ||
Altria Group, Inc., 4.80%, 02/14/29 | | 117,000 | | 130,866 |
| | | | |
Energy – 3.2% | | | ||
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.63%, 07/15/26(1) | | 80,000 | | 54,168 |
Callon Petroleum Co., 6.13%, 10/01/24 | | 25,172 | | 5,003 |
Cheniere Energy Partners LP, 5.63%, 10/01/26 | | 30,000 | | 28,809 |
Cheniere Energy Partners LP, 4.50%, 10/01/29(1) | | 15,000 | | 13,907 |
Citgo Holding, Inc., 9.25%, 08/01/24(1) | | 20,000 | | 18,125 |
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/25(1) | | 65,000 | | 53,063 |
Denbury Resources, Inc., 9.25%, 03/31/22(1) | | 26,000 | | 4,863 |
HollyFrontier Corp., 5.88%, 04/01/26 | | 80,000 | | 81,918 |
Kinder Morgan, Inc., Series G, 7.75%, 01/15/32 | | 58,000 | | 74,330 |
MPLX LP, 4.00%, 03/15/28 | | 60,000 | | 56,984 |
Nabors Industries, Inc., 5.75%, 02/01/25 | | 15,000 | | 3,560 |
Parsley Energy LLC / Parsley Finance Corp., | | 35,000 | | 28,919 |
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 | | 25,000 | | 16,576 |
Sabine Pass Liquefaction LLC, 4.20%, 03/15/28 | | 50,000 | | 48,952 |
Sanchez Energy Corp., 7.25%, 02/15/23(1)(2)(3) | | 12,000 | | 210 |
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.88%, 04/15/26 | | 35,000 | | 31,227 |
Transocean, Inc., 8.00%, 02/01/27(1) | | 10,000 | | 3,950 |
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 04/01/26 | | 53,000 | | 42,914 |
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 09/01/27 | | 15,000 | | 12,370 |
Vine Oil & Gas LP / Vine Oil & Gas Finance Corp., 8.75%, 04/15/23(1) | | 130,000 | | 70,200 |
Total Energy | | | | 650,048 |
| | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
14
Security Description | | Principal | | Value |
| | | ||
CORPORATE BONDS (continued) | | | | |
| | | | |
Financials – 8.9% | | | ||
Acrisure, LLC / Acrisure Finance, Inc., | | $30,000 | | $31,041 |
Acrisure, LLC / Acrisure Finance, Inc., | | 70,000 | | 62,387 |
Allstate Corp. (The), Series B, 5.75%, | | 65,000 | | 66,384 |
Athene Holding Ltd., 4.13%, 01/12/28 | | 102,000 | | 96,639 |
Aviation Capital Group LLC, 3.50%, 11/01/27(1) | | 126,000 | | 91,795 |
Bank of America Corp., 4.20%, 08/26/24 | | 58,000 | | 62,818 |
Brighthouse Financial, Inc., 3.70%, 06/22/27 | | 73,000 | | 70,203 |
Brightsphere Investment Group, Inc., | | 80,000 | | 72,862 |
Capital One Financial Corp., 3.75%, 07/28/26 | | 110,000 | | 109,262 |
Charles Schwab Corp. (The), Series G, | | 53,000 | | 55,120 |
Citadel LP, 4.88%, 01/15/27(1) | | 50,000 | | 49,673 |
Citigroup, Inc., 3.98%, (3-Month USD LIBOR + 1.34%), 03/20/30(4) | | 40,000 | | 44,082 |
Fifth Third Bancorp, 2.55%, 05/05/27 | | 7,000 | | 6,986 |
Goldman Sachs Group, Inc. (The), | | 70,000 | | 75,629 |
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.25%, 05/15/26 | | 75,000 | | 74,049 |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc., 4.85%, 01/15/27 | | 50,000 | | 51,893 |
JPMorgan Chase & Co., Series HH, 4.60%, (SOFR + 3.13%), perpetual(4)(5) | | 24,000 | | 21,558 |
JPMorgan Chase & Co., 4.01%, (3-Month USD LIBOR + 1.12%), 04/23/29(4) | | 40,000 | | 44,609 |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 02/01/27(1) | | 25,000 | | 17,531 |
M&T Bank Corp., Series F, 5.13%, (3-Month USD LIBOR + 3.52%), perpetual(4)(5) | | 35,000 | | 35,321 |
MetLife, Inc., Series D, 5.88%, (3-Month USD LIBOR + 2.96%), perpetual(4)(5) | | 52,000 | | 53,602 |
MSCI, Inc., 4.00%, 11/15/29(1) | | 38,000 | | 39,628 |
Navient Corp., 6.75%, 06/25/25 | | 44,000 | | 40,975 |
Navient Corp., 5.00%, 03/15/27 | | 10,000 | | 8,482 |
PNC Financial Services Group, Inc. (The), Series S, 5.00%, (3-Month USD LIBOR + 3.30%), perpetual(4)(5) | | 65,000 | | 66,164 |
Prudential Financial, Inc., 5.63%, (3-Month USD LIBOR + 3.92%), 06/15/43(4) | | 90,000 | | 93,033 |
Santander Holdings USA, Inc., 4.40%, 07/13/27 | | 74,000 | | 75,431 |
Springleaf Finance Corp., 7.13%, 03/15/26 | | 22,000 | | 20,494 |
Springleaf Finance Corp., 5.38%, 11/15/29 | | 5,000 | | 4,174 |
Synchrony Financial, 3.95%, 12/01/27 | | 65,000 | | 59,935 |
Synovus Financial Corp., 5.90%, (USD 5 Year Swap + 3.38%), 02/07/29(4) | | 55,000 | | 52,596 |
Teachers Insurance & Annuity Association of America, 4.38%, (3-Month USD LIBOR + 2.66%), 09/15/54(1)(4) | 115,000 | | 126,521 |
Security Description | | Principal | | Value |
| | | ||
CORPORATE BONDS (continued) | | | |
Financials (continued) | | | ||
Wells Fargo & Co., Series S, 5.90%, | | $54,000 | | $54,848 |
Total Financials | | | | 1,835,725 |
| | | ||
Health Care – 3.0% | | | ||
Avantor, Inc., 6.00%, 10/01/24(1) | | 32,000 | | 33,894 |
Avantor, Inc., 9.00%, 10/01/25(1) | | 45,000 | | 49,036 |
Bausch Health Americas, Inc., 9.25%, 04/01/26(1) | | 24,000 | | 26,520 |
Bausch Health Americas, Inc., 8.50%, 01/31/27(1) | | 10,000 | | 11,071 |
Catalent Pharma Solutions, Inc., | | 10,000 | | 10,246 |
Centene Corp., 4.63%, 12/15/29(1) | | 20,000 | | 21,993 |
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 03/01/25(1) | | 30,000 | | 29,518 |
Charles River Laboratories International, Inc., 4.25%, 05/01/28(1) | | 15,000 | | 15,201 |
CHS/Community Health Systems, Inc., | | 20,000 | | 18,475 |
HCA, Inc., 5.63%, 09/01/28 | | 37,000 | | 41,169 |
HCA, Inc., 4.13%, 06/15/29 | | 60,000 | | 64,683 |
LifePoint Health, Inc., 6.75%, 04/15/25(1) | | 20,000 | | 20,658 |
LifePoint Health, Inc., 4.38%, 02/15/27(1) | | 20,000 | | 18,925 |
Mylan NV, 3.95%, 06/15/26 | | 50,000 | | 53,178 |
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(1) | | 9,000 | | 8,238 |
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 7.25%, 02/01/28(1) | | 5,000 | | 4,519 |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(1) | | 35,000 | | 35,668 |
Select Medical Corp., 6.25%, 08/15/26(1) | | 35,000 | | 33,586 |
Surgery Center Holdings, Inc., 6.75%, 07/01/25(1) | | 12,000 | | 10,341 |
Surgery Center Holdings, Inc., | | 30,000 | | 27,963 |
Tenet Healthcare Corp., 7.50%, 04/01/25(1) | | 5,000 | | 5,402 |
Tenet Healthcare Corp., 5.13%, 11/01/27(1) | | 38,000 | | 37,645 |
West Street Merger Sub, Inc., 6.38%, 09/01/25(1) | | 54,000 | | 50,693 |
Total Health Care | | | | 628,622 |
| | | ||
Industrials – 3.2% | | | ||
Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.63%, 07/15/26(1) | | 55,000 | | 56,804 |
ASGN, Inc., 4.63%, 05/15/28(1) | | 25,000 | | 23,171 |
Boeing Co. (The), 5.15%, 05/01/30 | | 55,000 | | 55,000 |
Boeing Co. (The), 5.81%, 05/01/50 | | 13,000 | | 13,000 |
Boeing Co. (The), 5.93%, 05/01/60 | | 13,000 | | 13,000 |
Carlisle Cos., Inc., 2.75%, 03/01/30 | | 19,000 | | 17,400 |
General Electric Co., Series D, 5.00%, (3-Month USD LIBOR + 3.33%), perpetual(4)(5) | | 65,000 | | 53,608 |
Hillenbrand, Inc., 4.50%, 09/15/26 | | 35,000 | | 32,100 |
Hillman Group, Inc. (The), 6.38%, 07/15/22(1) | | 12,000 | | 9,145 |
Howmet Aerospace, Inc., 6.88%, 05/01/25 | | 20,000 | | 20,473 |
Oshkosh Corp., 4.60%, 05/15/28 | | 52,000 | | 54,746 |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
15
Security Description | | Principal | | Value |
| | | ||
CORPORATE BONDS (continued) | ||||
| | | | |
Industrials (continued) | | | | |
Pentair Finance Sarl, 4.50%, 07/01/29 | | $55,000 | | $59,347 |
Signature Aviation US Holdings, Inc., | | 45,000 | | 38,459 |
SRS Distribution, Inc., 8.25%, 07/01/26(1) | | 35,000 | | 32,798 |
Stanley Black & Decker, Inc., 4.00%, (US 5 Year CMT T-Note + 2.66%), 03/15/60(4) | | 112,500 | | 109,977 |
TransDigm, Inc., 5.50%, 11/15/27(1) | | 20,000 | | 16,993 |
Waste Connections, Inc., 2.60%, 02/01/30 | | 50,000 | | 51,043 |
Total Industrials | | | | 657,064 |
| | | ||
Information Technology – 3.0% | | | ||
Broadcom, Inc., 4.70%, 04/15/25(1) | | 60,000 | | 66,235 |
Citrix Systems, Inc., 3.30%, 03/01/30 | | 80,000 | | 81,245 |
Dell International LLC / EMC Corp., | | 30,000 | | 32,779 |
Dell International LLC / EMC Corp., | | 19,000 | | 23,330 |
DXC Technology Co., 4.00%, 04/15/23 | | 21,000 | | 21,033 |
Exela Intermediate LLC / Exela Finance, Inc., 10.00%, 07/15/23(1) | | 30,000 | | 5,737 |
Juniper Networks, Inc., 3.75%, 08/15/29 | | 35,000 | | 37,139 |
Motorola Solutions, Inc., 4.60%, 02/23/28 | | 57,857 | | 63,592 |
Motorola Solutions, Inc., 4.60%, 05/23/29 | | 45,000 | | 50,951 |
Open Text Holdings, Inc., 4.13%, 02/15/30(1) | | 40,000 | | 39,096 |
Radiate Holdco LLC / Radiate Finance, Inc., | | 55,000 | | 54,852 |
Science Applications International Corp., | | 5,000 | | 4,920 |
ViaSat, Inc., 5.63%, 09/15/25(1) | | 70,000 | | 66,164 |
VMware, Inc., 3.90%, 08/21/27 | | 80,000 | | 81,180 |
Total Information Technology | | | | 628,253 |
| | | ||
Materials – 3.2% | | | ||
Avery Dennison Corp., 2.65%, 04/30/30 | | 53,000 | | 52,193 |
Cleveland-Cliffs, Inc., 6.75%, 03/15/26(1) | | 35,000 | | 30,702 |
Greif, Inc., 6.50%, 03/01/27(1) | | 45,000 | | 45,209 |
Hecla Mining Co., 7.25%, 02/15/28 | | 35,000 | | 34,431 |
Kaiser Aluminum Corp., 6.50%, 05/01/25(1) | | 5,000 | | 5,113 |
Kaiser Aluminum Corp., 4.63%, 03/01/28(1) | | 25,000 | | 23,391 |
Kraton Polymers LLC / Kraton Polymers Capital Corp., 7.00%, 04/15/25(1) | | 60,000 | | 58,020 |
LSB Industries, Inc., 9.63%, 05/01/23(1) | | 35,000 | | 32,806 |
Mauser Packaging Solutions Holding Co., | | 50,000 | | 39,437 |
Novelis Corp., 4.75%, 01/30/30(1) | | 40,000 | | 35,788 |
Olin Corp., 5.63%, 08/01/29 | | 55,000 | | 49,962 |
PolyOne Corp., 5.75%, 05/15/25(1) | | 31,000 | | 31,407 |
Schweitzer-Mauduit International, Inc., | | 40,000 | | 39,892 |
Scotts Miracle-Gro Co. (The), 4.50%, 10/15/29 | | 25,000 | | 24,533 |
Sonoco Products Co., 3.13%, 05/01/30 | | 60,000 | | 60,062 |
TPC Group, Inc., 10.50%, 08/01/24(1) | 10,000 | | 8,227 |
Security Description | | Principal | | Value |
| | | ||
CORPORATE BONDS (continued) |
Materials (continued) | | | | |
Trident TPI Holdings, Inc., 9.25%, 08/01/24(1) | | $30,000 | | $26,469 |
Trident TPI Holdings, Inc., 6.63%, 11/01/25(1) | | 40,000 | | 31,808 |
Tronox, Inc., 6.50%, 05/01/25(1) | | 40,000 | | 40,250 |
Total Materials | | | | 669,700 |
| | | | |
Real Estate – 2.3% | | | | |
EPR Properties, 4.75%, 12/15/26 | | 75,000 | | 63,609 |
ESH Hospitality, Inc., 4.63%, 10/01/27(1) | | 50,000 | | 45,375 |
GLP Capital LP / GLP Financing II, Inc., | | 52,000 | | 50,897 |
GLP Capital LP / GLP Financing II, Inc., | | 16,000 | | 15,853 |
GLP Capital LP / GLP Financing II, Inc., | | 18,000 | | 17,374 |
Healthcare Trust of America Holdings LP, | | 24,000 | | 22,233 |
Iron Mountain, Inc., 4.88%, 09/15/29(1) | | 50,000 | | 48,165 |
LifeStorage LP, 3.50%, 07/01/26 | | 54,000 | | 55,037 |
MPT Operating Partnership LP / MPT Finance Corp., 5.00%, 10/15/27 | | 32,000 | | 32,842 |
MPT Operating Partnership LP / MPT Finance Corp., 4.63%, 08/01/29 | | 10,000 | | 9,991 |
Service Properties Trust, 4.38%, 02/15/30 | | 100,000 | | 76,824 |
Uniti Group LP / Uniti Fiber Holdings, Inc. / | | 20,000 | | 19,375 |
Uniti Group LP / Uniti Group Finance, Inc. / | | 20,000 | | 16,719 |
Total Real Estate | | | | 474,294 |
| | | ||
Utilities – 2.4% | | | ||
American Electric Power Co., Inc., | | 67,000 | | 66,556 |
CenterPoint Energy, Inc., 4.25%, 11/01/28 | | 50,000 | | 54,656 |
Dominion Energy, Inc., Series C, | | 50,000 | | 54,395 |
DPL, Inc., 4.35%, 04/15/29 | | 73,000 | | 71,195 |
Edison International, 4.95%, 04/15/25 | | 50,000 | | 54,345 |
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp., 8.63%, 06/15/20 | | 25,000 | | 10,180 |
Talen Energy Supply, LLC, 7.25%, 05/15/27(1) | | 15,000 | | 14,920 |
Talen Energy Supply, LLC, 6.63%, 01/15/28(1) | | 55,000 | | 52,134 |
TerraForm Power Operating LLC, | | 50,000 | | 52,685 |
Vistra Operations Co. LLC, 3.70%, 01/30/27(1) | | 60,000 | | 59,112 |
Total Utilities | | | | 490,178 |
| | | | |
Total Corporate Bonds | | | | |
(Cost $8,164,606) | | | | 7,676,462 |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
16
Security Description | | | Principal | | Value |
| | | | | |
FOREIGN BONDS – 24.3% | |||||
| |||||
Communication Services – 2.4% | |||||
Baidu, Inc., 3.43%, 04/07/30 (China) | | | $200,000 | | $209,383 |
Telesat Canada / Telesat LLC, | | | 15,000 | | 14,719 |
Telesat Canada / Telesat LLC, | | | 45,000 | | 42,622 |
Tencent Holdings Ltd., 3.98%, | | | 200,000 | | 225,818 |
Total Communication Services | | | | | 492,542 |
| |||||
Consumer Discretionary – 0.1% | |||||
Gateway Casinos & Entertainment Ltd., | | | 35,000 | | 29,655 |
| | | | | |
Consumer Staples – 2.3% | |||||
Anheuser-Busch InBev Worldwide, Inc., | | | 50,000 | | 57,765 |
Bacardi Ltd., 4.70%, 05/15/28 | | | 100,000 | | 109,269 |
BAT Capital Corp., 4.91%, 04/02/30 (United Kingdom) | | | 45,000 | | 50,675 |
Kronos Acquisition Holdings, Inc., 9.00%, | | | 61,000 | | 53,337 |
Sigma Finance Netherlands BV, 4.88%, | | | 200,000 | | 203,422 |
Total Consumer Staples | | | | | 474,468 |
| |||||
Energy – 3.7% | |||||
Equinor ASA, 3.13%, | | | 55,000 | | 59,111 |
KazMunayGas National Co. JSC, 4.75%, | | | 300,000 | | 291,960 |
MEG Energy Corp., 7.13%, | | | 25,000 | | 17,406 |
Pertamina Persero PT, 6.45%, | | | 255,000 | | 284,224 |
Petroleos Mexicanos, 5.95%, | | | 85,000 | | 61,991 |
Petroleos Mexicanos, 6.35%, | | | 80,000 | | 53,680 |
Total Energy | | | | | 768,372 |
| |||||
Financials – 4.7% | |||||
AerCap Ireland Capital DAC / | | | 150,000 | | 125,004 |
Australia & New Zealand Banking Group Ltd., 4.40%, 05/19/26 (Australia)(1) | | | 290,000 | | 308,590 |
Bank of Montreal, 3.80%, | | | 47,000 | | 48,542 |
BBVA Bancomer SA, 5.13%, | | | 200,000 | | 174,260 |
Development Bank of Kazakhstan JSC, | KZT | | 70,000,000 | 147,548 |
Security Description | | | Principal | | Value |
| | | | | |
FOREIGN BONDS (continued) | | | | | |
| | | | | |
Financials (continued) | | | | | |
Fairfax Financial Holdings Ltd., | | | $70,000 | | $70,823 |
Toronto-Dominion Bank (The), | | | 90,000 | | 95,905 |
Total Financials | | | | | 970,672 |
| |||||
Government – 5.6% | |||||
Argentine Republic Government International Bond, 5.88%,01/11/28 (Argentina) | | | 100,000 | | 25,651 |
Colombia Government International Bond, | | | 200,000 | | 183,250 |
El Salvador Government International Bond, 7.65%, 06/15/35 (El Salvador)(1) | | | 30,000 | | 23,958 |
Israel Government International Bond, | | | 200,000 | | 211,000 |
Mexican Bonos, Series M, 6.50%, | MXN | | 2,200,000 | | 93,558 |
Republic of South Africa Government International Bond, 5.65%, | | | 200,000 | | 155,500 |
Russian Foreign Bond - Eurobond, | | | 200,000 | | 222,250 |
Saudi Government International Bond, | | | 200,000 | | 210,100 |
Uruguay Government International Bond, | | | 20,000 | | 22,847 |
Total Government | | | | | 1,148,114 |
| |||||
Health Care – 0.3% | |||||
Advanz Pharma Corp., Ltd., 8.00%, | | | 17,000 | | 15,215 |
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (Israel) | | | 55,000 | | 48,196 |
Total Health Care | | | | | 63,411 |
| |||||
Industrials – 2.1% | |||||
Avolon Holdings Funding Ltd., | | | 87,000 | | 74,745 |
Bombardier, Inc., 8.75%, | | | 30,000 | | 25,069 |
Bombardier, Inc., 7.50%, | | | 30,000 | | 19,594 |
DP World PLC, 6.85%, 07/02/37 | | | 100,000 | | 109,563 |
Garda World Security Corp., 4.63%, | | | 20,000 | | 19,375 |
GFL Environmental, Inc., 7.00%, | | | 14,000 | | 14,675 |
GFL Environmental, Inc., 8.50%, | | | 15,000 | | 16,438 |
Norwegian Air Shuttle ASA Pass-Through Trust, Class A, Series 2016-1, 4.88%, 05/10/28 (Norway)(1) | | | 184,405 | | 124,474 |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
17
Security Description | | | Principal | | Value |
