0001752724-22-268474.txt : 20221128 0001752724-22-268474.hdr.sgml : 20221128 20221128093025 ACCESSION NUMBER: 0001752724-22-268474 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221128 DATE AS OF CHANGE: 20221128 PERIOD START: 20230630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHERN LIGHTS FUND TRUST III CENTRAL INDEX KEY: 0001537140 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22655 FILM NUMBER: 221421320 BUSINESS ADDRESS: STREET 1: 225 PICTORIA DRIVE STREET 2: SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 BUSINESS PHONE: 631-470-2621 MAIL ADDRESS: STREET 1: 17605 WRIGHT STREET CITY: OMAHA STATE: NE ZIP: 68130 0001537140 S000047421 Swan Defined Risk Emerging Markets Fund C000148875 Swan Defined Risk Emerging Markets Fund Class A Shares SDFAX C000148876 Swan Defined Risk Emerging Markets Fund Class C Shares SDFCX C000148877 Swan Defined Risk Emerging Markets Fund Class I Shares SDFIX NPORT-P 1 primary_doc.xml NPORT-P false 0001537140 XXXXXXXX S000047421 C000148875 C000148877 C000148876 NORTHERN LIGHTS FUND TRUST III 811-22655 0001537140 549300PPUECJSQFBYV98 225 PICTORIA DRIVE SUITE 450 CINCINNATI 45246 631-470-2600 Swan Defined Risk Emerging Markets Fund S000047421 5493003KBENC05ON4423 2023-06-30 2022-09-30 N 29683638.48 1156126.84 28527511.64 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 149109.32999999 N MSCI/EM (EMERGING MARKETS) 891800 N/A N/A EEM US 12/16/22 P32 N/A -1615.00000000 NC USD -147156.88000000 -0.51584197688 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written Ishares Trust Ishares Trust MSCI EMG MKT ETF -1615.00000000 32.00000000 USD 2022-12-16 XXXX -60270.51000000 N N N N/A N/A EEM US 12/15/23 P48 N/A 1210.00000000 NC USD 1623357.84000000 5.690499264309 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased Ishares Trust Ishares Trust MSCI EMG MKT ETF 1210.00000000 48.00000000 USD 2023-12-15 XXXX 866331.81000000 N N N N/A N/A EEM US 12/16/22 C42 N/A -1585.00000000 NC USD -15272.78000000 -0.05353702135 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Call Written Ishares Trust Ishares Trust MSCI EMG MKT ETF -1585.00000000 42.00000000 USD 2022-12-16 XXXX 31405.73000000 N N N Ishares Inc 549300MGJZCNMJLBAJ67 ISHARES CORE MSCI EMERGIN 46434G103 539800.00000000 NS USD 23200604.00000000 81.32712131635 Long EC RF US N 1 N N N N/A N/A SPX US 12/16/22 P3400 N/A -35.00000000 NC USD -386116.11000000 -1.35348681957 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written S&P Indices INDEX 78378X107 -35.00000000 3400.00000000 USD 2022-12-16 XXXX -97052.83000000 N N N N/A N/A EEM US 12/15/23 P40 N/A 2461.00000000 NC USD 1610489.04000000 5.645389125849 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased Ishares Trust Ishares Trust MSCI EMG MKT ETF 2461.00000000 40.00000000 USD 2023-12-15 XXXX 423154.01000000 N N N N/A N/A EEM US 12/16/22 P30 N/A -3317.00000000 NC USD -181422.36000000 -0.63595578292 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written Ishares Trust Ishares Trust MSCI EMG MKT ETF -3317.00000000 30.00000000 USD 2022-12-16 XXXX -67140.21000000 N N N N/A N/A EEM US 12/15/23 P42 N/A 107.00000000 NC USD 86195.28000000 0.302147909315 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased Ishares Trust Ishares Trust MSCI EMG MKT ETF 107.00000000 42.00000000 USD 2023-12-15 XXXX 35873.27000000 N N N N/A N/A SPX US 12/16/22 P3025 N/A 35.00000000 NC USD 145033.10000000 0.508397303733 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 35.00000000 3025.00000000 USD 2022-12-16 XXXX 39296.38000000 N N N N/A N/A EEM US 12/16/22 C40 N/A -1615.00000000 NC USD -34404.71000000 -0.12060186122 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Call Written Ishares Trust Ishares Trust MSCI EMG MKT ETF -1615.00000000 40.00000000 USD 2022-12-16 XXXX 13722.55000000 N N N N/A N/A EEM US 11/18/22 P34 N/A -1583.00000000 NC USD -148599.00000000 -0.52089716718 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written Ishares Trust Ishares Trust MSCI EMG MKT ETF -1583.00000000 34.00000000 USD 2022-11-18 XXXX -24414.16000000 N N N Ishares Trust 549300MGJZCNMJLBAJ67 ISHARES MSCI EMERGING MAR 464287234 48500.00000000 NS USD 1691680.00000000 5.929994951357 Long EC RF US N 1 N N N N/A N/A EEM US 12/16/22 P33 N/A -1585.00000000 NC USD -185894.00000000 -0.65163061659 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written Ishares Trust Ishares Trust MSCI EMG MKT ETF -1585.00000000 33.00000000 USD 2022-12-16 XXXX -113856.07000000 N N N N/A N/A EEM US 12/16/22 P36 N/A 3317.00000000 NC USD 813691.05000000 2.852302928724 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased Ishares Trust Ishares Trust MSCI EMG MKT ETF 3317.00000000 36.00000000 USD 2022-12-16 XXXX 198235.86000000 N N N FIRST AMERN FDS INC 549300J5J5SJCZ9IA369 FRST AM-GV OB-X 31846V336 355643.08000000 PA USD 355643.08000000 1.246667022655 Long STIV RF US N 1 N N N 2022-10-28 NORTHERN LIGHTS FUND TRUST III Brian Curley Brian Curley Treasurer XXXX NPORT-EX 2 swandefrisknport.htm SWAN FUNDS NPORT EX

 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
 
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 84.3%      
    EQUITY - 84.3%      
1,029,751   Communication Services Select Sector SPDR Fund(a)       $ 49,314,775
488,791   Consumer Discretionary Select Sector SPDR Fund(a)         69,628,278
604,904   Consumer Staples Select Sector SPDR Fund(a)         40,365,244
379,782   Energy Select Sector SPDR Fund(a)         27,351,900
2,191,869   Financial Select Sector SPDR Fund(a)         66,545,143
751,207   Health Care Select Sector SPDR Fund(a)         90,978,680
573,195   Industrial Select Sector SPDR Fund(a)         47,483,474
432,000   iShares Core S&P 500 ETF         154,936,800
224,769   Materials Select Sector SPDR Fund(a)         15,286,540
436,711   Real Estate Select Sector SPDR Fund(a)         15,725,963
1,335,463   Technology Select Sector SPDR Fund(a)         158,626,294
275,716   Utilities Select Sector SPDR Fund(a)         18,062,155
             

754,305,246

               
    TOTAL EXCHANGE-TRADED FUNDS (Cost $402,665,508)    

  754,305,246

               
    SHORT-TERM INVESTMENTS — 0.0%(b)      
    MONEY MARKET FUNDS - 0.0% (b)      
424,471   First American Government Obligations Fund Class X, 2.77% (Cost $424,471)(d)         424,471
             
 
Contracts(d)              
    INDEX OPTIONS PURCHASED - 19.3%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 0.2%      
535   S&P 500 Index   10/21/2022 $ 4,070 $ 191,830,670 $                 75,907
1,059   S&P 500 Index   11/18/2022   4,000   379,717,158   1,648,646
    TOTAL CALL OPTIONS PURCHASED (Cost - $7,716,894)  

1,724,553

         
    PUT OPTIONS PURCHASED - 19.1%      
535   S&P 500 Index   10/21/2022 3,670 191,830,670 7,649,767
1,062   S&P 500 Index   12/16/2022   3,025   380,792,844   4,400,718
584   S&P 500 Index   12/15/2023   3,650   209,400,208   21,276,387
1,048   S&P 500 Index   12/15/2023   4,525   375,772,976   90,622,100
478   S&P 500 Index   12/15/2023   4,700   171,392,636   47,886,921
    TOTAL PUT OPTIONS PURCHASED (Cost - $102,942,348)  

