Roundhill BIG Bank ETF | ||||||||
Schedule of Investments | ||||||||
September 30, 2023 (Unaudited) | ||||||||
Shares | Value | |||||||
COMMON STOCKS — 16.5% | ||||||||
Banks — 16.5% | ||||||||
Bank of America Corp. | 6,204 | $ | 169,865 | |||||
Citigroup, Inc. | 4,151 | 170,731 | ||||||
Goldman Sachs Group, Inc. | 373 | 120,692 | ||||||
JPMorgan Chase & Co. | 591 | 85,707 | ||||||
Morgan Stanley | 2,097 | 171,262 | ||||||
Wells Fargo & Co. | 3,533 | 144,358 | ||||||
TOTAL COMMON STOCKS (Cost $899,670) | 862,615 | |||||||
SHORT-TERM INVESTMENTS - 96.4% | ||||||||
Money Market Fund — 15.3% | ||||||||
First American Government Obligations Fund, Class X, 5.26% (a) | 797,396 | 797,396 | ||||||
Total Money Market Fund (Cost $797,396) | 797,396 | |||||||
U.S. Treasury Bills — 81.1% | ||||||||
5.41%, 10/03/2023 (b)(c) | 4,241,000 | 4,239,759 | ||||||
Total U.S. Treasury Bills (Cost $4,239,759) | 4,239,759 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,037,155) | 5,037,155 | |||||||
TOTAL INVESTMENTS (Cost $5,936,825) — 112.9% | 5,899,770 | |||||||
Other assets and liabilities, net — (12.9)% | (676,036 | ) | ||||||
NET ASSETS — 100.0% | $ | 5,223,734 |
(a) | The rate shown is the seven day yield at period end. | ||||||||
(b) | The rate shown is the effective yield as of September 30, 2023. | ||||||||
(c) | Held as collateral for total return swaps. | ||||||||
Percentages are stated as a percent of net assets. | |||||||||
Percentage of Net Assets | |||||||||
COMMON STOCKS | 16.5% | ||||||||
SHORT-TERM INVESTMENTS | 96.4% | ||||||||
TOTAL INVESTMENTS | 112.9% | ||||||||
Other assets and liabilities, net | -12.9% | ||||||||
NET ASSETS | 100.0% |
Roundhill BIG Bank ETF | ||||||||
Schedule of Total Return Swaps | ||||||||
September 30, 2023 (Unaudited) |
Long Total Return Equity Swaps | Fund Pays/Receives Reference Entity | Counterparty | Payment Frequency | Financing Rate | Expiration Date | Upfront Premiums Paid/Received | Notional Amount | Value/Unrealized Appreciation (Depreciation) | |||||||||
Bank of America Corp. Swap | Receives | Nomura Securities International, Inc. | At Maturity | Overnight Bank Funding Rate Index + 0.50% | April 2, 2024 | $ | - | $ | 699,659 | $ | (12,120 | ) | |||||
Citigroup, Inc. Swap | Receives | Nomura Securities International, Inc. | At Maturity | Overnight Bank Funding Rate Index + 0.50% | April 2, 2024 | - | 746,285 | (55,507 | ) | ||||||||
Goldman Sachs Group, Inc. Swap | Receives | Nomura Securities International, Inc. | At Maturity | Overnight Bank Funding Rate Index + 0.50% | April 2, 2024 | - | 723,625 | 14,762 | |||||||||
JPMorgan Chase & Co. Swap | Receives | Nomura Securities International, Inc. | At Maturity | Overnight Bank Funding Rate Index + 0.50% | April 2, 2024 | - | 683,227 | 79,143 | |||||||||
Morgan Stanley Swap | Receives | Nomura Securities International, Inc. | At Maturity | Overnight Bank Funding Rate Index + 0.50% | April 2, 2024 | - | 720,583 | (34,228 | ) | ||||||||
Wells Fargo & Co. Swap | Receives | Nomura Securities International, Inc. | At Maturity | Overnight Bank Funding Rate Index + 0.50% | April 2, 2024 | - | 669,942 | 47,601 | |||||||||
$ | - | $ | 4,243,321 | $ | 39,651 |
Fair Value Measurements | |||||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. | |||||||||
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 and credit risk). Level 3 includes significant | |||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the | |||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. | |||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3. | |||||||||
The following is a summary of the inputs used to value the Fund’s investments carried at fair value as of September 30, 2023: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Common Stocks* | $ | 862,615 | $ | - | $ | - | $ | 862,615 | ||||||||
Money Market Fund | 797,396 | - | - | 797,396 | ||||||||||||
U.S. Treasury Bills | - | 4,239,759 | - | 4,239,759 | ||||||||||||
Total Investments - Assets | $ | 1,660,011 | $ | 4,239,759 | $ | - | $ | 5,899,770 | ||||||||
Swap Contracts^ | ||||||||||||||||
Long Total Return Equity Swap Contracts | $ | 39,651 | $ | - | $ | - | $ | 39,651 | ||||||||
Total Swap Contracts | $ | 39,651 | $ | - | $ | - | $ | 39,651 | ||||||||
* See the Schedule of Investments for industry classifications. | ||||||||||||||||
^ Swap contracts are derivative instruments, which are presented at the unrealized appreciation/depreciation on the instrument. |