Ionic Inflation Protection ETF | |||||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited) | |||||||||
Principal Amount | Value | ||||||||
United States Treasury Obligations - 91.4% | |||||||||
United States Treasury Inflation Indexed Notes - 91.4% | |||||||||
01/15/2024 0.625% | $ | 1,122,810 | $ | 1,100,852 | |||||
04/15/2024 0.500% | 1,133,203 | 1,104,871 | |||||||
07/15/2024 0.125% | 1,128,429 | 1,095,409 | |||||||
10/15/2024 0.125% | 1,137,163 | 1,100,745 | |||||||
01/15/2025 0.250% | 1,156,385 | 1,115,088 | |||||||
04/15/2025 0.125% | 1,152,570 | 1,104,682 | |||||||
07/15/2025 0.375% | 1,129,860 | 1,092,455 | |||||||
10/15/2025 0.125% (1) | 1,147,380 | 1,099,881 | |||||||
8,813,983 | |||||||||
Total United States Treasury Obligations | |||||||||
(Cost $8,935,851) | 8,813,983 | ||||||||
Notional Amount | |||||||||
Purchased Options - 2.1% | |||||||||
Interest Rate Swaptions - 2.1% | |||||||||
5-Year Interest Rate Swap, 12-Month USD-SOFR, Receive Floating Rate | 20,000,000 | 207,520 | |||||||
Expiration: January 3, 2025; Exercise Rate: 3.900% | |||||||||
Total Purchased Options | 207,520 | ||||||||
(Cost $169,000) | |||||||||
Short-Term Investments - 5.7% | Shares | ||||||||
Money Market Funds - 5.7% | |||||||||
First American Government Obligations Fund, Class X, 4.140% (1) (2) | 548,552 | 548,552 | |||||||
Total Short-Term Investments | |||||||||
(Cost $548,552) | 548,552 | ||||||||
Total Investments in Securities - 99.2% | |||||||||
(Cost $9,653,403) | 9,570,055 | ||||||||
Other Assets in Excess of Liabilities - 0.8% | 77,386 | ||||||||
Total Net Assets - 100.0% | $ | 9,647,441 | |||||||
SOFR | Secured Overnight Financing Rate | ||||||||
(1) All or a portion of the investment is a holding of Ionic Cayman Subsidiary. | |||||||||
(2) The rate shown is the annualized seven-day effective yield as of January 31, 2023. |
Ionic Inflation Protection ETF | |||||||||||||||||||||
CONSOLIDATED SCHEDULE OF INTEREST RATE SWAPS at January 31, 2023 (Unaudited) | |||||||||||||||||||||
Reference Entity | Counterparty | Long/Short | Expiration Date | Financing Rate | Payment Frequency | Notional Amount | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. CPI Urban Consumers Index (1) | LCH | Long | 7/5/2027 | 2.890% | Once At Maturity | $ | 10,000,000 | $ | (47,728 | ) | $ | 12,659 | $ | (60,387 | ) | ||||||
$ | (60,387 | ) | |||||||||||||||||||
(1) All or a portion of the investment is a holding of Ionic Cayman Subsidiary. |
Summary of Fair Value Exposure at January 31, 2023 (Unaudited) | ||||
The Ionic Inflation Protection 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 and other financial instruments as of January 31, 2023: |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
United States Treasury Inflation Indexed Notes | $ | - | $ | 8,813,983 | $ | - | $ | 8,813,983 | ||||||||
Interest Rate Swaptions | $ | - | $ | 207,520 | $ | - | $ | 207,520 | ||||||||
Money Market Fund | $ | 548,552 | $ | - | $ | - | $ | 548,552 | ||||||||
Total Investments in Securities | $ | 548,552 | $ | 9,021,503 | $ | - | $ | 9,570,055 | ||||||||
(1) See Schedule of Investment for the industry breakout. | ||||||||||||||||
Other Financial Instruments (1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Interest Rate Swaps | $ | - | $ | (60,387 | ) | $ | - | $ | (60,387 | ) | ||||||
Total Other Financials Instruments | $ | - | $ | (60,387 | ) | $ | - | $ | (60,387 | ) | ||||||
(1) Other Financial Instruments are interest rate swap agreements not reflected in the Schedule of Invesments, which are reflected at value. | ||||||||||||||||
(2) Valued at it’s unrealized gain (loss). |