Company: SVIX
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-004207
Chunk: 1002

Company: VS Trust
Filing Date: 2025-03-28
Form: 10-K
Item: Item 7
Chunk 1002
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 the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement
payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount
the Funds may pay.

The net amount of the excess, if any, of each
Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash
and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in
a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its
obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate
value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian.
Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable
by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when
cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements
are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain various conditions, events
of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the
agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the
net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty,
enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments
or investment techniques.

Swap agreements involve, to varying degrees,
elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent
of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated
with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference
Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected