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UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
WASHINGTON,
D.C. 20549
FORM
10-Q
(Mark
One)
☒ |
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
|
|
|
For
the quarterly period ended March 31, 2024 |
|
|
☐ |
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For
the transition period from _______________________ to ________________________
001-40369
(Commission
File Number)
DYNAMIC
SHARES TRUST
(Exact
name of registrant as specified in its charter)
Delaware |
|
32-6540728 |
(State
or other jurisdiction of
incorporation
or organization) |
|
(I.R.S.
Employer
Identification
No.) |
c/o
Dynamic Shares LLC
401
W. Superior Street, Suite 300
Chicago,
IL 60654
(Address
of principal executive offices) (Zip Code)
312-216-2890
(Registrant’s
telephone number, including area code)
n/a
(Former
name, former address and former fiscal year, if changed since last report)
Securities
registered pursuant to Section 12(b) of the Act:
Title
of each class |
|
Trading
Symbol(s) |
|
Name
of each exchange on which registered |
Dynamic
Short Short-Term Volatility Futures ETF |
|
WEIX |
|
NYSE
Arca, Inc. |
Indicate
by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2)
has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate
by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule
405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant
was required to submit such files).
☒
Yes ☐ No
Indicate
by check mark whether the registrant is a large accelerated filer, an accelerated files, a non-accelerated file, a smaller reporting
company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,”
“smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large
accelerated filer ☐ |
Accelerated
filer ☐ |
|
|
Non-accelerated
filer ☒ |
Smaller
reporting company ☒ |
|
|
|
Emerging
growth company ☒ |
If
an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying
with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Indicate
by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐
As
of May 8, 2024, the registrant had 200,005 shares outstanding.
TABLE
OF CONTENTS
CAUTIONARY
NOTE REGARDING FORWARD LOOKING STATEMENTS
This
Quarterly Report on Form 10-Q contains “forward-looking statements.” Forward-looking statements discuss matters that are
not historical facts. Because they discuss future events or conditions, forward-looking statements may include words such as “anticipate,”
“believe,” “estimate,” “intend,” “could,” “should,” “would,”
“may,” “seek,” “plan,” “might,” “will,” “expect,” “anticipate,”
“predict,” “project,” “forecast,” “potential,” “continue” negatives thereof
or similar expressions. Forward-looking statements speak only as of the date they are made, are based on various underlying assumptions
and current expectations about the future and are not guarantees. Such statements involve known and unknown risks, uncertainties and
other factors that may cause our actual results, level of activity, performance or achievement to be materially different from the results
of operations or plans expressed or implied by such forward-looking statements.
We
cannot predict all of the risks and uncertainties. Accordingly, such information should not be regarded as representations that the results
or conditions described in such statements or that our objectives and plans will be achieved and we do not assume any responsibility
for the accuracy or completeness of any of these forward-looking statements. These forward-looking statements are found at various places
throughout this Quarterly Report on Form 10-Q and include information concerning possible or assumed future results of our operations,
including statements about future business and financial performance or conditions, anticipated sales growth across markets, distribution
channels and product categories, competition from larger, more established companies with greater economic resources than we have, expenses
and gross margins, profits or losses, new product introductions, financing and working capital requirements and resources, control by
our principal equity holders and the other factors set forth under the section entitled “Risk Factors”.
These
forward-looking statements represent our intentions, plans, expectations, assumptions and beliefs about future events and are subject
to risks, uncertainties and other factors. Many of those factors are outside of our control and could cause actual results to differ
materially from the results expressed or implied by those forward-looking statements. In light of these risks, uncertainties and assumptions,
the events described in the forward-looking statements might not occur or might occur to a different extent or at a different time than
we have described. You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date
of the Quarterly Report on Form 10-Q. All subsequent written and oral forward-looking statements concerning other matters addressed in
this Quarterly Report on Form 10-Q and attributable to us or any person acting on our behalf are expressly qualified in their entirety
by the cautionary statements contained or referred to in this Quarterly Report on Form 10-Q.
Except
to the extent required by law, we undertake no obligation to update or revise any forward-looking statements, whether as a result of
new information, future events, a change in events, conditions, circumstances or assumptions underlying such statements, or otherwise.
PART
I – FINANCIAL INFORMATION
Item
1. Financial Statements
Contents
Dynamic
Shares Trust
STATEMENTS
OF FINANCIAL CONDITION
|
|
(unaudited) |
|
|
2023 |
|
|
(unaudited) |
|
|
2023 |
|
|
|
Dynamic
Short Short-Term Volatility Futures ETF |
|
|
Dynamic Shares Trust
(combined) |
|
|
|
March
31, 2024 |
|
|
December
31, |
|
|
March
31, 2024 |
|
|
December
31, |
|
|
|
(unaudited) |
|
|
2023 |
|
|
(unaudited) |
|
|
2023 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments
at value and cost |
|
$ |
4,135,826 |
|
|
$ |
4,131,023 |
|
|
$ |
4,135,826 |
|
|
$ |
4,131,023 |
|
Cash |
|
|
100 |
|
|
|
100 |
|
|
|
100 |
|
|
|
100 |
|
Segregated
collateral with brokers for futures contracts |
|
|
3,105,720 |
|
|
|
2,719,814 |
|
|
|
3,105,720 |
|
|
|
2,719,814 |
|
Unrealized
on open futures contracts |
|
|
76,744 |
|
|
|
81,947 |
|
|
|
76,744 |
|
|
|
81,947 |
|
Interest
receivable |
|
|
25,370 |
|
|
|
24,587 |
|
|
|
25,370 |
|
|
|
24,587 |
|
Total
assets |
|
|
7,343,760 |
|
|
|
6,957,471 |
|
|
|
7,343,760 |
|
|
|
6,957,471 |
|
Liabilities
and shareholders’ equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payable
to Sponsor |
|
|
11,366 |
|
|
|
10,261 |
|
|
|
11,366 |
|
|
|
10,261 |
|
Professional
Fees |
|
|
3,606 |
|
|
|
4,315 |
|
|
|
3,606 |
|
|
|
4,315 |
|
Total
liabilities |
|
|
14,972 |
|
|
|
14,576 |
|
|
|
14,972 |
|
|
|
14,576 |
|
Shareholders’
equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shareholders’
equity |
|
|
7,328,788 |
|
|
|
6,942,895 |
|
|
|
7,328,788 |
|
|
|
6,942,895 |
|
Total
liabilities and shareholders’ equity |
|
$ |
7,343,760 |
|
|
$ |
6,957,471 |
|
|
$ |
7,343,760 |
|
|
$ |
6,957,471 |
|
Net
assets |
|
$ |
7,328,788 |
|
|
$ |
6,942,895 |
|
|
$ |
7,328,788 |
|
|
$ |
6,942,895 |
|
Shares
outstanding |
|
|
250,005 |
|
|
|
250,005 |
|
|
|
250,005 |
|
|
|
250,005 |
|
Net
asset value per share |
|
$ |
29.31 |
|
|
$ |
27.77 |
|
|
$ |
29.31 |
|
|
$ |
27.77 |
|
Market
value per share |
|
$ |
29.34 |
|
|
$ |
27.79 |
|
|
$ |
29.34 |
|
|
$ |
27.79 |
|
See
accompanying notes to unaudited financial statements.
Dynamic
Short Short-Term Volatility Futures ETF
SCHEDULE
OF INVESTMENTS
As
of March 31, 2024 (unaudited)
| |
| | |
| |
| |
Shares | | |
Value | |
Goldman
Sachs Financial Square Government Fund - Institutional Shares (cost $4,135,826),
5.21%* | |
$ | | | |
$ | 4,135,826 | |
Money
Market Fund - 56.4% | |
| | | |
| | |
Goldman
Sachs Financial Square Government Fund - Institutional Shares (cost $4,135,826),
5.21%* | |
$ | 4,135,826 | | |
$ | 4,135,826 | |
Other
Assets Less Liabilities - 43.6% | |
| | | |
| 3,192,962 | |
Net
Assets - 100.00% | |
| | | |
$ | 7,328,788 | |
| |
Number
of Contracts | | |
Original
Notional | | |
Notional
Value at Quarter End | | |
Unrealized
Appreciation (Depreciation) Value | |
Futures
Contracts Sold | |
| | | |
| | | |
| | | |
| | |
VIX
Futures - Cboe, expires April 2024 | |
| (69 | ) | |
$ | (1,067,976 | ) | |
$ | (991,440 | ) | |
$ | 76,536 | |
VIX
Futures - Cboe, expires May 2024 | |
| (40 | ) | |
| (616,948 | ) | |
| (616,740 | ) | |
| 208 | |
| |
| | | |
| | | |
| | | |
$ | 76,744 | |
Dynamic
Shares Trust (combined)
SCHEDULE
OF INVESTMENTS
As
of March 31, 2024 (unaudited)
| |
Shares | | |
Value | |
Money
Market Fund - 56.4% | |
| | | |
| | |
Goldman
Sachs Financial Square Government Fund - Institutional Shares (cost $4,135,826),
5.21%* | |
$ | 4,135,826 | | |
$ | 4,135,826 | |
Other
Assets Less Liabilities - 43.6% | |
| | | |
| 3,192,962 | |
Net
Assets - 100.00% | |
| | | |
$ | 7,328,788 | |
| |
Number
of Contracts | | |
Original
Notional | | |
Notional
Value at Quarter End | | |
Unrealized
Appreciation (Depreciation) Value | |
Futures
Contracts Sold | |
| | | |
| | | |
| | | |
| | |
VIX
Futures - Cboe, expires April 2024 | |
| (69 | ) | |
$ | (1,067,976 | ) | |
$ | (991,440 | ) | |
$ | 76,536 | |
VIX
Futures - Cboe, expires May 2024 | |
| (40 | ) | |
| (616,948 | ) | |
| (616,740 | ) | |
| 208 | |
| |
| | | |
| | | |
| | | |
$ | 76,744 | |
See
accompanying notes to unaudited financial statements.
Dynamic
Short Short-Term Volatility Futures ETF
SCHEDULE
OF INVESTMENTS
As
of December 31, 2023
| |
| | |
| |
| |
Shares | | |
Value | |
Money
Market Fund - 59.5% | |
| | | |
| | |
Goldman
Sachs Financial Square Government Fund - Institutional Shares (cost $4,131,023),
5.23%* | |
$ | 4,131,023 | | |
$ | 4,131,023 | |
Other
Assets Less Liabilities - 40.5% | |
| | | |
| 2,811,872 | |
Net
Assets - 100.00% | |
| | | |
$ | 6,942,895 | |
| |
Number
of Contracts | | |
Original
Notional | | |
Notional
Value at Year End | | |
Unrealized
Appreciation (Depreciation) Value | |
Futures
Contracts Sold | |
| | | |
| | | |
| | | |
| | |
VIX
Futures - Cboe, expires January 2024 | |
| (58 | ) | |
$ | (869,657 | ) | |
$ | (814,970 | ) | |
$ | 54,687 | |
VIX
Futures - Cboe, expires February 2024 | |
| (41 | ) | |
| (654,371 | ) | |
| (627,111 | ) | |
| 27,260 | |
| |
| | | |
| | | |
| | | |
$ | 81,947 | |
Dynamic
Shares Trust (combined)
SCHEDULE
OF INVESTMENTS
As
of December 31, 2023
| |
| | |
| |
| |
Shares | | |
Value | |
Money
Market Fund - 59.5% | |
| | | |
| | |
Goldman
Sachs Financial Square Government Fund - Institutional Shares (cost $4,131,023),
5.23%* | |
$ | 4,131,023 | | |
$ | 4,131,023 | |
Other
Assets Less Liabilities - 40.5% | |
| | | |
| 2,811,872 | |
Net
Assets - 100.00% | |
| | | |
$ | 6,942,895 | |
| |
Number
of Contracts | | |
Original
Notional | | |
Notional
Value at Year End | | |
Unrealized
Appreciation (Depreciation) Value | |
Futures
Contracts Sold | |
| | | |
| | | |
| | | |
| | |
VIX
Futures - Cboe, expires January 2024 | |
| (58 | ) | |
$ | (869,657 | ) | |
$ | (814,970 | ) | |
$ | 54,687 | |
VIX
Futures - Cboe, expires February 2024 | |
| (41 | ) | |
| (654,371 | ) | |
| (627,111 | ) | |
| 27,260 | |
| |
| | | |
| | | |
| | | |
$ | 81,947 | |
See
accompanying notes to unaudited financial statements.
Dynamic
Shares Trust
STATEMENTS
OF OPERATIONS
(unaudited)
| |
2024 | | |
2023 | | |
2024 | | |
2023 | |
| |
Dynamic
Short Short-Term Volatility Futures ETF | | |
Dynamic
Shares Trust
(combined)
(Note 3) | |
| |
Three
Months Ended March 31, | |
| |
2024 | | |
2023 | | |
2024 | | |
2023 | |
Investment
Income | |
| | | |
| | | |
| | | |
| | |
Interest | |
$ | 82,679 | | |
$ | 24,427 | | |
$ | 82,679 | | |
$ | 24,427 | |
Expenses | |
| | | |
| | | |
| | | |
| | |
Management
fee | |
| 32,799 | | |
| 13,284 | | |
| 32,799 | | |
| 13,284 | |
Professional
fees | |
| 15,273 | | |
| - | | |
| 15,273 | | |
| - | |
Total
expenses | |
| 48,072 | | |
| 13,284 | | |
| 48,072 | | |
| 13,284 | |
Fee
reimbursed or waived | |
| - | | |
| (9,696 | ) | |
| - | | |
| (9,696 | ) |
Net
expenses | |
| 48,072 | | |
| 3,588 | | |
| 48,072 | | |
| 3,588 | |
Net
investment income (loss) | |
| 34,607 | | |
| 20,839 | | |
| 34,607 | | |
| 20,839 | |
Realized
and unrealized gain (loss) on investment activity | |
| | | |
| | | |
| | | |
| | |
Net
realized gain (loss) on futures contracts | |
| 356,489 | | |
| 99,234 | | |
| 356,489 | | |
| 99,234 | |
Change
in net unrealized appreciation on futures contracts | |
| (5,203 | ) | |
| 92,665 | | |
| (5,203 | ) | |
| 92,665 | |
Net
realized and unrealized gain (loss) | |
| 351,286 | | |
| 191,899 | | |
| 351,286 | | |
| 191,899 | |
Net
increase (decrease) in net assets resulting from operations | |
$ | 385,893 | | |
$ | 212,738 | | |
$ | 385,893 | | |
$ | 212,738 | |
See
accompanying notes to unaudited financial statements.
Dynamic
Shares Trust
STATEMENTS
OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
| |
2024 | | |
2023 | | |
2024 | | |
2023 | |
| |
Dynamic
Short Short-Term Volatility Futures ETF | | |
Dynamic
Shares Trust
(combined)
(Note 3) | |
| |
Three
Months Ended March 31, | |
| |
2024 | | |
2023 | | |
2024 | | |
2023 | |
Shareholders’
equity, beginning of period | |
$ | 6,942,895 | | |
$ | 2,722,929 | | |
$ | 6,942,895 | | |
$ | 2,722,929 | |
Proceeds
from share sold | |
| - | | |
| - | | |
| - | | |
| - | |
Net
investment income (loss) | |
| 34,607 | | |
| 20,839 | | |
| 34,607 | | |
| 20,839 | |
Net
realized gain (loss) | |
| 356,489 | | |
| 99,234 | | |
| 356,489 | | |
| 99,234 | |
Change
in net unrealized appreciation (depreciation) | |
| (5,203 | ) | |
| 92,665 | | |
| (5,203 | ) | |
| 92,665 | |
Net
increase (decrease) in net assets resulting from operations | |
| 385,893 | | |
| 212,738 | | |
| 385,893 | | |
| 212,738 | |
Shareholders’
equity, end of period | |
$ | 7,328,788 | | |
$ | 2,935,667 | | |
$ | 7,328,788 | | |
$ | 2,935,667 | |
Share
Transactions | |
| | | |
| | | |
| | | |
| | |
Beginning of period | |
| 250,005 | | |
| 150,005 | | |
| 250,005 | | |
| 150,005 | |
Shares
Issued | |
| - | | |
| - | | |
| - | | |
| - | |
End
of period | |
| 250,005 | | |
| 150,005 | | |
| 250,005 | | |
| 150,005 | |
See
accompanying notes to unaudited financial statements.
