Company: SVIX
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001213900-25-044385
Chunk: 286

Company: VS Trust
Filing Date: 2025-05-15
Form: 10-Q
Item: Part II, Item 8
Chunk 286
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 becomes bankrupt or otherwise
fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery
in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect
to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC
swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market
daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of
a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the
day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such
collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including
the possible delays in recovering amounts as a result of bankruptcy proceedings.

The counterparty/credit risk for cleared derivative
transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty
to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade
looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit
from daily marking- to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Statements of Assets and Liabilities

Fair values of derivative instruments as of March 31, 2025
(Unaudited) and December 31, 2024:

     Statements of 
Assets and   Fair Value   Statements of 
Assets and   Fair Value      Liabilities  As of March 31, 2025 (Unaudited)   Liabilities  As of December 31, 2024   -1x Short VIX Futures ETF  Location  Assets   Liabilities   Location  Assets   Liabilities   Purchased Option Contracts:                            Index  Investments, at value  $872,000   $            -   Investments, at value  $1,484,000   $-   Short Futures Contracts: