Schedule of Investments (Unaudited) December 31, 2023
Quadratic Interest Rate Volatility and Inflation Hedge ETF
Shares | Value | |||||||
EXCHANGE - TRADED FUND — 81.0% | ||||||||
Schwab US TIPS ETF ‡ | 14,432,753 | $ | 753,389,707 | |||||
TOTAL EXCHANGE - TRADED FUND (Cost $866,887,254) | 753,389,707 | |||||||
PURCHASED OPTIONS (A) — 14.6% | ||||||||
TOTAL PURCHASED OPTIONS (Cost $176,850,000) | 135,700,578 | |||||||
TOTAL INVESTMENTS — 95.6% (Cost $1,043,737,254) | 889,090,285 | |||||||
OTHER ASSETS LESS LIABILITIES – 4.4% | 41,182,070 | |||||||
NET ASSETS - 100% | $ | 930,272,355 |
‡ | For financial information on the Schwab US TIPS ETF, please go to the Commission’s website at http:// www.sec.gov. | |
(A) | Refer to option table below. |
A list of open option contracts held by the Fund as of December 31, 2023 was as follows:
Description | Counterparty | Number of Contracts ^ | Notional Amount † | Exercise Price | Expiration Date | Market Value | |||||||||||||
PURCHASED OPTIONS — 14.6% | |||||||||||||||||||
Call Options | |||||||||||||||||||
CMS 10Y - 2Y | Nomura | 500,000 | $ | 23,750,000 | 0.05 | % | 04/08/26 | $ | 28,069,019 | ||||||||||
CMS 10Y - 2Y | Morgan Stanley | 1,075,000 | $ | 36,850,000 | 0.30 | 11/13/24 | 25,695,890 | ||||||||||||
CMS 10Y - 2Y | Goldman Sachs | 350,000 | $ | 18,637,500 | 0.08 | 09/17/25 | 17,975,813 | ||||||||||||
CMS 10Y - 2Y | Morgan Stanley | 300,000 | $ | 13,837,500 | 0.10 | 07/15/26 | 16,358,987 | ||||||||||||
CMS 10Y - 2Y | Goldman Sachs | 300,000 | $ | 14,250,000 | 0.20 | 04/14/27 | 15,023,461 | ||||||||||||
CMS 10Y - 2Y | Goldman Sachs | 400,000 | $ | 18,200,000 | 0.27 | 03/13/25 | 13,482,600 | ||||||||||||
CMS 10Y - 2Y | Goldman Sachs | 1,550,000 | $ | 41,825,000 | 0.48 | 06/19/24 | 9,941,920 | ||||||||||||
CMS 10Y - 2Y | Morgan Stanley | 200,000 | $ | 9,500,000 | 0.28 | 12/09/26 | 9,152,888 | ||||||||||||
Total Purchased Options | $ | 176,850,000 | $ | 135,700,578 |
† | Represents cost. | |
^ | Value equals 10,000 x Number of Contracts x Market Price |
See “Glossary” for abbreviations.
KRS-QH-015-1000
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Schedule of Investments (Unaudited) December 31, 2023
Quadratic Deflation ETF
Shares | Value | |||||||
EXCHANGE - TRADED FUND — 79.3% | ||||||||
Vanguard Long-Term Treasury ETF ‡ | 771,374 | $ | 47,462,642 | |||||
TOTAL EXCHANGE - TRADED FUND (Cost $58,343,004) | 47,462,642 | |||||||
PURCHASED OPTIONS (A) — 7.0% | ||||||||
TOTAL PURCHASED OPTIONS (Cost $5,903,500) | 4,164,238 | |||||||
TOTAL INVESTMENTS — 86.3% (Cost $64,246,504) | 51,626,880 | |||||||
OTHER ASSETS LESS LIABILITIES – 13.7% | 8,202,275 | |||||||
NET ASSETS - 100% | $ | 59,829,155 |
‡ | For financial information on the Vanguard Long-Term Treasury ETF, please go to the Commission’s website at http://www.sec.gov. |
(A) | Refer to option table below. |
A list of open option contracts held by the Fund as of December 31, 2023 was as follows:
Description | Counterparty | Number of Contracts ^ | Notional Amount † | Exercise Price | Expiration Date | Market Value | |||||||||||||||
PURCHASED OPTIONS — 7.0% | |||||||||||||||||||||
Put Options | |||||||||||||||||||||
CMS 30Y – 2Y | Nomura | 45,000 | $ | 2,475,000 | 0.05 | % | 07/15/25 | $ | 1,796,732 | ||||||||||||
CMS 30Y – 2Y | Goldman Sachs | 20,000 | $ | 990,000 | 0.20 | 12/03/25 | 947,954 | ||||||||||||||
CMS 30Y – 2Y | Goldman Sachs | 18,000 | $ | 918,000 | 0.00 | 09/24/24 | 734,074 | ||||||||||||||
CMS 30Y – 2Y | Goldman Sachs | 15,000 | $ | 843,000 | (0.30 | ) | 03/12/25 | 397,826 | |||||||||||||
CMS 30Y – 2Y | Nomura | 20,000 | $ | 677,500 | (0.65 | ) | 05/07/24 | 287,652 | |||||||||||||
Total Purchased Options | $ | 5,903,500 | $ | 4,164,238 |
† | Represents cost. | |
^ | Value equals 10,000 x Number of Contracts x Price |
See “Glossary” for abbreviations.
KRS-QH-031-0500
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Schedule of Investments (Unaudited) December 31, 2023
Glossary (abbreviations used in preceding Schedule of Investments):
Fund Abbreviations
CMS — Constant Maturity Swap
ETF — Exchange-Traded Fund
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