# EDGAR Filing Document

**Accession Number:** 0001924868
**File Stem:** 0001145549-23-020451
**Filing Date:** 2023-3
**Character Count:** 13818
**Document Hash:** ebc2856d4a502180f54239ed0cbd123b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-020451.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001145549-23-020451

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Tidal Trust II
- **CENTRAL INDEX KEY:** 0001924868
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23793
- **FILM NUMBER:** 23779450

**BUSINESS ADDRESS:**
- **STREET 1:** 234 WEST FLORIDA STREET, SUITE 203
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53204
- **BUSINESS PHONE:** (844) 986-7676

**MAIL ADDRESS:**
- **STREET 1:** 234 WEST FLORIDA STREET, SUITE 203
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53204

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Tidal ETF Trust II
- **DATE OF NAME CHANGE:** 20220421

## Series and Classes Contracts Data

### Nicholas Fixed Income Alternative ETF (Series ID: S000078265)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000239025 | Nicholas Fixed Income Alternative ETF | FIAX            |

## Nport-Ex

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** |
| **SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited)** | **SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited)** | **SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited)** | **SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited)** | **SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited)** |
|  |  | | **Principal Amount** | **Value** |
| **United States Treasury Obligations - 95.5%** | **United States Treasury Obligations - 95.5%** | | | |
| **United States Treasury Notes - 95.5%** | **United States Treasury Notes - 95.5%** | | | |
| &nbsp;&nbsp;&nbsp; 0.125% , 04/30/2023 | &nbsp;&nbsp;&nbsp; 0.125% , 04/30/2023 |  | $11190000 | $11065745 |
| &nbsp;&nbsp;&nbsp; 1.000% , 12/15/2024 | &nbsp;&nbsp;&nbsp; 1.000% , 12/15/2024 |  | 5474000 | 5153792 |
| &nbsp;&nbsp;&nbsp; 0.750% , 12/31/2023 | &nbsp;&nbsp;&nbsp; 0.750% , 12/31/2023 |  | 11352000 | 10946298 |
|  |  |  |  | 27165835 |
| **Total United States Treasury Obligations** | **Total United States Treasury Obligations** |  |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $27,192,712) | &nbsp;&nbsp;&nbsp; (Cost $27,192,712) |  |  | 27165835 |
|  |  | **Contracts <sup>(1)</sup>** | **Notional Amount** |  |
| **Options Purchased - 0.3%** | **Options Purchased - 0.3%** |  |  |  |
| **Put Options - 0.3%** |  |  |  |  |
| iShares 20+ Year Treasury Bond ETF <sup>(2)</sup> | iShares 20+ Year Treasury Bond ETF <sup>(2)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp; Expiration: 02/17/2023, Strike Price: $107 | &nbsp;&nbsp;&nbsp; Expiration: 02/17/2023, Strike Price: $107 | 300 | 3215100 | 48000 |
| ProShares UltraShort 20+ Year Treasury <sup>(2)</sup> | ProShares UltraShort 20+ Year Treasury <sup>(2)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp; Expiration: 02/17/2023, Strike Price: $28 | &nbsp;&nbsp;&nbsp; Expiration: 02/17/2023, Strike Price: $28 | 650 | 1820650 | 48750 |
|  |  |  |  | 96750 |
| **Total Options Purchased** | **Total Options Purchased** |  |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $148,843) | &nbsp;&nbsp;&nbsp; (Cost $148,843) |  |  | 96750 |
|  |  |  | **Shares** |  |
| **Short-Term Investments - 0.2%** | **Short-Term Investments - 0.2%** |  |  |  |
| **Money Market Funds - 0.2%** | **Money Market Funds - 0.2%** |  |  |  |
| First American Government Obligations Fund, Class X, 4.140% <sup>(3)</sup> | First American Government Obligations Fund, Class X, 4.140% <sup>(3)</sup> |  | 55076 | 55076 |
| **Total Short-Term Investments** | **Total Short-Term Investments** |  |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $55,076) | &nbsp;&nbsp;&nbsp; (Cost $55,076) |  |  | 55076 |
| **Total Investments in Securities - 96.0%** | **Total Investments in Securities - 96.0%** |  |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $27,396,631) | &nbsp;&nbsp;&nbsp; (Cost $27,396,631) |  |  | 27317661 |
| **Other Assets in Excess of Liabilities - 4.0%** | **Other Assets in Excess of Liabilities - 4.0%** |  |  | 1123982 |
| **Total Net Assets - 100.0%** | **Total Net Assets - 100.0%** |  |  | $28441643 |
| <sup>(1)</sup> | 100 shares per contract. | 100 shares per contract. | 100 shares per contract. | 100 shares per contract. |
| <sup>(2)</sup> | Non-income producing security. |  |  |  |
| <sup>(3)</sup> | The rate shown is the annualized seven-day effective yield as of January 31, 2023. | The rate shown is the annualized seven-day effective yield as of January 31, 2023. | The rate shown is the annualized seven-day effective yield as of January 31, 2023. | The rate shown is the annualized seven-day effective yield as of January 31, 2023. |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** | **Nicholas Fixed Income Alternative ETF** |
| **SCHEDULE OF OPTIONS WRITTEN at January 31, 2023 (Unaudited)** | **SCHEDULE OF OPTIONS WRITTEN at January 31, 2023 (Unaudited)** | **SCHEDULE OF OPTIONS WRITTEN at January 31, 2023 (Unaudited)** | **SCHEDULE OF OPTIONS WRITTEN at January 31, 2023 (Unaudited)** |
|  | **Contracts <sup>(1)</sup>** | **Notional Amount** | **Value** |
| **Options Written - 0.1%** | | | |
| **Put Options - 0.1%** | | | |
| iShares 20+ Year Treasury Bond ETF |  |  |  |
| &nbsp;&nbsp;&nbsp; Expiration: 02/17/2023, Strike Price: $101 | 300 | $3215100 | $5100 |
| ProShares UltraShort 20+ Year Treasury |  |  |  |
| &nbsp;&nbsp;&nbsp; Expiration: 02/17/2023, Strike Price: $26 | 650 | 1820650 | 9750 |
|  |  |  | 14850 |
| **Total Options Written** |  |  |  |
| &nbsp;&nbsp;&nbsp; (Premiums Received $42,711) |  |  | $14850 |
| Percentages are stated as a percent of net assets. |  |  |  |

