0001398344-21-019653.txt : 20211006 0001398344-21-019653.hdr.sgml : 20211006 20211006131925 ACCESSION NUMBER: 0001398344-21-019653 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 20210731 FILED AS OF DATE: 20211006 DATE AS OF CHANGE: 20211006 EFFECTIVENESS DATE: 20211006 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Listed Funds Trust CENTRAL INDEX KEY: 0001683471 IRS NUMBER: 826272597 FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-23226 FILM NUMBER: 211309422 BUSINESS ADDRESS: STREET 1: 615 E. MICHIGAN STREET CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 414-765-5144 MAIL ADDRESS: STREET 1: 615 E. MICHIGAN STREET CITY: MILWAUKEE STATE: WI ZIP: 53202 FORMER COMPANY: FORMER CONFORMED NAME: Active Weighting Funds ETF Trust DATE OF NAME CHANGE: 20160830 0001683471 S000068195 AAF First Priority CLO Bond ETF C000218353 AAF First Priority CLO Bond ETF AAA N-CSR 1 fp0068859_ncsr.htm

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number (811-23226)

 

Listed Funds Trust
(Exact name of registrant as specified in charter)

 

615 East Michigan Street

Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)

 

Kent P. Barnes, Secretary

Listed Funds Trust

c/o U.S. Bancorp Fund Services, LLC

777 East Wisconsin Avenue, 10th Floor

Milwaukee, WI 53202

(Name and address of agent for service)

 

(414) 765-6511

Registrant's telephone number, including area code

 

Date of fiscal year end: July 31

 

Date of reporting period: July 31, 2021

 

 

Item 1. Reports to Stockholders.

 

(a)

 

 

 

 

AAF First Priority CLO Bond ETF
(AAA)

 

 

 

ANNUAL REPORT

 

July 31, 2021

 

 

 

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (“SEC”), paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the Fund’s reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Please contact your financial intermediary to elect to receive shareholder reports and other Fund communications electronically.

 

You may elect to receive all future Fund reports in paper free of charge. Please contact your financial intermediary to inform them that you wish to continue receiving paper copies of Fund shareholder reports and for details about whether your election to receive reports in paper will apply to all funds held with your financial intermediary.

 

 

AAF First Priority CLO Bond ETF

Table of Contents

 

 

 

   

Letter to Shareholders (Unaudited)

2

Performance Overview (Unaudited)

3

Schedule of Investments

4

Statement of Assets and Liabilities

6

Statement of Operations

7

Statement of Changes in Net Assets

8

Financial Highlights

9

Notes to Financial Statements

10

Report of Independent Registered Public Accounting Firm

17

Board of Trustees and Officers (Unaudited)

18

Shareholder Expense Example (Unaudited)

20

Supplemental Information (Unaudited)

21

Review of Liquidity Risk Management Program (Unaudited)

22

Privacy Policy (Unaudited)

23

 

 

1

 

 

AAF First Priority CLO Bond ETF

Shareholder Letter

July 31, 2021 (Unaudited)

 

 

Dear Shareholders,

 

On behalf of the entire team, we want to express our appreciation for the confidence you have placed in the AAF First Priority CLO Bond ETF (“AAA” or the “Fund”). The following information pertains to the fiscal period of September 8, 2020 (the Fund’s inception date) through July 31, 2021 (the “current fiscal period”).

 

The Fund is an actively managed exchange-traded fund (“ETF”) that pursues its investment objective by investing in AAA rated first priority debt tranches of U.S. dollar-dominated collateralized loan obligations (“CLOs”). The Fund is actively managed and does not seek to track the performance of any particular index. The Fund seeks capital preservation and income.

 

The Fund had positive performance during the fiscal period ended on July 31, 2021. Total return at NAV for AAA was a positive 1.21% and the total return at market price was a positive 0.98%.

 

The positive performance was derived from 3 sources; a) Income derived from interest paid on CLO bonds net of management fees (“Distributable Income”), b) principal appreciation, and c) the market price premium or discount to NAV. Income derived from interest paid on CLO bonds net of management fees contributed 0.98% to the Fund’s total return. Principal appreciation increased the Fund’s NAV by 0.23%. The market price premium or discount to NAV decreased the Fund’s total return by 0.23%

 

NAV Total Return (1.21%) = Distributed Income (0.98%) + Principal appreciation (0.23%).

 

Market Price Total Return (0.98%) = Distributed Income (0.98%) + Principal appreciation (0.23%) + the Market Price Premium or discount (-0.23%).

 

Upon its launch, AAA was one of the first CLO ETFs on the market. The Fund began trading on September 9th, 2020, with outstanding shares of 200,000. As of July 31, 2021, the Fund’s shares outstanding were 400,000.

 

We appreciate your investment in AAA.

 

Sincerely,

 

 

Peter Coppa,
Founder and Managing Partner
Alternative Access Funds, Adviser to the Fund

 

2

 

 

AAF First Priority CLO Bond ETF

Performance Overview

July 31, 2021 (Unaudited)

 

 

Hypothetical Growth of $10,000 Investment
(Since Commencement through 7/31/2021)

 

 

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED JULY 31, 2021

Total Returns

Since
Commencement
1

AAF First Priority CLO Bond ETF —NAV

1.21%

AAF First Priority CLO Bond ETF —Market

0.98%

Bloomberg U.S. Floating-Rate Note < 5 Years Index

0.74%

 

1

The Fund commenced operations on September 8, 2020

 

The performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. For the most recent month-end performance, please call (917) 535-5737. You cannot invest directly in an index. Shares are bought and sold at market price (closing price), not net asset value (“NAV”), and are not individually redeemed from the Fund. Market performance is determined using the bid/ask midpoint at 4:00 p.m. Eastern time when the NAV is typically calculated. Brokerage commissions will reduce returns. Returns shown include the reinvestment of all dividends and distribution. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

The Bloomberg U.S. Floating-Rate Note < 5 Years Index measures the performance of USD denominated, investment-grade, floating-rate notes across corporate and government-related sectors. It is not possible to invest directly in an index.

