SWAN DEFINED RISK FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
March 31, 2024 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 94.8% | |||||||
EQUITY - 94.8% | |||||||
399,663 | Communication Services Select Sector SPDR Fund(a) | $ 32,636,481 | |||||
204,712 | Consumer Discretionary Select Sector SPDR Fund(a) | 37,644,490 | |||||
284,541 | Consumer Staples Select Sector SPDR Fund(a) | 21,727,551 | |||||
153,105 | Energy Select Sector SPDR Fund(a) | 14,454,643 | |||||
1,143,226 | Financial Select Sector SPDR Fund(a) | 48,152,679 | |||||
306,700 | Health Care Select Sector SPDR Fund(a) | 45,308,791 | |||||
256,439 | Industrial Select Sector SPDR Fund(a) | 32,301,056 | |||||
652,000 | iShares Core S&P 500 ETF | 342,775,959 | |||||
93,399 | Materials Select Sector SPDR Fund(a) | 8,675,833 | |||||
209,971 | Real Estate Select Sector SPDR Fund(a) | 8,300,154 | |||||
513,347 | Technology Select Sector SPDR Fund(a) | 106,914,780 | |||||
122,123 | Utilities Select Sector SPDR Fund(a) | 8,017,375 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $313,592,896) | 706,909,792 | ||||||
SHORT-TERM INVESTMENT — 0.3% | |||||||
MONEY MARKET FUND - 0.3% | |||||||
2,539,029 | First American Government Obligations Fund, Class X, 5.23% (Cost $2,539,029)(b) | 2,539,029 | |||||
Contracts(c) | |||||||
INDEX OPTIONS PURCHASED - 4.7% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS PURCHASED - 0.0%(d) | |||||||
255 | S&P 500 Index | 04/05/2024 | $ 5,550 | $ 133,985,925 | $ 1,056 | ||
336 | S&P 500 Index | 04/12/2024 | 5,575 | 176,546,160 | 8,400 | ||
TOTAL CALL OPTIONS PURCHASED (Cost - $16,466) | 9,456 | ||||||
PUT OPTIONS PURCHASED - 4.7% | |||||||
255 | S&P 500 Index | 04/05/2024 | 5,030 | 133,985,925 | 25,886 | ||
336 | S&P 500 Index | 04/12/2024 | 5,045 | 176,546,160 | 151,872 | ||
500 | S&P 500 Index | 09/20/2024 | 1,400 | 262,717,500 | 1,146 | ||
500 | S&P 500 Index | 09/20/2024 | 3,400 | 262,717,500 | 426,030 | ||
500 | S&P 500 Index | 12/20/2024 | 2,400 | 262,717,500 | 271,252 | ||
500 | S&P 500 Index | 12/20/2024 | 3,600 | 262,717,500 | 1,070,449 | ||
1,359 | S&P 500 Index | 12/19/2025 | 5,000 | 714,066,165 | 32,664,833 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $63,153,075) | 34,611,468 | ||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $63,169,541) | $ 34,620,924 |
SWAN DEFINED RISK FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
March 31, 2024 | |||||||
Fair Value | |||||||
TOTAL INVESTMENTS - 99.8% (Cost $379,301,466) | $ 744,069,745 | ||||||
CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $1,313,138) | (1,160,137) | ||||||
PUT OPTIONS WRITTEN - (0.6)% (Proceeds - $9,237,218) | (4,719,127) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% | 7,719,538 | ||||||
NET ASSETS - 100.0% | $ 745,910,019 | ||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (0.8)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS WRITTEN - (0.2)% | |||||||
255 | S&P 500 Index | 04/05/2024 | $ 5,290 | $ 133,985,925 | $ 363,817 | ||
336 | S&P 500 Index | 04/12/2024 | 5,310 | 176,546,160 | 796,320 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $1,313,138) | 1,160,137 | ||||||
PUT OPTIONS WRITTEN - (0.6)% | |||||||
255 | S&P 500 Index | 04/05/2024 | 5,290 | 133,985,925 | 1,143,945 | ||
336 | S&P 500 Index | 04/12/2024 | 5,310 | 176,546,160 | 2,200,800 | ||
1,000 | S&P 500 Index | 09/20/2024 | 2,400 | 525,435,000 | 224,467 | ||
1,000 | S&P 500 Index | 12/20/2024 | 3,000 | 525,435,000 | 1,149,915 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $9,237,218) | 4,719,127 | ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $10,550,356) | $ 5,879,264 | ||||||
ETF | - Exchange-Traded Fund |
SPDR | - Standard & Poor's Depositary Receipt |
(a) | All or a portion of the security is held as collateral for written options. As of March 31, 2024, the total value of securities held as collateral is $254,345,139. |
(b) | Rate disclosed is the seven-day effective yield as of March 31, 2024. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
(d) | Percentage rounds to less than 0.1%. |
SWAN DEFINED RISK EMERGING MARKETS FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
March 31, 2024 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUND — 92.2% | |||||||
EQUITY - 92.2% | |||||||
474,800 | iShares Core MSCI Emerging Markets ETF(a) | $ 24,499,680 | |||||
TOTAL EXCHANGE-TRADED FUND (Cost $22,485,777) | |||||||
SHORT-TERM INVESTMENT — 0.3% | |||||||
MONEY MARKET FUND - 0.3% | |||||||
84,747 | First American Government Obligations Fund, Class X, 5.23% (Cost $84,747)(b) | 84,747 | |||||
Contracts(c) | |||||||
EQUITY OPTION PURCHASED - 6.4% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTION PURCHASED - 6.4% | |||||||
5,961 | iShares MSCI Emerging Markets ETF | 12/19/2025 | $ 40.00 | $ 24,487,788 | $ 1,710,807 | ||
TOTAL PUT OPTION PURCHASED (Cost - $2,082,048) | |||||||
TOTAL INVESTMENTS - 98.9% (Cost $24,652,572) | $ 26,295,234 | ||||||
CALL OPTION WRITTEN - (0.1)% (Premiums received - $26,378) | (26,820) | ||||||
PUT OPTION WRITTEN - (0.1)% (Premiums received - $38,297) | (38,740) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% | 355,033 | ||||||
NET ASSETS - 100.0% | $ 26,584,707 | ||||||
Contracts(c) | |||||||
WRITTEN EQUITY OPTIONS - (0.2)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTION WRITTEN- (0.1)% | |||||||
1,490 | iShares MSCI Emerging Markets ETF | 06/21/2024 | $ 44.50 | $ 6,120,920 | $ 26,820 | ||
TOTAL CALL OPTION WRITTEN (Proceeds - $26,378) | |||||||
PUT OPTION WRITTEN - (0.1)% | |||||||
1,490 | iShares MSCI Emerging Markets ETF | 06/21/2024 | 38.50 | 6,120,920 | 38,740 | ||
TOTAL PUT OPTION WRITTEN (Proceeds - $38,297) | |||||||
TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $64,675) | $ 65,560 | ||||||
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
(a) | All or a portion of the security is held as collateral for written options. As of March 31, 2024, the total value of securities held as collateral is $7,224,000. |
(b) | Rate disclosed is the seven-day effective yield as of March 31, 2024. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK FOREIGN FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
March 31, 2024 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUND — 94.4% | |||||||
EQUITY - 94.4% | |||||||
330,300 | iShares MSCI EAFE ETF(a) | $ 26,377,758 | |||||
TOTAL EXCHANGE-TRADED FUND (Cost $18,209,703) | |||||||
SHORT-TERM INVESTMENT — 0.8% | |||||||
MONEY MARKET FUND - 0.8% | |||||||
211,320 | First American Government Obligations Fund, Class X, 5.23% (Cost $211,320)(b) | 211,320 | |||||
Contracts(c) | |||||||
EQUITY OPTION PURCHASED - 4.3% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTION PURCHASED - 4.3% | |||||||
3,303 | iShares MSCI EAFE ETF | 12/19/2025 | $ 75 | $ 26,377,758 | $ 1,199,037 | ||
TOTAL PUT OPTION PURCHASED (Cost - $1,923,236) | |||||||
TOTAL INVESTMENTS - 99.5% (Cost $20,344,259) | $ 27,788,115 | ||||||
CALL OPTION WRITTEN - (0.1)% (Premiums received - $22,073) | (22,302) | ||||||
PUT OPTION WRITTEN - (0.1)% (Premiums received - $34,463) | (37,170) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | 209,338 | ||||||
NET ASSETS - 100.0% | $ 27,937,981 | ||||||
Contracts(c) | |||||||
WRITTEN EQUITY OPTIONS - (0.2)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTION WRITTEN- (0.1)% | |||||||
826 | iShares MSCI EAFE ETF | 06/21/2024 | $ 85 | $ 6,596,436 | $ 22,302 | ||
TOTAL CALL OPTION WRITTEN (Proceeds - $22,073) | |||||||