Dynamic
Shares Trust
STATEMENTS
OF CASH FLOWS
(unaudited)
| |
2024 | | |
2023 | | |
2024 | | |
2023 | |
| |
Dynamic
Short Short-Term Volatility Futures ETF | | |
Dynamic
Shares Trust
(combined)
(Note 3) | |
| |
Three
Months Ended March 31, | |
| |
2024 | | |
2023 | | |
2024 | | |
2023 | |
Cash
flow from operating activities | |
| | | |
| | | |
| | | |
| | |
Net
increase in net assets resulting from operations | |
$ | 385,893 | | |
$ | 212,738 | | |
$ | 385,893 | | |
$ | 212,738 | |
Adjustments
to reconcile net income (loss) to net cash provided by (used
in) operating activities: | |
| | | |
| | | |
| | | |
| | |
Net
purchases of short-term investments | |
| (4,803 | ) | |
| (12,018 | ) | |
| (4,803 | ) | |
| (12,018 | ) |
Change
in net unrealized appreciation on futures contracts | |
| 5,203 | | |
| (92,665 | ) | |
| 5,203 | | |
| (92,665 | ) |
Decrease
(Increase) in interest receivable | |
| (783 | ) | |
| (1,578 | ) | |
| (783 | ) | |
| (1,578 | ) |
Increase
(Decrease) in payables | |
| 396 | | |
| 239 | | |
| 396 | | |
| 239 | |
Net
cash provided by (used in) operating activities | |
| 385,906 | | |
| 106,716 | | |
| 385,906 | | |
| 106,716 | |
Cash
flow from proceeds from financing activities | |
| | | |
| | | |
| | | |
| | |
Proceeds
from addition of shares | |
| - | | |
| - | | |
| - | | |
| - | |
Net
increase (decrease) in cash | |
| 385,906 | | |
| 106,716 | | |
| 385,906 | | |
| 106,716 | |
Cash,
beginning of period | |
| 2,719,914 | | |
| 1,176,259 | | |
| 2,719,914 | | |
| 1,176,259 | |
Cash,
end of period | |
$ | 3,105,820 | | |
$ | 1,282,975 | | |
$ | 3,105,820 | | |
$ | 1,282,975 | |
| |
| | | |
| | | |
| | | |
| | |
Cash
Represents: | |
| | | |
| | | |
| | | |
| | |
Cash | |
$ | 100 | | |
$ | 100 | | |
$ | 100 | | |
$ | 100 | |
Segregated
collateral with brokers for futures contracts | |
| 3,105,720 | | |
| 1,282,875 | | |
| 3,105,720 | | |
| 1,282,875 | |
Cash,
end of period | |
$ | 3,105,820 | | |
$ | 1,282,975 | | |
$ | 3,105,820 | | |
$ | 1,282,975 | |
See
accompanying notes to unaudited financial statements.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS
March
31, 2024
(unaudited)
NOTE
1 - ORGANIZATION
Dynamic
Shares Trust (the “Trust”) is a Delaware statutory trust organized on March 8, 2019 and is currently organized into a single
series, Dynamic Short Short-Term Volatility Futures ETF (the “Fund”), which commenced investment operations on January 12,
2022. The Fund issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial
interest in the ownership of the Fund. The Shares of the Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”).
The
Fund seeks to achieve its investment objective, under normal circumstances, by obtaining investment exposure to an actively managed portfolio
of short positions in futures contracts with monthly expirations (“VIX Futures Contracts”), which are based on the Chicago
Board Options Exchange, Incorporated (“CBOE”) Volatility Index (the “VIX Index” or “VIX”). The Fund
expects that the notional exposure of its portfolio of short positions in VIX Futures Contracts will range from -0.1 to -0.5 under normal
circumstances. The Fund expects to primarily take short positions in VIX Futures Contracts by shorting the next two near term VIX Futures
Contracts and rolling the nearest month VIX Futures Contract to the next month on a daily basis. As such, the Fund expects to have a
constant one-month rolling short position in first and second month VIX Futures Contracts under normal circumstances.
The
Trust and the Fund had no operations prior to January 12, 2022, other than matters relating to its organization, the registration of
the Fund under the Securities Act of 1933, as amended, and the sale and issuance to Dynamic Shares, LLC, a Delaware limited liability
company (the “Sponsor”) of five Shares at an aggregate purchase price of $100 in the Fund.
The
Fund continuously offers and redeems its Shares in blocks of 50,000 Shares (each such block a “Creation Unit”). Only Authorized
Participants may purchase and redeem Shares from the Fund and then only in Creation Units. An Authorized Participant is an entity that
has entered into an Authorized Participant Agreement with the Fund. Shares of the Fund are offered to Authorized Participants in Creation
Units at the Fund’s Net Asset Value (“NAV”). Authorized Participants may then offer to the public, from time to time,
Shares from any Creation Unit they create at a per-share market price that varies depending on, among other factors, the trading price
of the Shares of the Fund on its listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares
from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The
form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an
Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from the Fund, the Sponsor, or
any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. Shares of the Fund
commenced trading on NYSE Arca on January 13, 2022.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”).
The Fund is a commodity pool, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of
the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered
with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended (the “1940
Act”).
NOTE
2 - SIGNIFICANT ACCOUNTING POLICIES
Pursuant
to rules and regulations of the U.S. Securities and Exchange Commission (“SEC”), these financial statements are presented
for the Trust as a whole, as the SEC registrant and the Fund individually. The liabilities and expenses incurred, contracted for or otherwise
existing with respect to each series of the Trust shall be enforceable only against the assets of each series of the Trust and not against
the assets of the Trust generally or any other series.
The
Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification
(“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Fund follows the investment
company accounting and reporting guidance. The following is a summary of significant accounting policies followed by the Fund, as applicable,
in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United
States of America (“GAAP”).
The
accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions
for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal
recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period
results are not necessarily indicative of results for a full-year period.
Emerging
Growth Company
The
Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups (“JOBS”) Act of 2012.
It will remain an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary
of its initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $1.07 billion (subject to adjustment
for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than $1.0 billion in non-convertible
debt securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $700
million as of the end of the second quarter of that fiscal year.
For
as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting
requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited
to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure
obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from
the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute
payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging
growth company.”
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
In
addition, Section 107 of the JOBS Act also provides that an emerging growth company can take advantage of the extended transition period
provided in Section 7(a)(2)(B) of the Securities Act for complying with new or revised accounting standards. In other words, an emerging
growth company can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies.
The Trust intends to take advantage of the benefits of the extended transition period.
Use
of Estimates & Indemnifications
The
preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the
reported amounts of increases and decreases in net assets resulting from operations. Actual results could differ from those estimates.
In
the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.
The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant
loss to be remote.
Basis
of Presentation
Pursuant
to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant. However,
the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to the Fund shall be enforceable
only against the assets of the Fund and not against the assets of the Trust generally or any other series of the Trust. Accordingly,
the assets of the Fund include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase
of Shares in the Fund.
Statements
of Cash Flows
The
cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March
31, 2024 and March 31, 2023, and represents cash, segregated cash balances with brokers for futures contracts, but does not include short-term
investments.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Final
Net Asset Value for Fiscal Period
The
cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund Shares for
the period ended March 31, 2024 were typically as follows. All times are Eastern Standard Time:
SUMMARY
OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES
|
|
Create/Redeem
Cut-Off* |
|
NAV
Calculation Time |
Dynamic
Short Short-Term Volatility Futures ETF |
|
2:00
p.m. |
|
4:00
p.m. |
Market
value per Share is determined at the close of the applicable primary listing exchange and may differ from when the Fund’s NAV per
Share is calculated. For financial reporting purposes, the Fund values transactions based upon the final closing price in the United
States.
Investment
Valuation
Short-term
investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term
investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives
(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using
independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts are generally
valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures
contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.
Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair
value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market
value of such position. Such fair value prices would be generally determined based on available inputs relating to the current value
of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long
as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of the Fund pursuant to the policies
the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation
inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Fair
value pricing may require subjective determinations about the value of an investment. While the Fund’s policy is intended to result
in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that
fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain
for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
Fair
Value of Financial Instruments
The
Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair
value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed
based on market data obtained from sources independent of the Fund (observable inputs); and (2) the Fund’s own assumptions about
market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three
levels defined by the disclosure requirements hierarchy are as follows:
Level
I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability
to access at the measurement date.
Level
II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or
indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the
asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means
(market-corroborated inputs).
Level
III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure
fair value to the extent that observable inputs are not available.
In
some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair
value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant
to the fair value measurement in its entirety.
Fair
value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly
decreased, as well as when circumstances indicate that a transaction is not orderly.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:
SUMMARY
OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,135,826 | | |
$ | 76,744 | |
Dynamic
Shares Trust (combined) | |
$ | 4,135,826 | | |
$ | 76,744 | |
The
following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy:
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,131,023 | | |
$ | 81,947 | |
Dynamic
Shares Trust (combined) | |
$ | 4,131,023 | | |
$ | 81,947 | |
The
inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment
Transactions and Related Income
Investment
transactions are recorded on the trade date. All such transactions are recorded on a specific identification basis and marked to market
daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in
the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest
income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as
Interest Income in the Statements of Operations.
Brokerage
Commissions and Futures Account Fees
The
Fund pays its brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction
related fees and expenses charged in connection with trading activities for the Fund’s investment in CFTC regulated investments.
Brokerage commissions on futures contracts are recognized on a half-turn basis.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Federal
Income Tax
The
Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly,
the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner of the Fund’s Shares is required
to take into account its allocable share of the Fund’s income, gain, loss, deductions and other items for its Fund’s taxable
year ending with or within the beneficial owner’s taxable year.
Management
of the Fund has reviewed all open tax years and major jurisdictions (i.e., the last three tax year ends and the interim tax period since
then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income
tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis,
management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on
factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.
NOTE
3 - RESTATEMENTS OF FINANCIAL STATEMENTS
The
Fund has restated its Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in
Shareholders’ Equity, Statements of Cash Flows and Notes to Financial Statements to include the Trust in these statements for the
fiscal periods ended March 31, 2023.
NOTE
4 - INVESTMENTS
Short-Term
Investments
The
Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities
with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements,
futures, and/or forward contracts.
Accounting
for Derivative Instruments
In
seeking to achieve the Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach,
the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes
in combination, should produce returns consistent with the objective of the Fund.
All
open derivative positions at period end are reflected on the Fund’s Schedule of Investments. Following is a description of the
derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures related to each
instrument type.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Futures
Contracts
A
derivative refers to any financial instrument whose value is derived, at least in part, from the price of an underlying security, asset,
rate, or index. The use of derivatives presents risk different from, and possibly greater than, the risks associated with investing directly
in traditional securities. Changes in the value of a derivative may not correlate perfectly with the underlying security, asset, rate
or index. Gains or losses in a derivative may be magnified and may be much greater than the derivative’s original cost.
Generally
speaking, a futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity
and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking
or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures
contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon
entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required
by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers
for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Fund maintains collateral
at the broker in the form of cash and/or securities. Pursuant to the futures contract, the Fund generally agrees to receive from or pay
to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known
as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing of
a futures transaction.
The
Fund invests in and has investment exposure to an actively managed portfolio of short positions in VIX Futures Contracts, which are based
on the CBOE VIX Index. VIX Futures Contracts, which are types of derivative contracts, are unlike traditional futures contracts and are
not based on a tradable reference asset. The VIX Index is not directly investable, and the settlement price of a VIX Futures Contract
is based on the calculation that determines the level of the VIX Index.
Futures
contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount of variation margin. The
face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks
associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the
market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts,
there is minimal but some counterparty risk to the Fund since futures contracts are exchange-traded and the credit risk resides with
the Fund’s clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation
permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no
trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures
contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation
of futures positions and potentially subjecting the Fund to substantial losses. If trading is not possible, or if the Fund determines
not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of
variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions
on a national exchange with an active and liquid secondary market.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of
derivative instruments on the Statements of Operations during the reporting period.
SUMMARY
OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS
Fair
Value of Derivative Instruments as of March 31, 2024
| |
| |
Asset
Derivatives | |
Liability
Derivatives | |
| |
Derivatives
Not Accounted
for as Hedging
Instruments | |
Statements
of Financial
Condition Location | |
Unrealized Appreciation | | |
Statements
of Financial
Condition Location | | |
Unrealized Depreciation | |
Dynamic Short
Short-Term Volatility Futures ETF | |
Equity
risk | |
Unrealized
appreciation on open futures contracts | |
$ | 76,744 | | |
| - | | |
| - | |
Dynamic Shares Trust (combined) | |
Equity
risk | |
Unrealized
appreciation on open futures contracts | |
$ | 76,744 | | |
| - | | |
| - | |
Fair
Value of Derivative Instruments as of December 31, 2023
| |
| |
Asset
Derivatives | |
Liability
Derivatives | |
| |
Derivatives
Not Accounted
for as Hedging
Instruments | |
Statements
of Financial
Condition Location | |
Unrealized Appreciation | | |
Statements
of Financial
Condition Location | | |
Unrealized Depreciation | |
Dynamic Short
Short-Term Volatility Futures ETF | |
Equity risk | |
Unrealized on
open futures contracts | |
$ | 81,947 | | |
| - | | |
| - | |
Dynamic Shares Trust (combined) | |
Equity risk | |
Unrealized on open futures
contracts | |
$ | 81,947 | | |
| - | | |
| - | |
The
Effect of Derivative Instruments on the Statement of Operations
For
the three months ended March 31, 2024
| |
Derivatives Not Accounted for as Hedging Instruments | |
Location of Gain (Loss) on Derivatives Recognized in Income | |
Realized Gain (Loss) on Derivatives Recognized in Income | | |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
Dynamic Short Short-Term Volatility Futures ETF | |
Equity risk | |
Realized and unrealized gain (loss) on investment activity | |
$ | 356,489 | | |
$ | (5,203 | ) |
Dynamic Shares Trust (combined) | |
Equity risk | |
Realized and unrealized gain (loss) on investment activity | |
$ | 356,489 | | |
$ | (5,203 | ) |
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following table represents the gross notional values, which serve as an indicator of volume for the futures during the fiscal period
ended March 31, 2024:
SCHEDULE
OF AVERAGE NOTIONAL VALUE
| |
Derivative
Type | |
Type | |
Notional
Value | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Futures | |
Equity
risk | |
$ | (1,608,180 | ) |
Dynamic
Shares Trust (combined) | |
Futures | |
Equity
risk | |
$ | (1,608,180 | ) |
The
Effect of Derivative Instruments on the Statement of Operations
For
the year ended December 31, 2023
| |
Derivatives
Not Accounted for
as Hedging Instruments | |
Location
of Gain (Loss)
on Derivatives Recognized
in Income | |
Realized
Gain (Loss) on Derivatives Recognized in Income | | |
Change
in Unrealized
Appreciation (Depreciation) on Derivatives Recognized in Income | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Equity
risk | |
Realized
and unrealized gain on investment activity | |
$ | 1,475,884 | | |
$ | 39,784 | |
Dynamic
Shares Trust (combined) | |
Equity
risk | |
Realized
and unrealized gain on investment activity | |
$ | 1,475,884 | | |
$ | 39,784 | |
The
following table represents the gross notional values, which serve as an indicator of volume for the futures during the fiscal period
ended December 31, 2023:
| |
Derivative
Type | |
Type | |
Notional
Value | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Futures | |
Equity
risk | |
$ | (1,395,155 | ) |
Dynamic
Shares Trust (combined) | |
Futures | |
Equity
risk | |
$ | (1,395,155 | ) |
NOTE
5 - AGREEMENTS
Management
Fee
Dynamic
Shares LLC, a Delaware limited liability company formed on June 4, 2018, is the Sponsor of the Trust and the Fund (the “Sponsor”).
