Semi-Annual Report

 

October 31, 2021

 

Aptus Collared Income Opportunity ETF

Ticker: ACIO

Aptus Defined Risk ETF

Ticker: DRSK

Aptus Drawdown Managed Equity ETF

Ticker: ADME

Opus Small Cap Value ETF

Ticker: OSCV

International Drawdown Managed Equity ETF

Ticker: IDME

 

 

 

Aptus ETFs

 

TABLE OF CONTENTS

 

 

Page

Letters to Shareholders

1

Portfolio Allocations

11

Schedules of Investments

13

Schedules of Written Options

15

Statements of Assets and Liabilities

28

Statements of Operations

29

Statements of Changes in Net Assets

30

Financial Highlights

35

Notes to Financial Statements

40

Expense Examples

52

Review of Liquidity Risk Management Program

54

Approval of Advisory Agreement and Board Considerations

55

Federal Tax Information

57

Information About Portfolio Holdings

57

Information About Proxy Voting

57

Information About the Funds’ Trustees

58

Frequency Distribution of Premiums and Discounts

58

 

 

Aptus Collared Income Opportunity ETF

 

Shareholder Letter
(Unaudited)

 

Dear ACIO Shareholders,

 

Thank you for your investment in the Aptus Collared Income Opportunity ETF, referred to herein as “ACIO” or the “Fund”. The information presented in this letter relates to ACIO’s performance period from May 1, 2021 through October 31, 2021 (the “current fiscal period”).

 

The Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its investment objective principally by investing in a portfolio of large capitalization U.S.-listed equity securities and an options collar (i.e., a mix of written (sold) call options and long (bought) put options on the same underlying equity securities or on an index tracking the large capitalization segment of the U.S. equity market (a “U.S. Large Cap Index”). The equity securities and options held by the Fund must be listed on a U.S.-exchange, and the equity securities may include common stocks of U.S. companies, American Depositary Receipts (“ADRs”) (i.e., receipts evidencing ownership of foreign equity securities), and real estate investment trusts (“REITs”). The Fund will typically limit investments in ADRs to approximately 20% of the Fund’s net assets.

 

For the current fiscal period, ACIO was up 6.93% at market and 6.97% at net asset value (“NAV”). Over the same period, the S&P 500® Total Return Index was up 10.91%.

 

The largest positive equity contributor to return for the current fiscal period was Microsoft Corporation (MSFT), gaining 32.06% and adding 1.67% to the return of ACIO. The second largest contributor was Apple, Inc. (AAPL), gaining 23.04% and adding 0.90% to the return of ACIO. The third largest contributor was Alphabet, Inc. – Class C (GOOG), gaining 14.32% and adding 0.82% to the return of ACIO.

 

The largest negative contributor to the return for the current fiscal period was a put option position expiring in November 2021 on the S&P 500 Index (SPX), down 82.71% and detracting 1.21% from the return of ACIO. The second largest negative contributor was a put option position expiring in June 2021 on the S&P 500 Index (SPX), down 94.44% and detracting 0.80% from the return of ACIO. The third largest negative contributor was a put option position expiring in August 2021 on the S&P 500 Index (SPX), down 96.53% and detracting 0.57% from the return of ACIO.

 

We are excited about the opportunity to give our investors access to the Aptus Collared Income Opportunity ETF. We think it’s possible future returns from a traditional 60/40 portfolio may be well below recent history, at risk of being insufficient to meet the income needs of today’s retirees. We believe we can help the math with a focus on global dividend growers. With overall valuations high, and growth difficult to project, we place great emphasis on sustainable yield in building return assumptions. The ACIO screening process takes large capitalization U.S.-listed equity securities that a) meet the filter, b) provide diversified exposure, and c) maintain an active options market from which we can sell call options on the individual names along with buying puts on the broad market index to more efficiently collar the equity portfolio. The powerful combination of a high dividend paying basket of large capitalization U.S.-listed equity securities with a collar strategy aims to deliver consistent and repeatable yield and minimal drawdown.

 

We appreciate your interest in ACIO. If we can elaborate on the underlying Aptus Collared Income Opportunity strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

1

 

 

Aptus Collared Income Opportunity ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund is non-diversified, meaning it may concentrate its assets in fewer individual holdings than diversified funds. Therefore, the Fund is more exposed to individual stock or ETF volatility than diversified funds. The Fund’s use of call and put options can lead to losses because of adverse movements in the price or value of the underlying security, which may be magnified by certain features of the options. The Fund’s use of options may reduce the Fund’s ability to profit from increases in the value of the underlying securities. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks. Derivatives may entail investment exposures that are greater than their cost would suggest, meaning that a small investment in a derivative could have a substantial impact on the performance of the Fund. The Fund could experience a loss if its derivatives do not perform as anticipated, the derivatives are not correlated with the performance of their underlying security, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Call options give the owner the right to buy the underlying security at the specified price within a specific time period. Put options give the owner the right to sell the underlying security at the specified price within a specific time period. A collar is an options strategy constructed by holding shares of the underlying stock while simultaneously buying put options and selling call options against that holding

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active changes at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please refer to the schedule of investments in this report for complete holdings information.

 

Definitions:

 

S&P 500® Total Return Index - a market capitalization weighted index of the 500 largest U.S. publicly traded companies by market value. The total return index is a type of equity index that tracks both the capital gains of a group of stocks over time, and assumes that any cash distributions, such as dividends, are reinvested back into the index.

 

Aptus Capital Advisors is the adviser to the Aptus Collared Income Opportunity ETF, which is distributed by Quasar Distributors, LLC.

 

2

 

 

Aptus Defined Risk ETF

 

Shareholder Letter
(Unaudited)

 

Dear DRSK Shareholders,

 

Thank you for your investment in the Aptus Defined Risk ETF, referred to herein as “DRSK” or the “Fund”. The information presented in this letter relates to DRSK’s performance from May 1, 2021 through October 31, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve its objective through a hybrid fixed income and equity strategy. The Fund typically invests approximately 75% to 95% of its assets to obtain exposure to investment-grade corporate bonds (the “Fixed Income Strategy”) and invests the remainder of its assets to obtain exposure to U.S. stocks, while limiting downside risk (the “Equity Strategy”)

 

For the current fiscal period, DRSK was up 0.36% at market and 0.26% at net asset value (“NAV”). Over the same period, the Bloomberg Barclays US Aggregate Bond Index was up 1.06%.

 

The largest positive contributor to return for the current fiscal period was a call option position expiring in January 2022 in Merck & Company, Inc. (MRK), gaining 293.86% and adding 1.13% to the return of DRSK. The second largest contributor was a call option position expiring in November 2021 on the S&P 500 Index (SPX), gaining 242.93% and adding 0.88% to the return of DRSK. The third largest contributor was a call option position expiring during October 2021 in NIKE, Inc. (NKE), gaining 227.32% and adding 0.86% to the return of DRSK.

 

The largest negative contributor to the return for the current fiscal period was a call option position expiring in January 2022 in Fidelity National Information Services, Inc. (FIS), down 67.73% and detracting 0.41% from the return of DRSK. The second largest negative contributor was a call option position expiring in October 2021 in Visa Inc. - Class A (V), down 73.25% and detracting 0.35% from the return of DRSK. The third largest negative contributor was a put option position expiring in June 2021 on the S&P 500 Index (SPX), down 57.40% and detracting 0.31% from the return of DRSK.

 

We are excited about the opportunity to give our investors access to the Aptus Defined Risk ETF. We see income generation as a major issue for investors in a low interest rate environment and extending maturities or accepting poorer credit bring added risk. Our “income plus” approach utilizes call options that allows for significant upside capture in a rising market and defined risk in a declining market. The powerful combination of laddered bonds over a short duration and asymmetric payoff opportunity of the call options aims to give investors expected returns not typically seen in the traditional fixed income space.

 

We appreciate your interest in DRSK. If we can elaborate on the underlying Aptus Defined Risk strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

3

 

 

Aptus Defined Risk ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

Past Performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund invests indirectly in fixed income securities through investments in Underlying Bond ETFs, which involve certain risks. Options enable the Fund to purchase exposure that is significantly greater than the premium paid. Consequently, the value of such options can be volatile, and a small investment in options can have a large impact on the performance of the Fund. Because the Fund only purchases options (as opposed to writing/selling options), the Fund’s losses from its exposure to options are limited to the amount of premiums paid.

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active exchanges at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please see the Schedule of Investments for a complete list of Fund holdings.

 

Definitions:

 

Bloomberg Barclays US Aggregate Bond Index – a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government related, corporate and securitized fixed-rate bonds from both developed and emerging market issuers. One cannot invest directly in an index.

 

Call Option: Call options are financial contracts that give the option buyer the right, but not the obligation, to buy a stock, bond, commodity or other asset or instrument at a specified price within a specific time period.

 

Put Option: A put option is a contract giving the owner the right, but not the obligation, to sell–or sell short–a specified amount of an underlying security at a pre-determined price within a specified time frame.

 

Aptus Capital Advisors is the adviser to the Aptus Defined Risk ETF, which is distributed by Quasar Distributors, LLC.

 

4

 

 

Aptus Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited)

 

Dear ADME Shareholders,

 

Thank you for your investment in the Aptus Drawdown Managed Equity ETF, referred to herein as (“ADME” or the “Fund”). The information presented in this letter relates to ADME’s performance from May 1, 2021 through October 31, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve its objective principally by investing in a portfolio of U.S.-listed equity securities, while limiting downside risk by purchasing exchange-listed put options on one or more of such equity securities or on broad-based indexes or ETFs that track the performance of the U.S. equity market. Under normal circumstances, at least 80% of the Fund’s net assets (plus borrowings for investment purposes) will be invested in equity securities.

 

For the current fiscal period, ADME gained 8.27% at market and 8.34% at net asset value (“NAV”). Over the same period, the S&P 500® Total Return Index was up 10.91%.

 

The largest positive equity contributor to return for the current fiscal period was Microsoft Corporation (MSFT) gaining 32.06% and adding 1.70% to the return of ADME. The second largest contributor was NVIDIA Corporation (NVDA) gaining 70.41% and adding 0.91% to the return of ADME. The third largest contributor was Alphabet, Inc. - Class C (GOOG) gaining 23.04% and adding 0.91% to the return of ADME.

 

The largest negative equity contributor to the return for the current fiscal period was an option position expiring during November 2021 on the S&P 500 Index (SPX), down 82.71% and detracting 1.03% from the return of ADME. The second largest negative contributor was Fidelity National Information Services, Inc. (FIS) down 27.16% and detracting 0.45% from the return of ADME. The third largest negative contributor was an option position expiring during June 2021 on the S&P 500 Index (SPX), down 87.68% and detracting 0.30% from the return of ADME.

