CPII

Ionic Inflation
Protection ETF

Fund Summary & Investment Objective

The Ionic Inflation Protection ETF (CPII) is an actively managed exchange-traded fund that seeks to generate positive returns during periods of elevated and/or rising inflation and inflation expectations as well as during periods of increasing interest rates and fixed income volatility.

Investment Strategy

Ionic utilizes a proprietary process to construct an investment portfolio of inflation swaps on CPI, swaptions on US interest rates and TIPS.

Why Invest in CPII

Provides direct exposure to inflation and inflation expectations

Leverages the firm’s interest rate derivatives expertise

Offers daily liquidity and transparency at an attractive fee

Overview

Fund Information

wdt_ID	Name	Data
1	Fund Name	Ionic Inflation Protection ETF
2	Fund Inception	06/28/2022
3	Ticker	CPII
4	Primary Exchange	NYSE Arca
5	CUSIP	886364553
6	NAV Symbol	CPII.NV
7	Gross Expense Ratio	0.70%
8	Data as of: 08/31/23 30-Day SEC Yield	5.46%

Fund Data & Pricing

Fund Name	Ionic Inflation Protection ETF
Fund Ticker	CPII
CUSIP	886364553
Net Assets	$10.52m
Shares Outstanding	525,000
NAV	$20.03
NAV Change Dollars	0.15
NAV Change Percentage	0.73
Market Price	20.02
Market Price Change Dollars	0.1
Market Price Change Percentage	0.48
Premium/Discount Percentage	-0.05%
Rate Date	09/21/2023
Median 30 Day Spread Percentage	0.15
Closing Price	$20.02
Median 30-Day Spread Percentage	0.15%

Fund Name	Ionic Inflation Protection ETF
Fund Ticker	CPII
CUSIP	886364553
Net Assets	$10.52m
Shares Outstanding	525,000
NAV	$20.03
NAV Change Dollars	0.15
NAV Change Percentage	0.73
Market Price	20.02
Market Price Change Dollars	0.1
Market Price Change Percentage	0.48
Premium/Discount Percentage	-0.05%
Rate Date	09/21/2023
Median 30 Day Spread Percentage	0.15
Closing Price	$20.02
Median 30-Day Spread Percentage	0.15%

30-Day Median Spread is a calculation of Fund’s median bid-ask spread, expressed as a percentage rounded to the nearest hundredth, computed by: identifying the Fund’s national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days; dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer; and identifying the median of those values.

Performance

Inception Date: 06/28/2022

Month-End

Quarter-End

Month-End

Fund Name	Fund Ticker	1 Month	3 Month	6 Month	YTD	Since Inception Cumulative	1 Year	3 Year	5 Year	Since Inception Annualized	Date
Ionic Inflation Protection ETF	CPII NAV	0.1	1.97	1.39	1.42	2.46	0.23	–	–	2.09	08/31/2023
Ionic Inflation Protection ETF	CPII MKT	-0.13	1.93	1.39	1.31	2.62	0.45	–	–	2.22	08/31/2023
S&P 500 TR	SPTR2	-1.59	8.28	14.5	18.73	20.35	15.94	–	–	17.07	08/31/2023

Fund Name	Fund Ticker	1MO	3MO	6MO	YTD	1YR	3YR	5YR	Since Inception (Cumulative)	Since Inception (Annualized)	Date
Ionic Inflation Protection ETF	CPII NAV	0.10	1.97	1.39	1.42	0.23	–	–	2.46	2.09	08/31/2023
Ionic Inflation Protection ETF	CPII MKT	-0.13	1.93	1.39	1.31	0.45	–	–	2.62	2.22	08/31/2023
S&P 500 TR	SPTR2	-1.59	8.28	14.50	18.73	15.94	–	–	20.35	17.07	08/31/2023

Quarter-End

As of 06/30/23

Fund Name	Fund Ticker	1MO	3MO	6MO	YTD	1YR	3YR	5YR	Since Inception (Cumulative)	Since Inception (Annualized)	Date
Ionic Inflation Protection ETF	CPII NAV	0.63	-0.19	0.09	0.09	1.10	–	–	1.11	1.11	06/30/2023
Ionic Inflation Protection ETF	CPII MKT	0.76	-0.14	0.14	0.14	1.26	–	–	1.44	1.43	06/30/2023
S&P 500 TR	SPTR2	6.61	8.74	16.89	16.89	19.59	–	–	18.50	18.39	06/30/2023