171,835,893

         

 

SWAN DEFINED RISK FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
 
               
              Fair Value
           
    TOTAL INDEX OPTIONS PURCHASED (Cost - $110,659,242)     $ 173,560,446
           
    TOTAL INVESTMENTS - 103.6% (Cost $513,749,221)     $ 928,290,163
    CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $10,189,606)     (2,242,227)
    PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $19,750,898)     (32,699,275)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2%    

1,809,383

    NET ASSETS - 100.0%        

$ 895,158,044

           
Contracts(d)              
    WRITTEN INDEX OPTIONS - (3.8)%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS WRITTEN- (0.2)%      
535   S&P 500 Index   10/21/2022 $ 3,870 $ 191,830,670 $ 599,539
1,055   S&P 500 Index   11/18/2022   4,040   378,282,910   1,237,175
1,059   S&P 500 Index   11/18/2022   4,200   379,717,158   405,513
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $10,189,606)  

2,242,227

         
    PUT OPTIONS WRITTEN - (3.6)%      
535   S&P 500 Index   10/21/2022 3,870 191,830,670 15,551,890
1,055   S&P 500 Index   11/18/2022   3,260   378,282,910   5,431,519
1,062   S&P 500 Index   12/16/2022   3,400   380,792,844   11,715,866
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $19,750,898)  

32,699,275

         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $29,940,504)    

$ 34,941,502

           
               
 

 

 

 

ETF  - Exchange-Traded Fund
SPDR  - Standard & Poor's Depositary Receipt
 

 

 

(a) All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $277,069,077.
(b) Percentage rounds to less than 0.1%.
(c) Rate disclosed is the seven day effective yield as of September 30, 2022.
(d) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

 

 

SWAN DEFINED RISK EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
 
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 87.4%      
    EQUITY - 87.4%      
539,800   iShares Core MSCI Emerging Markets ETF(a)       $ 23,200,605
48,500   iShares MSCI Emerging Markets ETF(a)         1,691,680
             

24,892,285

               
    TOTAL EXCHANGE-TRADED FUNDS (Cost $28,015,502)    

  24,892,285

               
    SHORT-TERM INVESTMENTS — 1.2%      
    MONEY MARKET FUNDS - 1.2%      
355,643   First American Government Obligations Fund Class X, 2.77% (Cost $355,643)(b)         355,643
             
 
Contracts(c)              
    EQUITY OPTIONS PURCHASED - 14.4%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 14.4%      
3,317   iShares MSCI Emerging Markets ETF   12/16/2022 $ 36 $ 11,569,696 $ 813,691
2,461   iShares MSCI Emerging Markets ETF   12/15/2023   40   8,583,968   1,610,489
107   iShares MSCI Emerging Markets ETF   12/15/2023   42   373,216   86,195
1,210   iShares MSCI Emerging Markets ETF   12/15/2023   48   4,220,480   1,623,358
    TOTAL PUT OPTIONS PURCHASED (Cost - $2,610,138)  

4,133,733

         
    TOTAL EQUITY OPTIONS PURCHASED (Cost - $2,610,138)     4,133,733
           
               
    INDEX OPTIONS PURCHASED - 0.5%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 0.5%      
35   S&P 500 Index   12/16/2022   $ 3,025  $ 12,549,670 $                145,033
    TOTAL PUT OPTIONS PURCHASED (Cost - $105,737)  
 
         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $105,737)     145,033
           
    TOTAL INVESTMENTS - 103.5% (Cost $31,087,020)     $ 29,526,694
    CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $94,806)     (49,678)
    PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $686,455)     (1,049,188)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3%    

99,684

    NET ASSETS - 100.0%        

$ 28,527,512

           

 

 

SWAN DEFINED RISK EMERGING MARKETS FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
 
