Innovator IBD® 50 ETF
|
||||||||
Schedule of Investments
|
||||||||
January 31, 2020 (Unaudited)
|
||||||||
Shares
|
Value
|
|||||||
COMMON STOCKS - 95.62%
|
||||||||
Aerospace/Defense - 2.01%
|
||||||||
HEICO Corp. (a)
|
23,844
|
$
|
2,919,221
|
|||||
L3Harris Technologies, Inc.
|
13,117
|
2,903,186
|
||||||
5,822,407
|
||||||||
Commercial Services - 15.93%
|
||||||||
Chegg, Inc. (a)(b)
|
212,665
|
8,768,178
|
||||||
Euronet Worldwide, Inc. (b)
|
35,972
|
5,670,626
|
||||||
FleetCor Technologies, Inc. (b)
|
18,354
|
5,785,732
|
||||||
New Oriental Education & Technology Group, Inc. - ADR (b)
|
79,451
|
9,657,269
|
||||||
Paylocity Holding Corp. (b)
|
72,967
|
10,353,288
|
||||||
PayPal Holdings, Inc. (b)
|
12,569
|
1,431,483
|
||||||
Square, Inc. - Class A (b)
|
19,253
|
1,438,007
|
||||||
StoneCo Ltd. - Class A (a)(b)
|
67,510
|
2,932,634
|
||||||
46,037,217
|
||||||||
Computers - 7.48%
|
||||||||
Fortinet, Inc. (b)
|
87,527
|
10,097,114
|
||||||
Leidos Holdings, Inc.
|
57,599
|
5,786,972
|
||||||
Lumentum Holdings, Inc. (a)(b)
|
75,584
|
5,727,000
|
||||||
21,611,086
|
||||||||
Distribution/Wholesale - 3.58%
|
||||||||
Copart, Inc. (b)
|
101,909
|
10,339,687
|
||||||
Diversified Financial Services - 7.51%
|
||||||||
PennyMac Financial Services, Inc. (a)
|
172,154
|
5,805,033
|
||||||
Visa, Inc. - Class A (a)
|
28,631
|
5,696,710
|
||||||
XP, Inc. - Class A (a)(b)
|
254,507
|
10,215,911
|
||||||
21,717,654
|
||||||||
Electrical Components & Equipment - 2.85%
|
||||||||
Universal Display Corp. (a)
|
46,762
|
8,238,062
|
||||||
Electronics - 1.93%
|
||||||||
Jabil, Inc. (a)
|
143,056
|
5,563,448
|
||||||
Healthcare-Products - 4.15%
|
||||||||
Edwards Lifesciences Corp. (b)
|
12,601
|
2,770,456
|
||||||
Inmode Ltd. (a)(b)
|
212,819
|
9,221,447
|
||||||
11,991,903
|
||||||||
Home Builders - 3.97%
|
||||||||
DR Horton, Inc.
|
144,869
|
8,576,245
|
||||||
Winnebago Industries, Inc. (a)
|
52,717
|
2,886,783
|
||||||
11,463,028
|
||||||||
Housewares - 1.00%
|
||||||||
Toro Co.
|
36,085
|
2,887,522
|
||||||
Insurance - 7.07%
|
||||||||
Essent Group Ltd.
|
29,059
|
1,441,617
|
||||||
NMI Holdings, Inc. - Class A (b)
|
269,380
|
8,598,610
|
||||||
Palomar Holdings, Inc. (b)
|
194,547
|
10,398,537
|
||||||
20,438,764
|
||||||||
Internet - 5.41%
|
||||||||
Alibaba Group Holding Ltd. - ADR (b)
|
27,664
|
5,715,106
|
||||||
CDW Corp. (a)
|
65,238
|
8,510,297
|
||||||
Yandex NV - Class A (b)
|
31,800
|
1,424,958
|
||||||
15,650,361
|
||||||||
Leisure Time - 1.02%
|
||||||||
Planet Fitness, Inc. - Class A (b)
|
36,544
|
2,952,390
|
||||||
Mining - 4.08%
|
||||||||
Franco-Nevada Corp.
|
78,455
|
8,915,626
|
||||||
Kirkland Lake Gold Ltd. (a)
|
70,008
|
2,879,429
|
||||||
11,795,055
|
||||||||
Pharmaceuticals - 0.50%
|
||||||||
Jazz Pharmaceuticals PLC (b)
|
9,992
|
1,432,353
|
||||||
Real Estate - 0.50%
|
||||||||
CBRE Group, Inc. - Class A (a)(b)
|
23,862
|
1,456,775
|
||||||
Retail - 5.94%
|
||||||||
Boot Barn Holdings, Inc. (b)
|
203,468
|
8,539,552
|
||||||
Lululemon Athletica, Inc. (b)
|
36,107
|
8,643,655
|
||||||
17,183,207
|
||||||||
Semiconductors - 6.27%
|
||||||||
Advanced Micro Devices, Inc. (b)
|
61,727
|
2,901,169
|
||||||
ASML Holding NV - ADR
|
19,805
|
5,558,471
|
||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR
|
25,639
|
1,382,968
|
||||||
Teradyne, Inc.
|
125,631
|
8,290,389
|
||||||
18,132,997
|
||||||||
Software - 13.93%
|
||||||||
Adobe, Inc. (b)
|
29,188
|
10,249,075
|
||||||
j2 Global, Inc. (a)
|
14,841
|
1,422,658
|
||||||
Microsoft Corp.
|
34,905
|
5,941,878
|
||||||
Paycom Software, Inc. (a)(b)
|
31,871
|
10,140,077
|
||||||
Progress Software Corp.
|
31,446
|
1,419,158
|
||||||
ServiceNow, Inc. (b)
|
32,800
|
11,093,943
|
||||||
40,266,789
|
||||||||
Transportation - 0.49%
|
||||||||
ZTO Express Cayman, Inc. - ADR (a)
|
65,402
|
1,420,531
|
||||||
TOTAL COMMON STOCKS (Cost $261,326,971)
|
276,401,236
|
|||||||
REAL ESTATE INVESTMENT TRUSTS - 4.02%
|
||||||||
Single Tenant - 4.02%
|
||||||||
Essential Properties Realty Trust, Inc.
|
315,339
|
8,706,510
|
||||||
Spirit Realty Capital, Inc.
|
55,395
|
2,923,748
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $11,289,737)
|
11,630,258
|
|||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 15.55%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.77% (c)
|
44,941,196
|
44,941,196
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $44,941,196)
|
44,941,196
|
|||||||
SHORT TERM INVESTMENTS - 0.27%
|
||||||||
Money Market Funds - 0.27%
|
||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
772,099
|
772,099
|
||||||
TOTAL SHORT TERM INVESTMENTS (Cost $772,099)
|
772,099
|
|||||||
Total Investments (Cost $318,330,003) - 115.46%
|
333,744,789
|
|||||||
Liabilities in Excess of Other Assets - (15.46)%
|
(44,681,781
|
)
|
||||||
TOTAL NET ASSETS - 100.00%
|
$
|
289,063,008
|
||||||
Asset Type
|
% of Net Assets
|
|||||||
Common Stocks
|
95.62
|
%
|
||||||
Real Estate Investment Trusts
|
4.02
|
|||||||
Investments Purchased with Proceeds From Securities Lending
|
15.55
|
|||||||
Short Term Investments
|
0.27
|
|||||||
Total Investments
|
115.46
|
|||||||
Liabilities in Excess of Other Assets
|
(15.46
|
)
|
||||||
Net Assets
|
100.00
|
%
|
Percentages are stated as a percent of net assets.
|
||||
|
||||
ADR
|
American Depositary Receipt
|
|||
(a)
|
All or a portion of this security is on loan as of January 31, 2020. The total value of securities on loan is $42,589,492, or 14.73% of net assets.
|
|||
(b)
|
Non-income producing security.
|
|||
(c)
|
Represents annualized seven-day yield as of the end of the reporting period.
|
Innovator IBD® ETF Leaders ETF
|
||||||||
Schedule of Investments
|
||||||||
January 31, 2020 (Unaudited)
|
||||||||
Shares
|
Value
|
|||||||
EXCHANGE TRADED FUNDS - 99.64%
|
||||||||
Other Investment Pools and Funds - 99.64%
|
||||||||
ARK Innovation ETF
|
20,603
|
$
|
1,067,235
|
|||||
ARK Next Generation Internet ETF
|
3,982
|
251,543
|
||||||
ETFMG Prime Junior Silver Miners ETF (a)
|
41,470
|
453,267
|
||||||
Fidelity MSCI Information Technology Index ETF
|
3,168
|
238,139
|
||||||
First Trust NASDAQ-100 Technology Index Fund
|
2,288
|
229,532
|
||||||
First Trust Rising Dividend Achievers ETF (a)
|
57,519
|
1,978,654
|
||||||
Global X Silver Miners ETF (a)
|
15,554
|
483,729
|
||||||
Invesco KBW Bank ETF (a)
|
35,431
|
1,910,794
|
||||||
Invesco QQQ Trust Series 1 (a)
|
4,851
|
1,062,709
|
||||||
iShares MSCI Global Gold Miners ETF
|
21,439
|
509,605
|
||||||
iShares PHLX Semiconductor ETF
|
913
|
221,914
|
||||||
iShares US Technology ETF
|
990
|
239,788
|
||||||
Schwab U.S. Large-Cap Growth ETF (a)
|
11,110
|
1,061,005
|
||||||
SPDR S&P 500 ETF Trust
|
3,201
|
1,029,857
|
||||||
SPDR S&P Semiconductor ETF
|
2,167
|
221,229
|
||||||
Technology Select Sector SPDR Fund
|
2,497
|
238,039
|
||||||
VanEck Vectors Junior Gold Miners ETF
|
12,199
|
506,746
|
||||||
VanEck Vectors Semiconductor ETF
|
1,617
|
222,451
|
||||||
Vanguard Information Technology ETF
|
935
|
237,658
|
||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $11,868,520)
|
12,163,894
|
|||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 34.02%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.77% (b)
|
4,152,647
|
4,152,647
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $4,152,647)
|
4,152,647
|
|||||||
SHORT TERM INVESTMENTS - 0.38%
|
||||||||
Money Market Funds - 0.38%
|
||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
47,014
|
47,014
|
||||||
TOTAL SHORT TERM INVESTMENTS (Cost $47,014)
|
47,014
|
|||||||
Total Investments (Cost $16,068,181) - 134.04%
|
16,363,555
|
|||||||
Liabilities in Excess of Other Assets - (34.04)%
|
(4,155,984
|
)
|
||||||
TOTAL NET ASSETS - 100.00%
|
$
|
12,207,571
|
||||||
Asset Type
|
% of Net Assets
|
|||||||
Exchange Traded Funds
|
99.64
|
%
|
||||||
Investments Purchased with Proceeds From Securities Lending
|
34.02
|
|||||||
Short Term Investments
|
0.38
|
|||||||
Total Investments
|
134.04
|
|||||||
Liabilities in Excess of Other Assets
|
(34.04
|
)
|
||||||
Net Assets
|
100.00
|
%
|
Percentages are stated as a percent of net assets.
|
||||
|
||||
(a)
|
All or a portion of this security is on loan as of January 31, 2020. The total value of securities on loan is $3,993,839, or 32.72% of net assets.
|
|||
(b)
|
Represents annualized seven-day yield as of the end of the reporting period.
|
Innovator IBD® Breakout Opportunities ETF
|
||||||||
Schedule of Investments
|
||||||||
January 31, 2020 (Unaudited)
|
||||||||
Shares
|
Value
|
|||||||
COMMON STOCKS - 98.15%
|
||||||||
Aerospace/Defense - 1.27%
|
||||||||
CAE, Inc.
|
1,830
|
$
|
54,314
|
|||||
L3Harris Technologies, Inc.
|
126
|
27,888
|
||||||
82,202
|
||||||||
Banks - 0.83%
|
||||||||
Meta Financial Group, Inc.
|
1,440
|
53,597
|
||||||
Beverages - 2.50%
|
||||||||
Monster Beverage Corp. (a)
|
2,430
|
161,838
|
||||||
Biotechnology - 2.94%
|
||||||||
NeoGenomics, Inc. (a)(b)
|
5,892
|
189,899
|
||||||
Building Materials - 2.05%
|
||||||||
Armstrong World Industries, Inc.
|
1,050
|
105,347
|
||||||
Trex Co., Inc. (a)(b)
|
276
|
27,114
|
||||||
132,461
|
||||||||
Commercial Services - 11.92%
|
||||||||
Chegg, Inc. (a)
|
636
|
26,222
|
||||||
Euronet Worldwide, Inc. (a)
|
1,002
|
157,955
|
||||||
FTI Consulting, Inc. (a)
|
462
|
55,468
|
||||||
Paylocity Holding Corp. (a)(b)
|
198
|
28,094
|
||||||
PayPal Holdings, Inc. (a)
|
1,632
|
185,868
|
||||||
Strategic Education, Inc.
|
1,008
|
163,588
|
||||||
WEX, Inc. (a)
|
708
|
153,580
|
||||||
770,775
|
||||||||
Computers - 4.47%
|
||||||||
CyberArk Software Ltd. (a)
|
390
|
53,910
|
||||||
Fortinet, Inc. (a)
|
462
|
53,296
|
||||||
Rapid7, Inc. (a)
|
3,060
|
181,703
|
||||||
288,909
|
||||||||
Diversified Financial Services - 7.89%
|
||||||||
Mastercard, Inc. - Class A
|
168
|
53,078
|
||||||
Sculptor Capital Management, Inc.
|
8,112
|
186,089
|
||||||
Visa, Inc. - Class A (b)
|
792
|
157,584
|
||||||
XP, Inc. - Class A (a)
|
2,814
|
112,954
|
||||||
509,705
|
||||||||
Electrical Components & Equipment - 0.72%
|
||||||||
Universal Display Corp.
|
264
|
46,509
|
||||||
Energy-Alternate Sources - 0.75%
|
||||||||
SolarEdge Technologies, Inc. (a)
|
492
|
48,147
|
||||||
Engineering & Construction - 3.25%
|
||||||||
Jacobs Engineering Group, Inc.
|
1,680
|
155,450
|
||||||
TopBuild Corp. (a)
|
480
|
54,965
|
||||||
210,415
|
||||||||
Healthcare-Products - 4.66%
|
||||||||
Penumbra, Inc. (a)(b)
|
948
|
166,335
|
||||||
Repligen Corp. (a)
|
276
|
27,708
|
||||||
Teleflex, Inc.
|
288
|
106,995
|
||||||
301,038
|
||||||||
Healthcare-Services - 0.37%
|
||||||||
Anthem, Inc.
|
90
|
23,875
|
||||||
Home Builders - 2.83%
|
||||||||
Installed Building Products, Inc. (a)
|
1,410
|
104,524
|
||||||
LGI Homes, Inc. (a)
|
330
|
26,314
|
||||||
M/I Homes, Inc. (a)
|
1,170
|
51,936
|
||||||
182,774
|
||||||||
Insurance - 5.41%
|
||||||||
Fidelity National Financial, Inc.
|
3,384
|
164,970
|
||||||
RLI Corp.
|
1,986
|
184,718
|
||||||
349,688
|
||||||||
Internet - 2.57%
|
||||||||
Mimecast Ltd. (a)
|
3,258
|
166,256
|
||||||
Leisure Time - 3.03%
|
||||||||
Planet Fitness, Inc. - Class A (a)
|
2,424
|
195,835
|
||||||
Mining - 1.68%
|
||||||||
Pan American Silver Corp.
|
4,728
|
108,649
|
||||||
Miscellaneous Manufacturing - 0.38%
|
||||||||
Federal Signal Corp.
|
774
|
24,892
|
||||||
Pharmaceuticals - 3.38%
|
||||||||
DexCom, Inc. (a)
|
462
|
111,226
|
||||||
Zoetis, Inc.
|
798
|
107,100
|
||||||
218,326
|
||||||||
Retail - 2.90%
|
||||||||
Chipotle Mexican Grill, Inc. (a)
|
216
|
187,220
|
||||||
Semiconductors - 1.55%
|
||||||||
Cirrus Logic, Inc. (a)
|
1,302
|
100,007
|
||||||
Software - 28.86%
|
||||||||
Adobe, Inc. (a)
|
468
|
164,334
|
||||||
Autodesk, Inc. (a)
|
954
|
187,795
|
||||||
Bill.Com Holdings, Inc. (a)
|
4,026
|
202,588
|
||||||
Blackline, Inc. (a)
|
2,700
|
165,159
|
||||||
Cadence Design Systems, Inc. (a)
|
2,190
|
157,921
|
||||||
Datadog, Inc. - Class A (a)
|
4,530
|
209,332
|
||||||
HubSpot, Inc. (a)
|
588
|
106,393
|
||||||
j2 Global, Inc. (b)
|
540
|
51,764
|
||||||
Paycom Software, Inc. (a)
|
84
|
26,725
|
||||||
RingCentral, Inc. - Class A (a)(b)
|
138
|
28,370
|
||||||
ServiceNow, Inc. (a)
|
90
|
30,441
|
||||||
Sprout Social, Inc. - Class A (a)(b)
|
9,390
|
192,777
|
||||||
SPS Commerce, Inc. (a)
|
3,252
|
184,811
|
||||||
SS&C Technologies Holdings, Inc.
|
834
|
52,550
|
||||||
Synopsys, Inc. (a)
|
708
|
104,437
|
||||||
1,865,397
|
||||||||
Telecommunications - 0.32%
|
||||||||
AudioCodes Ltd.
|
966
|
20,711
|
||||||
Transportation - 1.62%
|
||||||||
XPO Logistics, Inc. (a)(b)
|
1,182
|
105,103
|
||||||
TOTAL COMMON STOCKS (Cost $6,058,667)
|
6,344,228
|
|||||||
REAL ESTATE INVESTMENT TRUSTS - 1.74%
|
||||||||
Single Tenant - 1.74%
|
||||||||
Essential Properties Realty Trust, Inc.
|
4,080
|
112,649
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $104,815)
|
112,649
|
|||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 14.28%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.77% (c)
|
922,861
|
922,861
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $922,861)
|
922,861
|
|||||||
SHORT TERM INVESTMENTS - 0.15%
|
||||||||
Money Market Funds - 0.15%
|
||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
9,558
|
9,558
|
||||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,558)
|
9,558
|
|||||||
Total Investments (Cost $7,095,901) - 114.32%
|
7,389,296
|
|||||||
Liabilities in Excess of Other Assets - (14.32)%
|
(925,768
|
)
|
||||||
TOTAL NET ASSETS - 100.00%
|
$
|
6,463,528
|
||||||
Asset Type
|
% of Net Assets
|
|||||||
Common Stocks
|
98.15
|
%
|
||||||
Real Estate Investment Trusts
|
1.74
|
|||||||
Investments Purchased with Proceeds From Securities Lending
|
14.28
|
|||||||
Short Term Investments
|
0.15
|
|||||||
Total Investments
|
114.32
|
|||||||
Liabilities in Excess of Other Assets
|
(14.32
|
)
|
||||||
Net Assets
|
100.00
|
%
|
Percentages are stated as a percent of net assets.
|
||||
|
||||
(a)
|
Non-income producing security.
|
|||
(b)
|
All or a portion of this security is on loan as of January 31, 2020. The total value of securities on loan is $883,292, or 13.67% of net assets.
|
|||
(c)
|
Represents annualized seven-day yield as of the end of the reporting period.
|
Innovator Loup Frontier Tech ETF
|
||||||||
Schedule of Investments
|
||||||||
January 31, 2020 (Unaudited)
|
||||||||
Shares
|
Value
|
|||||||
COMMON STOCKS - 99.92%
|
||||||||
Aerospace/Defense - 2.93%
|
||||||||
AeroVironment, Inc. (a)(b)
|
4,888
|
$
|
325,590
|
|||||
Auto Manufacturers - 8.61%
|
||||||||
Tesla, Inc. (a)(b)
|
1,472
|
957,639
|
||||||
Computers - 4.88%
|
||||||||
Lumentum Holdings, Inc. (a)(b)
|
7,168
|
543,119
|
||||||
Electrical Components & Equipment - 5.93%
|
||||||||
LG Innotek Co., Ltd.
|
2,736
|
348,930
|
||||||
Novanta, Inc. (a)
|
3,424
|
310,660
|
||||||
659,590
|
||||||||
Electronics - 16.42%
|
||||||||
Coherent, Inc. (a)
|
2,080
|
294,174
|
||||||
FLIR Systems, Inc.
|
5,632
|
290,273
|
||||||
Fortive Corp.
|
4,040
|
302,717
|
||||||
II-VI, Inc. (a)(b)
|
10,152
|
341,615
|
||||||
Omron Corp.
|
4,800
|
283,956
|
||||||
Trimble, Inc. (a)
|
7,376
|
313,628
|
||||||
1,826,363
|
||||||||
Healthcare-Products - 2.66%
|
||||||||
Intuitive Surgical, Inc. (a)
|
528
|
295,564
|
||||||
Home Furnishings - 2.87%
|
||||||||
Sony Corp. - ADR
|
4,544
|
318,898
|
||||||
Internet - 11.61%
|
||||||||
Baidu, Inc. - ADR (a)
|
4,344
|
536,745
|
||||||
Pinterest, Inc. - Class A (a)(b)
|
16,448
|
362,349
|
||||||
Uber Technologies, Inc. (a)
|
10,824
|
392,803
|
||||||
1,291,897
|
||||||||
Machinery-Diversified - 7.83%
|
||||||||
Harmonic Drive Systems, Inc. (b)
|
6,400
|
294,735
|
||||||
Rockwell Automation, Inc.
|
1,512
|
289,790
|
||||||
Yaskawa Electric Corp.
|
8,000
|
286,097
|
||||||
870,622
|
||||||||
Miscellaneous Manufacturing - 5.72%
|
||||||||
Axon Enterprise, Inc. (a)(b)
|
4,144
|
318,300
|
||||||
Fabrinet (a)
|
5,040
|
317,722
|
||||||
636,022
|
||||||||
Semiconductors - 21.64%
|
||||||||
Advanced Micro Devices, Inc. (a)
|
12,824
|
602,728
|
||||||
AMS AG (a)
|
6,424
|
263,243
|
||||||
NVIDIA Corp.
|
1,416
|
334,785
|
||||||
SK Hynix, Inc.
|
4,424
|
347,060
|
||||||
STMicroelectronics NV
|
19,528
|
547,720
|
||||||
Teradyne, Inc.
|
4,720
|
311,473
|
||||||
2,407,009
|
||||||||
Software - 5.92%
|
||||||||
BlackBerry Ltd. (a)
|
55,040
|
335,214
|
||||||
Nuance Communications, Inc. (a)
|
17,096
|
323,456
|
||||||
658,670
|
||||||||
Transportation - 2.90%
|
||||||||
XPO Logistics, Inc. (a)(b)
|
3,632
|
322,957
|
||||||
TOTAL COMMON STOCKS (Cost $9,566,920)
|
11,113,940
|
|||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 19.51%
|
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.77% (c)
|
2,169,773
|
2,169,773
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $2,169,773)
|
2,169,773
|
|||||||
SHORT TERM INVESTMENTS - 0.08%
|
||||||||
Money Market Funds - 0.08%
|
||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
9,367
|
9,367
|
||||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,367)
|
9,367
|
|||||||
Total Investments (Cost $11,746,060) - 119.51%
|
13,293,080
|
|||||||
Liabilities in Excess of Other Assets - (19.51)%
|
(2,169,867
|
)
|
||||||
TOTAL NET ASSETS - 100.00%
|
$
|
11,123,213
|
||||||
Country
|
% of Net Assets
|
|||||||
Austria
|
2.37
|
%
|
||||||
Canada
|
3.01
|
|||||||
China
|
4.83
|
|||||||
Japan
|
10.64
|
|||||||
South Korea
|
6.26
|
|||||||
Switzerland
|
4.92
|
|||||||
Thailand
|
2.86
|
|||||||
United States
|
65.03
|
|||||||
Total Country
|
99.92
|
|||||||
Investments Purchased with Proceeds From Securities Lending
|
19.51
|
|||||||
Short Term Investments
|
0.08
|
|||||||
Total Investments
|
119.51
|
|||||||
Liabilities in Excess of Other Assets
|
(19.51
|
)
|
||||||
Net Assets
|
100.00
|
%
|
Percentages are stated as a percent of net assets.
|
||
|
||
ADR
|
American Depositary Receipt
|
|
(a)
|
Non-income producing security.
|
|
(b)
|
All or a portion of this security is on loan as of January 31, 2020. The total value of securities on loan is $2,072,751, or 18.63% of net assets.
|
|
(c)
|
Represents annualized seven-day yield as of the end of the reporting period.
|
Innovator S&P 500® Buffer ETF - January
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 104.76% (a)
|
||||||||||||
CALL OPTIONS - 78.81%
|
||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $1,938.18
|
978
|
$
|
315,455,856
|
$
|
124,712,594
|
|||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $193.84
|
164
|
5,289,820
|
2,090,949
|
|||||||||
126,803,543
|
||||||||||||
PUT OPTIONS - 25.95%
|
||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,876.35
|
489
|
157,727,928
|
31,535,558
|
|||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,230.27
|
489
|
157,727,928
|
9,523,030
|
|||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $387.67
|
82
|
2,644,910
|
529,091
|
|||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $323.04
|
82
|
2,644,910
|
159,730
|
|||||||||
41,747,409
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $169,337,854)
|
168,550,952
|
|||||||||||
SHORT TERM INVESTMENTS - 0.01%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.01%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
13,240
|
13,240
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $13,840)
|
13,840
|
|||||||||||
Total Investments (Cost $169,351,694) - 104.77%
|
168,564,792
|
|||||||||||
Liabilities in Excess of Other Assets - (4.77)%
|
(7,676,477
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
160,888,315
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
104.76
|
% |
|
|||||||||
Short Term Investments
|
0.01
|
|||||||||||
Total Investments
|
104.77
|
|||||||||||
Liabilities in Excess of Other Assets
|
(4.77
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
|
|||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||||
|
|
|||||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||||
Call Options
|
||||||||||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
$
|
3,876.35
|
489
|
$
|
(157,727,928
|
)
|
$
|
(248,034
|
)
|
||||||||||
SPX S&P 500® Index
|
12/31/2020
|
3,659.88
|
489
|
(157,727,928
|
)
|
(1,040,182
|
)
|
|||||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
387.67
|
82
|
(2,644,910
|
)
|
(4,150
|
)
|
|||||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
365.99
|
82
|
(2,644,910
|
)
|
(17,441
|
)
|
|||||||||||||
(1,309,807
|
)
|
|||||||||||||||||||
Put Options
|
||||||||||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
2,939.54
|
489
|
(157,727,928
|
)
|
(5,384,079
|
)
|
|||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
1,938.18
|
978
|
(315,455,856
|
)
|
(846,996
|
)
|
|||||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
293.95
|
82
|
(2,644,910
|
)
|
(90,278
|
)
|
|||||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
193.84
|
164
|
(5,289,820
|
)
|
(14,212
|
)
|
|||||||||||||
(6,335,565
|
)
|
|||||||||||||||||||
Total Options Written (Premiums Received $7,424,546)
|
$ |
(7,645,372 | ) |
|||||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - February
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.07% (a)
|
||||||||||||
CALL OPTIONS - 78.89%
|
||||||||||||
SPX S&P 500® Index, Expires 01/29/2021, Strike Price $1,935.11
|
8
|
$
|
2,580,416
|
$
|
1,018,320
|
|||||||
XSP S&P 500® Mini Index, Expires 01/29/2021, Strike Price $193.53
|
72
|
2,322,360
|
915,480
|
|||||||||
1,933,800
|
||||||||||||
PUT OPTIONS - 26.18%
|
||||||||||||
SPX S&P 500® Index, Expires 01/29/2021, Strike Price $3,870.22
|
4
|
1,290,208
|
257,288
|
|||||||||
SPX S&P 500® Index, Expires 01/29/2021, Strike Price $3,225.16
|
4
|
1,290,208
|
80,856
|
|||||||||
XSP S&P 500® Mini Index, Expires 01/29/2021, Strike Price $387.06
|
36
|
1,161,180
|
231,228
|
|||||||||
XSP S&P 500® Mini Index, Expires 01/29/2021, Strike Price $322.53
|
36
|
1,161,180
|
72,360
|
|||||||||
641,732
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $2,575,828)
|
2,575,532
|
|||||||||||
Total Investments (Cost $2,575,828) - 105.07%
|
2,575,532
|
|||||||||||
Liabilities in Excess of Other Assets - (5.07)%
|
(124,198
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
2,451,334
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.07
|
% |
|
|||||||||
Total Investments
|
105.07
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.07
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
|
|||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
1/29/2021
|
$
|
3,870.22
|
4
|
$
|
(1,290,208
|
)
|
$
|
(2,216
|
)
|
||||||||
SPX S&P 500® Index
|
1/29/2021
|
3,644.42
|
4
|
(1,290,208
|
)
|
(10,252
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
387.06
|
36
|
(1,161,180
|
)
|
(2,412
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
364.44
|
36
|
(1,161,180
|
)
|
(9,684
|
)
|
|||||||||||
(24,564
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
1/29/2021
|
2,934.89
|
4
|
(1,290,208
|
)
|
(45,796
|
)
|
|||||||||||
SPX S&P 500® Index
|
1/29/2021
|
1,935.11
|
8
|
(2,580,416
|
)
|
(6,072
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
293.49
|
36
|
(1,161,180
|
)
|
(41,652
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
193.53
|
72
|
(2,322,360
|
)
|
(6,336
|
)
|
|||||||||||
(99,856
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $124,050)
|
$ |
(124,420 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF -April
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 101.96% (a)
|
||||||||||||
CALL OPTIONS - 95.82%
|
||||||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $1,700.65
|
212
|
$
|
68,381,024
|
$
|
32,296,217
|
|||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $170.08
|
212
|
6,838,060
|
3,229,307
|
|||||||||
35,525,524
|
||||||||||||
PUT OPTIONS - 6.14%
|
||||||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $3,401.31
|
106
|
34,190,512
|
1,926,480
|
|||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $2,834.4
|
106
|
34,190,512
|
144,325
|
|||||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $340.17
|
106
|
3,419,030
|
192,966
|
|||||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $283.45
|
106
|
3,419,030
|
14,439
|
|||||||||
2,278,210
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $38,418,591)
|
37,803,734
|
|||||||||||
Total Investments (Cost $38,418,591) - 101.96%
|
37,803,734
|
|||||||||||
Liabilities in Excess of Other Assets - (1.96)%
|
(727,320
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
37,076,414
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
101.96
|
%
|
||||||||||
Total Investments
|
101.96
|
|||||||||||
Liabilities in Excess of Other Assets
|
(1.96
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
3/31/2020
|
$
|
3,401.31
|
106
|
$
|
(34,190,512
|
)
|
$
|
(95,650
|
)
|
||||||||
SPX S&P 500® Index
|
3/31/2020
|
3,323.12
|
106
|
(34,190,512
|
)
|
(331,053
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
340.17
|
106
|
(3,419,030
|
)
|
(9,496
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
332.31
|
106
|
(3,419,030
|
)
|
(33,114
|
)
|
|||||||||||
(469,313
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
3/31/2020
|
2,579.29
|
106
|
(34,190,512
|
)
|
(49,684
|
)
|
|||||||||||
SPX S&P 500® Index
|
3/31/2020
|
1,700.65
|
212
|
(68,381,024
|
)
|
(10,104
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
257.93
|
106
|
(3,419,030
|
)
|
(4,969
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
170.08
|
212
|
(6,838,060
|
)
|
(1,011
|
)
|
|||||||||||
(65,768
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $511,598)
|
$ |
(535,081 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - June
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 107.16% (a)
|
||||||||||||
CALL OPTIONS - 101.78%
|
||||||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $1,651.26
|
28
|
$
|
9,031,456
|
$
|
4,389,860
|
|||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $165.14
|
42
|
1,354,710
|
658,420
|
|||||||||
5,048,280
|
||||||||||||
PUT OPTIONS - 5.38%
|
||||||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $3,302.52
|
14
|
4,515,728
|
199,000
|
|||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $2,752.08
|
14
|
4,515,728
|
32,918
|
|||||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $330.29
|
21
|
677,355
|
29,890
|
|||||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $275.22
|
21
|
677,355
|
4,940
|
|||||||||
266,748
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $5,353,925)
|
5,315,028
|
|||||||||||
SHORT TERM INVESTMENTS - 0.01%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.01%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
116
|
116
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $716)
|
716
|
|||||||||||
Total Investments (Cost $5,354,641) - 107.17%
|
5,315,744
|
|||||||||||
Liabilities in Excess of Other Assets - (7.17)%
|
(355,810
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
4,959,934
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
107.16
|
%
|
||||||||||
Short Term Investments
|
0.01
|
|||||||||||
Total Investments
|
107.17
|
|||||||||||
Liabilities in Excess of Other Assets
|
(7.17
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
5/29/2020
|
$
|
3,302.52
|
14
|
$
|
(4,515,728
|
)
|
$
|
(96,246
|
)
|
||||||||
SPX S&P 500® Index
|
5/29/2020
|
3,204.79
|
14
|
(4,515,728
|
)
|
(177,263
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
330.29
|
21
|
(677,355
|
)
|
(14,396
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
320.48
|
21
|
(677,355
|
)
|
(26,588
|
)
|
|||||||||||
(314,493
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
5/29/2020
|
2,504.38
|
14
|
(4,515,728
|
)
|
(14,121
|
)
|
|||||||||||
SPX S&P 500® Index
|
5/29/2020
|
1,651.26
|
28
|
(9,031,456
|
)
|
(2,867
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
250.44
|
21
|
(677,355
|
)
|
(2,118
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
165.14
|
42
|
(1,354,710
|
)
|
(430
|
)
|
|||||||||||
(19,536
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $134,168) |
$ |
(334,029 |
) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - July
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 103.05% (a)
|
||||||||||||
CALL OPTIONS - 91.56%
|
||||||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $1,764.82
|
450
|
$
|
145,148,400
|
$
|
65,389,787
|
|||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $176.50
|
40
|
1,290,200
|
581,171
|
|||||||||
65,970,958
|
||||||||||||
PUT OPTIONS - 11.49%
|
||||||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $3,529.65
|
225
|
72,574,200
|
6,966,929
|
|||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $2,941.35
|
225
|
72,574,200
|
1,241,102
|
|||||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $353.01
|
20
|
645,100
|
62,008
|
|||||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $294.14
|
20
|
645,100
|
11,033
|
|||||||||
8,281,072
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $74,319,844)
|
74,252,030
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
408
|
408
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,008)
|
1,008
|
|||||||||||
Total Investments (Cost $74,320,852) - 103.05%
|
74,253,038
|
|||||||||||
Liabilities in Excess of Other Assets - (3.05)%
|
(2,200,620
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
72,052,418
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
103.05
|
|||||||||||
Short Term Investments
|
0.00
|
|||||||||||
Total Investments
|
103.05
|
|||||||||||
Liabilities in Excess of Other Assets
|
(3.05
|
)
|
||||||||||
Net Assets
|
100.00
|
|||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
6/30/2020
|
$
|
3,529.65
|
225
|
$
|
(72,574,200
|
)
|
$
|
(246,102
|
)
|
||||||||
SPX S&P 500® Index
|
6/30/2020
|
3,353.13
|
225
|
(72,574,200
|
)
|
(1,289,622
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
353.01
|
20
|
(645,100
|
)
|
(2,178
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
335.31
|
20
|
(645,100
|
)
|
(11,466
|
)
|
|||||||||||
(1,549,368
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
6/30/2020
|
2,676.62
|
225
|
(72,574,200
