Company: SVIX
Filing Date: 2025-08-13
Form Type: 10-Q
Source: 0001213900-25-075845
Chunk: 320

Company: VS Trust
Filing Date: 2025-08-13
Form: 10-Q
Item: Part II, Item 8
Chunk 320
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, will be affected by, among other things, changes in the value of a Fund’s underlying
benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying
benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected
to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error.
Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness
of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain
option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option
positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned,
and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid,
particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit
risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts,
which may present even greater volatility and risk of loss.

Swap Agreements

The Funds may enter into swap agreements for purposes
of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index or to create an
economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional
investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the
Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC
derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions
through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned
or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect
of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered
into. The gross returns to be exchanged are calculated with respect to a