Form NPORT-P SYNTAX ETF TRUST For: Mar 31

May 27, 2022 3:59 PM EDT

News and research before you hear about it on CNBC and others. Claim your 1-week free trial to StreetInsider Premium here.

  
    NPORT-P
    false
    
      
      
        
          0001580843
          XXXXXXXX
        
      
      
      
      
        S000068233
        C000218427
      
      
      
    
  
  
    
      SYNTAX ETF TRUST
      811-23227
      0001580843
      549300X136OO582LNQ18
      One Liberty Plaza
      46th Floor
      NEW YORK
      
      10006
      212-880-0200
      Syntax Stratified U.S. Total Market Hedged ETF
      S000068233
      5493000EZC7V28OK1H53
      2022-12-31
      2022-03-31
      N
    
    
      46822483.58
      475433.23
      46347050.35
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      152268.84000000
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST
        000000000
        
          
        
        -458.00000000
        NC
        USD
        -435558.00000000
        -0.93977501634
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            575.00000000
            USD
            2023-12-15
            XXXX
            -15632.04000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST
        000000000
        
          
        
        916.00000000
        NC
        USD
        4296040.00000000
        9.269284598604
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            455.00000000
            USD
            2023-12-15
            XXXX
            -901067.57000000
          
        
        
          N
          N
          N
        
      
      
        Syntax Stratified MidCap ETF
        549300SXE6EAYSUMZE63
        Syntax Stratified MidCap ETF
        87166N205
        
          
        
        105222.00000000
        NS
        USD
        4091357.55000000
        8.827654660012
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Syntax Stratified SmallCap ETF
        549300436LLVNNH1NF22
        Syntax Stratified SmallCap ETF
        87166N304
        
          
        
        42799.00000000
        NS
        USD
        2013966.86000000
        4.345404604588
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Syntax Stratified Large Cap ETF
        549300C14SN4IQFPJS24
        Syntax Stratified Large Cap ETF
        87166N106
        
          
        
        502786.00000000
        NS
        USD
        35144741.40000000
        75.82951047498
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST
        000000000
        
          
        
        458.00000000
        NC
        USD
        1099200.00000000
        2.371671965527
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            515.00000000
            USD
            2023-12-15
            XXXX
            -35800.21000000
          
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-23
      SYNTAX ETF TRUST
      David Jaffin
      David Jaffin
      Treasurer and Principal Financial Officer
    
  
  XXXX



QUARTERLY REPORT
Syntax Stratified U.S. Total Market Hedged ETF
March 31, 2022

Syntax Stratified U.S. Total Market Hedged ETF
Schedule of Investments
March 31, 2022 (Unaudited)

Security Description Shares   Value
EXCHANGE-TRADED FUNDS—89.0%      
Syntax Stratified Large Cap ETF(a)

502,786   $35,144,741
Syntax Stratified MidCap ETF(a)

105,222   4,091,358
Syntax Stratified SmallCap ETF(a)

42,799   2,013,967
TOTAL EXCHANGE-TRADED FUNDS

(Cost $38,955,165)

    $41,250,066
TOTAL PURCHASED OPTIONS—11.6%

(Cost $6,332,108)

    $5,395,240
TOTAL INVESTMENTS—100.6%

(Cost $45,287,273)

    46,645,306
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.6)%

    (298,256)
NET ASSETS—100.0%

    $46,347,050
    
(a) Affiliated investment. The Fund's transactions and earnings are as follows:
Affiliated Investments Value
December 31, 2021
Purchases
at Cost
Proceeds
from Sales
Net
Realized
Gain (Loss)
Net Change in
Unrealized
Appreciation
(Depreciation)
Value
March 31, 2022
Shares as of
March 31, 2022
Dividend
Income
Net Capital
Gain
Distributions
Syntax Stratified Large Cap ETF

$34,369,826 $3,299,228 $(1,801,410) $74,866 $(797,769) $35,144,741 502,786 $$
Syntax Stratified MidCap ETF

4,058,767 405,287 (181,597) (6,239) (184,860) 4,091,358 105,222
Syntax Stratified SmallCap ETF

1,935,669 297,004 (86,516) (15,534) (116,656) 2,013,967 42,799
Total $40,364,262 $4,001,519 $(2,069,523) $53,093 $(1,099,285) $41,250,066 650,807 $— $—
    
ETF=Exchange Traded Fund
    
Purchased Call Options — 2.4%
Exchange-Traded Options — 2.4%
    
Description Number of
Contracts
Notional
Amount
Cost Exercise
Price
Expiration
Date
Value
SPDR S&P 500 ETF Trust

458 $20,685,112 $1,135,000 $515 12/15/23 $1,099,200
Total           $1,099,200
    
Purchased Put Options — 9.2%
Exchange-Traded Options — 9.2%
    
Description Number of
Contracts
Notional
Amount
Cost Exercise
Price
Expiration
Date
Value
SPDR S&P 500 ETF Trust

916 $41,370,224 $5,197,108 $455 12/15/23 $4,296,040
Total           $4,296,040
Total Purchased Options — 11.6%           $5,395,240
             
2

Syntax Stratified U.S. Total Market Hedged ETF
Schedule of Investments
March 31, 2022 (Unaudited)

Written Call Options — (0.9)%
Exchange-Traded Options — (0.9)%
    
Description Number of
Contracts
Notional
Amount
Proceeds
Received
Exercise
Price
Expiration
Date
Value
SPDR S&P 500 ETF Trust

458 $20,685,112 $(419,926) $575 12/15/23 $(435,558)
Total           $(435,558)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2022.
Description Level 1 Level 2 Level 3 Total
Syntax Stratified U.S. Total Market Hedged ETF        
INVESTMENTS:        
Exchange-Traded Funds

$41,250,066 $— $— $41,250,066
Purchased Options

$5,395,240 $— $— $5,395,240
Total $46,645,306 $— $— $46,645,306
OTHER FINANCIAL INSTRUMENTS:        
Written Options

$(435,558) $— $— $(435,558)
Total $(435,558) $— $— $(435,558)
PORTFOLIO COMPOSITION
AS OF March 31, 2022
ASSET TYPE PERCENTAGE OF
NET ASSETS
Large Cap ETF

75.8%
Mid Cap ETF

8.8
Small Cap ETF

4.4
Purchased Options

11.6
Written Options

(0.9)
Other Assets in Excess of Liabilities

0.3
Total 100.0%
3

Syntax Stratified U.S. Total Market Hedged ETF
Notes to Schedule of Investments
March 31, 2022 (Unaudited)

Investment Valuation
The following methodologies are used to determine the market value or fair value of investments.
Market Value: Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. Exchange traded options shall be valued at the mean between the current bid and ask prices on the day of valuation.
Fair Valuation: Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Fund in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
The three levels of the fair value hierarchy are as follows:
Level 1 — Quoted prices in active markets for identical investments
Level 2 — Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — Significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
The value of the Fund’s investments according to the fair value hierarchy as of March 31, 2022 is disclosed in the Fund’s respective Schedule of Investments.
Other information regarding the Fund is available on the Fund's website at www.syntaxadvisors.com as well as on the website of the Securities and Exchange Commission at www.sec.gov.
4


Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings