NPORT-EX 2 augz.htm PART F 9/30/2023
TrueShares Structured Outcome (August) ETF
  
Schedule of Investments
  
September 30, 2023 (Unaudited)
            
               
 
Shares /
Principal
Amount
    
Value
      
SHORT-TERM INVESTMENTS - 100.7%
            
Money Market Funds - 0.5%
            
First American Treasury Obligations Fund - Class X, 5.26% (a)
    
77,900
    
$
77,900
      
Total Money Market Funds (Cost $77,900)
      
77,900
      
                     
U.S. Treasury Bills - 100.2%
              
5.44%, 07/11/2024 (c)(d)
    
16,130,000
      
15,470,367
      
Total U.S. Treasury Bills (Cost $15,483,295)
      
15,470,367
      
TOTAL SHORT-TERM INVESTMENTS (Cost $15,561,195)
      
15,548,267
      
 
Number of
              
 
Contracts (b)
          
Notional Value
  
PURCHASED OPTIONS - 3.1%
                    
PURCHASED CALL OPTIONS - 3.1%
                    
CBOE SPDR S&P 500 ETF Trust
                    
Expiration: July 31, 2024, Exercise Price: $457.79
    
274
      
480,826
    
$
11,712,952
  
TOTAL PURCHASED OPTIONS (Cost $1,067,118)
            
480,826
          
                         
TOTAL INVESTMENTS (Cost $16,628,313) - 103.8%
            
16,029,093
          
Other Assets and Liabilities, net - (3.8)%
            
(580,610
)
        
TOTAL NET ASSETS - 100.0%
          
$
15,448,483
          

Percentages are stated as a percent of net assets.
        

CBOE
Chicago Board Options Exchange
              
SPDR
Standard & Poor's Depositary Receipt
              

(a) The rate shown is the seven day yield at period end.
      
(b) Each contract has a multiplier of 100.
      
(c) The rate shown is the effective yield as of September 30, 2023.
      
(d) Designated as collateral for written options.
      
TrueShares Structured Outcome (August) ETF
  
Schedule of Written Options
  
September 30, 2023 (Unaudited)
  
                   
   
Number of
              
   
Contracts (a)
    
Value
    
Notional Value
  
WRITTEN OPTIONS - 4.0%
                  
WRITTEN PUT OPTIONS - 4.0%
                  
CBOE SPDR S&P 500 ETF Trust
                  
Expiration: July 31, 2024, Exercise Price: $412.01
    
391
    
$
615,012
    
$
16,714,468
  
TOTAL WRITTEN OPTIONS (Premiums Received $450,866)
          
$
615,012
          

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 September 30, 2023:
    

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Investments - Assets:
                        
Money Market Funds
  
$
77,900
    
$
-
    
$
-
    
$
77,900
  
U.S. Treasury Bills
    
-
      
15,470,367
      
-
      
15,470,367
  
Purchased Call Options
    
-
      
480,826
      
-
      
480,826
  
Total Investments - Assets
  
$
77,900
    
$
15,951,193
    
$
-
    
$
16,029,093
  
Other Financial Instruments - Liabilities:
                                
Written Put Options
  
$
-
    
$
615,012
    
$
-
    
$
615,012