INVESTMENTS

3 Months Ended

Mar. 31, 2024

Investments, Debt and Equity Securities [Abstract]

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.

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	)

Dynamic Shares Trust 10-Q