0001752724-24-125264.txt : 20240529 0001752724-24-125264.hdr.sgml : 20240529 20240529114054 ACCESSION NUMBER: 0001752724-24-125264 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240529 DATE AS OF CHANGE: 20240529 PERIOD START: 20240630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHERN LIGHTS FUND TRUST III CENTRAL INDEX KEY: 0001537140 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22655 FILM NUMBER: 24995711 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 2024-03-31 N 755218998.92 9308980.04 745910018.88 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 8128729.61000000 N S&P 500 (TR) 500TR Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-CONS STAPLE 81369Y308 284541.00000000 NS USD 21727550.76000000 2.912891663879 Long EC RF US N 1 N N N N/A N/A SPX US 09/20/24 P2400 N/A -1000.00000000 NC USD -224466.93000000 -0.03009303056 Short DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Written S&P Indices INDEX 78378X107 -1000.00000000 2400.00000000 USD 2024-09-20 XXXX 1158493.82000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 REAL EST SEL SEC 81369Y860 209971.00020000 NS USD 8300153.64000000 1.112755349829 Long EC RF US N 1 N N N N/A N/A SPX US 12/19/25 P5000 N/A 1359.00000000 NC USD 32664832.94000000 4.379192142913 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 1359.00000000 5000.00000000 USD 2025-12-19 XXXX -21976533.40000000 N N N N/A N/A SPXW US 04/12/24 P5045 N/A 336.00000000 NC USD 151872.00000000 0.020360632805 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 336.00000000 5045.00000000 USD 2024-04-12 XXXX -5727.74000000 N N N N/A N/A SPXW US 04/05/24 C5550 N/A 255.00000000 NC USD 1055.54000000 0.000141510366 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Call Purchased S&P Indices INDEX 78378X107 255.00000000 5550.00000000 USD 2024-04-05 XXXX -5650.16000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-TECH SEL S 81369Y803 513347.00000000 NS USD 106914779.69000000 14.33346878093 Long EC RF US N 1 N N N N/A N/A SPXW US 04/05/24 P5030 N/A 255.00000000 NC USD 25885.78000000 0.003470362288 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 255.00000000 5030.00000000 USD 2024-04-05 XXXX -61144.92000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-CONS DISCRE 81369Y407 204712.00000000 NS USD 37644489.68000000 5.046786975260 Long EC RF US N 1 N N N First American Funds Inc. 549300J5J5SJCZ9IA369 FRST AM-GV OB-X 31846V336 2539028.68000000 PA USD 2539028.68000000 0.340393427589 Long STIV RF US N 1 N N N N/A N/A SPX US 12/20/24 P3000 N/A -1000.00000000 NC USD -1149915.38000000 -0.15416274763 Short DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Written S&P Indices INDEX 78378X107 -1000.00000000 3000.00000000 USD 2024-12-20 XXXX 2943045.37000000 N N N N/A N/A SPX US 09/20/24 P1400 N/A 500.00000000 NC USD 1146.06000000 0.000153645878 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 500.00000000 1400.00000000 USD 2024-09-20 XXXX -194373.57000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-FINL SELECT 81369Y605 1143226.00000000 NS USD 48152679.12000000 6.455561381559 Long EC RF US N 1 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-ENERGY SEL 81369Y506 153105.00000000 NS USD 14454643.05000000 1.937853452042 Long EC RF US N 1 N N N N/A N/A SPXW US 04/05/24 C5290 N/A -255.00000000 NC USD -363816.83000000 -0.04877489520 Short DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Call Written S&P Indices INDEX 78378X107 -255.00000000 5290.00000000 USD 2024-04-05 XXXX 181241.37000000 N N N N/A N/A SPXW US 04/05/24 P5290 N/A -255.00000000 NC USD -1143944.61000000 -0.15336227977 Short DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Written S&P Indices INDEX 78378X107 -255.00000000 5290.00000000 USD 2024-04-05 XXXX 417910.79000000 N N N N/A N/A SPXW US 04/12/24 P5310 N/A -336.00000000 NC USD -2200800.00000000 -0.29504899308 Short DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Written S&P Indices INDEX 78378X107 -336.00000000 5310.00000000 USD 2024-04-12 XXXX -1359.74000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-UTIL SELECT 81369Y886 122123.00000000 NS USD 8017374.95000000 1.074844786511 Long EC RF US N 1 N N N N/A N/A SPXW US 04/12/24 C5310 N/A -336.00000000 NC USD -796320.00000000 -0.10675818528 Short DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Call Written S&P Indices INDEX 78378X107 -336.00000000 5310.00000000 USD 2024-04-12 XXXX -28239.74000000 N N N N/A N/A SPXW US 04/12/24 C5575 N/A 336.00000000 NC USD 8400.00000000 0.001126141194 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Call Purchased S&P Indices INDEX 78378X107 336.00000000 5575.00000000 USD 2024-04-12 XXXX -1359.74000000 N N N N/A N/A SPX US 09/20/24 P3400 N/A 500.00000000 NC USD 426030.28000000 0.057115505787 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 500.00000000 3400.00000000 USD 2024-09-20 XXXX -2173989.35000000 N N N N/A N/A SPX US 12/20/24 P3600 N/A 500.00000000 NC USD 1070449.28000000 0.143509170396 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 500.00000000 3600.00000000 USD 2024-12-20 XXXX -3436570.35000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-HEALTH CARE 81369Y209 306700.00000000 NS USD 45308791.00000000 6.074297147534 Long EC RF US N 1 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-INDU SELECT 81369Y704 256439.00000000 NS USD 32301056.44000000 4.330422654531 Long EC RF US N 1 N N N iShare Trust 5493000860OXIC4B5K91 ISHARES-C S&P500 464287200 652000.00000000 NS USD 342775960.00000000 45.95406300007 Long EC RF US N 1 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-MATERIALS 81369Y100 93399.00000000 NS USD 8675833.11000000 1.163120603075 Long EC RF US N 1 N N N N/A N/A SPX US 12/20/24 P2400 N/A 500.00000000 NC USD 271251.94000000 0.036365236172 Long DE CORP N/A N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Put Purchased S&P Indices INDEX 78378X107 500.00000000 2400.00000000 USD 2024-12-20 XXXX -693267.69000000 N N N Select Sector Spdr Trust 5493008JJKIPMEX3CO91 SPDR-COMM SERV 81369Y852 399663.00000000 NS USD 32636480.58000000 4.375391099988 Long EC RF US N 1 N N N 2024-04-26 NORTHERN LIGHTS FUND TRUST III Rich Gleason Rich Gleason Treasurer XXXX NPORT-EX 2 swanfunds_nportex.htm SWAN FUNDS NPORT EX

