0001145549-23-014078.txt : 20230301 0001145549-23-014078.hdr.sgml : 20230301 20230301114635 ACCESSION NUMBER: 0001145549-23-014078 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20221231 FILED AS OF DATE: 20230301 DATE AS OF CHANGE: 20230301 PERIOD START: 20230930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Valkyrie ETF Trust II CENTRAL INDEX KEY: 0001877493 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23725 FILM NUMBER: 23691474 BUSINESS ADDRESS: STREET 1: 320 SEVEN SPRINGS WAY STREET 2: SUITE 250 CITY: NASHVILLE STATE: TN ZIP: 37027 BUSINESS PHONE: 800-617-0004 MAIL ADDRESS: STREET 1: 320 SEVEN SPRINGS WAY STREET 2: SUITE 250 CITY: NASHVILLE STATE: TN ZIP: 37027 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 2023-09-30 2022-12-31 N 19458976.450000000000 662691.770000000000 18796284.680000000000 0.000000000000 4688145.180000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 8420714.960000000000 USD N S&P CME Bitcoin Futures Index (USD) Total Return SPBTCFUT TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796V48 10000000.000000000000 PA USD 9869623.500000000000 52.5083742241 Long DBT UST US N 2 2023-04-20 Fixed .000000000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796XS3 1000000.000000000000 PA USD 998391.110000000000 5.3116407152 Long DBT UST US N 2 2023-01-19 Fixed .000000000000 N N N N N N N/A N/A CME Bitcoin Fut Jan23 N/A 227.000000000000 NC USD 148432.460000000000 0.7896904230 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Bitcoin Reference Rate (BRR) CME Bitcoin Reference Rate (BRR) 2023-01-27 18618792.540000000000 USD 148432.460000000000 N N N 2023-01-30 Valkyrie ETF Trust II /s/ Benjamin Gaffey Benjamin Gaffey Treasurer XXXX NPORT-EX 2 bitcoinstrategy2.htm NPORT-EX
Valkyrie Bitcoin Strategy ETF
            
Consolidated Schedule of Investments
            
December 31, 2022 (Unaudited)
            
             
             
   
Principal
    
Value
  
U.S. TREASURY BILLS: 58.33%
            
United States Treasury Bill, 2.91%, 1/19/2023 (a)
  
$
1,000,000
    
$
998,391
  
United States Treasury Bill, 4.29%, 4/20/2023 (a)
    
10,000,000
      
9,869,624
  
TOTAL U.S. TREASURY BILLS (Cost $10,868,549)
            
10,868,015
  
                 
TOTAL INVESTMENTS (Cost $10,868,549): 58.33%
            
10,868,015
  
Other Assets in Excess of Liabilities: 41.67% (b)
            
7,763,406
  
TOTAL NET ASSETS: 100.00%
          
$
18,631,421
  

(a)
  
The rate quoted is the annualized discount rate as of December 31, 2022.
        
(b)
  
Includes assets and deposits with broker pledged as collateral for derivative contracts.
        
   
At December 31, 2022, the value of these assets totals $6,242,500.
        
Valkyrie Bitcoin Strategy ETF
              
Consolidated Schedule of Open Futures Contracts
            
December 31, 2022 (Unaudited)
 
 
 
 
 
 
 
 
                       
                 
Value
Description
  
Number of
Contracts
Purchased
  
Settlement
Month-Year
  
Current Notional
Amount
  
Unrealized
Appreciation
  
Unrealized
(Depreciation)
Purchase Contracts:
                    
 
CME Bitcoin Futures
  
227
  
Jan-23
  
 $          18,767,225
  
 $               148,432
  
 $                         -
Valkyrie Bitcoin Strategy ETF
                  
Summary of Fair Value Disclosure at December 31, 2022 (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, 2022:
        

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Fixed Income
                        
U.S. Treasury Bills
  
$
-
    
$
10,868,015
    
$
-
    
$
10,868,015
  
Total Investments
  
$
-
    
$
10,868,015
    
$
-
    
$
10,868,015
  
                                 
Other Financial Instruments*
                                
Futures Contracts
                                
Long
  
$
148,432
    
$
-
    
$
-
    
$
148,432
  
Total Other Financial Instruments
  
$
148,432
    
$
-
    
$
-
    
$
148,432
  
                                 
*The fair value of the Fund’s other financial instruments represents the net unrealized appreciation at December 31, 2022.
  
                                 
Refer to the Fund's Schedule of Investments for a detailed break-out of holdings.