SoFi Enhanced Yield ETF (THTA US) – Portfolio Construction Methodology

The investment strategy underpinning the actively managed SoFi Enhanced Yield ETF seeks current income by combining a laddered portfolio of U.S. Treasury bills and bonds with a systematic credit-spread options overlay on major U.S. equity indexes. The fund generally keeps substantially all net assets in short-duration U.S. government securities, with a small operational allocation to cash and cash equivalents, and uses those Treasuries as collateral for exchange-traded vertical credit spreads on broad equity indices. The overlay buys and sells put and call options with the same expiration but different strikes, creating out-of-the-money spreads designed to harvest net option premium. The sub-adviser evaluates index levels, volatility and options pricing, only establishing spreads where estimated reward justifies tail-loss risk and sizing exposures to keep positions fully collateralized. Option books are tightly risk-managed and rolled as expiries approach, so total risk reflects both interest-rate exposure and path-dependent option payoff profiles.

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