 

3

 

 

AAF First Priority CLO Bond ETF

Schedule of Investments

July 31, 2021

 

 

 

 

 

Principal
Amount

   

Value

 

COLLATERALIZED LOAN OBLIGATIONS — 96.2% (a)(b)(c)

       

Cayman Islands — 96.2% (d)

AMMC CLO 15, Ltd.

               

Series 2014-15A ARR, 1.386% (3 Month LIBOR USD + 1.260%, 1.260% Floor), 1/15/2032

  $ 448,904     $ 448,904  

AMMC CLO 18, Ltd.

               

Series 2016-18A AR, 1.241% (3 Month LIBOR USD + 1.100%, 0.000% Floor), 5/27/2031

    248,783       248,853  

Atrium XII LLC

               

Series 2015-12A AR, 0.968% (3 Month LIBOR USD + 0.830%, 0.000% Floor), 4/22/2027

    225,134       225,244  

Bain Capital Credit CLO

               

Serires 2018-1A A1, 1.098% (3 Month LIBOR USD + 0.960%, 0.000% Floor), 4/23/2031

    250,000       249,692  

Battalion CLO XVI, Ltd.

               

Series 2019-16A A, 1.504% (3 Month LIBOR USD + 1.370%, 1.370% Floor), 12/20/2032

    375,000       375,490  

Burnham Park CLO, Ltd.

               

Series 2016-1A AR, 1.284% (3 Month LIBOR USD + 1.150%, 1.150% Floor), 10/22/2029

    375,000       375,026  

Cayuga Park CLO, Ltd.

               

Series 2020-1A A, 1.734% (3 Month LIBOR USD + 1.600%, 1.600% Floor), 7/17/2031

    375,000       375,238  

CBAM, Ltd.

               

Series 2017-1A A1, 1.384% (3 Month LIBOR USD + 1.250%, 0.000% Floor), 7/22/2030

    485,000       485,009  

Cedar Funding VII CLO, Ltd.

               

Series 2018-7A A1, 1.134% (3 Month LIBOR USD + 1.000%, 1.000% Floor), 1/21/2031

    375,000       374,999  

CIFC Funding, Ltd.

               

Series 2014-4RA A1A, 1.264% (3 Month LIBOR USD + 1.130%, 1.130% Floor), 10/17/2030

  250,000     249,903  

Dryden 58 CLO, Ltd.

               

Series 2018-58A A1, 1.134% (3 Month LIBOR USD + 1.000%, 0.000% Floor), 7/17/2031

    500,000       500,487  

Dryden XXVI Senior Loan Fund

               

Series 2013-26A AR, 1.026% (3 Month LIBOR USD + 0.900%, 0.000% Floor), 4/16/2029

    491,935       491,847  

Elmwood CLO IV, Ltd.

               

Series 2020-1A A, 1.366% (3 Month LIBOR USD + 1.240%, 1.240% Floor), 4/15/2033

    250,000       250,861  

Goldentree Loan Management U.S. CLO, Ltd.

               

Series 2017-2A A, 1.284% (3 Month LIBOR USD + 1.150%, 0.000% Floor), 11/29/2030

    375,000       375,001  

LCM XVIII, Ltd.

               

Series 2015-18A A1R, 1.154% (3 Month LIBOR USD + 1.020%, 0.000% Floor), 7/21/2031

    375,000       374,098  

LCM XIX, Ltd.

               

Series 2015-19A AR, 1.366% (3 Month LIBOR USD + 1.240%, 1.240% Floor), 7/15/2027

    132,806       132,809  

LCM XX, Ltd.

               

Series 2015-20A AR, 1.174% (3 Month LIBOR USD + 1.040%, 0.000% Floor), 10/20/2027

    215,330       215,248  

Madison Park Funding XVIII, Ltd.

               

Series 2015-18A A1R, 1.324% (3 Month LIBOR USD + 1.190%, 0.000% Floor), 10/21/2030

    500,000       500,563  

Magnetite XII, Ltd.

               

Series 2015-12A ARR, 1.226% (3 Month LIBOR USD + 1.100%, 0.000% Floor), 10/15/2031

    375,000       375,000  

Octagon Investment Partners 36, Ltd.

               

Series 2018-1A A1, 1.096% (3 Month LIBOR USD + 0.970%, 0.000% Floor), 4/15/2031

    500,000       499,999  

Palmer Square CLO, Ltd.

               

Series 2019-1A A1, 1.465% (3 Month LIBOR USD + 1.340%, 1.340% Floor), 11/15/2032

    400,000       401,058  

Rockford Tower CLO, Ltd.

               

Series 2021-1A A1, 1.253% (3 Month LIBOR USD + 1.170%, 1.170% Floor), 7/20/2034

    300,000       300,438  
                 

 

The accompanying notes are an integral part of the financial statements.

 

4

 

 

AAF First Priority CLO Bond ETF

Schedule of Investments

July 31, 2021 (Continued)

 

 

 

 

Principal
Amount

   

Value

 

Symphony CLO XXII, Ltd.

               

Series 2020-22A A1A, 1.424% (3 Month LIBOR USD + 1.290%, 1.290% Floor), 4/18/2033

  $ 375,000     $ 374,881  

TICP CLO IX, Ltd.

               

Series 2017-9A A, 1.274% (3 Month LIBOR USD + 1.140%, 0.000% Floor), 1/21/2031

    250,000       249,926  

Voya CLO, Ltd.