 

We are excited about the opportunity to give our investors access to the Aptus Drawdown Managed Equity ETF. Historically, a small group of big winners have comprised most of each year’s market gains. Rather than diluting with hundreds of mediocre holdings, we prefer to focus on 50-60 large cap names. We build from a Yield + Growth framework, tilting holdings to favor companies with solid fundamentals and reasonable valuations while avoiding those with negative price momentum. We believe there’s an upside to less downside behaviorally and mathematically. Rather than try to time the markets, we actively hedge our holdings in an effort to mitigate downside risk. We build a portfolio that attempts to capture market upside, with a fraction of the downside.

 

We appreciate your interest in ADME. If we can elaborate on the underlying Aptus Drawdown Managed Equity strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

5

 

 

Aptus Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund is non-diversified, meaning it may concentrate its assets in fewer individual holdings than diversified funds. Therefore, the Fund is more exposed to individual stock or ETF volatility than diversified funds. The Fund’s use of put options can lead to losses because of adverse movements in the price or value of the underlying security, which may be magnified by certain features of the options. The Fund’s use of options may reduce the Fund’s ability to profit from increases in the value of the underlying securities. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks. Derivatives may entail investment exposures that are greater than their cost would suggest, meaning that a small investment in a derivative could have a substantial impact on the performance of the Fund. The Fund could experience a loss if its derivatives do not perform as anticipated, the derivatives are not correlated with the performance of their underlying security, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active changes at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please see the Schedule of Investments and Schedule of Written Options for a complete list of Fund holdings.

 

Definitions:

 

S&P 500® Total Return Index - a market capitalization weighted index of the 500 largest U.S. publicly traded companies by market value. The total return index is a type of equity index that tracks both the capital gains of a group of stocks over time, and assumes that any cash distributions, such as dividends, are reinvested back into the index.

 

Aptus Capital Advisors is the adviser to the Aptus Drawdown Managed Equity ETF, which is distributed by Quasar Distributors, LLC.

 

6

 

 

Opus Small Cap Value ETF

 

Shareholder Letter
(Unaudited)

 

Dear OSCV Shareholders,

 

Thank you for your investment in the Opus Small Cap Value ETF, referred to herein as “OSCV” or the “Fund”. The information presented in this letter relates to OSCV’s performance from May 1, 2021 through October 31, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange-traded fund (“ETF”) that invests, under normal circumstances, at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities of small-capitalization U.S. companies. The Fund defines a small capitalization company as an issuer whose market capitalization at the time of purchase is in the range of those found in the Russell 2000® Index. The Fund’s equity securities primarily include common stocks, real estate investment trusts (“REITs”), and American Depositary Receipts (“ADRs”) representing the stock of a foreign company. The Fund will generally limit its investments in ADRs to 20% of its total assets. The Fund may invest in securities offered in an initial public offering (“IPO”) or in companies that have recently completed an IPO.

 

For the current fiscal period, OSCV was up 5.14% at market and 4.62% at net asset value (“NAV”). Over the same period, the Russell 2000® Value Total Return Index was up 3.22%.

 

The largest positive equity contributor to return for the current fiscal period was Encore Wire Corporation (WIRE) gaining 77.32% and adding 0.55% to the return of OSCV. The second largest contributor was, Tetra Tech, Inc. (TTEK) gaining 38.06% and adding 0.54% to the return of OSCV. The third largest contributor was, Magic Software Enterprises, Inc. (MGIC) gaining 34.41% and adding 0.45% to the return of OSCV.

 

The largest negative equity contributor to the return for the current fiscal period was, Americold Realty Trust (COLD) down 22.94% and detracting 0.33% from the return of OSCV. The second largest negative contributor was, Turning Point Brands, Inc. (TPB) down 21.63% and detracting 0.33% from the return of OSCV. The third largest negative contributor was, Aptar Group, Inc. (ATR) down 19.44% and detracting 0.31% from the return of OSCV.

 

We are excited about the opportunity to give our investors access to the Opus Small Cap Value ETF. OSCV selects stocks across a variety of sectors and industries by combining factor-based analysis with rigorous fundamental research to identify high-quality, growing companies that are believed to be undervalued. OSCV is focused on three core themes to identify companies: 1. higher quality companies with sound business models, higher returns on equity, strong balance sheets, and shareholder-friendly management. 2. higher growth companies that are well-positioned to grow sales, earnings, cash flows, and dividends. 3. lower valuation companies whose valuations reflect lower price-to-earnings and higher yields than their peers. OSCV generally sells a stock when the company is no longer believed to be high quality, when its anticipated growth rate has significantly declined, when it is no longer considered undervalued, or when it is no longer considered a small-capitalization company after a significant period of time (e.g., more than one year).

 

We appreciate your interest in OSCV. If we can elaborate on the underlying Opus Small Cap Value ETF, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

7

 

 

Opus Small Cap Value ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund invests in the securities of small-capitalization companies. As a result, the Fund may be more volatile than funds that invest in larger, more established companies. The securities of small capitalization companies generally trade in lower volumes and are subject to greater and more unpredictable price changes than larger capitalization stocks or the stock market as a whole. Small capitalization companies may be particularly sensitive to changes in interest rates, government regulation, borrowing costs and earnings. The value investing style may over time go in and out of favor. At times when the value investing style is out of favor, the Fund may underperform other funds that use different investing styles. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Investing involves risk. Principal loss is possible. Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active exchanges at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please see the Schedule of Investments for a complete list of Fund holdings.

 

Definitions:

 

Russell 2000® Value Total Return Index – The Russell 2000® Value Index measures the performance of Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

Russell 2000® Index – The Russell 2000 index is an index measuring the performance of approximately 2,000 small-cap companies in the Russell 3000 Index, which is made up of 3,000 of the biggest U.S. stocks. The Russell 2000® serves as a benchmark for small-cap stocks in the United States.

 

Return on equity – a measure of financial performance calculated by dividing net income by shareholders’ equity (shareholders’ equity being a company’s assets minus its debt).

 

Cash flow – a measure of a company’s financial performance, calculated as operating cash flow minus capital expenditures.

 

Price-to-earnings – ratio for valuing a company that measures its current share price relative to its per-share earnings.

 

Aptus Capital Advisors is the adviser to the Opus Small Cap Value ETF, which is distributed by Quasar Distributors, LLC.

 

8

 

 

International Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited)

 

Dear IDME Shareholders,

 

Thank you for your investment in the International Drawdown Managed Equity ETF, referred to herein as “IDME” or the “Fund”. The information presented in this letter relates to IDME’s performance period from inception on July 22, 2021 through October 31, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve its objective principally by investing in a portfolio of other ETFs that invest in equity securities of non-U.S. (international) companies in developed and emerging markets throughout the world, while purchasing and/or writing (selling) exchange-listed call or put options on one or more broad-based indexes or ETFs that track the performance of equity markets outside of the United States to (i) limit downside (“drawdown”) risk, (ii) create additional equity exposure, and/or (iii) generate premiums from writing call options on the Fund’s equity investments.

 

For the current fiscal period, IDME was down 0.25% at market and down 0.35% at net asset value (“NAV”). Over the same period, the MSCI All Cap World Index ex USA Net (USD) was up 0.62%.

 

The largest positive equity contributor to return for the current fiscal period was SPDR Portfolio Developed World ex-US ETF (SPDW), gaining 0.46% and adding 0.33% to the return of IDME. The second largest contributor was a put option position expiring in October 2021 in iShares MSCI EAFE ETF (EFA), gaining 15.00% and adding 0.14% to the return of IDME. The third largest contributor was a put option position expiring in August 2021 in iShares MSCI Emerging Markets ETF (EEM), gaining 41.28% and adding 0.13% to the return of IDME.

 

The largest negative contributor to the return for the current fiscal period was a call option position expiring in December 2021 in iShares MSCI Emerging Markets ETF (EEM), down 66.91% and detracting 0.49% from the return of IDME. The second largest negative contributor was a put option position expiring in August 2021 in iShares MSCI EAFE ETF (EFA), down 97.04% and detracting 0.28% from the return of IDME. The third largest negative contributor was a put option position expiring in November 2021 in iShares MSCI Emerging Markets ETF (EEM), down 56.82% and detracting 0.16% from the return of IDME.

 

We are excited about the opportunity to give our investors access to International Drawdown Managed Equity ETF. We believe, IDME is able to capture the upside potential of investing in an All Cap World Index ex-U.S., but with structurally less downside potential. Using cost efficient and liquid passive index ETF’s, we believe Aptus has created a portfolio intended to look very much like All Cap World Index (ACWX) on the way up, but offer notionally hedged protection on the way down. We believe there is upside in capturing less downside, both behaviorally and mathematically. Rather than try to time the markets, we actively hedge our holdings in an effort to mitigate downside risk. We believe IDME provides a solution to every Investors’ foreign equity exposures that helps mitigate geopolitical economic risks in an ever-growing divide between Developed and Emerging markets.

 

We appreciate your interest in IDME. If we can elaborate on the underlying International Drawdown Managed Equity strategy, please don’t hesitate to ask as we would love an opportunity to discuss. Thanks again for your interest.

 

Sincerely,

 

JD Gardner
Founder and Managing Member
Aptus Capital Advisors, Adviser to the Fund

 

9

 

 

International Drawdown Managed Equity ETF

 

Shareholder Letter
(Unaudited) (Continued)

 

Past performance does not guarantee future performance. Investing involves risk. Principal loss is possible. The Fund is non-diversified, meaning it may concentrate its assets in fewer individual holdings than diversified funds. Therefore, the Fund is more exposed to individual stock or ETF volatility than diversified funds. The Fund’s use of call and put options can lead to losses because of adverse movements in the price or value of the underlying security, which may be magnified by certain features of the options. The Fund’s use of options may reduce the Fund’s ability to profit from increases in the value of the underlying securities. Derivatives, such as the options in which the Fund invests, can be volatile and involve various types and degrees of risks. Derivatives may entail investment exposures that are greater than their cost would suggest, meaning that a small investment in a derivative could have a substantial impact on the performance of the Fund. The Fund could experience a loss if its derivatives do not perform as anticipated, the derivatives are not correlated with the performance of their underlying security, or if the Fund is unable to purchase or liquidate a position because of an illiquid secondary market. Investments in ETFs are subject to additional risks that do not apply to conventional mutual funds, including the risks that the market price of the shares may trade at a discount to the net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares.

