A Deeper Dive.

THTA is an actively managed fund that combines the holding of a basket of US Treasuries with an overlay of short credit spreads to potentially generate enhanced yield.

Key Facts:

1. THTA seeks to generate income by holding short duration US Treasuries without material interest risk while capturing enhanced income by selling volatility premium using high probability defined risk option spreads.
2. THTA pursues a flexible, alternative investment option with historically low correlation to the S&P 500 Index and interest rates.
3. THTA is an accessible alternative income strategy that works for any size portfolio and is suited to both high net-worth individuals and others.

Risks and Opportunities:

THTA gives investors without the time, experience or knowledge to pursue a non-correlated, short volatility strategy, to dedicate a slice of their portfolio to include this emerging asset class.

The benefit of this alternative strategy is leveraging the US Treasuries as collateral seeking to generate additional income.

The Fund’s net asset holdings will generally be invested as follows:

• 2-5% Cash and cash equivalents.
• 95-100% Treasury securities.
• Up to 90% Credit Spreads (using the Fund’s holdings of Treasury securities as collateral for the Fund’s investments in options).

The leverage of options in THTA mean that losses could quickly accelerate downwards if there is a material spike in volatility coupled with a dramatic move directionally against the credit spread position. While we have exit rules in place to minimize this risk, SoFi recommends a maximum of 10-20% of an individual’s investable assets to be invested in THTA.