The Fund pays the Sponsor a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.85% per annum
of its average daily net assets (calculated by summing the daily net assets of the Fund and dividing by the number of calendar days in
the month).
The
Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund
that the Sponsor pays directly or indirectly. From the Management Fee, the Sponsor pays all of the routine operational, administrative
and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator,
Custodian, Distributor, Transfer Agent, accounting and auditing fees and expenses; and (ii) the normal and expected expenses incurred
in connection with the continuous offering of Shares of the Fund after the commencement of its trading operations. Fees associated with
the Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum,
ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of the Fund and Financial Industry Regulatory Authority (“FINRA”)
filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of the Fund, and report
preparation and mailing expenses. For the period ended March 31, 2024, the Fund accrued $15,273 related to Schedule K-1 preparation and
mailing fees.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Non-Recurring
Fees and Expenses
The
Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and
expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification
or other material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative and other
ordinary expenses are not deemed extraordinary expenses.
The
Administrator
The
Nottingham Company (“Nottingham”), serves as the Administrator of the Fund. The Trust, on its own behalf and on behalf of
the Fund, and Nottingham have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”)
in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction
of the Sponsor and the Trust, Nottingham prepares and files certain regulatory filings on behalf of the Fund. Nottingham also may perform
other services for the Fund pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust
and Nottingham from time to time. The Administrator’s fees are paid by the Sponsor from the management fee earned.
The
Custodian
BMO
Harris Bank N.A. (“BMO”) serves as the Custodian of the Fund, and the Trust, on its own behalf and on behalf of the Fund,
and BMO have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of
the Custody Agreement, BMO is responsible for the holding and safekeeping of assets delivered to it by the Fund, and performing various
administrative duties in accordance with instructions delivered to BMO by the Funds. The Custodian’s fees are paid by the Trust
and reimbursed by the Sponsor.
The
Transfer Agent
Nottingham
Shareholder Services, LLC, serves as the Transfer Agent of the Fund for Authorized Participants and will enter into a dividend disbursing
and transfer agent agreement (the “Transfer Agent Agreement”). Pursuant to the terms of the Transfer Agent Agreement, the
Transfer Agent will be responsible for processing purchase and redemption orders and maintaining records of ownership of the Fund. The
Transfer Agent fees are paid by the Sponsor from the management fee earned.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
Distributor
Capital
Investment Group, Inc., serves as the Distributor of the Fund and will assist the Sponsor and the Administrator with functions and duties
relating to distribution and marketing, which include the following: taking creation and redemption orders, and consulting with the marketing
staff of the Sponsor and its affiliates with respect to compliance matters in connection with marketing efforts.
NOTE
6 - CREATION AND REDEMPTION OF CREATION UNITS
The
Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares.
Creation Units may be created or redeemed only by Authorized Participants. Except when aggregated in Creation Units, the Shares are not
redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with the
Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some
of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases
and redemptions is not relevant to retail investors.
Transaction
Fees on Creation and Redemption Transactions
The
manner by which Creation Units are purchased and redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized
Participant Handbook. By placing a purchase order, an Authorized Participant agrees to deposit cash with the Custodian of the Fund. If
permitted by the Sponsor in its sole discretion, an Authorized Participant also agrees to enter into or arrange for an exchange of futures
for related position or block trade with the Fund whereby the Authorized Participant would also transfer to the Fund a number and type
of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. Similarly,
the Sponsor in its sole discretion may agree with an Authorized Participant to use an exchange of futures for related position to effect
an order to redeem Creation Units.
Authorized
Participants pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit to compensate
the Administrator, the Custodian and the Transfer Agent of the Fund and its Shares, for services in processing the creation and redemption
of Creation Units and to offset the costs of increasing or decreasing derivative positions. The Sponsor provides such Authorized Participant
with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included
in the Creation Units they purchase from the Fund to other investors.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
NOTE
7 - FINANCIAL HIGHLIGHTS
Selected
Data for a Share Outstanding Throughout each Period
SUMMARY
OF SELECTED DATA FOR A SHARE OUTSTANDING
| |
Three
Months Ended March
31, 2024 (unaudited) | | |
Three
Months Ended March 31, 2023 (unaudited) | |
Per
Share Operating Performance | |
| | | |
| | |
Net asset
value, beginning of period | |
$ | 27.77 | | |
$ | 18.15 | |
Net
investment income (loss) (a) | |
| 0.14 | | |
| 0.14 | |
Net
realized and unrealized gain (loss) | |
| 1.41 | | |
| 1.28 | |
Net
asset value, end of period | |
$ | 29.31 | | |
$ | 19.57 | |
Market value per
share, beginning of period | |
$ | 27.79 | | |
$ | 18.13 | |
Market value per
share, end of period | |
$ | 29.34 | | |
$ | 19.57 | |
Total
Return, at net asset value (a) | |
| 5.55 | % | |
| 7.82 | % |
Total
Return, at market value (a) | |
| 5.58 | % | |
| 7.94 | % |
Ratios
to Average Net Assets (b) | |
| | | |
| | |
Gross
Expense | |
| 2.71 | % | |
| 1.85 | % |
Net
Expense | |
| 2.71 | % | |
| 0.52 | % |
Net
investment income (loss) | |
| 1.95 | % | |
| 2.90 | % |
Portfolio
turnover | |
| - | | |
| - | |
NOTE
8 - RISK
Correlation
and Compounding Risk
The
Fund does not seek to achieve its stated investment objective over a period of time greater than a single day (as measured from NAV calculation
time to NAV calculation time). The return of the Fund for a period longer than a single day is the result of its return for each day
compounded over the period and usually will differ in amount and possibly even direction from one-half the maximum inverse (-0.5x) of
the Fund’s benchmark for the period. The Fund will lose money if its benchmark performance is flat over time, and it is possible
for the Fund to lose money over time even if the performance of its benchmark decreases, as a result of daily rebalancing, the benchmark’s
volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to
the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount
invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance
of the Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding
becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently
depending on the period of time an investment in the Fund is held and the volatility of the benchmark during the holding period of such
investment. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding
on the Fund’s returns. Daily compounding of the Fund’s investment returns can dramatically and adversely affect its longer-term
performance during periods of high volatility. Volatility may be at least as important to the Fund’s return for a period as the
return of the Fund’s underlying benchmark.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
While
the Fund seeks to meet its investment objective, there is no guarantee the Fund will do so. Factors that may affect the Fund’s
ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell financial instruments in a manner
that correlates to the Fund’s objective; (2) an imperfect correlation between the performance of the financial instruments held
by the Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such financial instruments; (4) fees, expenses, transaction
costs, financing costs associated with the use of financial instruments and commission costs; (5) holding or trading instruments in a
market that has become illiquid or disrupted; (6) the Fund’s Share prices being rounded to the nearest cent and/or valuation methodology;
(7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform the Fund’s portfolio holdings to
comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets
on which the holdings of the Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting
standards; and (11) differences caused by the Fund obtaining exposure to only a representative sample of the components of a benchmark,
over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A
number of factors may affect the Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no
guarantee that the Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent the Fund
from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Fund
seeks to rebalance its portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed
to the benchmark may prevent the Fund from achieving a high degree of correlation with such benchmark. Market disruptions or closure,
large amounts of assets into or out of the Fund, regulatory restrictions, extreme market volatility, and other factors will adversely
affect the Fund’s ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically
by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark
up or down will require more significant adjustments to the Fund’s portfolio. Because of this, it is unlikely that the Fund will
be perfectly exposed (i.e., -0.5x) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed
is higher on days when the benchmark levels are volatile near the close of the trading day.
Counterparty
Risk
The
Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”)
in the manner described herein as a means to achieve its investment objectives. The use of derivatives by the Fund exposes the Fund to
counterparty risks.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Regulatory
Treatment
Derivatives
are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled
forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation
(in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title
VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation
of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be
made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions
in which the Fund will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also
created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,”
“major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant
new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements
under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Fund,
the markets in which the Fund trades and the counterparties with which the Fund engages in transactions.
As
noted, the CFTC rules may not apply to all of the swap agreements and forward contracts that may be entered into by the Fund. Investors,
therefore, may not receive the protection of CFTC regulation or the statutory scheme of the CEA in connection with the Fund’s swap
agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances,
including in the event of trading abuses or financial failure by participants.
Counterparty
Credit Risk
When
the Fund enters into futures contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The
counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing
house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required
to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce
this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become
applicable in the future), it may be backed by a consortium of banks or other financial institutions.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
Sponsor attempts to minimize certain of these market and credit risks by normally:
|
● |
executing
and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
|
|
|
|
● |
limiting
the outstanding amounts due from counterparties to the Fund; |
|
|
|
|
● |
not
posting margin directly with a counterparty; |
|
|
|
|
● |
requiring
that the counterparty posts collateral in amounts approximately equal to that owed to the Fund, as marked to market daily, subject
to certain minimum thresholds; and |
|
|
|
|
● |
limiting
the amount of margin or premium posted at an FCM. |
Any
OTC derivatives of the type that may be utilized by the Fund are generally less liquid than futures contracts because they are not traded
on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties
and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.
These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of
certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and
request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of
the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the
swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the
Fund to enter into another swap or to invest in other financial instruments necessary to achieve the desired exposure consistent with
the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of
the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
The
Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition,
the Sponsor periodically considers the addition of new counterparties and the counterparties used by the Fund may change at any time.
Each day, the Fund discloses its portfolio holdings as of the prior Business Day. The Fund’s portfolio holdings identifies its
counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at
www.dynamicsharesetf.com. The information on the Sponsor’s website is for information only and is not incorporated by reference
herein.
Each
counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of the Fund, subject to applicable law.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Leverage
Risk
The
Fund’s investment in derivative instruments generally requires a small investment relative to the amount of investment exposure
assumed. As a result, such investments may give rise to losses that exceed the amount invested in those instruments. The more the Fund
invests in derivative instruments that give rise to leverage, the more this leverage will magnify any losses on those investments. Leverage
will cause the value of the Fund’s Shares to be more volatile than if the Fund did not use leverage. This is because leverage tends
to exaggerate the effect of any increase or decrease in the value of the Fund’s portfolio or other investments. The use of leverage
also may cause the Fund to liquidate portfolio positions when it would not be advantageous to do so to satisfy its obligations or to
meet segregation requirements. Certain types of leveraging transactions, such as short sales that are not “against the box,”
could theoretically be subject to unlimited losses in cases where the Fund, for any reason, is unable to close out the transaction. In
addition, to the extent the Fund borrows money, interest costs on such borrowed money may not be recovered by any appreciation of the
financial instruments purchased with the borrowed funds and could exceed the Fund’s investment income, resulting in greater losses.
The cost of investing in such instruments generally increases as interest rates increase, which will lower the Fund’s return.
Liquidity
Risk
The
Fund will invest in derivatives and other instruments that may be less liquid than other types of investments. Investments that are less
liquid or that trade less can be more difficult or costlier to buy, or to sell, compared to other more liquid or active investments.
This liquidity risk is a factor of the trading volume of a particular investment, as well as the size and liquidity of the market for
such an investment. The derivatives in which the Fund invests may not always be liquid. The large size of the positions which the Fund
may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and increasing the losses incurred
while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Fund will typically
invest in financial instruments related to one index. A lack of liquidity could have a negative effect on the Fund’s ability to
achieve its investment objective and may result in losses to Fund shareholders.
“Contango”
and “Backwardation” Risk
The
futures contracts held by the Fund, as the futures contracts near expiration, are generally replaced by contracts that have a later expiration.
Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration,
it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred
to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of
certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term
expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January
2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating
a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation,
backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in
the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to
delivery or other factors) in certain futures contracts at the time of rolling would be expected to positively affect the Fund. Similarly,
the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect
the Fund.
Since
the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility
levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average
maturity of the applicable VIX Futures Index.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Natural
Disaster/Epidemic Risk
Natural
or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally,
and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly
disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market
losses. Such natural disaster and health crises could exacerbate political, social, and economic risks mentioned herein, and result in
significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains
affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty
and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and
increase the difficulty of modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances,
the Fund may have difficulty achieving its investment objective which may adversely impact performance. Further, such events can be highly
disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the
Fund’s Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies,
interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments.
For instance, prior to the COVID-19 epidemic, the Sponsor anticipated a lower “breakeven amount” for the Fund because the
Sponsor expected interest income from the Fund’s investments to offset the Fund’s estimated fees, costs and expenses. Due
to market conditions following the COVID-19 epidemic, the Fund’s interest income is assumed to be zero, and the amount of trading
income the Fund needs to achieve to breakeven is higher than the Sponsor anticipated prior to the COVID-19 epidemic. Additionally, during
the peak of the COVID-19 epidemic, certain state and local governments enacted stay-at-home/shelter-at-home orders, causing certain agents
of the Sponsor and its third party service providers to enact business continuity measures, such as requiring or permitting employees
to work from home.
These
factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Fund to
complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crises may also affect
the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will
continue or recur cannot be predicted. Impacts from these events could have significant impact on the Fund’s performance, resulting
in losses to your investment.
Risk
that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The
Russian Federation’s invasion of Ukraine in February 2022 (the “Ukraine War”), various nations, including the U.S.,
have instituted economic sanctions and other responsive measures, which have resulted in an increased level of global economic and political
uncertainty. Given the evolving nature of the Ukraine War, and the related sanctions, potential governmental actions, and economic impact,
the scope and magnitude of any such potential effects remain uncertain.
NOTE
9 - SUBSEQUENT EVENTS
Management
has evaluated subsequent events existing in the Trust’s and the Fund’s financial statements through the date the financial
statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s
or the Funds’ financial statements through this date.
Item
2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
This
information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly
Report on Form 10-Q.
The
discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking
statements can be identified by terminology such as “will,” “may,” “should,” “expect,”
“plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,”
“intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None
of the Trust, the Sponsor, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements.
Except as expressly required by federal securities laws, none of the Trust, the Sponsor, or the Administrator is under a duty to update
any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because
forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are
difficult to predict and many of which are outside of the Fund’s control. The Fund’s forward-looking statements are not guarantees
of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments in which the
Fund may trade, in the legal and regulatory regimes applicable to the Sponsor, the Fund, and the Fund’s service providers, and
in the broader economy may cause the actual results of the Fund to differ materially from those expressed in forward-looking statements.
Introduction
Dynamic
Shares Trust (the “Trust”) is a Delaware statutory trust organized on March 8, 2019 and is currently organized into a single
series (the “Fund”) which commenced investment operations on January 12, 2022. The Fund issues common units of beneficial
interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of the Fund. The
Shares of the Fund began trading on the NYSE Arca, Inc. (“NYSE Arca”) as of January 13, 2022.
The
Fund seeks to achieve its investment objective, under normal circumstances, by obtaining investment exposure to an actively managed portfolio
of short positions in VIX Futures Contracts, which are based on the CBOE VIX Index. The Fund expects that the notional exposure of its
portfolio of short positions in VIX Futures Contracts will range from -0.1 to -0.5 under normal circumstances. The Fund expects to primarily
take short positions in VIX Futures Contracts by shorting near term VIX Futures Contracts and rolling the nearest month VIX Futures Contract
to the next month on a daily basis. As such, the Fund expects to have a constant one-month rolling short position in first and second
month VIX Futures Contracts under normal circumstances.