 

Call options give the owner the right to buy the underlying security at the specified price within a specific time period. Put options give the owner the right to sell the underlying security at the specified price within a specific time period. A collar is an options strategy constructed by holding shares of the underlying stock while simultaneously buying put options and selling call options against that holding

 

Shares of an ETF are bought and sold at market price (rather than NAV) and are not individually redeemed from the fund. Brokerage commissions will reduce returns. Market returns are based on the daily composite close price from all active changes at 4:00pm Eastern Time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

 

Must be preceded or accompanied by a prospectus.

 

Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Please refer to the schedule of investments in this report for complete holdings information.

 

Definitions:

 

MSCI All Cap World Index ex USA Net (USD) - captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,350 constituents, the index covers approximately 85% of the global equity opportunity set outside the U.S.

 

Aptus Capital Advisors is the adviser to the Aptus Collared Income Opportunity ETF, which is distributed by Quasar Distributors, LLC.

 

10

 

 

Aptus ETFs

 

Portfolio Allocations

As of October 31, 2021 (Unaudited)

 

Aptus Collared Income Opportunity ETF

 

Sector

Percentage of
Net Assets

Technology (a)

26.6%

Consumer, Non-cyclical

19.1

Financial

15.8

Consumer, Cyclical

13.4

Communications

12.3

Industrial

5.2

Energy

3.4

Basic Materials

2.5

Utilities

1.4

Purchased Options

0.5

Liabilities in Excess of Other Assets

(0.2)

Total

100.0%

 

(a)

To the extent that the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

 

Aptus Defined Risk ETF

 

Sector

Percentage of
Net Assets

Investment Grade Corporate Bonds

90.7%

Purchased Options

5.8

Other Assets in Excess of Liabilities

3.5

Total

100.0%

 

Aptus Drawdown Managed Equity ETF

 

Sector

Percentage of
Net Assets

Technology (a)

26.0%

Consumer, Non-cyclical

19.0

Financial

15.4

Communications

13.5

Consumer, Cyclical

11.5

Industrial

6.6

Energy

3.0

Basic Materials

2.6

Utilities

1.5

Purchased Options

0.5

Other Assets in Excess of Liabilities

0.4

Total

100.0%

 

(a)

To the extent that the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

 

11

 

 

Aptus ETFs

 

Portfolio Allocations

As of October 31, 2021 (Unaudited) (Continued)

 

Opus Small Cap Value ETF

 

Sector

Percentage of
Net Assets

Financial (a)

30.1%

Industrial

17.5

Consumer, Cyclical

15.0

Consumer, Non-cyclical

14.0

Energy

10.1

Technology

5.1

Basic Materials

3.4

Communications

2.9

Utilities

1.4

Other Assets in Excess of Liabilities

0.5

Total

100.0%

 

(a)

To the extent that the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

 

International Drawdown Managed Equity ETF

 

Sector

Percentage of
Net Assets

Developed Market Equity

71.4%

Emerging Market Equity

28.0

Purchased Options

0.3

Other Assets in Excess of Liabilities

0.3

Total

100.0%

 

12

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Investments
October 31, 2021 (Unaudited)

 

 

Shares

 

Security Description

 


Value

 
     

COMMON STOCKS — 99.7%

       
       

Basic Materials — 2.5%

       
    8,540  

Linde plc (a)

  $ 2,725,968  
    45,080  

Newmont Corporation (a)

    2,434,320  
    8,708  

Sherwin-Williams Company (a)

    2,757,040  
              7,917,328  
       

Communications — 12.3%

       
    4,745  

Alphabet, Inc. - Class C (a)(b)

    14,070,871  
    3,501  

Amazon.com, Inc. (a)(b)

    11,806,878  
    52,947  

Comcast Corporation - Class A (a)

    2,723,064  
    19,418  

Meta Platforms, Inc. - Class A (a)(b)

    6,283,082  
    25,063  

Walt Disney Company (a)(b)

    4,237,401  
              39,121,296  
       

Consumer, Cyclical — 13.4%

       
    7,686  

Costco Wholesale Corporation (a)

    3,777,977  
    9,764  

Darden Restaurants, Inc. (a)

    1,407,383  
    20,645  

Dollar General Corporation (a)

    4,573,280  
    89,280  

Fastenal Company (a)

    5,096,102  
    15,536  

Home Depot, Inc. (a)

    5,775,353  
    27,572  

Las Vegas Sands Corporation (a)(b)

    1,070,069  
    21,854  

Marriott International, Inc. - Class A (a)(b)

    3,497,077  
    38,924  

Starbucks Corporation (a)

    4,128,669  
    22,810  

Target Corporation (a)

    5,921,932  
    2,520  

Tesla, Inc. (a)(b)

    2,807,280  
    44,975  

United Airlines Holdings, Inc. (a)(b)

    2,075,147  
    16,953  

Walmart, Inc. (a)

    2,533,117  
              42,663,386  
       

Consumer, Non-cyclical — 19.1%

       
    22,030  

Abbott Laboratories (a)

    2,839,447  
    43,080  

AbbVie, Inc. (a)

    4,939,984  
    11,518  

Anthem, Inc. (a)

    5,011,827  
    28,355  

Booz Allen Hamilton Holding Corporation (a)

    2,462,915  
    6,649  

Charles River Laboratories International, Inc. (a)(b)

    2,983,273  
    21,912  

Johnson & Johnson (a)

    3,569,027  
    37,486  

Medtronic plc (a)

    4,493,072  
    25,854  

PepsiCo, Inc. (a)

    4,178,006  
    21,357  

Procter & Gamble Company (a)

    3,053,837  
    66,197  

Rollins, Inc. (a)

    2,332,120  
    8,805  

S&P Global, Inc. (a)

    4,174,979  
    12,270  

Stryker Corporation (a)

    3,264,679  
    9,930  

Thermo Fisher Scientific, Inc. (a)

    6,286,385  
    15,170  

UnitedHealth Group, Inc. (a)

    6,985,330  
    20,100  

Zoetis, Inc. (a)

    4,345,620  
              60,920,501  
       

COMMON STOCKS — 99.7% (Continued)

       

Energy — 3.4%

       
    65,514  

Devon Energy Corporation (a)

  $ 2,625,801  
    27,021  

Diamondback Energy, Inc. (a)

    2,896,381  
    38,097  

Exxon Mobil Corporation (a)

    2,456,114  
    14,693  

Pioneer Natural Resources Company (a)

    2,747,297  
              10,725,593  
       

Financial — 15.8%

       
    38,195  

American Homes 4 Rent - Class A (a)

    1,550,717  
    9,362  

American Tower Corporation (a)

    2,639,803  
    98,753  

Bank of America Corporation (a)

    4,718,418  
    16,016  

Berkshire Hathaway, Inc. - Class B (a)(b)

    4,596,752  
    5,069  

BlackRock, Inc. (a)

    4,782,399  
    25,666  

Intercontinental Exchange, Inc. (a)

    3,553,714  
    34,469  

JPMorgan Chase & Company (a)

    5,855,939  
    25,740  

Marsh & McLennan Companies, Inc. (a)

    4,293,432  
    10,682  

Mastercard, Inc. - Class A (a)

    3,584,025  
    17,504  

PNC Financial Services Group, Inc. (a)

    3,693,869  
    32,830  

Progressive Corporation (a)

    3,114,910  
    25,420  

Prologis, Inc. (a)

    3,684,883  
    20,540  

Visa, Inc. - Class A (a)

    4,349,756  
              50,418,617  
       

Industrial — 5.2%

       
    21,583  

Caterpillar, Inc. (a)

    4,403,148  
    11,728  

FedEx Corporation (a)

    2,762,296  
    20,220  

L3Harris Technologies, Inc. (a)

    4,661,519  
    18,971  

Union Pacific Corporation (a)

    4,579,599  
              16,406,562  
       

Technology — 26.6% (c)

       
    5,184  

Accenture plc - Class A (a)

    1,859,967  
    3,860  

Adobe, Inc. (a)(b)

    2,510,389  
    27,448  

Analog Devices, Inc. (a)

    4,761,953  
    128,146  

Apple, Inc. (a)

    19,196,271  
    8,908  

Broadcom, Inc. (a)

    4,736,116  
    24,370  

Broadridge Financial Solutions, Inc. (a)

    4,347,852  
    30,966  

Fidelity National Information Services, Inc. (a)

    3,429,175  
    6,739  

Intuit, Inc. (a)

    4,218,547  
    8,288  

Lam Research Corporation (a)

    4,670,868  
    61,364  

Microsoft Corporation (a)

    20,349,530  
    42,740  

Paychex, Inc. (a)

    5,268,987  
    18,301  

salesforce.com, Inc. (a)(b)

    5,484,627  
    19,596  

Texas Instruments, Inc. (a)

    3,673,858  
              84,508,140  

 

The accompanying notes are an integral part of these financial statements.

 

13

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Investments
October 31, 2021 (Unaudited) (Continued)

 

 

Shares

 

Security Description

 


Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Utilities — 1.4%

       
    52,311  

NextEra Energy, Inc. (a)

  $ 4,463,698  
       

TOTAL COMMON STOCKS (Cost $250,996,849)

    317,145,121  

 

 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (d) — 0.5%

       

Call Options — 0.3%

    1,000  

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $20.00

  $ 1,626,000       142,500  
    1,500  

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $25.00

    2,439,000       116,250  
    70  

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,525.00

    32,237,660       771,400  
                      1,030,150  

 

Contracts     Security Description   Notional
Amount
    Value  
        Put Options — 0.2%                
  700     S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $3,100.00   $ 322,376,600     $ 29,750  
  250     S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,450.00     115,134,500       523,750  
                      553,500  
        TOTAL PURCHASED OPTIONS (Cost $1,968,909)             1,583,650  
        Total Investments (Cost $252,965,758) — 100.2%             318,728,771  
        Liabilities in Excess of Other Assets — (0.2)%             (641,616 )
        TOTAL NET ASSETS — 100.0%           $ 318,087,155  

 

Percentages are stated as a percent of net assets.

   

(a)

All or a portion of this security is held as collateral for the options written. At October 31, 2021, the value of these securities amount to $317,145,121 or 99.7% of net assets.

(b)

Non-income producing security.

(c)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

(d)

Exchange traded.

