Company: SVIX
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-004207
Chunk: 1417

Company: VS Trust
Filing Date: 2025-03-28
Form: 10-K
Item: Item 9C
Chunk 1417
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 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 to be received under a
swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements
only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored
by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different
counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty
in an amount approximately equal to that owed to the Funds. Outstanding swap agreements contractually terminate within one month but
may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized
appreciation or depreciation” amount.

F-29

The Funds, as applicable, collateralize swap agreements
by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments.
As noted above, collateral posted in connection with OTC derivative transactions is held