               

Series 2015-1A A1R, 1.034% (3 Month LIBOR USD + 0.900%, 0.900% Floor), 1/18/2029

    452,861       452,861  

Series 2018-3A A1A, 1.276% (3 Month LIBOR USD + 1.150%, 1.150% Floor), 10/15/2031

    375,000       375,000  

York CLO, Ltd.

               

Series 2016-2A A1R, 1.224% (3 Month LIBOR USD + 1.090%, 0.000% Floor), 4/20/2032

    375,000       375,277  

TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $9,624,884)

            9,653,712  
                 

TOTAL INVESTMENTS (Cost $9,624,884) — 96.2%

            9,653,712  

Other assets and liabilities, net — 3.8%

            378,816  

NET ASSETS — 100.0%

          $ 10,032,528  

 

 

 

Percentages are stated as a percent of net assets.

 

(a)

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.

 

(b)

Variable rate securities. The coupon is based on a reference index and spread. The rate reported is the rate in effect as of July 31, 2021.

 

(c)

Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities maybe resold in transactions exempt from registration to qualified institutional investors. The value of these securities total $9,653,712, which represents 96.2% of total net assets.

 

(d)

To the extent the Fund invests more heavily in particular countries, its performance will be especially sensitive to developments that significantly affect those countries.

 

LIBOR - London Interbank Offered Rate

 

The accompanying notes are an integral part of the financial statements.

 

5

 

 

AAF First Priority CLO Bond ETF

Statement of Assets and Liabilities

July 31, 2021

 

 

Assets

       

Investments, at value (cost $9,624,884)

  $ 9,653,712  

Cash

    124,359  

Paydown receivable

    250,077  

Interest receivable

    6,509  

Total assets

    10,034,657  
         

Liabilities

       

Payable to Adviser

    2,129  

Total liabilities

    2,129  

Net Assets

  $ 10,032,528  
         

Net Assets Consists of:

       

Paid-in capital

  $ 9,993,352  

Total distributable earnings

    39,176  

Net Assets

  $ 10,032,528  
         

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

    400,000  

Net Asset Value, redemption price and offering price per share

  $ 25.08  

 

 

The accompanying notes are an integral part of the financial statements.

 

6

 

 

AAF First Priority CLO Bond ETF

Statement of Operations

For the Period Ended July 31, 2021(1)

 

 

Investment Income

       

Interest income

  $ 118,199  

Total investment income

    118,199  
         

Expenses

       

Advisory fees

    21,727  

Total expenses

    21,727  

Net investment income

    96,472  
         

Realized and Unrealized Gain on Investments

       

Net realized gain on investments

    643  

Net change in unrealized appreciation/depreciation on investments

    28,828  

Net realized and unrealized gain on investments

    29,471  

Net increase in net assets from operations

  $ 125,943  

 

(1)

The Fund commenced operations on September 8, 2020.

 

The accompanying notes are an integral part of the financial statements.

 

7

 

 

AAF First Priority CLO Bond ETF

Statement of Changes in Net Assets

 

 

 

 

 

Period Ended
July 31,
2021(1)

 

From Operations

       

Net investment income

  $ 96,472  

Net realized gain on investments

    643  

Net change in unrealized appreciation/depreciation on investments

    28,828  

Net increase in net assets resulting from operations

    125,943  
         

From Distributions

       

Distributable earnings

    (86,767 )

Total distributions

    (86,767 )
         

From Capital Share Transactions

       

Proceeds from shares sold

    9,980,905  

Transaction fees (Note 4)

    12,447  

Net increase in net assets resulting from capital share transactions

    9,993,352  
         

Total Increase in Net Assets

    10,032,528  
         

Net Assets

       

Beginning of period

     

End of period

  $ 10,032,528  
         

Changes in Shares Outstanding

       

Shares outstanding, beginning of period

     

Shares sold

    400,000  

Shares outstanding, end of period

    400,000  

 

(1)

The Fund commenced operations on September 8, 2020.

 

 

The accompanying notes are an integral part of the financial statements.

 

8

 

 

AAF First Priority CLO Bond ETF

Financial Highlights

For a Share Outstanding Throughout the Period

 

 

 

 

Period Ended
July 31,
2021
(1)

 

Net Asset Value, Beginning of Period

  $ 25.00  
         

Income from investment operations:

       

Net investment income(2)

    0.25  

Net realized and unrealized gain on investments(6)

    0.02  

Total from investment operations

    0.27  
         

Less distributions paid:

       

From net investment income

    (0.22 )

Total distributions paid

    (0.22 )
         

Capital share transactions:

       

Transaction fees (see Note 4)

    0.03  

Total transaction fees

    0.03  
         

Net Asset Value, End of Period

  $ 25.08  
         

Total return, at NAV(3)

    1.21 %(4)

Total return, at Market(3)

    0.98 %(4)
         

Supplemental Data and Ratios:

       

Net assets, end of period (000’s)

  $ 10,033  
         

Ratio of expenses to average net assets

    0.25 %(5)

Ratio of net investment income to average net assets

    1.11 %(5)

Portfolio turnover rate

    34 %(4)

 

(1)

The Fund commenced investment operations on September 8, 2020.

 

(2)

Per share net investment income was calculated using average shares outstanding.

 

(3)

Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of distributions.

 

(4)

Not annualized for periods less than one year.

 

(5)

Annualized for periods less than one year.

 

(6)

Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the Statement of Operations.

 

The accompanying notes are an integral part of the financial statements.

 

9

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021

 

 

1.

ORGANIZATION

 

AAF First Priority CLO Bond ETF (the “Fund”) is a diversified series of Listed Funds Trust (the “Trust”), formerly Active Weighting Funds ETF Trust. The Trust was organized as a Delaware statutory trust on August 26, 2016, under a Declaration of Trust amended on December 21, 2018, and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

 

The Fund is an actively-managed exchange-traded fund (“ETF”). The Fund’s objective is to invest, under normal circumstances, at least 80% of its nets assets (plus any borrowings made for investment purposes) in AAA rated first priority debt tranches of U.S. dollar-dominated collateralized loan obligations (“CLOs”). CLOs are trusts that are typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The Fund may invest in CLOs of any maturity.