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
October 31, 2021 (Unaudited)

 

 

Contracts

 

Security Description

 

Notional
Value

   

Value

 
     

WRITTEN OPTIONS (a) — (0.6)%

       

Call Options — (0.5)%

    (212 )

Abbott Laboratories, Expiration: 11/19/2021, Exercise Price: $130.00

  $ (2,732,468 )   $ (34,980 )
    (426 )

AbbVie, Inc., Expiration: 11/19/2021, Exercise Price: $116.00

    (4,884,942 )     (72,207 )
    (26 )

Accenture plc - Class A, Expiration: 11/19/2021, Exercise Price: $380.00

    (932,854 )     (2,210 )
    (38 )

Adobe Systems, Inc., Expiration: 11/19/2021, Exercise Price: $705.00

    (2,471,368 )     (4,636 )
    (15 )

Alphabet, Inc. - Class C, Expiration: 11/19/2021, Exercise Price: $3,100.00

    (4,448,115 )     (29,250 )
    (17 )

Amazon.com, Inc., Expiration: 11/19/2021, Exercise Price: $3,600.00

    (5,733,131 )     (18,445 )
    (90 )

American Tower Corporation, Expiration: 11/19/2021, Exercise Price: $290.00

    (2,537,730 )     (18,450 )
    (114 )

Anthem, Inc., Expiration: 11/19/2021, Exercise Price: $470.00

    (4,960,482 )     (9,120 )
    (618 )

Apple, Inc., Expiration: 11/19/2021, Exercise Price: $160.00

    (9,257,640 )     (25,647 )
       

WRITTEN OPTIONS (a) — (0.6)% (Continued)

       

Call Options — (0.5)% (Continued)

    (154 )

Berkshire Hathaway, Inc. - Class B, Expiration: 11/19/2021, Exercise Price: $300.00

  $ (4,419,954 )   $ (15,169 )
    (24 )

BlackRock, Inc., Expiration: 11/19/2021, Exercise Price: $950.00

    (2,264,304 )     (35,400 )
    (44 )

Broadcom, Inc., Expiration: 11/19/2021, Exercise Price: $530.00

    (2,339,348 )     (55,660 )
    (122 )

Broadridge Financial Solutions, Inc., Expiration: 11/19/2021, Exercise Price: $185.00

    (2,176,602 )     (17,385 )
    (208 )

Caterpillar, Inc., Expiration: 11/19/2021, Exercise Price: $220.00

    (4,243,408 )     (15,496 )
    (65 )

Charles River Laboratories International, Inc., Expiration: 11/19/2021, Exercise Price: $480.00

    (2,916,420 )     (20,312 )
    (74 )

Costco Wholesale Corporation, Expiration: 11/19/2021, Exercise Price: $480.00

    (3,637,396 )     (115,995 )
    (635 )

Devon Energy Corporation, Expiration: 11/19/2021, Exercise Price: $50.00

    (2,545,080 )     (6,667 )

 

The accompanying notes are an integral part of these financial statements.

 

15

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
October 31, 2021 (Unaudited) (Continued)

 

 

Contracts

 

Security Description

 

Notional
Value

   

Value

 
       

WRITTEN OPTIONS (a) — (0.6)% (Continued)

       

Call Options — (0.5)% (Continued)

    (262 )

Diamondback Energy, Inc., Expiration: 11/19/2021, Exercise Price: $135.00

  $ (2,808,378 )   $ (7,860 )
    (149 )

Home Depot, Inc., Expiration: 11/19/2021, Exercise Price: $370.00

    (5,538,926 )     (135,962 )
    (124 )

Intercontinental Exchange, Inc., Expiration: 11/19/2021, Exercise Price: $135.00

    (1,716,904 )     (59,520 )
    (33 )

Intuit, Inc., Expiration: 11/19/2021, Exercise Price: $590.00

    (2,065,767 )     (133,815 )
    (33 )

Intuit, Inc., Expiration: 11/19/2021, Exercise Price: $670.00

    (2,065,767 )     (13,035 )
    (170 )

JPMorgan Chase & Company, Expiration: 11/19/2021, Exercise Price: $182.50

    (2,888,130 )     (3,570 )
    (195 )

L3Harris Technologies, Inc., Expiration: 11/19/2021, Exercise Price: $260.00

    (4,495,530 )     (8,775 )
    (40 )

Lam Research Corporation, Expiration: 11/19/2021, Exercise Price: $660.00

    (2,254,280 )     (1,460 )
       

WRITTEN OPTIONS (a) — (0.6)% (Continued)

       

Call Options — (0.5)% (Continued)

    (266 )

Las Vegas Sands Corporation, Expiration: 11/19/2021, Exercise Price: $50.00

  $ (1,032,346 )   $ (2,128 )
    (217 )

Marriott International, Inc. - Class A, Expiration: 11/19/2021, Exercise Price: $177.50

    (3,472,434 )     (11,067 )
    (103 )

Mastercard, Inc. - Class A, Expiration: 11/19/2021, Exercise Price: $380.00

    (3,455,856 )     (3,245 )
    (361 )

Medtronic plc, Expiration: 11/19/2021, Exercise Price: $135.00

    (4,326,946 )     (14,621 )
    (187 )

Meta Platforms, Inc. - Class A, Expiration: 11/19/2021, Exercise Price: $400.00

    (6,050,759 )     (3,366 )
    (510 )

NextEra Energy, Inc., Expiration: 11/19/2021, Exercise Price: $90.00

    (4,351,830 )     (11,475 )
    (1,000 )

November 21 Cboe Volatility Index, Expiration: 11/17/2021, Exercise Price: $35.00

    (1,626,000 )     (32,500 )
    (1,500 )

November 21 Cboe Volatility Index, Expiration: 11/17/2021, Exercise Price: $50.00

    (2,439,000 )     (18,750 )

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

Aptus Collared Income Opportunity ETF

 

Schedule of Written Options
October 31, 2021 (Unaudited) (Continued)

 

 

Contracts

 

Security Description

 

Notional
Value

   

Value

 
       

WRITTEN OPTIONS (a) — (0.6)% (Continued)

       

Call Options — (0.5)% (Continued)

    (70 )

November 21 S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,625.00

  $ (32,237,660 )   $ (276,150 )
    (124 )

PepsiCo, Inc., Expiration: 11/19/2021, Exercise Price: $165.00

    (2,003,840 )     (9,300 )
    (77 )

Pioneer Natural Resources Company, Expiration: 11/19/2021, Exercise Price: $215.00

    (1,439,746 )     (5,005 )
    (174 )

PNC Financial Services Group, Inc., Expiration: 11/19/2021, Exercise Price: $227.50

    (3,671,922 )     (5,655 )
    (245 )

Prologis, Inc., Expiration: 11/19/2021, Exercise Price: $140.00

    (3,551,520 )     (150,675 )
    (85 )

S&P Global, Inc., Expiration: 11/19/2021, Exercise Price: $485.00

    (4,030,360 )     (64,175 )
    (85 )

Sherwin-Williams Company, Expiration: 11/19/2021, Exercise Price: $330.00

    (2,691,185 )     (14,025 )
    (375 )

Starbucks Corporation, Expiration: 11/19/2021, Exercise Price: $120.00

    (3,977,625 )     (5,250 )
       

WRITTEN OPTIONS (a) — (0.6)% (Continued)

       

Call Options — (0.5)% (Continued)

    (118 )

Stryker Corporation, Expiration: 11/19/2021, Exercise Price: $280.00

  $ (3,139,626 )   $ (15,045 )
    (225 )

Target Corporation, Expiration: 11/19/2021, Exercise Price: $285.00

    (5,841,450 )     (25,313 )
    (24 )

Tesla, Inc., Expiration: 11/05/2021, Exercise Price: $1,275.00

    (2,673,600 )     (10,800 )
    (95 )

Thermo Fisher Scientific, Inc., Expiration: 11/19/2021, Exercise Price: $640.00

    (6,014,165 )     (87,400 )
    (92 )

Union Pacific Corporation, Expiration: 11/19/2021, Exercise Price: $235.00

    (2,220,880 )     (76,820 )
    (223 )

United Airlines Holdings, Inc., Expiration: 11/19/2021, Exercise Price: $55.00

    (1,028,922 )     (2,676 )
    (200 )

Zoetis, Inc., Expiration: 11/19/2021, Exercise Price: $230.00

    (4,324,000 )     (15,000 )
                      (1,721,467 )
       

Put Options — (0.1)% (b)

       
    (250 )

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,150.00

  $ (115,134,500 )   $ (132,500 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $930,670)

  $ (1,853,967 )

 

(a)

Exchange traded.

 

The accompanying notes are an integral part of these financial statements.

 

17

 

 

Aptus Defined Risk ETF

 

Schedule of Investments
October 31, 2021 (Unaudited)

 

 

Shares

 

Security Description

 


Value

 
       

EXCHANGE TRADED FUNDS — 90.7% (a)

       

Investment Grade Corporate Bonds — 90.7%

    5,359,172  

iShares iBonds Dec 2022 Term Corporate ETF (b)

  $ 135,372,685  
    7,970,871  

iShares iBonds Dec 2023 Term Corporate ETF (b)(c)

    206,286,141  
    6,032,937  

iShares iBonds Dec 2024 Term Corporate ETF (b)

    157,580,314  
    6,209,472  

iShares iBonds Dec 2025 Term Corporate ETF (b)

    165,544,524  
    2,932,168  

iShares iBonds Dec 2026 Term Corporate ETF (b)

    76,998,732  
       

TOTAL EXCHANGE TRADED FUNDS (Cost $747,469,662)

    741,782,396  
                         
 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (d) — 5.8%

       

Call Options — 5.2%

    4,000  

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $20.00

  $ 6,504,000       570,000  
    2,000  

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $25.00

    3,252,000       155,000  
    10,000  

Energy Select Sector SPDR Fund, Expiration: 11/19/2021, Exercise Price: $60.00

    57,470,000       645,000  
    3,500  

Invesco QQQ Trust Series 1, Expiration: 12/17/2021, Exercise Price: $385.00

    135,138,500       3,746,750  
    3,500  

Invesco QQQ Trust Series 1, Expiration: 12/17/2021, Exercise Price: $390.00

    135,138,500       2,744,000  

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (d) — 5.8% (Continued)

       

Call Options — 5.2% (Continued)

    12,000  

Las Vegas Sands Corporation, Expiration: 03/18/2022, Exercise Price: $42.00

  $ 46,572,000     $ 3,396,000  
    500  

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,500.00

    230,269,000       6,550,000  
    2,750  

S&P 500 Index, Expiration: 12/17/2021, Exercise Price: $4,650.00

    1,266,479,500       17,077,500  
    6,100  

SPDR S&P Oil & Gas Exploration & Production ETF, Expiration: 01/21/2022, Exercise Price: $110.00

    64,879,600       4,056,500  
    7,700  

Walt Disney Company, Expiration: 01/21/2022, Exercise Price: $180.00

    130,183,900       3,195,500  
                      42,136,250  
       

Put Options — 0.6%

               
    2,900  

iShares iBoxx $ Investment Grade Corporate Bond ETF, Expiration: 01/21/2022, Exercise Price: $130.00

    38,709,200       301,600  

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

Aptus Defined Risk ETF

 

Schedule of Investments
October 31, 2021 (Unaudited) (Continued)

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (d) — 5.8% (Continued)

       

Put Options — 0.6% (Continued)

    620  

S&P 500 Index, Expiration: 12/17/2021, Exercise Price: $4,560.00

  $ 285,533,560     $ 4,851,500  
                      5,153,100  
       

TOTAL PURCHASED OPTIONS (Cost $38,402,646)

    47,289,350  
       

Total Investments (Cost $785,872,308) — 96.5%

    789,071,746  
       

Other Assets in Excess of Liabilities — 3.5%

    28,338,731  
       

TOTAL NET ASSETS — 100.0%

  $ 817,410,477  

 

Percentages are stated as a percent of net assets.