Month-End

Quarter-End

Year-End

Month-End

Fund Name	Fund Ticker	1 Month	3 Month	6 Month	YTD	Since Inception Cumulative	1 Year	3 Year	5 Year	Since Inception Annualized	Date
Ionic Inflation Protection ETF	CPII NAV	0.1	1.97	1.39	1.42	2.46	0.23	–	–	2.09	08/31/2023
Ionic Inflation Protection ETF	CPII MKT	-0.13	1.93	1.39	1.31	2.62	0.45	–	–	2.22	08/31/2023
S&P 500 TR	SPTR2	-1.59	8.28	14.5	18.73	20.35	15.94	–	–	17.07	08/31/2023

Fund Name	Fund Ticker	1MO	3MO	6MO	YTD	1YR	3YR	5YR	Since Inception (Cumulative)	Since Inception (Annualized)	Date
Ionic Inflation Protection ETF	CPII NAV	0.10	1.97	1.39	1.42	0.23	–	–	2.46	2.09	08/31/2023
Ionic Inflation Protection ETF	CPII MKT	-0.13	1.93	1.39	1.31	0.45	–	–	2.62	2.22	08/31/2023
S&P 500 TR	SPTR2	-1.59	8.28	14.50	18.73	15.94	–	–	20.35	17.07	08/31/2023

Quarter-End

As of 06/30/22

Fund Name	Fund Ticker	1MO	3MO	6MO	YTD	1YR	3YR	5YR	Since Inception (Cumulative)	Since Inception (Annualized)	Date
Ionic Inflation Protection ETF	CPII NAV	0.63	-0.19	0.09	0.09	1.10	–	–	1.11	1.11	06/30/2023
Ionic Inflation Protection ETF	CPII MKT	0.76	-0.14	0.14	0.14	1.26	–	–	1.44	1.43	06/30/2023
S&P 500 TR	SPTR2	6.61	8.74	16.89	16.89	19.59	–	–	18.50	18.39	06/30/2023

Year-End

As of 12/31/21

wdt_ID	Name	1MO	3MO	6MO	YTD	1YR	3YR	2022	2023	2024
1	CPII MKT	–	–	–	–	–	–	–	–	–
2	CPII NAV	–	–	–	–	–	–	–	–	–

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling . Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns. Returns beyond 1 year are annualized. A fund’s NAV is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The market price is the most recent price at which the fund was traded. The fund intends to pay out dividends and interest income, if any, monthly. There is no guarantee these distributions will be made.

Top 10 Holdings

Holdings subject to change.

