|
Preferred-Plus ETF
|
|
Schedule of Investments
|
|
as of December 31, 2023 (Unaudited)
|
|
PREFERRED STOCKS - 86.7%
|
Shares
|
Value
|
||||
|
Agriculture - 1.9%
|
||||||
|
CHS, Inc.
|
||||||
|
Series 2,
7.10% to 03/31/2024 then 3 Month LIBOR USD + 4.30%, Perpetual(a) (h)
|
4,022
|
$ |
100,429
|
|||
|
Series 4, 7.50%, Perpetual(h)
|
4,669
|
118,033
|
||||
|
218,462
|
||||||
|
Auto Manufacturers - 2.5%
|
||||||
|
Ford Motor Co.
|
||||||
|
6.00%, 12/01/2059(b) (h)
|
6,503
|
152,365
|
||||
|
6.20%, 06/01/2059(b) (h)
|
5,896
|
138,615
|
||||
|
290,980
|
||||||
|
Banks - 35.5%(g)
|
||||||
|
Bank of America Corp.
|
||||||
|
Series HH, 5.88%, Perpetual
|
4,119
|
101,863
|
||||
|
Series LL, 5.00%, Perpetual
|
6,010
|
129,395
|
||||
|
Series PP, 4.13%, Perpetual
|
5,220
|
96,048
|
||||
|
Series QQ, 4.25%, Perpetual
|
5,256
|
97,341
|
||||
|
Series SS, 4.75%, Perpetual
|
6,302
|
131,082
|
||||
|
Citigroup Capital XIII
|
||||||
|
12.02% (3 Month Term SOFR + 6.63%), 10/30/2040(a)(b) (h)
|
4,112
|
117,356
|
||||
|
Citigroup, Inc.
|
||||||
|
Series J, 9.63% (3 Month Term SOFR + 4.30%), Perpetual(a)
|
680
|
17,428
|
||||
|
Citizens Financial Group, Inc.
|
||||||
|
Series D, 6.35% to 04/06/2024 then (3 Month Term SOFR + 3.90%), Perpetual(a)
|
6,130
|
147,120
|
||||
|
ConnectOne Bancorp, Inc.
|
||||||
|
Series A, 5.25% to 09/01/2026 then (5 Year CMT Rate + 4.42%), Perpetual(a)
|
4,998
|
92,463
|
||||
|
Fifth Third Bancorp
|
||||||
|
Series I, 9.30% to 01/29/2024 then (3 Month Term SOFR + 3.97%), Perpetual(a)
|
1,803
|
45,922
|
||||
|
Series K, 4.95%, Perpetual(h)
|
3,996
|
89,670
|
||||
|
First Citizens BancShares, Inc., Series A, 5.38%, Perpetual
|
4,499
|
90,475
|
||||
|
Series A, 5.38%, Perpetual(h)
|
||||||
|
Goldman Sachs Group, Inc.
|
||||||
|
Series K, 6.38% to 05/10/2024 then (3 Month Term SOFR + 3.81%), Perpetual(a)
|
1,226
|
30,981
|
||||
|
JPMorgan Chase & Co.
|
||||||
|
Series DD, 5.75%, Perpetual
|
9,038
|
225,950
|
||||
|
Series EE, 6.00%, Perpetual
|
4,515
|
114,275
|
||||
|
Series LL, 4.63%, Perpetual
|
5,384
|
112,418
|
||||
|
KeyCorp
|
||||||
|
6.20% to 12/15/2027 then (5 Year CMT Rate + 3.13%), Perpetual(a)
|
6,352
|
136,314
|
||||
|
Series E, 6.13% to 12/15/2026 then 3 Month Term SOFR + 4.15%, Perpetual(a) (h)
|
5,008
|
107,372
|
||||
|
Merchants Bancorp
|
||||||
|
8.25% to 10/01/2027 then (5 Year CMT Rate + 4.34%), Perpetual(a)
|
2,772
|
66,944
|
||||
|
Midland States Bancorp, Inc.
