|
FolioBeyond Alternative Income and Interest Rate Hedge ETF
|
||||||||
|
Schedule of Investments
|
||||||||
|
as of April 30, 2024 (Unaudited)
|
||||||||
|
COLLATERALIZED MORTGAGE OBLIGATIONS(a) - 99.6%
|
Par
|
Value
|
||||||
|
Federal Home Loan Mortgage Corporation REMICS
|
||||||||
|
Series 4591, Class QI, 3.50%, 04/15/2046
|
$
|
2,893,934
|
$
|
447,724
|
||||
|
Series 4912, Class PI, 4.00%, 06/25/2049
|
1,081,948
|
218,271
|
||||||
|
Series 4998, Class GI, 4.00%, 08/25/2050
|
2,095,258
|
436,243
|
||||||
|
Series 5018, Class IN, 5.50%, 10/25/2050
|
3,745,273
|
1,019,185
|
||||||
|
Series 5023, Class IB, 4.50%, 10/25/2050
|
3,922,170
|
860,116
|
||||||
|
Series 5070, Class IH, 3.50%, 02/25/2051
|
4,395,835
|
873,251
|
||||||
|
Series 5086, Class BI, 3.00%, 03/25/2051
|
3,895,148
|
651,419
|
||||||
|
Series 5094, Class CI, 3.50%, 04/25/2036
|
5,098,600
|
522,414
|
||||||
|
Series 5100, Class GI, 2.50%, 05/25/2051
|
7,326,723
|
1,133,942
|
||||||
|
Series 5102, Class MI, 4.50%, 04/25/2051
|
7,650,200
|
1,778,553
|
||||||
|
Series 5115, Class IK, 4.50%, 12/25/2050
|
5,082,421
|
1,313,809
|
||||||
|
Series 5145, Class IH, 3.00%, 09/25/2051
|
1,842,730
|
304,132
|
||||||
|
Series 5159, Class BI, 3.00%, 03/25/2050
|
1,260,795
|
214,350
|
||||||
|
Series 5162, Class CI, 3.00%, 11/25/2050
|
11,966,913
|
2,010,484
|
||||||
|
Series 5169, Class IY, 4.00%, 01/25/2049
|
5,297,456
|
1,135,817
|
||||||
|
Series 5205, Class PI, 3.00%, 03/25/2052
|
10,421,185
|
1,161,408
|
||||||
|
Series 5227, Class BI, 3.50%, 08/25/2048
|
3,410,784
|
474,408
|
||||||
|
Series 5228, Class DI, 4.50%, 01/25/2046
|
7,775,958
|
1,215,613
|
||||||
|
Series 5236, Class UI, 4.00%, 12/15/2047
|
11,779,727
|
1,880,936
|
||||||
|
Series 5267, Class GI, 5.00%, 07/25/2047
|
3,209,234
|
485,860
|
||||||
|
Series 5274, Class PI, 5.50%, 02/25/2044
|
2,971,601
|
541,695
|
||||||
|
Federal Home Loan Mortgage Corporation Strips, Series 363, Class C18, Pool S1-5439, 4.50%, 09/15/2048
|
2,456,588
|
487,286
|
||||||
|
Federal National Mortgage Association REMICS
|
||||||||
|
Series 2018-1, Class IY, 4.50%, 02/25/2048
|
4,141,074
|
955,905
|
||||||
|
Series 2018-56, Class IO, 4.00%, 08/25/2048
|
1,703,398
|
351,693
|
||||||
|
Series 2020-20, Class GI, 3.50%, 04/25/2050
|
2,387,219
|
430,915
|
||||||
|
Series 2020-44, Class AI, 4.00%, 07/25/2050
|
1,964,646
|
404,030
|
||||||
|
Series 2020-78, Class KI, 4.00%, 07/25/2049
|
7,666,200
|
1,545,571
|
||||||
|
Series 2020-8, Class CI, 3.50%, 02/25/2050
|
1,635,021
|
288,831
|
||||||
|
Series 2021-17, Class IG, 4.00%, 02/25/2051
|
1,524,077
|
325,660
|
||||||
|
Series 2021-26, Class EI, 3.50%, 05/25/2041
|
1,144,541
|
155,314
|
||||||
|
Series 2021-30, Class NI, 4.50%, 03/25/2048
|
3,738,938
|
581,513
|
||||||
|
Series 2021-36, Class HI, 3.50%, 06/25/2051
|
3,698,183
|
730,177
|
||||||
|
Series 2021-73, Class EI, 3.50%, 11/25/2051
|
1,062,468
|
196,078
|
||||||
|
Series 2021-79, Class LI, 3.00%, 11/25/2051
|
3,086,589
|
480,004
|
||||||
|
Series 2022-87, Class BI, 5.50%, 11/25/2048
|
1,561,311
|
251,893
|
||||||
|
Government National Mortgage Association
|
||||||||
|
Series 11/20/2050, Class IC, 2.50%, 11/20/2050
|
5,220,144
|
303,550
|
||||||
|
Series 2019-151, Class DI, 3.50%, 11/20/2048
|
4,640,900
|
744,970
|
||||||
|
Series 2020-1, Class PI, 4.50%, 01/20/2050(b)
|
8,561,738
|
1,812,092
|
||||||
|
Series 2020-104, Class PI, 4.00%, 12/20/2049
|
3,216,092
|