 

Costs incurred by the Fund in connection with the organization, registration and the initial public offering of shares were paid by Alternative Access Funds, LLC (“AAF” or the “Adviser”), the Fund’s Investment Adviser.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

 

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. The Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and follows the significant accounting policies described below.

 

New Accounting Pronouncements

 

In March 2020, FASB issued Accounting Standards Update (ASU) 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU.

 

Use of Estimates

 

The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.

 

Share Transactions

 

The net asset value (“NAV”) per share of the Fund will be equal to the Fund’s total assets minus the Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading.

 

Fair Value Measurement

 

In calculating the NAV, the Fund’s debt securities, including collateralized loan obligations, are generally valued using the last available bid prices or current market quotations provided by dealers or prices (including evaluated prices) supplied by approved independent third-party pricing services. Pricing services may use matrix pricing or valuation models that utilize

 

10

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021 (Continued)

 

 

certain inputs and assumptions to derive values. Such valuations are typically categorized as Level 2 in the fair value hierarchy described below. Due to the inherent uncertainty of valuations, fair values may differ slightly from the values that would have been used had an active market existed.

 

Securities listed on the NASDAQ Stock Market, Inc. are generally valued at the NASDAQ official closing price. Foreign securities will be priced in their local currencies as of the close of their primary exchange or market or as of the time the Fund calculates its NAV on the valuation date, whichever is earlier.

 

If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith by the Adviser using procedures adopted by the Board of Trustees of the Trust (the “Board”). The circumstances in which a security may be fair valued include, among others: the occurrence of events that are significant to a particular issuer, such as mergers, restructurings or defaults; the occurrence of events that are significant to an entire market, such as natural disasters in a particular region or government actions; trading restrictions on securities; thinly traded securities; and market events such as trading halts and early market closings. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. Fair valuation could result in a different NAV than a NAV determined by using market quotations. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy described below.

 

FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with U.S. GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurements. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the following hierarchy:

 

 

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

 

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

 

Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

11

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021 (Continued)

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund’s investments at July 31, 2021 are as follows:

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Collateralized Loan Obligations

  $     $ 9,653,712     $     $ 9,653,712  

Total Investments - Assets

  $     $ 9,653,712     $     $ 9,653,712  

 

Security Transactions

 

Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses from the sale or disposition of securities are calculated based on the specific identification basis.

 

Investment Income

 

Investments in CLOs may be subject to certain tax provisions that could result in the Fund incurring tax or recognizing income prior to receiving cash distributions related to such income. CLOs that fail to comply with certain U.S. tax disclosure requirements may be subject to withholding requirement that could adversely affect cash flows and investments results. Any unrealized losses the Fund experiences with respect to its CLO investments may be an indication of future realized losses. Investment transactions are recorded on a trade-date basis. Discounts and premiums on fixed income securities purchased are accreted or amortized using the effective interest method. Gain and losses on paydowns of CLOs are reflected in interest income on the Statement of Operations.

 

Tax Information, Dividends and Distributions to Shareholders and Uncertain Tax Positions

 

The Fund is treated as a separate entity for Federal income tax purposes. The Fund intends to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, the Fund must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, the Fund will not be subject to Federal income tax.

 

Distributions to shareholders are recorded on the ex-dividend date. The Fund generally pays out dividends from net investment income, if any, monthly and distributes its net capital gains, if any, to shareholders at least annually. The Fund may also pay a special distribution at the end of the calendar year to comply with Federal tax requirements. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed earnings and profit for tax purposes are reported as a tax return of capital.

 

Management evaluates the Fund’s tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as income tax expense. The Fund’s Federal income tax returns are subject to examination by the Internal Revenue Service (the “IRS”) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of July 31, 2021, the Fund’s fiscal period end, the Fund had no material uncertain tax positions and did not have a liability for any unrecognized tax benefits. As of July 31, 2021, the Fund’s fiscal period end, the Fund had no examination in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

12

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021 (Continued)

 

 

The Fund recognized no interest or penalties related to uncertain tax benefits in the fiscal period 2021. At July 31, 2021, the Fund’s fiscal period end, the tax periods from commencement of operations remained open to examination in the Fund’s major tax jurisdiction.

 

Indemnification

 

In the normal course of business, the Fund expects to enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these anticipated arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Adviser expects the risk of loss to be remote.

 

3.

INVESTMENT ADVISORY AND OTHER AGREEMENTS

 

Investment Advisory Agreement

 

The Trust has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser. Under the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of the Fund subject to the supervision of the Board, including the Trustees who are not “interested persons” of the Trust as defined in the 1940 Act (the “Independent Trustees”).

 

Pursuant to the Advisory Agreement between the Trust, on behalf of the Fund, and AAF, the Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.25% of the Fund’s average daily net assets. AAF has agreed to pay all expenses of the Fund except the fee paid to AAF under the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses (if any).

 

Distribution Agreement and 12b-1 Plan

 

Quasar Distributors, LLC (“Quasar” or the “Distributor”), a wholly owned subsidiary of Foreside Financial Group, LLC (“Foreside”), serves as the Fund’s distributor pursuant to a Distribution Agreement. The Distributor receives compensation from the Adviser for certain statutory underwriting services it provides to the Fund. The Distributor enters into agreements with certain broker-dealers and others that will allow those parties to be “Authorized Participants” and to subscribe for and redeem shares of the Fund. The Distributor will not distribute shares in less than whole Creation Units and does not maintain a secondary market in shares.

