Swan Hedged Equity US Large Cap ETF
|
||||||||||||
Schedule of Investments
|
||||||||||||
August 31, 2023 (Unaudited)
|
||||||||||||
Shares
|
Value
|
|||||||||||
INVESTMENT COMPANIES - 94.6%
|
||||||||||||
Exchange Traded Funds - 94.6%
|
||||||||||||
SPDR S&P 500 ETF Trust (a)(b)
|
372,643
|
$
|
167,819,775
|
|||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $147,174,478)
|
167,819,775
|
|||||||||||
MONEY MARKET FUNDS - 0.2%
|
||||||||||||
First American Government Obligations Fund - Class X, 5.25% (c)
|
317,554
|
317,554
|
||||||||||
TOTAL MONEY MARKET FUNDS (Cost $317,554)
|
317,554
|
|||||||||||
Number of
|
||||||||||||
Contracts (d)
|
Notional Value
|
|||||||||||
PURCHASED OPTIONS - 8.0%
|
||||||||||||
PURCHASED CALL OPTIONS - 3.3%
|
||||||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: December 2024, Exercise Price: $455 (e)
|
1,322
|
5,855,799
|
$
|
59,536,270
|
||||||||
Expiration: December 2024, Exercise Price: $490 (e)
|
18
|
43,704
|
810,630
|
|||||||||
5,899,503
|
||||||||||||
PURCHASED PUT OPTIONS - 4.7%
|
||||||||||||
CBOE S&P 500 Index
|
||||||||||||
Expiration: December 2023, Exercise Price: $3,550 (e)
|
229
|
218,695
|
10,313,015
|
|||||||||
Expiration: December 2023, Exercise Price: $3,950 (e)
|
229
|
506,090
|
10,313,015
|
|||||||||
Expiration: December 2024, Exercise Price: $4,500
|
105
|
2,528,925
|
4,728,675
|
|||||||||
Expiration: December 2024, Exercise Price: $5,000 (e)
|
53
|
2,257,270
|
2,386,855
|
|||||||||
5,510,980
|
||||||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: September 2023, Exercise Price: $350 (e)
|
1,324
|
5,958
|
59,626,340
|
|||||||||
Expiration: December 2024, Exercise Price: $375
|
2,544
|
2,588,520
|
114,569,040
|
|||||||||
Expiration: December 2024, Exercise Price: $395
|
100
|
131,650
|
4,503,500
|
|||||||||
Expiration: December 2024, Exercise Price: $440
|
36
|
84,276
|
1,621,260
|
|||||||||
2,810,404
|
||||||||||||
TOTAL PURCHASED OPTIONS (Cost $22,828,505)
|
14,220,887
|
|||||||||||
Total Investments (Cost $170,320,537) - 102.8%
|
182,358,216
|
|||||||||||
Liabilities in Excess of Other Assets - (2.8)%
|
(4,931,954
|
)
|
||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
177,426,262
|
Percentages are stated as a percent of net assets.
|
||||||||||
CBOE
|
Chicago Board Options Exchange
|
|||||||||
SPDR
|
Standard & Poor's Depositary Receipt
|
|||||||||
(a)
|
Fair value of this security exceeds 25% of the Fund's net assets. Additional information for this security, including the financial
statements, is available from the SEC's EDGAR database at www.sec.gov.
|
|||||||||
(b)
|
A portion or all of the security has been segregated or earmarked as collateral for written options. The amount as of period end is
$167,819,775.
|
|||||||||
(c)
|
The rate shown is the annualized seven-day yield at period end.
|
|||||||||
(d)
|
Each contract has a multiplier of 100.
|
|||||||||
(e)
|
Held in connection with a written option, see Schedule of Written Options for more detail.
|
Swan Hedged Equity US Large Cap ETF
|
||||||||||||
Schedule of Written Options
|
||||||||||||
August 31, 2023 (Unaudited)
|
||||||||||||
Number of
|
||||||||||||
Contracts (a)
|
Value
|
Notional Value
|
||||||||||
WRITTEN OPTIONS - 4.2%
|
||||||||||||
WRITTEN CALL OPTIONS - 1.8%
|
||||||||||||
CBOE S&P 500 Index
|
||||||||||||
Expiration: September 2023, Exercise Price: $4,355
|
99
|
$
|
1,649,340
|
$
|
4,458,465
|
|||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: December 2024, Exercise Price: $520
|
1,322
|
1,631,348
|
59,536,270
|
|||||||||
Expiration: December 2024, Exercise Price: $530
|
18
|
17,361
|
810,630
|
|||||||||
3,298,049
|
||||||||||||
WRITTEN PUT OPTIONS - 2.4%
|
||||||||||||
CBOE S&P 500 Index
|
||||||||||||
Expiration: December 2023, Exercise Price: $3,750
|
458
|
648,070
|
20,626,030
|
|||||||||
Expiration: December 2024, Exercise Price: $5,400
|
53
|
3,552,590
|
2,386,855
|
|||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: September 2023, Exercise Price: $310
|
1,324
|
1,986
|
59,626,340
|
|||||||||
4,202,646
|
||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $9,251,144)
|
$
|
7,500,695
|
Percentages are stated as a percent of net assets.
|
||||||||||
CBOE
|
Chicago Board Options Exchange
|
|||||||||
SPDR
|
Standard & Poor's Depositary Receipt
|
|||||||||
(a)
|
Each contract has a multiplier of 100.
|
Fair Value Measurements
|
|||||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels.
|
|||||||||
Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs
|
|||||||||
(including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant
|
|||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the
|
|||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
|
|||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3.
|
|||||||||
The following is a summary of the inputs used to value the Fund's investments carried at fair value as of August 31, 2023:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments - Assets:
|
||||||||||||||||
Exchange Traded Funds
|
$
|
167,819,775
|
$
|
-
|
$
|
-
|
$
|
167,819,775
|
||||||||
Money Market Funds
|
317,554
|
-
|
-
|
317,554
|
||||||||||||
Purchased Options
|
-
|
14,220,887
|
-
|
14,220,887
|
||||||||||||
Total Investments - Assets
|
$
|
168,137,329
|
$
|
14,220,887
|
$
|
-
|
$
|
182,358,216
|
||||||||
Other Financial Instruments - Liabilities:
|
||||||||||||||||
Written Options
|
$
|
-
|
$
|
7,500,695
|
$
|
-
|
$
|
7,500,695
|