0001752724-23-272759.txt : 20231129 0001752724-23-272759.hdr.sgml : 20231129 20231129100611 ACCESSION NUMBER: 0001752724-23-272759 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231129 DATE AS OF CHANGE: 20231129 PERIOD START: 20240630 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: 231449014 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 S000037505 Swan Defined Risk Fund C000115777 Swan Defined Risk Fund Class A Shares SDRAX C000115778 Swan Defined Risk Fund Class C Shares SDRCX C000115779 Swan Defined Risk Fund Class I Shares SDRIX NPORT-P 1 primary_doc.xml NPORT-P false 0001537140 XXXXXXXX S000037505 C000115778 C000115777 C000115779 NORTHERN LIGHTS FUND TRUST III 811-22655 0001537140 549300PPUECJSQFBYV98 225 PICTORIA DRIVE SUITE 450 CINCINNATI 45246 631-470-2600 Swan Defined Risk Fund S000037505 549300A86W0U1NC10X11 2024-06-30 2023-09-30 N 806027811.25 50628598.61 755399212.64 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 13533711.61999999 N S&P 500 (TR) 500TR Select Sector Spdr 5493008JJKIPMEX3CO91 CONSUMER STAPLES SPDR 81369Y308 407168.00000000 NS USD 28017230.08000000 3.708930273051 Long EC RF US N 1 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 REAL ESTATE SELECT SECT S 81369Y860 295952.00020000 NS USD 10083084.65000000 1.334802112747 Long EC RF US N 1 N N N N/A N/A SPXW US 10/06/23 P4500 N/A -437.00000000 NC USD -9042852.50000000 -1.19709583339 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written S&P Indices INDEX 78378X107 -437.00000000 4500.00000000 USD 2023-10-06 XXXX -5873501.37000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 TECHNOLOGY SELECT SECT SP 81369Y803 739356.00000000 NS USD 121202629.08000000 16.04484450763 Long EC RF US N 1 N N N N/A N/A SPXW US 10/30/23 P4210 N/A 418.00000000 NC USD 1278172.94000000 0.169204960584 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 418.00000000 4210.00000000 USD 2023-10-30 XXXX -1693.63000000 N N N N/A N/A SPXW US 10/13/23 C4495 N/A -419.00000000 NC USD -53373.80000000 -0.00706564146 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Call Written S&P Indices INDEX 78378X107 -419.00000000 4495.00000000 USD 2023-10-13 XXXX 1631299.40000000 N N N N/A N/A SPX US 10/20/23 P4050 N/A 836.00000000 NC USD 874086.51000000 0.115711864054 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 836.00000000 4050.00000000 USD 2023-10-20 XXXX 410900.50000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 CONSUMER DISCRETIONARY SE 81369Y407 284812.00000000 NS USD 45849035.76000000 6.069510663079 Long EC RF US N 1 N N N N/A N/A SPX US 10/20/23 P4350 N/A 836.00000000 NC USD 7374760.78000000 0.976273294517 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 836.00000000 4350.00000000 USD 2023-10-20 XXXX 4921894.77000000 N N N First American Funds Inc. 549300J5J5SJCZ9IA369 FRST AM-GV OB-X 31846V336 7490023.34000000 PA USD 7490023.34000000 0.991531790696 Long STIV RF US N 1 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 FINANCIAL SELECT SECTOR S 81369Y605 1670122.00000000 NS USD 55397946.74000000 7.333598687029 Long EC RF US N 1 N N N N/A N/A SPXW US 10/06/23 C4725 N/A 437.00000000 NC USD 143.99000000 0.000019061444 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Call Purchased S&P Indices INDEX 78378X107 437.00000000 4725.00000000 USD 2023-10-06 XXXX -42205.79000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 ENERGY SELECT SECTOR SPDR 81369Y506 230089.00000000 NS USD 20797744.71000000 2.753212389157 Long EC RF US N 1 N N N N/A N/A SPXW US 10/06/23 C4275 N/A -437.00000000 NC USD -2089616.57000000 -0.27662413926 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Call Written S&P Indices INDEX 78378X107 -437.00000000 4275.00000000 USD 2023-10-06 XXXX 220937.79000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 UTILITIES SELECT SECTOR S 81369Y886 178675.00000000 NS USD 10529317.75000000 1.393874599524 Long EC RF US N 1 N N N N/A N/A SPX US 12/20/24 P4600 N/A 1250.00000000 NC USD 44692597.86000000 5.916421027737 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 1250.00000000 4600.00000000 USD 2024-12-20 XXXX 11783785.05000000 N N N N/A N/A SPXW US 10/13/23 P4270 N/A 419.00000000 NC USD 1756447.32000000 0.232519082706 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 419.00000000 4270.00000000 USD 2023-10-13 XXXX 1162179.52000000 N N N N/A N/A SPXW US 10/30/23 P4300 N/A -418.00000000 NC USD -2239572.94000000 -0.29647541359 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written S&P Indices INDEX 78378X107 -418.00000000 4300.00000000 USD 2023-10-30 XXXX -1693.63000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 HEALTH CARE SELECT SECTOR 81369Y209 458174.00000000 NS USD 58985320.76000000 7.808496457635 Long EC RF US N 1 N N N N/A N/A SPX US 12/20/24 P4000 N/A 441.00000000 NC USD 7607205.63000000 1.007044421374 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 441.00000000 4000.00000000 USD 2024-12-20 XXXX -8097703.20000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 INDUSTRIAL SELECT SECT SP 81369Y704 358683.00000000 NS USD 36363282.54000000 4.813783484485 Long EC RF US N 1 N N N N/A N/A SPX US 10/20/23 P4200 N/A -1672.00000000 NC USD -5280570.20000000 -0.69904364627 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written S&P Indices INDEX 78378X107 -1672.00000000 4200.00000000 USD 2023-10-20 XXXX -3347822.22000000 N N N N/A N/A SPXW US 10/06/23 P4050 N/A 437.00000000 NC USD 77305.86000000 0.010233775559 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Put Purchased S&P Indices INDEX 78378X107 437.00000000 4050.00000000 USD 2023-10-06 XXXX -196850.57000000 N N N Ishares Trust 5493000860OXIC4B5K91 ISHARES-C S&P500 464287200 652000.00000000 NS USD 279988360.00000000 37.06495258599 Long EC RF US N 1 N N N N/A N/A SPXW US 10/13/23 P4495 N/A -419.00000000 NC USD -8372207.63000000 -1.10831564157 Short DE CORP N/A N 2 GOLDMAN SACHS N/A Put Written S&P Indices INDEX 78378X107 -419.00000000 4495.00000000 USD 2023-10-13 XXXX -5420897.43000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 MATERIALS SELECT SECTOR S 81369Y100 136779.00000000 NS USD 10743990.45000000 1.422293043230 Long EC RF US N 1 N N N N/A N/A SPXW US 10/13/23 C4720 N/A 419.00000000 NC USD 692.28000000 0.000091644257 Long DE CORP N/A N 2 GOLDMAN SACHS N/A Call Purchased S&P Indices INDEX 78378X107 419.00000000 4720.00000000 USD 2023-10-13 XXXX -39657.52000000 N N N Select Sector Spdr 5493008JJKIPMEX3CO91 COMM SERV SELECT SECTOR S 81369Y852 590441.00000000 NS USD 38715216.37000000 5.125133270220 Long EC RF US N 1 N N N 2023-10-27 NORTHERN LIGHTS FUND TRUST III Rich Gleason Rich Gleason Treasurer XXXX NPORT-EX 2 swan_nport.htm SWAN FUNDS NPORT EX

