UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
 

Investment Company Act file number (811-23377)


Tidal ETF Trust
(Exact name of registrant as specified in charter)


898 N. Broadway, Suite 2
Massapequa, New York 11758
(Address of principal executive offices) (Zip code)


Eric W. Falkeis
Tidal ETF Trust
898 N. Broadway, Suite 2
Massapequa, New York 11758
 (Name and address of agent for service)


(844) 986-7676
Registrant’s telephone number, including area code

Date of fiscal year end: November 30

Date of reporting period: February 29, 2020


 
Item 1. Schedule of Investments.

AWARE ULTRA-SHORT DURATION ENHANCED INCOME ETF
 
   
SCHEDULE OF INVESTMENTS at February 29, 2020 (Unaudited)
   
Principal Amount
 
 
 
Value
ASSET BACKED SECURITIES: 12.0%
   
   
Edsouth Indenture No. 5, LLC, Series 2014-1, Class A
   
 $     488,847
 
2.327% (1 Month LIBOR USD + 0.700%), 2/25/39 1
$
 484,358
   
Home Partners of America Trust, Series 2017-1, Class A
   
2,688,110
 
2.476% (1 Month LIBOR USD + 0.817%), 7/17/34 1
 
            2,682,939
   
Home Partners of America Trust, Series 2018-1, Class A
   
8,141,040
 
2.559% (1 Month LIBOR USD + 0.900%), 7/17/37 1
 
            8,132,977
   
Invitation Homes Trust, Series 2017-SFR2, Class A
   
1,848,701
 
2.509% (1 Month LIBOR USD + 0.850%), 12/17/36 1
 
            1,841,576
   
Invitation Homes Trust, Series 2017-SFR2, Class B
   
4,600,000
 
2.809% (1 Month LIBOR USD + 1.150%), 12/17/36 1
 
            4,597,642
   
Invitation Homes Trust, Series 2018-SFR2, Class D
   
2,292,000
 
3.109% (1 Month LIBOR USD + 1.450%), 6/17/37 1
 
            2,278,330
   
Invitation Homes Trust, Series 2018-SFR3, Class A
   
4,693,074
 
2.659% (1 Month LIBOR USD + 1.000%), 7/17/37 1
 
            4,701,510
   
Invitation Homes Trust, Series 2018-SFR3, Class B
   
3,500,000
 
2.809% (1 Month LIBOR USD + 1.150%), 7/17/37 1
 
            3,506,336
   
Invitation Homes Trust, Series 2018-SFR4, Class A
   
3,554,480
 
2.759% (1 Month LIBOR USD + 1.100%), 1/17/38 1
 
            3,565,027
   
Invitation Homes Trust, Series 2018-SFR4, Class C
   
5,000,000
 
3.059% (1 Month LIBOR USD + 1.400%), 1/17/38 1
 
            4,981,164
   
Mill City Mortgage Loan Trust, Series 2016-1, Class B2
   
500,000
 
3.923%, 4/25/57 1
 
               545,119
   
Progress Residential Trust, Series 2018-SFR2, Class A
   
225,000
 
3.712%, 8/17/35
 
               231,213
   
SLM Student Loan Trust, Series 2005-5, Class A5
   
221,000
 
2.544% (3 Month LIBOR USD + 0.750%), 10/25/40 1
 
               213,540
   
SMB Private Education Loan Trust, Series 2014-A, Class A3
   
790,000
 
3.158% (1 Month LIBOR USD + 1.500%), 4/15/32 1
 
               802,242
   
SoFi Professional Loan Program, LLC, Series 2015-B, Class A1
   
142,895
 
2.677% (1 Month LIBOR USD + 1.050%), 4/25/35 1
 
               143,523
   
Starwood Waypoint Homes Trust, Series 2017-1, Class A
   
719,008
 
2.609% (1 Month LIBOR USD + 0.950%), 1/17/35 1
 
