Company: SVIX
Filing Date: 2025-11-13
Form Type: 10-Q
Source: 0001213900-25-109885
Chunk: 53

Company: VS Trust
Filing Date: 2025-11-13
Form: 10-Q
Item: Part I, Item 1
Chunk 53
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 benchmark reverses all or part of its
intraday move by the end of the day.

F-34

In addition, cleared derivatives benefit from daily
marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund
enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required
by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral
is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide
certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For
example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted
to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer
of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the
commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do
not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer”
with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions
because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing
the Funds to suffer a loss.

The Sponsor regularly reviews the performance of
its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the
addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio
holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio
holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.

Each counterparty and/or any of its affiliates
may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions
is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund