Preferred-Plus ETF |
Schedule of Investments |
June 30, 2023 (Unaudited) |
Shares | Value | |||||||||
CLOSED-END FUNDS - 0.2% | ||||||||||
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. (a) | 1,268 | $ | 23,078 | |||||||
TOTAL CLOSED-END FUNDS (Cost $29,540) | 23,078 | |||||||||
PREFERRED STOCKS - 99.0% | ||||||||||
Agriculture - 2.0% | ||||||||||
CHS, Inc. | ||||||||||
Series 2, 7.100% (3 Month LIBOR USD + 4.298%), 03/31/2024 (a)(f)(g) | 4,358 | 110,388 | ||||||||
Series 4, 7.500%, 01/21/2025 (a)(g) | 5,057 | 132,949 | ||||||||
243,337 | ||||||||||
Auto Manufacturers - 2.8% | ||||||||||
Ford Motor Co. | ||||||||||
6.000%, 12/01/2059 (a)(h) | 7,043 | 170,863 | ||||||||
6.200%, 06/01/2059 (a)(h) | 6,388 | 158,678 | ||||||||
329,541 | ||||||||||
Banks - 40.2% (e) | ||||||||||
Bank of America Corp. | ||||||||||
Series HH, 5.875%, 07/31/2023 (g) | 4,463 | 110,102 | ||||||||
Series LL, 5.000%, 09/17/2024 (g) | 6,510 | 141,853 | ||||||||
Series PP, 4.125%, 02/02/2026 (g) | 5,654 | 103,581 | ||||||||
Series QQ, 4.250%, 11/17/2026 (g) | 5,692 | 106,440 | ||||||||
Series SS, 4.750%, 02/17/2027 (g) | 6,826 | 140,411 | ||||||||
Citigroup Capital XIII | ||||||||||
11.643% (3 Month LIBOR USD + 6.370%), 10/30/2040 (a)(f)(h) | 4,452 | 126,704 | ||||||||
Citigroup, Inc. | ||||||||||
Series J, 7.125% (SOFR + 4.302%), 09/30/2023 (f)(g)(j) | 1,272 | 32,360 | ||||||||
Series K, 6.875% (SOFR + 4.392%), 11/15/2023 (a)(f)(g)(j) | 2,327 | 58,943 | ||||||||
Citizens Financial Group, Inc. | ||||||||||
Series D, 6.350% (SOFR + 3.904%), 04/06/2024 (f)(g)(j) | 6,640 | 152,454 | ||||||||
ConnectOne Bancorp, Inc. | ||||||||||
Series A, 5.250% (5 Year CMT Rate + 4.420%), 09/01/2026 (f)(g) | 5,414 | 93,337 | ||||||||
Fifth Third Bancorp | ||||||||||
Series I, 6.625% (3 Month LIBOR USD + 3.710%), 12/31/2023 (f)(g) | 1,951 | 48,834 | ||||||||
Series K, 4.950%, 09/30/2024 (a)(g) | 4,328 | 94,740 | ||||||||
First Citizens BancShares, Inc. | ||||||||||
Series A, 5.375%, 03/15/2025 (a)(g) | 4,871 | 98,394 | ||||||||
JPMorgan Chase & Co. | ||||||||||
Series DD, 5.750%, 12/01/2023 (g) | 9,790 | 246,121 | ||||||||
Series EE, 6.000%, 03/01/2024 (g) | 4,891 | 124,427 | ||||||||
Series LL, 4.625%, 06/01/2026 (g) | 5,832 | 119,439 | ||||||||
KeyCorp | ||||||||||
6.200% (5 Year CMT Rate + 3.132%), 12/15/2027 (f)(g) | 6,880 | 131,270 | ||||||||
Series E, 6.125% (SOFR + 4.154%), 12/15/2026 (a)(f)(g)(j) | 5,424 | 108,534 | ||||||||
Merchants Bancorp | ||||||||||
8.250% (5 Year CMT Rate + 4.340%), 10/01/2027 (f)(g) | 3,000 | 73,350 | ||||||||
Midland States Bancorp, Inc. | ||||||||||
7.750% (5 Year CMT Rate + 4.713%), 09/30/2027 (f)(g) | 4,793 | 118,147 | ||||||||
Morgan Stanley | ||||||||||
Series F, 6.875%, 01/15/2024 (a)(g) | 6,831 | 172,961 | ||||||||
Series K, 5.850%, 04/15/2027 (a)(g) | 7,711 | 181,286 | ||||||||
Series P, 6.500%, 10/15/2027 (g) | 5,200 | 134,992 | ||||||||
Old National Bancorp | ||||||||||
Series C, 7.000%, 08/20/2025 (a)(g) | 6,510 | 166,331 | ||||||||
PacWest Bancorp | ||||||||||
Series A, 7.750% (5 Year CMT Rate + 4.820%), 09/01/2027 (f)(g) | 9,250 | 141,063 | ||||||||
Regions Financial Corp. | ||||||||||
Series C, 5.700% (3 Month LIBOR USD + 3.148%), 05/15/2029 (a)(f)(g) | 6,510 | 133,130 | ||||||||
State Street Corp. | ||||||||||