Date	Account	StockTicker	CUSIP	SecurityName	Shares	Price	MarketValue	Weightings	NetAssets	SharesOutstanding	CreationUnits	MoneyMarketFlag	Ticker	Name	Shares Held	Market Value	% Of Net Assets
09/22/2023	CPII	9128286N5	9128286N5	United States Treasury Inflation Indexed Bonds 0.5% 04/15/2024	1,221,050	98.32	1,200,558.88	11.42	10,515,487	525,000	21		9128286N5	United States Treasury Inflation Indexed Bonds 0.5% 04/15/2024	1,221,050	1,200,558.88	11.42%
09/22/2023	CPII	912828H45	912828H45	United States Treasury Inflation Indexed Bonds 0.25% 01/15/2025	1,246,033	96.27	1,199,607.62	11.41	10,515,487	525,000	21		912828H45	United States Treasury Inflation Indexed Bonds 0.25% 01/15/2025	1,246,033	1,199,607.62	11.41%
09/22/2023	CPII	912828B25	912828B25	United States Treasury Inflation Indexed Bonds 0.625% 01/15/2024	1,209,857	99.09	1,198,894.33	11.40	10,515,487	525,000	21		912828B25	United States Treasury Inflation Indexed Bonds 0.625% 01/15/2024	1,209,857	1,198,894.33	11.40%
09/22/2023	CPII	912828WU0	912828WU0	United States Treasury Inflation Indexed Bonds 0.125% 07/15/2024	1,215,912	97.74	1,188,399.75	11.30	10,515,487	525,000	21		912828WU0	United States Treasury Inflation Indexed Bonds 0.125% 07/15/2024	1,215,912	1,188,399.75	11.30%
09/22/2023	CPII	912828YL8	912828YL8	United States Treasury Inflation Indexed Bonds 0.125% 10/15/2024	1,225,322	97.01	1,188,674.80	11.30	10,515,487	525,000	21		912828YL8	United States Treasury Inflation Indexed Bonds 0.125% 10/15/2024	1,225,322	1,188,674.80	11.30%
09/22/2023	CPII	912828ZJ2	912828ZJ2	United States Treasury Inflation Indexed Bonds 0.125% 04/15/2025	1,241,929	95.48	1,185,824.34	11.28	10,515,487	525,000	21		912828ZJ2	United States Treasury Inflation Indexed Bonds 0.125% 04/15/2025	1,241,929	1,185,824.34	11.28%
09/22/2023	CPII	91282CAQ4	91282CAQ4	United States Treasury Inflation Indexed Bonds 0.125% 10/15/2025	1,236,333	94.87	1,172,955.90	11.15	10,515,487	525,000	21		91282CAQ4	United States Treasury Inflation Indexed Bonds 0.125% 10/15/2025	1,236,333	1,172,955.90	11.15%
09/22/2023	CPII	912828XL9	912828XL9	United States Treasury Inflation Indexed Bonds 0.375% 07/15/2025	1,217,462	95.84	1,166,843.46	11.10	10,515,487	525,000	21		912828XL9	United States Treasury Inflation Indexed Bonds 0.375% 07/15/2025	1,217,462	1,166,843.46	11.10%
09/22/2023	CPII	Cash&Other	Cash&Other	Cash & Other	487,389	1.00	487,389.87	4.63	10,515,487	525,000	21	Y	Cash&Other	Cash & Other	487,389	487,389.87	4.63%
09/22/2023	CPII	CPIISWAPTION20250707	CPIISWAPTION20250707	IR SWAPTION PAYER 4.25% 07/07/2025	21,000,000	0.02	445,473.00	4.24	10,515,487	525,000	21		CPIISWAPTION20250707	IR SWAPTION PAYER 4.25% 07/07/2025	21,000,000	445,473.00	4.24%
09/22/2023	CPII	CPIISWAP2023063003	CPIISWAP2023063003	INFLATION SWAP REC CPI PAY 2.46% 06/30/2028	10,500,000	0.77	80,431.55	0.76	10,515,487	525,000	21		CPIISWAP2023063003	INFLATION SWAP REC CPI PAY 2.46% 06/30/2028	10,500,000	80,431.55	0.76%

Date	Account	StockTicker	SecurityName	Shares	Price	MarketValue	Weightings	NetAssets	SharesOutstanding	CreationUnits	MoneyMarketFlag	Name	Ticker	Security Identifier	Quantity	Market Value	% Of Net Assets
09/22/2023	CPII	9128286N5	United States Treasury Inflation Indexed Bonds 0.5% 04/15/2024	1,221,050	98.32	1,200,558.88	11.42	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.5% 04/15/2024	9128286N5	9128286N5	1,221,050	1,200,558.88	11.42%
09/22/2023	CPII	912828H45	United States Treasury Inflation Indexed Bonds 0.25% 01/15/2025	1,246,033	96.27	1,199,607.62	11.41	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.25% 01/15/2025	912828H45	912828H45	1,246,033	1,199,607.62	11.41%
09/22/2023	CPII	912828B25	United States Treasury Inflation Indexed Bonds 0.625% 01/15/2024	1,209,857	99.09	1,198,894.33	11.40	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.625% 01/15/2024	912828B25	912828B25	1,209,857	1,198,894.33	11.40%
09/22/2023	CPII	912828WU0	United States Treasury Inflation Indexed Bonds 0.125% 07/15/2024	1,215,912	97.74	1,188,399.75	11.30	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.125% 07/15/2024	912828WU0	912828WU0	1,215,912	1,188,399.75	11.30%
09/22/2023	CPII	912828YL8	United States Treasury Inflation Indexed Bonds 0.125% 10/15/2024	1,225,322	97.01	1,188,674.80	11.30	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.125% 10/15/2024	912828YL8	912828YL8	1,225,322	1,188,674.80	11.30%
09/22/2023	CPII	912828ZJ2	United States Treasury Inflation Indexed Bonds 0.125% 04/15/2025	1,241,929	95.48	1,185,824.34	11.28	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.125% 04/15/2025	912828ZJ2	912828ZJ2	1,241,929	1,185,824.34	11.28%
09/22/2023	CPII	91282CAQ4	United States Treasury Inflation Indexed Bonds 0.125% 10/15/2025	1,236,333	94.87	1,172,955.90	11.15	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.125% 10/15/2025	91282CAQ4	91282CAQ4	1,236,333	1,172,955.90	11.15%
09/22/2023	CPII	912828XL9	United States Treasury Inflation Indexed Bonds 0.375% 07/15/2025	1,217,462	95.84	1,166,843.46	11.10	10,515,487	525,000	21		United States Treasury Inflation Indexed Bonds 0.375% 07/15/2025	912828XL9	912828XL9	1,217,462	1,166,843.46	11.10%
09/22/2023	CPII	Cash&Other	Cash & Other	487,389	1.00	487,389.87	4.63	10,515,487	525,000	21	Y	Cash & Other	Cash&Other	Cash&Other	487,389	487,389.87	4.63%
09/22/2023	CPII	CPIISWAPTION20250707	IR SWAPTION PAYER 4.25% 07/07/2025	21,000,000	0.02	445,473.00	4.24	10,515,487	525,000	21		IR SWAPTION PAYER 4.25% 07/07/2025	CPIISWAPTION20250707	CPIISWAPTION20250707	21,000,000	445,473.00	4.24%
09/22/2023	CPII	CPIISWAP2023063003	INFLATION SWAP REC CPI PAY 2.46% 06/30/2028	10,500,000	0.77	80,431.55	0.76	10,515,487	525,000	21		INFLATION SWAP REC CPI PAY 2.46% 06/30/2028	CPIISWAP2023063003	CPIISWAP2023063003	10,500,000	80,431.55	0.76%