| | | | | |
FOREIGN BONDS (continued) | |||||
| | | | | |
Industrials (continued) | | | | | |
Titan Acquisition Ltd. / Titan Co.-Borrower LLC, 7.75%, 04/15/26 (Canada)(1) | | | $40,000 | | $37,432 |
Total Industrials | | | | | 441,365 |
| |||||
Materials – 3.1% | |||||
BHP Billiton Finance USA Ltd., 6.75%, (USD 5 Year Swap + 5.09%), | | | 240,000 | | 268,619 |
Glencore Funding LLC, 4.00%, 03/27/27 (Switzerland)(1) | | | 106,000 | | 107,481 |
Inversiones CMPC SA, 3.85%, 01/13/30 (Chile)(1) | | | 200,000 | | 193,870 |
NOVA Chemicals Corp., 5.00%, 05/01/25 (Canada)(1) | | | 30,000 | | 25,494 |
Teck Resources Ltd., 6.13%, 10/01/35 (Canada) | | | 50,000 | | 49,524 |
Total Materials | | | | | 644,988 |
| | | | | |
Total Foreign Bonds | | | | | |
(Cost $5,294,063) | | | | | 5,033,587 |
| | | | | |
U.S. GOVERNMENT SECURITIES – 10.4% | | | |||
U.S. Treasury Bond | | | | | |
2.88%, 05/15/49 | | 110,000 | | 152,367 | |
U.S. Treasury Note | | | | | |
2.25%, 03/31/21 | | 850,000 | | 866,353 | |
1.75%, 06/15/22 | | 375,000 | | 387,400 | |
1.25%, 08/31/24 | | 450,000 | | 467,736 | |
2.00%, 02/15/25 | | 105,000 | | 113,174 | |
1.50%, 02/15/30 | | 150,000 | | 162,211 | |
| | | | | |
Total U.S. Government Securities | | | | | |
(Cost $2,077,291) | | | 2,149,241 |
Security Description | | Principal | | Value |
| | | ||
TERM LOANS – 10.2% | | | | |
| | | ||
Aerospace – 0.5% | | | ||
AI Convoy Luxembourg Sarl, 01/18/27(6) | | $35,000 | | $33,279 |
Dynasty Acquisition Co, Inc., 4.95%, (3-Month USD LIBOR + 3.50%), 04/06/26(4) | | 27,838 | | 24,654 |
Dynasty Acquisition Co, Inc., 4.95%, (3-Month USD LIBOR + 3.50%), 04/06/26(4) | | 14,967 | | 13,255 |
TransDigm, Inc., 2.65%, (1-Month USD LIBOR + 2.25%), 12/09/25(4) | | 32,790 | | 28,845 |
Total Aerospace | | | | 100,033 |
| | | ||
Chemicals – 0.2% | | | ||
H.B. Fuller Co., 2.72%, (1-Month USD LIBOR + 2.00%), 10/21/24(4) | | 30,000 | | 28,942 |
Innophos Holdings, Inc., 4.61%, (1-Month USD LIBOR + 3.75%), 02/05/27(4) | | 20,000 | | 19,100 |
Total Chemicals | | | | 48,042 |
| | | ||
Consumer Non-Durables – 0.9% | | | ||
American Greetings Corp., 5.50%, (1-Month USD LIBOR + 4.50%), 04/06/24(4) | | 55,851 | | 49,568 |
Diamond (BC) B.V., 3.76%, (3-Month USD LIBOR + 3.00%), 09/06/24 (Netherlands)(4) | | 44,821 | | 38,728 |
Diamond (BC) B.V., 3.40%, (1-Month USD LIBOR + 3.00%), 09/06/24 (Netherlands)(4) | | 115 | | 99 |
Kronos Acquisition Intermediate, Inc. (aka KIK Custom Products), 5.00%, (1-Month USD LIBOR + 4.00%), 05/15/23 (Canada)(4) | | 26,202 | | 23,633 |
Parfums Holding Co., Inc., 5.86%, (3-Month USD LIBOR + 4.25%), 06/28/24(4) | | 48,594 | | 43,000 |
Rodan & Fields, LLC, 4.79%, (1-Month USD LIBOR + 4.00%), 06/16/25 (Kazakhstan)(4) | | 62,108 | | 30,899 |
Rodan & Fields, LLC, 6.25%, (3-Month USD LIBOR + 3.00%), 06/16/25 (Kazakhstan)(4) | | 158 | ��� | 79 |
Total Consumer Non-Durables | | | | 186,006 |
| | | ||
Energy – 0.2% | | | ||
CITGO Petroleum Corp., 6.00%, (2-Month USD LIBOR + 5.00%), 03/28/24(4) | | 39,600 | | 35,640 |
| | | | |
Financials – 0.5% | | | ||
Asurion, LLC (fka Asurion Corp.), 6.90%, (1-Month USD LIBOR + 6.50%), 08/04/25(4) | | 46,228 | | 44,841 |
Blackhawk Network Holdings, Inc., 3.15%, (1-Month USD LIBOR + 2.75%), 06/15/25(4) | | 23,545 | | 20,324 |
Deerfield Dakota Holding LLC, 4.75%, (3-Month USD LIBOR + 3.75%), 04/09/27(4) | | 15,000 | | 14,438 |
iStar, Inc. (fka iStar Financial, Inc.), 3.73%, (1-Month USD LIBOR + 2.75%), 06/28/23(4) | | 23,989 | | 22,430 |
iStar, Inc. (fka iStar Financial, Inc.), 3.47%, (1-Month USD LIBOR + 2.75%), 06/28/23(4) | | 13,249 | | 12,388 |
Total Financials | | | | 114,421 |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
18
Security Description | | Principal | | Value |
| | | ||
TERM LOANS (continued) | | | ||
| | | ||
Food/Tobacco – 0.5% | | | ||
Froneri US, Inc., 01/29/27(6) | | $35,000 | | $32,579 |
H-Food Holdings, LLC (aka Hearthside Food Solutions, LLC), 4.09%, (1-Month USD LIBOR + 3.69%), 05/23/25(4) | | 25,000 | | 23,165 |
Milk Specialties Co., 5.00%, (1-Month USD LIBOR + 4.00%), 08/16/23(4) | | 26,597 | | 24,336 |
Shearer’s Foods LLC, 7.75%, (3-Month USD LIBOR + 6.75%), 06/30/22(4) | | 25,000 | | 24,000 |
Total Food/Tobacco | | | | 104,080 |
| | | ||
Gaming/Leisure – 0.5% | | | ||
Everi Payments, Inc., 05/09/24(6) | | 20,000 | | 17,416 |
Playa Resorts Holding B.V., 3.75%, (1-Month USD LIBOR + 2.75%), 04/29/24(4) | | 26,239 | | 21,401 |
Scientific Games International, Inc., 3.61%, (3-Month USD LIBOR + 2.75%), 08/14/24(4) | | 26,865 | | 22,361 |
Scientific Games International, Inc., 3.15%, (1-Month USD LIBOR + 2.75%), 08/14/24(4) | | 6,572 | | 5,470 |
Scientific Games International, Inc., 3.45%, (2-Month USD LIBOR + 2.75%), 08/14/24(4) | | 171 | | 143 |
Stars Group Holdings B.V., 4.95%, (3-Month USD LIBOR + 3.50%), 07/10/25(4) | | 38,416 | | 38,321 |
Total Gaming/Leisure | | | | 105,112 |
| | | ||
Health Care – 2.2% | | | ||
21st Century Oncology, Inc., 7.13%, (1-Month USD LIBOR + 6.13%), 01/16/23(4) | | 20,000 | | 19,667 |
Accelerated Health Systems, LLC, 4.33%, | | 39,352 | | 34,236 |
AHP Health Partners, Inc. (aka Ardent Health Partners, LLC), 5.50%, (1-Month USD LIBOR + 4.50%), 06/30/25(4) | | 47,623 | | 44,567 |
Bausch Health Companies, Inc. (fka Valeant Pharmaceuticals International, Inc.), 3.72%, (1-Month USD LIBOR + 3.00%), 06/02/25(4) | | 39,574 | | 38,387 |
CHG Healthcare Services, Inc. (fka CHG Buyer Corp.), 4.07%, (3-Month USD LIBOR + 3.00%), 06/07/23(4) | | 85,824 | | 81,724 |
CHG Healthcare Services, Inc. (fka CHG Buyer Corp.), 4.45%, (3-Month USD LIBOR + 3.00%), 06/07/23(4) | | 221 | | 211 |
Concordia Healthcare Corp., 6.57%, (3-Month USD LIBOR + 5.50%), 09/06/24 (Canada)(4) | | 154,230 | | 134,662 |
Envision Health Care Corp., 4.15%, (1-Month USD LIBOR + 3.75%), 10/10/25(4) | | 30,508 | | 21,158 |
Ortho-Clinical Diagnostics, Inc., 4.27%, (1-Month USD LIBOR + 3.25%), 06/30/25(4) | | 50,586 | | 45,274 |
Phoenix Guarantor, Inc., 4.08%, (1-Month USD LIBOR + 3.25%), 05/05/26(4) | | 40,000 | | 37,440 |
Total Health Care | | | | 457,326 |
| |
Security Description | | Principal | | Value |
| | | ||
TERM LOANS (continued) | |
Housing – 0.4% | | | ||
American Builders & Contractors Supply Co., Inc., 2.40%, (1-Month USD LIBOR + 2.00%), | | $39,800 | | $37,491 |
CPG International LLC (fka CPG International, Inc.), 5.93%, (3-Month USD LIBOR + 3.75%), | | 49,147 | | 44,957 |
Total Housing | | | | 82,448 |
| | | ||
Information Technology – 1.1% | | | ||
Applied Systems, Inc., 8.45%, (3-Month USD LIBOR + 7.00%), 09/19/25(4) | | 50,000 | | 48,098 |
BMC Software Finance, Inc., 4.65%, (1-Month USD LIBOR + 4.25%), 10/02/25(4) | | 19,403 | | 16,856 |
Kronos, Inc., 4.76%, (3-Month USD LIBOR + 3.00%), 11/01/23(4) | | 82,209 | | 79,747 |
Kronos, Inc., 10.01%, (3-Month USD LIBOR + 8.25%), 11/01/24(4) | | 23,000 | | 22,281 |
SS&C Technologies, Inc., 2.15%, (1-Month USD LIBOR + 1.75%), 04/16/25(4) | | 14,415 | | 13,925 |
SS&C Technologies, Inc., 2.15%, (1-Month USD LIBOR + 1.75%), 04/16/25(4) | | 11,702 | | 11,305 |
Vertafore, Inc., 3.65%, (1-Month USD LIBOR + 3.25%), 07/02/25(4) | | 24,005 | | 22,214 |
Vertiv Group Corp., 3.99%, (1-Month USD LIBOR + 3.00%), 03/02/27(4) | | 20,000 | | 18,900 |
Total Information Technology | | | | 233,326 |
| | | ||
Manufacturing – 0.4% | | | ||
CPI Acquisition, Inc., 6.38%, (3-Month USD LIBOR + 4.50%), 08/17/22(4) | | 60,000 | | 39,788 |
Star US Bidco LLC, 5.25%, (1-Month USD LIBOR + 4.25%), 03/17/27(4) | | 25,000 | | 20,063 |
US Farathane LLC, 4.95%, (3-Month USD LIBOR + 3.50%), 12/23/21(3)(4) | | 24,648 | | 14,665 |
Total Manufacturing | | | | 74,516 |
| | | ||
Media/Telecom - Broadcasting – 0.2% | | | ||
Diamond Sports Group LLC, 3.82%, (1-Month USD LIBOR + 3.25%), 08/24/26(4) | | 19,900 | | 16,374 |
Nexstar Broadcasting, Inc., 3.73%, (1-Month USD LIBOR + 2.75%), 09/18/26(4) | | 19,213 | | 18,159 |
Total Media/Telecom - Broadcasting | | | | 34,533 |
| | | ||
Media/Telecom - Cable/Wireless Video – 0.4% | | | ||
CSC Holdings, LLC, 3.06%, (1-Month USD LIBOR + 2.25%), 01/15/26(4) | | 58,730 | | 56,198 |
Intelsat Jackson Holdings SA, 6.63%, (6-Month USD LIBOR + 6.63%), 01/02/24(4) | | 15,000 | | 15,021 |
Ziggo BV, 3.31%, (1-Month USD LIBOR + 2.50%), 04/30/28(4) | | 10,000 | | 9,412 |
Total Media/Telecom - Cable/Wireless Video | | | | 80,631 |
| | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
19
Security Description | | Principal | | Value |
| | | ||
TERM LOANS (continued) | | | ||
| | | ||
Media/Telecom - Telecommunications – 0.5% | | | ||
Altice France SA/France, 01/31/26(6) | | $29,923 | | $27,876 |
CenturyLink, Inc., 2.65%, (1-Month USD LIBOR + 2.25%), 03/15/27(4) | | 14,963 | | 14,215 |
Iridium Satellite LLC, 4.75%, (1-Month USD LIBOR + 3.75%), 11/04/26(4) | | 5,000 | | 4,952 |
Securus Technologies Holdings, Inc., 9.25%, | | 95,000 | | 59,375 |
Total Media/Telecom - Telecommunications | | | | 106,418 |
| | | ||
Media/Telecom - Wireless Communications – 0.1% | | | ||
CommScope, Inc., 3.65%, (1-Month USD LIBOR + 3.25%), 04/06/26(4) | | 14,925 | | 14,155 |
| | | | |
Retail – 0.1% | | | ||
Neiman Marcus Group, Inc. (The), 7.50%, (1-Month USD LIBOR + 6.00%), 10/25/23(4) | | 38,210 | | 14,724 |
| | | | |
Service – 1.1% | | | ||
Dun & Bradstreet Corp. (The), 4.49%, (1-Month USD LIBOR + 4.00%), 02/06/26(4) | | 40,000 | | 37,620 |
GFL Environmental, Inc., 4.00%, (1-Month USD LIBOR + 3.00%), 05/30/25(4) | | 66,406 | | 65,468 |
Hoya Midco, LLC, 4.57%, (3-Month USD LIBOR + 3.50%), 06/30/24(4) | | 14,877 | | 10,816 |
PetVet Care Centers LLC, 3.65%, (1-Month USD LIBOR + 3.25%), 02/14/25(4) | | 8,312 | | 7,512 |
PI UK Holdco II Limited, 4.70%, (3-Month USD LIBOR + 3.25%), 01/03/25(4) | | 45,910 | | 41,527 |
Pug LLC, 3.90%, (1-Month USD LIBOR + 3.50%), 02/12/27(4) | | 34,913 | | 28,861 |
Sedgwick Claims Management Services, Inc., | | 20,000 | | 18,831 |
TKC Holdings, Inc., 4.75%, (3-Month USD LIBOR + 3.75%), 02/01/23(4) | | 27,698 | | 25,471 |
Total Service | | | | 236,106 |
| | | ||
Transportation - Automotive – 0.1% | | | ||
Cooper-Standard Automotive, Inc., 2.75%, (1-Month USD LIBOR + 2.00%), 11/02/23(4) | | 29,757 | | 22,318 |
| | | | |
Utilities – 0.3% | | | ||
APLP Holdings LP, 3.50%, (1-Month USD LIBOR + 2.50%), 04/14/25(4) | | 23,979 | | 23,121 |
Brookfield WEC Holdings, Inc., 3.75%, (1-Month USD LIBOR + 3.00%), 08/01/25(4) | | 34,228 | | 32,585 |
Total Utilities | | | | 55,706 |
| | | | |
Total Term Loans | | | | |
(Cost $2,372,055) | | | | 2,105,541 |
| | | |
Security Description | | Principal | | Value |
| | | ||
MORTGAGE BACKED SECURITIES - 9.0% | | | |
Commercial Mortgage Backed Securities - 0.2% | | | | |
Sutherland Commercial Mortgage Loans, Class A, | | $49,125 | | $46,439 |
| | | | |
Mortgage Backed Security - 2.9% | | | | |
CCG Receivables Trust, Class B, Series 2019-2, 2.55%, 03/15/27(1) | | 100,000 | | 100,008 |
Comm Mortgage Trust, Class B, Series 2020-CBM, 3.10%, 02/10/37(1) | | 45,000 | | 40,799 |
Federal National Mortgage Association, 3.50%, 05/01/49 | | 176,668 | | 186,671 |
Federal National Mortgage Association, 3.50%, 07/01/49 | | 190,943 | | 201,819 |
Marlette Funding Trust, Class A, Series 2019-4A, 2.39%, 12/17/29(1) | | 75,139 | | 73,409 |
Total Mortgage Backed Security | | | | 602,706 |
| | | | |
Residential Mortgage Backed Securities - 5.9% | | | | |
Ajax Mortgage Loan Trust, Class A1, Series 2019-D, 2.96%, 09/25/65(1)(3)(8) | | 123,716 | | 125,544 |
Arroyo Mortgage Trust, Class A1, Series 2019-2, 3.35%, 04/25/49(1)(4)(7) | | 78,342 | | 78,126 |
Banc of America Funding Trust, Class 5A1, Series 2004-D, 3.82%, 01/25/35(4)(7) | | 271,371 | | 246,823 |
Deephaven Residential Mortgage Trust, Class A2, Series 2017-1A, 2.93%, 12/26/46(1)(4)(7) | | 17,219 | | 17,071 |
Deephaven Residential Mortgage Trust, Class A2, Series 2017-2A, 2.61%, 06/25/47(1)(4)(7) | | 35,367 | | 35,070 |
JPMorgan Mortgage Trust, Class A3, Series 2018-8, 4.00%, 01/25/49(1)(4)(7) | | 58,705 | | 60,003 |
New Residential Mortgage Loan Trust, Class A1, Series 2016-1A, 3.75%, 03/25/56(1)(4)(7) | | 97,340 | | 99,757 |
RCKT Mortgage Trust, Class A1, Series 2020-1, 3.00%, 02/25/50(1)(4)(7) | | 98,473 | | 100,733 |
Sequoia Mortgage Trust, Class B1, Series 2013-8, 3.52%, 06/25/43(4)(7) | | 240,970 | | 237,594 |
Towd Point Mortgage Trust, Class A2, Series 2018-6, 3.75%, 03/25/58(1)(4)(7) | | 100,000 | | 93,984 |
Verus Securitization Trust, Class A1, Series 2019-2, 3.21%, 05/25/59(1)(4)(7) | | 113,955 | | 114,232 |
Total Residential Mortgage Backed Securities | | | | 1,208,937 |
| | | | |
Total Mortgage Backed Securities | | | | |
(Cost $1,876,632) | | | | 1,858,082 |
| | |
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
20
Security Description | | Principal/ | | Value | |
| | | | ||
ASSET BACKED SECURITIES – 4.9% | | | | ||
| | | | | |
Arbys Funding LLC, Class A2, Series 2015-1A, 4.97%, 10/30/45(1) | | $324,700 | | $321,979 | |
Drug Royalty III LP 1, Class A, Series 2016-1A, 3.98%, 04/15/27(1) | | 21,728 | | 21,774 | |
DT Auto Owner Trust, Class C, Series 2019-2A, 3.18%, 02/18/25(1) | | 90,000 | | 89,458 | |
Flagship Credit Auto Trust, Class C, Series 2019-2, 3.09%, 05/15/25(1) | | 130,000 | | 129,521 | |
MVW Owner Trust, Class A, Series 2019-1A, 2.89%, 11/20/36(1) | | 83,288 | | 79,223 | |
Skopos Auto Receivables Trust, Class B, Series 2018-1A, 3.93%, 05/16/22(1) | | 244,287 | | 242,768 | |
United Auto Credit Securitization Trust, Class E, Series 2019-1, 4.29%, 08/12/24(1)(3) | | 80,000 | | 62,085 | |
Veros Automobile Receivables Trust, Class B, Series 2020-1, 2.19%, 06/16/25(1) | | 55,000 | | 53,741 | |
| | | | | |
Total Asset Backed Securities | | | | | |
(Cost $1,032,453) | | | | 1,000,549 | |
| | ||||
EXCHANGE TRADED FUNDS - 2.2% | | | | | |
| | | | | |
Debt Funds - 2.2% | | | | | |
Invesco Senior Loan ETF | | 7,504 | | 157,434 | |
iShares iBoxx $ High Yield Corporate | | 930 | | 74,800 | |
iShares Iboxx $ Investment Grade Corporate Bond ETF | | 840 | | 108,503 | |
SPDR Bloomberg Barclays High Yield Bond ETF | | 1,074 | | 106,358 | |
Total Debt Funds | | | | 447,095 | |
| | | | | |
Total Exchange Traded Funds | | | | | |
(Cost $441,690) | | | | 447,095 | |
| | | | ||
MUNICIPAL BONDS – 1.7% | | | | ||
| | | | | |
District of Columbia, 5.00%, 10/01/29 | | 75,000 | | 97,755 | |
Sales Tax Securitization Corp., 3.41%, 01/01/43 | | 5,000 | | 4,712 | |
State of California, 7.60%, 11/01/40 | | 145,000 | | 250,548 | |
| | | | | |
Total Municipal Bonds | | | | | |
(Cost $340,688) | | | | 353,015 | |
| | | | | |
WARRANT - 0.1% | | | | | |
| | | | | |
Communication Services - 0.1% | | | | | |
iHeart Media, Inc.* | | | | | |
(Cost $49,153) | | 2,830 | | 18,041 | |
| | | | | |
COMMON STOCK - 0.0%(9) | | | | | |
| | | | | |
Communication Services - 0.0%(9) | | | | | |
Clear Channel Outdoor Holdings, Inc.* | | | | | |
(Cost $31,607) | | 6,654 | | 6,420 |
Security Description | | Principal/ | | Value | |
| | | | ||
MONEY MARKET FUND - 0.8% | | | | | |
| | | | | |
JP Morgan U.S. Government Money Market Institutional Shares, 0.19%(10) | | 170,880 | | $170,880 | |
| | | | | |
TOTAL INVESTMENTS - 100.7% | | | | | |
(Cost $21,851,118) | | | | 20,818,913 | |
Liabilities in Excess of Other Assets - (0.7)% | | | | (136,315 | ) |
Net Assets - 100.0% | | | | $20,682,598 | |
*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, 2020, the aggregate value of these securities was $8,337,397, or 40.3% of net assets.
