NPORT-EX 2 rsbt.htm RSBT ETF - 04.30.24 PART F

Return Stacked Bonds & Managed Futures ETF
  
Consolidated Schedule of Investments
  
as of April 30, 2024 (Unaudited)
  
   
EXCHANGE TRADED FUNDS - 50.2%
  
Shares
    
Value
  
iShares Core U.S. Aggregate Bond ETF(a)
    
304,654
    
$
29,012,200
  
TOTAL EXCHANGE TRADED FUNDS (Cost $28,985,468)
      
29,012,200
  
                 
SHORT-TERM INVESTMENTS - 30.8%
                
Money Market Funds - 30.8%
                
First American Government Obligations Fund - Class X, 5.23%(a)(b)
    
17,816,416
      
17,816,416
  
TOTAL SHORT-TERM INVESTMENTS (Cost $17,816,416)
      
17,816,416
  
                 
TOTAL INVESTMENTS - 81.0% (Cost $46,801,884)
    
$
46,828,616
  
Other Assets in Excess of Liabilities - 19.0%
      
10,977,819
  
TOTAL NET ASSETS - 100.0%
          
$
57,806,435
  
                 
Percentages are stated as a percent of net assets.
          

(a)
Fair value of this security exceeds 25% of the Fund’s net assets.  Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.
(b)
The rate shown represents the annualized 7-day effective yield as of April 30, 2024.
Return Stacked Bonds & Managed Futures ETF
  
Consolidated Schedule of Open Futures Contracts
  
as of April 30, 2024 (Unaudited)
  
   
The Return Stacked Bonds & Managed Futures ETF & CFC had the following futures contracts outstanding with PhillipCapital Inc.

  
Description
  
Contracts
Purchased
  
Expiration Date
  
Notional
    
Value / Unrealized
Appreciation
(Depreciation)
  
   Brent Crude Oil(a)
    
27
  
05/31/2024
  
$
2,330,910
    
$
(7,098
)
   Copper(a)
    
50
  
07/29/2024
    
5,705,625
      
55,715
  
   Crude Oil(a)
    
19
  
05/21/2024
    
1,556,670
      
(38,037
)
   Euro STOXX 50 Quanto Index (EUR)
    
105
  
06/21/2024
    
5,497,952
      
(57,997
)
   FTSE 100 Index (GBP)
    
82
  
06/21/2024
    
8,376,808
      
179,307
  
   German Stock Index (EUR)
    
16
  
06/21/2024
    
7,739,273
      
(161,662
)
   Gold(a)
    
47
  
06/26/2024
    
10,823,630
      
54,120
  
   Nasdaq 100 Index
    
10
  
06/21/2024
    
3,514,250
      
(162,600
)
   Nikkei 225 Index
    
20
  
06/13/2024
    
3,819,000
      
(97,216
)
   NY Harbor ULSD(a)
    
2
  
05/31/2024
    
212,318
      
237
  
   Reformulated Gasoline Blendstock(a)
    
5
  
05/31/2024
    
565,152
      
202
  
   S&P 500 Index
    
26
  
06/21/2024
    
6,587,100
      
(218,003
)
   S&P/Toronto Stock Exchange 60 Index (CAD)
    
22
  
06/20/2024
    
4,181,097
      
(64,346
)
   Silver(a)
    
20
  
07/29/2024
    
2,665,400
      
(202,067
)
   U.S. Treasury 5 Year Note
    
300
  
06/28/2024
    
31,422,656
      
(74,918
)
   U.S. Treasury Long Bonds
    
25
  
06/18/2024
    
2,845,313
      
(60,548
)
                     
$
(854,911
)
                       
–
  
Description
  
Contracts
Sold
  
Expiration Date
  
Notional
    
Value / Unrealized
Appreciation
(Depreciation)
  
   Australian Dollar/US Dollar Cross Currency Rate
    
(51)

06/17/2024
  
$
3,310,920
    
$
(26,665
)
   British Pound/US Dollar Cross Currency Rate
    
(23)
06/17/2024
    
1,797,881
      
(18,108
)
   Canadian Dollar/US Dollar Cross Currency Rate
    
(58)
06/18/2024
    
4,218,050
      
16,495
  
   Euro/US Dollar Cross Currency Rate
    
(112)
06/17/2024
    
14,977,900
      
(28,093
)
   Euro-Bund
    
(61)
06/06/2024
    
8,484,415
      
49,249
  
   Japanese Yen/US Dollar Cross Currency Rate
    
(375)
06/17/2024
    
29,946,094
      
1,467,808
  
   Long Gilt (GBP)
    
(39)
06/26/2024
    
4,677,285
      
66,231
  
   Low Sulphur Gas Oil(a)
    
(5)
06/12/2024
    
388,125
      
3,036
  
   Natural Gas(a)
    
(81)
05/29/2024
    
1,612,710
      
20,611
  
   U.S. Treasury 10 Year Notes
    
(226)
06/18/2024
    
24,280,875
      
288,881
  
   U.S. Treasury 2 Year Notes
    
(443)
06/28/2024
    
89,776,719
      
273,317
  
                     
$
2,112,762
  
Total Unrealized Appreciation (Depreciation)
    
$
1,257,851
  

(a)    All or a portion of the investment is a holding of Return Stacked Cayman Subsidiary.
CAD - Canadian Dollar
EUR - Euro
GBP - Great British Pound
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:

Return Stacked Bonds & Managed Futures ETF

  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  Exchange Traded Funds
  
$
29,012,200
    
$
–
    
$
–
    
$
29,012,200
  
  Money Market Funds
    
17,816,416
      
–
      
–
      
17,816,416
  
Total Assets
  
$
46,828,616
    
$
–
    
$
–
    
$
46,828,616
  
                                 
Other Financial Instruments(a):
                                
Assets
                                
  Futures Contracts
  
$
2,475,209
    
$
–
    
$
–
    
$
2,475,209
  
Total Assets
  
$
2,475,209
    
$
–
    
$
–
    
$
2,475,209
  
                                 
Liabilities
                                
  Futures Contracts
  
$
(1,217,358
)
  
$
–
    
$
–
    
$
(1,217,358
)
Total Liabilities
  
$
(1,217,358
)
  
$
–
    
$
–
    
$
(1,217,358
)
                                 
(a) The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of April 30, 2024.