Contracts(c)              
    WRITTEN EQUITY OPTIONS - (2.5)%   Expiration Date Exercise Price Notional Value Fair Value
    CALL OPTIONS WRITTEN- (0.2)%      
1,615   iShares MSCI Emerging Markets ETF   12/16/2022 $ 40 $ 5,633,120 $ 34,405
1,585   iShares MSCI Emerging Markets ETF   12/16/2022   42   5,528,480   15,273
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $94,806)  

49,678

         
    PUT OPTIONS WRITTEN - (2.3)%      
1,583   iShares MSCI Emerging Markets ETF   11/18/2022 34 5,521,504 148,599
3,317   iShares MSCI Emerging Markets ETF   12/16/2022   30   11,569,696   181,422
1,615   iShares MSCI Emerging Markets ETF   12/16/2022   32   5,633,120   147,157
1,585   iShares MSCI Emerging Markets ETF   12/16/2022   33   5,528,480   185,894
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $397,391)  

663,072

         
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $492,197)    

$ 712,750

           
               
    WRITTEN INDEX OPTIONS - (1.3)%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS WRITTEN - (1.3)%      
35   S&P 500 Index   12/16/2022  $ 3,400  $ 12,549,670     $                 386,116
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $289,064)  
 
         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $289,064)    

$ 386,116

           
               
 

 

 

 

ETF  - Exchange-Traded Fund
MSCI  - Morgan Stanley Capital International
 

 

 

(a) All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $18,875,084.
(b) Rate disclosed is the seven day effective yield as of September 30, 2022.
(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

 

 

SWAN DEFINED RISK FOREIGN FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
 
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 89.5%      
    EQUITY - 89.5%      
498,300   iShares MSCI EAFE ETF(a)       $ 27,909,782
             
 
    TOTAL EXCHANGE-TRADED FUNDS (Cost $28,477,141)    

  27,909,782

               
    SHORT-TERM INVESTMENTS — 0.3%      
    MONEY MARKET FUNDS - 0.3%      
96,358   First American Government Obligations Fund Class X, 2.77% (Cost $96,358)(b)         96,358
             
 
Contracts(c)              
    EQUITY OPTIONS PURCHASED - 12.1%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 12.1%      
2,492   iShares MSCI EAFE ETF   12/16/2022 $ 59 $ 13,957,692 $ 1,115,676
1,749   iShares MSCI EAFE ETF   12/15/2023   60   9,796,149   1,293,629
80   iShares MSCI EAFE ETF   12/15/2023   65   448,080   84,979
662   iShares MSCI EAFE ETF   12/15/2023   75   3,707,862   1,278,226
    TOTAL PUT OPTIONS PURCHASED (Cost - $2,046,340)  

3,772,510

         
    TOTAL EQUITY OPTIONS PURCHASED (Cost - $2,046,340)     3,772,510
           
               
    INDEX OPTIONS PURCHASED - 0.5%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 0.5%      
38   S&P 500 Index   12/16/2022   $ 3,025   $13,625,356  $ 157,465
    TOTAL PUT OPTIONS PURCHASED (Cost - $114,799)  
 
         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $114,799)     157,465
           
    TOTAL INVESTMENTS - 102.4% (Cost $30,734,638)     $ 31,936,115
    CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $113,691)     (40,184)
    PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $833,332)     (1,158,365)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4%    

423,750

    NET ASSETS - 100.0%        

$ 31,161,316

           

 

 

SWAN DEFINED RISK FOREIGN FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
 
Contracts(c)              
    WRITTEN EQUITY OPTIONS - (2.5)%   Expiration Date Exercise Price Notional Value Fair Value
    CALL OPTIONS WRITTEN- (0.2)%      
1,140   iShares MSCI EAFE ETF   12/16/2022 $ 65 $ 6,385,140 $ 23,351
1,140   iShares MSCI EAFE ETF   12/16/2022   66   6,385,140   16,833
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $113,691)  

40,184

         
    PUT OPTIONS WRITTEN - (2.3)%      
1,140   iShares MSCI EAFE ETF   11/18/2022 54 6,385,140 161,508
3,632   iShares MSCI EAFE ETF   12/16/2022   50   20,342,832   379,182
1,140   iShares MSCI EAFE ETF   12/16/2022   53   6,385,140   198,463
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $519,491)  