|
)
|
(558,685
|
)
|
|||||||||||
SPX S&P 500® Index
|
6/30/2020
|
1,764.82
|
450
|
(145,148,400
|
)
|
(76,334
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
267.66
|
20
|
(645,100
|
)
|
(4,966
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
176.50
|
40
|
(1,290,200
|
)
|
(679
|
)
|
|||||||||||
(640,664
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $2,063,009)
|
$ |
(2,190,032 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - August
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 103.53% (a)
|
||||||||||||
CALL OPTIONS - 90.07%
|
||||||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $1,788.11
|
228
|
$
|
73,541,856
|
$
|
32,632,753
|
|||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $178.83
|
114
|
3,677,070
|
1,631,429
|
|||||||||
34,264,182
|
||||||||||||
PUT OPTIONS - 13.46%
|
||||||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $3,576.22
|
114
|
36,770,928
|
4,049,517
|
|||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $2,980.16
|
114
|
36,770,928
|
825,492
|
|||||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $357.66
|
57
|
1,838,535
|
202,666
|
|||||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $298.03
|
57
|
1,838,535
|
41,290
|
|||||||||
5,118,965
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $39,754,011)
|
39,383,147
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
224
|
224
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $824)
|
824
|
|||||||||||
Total Investments (Cost $39,754,835) - 103.53%
|
39,383,971
|
|||||||||||
Liabilities in Excess of Other Assets - (3.53)%
|
(1,344,201
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
38,039,770
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
103.53
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
103.53
|
|||||||||||
Liabilities in Excess of Other Assets
|
(3.53
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
7/31/2020
|
$
|
3,576.22
|
114
|
$
|
(36,770,928
|
)
|
$
|
(117,105
|
)
|
||||||||
SPX S&P 500® Index
|
7/31/2020
|
3,385.45
|
114
|
(36,770,928
|
)
|
(619,220
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
357.66
|
57
|
(1,838,535
|
)
|
(5,834
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
338.55
|
57
|
(1,838,535
|
)
|
(30,949
|
)
|
|||||||||||
(773,108
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
7/31/2020
|
2,711.94
|
114
|
(36,770,928
|
)
|
(395,338
|
)
|
|||||||||||
SPX S&P 500® Index
|
7/31/2020
|
1,788.11
|
228
|
(73,541,856
|
)
|
(51,268
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
271.19
|
57
|
(1,838,535
|
)
|
(19,764
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
178.83
|
114
|
(3,677,070
|
)
|
(2,565
|
)
|
|||||||||||
(468,935
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $1,234,690)
|
$ |
(1,242,043 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - September
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.10% (a)
|
||||||||||||
CALL OPTIONS - 93.04%
|
||||||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $1,755.38
|
28
|
$
|
9,031,456
|
$
|
4,086,889
|
|||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $175.56
|
10
|
322,550
|
145,939
|
|||||||||
4,232,828
|
||||||||||||
PUT OPTIONS - 12.06%
|
||||||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $3,510.76
|
14
|
4,515,728
|
429,118
|
|||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $2,925.61
|
14
|
4,515,728
|
100,808
|
|||||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $351.11
|
5
|
161,275
|
15,339
|
|||||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $292.57
|
5
|
161,275
|
3,601
|
|||||||||
548,866
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $4,632,656)
|
4,781,694
|
|||||||||||
SHORT TERM INVESTMENTS - 0.02%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.02%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
128
|
128
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $728)
|
728
|
|||||||||||
Total Investments (Cost $4,633,384) - 105.12%
|
4,782,422
|
|||||||||||
Liabilities in Excess of Other Assets - (5.12)%
|
(232,891
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
4,549,531
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.10
|
%
|
||||||||||
Short Term Investments
|
0.02
|
|||||||||||
Total Investments
|
105.12
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.12
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
8/31/2020
|
$
|
3,510.76
|
14
|
$
|
(4,515,728
|
)
|
$
|
(34,534
|
)
|
||||||||
SPX S&P 500® Index
|
8/31/2020
|
3,337.23
|
14
|
(4,515,728
|
)
|
(120,457
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
351.11
|
5
|
(161,275
|
)
|
(1,230
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
333.72
|
5
|
(161,275
|
)
|
(4,303
|
)
|
|||||||||||
(160,524
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
8/31/2020
|
2,662.30
|
14
|
(4,515,728
|
)
|
(50,546
|
)
|
|||||||||||
SPX S&P 500® Index
|
8/31/2020
|
1,755.38
|
28
|
(9,031,456
|
)
|
(7,330
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
266.23
|
5
|
(161,275
|
)
|
(1,805
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
175.56
|
10
|
(322,550
|
)
|
(262
|
)
|
|||||||||||
(59,943
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $197,856)
|
$ |
(220,467 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - October
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 104.50% (a)
|
||||||||||||
CALL OPTIONS - 90.23%
|
||||||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $1,786.06
|
946
|
$
|
305,134,192
|
$
|
134,987,213
|
|||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $178.62
|
20
|
645,100
|
285,358
|
|||||||||
135,272,571
|
||||||||||||
PUT OPTIONS - 14.27%
|
||||||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $3,572.12
|
473
|
152,567,096
|
17,046,012
|
|||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $2,976.74
|
473
|
152,567,096
|
4,307,396
|
|||||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $357.25
|
10
|
322,550
|
36,070
|
|||||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $297.68
|
10
|
322,550
|
9,108
|
|||||||||
21,398,586
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $152,683,013)
|
156,671,157
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
2,099
|
2,099
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,699)
|
2,699
|
|||||||||||
Total Investments (Cost $152,685,712) - 104.50%
|
156,673,856
|
|||||||||||
Liabilities in Excess of Other Assets - (4.50)%
|
(6,754,643
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
149,919,213
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
104.50
|
% | ||||||||||
Short Term Investments
|
0.00
|
(b) | ||||||||||
Total Investments
|
104.50
|
|||||||||||
Liabilities in Excess of Other Assets
|
(4.50
|
)
|
||||||||||
Net Assets
|
100.00
|
% | ||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
9/30/2020
|
$
|
3,572.12
|
473
|
$
|
(152,567,096
|
)
|
$
|
(919,137
|
)
|
||||||||
SPX S&P 500® Index
|
9/30/2020
|
3,397.04
|
473
|
(152,567,096
|
)
|
(3,281,229
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
357.25
|
10
|
(322,550
|
)
|
(1,938
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
339.70
|
10
|
(322,550
|
)
|
(6,939
|
)
|
|||||||||||
(4,209,243
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
9/30/2020
|
2,708.82
|
473
|
(152,567,096
|
)
|
(2,237,587
|
)
|
|||||||||||
SPX S&P 500® Index
|
9/30/2020
|
1,786.06
|
946
|
(305,134,192
|
)
|
(304,666
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
270.88
|
10
|
(322,550
|
)
|
(4,730
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
178.62
|
20
|
(645,100
|
)
|
(644
|
)
|
|||||||||||
(2,547,627
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $6,540,120)
|
$ |
(6,756,870 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - November
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 104.41% (a)
|
||||||||||||
CALL OPTIONS - 87.35%
|
||||||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $1,822.61
|
104
|
$
|
33,545,408
|
$
|
14,461,103
|
|||||||
XSP S&P 500® Mini Index, Expires10/30/2020, Strike Price $182.28
|
52
|
1,677,260
|
722,959
|
|||||||||
15,184,062
|
||||||||||||
PUT OPTIONS - 17.06%
|
||||||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $3,645.22
|
52
|
16,772,704
|
2,221,930
|
|||||||||
SPX S&P 500® Index, Expires10/30/2020, Strike Price $3,037.66
|
52
|
16,772,704
|
601,949
|
|||||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $364.56
|
26
|
838,630
|
111,182
|
|||||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $303.78
|
26
|
838,630
|
30,107
|
|||||||||
2,965,168
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $17,940,569)
|
18,149,230
|
|||||||||||
Total Investments (Cost $17,940,569) - 104.41%
|
18,149,230
|
|||||||||||
Liabilities in Excess of Other Assets - (4.41)%
|
(766,020
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
17,383,210
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
104.41
|
%
|
||||||||||
Total Investments
|
104.41
|
|||||||||||
Liabilities in Excess of Other Assets
|
(4.41
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
10/30/2020
|
$
|
3,645.22
|
52
|
$
|
(16,772,704
|
)
|
$
|
(76,072
|
)
|
||||||||
SPX S&P 500® Index
|
10/30/2020
|
3,463.83
|
52
|
(16,772,704
|
)
|
(279,098
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
364.56
|
26
|
(838,630
|
)
|
(3,793
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
346.38
|
26
|
(838,630
|
)
|
(13,958
|
)
|
|||||||||||
(372,921
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
10/30/2020
|
2,764.26
|
52
|
(16,772,704
|
)
|
(324,209
|
)
|
|||||||||||
SPX S&P 500® Index
|
10/30/2020
|
1,822.61
|
104
|
(33,545,408
|
)
|
(45,829
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
276.43
|
26
|
(838,630
|
)
|
(16,212
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
182.28
|
52
|
(1,677,260
|
)
|
(2,293
|
)
|
|||||||||||
(388,543
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $805,999)
|
$ |
(764,464 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Buffer ETF - December
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 104.46% (a)
|
||||||||||||
CALL OPTIONS - 82.61%
|
||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $1,884.94
|
144
|
$
|
46,447,488
|
$
|
19,113,635
|
|||||||
XSP S&P 500® Mini Index, Expires11/30/2020, Strike Price $188.51
|
72
|
2,322,360
|
955,571
|
|||||||||
20,069,206
|
||||||||||||
PUT OPTIONS - 21.85%
|
||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,769.88
|
72
|
23,223,744
|
3,926,128
|
|||||||||
SPX S&P 500® Index, Expires11/30/2020, Strike Price $3,141.54
|
72
|
23,223,744
|
1,129,281
|
|||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $377.02
|
36
|
1,161,180
|
196,413
|
|||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $314.16
|
36
|
1,161,180
|
56,471
|
|||||||||
5,308,293
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $25,281,692)
|
25,377,499
|
|||||||||||
Total Investments (Cost $25,281,692) - 104.46%
|
25,377,499
|
|||||||||||
Liabilities in Excess of Other Assets - (4.46)%
|
(1,082,693
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
24,294,806
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
104.46
|
%
|
||||||||||
Total Investments
|
104.46
|
|||||||||||
Liabilities in Excess of Other Assets
|
(4.46
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
11/30/2020
|
$
|
3,769.88
|
72
|
$
|
(23,223,744
|
)
|
$
|
(57,728
|
)
|
|||||||
SPX S&P 500® Index
|
11/30/2020
|
3,560.92
|
72
|
(23,223,744
|
)
|
(247,484
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
377.02
|
36
|
(1,161,180
|
)
|
(2,880
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
356.09
|
36
|
(1,161,180
|
)
|
(12,376
|
)
|
||||||||||
(320,468
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
11/30/2020
|
2,858.79
|
72
|
(23,223,744
|
)
|
(628,584
|
)
|
||||||||||
SPX S&P 500® Index
|
11/30/2020
|
1,884.94
|
144
|
(46,447,488
|
)
|
(94,553
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
285.88
|
36
|
(1,161,180
|
)
|
(31,430
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
188.51
|
72
|
(2,322,360
|
)
|
(4,730
|
)
|
||||||||||
(759,297
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $1,206,913)
|
$ |
(1,079,765 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - January
|
|||||||||||
Schedule of Investments
|
|||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||
Contracts
|
Notional Amount
|
Value
|
|||||||||
PURCHASED OPTIONS - 104.69% (a)
|
|||||||||||
CALL OPTIONS - 78.76%
|
|||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $1,938.16
|
1,152
|
$
|
371,579,904
|
$
|
146,902,932
|
||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $193.82
|
106
|
3,419,030
|
1,351,670
|
||||||||
148,254,602
|
|||||||||||
PUT OPTIONS - 25.93%
|
|||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,876.31
|
576
|
185,789,952
|
37,143,982
|
||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,230.26
|
576
|
185,789,952
|
11,217,098
|
||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $387.63
|
53
|
1,709,515
|
341,771
|
||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $323.03
|
53
|
1,709,515
|
103,221
|
||||||||
48,806,072
|
|||||||||||
TOTAL PURCHASED OPTIONS (Cost $197,602,547)
|
197,060,674
|
||||||||||
|
|||||||||||
SHORT TERM INVESTMENTS - 0.01%
|
Shares
|
||||||||||
MONEY MARKET FUNDS - 0.01%
|
|||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
|||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
|||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
|||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
17,730
|
17,730
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
|||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
|||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,330)
|
18,330
|
||||||||||
|
|||||||||||
Total Investments (Cost $197,620,877) - 104.70%
|
197,079,004
|
||||||||||
Liabilities in Excess of Other Assets - (4.70)%
|
(8,852,481
|
)
|
|||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
188,226,523
|
|||||||||
|
|||||||||||
Asset Type
|
% of Net Assets
|
||||||||||
Purchased Options
|
104.69
|
% |
|||||||||
Short Term Investments
|
0.01
|
||||||||||
Total Investments
|
104.70
|
||||||||||
Liabilities in Excess of Other Assets
|
(4.70
|
)
|
|||||||||
Net Assets
|
100.00
|
% |
|||||||||
|
|||||||||||
Percentages are stated as a percent of net assets.
|
|||||||||||
(a) Exchange-Traded.
|
|||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
$
|
3,876.31
|
576
|
$
|
(185,789,952
|
)
|
$
|
(292,239
|
)
|
||||||||
SPX S&P 500® Index
|
12/31/2020
|
3,504.83
|
576
|
(185,789,952
|
)
|
(3,277,649
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
387.63
|
53
|
(1,709,515
|
)
|
(2,689
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
350.48
|
53
|
(1,709,515
|
)
|
(30,164
|
)
|
|||||||||||
(3,602,741
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
2,745.72
|
576
|
(185,789,952
|
)
|
(4,179,154
|
)
|
|||||||||||
SPX S&P 500® Index
|
12/31/2020
|
1,938.16
|
1152
|
(371,579,904
|
)
|
(997,635
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
274.57
|
53
|
(1,709,515
|
)
|
(38,452
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
193.82
|
106
|
(3,419,030
|
)
|
(9,180
|
)
|
|||||||||||
(5,224,421
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $9,211,898)
|
$ |
(8,827,162 | ) |
(a) Exchange-Traded. |
Innovator S&P 500® Power Buffer ETF - February
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.04% (a)
|
||||||||||||
CALL OPTIONS - 78.88%
|
||||||||||||
SPX S&P 500® Index, Expires 01/29/2021, Strike Price $1,935.09
|
8
|
$
|
2,580,416
|
$
|
1,018,008
|
|||||||
XSP S&P 500® Mini Index, Expires 01/29/2021, Strike Price $193.51
|
72
|
2,322,360
|
915,624
|
|||||||||
1,933,632
|
||||||||||||
PUT OPTIONS - 26.16%
|
||||||||||||
SPX S&P 500® Index, Expires 01/29/2021, Strike Price $3,870.18
|
4
|
1,290,208
|
257,112
|
|||||||||
SPX S&P 500® Index, Expires 01/29/2021, Strike Price $3,225.15
|
4
|
1,290,208
|
80,692
|
|||||||||
XSP S&P 500® Mini Index, Expires 01/29/2021, Strike Price $387.02
|
36
|
1,161,180
|
231,084
|
|||||||||
XSP S&P 500® Mini Index, Expires 01/29/2021, Strike Price $322.52
|
36
|
1,161,180
|
72,324
|
|||||||||
641,212
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $2,575,140)
|
2,574,844
|
|||||||||||
|
||||||||||||
Total Investments (Cost $2,575,140) - 105.04%
|
2,574,844
|
|||||||||||
Liabilities in Excess of Other Assets - (5.04)%
|
(123,510
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
2,451,334
|
||||||||||
|
||||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.04
|
% |
||||||||||
Total Investments
|
105.04
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.04
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
|
||||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
1/29/2021
|
$
|
3,870.18
|
4
|
$
|
(1,290,208
|
)
|
$
|
(2,376
|
)
|
|||||||
SPX S&P 500® Index
|
1/29/2021
|
3,499.61
|
4
|
(1,290,208
|
)
|
(24,836
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
387.02
|
36
|
(1,161,180
|
)
|
(2,448
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
349.96
|
36
|
(1,161,180
|
)
|
(22,644
|
)
|
||||||||||
(52,304
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
1/29/2021
|
2,741.38
|
4
|
(1,290,208
|
)
|
(30,688
|
)
|
||||||||||
SPX S&P 500® Index
|
1/29/2021
|
1,935.09
|
8
|
(2,580,416
|
)
|
(6,400
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
274.14
|
36
|
(1,161,180
|
)
|
(27,936
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
193.51
|
72
|
(2,322,360
|
)
|
(6,408
|
)
|
||||||||||
(71,432
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $123,366)
|
$ |
(123,736 | ) |
||||||||||||||
(a) Exchange-Traded.
