Amplify BlackSwan Growth & Treasury Core ETF
 
Schedule of Investments
 
January 31, 2022 (Unaudited)
 
                   
                   
Description
       
Par Value
   
Value
 
U.S. GOVERNMENT NOTES/BONDS - 88.6%
                 
0.375%, 10/31/2023
       
$
22,983,500
   
$
22,700,695
 
0.625%, 10/15/2024
         
135,112,500
     
132,631,918
 
1.125%, 10/31/2026
         
134,679,000
     
131,693,440
 
1.375%, 10/31/2028
         
134,245,000
     
131,072,414
 
1.250%, 08/15/2031
         
136,042,500
     
129,814,304
 
2.000%, 08/15/2051
         
150,245,500
     
146,970,617
 
Total U.S. Government Notes/Bonds (Cost $722,799,975)
                 
694,883,388
 
                       
         
Notional
         
PURCHASED CALL OPTIONS (a) - 10.8%
 
Contracts
   
Amount
         
SPDR S&P 500 ETF Trust, Expires 6/17/2022, Strike Price $375.00
   
6,148
   
$
276,604,668
     
49,509,844
 
SPDR S&P 500 ETF Trust, Expires 12/16/2022, Strike Price $400.00
   
5,177
     
232,918,407
     
35,550,459
 
Total Purchased Call Options (Cost $78,011,013)
                   
85,060,303
 
                         
MONEY MARKET FUNDS - 0.1%
 
Shares
                 
Invesco Government & Agency Portfolio - Institutional Class - 0.03% (b)
   
721,394
             
721,394
 
Total Money Market Funds (Cost $721,394)
                   
721,394
 
Total Investments - 99.5%
                       
(Cost $801,532,382)
                 
$
780,665,085
 

Percentages are based on Net Assets of $784,790,691.
(a)
Exchange Traded.
(b)
Seven-day yield as of January 31, 2022.


 
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 period ended January 31, 2022 maximized the use of observable inputs and minimized the use of unobservable inputs.
                     
For the period ended January 31, 2022, 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 January 31, 2022:
 

 
Category
                   
 
Investments in Securities
                 
 
Assets
                   
 
Level 1
                   
 
U.S. Government Notes/Bonds
$
    694,883,388
             
 
Purchased Options
   
        85,060,303
             
 
Money Market Funds
 
             721,394
             
 
Total Level 1
   
      780,665,085
             
 
Level 2
   
                       -
             
 
Total Level 2
   
                       -
             
 
Level 3
   
                       -
             
 
Total Level 3
   
                       -
             
 
Total
  $
    780,665,085
             
                       
See the Schedule of Investments for further disaggregation of investment categories.
   
                       
For the period ended January 31, 2022, there were no transfers into or out of Level 3 for the Fund.