               719,952
   
Towd Point Mortgage Trust, Series 2017-1, Class B2
   
2,000,000
 
3.970%, 10/25/56 1
 
            2,154,862
   
Towd Point Mortgage Trust, Series 2017-2, Class A4
   
1,166,939
 
2.964%, 4/25/57
 
            1,203,923
   
Towd Point Mortgage Trust, Series 2017-3, Class A4
   
1,263,013
 
2.872%, 7/25/57 1
 
            1,300,205
   
Towd Point Mortgage Trust, Series 2018-5, Class A1B
   
500,000
 
3.250%, 7/25/58 1
 
               546,658
   
Towd Point Mortgage Trust, Series 2018-6, Class A1B
   
4,300,000
 
3.750%, 3/25/58 1
 
            4,686,818
   
Towd Point Mortgage Trust, Series 2019-HY2, Class A1
   
1,747,376
 
2.627% (1 Month LIBOR USD + 1.000%), 5/25/58 1
 
            1,761,785
TOTAL ASSET BACKED SECURITIES
   
(Cost $51,082,162)
 
          51,081,699
     


COLLATERALIZED LOAN OBLIGATIONS: 7.9%
   
   
Anchorage Capital CLO Ltd., Series 2015-7A, Class AR
   
2,990,695
 
2.791% (3 Month LIBOR USD + 0.960%), 10/15/27 1
 
            2,987,948
   
Carlyle Global Market Strategies CLO Ltd., Series 2015-1A, Class AR2
   
1,000,000
 
3.019% (3 Month LIBOR USD + 1.200%), 7/20/31 1
 
            1,002,047
   
CBAM Ltd., Series 2018-5A, Class B1
   
5,245,000
 
3.236% (3 Month LIBOR USD + 1.400%), 4/17/31 1
 
            5,179,888
   
CIFC Funding Ltd., Series 2017-3A, Class A2
   
5,000,000
 
3.619% (3 Month LIBOR USD + 1.800%), 7/20/30 1
 
            5,005,711
   
Crown Point CLO Ltd., Series 2015-3A, Class A2R
   
2,000,000
 
3.281% (3 Month LIBOR USD + 1.450%), 12/31/27 1
 
            1,996,032
   
Dryden CLO Ltd., Series 2018-64A, Class B
   
5,950,000
 
3.219% (3 Month LIBOR USD + 1.400%), 4/18/31 1
 
            5,925,975
   
Dryden Senior Loan Fund, Series 2014-36A, Class AR2
   
500,000
 
3.111% (3 Month LIBOR USD + 1.280%), 4/15/29 1
 
               500,736
   
Dryden Senior Loan Fund, Series 2015-38A, Class BR
   
3,000,000
 
3.481% (3 Month LIBOR USD + 1.650%), 7/15/30 1
 
            3,003,554
   
Madison Park Funding Ltd., Series 2014-15A, Class A2R
   
1,250,000
 
3.294% (3 Month LIBOR USD + 1.500%), 1/27/26 1
 
            1,252,495
   
Madison Park Funding Ltd., Series 2015-17A, Class AR
   
1,750,000
 
3.039% (3 Month LIBOR USD + 1.220%), 7/21/30 1
 
            1,752,625
   
Magnetite Ltd., Series 2019-24A, Class B
   
1,500,000
 
3.757% (3 Month LIBOR USD + 1.850%), 1/15/33 1
 
            1,515,657
   
NZCG Funding Ltd., Series 2015-1A, Class A2R
   
400,000
 
3.197% (3 Month LIBOR USD + 1.550%), 2/26/31 1
 
               394,699
   
Romark CLO Ltd., Series 2019-3A, Class A1
   
2,005,000
 
3.201% (3 Month LIBOR USD + 1.370%), 7/15/32 1
 
            2,003,924
   
Tralee CLO Ltd., Series 2017-4A, Class B
   
475,000
 
3.469% (3 Month LIBOR USD + 1.650%), 1/20/30 1
 
               470,492
   
Venture CLO Ltd., Series 2013-14A, Class CRR
   
750,000
 
3.863% (3 Month LIBOR USD + 2.250%), 8/28/29 1
 
               742,275
TOTAL COLLATERALIZED LOAN OBLIGATIONS
   
(Cost $33,797,784)
 