(2)Security in default, no interest payments are being received during the bankruptcy proceedings.
(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)Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2020.
(5)Perpetual security with no stated maturity date.
(6)The loan will settle after April 30, 2020 at which the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected.
(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)Represents step coupon bond. Rate shown reflects the rate in effect as of April 30, 2020.
(9)Amount rounds to less than 0.05%.
(10)The rate shown reflects the seven-day yield as of April 30, 2020.
Abbreviations:
CMT — 1 Year Constant Maturity Treasury Index
ETF — Exchange Traded Fund
LIBOR — London InterBank Offered Rate
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
Currency Abbreviations
KZT Kazakhstani Tenge
MXN Mexican Peso
Schedule of Investments — Virtus Newfleet Multi-Sector Bond ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
21
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2020.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Corporate Bonds | | $— | | $7,676,252 | | $210 | | $7,676,462 |
Foreign Bonds | | — | | 5,033,587 | | — | | 5,033,587 |
U.S. Government Securities | | — | | 2,149,241 | | — | | 2,149,241 |
Term Loans | | — | | 2,090,876 | | 14,665 | | 2,105,541 |
Mortgage Backed Securities | | — | | 1,732,538 | | 125,544 | | 1,858,082 |
Asset Backed Securities | | — | | 938,464 | | 62,085 | | 1,000,549 |
Exchange Traded Funds | | 447,095 | | — | | — | | 447,095 |
Municipal Bonds | | — | | 353,015 | | — | | 353,015 |
Warrants | | — | | 18,041 | | — | | 18,041 |
Common Stocks | | 6,420 | | — | | — | | 6,420 |
Money Market Funds | | 170,880 | | — | | — | | 170,880 |
Total | | $624,395 | | $19,992,014 | | $202,504 | | $20,818,913 |
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
A reconciliation of assets in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 investments at the end of the period. The following summarizes inputs (level 3) used as of April 30, 2020:
Balance as of October 31, 2019 | | $0 | |
Realized gain (loss) | | 11 | |
Change in unrealized appreciation (depreciation) | | (9,273 | ) |
Purchases | | 48,363 | |
Sales | | (24,533 | ) |
Amortization (accretion) | | 97 | |
Transfers into Level 3 | | 187,839 | |
Transfers out of Level 3 | | — | |
Balance as of April 30, 2020 | | 202,504 | |
Net change in unrealized appreciation (depreciation) from investments still held as of April 30, 2020: | | $— | |
Schedule of Investments — Virtus Private Credit Strategy ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
22
| | |||
| | | | |
| | | | |
| | | | |
| | | | |
Apollo Investment Corp. | | 205,547 | | |
Ares Capital Corp. | | 147,746 | | |
Bain Capital Specialty Finance, Inc. | | 57,441 | | |
Barings BDC, Inc. | | 456,912 | | |
BlackRock Capital Investment Corp. | | 924,263 | | |
BlackRock TCP Capital Corp. | | 224,112 | | |
Capital Southwest Corp. | | 156,285 | | |
Capitala Finance Corp. | | 180,513 | | |
Fidus Investment Corp. | | 224,056 | | |
FS KKR Capital Corp. | | 715,516 | | |
Garrison Capital, Inc. | | 263,775 | | |
Gladstone Capital Corp. | | 269,684 | | |
Gladstone Investment Corp. | | 172,822 | | |
Goldman Sachs BDC, Inc. | | 120,937 | | |
Golub Capital BDC, Inc. | | 138,871 | | |
Hercules Capital, Inc. | | 175,393 | | |
Horizon Technology Finance Corp. | | 121,626 | | |
Investcorp Credit Management BDC, Inc. | | 214,459 | | |
Main Street Capital Corp. | | 48,883 | | |
Medley Capital Corp.* | | 788,804 | | |
Monroe Capital Corp. | | 146,367 | | |
New Mountain Finance Corp. | | 227,105 | | |
Oaktree Specialty Lending Corp. | | 407,085 | | |
Oaktree Strategic Income Corp. | | 195,308 | | |
OFS Capital Corp. | | 137,311 | | |
Oxford Square Capital Corp. | | 759,580 | | |
PennantPark Floating Rate Capital Ltd. | | 248,241 | | |
PennantPark Investment Corp. | | 558,848 | | |
Portman Ridge Finance Corp. | | 719,608 | | |
Prospect Capital Corp. | | 613,114 | | |
Saratoga Investment Corp. | | 91,111 | | |
Solar Capital Ltd. | | 123,503 | | |
Solar Senior Capital Ltd. | | 148,794 | | |
Stellus Capital Investment Corp. | | 203,801 | | |
TCG BDC, Inc. | | 275,997 | | |
THL Credit, Inc. | | 241,268 | | |
TPG Specialty Lending, Inc. | | 111,198 | | |
TriplePoint Venture Growth BDC Corp. | | 252,008 | | |
WhiteHorse Finance, Inc. | | 245,907 | | |
Total Financials | | | | |
| | | | |
Total Common Stocks | | | | |
(Cost $106,943,663) | | | | |
| | | |
| | |||
| | | | |
| | | | |
| | | | |
Barings Corporate Investors | | 143,094 | | |
BlackRock Debt Strategies Fund, Inc. | | 214,934 | | |
BlackRock Floating Rate Income Trust | | 151,001 | | |
BlackRock Limited Duration Income Trust | | 122,727 | | |
Blackstone / GSO Long-Short Credit | | 182,132 | | |
Blackstone / GSO Senior Floating Rate | | 165,764 | | |
Blackstone / GSO Strategic Credit Fund | | 208,317 | | |
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc. | | 180,437 | | |
Eaton Vance Floating-Rate Income Trust | | 159,533 | | |
Eaton Vance Senior Floating-Rate Trust | | 173,966 | | |
Eaton Vance Senior Income Trust | | 307,028 | | |
First Trust Senior Floating Rate 2022 | | 179,525 | | |
First Trust Senior Floating Rate Income Fund II | | 170,046 | | |
Invesco Dynamic Credit Opportunities Fund | | 217,311 | | |
Invesco Senior Income Trust | | 477,821 | | |
KKR Income Opportunities Fund | | 193,550 | | |
Nuveen Credit Strategies Income Fund | | 472,191 | | |
Nuveen Floating Rate Income Fund | | 243,655 | | |
Nuveen Floating Rate Income Opportunity Fund | | 261,150 | | |
Nuveen Senior Income Fund | | 421,234 | | |
Nuveen Short Duration Credit Opportunities Fund | | 175,642 | | |
Pioneer Floating Rate Trust | | 202,513 | | |
Voya Prime Rate Trust | | 378,484 | | |
| | | | |
Total Closed End Funds | | | | |
(Cost $53,764,037) | | | | |
| | | | |
| | | | |
| | | | |
| | | ||
Golub Capital BDC, Inc., expiring 05/11/20* | | | | |
(Cost $–) | | 34,031 | | |
| | | | |
TOTAL INVESTMENTS - 96.3% | | | | |
(Cost $160,707,700) | | | | 106,289,659 |
Other Assets in Excess of Liabilities - 3.7% | | | | 4,035,173 |
Net Assets - 100.0% | | | | $110,324,832 |
*Non-income producing security.
(1)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, 2020.
Schedule of Investments — Virtus Real Asset Income ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
23
| | |||
| | | | |
| | | | |
| | | | |
| | | ||
Cogent Communications Holdings, Inc. | | 12,531 | | |
KT Corp. (South Korea)(1) | | 127,147 | | |
Orange SA (France)(1) | | 70,356 | | |
Telecom Argentina SA (Argentina)(1) | | 104,154 | | |
Telefonica Brasil SA (Brazil)(1) | | 90,244 | | |
Telekomunikasi Indonesia Persero Tbk PT | | 51,503 | | |
Total Communication Services | | | | |
| | | | |
| | | ||
Ingredion, Inc. | | 12,646 | | |
| | | | |
| | | ||
Black Stone Minerals LP | | 204,400 | | |
Canadian Natural Resources Ltd. (Canada) | | 102,314 | | |
Cheniere Energy Partners LP | | 38,971 | | |
China Petroleum & Chemical Corp. (China)(1) | | 19,313 | | |
CNOOC Ltd. (China)(1) | | 9,542 | | |
CNX Midstream Partners LP | | 116,455 | | |
CVR Energy, Inc. | | 51,618 | | |
Delek Logistics Partners LP | | 123,468 | | |
Delek US Holdings, Inc. | | 64,033 | | |
Dorchester Minerals LP | | 93,233 | | |
Enbridge, Inc. (Canada) | | 35,868 | | |
EQM Midstream Partners LP | | 78,059 | | |
Equinor ASA (Norway)(1) | | 92,774 | | |
Kinder Morgan, Inc. | | 77,139 | | |
Marathon Petroleum Corp. | | 51,158 | | |
ONEOK, Inc. | | 43,340 | | |
PetroChina Co. Ltd. (China)(1) | | 27,821 | | |
Phillips 66 | | 20,234 | | |
Phillips 66 Partners LP | | 28,970 | | |
RPC, Inc. | | 384,773 | | |
Shell Midstream Partners LP | | 97,142 | | |
Suncor Energy, Inc. (Canada) | | 80,127 | | |
TC Energy Corp. (Canada) | | 25,406 | | |
Transportadora de Gas del Sur SA Class B | | 221,413 | | |
Valero Energy Corp. | | 26,096 | | |
Viper Energy Partners LP | | 164,163 | | |
Western Midstream Partners LP | | 208,424 | | |
Total Energy | | | | |
| | | | |
| | | ||
Grupo Aeroportuario del Pacifico SAB de CV | | 19,199 | | |
| | | | |
| | | ||
BHP Group Ltd. (Australia)(1) | | 26,786 | | |
Compass Minerals International, Inc. | | 22,532 | | |
Eastman Chemical Co. | | 22,187 | | |
Huntsman Corp. | | 66,103 | |
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
Materials (continued) | | | | |
ICL Ltd. (Israel) | | 286,252 | | $ 1,016,195 |
LyondellBasell Industries NV Class A | | 21,039 | | |
Newmont Corp. | | 20,464 | | |
Norbord, Inc. (Canada) | | 83,231 | | |
PolyOne Corp. | | 55,870 | | |
Rio Tinto PLC (Australia)(1) | | 23,337 | | |
Schweitzer-Mauduit International, Inc. | | 40,465 | | |
Sinopec Shanghai Petrochemical Co. Ltd. | | 39,202 | | |
Southern Copper Corp. (Peru) | | 36,098 | | |
Steel Dynamics, Inc. | | 47,479 | | |
Ternium SA (Luxembourg)(1) | | 82,542 | | |
Westlake Chemical Partners LP | | 66,218 | | |
Total Materials | | | | |
| | | | |
| | | ||
American Campus Communities, Inc. | | 40,925 | | |
Apartment Investment and Management Co. | | 33,568 | | |
Brandywine Realty Trust | | 108,293 | | |
Brixmor Property Group, Inc. | | 98,521 | | |
CareTrust REIT, Inc. | | 62,424 | | |
CoreSite Realty Corp. | | 9,082 | | |
CubeSmart | | 40,811 | | |
EPR Properties | | 49,893 | | |
Gaming and Leisure Properties, Inc. | | 43,111 | | |
Getty Realty Corp. | | 47,249 | | |
Global Medical REIT, Inc. | | 93,808 | | |
Highwoods Properties, Inc. | | 29,774 | | |
Iron Mountain, Inc. | | 37,937 | | |
Lamar Advertising Co. Class A | | 26,326 | | |
Medical Properties Trust, Inc. | | 65,413 | | |
MGM Growth Properties LLC Class A | | 51,388 | | |
National Health Investors, Inc. | | 23,107 | | |
National Retail Properties, Inc. | | 31,499 | | |
Omega Healthcare Investors, Inc. | | 38,282 | | |
Piedmont Office Realty Trust, Inc. Class A | | 59,320 | | |
Public Storage | | 5,289 | | |
Realty Income Corp. | | 19,659 | | |
Ryman Hospitality Properties, Inc. | | 34,603 | | |
Saul Centers, Inc. | | 30,809 | | |
Simon Property Group, Inc. | | 16,899 | | |
SL Green Realty Corp. | | 20,693 | | |
STAG Industrial, Inc. | | 46,444 | | |
Summit Hotel Properties, Inc. | | 234,864 | | |
Washington Prime Group, Inc. | | 780,122 | | |
Weingarten Realty Investors | | 65,183 | | |
Total Real Estate | | | | |
| | | | |
Schedule of Investments — Virtus Real Asset Income ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
24
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
| | | | |
Algonquin Power & Utilities Corp. (Canada) | | 88,634 | | |
Avista Corp. | | 25,751 | | |
Brookfield Infrastructure Corp. Class A | | 3,680 | | |
Brookfield Infrastructure Partners LP (Canada) | | 31,385 | | |
Brookfield Renewable Partners LP (Canada) | | 27,706 | | |
Dominion Energy, Inc. | | 14,370 | | |
Enel Americas SA (Chile)(1) | | 156,346 | | |
Enel Chile SA (Chile)(1) | | 273,376 | | |
OGE Energy Corp. | | 35,868 | | |
Total Utilities | | | | |
| | | | |
Total Common Stocks | | | | |
(Cost $144,546,351) | | | | |
| | | | |
TOTAL INVESTMENTS - 95.5% | | | | |
(Cost $144,546,351) | | | | 107,589,722 |
Other Assets in Excess of Liabilities - 4.5% | | | | 5,034,487 |
Net Assets - 100.0% | | | | $112,624,209 |
*Non-income producing security.
(1)American Depositary Receipts.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2020.