|
||||||
|
7.75% to 09/30/2027 then (5 Year CMT Rate + 4.71%), Perpetual(a)
|
4,425
|
107,528
|
||||
|
Morgan Stanley
|
||||||
|
Series F, 6.88%, 04/15/2024, Perpetual(h)
|
6,307
|
157,801
|
||||
|
Series K, 5.85%, 04/15/2027, Perpetual(h)
|
7,119
|
172,422
|
||||
|
Series P, 6.50%, 10/15/2027, Perpetual
|
4,800
|
125,616
|
||||
|
Old National Bancorp
|
||||||
|
Series C, 7.00%, Perpetual(h)
|
6,010
|
152,293
|
||||
|
Regions Financial Corp.
|
||||||
|
Series C,
5.70% to 05/15/2029 then (3 Month LIBOR USD + 3.15%), Perpetual(a) (h)
|
6,010
|
128,073
|
||||
|
State Street Corp.
|
||||||
|
Series D, 5.90%, 03/15/2024, Perpetual
|
5,008
|
125,350
|
||||
|
Series G, 5.35%, 03/15/2026, Perpetual
|
3,945
|
93,536
|
||||
|
Synovus Financial Corp.
|
||||||
|
Series E, 5.88% to 07/01/2024 then (5 Year CMT Rate + 4.13%), Perpetual(a)
|
9,862
|
230,279
|
||||
|
Truist Financial Corp.
|
||||||
|
Series R, 4.75%, Perpetual(h)
|
6,398
|
128,728
|
||||
|
US Bancorp
|
||||||
|
Series K, 5.50%, Perpetual
|
6,010
|
139,492
|
||||
|
Wells Fargo & Co.
|
||||||
|
Series DD, 4.25%, Perpetual
|
2,880
|
51,206
|
||||
|
Series R, 6.63%, 03/15/2024, Perpetual
|
3,185
|
79,912
|
||||
|
WesBanco, Inc.
|
||||||
|
Series A, 6.75% to 11/15/2025 then (5 Year CMT Rate + 6.56%), Perpetual(a)
|
5,008
|
119,942
|
||||
|
Western Alliance Bancorp
|
||||||
|
Series A, 4.25% to 09/30/2026 then (5 Year CMT Rate + 3.45%), Perpetual(a)
|
7,384
|
127,374
|
||||
|
Wintrust Financial Corp.
|
||||||
|
Series E, 6.88% to 07/15/2025 then (5 Year CMT Rate + 6.51%), Perpetual(a)
|
6,130
|
149,204
|
||||
|
4,039,173
|
||||||
|
Distribution/Wholesale - 1.6%
|
||||||
|
WESCO International, Inc.
|
||||||
|
Series A, 10.63% to 06/22/2025 then (5 Year CMT Rate + 10.33%), Perpetual(a) (h)
|
6,968
|
184,095
|
||||
|
Diversified Financial Services - 7.6%
|
||||||
|
Air Lease Corp.
|
||||||
|
Series A, 6.15% to 03/15/2024 then (3 Month Term SOFR + 3.91%), Perpetual(a)(h)
|
6,010
|
149,649
|
||||
|
Apollo Global Management, Inc.
|
||||||
|
7.63% to 09/15/2028 then (5 Year CMT Rate + 3.23%), 09/15/2053(a)(b)
|
2,000
|
54,940
|
||||
|
B Riley Financial, Inc.
|
||||||
|
5.00%, 12/31/2026(b)
|
3,515
|
55,713
|
||||
|
Capital One Financial Corp.
|
||||||
|
Series I, 5.00%, Perpetual(h)
|
5,073
|
93,597
|
||||
|
Series J, 4.80%, Perpetual(h)
|
3,049
|
53,784
|
||||
|
Stifel Financial Corp.
