CBOE VEST BITCOIN TARGET VOLATILITY STRATEGY FUND
Consolidated Schedule of Investments | July 31, 2023 (unaudited) | ||||
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| Shares |
| Fair Value |
78.48% | MONEY MARKET FUND |
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| Federated Treasury Obligations Fund - |
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| Institutional Class 5.13%(1) . . . . . . . | 1,044,662 | $ | 1,044,662 | |
78.48% | TOTAL MONEY MARKET FUND . . . . . . . | . . . . . |
| 1,044,662 | |
78.48% | TOTAL INVESTMENTS . . . . . . . . . . . | . . . . . |
| 1,044,662 | |
21.52% | Other assets, net of liabilities . . . . . . . . | . . . . . . |
| 286,503 | |
100.00% | NET ASSETS . . . . . . . . . . . . . . . | . . . . . . | $ | 1,331,165 | |
(1)Effective 7 day yield as of July 31, 2023.
CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS
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| Value at |
| Unrealized | |
| Number of | Descriptions | Expiration | Notional | July 31, | Appreciation | ||
| Contracts | Date | Value | 2023 | (Depreciation) | |||
-1.98% | 15 | CME Bitcoin |
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| Future(2) | 8/31/2023 | $465,675 | $439,275 | $ | (26,400) | |
-0.17% | 5 | CME Bitcoin |
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| Future(2) | 9/30/2023 | $150,195 | $147,900 | $ | (2,295) | |
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-2.15% | TOTAL FUTURES CONTRACTS . . . | $615,870 | $587,175 | $ | (28,695) | |||
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(2)All or a portion of this investment is a holding of the Cboe Vest Cayman Subsidiary I.
In accordance with U.S. GAAP, “fair value” is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. Various inputs are used in determining the value of a Fund’s investments. U.S. GAAP established a three-tier hierarchy of inputs to establish a classification of fair value measurements for disclosure purposes. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
1
QUARTERLY REPORT
CBOE VEST BITCOIN TARGET VOLATILITY STRATEGY FUND
Schedule of Investments - continued | July 31, 2023 (unaudited) |
The following is a summary of the inputs used to value the Fund’s investments as of July 31, 2023:
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| Level 1 |
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| Level 2 |
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| Level 3 |
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| Other |
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| Significant |
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| Significant |
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| Quoted |
| Observable |
| Unobservable |
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| Prices |
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| Inputs |
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| Inputs | Total |
MONEY MARKET . . . . . . . | $ | 1,044,662 | $ | — | $ | — | 1,044,662 | ||
TOTAL INVESTMENTS . . . . . | $ | 1,044,662 | $ | — | $ | — | 1,044,662 | ||
FUTURE CONTRACTS . . . . . |
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$ | — | $ | 587,175 | $ | — | $ 587,175 | |||
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The Fund held no Level 3 securities at any time during the period.
There were no transfers into or out of Levels 1 and 2 during the period ended July 31, 2023.
At July 31, 2023 the cost of investments for Federal income tax purposes has been estimated since the final tax characteristics cannot be determined until fiscal year end. Cost of securities for Federal income tax purpose is $615,870 and the related tax-based net unrealized appreciation (depreciation) consists of:
Gross unrealized appreciation . . . .
Gross unrealized depreciation . . . .
Net unrealized depreciation . . . . .
$ — (28,695)
$ (28,695)
2
QUARTERLY REPORT