Company: SVIX
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001213900-25-044385
Chunk: 284

Company: VS Trust
Filing Date: 2025-05-15
Form: 10-Q
Item: Part II, Item 8
Chunk 284
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ional amount and the benchmark returns to which the swap is
linked. Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements entered into by the
Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently,
each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or
received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical
swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level of the benchmark increases and
would be required to make payments to the swap counterparties 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. In a typical swap agreement entered into by SVIX, the Fund would be
required to make payments to 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