 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 94.9%          
  EQUITY - 94.9%          
590,441 Communication Services Select Sector SPDR Fund(a)         $ 38,715,216
284,812 Consumer Discretionary Select Sector SPDR Fund(a)         45,849,036
407,168 Consumer Staples Select Sector SPDR Fund(a)         28,017,230
230,089 Energy Select Sector SPDR Fund(a)         20,797,745
1,670,122 Financial Select Sector SPDR Fund(a)         55,397,947
458,174 Health Care Select Sector SPDR Fund(a)         58,985,321
358,683 Industrial Select Sector SPDR Fund(a)         36,363,283
652,000 iShares Core S&P 500 ETF         279,988,359
136,779 Materials Select Sector SPDR Fund(a)         10,743,990
295,952 Real Estate Select Sector SPDR Fund(a)         10,083,085
739,356 Technology Select Sector SPDR Fund(a)         121,202,629
178,675 Utilities Select Sector SPDR Fund(a)         10,529,318
  TOTAL EXCHANGE-TRADED FUNDS (Cost $368,857,822)        

716,673,159

 

 

 

SHORT-TERM INVESTMENT — 1.0%

          
  MONEY MARKET FUND - 1.0%          
7,490,023

First American Government Obligations Fund Class X, 5.26% (Cost $7,490,023)(b)

         7,490,023

 

Contracts(c)

            
  INDEX OPTIONS PURCHASED - 8.4% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS PURCHASED - 0.0%(d)          
437 S&P 500 Index 10/06/2023 $ 4,725      $ 187,387,785   $ 144
419 S&P 500 Index 10/13/2023 4,720 179,669,295   692
  TOTAL CALL OPTIONS PURCHASED (Cost - $82,700)        

836

 

 

 

PUT OPTIONS PURCHASED - 8.4%

        
437 S&P 500 Index 10/06/2023 4,050 187,387,785   77,306
419 S&P 500 Index 10/13/2023 4,270 179,669,295   1,756,447
836 S&P 500 Index 10/20/2023 4,050 358,480,980   874,087
836 S&P 500 Index 10/20/2023 4,350 358,480,980   7,374,761
418 S&P 500 Index 10/30/2023 4,210 179,240,490   1,278,173
441 S&P 500 Index 12/20/2024 4,000 189,103,005   7,607,206
1,250 S&P 500 Index 12/20/2024 4,600 536,006,250   44,692,599
  TOTAL PUT OPTIONS PURCHASED (Cost - $53,678,063)         63,660,579
 

 

TOTAL INDEX OPTIONS PURCHASED (Cost - $53,760,763)

        

 

63,661,415

 
 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
           

 

Fair Value

 

 

 

TOTAL INVESTMENTS - 104.3% (Cost $430,108,608)

        

 

 

$ 787,824,597     

  CALL OPTIONS WRITTEN - (0.3)% (Proceeds - $3,995,227)         (2,142,991)
  PUT OPTIONS WRITTEN - (3.3)% (Proceeds - $10,291,288)         (24,935,204)
  LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)%         (5,347,189)
  NET ASSETS - 100.0%        

$ 755,399,213     

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (3.6)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.3)%          
437 S&P 500 Index 10/06/2023 $ 4,275      $ 187,387,785   $ 2,089,617
419 S&P 500 Index 10/13/2023 4,495 179,669,295   53,374
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $3,995,227)        

 

2,142,991

 

 

 

PUT OPTIONS WRITTEN - (3.3)%

        
437 S&P 500 Index 10/06/2023 4,500 187,387,785   9,042,853
419 S&P 500 Index 10/13/2023 4,495 179,669,295   8,372,208
1,672 S&P 500 Index 10/20/2023 4,200 716,961,960   5,280,570
418 S&P 500 Index 10/30/2023 4,300 179,240,490   2,239,573
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $10,291,288)        

24,935,204

 

 

 

TOTAL INDEX OPTIONS WRITTEN (Proceeds - $14,286,515)

        

 

 

$ 27,078,195

 

 

 

 

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, 2023 the total value of securities held as collateral is $293,840,989.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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%.
 