 

(a)

The risks of investing in investment companies, such as the underlying ETFs, typically reflect the risks of the types of investments in which the investment companies invest. See Note 9 in Notes to Financial Statements.

(b)

Affiliated Exchange Traded Fund. See Note 5 in Notes to Financial Statements.

(c)

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.

(d)

Exchange traded.

 

The accompanying notes are an integral part of these financial statements.

 

19

 

 

Aptus Defined Risk ETF

 

Schedule of Written Options
October 31, 2021 (Unaudited)

 

 

Contracts

 

Security Description

 

Notional
Value

   

Value

 
       

WRITTEN OPTIONS (a) — (0.1)%

       

Call Options — (0.1)%

    (4,000 )

November 21 Cboe Volatility Index, Expiration: 11/17/2021, Exercise Price: $35.00

  $ (6,504,000 )   $ (130,000 )
    (2,000 )

November 21 Cboe Volatility Index, Expiration: 11/17/2021, Exercise Price: $50.00

    (3,252,000 )     (25,000 )
    (10,000 )

Energy Select Sector SPDR Fund, Expiration: 11/19/2021, Exercise Price: $65.00

    (57,470,000 )     (110,000 )
    (2,500 )

SPDR S&P Oil & Gas Exploration & Production ETF, Expiration: 01/21/2022, Exercise Price: $140.00

    (26,590,000 )     (251,250 )
                      (516,250 )
       

Put Options — (0.0)% (b)

    (2,900 )

iShares iBoxx $ Investment Grade Corporate Bond ETF, Expiration: 01/21/2022, Exercise Price: $120.00

  $ (38,709,200 )   $ (68,150 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $901,916)

  $ (584,400 )

 

(a)

Exchange traded.

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Investments
October 31, 2021 (Unaudited)

 

 


Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.1%

       
       

Basic Materials — 2.6%

       
    4,854  

Linde plc

  $ 1,549,397  
    53,875  

Newmont Corporation

    2,909,250  
    10,815  

Sherwin-Williams Company

    3,424,137  
              7,882,784  
       

Communications — 13.5%

       
    4,432  

Alphabet, Inc. - Class C (a)

    13,142,697  
    3,327  

Amazon.com, Inc. (a)

    11,220,074  
    1,442  

Booking Holdings, Inc. (a)

    3,490,765  
    50,348  

Comcast Corporation - Class A

    2,589,398  
    18,140  

Meta Platforms, Inc. - Class A (a)

    5,869,560  
    5,611  

Netflix, Inc. (a)

    3,873,329  
              40,185,823  
       

Consumer, Cyclical — 11.5%

       
    1,029  

AutoZone, Inc. (a)

    1,836,600  
    37,743  

Carnival Corporation (a)

    836,385  
    19,366  

Darden Restaurants, Inc.

    2,791,415  
    70,242  

Delta Air Lines, Inc. (a)

    2,748,570  
    22,202  

Dollar General Corporation

    4,918,187  
    17,115  

Hilton Worldwide Holdings, Inc. (a)

    2,463,704  
    8,043  

Home Depot, Inc.

    2,989,905  
    879  

NVR, Inc. (a)

    4,302,529  
    8,966  

Pool Corporation

    4,618,925  
    2,146  

Tesla, Inc. (a)

    2,390,644  
    14,469  

Toyota Motor Corporation - ADR

    2,554,791  
    12,552  

Walmart, Inc.

    1,875,520  
              34,327,175  
       

Consumer, Non-cyclical — 19.0%

       
    37,970  

Abbott Laboratories

    4,893,953  
    9,499  

Amgen, Inc.

    1,966,008  
    7,066  

Charles River Laboratories International, Inc. (a)

    3,170,373  
    6,923  

Chemed Corporation

    3,338,617  
    7,337  

Cintas Corporation

    3,177,655  
    30,977  

Edwards Lifesciences Corporation (a)

    3,711,664  
    8,946  

Eli Lilly and Company

    2,279,083  
    10,612  

Intuitive Surgical, Inc. (a)

    3,832,312  
    24,884  

Johnson & Johnson

    4,053,106  
    14,529  

PayPal Holdings, Inc. (a)

    3,379,300  
    22,352  

PepsiCo, Inc.

    3,612,083  
    17,505  

Procter & Gamble Company

    2,503,040  
    4,967  

S&P Global, Inc.

    2,355,153  
    6,980  

Thermo Fisher Scientific, Inc.

    4,418,829  
    14,337  

UnitedHealth Group, Inc.

    6,601,758  
    14,317  

Zoetis, Inc.

    3,095,335  
              56,388,269  
       

COMMON STOCKS — 99.1% (Continued)

       

Energy — 3.0%

       
    16,718  

Chevron Corporation

  $ 1,914,044  
    21,614  

Diamondback Energy, Inc.

    2,316,805  
    19,384  

EOG Resources, Inc.

    1,792,244  
    15,694  

Pioneer Natural Resources Company

    2,934,464  
              8,957,557  
       

Financial — 15.4%

       
    74,669  

Bank of America Corporation

    3,567,685  
    15,246  

Berkshire Hathaway, Inc. - Class B (a)

    4,375,754  
    48,958  

Charles Schwab Corporation

    4,016,025  
    17,648  

Chubb, Ltd.

    3,448,066  
    14,953  

First Republic Bank/CA

    3,234,783  
    113,421  

Host Hotels & Resorts, Inc. (a)

    1,908,875  
    30,230  

Intercontinental Exchange, Inc.

    4,185,646  
    31,031  

JPMorgan Chase & Company

    5,271,857  
    12,662  

Mastercard, Inc. - Class A

    4,248,354  
    8,950  

PNC Financial Services Group, Inc.

    1,888,719  
    25,666  

Progressive Corporation

    2,435,190  
    12,047  

Sun Communities, Inc.

    2,360,971  
    22,137  

Visa, Inc. - Class A

    4,687,952  
              45,629,877  
       

Industrial — 6.6%

       
    55,300  

Carrier Global Corporation

    2,888,319  
    19,241  

Caterpillar, Inc.

    3,925,356  
    10,113  

FedEx Corporation

    2,381,915  
    10,775  

Lockheed Martin Corporation

    3,580,748  
    47,561  

Otis Worldwide Corporation

    3,819,624  
    17,682  

Raytheon Technologies Corporation

    1,571,223  
    5,581  

Union Pacific Corporation

    1,347,253  
              19,514,438  
       

Technology — 26.0% (b)

       
    7,773  

Accenture plc - Class A

    2,788,875  
    8,191  

Adobe, Inc. (a)

    5,327,099  
    119,670  

Apple, Inc.

    17,926,566  
    3,835  

ASML Holding NV - NY

    3,117,395  
    11,623  

Entegris, Inc.

    1,636,286  
    29,963  

Fidelity National Information Services, Inc.

    3,318,103  
    6,047  

Lam Research Corporation

    3,407,908  
    57,315  

Microsoft Corporation

    19,006,800  
    19,368  

NVIDIA Corporation

    4,951,816  
    10,988  

Roper Technologies, Inc.

    5,360,715  
    14,414  

salesforce.com, Inc. (a)

    4,319,732  
    30,721  

Taiwan Semiconductor Manufacturing Company, Ltd. - ADR

    3,492,978  

 

The accompanying notes are an integral part of these financial statements.

 

21

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Investments
October 31, 2021 (Unaudited) (Continued)

 

 


Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.1% (Continued)

       

Technology — 26.0% (b) (Continued)

       
    14,253  

Take-Two Interactive Software, Inc. (a)

  $ 2,579,793  
              77,234,066  
       

Utilities — 1.5%

       
    52,385  

NextEra Energy, Inc.

    4,470,012  
       

TOTAL COMMON STOCKS (Cost $219,136,873)

    294,590,001  

 

 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (c) — 0.5%

       

Call Options — 0.3%

    1,000  

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $20.00

  $ 1,626,000       142,500  
    1,500  

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $25.00

    2,439,000       116,250  
    70  

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,525.00

    32,237,660       771,400  
                      1,030,150  
                         
 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (c) — 0.5% (Continued)

       

Put Options — 0.2%

               
    1,000  

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $3,100.00

  $ 460,538,000     $ 42,500  
    200  

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,450.00

    92,107,600       419,000  
                      461,500  
       

TOTAL PURCHASED OPTIONS (Cost $1,887,596)

    1,491,650  
       

Total Investments (Cost $221,024,469) — 99.6%

    296,081,651  
       

Other Assets in Excess of Liabilities — 0.4%

    1,049,210  
       

TOTAL NET ASSETS — 100.0%

  $ 297,130,861  

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt.

NY

New York Registry Shares.

(a)

Non-income producing security.

(b)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

(c)

Exchange traded.

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

Aptus Drawdown Managed Equity ETF

 

Schedule of Written Options
October 31, 2021 (Unaudited)

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

WRITTEN OPTIONS (a) — (0.1)%

       

Call Options — (0.1)%

    (1,000 )

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $35.00

  $ (1,626,000 )   $ (32,500 )
    (1,500 )

CBOE Volatility Index, Expiration: 11/17/2021, Exercise Price: $50.00

    (2,439,000 )     (18,750 )
    (70 )

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,625.00

    (32,237,660 )     (276,150 )
                      (327,400 )
       

Put Options — (0.0)% (b)

    (200)

S&P 500 Index, Expiration: 11/19/2021, Exercise Price: $4,150.00

  $ (92,107,600 )   $ (106,000 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $380,892)

  $ (433,400 )

 

(a)

Exchange traded.

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

23

 

 

Opus Small Cap Value ETF

 

Schedule of Investments
October 31, 2021 (Unaudited)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5%

       
       

Basic Materials — 3.4%

       
    101,257  

Hudbay Minerals, Inc.