 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2024
 
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 94.8%      
    EQUITY - 94.8%      
399,663   Communication Services Select Sector SPDR Fund(a)       $ 32,636,481
204,712   Consumer Discretionary Select Sector SPDR Fund(a)         37,644,490
284,541   Consumer Staples Select Sector SPDR Fund(a)         21,727,551
153,105   Energy Select Sector SPDR Fund(a)         14,454,643
1,143,226   Financial Select Sector SPDR Fund(a)         48,152,679
306,700   Health Care Select Sector SPDR Fund(a)         45,308,791
256,439   Industrial Select Sector SPDR Fund(a)         32,301,056
652,000   iShares Core S&P 500 ETF         342,775,959
93,399   Materials Select Sector SPDR Fund(a)         8,675,833
209,971   Real Estate Select Sector SPDR Fund(a)         8,300,154
513,347   Technology Select Sector SPDR Fund(a)         106,914,780
122,123   Utilities Select Sector SPDR Fund(a)         8,017,375
    TOTAL EXCHANGE-TRADED FUNDS (Cost $313,592,896)      

706,909,792

               
    SHORT-TERM INVESTMENT — 0.3%      
    MONEY MARKET FUND - 0.3%      
2,539,029   First American Government Obligations Fund, Class X, 5.23% (Cost $2,539,029)(b)         2,539,029
             
 
Contracts(c)              
    INDEX OPTIONS PURCHASED - 4.7%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 0.0%(d)      
255   S&P 500 Index   04/05/2024 $ 5,550 $ 133,985,925 $ 1,056
336   S&P 500 Index   04/12/2024   5,575   176,546,160   8,400
    TOTAL CALL OPTIONS PURCHASED (Cost - $16,466)  

9,456

         
    PUT OPTIONS PURCHASED - 4.7%      
255   S&P 500 Index   04/05/2024 5,030 133,985,925 25,886
336   S&P 500 Index   04/12/2024   5,045   176,546,160   151,872
500   S&P 500 Index   09/20/2024   1,400   262,717,500   1,146
500   S&P 500 Index   09/20/2024   3,400   262,717,500   426,030
500   S&P 500 Index   12/20/2024   2,400   262,717,500   271,252
500   S&P 500 Index   12/20/2024   3,600   262,717,500   1,070,449
1,359   S&P 500 Index   12/19/2025   5,000   714,066,165   32,664,833
    TOTAL PUT OPTIONS PURCHASED (Cost - $63,153,075)  