|
||||||
|
Series D, 4.50%, Perpetual
|
8,931
|
153,345
|
||||
|
Synchrony Financial
|
||||||
|
Series A, 5.63%, Perpetual(h)
|
8,860
|
152,835
|
||||
|
Voya Financial, Inc.
|
||||||
|
Series B, 5.35% to 09/15/2029 then (5 Year CMT Rate + 3.21%), Perpetual(a)
|
6,447
|
149,764
|
||||
|
863,627
|
||||||
|
Electric - 8.6%
|
||||||
|
Algonquin Power & Utilities Corp.
|
||||||
|
Series 19-A, 6.20% to 07/01/2024 then (3 Month LIBOR USD + 4.01%), 07/01/2079(a)(b)(c)
|
6,130
|
147,917
|
||||
|
Brookfield BRP Holdings Canada, Inc.
|
||||||
|
4.63%, Perpetual(c)
|
3,360
|
52,584
|
||||
|
CMS Energy Corp.
|
||||||
|
5.88%, 03/01/2079(b)
|
3,007
|
75,085
|
||||
|
National Rural Utilities Cooperative Finance Corp.
|
||||||
|
Series US, 5.50%, 05/15/2064(b) (h)
|
5,008
|
126,001
|
||||
|
SCE Trust III
|
||||||
|
Series H, 5.75% to 03/15/2024 then (3 Month Term SOFR + 3.25%), Perpetual(a)
|
5,018
|
124,798
|
||||
|
SCE Trust IV
|
||||||
|
Series J, 5.38% to 09/15/2025 then (3 Month Term SOFR + 3.39%), Perpetual(a) (h)
|
5,008
|
110,176
|
||||
|
SCE Trust V
|
||||||
|
Series K, 5.45% to 03/15/2026 then (3 Month Term SOFR + 4.05%), Perpetual(a) (h)
|
5,110
|
124,377
|
||||
|
Sempra
|
||||||
|
5.75%, 07/01/2079(b)
|
6,010
|
150,130
|
||||
|
The Southern Co.
|
||||||
|
Series 2020, 4.95%, 01/30/2080(b)
|
3,007
|
67,597
|
||||
|
978,665
|
||||||
|
Gas - 1.2%
|
||||||
|
NiSource, Inc.
|
||||||
|
Series B, 6.50% to 03/15/2024 then (5 Year CMT Rate + 3.63%), Perpetual(a) (h)
|
5,577
|
139,202
|
||||
|
Insurance - 18.1%
|
||||||
|
American Equity Investment Life Holding Co.
|
||||||
|
Series A, 5.95% to 12/01/2024 then (5 Year CMT Rate + 4.32%), Perpetual(a) (h)
|
7,455
|
161,326
|
||||
|
Series B, 6.63% to 09/01/2025 then (5 Year CMT Rate + 6.30%), Perpetual(a) (h)
|
7,022
|
174,147
|
||||
|
Aspen Insurance Holdings Ltd.
|
||||||
|
5.63%, Perpetual(c)
|
3,007
|
58,757
|
||||
|
Athene Holding Ltd.
|
||||||
|
Series A,
6.35% to 06/30/2029 then (3 Month LIBOR USD + 4.25%), Perpetual(a)(c) (h)
|
9,999
|
224,777
|
||||
|
Series C, 6.38% to 06/30/2025 then (5 Year CMT Rate + 5.97%), Perpetual(a)
|
3,979
|
96,371
|
||||
|
Brighthouse Financial, Inc.
|
||||||
|
6.25%, 09/15/2058(b) (h)
|
3,400
|
73,950
|
||||
|
Series B, 6.75%, Perpetual(h)
|
7,160
|
160,957
|
||||
|
Series C, 5.38%, Perpetual
|
3,624
|
66,790
|
||||
|
Enstar Group Ltd.
|
||||||
|
Series D,
7.00% to 09/01/2028 then (3 Month LIBOR USD + 4.02%), Perpetual(a)(c) (h)
|
6,010
|
150,731
|
||||
|
Equitable Holdings, Inc.