  $ 704,749  
    13,772  

Minerals Technologies, Inc.

    976,986  
    10,098  

Reliance Steel & Aluminum Company

    1,475,924  
    67,036  

Valvoline, Inc.

    2,276,542  
              5,434,201  
       

Communications — 2.9%

       
    62,720  

AudioCodes, Ltd.

    2,222,797  
    20,654  

Shutterstock, Inc.

    2,502,232  
              4,725,029  
       

Consumer, Cyclical — 15.0%

       
    9,431  

Allegiant Travel Company (a)

    1,652,971  
    33,517  

Boyd Gaming Corporation (a)

    2,137,714  
    9,988  

Churchill Downs, Inc.

    2,297,240  
    23,002  

Dolby Laboratories, Inc. - Class A

    2,032,227  
    39,713  

KB Home

    1,594,477  
    7,326  

Marriott Vacations Worldwide Corporation

    1,151,794  
    32,037  

MDC Holdings, Inc.

    1,569,172  
    27,729  

RCI Hospitality Holdings, Inc.

    1,880,026  
    8,565  

Scotts Miracle-Gro Company

    1,271,560  
    24,173  

SkyWest, Inc. (a)

    1,040,164  
    24,501  

Texas Roadhouse, Inc.

    2,175,934  
    16,370  

Thor Industries, Inc.

    1,669,085  
    14,117  

Travel + Leisure Company

    767,118  
    5,334  

Watsco, Inc.

    1,544,620  
    59,398  

Wendy’s Company

    1,324,575  
              24,108,677  
       

Consumer, Non-cyclical — 14.0%

       
    24,598  

Booz Allen Hamilton Holding Corporation

    2,136,582  
    7,107  

Chemed Corporation

    3,427,351  
    22,881  

Ensign Group, Inc.

    1,784,947  
    40,054  

EVERTEC, Inc.

    1,810,841  
    26,664  

ICF International, Inc.

    2,679,466  
    46,600  

Kforce, Inc.

    3,017,816  
    41,998  

Select Medical Holdings Corporation

    1,395,174  
    48,396  

Turning Point Brands, Inc.

    1,847,275  
    23,120  

US Physical Therapy, Inc.

    2,493,723  
    8,628  

WD-40 Company

    1,958,556  
              22,551,731  
       

Energy — 10.1%

       
    77,240  

Atlantica Sustainable Infrastructure plc

    3,039,394  
    70,211  

Brigham Minerals, Inc. - Class A

    1,627,491  
    62,476  

Helmerich & Payne, Inc.

    1,939,255  
    116,274  

Kimbell Royalty Partners LP

    1,754,575  
       

COMMON STOCKS — 99.5% (Continued)

       

Energy — 10.1% (Continued)

    25,844  

NextEra Energy Partners LP

  $ 2,230,337  
    16,130  

Oasis Petroleum, Inc.

    1,945,278  
    1,239  

Texas Pacific Land Corporation

    1,578,077  
    100,385  

Viper Energy Partners LP

    2,213,489  
              16,327,896  
       

Financial — 30.1% (b)

       
    104,884  

City Office REIT, Inc.

    1,989,649  
    23,100  

Community Healthcare Trust, Inc.

    1,105,104  
    19,122  

CyrusOne, Inc.

    1,568,386  
    12,569  

EastGroup Properties, Inc.

    2,485,897  
    46,694  

Enterprise Financial Services Corporation

    2,195,552  
    69,574  

Essential Properties Realty Trust, Inc.

    2,072,609  
    19,134  

First Interstate BancSystem, Inc. - Class A

    795,400  
    38,746  

Four Corners Property Trust, Inc.

    1,123,634  
    49,254  

German American Bancorp, Inc.

    1,941,593  
    33,130  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

    2,001,052  
    11,781  

Hanover Insurance Group, Inc.

    1,484,406  
    9,561  

Hingham Institution for Savings

    3,453,816  
    39,644  

Home BancShares, Inc./AR

    941,941  
    84,352  

Ladder Capital Corporation

    1,012,224  
    29,680  

Lakeland Financial Corporation

    2,133,102  
    22,079  

National Storage Affiliates Trust

    1,379,054  
    19,829  

NexPoint Residential Trust, Inc.

    1,404,290  
    33,358  

Preferred Bank

    2,287,358  
    9,200  

Primerica, Inc.

    1,547,808  
    72,113  

Seacoast Banking Corporation of Florida

    2,627,077  
    20,109  

ServisFirst Bancshares, Inc.

    1,614,954  
    35,422  

Stock Yards Bancorp, Inc.

    2,169,598  
    63,750  

UMH Properties, Inc.

    1,526,175  
    32,801  

Washington Trust Bancorp, Inc.

    1,792,903  
    78,651  

West BanCorp, Inc.

    2,493,237  
    28,671  

Western Alliance Bancorp

    3,328,416  
              48,475,235  
       

Industrial — 17.5%

       
    15,895  

AptarGroup, Inc.

    1,919,798  
    40,800  

Arcosa, Inc.

    2,110,584  
    10,730  

Carlisle Companies, Inc.

    2,391,931  
    17,594  

Comfort Systems USA, Inc.

    1,609,323  
    14,980  

Encore Wire Corporation

    2,008,219  
    55,816  

Federal Signal Corporation

    2,389,483  
    27,194  

Forward Air Corporation

    2,734,629  
    10,472  

Hubbell, Inc.

    2,087,803  

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

Opus Small Cap Value ETF

 

Schedule of Investments
October 31, 2021 (Unaudited) (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5% (Continued)

       

Industrial — 17.5% (Continued)

    9,358  

Kadant, Inc.

  $ 2,078,599  
    13,820  

Landstar System, Inc.

    2,429,694  
    19,332  

Owens Corning

    1,805,802  
    17,079  

Tetra Tech, Inc.

    3,000,097  
    20,625  

UFP Industries, Inc.

    1,687,744  
              28,253,706  
       

Technology — 5.1%

       
    11,552  

Jack Henry & Associates, Inc.

    1,923,177  
    93,383  

Magic Software Enterprises, Ltd.

    2,033,882  
    12,733  

MKS Instruments, Inc.

    1,910,587  
    24,139  

TTEC Holdings, Inc.

    2,278,480  
              8,146,126  
       

Utilities — 1.4%

       
    36,488  

California Water Service Group

    2,221,389  
       

TOTAL COMMON STOCKS (Cost $136,297,988)

    160,243,990  
       

Total Investments (Cost $136,297,988) — 99.5%

    160,243,990  
       

Other Assets in Excess of Liabilities — 0.5%

    809,669  
       

TOTAL NET ASSETS — 100.0%

  $ 161,053,659  

 

Percentages are stated as a percent of net assets.

 

(a)

Non-income producing security.

(b)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

25

 

 

International Drawdown Managed Equity ETF

 

Schedule of Investments
October 31, 2021 (Unaudited)

 

 

Shares

 

Security Description

 


Value

 
       

EXCHANGE TRADED FUNDS — 99.4% (a)

       

Developed Market Equity — 71.4%

       
    1,761,940  

SPDR Portfolio Developed World ex-US ETF (b)

  $ 65,826,078  
                 
       

Emerging Market Equity — 28.0%

       
    509,871  

Vanguard FTSE Emerging Markets ETF (b)

    25,830,065  
       

TOTAL EXCHANGE TRADED FUNDS (Cost $91,912,321)

    91,656,143  
                         
 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (c) — 0.3%

       
       

Call Options — 0.1%

       
    850  

iShares China Large-Cap ETF, Expiration: 11/19/2021, Exercise Price: $42.00

  $ 3,428,050       22,950  
    2,500  

iShares MSCI Emerging Markets ETF, Expiration: 12/31/2021, Exercise Price: $54.00

    12,730,000       75,000  
                      97,950  

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (c) — 0.3% (Continued)

       

Put Options — 0.2%

               
    3,500  

iShares MSCI EAFE ETF, Expiration: 11/19/2021, Exercise Price: $77.00

  $ 28,171,500     $ 63,000  
    2,200  

iShares MSCI Emerging Markets ETF, Expiration: 11/19/2021, Exercise Price: $50.00

    11,202,400       104,500  
                      167,500  
       

TOTAL PURCHASED OPTIONS (Cost $954,389)

    265,450  
       

Total Investments (Cost $92,866,710) — 99.7%

    91,921,593  
       

Other Assets in Excess of Liabilities — 0.3%

    250,522  
       

TOTAL NET ASSETS — 100.0%

  $ 92,172,115  

 

Percentages are stated as a percent of net assets.

 

(a)

The risks of investing in investment companies, such as the underlying ETFs, typically reflect the risks of the types of investments in which the investment companies invest. See Note 9 in Notes to Financial Statements.

(b)

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.

(c)

Exchange traded.

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

International Drawdown Managed Equity ETF

 

Schedule of Written Options
October 31, 2021 (Unaudited)

 

 

Contracts

 

Security Description

 

Notional
Value

   

Value

 
       

WRITTEN OPTIONS (a) — (0.1)%

       

Call Options — (0.0)% (b)

    (2,500 )

iShares MSCI Emerging Markets ETF, Expiration: 12/31/2021, Exercise Price: $58.00

  $ (12,730,000 )   $ (22,500 )
                      (22,500 )
       

Put Options — (0.1)%

    (3,500 )

iShares MSCI EAFE ETF, Expiration: 11/19/2021, Exercise Price: $72.00

  $ (28,171,500 )   $ (24,500 )
    (2,200 )

iShares MSCI Emerging Markets ETF, Expiration: 11/19/2021, Exercise Price: $46.00

    (11,202,400 )     (16,500 )
                      (41,000 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $254,015)

  $ (63,500 )

 

(a)

Exchange traded.