---

<sup>(1)</sup> 100 shares per contract.

------

---

| |
|:---|
| **Summary of Fair Value Exposure at January 31, 2023 (Unaudited)** |
| The Nicholas Fixed Income Alternative ETF (the "Fund") utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: |
| • Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.<br> • 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 spreads, credit risk, yield curves, default rates and similar data.<br> • 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 inputs used to value the Fund's investments and options written as of January 31, 2023: |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| United States Treasury Obligations | $– | $27165835 | $– | $27165835 |
| Options Purchased | 96750 | – | – | 96750 |
| Short-Term Investments | 55076 | – | – | 55076 |
| Total Investments in Securities | $151826 | $27165835 | $– | $27317661 |
| **Options Written** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Put Options | $14850 | – | $– | $14850 |
| Total Options Written | $14850 | $– | $– | $14850 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Tidal Trust II

- **b. Investment Company Act file number:** 811-23793

- **c. CIK number of Registrant:** 0001924868

- **d. LEI of Registrant:** 549300BGXECFCIZF2P89

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 898 N. BROADWAY

  - **City:** Massapequa

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 11758

  - **Telephone number:** 844-986-7676

**Item A.2. Information about the Series.**

- **a. Name of Series:** Nicholas Fixed Income Alternative ETF

- **b. EDGAR series identifier (if any):** S000078265

- **c. LEI of Series:** 549300VYZDTOVYWG3H64

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $27478780.70

**Total Liabilities:** $35281.92

**Net Assets:** $27443498.78

**Cash Not Reported:** $142522.92

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 374.620000000000 | **1-Year:** 1595.790000000000 | **5-Year:** 204.190000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000239025 | 0.00%                | -0.32%               | 0.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  |  |  |
| Month 2  | $-131625.59              | $-19953.92                                 |
| Month 3  | $3334.84                 | $-6923.04                                  |

**Designated Index Information**

- **Index Name:** ICE US Treasury 20+ Year Bond Index TRexTC

- **Index Identifier:** IDCOT20

### Schedule of Portfolio Investments

| Name                           | Title                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| First American Government Obli | First American Government Obligations Fund | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |     55076 | NS      | $55076.31     | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond           | CUSIP: 91282CDN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5474000 | PA      | $5153792.40   | 18.78%            | 2024-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                            | TBT US 02/17/23 P28                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       650 | NC      | $48750.00     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond           | CUSIP: 91282CBX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11190000 | PA      | $11065744.56  | 40.32%            | 2023-04-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond           | CUSIP: 91282CDR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11352000 | PA      | $10946297.80  | 39.89%            | 2023-12-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                            | PROSHARE PUT OPT 02/23 26                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -650 | NC      | $-9750.00     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ISHARES  PUT OPT 02/23 101                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -300 | NC      | $-5100.00     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ISHARES  PUT OPT 02/23 107                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       300 | NC      | $48000.00     | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-28

**Name of Applicant:** Tidal Trust II

**Signature:** /s/ Aaron Perkovich

**Name of Signer:** Aaron Perkovich

**Title:** Assistant Treasurer