 

On July 7, 2021, Foreside, the parent company of the Fund’s distributor, announced that it had entered into a definitive purchase and sale agreement with Genstar Capital (“Genstar”) such that Genstar would acquire a majority stake in Foreside. The transaction is expected to close at the end of the third quarter of 2021. Quasar will remain the Fund’s distributor at the close of the transaction, subject to Board approval.

 

The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act (“Rule 12b-1 Plan”). In accordance with the Rule 12b-1 Plan, the Fund is authorized to pay an amount up to 0.25% of the Fund’s average daily net assets each year for certain distribution-related activities. As authorized by the Board, no Rule 12b-1 fees are currently paid by the Fund and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the Fund’s assets. The Adviser and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Fund.

 

13

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021 (Continued)

 

 

Administrator, Custodian and Transfer Agent

 

U.S. Bancorp Fund Services LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) serves as administrator, transfer agent and fund accounting agent of the Fund pursuant to a Fund Servicing Agreement. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Fund’s custodian pursuant to a Custody Agreement. Under the terms of these agreements, the Adviser pays the Fund’s administrative, custody and transfer agency fees.

 

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

 

4.

CREATION AND REDEMPTION TRANSACTIONS

 

Shares of the Fund are listed and traded on the NYSE Arca, Inc. (the “Exchange”). The Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units.” A Creation Unit consists of 100,000 shares. Creation Units are issued and redeemed principally for cash, but may also be issued and redeemed in kind for securities held by or eligible to be held by the Fund. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open for trading. The NAV of the shares of the Fund will be equal to the Fund’s total assets minus the Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for purposes of determining the price of Creation Units, the NAV will be calculated to five decimal places.

 

Creation Unit Transaction Fee

 

Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Unit Transaction Fee”) in connection with the issuance or redemption of Creation Units. The standard Creation Unit Transaction Fee will be the same regardless of the number of Creation Units purchased or redeemed by an investor on the applicable business day. The Creation Unit Transaction Fee charged by the Fund for each creation order is $250.

 

An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction imposed for (i) creations effected outside the Clearing Process and (ii) creations made in an all cash amount (to offset the Trust’s brokerage and other transaction costs associated with using cash to purchase or redeem the requisite Deposit Securities). Investors are responsible for the costs of transferring the securities constituting the Deposit Securities to the account of the Trust. The Fund may determine to not charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Variable fees, if any, received by the Fund are displayed in the Capital Share Transactions section on the Statement of Changes in Net Assets.

 

Only “Authorized Participants” may purchase or redeem shares directly from the Fund. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective date of the creation or redemption.

 

A creation unit will generally not be issued until the transfer of good title of the deposit securities to the Fund and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Fund will be issued to such authorized participant notwithstanding the fact that the Fund’s deposits have not been received in part or in whole, in reliance on the undertaking of the authorized participant to deliver the missing deposit securities as soon as possible. If the Fund or its agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be deemed rejected and the authorized participant shall be liable to the Fund for losses, if any.

 

14

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021 (Continued)

 

 

5.

FEDERAL INCOME TAX

 

The tax character of distributions paid was as follows:

 

   

Ordinary
Income
(1)

   

Long-Term
Capital Gain

 

Period ended July 31, 2021

  $ 86,767     $  

 

(1)

Ordinary income includes short-term capital gains.

 

At July 31, 2021, the Fund’s fiscal period end, the components of distributable earnings (accumulated losses) and cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:

 

Federal Tax Cost of Investments

  $ 9,624,884  

Gross Tax Unrealized Appreciation

  $ 32,376  

Gross Tax Unrealized Depreciation

    (3,548 )

Net Tax Unrealized Appreciation (Depreciation)

    28,828  

Undistributed Ordinary Income

    10,348  

Distributable Earnings/ (Accumulated Losses)

  $ 39,176  

 

Under current tax law, net capital losses realized after October 31st and net ordinary losses incurred after December 31 may be deferred and treated as occurring on the first day of the following fiscal year. The Fund’s carryforward losses and post-October losses are determined only at the end of each fiscal year. The Fund did not defer any later year losses or post-October losses for the fiscal period ended July 31, 2021.

 

6.

INVESTMENT TRANSACTIONS

 

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the period ended July 31, 2021 were as follows:

 

 

Purchases

   

Sales

   

Creations In-Kind

   

Redemptions
In-Kind

 
  $ 12,786,493     $ 3,167,323     $     $  

 

During the period ended July 31, 2021 there were no realized gains and losses from in-kind redemptions.

 

7.

PRINCIPAL RISKS

 

As with all ETFs, shareholders of the Fund are subject to the risk that their investment could lose money. The Fund is subject to the principal risks, any of which may adversely affect the Fund’s NAV, trading price, yield, total return and ability to meet its investment objective.

 

A CLO is a trust collateralized by a pool of credit-related assets. Accordingly, CLO securities present risks similar to those of other types of credit investments, including default (credit), interest rate and prepayment risks. The extent of these risks depend largely on the type of securities used as collateral and the class of the CLOs in which the Fund invests. In addition, CLOs are often governed by a complex series of legal documents and contracts, which increases the risk of dispute over the interpretation and enforceability of such documents relative to other types of investments. There is also a risk that the trustee of a CLO does not properly carry out its duties to the CLO, potentially resulting in loss to the CLO.

 

15

 

 

AAF First Priority CLO Bond ETF

Notes to Financial Statements

July 31, 2021 (Continued)

 

 

LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including CLOs. Instruments in which the Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. The industry currently anticipates the conversion of all LIBOR based instruments to SOFR based instruments in June 2023 or sooner.