 

 

SWAN DEFINED RISK EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 92.4%          
  EQUITY - 92.4%          
532,500 iShares Core MSCI Emerging Markets ETF(a)         $ 25,341,675
  TOTAL EXCHANGE-TRADED FUNDS (Cost $25,618,521)          
 

 

SHORT-TERM INVESTMENT — 1.6%

          
  MONEY MARKET FUND - 1.6%          
432,485 First American Government Obligations Fund Class X, 5.26% (Cost $432,485)(b)       432,485

 

Contracts(c)

          
  EQUITY OPTIONS PURCHASED - 6.8% Expiration Date Exercise Price Notional Value    
  PUT OPTIONS PURCHASED - 6.8%          
6,430 iShares MSCI Emerging Markets ETF 12/20/2024 $ 38.00 $ 24,401,850   1,802,011
113 iShares MSCI Emerging Markets ETF 12/20/2024 40.00 428,835   42,267
  TOTAL PUT OPTIONS PURCHASED (Cost - $2,981,858)        

 

1,844,278

 

 

 

TOTAL INVESTMENTS - 100.8% (Cost $29,032,864)

        

 

 

$ 27,618,438     

  CALL OPTIONS WRITTEN - (0.3)% (Proceeds - $103,199)         (83,456)
  PUT OPTIONS WRITTEN - (0.7)% (Proceeds - $153,275)         (178,646)
  OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2%         50,160
  NET ASSETS - 100.0%        

$ 27,406,496       

 

Contracts(c)

          
  WRITTEN EQUITY OPTIONS - (1.0)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.3)%          
3,340 iShares MSCI Emerging Markets ETF 12/15/2023 $ 41.50 $ 12,675,300   $ 69,836
1,666 iShares MSCI Emerging Markets ETF 12/15/2023 43.00 6,322,470   13,620
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $103,199)        

83,456

 

 

 

PUT OPTIONS WRITTEN - (0.7)%

        
3,340 iShares MSCI Emerging Markets ETF 12/15/2023 35.00 12,675,300   101,037
1,666 iShares MSCI Emerging Markets ETF 12/15/2023 36.00 6,322,470   77,609
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $153,275)         178,646
 

 

TOTAL WRITTEN EQUITY OPTIONS (Proceeds - $256,474)

        

 

262,102

 

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, 2023 the total value of securities held as collateral is $6,662,600.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 95.0%          
  EQUITY - 95.0%          
389,000 iShares MSCI EAFE ETF(a)         $ 26,809,880      
  TOTAL EXCHANGE-TRADED FUNDS (Cost $21,532,983)        
 

 

SHORT-TERM INVESTMENT — 0.6%

          
  MONEY MARKET FUND - 0.6%          
161,751 First American Government Obligations Fund Class X, 5.26% (Cost $161,751)(b)       161,751

 

Contracts(c)

            
  EQUITY OPTIONS PURCHASED - 4.9% Expiration Date Exercise Price Notional Value    
  PUT OPTIONS PURCHASED - 4.9%          
3,127 iShares MSCI EAFE ETF 12/20/2024 $ 65      $ 21,551,284   988,778
763 iShares MSCI EAFE ETF 12/20/2024 70 5,258,596   371,118
  TOTAL PUT OPTIONS PURCHASED (Cost - $2,629,747)        

1,359,896

 

 

 

TOTAL INVESTMENTS - 100.5% (Cost $24,324,481)

        

 

 

$ 28,331,527     

  CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $38,364)         (22,799)
  PUT OPTIONS WRITTEN - (0.8)% (Proceeds - $141,823)         (222,453)
  OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4%         123,878
  NET ASSETS - 100.0%        

 

$ 28,210,153     

 

Contracts(c)

          
  WRITTEN EQUITY OPTIONS - (0.9)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.1)%          
972 iShares MSCI EAFE ETF 12/15/2023 $ 75 $ 6,699,024   $ 22,799
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $38,364)        
 