          33,734,058
     
COLLATERALIZED MORTGAGE OBLIGATIONS: 5.4%
   
   
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 2M2
   
971,520
 
6.627% (1 Month LIBOR USD + 5.000%), 11/25/24 1
 
            1,043,602
   
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 2M2
   
1,041,131
 
6.177% (1 Month LIBOR USD + 4.550%), 2/25/25 1
 
            1,078,309
   
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M2
   
9,603,179
 
5.877% (1 Month LIBOR USD + 4.250%), 1/25/29 1
 
          10,071,305
   
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M1
   
70,508
 
2.927% (1 Month LIBOR USD + 1.300%), 7/25/29 1
 
                 70,528
   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M3
   
2,564,193
 
5.777% (1 Month LIBOR USD + 4.150%), 1/25/25 1
 
            2,656,508
   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M2
   
298,487
 
4.227% (1 Month LIBOR USD + 2.600%), 12/25/27 1
 
               298,838
   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M2
   
422,248
 
4.477% (1 Month LIBOR USD + 2.850%), 4/25/28 1
 
               426,030
   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-HQ2, Class M2
   
122,935
 
3.577% (1 Month LIBOR USD + 1.950%), 5/25/25 1
 
               124,133
   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class M2
   
14,114
 
4.277% (1 Month LIBOR USD + 2.650%), 3/25/28 1
 
                 14,125


   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2
   
167,159
 
3.627% (1 Month LIBOR USD + 2.000%), 12/25/28 1
 
               167,255
   
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA1, Class M2
   
155,171
 
4.377% (1 Month LIBOR USD + 2.750%), 9/25/28 1
 
               155,328
   
GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class A6
   
1,052,853
 
3.500%, 3/25/50 1
 
            1,080,819
   
JP Morgan Mortgage Trust, Series 2019-3, Class A11
   
1,552,083
 
2.577% (1 Month LIBOR USD + 0.950%), 9/25/49 1
 
            1,556,596
   
JP Morgan Mortgage Trust, Series 2019-5, Class A4
   
808,358
 
4.000%, 11/25/49 1
 
               821,259
   
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1
   
993,798
 
3.127% (1 Month LIBOR USD + 1.500%), 6/25/57 1
 
            1,013,003
   
Sequoia Mortgage Trust, Series 2018-CH1, Class A1
   
1,258,259
 
4.000%, 2/25/48 1
 
            1,296,878
   
Sequoia Mortgage Trust, Series 2018-CH1, Class A19
   
1,094,138
 
4.000%, 2/25/48 1
 
            1,127,028
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
(Cost $23,111,207)
 
          23,001,544
     
CORPORATE BONDS: 53.4%
   
Aerospace & Defense: 0.1%
   
   
L3Harris Technologies, Inc.
   
250,000
 
2.250% (3 Month LIBOR USD + 0.480%), 4/30/20 1
 
               250,152
         
Agriculture: 1.4%
   
   
Bunge Ltd. Finance Corp.
   
3,632,000
 
3.000%, 9/25/22
 
            3,751,377
   
Viterra, Inc.
   
2,000,000
 
5.950%, 8/1/20
 
            2,033,956
       
            5,785,333
Auto Manufacturers: 7.1%
   
   
Ford Motor Credit Co., LLC
   
1,558,000
 
3.157%, 8/4/20
 
            1,563,876
902,000
 
2.865% (3 Month LIBOR USD + 0.930%), 9/24/20 1
 
               902,429
1,000,000
 
3.200%, 1/15/21
 
            1,006,726
900,000
 
2.728% (3 Month LIBOR USD + 0.880%), 10/12/21 1
 
               890,279
   
General Motors Financial Co., Inc.
   