PUT OPTION WRITTEN - (0.1)% | |||||||
826 | iShares MSCI EAFE ETF | 06/21/2024 | 74 | 6,596,436 | 37,170 | ||
TOTAL PUT OPTION WRITTEN (Proceeds - $34,463) | |||||||
TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $56,536) | $ 59,472 | ||||||
EAFE | - Europe, Australasia and Far East |
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
(a) | All or a portion of the security is held as collateral for written options. As of March 31, 2024, the total value of securities held as collateral is $13,496,340. | |
(b) | Rate disclosed is the seven-day effective yield as of March 31, 2024. | |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK GROWTH FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
March 31, 2024 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUND — 91.7% | |||||||
EQUITY - 91.7% | |||||||
65,000 | iShares Core S&P 500 ETF(a) | $ 34,172,450 | |||||
TOTAL EXCHANGE-TRADED FUND (Cost $18,843,106) | |||||||
SHORT-TERM INVESTMENT — 2.2% | |||||||
MONEY MARKET FUND - 2.2% | |||||||
826,298 | First American Government Obligations Fund, Class X, 5.23% (Cost $826,298)(b) | 826,298 | |||||
Contracts(c) | |||||||
INDEX OPTIONS PURCHASED - 8.2% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS PURCHASED - 5.0% | |||||||
285 | Chicago Board Options Exchange Volatility Index | 05/22/2024 | $ 14 | $ 370,785 | $ 57,547 | ||
12 | S&P 500 Index | 04/05/2024 | 5,550 | 6,305,220 | 50 | ||
16 | S&P 500 Index | 04/12/2024 | 5,575 | 8,406,960 | 400 | ||
33 | S&P 500 Index | 12/19/2025 | 5,400 | 17,339,355 | 1,807,691 | ||
TOTAL CALL OPTIONS PURCHASED (Cost - $978,045) | 1,865,688 | ||||||
PUT OPTIONS PURCHASED - 3.2% | |||||||
12 | S&P 500 Index | 04/05/2024 | 5,030 | 6,305,220 | 1,218 | ||
16 | S&P 500 Index | 04/12/2024 | 5,045 | 8,406,960 | 7,232 | ||
22 | S&P 500 Index | 09/20/2024 | 1,400 | 11,559,570 | 50 | ||
22 | S&P 500 Index | 09/20/2024 | 3,400 | 11,559,570 | 18,745 | ||
22 | S&P 500 Index | 12/20/2024 | 2,400 | 11,559,570 | 11,935 | ||
22 | S&P 500 Index | 12/20/2024 | 3,600 | 11,559,570 | 47,100 | ||
65 | S&P 500 Index | 12/19/2025 | 4,700 | 34,153,275 | 1,170,810 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $2,382,177) | 1,257,090 | ||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $3,360,222) | 3,122,778 | ||||||
TOTAL INVESTMENTS - 102.1% (Cost $23,029,626) | $ 38,121,526 | ||||||
CALL OPTIONS WRITTEN - (2.7)% (Premiums received - $422,443) | (1,018,974) | ||||||
PUT OPTIONS WRITTEN - (0.5)% (Premiums received - $421,527) | (223,506) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 1.1% | 392,854 | ||||||
NET ASSETS - 100.0% | $ 37,271,900 | ||||||
SWAN DEFINED RISK GROWTH FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
March 31, 2024 | |||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (3.2)% | Expiration Date | Exercise Price | Notional Value | Fair Value | |||
CALL OPTIONS WRITTEN- (2.7)% | |||||||
12 | S&P 500 Index | 04/05/2024 | $ 5,290 | $ 6,305,220 | $ 17,121 | ||
16 | S&P 500 Index | 04/12/2024 | 5,310 | 8,406,960 | 37,920 | ||
33 | S&P 500 Index | 12/19/2025 | 5,900 | 17,339,355 | 963,933 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $422,443) | 1,018,974 | ||||||
PUT OPTIONS WRITTEN - (0.5)% | |||||||
285 | Chicago Board Options Exchange Volatility Index | 05/22/2024 | 12 | 370,785 | 4,400 | ||
12 | S&P 500 Index | 04/05/2024 | 5,290 | 6,305,220 | 53,833 | ||
16 | S&P 500 Index | 04/12/2024 | 5,310 | 8,406,960 | 104,800 | ||
44 | S&P 500 Index | 09/20/2024 | 2,400 | 23,119,140 | 9,877 | ||
44 | S&P 500 Index | 12/20/2024 | 3,000 | 23,119,140 | 50,596 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $421,527) | 223,506 | ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $843,970) | $ 1,242,480 | ||||||