The
Fund continuously offers and redeems its Shares in blocks of 50,000 Shares (each such block a “Creation Unit”). Only Authorized
Participants may purchase and redeem Shares from the Fund and then only in Creation Units. An Authorized Participant is an entity that
has entered into an Authorized Participant Agreement with the Fund. Shares of the Fund are offered to Authorized Participants in Creation
Units at the Fund’s NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit
they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of the Fund on
its listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit
may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant
Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase
or redeem a Creation Unit. Authorized Participants do not receive from the Fund, the Sponsor, or any of their affiliates, any underwriting
fees or compensation in connection with their sale of Shares to the public.
Results
of Operations
Fund
Performance
The
following table provides summary performance information for the Fund for the three months ended March 31, 2024 and the three months
ended March 31, 2023.
| |
Three Months Ended
March 31, 2024 | | |
Three Months Ended
March 31, 2023 | |
NAV beginning
of period | |
$ | 6,942,895 | | |
$ | 2,722,929 | |
NAV end of period | |
| 7,328,788 | | |
| 2,937,004 | |
Percentage
change in net assets | |
| 5.56 | % | |
| 7.86 | % |
Shares outstanding
beginning of period | |
| 250,005 | | |
| 150,005 | |
Shares outstanding
end of period | |
| 250,005 | | |
| 150,005 | |
Percentage
change in shares outstanding | |
| 0.00 | % | |
| 0.00 | % |
Shares created | |
| - | | |
| - | |
Shares redeemed | |
| - | | |
| - | |
Per share NAV beginning
of period | |
$ | 27.77 | | |
$ | 18.15 | |
Per share NAV end
of period | |
$ | 29.31 | | |
$ | 19.57 | |
Percentage
change in per share NAV | |
| 5.55 | % | |
| 7.82 | % |
The
Fund is actively managed and does not track an index.
The
Fund’s per share NAV increased by 5.55% for the three months ended March 31, 2024. The increase in the Fund’s per share NAV
was due in part to lower market volatility and the decrease in the 30-day weighted average VIX futures price over the period. Performance
over time is also impacted by the compounding effect of the inverse or leveraged returns. For instance, if the 30-day weighted VIX futures
price was down 20% and then up 20%, the two-day period return for a theoretical -0.5 inversed fund would be equal to a (1.1*0.9)-1 =
-1% period return. As the 30-day weighted VIX futures price goes up, the fund would lock in trading losses and leave the fund with a
smaller asset base.
Net
Income/Loss
The
following table provides summary income information for the Fund for the three months ended March 31, 2024, and the three months ended
March 31, 2023.
| |
Three
Months Ended March
31, 2024 | | |
Three
Months Ended March
31, 2023 | |
Net
income (loss) | |
$ | 34,607 | | |
$ | 20,839 | |
Net
expenses | |
| 48,072 | | |
| 3,588 | |
Net
realized gain (loss) | |
| 356,489 | | |
| 99,234 | |
Change
in net unrealized appreciation (depreciation) | |
| (5,203 | ) | |
| 92,665 | |
Net
increase (decrease) in net assets resulting from operations | |
| 385,893 | | |
| 212,738 | |
Liquidity
and Capital Resources
In
order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of the Fund is held in cash
and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such
as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements
collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency
Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of the Fund
varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the
three months ended March 31, 2024, and the three months ended March 31, 2023, the Fund earned interest income as follows:
| |
Interest
Income For the Three Months Ended March
31, 2024 | | |
Interest
Income For the Three Months Ended March
31, 2023 | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 82,679 | | |
$ | 24,427 | |
The
Fund’s underlying futures contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory
considerations and other reasons. For example, commodity exchanges may limit fluctuations in certain futures contract prices during a
single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices
beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions
in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit.
Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market
conditions could prevent the Fund from promptly liquidating its futures positions.
The
potentially large size of the positions which the Fund may acquire increases the risk of illiquidity by both making the positions more
difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially
be exacerbated due to the fact that the Fund will be related to one benchmark, which may be highly concentrated.
Because
the Fund may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market
Risk
Trading
in derivatives contracts involves the Fund entering into contractual commitments to purchase or sell a volatility product underlying
the Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should
the Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required
to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing
market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can
rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically
unlimited risk.
For
more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form
10-Q.
Credit
Risk
When
the Fund enters into futures contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The
counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing
house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required
to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce
this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become
applicable in the future), it may be backed by a consortium of banks or other financial institutions.
The
Sponsor attempts to minimize certain of these market and credit risks by normally:
|
● |
executing
and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
|
|
|
|
● |
limiting
the outstanding amounts due from counterparties to the Fund; |
|
|
|
|
● |
not
posting margin directly with a counterparty; |
|
|
|
|
● |
requiring
that the counterparty posts collateral in amounts approximately equal to that owed to the Fund, as marked to market daily, subject
to certain minimum thresholds; and |
|
|
|
|
● |
limiting
the amount of margin or premium posted at a FCM. |
Off-Balance
Sheet Arrangements and Contractual Obligations
As
of May 8, 2024, the Fund has not used, nor is it anticipated that the Fund will use such arrangements in the future, special purpose
entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements
of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related
to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s
exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have
a material impact on the Fund’s financial position.
Management
fee payments made to the Sponsor are calculated as a fixed percentage of the Fund’s NAV. As such, the Sponsor cannot anticipate
the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The
agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical
Accounting Policies
Preparation
of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States
of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s
and the Fund’s application of these policies involves judgments and actual results may differ from the estimates used.
The
Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups (“JOBS”) Act of 2012.
It will remain an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary
of its initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $1.07 billion (subject to adjustment
for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than $1.0 billion in non-convertible
debt securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $700
million as of the end of the second quarter of that fiscal year.
For
as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting
requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited
to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure
obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from
the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute
payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging
growth company.”
In
addition, Section 107 of the JOBS Act also provides that an emerging growth company can take advantage of the extended transition period
provided in Section 7(a)(2)(B) of the Securities Act for complying with new or revised accounting standards. In other words, an emerging
growth company can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies.
The Trust intends to take advantage of the benefits of the extended transition period.
The
Fund has significant exposure to futures contracts, all of which are recorded on a trade date basis and at fair value in the financial
statements, with changes in fair value reported in the Statements of Operations. The use of fair value to measure Financial Instruments,
with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Fund’s
financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer
a liability in an orderly transaction between market participants at the measurement date (the exit price).
Short-term
investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term
investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives
(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using
independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts are generally
valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures
contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.
Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair
value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market
value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the
underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such
principles are consistent with normal industry standards. The Sponsor may fair value an asset of the Fund pursuant to the policies the
Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation
inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair
value pricing may require subjective determinations about the value of an investment. While the Fund’s policy is intended to result
in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that
fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain
for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The
prices used by the Fund may differ from the value that would be realized if the investments were sold and the differences could be material
to the financial statements.
The
Fund discloses the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure
fair value.
Discounts
on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized
gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized
in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
The
Fund pays its brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction
related fees and expenses charged in connection with trading activities for the Fund’s investment in U.S. Commodity Futures Trading
Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.
Item
3. Quantitative and Qualitative Disclosures About Market Risk Quantitative Disclosure
Exchange
Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
The
Fund is exposed to equity market volatility risk through its holdings of VIX futures contracts. The table below provides information
about the holdings of the Fund.
As
of March 31, 2024, the Fund’s futures positions were as follows:
Futures
Positions as of March 31, 2024
Contract | |
Long
or Short | |
Expiration | |
Contracts | | |
Valuation
Price | | |
Contract
Multiplier | | |
Notional
Amount at Value | | |
Unrealized
Gain (Loss) | |
VIX
Futures | |
Short | |
April
2024 | |
| (69 | ) | |
$ | 14.37 | | |
| 1,000 | | |
$ | (991,440 | ) | |
$ | 76,536 | |
VIX
Futures | |
Short | |
May 2024 | |
| (40 | ) | |
| 15.42 | | |
| 1,000 | | |
| (616,740 | ) | |
| 208 | |
The
March 31, 2024 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times
the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of
the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases)
in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust
its position in Financial Instruments each day to have up to a maximum of $0.50 of short exposure to the Index for every $1.00 of net
assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying
by negative one-half.
As
of December 31, 2023, the Fund’s positions were as follows:
Futures
Positions as of December 31, 2023
Contract | |
Long
or Short | |
Expiration | |
Contracts | | |
Valuation
Price | | |
Contract
Multiplier | | |
Notional
Amount at Value | | |
Unrealized
Gain (Loss) | |
VIX
Futures | |
Short | |
January
2024 | |
| (58 | ) | |
$ | 14.05 | | |
| 1,000 | | |
$ | (814,970 | ) | |
$ | 54,687 | |
VIX
Futures | |
Short | |
February 2024 | |
| (41 | ) | |
| 15.30 | | |
| 1,000 | | |
| (627,111 | ) | |
| 27,260 | |
The
December 31, 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price
times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price
of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases)
in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust
its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half.
The
Fund’s performance for periods greater than a single day will be the result of each day’s returns compounded over the period.
A “single day” is measured from the time a Fund calculates its net asset value to the time of the Fund’s next net asset
value calculation. As a consequence, the return for investors that invest for a period different than a trading day will not be the product
of the return of the Fund’s stated daily inverse investment objective. Particularly, during periods of high volatility, the Fund
may not perform as expected, and the Fund may have losses when an investor may have expected gains if the Fund is held for a period that
is different than one trading day.
Compounding
affects all investments, but has a more significant impact on an inverse fund, such as the Fund. This effect becomes more pronounced
as volatility increases.
Qualitative
Disclosure
The
investment objective of the Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse
or an inverse multiple of the daily performance, of its corresponding benchmark. The Fund seeks daily investment results, before fees
and expenses, that correspond to one-tenth the inverse (-0.1x) or the inverse (-0.5x) of the daily performance of its corresponding benchmark.
The Fund does not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical
compounding prevents the Fund from achieving such results. Performance over longer periods of time will be influenced not only by the
cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees
and expenses, including costs associated with the use of financial instruments such as financing costs and trading spreads. Future period
returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying
by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the
Fund should actively manage and monitor their investments, as frequently as daily.
Equity
Market Volatility Sensitivity
VIX
Futures Contracts are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX Index is not directly
investable, and the settlement price of a VIX Futures Contract is based on the calculation that determines the level of the VIX Index.
As a result, the behavior of a VIX Futures Contract may be different from traditional futures contracts whose settlement price is based
on a specific tradable asset. In addition, when economic uncertainty increases and there is an associated increase in expected volatility,
the value of VIX Futures Contracts will likely also increase. Similarly, when economic uncertainty recedes and there is an associated
decrease in expected volatility, the value of VIX Futures Contracts will likely also decrease. When the Fund has an open futures contract
position, it is subject to daily variation margin calls that could be substantial in the event of adverse price movements. Because futures
require only a small initial investment in the form of a deposit or margin, they involve a high degree of leverage. If the Fund has insufficient
cash to meet daily variation margin requirements, it might need to sell portfolio investments at a time when such sales are disadvantageous.
Futures markets are highly volatile and the use of or exposure to futures contracts may increase volatility of the Fund’s NAV.
Futures contracts are also subject to liquidity risk.
Several
factors may affect the price and/or liquidity of VIX Futures Contracts, including, but not limited to: prevailing market prices and forward
volatility levels of the U.S. stock markets, the S&P 500®, the equity securities included in the S&P 500® and prevailing
market prices of options on the S&P 500®, the VIX Index, options on the VIX Index, VIX Futures Contracts, or any other financial
instruments related to the S&P 500® and the VIX Index or VIX Futures Contracts; interest rates, economic, financial, political,
regulatory, geographical, biological or judicial events that affect the current volatility reading of the VIX Index or the market price
or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500®, the S&P 500®, the VIX
Index or the relevant futures or option contracts on the VIX Index; supply and demand as well as hedging activities in the listed and
over-the-counter (“OTC”) equity derivatives markets; disruptions in trading of the S&P 500®, futures contracts on
the S&P 500® or options on the S&P 500®; and the level of contango or backwardation in the VIX Futures Contracts market.
These factors interrelate in complex ways, and the effect of one factor on the market value of the Fund may offset or enhance the effect
of another factor.
In
addition, the policies of S&P and the CBOE and changes that affect the composition and valuation of the S&P 500® and the
VIX Index could affect the level of such indexes and/or the value of VIX Futures Contracts and, therefore, the value of the Fund’s
Shares. For example, shareholders will lose money when the values of the VIX Futures Contracts rise, and a single day or intraday increase
in the level of the VIX Futures Contracts approaching 200% could result in the total loss or almost total loss of an investor’s
investment (“Inverse Exposure Risk”).
Managing
Market Risks
The
Fund’s exposure to market risk will be influenced by a number of factors, including the liquidity of the markets in which the financial
instruments it holds are traded and the relationships among the financial instruments held. The inherent uncertainty of the trading of
the Fund as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’
capital.
A
futures contract is a standardized contract traded on, or subject to the rules of, an exchange that calls for the future delivery of
a specified quantity and type of a particular underlying asset at a specified time and place or alternatively may call for cash settlement.
Futures contracts are traded on a wide variety of underlying assets, including bonds, interest rates, agricultural products, stock indexes,
currencies, energy, metals, economic indicators and statistical measures. The notional size and calendar term futures contracts on a
particular underlying asset are identical and are not subject to any negotiation, other than with respect to price and the number of
contracts traded between the buyer and seller. The Fund generally deposits cash and/or securities with an FCM for its open positions
in futures contracts, which may, in turn, transfer such deposits to the clearing house to protect the clearing house against non-payment
by the Fund. The clearing house becomes substituted for each counterparty to a futures contract, and, in effect, guarantees performance.
In addition, the FCM may require the Fund to deposit collateral in excess of the clearing house’s margin requirements for the FCM’s
own protection.
Certain
futures contracts, including VIX Futures Contracts, settle in cash. The cash settlement amount reflects the difference between the contract
purchase/sale price and the contract settlement price. The cash settlement mechanism avoids the potential for either side to have to
deliver the underlying asset. For other futures contracts, the contractual obligations of a buyer or seller may generally be satisfied
by taking or making physical delivery of the underlying asset or by making an offsetting sale or purchase of an identical futures contract
on the same or linked exchange before the designated date of delivery. The difference between the price at which the futures contract
is purchased or sold and the price paid for the offsetting sale or purchase, after allowance for brokerage commissions, constitutes the
profit or loss to the trader.
Futures
contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amounts of variation margin, which
are the amounts of cash that the Fund agrees to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures
contract. With futures contracts, there is minimal but some counterparty risk to the Fund since futures contracts are exchange traded
and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, effectively guarantees futures contracts
against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during
a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond
that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for
several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially
subjecting the Fund to substantial losses. If trading is not possible or if the Fund determines not to close a futures position in anticipation
of adverse price movements, the Fund may be required to make daily cash payments of variation margin.
Item
4. Controls and Procedures
Disclosure
Controls and Procedures
Under
the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management
has evaluated the effectiveness of the Trust’s and the Fund’s disclosure controls and procedures, and have concluded that
the disclosure controls and procedures of the Trust and the Fund (as defined in Rules 13a-15(e) and 15d-15(e) under the 1934 Act) were
effective, as of March 31, 2024, including providing reasonable assurance that information required to be disclosed in the reports that
the Trust files or submits under the 1934 Act on behalf of the Trust and the Fund is recorded, processed, summarized and reported, within
the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management,
including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding
required disclosure.