4,150,000
 
3.388% (3 Month LIBOR USD + 1.550%), 1/14/22 1
 
            4,198,187
6,000,000
 
3.271% (3 Month LIBOR USD + 1.310%), 6/30/22 1
 
            6,042,933
2,318,000
 
2.890% (3 Month LIBOR USD + 0.990%), 1/5/23 1
 
            2,309,920
   
Harley-Davidson Financial Services, Inc.
   
820,000
 
2.400%, 6/15/20
 
               821,086
130,000
 
2.850%, 1/15/21
 
               131,302
5,000,000
 
3.550%, 5/21/21
 
            5,114,994
   
Hyundai Capital America
   
1,031,000
 
2.750%, 9/18/20
 
            1,037,214
288,000
 
3.000%, 10/30/20
 
               290,475
   
Nissan Motor Acceptance Corp.
   
1,000,000
 
2.125%, 3/3/20
 
            1,000,000
1,850,000
 
2.150%, 7/13/20
 
            1,853,196
1,440,000
 
2.651% (3 Month LIBOR USD + 0.690%), 9/28/22 1
 
            1,438,269
   
Volkswagen Group of America Finance, LLC
   
490,000
 
2.400%, 5/22/20
 
               490,959
1,000,000
 
2.653% (3 Month LIBOR USD + 0.940%), 11/12/21 1
 
            1,010,256
       
          30,102,101


Banks: 18.6%
   
   
Bank of America Corp.
   
3,000,000
 
5.200% (3 Month LIBOR USD + 3.135%), 6/1/23 1,2,3
 
            3,083,970
   
Barclays Bank PLC
   
512,000
 
2.392% (3 Month LIBOR USD + 0.650%), 8/7/20 1
 
               513,243
   
Barclays PLC
   
5,250,000
 
3.200%, 8/10/21
 
            5,364,171
2,931,000
 
3.844% (3 Month LIBOR USD + 2.110%), 8/10/21 1
 
            2,996,304
2,530,000
 
3.072% (3 Month LIBOR USD + 1.380%), 5/16/24 1
 
            2,577,033
   
Citigroup, Inc.
   
1,500,000
 
3.341% (3 Month LIBOR USD + 1.380%), 3/30/21 1
 
            1,520,167
665,000
 
2.955% (3 Month LIBOR USD + 1.070%), 12/8/21 1
 
               674,100
4,000,000
 
4.050%, 7/30/22
 
            4,222,556
4,900,000
 
2.454% (SOFR + 0.870%), 11/4/22 1
 
            4,939,972
5,000,000
 
2.792% (3 Month LIBOR USD + 1.100%), 5/17/24 1
 
            5,056,944
   
Citizens Financial Group, Inc.
   
1,800,000
 
4.150%, 9/28/22
 
            1,909,227
   
Cooperatieve Rabobank UA
   
2,500,000
 
3.950%, 11/9/22
 
            2,633,144
   
The Goldman Sachs Group, Inc.
   
1,526,000
 
3.449% (3 Month LIBOR USD + 1.770%), 2/25/21 1
 
            1,548,379
3,579,000
 
3.213% (3 Month LIBOR USD + 1.600%), 11/29/23 1
 
            3,687,291
   
HSBC Bank USA N.A.
   
750,000
 
4.875%, 8/24/20
 
               762,054
   
HSBC Holdings PLC
   
1,750,000
 
2.292% (3 Month LIBOR USD + 0.600%), 5/18/21 1
 
            1,751,536
   
ING Groep NV
   
400,000
 
3.150%, 3/29/22
 
               412,536
   
JPMorgan Chase & Co.
   
