NPORT-EX 2 febz.htm PART F 3/31/2024

TrueShares Structured Outcome (February) ETF
 
Schedule of Investments
 
as of March 31, 2024 (Unaudited)
 
   
PURCHASED OPTIONS - 10.2%(a)(b)
 
Notional Amount
   
Contracts
   
Value
 
Call Options - 10.2%
         
$
 
SPDR S&P 500 ETF, Expiration: 01/31/2025; Exercise Price: $482.88
 
$
4,759,937
     
91
   
$
630,310
 
TOTAL PURCHASED OPTIONS (Cost $395,769)
   
$
630,310
 
                         
SHORT-TERM INVESTMENTS - 91.2%
                 
Money Market Funds - 0.6%
   
Shares
         
First American Treasury Obligations Fund - Class X, 5.22%(c)
     
35,220
     
35,220
 
U.S. Treasury Bills - 90.6%
   
Par
         
5.00%, 01/23/2025(d)
   
$
5,860,000
     
5,628,887
 
TOTAL SHORT-TERM INVESTMENTS (Cost $5,672,728)
     
5,664,107
 
                         
TOTAL INVESTMENTS - 101.4% (Cost $6,068,497)
   
$
6,294,417
 
Liabilities in Excess of Other Assets - (1.4)%
     
(83,608
)
TOTAL NET ASSETS - 100.0%
                 
$
6,210,809
 
           
Percentages are stated as a percent of net assets.
         

(a)
Exchange-traded.
(b)
100 shares per contract.
(c)
The rate shown represents the 7-day effective yield as of March 31, 2024.
(d)
The rate shown is the effective yield as of March 31, 2024.

TrueShares Structured Outcome (February) ETF
 
Schedule of Options Written
 
as of March 31, 2024 (Unaudited)
 
   
OPTIONS WRITTEN - (1.3)% (a)(b)
 
Notional Amount
   
Contracts
   
Value
 
Put Options - (1.3)%
                 
SPDR S&P 500 ETF, Expiration: 01/31/2025; Exercise Price: $434.59
 
$
7,061,445
     
135
   
$
80,496
 
TOTAL OPTIONS WRITTEN (Premiums received $144,114)
                 
$
80,496
 
                         
Percentages are stated as a percent of net assets.
                       

(a)
Exchange-traded.
(b)
100 shares per contract.

TrueShares Structured Outcome (February) ETF
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets:
                       
  Purchased Options
 
$
   
$
630,310
   
$
   
$
630,310
 
  Money Market Funds
   
35,220
     
     
     
35,220
 
  U.S. Treasury Bills
   
     
5,628,887
     
     
5,628,887
 
Total Assets
 
$
35,220
   
$
6,259,197
   
$
   
$
6,294,417
 
                                 
Liabilities:
                               
  Options Written
 
$
   
$
80,496
   
$
   
$
80,496
 
Total Liabilities
 
$
   
$
80,496
   
$
   
$
80,496
 
                                 
   
Refer to the Schedule of Investments for industry classifications.