|
|
Innovator S&P 500® Power Buffer ETF -April
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.96% (a)
|
||||||||||||
CALL OPTIONS - 99.58%
|
||||||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $1,700.63
|
462
|
$
|
149,019,024
|
$
|
70,382,293
|
|||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $170.06
|
512
|
16,514,560
|
7,800,095
|
|||||||||
78,182,388
|
||||||||||||
PUT OPTIONS - 6.38%
|
||||||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $3,401.27
|
231
|
74,509,512
|
4,197,558
|
|||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $2,834.39
|
231
|
74,509,512
|
314,508
|
|||||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $340.13
|
256
|
8,257,280
|
465,243
|
|||||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $283.44
|
256
|
8,257,280
|
34,856
|
|||||||||
5,012,165
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $85,811,064)
|
83,194,553
|
|||||||||||
SHORT TERM INVESTMENTS - 0.01%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.01%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
4,810
|
4,810
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,410)
|
5,410
|
|||||||||||
Total Investments (Cost $85,816,474) - 105.97%
|
83,199,963
|
|||||||||||
Liabilities in Excess of Other Assets - (5.97)%
|
(4,689,448
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
78,510,515
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.96
|
%
|
||||||||||
Short Term Investments
|
0.01
|
|||||||||||
Total Investments
|
105.97
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.97
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
3/31/2020
|
$
|
3,401.27
|
231
|
$
|
(74,509,512
|
)
|
$
|
(208,600
|
)
|
|||||||
SPX S&P 500® Index
|
3/31/2020
|
3,135.12
|
231
|
(74,509,512
|
)
|
(3,397,117
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
340.13
|
256
|
(8,257,280
|
)
|
(23,105
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
313.51
|
256
|
(8,257,280
|
)
|
(376,515
|
)
|
||||||||||
(4,005,337
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
3/31/2020
|
2,409.23
|
231
|
(74,509,512
|
)
|
(61,089
|
)
|
||||||||||
SPX S&P 500® Index
|
3/31/2020
|
1,700.63
|
462
|
(149,019,024
|
)
|
(22,016
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
240.92
|
256
|
(8,257,280
|
)
|
(6,770
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
170.06
|
512
|
(16,514,560
|
)
|
(2,440
|
)
|
||||||||||
(92,315
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $1,717,859)
|
$ |
(4,097,652 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - June
|
|||||||||||
Schedule of Investments
|
|||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||
Contracts
|
Notional Amount
|
Value
|
|||||||||
PURCHASED OPTIONS - 111.33% (a)
|
|||||||||||
CALL OPTIONS - 105.74%
|
|||||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $1,651.24
|
112
|
$
|
36,125,824
|
$
|
17,559,665
|
||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $165.12
|
168
|
5,418,840
|
2,634,017
|
||||||||
20,193,682
|
|||||||||||
PUT OPTIONS - 5.59%
|
|||||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $3,302.48
|
56
|
18,062,912
|
795,887
|
||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $2,752.07
|
56
|
18,062,912
|
131,669
|
||||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $330.25
|
84
|
2,709,420
|
119,392
|
||||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $275.21
|
84
|
2,709,420
|
19,752
|
||||||||
1,066,700
|
|||||||||||
TOTAL PURCHASED OPTIONS (Cost $21,805,853)
|
21,260,382
|
||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
|||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
|||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
|||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
|||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
161
|
161
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
|||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
|||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $761)
|
761
|
||||||||||
Total Investments (Cost $21,806,614) - 111.33%
|
21,261,143
|
||||||||||
Liabilities in Excess of Other Assets - (11.33)%
|
(2,164,064
|
)
|
|||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
19,097,079
|
|||||||||
Asset Type
|
% of Net Assets
|
||||||||||
Purchased Options
|
111.33
|
% |
|
||||||||
Short Term Investments
|
0.00
|
(b) |
|||||||||
Total Investments
|
111.33
|
||||||||||
Liabilities in Excess of Other Assets
|
(11.33
|
)
|
|||||||||
Net Assets
|
100.00
|
% |
|
||||||||
Percentages are stated as a percent of net assets.
|
|||||||||||
(a) Exchange-Traded.
|
|||||||||||
(b) Less than 0.005%.
|
|||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
5/29/2020
|
$
|
3,302.48
|
56
|
$
|
(18,062,912
|
)
|
$
|
(385,099
|
)
|
|||||||
SPX S&P 500® Index
|
5/29/2020
|
3,041.59
|
56
|
(18,062,912
|
)
|
(1,381,824
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
330.25
|
84
|
(2,709,420
|
)
|
(57,756
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
304.16
|
84
|
(2,709,420
|
)
|
(207,267
|
)
|
||||||||||
(2,031,946
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
5/29/2020
|
2,339.26
|
56
|
(18,062,912
|
)
|
(33,626
|
)
|
||||||||||
SPX S&P 500® Index
|
5/29/2020
|
1,651.24
|
112
|
(36,125,824
|
)
|
(11,468
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
233.93
|
84
|
(2,709,420
|
)
|
(5,045
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
165.12
|
168
|
(5,418,840
|
)
|
(1,720
|
)
|
||||||||||
(51,859
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $679,019)
|
|
$ |
(2,083,805 | ) |
|||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - July
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.50% (a)
|
||||||||||||
CALL OPTIONS - 93.73%
|
||||||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $1,764.80
|
534
|
$
|
172,242,768
|
$
|
77,596,933
|
|||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $176.48
|
20
|
645,100
|
290,625
|
|||||||||
77,887,558
|
||||||||||||
PUT OPTIONS - 11.77%
|
||||||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $3,529.61
|
267
|
86,121,384
|
8,266,480
|
|||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $2,941.34
|
267
|
86,121,384
|
1,472,732
|
|||||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $352.96
|
10
|
322,550
|
30,960
|
|||||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $294.13
|
10
|
322,550
|
5,515
|
|||||||||
9,775,687
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $85,364,541)
|
87,663,245
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
467
|
467
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,067)
|
1,067
|
|||||||||||
Total Investments (Cost $85,365,608) - 105.50%
|
87,664,312
|
|||||||||||
Liabilities in Excess of Other Assets - (5.50)%
|
(4,567,811
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
83,096,501
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.50
|
% |
||||||||||
Short Term Investments
|
0.00
|
|||||||||||
Total Investments
|
105.50
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.50
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
6/30/2020
|
$
|
3,529.61
|
267
|
$
|
(86,121,384
|
)
|
$
|
(292,156
|
)
|
|||||||
SPX S&P 500® Index
|
6/30/2020
|
3,202.53
|
267
|
(86,121,384
|
)
|
(3,787,317
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
352.96
|
10
|
(322,550
|
)
|
(1,094
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
320.25
|
10
|
(322,550
|
)
|
(14,187
|
)
|
||||||||||
(4,094,754
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
6/30/2020
|
2,500.14
|
267
|
(86,121,384
|
)
|
(379,314
|
)
|
||||||||||
SPX S&P 500® Index
|
6/30/2020
|
1,764.80
|
534
|
(172,242,768
|
)
|
(90,578
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
250.01
|
10
|
(322,550
|
)
|
(1,420
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
176.48
|
20
|
(645,100
|
)
|
(339
|
)
|
||||||||||
(471,651
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $2,843,742)
|
$ |
(4,566,405 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - August
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.26% (a)
|
||||||||||||
CALL OPTIONS - 91.58%
|
||||||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $1,788.09
|
658
|
$
|
212,239,216
|
$
|
94,178,250
|
|||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $178.81
|
332
|
10,708,660
|
4,751,819
|
|||||||||
98,930,069
|
||||||||||||
PUT OPTIONS - 13.68%
|
||||||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $3,576.18
|
329
|
106,119,608
|
11,685,605
|
|||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $2,980.15
|
329
|
106,119,608
|
2,382,279
|
|||||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $357.62
|
166
|
5,354,330
|
589,637
|
|||||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $298.02
|
166
|
5,354,330
|
120,216
|
|||||||||
14,777,737
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $117,041,236)
|
113,707,806
|
|||||||||||
SHORT TERM INVESTMENTS - 0.02%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.02%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
25,372
|
25,372
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $25,972)
|
25,972
|
|||||||||||
Total Investments (Cost $117,067,208) - 105.28%
|
113,733,778
|
|||||||||||
Liabilities in Excess of Other Assets - (5.28)%
|
(5,702,286
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
108,031,492
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.26
|
% |
||||||||||
Short Term Investments
|
0.02
|
|||||||||||
Total Investments
|
105.28
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.28
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
7/31/2020
|
$
|
3,576.18
|
329
|
$
|
(106,119,608
|
)
|
$
|
(338,093
|
)
|
|||||||
SPX S&P 500® Index
|
7/31/2020
|
3,247.77
|
329
|
(106,119,608
|
)
|
(4,116,762
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
357.62
|
166
|
(5,354,330
|
)
|
(17,055
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
324.78
|
166
|
(5,354,330
|
)
|
(207,685
|
)
|
||||||||||
(4,679,595
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
7/31/2020
|
2,533.13
|
329
|
(106,119,608
|
)
|
(670,345
|
)
|
||||||||||
SPX S&P 500® Index
|
7/31/2020
|
1,788.09
|
658
|
(212,239,216
|
)
|
(147,950
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
253.31
|
166
|
(5,354,330
|
)
|
(33,820
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
178.81
|
332
|
(10,708,660
|
)
|
(7,465
|
)
|
||||||||||
(859,580
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $3,313,749)
|
$ |
(5,539,175 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - September
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 107.28% (a)
|
||||||||||||
CALL OPTIONS - 94.97%
|
||||||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $1,755.36
|
116
|
$
|
37,416,032
|
$
|
16,931,624
|
|||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $175.54
|
58
|
1,870,790
|
846,558
|
|||||||||
17,778,182
|
||||||||||||
PUT OPTIONS - 12.31%
|
||||||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $3,510.72
|
58
|
18,708,016
|
1,777,592
|
|||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $2,925.60
|
58
|
18,708,016
|
417,621
|
|||||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $351.07
|
29
|
935,395
|
88,875
|
|||||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $292.56
|
29
|
935,395
|
20,881
|
|||||||||
2,304,969
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $20,013,130)
|
20,083,151
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
155
|
155
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $755)
|
755
|
|||||||||||
Total Investments (Cost $20,013,885) - 107.28%
|
20,083,906
|
|||||||||||
Liabilities in Excess of Other Assets - (7.28)%
|
(1,363,607
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
18,720,299
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
107.28
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
107.28
|
|||||||||||
Liabilities in Excess of Other Assets
|
(7.28
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
8/31/2020
|
$
|
3,510.72
|
58
|
$
|
(18,708,016
|
)
|
$
|
(143,116
|
)
|
|||||||
SPX S&P 500® Index
|
8/31/2020
|
3,200.31
|
58
|
(18,708,016
|
)
|
(963,399
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
351.07
|
29
|
(935,395
|
)
|
(7,157
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
320.03
|
29
|
(935,395
|
)
|
(48,172
|
)
|
||||||||||
(1,161,844
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
8/31/2020
|
2,486.76
|
58
|
(18,708,016
|
)
|
(126,983
|
)
|
||||||||||
SPX S&P 500® Index
|
8/31/2020
|
1,755.36
|
116
|
(37,416,032
|
)
|
(30,364
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
248.68
|
29
|
(935,395
|
)
|
(6,350
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
175.54
|
58
|
(1,870,790
|
)
|
(1,518
|
)
|
||||||||||
(165,215
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $834,105)
|
$ |
(1,327,059 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - October
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 106.49% (a)
|
||||||||||||
CALL OPTIONS - 91.94%
|
||||||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $1,786.04
|
1,858
|
$
|
599,301,616
|
$
|
265,126,478
|
|||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $178.60
|
82
|
2,644,910
|
1,170,127
|
|||||||||
266,296,605
|
||||||||||||
PUT OPTIONS - 14.55%
|
||||||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $3,572.08
|
929
|
299,650,808
|
33,476,267
|
|||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $2,976.73
|
929
|
299,650,808
|
8,459,785
|
|||||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $357.21
|
41
|
1,322,455
|
147,749
|
|||||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $297.67
|
41
|
1,322,455
|
37,333
|
|||||||||
42,121,134
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $290,055,312)
|
308,417,739
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
2,401
|
2,401
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,001)
|
3,001
|
|||||||||||
Total Investments (Cost $290,058,313) - 106.49%
|
308,420,740
|
|||||||||||
Liabilities in Excess of Other Assets - (6.49)%
|
(18,783,720
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
289,637,020
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
106.49
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
106.49
|
|||||||||||
Liabilities in Excess of Other Assets
|
(6.49
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
SPX S&P 500® Index
|
9/30/2020
|
$
|
3,572.08
|
929
|
$
|
(299,650,808
|
)
|
$
|
(1,805,806
|
)
|
||||||||
SPX S&P 500® Index
|
9/30/2020
|
3,250.59
|
929
|
(299,650,808
|
)
|
(13,539,292
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
357.21
|
41
|
(1,322,455
|
)
|
(7,968
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
325.06
|
41
|
(1,322,455
|
)
|
(59,751
|
)
|
|||||||||||
(15,412,817
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
SPX S&P 500® Index
|
9/30/2020
|
2,530.22
|
929
|
(299,650,808
|
)
|
(2,734,015
|
)
|
|||||||||||
SPX S&P 500® Index
|
9/30/2020
|
1,786.04
|
1,858
|
(599,301,616
|
)
|
(598,343
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
253.02
|
41
|
(1,322,455
|
)
|
(12,066
|
)
|
|||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
178.60
|
82
|
(2,644,910
|
)
|
(2,640
|
)
|
|||||||||||
(3,347,064
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $16,008,404)
|
$ |
(18,759,881 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - November
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 106.15% (a)
|
||||||||||||
CALL OPTIONS - 88.81%
|
||||||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $1,822.59
|
292
|
$
|
94,185,184
|
$
|
40,602,897
|
|||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $182.26
|
146
|
4,709,230
|
2,030,131
|
|||||||||
42,633,028
|
||||||||||||
PUT OPTIONS - 17.34%
|
||||||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $3,645.18
|
146
|
47,092,592
|
6,237,994
|
|||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $3,037.65
|
146
|
47,092,592
|
1,690,050
|
|||||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $364.52
|
73
|
2,354,615
|
311,912
|
|||||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $303.77
|
73
|
2,354,615
|
84,512
|
|||||||||
8,324,468
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $49,783,943)
|
50,957,496
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
46
|
46
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $46)
|
46
|
|||||||||||
Total Investments (Cost $49,783,989) - 106.15%
|
50,957,542
|
|||||||||||
Liabilities in Excess of Other Assets - (6.15)%
|
(2,951,311
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
48,006,231
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
106.15
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
106.15
|
|||||||||||
Liabilities in Excess of Other Assets
|
(6.15
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
10/30/2020
|
$
|
3,645.18
|
146
|
$
|
(47,092,592
|
)
|
$
|
(213,650
|
)
|
|||||||
SPX S&P 500® Index
|
10/30/2020
|
3,303.44
|
146
|
(47,092,592
|
)
|
(1,854,420
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
365.52
|
73
|
(2,354,615
|
)
|
(10,681
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
330.34
|
73
|
(2,354,615
|
)
|
(92,737
|
)
|
||||||||||
(2,171,488
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
10/30/2020
|
2,582.00
|
146
|
(47,092,592
|
)
|
(578,465
|
)
|
||||||||||
SPX S&P 500® Index
|
10/30/2020
|
1,822.59
|
292
|
(94,185,184
|
)
|
(128,666
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
258.20
|
73
|
(2,354,615
|
)
|
(28,923
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
182.26
|
146
|
(4,709,230
|
)
|
(6,434
|
)
|
||||||||||
(742,488
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $2,493,460)
|
$ |
(2,913,976 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Power Buffer ETF - December
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.09% (a)
|
||||||||||||
CALL OPTIONS - 83.11%
|
||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $1,884.92
|
388
|
$
|
125,150,176
|
$
|
51,501,377
|
|||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $188.49
|
194
|
6,257,470
|
2,575,106
|
|||||||||
54,076,483
|
||||||||||||
PUT OPTIONS - 21.98%
|
||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,769.84
|
194
|
62,575,088
|
10,578,019
|
|||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,141.53
|
194
|
62,575,088
|
3,042,722
|
|||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $376.98
|
97
|
3,128,735
|
528,865
|
|||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $314.15
|
97
|
3,128,735
|
152,127
|
|||||||||
14,301,733
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $68,100,181)
|
68,378,216
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
14
|
14
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14)
|
14
|
|||||||||||
Total Investments (Cost $68,100,195) - 105.09%
|
68,378,230
|
|||||||||||
Liabilities in Excess of Other Assets - (5.09)%
|
(3,310,494
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
65,067,736
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.09
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
105.09
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.09
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
11/30/2020
|
$
|
3,769.84
|
194
|
$
|
(62,575,088
|
)
|
$
|
(155,587
|
)
|
|||||||
SPX S&P 500® Index
|
11/30/2020
|
3,412.80
|
194
|
(62,575,088
|
)
|
(1,632,264
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
376.98
|
97
|
(3,128,735
|
)
|
(7,781
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
341.28
|
97
|
(3,128,735
|
)
|
(81,613
|
)
|
||||||||||
(1,877,245
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
11/30/2020
|
2,670.30
|
194
|
(62,575,088
|
)
|
(1,101,195
|
)
|
||||||||||
SPX S&P 500® Index
|
11/30/2020
|
1,884.92
|
388
|
(125,150,176
|
)
|
(254,752
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
267.03
|
97
|
(3,128,735
|
)
|
(55,060
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
188.49
|
194
|
(6,257,470
|
)
|
(12,737
|
)
|
||||||||||
(1,423,744
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $3,232,591)
|
$ |
(3,300,989 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innnovator S&P 500® Ultra Buffer ETF - January
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 103.17% (a)
|
||||||||||||
CALL OPTIONS - 78.83%
|
||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $1,938.17
|
384
|
$
|
123,859,968
|
$
|
48,967,276
|
|||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $193.83
|
84
|
2,709,420
|
1,071,055
|
|||||||||
50,038,331
|
||||||||||||
PUT OPTIONS - 24.34%
|
||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,876.33
|
192
|
61,929,984
|
12,381,693
|
|||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,068.75
|
192
|
61,929,984
|
2,740,511
|
|||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $387.65
|
42
|
1,354,710
|
270,918
|
|||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $306.87
|
42
|
1,354,710
|
59,943
|
|||||||||
15,453,065
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $65,714,338)
|
65,491,396
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
545
|
545
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $545)
|
545
|
|||||||||||
Total Investments (Cost $65,714,883) - 103.17%
|
65,491,941
|
|||||||||||
Liabilities in Excess of Other Assets - (3.17)%
|
(2,012,313
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
63,479,628
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
103.17
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
103.17
|
|||||||||||
Liabilities in Excess of Other Assets
|
(3.17
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
$
|
3,876.33
|
192
|
$
|
(61,929,984
|
)
|
$
|
(97,400
|
)
|
|||||||
SPX S&P 500® Index
|
12/31/2020
|
3,478.99
|
192
|
(61,929,984
|
)
|
(1,265,377
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
387.65
|
42
|
(1,354,710
|
)
|
(2,128
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
347.90
|
42
|
(1,354,710
|
)
|
(27,679
|
)
|
||||||||||
(1,392,584
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
12/31/2020
|
2,099.67
|
192
|
(61,929,984
|
)
|
(262,785
|
)
|
||||||||||
SPX S&P 500® Index
|
12/31/2020
|
1,938.17
|
384
|
(123,859,968
|
)
|
(332,554
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
209.97
|
42
|
(1,354,710
|
)
|
(5,749
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
12/31/2020
|
193.83
|
84
|
(2,709,420
|
)
|
(7,277
|
)
|
||||||||||
(608,365
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $2,200,869)
|
$ |
(2,000,949 | ) |
||||||||||||||
(a) Exchange-Traded.