Literature

Purchase Information

Buy CPII

The Ionic Inflation Protection ETF (CPII) is available through various channels including via phone

, broker-dealers, investment advisors, and other financial services firms.

This Fund is not affiliated with these financial service firms. Their listing should not be viewed as a recommendation or endorsement.

News

How to Protect Your Portfolio, According to 3 Investors

April 16, 2023

Investors Need A Place To Hide: Doug Fincher Discusses The Ionic Inflation Protection ETF (CPII)

March 22, 2023

Markets Come to Grips With the Fed on Interest Rates

February 15, 2023

“The New Inflation-Protection ETF” – Gaining Perspective Podcast, featuring: Doug Fincher of Ionic

December 29, 2022

Glossary

30-Day SEC Yield

The 30-Day Yield represents net investment income earned by the Fund over the 30-Day period ended on the date indicated by the Yield, expressed as an annual percentage rate based on the Fund’s share price at the end of the 30-Day period. The 30-Day unsubsidized SEC Yield does not reflect any fee waivers/reimbursements/limits in effect.

Consumer Price Index (CPI)

A calculation of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.

Net Asset Value (NAV)

The “market value” of all a company’s assets, including but not limited to its properties, after subtracting the “market value” of all its liabilities and obligations.

S&P 500 Index

The S&P 500 Index is a market capitalization-weighted index of the 500 largest U.S. publicly traded companies.

Swaption

An option to enter into an interest rate swap or some other type of swap. In exchange for an options premium, the buyer is granted the right but not the obligation to enter into a specified swap agreement with the issuer on a date specified in the future.

TIPS Treasury Inflation-Protected Securities (“TIPS”)

A type of U.S. Treasury security issued by the government. TIPS are indexed to the rate of inflation in order to protect investors from a decline in their purchasing power.

CPII

Ionic Inflation Protection ETF

Fund Summary & Investment Objective

Investment Strategy

Why Invest in CPII

Overview

Fund Information

Fund Data & Pricing

Performance

Top 10 Holdings

Literature

Purchase Information

Buy CPII

News

How to Protect Your Portfolio, According to 3 Investors

Investors Need A Place To Hide: Doug Fincher Discusses The Ionic Inflation Protection ETF (CPII)

Markets Come to Grips With the Fed on Interest Rates

“The New Inflation-Protection ETF” – Gaining Perspective Podcast, featuring: Doug Fincher of Ionic

Glossary

30-Day SEC Yield

Consumer Price Index (CPI)

Net Asset Value (NAV)

S&P 500 Index

Swaption

TIPS Treasury Inflation-Protected Securities (“TIPS”)

© 2023 Ionic Capital Management, LLC.All Rights Reserved.

30-Day SEC Yield

Median 30-Day Spread Percentage

Ionic Inflation
Protection ETF

© 2023 Ionic Capital Management, LLC.
All Rights Reserved.