2,050,000
 
5.240% (3 Month LIBOR USD + 3.470%), 4/30/20 1,3
 
            2,049,477
3,791,000
 
5.300% (3 Month LIBOR USD + 3.800%), 5/1/20 1,2,3
 
            3,809,633
1,000,000
 
2.985% (3 Month LIBOR USD + 1.100%), 6/7/21 1
 
            1,009,840
2,800,000
 
4.625% (3 Month LIBOR USD + 2.580%), 11/1/22 1,2,3
 
            2,731,372
2,800,000
 
5.150% (3 Month LIBOR USD + 3.250%), 5/1/23 1,2,3
 
            2,813,972
1,000,000
 
2.813% (3 Month LIBOR USD + 1.050%), 5/3/23 1
 
            1,003,166
   
Lloyds Bank PLC
   
500,000
 
6.500%, 9/14/20
 
               512,187
   
Lloyds Banking Group PLC
   
1,335,000
 
2.728% (3 Month LIBOR USD + 0.800%), 6/21/21 1
 
            1,342,781
600,000
 
3.100%, 7/6/21
 
               611,423
   
Mitsubishi UFJ Financial Group, Inc.
   
1,425,000
 
2.947% (3 Month LIBOR USD + 1.060%), 9/13/21 1
 
            1,442,984
   
Mizuho Financial Group, Inc.
   
3,000,000
 
3.027% (3 Month LIBOR USD + 1.140%), 9/13/21 1
 
            3,038,065
2,774,000
 
2.553% (3 Month LIBOR USD + 0.940%), 2/28/22 1
 
            2,807,156
1,710,000
 
2.768% (3 Month LIBOR USD + 0.880%), 9/11/22 1
 
            1,729,272
   
NatWest Markets PLC
   
840,000
 
6.125%, 1/11/21
 
               872,981
640,000
 
3.361% (3 Month LIBOR USD + 1.400%), 9/29/22 1
 
               652,238
   
Sumitomo Mitsui Banking Corp.
   
330,000
 
4.850%, 3/1/22
 
               349,139
   
Sumitomo Mitsui Financial Group, Inc.
   
2,582,000
 
2.959% (3 Month LIBOR USD + 1.140%), 10/19/21 1
 
            2,618,644


   
UBS Group AG
   
450,000
 
3.375% (3 Month LIBOR USD + 1.440%), 9/24/20 1
 
               453,459
740,000
 
2.903% (3 Month LIBOR USD + 1.220%), 5/23/23 1
 
               752,343
   
Wells Fargo & Co.
   
3,000,000
 
3.007% (3 Month LIBOR USD + 1.230%), 10/31/23 1
 
            3,042,588
   
Wells Fargo Bank N.A.
   
600,000
 
3.325% (3 Month LIBOR USD + 0.490%), 7/23/21 1,2
 
               604,091
1,150,000
 
2.082% (3 Month LIBOR USD + 0.650%), 9/9/22 1,2
 
            1,158,868
       
          79,058,306
Chemicals: 0.3%
   
   
Celanese US Holdings, LLC
   
400,000
 
5.875%, 6/15/21
 
               420,996
   
LyondellBasell Industries NV
   
750,000
 
6.000%, 11/15/21
 
               798,721
   
Monsanto Co.
   
204,000
 
2.750%, 7/15/21
 
               206,137
       
            1,425,854
Computers: 2.0%
   
   
Dell International LLC / EMC Corp.
   
5,000,000
 
4.420%, 6/15/21
 
            5,152,538
3,000,000
 
5.450%, 6/15/23
 
            3,309,412
   
HP, Inc.
   
210,000
 
4.375%, 9/15/21
 
               218,338
       
            8,680,288
Diversified Financial Services: 3.8%
   
   
Ally Financial, Inc.
   
8,800,000
 
4.125%, 3/30/20
 
            8,826,488
1,000,000
 
4.250%, 4/15/21
 
            1,023,070
   
GE Capital International Funding Co. Unlimited Co.
   
5,500,000
 
2.342%, 11/15/20
 
            5,515,605
   
Mitsubishi UFJ Lease & Finance Co. Ltd.
   