|
|
Innnovator S&P 500® Ultra Buffer ETF - February
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 103.42% (a)
|
||||||||||||
CALL OPTIONS - 78.87%
|
||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $1,935.10
|
8
|
$
|
2,580,416
|
$
|
1,017,968
|
|||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $193.52
|
72
|
2,322,360
|
915,480
|
|||||||||
1,933,448
|
||||||||||||
PUT OPTIONS - 24.55%
|
||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,870.20
|
4
|
1,290,208
|
257,104
|
|||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,063.89
|
4
|
1,290,208
|
59,876
|
|||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $387.04
|
36
|
1,161,180
|
231,120
|
|||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $306.39
|
36
|
1,161,180
|
53,604
|
|||||||||
601,704
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $2,535,448)
|
2,535,152
|
|||||||||||
Total Investments (Cost $2,535,448) - 103.42%
|
2,535,152
|
|||||||||||
Liabilities in Excess of Other Assets - (3.42)%
|
(83,818
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
2,451,334
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
103.42
|
% |
||||||||||
Total Investments
|
103.42
|
|||||||||||
Liabilities in Excess of Other Assets
|
(3.42
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
1/29/2021
|
$
|
3,870.20
|
4
|
$
|
(1,290,208
|
)
|
$
|
(2,392
|
)
|
|||||||
SPX S&P 500® Index
|
1/29/2021
|
3,469.94
|
4
|
(1,290,208
|
)
|
(29,148
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
387.04
|
36
|
(1,161,180
|
)
|
(2,448
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
346.99
|
36
|
(1,161,180
|
)
|
(26,532
|
)
|
||||||||||
(60,520
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
1/29/2021
|
2,096.35
|
4
|
(1,290,208
|
)
|
(5,464
|
)
|
||||||||||
SPX S&P 500® Index
|
1/29/2021
|
1,935.10
|
8
|
(2,580,416
|
)
|
(6,432
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
209.63
|
36
|
(1,161,180
|
)
|
(5,220
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
1/29/2021
|
193.52
|
72
|
(2,322,360
|
)
|
(6,408
|
)
|
||||||||||
(23,524
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $83,674)
|
$ |
(84,044 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF -April
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.79% (a)
|
||||||||||||
CALL OPTIONS - 99.61%
|
||||||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $1,700.64
|
110
|
$
|
35,480,720
|
$
|
16,757,580
|
|||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $170.07
|
106
|
3,419,030
|
1,614,758
|
|||||||||
18,372,338
|
||||||||||||
PUT OPTIONS - 6.18%
|
||||||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $3,401.29
|
55
|
17,740,360
|
999,503
|
|||||||||
SPX S&P 500® Index, Expires 3/31/2020, Strike Price $2,692.67
|
55
|
17,740,360
|
40,041
|
|||||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $340.15
|
53
|
1,709,515
|
96,402
|
|||||||||
XSP S&P 500® Mini Index, Expires 3/31/2020, Strike Price $269.27
|
53
|
1,709,515
|
3,859
|
|||||||||
1,139,805
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $19,868,612)
|
19,512,143
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
44
|
44
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $344)
|
344
|
|||||||||||
Total Investments (Cost $19,868,956) - 105.79%
|
19,512,487
|
|||||||||||
Liabilities in Excess of Other Assets - (5.79)%
|
(1,068,736
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
18,443,751
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.79
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
105.79
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.79
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
3/31/2020
|
$
|
3,401.29
|
55
|
$
|
(17,740,360
|
)
|
$
|
(49,648
|
)
|
|||||||
SPX S&P 500® Index
|
3/31/2020
|
3,133.90
|
55
|
(17,740,360
|
)
|
(813,790
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
340.15
|
53
|
(1,709,515
|
)
|
(4,766
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
313.39
|
53
|
(1,709,515
|
)
|
(78,420
|
)
|
||||||||||
(946,624
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
3/31/2020
|
1,842.35
|
55
|
(17,740,360
|
)
|
(3,821
|
)
|
||||||||||
SPX S&P 500® Index
|
3/31/2020
|
1,700.64
|
110
|
(35,480,720
|
)
|
(5,242
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
184.24
|
53
|
(1,709,515
|
)
|
(368
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
3/31/2020
|
170.07
|
106
|
(3,419,030
|
)
|
(505
|
)
|
||||||||||
(9,936
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $332,056)
|
$ |
(956,560 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - June
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 110.81% (a)
|
||||||||||||
CALL OPTIONS - 105.53%
|
||||||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $1,651.25
|
12
|
$
|
3,870,624
|
$
|
1,881,381
|
|||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $165.13
|
12
|
387,060
|
188,132
|
|||||||||
2,069,513
|
||||||||||||
PUT OPTIONS - 5.28%
|
||||||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $3,302.50
|
6
|
1,935,312
|
85,280
|
|||||||||
SPX S&P 500® Index, Expires 5/29/2020, Strike Price $2,614.47
|
6
|
1,935,312
|
8,768
|
|||||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $330.27
|
6
|
193,530
|
8,534
|
|||||||||
XSP S&P 500® Mini Index, Expires 5/29/2020, Strike Price $261.45
|
6
|
193,530
|
877
|
|||||||||
103,459
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $1,870,154)
|
2,172,972
|
|||||||||||
SHORT TERM INVESTMENTS - 0.08%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.08%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
1,048
|
1,048
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,648)
|
1,648
|
|||||||||||
Total Investments (Cost $1,871,802) - 110.89%
|
2,174,620
|
|||||||||||
Liabilities in Excess of Other Assets - (10.89) %
|
(213,577
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
1,961,043
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
110.81
|
%
|
||||||||||
Short Term Investments
|
0.08
|
|||||||||||
Total Investments
|
110.89
|
|||||||||||
Liabilities in Excess of Other Assets
|
(10.89
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
5/29/2020
|
$
|
3,302.50
|
6
|
$
|
(1,935,312
|
)
|
$
|
(41,255
|
)
|
|||||||
SPX S&P 500® Index
|
5/29/2020
|
3,034.43
|
6
|
(1,935,312
|
)
|
(151,506
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
330.27
|
6
|
(193,530
|
)
|
(4,119
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
303.44
|
6
|
(193,530
|
)
|
(15,152
|
)
|
||||||||||
(212,032
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
5/29/2020
|
1,788.85
|
6
|
(1,935,312
|
)
|
(861
|
)
|
||||||||||
SPX S&P 500® Index
|
5/29/2020
|
1,651.25
|
12
|
(3,870,624
|
)
|
(1,229
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
178.88
|
6
|
(193,530
|
)
|
(86
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
5/29/2020
|
165.13
|
12
|
(387,060
|
)
|
(123
|
)
|
||||||||||
(2,299
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $106,849)
|
$ |
(214,334 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - July
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.47% (a)
|
||||||||||||
CALL OPTIONS - 94.27%
|
||||||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $1,764.81
|
210
|
$
|
67,735,920
|
$
|
30,515,441
|
|||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $176.49
|
30
|
967,650
|
435,908
|
|||||||||
30,951,349
|
||||||||||||
PUT OPTIONS - 11.20%
|
||||||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $3,529.63
|
105
|
33,867,960
|
3,251,048
|
|||||||||
SPX S&P 500® Index, Expires 6/30/2020, Strike Price $2,794.27
|
105
|
33,867,960
|
374,440
|
|||||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $352.98
|
15
|
483,825
|
46,466
|
|||||||||
XSP S&P 500® Mini Index, Expires 6/30/2020, Strike Price $279.43
|
15
|
483,825
|
5,350
|
|||||||||
3,677,304
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $31,534,169)
|
34,628,653
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
185
|
185
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $785)
|
785
|
|||||||||||
Total Investments (Cost $31,534,954) - 105.47%
|
34,629,438
|
|||||||||||
Liabilities in Excess of Other Assets - (5.47)%
|
(1,796,418
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
32,833,020
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.47
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
105.47
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.47
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
6/30/2020
|
$
|
3,529.63
|
105
|
$
|
(33,867,960
|
)
|
$
|
(114,870
|
)
|
|||||||
SPX S&P 500® Index
|
6/30/2020
|
3,189.88
|
105
|
(33,867,960
|
)
|
(1,582,795
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
352.98
|
15
|
(483,825
|
)
|
(1,638
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
318.99
|
15
|
(483,825
|
)
|
(22,609
|
)
|
||||||||||
(1,721,912
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
6/30/2020
|
1,911.87
|
105
|
(33,867,960
|
)
|
(26,054
|
)
|
||||||||||
SPX S&P 500® Index
|
6/30/2020
|
1,764.81
|
210
|
(67,735,920
|
)
|
(35,622
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
191.19
|
15
|
(483,825
|
)
|
(372
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
6/30/2020
|
176.49
|
30
|
(967,650
|
)
|
(509
|
)
|
||||||||||
(62,557
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $1,028,839)
|
$ |
(1,784,469 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - August
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 104.49% (a)
|
||||||||||||
CALL OPTIONS - 91.57%
|
||||||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $1,788.10
|
92
|
$
|
29,674,784
|
$
|
13,167,691
|
|||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $178.82
|
34
|
1,096,670
|
486,599
|
|||||||||
13,654,290
|
||||||||||||
PUT OPTIONS - 12.92%
|
||||||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $3,576.20
|
46
|
14,837,392
|
1,633,935
|
|||||||||
SPX S&P 500® Index, Expires 7/31/2020, Strike Price $2,831.14
|
46
|
14,837,392
|
223,343
|
|||||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $357.64
|
17
|
548,335
|
60,414
|
|||||||||
XSP S&P 500® Mini Index, Expires 7/31/2020, Strike Price $283.11
|
17
|
548,335
|
8,253
|
|||||||||
1,925,945
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $15,677,276)
|
15,580,235
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
89
|
89
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $689)
|
689
|
|||||||||||
Total Investments (Cost $15,677,965) - 104.49%
|
15,580,924
|
|||||||||||
Liabilities in Excess of Other Assets - (4.49)%
|
(669,701
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
14,911,223
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
104.49
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
104.49
|
|||||||||||
Liabilities in Excess of Other Assets
|
(4.49
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
7/31/2020
|
$
|
3,576.20
|
46
|
$
|
(14,837,392
|
)
|
$
|
(47,262
|
)
|
|||||||
SPX S&P 500® Index
|
7/31/2020
|
3,246.28
|
46
|
(14,837,392
|
)
|
(579,799
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
357.64
|
17
|
(548,335
|
)
|
(1,743
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
324.63
|
17
|
(548,335
|
)
|
(21,425
|
)
|
||||||||||
(650,229
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
7/31/2020
|
1,937.10
|
46
|
(14,837,392
|
)
|
(15,692
|
)
|
||||||||||
SPX S&P 500® Index
|
7/31/2020
|
1,788.10
|
92
|
(29,674,784
|
)
|
(20,687
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
193.71
|
17
|
(548,335
|
)
|
(580
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
7/31/2020
|
178.82
|
34
|
(1,096,670
|
)
|
(765
|
)
|
||||||||||
(37,724
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $293,439)
|
$
|
(687,953
|
)
|
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - September
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 107.45% (a)
|
||||||||||||
CALL OPTIONS - 95.77%
|
||||||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $1,755.37
|
24
|
$
|
7,741,248
|
$
|
3,503,071
|
|||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $175.55
|
10
|
322,550
|
145,949
|
|||||||||
3,649,020
|
||||||||||||
PUT OPTIONS - 11.68%
|
||||||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $3,510.74
|
12
|
3,870,624
|
367,797
|
|||||||||
SPX S&P 500® Index, Expires 8/31/2020, Strike Price $2,779.32
|
12
|
3,870,624
|
59,415
|
|||||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $351.09
|
5
|
161,275
|
15,331
|
|||||||||
XSP S&P 500® Mini Index, Expires 8/31/2020, Strike Price $277.93
|
5
|
161,275
|
2,476
|
|||||||||
445,019
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $4,053,501)
|
4,094,039
|
|||||||||||
SHORT TERM INVESTMENTS - 0.02%
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.02%
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (b)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (b)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (b)
|
116
|
116
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (b)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (b)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (b)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $716)
|
716
|
|||||||||||
Total Investments (Cost $4,054,217) - 107.47%
|
4,094,755
|
|||||||||||
Liabilities in Excess of Other Assets - (7.47)%
|
(284,503
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
3,810,252
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
107.45
|
%
|
||||||||||
Short Term Investments
|
0.02
|
|||||||||||
Total Investments
|
107.47
|
|||||||||||
Liabilities in Excess of Other Assets
|
(7.47
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
8/31/2020
|
$
|
3,510.74
|
12
|
$
|
(3,870,624
|
)
|
$
|
(29,606
|
)
|
|||||||
SPX S&P 500® Index
|
8/31/2020
|
3,161.40
|
12
|
(3,870,624
|
)
|
(230,555
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
351.09
|
5
|
(161,275
|
)
|
(1,232
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
316.14
|
5
|
(161,275
|
)
|
(9,607
|
)
|
||||||||||
(271,000
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
8/31/2020
|
1,901.64
|
12
|
(3,870,624
|
)
|
(4,659
|
)
|
||||||||||
SPX S&P 500® Index
|
8/31/2020
|
1,755.37
|
24
|
(7,741,248
|
)
|
(6,282
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
190.16
|
5
|
(161,275
|
)
|
(194
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
8/31/2020
|
175.55
|
10
|
(322,550
|
)
|
(262
|
)
|
||||||||||
(11,397
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $133,849)
|
$ |
(282,397 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - October
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 106.58% (a)
|
||||||||||||
CALL OPTIONS - 92.62%
|
||||||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $1,786.05
|
780
|
$
|
251,590,560
|
$
|
110,933,940
|
|||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $178.61
|
10
|
322,550
|
142,689
|
|||||||||
111,076,629
|
||||||||||||
PUT OPTIONS - 13.96%
|
||||||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $3,572.10
|
390
|
125,795,280
|
14,212,770
|
|||||||||
SPX S&P 500® Index, Expires 9/30/2020, Strike Price $2,827.89
|
390
|
125,795,280
|
2,514,720
|
|||||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $357.23
|
5
|
161,275
|
18,026
|
|||||||||
XSP S&P 500® Mini Index, Expires 9/30/2020, Strike Price $282.79
|
5
|
161,275
|
3,193
|
|||||||||
16,748,709
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $123,604,919)
|
127,825,338
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
