Amplify Seymour Cannabis ETF
 
Schedule of Investments
 
July 31, 2021 (Unaudited)
 
             
Description
 
Shares
   
Value
 
             
COMMON STOCKS - 77.7%
           
Consumer Discretionary - 7.4%
           
Greenlane Holdings, Inc. - Class A (a)
   
981,249
   
$
3,493,246
 
GrowGeneration Corp. (a) (b)
   
161,489
     
6,567,758
 
             
10,061,004
 
Consumer Staples - 7.4%
               
Neptune Wellness Solutions, Inc. (a) (b)
   
1,623,160
     
1,308,592
 
Village Farms International, Inc. (a) (b)
   
899,537
     
8,680,532
 
             
9,989,124
 
Financials - 15.8%
               
AFC Gamma, Inc.
   
348,459
     
7,415,208
 
RIV Capital, Inc. (a) (c)
   
2,867,910
     
4,321,634
 
WM Technology, Inc. (a) (b)
   
709,595
     
9,685,972
 
             
21,422,814
 
Health Care - 36.8%
               
Aleafia Health, Inc. (a)
   
74,732
     
22,163
 
Arena Pharmaceuticals, Inc. (a) (b)
   
4,791
     
296,371
 
Auxly Cannabis Group, Inc. (a) (c)
   
2,895,389
     
591,796
 
Canopy Growth Corp. (a)
   
457,875
     
8,658,416
 
Cara Therapeutics, Inc. (a)
   
192,351
     
2,302,442
 
cbdMD, Inc. (a)
   
507,635
     
1,309,698
 
Charlotte’s Web Holdings, Inc. (a)
   
1,161,176
     
3,732,218
 
Clever Leaves Holdings, Inc. (a) (b)
   
265,896
     
2,693,527
 
Cronos Group, Inc. (a)
   
612,478
     
4,513,963
 
IM Cannabis Corp. (a)
   
89,250
     
455,693
 
Jazz Pharmaceuticals PLC (a) (b)
   
24,348
     
4,127,528
 
MediPharm Labs Corp. (a)
   
3,247,526
     
1,119,298
 
Organigram Holdings, Inc. (a)
   
926,553
     
2,427,569
 
PerkinElmer, Inc.
   
7,581
     
1,381,486
 
The Valens Co., Inc. (a)
   
1,910,942
     
4,135,575
 
Tilray, Inc. (a) (b)
   
739,890
     
10,809,793
 
Zynerba Pharmaceuticals, Inc. (a)
   
255,474
     
1,126,640
 
             
49,704,176
 
Industrials - 6.7%
               
Akerna Corp. (a) (b)
   
245,766
     
842,977
 
Hydrofarm Holdings Group, Inc. (a)
   
165,677
     
8,174,503
 
             
9,017,480
 
Real Estate - 3.6%
               
Innovative Industrial Properties, Inc. (b) (d)
   
22,652
     
4,869,953
 
Total Common Stocks (Cost $134,010,611)
           
105,064,551
 
                 
MONEY MARKET FUNDS - 11.1%
               
Dreyfus Government Cash Management - Class I - 0.03% (e)
   
15,000,000
     
15,000,000
 
Total Money Market Funds (Cost $15,000,000)
           
15,000,000
 
Total Investments - 88.8%
               
(Cost $149,010,611)
         
$
120,064,551
 

Percentages are based on Net Assets of $135,170,207.
(a)
Non-income producing security.
(b)
All or a portion of this security is out on loan as of July 31, 2021. Total value of securities out on loan is $16,056,633 or 11.9% of net assets. As of July 31, 2021, total cash collateral has a value of $16,181,633.
(c)
Illiquid security. At July 31, 2021, the value of these securities amounted to $4,913,430 or 3.6% of net assets.
(d)
Real Estate Investment Trust.
(e)
Seven-day yield as of July 31, 2021.
                     
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 ratings 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.


Schedule of Total Return Swaps
July 31, 2021 (Unaudited)
 
 
                                 
Reference Entity
 
Counterparty

 
Long/Short
 
Expiration Date
 
Financing Rate (a)
 
Payment
Frequency
 
Notional
Amount (b)
 
Value/Unrealized
Appreciation
(Depreciation)
 
 
Ayr Wellness,
Inc.
 
Cowen Financial
Products, LLC
 
Long
 
05/03/2022
 
0.06%
 
Monthly
 
             1,472,147
 
                       1,639
   
Columbia Care,
Inc.
 
Cowen Financial
Products, LLC
 
Long
 
05/03/2022
 
0.06%
 
Monthly
 
             1,308,356
 
                   (86,545)
   
Cresco Labs,
Inc.
 
Cowen Financial
Products, LLC
 
Long
 
05/03/2022
 
0.06%
 
Monthly
 
             5,676,354
 
                 (255,053)
   
Curaleaf
Holdings, Inc.
 
Cowen Financial
Products, LLC
 
Long
 
05/03/2022
 
0.06%
 
Monthly
 
             6,267,902
 
                 (751,415)
   
Green Thumb
Industries, Inc.
 
Cowen Financial
Products, LLC
 
Long
 
05/03/2022
 
0.06%
 
Monthly
 
             7,903,591
 
                 (435,270)
   
Trulieve
Cannabis Corp.
 
Cowen Financial
Products, LLC
 
Long
 
05/03/2022
 
0.06%
 
Monthly
 
             6,061,440
 
                 (567,840)
   
                                 
(a)       Floating rate based on the overnight bank rate and is reset monthly.
           
(b)      The Adviser has deemed a portion of these securities illiquid as of July 31, 2021. The value of these securities amounted to $5,737,958 or 4.2% of net assets.
           



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, 2021 maximized the use of observable inputs and minimized the use of unobservable inputs.
 
                                 
For the period ended July 31, 2021, 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. 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 price.
 
             
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 pricing committee, pursuant to procedures established under the general supervision and responsibility of 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, 2021:
 

   
Category
                                 
   
Investments in Securities
                                 
 
 
Assets
                                 
     
Level 1
                                 
     
Common Stocks
                                 
     
Canada
 
$
49,282,857
                             
     
Ireland
   
4,127,528
     
                       
     
Isreal
   
455,693
                         
     
     
United States
   
51,198,473
                   
               
     
   Money Market Funds
   
15,000,000
             
                       
     
Total Level 1
   
120,064,551
                                       
     
Level 2
                                             
     
Total Level 2
   
-
                                       
     
Level 3
   
-
                                       
     
Total Level 3
   
-
                                       
     
Total
 
$
120,064,551
                                       
     
Other Financial Instruments(a)
                                       
     
Liabilities
                                             
     
Level 1
                                             
     
Total Return Swaps
 
$
2,094,484
                                       
     
Total Level 1
   
2,094,484
                                       
     
Level 2
                                             
     
Total Level 2
   
-
                                       
     
Level 3
   
-
                                       
     
Total Level 3
   
-
                                       
     
Total
 
$
2,094,484
                                       
(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, 2021, there were no transfers into or out of Level 3 for the Fund.
               
                                                     
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, 2021, 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.