 

Since 2017, the United Kingdom’s Financial Conduct Authority has been working towards the cessation of LIBOR at the end of December 2021. In November 2020, though, the administrator of the U.S. Dollar LIBOR benchmarks, the ICE Benchmark Administration, extended the retirement date for most U.S. Dollar LIBOR rates until June 2023. Regulators and industry working groups have suggested numerous alternative reference rates to LIBOR. Leading alternatives include Sonia in the United Kingdom, €STR in the European Union, Tonar in Japan, and in the U.S., the New York Fed has been working to develop the Secured Overnight Financing Rate (SOFR). Global consensus is still coalescing around the transition to a new reference rate and the process for amending existing contracts. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments which reference LIBOR. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. The transition away from LIBOR may lead to increased volatility and illiquidity in markets that are tied to LIBOR, reduced values of LIBOR-related investments, and reduced effectiveness of hedging strategies, adversely affecting the Fund’s performance or NAV. In addition, the alternative reference rate may be an ineffective substitute resulting in prolonged adverse market conditions for the Fund.

 

The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.

 

A complete description of the principal risks is included in the Fund’s prospectus under the heading “Principal Investment Risks.”

 

8. BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of 25% or more of the voting securities of a fund creates a presumption of control of a fund, under section 2(a)(9) of the 1940 Act. At July 31, 2021, Beach Point Capital Management LP, as a beneficial shareholder, owned approximately 25% of the outstanding shares of the Fund.

 

9.

SUBSEQUENT EVENTS

 

The Fund paid distributions to shareholders as follows:

 

Record Date

Ex-Date

Reinvestment
Date/Payable
Date

 

Ordinary
Income Rate

   

Ordinary Income
Distribution Paid

 

08/03/2021

08/02/2021

08/04/2021

  $ 0.02300000     $ 9,200.00  

09/01/2021

08/31/2021

09/02/2021

  $ 0.02000000     $ 8,000.00  

 

Other than as disclosed, there were no other subsequent events requiring recognition or disclosure through the date the financial statements were issued.

 

16

 

 

AAF First Priority CLO Bond ETF

Report of Independent Registered Public Accounting Firm

 

 

 

To the Shareholders of AAF First Priority CLO Bond ETF and
Board of Trustees of Listed Funds Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of AAF First Priority CLO Bond ETF (the “Fund”), a series of Listed Funds Trust, as of July 31, 2021, the related statements of operations and changes in net assets, the related notes, and the financial highlights for the period from September 8, 2020 (commencement of operations) through July 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, the results of its operations, the changes in net assets, and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

 

We have served as the Fund’s auditor since 2020.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
September 29, 2021

 

17

 

 

AAF First Priority CLO Bond ETF

Trustees and Officers of the Trust

July 31, 2021 (Unaudited)

 

 

The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and Officers, and is available, without charge upon request by calling 1-800-617-0004, or by visiting the Fund’s website at https://www.aafetfs.com/.

 

Name and Year of Birth

Position Held
with the Trust

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee During
Past 5 Years

Independent Trustees

         

John L. Jacobs
Year of birth: 1959

Trustee and Audit Committee
Chair

Indefinite term;
since 2017

Chairman of Alerian, Inc. (since June 2018); Executive Director of Center for Financial Markets and Policy (since 2016); Founder and CEO of Q3 Advisors, LLC (financial consulting firm) (since 2015); Distinguished Policy Fellow and Executive Director, Center for Financial Markets and Policy, Georgetown University (since 2015); Senior Advisor, Nasdaq OMX Group (2015–2016); Executive Vice President, Nasdaq OMX Group (2013–2015).

38

Director, tZERO Group, Inc.
(since 2020);
Independent Trustee, Procure ETF Trust II (since 2018) (1 portfolio); Horizons ETF Trust I (2015-2019).

Koji Felton
Year of birth: 1961

Trustee

Indefinite term;
since 2019

Counsel, Kohlberg Kravis Roberts & Co. L.P. (investment firm) (2013–2015); Counsel, Dechert LLP (law firm) (2011–2013).

38

Independent Trustee, Series Portfolios Trust (since 2015)
(8 portfolios).

Pamela H. Conroy
Year of birth: 1961

Trustee and Nominating and Governance Committee Chair

Indefinite term;
since 2019

Retired; formerly Executive Vice President, Chief Operating Officer & Chief Compliance Officer, Institutional Capital Corporation (investment firm) (1994–2008).

38

Independent Trustee, Frontier Funds, Inc.
(since 2020)
(7 portfolios).

Interested Trustee

         

Paul R. Fearday, CPA
Year of birth: 1979

Trustee and Chairman

Indefinite term;
since 2019

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2008).

38

None.

 

18

 

 

AAF First Priority CLO Bond ETF

Trustees and Officers of the Trust

July 31, 2021 (Unaudited)

 

 

 

Name and Year of Birth

Position(s) Held
with the Trust

Term of Office
and Length of
Time Served

Principal Occupation(s) During Past 5 Years

Gregory Bakken
Year of birth: 1983

President and Principal Executive Officer

Indefinite term, February 2019

Vice President, U.S. Bancorp Fund Services, LLC (since 2006).

Travis G. Babich
Year of birth: 1980

Treasurer and Principal Financial Officer

Indefinite term, September 2019

Vice President, U.S. Bancorp Fund Services, LLC (since 2005).

Kacie M. Gronstal
Year of birth: 1992

Assistant Treasurer

Indefinite term, March 2019

Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2021);
Officer, U.S. Bancorp Fund Services, LLC (2014 to 2021).

Kent Barnes
Year of birth: 1968

Secretary

Indefinite term, February 2019

Vice President, U.S. Bancorp Fund Services, LLC (since 2018); Chief Compliance Officer, Rafferty Asset Management, LLC (2016 to 2018); Vice President, U.S. Bancorp Fund Services, LLC (2007 to 2016).