323
|
323
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $923)
|
923
|
|||||||||||
Total Investments (Cost $123,605,842) - 106.58%
|
127,826,261
|
|||||||||||
Liabilities in Excess of Other Assets - (6.58)%
|
(7,895,812
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
119,930,449
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
106.58
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
106.58
|
|||||||||||
Liabilities in Excess of Other Assets
|
(6.58
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
9/30/2020
|
$
|
3,572.10
|
390
|
$
|
(125,795,280
|
)
|
$
|
(737,490
|
)
|
|||||||
SPX S&P 500® Index
|
9/30/2020
|
3,205.94
|
390
|
(125,795,280
|
)
|
(6,662,370
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
357.23
|
5
|
(161,275
|
)
|
(970
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
320.59
|
5
|
(161,275
|
)
|
(8,686
|
)
|
||||||||||
(7,409,516
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
9/30/2020
|
1,934.87
|
390
|
(125,795,280
|
)
|
(212,160
|
)
|
||||||||||
SPX S&P 500® Index
|
9/30/2020
|
1,786.05
|
780
|
(251,590,560
|
)
|
(273,000
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
193.49
|
5
|
(161,275
|
)
|
(259
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
9/30/2020
|
178.61
|
10
|
(322,550
|
)
|
(322
|
)
|
||||||||||
(485,741
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $4,437,941)
|
$ |
(7,895,257 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - November
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.66% (a)
|
||||||||||||
CALL OPTIONS - 89.28%
|
||||||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $1,822.60
|
48
|
$
|
15,482,496
|
$
|
6,674,402
|
|||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $182.27
|
24
|
774,120
|
333,697
|
|||||||||
7,008,099
|
||||||||||||
PUT OPTIONS - 16.38%
|
||||||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $3,645.20
|
24
|
7,741,248
|
1,025,465
|
|||||||||
SPX S&P 500® Index, Expires 10/30/2020, Strike Price $2,885.77
|
24
|
7,741,248
|
198,788
|
|||||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $364.54
|
12
|
387,060
|
51,294
|
|||||||||
XSP S&P 500® Mini Index, Expires 10/30/2020, Strike Price $288.58
|
12
|
387,060
|
9,940
|
|||||||||
1,285,487
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $8,087,981)
|
8,293,586
|
|||||||||||
Total Investments (Cost $8,087,981) - 105.66%
|
8,293,586
|
|||||||||||
Liabilities in Excess of Other Assets - (5.66)%
|
(444,539
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
7,849,047
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.66
|
%
|
||||||||||
Total Investments
|
105.66
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.66
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
10/30/2020
|
$
|
3,645.20
|
24
|
$
|
(7,741,248
|
)
|
$
|
(35,115
|
)
|
|||||||
SPX S&P 500® Index
|
10/30/2020
|
3,275.50
|
24
|
(7,741,248
|
)
|
(342,925
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
364.54
|
12
|
(387,060
|
)
|
(1,753
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
327.55
|
12
|
(387,060
|
)
|
(17,146
|
)
|
||||||||||
(396,939
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
10/30/2020
|
1,974.47
|
24
|
(7,741,248
|
)
|
(16,931
|
)
|
||||||||||
SPX S&P 500® Index
|
10/30/2020
|
1,822.60
|
48
|
(15,482,496
|
)
|
(21,151
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
197.45
|
12
|
(387,060
|
)
|
(847
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
10/30/2020
|
182.27
|
24
|
(774,120
|
)
|
(1,058
|
)
|
||||||||||
(39,987
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $298,657)
|
$ |
(436,926 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator S&P 500® Ultra Buffer ETF - December
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 104.26% (a)
|
||||||||||||
CALL OPTIONS - 83.51%
|
||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $1,884.93
|
76
|
$
|
24,513,952
|
$
|
10,087,825
|
|||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $188.50
|
38
|
1,225,690
|
504,366
|
|||||||||
10,592,191
|
||||||||||||
PUT OPTIONS - 20.75%
|
||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,769.86
|
38
|
12,256,976
|
2,072,053
|
|||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $2,984.45
|
38
|
12,256,976
|
433,802
|
|||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $377.00
|
19
|
612,845
|
103,627
|
|||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $298.45
|
19
|
612,845
|
21,692
|
|||||||||
2,631,174
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $13,086,953)
|
13,223,365
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
13
|
13
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $13)
|
13
|
|||||||||||
Total Investments (Cost $13,086,966) - 104.26%
|
13,223,378
|
|||||||||||
Liabilities in Excess of Other Assets - (4.26)%
|
(540,167
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
12,683,211
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
104.26
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
104.26
|
|||||||||||
Liabilities in Excess of Other Assets
|
(4.26
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
SPX S&P 500® Index
|
11/30/2020
|
$
|
3,769.86
|
38
|
$
|
(12,256,976
|
)
|
$
|
(30,472
|
)
|
|||||||
SPX S&P 500® Index
|
11/30/2020
|
3,372.72
|
38
|
(12,256,976
|
)
|
(389,936
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
377.00
|
19
|
(612,845
|
)
|
(1,522
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
337.27
|
19
|
(612,845
|
)
|
(19,499
|
)
|
||||||||||
(441,429
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
SPX S&P 500® Index
|
11/30/2020
|
2,041.99
|
38
|
(12,256,976
|
)
|
(39,569
|
)
|
||||||||||
SPX S&P 500® Index
|
11/30/2020
|
1,884.93
|
76
|
(24,513,952
|
)
|
(49,901
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
204.20
|
19
|
(612,845
|
)
|
(1,978
|
)
|
||||||||||
XSP S&P 500® Mini Index
|
11/30/2020
|
188.50
|
38
|
(1,225,690
|
)
|
(2,496
|
)
|
||||||||||
(93,944
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $463,914)
|
$ |
(535,373 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator MSCI EAFE Power Buffer ETF - January
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 102.49% (a)
|
||||||||||||
CALL OPTIONS - 71.77%
|
||||||||||||
MXEA MSCI EAFE Index, Expires 12/31/2020, Strike Price $1,221.60
|
174
|
$
|
34,690,728
|
$
|
12,576,894
|
|||||||
12,576,894
|
||||||||||||
PUT OPTIONS - 30.72%
|
||||||||||||
MXEA MSCI EAFE Index, Expires 12/31/2020, Strike Price $2,443.20
|
87
|
17,345,364
|
4,179,741
|
|||||||||
MXEA MSCI EAFE Index, Expires 12/31/2020, Strike Price $2,036.00
|
87
|
17,345,364
|
1,203,993
|
|||||||||
5,383,734
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $18,197,359)
|
17,960,628
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
3
|
3
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3)
|
3
|
|||||||||||
Total Investments (Cost $18,197,362) - 102.49%
|
17,960,631
|
|||||||||||
Liabilities in Excess of Other Assets - (2.49)%
|
(436,671
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
17,523,960
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
102.49
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
102.49
|
|||||||||||
Liabilities in Excess of Other Assets
|
(2.49
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
MXEA MSCI EAFE Index
|
12/31/2020
|
$
|
2,443.20
|
87
|
$
|
(17,345,364
|
)
|
$
|
(4,089
|
)
|
|||||||
MXEA MSCI EAFE Index
|
12/31/2020
|
2,241.23
|
87
|
(17,345,364
|
)
|
(70,905
|
)
|
||||||||||
(74,994
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
MXEA MSCI EAFE Index
|
12/31/2020
|
1,730.60
|
87
|
(17,345,364
|
)
|
(326,598
|
)
|
||||||||||
MXEA MSCI EAFE Index
|
12/31/2020
|
1,221.60
|
174
|
(34,690,728
|
)
|
(37,236
|
)
|
||||||||||
(363,834
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $465,442)
|
$
|
(438,828
|
)
|
||||||||||||||
(a) Exchange-Traded.
|
Innovator MSCI EAFE Power Buffer ETF - July
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 101.29% (a)
|
||||||||||||
CALL OPTIONS - 81.05%
|
||||||||||||
MXEA MSCI EAFE Index, Expires 6/30/2020, Strike Price $1,151.43
|
708
|
$
|
141,155,376
|
$
|
56,378,634
|
|||||||
56,378,634
|
||||||||||||
PUT OPTIONS - 20.24%
|
||||||||||||
MXEA MSCI EAFE Index, Expires 6/30/2020, Strike Price $2,302.86
|
354
|
70,577,688
|
12,307,332
|
|||||||||
MXEA MSCI EAFE Index, Expires 6/30/2020, Strike Price $1,919.05
|
354
|
70,577,688
|
1,770,950
|
|||||||||
14,078,282
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $74,708,907)
|
70,456,916
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
1,236
|
1,236
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,836)
|
1,836
|
|||||||||||
Total Investments (Cost $74,710,473) - 101.29%
|
70,458,752
|
|||||||||||
Liabilities in Excess of Other Assets - (1.29)%
|
(895,429
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
69,563,323
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
101.29
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
101.29
|
|||||||||||
Liabilities in Excess of Other Assets
|
(1.29
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
|||||||||||||
Call Options
|
||||||||||||||||||
MXEA MSCI EAFE Index
|
6/30/2020
|
$
|
2,302.86
|
354
|
$
|
(70,577,688
|
)
|
$
|
(7,934
|
)
|
||||||||
MXEA MSCI EAFE Index
|
6/30/2020
|
2,114.99
|
354
|
(70,577,688
|
)
|
(231,067
|
)
|
|||||||||||
(239,001
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
MXEA MSCI EAFE Index
|
6/30/2020
|
1,631.19
|
354
|
(70,577,688
|
)
|
(271,084
|
)
|
|||||||||||
MXEA MSCI EAFE Index
|
6/30/2020
|
1,151.43
|
708
|
(141,155,376
|
)
|
(35,571
|
)
|
|||||||||||
(306,655
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $945,838)
|
$
|
(545,656
|
)
|
|||||||||||||||
(a) Exchange-Traded.
|
Innovator MSCI Emerging Markets Power Buffer ETF - January
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.99% (a)
|
||||||||||||
CALL OPTIONS - 68.73%
|
||||||||||||
MXEF MSCI Emerging Markets Index, Expires 12/31/2020, Strike Price $669.84
|
312
|
$
|
33,145,008
|
$
|
11,637,493
|
|||||||
11,637,493
|
||||||||||||
PUT OPTIONS - 37.26%
|
||||||||||||
MXEF MSCI Emerging Markets Index, Expires 12/31/2020, Strike Price $1,339.68
|
156
|
16,572,504
|
4,581,413
|
|||||||||
MXEF MSCI Emerging Markets Index, Expires 12/31/2020, Strike Price $1,116.40
|
156
|
16,572,504
|
1,728,683
|
|||||||||
6,310,096
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $18,702,061)
|
17,947,589
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
4
|
4
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4)
|
4
|
|||||||||||
Total Investments (Cost $18,702,065) - 105.99%
|
17,947,593
|
|||||||||||
Liabilities in Excess of Other Assets - (5.99)%
|
(1,013,689
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
16,933,904
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.99
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
105.99
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.99
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
||||||||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||||||||
|
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
|
Value | ||||||||||||
Call Options
|
||||||||||||||||||
MXEF MSCI Emerging Markets Index
|
12/31/2020
|
$
|
1,339.68
|
156
|
$
|
(16,572,504
|
)
|
$
|
(32,084
|
)
|
||||||||
MXEF MSCI Emerging Markets Index
|
12/31/2020
|
1,259.08
|
156
|
(16,572,504
|
)
|
(140,949
|
)
|
|||||||||||
(173,033
|
)
|
|||||||||||||||||
Put Options
|
||||||||||||||||||
MXEF MSCI Emerging Markets Index
|
12/31/2020
|
948.94
|
156
|
(16,572,504
|
)
|
(637,556
|
)
|
|||||||||||
MXEF MSCI Emerging Markets Index
|
12/31/2020
|
669.84
|
312
|
(33,145,008
|
)
|
(200,147
|
)
|
|||||||||||
(837,703
|
)
|
|||||||||||||||||
Total Options Written (Premiums Received $1,087,607)
|
$ |
(1,010,736 | ) |
|||||||||||||||
(a) Exchange-Traded.
|
Innovator MSCI Emerging Markets Power Buffer ETF - July
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 103.03% (a)
|
||||||||||||
CALL OPTIONS - 78.04%
|
||||||||||||
MXEF MSCI Emerging Markets Index, Expires 6/30/2020, Strike Price $631.74
|
1,098
|
$
|
116,644,932
|
$
|
45,514,927
|
|||||||
45,514,927
|
||||||||||||
PUT OPTIONS - 24.99%
|
||||||||||||
MXEF MSCI Emerging Markets Index, Expires 6/30/2020, Strike Price $1,263.48
|
549
|
58,322,466
|
11,784,670
|
|||||||||
MXEF MSCI Emerging Markets Index, Expires 6/30/2020, Strike Price $1,052.90
|
549
|
58,322,466
|
2,787,827
|
|||||||||
14,572,497
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $64,066,795)
|
60,087,424
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
51
|
51
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $651)
|
651
|
|||||||||||
Total Investments (Cost $64,067,446) - 103.03%
|
60,088,075
|
|||||||||||
Liabilities in Excess of Other Assets - (3.03)%
|
(1,767,150
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
58,320,925
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
103.03
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
103.03
|
|||||||||||
Liabilities in Excess of Other Assets
|
(3.03
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
MXEF MSCI Emerging Markets Index
|
6/30/2020
|
$
|
1,263.48
|
549
|
$
|
(58,322,466
|
)
|
$
|
(61,411
|
)
|
|||||||
MXEF MSCI Emerging Markets Index
|
6/30/2020
|
1,151.45
|
549
|
(58,322,466
|
)
|
(610,304
|
)
|
||||||||||
(671,715
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
MXEF MSCI Emerging Markets Index
|
6/30/2020
|
894.97
|
549
|
(58,322,466
|
)
|
(647,296
|
)
|
||||||||||
MXEF MSCI Emerging Markets Index
|
6/30/2020
|
631.74
|
1098
|
(116,644,932
|
)
|
(108,764
|
)
|
||||||||||
(756,060
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $2,192,949)
|
$ |
(1,427,775 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator Russell 2000 Power Buffer ETF - January
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.47% (a)
|
||||||||||||
CALL OPTIONS - 74.56%
|
||||||||||||
RUT Russell 2000 Index, Expires 12/31/2020, Strike Price $1,001.00
|
264
|
$
|
42,611,184
|
$
|
16,225,503
|
|||||||
16,225,503
|
||||||||||||
PUT OPTIONS - 30.91%
|
||||||||||||
RUT Russell 2000 Index, Expires 12/31/2020, Strike Price $2,002.01
|
132
|
21,305,592
|
5,005,922
|
|||||||||
RUT Russell 2000 Index, Expires 12/31/2020, Strike Price $1,668.34
|
132
|
21,305,592
|
1,720,495
|
|||||||||
6,726,417
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $23,269,009)
|
22,951,920
|
|||||||||||
Total Investments (Cost $23,269,009) - 105.47%
|
22,951,920
|
|||||||||||
Liabilities in Excess of Other Assets - (5.47)%
|
(1,190,333
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
21,761,587
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.47
|
%
|
||||||||||
Total Investments
|
105.47
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.47
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
RUT Russell 2000 Index
|
12/31/2020
|
$
|
2,002.01
|
132
|
$
|
(21,305,592
|
)
|
$
|
(48,981
|
)
|
|||||||
RUT Russell 2000 Index
|
12/31/2020
|
1,818.16
|
132
|
(21,305,592
|
)
|
(346,701
|
)
|
||||||||||
(395,682
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
RUT Russell 2000 Index
|
12/31/2020
|
1,418.09
|
132
|
(21,305,592
|
)
|
(639,266
|
)
|
||||||||||
RUT Russell 2000 Index
|
12/31/2020
|
1,001.00
|
264
|
(42,611,184
|
)
|
(158,473
|
)
|
||||||||||
(797,739
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $1,259,728)
|
$ |
(1,193,421 | ) |
||||||||||||||
(a) Exchange-Traded.