Schedule of Investments — Virtus WMC Global Factor Opportunities ETF
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
25
| | |||
| | | | |
| | | | |
| | | | |
| | | ||
Alphabet, Inc. Class A* | | 33 | | |
CD Projekt SA (Poland) | | 124 | | |
Chunghwa Telecom Co. Ltd. (Taiwan) | | 3,074 | | |
Comcast Corp. Class A | | 425 | | |
Deutsche Telekom AG (Germany)* | | 1,094 | | |
Discovery, Inc. Class A* | | 1,190 | | |
Facebook, Inc. Class A* | | 602 | | |
IAC/InterActiveCorp* | | 98 | | |
NAVER Corp. (South Korea) | | 61 | | |
NetEase, Inc. (China)(1) | | 28 | | |
Nintendo Co., Ltd. (Japan) | | 24 | | |
NTT DOCOMO, Inc. (Japan) | | 391 | | |
Rogers Communications, Inc. Class B (Canada) | | 278 | | |
SK Telecom Co. Ltd. (South Korea) | | 78 | | |
Telstra Corp. Ltd. (Australia) | | 4,281 | | |
Verizon Communications, Inc. | | 188 | | |
Vodafone Group PLC (United Kingdom) | | 7,084 | | |
Total Communication Services | | | | |
| | | | |
| | | ||
Aisin Seiki Co. Ltd. (Japan) | | 346 | | |
Alibaba Group Holding Ltd. (China)*(1) | | 101 | | |
Amazon.com, Inc.* | | 64 | | |
Berkeley Group Holdings PLC | | 194 | | |
Booking Holdings, Inc.* | | 33 | | |
Continental AG (Germany)* | | 173 | | |
Domino’s Pizza, Inc. | | 62 | | |
Expedia Group, Inc. | | 299 | | |
Faurecia SE (France) | | 248 | | |
Ferrari NV (Italy) | | 86 | | |
Fiat Chrysler Automobiles NV | | 1,567 | | |
Ford Motor Co. | | 2,220 | | |
Haier Electronics Group Co. Ltd. (China) | | 3,323 | | |
Home Product Center PCL (Thailand) | | 32,949 | | |
JD.com, Inc. (China)*(1) | | 233 | | |
Kia Motors Corp. (South Korea) | | 515 | | |
Lear Corp. | | 108 | | |
Lululemon Athletica, Inc.* | | 117 | | |
NVR, Inc.* | | 8 | | |
Panasonic Corp. (Japan) | | 1,737 | | |
Sands China Ltd. (Macau) | | 3,959 | | |
Subaru Corp. (Japan) | | 499 | | |
Toyota Motor Corp. (Japan) | | 183 | | |
Vipshop Holdings Ltd. (China)*(1) | | 655 | | |
Total Consumer Discretionary | | | | |
| | | | |
| | | ||
Aeon Co. Ltd. (Japan) | | 779 | | |
Beiersdorf AG (Germany) | | 159 | | |
Carlsberg A/S Class B (Denmark) | 126 | |
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
Consumer Staples (continued) | | | | |
Chocoladefabriken Lindt & Spruengli AG (Switzerland) | | 2 | | |
Clorox Co. (The) | | 41 | | |
Coca-Cola Co. (The) | | 392 | | |
Colgate-Palmolive Co. | | 141 | | |
Costco Wholesale Corp. | | 33 | | |
Danone SA (France) | | 220 | | |
Diageo PLC (United Kingdom) | | 620 | | |
General Mills, Inc. | | 134 | | |
Genting Plantations Bhd (Malaysia) | | 6,608 | | |
Heineken NV (Netherlands) | | 143 | | |
JBS SA | | 1,550 | | |
Kimberly-Clark Corp. | | 65 | | |
Koninklijke Ahold Delhaize NV (Netherlands) | | 589 | | |
L’Oreal SA (France)* | | 58 | | |
Mondelez International, Inc. Class A | | 214 | | |
Mowi ASA (Norway) | | 584 | | |
Nestle SA (Switzerland) | | 269 | | |
NH Foods Ltd. (Japan) | | 294 | | |
PepsiCo, Inc. | | 151 | | |
Procter & Gamble Co. (The) | | 132 | | |
Shiseido Co., Ltd. (Japan) | | 147 | | |
Tesco PLC (United Kingdom) | | 3,461 | | |
Unilever NV (United Kingdom) | | 362 | | |
Unilever PLC (United Kingdom) | | 354 | | |
Walmart, Inc. | | 97 | | |
Yamazaki Baking Co., Ltd. (Japan) | | 415 | | |
Total Consumer Staples | | | | |
| | | | |
| | | ||
Chevron Corp. | | 236 | | |
China Petroleum & Chemical Corp. Class H (China) | | 33,609 | | |
EOG Resources, Inc. | | 488 | | |
Equinor ASA (Norway) | | 712 | | |
JXTG Holdings, Inc. (Japan) | | 3,689 | | |
LUKOIL PJSC (Russia)(1) | | 380 | | |
MOL Hungarian Oil & Gas PLC (Hungary) | | 1,818 | | |
Suncor Energy, Inc. (Canada) | | 651 | | |
TC Energy Corp. (Canada) | | 399 | | |
Total Energy | | | | |
| | | | |
| | | ||
AIA Group Ltd. (Hong Kong) | | 2,100 | | |
Allianz SE (Germany) | | 101 | | |
American Express Co. | | 137 | | |
Arthur J Gallagher & Co. | | 193 | | |
Aviva PLC (United Kingdom) | | 2,751 | | |
Bank Central Asia Tbk PT (Indonesia) | | 5,063 | | |
Berkshire Hathaway, Inc. Class B* | | 53 | | |
BlackRock, Inc. | | 70 | | |
Capital One Financial Corp. | | 156 | |
Schedule of Investments — Virtus WMC Global Factor Opportunities ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
26
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
Financials (continued) | | | | |
Cboe Global Markets, Inc. | | 166 | | |
China Construction Bank Corp. Class H (China) | | 17,053 | | |
Citigroup, Inc. | | 300 | | |
CME Group, Inc. | | 185 | | |
Commonwealth Bank of Australia (Australia) | | 483 | | |
CrediCorp. Ltd. (Peru) | | 59 | | |
Dai-ichi Life Holdings, Inc. (Japan) | | 993 | | |
Globe Life, Inc. | | 107 | | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | | 455 | | |
Industrial & Commercial Bank of China Ltd. | | 19,299 | | |
Intercontinental Exchange, Inc. | | 328 | | |
MarketAxess Holdings, Inc. | | 53 | | |
Moody’s Corp. | | 120 | | |
National Australia Bank Ltd. (Australia) | | 1,388 | | |
Oversea-Chinese Banking Corp. Ltd. | | 1,895 | | |
Ping An Insurance Group Co. of China Ltd. | | 1,306 | | |
Progressive Corp. (The) | | 389 | | |
Prudential Financial, Inc. | | 250 | | |
Royal Bank of Canada (Canada) | | 254 | | |
S&P Global, Inc. | | 133 | | |
Swedbank AB Class A (Sweden)* | | 680 | | |
Swiss Life Holding AG (Switzerland) | | 35 | | |
Taiwan Business Bank (Taiwan) | | 32,185 | | |
TD Ameritrade Holding Corp. | | 441 | | |
Toronto-Dominion Bank (The) (Canada) | | 457 | | |
Westpac Banking Corp. (Australia) | | 1,701 | | |
Yuanta Financial Holding Co., Ltd. (Taiwan) | | 20,166 | | |
Total Financials | | | | |
| | | | |
| | | ||
Abbott Laboratories | | 146 | | |
AbbVie, Inc. | | 167 | | |
ABIOMED, Inc.* | | 83 | | |
Alexion Pharmaceuticals, Inc.* | | 310 | | |
Alfresa Holdings Corp. (Japan) | | 568 | | |
Align Technology, Inc.* | | 86 | | |
AmerisourceBergen Corp. | | 253 | | |
Anthem, Inc. | | 38 | | |
AstraZeneca PLC (United Kingdom) | | 312 | | |
Baxter International, Inc. | | 94 | | |
Becton Dickinson and Co. | | 38 | | |
Biogen, Inc.* | | 37 | | |
BioMerieux (France) | | 81 | | |
Bristol-Myers Squibb Co. | | 535 | | |
Centene Corp.* | | 415 | | |
Cigna Corp. | | 203 | | |
Coloplast A/S Class B (Denmark) | 86 | |
Health Care (continued) | | | | |
CSL Ltd. (Australia) | | 96 | | $ 19,358 |
Danaher Corp. | | 89 | | |
GlaxoSmithKline PLC (United Kingdom) | | 757 | | |
H Lundbeck A/S (Denmark) | | 277 | | |
Intuitive Surgical, Inc.* | | 61 | | |
Jazz Pharmaceuticals PLC* | | 80 | | |
Johnson & Johnson | | 153 | | |
Merck & Co., Inc. | | 166 | | |
Merck KGaA (Germany)* | | 94 | | |
Novartis AG (Switzerland) | | 225 | | |
Novo Nordisk A/S Class B (Denmark) | | 231 | | |
Pfizer, Inc. | | 507 | | |
Regeneron Pharmaceuticals, Inc.* | | 87 | | |
Roche Holding AG (Switzerland) | | 66 | | |
Sartorius Stedim Biotech (France)* | | 51 | | |
Suzuken Co. Ltd. (Japan) | | 367 | | |
Thermo Fisher Scientific, Inc. | | 190 | | |
UCB SA (Belgium)* | | 117 | | |
UnitedHealth Group, Inc. | | 263 | | |
Veeva Systems, Inc. Class A* | | 160 | | |
Vifor Pharma AG (Switzerland) | | 62 | | |
Wuxi Biologics Cayman, Inc. (China)*(2) | | 589 | | |
Total Health Care | | | | |
| | | | |
| | | ||
Airbus SE (France)* | | 272 | | |
Alstom SA (France) | | 228 | | |
AMETEK, Inc. | | 134 | | |
Canadian National Railway Co. (Canada) | | 171 | | |
China National Chemical Engineering Co., Ltd. | | 21,400 | | |
Copart, Inc.* | | 267 | | |
Daikin Industries Ltd. (Japan) | | 65 | | |
East Japan Railway Co. (Japan) | | 168 | | |
Equifax, Inc. | | 144 | | |
HEICO Corp. | | 202 | | |
IHS Markit Ltd. | | 374 | | |
Kintetsu Group Holdings Co., Ltd. (Japan) | | 163 | | |
L3Harris Technologies, Inc. | | 150 | | |
Legrand SA (France) | | 179 | | |
Nippon Express Co. Ltd. (Japan) | | 206 | | |
Obayashi Corp. (Japan) | | 1,554 | | |
Recruit Holdings Co. Ltd. (Japan) | | 328 | | |
Roper Technologies, Inc. | | 75 | | |
Siemens AG (Germany) | | 284 | | |
Thales SA (France) | | 112 | | |
Toppan Printing Co. Ltd. (Japan) | | 1,075 | | |
Toshiba Corp. (Japan) | | 537 | | |
TransDigm Group, Inc. | | 49 | | |
TransUnion | | 261 | |
Schedule of Investments — Virtus WMC Global Factor Opportunities ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
27
| | |||
| | | | |
COMMON STOCKS (continued) | | | | |
| | | | |
Industrials (continued) | | | | |
Verisk Analytics, Inc. | | 171 | | $ 26,134 |
Vinci SA (France) | | 136 | | 11,133 |
Volvo AB Class B (Sweden)* | | 928 | | |
Waste Management, Inc. | | 131 | | |
Weichai Power Co. Ltd. Class H (China) | | 4,714 | | |
West Japan Railway Co. (Japan) | | 199 | | |
Wolters Kluwer NV (Netherlands) | | 134 | | |
Total Industrials | | | | |
| | | | |
| | | ||
Accenture PLC Class A (Ireland) | | 316 | | |
Adobe, Inc.* | | 222 | | |
ANSYS, Inc.* | | 89 | | |
Arista Networks, Inc.* | | 69 | | |
ASML Holding NV (Netherlands) | | 98 | | |
Canon, Inc. (Japan) | | 404 | | |
CDW Corp. | | 183 | | |
Cisco Systems, Inc. | | 350 | | |
Compal Electronics, Inc. (Taiwan) | | 21,169 | | |
Dell Technologies, Inc. Class C* | | 378 | | |
EPAM Systems, Inc.* | | 101 | | |
Fidelity National Information Services, Inc. | | 314 | | |
Fiserv, Inc.* | | 322 | | |
FleetCor Technologies, Inc.* | | 105 | | |
Fujitsu Ltd. (Japan) | | 117 | | |
Gartner, Inc.* | | 131 | | |
Global Payments, Inc. | | 213 | | |
Hexagon AB Class B (Sweden)* | | 211 | | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | | 4,222 | | |
Intel Corp. | | 326 | | |
Intuit, Inc. | | 134 | | |
Keyence Corp. (Japan) | | 38 | | |
Leidos Holdings, Inc. | | 167 | | |
Mastercard, Inc. Class A | | 245 | | |
Microsoft Corp. | | 195 | | |
NEC Corp. (Japan) | | 335 | | |
Nokia OYJ (Finland) | | 4,191 | | |
NXP Semiconductors NV (Netherlands) | | 102 | | |
Oracle Corp. | | 227 | | |
Paycom Software, Inc.* | | 78 | | |
Quanta Computer, Inc. (Taiwan) | | 5,802 | | |
Samsung Electronics Co., Ltd. (South Korea) | | 538 | | |
SAP SE (Germany) | | 221 | | |
ServiceNow, Inc.* | | 116 | | |
SK Hynix, Inc. (South Korea) | | 143 | | |
SS&C Technologies Holdings, Inc. | | 340 | | |
STMicroelectronics NV (Switzerland) | | 496 | | |
Synnex Technology International Corp. (Taiwan) | 8,195 | |
Information Technology (continued) | | | | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | | 2,034 | | $ 20,828 |
Telefonaktiebolaget LM Ericsson Class B (Sweden) | | 1,883 | | 16,426 |
Tokyo Electron Ltd. (Japan) | | 58 | | 12,398 |
Visa, Inc. Class A | | 439 | | |
WPG Holdings Ltd. (Taiwan) | | 12,177 | | |
Total Information Technology | | | | |
| | | | |
| | | ||
Air Liquide SA (France) | | 109 | | |
AngloGold Ashanti Ltd. (South Africa) | | 500 | | |
Barrick Gold Corp. (Canada) | | 482 | | |
BHP Group PLC (Australia) | | 564 | | |
Franco-Nevada Corp. (Canada) | | 75 | | |
Freeport-McMoRan, Inc. | | 1,404 | | |
Givaudan SA (Switzerland) | | 5 | | |
Jiangxi Copper Co. Ltd. Class H (China) | | 10,070 | | |
Koninklijke DSM NV (Netherlands) | | 95 | | |
POSCO (South Korea) | | 81 | | |
Symrise AG (Germany) | | 104 | | |
Xinjiang Zhongtai Chemical Co., Ltd. Class A (China) | | 25,500 | | |
Total Materials | | | | |
| | | | |
| | | ||
Ascendas Real Estate Investment Trust (Singapore) | | 6,523 | | |
Equity Residential | | 126 | | |
Redefine Properties Ltd. (South Africa) | | 58,940 | | |
Total Real Estate | | | | |
| | | | |
| | | ||
CMS Energy Corp. | | 252 | | |
Consolidated Edison, Inc. | | 144 | | |
Dominion Energy, Inc. | | 99 | | |
Fortis, Inc. (Canada) | | 431 | | |
WEC Energy Group, Inc. | | 159 | | |
Xcel Energy, Inc. | | 218 | | |
Total Utilities | | | | |
| | | | |
Total Common Stocks | | | | |
(Cost $4,534,135) | | | | |
| ||||
| | | | |
| | | | |
| | | | |
Bayerische Motoren Werke AG, 8.12% (Germany) | | 242 | | |
| | | | |
Schedule of Investments — Virtus WMC Global Factor Opportunities ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
28
| | |||
| | | | |
| | | | |
| | | | |
| | | ||
Bristol-Myers Squibb Co. CVR* | | | | |
(Cost $554) | | 241 | | $1,087 |
| | | | |
TOTAL INVESTMENTS - 99.4% | | | | |
(Cost $4,543,772) | | | | 4,663,626 |
Other Assets in Excess of Liabilities - 0.6% | | | | 29,150 |
Net Assets - 100.0% | | | | $4,692,776 |
*Non-income producing security.
(1)American Depositary Receipts.
(2)Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. At April 30, 2020, the aggregate value of these securities was $9,193, or 0.2% of net assets.
(3)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, 2020.
The accompanying notes are an integral part of these financial statements.
29
| | InfraCap REIT | | Virtus InfraCap | | Virtus LifeSci | | Virtus LifeSci | ||||||||
Assets: | | | | | | | | | | | | | | | | |
Investments, at cost | | | $44,688,058 | | | | $126,432,376 | | | | $36,689,137 | | | | $26,186,791 | |
Investments, at value | | | 41,957,238 | | | | 108,172,633 | | | | 33,065,846 | | | | 23,791,201 | |
Cash | | | 635,353 | | | | 734,288 | | | | 432,037 | | | | 294,882 | |
Due from brokers | | | — | | | | 106,652 | | | | — | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends and interest | | | 66,762 | | | | 99,060 | | | | 8 | | | | 4 | |
Capital shares sold | | | — | | | | 3,343,584 | | | | — | | | | — | |
Securities lending | | | — | | | | — | | | | 8 | | | | — | |
Investment securities sold | | | — | | | | 625,460 | | | | — | | | | — | |
Prepaid expenses | | | 57 | | | | 57 | | | | 57 | | | | 57 | |
Total Assets | | | 42,659,410 | | | | 113,081,734 | | | | 33,497,956 | | | | 24,086,144 | |
Liabilities: | | | | | | | | | | | | | | | | |
Borrowings | | | — | | | | 17,269,970 | | | | — | | | | — | |
Payables: | | | | | | | | | | | | | | | | |
Investment securities purchased | | | — | | | | 6,877,182 | | | | — | | | | — | |
Advisory fees | | | 14,411 | | | | 44,082 | | | | 19,658 | | | | 15,781 | |
Total Liabilities | | | 14,411 | | | | 24,191,234 | | | | 19,658 | | | | 15,781 | |
Net Assets | | | $42,644,999 | | | | $88,890,500 | | | | $33,478,298 | | | | $24,070,363 | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in capital | | | $53,584,126 | | | | $127,603,529 | | | | $59,152,328 | | | | $34,993,806 | |
Total distributable earnings (accumulated deficit) | | | (10,939,127 | ) | | | (38,713,029 | ) | | | (25,674,030 | ) | | | (10,923,443 | ) |
Net Assets | | | $42,644,999 | | | | $88,890,500 | | | | $33,478,298 | | | | $24,070,363 | |
Shares outstanding (unlimited number of shares of | | | 2,100,004 | | | | 5,200,004 | | | | 950,004 | | | | 550,004 | |
| | | | | | | | | | | | | | | | |
Net asset value per share | | | $20.31 | | | | $17.09 | | | | $35.24 | | | | $43.76 | |
Statements of Assets and Liabilities (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
30
| | Virtus Newfleet | | Virtus Private | | Virtus Real Asset | | Virtus WMC | | |||||||
Assets: | | | | | | | | | | | | | | | | |
Investments, at cost | | | $21,851,118 | | | | $160,707,700 | | | | $144,546,351 | | | | $4,543,772 | |
Investments, at value | | | 20,818,913 | | | | 106,289,659 | | | | 107,589,722 | | | | 4,663,626 | |
Cash | | | 4,166 | | | | 3,892,439 | | | | 4,692,087 | | | | 18,416 | |
Foreign currency(a) | | | 2 | | | | — | | | | — | | | | 4,791 | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends and interest | | | 191,042 | | | | 204,731 | | | | 299,461 | | | | 7,290 | |
Investment securities sold | | | 58,786 | | | | — | | | | 1,035,507 | | | | 1,048 | |
Due from Adviser | | | 47,815 | | | | — | | | | — | | | | — | |
Securities lending | | | — | | | | — | | | | 7 | | | | — | |
Tax reclaim | | | — | | | | — | | | | — | | | | 413 | |
Prepaid expenses | | | 171 | | | | — | | | | — | | | | 57 | |
Total Assets | | | 21,120,895 | | | | 110,386,829 | | | | 113,616,784 | | | | 4,695,641 | |
Liabilities: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Investment securities purchased | | | 364,825 | | | | — | | | | — | | | | 1,052 | |
Capital shares payable | | | — | | | | — | | | | 946,421 | | | | — | |
Advisory fees | | | — | | | | 61,997 | | | | 46,154 | | | | 1,805 | |
Professional fees | | | 13,866 | | | | — | | | | — | | | | — | |
Trustee fees | | | 871 | | | | — | | | | — | | | | — | |
Other accrued expenses | | | 58,735 | | | | — | | | | — | | | | 8 | |
Total Liabilities | | | 438,297 | | | | 61,997 | | | | 992,575 | | | | 2,865 | |
Net Assets | | | $20,682,598 | | | | $110,324,832 | | | | $112,624,209 | | | | $4,692,776 | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in capital | | | $25,238,554 | | | | $197,599,259 | | | | $195,105,047 | | | | $5,000,100 | |
Total distributable earnings (accumulated deficit) | | | (4,555,956 | ) | | | (87,274,427 | ) | | | (82,480,838 | ) | | | (307,324 | ) |
Net Assets | | | $20,682,598 | | | | $110,324,832 | | | | $112,624,209 | | | | $4,692,776 | |
Shares outstanding (unlimited number of shares of | | | 900,004 | | | | 6,500,004 | | | | 5,950,004 | | | | 200,004 | |
| | | | | | | | | | | | | | | | |
Net asset value per share | | | $22.98 | | | | $16.97 | | | | $18.93 | | | | $23.46 | |
(a) Foreign currency, at cost | | | $3 | | | | $— | | | | $— | | | | $4,685 | |
The accompanying notes are an integral part of these financial statements.