34,611,468

         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $63,169,541)     $ 34,620,924
 
 

 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
 
              Fair Value
         
    TOTAL INVESTMENTS - 99.8% (Cost $379,301,466)     $ 744,069,745
    CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $1,313,138)     (1,160,137)
    PUT OPTIONS WRITTEN - (0.6)% (Proceeds - $9,237,218)     (4,719,127)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0%    

7,719,538

    NET ASSETS - 100.0%        

$ 745,910,019

           
Contracts(c)              
    WRITTEN INDEX OPTIONS - (0.8)%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS WRITTEN - (0.2)%      
255   S&P 500 Index   04/05/2024 $ 5,290 $ 133,985,925 $ 363,817
336   S&P 500 Index   04/12/2024   5,310   176,546,160   796,320
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $1,313,138)  

1,160,137

         
    PUT OPTIONS WRITTEN - (0.6)%      
255   S&P 500 Index   04/05/2024 5,290 133,985,925 1,143,945
336   S&P 500 Index   04/12/2024   5,310   176,546,160   2,200,800
1,000   S&P 500 Index   09/20/2024   2,400   525,435,000   224,467
1,000   S&P 500 Index   12/20/2024   3,000   525,435,000   1,149,915
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $9,237,218)  

4,719,127

         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $10,550,356)    

$ 5,879,264

           
               
 

 

 

 

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 March 31, 2024, the total value of securities held as collateral is $254,345,139.
(b) Rate disclosed is the seven-day effective yield as of March 31, 2024.
(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)
March 31, 2024
 
Shares             Fair Value
    EXCHANGE-TRADED FUND — 92.2%      
    EQUITY - 92.2%      
474,800   iShares Core MSCI Emerging Markets ETF(a)       $ 24,499,680
    TOTAL EXCHANGE-TRADED FUND (Cost $22,485,777)      
 
               
    SHORT-TERM INVESTMENT — 0.3%      
    MONEY MARKET FUND - 0.3%      
84,747   First American Government Obligations Fund, Class X, 5.23% (Cost $84,747)(b)         84,747
           
 
Contracts(c)              
    EQUITY OPTION PURCHASED - 6.4%   Expiration Date Exercise Price Notional Value  
    PUT OPTION PURCHASED - 6.4%      
5,961   iShares MSCI Emerging Markets ETF   12/19/2025 $ 40.00 $ 24,487,788 $ 1,710,807
    TOTAL PUT OPTION PURCHASED (Cost - $2,082,048)  
 
         
    TOTAL INVESTMENTS - 98.9% (Cost $24,652,572)     $ 26,295,234
    CALL OPTION WRITTEN - (0.1)% (Premiums received - $26,378)     (26,820)
    PUT OPTION WRITTEN - (0.1)% (Premiums received - $38,297)     (38,740)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3%    

355,033

    NET ASSETS - 100.0%        

$ 26,584,707

           
Contracts(c)              
    WRITTEN EQUITY OPTIONS - (0.2)%   Expiration Date Exercise Price Notional Value  
    CALL OPTION WRITTEN- (0.1)%      
1,490   iShares MSCI Emerging Markets ETF   06/21/2024 $ 44.50 $ 6,120,920 $ 26,820
    TOTAL CALL OPTION WRITTEN (Proceeds - $26,378)  
 
         
    PUT OPTION WRITTEN - (0.1)%      
1,490   iShares MSCI Emerging Markets ETF   06/21/2024 38.50 6,120,920 38,740
    TOTAL PUT OPTION WRITTEN (Proceeds - $38,297)  
 
         
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $64,675)    

$ 65,560

           

 

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 March 31, 2024, the total value of securities held as collateral is $7,224,000.
(b) Rate disclosed is the seven-day effective yield as of March 31, 2024.
(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)
March 31, 2024
 
Shares             Fair Value
    EXCHANGE-TRADED FUND — 94.4%      
    EQUITY - 94.4%      
330,300   iShares MSCI EAFE ETF(a)       $ 26,377,758
    TOTAL EXCHANGE-TRADED FUND (Cost $18,209,703)      
 
               
    SHORT-TERM INVESTMENT — 0.8%      
    MONEY MARKET FUND - 0.8%      
211,320   First American Government Obligations Fund, Class X, 5.23% (Cost $211,320)(b)         211,320
             