|
Innovator Russell 2000 Power Buffer ETF - October
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 105.79% (a)
|
||||||||||||
CALL OPTIONS - 88.37%
|
||||||||||||
RUT Russell 2000 Index, Expires 9/30/2020, Strike Price $914.02
|
396
|
$
|
63,916,776
|
$
|
27,673,396
|
|||||||
27,673,396
|
||||||||||||
PUT OPTIONS - 17.42%
|
||||||||||||
RUT Russell 2000 Index, Expires 9/30/2020, Strike Price $1,828.03
|
198
|
31,958,388
|
4,314,705
|
|||||||||
RUT Russell 2000 Index, Expires 9/30/2020, Strike Price $1,523.36
|
198
|
31,958,388
|
1,142,405
|
|||||||||
5,457,110
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $34,879,524)
|
33,130,506
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
104
|
104
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $704)
|
704
|
|||||||||||
Total Investments (Cost $34,880,228) - 105.79%
|
33,131,210
|
|||||||||||
Liabilities in Excess of Other Assets - (5.79)%
|
(1,814,307
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
31,316,903
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
105.79
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
105.79
|
|||||||||||
Liabilities in Excess of Other Assets
|
(5.79
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
RUT Russell 2000 Index
|
9/30/2020
|
$
|
1,828.03
|
198
|
$
|
(31,958,388
|
)
|
$
|
(245,803
|
)
|
|||||||
RUT Russell 2000 Index
|
9/30/2020
|
1,687.58
|
198
|
(31,958,388
|
)
|
(1,091,006
|
)
|
||||||||||
(1,336,809
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
RUT Russell 2000 Index
|
9/30/2020
|
1,294.86
|
198
|
(31,958,388
|
)
|
(361,321
|
)
|
||||||||||
RUT Russell 2000 Index
|
9/30/2020
|
914.02
|
396
|
(63,916,776
|
)
|
(93,800
|
)
|
||||||||||
(455,121
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $1,806,614)
|
$
|
(1,791,930
|
)
|
||||||||||||||
(a) Exchange-Traded.
|
Innovator Nasdaq-100 Power Buffer ETF - January
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 108.24% (a)
|
||||||||||||
CALL OPTIONS - 85.68%
|
||||||||||||
NDX Nasdaq-100 Index, Expires 12/31/2020, Strike Price $5,239.84
|
30
|
$
|
26,974,530
|
$
|
11,362,800
|
|||||||
11,362,800
|
||||||||||||
PUT OPTIONS - 22.56%
|
||||||||||||
NDX Nasdaq-100 Index, Expires 12/31/2020, Strike Price $10,479.68
|
15
|
13,487,265
|
2,230,308
|
|||||||||
NDX Nasdaq-100 Index, Expires 12/31/2020, Strike Price $8,733.07
|
15
|
13,487,265
|
761,263
|
|||||||||
2,991,571
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $14,207,858)
|
14,354,371
|
|||||||||||
Total Investments (Cost $14,207,858) - 108.24%
|
14,354,371
|
|||||||||||
Liabilities in Excess of Other Assets - (8.24)%
|
(1,092,526
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
13,261,845
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
108.24
|
%
|
||||||||||
Total Investments
|
108.24
|
|||||||||||
Liabilities in Excess of Other Assets
|
(8.24
|
)
|
||||||||||
Net Assets
|
100.00
|
%
|
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
NDX Nasdaq-100 Index
|
12/31/2020
|
$
|
10,479.68
|
15
|
$
|
(13,487,265
|
)
|
$
|
(143,545
|
)
|
|||||||
NDX Nasdaq-100 Index
|
12/31/2020
|
9,555.73
|
15
|
(13,487,265
|
)
|
(570,582
|
)
|
||||||||||
(714,127
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
NDX Nasdaq-100 Index
|
12/31/2020
|
7,423.11
|
15
|
(13,487,265
|
)
|
(297,836
|
)
|
||||||||||
NDX Nasdaq-100 Index
|
12/31/2020
|
5,239.84
|
30
|
(26,974,530
|
)
|
(81,198
|
)
|
||||||||||
(379,034
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $996,072)
|
$
|
(1,093,161
|
)
|
||||||||||||||
(a) Exchange-Traded.
|
Innovator Nasdaq-100 Power Buffer ETF - October
|
||||||||||||
Schedule of Investments
|
||||||||||||
January 31, 2020 (Unaudited)
|
||||||||||||
Contracts
|
Notional Amount
|
Value
|
||||||||||
PURCHASED OPTIONS - 117.05% (a)
|
||||||||||||
CALL OPTIONS - 106.98%
|
||||||||||||
NDX Nasdaq-100 Index, Expires 9/30/2020, Strike Price $4,649.67
|
66
|
$
|
59,343,966
|
$
|
28,762,479
|
|||||||
28,762,479
|
||||||||||||
PUT OPTIONS - 10.07%
|
||||||||||||
NDX Nasdaq-100 Index, Expires 9/30/2020, Strike Price $9,299.34
|
33
|
29,671,983
|
2,095,501
|
|||||||||
NDX Nasdaq-100 Index, Expires 9/30/2020, Strike Price $7,749.45
|
33
|
29,671,983
|
613,369
|
|||||||||
2,708,870
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $30,199,165)
|
31,471,349
|
|||||||||||
SHORT TERM INVESTMENTS - 0.00% (b)
|
Shares
|
|||||||||||
MONEY MARKET FUNDS - 0.00% (b)
|
||||||||||||
Fidelity Government Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 1.47% (c)
|
100
|
100
|
||||||||||
First American Government Obligations Fund - Class X, 1.48% (c)
|
100
|
100
|
||||||||||
First American Treasury Obligations Fund - Class X, 1.49% (c)
|
144
|
144
|
||||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Class I, 1.45% (c)
|
100
|
100
|
||||||||||
STIT - Treasury Portfolio - Class I, 1.46% (c)
|
100
|
100
|
||||||||||
Wells Fargo Treasury Plus Money Market Fund - Class I, 1.43% (c)
|
100
|
100
|
||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $744)
|
744
|
|||||||||||
Total Investments (Cost $30,199,909) - 117.05%
|
31,472,093
|
|||||||||||
Liabilities in Excess of Other Assets - (17.05)%
|
(4,585,519
|
)
|
||||||||||
TOTAL NET ASSETS - 100.00%
|
$
|
26,886,574
|
||||||||||
Asset Type
|
% of Net Assets
|
|||||||||||
Purchased Options
|
117.05
|
% |
||||||||||
Short Term Investments
|
0.00
|
(b) |
||||||||||
Total Investments
|
117.05
|
|||||||||||
Liabilities in Excess of Other Assets
|
(17.05
|
)
|
||||||||||
Net Assets
|
100.00
|
% |
||||||||||
Percentages are stated as a percent of net assets.
|
||||||||||||
(a) Exchange-Traded.
|
||||||||||||
(b) Less than 0.005%.
|
||||||||||||
(c) Represents annualized seven-day yield as of the end of the reporting period.
|
Schedule of Options Written (a)
|
|||||||||||||||||
January 31, 2020 (Unaudited)
|
|||||||||||||||||
|
|
||||||||||||||||
Description
|
Expiration
|
Strike Price
|
Contracts
|
Notional Amount
|
Value
|
||||||||||||
Call Options
|
|||||||||||||||||
NDX Nasdaq-100 Index
|
9/30/2020
|
$
|
9,299.34
|
33
|
$
|
(29,671,983
|
)
|
$
|
(1,295,659
|
)
|
|||||||
NDX Nasdaq-100 Index
|
9/30/2020
|
8,609.64
|
33
|
(29,671,983
|
)
|
(2,683,751
|
)
|
||||||||||
(3,979,410
|
)
|
||||||||||||||||
Put Options
|
|||||||||||||||||
NDX Nasdaq-100 Index
|
9/30/2020
|
6,587.03
|
33
|
(29,671,983
|
)
|
(211,298
|
)
|
||||||||||
NDX Nasdaq-100 Index
|
9/30/2020
|
4,649.67
|
66
|
(59,343,966
|
)
|
(56,087
|
)
|
||||||||||
(267,385
|
)
|
||||||||||||||||
Total Options Written (Premiums Received $1,883,402)
|
$
|
(4,246,795
|
)
|
||||||||||||||
(a) Exchange-Traded.
|
Name
|
Ticker
|
Commencement of Operations
|
||
Innovator IBD® 50 ETF
|
FFTY
|
April 8, 2015
|
||
Innovator IBD® ETF Leaders ETF
|
LDRS
|
December 20, 2017
|
||
Innovator IBD® Breakout Opportunities ETF
|
BOUT
|
September 12, 2018
|
||
Innovator Loup Frontier Tech ETF
|
LOUP
|
July 24, 2018
|
||
Innovator S&P 500® Buffer ETF – January
|
BJAN
|
December 31, 2018
|
||
Innovator S&P 500® Buffer ETF – February
|
BFEB
|
January 31, 2020
|
||
Innovator S&P 500® Buffer ETF – April
|
BAPR
|
March 29, 2019
|
||
Innovator S&P 500® Buffer ETF – June
|
BJUN
|
May 31, 2019
|
||
Innovator S&P 500® Buffer ETF – July
|
BJUL
|
August 28, 2018
|
||
Innovator S&P 500® Buffer ETF – August
|
BAUG
|
July 31, 2019
|
||
Innovator S&P 500® Buffer ETF – September
|
BSEP
|
August 30, 2019
|
||
Innovator S&P 500® Buffer ETF – October
|
BOCT
|
September 28, 2018
|
||
Innovator S&P 500® Buffer ETF – November
|
BNOV
|
October 31, 2019
|
||
Innovator S&P 500® Buffer ETF – December
|
BDEC
|
November 29, 2019
|
||
Innovator S&P 500® Power Buffer ETF – January
|
PJAN
|
December 31, 2018
|
||
Innovator S&P 500® Power Buffer ETF – February
|
PFEB
|
January 31, 2020
|
||
Innovator S&P 500® Power Buffer ETF – April
|
PAPR
|
March 29, 2019
|
||
Innovator S&P 500® Power Buffer ETF – June
|
PJUN
|
May 31, 2019
|
||
Innovator S&P 500® Power Buffer ETF – July
|
PJUL
|
August 7, 2018
|
||
Innovator S&P 500® Power Buffer ETF – August
|
PAUG
|
July 31, 2019
|
||
Innovator S&P 500® Power Buffer ETF – September
|
PSEP
|
August 30, 2019
|
||
Innovator S&P 500® Power Buffer ETF – October
|
POCT
|
September 28, 2018
|
||
Innovator S&P 500® Power Buffer ETF – November
|
PNOV
|
October 31, 2019
|
||
Innovator S&P 500® Power Buffer ETF – December
|
PDEC
|
November 29, 2019
|
||
Innovator S&P 500® Ultra Buffer ETF – January
|
UJAN
|
December 31, 2018
|
||
Innovator S&P 500® Ultra Buffer ETF – February
|
UFEB
|
January 31, 2020
|
||
Innovator S&P 500® Ultra Buffer ETF – April
|
UAPR
|
March 29, 2019
|
||
Innovator S&P 500® Ultra Buffer ETF – June
|
UJUN
|
May 31, 2019
|
||
Innovator S&P 500® Ultra Buffer ETF – July
|
UJUL
|
August 7, 2018
|
||
Innovator S&P 500® Ultra Buffer ETF – August
|
UAUG
|
July 31, 2019
|
||
Innovator S&P 500® Ultra Buffer ETF – September
|
USEP
|
August 30, 2019
|
||
Innovator S&P 500® Ultra Buffer ETF – October
|
UOCT
|
September 28, 2018
|
||
Innovator S&P 500® Ultra Buffer ETF – November
|
UNOV
|
October 31, 2019
|
||
Innovator S&P 500® Ultra Buffer ETF – December
|
UDEC
|
November 29, 2019
|
||
Innovator MSCI EAFE Power Buffer ETF - January
|
IJAN
|
December 31, 2019
|
||
Innovator MSCI EAFE Power Buffer ETF - July
|
IJUL
|
June 28, 2019
|
||
Innovator MSCI Emerging Markets Power Buffer ETF - January
|
EJAN
|
December 31, 2019
|
||
Innovator MSCI Emerging Markets Power Buffer ETF - July
|
EJUL
|
June 28, 2019
|
||
Innovator Russell 2000 Power Buffer ETF - January
|
KJAN
|
December 31, 2019
|
||
Innovator Russell 2000 Power Buffer ETF - October
|
KOCT
|
September 30, 2019
|
||
Innovator Nasdaq-100 Power Buffer ETF - January
|
NJAN
|
December 31, 2019
|
||
Innovator Nasdaq-100 Power Buffer ETF - October
|
NOCT
|
September 30, 2019
|
FFTY
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Common Stocks
|
$
|
276,401,236
|
$
|
-
|
$
|
-
|
$
|
276,401,236
|
||||||||
Real Estate Investment Trusts
|
11,630,258
|
-
|
-
|
11,630,258
|
||||||||||||
Investments Purchased with Proceeds From Securities Lending
|
-
|
44,941,196
|
-
|
44,941,196
|
||||||||||||
Short Term Investments
|
772,099
|
-
|
-
|
772,099
|
||||||||||||
Total Assets
|
$
|
288,803,593
|
$
|
44,941,196
|
$
|
-
|
$
|
333,744,789
|
||||||||
LDRS
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Exchange Traded Funds
|
$
|
12,163,894
|
$
|
-
|
$
|
-
|
$
|
12,163,894
|
||||||||
Investments Purchased with Proceeds From Securities Lending
|
-
|
4,152,647
|
-
|
4,152,647
|
||||||||||||
Short Term Investments
|
47,014
|
-
|
-
|
47,014
|
||||||||||||
Total Assets
|
$
|
12,210,908
|
$
|
4,152,647
|
$
|
-
|
$
|
16,363,555
|
||||||||
BOUT
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Common Stocks
|
$
|
6,344,228
|
$
|
-
|
$
|
-
|
$
|
6,344,228
|
||||||||
Real Estate Investment Trusts
|
112,649
|
-
|
-
|
112,649
|
||||||||||||
Investments Purchased with Proceeds From Securities Lending
|
-
|
922,861
|
-
|
922,861
|
||||||||||||
Short Term Investments
|
9,558
|
-
|
-
|
9,558
|
||||||||||||
Total Assets
|
$
|
6,466,435
|
$
|
922,861
|
$
|
-
|
$
|
7,389,296
|
||||||||
LOUP
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Common Stocks
|
$
|
11,113,940
|
$
|
-
|
$
|
-
|
$
|
11,113,940
|
||||||||
Investments Purchased with Proceeds From Securities Lending
|
-
|
2,169,773
|
-
|
2,169,773
|
||||||||||||
Short Term Investments
|
9,367
|
-
|
-
|
9,367
|
||||||||||||
Total Assets
|
$
|
11,123,307
|
$
|
2,169,773
|
$
|
-
|
$
|
13,293,080
|
||||||||
BJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
168,550,952
|
$
|
-
|
$
|
168,550,952
|
||||||||
Short Term Investments
|
13,840
|
-
|
-
|
13,840
|
||||||||||||
Total Assets
|
$
|
13,840
|
$
|
168,550,952
|
$
|
-
|
$
|
168,564,792
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
7,645,372
|
$
|
-
|
$
|
7,645,372
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
7,645,372
|
$
|
-
|
$
|
7,645,372
|
||||||||
BFEB
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
2,575,532
|
$
|
-
|
$
|
2,575,532
|
||||||||
Total Assets
|
$
|
-
|
$
|
2,575,532
|
$
|
-
|
$
|
2,575,532
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
124,420
|
$
|
-
|
$
|
124,420
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
124,420
|
$
|
-
|
$
|
124,420
|
||||||||
BAPR
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
37,803,734
|
$
|
-
|
$
|
37,803,734
|
||||||||
Total Assets
|
$
|
-
|
$
|
37,803,734
|
$
|
-
|
$
|
37,803,734
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
535,081
|
$
|
-
|
$
|
535,081
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
535,081
|
$
|
-
|
$
|
535,081
|
||||||||
BJUN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
5,315,028
|
$
|
-
|
$
|
5,315,028
|
||||||||
Short Term Investments
|
716
|
-
|
-
|
716
|
||||||||||||
Total Assets
|
$
|
716
|
$
|
5,315,028
|
$
|
-
|
$
|
5,315,744
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
334,029
|
$
|
-
|
$
|
334,029
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
334,029
|
$
|
-
|
$
|
334,029
|
||||||||
BJUL
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
74,252,030
|
$
|
-
|
$
|
74,252,030
|
||||||||
Short Term Investments
|
1,008
|
-
|
-
|
1,008
|
||||||||||||
Total Assets
|
$
|
1,008
|
$
|
74,252,030
|
$
|
-
|
$
|
74,253,038
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
2,190,032
|
$
|
-
|
$
|
2,190,032
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
2,190,032
|
$
|
-
|
$
|
2,190,032
|
||||||||
BAUG
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
39,383,147
|
$
|
-
|
$
|
39,383,147
|
||||||||
Short Term Investments
|
824
|
-
|
-
|
824
|
||||||||||||
Total Assets
|
$
|
824
|
$
|
39,383,147
|
$
|
-
|
$
|
39,383,971
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,242,043
|
$
|
-
|
$
|
1,242,043
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,242,043
|
$
|
-
|
$
|
1,242,043
|
||||||||
BSEP
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
4,781,694
|
$
|
-
|
$
|
4,781,694
|
||||||||
Short Term Investments
|
728
|
-
|
-
|
728
|
||||||||||||
Total Assets
|
$
|
728
|
$
|
4,781,694
|
$
|
-
|
$
|
4,782,422
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
220,467
|
$
|
-
|
$
|
220,467
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
220,467
|
$
|
-
|
$
|
220,467
|
||||||||
BOCT
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
156,671,157
|
$
|
-
|
$
|
156,671,157
|
||||||||
Short Term Investments
|
2,699
|