Alia Vasquez
Year of birth: 1980

Assistant Secretary

Indefinite term, June 2021

Vice President, U.S. Bancorp Fund Services, LLC (since 2017, and 2015 to 2016); Corporate Counsel, Johnson Outdoors (2017); Assistant Vice President, U.S. Bancorp Fund Services, LLC (2010 to 2015); Secretary, Series Portfolios Trust (2015 to 2017).

Steve Jensen
Year of birth: 1957

Chief Compliance Officer and Anti-Money Laundering Officer

Indefinite term, February 2019

Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2011).

 

 

19

 

 

AAF First Priority CLO Bond ETF

Shareholder Expense Example

(Unaudited)

 

 

As a shareholder of a Fund you incur two types of costs: (1) transaction costs for purchasing and selling shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (February 1, 2021 to July 31, 2021).

 

ACTUAL EXPENSES

 

The first line under the Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The second line in the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
2/1/21

Ending
Account Value
7/31/21

Annualized
Expense
Ratios

Expenses
Paid During
the Period(1)

AAF First Priority CLO Bond ETF

       

Actual

$ 1,000.00

$ 1,004.60

0.25%

$ 1.24

Hypothetical (5% return before expenses)

$ 1,000.00

$ 1,023.55

0.25%

$ 1.25

 

(1)

Expenses are calculated using the Fund’s annualized expense ratio multiplied by the average account value during the period, multiplied by 181/365 days (to reflect the six-month period).

 

20

 

 

AAF First Priority CLO Bond ETF

Supplemental Information

(Unaudited)

 

 

Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. Please read the prospectus carefully before investing. A copy of the prospectus for the Fund may be obtained without charge by writing to the Fund, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin 53201-0701, by calling 1-800-617-0004, or by visiting the Fund’s website at https://www.aafetfs.com/.

 

QUARTERLY PORTFOLIO HOLDING INFORMATION

 

The Fund files its complete schedule of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Part F of Form N-PORT. The Fund’s Part F of Form N-PORT is available without charge, upon request, by calling toll-free at 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov.

 

PROXY VOTING INFORMATION

 

The Fund is required to file a Form N-PX, with the Fund’s complete proxy voting record for the 12 months ended June 30, no later than August 31 of each year. The Fund’s proxy voting record will be available without charge, upon request, by calling toll-free 1-800-617-0004 and on the SEC’s website at www.sec.gov.

 

FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS

 

Information regarding how often shares of the Fund trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund is available without charge, on the Fund’s website at https://www.aafetfs.com/.

 

21

 

 

AAF First Priority CLO Bond ETF

Review of Liquidity Risk Management Program

(Unaudited)

 

 

Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the “Series”), has adopted a liquidity risk management program to govern the Trust’s approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust’s liquidity risk management program is tailored to reflect the Series’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Series.

 

The investment adviser to the Series has adopted and implemented its own written liquidity risk management program (the “Program”) tailored specifically to assess and manage the liquidity risk of the Series. At a recent meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2020. The report concluded that the Program is reasonably designed to assess and manage the Series’ liquidity risk and has operated adequately and effectively to manage such risk. The report reflected that there were no liquidity events that impacted the Series’ ability to timely meet redemptions without dilution to existing shareholders. The report further noted that no material changes have been made to the Program since its implementation.

 

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Series’ exposure to liquidity risk and other principal risks to which an investment in the Series may be subject.

 

22

 

 

AAF First Priority CLO Bond ETF

Privacy Policy

July 31, 2021 (Unaudited)

 

 

We are committed to respecting the privacy of personal information you entrust to us in the course of doing business with us.

 

The Fund collects non-public information about you from the following sources:

 

 

Information we receive about you on applications or other forms;

 

 

Information you give us orally; and/or

 

 

Information about your transactions with us or others.

 

We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Fund. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.

 

In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.

 

23

 

 

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Investment Adviser:

 

Alternative Access Funds, LLC
2150 Park Place, Suite 100
El Segundo, CA 90245

 

Legal Counsel:

 

Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, N.W.
Washington, D.C. 20004

 

Independent Registered Public Accounting Firm:

 

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115

 

Distributor:

 

Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
Milwaukee, WI 53202

 

Administrator, Fund Accountant & Transfer Agent:

 

U.S. Bancorp Fund Services, LLC
d/b/a U.S. Bank Global Fund Services
615 E. Michigan St.
Milwaukee, WI 53202

 

Custodian:

 

U.S. Bank N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212

 

This information must be preceded or accompanied by a current prospectus for the Fund.

 

 

 

 

(b) Not applicable.

 

Item 2. Code of Ethics.

 

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The Registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

A copy of the registrant’s Code of Ethics is filed herewith.

 

Item 3. Audit Committee Financial Expert.

 

The registrant’s Board of Trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. John Jacobs is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

 

  FYE 07/31/2021 FYE 07/31/2020
Audit Fees  $17,000 N/A
Audit-Related Fees $0 N/A
Tax Fees  $4,500 N/A
All Other Fees $0 N/A

 

(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

 

(e)(2) The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

 

 

 

 

  FYE 07/31/2021 FYE 07/31/2020
Audit-Related Fees 0% N/A
Tax Fees 0% N/A
All Other Fees 0% N/A

 

(f) All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.

 

(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years.

 

Non-Audit Related Fees FYE 07/31/2021 FYE 07/31/2020
Registrant N/A N/A
Registrant’s Investment Adviser N/A N/A

 

(h) The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.

 

The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.

 

The registrant is not a foreign issuer.

 

Item 5. Audit Committee of Listed Registrants.

 

(a) The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The entire Board of Trustees is acting as the registrant’s audit committee.

 

(b) Not applicable.

 

Item 6. Investments.

 

(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b) Not Applicable.

 

 

 

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

 

Item 11. Controls and Procedures.