Changes
in Internal Control over Financial Reporting
There
were no changes in the Trust’s or the Fund’s internal control over financial reporting that occurred during the quarter ended
March 31, 2024 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Fund’s internal
control over financial reporting.
Certifications
The
certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906
of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the
Trust taken as a whole and the Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying
both as to the Trust taken as a whole and the Fund.
PART
II – OTHER INFORMATION
Item
1. Legal Proceedings
None.
Item
1A. Risk Factors
In
addition to the risks described below, please Refer to Part I, Item 1A: Risk Factors of the Fund’s 2023 Form 10-K for a discussion
of certain risk factors affecting the Fund.
Item
2. Unregistered Sales of Equity Securities and Use of Proceeds
None.
Item
3. Defaults Upon Senior Securities
None.
Item
4. Mine Safety Disclosures
Not
applicable.
Item
5. Other Information
None.
Item
6. Exhibits
*
These certifications are furnished to the SEC pursuant
to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of
1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities of 1933, as amended, except as
shall be expressly set forth by specific reference in such filing.
SIGNATURES
Pursuant
to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned in the capacities indicated thereunto duly authorized.
|
DYNAMIC
SHARES TRUST |
|
|
|
|
By: |
/s/
Weixuan Zhang |
|
Name: |
Weixuan
Zhang |
|
Title: |
Principal
Executive Officer |
|
Date: |
May 13, 2024 |
|
By: |
/s/ Weixuan Zhang |
|
Name: |
Xinyu
Jiang |
|
Title: |
Principal
Financial Officer and Principal Accounting Officer |
|
Date: |
May 13, 2024 |
Exhibit
31.1
Certification
of Principal Executive Officer
Pursuant
to Section 302 of the Sarbanes-Oxley Act of 2002
I,
Weixuan Zhang, certify that:
1. |
I
have reviewed this Quarterly Report on Form 10-Q of Dynamic Shares Trust and Dynamic Short Short-Term Volatility Futures ETF; |
|
|
2. |
Based
on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to
the period covered by this report; |
|
|
3. |
Based
on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in
this report; |
|
|
4. |
The
registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange
Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
|
(a) |
Designed
such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared; |
|
|
|
|
(b) |
Designed
such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles; |
|
|
|
|
(c) |
Evaluated
the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation;
and |
|
|
|
|
(d) |
Disclosed
in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s
most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. |
The
registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial
reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing
the equivalent functions): |
|
(a) |
All
significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information;
and |
|
|
|
|
(b) |
Any
fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s
internal control over financial reporting. |
Date:
May 13, 2024 |
By: |
/s/
Weixuan Zhang |
|
Name: |
Weixuan
Zhang |
|
Title: |
Principal
Executive Officer |
|
|
Dynamic
Shares Trust |
Exhibit
31.2
Certification
of Principal Financial Officer
Pursuant
to Section 302 of the Sarbanes-Oxley Act of 2002
I,
Xinyu Jiang, certify that:
1. |
I
have reviewed this Quarterly Report on Form 10-Q of Dynamic Shares Trust and Dynamic Short Short-Term Volatility Futures ETF; |
|
|
2. |
Based
on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to
the period covered by this report; |
|
|
3. |
Based
on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in
this report; |
|
|
4. |
The
registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange
Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
|
(a) |
Designed
such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared; |
|
|
|
|
(b) |
Designed
such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles; |
|
|
|
|
(c) |
Evaluated
the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation;
and |
|
|
|
|
(d) |
Disclosed
in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s
most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. |
The
registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial
reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing
the equivalent functions): |
|
(a) |
All
significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information;
and |
|
|
|
|
(b) |
Any
fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s
internal control over financial reporting. |
Date:
May 13, 2024 |
By: |
/s/
Xinyu Jiang |
|
Name: |
Xinyu
Jiang |
|
Title: |
Principal
Financial Officer and Principal Accounting Officer |
|
|
Dynamic
Shares |
Exhibit
32.1
Certification
of Principal Executive Officer
Pursuant
to Section 906 of the Sarbanes-Oxley Act of 2002
In
connection with this Quarterly Report on Form 10-Q for the quarter ended March 31, 2024 (the “Report”) of Dynamic Shares
Trust (the “Registrant”) and Dynamic Short Short-Term Volatility Futures ETF, as filed with the U.S. Securities and Exchange
Commission on the date hereof, I, Weixuan Zhang, the Principal Executive Officer of the Registrant, hereby certify, to the best of my
knowledge, that:
(1) |
The
Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
|
|
(2) |
The
information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
of the Registrant. |
Date:
May 13, 2024 |
By: |
/s/ Weixuan Zhang |
|
Name: |
Weixuan
Zhang |
|
Title: |
Principal
Executive Officer |
|
|
Dynamic
Shares Trust |
Exhibit
32.2
Certification
of Principal Executive Officer
Pursuant
to Section 906 of the Sarbanes-Oxley Act of 2002
In
connection with this Quarterly Report on Form 10-Q for the quarter ended March 31, 2024 (the “Report”) of Dynamic Shares
Trust (the “Registrant”) and Dynamic Short Short-Term Volatility Futures ETF, as filed with the U.S. Securities and Exchange
Commission on the date hereof, I, Xinyu Jiang, the Principal Financial and Accounting Officer of the Registrant, hereby certify, to the
best of my knowledge, that:
(1) |
The
Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
|
|
(2) |
The
information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
of the Registrant. |
Date:
May 13, 2024 |
By: |
/s/ Xinyu Jiang |
|
Name: |
Xinyu
Jiang |
|
Title: |
Principal
Financial Officer and Principal Accounting Officer |
|
|
Dynamic
Shares Trust |
v3.24.1.1.u2
Cover - shares
|
3 Months Ended |
|
Mar. 31, 2024 |
May 08, 2024 |
Cover [Abstract] |
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10-Q
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|
|
Document Fiscal Period Focus |
Q1
|
|
Document Fiscal Year Focus |
2024
|
|
Current Fiscal Year End Date |
--12-31
|
|
Entity File Number |
001-40369
|
|
Entity Registrant Name |
DYNAMIC
SHARES TRUST
|
|
Entity Central Index Key |
0001771951
|
|
Entity Tax Identification Number |
32-6540728
|
|
Entity Incorporation, State or Country Code |
DE
|
|
Entity Address, Address Line One |
c/o
Dynamic Shares LLC
|
|
Entity Address, Address Line Two |
401
W. Superior Street
|
|
Entity Address, Address Line Three |
Suite 300
|
|
Entity Address, City or Town |
Chicago
|
|
Entity Address, State or Province |
IL
|
|
Entity Address, Postal Zip Code |
60654
|
|
City Area Code |
312
|
|
Local Phone Number |
216-2890
|
|
Title of 12(b) Security |
Dynamic
Short Short-Term Volatility Futures ETF
|
|
Trading Symbol |
WEIX
|
|
Security Exchange Name |
NYSEArca
|
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Entity Current Reporting Status |
Yes
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v3.24.1.1.u2
Statements of Financial Condition - USD ($)
|
Mar. 31, 2024 |
Dec. 31, 2023 |
Assets |
|
|
Investments at value and cost |
$ 4,135,826
|
$ 4,131,023
|
Cash |
100
|
100
|
Segregated collateral with brokers for futures contracts |
3,105,720
|
2,719,814
|
Unrealized on open futures contracts |
76,744
|
81,947
|
Interest receivable |
25,370
|
24,587
|
Total assets |
7,343,760
|
6,957,471
|
Liabilities |
|
|
Payable to Sponsor |
11,366
|
10,261
|
Professional Fees |
3,606
|
4,315
|
Total liabilities |
14,972
|
14,576
|
Shareholders’ equity |
|
|
Shareholders’ equity |
7,328,788
|
6,942,895
|
Total liabilities and shareholders’ equity |
7,343,760
|
6,957,471
|
Net assets |
$ 7,328,788
|
$ 6,942,895
|
Shares outstanding |
250,005
|
250,005
|
Net asset value per share |
$ 29.31
|
$ 27.77
|
Market value per share |
$ 29.34
|
$ 27.79
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
Assets |
|
|
Investments at value and cost |
$ 4,135,826
|
$ 4,131,023
|
Cash |
100
|
100
|
Segregated collateral with brokers for futures contracts |
3,105,720
|
2,719,814
|
Unrealized on open futures contracts |
76,744
|
81,947
|
Interest receivable |
25,370
|
24,587
|
Total assets |
7,343,760
|
6,957,471
|
Liabilities |
|
|
Payable to Sponsor |
11,366
|
10,261
|
Professional Fees |
3,606
|
4,315
|
Total liabilities |
14,972
|
14,576
|
Shareholders’ equity |
|
|
Shareholders’ equity |
7,328,788
|
6,942,895
|
Total liabilities and shareholders’ equity |
7,343,760
|
6,957,471
|
Net assets |
$ 7,328,788
|
$ 6,942,895
|
Shares outstanding |
250,005
|
250,005
|
Net asset value per share |
$ 29.31
|
$ 27.77
|
Market value per share |
$ 29.34
|
$ 27.79
|
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v3.24.1.1.u2
Schedule of Investments (Unaudited) - USD ($)
|
Mar. 31, 2024 |
Dec. 31, 2023 |
Schedule of Investments [Line Items] |
|
|
|
|
Goldman Sachs Financial Square Government Fund - Institutional Shares (cost $4,131,023), 5.23% |
$ 4,135,826
|
[1] |
$ 4,131,023
|
[2] |
Shares |
4,135,826
|
[1] |
4,131,023
|
[2] |
Other Assets Less Liabilities - 40.5% |
$ 3,192,962
|
|
$ 2,811,872
|
|
Net assets |
7,328,788
|
|
6,942,895
|
|
Unrealized Appreciation (Depreciation) |
76,744
|
|
81,947
|
|
VIX Futures - Cboe, Expires April 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
(1,067,976)
|
|
|
|
Notional Value at Year End |
(991,440)
|
|
|
|
Unrealized Appreciation (Depreciation) |
76,536
|
|
|
|
VIX Futures - Cboe, Expires May 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
(616,948)
|
|
|
|
Notional Value at Year End |
(616,740)
|
|
|
|
Unrealized Appreciation (Depreciation) |
208
|
|
|
|
VIX Futures - Cboe, Expires January 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
|
|
(869,657)
|
|
Notional Value at Year End |
|
|
(814,970)
|
|
Unrealized Appreciation (Depreciation) |
|
|
54,687
|
|
VIX Futures Cboe Expires February 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
|
|
(654,371)
|
|
Notional Value at Year End |
|
|
(627,111)
|
|
Unrealized Appreciation (Depreciation) |
|
|
27,260
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Goldman Sachs Financial Square Government Fund - Institutional Shares (cost $4,131,023), 5.23% |
$ 4,135,826
|
[3] |
$ 4,131,023
|
[4] |
Shares |
4,135,826
|
|
4,131,023
|
[4] |
Other Assets Less Liabilities - 40.5% |
$ 3,192,962
|
|
$ 2,811,872
|
|
Net assets |
7,328,788
|
|
6,942,895
|
|
Unrealized Appreciation (Depreciation) |
76,744
|
|
81,947
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires April 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
(1,067,976)
|
|
|
|
Notional Value at Year End |
(991,440)
|
|
|
|
Unrealized Appreciation (Depreciation) |
76,536
|
|
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires May 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
(616,948)
|
|
|
|
Notional Value at Year End |
(616,740)
|
|
|
|
Unrealized Appreciation (Depreciation) |
$ 208
|
|
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires January 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
|
|
(869,657)
|
|
Notional Value at Year End |
|
|
(814,970)
|
|
Unrealized Appreciation (Depreciation) |
|
|
54,687
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures Cboe Expires February 2024 [Member] |
|
|
|
|
Schedule of Investments [Line Items] |
|
|
|
|
Original Notional |
|
|
(654,371)
|
|
Notional Value at Year End |
|
|
(627,111)
|
|
Unrealized Appreciation (Depreciation) |
|
|
$ 27,260
|
|
|
|
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v3.24.1.1.u2
Schedule of Investments (Unaudited) (Parenthetical)
|
Mar. 31, 2024
USD ($)
Contracts
|
Dec. 31, 2023
USD ($)
Contracts
|
Schedule of Investments [Line Items] |
|
|
Investment Owned, Cost | $ |
$ 4,135,826
|
$ 4,131,023
|
Percentage of investments |
5.21%
|
5.23%
|
Other assets less liabilities |
43.60%
|
40.50%
|
Net Assets |
100.00%
|
100.00%
|
VIX Futures - Cboe, Expires April 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
(69)
|
|
VIX Futures - Cboe, Expires May 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
(40)
|
|
VIX Futures - Cboe, Expires January 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
|
(58)
|
VIX Futures Cboe Expires February 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
|
(41)
|
Money Market Funds [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Percentage of investments |
56.40%
|
59.50%
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Investment Owned, Cost | $ |
$ 4,135,826
|
$ 4,131,023
|
Percentage of investments |
5.21%
|
5.23%
|
Other assets less liabilities |
43.60%
|
40.50%
|
Net Assets |
100.00%
|
100.00%
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires April 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
(69)
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires May 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
(40)
|
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires January 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
|
(58)
|
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures Cboe Expires February 2024 [Member] |
|
|
Schedule of Investments [Line Items] |
|
|
Number of Contracts |
|
(41)
|
Dynamic Short Short Term Volatility Futures ETF [Member] | Money Market Funds [Member] |
|
|
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v3.24.1.1.u2
Statements of Operations (Unaudited) - USD ($)
|
3 Months Ended |
Mar. 31, 2024 |
Mar. 31, 2023 |
Investment Income |
|
|
Interest |
$ 82,679
|
$ 24,427
|
Expenses |
|
|
Management fee |
32,799
|
13,284
|
Professional fees |
15,273
|
|
Total expenses |
48,072
|
13,284
|
Fee reimbursed or waived |
|
(9,696)
|
Net expenses |
48,072
|
3,588
|
Net investment income (loss) |
34,607
|
20,839
|
Realized and unrealized gain (loss) on investment activity |
|
|
Net realized gain (loss) on futures contracts |
356,489
|
99,234
|
Change in net unrealized appreciation on futures contracts |
(5,203)
|
92,665
|
Net realized and unrealized gain (loss) |
351,286
|
191,899
|
Net increase (decrease) in net assets resulting from operations |
385,893
|
212,738
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
Investment Income |
|
|
Interest |
82,679
|
24,427
|
Expenses |
|
|
Management fee |
32,799
|
13,284
|
Professional fees |
15,273
|
|
Total expenses |
48,072
|
13,284
|
Fee reimbursed or waived |
|
(9,696)
|
Net expenses |
48,072
|
3,588
|
Net investment income (loss) |
34,607
|
20,839
|
Realized and unrealized gain (loss) on investment activity |
|
|
Net realized gain (loss) on futures contracts |
356,489
|
99,234
|
Change in net unrealized appreciation on futures contracts |
(5,203)
|
92,665
|
Net realized and unrealized gain (loss) |
351,286
|
191,899
|
Net increase (decrease) in net assets resulting from operations |
$ 385,893
|
$ 212,738
|
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v3.24.1.1.u2
Statements of Changes in Shareholders' Equity (Unaudited) - USD ($)
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
Total |
Shareholders’ equity, beginning of period at Dec. 31, 2022 |
$ 2,722,929
|
$ 2,722,929
|
Shares outstanding, beginning shares at Dec. 31, 2022 |
150,005
|
150,005
|
Proceeds from share sold |
|
|
Net investment income (loss) |
20,839
|
20,839
|
Net realized gain (loss) |
99,234
|
99,234
|
Change in net unrealized appreciation (depreciation) |
92,665
|
92,665
|
Net increase (decrease) in net assets resulting from operations |
$ 212,738
|
$ 212,738
|
Shares Issued, shares |
|
|
Shareholders’ equity, end of period at Mar. 31, 2023 |
$ 2,935,667
|
$ 2,935,667
|
Shares outstanding, ending shares at Mar. 31, 2023 |
150,005
|
150,005
|
Shareholders’ equity, beginning of period at Dec. 31, 2023 |
$ 6,942,895
|
$ 6,942,895
|
Shares outstanding, beginning shares at Dec. 31, 2023 |
250,005
|
250,005
|
Proceeds from share sold |
|
|
Net investment income (loss) |
34,607
|
34,607
|
Net realized gain (loss) |
356,489
|
356,489
|
Change in net unrealized appreciation (depreciation) |
(5,203)
|
(5,203)
|
Net increase (decrease) in net assets resulting from operations |
$ 385,893
|
$ 385,893
|
Shares Issued, shares |
|
|
Shareholders’ equity, end of period at Mar. 31, 2024 |
$ 7,328,788
|
$ 7,328,788
|
Shares outstanding, ending shares at Mar. 31, 2024 |
250,005
|
250,005
|
X |
- DefinitionAmount of interest income (expense) classified as operating.