739,153

         
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $633,182)    

779,337

           
Contracts(c)              
    WRITTEN INDEX OPTIONS - (1.3)%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS WRITTEN - (1.3)%      
38   S&P 500 Index   12/16/2022   $ 3,400   $ 13,625,356   419,212
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $313,841)  
 
         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $313,841)    

$ 419,212

           
               
 

 

 

 

EAFE  - Europe, Australasia and Far East
ETF  - Exchange-Traded Fund
MSCI  - Morgan Stanley Capital International
 

 

 

(a) All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $18,444,093.
(b) Rate disclosed is the seven day effective yield as of September 30, 2022.
(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

 

 

SWAN DEFINED RISK GROWTH FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
 
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 83.8%      
    EQUITY - 83.8%      
229,000   iShares Core S&P 500 ETF(a)       $ 82,130,850
             
 
    TOTAL EXCHANGE-TRADED FUNDS (Cost $75,346,816)    

  82,130,850

               
    SHORT-TERM INVESTMENTS — 0.8%      
    MONEY MARKET FUNDS - 0.8%      
821,512   First American Government Obligations Fund Class X, 2.77% (Cost $821,512)(b)         821,512
             
 
Contracts(c)              
    INDEX OPTIONS PURCHASED - 18.5%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 2.3%      
58   S&P 500 Index   10/21/2022 $ 4,070.00 $ 20,796,596 $ 8,229
115   S&P 500 Index   11/18/2022   4,000.00   41,234,630   179,032
60   S&P 500 Index   12/15/2023   4,050.00   21,513,720   1,384,140
56   S&P 500 Index   12/15/2023   4,750.00   20,079,472   299,552
99   S&P 500 Index   12/15/2023   4,900.00   35,497,638   376,209
14   S&P 500 Index   12/15/2023   5,000.00   5,019,868   42,401
    TOTAL CALL OPTIONS PURCHASED (Cost - $7,563,052)  

2,289,563

         
    PUT OPTIONS PURCHASED - 16.2%      
1,000   Chicago Board Options Exchange Volatility Index   11/16/2022 27.00 3,162,000 200,681
58   S&P 500 Index   10/21/2022   3,670.00   20,796,596   829,321
116   S&P 500 Index   12/16/2022   3,025.00   41,593,192   480,681
60   S&P 500 Index   12/15/2023   3,450.00   21,513,720   1,743,863
54   S&P 500 Index   12/15/2023   4,300.00   19,362,348   3,812,664
115   S&P 500 Index   12/15/2023   4,400.00   41,234,630   8,900,711
    TOTAL PUT OPTIONS PURCHASED (Cost - $9,945,013)  

15,967,921

         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $17,508,065)     18,257,484
           
    TOTAL INVESTMENTS - 103.1% (Cost $93,676,393)     $ 101,209,846
    CALL OPTIONS WRITTEN - (1.2)% (Proceeds - $3,889,693)     (1,233,365)
    PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $2,150,567)     (3,557,759)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7%    

1,716,584

    NET ASSETS - 100.0%        

$ 98,135,306

           

 

 

SWAN DEFINED RISK GROWTH FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
 
Contracts(c)              
    WRITTEN INDEX OPTIONS - (4.8)%   Expiration Date Exercise Price Notional Value Fair Value
    CALL OPTIONS WRITTEN- (1.2)%      
1,000   Chicago Board Options Exchange Volatility Index   11/16/2022 $ 32.50 $ 3,162,000 $ 342,910
58   S&P 500 Index   10/21/2022   3,870.00   20,796,596   64,997
115   S&P 500 Index   11/18/2022   4,040.00   41,234,630   134,858
115   S&P 500 Index   11/18/2022   4,200.00   41,234,630   44,036
60   S&P 500 Index   12/15/2023   4,600.00   21,513,720   451,886
56   S&P 500 Index   12/15/2023   5,350.00   20,079,472   79,352
99   S&P 500 Index   12/15/2023   5,500.00   35,497,638   103,327
14   S&P 500 Index   12/15/2023   5,600.00   5,019,868   11,999
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $3,889,693)  