 

(a)The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

 

(b)There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a) (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith.

 

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

 

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Listed Funds Trust  
     
By (Signature and Title)* /s/ Gregory C. Bakken  
  Gregory C. Bakken, President/Principal Executive Officer  
     
Date 10/05/2021  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)* /s/ Gregory C. Bakken  
  Gregory C. Bakken, President/Principal Executive Officer  
     
Date 10/05/2021  
     
By (Signature and Title)* /s/ Travis G. Babich  
  Travis G. Babich, Treasurer/Principal Financial Officer  
     
Date 10/05/2021  

 

*Print the name and title of each signing officer under his or her signature.

EX-99.CODE ETH 2 fp0068859_ex99code.htm

Listed Funds Trust

 

Code of Ethics

For Principal Executive Officer & Principal Financial Officer

 

This Code of Ethics is designed to comply with Section 406 of the Sarbanes-Oxley Act of 2002 and the rules promulgated by the Securities and Exchange Commission (the “SEC”) thereunder. This Code of Ethics is in addition to, not in replacement of, the Listed Funds Trust (the “Trust”) Code of Ethics for access persons (the “Investment Company Code of Ethics”), adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”). The persons covered by this Code of Ethics may also be subject to the Investment Company Code of Ethics.

 

The Trust requires its Principal Executive Officer, Principal Financial Officer, or other Trust officers performing similar functions (the “Principal Officers”), to maintain the highest ethical and legal standards while performing their duties and responsibilities to the Trust and each of its series (each a “Fund,” collectively the “Funds”), with particular emphasis on those duties that relate to the preparation and reporting of the financial information of the Funds. The following principles and responsibilities shall govern the professional conduct of the Principal Officers:

 

1.HONEST AND ETHICAL CONDUCT.

 

The Principal Officers shall act with honesty and integrity, avoiding actual or apparent conflicts of interest in personal and professional relationships, and shall report any material transaction or relationship that reasonably could be expected to give rise to such conflict between their interests and those of a Fund to the Audit Committee, the full Board of Trustees of the Trust, and, in addition, to any other appropriate person or entity that may reasonably be expected to deal with any conflict of interest in timely and expeditious manner.

 

The Principal Officers shall act in good faith, responsibly, with due care, competence and diligence, without misrepresenting material facts or allowing their independent judgment to be subordinated or compromised.

 

2.FINANCIAL RECORDS AND REPORTING

 

The Principal Officers shall provide full, fair, accurate, timely and understandable disclosure in the reports and/or other documents to be filed with or submitted to the Securities and Exchange Commission or other applicable body by a Fund, or that is otherwise publicly disclosed or communicated. The Principal Officers shall comply with applicable rules and regulations of federal, state, and local governments, and other appropriate private and public regulatory agencies.

 

The Principal Officers shall respect the confidentiality of information acquired in the course of their work and shall not disclose such information except when authorized or legally obligated to disclose. The Principal Officers will not use confidential information acquired in the course of their duties as Principal Officers.

 

 

 

The Principal Officers shall share knowledge and maintain skills important and relevant to the Trust’s needs; shall proactively promote ethical behavior of the Trust’s employees and with industry peers and associates; and shall maintain control over and responsibly manage assets and resources employed or entrusted to them by the Trust.

 

3.COMPLIANCE WITH LAWS, RULES AND REGULATIONS

 

The Principal Officers shall establish and maintain mechanisms to oversee the compliance of the Funds with applicable federal, state or local law, regulation or administrative rule, and to identify, report and correct in a swift and certain manner, any detected deviations from applicable federal, state or local law regulation or rule.

 

4.COMPLIANCE WITH THIS CODE OF ETHICS

 

The Principal Officers shall promptly report any violations of this Code of Ethics to the Audit Committee as well as the full Board of Trustees of the Trust and shall be held accountable for strict adherence to this Code of Ethics. A proven failure to uphold the standards stated herein shall be grounds for such sanctions as shall be reasonably imposed by the Board of Trustees of the Trust.

 

5.AMENDMENT AND WAIVER

 

This Code of Ethics may only be amended or modified by approval of the Board of Trustees. Any substantive amendment that is not technical or administrative in nature or any material waiver, implicit or otherwise, of any provision of this Code of Ethics, shall be communicated publicly in accordance with Item 2 of Form N-CSR under the Investment Company Act of 1940.

 

Adopted: March 19, 2019

 

EX-99.CERT 3 fp0068859_ex99cert.htm

 EX-99.CERT

CERTIFICATIONS

 

I, Gregory C. Bakken, certify that:

 

1.I have reviewed this report on Form N-CSR of Listed Funds Trust;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: 10/05/2021   /s/ Gregory C. Bakken  
      Gregory C. Bakken  
      President/Principal Executive Officer  

 

 

 

EX-99.CERT

 CERTIFICATIONS

 

I, Travis G. Babich, certify that:

 

1.I have reviewed this report on Form N-CSR of Listed Funds Trust;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: 10/05/2021   /s/ Travis G. Babich  
      Travis G. Babich  
      Treasurer/Principal Financial Officer  

EX-99.906 CERT 4 fp0068859_ex99906cert.htm

EX-99.906CERT 

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act

 

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the Listed Funds Trust, does hereby certify, to such officer’s knowledge, that the report on Form N-CSR of the Listed Funds Trust, for the year ended July 31, 2021 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Listed Funds Trust for the stated period.

 

/s/ Gregory C. Bakken   /s/ Travis G. Babich  
Gregory C. Bakken   Travis G. Babich  
President/Principal Executive Officer   Treasurer/Principal Financial Officer  
Listed Funds Trust   Listed Funds Trust  
       
Dated: 10/05/2021        

 

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Listed Funds Trust for purposes of Section 18 of the Securities Exchange Act of 1934.

 

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