|
||||||
|
Series A, 5.25%, Perpetual(h)
|
6,867
|
146,404
|
||||
|
Jackson Financial, Inc.
|
||||||
|
8.00% to 03/30/2028 then (5 Year CMT Rate + 3.73%), Perpetual(a)
|
5,172
|
130,541
|
||||
|
Kemper Corp.
|
||||||
|
5.88% to 03/15/2027 then (5 Year CMT Rate + 4.14%), 03/15/2062(a)(b)
|
4,499
|
90,385
|
||||
|
Lincoln National Corp.
|
||||||
|
Series D, 9.00%, Perpetual
|
2,300
|
62,767
|
||||
|
MetLife, Inc.
|
||||||
|
Series E, 5.63%, Perpetual
|
5,566
|
135,198
|
||||
|
Series F, 4.75%, Perpetual
|
6,096
|
124,358
|
||||
|
Prudential Financial, Inc.
|
||||||
|
5.63%, 08/15/2058(b)
|
2,890
|
72,134
|
||||
|
Reinsurance Group of America, Inc.
|
||||||
|
5.75% to
06/15/2026 then (3 Month LIBOR USD + 4.04%), 06/15/2056(a)(b)
|
2,850
|
72,048
|
||||
|
Unum Group
|
||||||
|
6.25%, 06/15/2058(b)
|
3,007
|
75,867
|
||||
|
2,077,508
|
||||||
|
Investment Companies - 0.6%
|
||||||
|
Oaktree Capital Group LLC
|
||||||
|
Series B, 6.55%, Perpetual
|
3,007
|
63,959
|
||||
|
Pipelines - 2.4%
|
||||||
|
Energy Transfer LP
|
||||||
|
Series E,
7.60% to 05/15/2024 then (3 Month LIBOR USD + 5.16%), Perpetual(a) (h)
|
7,022
|
174,145
|
||||
|
NuStar Logistics LP
|
||||||
|
12.39% (3 Month Term SOFR + 7.00%), 01/15/2043(a)(b)
|
3,919
|
101,424
|
||||
|
275,569
|
||||||
|
Savings & Loans - 3.1%
|
||||||
|
Banc of California, Inc.
|
||||||
|
Series F, 7.75% to 09/01/2027 then (5 Year CMT Rate + 4.82%), Perpetual(a)
|
8,538
|
198,253
|
||||
|
New York Community Bancorp, Inc.
|
||||||
|
Series A.,
6.38% to 03/17/2027 then (3 Month LIBOR USD + 3.82%), Perpetual(a)
|
7,118
|
159,514
|
||||
|
357,767
|
||||||
|
Telecommunications - 3.6%
|
||||||
|
AT&T, Inc.
|
||||||
|
5.63%, 08/01/2067(b)
|
2,951
|
73,185
|
||||
|
Series A, 5.00%, Perpetual(h)
|
1,175
|
24,663
|
||||
|
Series C, 4.75%, Perpetual(h)
|
5,693
|
112,323
|
||||
|
Telephone and Data Systems, Inc.
|
||||||
|
Series UU, 6.63%, Perpetual(h)
|
6,010
|
104,995
|
||||
|
United States Cellular Corp.
|
||||||
|
5.50%, 03/01/2070(b)
|
5,237
|
93,480
|
||||
|
408,646
|
||||||
|
TOTAL PREFERRED STOCKS (Cost $10,982,198)
|
9,897,653
|
|||||
|
REAL ESTATE INVESTMENT TRUSTS -
11.8%
|
||||||
|
AGNC Investment Corp.
|
||||||
|
Series F, 6.13% (3 Month LIBOR USD + 4.70%), 04/15/2025, Perpetual(a)
|
7,016
|
152,667
|
||||
|
Annaly Capital Management, Inc.