 

PUT OPTIONS WRITTEN - (0.8)%

          
972 iShares MSCI EAFE ETF 11/17/2023 66 6,699,024   54,414
972 iShares MSCI EAFE ETF 12/15/2023 65 6,699,024   64,958
972 iShares MSCI EAFE ETF 12/15/2023 67 6,699,024   103,081
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $141,823)         222,453
 

 

TOTAL WRITTEN EQUITY OPTIONS (Proceeds - $180,187)

        

 

245,252

 

 

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, 2023 the total value of securities held as collateral is $11,647,480.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 94.8%          
  EQUITY - 94.8%          
71,000 iShares Core S&P 500 ETF(a)         $ 30,489,530
  TOTAL EXCHANGE-TRADED FUNDS (Cost $19,994,219)          
 

 

SHORT-TERM INVESTMENT — 0.4%

          
  MONEY MARKET FUND - 0.4%          
130,986

First American Government Obligations Fund Class X, 5.26% (Cost $130,986)(b)

         130,986

 

Contracts(c)

          
  INDEX OPTIONS PURCHASED - 8.3% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS PURCHASED - 1.2%          
18 S&P 500 Index 10/06/2023 $ 4,725      $ 7,718,490   $ 6
18 S&P 500 Index 10/13/2023 4,720 7,718,490   30
36 S&P 500 Index 12/20/2024 5,000 15,436,980   401,480
  TOTAL CALL OPTIONS PURCHASED (Cost - $687,875)        

 

401,516

 

 

 

PUT OPTIONS PURCHASED - 7.1%

        
600 Chicago Board Options Exchange Volatility Index 11/15/2023 15 1,051,200   29,748
18 S&P 500 Index 10/06/2023 4,050 7,718,490   3,184
18 S&P 500 Index 10/13/2023 4,270 7,718,490   75,456
36 S&P 500 Index 10/20/2023 4,050 15,436,980   37,640
36 S&P 500 Index 10/20/2023 4,350 15,436,980   317,573
18 S&P 500 Index 10/30/2023 4,210 7,718,490   55,041
18 S&P 500 Index 12/20/2024 3,800 7,718,490   239,655
53 S&P 500 Index 12/20/2024 4,400 22,726,665   1,497,033
  TOTAL PUT OPTIONS PURCHASED (Cost - $1,869,307)        

 

2,255,330

 

 

 

TOTAL INDEX OPTIONS PURCHASED (Cost - $2,557,182)

        

 

 

2,656,846

 

 

 

TOTAL INVESTMENTS - 103.5% (Cost $22,682,387)

        

 

 

$ 33,277,362

  CALL OPTIONS WRITTEN - (1.1)% (Proceeds - $562,132)         (338,895)
  PUT OPTIONS WRITTEN - (3.3)% (Proceeds - $436,928)         (1,055,973)
  OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%         292,136
  NET ASSETS - 100.0%        

 

$ 32,174,630

 
 

 

SWAN DEFINED RISK GROWTH FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (4.4)% Expiration Date Exercise Price Notional Value Fair Value
  CALL OPTIONS WRITTEN- (1.1)%        
600 Chicago Board Options Exchange Volatility Index 11/15/2023 $ 18       $ 1,051,200 $ 126,351
18 S&P 500 Index 10/06/2023 4,275 7,718,490 86,071
18 S&P 500 Index 10/13/2023 4,495 7,718,490 2,293
36 S&P 500 Index 12/20/2024 5,400 15,436,980 124,180
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $562,132)      

338,895

 

 

 

PUT OPTIONS WRITTEN - (3.3)%

        
18 S&P 500 Index 10/06/2023 4,500 7,718,490 372,474
18 S&P 500 Index 10/13/2023 4,495 7,718,490 359,665
72 S&P 500 Index 10/20/2023 4,200 30,873,960 227,393
18 S&P 500 Index 10/30/2023 4,300 7,718,490 96,441
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $436,928)      

