0001145549-22-013662.txt : 20220301 0001145549-22-013662.hdr.sgml : 20220301 20220301122205 ACCESSION NUMBER: 0001145549-22-013662 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20211231 FILED AS OF DATE: 20220301 PERIOD START: 20220930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Valkyrie ETF Trust II CENTRAL INDEX KEY: 0001877493 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23725 FILM NUMBER: 22695551 BUSINESS ADDRESS: STREET 1: 100 CRESCENT COURT STREET 2: FLOOR 7 CITY: DALLAS STATE: TX ZIP: 75201 BUSINESS PHONE: 310-795-8899 MAIL ADDRESS: STREET 1: 100 CRESCENT COURT STREET 2: FLOOR 7 CITY: DALLAS STATE: TX ZIP: 75201 0001877493 S000074058 Valkyrie Bitcoin Strategy ETF C000231452 Valkyrie Bitcoin Strategy ETF BTF NPORT-P 1 primary_doc.xml NPORT-P false 0001877493 XXXXXXXX S000074058 C000231452 Valkyrie ETF Trust II 811-23725 0001877493 549300MWH27O1ZGIJ534 320 Seven Springs Way Suite 250 Brentwood 37027 800-617-0004 Valkyrie Bitcoin Strategy ETF S000074058 549300MWH27O1ZGIJ534 2022-09-30 2021-12-31 N 71937114.460000000000 43024.260000000000 71894090.200000000000 0.000000000000 13056672.360000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 26902904.670000000000 USD N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796G45 19600000.000000000000 PA USD 19595663.500000000000 27.2562924790 Long DBT UST US N 2 2022-04-21 Fixed .000000000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796Q28 6000000.000000000000 PA USD 5998065.000000000000 8.3429180108 Long DBT UST US N 2 2022-05-12 Fixed .000000000000 N N N N N N N/A N/A CME Bitcoin Fut Jan22 N/A 314.000000000000 NC USD -2464996.280000000000 -3.4286493829 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Bitcoin Reference Rate (BRR) CME Bitcoin Reference Rate (BRR) 2022-01-28 74394546.280000000000 USD -2464996.280000000000 N N N 2022-01-31 Valkyrie ETF Trust II /s/ Scottland Keefer Scottland Keefer Chief Compliance Officer XXXX NPORT-EX 2 bitcoin.htm NPORT-EX
Valkyrie Bitcoin Strategy ETF
            
Consolidated Schedule of Investments
            
December 31, 2021 (Unaudited)
            
   
PAR
    
Value
  
U.S. TREASURY BILLS: 35.6%
            
United States Treasury Bill, 0.056%, 4/21/22 (a)(b)
  
$
19,600,000
    
$
19,595,664
  
United States Treasury Bill, 0.060%, 5/12/22 (a)(b)
    
6,000,000
      
5,998,065
  
TOTAL U.S. TREASURY BILLS (Cost $25,595,351)
            
25,593,729
  
                 
Total Investments in Securities (Cost $25,595,351): 35.6%
            
25,593,729
  
Other Assets in Excess of Liabilities: 64.4% (c)
            
46,300,361
  
TOTAL NET ASSETS: 100.00%
          
$
71,894,090
  
                 

(a)
  
The rate quoted is the annualized discount rate as of December 31, 2021.
        
(b)
  
All or a portion of this security is pledged as collateral for derivative contracts. At December 31, 2021, the value of this collateral totals $25,593,729.
        
(c)
  
Includes assets and deposits with broker pledged as collateral for derivative contracts. At December 31, 2021, the value of these assets totals $26,091,516.
        
Valkyrie Bitcoin Strategy ETF
                        
Consolidated Schedule of Open Futures Contracts
                    
December 31, 2021 (Unaudited)
                          
                             
                     
Value
  
Description
 
  
Number of
Contracts
Purchased
  
Settlement Month-
Year
  
Current Notional
Amount
  
Notional Amount
At Trade Date
  
Unrealized
Appreciation
  
Unrealized
(Depreciation)
  
Purchase Contracts:
                            
 
Bitcoin
  
314
  
Jan-22
  
 $          71,929,550
  
 $          74,394,546
  
 $                         -
  
 $           (2,464,996)
  
Valkyrie Bitcoin Strategy ETF
                            
Summary of Fair Value Disclosure at December 31, 2021 (Unaudited)
                      
                               
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Accounting principles generally accepted in the United
        
States of America ("U.S. GAAP") establish 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 speeds, 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 December 31, 2021:
                  
                               

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Fixed Income
                        
U.S. Treasury Bills
  
$
-
    
$
25,593,729
    
$
-
    
$
25,593,729
  
Total Investments
  
$
-
    
$
25,593,729
    
$
-
    
$
25,593,729
  
                                 
Other Financial Instruments*
                                
Futures Contracts
                                
Long
  
$
(2,464,996
)
  
$
-
    
$
-
    
$
(2,464,996
)
Total Other Financial Instruments
  
$
(2,464,996
)
  
$
-
    
$
-
    
$
(2,464,996
)
                                 

*The fair value of the Fund’s other financial instruments represents the net unrealized depreciation at December 31, 2021.
              
                               
Refer to the Fund's Schedule of Investments for a detailed break-out of holdings.