Amplify Seymour Cannabis ETF
 
Schedule of Investments
 
July 31, 2023 (Unaudited)
 
             
Description
 
Shares
   
Value
 
             
COMMON STOCKS - 55.8%
           
Consumer Discretionary - 5.7%
           
Greenlane Holdings, Inc. - Class A (a)
   
4,833
   
$
4,543
 
GrowGeneration Corp. (a)
   
379,850
     
1,511,803
 
             
1,516,346
 
Consumer Staples - 1.4%
               
Neptune Wellness Solutions, Inc. (a)
   
48,409
     
5,945
 
Village Farms International, Inc. (a)
   
600,778
     
378,370
 
             
384,315
 
Financials - 5.2%
               
AFC Gamma, Inc. (b)
   
50,296
     
695,091
 
Silver Spike Investment Corp. (a) (c)
   
82,918
     
685,732
 
             
1,380,823
 
Health Care - 32.2%
               
Aleafia Health, Inc. (a) (c) (d)
   
80,872
     
613
 
Auxly Cannabis Group, Inc. (a)
   
3,137,044
     
35,685
 
Canopy Growth Corp. (a) (e)
   
362,765
     
178,843
 
Cara Therapeutics, Inc. (a)
   
161,542
     
537,935
 
cbdMD, Inc. (a)
   
12,228
     
17,730
 
Charlotte's Web Holdings, Inc. (a)
   
1,102,907
     
355,466
 
Clever Leaves Holdings, Inc. (a)
   
152,795
     
32,393
 
Cronos Group, Inc. (a)
   
645,463
     
1,252,198
 
IM Cannabis Corp. (a)
   
9,600
     
7,499
 
Jazz Pharmaceuticals PLC (a)
   
13,053
     
1,702,372
 
MediPharm Labs Corp. (a)
   
2,934,844
     
144,667
 
Organigram Holdings, Inc. (a) (e)
   
169,800
     
258,096
 
Revvity, Inc.
   
81
     
9,959
 
SNDL, Inc. (a) (e)
   
298,791
     
498,980
 
TerrAscend Corp. (a)
   
400,000
     
561,180
 
Tilray Brands, Inc. (a) (e)
   
1,143,784
     
2,893,773
 
Zynerba Pharmaceuticals, Inc. (a)
   
220,858
     
80,613
 
             
8,568,002
 
Industrials - 0.8%
               
Hydrofarm Holdings Group, Inc. (a)
   
171,646
     
200,826
 
Information Technology - 5.0%
               
Akerna Corp. (a)
   
13,320
     
7,193
 
WM Technology, Inc. (a)
   
1,204,393
     
1,336,876
 
             
1,344,069
 
Real Estate - 5.5%
               
Innovative Industrial Properties, Inc. (b)
   
18,424
     
1,459,733
 
Total Common Stocks (Cost $88,601,343)
           
14,854,114
 
                 
MONEY MARKET FUNDS - 20.1%
               
Invesco Government & Agency Portfolio - Institutional Class - 5.10% (f)
   
5,355,103
     
5,355,103
 
Total Money Market Funds (Cost $5,355,103)
           
5,355,103
 
                 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 12.6%
               
First American Government Obligations Fund, Class X - 5.18% (f)
   
3,352,011
     
3,352,011
 
Total Investments Purchased with Proceeds from Securities Lending (Cost $3,352,011)
           
3,352,011
 
Total Investments - 88.5%
               
(Cost $97,308,457)
         
$
23,561,228
 

Percentages are based on Net Assets of $26,624,733.
(a)
Non-income producing security.
(b)
Real Estate Investment Trust.
(c)
Illiquid security. At July 31, 2023, the value of this security amounted to $686,345 or 2.9% of net assets.
(d)
The Fund had fair valued this security. Value determined using significant unobservable inputs.
(e)
All or a portion of this security is out on loan as of July 31, 2023. Total value of securities out on loan is $3,224,807 or 13.7% of net assets.
(f)
Seven-day yield as of July 31, 2023.
                     
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or they may be defined by Fund management. This definition may not apply for purposes of this report, which may combine sub-classifications for reporting ease. Industries are shown as a percentage of net assets.
                     
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.


 
Amplify Seymour Cannabis ETF
Schedule of Total Return Swaps
July 31, 2023 (Unaudited)
                               
Reference Entity (a)
 
Counterparty
 
Long/Short
 
Expiration Date
 
Financing Rate (b)
 
Payment
Frequency
 
Notional Amount
 
Value/Unrealized Appreciation (Depreciation)
 
Ayr Wellness, Inc.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
 $             257,772
 
 $             (36,136)
 
Columbia Care, Inc.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
                128,822
 
                    2,372
 
Cresco Labs, Inc.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
             1,300,119
 
                (90,297)
 
Curaleaf Holdings, Inc.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
             3,155,230
 
                  91,179
 
Green Thumb Industries, Inc.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
             2,849,295
 
                (36,883)
 
Trulieve Cannabis Corp.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
                990,250
 
                (31,688)
 
Verano Holdings Corp.
 
Nomura Trust and
Banking Co. Ltd
 
Long
 
05/24/2024
 
5.32%
 
Monthly
 
             1,295,020
 
                (14,398)
 
                           
 $           (115,851)
 
                               
(a)          The Adviser has deemed a portion of these securities illiquid as of July 31, 2023. The notional amount of the illiquid portion of these securities amounted to $1,995,302 or 7.5% of net assets.
 