 
Contracts(c)              
    EQUITY OPTION PURCHASED - 4.3%   Expiration Date Exercise Price Notional Value  
    PUT OPTION PURCHASED - 4.3%      
3,303   iShares MSCI EAFE ETF   12/19/2025 $ 75 $ 26,377,758 $ 1,199,037
    TOTAL PUT OPTION PURCHASED (Cost - $1,923,236)  
 
         
    TOTAL INVESTMENTS - 99.5% (Cost $20,344,259)     $ 27,788,115
    CALL OPTION WRITTEN - (0.1)% (Premiums received - $22,073)     (22,302)
    PUT OPTION WRITTEN - (0.1)% (Premiums received - $34,463)     (37,170)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7%    

209,338

    NET ASSETS - 100.0%        

$ 27,937,981

           
Contracts(c)              
    WRITTEN EQUITY OPTIONS - (0.2)%   Expiration Date Exercise Price Notional Value  
    CALL OPTION WRITTEN- (0.1)%      
826   iShares MSCI EAFE ETF   06/21/2024 $ 85 $ 6,596,436 $ 22,302
    TOTAL CALL OPTION WRITTEN (Proceeds - $22,073)  
 
         
    PUT OPTION WRITTEN - (0.1)%      
826   iShares MSCI EAFE ETF   06/21/2024 74 6,596,436 37,170
    TOTAL PUT OPTION WRITTEN (Proceeds - $34,463)  
 
           
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $56,536)            $          59,472
           

 

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 March 31, 2024, the total value of securities held as collateral is $13,496,340.
(b) Rate disclosed is the seven-day effective yield as of March 31, 2024.  
(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)
March 31, 2024
 
Shares             Fair Value
    EXCHANGE-TRADED FUND — 91.7%      
    EQUITY - 91.7%      
65,000   iShares Core S&P 500 ETF(a)       $ 34,172,450
    TOTAL EXCHANGE-TRADED FUND (Cost $18,843,106)      
 
               
    SHORT-TERM INVESTMENT — 2.2%      
    MONEY MARKET FUND - 2.2%      
826,298   First American Government Obligations Fund, Class X, 5.23% (Cost $826,298)(b)         826,298
             
 
Contracts(c)              
    INDEX OPTIONS PURCHASED - 8.2%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 5.0%      
285   Chicago Board Options Exchange Volatility Index   05/22/2024 $ 14 $ 370,785 $ 57,547
12   S&P 500 Index   04/05/2024   5,550   6,305,220   50
16   S&P 500 Index   04/12/2024   5,575   8,406,960   400
33   S&P 500 Index   12/19/2025   5,400   17,339,355   1,807,691
    TOTAL CALL OPTIONS PURCHASED (Cost - $978,045)  

1,865,688

         
    PUT OPTIONS PURCHASED - 3.2%      
12   S&P 500 Index   04/05/2024 5,030 6,305,220 1,218
16   S&P 500 Index   04/12/2024   5,045   8,406,960   7,232
22   S&P 500 Index   09/20/2024   1,400   11,559,570   50
22   S&P 500 Index   09/20/2024   3,400   11,559,570   18,745
22   S&P 500 Index   12/20/2024   2,400   11,559,570   11,935
22   S&P 500 Index   12/20/2024   3,600   11,559,570   47,100
65   S&P 500 Index   12/19/2025   4,700   34,153,275   1,170,810
    TOTAL PUT OPTIONS PURCHASED (Cost - $2,382,177)  

1,257,090

         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $3,360,222)     3,122,778
           
    TOTAL INVESTMENTS - 102.1% (Cost $23,029,626)     $ 38,121,526
    CALL OPTIONS WRITTEN - (2.7)% (Premiums received - $422,443)     (1,018,974)
    PUT OPTIONS WRITTEN - (0.5)% (Premiums received - $421,527)     (223,506)
    OTHER ASSETS IN EXCESS OF LIABILITIES- 1.1%    

392,854

    NET ASSETS - 100.0%        

$ 37,271,900

           
 
 

 

SWAN DEFINED RISK GROWTH FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
 
Contracts(c)              
    WRITTEN INDEX OPTIONS - (3.2)%   Expiration Date Exercise Price Notional Value Fair Value
    CALL OPTIONS WRITTEN- (2.7)%      
12   S&P 500 Index   04/05/2024 $ 5,290 $ 6,305,220 $ 17,121
16   S&P 500 Index   04/12/2024   5,310   8,406,960   37,920
33   S&P 500 Index   12/19/2025   5,900   17,339,355   963,933
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $422,443)  