ETF | - Exchange-Traded Fund |
(a) | All or a portion of the security is held as collateral for written options. As of March 31, 2024, the total value of securities held as collateral is $18,400,550. |
(b) | Rate disclosed is the seven-day effective yield as of March 31, 2024. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK U.S. SMALL CAP FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
March 31, 2024 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUND — 91.4% | |||||||
EQUITY - 91.4% | |||||||
140,000 | iShares Russell 2000 ETF(a) | $ 29,442,000 | |||||
TOTAL EXCHANGE-TRADED FUND (Cost $18,312,195) | |||||||
SHORT-TERM INVESTMENT — 1.2% | |||||||
MONEY MARKET FUND - 1.2% | |||||||
375,878 | First American Government Obligations Fund, Class X, 5.23% (Cost $375,878)(b) | 375,878 | |||||
Contracts(c) | |||||||
INDEX OPTIONS PURCHASED - 7.7% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTION PURCHASED - 0.2% | |||||||
255 | Chicago Board Options Exchange Volatility Index | 05/22/2024 | $ 14 | $ 331,755 | $ 51,490 | ||
TOTAL CALL OPTION PURCHASED (Cost - $68,847) | |||||||
PUT OPTION PURCHASED - 7.5% | |||||||
140 | Russell 2000 Index | 12/19/2025 | 2,150 | 29,743,658 | 2,425,829 | ||
TOTAL PUT OPTION PURCHASED (Cost - $3,350,483) | |||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $3,419,330) | 2,477,319 | ||||||
TOTAL INVESTMENTS - 100.3% (Cost $22,107,403) | $ 32,295,197 | ||||||
CALL OPTIONS WRITTEN - (0.5)% (Proceeds - $136,538) | (147,177) | ||||||
PUT OPTIONS WRITTEN - (0.3)% (Proceeds - $180,630) | (110,738) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 170,346 | ||||||
NET ASSETS - 100.0% | $ 32,207,628 | ||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (0.7)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS WRITTEN - (0.4)% | |||||||
35 | Russell 2000 Index | 05/17/2024 | $ 2,260 | $ 7,435,915 | $ 60,326 | ||
35 | Russell 2000 Index | 06/21/2024 | 2,350 | 7,435,915 | 55,137 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $103,708) | 115,463 | ||||||
PUT OPTIONS WRITTEN - (0.3)% | |||||||
255 | Chicago Board Options Exchange Volatility Index | 05/22/2024 | 12 | 331,755 | 3,937 |
SWAN DEFINED RISK U.S. SMALL CAP FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
March 31, 2024 | |||||||
Contracts(c) (continued) | |||||||
WRITTEN INDEX OPTIONS - (0.7)% | Expiration Date | Exercise Price | Notional Value | Fair Value | |||
PUT OPTIONS WRITTEN - (0.3)% (Continued) | |||||||
35 | Russell 2000 Index | 05/17/2024 | $ 1,940 | $ 7,435,915 | $ 33,384 | ||
35 | Russell 2000 Index | 06/21/2024 | 1,930 | 7,435,915 | 57,405 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $143,330) | 94,726 | ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $247,038) | $ 210,189 | ||||||
Contracts(c) | |||||||
WRITTEN EQUITY OPTIONS - (0.1)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTION WRITTEN - (0.1)% | |||||||
894 | iShares MSCI EAFE ETF | 05/17/2024 | $ 83 | $ 7,139,484 | $ 31,714 | ||
TOTAL CALL OPTION WRITTEN (Proceeds - $32,830) | |||||||
PUT OPTION WRITTEN – (0.0)%(d) | |||||||
894 | iShares MSCI EAFE ETF | 05/17/2024 | 75 | 7,139,484 | 16,012 | ||
TOTAL PUT OPTION WRITTEN (Proceeds - $37,300) | |||||||
TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $70,130) | $ 47,726 | ||||||
EAFE | - Europe, Australasia and Far East |
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
(a) | All or a portion of the security is held as collateral for written options. As of March 31, 2024, the total value of securities held as collateral is $25,656,600. | |
(b) | Rate disclosed is the seven-day effective yield as of March 31, 2024. | |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. | |
(d) | Percentage rounds to greater than (0.1%). |