552,393
|
||||||
|
Series 2020-151, Class QI, 4.50%, 10/20/2050
|
8,370,989
|
1,798,669
|
||||||
|
Series 2020-167, Class EI, 4.50%, 02/20/2049
|
3,757,945
|
789,402
|
||||||
|
Series 2020-167, Class ID, 4.00%, 11/20/2050
|
7,890,365
|
1,542,513
|
||||||
|
Series 2020-17, Class BI, 5.00%, 02/20/2050
|
602,502
|
131,552
|
||||||
|
Series 2020-191, Class UE, 4.00%, 12/20/2050
|
952,142
|
192,572
|
||||||
|
Series 2020-51, Class EI, 4.50%, 01/20/2050
|
3,712,295
|
757,412
|
||||||
|
Series 2021-161, Class IC, 4.50%, 09/20/2051
|
2,260,402
|
373,589
|
||||||
|
Series 2021-161, Class XI, 3.50%, 09/20/2051
|
2,385,347
|
449,694
|
||||||
|
Series 2021-58, Class EI, 3.50%, 04/20/2051(b)
|
4,714,683
|
844,293
|
||||||
|
Series 2022-218, Class EI, 5.50%, 12/20/2050
|
9,980,456
|
1,961,697
|
||||||
|
Series 2022-34, Class TI, 3.50%, 06/20/2049
|
5,735,427
|
934,454
|
||||||
|
Series 2022-6, Class PI, 3.50%, 01/20/2052
|
20,388,054
|
3,191,021
|
||||||
|
Series 2022-61, Class GI, 3.00%, 11/20/2046
|
13,673,821
|
1,814,110
|
||||||
|
Series 2022-65, Class HI, 4.00%, 01/20/2050
|
5,405,551
|
844,343
|
||||||
|
Series 2022-81, Class GI, 3.50%, 03/20/2052
|
42,346,546
|
5,421,424
|
||||||
|
Series 2022-90, Class QI, 4.00%, 11/20/2047
|
6,034,424
|
610,387
|
||||||
|
Series 2023-18, Class IB, 5.00%, 02/20/2053
|
14,943,378
|
3,400,782
|
||||||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $45,623,249)
|
54,335,419
|
|||||||
|
SHORT-TERM INVESTMENTS - 0.0%(c)
|
Shares
|
|||||||
|
Money Market Funds - 0.0%(c)
|
||||||||
|
First American Government Obligations Fund - Class X, 5.23%(d)
|
487
|
487
|
||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $487)
|
487
|
|||||||
|
TOTAL INVESTMENTS - 99.6% (Cost $45,623,736)
|
$
|
54,335,906
|
||||||
|
Other Assets in Excess of Liabilities - 0.4%
|
215,198
|
|||||||
|
TOTAL NET ASSETS - 100.0%
|
$
|
54,551,104
|
||||||
|
Percentages are stated as a percent of net assets.
|
||||||||
|
(a)
|
Interest only security.
|
|
(b)
|
All or a portion of the security has been pledged as collateral for reverse repurchase agreements. The total value of assets committed as collateral as of April 30, 2024 is $2,656,385.
|
|
(c)
|
Represents less than 0.05% of net assets.
|
|
(d)
|
The rate shown represents the annualized 7-day effective yield as of April 30, 2024.
|
|
FolioBeyond Alternative Income and Interest Rate Hedge ETF
|
|
|
Schedule of Open Reverse Repurchase Agreements
|
|
|
as of April 30, 2024 (Unaudited)
|
|
Counterparty
|
Interest Rate
|
Trade Date
|
Maturity Date
|
Net Closing
Amount
|
Face Value
|
||||||||||
|
StoneX
|
6.35%
|
|
4/2/2024
|
6/10/2024
|
$
|
676,000
|
$
|
(676,000
|
)
|
||||||
|
$
|
676,000
|
$
|
(676,000
|
)
|
|||||||||||
|
Summary of Fair Value Exposure at April 30, 2024 (Unaudited)
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, 2024:
FolioBeyond Alternative Income and Interest Rate Hedge ETF
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Assets:
|
||||||||||||||||
|
Collateralized Mortgage Obligations
|
$
|
–
|
$
|
54,335,419
|
$
|
–
|
$
|
54,335,419
|
||||||||
|
Money Market Funds
|
487
|
–
|
–
|
487
|
||||||||||||
|
Total Assets
|
$
|
487
|
$
|
54,335,419
|
$
|
–
|
$
|
54,335,906
|
||||||||
|
Liabilities:
|
||||||||||||||||
|
Reverse Repurchase Agreements
|
$
|
–
|
$
|
(676,000
|
)
|
$
|
–
|
$
|
(676,000
|
)
|
||||||
|
Total Liabilities
|
$
|
–
|
$
|
(676,000
|
)
|
$
|
–
|
$
|
(676,000
|
)
|
||||||