NPORT-EX 2 foliobeyond.htm FOLIOBEYOND ETF - 04/30/23 PART F

FolioBeyond Rising Rates ETF
  
   
SCHEDULE OF INVESTMENTS at April 30, 2023 (Unaudited)
  
   
 
  
Principal Amount
    
Value
  
MORTGAGE BACKED SECURITIES (1) - 105.8%
            
Federal Home Loan Mortgage Corporation REMICS - 37.0%
            
2.500%, 5/25/51
  
$
7,859,302
    
$
1,168,531
  
3.000%, 11/25/50
    
13,111,354
      
2,134,663
  
3.000%, 3/25/50
    
1,370,433
      
231,121
  
3.000%, 3/25/51
    
4,260,285
      
702,986
  
3.000%, 6/25/51
    
2,663,302
      
398,123
  
3.000%, 9/25/51
    
1,963,026
      
314,039
  
3.500%, 2/25/51
    
4,885,468
      
893,980
  
3.500%, 4/25/36
    
6,044,033
      
649,586
  
3.500%, 8/25/48
    
3,874,665
      
492,721
  
4.000%, 1/25/49
    
5,906,125
      
1,162,698
  
4.000%, 11/25/51
    
4,544,110
      
923,287
  
4.000%, 4/25/50
    
4,907,670
      
1,003,975
  
4.000%, 5/25/40
    
4,748,128
      
739,258
  
4.000%, 5/25/51
    
11,202,696
      
2,448,301
  
4.000%, 6/25/49
    
1,169,693
      
217,915
  
4.000%, 8/25/50
    
2,332,742
      
465,226
  
4.500%, 10/25/49
    
4,956,197
      
1,058,954
  
4.500%, 10/25/50
    
4,107,163
      
829,001
  
4.500%, 12/25/50
    
5,642,111
      
1,318,926
  
4.500%, 2/25/49
    
4,334,878
      
848,572
  
4.500%, 4/25/51
    
9,456,965
      
2,033,195
  
5.000%, 7/25/47
    
3,569,233
      
423,156
  
5.500%, 10/25/50
    
4,381,312
      
990,451
  
             
21,448,665
  
Federal Home Loan Mortgage Corporation Strips - 0.9%
                
4.500%, 9/15/48
    
2,832,709
      
535,313
  
                 
Federal National Mortgage Association REMICS - 32.9%
                
2.500%, 10/25/48
    
6,429,602
      
870,369
  
3.000%, 11/25/51
    
3,340,403
      
464,329
  
3.500%, 11/25/51
    
1,164,657
      
206,326
  
3.500%, 2/25/50
    
1,814,030
      
292,741
  
3.500%, 4/25/50
    
2,639,608
      
472,499
  
3.500%, 5/25/41
    
1,284,636
      
191,319
  
3.500%, 6/25/51
    
4,123,742
      
747,892
  
4.000%, 11/25/50
    
11,010,713
      
2,135,043
  
4.000%, 2/25/51
    
1,738,370
      
355,142
  
4.000%, 5/25/51
    
22,656,155
      
4,526,727
  
4.000%, 7/25/49
    
8,468,320
      
1,556,651
  
4.000%, 7/25/50
    
2,198,602
      
437,457
  
4.000%, 8/25/48
    
1,873,932
      
356,019
  
4.500%, 1/25/51
    
11,255,636
      
2,746,584
  
4.500%, 2/25/48
    
4,737,177
      
984,155
  
4.500%, 3/25/48
    
4,373,182
      
654,490
  
4.500%, 6/25/50
    
9,684,087
      
2,096,302
  
             
19,094,045
  
Government National Mortgage Association - 35.0%
                
2.500%, 11/20/50
    
9,882,210
      
604,759
  
3.000%, 11/20/46
    
15,660,715
      
2,046,748
  
3.500%, 1/20/52
    
22,917,716
      
3,132,109
  
3.500%, 11/20/48
    
5,122,128
      
825,780
  
3.500%, 4/20/51
    
5,098,608
      
807,683
  
3.500%, 6/20/49
    
6,275,639
      
869,403
  
3.500%, 9/20/51
    
2,625,212
      
462,793
  
4.000%, 1/20/50
    
6,036,994
      
637,421
  
4.000%, 11/20/47
    
7,018,088
      
867,636
  
4.000%, 11/20/50
    
8,612,106
      
1,617,821
  
4.000%, 12/20/50
    
1,050,314
      
189,080
  
4.500%, 1/20/50
    
9,194,829
      
1,685,916
  
4.500%, 10/20/50
    
9,494,058
      
1,924,935
  
4.500%, 2/20/49
    
4,705,332
      
897,464
  
4.500%, 4/20/50
    
21,290,758
      
3,282,733
  
4.500%, 9/20/51
    
2,472,454
      
303,237
  
5.000%, 2/20/50
    
752,639
      
141,613
  
             
20,297,131
  
TOTAL MORTGAGE BACKED SECURITIES
                
(Cost $56,739,088)
            
61,375,154
  
                 
                 
 
  
Shares
          
SHORT-TERM INVESTMENTS - 0.0% (3)
                
Money Market Funds - 0.0% (3)
                
First American Government Obligations Fund - Class X, 4.725% (2)
    
838
      
838
  
TOTAL SHORT-TERM INVESTMENTS
                
(Cost $838)
            
838
  
                 
TOTAL INVESTMENTS IN SECURITIES - 105.8%
                
(Cost $56,739,926)
            
61,375,992
  
Liabilities in Excess of Other Assets - (5.8)%
            
(3,380,720
)
TOTAL NET ASSETS - 100.0%
          
$
57,995,272
  

 
(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 April 30, 2023.
      
 
(3) 
Does not round to 0.1% or (0.1)%, as applicable.
      

 
Summary of Fair Value Exposure at April 30, 2023 (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 April 30, 2023:

Investments in Securities
  
Level 1
    
Level 2
    
Level 3
    
Total
Mortgage-Backed Securities
  
$
-
    
$
61,375,154
    
$
-
    
$
61,375,154
Short-Term Investments
    
838
      
-
      
-
      
838
Total Investments in Securities
  
$
838
    
$
61,375,154
    
$
-
    
$
61,375,992