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v3.24.1.1.u2
Statements of Cash Flows (Unaudited) - USD ($)
|
3 Months Ended |
Mar. 31, 2024 |
Mar. 31, 2023 |
Cash flow from operating activities |
|
|
Net increase in net assets resulting from operations |
$ 385,893
|
$ 212,738
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
|
|
Net purchases of short-term investments |
(4,803)
|
(12,018)
|
Change in net unrealized appreciation on futures contracts |
5,203
|
(92,665)
|
Decrease (Increase) in interest receivable |
(783)
|
(1,578)
|
Increase (Decrease) in payables |
396
|
239
|
Net cash provided by (used in) operating activities |
385,906
|
106,716
|
Cash flow from proceeds from financing activities |
|
|
Proceeds from addition of shares |
|
|
Net increase (decrease) in cash |
385,906
|
106,716
|
Cash, beginning of period |
2,719,914
|
1,176,259
|
Cash, end of period |
3,105,820
|
1,282,975
|
Cash Represents: |
|
|
Cash |
100
|
100
|
Segregated collateral with brokers for futures contracts |
3,105,720
|
1,282,875
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
Cash flow from operating activities |
|
|
Net increase in net assets resulting from operations |
385,893
|
212,738
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
|
|
Net purchases of short-term investments |
(4,803)
|
(12,018)
|
Change in net unrealized appreciation on futures contracts |
5,203
|
(92,665)
|
Decrease (Increase) in interest receivable |
(783)
|
(1,578)
|
Increase (Decrease) in payables |
396
|
239
|
Net cash provided by (used in) operating activities |
385,906
|
106,716
|
Cash flow from proceeds from financing activities |
|
|
Proceeds from addition of shares |
|
|
Net increase (decrease) in cash |
385,906
|
106,716
|
Cash, beginning of period |
2,719,914
|
1,176,259
|
Cash, end of period |
3,105,820
|
1,282,975
|
Cash Represents: |
|
|
Cash |
100
|
100
|
Segregated collateral with brokers for futures contracts |
$ 3,105,720
|
$ 1,282,875
|
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v3.24.1.1.u2
ORGANIZATION
|
3 Months Ended |
Mar. 31, 2024 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
|
ORGANIZATION |
NOTE
1 - ORGANIZATION
Dynamic
Shares Trust (the “Trust”) is a Delaware statutory trust organized on March 8, 2019 and is currently organized into a single
series, Dynamic Short Short-Term Volatility Futures ETF (the “Fund”), which commenced investment operations on January 12,
2022. The Fund issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial
interest in the ownership of the Fund. The Shares of the Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”).
The
Fund seeks to achieve its investment objective, under normal circumstances, by obtaining investment exposure to an actively managed portfolio
of short positions in futures contracts with monthly expirations (“VIX Futures Contracts”), which are based on the Chicago
Board Options Exchange, Incorporated (“CBOE”) Volatility Index (the “VIX Index” or “VIX”). The Fund
expects that the notional exposure of its portfolio of short positions in VIX Futures Contracts will range from -0.1 to -0.5 under normal
circumstances. The Fund expects to primarily take short positions in VIX Futures Contracts by shorting the next two near term VIX Futures
Contracts and rolling the nearest month VIX Futures Contract to the next month on a daily basis. As such, the Fund expects to have a
constant one-month rolling short position in first and second month VIX Futures Contracts under normal circumstances.
The
Trust and the Fund had no operations prior to January 12, 2022, other than matters relating to its organization, the registration of
the Fund under the Securities Act of 1933, as amended, and the sale and issuance to Dynamic Shares, LLC, a Delaware limited liability
company (the “Sponsor”) of five Shares at an aggregate purchase price of $100 in the Fund.
The
Fund continuously offers and redeems its Shares in blocks of 50,000 Shares (each such block a “Creation Unit”). Only Authorized
Participants may purchase and redeem Shares from the Fund and then only in Creation Units. An Authorized Participant is an entity that
has entered into an Authorized Participant Agreement with the Fund. Shares of the Fund are offered to Authorized Participants in Creation
Units at the Fund’s Net Asset Value (“NAV”). Authorized Participants may then offer to the public, from time to time,
Shares from any Creation Unit they create at a per-share market price that varies depending on, among other factors, the trading price
of the Shares of the Fund on its listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares
from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The
form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an
Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from the Fund, the Sponsor, or
any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. Shares of the Fund
commenced trading on NYSE Arca on January 13, 2022.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”).
The Fund is a commodity pool, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of
the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered
with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended (the “1940
Act”).
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v3.24.1.1.u2
SIGNIFICANT ACCOUNTING POLICIES
|
3 Months Ended |
Mar. 31, 2024 |
Accounting Policies [Abstract] |
|
SIGNIFICANT ACCOUNTING POLICIES |
NOTE
2 - SIGNIFICANT ACCOUNTING POLICIES
Pursuant
to rules and regulations of the U.S. Securities and Exchange Commission (“SEC”), these financial statements are presented
for the Trust as a whole, as the SEC registrant and the Fund individually. The liabilities and expenses incurred, contracted for or otherwise
existing with respect to each series of the Trust shall be enforceable only against the assets of each series of the Trust and not against
the assets of the Trust generally or any other series.
The
Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification
(“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Fund follows the investment
company accounting and reporting guidance. The following is a summary of significant accounting policies followed by the Fund, as applicable,
in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United
States of America (“GAAP”).
The
accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions
for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal
recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period
results are not necessarily indicative of results for a full-year period.
Emerging
Growth Company
The
Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups (“JOBS”) Act of 2012.
It will remain an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary
of its initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $1.07 billion (subject to adjustment
for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than $1.0 billion in non-convertible
debt securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $700
million as of the end of the second quarter of that fiscal year.
For
as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting
requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited
to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure
obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from
the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute
payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging
growth company.”
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
In
addition, Section 107 of the JOBS Act also provides that an emerging growth company can take advantage of the extended transition period
provided in Section 7(a)(2)(B) of the Securities Act for complying with new or revised accounting standards. In other words, an emerging
growth company can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies.
The Trust intends to take advantage of the benefits of the extended transition period.
Use
of Estimates & Indemnifications
The
preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the
reported amounts of increases and decreases in net assets resulting from operations. Actual results could differ from those estimates.
In
the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.
The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant
loss to be remote.
Basis
of Presentation
Pursuant
to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant. However,
the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to the Fund shall be enforceable
only against the assets of the Fund and not against the assets of the Trust generally or any other series of the Trust. Accordingly,
the assets of the Fund include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase
of Shares in the Fund.
Statements
of Cash Flows
The
cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March
31, 2024 and March 31, 2023, and represents cash, segregated cash balances with brokers for futures contracts, but does not include short-term
investments.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Final
Net Asset Value for Fiscal Period
The
cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund Shares for
the period ended March 31, 2024 were typically as follows. All times are Eastern Standard Time:
SUMMARY
OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES
|
|
Create/Redeem
Cut-Off* |
|
NAV
Calculation Time |
Dynamic
Short Short-Term Volatility Futures ETF |
|
2:00
p.m. |
|
4:00
p.m. |
* |
Although the Fund’s shares may continue to trade on secondary
markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption
units for the period ended March 31, 2024. |
Market
value per Share is determined at the close of the applicable primary listing exchange and may differ from when the Fund’s NAV per
Share is calculated. For financial reporting purposes, the Fund values transactions based upon the final closing price in the United
States.
Investment
Valuation
Short-term
investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term
investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives
(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using
independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts are generally
valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures
contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.
Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair
value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market
value of such position. Such fair value prices would be generally determined based on available inputs relating to the current value
of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long
as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of the Fund pursuant to the policies
the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation
inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Fair
value pricing may require subjective determinations about the value of an investment. While the Fund’s policy is intended to result
in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that
fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain
for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
Fair
Value of Financial Instruments
The
Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair
value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed
based on market data obtained from sources independent of the Fund (observable inputs); and (2) the Fund’s own assumptions about
market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three
levels defined by the disclosure requirements hierarchy are as follows:
Level
I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability
to access at the measurement date.
Level
II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or
indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the
asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means
(market-corroborated inputs).
Level
III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure
fair value to the extent that observable inputs are not available.
In
some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair
value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant
to the fair value measurement in its entirety.
Fair
value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly
decreased, as well as when circumstances indicate that a transaction is not orderly.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:
SUMMARY
OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,135,826 | | |
$ | 76,744 | |
Dynamic
Shares Trust (combined) | |
$ | 4,135,826 | | |
$ | 76,744 | |
* |
Includes cumulative appreciation (depreciation) of futures
contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements
of Financial Condition. |
The
following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy:
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,131,023 | | |
$ | 81,947 | |
Dynamic
Shares Trust (combined) | |
$ | 4,131,023 | | |
$ | 81,947 | |
* |
Includes cumulative appreciation (depreciation) of futures
contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements
of Financial Condition. |
The
inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment
Transactions and Related Income
Investment
transactions are recorded on the trade date. All such transactions are recorded on a specific identification basis and marked to market
daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in
the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest
income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as
Interest Income in the Statements of Operations.
Brokerage
Commissions and Futures Account Fees
The
Fund pays its brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction
related fees and expenses charged in connection with trading activities for the Fund’s investment in CFTC regulated investments.
Brokerage commissions on futures contracts are recognized on a half-turn basis.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Federal
Income Tax
The
Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly,
the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner of the Fund’s Shares is required
to take into account its allocable share of the Fund’s income, gain, loss, deductions and other items for its Fund’s taxable
year ending with or within the beneficial owner’s taxable year.
Management
of the Fund has reviewed all open tax years and major jurisdictions (i.e., the last three tax year ends and the interim tax period since
then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income
tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis,
management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on
factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.
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v3.24.1.1.u2
RESTATEMENTS OF FINANCIAL STATEMENTS
|
3 Months Ended |
Mar. 31, 2024 |
Accounting Changes and Error Corrections [Abstract] |
|
RESTATEMENTS OF FINANCIAL STATEMENTS |
NOTE
3 - RESTATEMENTS OF FINANCIAL STATEMENTS
The
Fund has restated its Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in
Shareholders’ Equity, Statements of Cash Flows and Notes to Financial Statements to include the Trust in these statements for the
fiscal periods ended March 31, 2023.
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v3.24.1.1.u2
INVESTMENTS
|
3 Months Ended |
Mar. 31, 2024 |
Investments, Debt and Equity Securities [Abstract] |
|
INVESTMENTS |
NOTE
4 - INVESTMENTS
Short-Term
Investments
The
Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities
with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements,
futures, and/or forward contracts.
Accounting
for Derivative Instruments
In
seeking to achieve the Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach,
the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes
in combination, should produce returns consistent with the objective of the Fund.
All
open derivative positions at period end are reflected on the Fund’s Schedule of Investments. Following is a description of the
derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures related to each
instrument type.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Futures
Contracts
A
derivative refers to any financial instrument whose value is derived, at least in part, from the price of an underlying security, asset,
rate, or index. The use of derivatives presents risk different from, and possibly greater than, the risks associated with investing directly
in traditional securities. Changes in the value of a derivative may not correlate perfectly with the underlying security, asset, rate
or index. Gains or losses in a derivative may be magnified and may be much greater than the derivative’s original cost.
Generally
speaking, a futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity
and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking
or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures
contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon
entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required
by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers
for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Fund maintains collateral
at the broker in the form of cash and/or securities. Pursuant to the futures contract, the Fund generally agrees to receive from or pay
to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known
as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing of
a futures transaction.
The
Fund invests in and has investment exposure to an actively managed portfolio of short positions in VIX Futures Contracts, which are based
on the CBOE VIX Index. VIX Futures Contracts, which are types of derivative contracts, are unlike traditional futures contracts and are
not based on a tradable reference asset. The VIX Index is not directly investable, and the settlement price of a VIX Futures Contract
is based on the calculation that determines the level of the VIX Index.
Futures
contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount of variation margin. The
face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks
associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the
market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts,
there is minimal but some counterparty risk to the Fund since futures contracts are exchange-traded and the credit risk resides with
the Fund’s clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation
permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no
trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures
contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation
of futures positions and potentially subjecting the Fund to substantial losses. If trading is not possible, or if the Fund determines
not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of
variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions
on a national exchange with an active and liquid secondary market.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of
derivative instruments on the Statements of Operations during the reporting period.
SUMMARY
OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS
Fair
Value of Derivative Instruments as of March 31, 2024
| |
| |
Asset
Derivatives | |
Liability
Derivatives | |
| |
Derivatives
Not Accounted
for as Hedging
Instruments | |
Statements
of Financial
Condition Location | |
Unrealized Appreciation | | |
Statements
of Financial
Condition Location | | |
Unrealized Depreciation | |
Dynamic Short
Short-Term Volatility Futures ETF | |
Equity
risk | |
Unrealized
appreciation on open futures contracts | |
$ | 76,744 | | |
| - | | |
| - | |
Dynamic Shares Trust (combined) | |
Equity
risk | |
Unrealized
appreciation on open futures contracts | |
$ | 76,744 | | |
| - | | |
| - | |
Fair
Value of Derivative Instruments as of December 31, 2023
| |
| |
Asset
Derivatives | |
Liability
Derivatives | |
| |
Derivatives
Not Accounted
for as Hedging
Instruments | |
Statements
of Financial
Condition Location | |
Unrealized Appreciation | | |
Statements
of Financial
Condition Location | | |
Unrealized Depreciation | |
Dynamic Short
Short-Term Volatility Futures ETF | |
Equity risk | |
Unrealized on
open futures contracts | |
$ | 81,947 | | |
| - | | |
| - | |
Dynamic Shares Trust (combined) | |
Equity risk | |
Unrealized on open futures
contracts | |
$ | 81,947 | | |
| - | | |
| - | |
The
Effect of Derivative Instruments on the Statement of Operations
For
the three months ended March 31, 2024
| |
Derivatives Not Accounted for as Hedging Instruments | |
Location of Gain (Loss) on Derivatives Recognized in Income | |
Realized Gain (Loss) on Derivatives Recognized in Income | | |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
Dynamic Short Short-Term Volatility Futures ETF | |
Equity risk | |
Realized and unrealized gain (loss) on investment activity | |
$ | 356,489 | | |
$ | (5,203 | ) |
Dynamic Shares Trust (combined) | |
Equity risk | |
Realized and unrealized gain (loss) on investment activity | |
$ | 356,489 | | |
$ | (5,203 | ) |
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following table represents the gross notional values, which serve as an indicator of volume for the futures during the fiscal period
ended March 31, 2024:
SCHEDULE
OF AVERAGE NOTIONAL VALUE
| |
Derivative
Type | |
Type | |
Notional
Value | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Futures | |
Equity
risk | |
$ | (1,608,180 | ) |
Dynamic
Shares Trust (combined) | |
Futures | |
Equity
risk | |
$ | (1,608,180 | ) |
The
Effect of Derivative Instruments on the Statement of Operations
For
the year ended December 31, 2023
| |
Derivatives
Not Accounted for
as Hedging Instruments | |
Location
of Gain (Loss)
on Derivatives Recognized
in Income | |
Realized
Gain (Loss) on Derivatives Recognized in Income | | |
Change
in Unrealized
Appreciation (Depreciation) on Derivatives Recognized in Income | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Equity
risk | |
Realized
and unrealized gain on investment activity | |
$ | 1,475,884 | | |
$ | 39,784 | |
Dynamic
Shares Trust (combined) | |
Equity
risk | |
Realized
and unrealized gain on investment activity | |
$ | 1,475,884 | | |
$ | 39,784 | |
The
following table represents the gross notional values, which serve as an indicator of volume for the futures during the fiscal period
ended December 31, 2023:
| |
Derivative
Type | |
Type | |
Notional
Value | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Futures | |
Equity
risk | |
$ | (1,395,155 | ) |
Dynamic
Shares Trust (combined) | |
Futures | |
Equity
risk | |
$ | (1,395,155 | ) |
|
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v3.24.1.1.u2
AGREEMENTS
|
3 Months Ended |
Mar. 31, 2024 |
Agreements |
|
AGREEMENTS |
NOTE
5 - AGREEMENTS
Management
Fee
Dynamic
Shares LLC, a Delaware limited liability company formed on June 4, 2018, is the Sponsor of the Trust and the Fund (the “Sponsor”).
