NPORT-EX 2 swan.htm
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