(b)          Floating rate based on the overnight bank rate and spread of 150 basis points and is reset monthly.
         


 
Security Valuation
                                   
                                     
In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The objective of a fair value measurement is to determine the price 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 (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The following describes the levels of the fair value hierarchy:
 
Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date;
Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).
                                     
The valuation techniques used by the Funds to measure fair value for the year/period ended July 31, 2023 maximized the use of observable inputs and minimized the use of unobservable inputs.
                                     
For the period ended July 31, 2023, there have been no significant changes to the Fund's fair valuation methodologies.
                                     
Common stocks, preferred stock, and other equity securities listed on any national or foreign exchange (excluding Nasdaq) and the London Stock Exchange Alternative Investment Market (“AIM”) will be valued at the last price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities. Foreign securities and other assets denominated in foreign currencies are translated into U.S. dollars at the current exchange rate, which approximates fair value. Redeemable securities issued by open-end investment companies shall be valued at the investment company’s applicable NAV, with the exception of exchange-traded open-end and closed-end investment companies which are priced as equity securities. Deposit accounts are valued at acquisition cost, which approximates fair value. Exchange-traded options will be valued at the current mean price where such contracts are principally traded. Securities traded in the over-the-counter market are valued at the mean of the bid and the asked price, if available, and otherwise at their closing bid price. Fixed income securities will be valued using the mean price. Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at the current market price. If there is no current market price available then the securities will be valued at cost and adjusted for amortization of premiums and accretions of discounts. Swaps will be valued by using the market close price of the underlying holdings. If there is no market price available, then the securities will be valued at the last trade price.
                 
The Trust's valuation procedures provide for the designation of the Adviser as "Valuation Designee". If no quotation is available from either a pricing service, or one or more brokers or if the pricing committee has reason to question the reliability or accuracy of a quotation supplied, securities are valued at fair value as determined in good faith by the Valuation Designee, pursuant to procedures established by the Fund’s Board of Trustees (the “Board”).
                 
The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of July 31, 2023:
               
                                     
   
Category
                               
   
Investments in Securities
                               
   
Assets
                               
   
Level 1
                               
   
Common Stocks
                               
   
Canada
 
 $   6,207,738
                           
   
Israel
 
             7,498
                           
   
United States
 
      8,638,265
                           
   
   Money Market Funds
                               
   
United States
 
     5,355,103
                           
   
Investments Purchased with Proceeds from Securities Lending
                               
   
United States
 
     3,352,011
                           
   
Total Level 1
 
    23,560,615
                           
   
Level 2
 
                   -
                           
   
Total Level 2
 
                   -
                           
   
Level 3
                               
   
Common Stocks
                               
   
Canada
 
 $             613
                           
   
Total Level 3
 
                613
                           
   
Total
 
 $ 23,561,228
                           
   
Other Financial Instruments(a)
                               
   
Assets
                               
   
Level 1
                               
   
Total Return Swaps
                               
   
United States
 
 $        93,551
                           
   
Total Level 1
 
           93,551
                           
   
Level 2
 
                   -
                           
   
   Options Written
 
                   -
                           
   
Total Level 2
 
                     -
                           
   
Level 3
 
                   -
                           
   
Total Level 3
 
                   -
                           
   
Total
 
 $        93,551
                           
   
Other Financial Instruments(a)
                               
   
Liabilities
                               
   
Level 1
                               
   
Total Return Swaps
                               
   
United States
 
 $      209,402
                           
   
Total Level 1
 
         209,402
                           
   
Level 2
                               
   
   Options Written
 
                   -
                           
   
Total Level 2
 
                     -
                           
   
Level 3
 
                   -
                           
   
Total Level 3
 
                   -
                           
   
Total
 
 $      209,402
                           
                                     
 
(a)
Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as total return swap agreements, which are reflected at value.
                                     
See the Schedule of Investments for further disaggregation of investment categories.
               
                                     
For the period ended July 31, 2023, there were no transfers into or out of Level 3 for the Fund. Below is a reconciliation of securities in Level 3 for the Fund.
   

CNBS
 
Balance as of
10/31/2022
   
Net Realized
Gain (Loss)
   
Net Change in
Unrealized
Appreciation
(Depreciation)
   
Purchases/
Acquisition
   
Sales
   
Corporate Action
   
Transfers In/
Out of Level 3
   
Balance as of 07/31/2023
   
Net Change in Unrealized Appreciation (Depreciation) on Securities held at 07/31/2023
 
Common Stocks
 
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
613
   
$
613
   
$
-
 
                                                                         
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
                                 
                                                                         
CNBS
                 
Fair Value as of
07/31/23
   
Valuation
Techniques
   
Unobservable
Input
   
Range/Weighted
Average
Unobservable
Input
   
Impact to Valuation
from an
Increase to
Input
                 
Common Stocks
                 
$
613
   
Market Approch
   
No Market Activity
     
-
   
Decrease
                 
                                                                         
                                                                         
Secured Borrowings (Unaudited)
                                                                 
The Funds adopted guidance requiring entities to present gross obligations for secured borrowings by the type of collateral pledged and remaining time to maturity.
 
   
As of July 31, 2023, the Fund had loaned securities and received cash collateral for the loans. The cash collateral is invested by the Securities Lending Agent in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Fund is indemnified from this risk by contract with the Securities Lending Agent.