Company: SVIX
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001213900-25-044385
Chunk: 11

Company: VS Trust
Filing Date: 2025-05-15
Form: 10-Q
Item: Part I, Item 1
Chunk 11
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-day annualized effective yield as of December 31, 2024.  (d) Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.  (e)  Includes cash of $206,471,251 that is pledged as collateral for options and futures contracts. 

See accompanying notes to the financial statements.

F-7

-1x Short VIX Futures ETF

Schedule of Futures Contracts

December 31, 2024

  Description  Contracts  Sold   Expiration  Date  Notional  Value   Value /  Unrealized  Appreciation  (Depreciation)   CBOE VIX FUTURE Feb25   (6,959)  02/19/2025  $124,496,510   $(919,561)  CBOE VIX FUTURE Jan25   (10,051)  01/22/2025   175,691,480    (4,427,348)  Net Unrealized Appreciation (Depreciation)               $(5,346,909) 

Summary of Fair Value Disclosure as of December 31, 2024

-1x Short 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