The Fund pays the Sponsor a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.85% per annum
of its average daily net assets (calculated by summing the daily net assets of the Fund and dividing by the number of calendar days in
the month).
The
Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund
that the Sponsor pays directly or indirectly. From the Management Fee, the Sponsor pays all of the routine operational, administrative
and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator,
Custodian, Distributor, Transfer Agent, accounting and auditing fees and expenses; and (ii) the normal and expected expenses incurred
in connection with the continuous offering of Shares of the Fund after the commencement of its trading operations. Fees associated with
the Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum,
ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of the Fund and Financial Industry Regulatory Authority (“FINRA”)
filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of the Fund, and report
preparation and mailing expenses. For the period ended March 31, 2024, the Fund accrued $15,273 related to Schedule K-1 preparation and
mailing fees.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Non-Recurring
Fees and Expenses
The
Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and
expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification
or other material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative and other
ordinary expenses are not deemed extraordinary expenses.
The
Administrator
The
Nottingham Company (“Nottingham”), serves as the Administrator of the Fund. The Trust, on its own behalf and on behalf of
the Fund, and Nottingham have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”)
in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction
of the Sponsor and the Trust, Nottingham prepares and files certain regulatory filings on behalf of the Fund. Nottingham also may perform
other services for the Fund pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust
and Nottingham from time to time. The Administrator’s fees are paid by the Sponsor from the management fee earned.
The
Custodian
BMO
Harris Bank N.A. (“BMO”) serves as the Custodian of the Fund, and the Trust, on its own behalf and on behalf of the Fund,
and BMO have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of
the Custody Agreement, BMO is responsible for the holding and safekeeping of assets delivered to it by the Fund, and performing various
administrative duties in accordance with instructions delivered to BMO by the Funds. The Custodian’s fees are paid by the Trust
and reimbursed by the Sponsor.
The
Transfer Agent
Nottingham
Shareholder Services, LLC, serves as the Transfer Agent of the Fund for Authorized Participants and will enter into a dividend disbursing
and transfer agent agreement (the “Transfer Agent Agreement”). Pursuant to the terms of the Transfer Agent Agreement, the
Transfer Agent will be responsible for processing purchase and redemption orders and maintaining records of ownership of the Fund. The
Transfer Agent fees are paid by the Sponsor from the management fee earned.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
Distributor
Capital
Investment Group, Inc., serves as the Distributor of the Fund and will assist the Sponsor and the Administrator with functions and duties
relating to distribution and marketing, which include the following: taking creation and redemption orders, and consulting with the marketing
staff of the Sponsor and its affiliates with respect to compliance matters in connection with marketing efforts.
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v3.24.1.1.u2
CREATION AND REDEMPTION OF CREATION UNITS
|
3 Months Ended |
Mar. 31, 2024 |
Creation And Redemption Of Creation Units |
|
CREATION AND REDEMPTION OF CREATION UNITS |
NOTE
6 - CREATION AND REDEMPTION OF CREATION UNITS
The
Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares.
Creation Units may be created or redeemed only by Authorized Participants. Except when aggregated in Creation Units, the Shares are not
redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with the
Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some
of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases
and redemptions is not relevant to retail investors.
Transaction
Fees on Creation and Redemption Transactions
The
manner by which Creation Units are purchased and redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized
Participant Handbook. By placing a purchase order, an Authorized Participant agrees to deposit cash with the Custodian of the Fund. If
permitted by the Sponsor in its sole discretion, an Authorized Participant also agrees to enter into or arrange for an exchange of futures
for related position or block trade with the Fund whereby the Authorized Participant would also transfer to the Fund a number and type
of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. Similarly,
the Sponsor in its sole discretion may agree with an Authorized Participant to use an exchange of futures for related position to effect
an order to redeem Creation Units.
Authorized
Participants pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit to compensate
the Administrator, the Custodian and the Transfer Agent of the Fund and its Shares, for services in processing the creation and redemption
of Creation Units and to offset the costs of increasing or decreasing derivative positions. The Sponsor provides such Authorized Participant
with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included
in the Creation Units they purchase from the Fund to other investors.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
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v3.24.1.1.u2
FINANCIAL HIGHLIGHTS
|
3 Months Ended |
Mar. 31, 2024 |
Investment Company [Abstract] |
|
FINANCIAL HIGHLIGHTS |
NOTE
7 - FINANCIAL HIGHLIGHTS
Selected
Data for a Share Outstanding Throughout each Period
SUMMARY
OF SELECTED DATA FOR A SHARE OUTSTANDING
| |
Three
Months Ended March
31, 2024 (unaudited) | | |
Three
Months Ended March 31, 2023 (unaudited) | |
Per
Share Operating Performance | |
| | | |
| | |
Net asset
value, beginning of period | |
$ | 27.77 | | |
$ | 18.15 | |
Net
investment income (loss) (a) | |
| 0.14 | | |
| 0.14 | |
Net
realized and unrealized gain (loss) | |
| 1.41 | | |
| 1.28 | |
Net
asset value, end of period | |
$ | 29.31 | | |
$ | 19.57 | |
Market value per
share, beginning of period | |
$ | 27.79 | | |
$ | 18.13 | |
Market value per
share, end of period | |
$ | 29.34 | | |
$ | 19.57 | |
Total
Return, at net asset value (a) | |
| 5.55 | % | |
| 7.82 | % |
Total
Return, at market value (a) | |
| 5.58 | % | |
| 7.94 | % |
Ratios
to Average Net Assets (b) | |
| | | |
| | |
Gross
Expense | |
| 2.71 | % | |
| 1.85 | % |
Net
Expense | |
| 2.71 | % | |
| 0.52 | % |
Net
investment income (loss) | |
| 1.95 | % | |
| 2.90 | % |
Portfolio
turnover | |
| - | | |
| - | |
(a) |
Not annualized. |
(b) |
Annualized. |
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RISK
|
3 Months Ended |
Mar. 31, 2024 |
Risk |
|
RISK |
NOTE
8 - RISK
Correlation
and Compounding Risk
The
Fund does not seek to achieve its stated investment objective over a period of time greater than a single day (as measured from NAV calculation
time to NAV calculation time). The return of the Fund for a period longer than a single day is the result of its return for each day
compounded over the period and usually will differ in amount and possibly even direction from one-half the maximum inverse (-0.5x) of
the Fund’s benchmark for the period. The Fund will lose money if its benchmark performance is flat over time, and it is possible
for the Fund to lose money over time even if the performance of its benchmark decreases, as a result of daily rebalancing, the benchmark’s
volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to
the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount
invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance
of the Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding
becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently
depending on the period of time an investment in the Fund is held and the volatility of the benchmark during the holding period of such
investment. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding
on the Fund’s returns. Daily compounding of the Fund’s investment returns can dramatically and adversely affect its longer-term
performance during periods of high volatility. Volatility may be at least as important to the Fund’s return for a period as the
return of the Fund’s underlying benchmark.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
While
the Fund seeks to meet its investment objective, there is no guarantee the Fund will do so. Factors that may affect the Fund’s
ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell financial instruments in a manner
that correlates to the Fund’s objective; (2) an imperfect correlation between the performance of the financial instruments held
by the Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such financial instruments; (4) fees, expenses, transaction
costs, financing costs associated with the use of financial instruments and commission costs; (5) holding or trading instruments in a
market that has become illiquid or disrupted; (6) the Fund’s Share prices being rounded to the nearest cent and/or valuation methodology;
(7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform the Fund’s portfolio holdings to
comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets
on which the holdings of the Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting
standards; and (11) differences caused by the Fund obtaining exposure to only a representative sample of the components of a benchmark,
over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A
number of factors may affect the Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no
guarantee that the Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent the Fund
from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Fund
seeks to rebalance its portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed
to the benchmark may prevent the Fund from achieving a high degree of correlation with such benchmark. Market disruptions or closure,
large amounts of assets into or out of the Fund, regulatory restrictions, extreme market volatility, and other factors will adversely
affect the Fund’s ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically
by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark
up or down will require more significant adjustments to the Fund’s portfolio. Because of this, it is unlikely that the Fund will
be perfectly exposed (i.e., -0.5x) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed
is higher on days when the benchmark levels are volatile near the close of the trading day.
Counterparty
Risk
The
Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”)
in the manner described herein as a means to achieve its investment objectives. The use of derivatives by the Fund exposes the Fund to
counterparty risks.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Regulatory
Treatment
Derivatives
are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled
forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation
(in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title
VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation
of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be
made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions
in which the Fund will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also
created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,”
“major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant
new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements
under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Fund,
the markets in which the Fund trades and the counterparties with which the Fund engages in transactions.
As
noted, the CFTC rules may not apply to all of the swap agreements and forward contracts that may be entered into by the Fund. Investors,
therefore, may not receive the protection of CFTC regulation or the statutory scheme of the CEA in connection with the Fund’s swap
agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances,
including in the event of trading abuses or financial failure by participants.
Counterparty
Credit Risk
When
the Fund enters into futures contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The
counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing
house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required
to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce
this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become
applicable in the future), it may be backed by a consortium of banks or other financial institutions.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
Sponsor attempts to minimize certain of these market and credit risks by normally:
|
● |
executing
and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
|
|
|
|
● |
limiting
the outstanding amounts due from counterparties to the Fund; |
|
|
|
|
● |
not
posting margin directly with a counterparty; |
|
|
|
|
● |
requiring
that the counterparty posts collateral in amounts approximately equal to that owed to the Fund, as marked to market daily, subject
to certain minimum thresholds; and |
|
|
|
|
● |
limiting
the amount of margin or premium posted at an FCM. |
Any
OTC derivatives of the type that may be utilized by the Fund are generally less liquid than futures contracts because they are not traded
on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties
and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.
These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of
certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and
request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of
the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the
swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the
Fund to enter into another swap or to invest in other financial instruments necessary to achieve the desired exposure consistent with
the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of
the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
The
Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition,
the Sponsor periodically considers the addition of new counterparties and the counterparties used by the Fund may change at any time.
Each day, the Fund discloses its portfolio holdings as of the prior Business Day. The Fund’s portfolio holdings identifies its
counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at
www.dynamicsharesetf.com. The information on the Sponsor’s website is for information only and is not incorporated by reference
herein.
Each
counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of the Fund, subject to applicable law.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Leverage
Risk
The
Fund’s investment in derivative instruments generally requires a small investment relative to the amount of investment exposure
assumed. As a result, such investments may give rise to losses that exceed the amount invested in those instruments. The more the Fund
invests in derivative instruments that give rise to leverage, the more this leverage will magnify any losses on those investments. Leverage
will cause the value of the Fund’s Shares to be more volatile than if the Fund did not use leverage. This is because leverage tends
to exaggerate the effect of any increase or decrease in the value of the Fund’s portfolio or other investments. The use of leverage
also may cause the Fund to liquidate portfolio positions when it would not be advantageous to do so to satisfy its obligations or to
meet segregation requirements. Certain types of leveraging transactions, such as short sales that are not “against the box,”
could theoretically be subject to unlimited losses in cases where the Fund, for any reason, is unable to close out the transaction. In
addition, to the extent the Fund borrows money, interest costs on such borrowed money may not be recovered by any appreciation of the
financial instruments purchased with the borrowed funds and could exceed the Fund’s investment income, resulting in greater losses.
The cost of investing in such instruments generally increases as interest rates increase, which will lower the Fund’s return.
Liquidity
Risk
The
Fund will invest in derivatives and other instruments that may be less liquid than other types of investments. Investments that are less
liquid or that trade less can be more difficult or costlier to buy, or to sell, compared to other more liquid or active investments.
This liquidity risk is a factor of the trading volume of a particular investment, as well as the size and liquidity of the market for
such an investment. The derivatives in which the Fund invests may not always be liquid. The large size of the positions which the Fund
may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and increasing the losses incurred
while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Fund will typically
invest in financial instruments related to one index. A lack of liquidity could have a negative effect on the Fund’s ability to
achieve its investment objective and may result in losses to Fund shareholders.
“Contango”
and “Backwardation” Risk
The
futures contracts held by the Fund, as the futures contracts near expiration, are generally replaced by contracts that have a later expiration.
Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration,
it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred
to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of
certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term
expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January
2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating
a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation,
backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in
the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to
delivery or other factors) in certain futures contracts at the time of rolling would be expected to positively affect the Fund. Similarly,
the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect
the Fund.
Since
the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility
levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average
maturity of the applicable VIX Futures Index.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Natural
Disaster/Epidemic Risk
Natural
or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally,
and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly
disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market
losses. Such natural disaster and health crises could exacerbate political, social, and economic risks mentioned herein, and result in
significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains
affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty
and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and
increase the difficulty of modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances,
the Fund may have difficulty achieving its investment objective which may adversely impact performance. Further, such events can be highly
disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the
Fund’s Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies,
interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments.
For instance, prior to the COVID-19 epidemic, the Sponsor anticipated a lower “breakeven amount” for the Fund because the
Sponsor expected interest income from the Fund’s investments to offset the Fund’s estimated fees, costs and expenses. Due
to market conditions following the COVID-19 epidemic, the Fund’s interest income is assumed to be zero, and the amount of trading
income the Fund needs to achieve to breakeven is higher than the Sponsor anticipated prior to the COVID-19 epidemic. Additionally, during
the peak of the COVID-19 epidemic, certain state and local governments enacted stay-at-home/shelter-at-home orders, causing certain agents
of the Sponsor and its third party service providers to enact business continuity measures, such as requiring or permitting employees
to work from home.
These
factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Fund to
complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crises may also affect
the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will
continue or recur cannot be predicted. Impacts from these events could have significant impact on the Fund’s performance, resulting
in losses to your investment.
Risk
that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The
Russian Federation’s invasion of Ukraine in February 2022 (the “Ukraine War”), various nations, including the U.S.,
have instituted economic sanctions and other responsive measures, which have resulted in an increased level of global economic and political
uncertainty. Given the evolving nature of the Ukraine War, and the related sanctions, potential governmental actions, and economic impact,
the scope and magnitude of any such potential effects remain uncertain.