1,018,974

         
    PUT OPTIONS WRITTEN - (0.5)%      
285   Chicago Board Options Exchange Volatility Index   05/22/2024 12 370,785 4,400
12   S&P 500 Index   04/05/2024   5,290   6,305,220   53,833
16   S&P 500 Index   04/12/2024   5,310   8,406,960   104,800
44   S&P 500 Index   09/20/2024   2,400   23,119,140   9,877
44   S&P 500 Index   12/20/2024   3,000   23,119,140   50,596
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $421,527)  

223,506

         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $843,970)    

$ 1,242,480

           
               
 

 

 

 

ETF  - Exchange-Traded Fund
 

 

 

(a) All or a portion of the security is held as collateral for written options. As of March 31, 2024, the total value of securities held as collateral is $18,400,550.
(b) Rate disclosed is the seven-day effective yield as of March 31, 2024.
(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)
March 31, 2024
 
Shares             Fair Value
    EXCHANGE-TRADED FUND — 91.4%      
    EQUITY - 91.4%      
140,000   iShares Russell 2000 ETF(a)       $ 29,442,000
    TOTAL EXCHANGE-TRADED FUND (Cost $18,312,195)      
 
               
    SHORT-TERM INVESTMENT — 1.2%      
    MONEY MARKET FUND - 1.2%      
375,878   First American Government Obligations Fund, Class X, 5.23% (Cost $375,878)(b)         375,878
             
 
Contracts(c)              
    INDEX OPTIONS PURCHASED - 7.7%   Expiration Date Exercise Price Notional Value  
    CALL OPTION PURCHASED - 0.2%      
255   Chicago Board Options Exchange Volatility Index   05/22/2024 $ 14 $ 331,755 $ 51,490
    TOTAL CALL OPTION PURCHASED (Cost - $68,847)  
 
         
    PUT OPTION PURCHASED - 7.5%      
140   Russell 2000 Index   12/19/2025 2,150 29,743,658 2,425,829
    TOTAL PUT OPTION PURCHASED (Cost - $3,350,483)  
 
         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $3,419,330)     2,477,319
           
    TOTAL INVESTMENTS - 100.3% (Cost $22,107,403)     $ 32,295,197
    CALL OPTIONS WRITTEN - (0.5)% (Proceeds - $136,538)     (147,177)
    PUT OPTIONS WRITTEN - (0.3)% (Proceeds - $180,630)     (110,738)
    OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5%    

170,346

    NET ASSETS - 100.0%        

$ 32,207,628

           
Contracts(c)              
    WRITTEN INDEX OPTIONS - (0.7)%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS WRITTEN - (0.4)%      
35   Russell 2000 Index   05/17/2024 $ 2,260 $ 7,435,915 $ 60,326
35   Russell 2000 Index   06/21/2024   2,350   7,435,915   55,137
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $103,708)  

115,463

         
    PUT OPTIONS WRITTEN - (0.3)%      
255   Chicago Board Options Exchange Volatility Index   05/22/2024 12 331,755 3,937
 
 

 

SWAN DEFINED RISK U.S. SMALL CAP FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
 
Contracts(c) (continued)              
    WRITTEN INDEX OPTIONS - (0.7)%   Expiration Date Exercise Price Notional Value Fair Value
    PUT OPTIONS WRITTEN - (0.3)% (Continued)      
35   Russell 2000 Index   05/17/2024 $ 1,940 $ 7,435,915 $ 33,384
35   Russell 2000 Index   06/21/2024   1,930   7,435,915   57,405
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $143,330)  

94,726

         
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $247,038)    

$ 210,189

           
Contracts(c)              
    WRITTEN EQUITY OPTIONS - (0.1)%   Expiration Date Exercise Price Notional Value  
    CALL OPTION WRITTEN - (0.1)%      
894   iShares MSCI EAFE ETF   05/17/2024   $ 83  $ 7,139,484 $  31,714
    TOTAL CALL OPTION WRITTEN (Proceeds - $32,830)  
 
         
    PUT OPTION WRITTEN – (0.0)%(d)      
894   iShares MSCI EAFE ETF   05/17/2024   75   7,139,484   16,012
    TOTAL PUT OPTION WRITTEN (Proceeds - $37,300)  
 
         
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $70,130)    

$ 47,726

           
               
 

 

 

 

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 March 31, 2024, the total value of securities held as collateral is $25,656,600.
(b) Rate disclosed is the seven-day effective yield as of March 31, 2024.  
(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.
(d) Percentage rounds to greater than (0.1%).