31
| | InfraCap REIT | | Virtus InfraCap | | Virtus LifeSci | | Virtus LifeSci | ||||||||
Investment Income: | | | | | | | | | | | | | | | | |
Dividend income | | | $1,032,498 | | | | $3,107,983 | | | | $7,293 | | | | $22,104 | |
Interest income | | | 827 | | | | 1,846 | | | | 162 | | | | 301 | |
Securities lending, net of fees | | | — | | | | — | | | | 105,689 | | | | 41,312 | |
Total Investment Income | | | 1,033,325 | | | | 3,109,829 | | | | 113,144 | | | | 63,717 | |
Expenses: | | | | | | | | | | | | | | | | |
Advisory fees | | | 98,708 | | | | 363,020 | | | | 127,921 | | | | 102,357 | |
Dividend and interest expenses | | | — | | | | 453,522 | | | | — | | | | — | |
Total Expenses | | | 98,708 | | | | 816,542 | | | | 127,921 | | | | 102,357 | |
Net Investment Income (Loss) | | | 934,617 | | | | 2,293,287 | | | | (14,777 | ) | | | (38,640 | ) |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments | | | (6,651,908 | ) | | | (13,740,514 | ) | | | (1,362,316 | ) | | | (2,531,364 | ) |
In-kind redemptions | | | (338,697 | ) | | | (3,541,365 | ) | | | 6,540,222 | | | | 2,720,434 | |
Written options | | | — | | | | (546,642 | ) | | | — | | | | — | |
Securities sold short | | | — | | | | (453,524 | ) | | | — | | | | — | |
Total Net Realized Gain (Loss) | | | (6,990,605 | ) | | | (18,282,045 | ) | | | 5,177,906 | | | | 189,070 | |
Change in Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (3,598,444 | ) | | | (20,043,351 | ) | | | 2,610,668 | | | | 3,866,982 | |
Written options | | | — | | | | (10,962 | ) | | | — | | | | — | |
Securities sold short | | | — | | | | 89,826 | | | | — | | | | — | |
Total Change in Net Unrealized Appreciation (Depreciation) | | | (3,598,444 | ) | | | (19,964,487 | ) | | | 2,610,668 | | | | 3,866,982 | |
Net Realized and Change in Unrealized Gain (Loss) | | | (10,589,049 | ) | | | (38,246,532 | ) | | | 7,788,574 | | | | 4,056,052 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | $(9,654,432 | ) | | | $(35,953,245 | ) | | | $7,773,797 | | | | $4,017,412 | |
The accompanying notes are an integral part of these financial statements.
32
Statements of Operations (continued)
For the Period Ended April 30, 2020 (unaudited)
| | Virtus Newfleet | | Virtus Private | | Virtus Real Asset | | Virtus WMC | ||||||||
Investment Income: | | | | | | | | | | | | | | | | |
Dividend income (net of foreign withholding taxes) | | | $4,471 | | | | $8,815,989 | | | | $3,493,785 | | | | $45,821 | |
Interest income | | | 508,781 | | | | 3,351 | | | | 4,563 | | | | 27 | |
Securities lending, net of fees | | | — | | | | 67,023 | | | | 50,168 | | | | — | |
Total Investment Income | | | 513,252 | | | | 8,886,363 | | | | 3,548,516 | | | | 45,848 | |
Expenses: | | | | | | | | | | | | | | | | |
Advisory fees | | | 58,733 | | | | 728,864 | | | | 600,601 | | | | 12,456 | |
Pricing fees | | | 26,127 | | | | — | | | | — | | | | — | |
Professional fees | | | 18,483 | | | | — | | | | — | | | | — | |
Accounting and administration fees | | | 9,953 | | | | — | | | | — | | | | — | |
Transfer agent fees | | | 7,046 | | | | — | | | | — | | | | — | |
Report to shareholders fees | | | 5,626 | | | | — | | | | — | | | | — | |
Trustee fees | | | 4,909 | | | | — | | | | — | | | | — | |
Exchange listing fees | | | 3,696 | | | | — | | | | — | | | | — | |
Insurance fees | | | 3,557 | | | | — | | | | — | | | | — | |
Custody fees | | | 1,837 | | | | — | | | | — | | | | — | |
Tax expense | | | — | | | | 57 | | | | 57 | | | | — | |
Other expenses | | | 1,372 | | | | — | | | | — | | | | — | |
Total Expenses | | | 141,339 | | | | 728,921 | | | | 600,658 | | | | 12,456 | |
Less expense waivers/reimbursements | | | (75,946 | ) | | | — | | | | — | | | | — | |
Net Expenses | | | 65,393 | | | | 728,921 | | | | 600,658 | | | | 12,456 | |
Net Investment Income | | | 447,859 | | | | 8,157,442 | | | | 2,947,858 | | | | 33,392 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments | | | (58,857 | ) | | | (2,535,197 | ) | | | (13,665,343 | ) | | | (319,810 | ) |
In-kind redemptions | | | — | | | | (28,347,090 | ) | | | (29,616,591 | ) | | | — | |
Foreign currency transactions | | | (15 | ) | | | — | | | | (139 | ) | | | (1,295 | ) |
Total Net Realized Loss | | | (58,872 | ) | | | (30,882,287 | ) | | | (43,282,073 | ) | | | (321,105 | ) |
Change in Net Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (1,367,672 | ) | | | (46,996,612 | ) | | | (30,653,185 | ) | | | (191,558 | )(1) |
Foreign currency translations | | | (926 | ) | | | — | | | | — | | | | 26 | |
Total Change in Net Unrealized Depreciation | | | (1,368,598 | ) | | | (46,996,612 | ) | | | (30,653,185 | ) | | | (191,532 | ) |
Net Realized and Change in Unrealized Loss | | | (1,427,470 | ) | | | (77,878,899 | ) | | | (73,935,258 | ) | | | (512,637 | ) |
Net Decrease in Net Assets Resulting from Operations | | | $(979,611 | ) | | | (69,721,457 | ) | | | $(70,987,400 | ) | | | $(479,245 | ) |
Foreign withholding taxes | | | $— | | | | $— | | | | $99,825 | | | | $5,765 | |
(1)Net of change in deferred taxes of $9.
The accompanying notes are an integral part of these financial statements.
33
| | 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 | | | $934,617 | | | | $1,368,182 | | | | $2,293,287 | | | | $1,809,801 | |
Net realized gain (loss) | | | (6,990,605 | ) | | | (136,685 | ) | | | (18,282,045 | ) | | | 2,281,462 | |
Net change in unrealized appreciation (depreciation) | | | (3,598,444 | ) | | | 1,993,610 | | | | (19,964,487 | ) | | | 1,923,931 | |
Net increase (decrease) in net assets resulting from operations | | | (9,654,432 | ) | | | 3,225,107 | | | | (35,953,245 | ) | | | 6,015,194 | |
Distributions to Shareholders | | | (1,415,003 | ) | | | (1,369,330 | ) | | | (5,647,005 | ) | | | (2,935,509 | ) |
Distributions to Shareholders from return of capital | | | — | | | | (249,926 | ) | | | — | | | | — | |
Total distributions | | | (1,415,003 | ) | | | (1,619,256 | ) | | | (5,647,005 | ) | | | (2,935,509 | ) |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 18,788,796 | | | | 15,051,231 | | | | 57,774,953 | | | | 79,327,661 | |
Cost of shares redeemed | | | (2,959,696 | ) | | | (1,240,219 | ) | | | (15,809,062 | ) | | | — | |
Net increase in net assets resulting from shareholder transactions | | | 15,829,100 | | | | 13,811,012 | | | | 41,965,891 | | | | 79,327,661 | |
Increase in net assets | | | 4,759,665 | | | | 15,416,863 | | | | 365,641 | | | | 82,407,346 | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 37,885,334 | | | | 22,468,471 | | | | 88,524,859 | | | | 6,117,513 | |
End of period/year | | | $42,644,999 | | | | $37,885,334 | | | | $88,890,500 | | | | $88,524,859 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 1,500,004 | | | | 950,004 | | | | 3,350,004 | | | | 250,004 | |
Shares sold | | | 750,000 | | | | 600,000 | | | | 2,650,000 | | | | 3,100,000 | |
Shares redeemed | | | (150,000 | ) | | | (50,000 | ) | | | (800,000 | ) | | | — | |
Shares outstanding, end of period/year | | | 2,100,004 | | | | 1,500,004 | | | | 5,200,004 | | | | 3,350,004 | |
The accompanying notes are an integral part of these financial statements.
34
Statements of Changes in Net Assets (continued)
| | 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 loss | | | $(14,777 | ) | | | $(137,520 | ) | | | $(38,640 | ) | | | $(156,958 | ) |
Net realized gain (loss) | | | 5,177,906 | | | | (7,388,734 | ) | | | 189,070 | | | | 1,499,180 | |
Net change in unrealized appreciation (depreciation) | | | 2,610,668 | | | | 6,791,199 | | | | 3,866,982 | | | | (1,071,625 | ) |
Net increase (decrease) in net assets resulting from operations | | | 7,773,797 | | | | (735,055 | ) | | | 4,017,412 | | | | 270,597 | |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 16,714,742 | | | | 9,050,920 | | | | 4,365,242 | | | | 18,385,750 | |
Cost of shares redeemed | | | (14,785,410 | ) | | | (20,809,840 | ) | | | (10,817,483 | ) | | | (19,398,700 | ) |
Net increase (decrease) in net assets resulting from shareholder transactions | | | 1,929,332 | | | | (11,758,920 | ) | | | (6,452,241 | ) | | | (1,012,950 | ) |
Increase (decrease) in net assets | | | 9,703,129 | | | | (12,493,975 | ) | | | (2,434,829 | ) | | | (742,353 | ) |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 23,775,169 | | | | 36,269,144 | | | | 26,505,192 | | | | 27,247,545 | |
End of period/year | | | $33,478,298 | | | | $23,775,169 | | | | $24,070,363 | | | | $26,505,192 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 900,004 | | | | 1,350,004 | | | | 700,004 | | | | 750,004 | |
Shares sold | | | 450,000 | | | | 350,000 | | | | 100,000 | | | | 450,000 | |
Shares redeemed | | | (400,000 | ) | | | (800,000 | ) | | | (250,000 | ) | | | (500,000 | ) |
Shares outstanding, end of period/year | | | 950,004 | | | | 900,004 | | | | 550,004 | | | | 700,004 | |
The accompanying notes are an integral part of these financial statements.
35
Statements of Changes in Net Assets (continued)
| | Virtus Newfleet Multi-Sector Bond ETF | | Virtus Private Credit Strategy ETF | ||||||||||||
| | For the | | For the | | For the | | For the Period | ||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | |
Net investment income | | | $447,859 | | | | $2,293,778 | | | | $8,157,442 | | | | $11,791,990 | |
Net realized loss | | | (58,872 | ) | | | (1,691,707 | ) | | | (30,882,287 | ) | | | (1,651,252 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,368,598 | ) | | | 3,349,148 | | | | (46,996,612 | ) | | | (7,421,429 | ) |
Net increase (decrease) in net assets resulting from operations | | | (979,611 | ) | | | 3,951,219 | | | | (69,721,457 | ) | | | 2,719,309 | |
Distributions to Shareholders | | | (423,269 | ) | | | (2,153,039 | ) | | | (9,227,692 | ) | | | (10,417,838 | ) |
Distributions to Shareholders from return of capital | | | — | | | | (182,502 | ) | | | — | | | | — | |
Total distributions | | | (423,269 | ) | | | (2,335,541 | ) | | | (9,227,692 | ) | | | (10,417,838 | ) |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | 8,370,585 | | | | 35,182,143 | | | | 233,033,982 | |
Cost of shares redeemed | | | (2,449,783 | ) | | | (84,410,262 | ) | | | (57,252,512 | ) | | | (13,991,103 | ) |
Net increase (decrease) in net assets resulting from shareholder transactions | | | (2,449,783 | ) | | | (76,039,677 | ) | | | (22,070,369 | ) | | | 219,042,879 | |
Increase (decrease) in net assets | | | (3,852,663 | ) | | | (74,423,999 | ) | | | (101,019,518 | ) | | | 211,344,350 | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 24,535,261 | | | | 98,959,260 | | | | 211,344,350 | | | | — | |
End of period/year | | | $20,682,598 | | | | $24,535,261 | | | | $110,324,832 | | | | $211,344,350 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 1,000,004 | | | | 4,150,004 | | | | 8,550,004 | | | | — | |
Shares sold | | | — | | | | 350,000 | | | | 1,650,000 | | | | 9,100,004 | |
Shares redeemed | | | (100,000 | ) | | | (3,500,000 | ) | | | (3,700,000 | ) | | | (550,000 | ) |
Shares outstanding, end of period/year | | | 900,004 | | | | 1,000,004 | | | | 6,500,004 | | | | 8,550,004 | |
(1)Commencement of operations.
The accompanying notes are an integral part of these financial statements.
36
Statements of Changes in Net Assets (continued)
| | Virtus Real Asset Income ETF | | Virtus WMC Global Factor Opportunities ETF | ||||||||||||
| | For the | | For the Period | | For the | | For the | ||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | |
Net investment income | | | $2,947,858 | | | | $4,682,189 | | | | $33,392 | | | | $104,656 | |
Net realized loss | | | (43,282,073 | ) | | | (210,537 | ) | | | (321,105 | ) | | | (119,315 | ) |
Net change in unrealized appreciation (depreciation) | | | (30,653,185 | ) | | | (6,303,444 | ) | | | (191,532 | ) | | | 506,017 | |
Net increase (decrease) in net assets resulting from operations | | | (70,987,400 | ) | | | (1,831,792 | ) | | | (479,245 | ) | | | 491,358 | |
Distributions to Shareholders | | | (3,507,428 | ) | | | (4,789,847 | ) | | | (109,100 | ) | | | (205,032 | ) |
Shareholder Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 87,559,289 | | | | 261,377,230 | | | | — | | | | — | |
Cost of shares redeemed | | | (145,191,590 | ) | | | (10,004,253 | ) | | | — | | | | — | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | (57,632,301 | ) | | | 251,372,977 | | | | — | | | | — | |
Increase (decrease) in net assets | | | (132,127,129 | ) | | | 244,751,338 | | | | (588,345 | ) | | | 286,326 | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of period/year | | | 244,751,338 | | | | — | | | | 5,281,121 | | | | 4,994,795 | |
End of period/year | | | $112,624,209 | | | | $244,751,338 | | | | $4,692,776 | | | | $5,281,121 | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period/year | | | 9,900,004 | | | | — | | | | 200,004 | | | | 200,004 | |
Shares sold | | | 3,650,000 | | | | 10,300,004 | | | | — | | | | — | |
Shares redeemed | | | (7,600,000 | ) | | | (400,000 | ) | | | — | | | | — | |
Shares outstanding, end of period/year | | | 5,950,004 | | | | 9,900,004 | | | | 200,004 | | | | 200,004 | |
(1)Commencement of operations.
The accompanying notes are an integral part of these financial statements.
37
| | Virtus InfraCap | |
Cash Flows From Operating Activities: | | | |
Net decrease in net assets from operations | | $(35,953,245 | ) |
Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities: | | | |
Purchases of investment securities | | (68,414,730 | ) |
Proceeds from sales of investment securities | | 124,889,023 | |
Net proceeds from purchased and written options | | (415,275 | ) |
Net proceeds from securities sold short | | 11,260,657 | |
Payments made to cover securities sold short | | (17,536,609 | ) |
Net realized loss on investments | | 13,740,514 | |
Net realized loss on securities sold shorts | | 453,524 | |
Net realized loss on written options | | 546,642 | |
Net realized loss on in-kind redemptions | | 3,541,365 | |
Net change in unrealized depreciation on investments | | 20,043,351 | |
Net change in unrealized appreciation on securities sold short | | (89,826 | ) |
Net change in unrealized depreciation on written options | | 10,962 | |
Increase in dividends and interest receivable | | (6,242 | ) |
Increase in prepaid expenses | | (57 | ) |
Decrease in due from brokers | | 4,825,993 | |
Decrease in advisory fees payable | | (9,867 | ) |
Net cash provided by operating activities | | 56,886,180 | |
| | | |
Cash Flows from Financing Activities: | | | |
Proceeds from borrowings | | (1,951,186.00 | ) |
Payments for fund shares sold in excess of in-kind creations | | (49,774,709 | ) |
Distributions paid | | (5,647,005 | ) |
Net cash used in financing activities | | (57,372,900 | ) |
Net increase in cash | | (486,720 | ) |
Cash, beginning of period | | 1,221,008 | |
Cash, end of period | | $734,288 | |
| | | |
Supplementary information: | | | |
Interest paid on borrowings | | $332,991 | |
| | | |
Non-cash financing activiities: | | | |
In-kind creations - Issued | | 70,102,582 | |
In-kind creations - Redeemed | | (19,621,682 | ) |
The accompanying notes are an integral part of these financial statements.
38
| | InfraCap REIT Preferred ETF | ||||||||||||||
| | For the | | For the | | For the | | For the Period | ||||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $25.26 | | | | $23.65 | | | | $25.76 | | | | $25.06 | |
Investment operations: | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.49 | | | | 1.32 | | | | 1.21 | | | | 1.03 | |
Net realized and unrealized gain (loss) | | | (4.70 | ) | | | 1.83 | | | | (1.85 | ) | | | 0.60 | |
Total from investment operations | | | (4.21 | ) | | | 3.15 | | | | (0.64 | ) | | | 1.63 | |
Less Distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.74 | ) | | | (1.30 | ) | | | (1.23 | ) | | | (0.93 | ) |
Return of capital | | | — | | | | (0.24 | ) | | | (0.24 | ) | | | — | |
Total distributions | | | (0.74 | ) | | | (1.54 | ) | | | (1.47 | ) | | | (0.93 | ) |
Net Asset Value, End of period | | | $20.31 | | | | $25.26 | | | | $23.65 | | | | $25.76 | |
Net Asset Value Total Return(3) | | | (16.85 | )% | | | 13.78 | % | | | (2.60 | )% | | | 6.54 | % |
Net assets, end of period (000’s omitted) | | | $42,645 | | | | $37,885 | | | | $22,468 | | | | $20,609 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses | | | 0.45 | %(4) | | 0.45 | %(5) | | 0.45 | %(5) | | 0.45 | %(4) | |||
Net investment income | | | 4.26 | %(4) | | 5.42 | % | | | 4.93 | % | | | 5.48 | %(4) | |
Portfolio turnover rate(6) | | | 35 | %(7) | | 66 | % | | | 70 | % | | | 91 | %(7) |
(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 ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)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.
