Amplify TLT U.S. Treasury 12% Option Income ETF (TLTP) Third Quarter Commentary 2026

The Amplify TLT U.S. Treasury 12% Option Income ETF (TLTP)¹ seeks investment results that generally correspond to the performance (before fees and expenses) of the Bloomberg U.S. Treasury 20+ Year 12% Premium Covered Call 2.0 Index. TLTP provides convenient single ticker access to a weekly covered call strategy offering opportunities for a higher level of income and capital appreciation on the shares not covered by calls.

During the third quarter of 2026, long-term U.S. Treasury yields maintained a persistent upward trajectory, marked by distinct intra-quarter dynamics. The 30-year Treasury yield rose gradually through July and August before accelerating sharply toward the end of September. This late-quarter surge reflected rising term premiums, concerns over heavy Treasury supply, and persistent macroeconomic pressures that diminished expectations for near-term monetary easing. Consequently, the long end of the yield curve faced renewed pressure as markets repriced expectations for prolonged elevated interest rates.

Amid this challenging environment for long-duration assets, the Amplify TLT U.S. Treasury 12% Option Income ETF (TLTP) demonstrated the defensive benefits of its systematic covered call strategy², posting a quarterly return of -7.42% (NAV) (view standardized performance). By systematically capturing elevated option premiums, particularly during heightened interest rate volatility in late September, the Fund generated income that helped offset a portion of the decline in long-term Treasury prices. This disciplined approach provided an income cushion and helped mitigate downside risk relative to direct exposure to long-duration Treasuries.

Looking ahead, while further aggressive yield spikes appear limited, long-term Treasury yields are expected to remain range-bound at elevated levels. This higher-for-longer interest rate environment may provide favorable conditions for TLTP’s covered call strategy, as elevated implied volatility can support attractive option premium generation while helping offset potential declines in underlying Treasury prices. Under these market dynamics, we believe TLTP remains well-positioned to pursue its target of 12% annualized income, generating consistent cash flow to cushion underlying duration risk while optimizing risk-adjusted yield for investors.

YIELD

Distribution Rate is the normalized current distribution (annualized) over NAV per share. Distributions may include income, capital gains, or return of capital and may change during the year. Details are provided in the Fund’s Form 19(a)-1. There is no guarantee the ETF will pay a distribution. 30-Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission that allows for fairer comparisons among bond funds. It is based on the most recent month end. This figure reflects the income earned from dividends – excluding option income – during the period after deducting the Fund’s expenses for the period.

QUARTER-END PERFORMANCE

Data as of 9/30/26. Fund inception date: 10/28/24. Total expense ratio is 0.39%. There is no guarantee that a distribution will be made. The performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted. Click here for recent month end performance. Brokerage commissions will reduce returns. NAV is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The closing price is the last price at which the fund traded. Prospectus

TOP STRATEGIC HOLDINGS

Data as of 9/30/26. Holdings and allocations are subject to change at any time and should not be considered a recommendation to buy or sell a security.

Visit the TLTP fund page for more information, including fact sheets, index methodology and regulatory documents.