1,233,365

         
    PUT OPTIONS WRITTEN - (3.6)%      
58   S&P 500 Index   10/21/2022 3,870.00 20,796,596 1,685,999
115   S&P 500 Index   11/18/2022   3,260.00   41,234,630   592,061
116   S&P 500 Index   12/16/2022   3,400.00   41,593,192   1,279,699
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $2,150,567)  

3,557,759

         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $6,040,260)    

$ 4,791,124

           
               
 

 

 

 

ETF  - Exchange-Traded Fund
 

 

 

(a) All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $33,354,450.
(b) Rate disclosed is the seven day effective yield as of September 30, 2022.
(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

 

 

SWAN DEFINED RISK U.S. SMALL CAP FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
 
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 83.4%      
    EQUITY - 83.4%      
204,000   iShares Russell 2000 ETF(a)       $ 33,643,680
             
 
    TOTAL EXCHANGE-TRADED FUNDS (Cost $30,510,289)    

  33,643,680

               
    SHORT-TERM INVESTMENTS — 1.0%      
    MONEY MARKET FUNDS - 1.0%      
416,463   First American Government Obligations Fund, Class X, 2.77% (Cost $416,463)(b)         416,463
             
 
Contracts(c)              
    INDEX OPTIONS PURCHASED - 16.5%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 0.0%(d)      
23   S&P 500 Index   10/21/2022 $ 4,070 $ 8,246,926 $ 3,263
    TOTAL CALL OPTIONS PURCHASED (Cost - $74,728)  
 
         
    PUT OPTIONS PURCHASED - 16.5%      
98   Russell 2000 Index   12/15/2023 1,750 16,314,256 2,106,558
36   Russell 2000 Index   12/15/2023   1,900   5,992,992   1,058,190
38   Russell 2000 Index   12/15/2023   2,000   6,325,936   1,351,155
32   Russell 2000 Index   12/15/2023   2,200   5,327,104   1,597,999
23   S&P 500 Index   10/21/2022   3,670   8,246,926   328,869
46   S&P 500 Index   12/16/2022   3,025   16,493,852   190,615
    TOTAL PUT OPTIONS PURCHASED (Cost - $4,704,342)  

6,633,386

         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $4,779,070)     6,636,649
           
    TOTAL INVESTMENTS - 100.9% (Cost $35,705,822)     $ 40,696,792
    CALL OPTIONS WRITTEN - (0.4)% (Proceeds - $397,331)     (140,376)
    PUT OPTIONS WRITTEN - (3.5)% (Proceeds - $866,077)     (1,391,629)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 3.0%    

1,221,629

    NET ASSETS - 100.0%        

$ 40,386,416

           
Contracts(c)              
    WRITTEN INDEX OPTIONS - (3.9)%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS WRITTEN- (0.4)%      
51   Russell 2000 Index   11/18/2022 $ 1,880 $ 8,490,072 $ 63,686
51   Russell 2000 Index   11/18/2022   1,900   8,490,072   50,915

 

 

SWAN DEFINED RISK U.S. SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
 
Contracts(c)              
    WRITTEN INDEX OPTIONS - (3.9)%   Expiration Date Exercise Price Notional Value Fair Value
    CALL OPTIONS WRITTEN- (0.4)% (Continued)      
23   S&P 500 Index   10/21/2022 $ 3,870 $ 8,246,926 $ 25,775
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $397,331)  

140,376

         
    PUT OPTIONS WRITTEN - (3.5)%      
102   Russell 2000 Index   11/18/2022 1,450 16,980,144 215,576
23   S&P 500 Index   10/21/2022   3,870   8,246,926   668,586
46   S&P 500 Index   12/16/2022   3,400   16,493,852   507,467
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $866,077)  

1,391,629

         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $1,263,408)    

$ 1,532,005

           
               
 

 

 

 

ETF  - Exchange-Traded Fund
 

 

 

(a) All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $23,088,800.
(b) Rate disclosed is the seven day effective yield as of September 30, 2022.
(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.
(d) Percentage rounds to less than 0.1%.