360,000
 
2.500%, 3/9/20
 
               360,071
500,000
 
2.250%, 9/7/21
 
               504,251
       
          16,229,485
Electric: 1.7%
   
   
Edison International
   
1,979,000
 
2.125%, 4/15/20
 
            1,979,209
5,000,000
 
2.400%, 9/15/22
 
            5,073,876
       
            7,053,085
Forest Products & Paper: 0.2%
   
   
Georgia-Pacific, LLC
   
750,000
 
5.400%, 11/1/20
 
               767,717
         
Insurance: 2.4%
   
   
AEGON Funding Co., LLC
   
1,720,000
 
5.750%, 12/15/20
 
            1,774,966
   
MetLife, Inc.
   
7,571,000
 
5.250% (3 Month LIBOR USD + 3.575%), 6/15/20 1,2,3
 
            7,575,732
   
Metropolitan Life Global Funding I
   
300,000
 
2.150% (SOFR + 0.570%), 9/7/20 1
 
               300,549
   
Protective Life Global Funding
   
463,000
 
3.397%, 6/28/21
 
               475,043
       
          10,126,290


Internet: 0.1%
   
   
Alibaba Group Holding Ltd.
   
570,000
 
3.125%, 11/28/21
 
               584,636
         
Media: 0.2%
   
   
Discovery Communications, LLC
   
850,000
 
2.800%, 6/15/20
 
               851,294
         
Mining: 0.9%
   
   
Glencore Finance Canada Ltd.
   
800,000
 
4.950%, 11/15/21
 
               837,692
   
Glencore Funding, LLC
   
3,195,000
 
2.875%, 4/16/20
 
            3,198,077
       
            4,035,769
Miscellaneous Manufacturers: 4.7%
   
   
Carlisle Companies, Inc.
   
1,000,000
 
3.750%, 11/15/22
 
            1,049,499
   
General Electric Co.
   
2,084,000
 
2.371% (3 Month LIBOR USD + 0.410%), 3/28/20 1
 
            2,082,695
4,774,000
 
4.625%, 1/7/21
 
            4,889,159
3,000,000
 
5.000% (3 Month LIBOR USD + 3.330%), 1/21/21 1,2,3
 
            2,942,145
3,424,000
 
5.300%, 2/11/21
 
            3,526,290
1,050,000
 
4.650%, 10/17/21
 
            1,095,357
2,323,000
 
2.894% (3 Month LIBOR USD + 1.000%), 3/15/23 1
 
            2,324,083
2,005,000
 
2.831% (3 Month LIBOR USD + 1.000%), 4/15/23 1
 
            2,022,960
       
          19,932,188
Oil & Gas: 1.6%
   
   
Occidental Petroleum Corp.
   
6,500,000
 
3.142% (3 Month LIBOR USD + 1.450%), 8/15/22 1
 
            6,524,128
   
Phillips 66
   
250,000
 
2.581% (3 Month LIBOR USD + 0.750%), 4/15/20 1
 
               250,108
       
            6,774,236
Oil & Gas Services: 0.1%
   
   
Schlumberger Oilfield UK PLC
   
450,000
 
4.200%, 1/15/21
 
               456,792
         
Pharmaceuticals: 3.0%
   
   
AbbVie, Inc.
   
5,720,000
 
2.300%, 11/21/22
 
            5,814,342
   
Allergan Sales, LLC
   
1,000,000
 
4.875%, 2/15/21
 
            1,035,248
   
Bayer US Finance II, LLC
   
1,000,000
 
3.500%, 6/25/21
 
            1,022,751
2,029,000
 
2.750%, 7/15/21
 
            2,061,794
950,000
 
2.200%, 7/15/22
 
               956,957
   
Cardinal Health, Inc.
   