(7)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
39
| | Virtus InfraCap U.S. Preferred Stock ETF | ||||||||||
| | For the | | For the | | For the Period | ||||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | | | | | |
Net asset value, beginning of period | | | $26.43 | | | | $24.47 | | | | $24.96 | |
Investment operations: | | | | | | | | | | | | |
Net investment income(2) | | | 0.56 | | | | 1.44 | | | | 0.72 | |
Net realized and unrealized gain (loss) | | | (8.48 | ) | | | 2.80 | | | | (0.45 | ) |
Total from investment operations | | | (7.92 | ) | | | 4.24 | | | | 0.27 | |
Less Distributions from: | | | | | | | | | | | | |
Net investment income | | | (0.99 | ) | | | (2.28 | ) | | | (0.76 | ) |
Net realized gains | | | (0.43 | ) | | | — | | | | — | |
Total distributions | | | (1.42 | ) | | | (2.28 | ) | | | (0.76 | ) |
Net Asset Value, End of period | | | $17.09 | | | | $26.43 | | | | $24.47 | |
Net Asset Value Total Return(3) | | | (30.96 | )% | | | 18.37 | % | | | 1.02 | % |
Net assets, end of period (000’s omitted) | | | $88,891 | | | | $88,525 | | | | $6,118 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | |
Expenses | | | 1.80 | %(4),(5) | 2.00 | %(6),(7) | 2.13 | %(4),(8) | ||||
Net investment income | | | 5.05 | %(4) | 5.66 | % | | | 6.22 | %(4) | ||
Portfolio turnover rate(9) | | | 76 | %(10) | 150 | % | | | 55 | %(10) |
(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 ratios of expenses to average net assets include interest expense of 0.91% and dividend expense on securities sold short fees of 0.09%.
(6)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(7)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%.
(8)The ratios of expenses to average net assets include interest expense of 1.05% and dividend expense on securities sold short fees of 0.28%.
(9)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.
(10)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
40
| | Virtus LifeSci Biotech Clinical Trials 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 | | | $26.42 | | | | $26.87 | | | | $27.73 | | | | $18.05 | | | | $27.37 | | | | $25.00 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss(2) | | | (0.02 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.12 | ) | | | (0.14 | ) | | | (0.24 | ) |
Net realized and unrealized | | | 8.84 | | | | (0.32 | ) | | | (0.41 | ) | | | 9.80 | | | | (9.03 | ) | | | 2.61 | (3) |
Total from investment operations | | | 8.82 | | | | (0.45 | ) | | | (0.56 | ) | | | 9.68 | | | | (9.17 | ) | | | 2.37 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | — | | | | (0.30 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (0.15 | ) | | | — | |
Total distributions | | | — | | | | — | | | | (0.30 | ) | | | — | | | | (0.15 | ) | | | — | |
Net Asset Value, | | | $35.24 | | | | $26.42 | | | | $26.87 | | | | $27.73 | | | | $18.05 | | | | $27.37 | |
Net Asset Value Total Return(4) | | | 33.40 | % | | | (1.67 | )% | | | (2.05 | )% | | | 53.66 | % | | | (33.73 | )% | | | 9.46 | % |
Net assets, end of period | | | $33,478 | | | | $23,775 | | | | $36,269 | | | | $30,501 | | | | $18,045 | | | | $23,261 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.79 | %(5) | | 0.79 | %(6) | | 0.79 | %(6) | 0.83 | % | | | 0.85 | %(6) | | 0.85 | %(5),(7) | |||||
Net investment loss | | | (0.09 | )%(5) | | (0.50 | )% | | | (0.45 | )% | | | (0.53 | )% | | | (0.67 | )% | | | (0.85 | )%(5) | |
Portfolio turnover rate(8) | | | 36 | %(9) | | 67 | % | | | 65 | % | | | 45 | % | | | 54 | % | | | 76 | %(9) |
(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 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.
(5)Annualized.
(6)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(7)The ratios of expenses to average net assets includes interest expense fees of less than 0.01%.
(8)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.
(9)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
41
| | Virtus LifeSci Biotech Products 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 | | | $37.86 | | | | $36.33 | | | | $39.34 | | | | $28.91 | | | | $30.50 | | | | $25.00 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | (0.06 | ) | | | (0.20 | ) | | | (0.21 | ) | | | 0.07 | | | | (0.12 | ) | | | (0.17 | ) |
Net realized and unrealized | | | 5.96 | | | | 1.73 | | | | (2.73 | ) | | | 10.36 | | | | (1.07 | ) | | | 5.67 | (3) |
Total from investment operations | | | 5.90 | | | | 1.53 | | | | (2.94 | ) | | | 10.43 | | | | (1.19 | ) | | | 5.50 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | — | | | | (0.07 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (0.40 | ) | | | — | |
Total distributions | | | — | | | | — | | | | (0.07 | ) | | | — | | | | (0.40 | ) | | | — | |
Net Asset Value, End of period | | | $43.76 | | | | $37.86 | | | | $36.33 | | | | $39.34 | | | | $28.91 | | | | $30.50 | |
Net Asset Value Total Return(4) | | | 15.58 | % | | | 4.22 | % | | | (7.49 | )% | | | 36.08 | % | | | (3.97 | )% | | | 21.99 | % |
Net assets, end of period | | | $24,070 | | | | $26,505 | | | | $27,248 | | | | $37,377 | | | | $23,130 | | | | $22,874 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.79 | %(5) | 0.79 | %(6) | 0.79 | %(6) | 0.84 | % | | | 0.85 | %(6) | 0.86 | %(5),(7) | ||||||||
Net investment income (loss) | | | (0.30 | )%(5) | (0.51 | )% | | | (0.49 | )% | | | 0.19 | % | | | (0.43 | )% | | | (0.58 | )%(5) | ||
Portfolio turnover rate(8) | | | 26 | %(9) | 41 | % | | | 32 | % | | | 34 | % | | | 35 | % | | | 45 | %(9) |
(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 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.
(5)Annualized.
(6)The ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(7)The ratios of expenses to average net assets includes interest expense fees of 0.01%.
(8)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.
(9)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
42
| | Virtus Newfleet Multi-Sector Bond 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 | | | $24.54 | | | | $23.85 | | | | $25.84 | | | | $25.96 | | | | $25.09 | | | | $25.00 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.49 | | | | 1.06 | | | | 1.12 | | | | 1.09 | | | | 0.95 | | | | 0.05 | |
Net realized and unrealized | | | (1.58 | ) | | | 0.74 | | | | (1.51 | ) | | | 0.22 | | | | 0.85 | | | | 0.07 | |
Total from investment operations | | | (1.09 | ) | | | 1.80 | | | | (0.39 | ) | | | 1.31 | | | | 1.80 | | | | 0.12 | |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.47 | ) | | | (1.02 | ) | | | (1.15 | ) | | | (1.10 | ) | | | (0.93 | ) | | | (0.03 | ) |
Net realized gains | | | — | | | | — | | | | (0.45 | ) | | | (0.33 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (0.09 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (0.47 | ) | | | (1.11 | ) | | | (1.60 | ) | | | (1.43 | ) | | | (0.93 | ) | | | (0.03 | ) |
Net Asset Value, | | | $22.98 | | | | $24.54 | | | | $23.85 | | | | $25.84 | | | | $25.96 | | | | $25.09 | |
Net Asset Value Total Return(3) | | | (4.48 | )% | | | 7.74 | % | | | (1.62 | )% | | | 5.26 | % | | | 7.37 | % | | | 0.47 | % |
Net assets, end of period | | | $20,683 | | | | $24,535 | | | | $98,959 | | | | $169,284 | | | | $167,474 | | | | $153,035 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, net of expense waivers | | | 0.60 | %(4) | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | %(5) | 0.80 | %(4) | ||
Expenses, prior to expense waivers | | | 1.29 | %(4) | | | 1.06 | % | | | 0.86 | % | | | 0.84 | % | | | 0.91 | %(5) | 0.99 | %(4) | ||
Net investment income | | | 4.10 | %(4) | | | 4.37 | % | | | 4.51 | % | | | 4.26 | % | | | 3.75 | % | | | 0.88 | %(4) |
Portfolio turnover rate(6) | | | 51 | %(7) | | | 95 | % | | | 82 | % | | | 113 | % | | | 100 | % | | | 20 | %(7) |
(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 ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)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.
(7)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
43
| | Virtus Private Credit Strategy ETF | ||||||
| | For the | | For the Period | ||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | |
Net asset value, beginning of period | | | $24.72 | | | | $24.85 | |
Investment operations: | | | | | | | | |
Net investment income(2) | | | 0.95 | | | | 1.70 | |
Net realized and unrealized loss | | | (7.68 | ) | | | (0.45 | ) |
Total from investment operations | | | (6.73 | ) | | | 1.25 | |
Less Distributions from: | | | | | | | | |
Net investment income | | | (1.02 | ) | | | (1.38 | ) |
Total distributions | | | (1.02 | ) | | | (1.38 | ) |
Net Asset Value, End of period | | | $16.97 | | | | $24.72 | |
Net Asset Value Total Return(3) | | | (27.68 | )% | | | 5.03 | % |
Net assets, end of period (000’s omitted) | | | $110,325 | | | | $211,344 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses | | | 0.75 | %(4),(5) | 0.75 | %(4) | ||
Net investment income | | | 8.39 | %(4) | | | 9.24 | %(4) |
Portfolio turnover rate(6) | | | 10 | %(7) | | | 22 | %(7) |
(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 ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)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.
(7)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
44
| | Virtus Real Asset Income ETF | ||||||
| | For the | | For the Period | ||||
Per Share Data for a Share Outstanding throughout each period presented: | | | | | | | | |
Net asset value, beginning of period | | | $24.72 | | | | $24.79 | |
Investment operations: | | | | | | | | |
Net investment income(2) | | | 0.31 | | | | 0.58 | |
Net realized and unrealized loss | | | (5.77 | ) | | | (0.12 | ) |
Total from investment operations | | | (5.46 | ) | | | 0.46 | |
Less Distributions from: | | | | | | | | |
Net investment income | | | (0.33 | ) | | | (0.53 | ) |
Total distributions | | | (0.33 | ) | | | (0.53 | ) |
Net Asset Value, End of period | | | $18.93 | | | | $24.72 | |
Net Asset Value Total Return(3) | | | (22.08 | )% | | | 1.87 | % |
Net assets, end of period (000’s omitted) | | | $112,624 | | | | $244,751 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | |
Expenses | | | 0.55 | %(4),(5) | 0.55 | %(4) | ||
Net investment income | | | 2.70 | %(4) | 3.20 | %(4) | ||
Portfolio turnover rate(6) | | | 62 | %(7) | 15 | %(7) |
(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 ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)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.
(7)Not annualized.
Financial Highlights (continued)
The accompanying notes are an integral part of these financial statements.
45
| | Virtus WMC Global Factor Opportunities ETF | ||||||||||||||
| | For the | | For the | | For the | | For the Period | ||||||||
Per Share Data for a Share Outstanding throughout | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $26.41 | | | | $24.97 | | | | $25.10 | | | | $25.00 | |
Investment operations: | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.17 | | | | 0.52 | | | | 0.50 | | | | 0.01 | |
Net realized and unrealized gain (loss) | | | (2.57 | ) | | | 1.95 | | | | (0.53 | ) | | | 0.09 | |
Total from investment operations | | | (2.40 | ) | | | 2.47 | | | | (0.03 | ) | | | 0.10 | |
Less Distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.55 | ) | | | (0.49 | ) | | | (0.10 | ) | | | — | |
Net realized gains | | | — | | | | (0.54 | ) | | | — | | | | — | |
Total distributions | | | (0.55 | ) | | | (1.03 | ) | | | (0.10 | ) | | | — | |
Net Asset Value, End of period | | | $23.46 | | | | $26.41 | | | | $24.97 | | | | $25.10 | |
Net Asset Value Total Return(3) | | | (9.36 | )% | | | 10.60 | % | | | (0.11 | )% | | | 0.38 | % |
Net assets, end of period (000’s omitted) | | | $4,693 | | | | $5,281 | | | | $4,995 | | | | $5,019 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Expenses | | | 0.49 | %(4) | | | 0.49 | %(5) | 0.49 | %(5) | | 0.49 | %(4) | |||
Net investment income | | | 1.31 | %(4) | | | 2.08 | % | | | 1.88 | % | | | 0.76 | %(4) |
Portfolio turnover rate(6) | | | 77 | %(7) | | | 88 | % | | | 80 | % | | | 23 | %(7) |
(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 ratios of expenses to average net assets includes tax expense fees of less than 0.01%.
(6)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.
(7)Not annualized.
46
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, 2020, 10 funds of the Trust are offered for sale. The InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Newfleet Multi-Sector Bond ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF and Virtus WMC Global Factor Opportunities ETF (each a “Fund” and collectively, the “Funds”), each a separate investment portfolio of the Trust, are presented herein. The offering of each Fund’s shares is registered under the Securities Act of 1933 (the “Securities Act”).
Funds | | Commencement |
InfraCap REIT Preferred ETF | | February 7, 2017 |
Virtus InfraCap U.S. Preferred Stock ETF | | May 15, 2018 |
Virtus LifeSci Biotech Clinical Trials ETF | | December 16, 2014 |
Virtus LifeSci Biotech Products ETF | | December 16, 2014 |
Virtus Newfleet Multi-Sector Bond ETF | | August 10, 2015 |
Virtus Private Credit Strategy ETF | | February 7, 2019 |
Virtus Real Asset Income ETF | | February 7, 2019 |
Virtus WMC Global Factor Opportunities ETF | | October 10, 2017 |
InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus Private Credit Strategy ETF and Virtus Real Asset Income ETF are “non-diversified” Funds, as defined under the 1940 Act, as of the period ended April 30, 2020.
The Funds have the following investment objectives:
InfraCap REIT Preferred ETF seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx REIT Preferred Stock Index.
Virtus InfraCap U.S. Preferred Stock ETF seeks current income and, secondarily, capital appreciation.
Virtus LifeSci Biotech Clinical Trials ETF and Virtus LifeSci Biotech Products ETF seek investment results that correspond, before fees and expenses, to the price and yield performance of the LifeSci Biotechnology Clinical Trials Index and LifeSci Biotechnology Products Index, respectively.
Virtus Newfleet Multi-Sector Bond ETF seeks to provide a high level of current income and, secondarily, capital appreciation.
Virtus Private Credit Strategy ETF seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Private Credit Index. Virtus Private Credit Strategy ETF is a “fund of funds,” meaning it will generally invest its assets in other registered investment companies.
Virtus Real Asset Income ETF seeks investment results that correspond, before fees and expenses, to the price and yield performance of the Indxx Real Asset Income Index.
Virtus WMC Global Factor Opportunities ETF seeks capital appreciation.
There is no guarantee that a Fund will achieve its objective(s).
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(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.
47
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
(b) Indemnification
In the normal course of business, the Funds may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
(c) Security Valuation
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and Exchange-Traded Funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith using procedures adopted by the Trust’s Board of Trustees (the “Board”). Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. Such valuations are typically categorized as Level 2 in the fair value hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued using procedures adopted by the Board are generally categorized as Level 3 in the fair value hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in other open-end investment companies are valued based on their net asset value each business day. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the fair value hierarchy.
(d) Fair Value Measurement
Accounting Standards Codification, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:
•Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
•Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
•Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
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, 2020, 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.
48
Notes to Financial Statements (continued)
April 30, 2020 (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) Loan Agreements
The Virtus Newfleet Multi-Sector Bond ETF may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Loan agreements are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Loan agreements are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.
49
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Loan agreements may involve foreign borrowers, and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The loan agreements have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR (London Interbank Offered Rate), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
(l) 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, 2020, there were no securities on loan.
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreements
The Trust, on behalf of each Fund, has entered into Investment Advisory Agreements (collectively, “Advisory Agreement”) with Virtus ETF Advisers LLC (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Funds’ securities portfolios. The Adviser has agreed to pay all of the ordinary operating expenses of the Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC Global Factor Opportunities 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 Global Factor Opportunities ETF | | 0.49% |
*Effective January 1, 2020, the Adviser contractually agreed to reduce its management fee for Virtus Newfleet Multi-Sector Bond ETF to the annual rate of 0.45% of the Fund’s average daily net assets. Prior to January 1, 2020, the Adviser received monthly compensation from the Fund at the annual rate of 0.70% of the Fund’s average daily net assets.
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.
50
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
Expense Limitation Agreement
The Adviser has contractually agreed to reduce its fees and reimburse expenses in order to limit Virtus Newfleet Multi-Sector Bond ETF’s total operating expenses (excluding interest, taxes, brokerage fees and commissions, other expenditures that are capitalized in accordance with generally accepted accounting principles, acquired fund fees and expenses, other extraordinary expenses not incurred in the ordinary course of the Funds’ business, and amounts, if any, payable pursuant to a plan adopted in accordance with Rule 12b-1 under the 1940 Act) from exceeding 0.49% (effective January 1, 2020) of the Fund’s average daily net assets through at least February 28, 2021. Prior to January 1, 2020, the Fund’s expense limitation was 0.80% of the Fund’s average daily net assets.
The expense limitation agreement with respect to Virtus Newfleet Multi-Sector Bond ETF will be terminated upon termination of the Advisory Agreement between the Adviser and the Fund. In addition, while the Adviser or the Fund may discontinue the expense limitation agreement after the contractual period, it may only be terminated during its term with the approval of the Fund’s Board of Trustees.
Under certain conditions, the Adviser may recapture operating expenses waived or reimbursed under the expense limitation agreement for a period of three years following the date on which such waiver or reimbursement occurred; provided that such recapture may not cause the Fund’s total operating expenses to exceed 0.49% of the average daily net assets of the Fund (or any lower expense limitation or limitations to which the Fund and the Adviser may otherwise agree). All or a portion of the following expenses reimbursed by the Adviser may be recaptured during the fiscal years indicated:
Fund | | 2020 | | 2021 | | 2022 | | 2023 |
Virtus Newfleet Multi-Sector Bond ETF | | $56,340 | | $81,340 | | $135,034 | | $75,946 |
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 Virtus InfraCap U.S. Preferred Stock ETF Virtus Newfleet Multi-Sector Bond ETF Virtus WMC Global Factor Opportunities ETF | | Infrastructure Capital Advisors, LLC Infrastructure Capital Advisors, LLC Newfleet Asset Management, LLC(1) Wellington Management Company LLP | | 0.375%* 0.66%* 50% of the net advisory fee*+ 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 Global Factor Opportunities 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 of Trustees has adopted a distribution and service plan, under which InfraCap REIT Preferred ETF, Virtus InfraCap U.S. Preferred Stock ETF, Virtus LifeSci Biotech Clinical Trials ETF, Virtus LifeSci Biotech Products ETF, Virtus Private Credit Strategy ETF, Virtus Real Asset Income ETF, and Virtus WMC Global Factor Opportunities 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.
51
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
Operational Administrator
Virtus ETF Solutions LLC (the “Administrator”) serves as the Funds’ operational administrator. The Administrator supervises the overall administration of the Trust and the Funds including, among other responsibilities, the coordination and day-to-day oversight of the Funds’ operations, the service providers’ communications with the Funds and each other and assistance with Trust, Board and contractual matters related to the Funds and other series of the Trust. The Administrator also provides persons satisfactory to the Board to serve as officers of the Trust. The Administrator is an indirect wholly-owned subsidiary of Virtus.
Accounting Services Administrator, Custodian and Transfer Agent
The Bank of New York Mellon (“BNY Mellon”) provides administrative, accounting, tax and financial reporting for the maintenance and operations of the Trust as the Funds’ accounting services administrator. BNY Mellon also serves as the custodian for the Funds’ assets, and serves as transfer agent and dividend paying agent for the Funds.
Affiliated Shareholders
At April 30, 2020, Virtus Partners, Inc. held shares of Virtus WMC Global Factor Opportunities ETF which may be sold at any time that aggregated to the following:
| | Shares | | % of share |
Virtus WMC Global Factor Opportunities ETF | | 184,503 | | 92.3% |
At April 30, 2020, the respective sub-adviser of the below Funds held shares of such Fund which may be redeemed at any time that aggregated to the following:
| | Shares | | % of share |
InfraCap REIT Preferred ETF | | 16,495 | | 0.8% |
Virtus InfraCap U.S. Preferred Stock ETF | | 290,890 | | 5.6% |
4. CREATION AND REDEMPTION TRANSACTIONS
The Funds issue and redeem shares on a continuous basis at Net Asset Value (“NAV”) in groups of 50,000 shares called “Creation Units.” The Funds’ Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Funds. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
5. FEDERAL INCOME TAX
Each Fund intends to qualify as a “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders. Therefore, no federal income or excise tax provision is required. Accounting for Uncertainty in Income Taxes as issued by the Financial Accounting Standards Board provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing a Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Interest and penalties related to income taxes would be recorded as income tax expense. Management of the Funds is required to analyze all open tax years (2017, 2018 and 2019), as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of April 30, 2020, the Funds did not have a liability for any unrecognized tax benefits. 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.