|
||||||
|
Series F, 10.60% (3 Month LIBOR USD + 4.99), 01/31/2024, Perpetual (a)
|
2,922
|
73,459
|
||||
|
Series I, 6.75% (3 Month LIBOR USD + 4.99%), 06/30/2024, Perpetual (a)
|
2,972
|
72,190
|
||||
|
Arbor Realty Trust, Inc.
|
||||||
|
Series F, 6.25% (SOFR + 5.44%), 10/12/2026, Perpetual (a)
|
6,961
|
130,866
|
||||
|
Digital Realty Trust, Inc.
|
||||||
|
Series L, 5.20%, 10/10/2024, Perpetual
|
5,760
|
128,333
|
||||
|
Hudson Pacific Properties, Inc.
|
||||||
|
Series C, 4.75%, 11/16/2026, Perpetual
|
2,951
|
41,344
|
||||
|
KKR Real Estate Finance Trust, Inc.
|
||||||
|
Series A, 6.50%, 04/16/2026, Perpetual(h)
|
5,108
|
92,710
|
||||
|
MFA Financial, Inc.
|
||||||
|
Series C, 6.50% (3 Month LIBOR USD + 5.35%), 03/31/2025, Perpetual (a)
|
2,514
|
53,297
|
||||
|
Pebblebrook Hotel Trust
|
||||||
|
Series G, 6.38%, 05/13/2026, Perpetual(h)
|
6,010
|
126,871
|
||||
|
Public Storage
|
||||||
|
Series M, 4.13%, 08/14/2025, Perpetual(h)
|
1,054
|
19,689
|
||||
|
Series S, 4.10%, 01/13/2027, Perpetual
|
3,508
|
64,863
|
||||
|
Sachem Capital Corp.
|
||||||
|
Series A, 7.75%, 06/29/2026(h)
|
2,893
|
70,445
|
||||
|
6.00%, 12/30/2026(b)
|
6,010
|
117,195
|
||||
|
6.88%, 12/30/2024(b) (h)
|
2,893
|
62,142
|
||||
|
Vornado Realty Trust
|
||||||
|
Series N, 5.25%, 11/24/2025, Perpetual(h)
|
1,742
|
23,639
|
||||
|
Series O, 4.45%, 09/22/2026, Perpetual
|
8,018
|
123,076
|
||||
|
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $1,642,629)
|
1,352,786
|
|||||
|
CLOSED END FUNDS - 0.2%
|
||||||
|
Cohen & Steers Ltd. Duration Preferred and Income Fund, Inc. (h)
|
1,172
|
21,600
|
||||
|
TOTAL CLOSED END FUNDS (Cost $27,526)
|
21,600
|
|||||
|
PURCHASED OPTIONS - 0.0%(d)(e)
|
Notional Amount
|
Contracts
|
Value
|
|||
|
Purchased Put Options - 0.0%(e)
|
$–
|
|||||
|
CBOE Mini S&P 500 Index
|
–
|
$–
|
||||
|
Expiration: 01/05/2024; Exercise Price: $375(i)
|
1,500,000
|
40
|
80
|
|||
|
Expiration: 01/26/2024; Exercise Price: $395(i)
|
1,619,500
|
41
|
451
|
|||
|
Expiration: 02/02/2024; Exercise Price: $390(i)
|
1,599,000
|
41
|
574
|
|||
|
TOTAL PURCHASED OPTIONS (Cost $2,366)
|
1,105
|
|||||
|
SHORT-TERM INVESTMENTS - 0.6%
|
||||||
|
Money Market Funds - 0.6%
|
Shares
|
|
||||
|
First American Government Obligations Fund - Class X, 5.28%(f)
|
74,104
|
74,104
|
||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $74,104)
|
74,104
|
|||||
|
TOTAL INVESTMENTS - 99.3% (Cost
$12,728,823)
|
$ |
11,347,248
|
||||
|
Other Assets and Liabilities, net - 0.7%
|
73,880
|
|||||
|
TOTAL NET ASSETS - 100.0%
|
|
$ |
11,421,128
|
|||
|
Percentages are stated as a percent of net assets.