-
|
-
|
2,699
|
||||||||||||
Total Assets
|
$
|
2,699
|
$
|
156,671,157
|
$
|
-
|
$
|
156,673,856
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
6,756,870
|
$
|
-
|
$
|
6,756,870
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
6,756,870
|
$
|
-
|
$
|
6,756,870
|
||||||||
BNOV
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
18,149,230
|
$
|
-
|
$
|
18,149,230
|
||||||||
Total Assets
|
$
|
-
|
$
|
18,149,230
|
$
|
-
|
$
|
18,149,230
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
761,464
|
$
|
-
|
$
|
761,464
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
761,464
|
$
|
-
|
$
|
761,464
|
||||||||
BDEC
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
25,377,499
|
$
|
-
|
$
|
25,377,499
|
||||||||
Total Assets
|
$
|
-
|
$
|
25,377,499
|
$
|
-
|
$
|
25,377,499
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,079,765
|
$
|
-
|
$
|
1,079,765
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,079,765
|
$
|
-
|
$
|
1,079,765
|
||||||||
PJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
197,060,674
|
$
|
-
|
$
|
197,060,674
|
||||||||
Short Term Investments
|
18,330
|
-
|
-
|
18,330
|
||||||||||||
Total Assets
|
$
|
18,330
|
$
|
197,060,674
|
$
|
-
|
$
|
197,079,004
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
8,827,162
|
$
|
-
|
$
|
8,827,162
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
8,827,162
|
$
|
-
|
$
|
8,827,162
|
||||||||
PFEB
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
2,574,844
|
$
|
-
|
$
|
2,574,844
|
||||||||
Total Assets
|
$
|
-
|
$
|
2,574,844
|
$
|
-
|
$
|
2,574,844
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
123,736
|
$
|
-
|
$
|
123,736
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
123,736
|
$
|
-
|
$
|
123,736
|
||||||||
PAPR
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
83,194,553
|
$
|
-
|
$
|
83,194,553
|
||||||||
Short Term Investments
|
5,410
|
-
|
-
|
5,410
|
||||||||||||
Total Assets
|
$
|
5,410
|
$
|
83,194,553
|
$
|
-
|
$
|
83,199,963
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
4,097,652
|
$
|
-
|
$
|
4,097,652
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
4,097,652
|
$
|
-
|
$
|
4,097,652
|
||||||||
PJUN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
21,260,382
|
$
|
-
|
$
|
21,260,382
|
||||||||
Short Term Investments
|
761
|
-
|
-
|
761
|
||||||||||||
Total Assets
|
$
|
761
|
$
|
21,260,382
|
$
|
-
|
$
|
21,261,143
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
2,083,805
|
$
|
-
|
$
|
2,083,805
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
2,083,805
|
$
|
-
|
$
|
2,083,805
|
||||||||
PJUL
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
87,663,245
|
$
|
-
|
$
|
87,663,245
|
||||||||
Short Term Investments
|
1,067
|
-
|
-
|
1,067
|
||||||||||||
Total Assets
|
$
|
1,067
|
$
|
87,663,245
|
$
|
-
|
$
|
87,664,312
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
4,566,405
|
$
|
-
|
$
|
4,566,405
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
4,566,405
|
$
|
-
|
$
|
4,566,405
|
||||||||
PAUG
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
113,707,806
|
$
|
-
|
$
|
113,707,806
|
||||||||
Short Term Investments
|
25,972
|
-
|
-
|
25,972
|
||||||||||||
Total Assets
|
$
|
25,972
|
$
|
113,707,806
|
$
|
-
|
$
|
113,733,778
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
5,539,175
|
$
|
-
|
$
|
5,539,175
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
5,539,175
|
$
|
-
|
$
|
5,539,175
|
||||||||
PSEP
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
20,083,151
|
$
|
-
|
$
|
20,083,151
|
||||||||
Short Term Investments
|
755
|
-
|
-
|
755
|
||||||||||||
Total Assets
|
$
|
755
|
$
|
20,083,151
|
$
|
-
|
$
|
20,083,906
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,327,059
|
$
|
-
|
$
|
1,327,059
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,327,059
|
$
|
-
|
$
|
1,327,059
|
||||||||
POCT
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
308,417,739
|
$
|
-
|
$
|
308,417,739
|
||||||||
Short Term Investments
|
3,001
|
-
|
-
|
3,001
|
||||||||||||
Total Assets
|
$
|
3,001
|
$
|
308,417,739
|
$
|
-
|
$
|
308,420,740
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
18,759,881
|
$
|
-
|
$
|
18,759,881
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
18,759,881
|
$
|
-
|
$
|
18,759,881
|
||||||||
PNOV
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
50,957,496
|
$
|
-
|
$
|
50,957,496
|
||||||||
Short Term Investments
|
46
|
-
|
-
|
46
|
||||||||||||
Total Assets
|
$
|
46
|
$
|
50,957,496
|
$
|
-
|
$
|
50,957,542
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
2,913,976
|
$
|
-
|
$
|
2,913,976
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
2,913,976
|
$
|
-
|
$
|
2,913,976
|
||||||||
PDEC
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
68,378,216
|
$
|
-
|
$
|
68,378,216
|
||||||||
Short Term Investments
|
14
|
-
|
-
|
14
|
||||||||||||
Total Assets
|
$
|
14
|
$
|
68,378,216
|
$
|
-
|
$
|
68,378,230
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
3,300,989
|
$
|
-
|
$
|
3,300,989
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
3,300,989
|
$
|
-
|
$
|
3,300,989
|
||||||||
UJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
65,491,396
|
$
|
-
|
$
|
65,491,396
|
||||||||
Short Term Investments
|
545
|
-
|
-
|
545
|
||||||||||||
Total Assets
|
$
|
545
|
$
|
65,491,396
|
$
|
-
|
$
|
65,491,941
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
2,000,949
|
$
|
-
|
$
|
2,000,949
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
2,000,949
|
$
|
-
|
$
|
2,000,949
|
||||||||
UFEB
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
2,535,152
|
$
|
-
|
$
|
2,535,152
|
||||||||
Total Assets
|
$
|
-
|
$
|
2,535,152
|
$
|
-
|
$
|
2,535,152
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
84,044
|
$
|
-
|
$
|
84,044
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
84,044
|
$
|
-
|
$
|
84,044
|
||||||||
UAPR
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
19,512,143
|
$
|
-
|
$
|
19,512,143
|
||||||||
Short Term Investments
|
344
|
-
|
-
|
344
|
||||||||||||
Total Assets
|
$
|
344
|
$
|
19,512,143
|
$
|
-
|
$
|
19,512,487
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
956,560
|
$
|
-
|
$
|
956,560
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
956,560
|
$
|
-
|
$
|
956,560
|
||||||||
UJUN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
2,172,972
|
$
|
-
|
$
|
2,172,972
|
||||||||
Short Term Investments
|
1,648
|
-
|
-
|
1,648
|
||||||||||||
Total Assets
|
$
|
1,648
|
$
|
2,172,972
|
$
|
-
|
$
|
2,174,620
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
214,331
|
$
|
-
|
$
|
214,331
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
214,331
|
$
|
-
|
$
|
214,331
|
||||||||
UJUL
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
34,628,653
|
$
|
-
|
$
|
34,628,653
|
||||||||
Short Term Investments
|
785
|
-
|
-
|
785
|
||||||||||||
Total Assets
|
$
|
785
|
$
|
34,628,653
|
$
|
-
|
$
|
34,629,438
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,784,469
|
$
|
-
|
$
|
1,784,469
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,784,469
|
$
|
-
|
$
|
1,784,469
|
||||||||
UAUG
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
15,580,235
|
$
|
-
|
$
|
15,580,235
|
||||||||
Short Term Investments
|
689
|
-
|
-
|
689
|
||||||||||||
Total Assets
|
$
|
689
|
$
|
15,580,235
|
$
|
-
|
$
|
15,580,924
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
687,953
|
$
|
-
|
$
|
687,953
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
687,953
|
$
|
-
|
$
|
687,953
|
||||||||
USEP
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
4,094,039
|
$
|
-
|
$
|
4,094,039
|
||||||||
Short Term Investments
|
716
|
-
|
-
|
716
|
||||||||||||
Total Assets
|
$
|
716
|
$
|
4,094,039
|
$
|
-
|
$
|
4,094,755
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
282,397
|
$
|
-
|
$
|
282,397
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
282,397
|
$
|
-
|
$
|
282,397
|
||||||||
UOCT
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
127,825,338
|
$
|
-
|
$
|
127,825,338
|
||||||||
Short Term Investments
|
923
|
-
|
-
|
923
|
||||||||||||
Total Assets
|
$
|
923
|
$
|
127,825,338
|
$
|
-
|
$
|
127,826,261
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
7,895,257
|
$
|
-
|
$
|
7,895,257
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
7,895,257
|
$
|
-
|
$
|
7,895,257
|
||||||||
UNOV
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
8,293,586
|
$
|
-
|
$
|
8,293,586
|
||||||||
Total Assets
|
$
|
-
|
$
|
8,293,586
|
$
|
-
|
$
|
8,293,586
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
436,926
|
$
|
-
|
$
|
436,926
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
436,926
|
$
|
-
|
$
|
436,926
|
||||||||
UDEC
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
13,223,365
|
$
|
-
|
$
|
13,223,365
|
||||||||
Short Term Investments
|
13
|
-
|
-
|
13
|
||||||||||||
Total Assets
|
$
|
13
|
$
|
13,223,365
|
$
|
-
|
$
|
13,223,378
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
535,373
|
$
|
-
|
$
|
535,373
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
535,373
|
$
|
-
|
$
|
535,373
|
||||||||
IJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
17,960,628
|
$
|
-
|
$
|
17,960,628
|
||||||||
Short Term Investments
|
3
|
-
|
-
|
3
|
||||||||||||
Total Assets
|
$
|
3
|
$
|
17,960,628
|
$
|
-
|
$
|
17,960,631
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
438,828
|
$
|
-
|
$
|
438,828
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
438,828
|
$
|
-
|
$
|
438,828
|
||||||||
IJUL
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
70,456,916
|
$
|
-
|
$
|
70,456,916
|
||||||||
Short Term Investments
|
1,836
|
-
|
-
|
1,836
|
||||||||||||
Total Assets
|
$
|
1,836
|
$
|
70,456,916
|
$
|
-
|
$
|
70,458,752
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
545,656
|
$
|
-
|
$
|
545,656
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
545,656
|
$
|
-
|
$
|
545,656
|
||||||||
EJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
17,947,589
|
$
|
-
|
$
|
17,947,589
|
||||||||
Short Term Investments
|
4
|
-
|
-
|
4
|
||||||||||||
Total Assets
|
$
|
4
|
$
|
17,947,589
|
$
|
-
|
$
|
17,947,593
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,010,736
|
$
|
-
|
$
|
1,010,736
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,010,736
|
$
|
-
|
$
|
1,010,736
|
||||||||
EJUL
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
60,087,424
|
$
|
-
|
$
|
60,087,424
|
||||||||
Short Term Investments
|
651
|
-
|
-
|
651
|
||||||||||||
Total Assets
|
$
|
651
|
$
|
60,087,424
|
$
|
-
|
$
|
60,088,075
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,427,775
|
$
|
-
|
$
|
1,427,775
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,427,775
|
$
|
-
|
$
|
1,427,775
|
||||||||
KJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
22,951,920
|
$
|
-
|
$
|
22,951,920
|
||||||||
Total Assets
|
$
|
-
|
$
|
22,951,920
|
$
|
-
|
$
|
22,951,920
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,193,421
|
$
|
-
|
$
|
1,193,421
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,193,421
|
$
|
-
|
$
|
1,193,421
|
||||||||
KOCT
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
33,130,506
|
$
|
-
|
$
|
33,130,506
|
||||||||
Short Term Investments
|
704
|
-
|
-
|
704
|
||||||||||||
Total Assets
|
$
|
704
|
$
|
33,130,506
|
$
|
-
|
$
|
33,131,210
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,791,930
|
$
|
-
|
$
|
1,791,930
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,791,930
|
$
|
-
|
$
|
1,791,930
|
||||||||
NJAN
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
14,354,371
|
$
|
-
|
$
|
14,354,371
|
||||||||
Total Assets
|
$
|
-
|
$
|
14,354,371
|
$
|
-
|
$
|
14,354,371
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
1,093,161
|
$
|
-
|
$
|
1,093,161
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
1,093,161
|
$
|
-
|
$
|
1,093,161
|
||||||||
NOCT
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Purchased Options
|
$
|
-
|
$
|
31,471,349
|
$
|
-
|
$
|
31,471,349
|
||||||||
Short Term Investments
|
744
|
-
|
-
|
744
|
||||||||||||
Total Assets
|
$
|
744
|
$
|
31,471,349
|
$
|
-
|
$
|
31,472,093
|
||||||||
Liabilities
|
||||||||||||||||
Options Written
|
$
|
-
|
$
|
4,246,795
|
$
|
-
|
$
|
4,246,795
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
4,246,795
|
$
|
-
|
$
|
4,246,795
|
Purchased Options
|
Options Written
|
||
Average Monthly Market Value
|
Average Monthly Market Value
|
||
BJAN
|
$ 75,981,899
|
$ (3,709,089)
|
|
BFEB
|
2,575,532
|
(124,420)
|
|
BAPR
|
42,250,127
|
(625,871)
|
|
BJUN
|
5,271,330
|
(312,139)
|
|
BJUL
|
79,045,755
|
(2,420,261)
|
|
BAUG
|
45,317,305
|
(1,526,924)
|
|
BSEP
|
4,751,555
|
(223,584)
|
|
BOCT
|
172,950,662
|
(7,837,811)
|
|
BNOV
|
34,194,870
|
(1,554,086)
|
|
BDEC
|
19,731,545
|
(883,516)
|
|
PJAN
|
122,241,740
|
(7,917,101)
|
|
PFEB
|
2,574,844
|
(123,736)
|
|
PAPR
|
89,326,793
|
(4,137,479)
|
|
PJUN
|
22,085,476
|
(2,054,422)
|
|
PJUL
|
91,881,652
|
(4,659,142)
|
|
PAUG
|
117,361,917
|
(5,736,054)
|
|
PSEP
|
21,097,333
|
(1,370,638)
|
|
POCT
|
316,263,031
|
(19,222,814)
|
|
PNOV
|
53,872,587
|
(3,118,545)
|
|
PDEC
|
50,914,667
|
(2,514,499)
|
|
UJAN
|
48,352,657
|
(2,997,786)
|
|
UFEB
|
2,535,152
|
(84,044)
|
|
UAPR
|
19,809,537
|
(912,379)
|
|
UJUN
|
2,629,862
|
(243,765)
|
|
UJUL
|
36,397,278
|
(1,778,904)
|
|
UAUG
|
17,511,020
|
(743,355)
|
|
USEP
|
4,743,724
|
(312,076)
|
|
UOCT
|
136,723,708
|
(8,247,028)
|
|
UNOV
|
8,692,125
|
(444,439)
|
|
UDEC
|
10,195,081
|
(423,831)
|
|
IJAN
|
10,236,918
|
(254,418)
|
|
IJUL
|
70,117,673
|
(852,525)
|
|
EJAN
|
10,399,947
|
(591,852)
|
|
EJUL
|
60,393,918
|
(2,058,074)
|
|
KJAN
|
12,897,200
|
(683,270)
|
|
KOCT
|
33,267,305
|
(2,307,270)
|
|
NJAN
|
9,045,926
|
(668,700)
|
|
NOCT
|
30,111,006
|
(3,401,718)
|
|
|
Value of Securities on Loan
|
|
Cash Collateral Received
|
|
|
FFTY
|
|
$42,589,492
|
|
$44,941,196
|
|
|
LDRS
|
|
3,993,839
|
|
4,152,647
|
|
|
BOUT
|
|
883,292
|
|
922,861
|
|
|
LOUP
|
|
2,072,751
|
|
2,169,773
|
|
(a) |
The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940
Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
(b) |
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have
materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
Date: March 12, 2020
|
/s/ Bruce Bond |
Bruce Bond
Principal Executive Officer
|
Date: March 12, 2020
|
/s/ John Southard |
John Southard
Principal Financial Officer
|