52
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
The Funds recognize interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period ended April 30, 2020, the Funds had no accrued penalties or interest.
At October 31, 2019, 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 | | Net Unrealized | |
InfraCap REIT Preferred ETF | | $36,616,672 | | $1,059,573 | | $(211,416 | ) | $848,157 | |
Virtus InfraCap U.S. Preferred Stock ETF | | 108,717,740 | | 2,285,413 | | (870,753 | ) | 1,414,660 | |
Virtus LifeSci Biotech Clinical Trials ETF | | 34,180,833 | | 3,256,098 | | (10,628,860 | ) | (7,372,762 | ) |
Virtus LifeSci Biotech Products ETF | | 35,680,088 | | 2,517,302 | | (10,345,259 | ) | (7,827,957 | ) |
Virtus Newfleet Multi-Sector Bond ETF | | 23,967,862 | | 807,943 | | (484,787 | ) | 323,156 | |
Virtus Private Credit Strategy ETF | | 225,399,244 | | 3,459,927 | | (11,748,365 | ) | (8,288,438 | ) |
Virtus Real Asset Income ETF | | 257,100,060 | | 13,531,221 | | (20,614,556 | ) | (7,083,335 | ) |
Virtus WMC Global Factor Opportunities ETF | | 4,963,777 | | 563,037 | | (270,939 | ) | 292,098 | |
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, 2019, the following Funds incurred and elected to defer Late Year Ordinary Losses as follows:
Virtus LifeSci Biotech Clinical Trials ETF | $105,350 | |
Virtus LifeSci Biotech Products ETF | 136,985 |
At October 31, 2019, 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 | | $543,978 | | $173,871 | | $717,849 |
Virtus InfraCap U.S. Preferred Stock ETF | | — | | — | | — |
Virtus LifeSci Biotech Clinical Trials ETF | | 15,489,516 | | 10,480,199 | | 25,969,715 |
Virtus LifeSci Biotech Products ETF | | 3,215,227 | | 3,760,686 | | 6,975,913 |
Virtus Newfleet Multi-Sector Bond ETF | | 1,052,658 | | 2,423,523 | | 3,476,181 |
Virtus Private Credit Strategy ETF | | 1,410,992 | | — | | 1,410,992 |
Virtus Real Asset Income ETF | | 902,675 | | — | | 902,675 |
Virtus WMC Global Factor Opportunities ETF | | 106,552 | | — | | 106,552 |
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscription in-kind and redemption in-kind for the period ended April 30, 2020 were as follows:
| | Purchases | | Sales | | Subscriptions | | Redemptions |
InfraCap REIT Preferred ETF | | $14,799,371 | | $14,913,114 | | $18,625,770 | | $2,953,900 |
Virtus InfraCap U.S. Preferred Stock ETF | | 88,978,227 | | 96,607,189 | | 70,102,582 | | 19,621,682 |
Virtus LifeSci Biotech Clinical Trials ETF | | 11,573,509 | | 11,504,771 | | 16,715,024 | | 15,200,142 |
Virtus LifeSci Biotech Products ETF | | 6,780,967 | | 6,531,714 | | 4,364,931 | | 11,011,229 |
Virtus Newfleet Multi-Sector Bond ETF | | 10,921,445 | | 12,703,233 | | — | | — |
Virtus Private Credit Strategy ETF | | 18,682,889 | | 19,156,600 | | 35,193,622 | | 57,217,788 |
Virtus Real Asset Income ETF | | 136,255,900 | | 131,083,823 | | 87,445,559 | | 149,010,538 |
Virtus WMC Global Factor Opportunities ETF | | 3,865,187 | | 3,945,744 | | — | | — |
53
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
7. DERIVATIVE FINANCIAL INSTRUMENTS
Options
The Virtus InfraCap U.S. Preferred Stock ETF may write covered call and put options on portfolio securities and other financial instruments. Premiums received are recorded as liabilities. The liabilities are subsequently adjusted to reflect the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or are closed are added to or offset against the proceeds or amount paid on the transactions to determine the net realized gain or loss. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current price. Changes in value of written options are reported as change in unrealized gain (loss) on written options in the Statement of Operations. When the written option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as realized gain (loss) on written options in the Statement of Operations. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Virtus InfraCap U.S. Preferred Stock may purchase call and put options on the portfolio securities or other financial instruments. The Fund may purchase call options to protect against an increase in the price of the security or financial instrument it anticipates purchasing. The Fund may purchase put options on securities which it holds or other financial instruments to protect against a decline in the value of the security or financial instrument or to close out covered written positions. Changes in value of purchased options are reported as part of change in unrealized gain (loss) on investments in the Statement of Operations. When the purchased option expires, is terminated or is sold, the Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statement of Operations. Risks may arise from an imperfect correlation between the change in market value of the securities held by the Fund and the prices of options relating to the securities purchased or sold by the Fund and from the possible lack of liquid secondary market for an option. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
Transactions in derivative instruments reflected on the Statement of Operations during the period were as follows:
Net Realized Gain (Loss) on: | | Equity Risk | |
Investments* | | $210,961 | |
Written options | | (546,642 | ) |
*Purchased option contracts are included in Net Realized Gain (Loss) on Investments on the Statement of Operations.
Change in Net Unrealized Appreciation (Depreciation) on: | | Equity Risk | |
Written options | | $(10,962 | ) |
For the period ended April 30, 2020, the monthly average market value of the purchased options and written options contracts held by the Fund were $82,231 and $(315,112), respectively.
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 Agreement are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreement, 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 Agreement, necessitating the sale of securities at potentially inopportune times. Interest is charged at the 3 Month LIBOR (London Interbank Offered Rate) plus an additional percentage rate on the amount borrowed. The Agreement has an on-demand commitment term. For the period ended April 30, 2020, the average daily borrowings under the Agreement and the daily average interest rate were $12,797,285 and 2.90%, 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.
54
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
10. 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.
11. CASH CONCENTRATION RISK
At various times, the Funds may have cash and cash collateral balances that exceed federally insured limits.
12. Credit and Market Risk and Asset Concentration
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.
13. 10% SHAREHOLDERS
As of April 30, 2020, 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 | | 61% | | 3 |
Virtus InfraCap U.S. Preferred Stock ETF | | 66% | | 3 |
Virtus LifeSci Biotech Clinical Trials ETF | | 55% | | 3 |
Virtus LifeSci Biotech Products ETF | | 69% | | 4 |
Virtus Newfleet Multi-Sector Bond ETF | | 65% | | 4 |
Virtus Private Credit Strategy ETF | | 94% | | 1 |
Virtus Real Asset Income ETF | | 98% | | 1 |
Virtus WMC Global Factor Opportunities ETF | | 92% | | 1* |
*Shareholder account is affiliated.
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 other than those described below.
On May 18, 2020, the Board of Trustees of the Trust approved changes to the name and principal investment strategies of the Virtus WMC Global Factor Opportunities ETF. Accordingly, effective on or about July 20, 2020, the Fund will be renamed “Virtus WMC International Dividend ETF” and the Fund’s ticker symbol will change to “VWID.”
The recent global outbreak of COVID-19 has disrupted economic markets, and the economic impact, duration and spread of theCOVID-19 virus is uncertain at this time. The operational and financial performance of the issuers of securities in which each Fund invests may be significantly impacted by COVID-19, which may in turn impact the value of the Fund’s investments.
The accompanying notes are an integral part of these financial statements.
55
Security Description | |
| | Value |
| | | | |
COMMON STOCKS - 121.3%(1) | | | | |
| | | | |
Energy - 121.3% | | | | |
BP Midstream Partners LP | | 1,109,815 | | $12,696,284 |
Cheniere Energy Partners LP | | 4,437 | | 149,660 |
Crestwood Equity Partners LP | | 47,196 | | 516,324 |
DCP Midstream LP | | 817,253 | | 7,437,002 |
Energy Transfer LP | | 2,261,398 | | 18,995,743 |
Enterprise Products Partners LP(2) | | 794,728 | | 13,955,424 |
EQM Midstream Partners LP | | 129,316 | | 2,604,424 |
Genesis Energy LP | | 4,377 | | 26,174 |
Kinder Morgan, Inc. | | 868 | | 13,220 |
Magellan Midstream Partners LP | | 31,981 | | 1,315,379 |
Marathon Petroleum Corp.(2) | | 89,908 | | 2,884,249 |
MPLX LP | | 1,001,904 | | 18,134,462 |
NGL Energy Partners LP | | 752,837 | | 4,554,664 |
Noble Midstream Partners LP | | 610,803 | | 4,477,186 |
NuStar Energy LP | | 1,150,866 | | 14,017,548 |
ONEOK, Inc.(2) | | 65,223 | | 1,952,124 |
Phillips 66 Partners LP | | 92,818 | | 3,949,406 |
Plains All American Pipeline LP | | 1,194,359 | | 10,546,190 |
Shell Midstream Partners LP | | 871,810 | | 12,806,889 |
TC PipeLines LP | | 117,721 | | 3,943,654 |
Western Midstream Partners LP | | 617,428 | | 5,359,275 |
Williams Cos., Inc. (The)(2) | | 53,555 | | 1,037,360 |
Total Energy | | | | 141,372,641 |
| | | | |
Total Common Stocks | | | | |
(Cost $242,495,532) | | | | 141,372,641 |
Security Description | | Notional Amount | | Number | | | |
| | | | | | | |
PURCHASED OPTIONS - 0.6% | | | | | | | |
Purchased Call Options | | ||||||
| | ||||||
Marathon Petroleum Corp., | | | | | | ||
Expires 06/19/20, | | 233,000 | | 2,330 | | 640,750 | |
| | | | | | ||
TOTAL INVESTMENTS - 121.9% | | | | | | ||
(Cost $243,125,001) | | | | 142,013,391 | | ||
Liabilities in Excess of Other Assets - (21.9)% | | | | (25,475,499 | ) | ||
Net Assets - 100.0% | | | | $116,537,892 | |
Security Description | | Notional | | Number | | Value | |
| | | | | | ||
WRITTEN OPTIONS - (0.0)%(3) | | | | | | ||
| | ||||||
Written Call Options | | ||||||
Enterprise Products Partners LP, | | | | | | ||
Expires 05/08/20, | | | | | | | |
Strike Price $19.00 | | (20,000 | ) | (200 | ) | $(2,000 | ) |
Enterprise Products Partners LP, | | | | | | ||
Expires 06/19/20, | | | | | | | |
Strike Price $29.00 | | (51,000 | ) | (510 | ) | (510 | ) |
Marathon Petroleum Corp., | | | | | | ||
Expires 05/04/20, | | | | | | | |
Strike Price $33.00 | | (23,000 | ) | (230 | ) | (6,900 | ) |
ONEOK, Inc., | | | | | | ||
Expires 05/04/20, | | | | | | | |
Strike Price $31.50 | | (31,000 | ) | (310 | ) | (10,850 | ) |
Williams Cos., Inc. (The), | | | | | | ||
Expires 05/08/20, | | | | | | | |
Strike Price $20.00 | | (20,000 | ) | (200 | ) | (7,600 | ) |
| | ||||||
Written Put Options | | ||||||
Kinder Morgan, Inc., | | | | | | ||
Expires 05/04/20, | | | | | | | |
Strike Price $16.00 | | (11,000 | ) | (110 | ) | (11,220 | ) |
Marathon Petroleum Corp., | | | | | | ||
Expires 05/04/20, | | | | | | | |
Strike Price $25.00 | | (22,000 | ) | (220 | ) | (550 | ) |
Marathon Petroleum Corp., | | | | | | ||
Expires 05/04/20, | | | | | | | |
Strike Price $26.00 | | (20,000 | ) | (200 | ) | (800 | ) |
Marathon Petroleum Corp., | | | | | | ||
Expires 05/04/20, | | | | | | | |
Strike Price $29.50 | | (30,000 | ) | (300 | ) | (5,400 | ) |
| | | | | | ||
Total Written Options - (0.0)% | | | | | | ||
(Premiums Received $75,705) | | | | $(45,830 | ) |
(1)Substantially all the securities, or a portion thereof, have been pledged as collateral for line of credit borrowings, short sales and open written option contracts. The aggregate market value of the collateral at April 30, 2020 was $112,840,751.
(2)Subject to written call options.
(3)Amount rounds to less than 0.05%.
Schedule of Investments — InfraCap MLP ETF (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
56
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2020.
| | Level 1 | | Level 2 | | Level 3 | | Total |
Asset Valuation Inputs | | | | | | | | |
Common Stocks | | $141,372,641 | | $— | | $— | | $141,372,641 |
Purchased Options | | 640,750 | | — | | — | | 640,750 |
Total | | $142,013,391 | | $— | | $— | | $142,013,391 |
Liability Valuation Inputs | | | | | | | | |
Written Options | | $45,320 | | $510 | | $— | | $45,830 |
Total | | $45,320 | | $510 | | $— | | $45,830 |
The accompanying notes are an integral part of these financial statements.
57
| | InfraCap MLP | |
Assets: | | | |
Investments, at cost | | $243,125,001 | |
Investments, at value | | 142,013,391 | |
Cash | | 5,210,823 | |
Due from brokers | | 230,260 | |
Receivables: | | | |
Investment securities sold | | 3,037,947 | |
Dividends and interest | | 82,271 | |
Tax reclaim | | 9,516 | |
Prepaid taxes | | 7,836,085 | |
Total Assets | | 158,420,293 | |
Liabilities: | | | |
Borrowings | | 32,581,886 | |
Payables: | | | |
Investment securities purchased | | 9,187,619 | |
Advisory fees | | 67,066 | |
Written options, at value(a) | | 45,830 | |
Total Liabilities | | 41,882,401 | |
Net Assets | | $116,537,892 | |
Net Assets Consist of: | | | |
Paid-in capital | | $452,851,906 | |
Total distributable earnings (accumulated deficit), net of income taxes | | (336,314,014 | ) |
Net Assets | | $116,537,892 | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | 6,440,000 | |
| | | |
Net asset value per share | | $18.10 | |
(a)Premiums received from written options | | $75,705 | |
The accompanying notes are an integral part of these financial statements.
58
| | InfraCap MLP | |
Investment Income: | | | |
Distributions from master limited partnerships | | $14,256,260 | |
Dividend income | | 595,515 | |
Interest income | | 3,366 | |
Less: Return of capital distributions | | (14,256,260 | ) |
Total Investment Income | | 598,881 | |
Expenses: | | | |
Dividend and interest expenses | | 1,274,880 | |
Advisory fees | | 1,097,417 | |
Total Expenses | | 2,372,297 | |
Net Investment (Loss) | | (1,773,416 | ) |
Net Realized Gain (Loss) on: | | | |
Investments | | (142,284,579 | ) |
Written options | | 2,199,488 | |
Securities sold short | | (7,741 | ) |
Total Net Realized Loss | | (140,092,832 | ) |
Change in Net Unrealized Appreciation (Depreciation) on: | | | |
Investments | | (20,617,904 | ) |
Written options | | (215,389 | ) |
Total Change in Net Unrealized Depreciation | | (20,833,293 | ) |
Net Realized and Change in Unrealized Loss | | (160,926,125 | ) |
Net Decrease in Net Assets Resulting from Operations | | $(162,699,541 | ) |
The accompanying notes are an integral part of these financial statements.
59
| | InfraCap MLP ETF(1) | ||||
| | For the | | For the | ||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | |
Net investment loss, net of income taxes | | $(1,773,416 | ) | | $(7,632,954 | ) |
Net realized loss, net of income taxes | | (140,092,832 | ) | | (92,515,713 | ) |
Net change in unrealized appreciation (depreciation), net of income taxes | | (20,833,293 | ) | | 25,658,706 | |
Net decrease in net assets resulting from operations | | (162,699,541 | ) | | (74,489,961 | ) |
Distributions to Shareholders from return of capital | | (23,089,501 | ) | | (81,518,004 | ) |
Shareholder Transactions: | | | | | | |
Proceeds from shares sold | | 6,587,987 | | | 37,768,962 | |
Cost of shares redeemed | | (36,197,216 | ) | | (87,646,286 | ) |
Net decrease in net assets resulting from shareholder transactions | | (29,609,229 | ) | | (49,877,324 | ) |
Decrease in net assets | | (215,398,271 | ) | | (205,885,289 | ) |
Net Assets: | | | | | | |
Beginning of period/year | | 331,936,163 | | | 537,821,452 | |
End of period/year | | $116,537,892 | | | $331,936,163 | |
Changes in Shares Outstanding: | | | | | | |
Shares outstanding, beginning of period/year | | 7,410,000 | | | 8,420,000 | |
Shares sold | | 205,000 | | | 640,000 | |
Shares redeemed | | (1,175,000 | ) | | (1,650,000 | ) |
Shares outstanding, end of period/year | | 6,440,000 | | | 7,410,000 | |
(1)Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts for all periods have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
The accompanying notes are an integral part of these financial statements.
60
| | InfraCap MLP | |
Cash Flows From Operating Activities: | | | |
Net decrease in net assets from operations | | $(162,699,541 | ) |
Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities: | | | |
Purchases of investment securities | | (149,202,382 | ) |
Proceeds from sales of investment securities | | 300,451,139 | |
Net proceeds from purchased and written options | | (736,591 | ) |
Net proceeds from securities sold short | | 865,808 | |
Payments made to cover securities sold short | | (873,548 | ) |
Net realized loss on investments | | 142,284,579 | |
Net realized loss on securities sold shorts | | 7,741 | |
Net realized gain on written options | | (2,199,488 | ) |
Net change in unrealized depreciation on investments | | 20,617,904 | |
Net change in unrealized depreciation on written options | | 215,389 | |
Decrease in dividends receivable | | 769,409 | |
Decrease in prepaid taxes | | 112,632 | |
Decrease in due from broker | | 34,582,481 | |
Increase in other accrued expenses | | (6,862 | ) |
Decrease in sub-advisory fees payable | | (215,534 | ) |
Net cash provided by operating activities | | 183,973,136 | |
| | | |
Cash Flows from Financing Activities: | | | |
Proceeds from borrowings | | (119,386,608 | ) |
Payments for fund shares sold in excess of in-kind creations | | (40,998,442 | ) |
Distributions paid | | (23,089,501 | ) |
Net cash used in financing activities | | (183,474,551 | ) |
| | | |
Net increase in cash | | 498,585 | |
Cash, beginning of period | | 4,712,238 | |
Cash, end of period | | $5,210,823 | |
| | | |
Supplementary information: | | | |
Interest paid on borrowings | | 1,205,421 | |
| | | |
Non-cash financing activities: | | | |
In-kind creations - Issued | | 8,690,140 | |
In-kind creations - Redeemed | | — | |
The accompanying notes are an integral part of these financial statements.