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v3.24.1.1.u2
SUBSEQUENT EVENTS
|
3 Months Ended |
Mar. 31, 2024 |
Subsequent Events [Abstract] |
|
SUBSEQUENT EVENTS |
NOTE
9 - SUBSEQUENT EVENTS
Management
has evaluated subsequent events existing in the Trust’s and the Fund’s financial statements through the date the financial
statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s
or the Funds’ financial statements through this date.
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v3.24.1.1.u2
SIGNIFICANT ACCOUNTING POLICIES (Policies)
|
3 Months Ended |
Mar. 31, 2024 |
Accounting Policies [Abstract] |
|
Emerging Growth Company |
Emerging
Growth Company
The
Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups (“JOBS”) Act of 2012.
It will remain an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary
of its initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $1.07 billion (subject to adjustment
for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than $1.0 billion in non-convertible
debt securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $700
million as of the end of the second quarter of that fiscal year.
For
as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting
requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited
to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure
obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from
the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute
payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging
growth company.”
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
In
addition, Section 107 of the JOBS Act also provides that an emerging growth company can take advantage of the extended transition period
provided in Section 7(a)(2)(B) of the Securities Act for complying with new or revised accounting standards. In other words, an emerging
growth company can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies.
The Trust intends to take advantage of the benefits of the extended transition period.
|
Use of Estimates & Indemnifications |
Use
of Estimates & Indemnifications
The
preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the
reported amounts of increases and decreases in net assets resulting from operations. Actual results could differ from those estimates.
In
the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.
The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant
loss to be remote.
|
Basis of Presentation |
Basis
of Presentation
Pursuant
to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant. However,
the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to the Fund shall be enforceable
only against the assets of the Fund and not against the assets of the Trust generally or any other series of the Trust. Accordingly,
the assets of the Fund include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase
of Shares in the Fund.
|
Statements of Cash Flows |
Statements
of Cash Flows
The
cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March
31, 2024 and March 31, 2023, and represents cash, segregated cash balances with brokers for futures contracts, but does not include short-term
investments.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
|
Final Net Asset Value for Fiscal Period |
Final
Net Asset Value for Fiscal Period
The
cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund Shares for
the period ended March 31, 2024 were typically as follows. All times are Eastern Standard Time:
SUMMARY
OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES
|
|
Create/Redeem
Cut-Off* |
|
NAV
Calculation Time |
Dynamic
Short Short-Term Volatility Futures ETF |
|
2:00
p.m. |
|
4:00
p.m. |
* |
Although the Fund’s shares may continue to trade on secondary
markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption
units for the period ended March 31, 2024. |
Market
value per Share is determined at the close of the applicable primary listing exchange and may differ from when the Fund’s NAV per
Share is calculated. For financial reporting purposes, the Fund values transactions based upon the final closing price in the United
States.
|
Investment Valuation |
Investment
Valuation
Short-term
investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term
investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives
(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using
independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts are generally
valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures
contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.
Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair
value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market
value of such position. Such fair value prices would be generally determined based on available inputs relating to the current value
of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long
as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of the Fund pursuant to the policies
the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation
inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
Fair
value pricing may require subjective determinations about the value of an investment. While the Fund’s policy is intended to result
in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that
fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain
for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
|
Fair Value of Financial Instruments |
Fair
Value of Financial Instruments
The
Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair
value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed
based on market data obtained from sources independent of the Fund (observable inputs); and (2) the Fund’s own assumptions about
market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three
levels defined by the disclosure requirements hierarchy are as follows:
Level
I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability
to access at the measurement date.
Level
II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or
indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the
asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means
(market-corroborated inputs).
Level
III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure
fair value to the extent that observable inputs are not available.
In
some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair
value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant
to the fair value measurement in its entirety.
Fair
value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly
decreased, as well as when circumstances indicate that a transaction is not orderly.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
The
following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:
SUMMARY
OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,135,826 | | |
$ | 76,744 | |
Dynamic
Shares Trust (combined) | |
$ | 4,135,826 | | |
$ | 76,744 | |
* |
Includes cumulative appreciation (depreciation) of futures
contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements
of Financial Condition. |
The
following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy:
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,131,023 | | |
$ | 81,947 | |
Dynamic
Shares Trust (combined) | |
$ | 4,131,023 | | |
$ | 81,947 | |
* |
Includes cumulative appreciation (depreciation) of futures
contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements
of Financial Condition. |
The
inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
|
Investment Transactions and Related Income |
Investment
Transactions and Related Income
Investment
transactions are recorded on the trade date. All such transactions are recorded on a specific identification basis and marked to market
daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in
the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest
income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as
Interest Income in the Statements of Operations.
|
Brokerage Commissions and Futures Account Fees |
Brokerage
Commissions and Futures Account Fees
The
Fund pays its brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction
related fees and expenses charged in connection with trading activities for the Fund’s investment in CFTC regulated investments.
Brokerage commissions on futures contracts are recognized on a half-turn basis.
DYNAMIC
SHARES TRUST
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
March
31, 2024
(unaudited)
|
Federal Income Tax |
Federal
Income Tax
The
Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly,
the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner of the Fund’s Shares is required
to take into account its allocable share of the Fund’s income, gain, loss, deductions and other items for its Fund’s taxable
year ending with or within the beneficial owner’s taxable year.
Management
of the Fund has reviewed all open tax years and major jurisdictions (i.e., the last three tax year ends and the interim tax period since
then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income
tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis,
management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on
factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.
|
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v3.24.1.1.u2
SIGNIFICANT ACCOUNTING POLICIES (Tables)
|
3 Months Ended |
Mar. 31, 2024 |
Accounting Policies [Abstract] |
|
SUMMARY OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES |
The
cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund Shares for
the period ended March 31, 2024 were typically as follows. All times are Eastern Standard Time:
SUMMARY
OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES
|
|
Create/Redeem
Cut-Off* |
|
NAV
Calculation Time |
Dynamic
Short Short-Term Volatility Futures ETF |
|
2:00
p.m. |
|
4:00
p.m. |
* |
Although the Fund’s shares may continue to trade on secondary
markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption
units for the period ended March 31, 2024. |
|
SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY |
The
following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:
SUMMARY
OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,135,826 | | |
$ | 76,744 | |
Dynamic
Shares Trust (combined) | |
$ | 4,135,826 | | |
$ | 76,744 | |
* |
Includes cumulative appreciation (depreciation) of futures
contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements
of Financial Condition. |
The
following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy:
| |
Level
I – Quoted Prices | |
| |
Money Market
Fund | | |
Futures
Contracts* | |
Dynamic
Short Short-Term Volatility Futures ETF | |
$ | 4,131,023 | | |
$ | 81,947 | |
Dynamic
Shares Trust (combined) | |
$ | 4,131,023 | | |
$ | 81,947 | |
* |
Includes cumulative appreciation (depreciation) of futures
contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements
of Financial Condition. |
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v3.24.1.1.u2
INVESTMENTS (Tables)
|
3 Months Ended |
Mar. 31, 2024 |
Investments, Debt and Equity Securities [Abstract] |
|
SUMMARY OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS |
The
following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of
derivative instruments on the Statements of Operations during the reporting period.
SUMMARY
OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS
Fair
Value of Derivative Instruments as of March 31, 2024
| |
| |
Asset
Derivatives | |
Liability
Derivatives | |
| |
Derivatives
Not Accounted
for as Hedging
Instruments | |
Statements
of Financial
Condition Location | |
Unrealized Appreciation | | |
Statements
of Financial
Condition Location | | |
Unrealized Depreciation | |
Dynamic Short
Short-Term Volatility Futures ETF | |
Equity
risk | |
Unrealized
appreciation on open futures contracts | |
$ | 76,744 | | |
| - | | |
| - | |
Dynamic Shares Trust (combined) | |
Equity
risk | |
Unrealized
appreciation on open futures contracts | |
$ | 76,744 | | |
| - | | |
| - | |
Fair
Value of Derivative Instruments as of December 31, 2023
| |
| |
Asset
Derivatives | |
Liability
Derivatives | |
| |
Derivatives
Not Accounted
for as Hedging
Instruments | |
Statements
of Financial
Condition Location | |
Unrealized Appreciation | | |
Statements
of Financial
Condition Location | | |
Unrealized Depreciation | |
Dynamic Short
Short-Term Volatility Futures ETF | |
Equity risk | |
Unrealized on
open futures contracts | |
$ | 81,947 | | |
| - | | |
| - | |
Dynamic Shares Trust (combined) | |
Equity risk | |
Unrealized on open futures
contracts | |
$ | 81,947 | | |
| - | | |
| - | |
The
Effect of Derivative Instruments on the Statement of Operations
For
the three months ended March 31, 2024
| |
Derivatives Not Accounted for as Hedging Instruments | |
Location of Gain (Loss) on Derivatives Recognized in Income | |
Realized Gain (Loss) on Derivatives Recognized in Income | | |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
Dynamic Short Short-Term Volatility Futures ETF | |
Equity risk | |
Realized and unrealized gain (loss) on investment activity | |
$ | 356,489 | | |
$ | (5,203 | ) |
Dynamic Shares Trust (combined) | |
Equity risk | |
Realized and unrealized gain (loss) on investment activity | |
$ | 356,489 | | |
$ | (5,203 | ) |
The
Effect of Derivative Instruments on the Statement of OperationsFor
the year ended December 31, 2023
| |
Derivatives
Not Accounted for
as Hedging Instruments | |
Location
of Gain (Loss)
on Derivatives Recognized
in Income | |
Realized
Gain (Loss) on Derivatives Recognized in Income | | |
Change
in Unrealized
Appreciation (Depreciation) on Derivatives Recognized in Income | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Equity
risk | |
Realized
and unrealized gain on investment activity | |
$ | 1,475,884 | | |
$ | 39,784 | |
Dynamic
Shares Trust (combined) | |
Equity
risk | |
Realized
and unrealized gain on investment activity | |
$ | 1,475,884 | | |
$ | 39,784 | |
|
SCHEDULE OF AVERAGE NOTIONAL VALUE |
The
following table represents the gross notional values, which serve as an indicator of volume for the futures during the fiscal period
ended March 31, 2024:
SCHEDULE
OF AVERAGE NOTIONAL VALUE
| |
Derivative
Type | |
Type | |
Notional
Value | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Futures | |
Equity
risk | |
$ | (1,608,180 | ) |
Dynamic
Shares Trust (combined) | |
Futures | |
Equity
risk | |
$ | (1,608,180 | ) |
The
following table represents the gross notional values, which serve as an indicator of volume for the futures during the fiscal period
ended December 31, 2023:
| |
Derivative
Type | |
Type | |
Notional
Value | |
Dynamic
Short Short-Term Volatility Futures ETF | |
Futures | |
Equity
risk | |
$ | (1,395,155 | ) |
Dynamic
Shares Trust (combined) | |
Futures | |
Equity
risk | |
$ | (1,395,155 | ) |
|
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v3.24.1.1.u2
FINANCIAL HIGHLIGHTS (Tables)
|
3 Months Ended |
Mar. 31, 2024 |
Investment Company [Abstract] |
|
SUMMARY OF SELECTED DATA FOR A SHARE OUTSTANDING |
Selected
Data for a Share Outstanding Throughout each Period
SUMMARY
OF SELECTED DATA FOR A SHARE OUTSTANDING
| |
Three
Months Ended March
31, 2024 (unaudited) | | |
Three
Months Ended March 31, 2023 (unaudited) | |
Per
Share Operating Performance | |
| | | |
| | |
Net asset
value, beginning of period | |
$ | 27.77 | | |
$ | 18.15 | |
Net
investment income (loss) (a) | |
| 0.14 | | |
| 0.14 | |
Net
realized and unrealized gain (loss) | |
| 1.41 | | |
| 1.28 | |
Net
asset value, end of period | |
$ | 29.31 | | |
$ | 19.57 | |
Market value per
share, beginning of period | |
$ | 27.79 | | |
$ | 18.13 | |
Market value per
share, end of period | |
$ | 29.34 | | |
$ | 19.57 | |
Total
Return, at net asset value (a) | |
| 5.55 | % | |
| 7.82 | % |
Total
Return, at market value (a) | |
| 5.58 | % | |
| 7.94 | % |
Ratios
to Average Net Assets (b) | |
| | | |
| | |
Gross
Expense | |
| 2.71 | % | |
| 1.85 | % |
Net
Expense | |
| 2.71 | % | |
| 0.52 | % |
Net
investment income (loss) | |
| 1.95 | % | |
| 2.90 | % |
Portfolio
turnover | |
| - | | |
| - | |
(a) |
Not annualized. |
(b) |
Annualized. |
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v3.24.1.1.u2
SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY (Details) - Fair Value, Inputs, Level 1 [Member] - USD ($)
|
Mar. 31, 2024 |
Dec. 31, 2023 |
Money Market Funds [Member] |
|
|
|
|
Platform Operator, Crypto Asset [Line Items] |
|
|
|
|
Dynamic short shortterm volatility futures ETF |
$ 4,135,826
|
|
$ 4,131,023
|
|
Money Market Funds [Member] | Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
|
|
Platform Operator, Crypto Asset [Line Items] |
|
|
|
|
Dynamic short shortterm volatility futures ETF |
4,135,826
|
|
4,131,023
|
|
Future [Member] |
|
|
|
|
Platform Operator, Crypto Asset [Line Items] |
|
|
|
|
Dynamic short shortterm volatility futures ETF |
76,744
|
[1] |
81,947
|
[2] |
Future [Member] | Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
|
|
Platform Operator, Crypto Asset [Line Items] |
|
|
|
|
Dynamic short shortterm volatility futures ETF |
$ 76,744
|
[1] |
$ 81,947
|
[2] |
|
|
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- DefinitionFair value portion of investment securities, including, but not limited to, marketable securities, derivative financial instruments, and investments accounted for under the equity method.
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SUMMARY OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS (Details) - Not Designated as Hedging Instrument, Economic Hedge [Member] - USD ($)
|
3 Months Ended |
12 Months Ended |
Mar. 31, 2024 |
Dec. 31, 2023 |
Unrealized Appreciation |
$ 76,744
|
$ 81,947
|
Unrealized depreciation |
|
|
Realized Gain loss on Derivatives Recognized in Income |
356,489
|
1,475,884
|
Change in unrealized appreciation depreciation on derivatives recognized in income |
(5,203)
|
39,784
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
Unrealized Appreciation |
76,744
|
81,947
|
Unrealized depreciation |
|
|
Realized Gain loss on Derivatives Recognized in Income |
356,489
|
1,475,884
|
Change in unrealized appreciation depreciation on derivatives recognized in income |
$ (5,203)
|
$ 39,784
|
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|
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12 Months Ended |
Mar. 31, 2024 |
Dec. 31, 2023 |
Type |
Equity
risk
|
Equity
risk
|
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$ (1,608,180)
|
$ (1,395,155)
|
Dynamic Short Short Term Volatility Futures ETF [Member] |
|
|
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risk
|
Equity
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|
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|
$ (1,395,155)
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AGREEMENTS (Details Narrative) - USD ($)
|
|
3 Months Ended |
Jun. 04, 2018 |
Mar. 31, 2024 |
Agreements |
|
|
Percentage of management fee |
1.85%
|
|
Management fee description |
|
the Sponsor pays all of the routine operational, administrative
and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator,
Custodian, Distributor, Transfer Agent, accounting and auditing fees and expenses; and (ii) the normal and expected expenses incurred
in connection with the continuous offering of Shares of the Fund after the commencement of its trading operations. Fees associated with
the Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum,
ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of the Fund and Financial Industry Regulatory Authority (“FINRA”)
filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of the Fund, and report
preparation and mailing expenses.
|
Legal fees |
|
$ 100,000
|
Net reimburseable amount |
|
$ 15,273
|
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