Company: SVIX
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-004207
Chunk: 1554

Company: VS Trust
Filing Date: 2025-03-28
Form: 10-K
Item: Item 11
Chunk 1554
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 stated as a percent of net assets.

(a)Represents annualized seven-day yield at December 31, 2023.

(b)$61,750,311 of cash is pledged as collateral for futures contracts.

F-13

2x Long VIX Futures ETF

Schedule of Futures Contracts

December 31, 2023

  Description  Contracts Purchased   Expiration
Date  Notional
Value   Value / Unrealized Appreciation (Depreciation)   CBOE VIX FUTURE Jan24   5,633   01/17/2024  $79,087,320   $(5,616,125)  CBOE VIX FUTURE Feb24   3,943   02/14/2024   60,288,470    (2,561,493)  Net Unrealized Appreciation (Depreciation)               $(8,177,618) 

Summary of Fair Value Disclosure as of December
31, 2023

2x Long VIX Futures ETF has adopted authoritative
fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.
These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair
value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels
for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing
securities are not an indication of the risk associated with investing in those securities.

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 fair valuation
hierarchy of the Fund’s securities as of