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

27

 

 

Aptus ETFs

 

Statements of Assets and Liabilities

October 31, 2021 (Unaudited)

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

   

International
Drawdown
Managed
Equity ETF

 

ASSETS

                                       

Investments in unaffiliated securities, at value*

  $ 318,728,771     $ 47,289,350     $ 296,081,651     $ 160,243,990     $ 91,921,593  

Investments in affiliated securities, at value*

          741,782,396                    

Cash

    340,965       7,078,399       610,958       1,608,668       289,717  

Receivable for capital shares sold

    1,582,365       4,402,635       4,189,810              

Receivable for securities sold

    624,061       4,116,989                    

Deposit at broker for options

    516,422       22,654,018       882,162             67,546  

Dividends receivable

    279,270             140,231       91,044        

Restricted cash for options

    223,538                          

Total assets

    322,295,392       827,323,787       301,904,812       161,943,702       92,278,856  
                                         

LIABILITIES

                                       

Written options, at value (premiums received, $930,670, $901,916 $380,892, $0, and $254,015)

    1,853,967       584,400       433,400             63,500  

Payable for securities purchased

    2,152,470       8,851,126       4,153,543              

Management fees payable

    201,800       477,784       187,008       102,224       43,241  

Payable to custodian

                      787,819        

Total liabilities

    4,208,237       9,913,310       4,773,951       890,043       106,741  
                                         

NET ASSETS

  $ 318,087,155     $ 817,410,477     $ 297,130,861     $ 161,053,659     $ 92,172,115  
                                         

Net Assets Consist of:

                                       

Paid-in capital

  $ 274,486,141     $ 806,066,943     $ 264,473,633     $ 136,020,920     $ 92,862,690  

Total distributable earnings (accumulated deficit)

    43,601,014       11,343,534       32,657,228       25,032,739       (690,575 )

Net assets

  $ 318,087,155     $ 817,410,477     $ 297,130,861     $ 161,053,659     $ 92,172,115  
                                         

Net Asset Value:

                                       

Net assets

  $ 318,087,155     $ 817,410,477     $ 297,130,861     $ 161,053,659     $ 92,172,115  

Shares outstanding^

    10,050,000       27,850,000       7,091,755       4,675,000       3,700,000  

Net asset value, offering and redemption price per share

  $ 31.65     $ 29.35     $ 41.90     $ 34.45     $ 24.91  
                                         

* Identified Cost:

                                       

Investment in unaffiliated securities

  $ 252,965,758     $ 38,402,646     $ 221,024,469     $ 136,297,988     $ 92,866,710  

Investment in affiliated securities

          747,469,662                    

 

^

No par value, unlimited number of shares authorized.

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

Aptus ETFs

 

Statements of Operations

For the Six-Months/Period Ended October 31, 2021 (Unaudited)

 

   

Aptus Collared
Income
Opportunity ETF

   

Aptus Defined
Risk ETF

   

Aptus Drawdown
Managed
Equity ETF

   

Opus Small Cap
Value ETF

   

International
Drawdown
Managed
Equity ETF
(1)

 

INCOME

                                       

Dividends from unaffiliated investments (2)

  $ 1,764,707     $ 128,470     $ 1,304,435     $ 1,148,473     $ 219,867  

Dividends from affiliated investments

          5,073,751                    

Total investment income

    1,764,707       5,202,221       1,304,435       1,148,473       219,867  
                                         

EXPENSES

                                       

Management fees

    999,624       2,607,753       1,008,785       504,079       109,151  

Interest expense

    958       20,908       319             103  

Total expenses

    1,000,582       2,628,661       1,009,104       504,079       109,254  

Net investment income (loss)

    764,125       2,573,560       295,331       644,394       110,613  
                                         

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                                       

Net realized gain (loss) on:

                                       

Investments in unaffiliated securities

    (6,548,015 )     (5,704,925 )     (1,328,410 )     4,540,106       (98,096 )

Investments in affiliated securities

          323,202                    

Written options

    3,303,294       637,903       3,240,055             51,510  

Change in unrealized appreciation (depreciation) on:

                                       

Investments in unaffiliated securities

    21,281,047       9,926,894       18,645,168       1,841,228       (945,117 )

Investments in affiliated securities

          (7,547,309 )                  

Written options

    (1,210,097 )     759,041       (280,434 )           190,515  

Net realized and unrealized gain (loss) on investments

    16,826,229       (1,605,194 )     20,276,379       6,381,334       (801,188 )

Net increase (decrease) in net assets resulting from operations

  $ 17,590,354     $ 968,366     $ 20,571,710     $ 7,025,728     $ (690,575 )

 

(1)

The Fund commenced operations on July 22, 2021. The information presented is from July 22, 2021 to October 31, 2021.

(2)

Net of foreign taxes withheld of $0, $0, $4,368, $15,586, and $0 respectively.

 

The accompanying notes are an integral part of these financial statements.

 

29

 

 

Aptus Collared Income Opportunity ETF

 

Statements of Changes in Net Assets

 

   

Six-Months Ended
October 31, 2021
(Unaudited)

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 764,125     $ 1,549,485  

Net realized gain (loss) on investments and written options

    (3,244,721 )     (10,089,648 )

Change in unrealized appreciation (depreciation) on investments and written options

    20,070,950       42,343,475  

Net increase (decrease) in net assets resulting from operations

    17,590,354       33,803,312  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (730,250 )     (1,454,907 )

Total distributions to shareholders

    (730,250 )     (1,454,907 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    102,499,835       65,756,530  

Payments for shares redeemed

    (3,014,720 )     (9,332,665 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    99,485,115       56,423,865  

Net increase (decrease) in net assets

  $ 116,345,219     $ 88,772,270  
                 

NET ASSETS

               

Beginning of period/year

  $ 201,741,936     $ 112,969,666  

End of period/year

  $ 318,087,155     $ 201,741,936  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    3,350,000       2,450,000  

Shares redeemed

    (100,000 )     (350,000 )

Net increase (decrease)

    3,250,000       2,100,000  

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

Aptus Defined Risk ETF

 

Statements of Changes in Net Assets

 

   

Six-Months Ended
October 31, 2021
(Unaudited)

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 2,573,560     $ 5,065,214  

Net realized gain (loss) on investments and written options

    (4,743,820 )     15,273,873  

Change in unrealized appreciation (depreciation) on investments and written options

    3,138,626       (2,599,092 )

Net increase (decrease) in net assets resulting from operations

    968,366       17,739,995  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (2,612,463 )     (27,066,131 )

Total distributions to shareholders

    (2,612,463 )     (27,066,131 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    202,115,935       425,007,540  

Payments for shares redeemed

    (39,424,835 )     (19,346,640 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    162,691,100       405,660,900  

Net increase (decrease) in net assets

  $ 161,047,003     $ 396,334,764  
                 

NET ASSETS

               

Beginning of period/year

  $ 656,363,474     $ 260,028,710  

End of period/year

  $ 817,410,477     $ 656,363,474  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    6,850,000       14,150,000  

Shares redeemed

    (1,350,000 )     (650,000 )

Net increase (decrease)

    5,500,000       13,500,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

31

 

 

Aptus Drawdown Managed Equity ETF

 

Statements of Changes in Net Assets

 

   

Six-Months Ended
October 31, 2021
(Unaudited)

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 295,331     $ 510,194  

Net realized gain (loss) on investments and written options

    1,911,645       (4,593,838 )

Change in unrealized appreciation (depreciation) on investments and written options

    18,364,734       47,892,841  

Net increase (decrease) in net assets resulting from operations

    20,571,710       43,809,197  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Dividends from net investment income

    (337,404 )     (604,958 )

Return of capital

          (49,223 )

Total distributions to shareholders

    (337,404 )     (654,181 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    56,567,580       58,663,075  

Payments for shares redeemed

    (2,004,400 )     (10,734,185 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    54,563,180       47,928,890  

Net increase (decrease) in net assets

  $ 74,797,486     $ 91,083,906  
                 

NET ASSETS

               

Beginning of period/year

  $ 222,333,375     $ 131,249,469  

End of period/year

  $ 297,130,861     $ 222,333,375  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    1,400,000       1,700,000  

Shares redeemed

    (50,000 )     (300,000 )

Net increase (decrease)

    1,350,000       1,400,000  

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

Opus Small Cap Value ETF

 

Statements of Changes in Net Assets

 

   

Six-Months Ended
October 31, 2021
(Unaudited)

   

Year Ended
April 30, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 644,394     $ 500,539  

Net realized gain (loss) on investments

    4,540,106       4,133,180  

Change in unrealized appreciation (depreciation) on investments

    1,841,228       27,115,173  

Net increase (decrease) in net assets resulting from operations

    7,025,728       31,748,892  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Dividends from net investment income

    (567,160 )     (500,479 )

Return of capital

          (88,541 )

Total distributions to shareholders

    (567,160 )     (589,020 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    49,601,820       34,911,667  

Payments for shares redeemed

    (1,666,605 )     (3,804,595 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    47,935,215       31,107,072  

Net increase (decrease) in net assets

  $ 54,393,783     $ 62,266,944  
                 

NET ASSETS

               

Beginning of period/year

  $ 106,659,876     $ 44,392,932  

End of period/year

  $ 161,053,659     $ 106,659,876  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

   

Shares

 

Shares sold

    1,500,000       1,225,000  

Shares redeemed

    (50,000 )     (175,000 )

Net increase (decrease)

    1,450,000       1,050,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

33

 

 

International Drawdown Managed Equity ETF

 

Statement of Changes in Net Assets

 

   

Period Ended
October 31, 2021
(Unaudited)
(1)

 

OPERATIONS

       

Net investment income (loss)

  $ 110,613  

Net realized gain (loss) on investments and written options

    (46,586 )

Change in unrealized appreciation (depreciation) on investments and written options

    (754,602 )

Net increase (decrease) in net assets resulting from operations

    (690,575 )
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from shares sold

    92,862,690  

Payments for shares redeemed

     

Net increase (decrease) in net assets derived from capital share transactions (a)

    92,862,690  

Net increase (decrease) in net assets

  $ 92,172,115  
         

NET ASSETS

       

Beginning of period

  $  

End of period

  $ 92,172,115  

 

(a)

A summary of capital share transactions is as follows:

 

   

Shares

 

Shares sold

    3,700,000  

Shares redeemed

     

Net increase (decrease)

    3,700,000  

 

(1)

The Fund commenced operations on July 22, 2021. The information presented is from July 22, 2021 to October 31, 2021.

