FolioBeyond Rising Rates ETF | |||||||
SCHEDULE OF INVESTMENTS at October 31, 2022 (Unaudited) | |||||||
Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES (1) - 93.9% | |||||||
Federal Home Loan Mortgage Corporation REMICS | |||||||
3.500%, 4/25/36 | $ | 6,716,882 | $ | 788,527 | |||
4.000%, 5/25/40 | 5,073,363 | 811,013 | |||||
3.500%, 8/25/48 | 4,114,244 | 537,519 | |||||
4.000%, 1/25/49 | 6,265,878 | 1,228,282 | |||||
4.500%, 2/25/49 | 4,661,318 | 940,302 | |||||
4.000%, 6/25/49 | 1,230,576 | 232,608 | |||||
4.500%, 10/25/49 | 5,320,027 | 1,068,728 | |||||
3.000%, 3/25/50 | 1,426,448 | 231,230 | |||||
4.000%, 4/25/50 | 5,080,601 | 1,044,260 | |||||
4.000%, 8/25/50 | 2,450,044 | 482,323 | |||||
4.500%, 10/25/50 | 4,838,200 | 975,490 | |||||
5.500%, 10/25/50 | 4,729,224 | 1,104,737 | |||||
3.000%, 11/25/50 | 13,679,990 | 2,216,255 | |||||
4.500%, 12/25/50 | 5,876,840 | 1,321,904 | |||||
3.500%, 2/25/51 | 5,108,193 | 940,574 | |||||
3.000%, 3/25/51 | 4,492,397 | 719,096 | |||||
4.500%, 4/25/51 | 10,010,369 | 2,203,851 | |||||
2.500%, 5/25/51 | 8,101,654 | 1,192,757 | |||||
4.000%, 5/25/51 | 11,642,237 | 2,593,430 | |||||
4.000%, 5/25/51 | 9,976,967 | 1,952,891 | |||||
3.000%, 6/25/51 | 2,789,976 | 417,291 | |||||
4.000%, 7/25/51 | 2,407,058 | 462,299 | |||||
3.000%, 9/25/51 | 2,044,071 | 327,277 | |||||
4.000%, 11/25/51 | 4,842,876 | 982,178 | |||||
3.000%, 1/25/52 | 19,705,153 | 2,767,289 | |||||
Federal National Mortgage Association REMICS | |||||||
3.500%, 5/25/41 | 1,356,917 | 197,917 | |||||
4.500%, 2/25/48 | 5,275,103 | 1,122,142 | |||||
4.500%, 3/25/48 | 4,781,101 | 754,912 | |||||
4.000%, 8/25/48 | 1,985,557 | 385,675 | |||||
2.500%, 10/25/48 | 6,827,038 | 948,641 | |||||
4.000%, 7/25/49 | 9,026,924 | 1,668,823 | |||||
3.500%, 2/25/50 | 1,913,826 | 308,884 | |||||
3.500%, 4/25/50 | 4,537,593 | 802,979 | |||||
3.500%, 4/25/50 | 2,776,426 | 497,509 | |||||
4.500%, 6/25/50 | 10,342,858 | 2,271,339 | |||||
4.000%, 7/25/50 | 2,345,694 | 464,631 | |||||
4.000%, 11/25/50 | 11,583,389 | 2,286,947 | |||||
4.500%, 1/25/51 | 11,899,000 | 2,928,660 | |||||
4.000%, 2/25/51 | 1,820,613 | 370,028 | |||||
4.000%, 5/25/51 | 23,889,193 | 4,671,309 | |||||
3.500%, 6/25/51 | 4,322,244 | 780,266 | |||||
3.500%, 10/25/51 | 11,813,786 | 2,135,219 | |||||
3.000%, 11/25/51 | 3,522,700 | 505,128 | |||||
3.500%, 11/25/51 | 1,226,990 | 215,774 | |||||
Government National Mortgage Association | |||||||
3.000%, 11/20/46 | 16,806,065 | 2,259,777 | |||||
3.500%, 11/20/48 | 5,569,020 | 908,085 | |||||
4.000%, 11/20/47 | 7,610,407 | 1,033,988 | |||||
4.500%, 2/20/49 | 5,371,733 | 1,049,665 | |||||
3.500%, 6/20/49 | 6,552,202 | 934,925 | |||||
4.000%, 1/20/50 | 6,525,899 | 807,571 | |||||
4.500%, 1/20/50 | 9,498,340 | 1,740,962 | |||||
5.000%, 2/20/50 | 847,409 | 158,834 | |||||
3.000%, 6/20/50 | 11,149,349 | 1,683,988 | |||||
3.500%, 6/20/50 | 11,017,171 | 1,814,811 | |||||
4.500%, 10/20/50 | 9,948,266 | 1,994,986 | |||||
2.500%, 11/20/50 | 10,851,734 | 725,710 | |||||
4.000%, 11/20/50 | 8,860,577 | 1,650,832 | |||||
4.000%, 12/20/50 | 1,100,069 | 202,287 | |||||
4.000%, 1/20/51 | 18,933,607 | 3,544,812 | |||||
3.500%, 4/20/51 | 5,285,705 | 833,817 | |||||
3.500%, 4/20/51 | 7,556,190 | 1,130,527 | |||||
3.500%, 7/20/51 | 22,159,974 | 3,575,483 | |||||
3.500%, 9/20/51 | 2,707,744 | 464,544 | |||||
4.500%, 9/20/51 | 2,611,946 | 365,062 | |||||
3.500%, 1/20/52 | 24,119,181 | 3,383,299 | |||||
TOTAL MORTGAGE-BACKED SECURITIES | |||||||
(Cost $75,126,613) | 81,122,859 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS - 5.2% | |||||||
Money Market Funds: 5.2% | |||||||
First American Government Obligations Fund, Class X, 2.924% (2) | 4,486,986 | 4,486,986 | |||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Cost $4,486,986) | 4,486,986 | ||||||
TOTAL INVESTMENTS IN SECURITIES: 99.1% | |||||||
(Cost $79,613,599) | 85,609,845 | ||||||
Other Assets in Excess of Liabilities: 0.9% | 771,354 | ||||||
TOTAL NET ASSETS: 100.0% | $ | 86,381,199 |
(1) | Represents an interest-only security that entitles holders to receive only interest payments on underlying mortgages. | ||||
(2) | The rate shown is the annualized seven-day effective yield as of October 31, 2022. |
Summary of Fair Value Exposure at October 31, 2022 (Unaudited) |
The FolioBeyond Rising Rates ETF (the “Fund”) utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: |
• 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 instruments, interest rates, prepayment spreads, 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 following is a summary of the inputs used to value the Fund’s investments as of October 31, 2022: |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Mortgage-Backed Securities | $ | - | $ | 81,122,859 | $ | - | $ | 81,122,859 | |||||||
Short-Term Investments | 4,486,986 | - | - | 4,486,986 | |||||||||||
Total Investments in Securities | $ | 4,486,986 | $ | 81,122,859 | $ | - | $ | 85,609,845 |