2,000,000
 
3.200%, 6/15/22
 
            2,070,092
       
          12,961,184
Pipelines: 1.5%
   
   
Sabine Pass Liquefaction, LLC
   
400,000
 
5.625%, 2/1/21
 
               409,343
3,300,000
 
6.250%, 3/15/22
 
            3,551,687
1,586,000
 
5.625%, 4/15/23
 
            1,742,592
   
Spectra Energy Partners L.P.
   
725,000
 
2.592% (3 Month LIBOR USD + 0.700%), 6/5/20 1
 
               726,006
       
            6,429,628


Real Estate Investment Trusts (REITs): 0.2%
   
   
Service Properties Trust
   
757,000
 
4.250%, 2/15/21
 
               766,893
         
Semiconductors: 1.2%
   
   
Broadcom Corp. / Broadcom Cayman Finance Ltd.
   
5,000,000
 
3.000%, 1/15/22
 
            5,098,138
         
Software: 0.3%
   
   
VMware, Inc.
   
230,000
 
2.300%, 8/21/20
 
               230,281
1,000,000
 
2.950%, 8/21/22
 
            1,029,716
       
            1,259,997
Telecommunications: 1.9%
   
   
AT&T, Inc.
   
8,000,000
 
3.067% (3 Month LIBOR USD + 1.180%), 6/12/24 1
 
            8,099,230
         
Trucking & Leasing: 0.1%
   
   
Penske Truck Leasing Co. LP / PTL Finance Corp.
   
200,000
 
3.200%, 7/15/20
 
               200,955
         
TOTAL CORPORATE BONDS
   
(Cost $226,236,438)
 
        226,929,551
     
FEDERAL AGENCY OBLIGATIONS: 4.7%
   
   
Federal Farm Credit Banks Funding Corp.
   
5,000,000
 
1.790% (FCPR DLY + -2.960%), 10/29/21 1
 
            4,999,710
5,000,000
 
1.540%, 2/24/22
 
            5,004,923
5,000,000
 
1.610%, 5/5/22
 
            5,001,470
       
          15,006,103
   
Federal Home Loan Banks
   
5,000,000
 
2.050%, 9/23/21
 
            5,002,515
TOTAL FEDERAL AGENCY OBLIGATIONS
   
(Cost $20,000,000)
 
          20,008,618
     
MORTGAGE BACKED SECURITIES: 1.5%
   
   
Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class B
   
100,000
 
3.089% (1 Month LIBOR USD + 1.430%), 6/15/35 1
 
               100,091
   
CHT Mortgage Trust, Series 2017-CSMO, Class B
   
200,000
 
3.059% (1 Month LIBOR USD + 1.400%), 11/15/36 1
 
               200,334
   
New Orleans Hotel Trust, Series 2019-HNLA, Class A
   
6,000,000
 
2.647% (1 Month LIBOR USD + 0.989%), 4/15/32 1
 
            5,994,545
TOTAL MORTGAGE BACKED SECURITIES
   
(Cost $6,296,141)
 
            6,294,970
     
UNITED STATES TREASURY OBLIGATIONS: 12.1%
   
United States Treasury Bills: 10.5%
   
  10,300,000
 
1.523%, 3/3/20 4,5
 
10,299,583
  13,900,000
 
1.528%, 3/10/20 4,5
 
13,895,609
    9,000,000
 
1.564%, 3/12/20 4,5
 
8,996,328
  10,000,000
 
1.552%, 3/24/20 4,5
 
9,991,237
    1,500,000
 
1.557%, 3/31/20 4,5
 
1,498,290
       
44,681,047


United States Treasury Notes: 1.6%
   
7,000,000
 
2.500%, 5/31/20
 
            7,017,910
         
TOTAL UNITED STATES TREASURY OBLIGATIONS
   
(Cost $51,693,116)
 
          51,698,957
         
SHORT-TERM INVESTMENTS: 3.4%
   
COMMERCIAL PAPER: 2.6%
   
Auto Manufacturers: 1.7%
   
   
Nissan Motors Corp.
   
    7,000,000
 
1.678%, 3/16/20
 
6,994,281
Specialty Chemicals: 0.9%
   
   
Sherwin Williams Co.
   