1,055,973

 

 

 

TOTAL INDEX OPTIONS WRITTEN (Proceeds - $999,060)

      

 

 

 

$ 1,394,868

 

 

 

 

ETF - Exchange-Traded Fund
(a) All or a portion of the security is held as collateral for written options. As of September 30, 2023 the total value of securities held as collateral is $22,759,790.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 94.3%          
  EQUITY - 94.3%          
186,000 iShares Russell 2000 ETF(a)         $ 32,873,640     
  TOTAL EXCHANGE-TRADED FUNDS (Cost $26,278,861)        
 

 

SHORT-TERM INVESTMENT — 2.1%

          
  MONEY MARKET FUND - 2.1%          
719,216 First American Government Obligations Fund Class X, 5.26% (Cost $719,216)(b)       719,216

 

Contracts(c)

            
  INDEX OPTIONS PURCHASED - 7.2% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS PURCHASED - 0.0%(d)          
19 S&P 500 Index 10/06/2023 $ 4,725      $ 8,147,295   6
19 S&P 500 Index 10/13/2023 4,720 8,147,295   31
  TOTAL CALL OPTIONS PURCHASED (Cost - $3,613)        

37

 

 

 

PUT OPTIONS PURCHASED - 7.2%

        
133 Russell 2000 Index 12/20/2024 1,750 23,741,857   1,506,537
53 Russell 2000 Index 12/20/2024 1,900 9,461,041   907,106
19 S&P 500 Index 10/06/2023 4,050 8,147,295   3,361
19 S&P 500 Index 10/13/2023 4,270 8,147,295   79,648
19 S&P 500 Index 10/30/2023 4,210 8,147,295   58,099
  TOTAL PUT OPTIONS PURCHASED (Cost - $3,619,973)         2,554,751
 

 

TOTAL INDEX OPTIONS PURCHASED (Cost - $3,623,586)

        

 

2,554,788

 

 

TOTAL INVESTMENTS - 103.6% (Cost $30,621,663)

        

 

$ 36,147,644     

  CALL OPTIONS WRITTEN - (0.5)% (Proceeds - $259,570)         (174,934)
  PUT OPTIONS WRITTEN - (2.7)% (Proceeds - $491,979)         (969,016)
  LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%         (132,454)
  NET ASSETS - 100.0%        

$ 34,871,240     

 

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (3.2)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.5)%          
46 Russell 2000 Index 11/17/2023 $ 1,905      $ 8,211,469   $ 44,634
46 Russell 2000 Index 11/17/2023 1,915 8,211,469   37,027
 
 

 

SWAN DEFINED RISK U.S. SMALL CAP FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (3.2)% Expiration Date Exercise Price Notional Value Fair Value
  CALL OPTIONS WRITTEN- (0.5)% (Continued)        
19 S&P 500 Index 10/06/2023 $ 4,275      $ 8,147,295 $ 90,853
19 S&P 500 Index 10/13/2023 4,495 8,147,295 2,420
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $259,570)      

174,934

 

 

 

PUT OPTIONS WRITTEN - (2.7)%

      
46 Russell 2000 Index 11/17/2023 1,625 8,211,469 43,747
46 Russell 2000 Index 11/17/2023 1,640 8,211,469 50,655
19 S&P 500 Index 10/06/2023 4,500 8,147,295 393,168
19 S&P 500 Index 10/13/2023 4,495 8,147,295 379,647
19 S&P 500 Index 10/30/2023 4,300 8,147,295 101,799
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $491,979)      

969,016

 

 

 

TOTAL INDEX OPTIONS WRITTEN (Proceeds - $751,549)

      

 

 

$ 1,143,950

 

 

 

 

ETF - Exchange-Traded Fund
(a) All or a portion of the security is held as collateral for written options. As of September 30, 2023 the total value of securities held as collateral is $21,562,280.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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%.