61
| | InfraCap MLP 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 | | | $44.80 | | | | $63.87 | | | | $83.73 | | | | $106.32 | | | | $142.78 | | | | $242.07 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss(1) | | | (0.26 | ) | | | (0.96 | ) | | | (1.52 | ) | | | (1.70 | ) | | | (0.75 | ) | | | (0.66 | ) |
Net realized and unrealized loss | | | (25.88 | ) | | | (7.91 | ) | | | (3.24 | ) | | | (0.09 | ) | | | (14.91 | )(2) | | | (78.33 | ) |
Total from investment operations | | | (26.14 | ) | | | (8.87 | ) | | | (4.76 | ) | | | (1.79 | ) | | | (15.66 | ) | | | (78.99 | ) |
Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | — | ��� | | | — | | | | (5.90 | ) | | | — | | | | (3.00 | ) |
Return of capital | | | (0.56 | ) | | | (10.20 | )** | | | (15.10 | ) | | | (14.90 | ) | | | (20.80 | ) | | | (17.30 | ) |
Total distributions | | | (0.56 | ) | | | (10.20 | ) | | | (15.10 | ) | | | (20.80 | ) | | | (20.80 | ) | | | (20.30 | ) |
Net Asset Value, End of period | | | $18.10 | | | | $44.80 | | | | $63.87 | | | | $83.73 | | | | $106.32 | | | | $142.78 | |
Net Asset Value Total Return(3) | | | (54.95 | )% | | | (15.62 | )% | | | (7.65 | )% | | | (3.44 | )% | | | (8.60 | )% | | | (34.34 | )% |
Net assets, end of period | | | $116,538 | | | | $331,936 | | | | $537,821 | | | | $504,879 | | | | $119,606 | | | | $19,989 | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, including deferred income tax expense/benefit | | | 2.05 | %(4),(5) | 2.41 | %(6) | | | 2.40 | %(7) | | 1.93 | %(8) | | 1.36 | %(9) | | 1.11 | %(10) | |||||
Expenses, excluding deferred income tax expense/benefit | | | 2.05 | %(4),(5) | 2.40 | %(6) | | | 2.39 | %(7) | | 1.89 | %(8) | | 1.58 | %(9) | | 1.16 | %(10) | |||||
Net investment loss | | | (1.54 | )%(4) | | (1.72 | )% | | | (1.96 | )% | | | (1.73 | )% | | | (0.70 | )% | | | (0.36 | )% | |
Portfolio turnover rate(11) | | | 54 | %(12) | 136 | % | | | 255 | % | | | 104 | % | | | 90 | % | | | 60 | % |
*Effective March 31, 2020, the Fund had a 1 for 10 reverse stock split. The share amounts for all periods have been adjusted as a result of the 1 for 10 reverse stock split (See Note 1).
**The 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.
(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 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.
(4)Annualized.
(5)The ratios of expenses to average net assets include interest expense of 1.10% .
(6)The ratios of expenses to average net assets include interest expense of 1.28% and dividend expense on securities sold short fees of 0.17%.
(7)The ratios of expenses to average net assets include interest expense of 1.32% and dividend expense on securities sold short fees of 0.13%.
(8)The ratios of expenses to average net assets includes interest expense fees of 0.94%.
(9)The ratios of expenses to average net assets includes interest expense fees of 0.63%.
(10)The ratios of expenses to average net assets includes interest expense fees of 0.21%.
(11)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.
(12)Not annualized.
62
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, 2020, 10 funds of the Trust are offered for sale, of which InfraCap MLP ETF (the “Fund”) is reported in this semiannual report. The shares of the InfraCap MLP ETF are referred to herein as “Fund Shares” or “Shares”. The offering of Shares is registered under the Securities Act of 1933 (the “Securities Act”).
Fund | | Commencement |
InfraCap MLP ETF | | October 1, 2014 |
Fund’s investment objective is to seek total return primarily through investments in equity securities of publicly traded master limited partnerships and limited liability companies taxed as partnerships (“MLPs”). There is no guarantee that the Fund will achieve its objective(s).
Reverse Split
After the close of the markets on March 30, 2020 (the Record Date), the Fund effected a reverse split of its issued and outstanding shares, with a 1 for 10 ratio. Shares of the Fund began trading on the NYSE Arca on a split-adjusted basis on March 31, 2020.
The effect of the reverse split was reducing the number of Shares outstanding and resulted in a proportionate increase in the NAV per Share of the Fund. Therefore, the reverse split did not change the aggregate value of a shareholder’s investment or the total market value of the shares outstanding.
The reverse split was applied retroactively for all periods presented in the financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The Fund prepares its financial statements in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and follows the significant accounting policies described below.
(a) Use of Estimates
Management makes certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
(b) Indemnification
In the normal course of business, the Fund may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
(c) Security Valuation
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities and Exchange-Traded Funds are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded. Securities regularly traded in an over the counter market are valued at the latest quoted sale price in such market or in the case of the New York Stock Exchange (“NYSE”), at the NYSE Official Closing Price. Such valuations are typically categorized as Level 1 in the fair value hierarchy. If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith using procedures adopted by the Trust’s Board of Trustees (the “Board”). Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include options, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
63
Notes to Financial Statements (continued)
April 30, 2020 (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. 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, 2020, is disclosed at the end of the Fund’s Schedule of Investments.
(e) Security Transactions, Investment Income and Return of Capital Estimates
Security transactions are accounted for on the trade date. Realized gains and losses on sales of investment securities are calculated using specific identification. Dividend income is recognized on the ex-dividend date. Expenses are recognized on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method.
The Fund invests in master limited partnerships (“MLPs”) which make distributions that are primarily attributable to return of capital. The Fund records investment income and return of capital in the Statement of Operations using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year ends.
The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts.
(f) Expenses
The Fund pays all of its expenses not assumed by Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) or Virtus ETF Advisers LLC (the “Adviser”). General Trust expenses that are allocated among and charged to the assets of the Fund and other series of the Trust are done so on a basis that the Board deems fair and equitable, which may be on a basis of relative net assets of the Fund and other series of the Trust or the nature of the services performed and relative applicability to the Fund and other series of the Trust.
(g) Short Sales
The Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund.
In accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities which is reported as “Interest Expense” on the Statement of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.
64
Notes to Financial Statements (continued)
April 30, 2020 (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.
3. INVESTMENT MANAGEMENT RELATED PARTIES AND OTHER AGREEMENTS
Investment Advisory Agreement
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Virtus ETF Advisers, LLC (the “Adviser”), an indirect wholly owned subsidiary of Virtus Investment Partners, Inc. (Ticker: VRTS) (together with its affiliates, “Virtus”). Pursuant to the Advisory Agreement, the Adviser has overall supervisory responsibility for the general management and investment of the Fund’s securities portfolio. For its services to the Fund, the Adviser is entitled to receive a fee, payable monthly, at an annual rate of 0.075% of the Fund’s average daily net assets, subject to a minimum annual fee of $25,000, paid by the Sub-Adviser as described below.
The Advisory Agreement may be terminated by the Trust on behalf of a Fund with the approval of a Fund’s Board or by a vote of the majority of a Fund’s shareholders. The Advisory Agreement may also be terminated by the Adviser by not more than 60 days’ nor less than 30 days’ written notice.
Sub-Advisory Agreement
Infrastructure Capital Advisors, LLC (the “Sub-Adviser”) provides investment advice and management services to the Fund. Pursuant to an investment sub-advisory agreement among the Trust, the Sub-Adviser and the Adviser, the Sub-Adviser is entitled to receive 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.
Affiliated Shareholders
At April 30, 2020, 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 | | 103,338 | | 1.6% |
65
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
4. CREATION AND REDEMPTION TRANSACTIONS
The Fund issues and redeems shares on a continuous basis at Net Asset Value (“NAV”) in groups of 50,000 shares called “Creation Units.” The Fund’s Creation Units may be issued and redeemed generally for cash or an in-kind deposit of securities held by the Fund. In each instance of cash creations or redemptions, the Trust may impose transaction fees based on transaction expenses related to the particular exchange that will be higher than the transaction fees associated with in-kind purchases or redemptions.
Only “Authorized Participants” who have entered into contractual arrangements with the Distributor may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
5. FEDERAL INCOME TAX
The Fund is taxed as a regular C-corporation for federal income tax purposes and as such is obligated to pay federal and applicable state and foreign corporate taxes on its taxable income. Currently, the federal income tax rate for a corporation is 21 percent. This treatment differs from most investment companies, which elect to be treated as “regulated investment companies” under the Code in order to avoid paying entity level income taxes. Under current law, the Fund is not eligible to elect treatment as a regulated investment company due to its investments primarily in MLPs invested in energy assets. The Fund expects that substantially all of the distributions it receives from MLPs may be treated as a tax-deferred return of capital, thus reducing the Fund’s current tax liability. However, the amount of taxes paid by the Fund will vary depending on the amount of income and gains derived from investments and/or sales of MLP interests and such taxes will reduce your return from an investment in the Fund.
Cash distributions from MLPs to the Fund that exceed the Fund’s allocable share of such MLP’s net taxable income are considered a tax deferred return of capital that will reduce the Fund’s adjusted tax basis in the equity securities of the MLP. These reductions in the Fund’s adjusted tax basis in the MLP equity securities will increase the amount of any taxable gain (or decrease the amount of any tax loss) recognized by the Fund on a subsequent sale of the securities. The Fund will accrue deferred income taxes for any future tax liability associated with (i) that portion of MLP distributions considered to be a tax-deferred return of capital as well as (ii) capital appreciation of its investments. Upon the sale of an MLP security, the Fund may be liable for previously deferred taxes. The Fund will rely to some extent on information provided by the MLPs, which is not necessarily timely, to estimate the deferred tax liability for purposes of financial statement reporting and determining the Fund’s NAV. From time to time, the Adviser will modify the estimates or assumptions related to the Fund’s deferred tax liability as new information becomes available. The Fund will generally compute deferred income taxes based on the federal income tax rate applicable to corporations and an assumed rate attributable to state taxes.
The Fund’s income tax expense/(benefit) consists of the following:
As of April 30, 2020 | | Current | | Deferred | | Total | |
Federal | | $— | | $(34,047,310 | ) | $(34,047,310 | ) |
State | | — | | (3,018,862 | ) | (3,018,862 | ) |
Valuation Allowance | | — | | 37,066,172 | | 37,066,172 | |
Total Tax Expense/(Benefit) | | $— | | $— | | $— | |
Components of the Fund’s deferred tax assets and liabilities are as follows:
| | As of | |
Deferred Tax Assets: | | | |
Net Operating Loss Carryforward | | $1,088,448 | |
Capital Loss Carryforward | | 55,833,744 | |
Net Unrealized Loss on Investment | | 15,090,090 | |
Other | | 322,011 | |
Total Deferred Tax Assets | | 72,334,293 | |
Less Valuation Allowance | | (72,334,293 | ) |
Net Deferred Tax Assets | | — | |
66
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
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. The Fund has a current capital loss carryforward of $ 244,220,735 of which $1,077,958 expires in 2021, $1,089,837 of which expires in 2023, $100,224,067 expires in 2024 and $141,828,873 expires in 2025. The Fund has a current net operating loss carryforward of $4,760,948 after expected utilization of $3,899,308 in the current period. The entirety of this NOL carryforward will expire in 2038. On March 27, 2020, the Coronavirus Aid, Relief, and Economic Stability Act (CARES Act) was signed into law. Prior to signing into law, net operating losses for tax years beginning after December 31, 2017 carryforward ability was governed by the Tax Cuts and Jobs Act (TCJA). The TCJA established a limitation for any net operating losses generated in tax years beginning after December 31, 2017 to the lesser of the aggregate of available net operating losses or 80% of taxable income before any net operating loss utilization. The CARES Act delays the application of the 80% net operating loss limitation to tax years ending October 31, 2022 and beyond. In addition, the CARES Act revised the TCJA language regarding carryforward periods from “NOLs arising in taxable years ending after December 31, 2017” to “NOLs arising in taxable year beginning after December 31, 2017”. Any net operating losses generated in fiscal years ending prior to December 31, 2018 can be carried back 2 years and carried forward 20 years, which is the case for the Fund’s NOL carryforwards.
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 | | $(34,166,903 | ) | 21.00 | % |
State Income Taxes (Net of Federal Benefit) | | (3,029,465 | ) | 1.86 | % |
Permanent Differences, Net | | (44,275 | ) | 0.03 | % |
Provision to Return Adjustment | | 174,471 | | (0.11 | )% |
Valuation Allowance | | 37,066,172 | | (22.78 | )% |
Net Income Tax Expense/(Benefit) | | $— | | — | % |
The Fund recognizes interest accrued related to unrecognized tax benefits and penalties as income tax expense. For the period from inception to April 30, 2020, 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. Currently, the tax years October 31, 2017 and October 31, 2018 are under examination with the Internal Revenue Service. The Fund’s tax years, October 31, 2017, October 31, 2018 and October 31, 2019, 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. 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 in the next 12 months.
The adjusted cost basis of investments and gross unrealized appreciation and depreciation of investments excluding written options and securities sold short, for federal income tax purposes were as follows:
Fund | | Federal Tax Cost | | Gross | | Gross | | Net Unrealized | |
InfraCap MLP ETF | | $212,608,347 | | $2,575,699 | | $(68,607,922 | ) | $(66,032,223 | ) |
67
Notes to Financial Statements (continued)
April 30, 2020 (unaudited)
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments), subscriptions in-kind and redemptions in-kind for the period ended April 30, 2020 were as follows:
Fund | | Purchases | | Sales | | Subscriptions | | Redemptions |
InfraCap MLP ETF | | $158,882,136 | | $281,291,875 | | $8,690,140 | | $— |
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, 2020, are:
Assets | | Equity Risk |
Investments* | | $640,750 |
Liabilities | | Equity Risk |
Written options, at value | | $45,830 |
*Purchased option contracts are included in Investments on the Statement of Assets and Liabilities.
Transactions in derivative instruments reflected on the Statement of Operations during the period were as follows:
Net Realized Gain (Loss) on: | | Equity Risk | |
Investments** | | $(2,877,537 | ) |
Written options | | 2,199,488 | |
**Purchased option contracts are included in Net Realized Gain (Loss) on Investments on the Statement of Operations.
Change in Net Unrealized Appreciation (Depreciation) on: | | Equity Risk | |
Investments*** | | $390,749 | |
Written options | | (215,389 | ) |
***Purchased option contracts are included in Change in Net Unrealized Appreciation (Depreciation) on Investments in the Statement of Operations.
For the period ended April 30, 2020, the monthly average market value of the purchased options and written options contracts held by the Fund were $334,126 and $(543,257), respectively.
68
Notes to Financial Statements (continued)
April 30, 2020 (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 Agreement are collateralized by investments of the Fund. If the Fund defaults with respect to any of its obligations under the Agreement, 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 Agreement, necessitating the sale of securities at potentially inopportune times. Interest is charged at the 3 Month LIBOR (London Interbank Offered Rate) plus an additional percentage rate on the amount borrowed. The Agreement has an on-demand commitment term. For the period ended April 30, 2020, the average daily borrowings under the Agreement and the daily average interest rate were $47,123,408 and 2.87%, 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.
Credit and Market Risk and Asset Concentration
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, 2020, 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 | | 52% | | 3 |
11. 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 other than those described below.
The recent global outbreak of COVID-19 has disrupted economic markets, and the economic impact, duration and spread of theCOVID-19 virus is uncertain at this time. The operational and financial performance of the issuers of securities in which the Fund invests may be significantly impacted by COVID-19, which may in turn impact the value of the Fund’s investments.
69
November 7, 2019 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 WMC Global Factor Opportunities ETF (“VGFO”)
(each, a “Fund” and collectively, the “Funds”)
On November 7, 2019, at an in-person meeting (the “Meeting”) at which all of the Trustees were present, 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 ETFis Series Trust I (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 of the Sub-Advisers 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 met in person 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, particularly with respect to the Trust’s exemptive order permitting the operation of the Funds as exchange-traded 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.
The investment management capabilities and experience of the Adviser. The Board evaluated the management experience of the Adviser, in light of the services it has provided to each Fund. In particular, the Board received information from the Adviser regarding, among other things, the Adviser’s experience in organizing, managing and overseeing the Funds and coordinating their operation and administration, and, with respect to the Virtus LifeSci Biotech Clinical Trials ETF and the Virtus LifeSci Biotech Products ETF, the Board received information regarding the Adviser’s performance (including tracking error) in implementing the strategies. The Board determined that the Adviser possessed adequate capabilities and experience for the management of each Fund.
The costs of the services provided and profits to be 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, and VGFO 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 for the
(1)The Sub-Advisers include Infrastructure Capital Advisors, LLC; Newfleet Asset Management, LLC; and Wellington Management Company LLP.
70
Approval of Advisory Agreements & Board Considerations (unaudited) (continued)
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 fee and total expense ratio of the Funds to the 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”). Following these comparisons and upon further consideration and discussion of the foregoing, the Board concluded that the fees to be 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, and VGFO are subject to a unified fee. The Board considered that the Funds have experienced benefits from the unified fee arrangement, and would continue to do so even after each Fund’s assets grow to a level where the Adviser and/or Sub-Adviser is no longer required to reimburse the Fund’s ordinary operating expenses in excess of the amount received by the Adviser and/or Sub-Adviser under the unified fee. Accordingly, the Board concluded that each Fund’s fee arrangement with the Adviser and Sub-Adviser would provide benefits through the unified fee structure, and that, at each Fund’s current and projected asset levels, each Fund’s arrangement with the Adviser would be appropriate.
The Board considered that NFLT currently experiences benefits from the capped fees pursuant to the expense limitation agreement. Accordingly, the Board concluded that, in light of the current AUM for each of the Funds, it was not necessary to consider economies of scale at this time.
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 the Funds.
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. 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.
The investment management capabilities and experience of the Sub-Advisers. The Board evaluated the investment management experience of the Sub-Advisers and experience of the Sub-Advisers in carrying out the day-to-day management of the respective Fund’s portfolio. In particular, the Board received information from each Sub-Adviser regarding the performance of its portfolio managers in implementing the investment strategies for the respective Fund. The Board discussed the investment objective and strategies for each Fund and each Sub-Adviser’s performance (including tracking error, if applicable) in implementing the strategies. The Board noted the above average distribution rate and use of leverage by AMZA. After consideration of these factors, the Board determined that each Sub-Adviser continued to be an appropriate sub-adviser to the respective Fund.
71
Approval of Advisory Agreements & Board Considerations (unaudited) (continued)
The costs of the services provided and profits to be 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 VGFO 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; the Sub-Advisers’ payment of startup costs for the Funds; and the overall projected 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. Following these comparisons and upon further consideration and discussion of the foregoing, the Board concluded that the fees to be 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 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 VGFO 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 Sub-Advisers are paying Fund expenses in excess of their sub-advisory fee. The Board considered that the applicable Funds would continue to experience such benefits even after each Fund’s assets grow to a level where the Sub-Adviser is no longer required to waive its sub-advisory fee or reimburse the Fund’s expenses in excess of the amount received by the Sub-Adviser under its Sub-Advisory Agreement. Accordingly, the Board concluded that, in light of the current AUM for each of the Funds, it was not necessary to consider economies of scale at this time.
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.
72
INFORMATION ABOUT PORTFOLIO HOLDINGS
The Funds file their complete schedule of portfolio holdings for their first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Form N-PORT. The Funds’ Form N-PORT are available without charge, upon request, by calling toll-free at (888) 383-0553. Furthermore, you may obtain the Form N-PORT on the SEC’s website at www.sec.gov. The Funds’ portfolio holdings are posted daily on the Funds’ website at www.virtusetfs.com.
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 Statement of Additional Information (“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(06/20)
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 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) | 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) | 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 9, 2020 |
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 9, 2020 |
By (Signature and Title)* | /s/ Brinton W. Frith |
Brinton W. Frith, Treasurer and Principal Financial Officer | |
(Principal Financial Officer) |
Date | July 9, 2020 |
* Print the name and title of each signing officer under his or her signature.