|
||||||
|
CBOE – Chicago Board Options Exchange
|
|
CMT - Constant Maturity Treasury Rate
|
|
LIBOR - London Interbank Offered Rate
|
|
SOFR - Secured Overnight Financing Rate
|
|
(a)
|
Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a
reference rate and/or spread in their description. Variable rate Preferred Stocks will typically have interest rates that redetermine periodically by reference to a base lending rate plus a spread. Preferred Stocks that reference SOFR may be
subject to a credit spread adjustment, particularly to legacy LIBOR Preferred Stocks that have transitioned to SOFR as the base lending rate. The rate disclosed is as of December 31, 2023.
|
|
(b)
|
Security may be called/redeemed by the issuer as of an earlier date.
|
|
(c)
|
Foreign issued security.
|
|
(d)
|
Each contract has a multiplier of 100.
|
|
(e)
|
Less than 0.05%.
|
|
(f)
|
The rate shown represents the seven-day yield at period end.
|
|
(g)
|
To the extent the Fund invests more heavily in particular sectors or asset classes, its performance will be especially sensitive to developments
that significantly affect those sectors or asset classes.
|
|
(h)
|
A portion or all of the security has been segregated or earmarked as collateral for written options. As of December 31, 2023, the value of these
securities amounts to $4,023,455 or 35.2% of net assets.
|
|
(i)
|
Held in connection with a written option, see Schedule of Written Options for more detail.
|
|
Preferred-Plus ETF
|
||||||||||||
|
Schedule of Options Written
|
||||||||||||
|
as of December 31, 2023 (Unaudited)
|
||||||||||||
|
WRITTEN OPTIONS - (0.1)% (a)
|
Notional Amount
|
Contracts
|
Value
|
|||||||||
|
Written Put Options - (0.1)%
|
||||||||||||
|
CBOE Mini S&P 500 Index
|
0
|
0
|
–
|
|||||||||
|
Expiration: 01/05/2024; Exercise Price: $440
|
$
|
(1,760,000
|
)
|
(40
|
)
|
$
|
(120
|
)
|
||||
|
Expiration: 01/26/2024; Exercise Price: $465
|
(1,906,500
|
)
|
(41
|
)
|
(7,011
|
)
|
||||||
|
Expiration: 02/02/2024; Exercise Price: $460
|
(1,886,000
|
)
|
(41
|
)
|
(7,196
|
)
|
||||||
|
TOTAL WRITTEN OPTIONS (Premiums
received $24,711)
|
(14,327
|
)
|
||||||||||
|
(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 December 31, 2023:
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Investments:
|
||||||||||||||||
|
Preferred Stocks*
|
$
|
9,897,653
|
$
|
–
|
$
|
–
|
$
|
9,897,653
|
||||||||
|
Real Estate Investment Trusts
|
1,352,786
|
–
|
–
|
1,352,786
|
||||||||||||
|
Closed End Funds
|
21,600
|
–
|
–
|
21,600
|
||||||||||||
|
Options
|
–
|
1,105
|
–
|
1,105
|
||||||||||||
|
Money Market Funds
|
74,104
|
–
|
–
|
74,104
|
||||||||||||
|
Total Investments
|
$
|
11,346,143
|
$
|
1,105
|
$
|
–
|
$
|
11,347,248
|
||||||||
|
Investments Sold Short:
|
||||||||||||||||
|
Options
|
–
|
(14,327
|
)
|
–
|
(14,327
|
)
|
||||||||||
|
Total Investments Sold Short
|
$
|
–
|
$
|
(14,327
|
)
|
$
|
–
|
$
|
(14,327
|
)
|
||||||
|
*Refer to the Schedule of Investments for industry classifications.
|
||||||||||||||||