 

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

Aptus Collared Income Opportunity ETF

 

Financial Highlights

For a capital share outstanding throughout the period/year

 

   

Six-Months
Ended
October 31,
2021
(Unaudited)

   

Year
Ended
April 30,
2021

   

Period
Ended
April 30,
2020
(1)

 

Net asset value, beginning of period/year

  $ 29.67     $ 24.04     $ 25.00  
                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                       

Net investment income (loss) (2)

    0.09       0.27       0.49  

Net realized and unrealized gain (loss) on investments (3)

    1.97       5.61       (1.01 )

Total from investment operations

    2.06       5.88       (0.52 )
                         

DISTRIBUTIONS TO SHAREHOLDERS:

                       

Distributions from:

                       

Net investment income

    (0.08 )     (0.25 )     (0.44 )

Total distributions to shareholders

    (0.08 )     (0.25 )     (0.44 )

Net asset value, end of period/year

  $ 31.65     $ 29.67     $ 24.04  

Total return

    6.97 %(4)     24.57 %     -2.14 %(4)
                         

SUPPLEMENTAL DATA:

                       

Net assets at end of period/year (000’s)

  $ 318,087     $ 201,742     $ 112,970  
                         

RATIOS TO AVERAGE NET ASSETS:

                       

Expenses to average net assets

    0.79 %(5)     0.79 %     0.79 %(5)

Net investment income (loss) to average net assets

    0.60 %(5)     0.99 %     2.46 %(5)

Portfolio turnover rate (6)

    16 %(4)     46 %     170 %(4)

 

(1)

Commencement of operations on July 9, 2019.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

35

 

 

Aptus Defined Risk ETF

 

Financial Highlights
For a capital share outstanding throughout the period/year

 

   

Six-Months
Ended
October 31,
2021
(Unaudited)

   

Year Ended April 30,

   

Period
Ended
April 30,
2019
(1)

 
   

  2021

  2020  

Net asset value, beginning of period/year

  $ 29.37     $ 29.38     $ 26.51     $ 25.00  
                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                               

Net investment income (loss) (2)(3)

    0.10       0.32       0.55       0.35  

Net realized and unrealized gain (loss) on investments (4)

    (0.02 )     1.31       3.14       1.90  

Total from investment operations

    0.08       1.63       3.69       2.25  
                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                               

Distributions from:

                               

Net investment income

    (0.10 )     (0.33 )     (0.50 )     (0.27 )

Net realized gain

          (1.31 )     (0.32 )     (0.47 )

Total distributions to shareholders

    (0.10 )     (1.64 )     (0.82 )     (0.74 )

Net asset value, end of period/year

  $ 29.35     $ 29.37     $ 29.38     $ 26.51  

Total return

    0.26 %(5)     5.62 %     14.12 %     9.23 %(5)
                                 

SUPPLEMENTAL DATA:

                               

Net assets at end of period/year (000’s)

  $ 817,410     $ 656,363     $ 260,029     $ 104,695  
                                 

RATIOS TO AVERAGE NET ASSETS:

                               

Expenses to average net assets (6)

    0.70 %(7)(8)     0.70 %(8)     0.69 %     0.69 %(7)

Net investment income (loss) to average net assets (3)

    0.68 %(7)     1.07 %     1.97 %     1.86 %(7)

Portfolio turnover rate (9)

    26 %(5)     28 %     78 %     21 %(5)

 

(1)

Commencement of operations on August 7, 2018.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests.

(4)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(5)

Not annualized.

(6)

Does not include expenses of the investment companies in which the Fund invests.

(7)

Annualized.

(8)

Includes broker interest expense of 0.01%.

(9)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

Aptus Drawdown Managed Equity ETF

 

Financial Highlights
For a capital share outstanding throughout the period/year

 

   

Six-Months
Ended
October 31,
2021
(Unaudited)

   

Year Ended April 30,

   

Period
Ended
April 30,
2017
(1)

 
   

  2021

  2020

  2019

  2018  

Net asset value, beginning of period/year

  $ 38.72     $ 30.23     $ 29.82     $ 32.49     $ 26.57     $ 25.00  
                                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                               

Net investment income (loss) (2)

    0.05       0.10       0.28       0.29       0.05       0.28  

Net realized and unrealized gain (loss) on investments (3)

    3.18       8.52       0.39       (2.72 )     5.97       1.47  

Total from investment operations

    3.23       8.62       0.67       (2.43 )     6.02       1.75  
                                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                                               

Distributions from:

                                               

Net investment income

    (0.05 )     (0.12 )     (0.26 )     (0.24 )     (0.10 )     (0.18 )

Return of capital

          (0.01 )                        

Total distributions to shareholders

    (0.05 )     (0.13 )     (0.26 )     (0.24 )     (0.10 )     (0.18 )

Net asset value, end of period/year

  $ 41.90     $ 38.72     $ 30.23     $ 29.82     $ 32.49     $ 26.57  

Total return

    8.34 %(4)     28.59 %     2.27 %     -7.46 %     22.68 %     7.01 %(4)
                                                 

SUPPLEMENTAL DATA:

                                               

Net assets at end of period/year (000’s)

  $ 297,131     $ 222,333     $ 131,249     $ 70,065     $ 56,866     $ 33,214  
                                                 

RATIOS TO AVERAGE NET ASSETS:

                                               

Expenses to average net assets

    0.79 %(5)     0.79 %     0.79 %     0.79 %     0.79 %     0.79 %(5)

Net investment income (loss) to average net assets

    0.23 %(5)     0.29 %     0.94 %     0.91 %     0.17 %     1.21 %(5)

Portfolio turnover rate (6)

    15 %(4)     48 %     230 %     321 %     124 %     144 %(4)

 

(1)

Commencement of operations on June 8, 2016.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

37

 

 

Opus Small Cap Value ETF

 

Financial Highlights
For a capital share outstanding throughout the period/year

 

   

Six-Months
Ended
October 31,
2021
(Unaudited)

   

Year Ended April 30,

   

Period
Ended
April 30,
2019
(1)

 
   

  2021

  2020

Net asset value, beginning of period/year

  $ 33.07     $ 20.41     $ 25.00     $ 25.00  
                                 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                               

Net investment income (loss) (2)

    0.17       0.21       0.48       0.38  

Net realized and unrealized gain (loss) on investments (3)

    1.35       12.69       (4.53 )     (0.08 )

Total from investment operations

    1.52       12.90       (4.05 )     0.30  
                                 

DISTRIBUTIONS TO SHAREHOLDERS:

                               

Distributions from:

                               

Net investment income

    (0.14 )     (0.20 )     (0.49 )     (0.30 )

Return of capital

          (0.04 )     (0.05 )      

Total distributions to shareholders

    (0.14 )     (0.24 )     (0.54 )     (0.30 )
                                 

CAPITAL SHARE TRANSACTIONS:

                               

Transaction fees

                0.00 (4)      0.00 (4) 
                                 

Net asset value, end of period/year

  $ 34.45     $ 33.07     $ 20.41     $ 25.00  

Total return

    4.62 %(5)     63.49 %     -16.46 %     1.34 %(5)
                                 

SUPPLEMENTAL DATA:

                               

Net assets at end of period/year (000’s)

  $ 161,054     $ 106,660     $ 44,393     $ 46,877  
                                 

RATIOS TO AVERAGE NET ASSETS:

                               

Expenses to average net assets

    0.79 %(6)     0.79 %     0.79 %     0.79 %(6)

Net investment income (loss) to average net assets

    1.01 %(6)     0.77 %     1.94 %     2.01 %(6)

Portfolio turnover rate (7)

    29 %(5)     65 %     56 %     31 %(5)

 

(1)

Commencement of operations on July 17, 2018.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Represents less than $0.005. See Note 8.

(5)

Not annualized.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

International Drawdown Managed Equity ETF

 

Financial Highlights
For a capital share outstanding throughout the period

 

   

Period Ended
October 31,
2021
(1)
(Unaudited)

 

Net asset value, beginning of period

  $ 25.00  
         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss) (2)(3)

    0.04  

Net realized and unrealized gain (loss) on investments (4)

    (0.13 )

Total from investment operations

    (0.09 )
         

Net asset value, end of period

  $ 24.91  

Total return

    -0.35 %(5)
         

SUPPLEMENTAL DATA:

       

Net assets at end of period (000’s)

  $ 92,172  
         

RATIOS TO AVERAGE NET ASSETS:

       

Expenses to average net assets (6)

    0.59 %(7)

Net investment income (loss) to average net assets (3)

    0.59 %(7)

Portfolio turnover rate (8)

    0 %(5)

 

(1)

Commencement of operations on July 22, 2021.

(2)

Calculated based on average shares outstanding during the period.

(3)

Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests.

(4)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(5)

Not annualized.

(6)

Does not include expenses of the investment companies in which the Fund invests.

(7)

Annualized.

(8)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

39

 

 

Aptus ETFs

 

Notes to Financial Statements

October 31, 2021 (Unaudited)

 

NOTE 1 – ORGANIZATION

 

Aptus Collared Income Opportunity ETF and International Drawdown Managed Equity ETF are each a non-diversified series and Aptus Defined Risk ETF, Aptus Drawdown Managed Equity ETF and Opus Small Cap Value ETF are each a diversified series (individually each a “Fund” or collectively the “Funds”) of ETF Series Solutions (“ESS” or the “Trust”), an open-end management investment company consisting of multiple investment series, organized as a Delaware statutory trust on February 9, 2012. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Funds’ shares is registered under the Securities Act of 1933, as amended (the “Securities Act”).

 

Aptus Collared Income Opportunity ETF commenced operations on July 9, 2019, and its investment objective is to seek current income and capital appreciation. Aptus Drawdown Managed Equity ETF commenced operations on June 8, 2016, and its investment objective is to seek capital appreciation with downside protection. Aptus Defined Risk ETF commenced operations on August 7, 2018, and its investment objective is to seek current income and capital appreciation. Opus Small Cap Value ETF commenced operations on July 17, 2018, and its investment objective is to seek capital appreciation. International Drawdown Managed Equity ETF commenced operations on July 22, 2021, and its investment objective is to seek capital appreciation with downside protection.

 

The end of the reporting period for the Funds is October 31, 2021 and the period covered by these Notes to Financial Statements is the period from May 1, 2021 to October 31, 2021 for Aptus Collared Income Opportunity ETF, Aptus Defined Risk ETF, Aptus Drawdown Equity ETF and Opus Small Cap Value ETF and the period from July 22, 2021 through October 31, 2021 for International Drawdown Managed Equity ETF (each, respectively, the “current fiscal period”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The Funds are each an investment company and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services – Investment Companies.

 

The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with generally accepted accounting principles in the United States of America (“U.S. GAAP”).

 

 

A.

Security Valuation. All equity securities, including domestic and foreign common stocks, preferred stocks, and exchange traded funds, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market®, and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value.

 

Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share.

 

Exchange traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchanges where the option is principally traded. On the last trading day prior to expiration, expiring options will be priced at intrinsic value.

 

Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Funds’ Board of Trustees (the “Board”). When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that would be calculated without regard to such considerations.

 

40

 

 

Aptus ETFs

 

Notes to Financial Statements
October 31, 2021 (Unaudited) (Continued)

 

As described above, the Funds utilize various methods to measure the fair value of their 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 Funds have 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 observable inputs are not available; representing the Funds’ 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 availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The following is a summary of the inputs used to value the Funds’ investments as of the end of the current fiscal period:

 

Aptus Collared Income Opportunity ETF

 

Assets^