    4,000,000
 
1.702%, 3/24/20
 
3,995,728
TOTAL COMMERCIAL PAPER
   
(Cost $10,990,369)
 
10,990,009
         
Shares
 
 

MONEY MARKET FUNDS: 0.8%
   
    3,547,248
 
First American Treasury Obligations Fund, Class X, 1.488% 6
 
3,547,248
TOTAL MONEY MARKET FUNDS
   
(Cost $3,547,248)
 
3,547,248
         
TOTAL SHORT-TERM INVESTMENTS
   
(Cost $14,537,617)
 
14,537,257
         
TOTAL INVESTMENTS IN SECURITIES: 100.4%
   
(Cost $426,754,465)
 
427,286,654
Liabilities in Excess of Other Assets: (0.4)%
 
(1,789,352)
TOTAL NET ASSETS: 100.0%
$
 425,497,302
     
CLO - Collateralized Loan Obligation
   
DLY - Daily
   
FCPR - Federal Reserve Bank Prime Loan Rate U.S.
   
LIBOR - London Interbank Offered Rate
   
SOFR - Secured Overnight Financing Rate
   
USD - United States Dollar
   

1 
Variable rate security; rate shown is the rate in effect on February 29, 2020.  An index may have a negative rate.  Interest rate may also be subject to a ceiling or floor.
2 
Fixed-to-variable or fixed-to-float bond; rate shown is the rate in effect on February 29, 2020. An index may have a negative rate. Interest rate may also be subject to a ceiling or floor.
3 
Perpetual call date security. Date shown is next call date.
4 
Rate represents the annualized effective yield to maturity from the purchase price.
5 
Zero coupon security.
6 
The rate quoted is the annualized seven-day effective yield as of February 29, 2020.


Summary of Fair Value Exposure at February 29, 2020 (Unaudited)
         
The Aware Ultra-Short Duration Enhanced Income ETF (the “Fund”) utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
         
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.  These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment spreads, credit risk, yield curves, default rates and similar data.
• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
         
The following is a summary of the inputs used to value the Fund’s investments as of February 29, 2020.
 

Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
                         
Asset Backed Securities
 
$
-
   
$
51,081,699
   
$
-
   
$
51,081,699
 
Collateralized Loan Obligations
   
-
     
33,734,058
     
-
     
33,734,058
 
Collateralized Mortgage Obligations
   
-
     
23,001,544
     
-
     
23,001,544
 
Corporate Bonds 1
   
-
     
226,929,551
     
-
     
226,929,551
 
Federal Agency Obligations
   
-
     
20,008,618
     
-
     
20,008,618
 
Mortgage Backed Securities
   
-
     
6,294,970
     
-
     
6,294,970
 
United States Treasury Obligations
   
-
     
51,698,957
     
-
     
51,698,957
 
Commercial Paper 1
   
-
     
10,990,009
     
-
     
10,990,009
 
Money Market Funds
   
3,547,248
     
-
     
-
     
3,547,248
 
Total Investments in Securities
 
$
3,547,248
   
$
423,739,406
   
$
-
   
$
427,286,654
 
                                 
1 See Schedule of Investments for industry breakout.
                         


Item 2. Controls and Procedures.
 
(a)
The Registrant’s President/Principal Executive Officer and Treasurer/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.

Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).  Filed herewith.
 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)  Tidal ETF Trust                                


By (Signature and Title)             /s/ Eric W. Falkeis                                                               
 Eric W. Falkeis, President/Principal Executive Officer

Date        4/13/2020         



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)*           /s/ Eric W. Falkeis                                                               
 Eric W. Falkeis, President/Principal Executive Officer

Date        4/13/2020           


By (Signature and Title)*          /s/ Daniel Carlson                                                                 
Daniel Carlson, Treasurer/Principal Financial Officer

Date         4/13/2020          

* Print the name and title of each signing officer under his or her signature.


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