Series D, 5.900%, 03/15/2024 (g) | 5,424 | 137,987 | ||||||||
Series G, 5.350%, 03/15/2026 (g) | 4,273 | 98,108 | ||||||||
Synovus Financial Corp. | ||||||||||
Series E, 5.875% (5 Year CMT Rate + 4.127%), 07/01/2024 (f)(g) | 10,682 | 220,583 | ||||||||
The Goldman Sachs Group, Inc. | ||||||||||
Series J, 8.977% (3 Month LIBOR USD + 3.640%), 07/31/2023 (f)(g) | 3,679 | 93,851 | ||||||||
Series K, 6.375% (SOFR + 3.812%), 05/10/2024 (f)(g)(j) | 1,326 | 33,070 | ||||||||
Truist Financial Corp. | ||||||||||
Series R, 4.750%, 09/01/2025 (a)(g) | 6,930 | 139,154 | ||||||||
US Bancorp | ||||||||||
Series K, 5.500%, 10/15/2023 (g) | 6,510 | 148,103 | ||||||||
Wells Fargo & Co. | ||||||||||
Series L, 7.500%, 09/15/2023 (a)(g) | 68 | 78,336 | ||||||||
Series Q, 5.850%, 09/15/2023 (a)(g) | 6,665 | 166,692 | ||||||||
Series R, 6.625%, 03/15/2024 (g) | 3,449 | 86,949 | ||||||||
WesBanco, Inc. | ||||||||||
Series A, 6.750% (5 Year CMT Rate + 6.557%), 11/15/2025 (f)(g) | 5,424 | 128,820 | ||||||||
Western Alliance Bancorp | ||||||||||
Series A, 4.250% (5 Year CMT Rate + 3.452%), 09/30/2026 (f)(g) | 8,000 | 114,400 | ||||||||
Wintrust Financial Corp. | ||||||||||
Series E, 6.875% (5 Year CMT Rate + 6.507%), 07/15/2025 (f)(g) | 6,640 | 161,950 | ||||||||
4,767,207 | ||||||||||
Distribution & Wholesale - 1.7% | ||||||||||
WESCO International, Inc. | ||||||||||
Series A, 10.625% (5 Year CMT Rate + 10.325%), 06/22/2025 (a)(f)(g) | 7,548 | 201,683 | ||||||||
Diversified Financial Services - 6.7% | ||||||||||
Air Lease Corp. | ||||||||||
Series A, 6.150% (3 Month LIBOR USD + 3.650%), 03/15/2024 (a)(f)(g) | 6,510 | 147,777 | ||||||||
B. Riley Financial, Inc. | ||||||||||
5.000%, 12/31/2026 (h) | 2,767 | 52,296 | ||||||||
Capital One Financial Corp. | ||||||||||
Series I, 5.000%, 12/01/2024 (a)(g) | 5,493 | 106,729 | ||||||||
Series J, 4.800%, 06/01/2025 (a)(g) | 3,301 | 60,540 | ||||||||
Stifel Financial Corp. | ||||||||||
Series D, 4.500%, 08/15/2026 (g) | 6,555 | 106,781 | ||||||||
Synchrony Financial | ||||||||||
Series A, 5.625%, 11/15/2024 (a)(g) | 9,600 | 160,704 | ||||||||
Voya Financial, Inc. | ||||||||||
Series B, 5.350% (5 Year CMT Rate + 3.210%), 09/15/2029 (f)(g) | 6,983 | 155,511 | ||||||||
790,338 | ||||||||||
Electric - 9.1% | ||||||||||
Algonquin Power & Utilities Corp. (b) | ||||||||||
6.875% (3 Month LIBOR USD + 3.677%), 10/17/2078 (f)(h) | 3,320 | 84,394 | ||||||||
Series 19-A, 6.200% (3 Month LIBOR USD + 4.010%), 07/01/2079 (f)(h) | 6,640 | 158,497 | ||||||||
Brookfield BRP Holdings Canada, Inc. (b) | ||||||||||
4.625%, 04/30/2026 (g) | 2,600 | 40,508 | ||||||||
CMS Energy Corp. | ||||||||||
5.875%, 03/01/2079 (h) | 3,255 | 79,259 | ||||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||||
Series US, 5.500%, 05/15/2064 (a)(h) | 5,424 | 131,478 | ||||||||
SCE Trust III | ||||||||||
Series H, 5.750% (3 Month LIBOR USD + 2.990%), 03/15/2024 (f)(g) | 5,434 | 125,308 | ||||||||
SCE Trust IV | ||||||||||
Series J, 5.375% (3 Month LIBOR USD + 3.132%), 09/15/2025 (a)(f)(g) | 5,424 | 107,178 | ||||||||
SCE Trust V | ||||||||||
Series K, 5.450% (3 Month LIBOR USD + 3.790%), 03/15/2026 (a)(f)(g) | 5,534 | 123,298 | ||||||||
Sempra Energy | ||||||||||
5.750%, 07/01/2079 (h) | 6,510 | 156,891 | ||||||||
The Southern Co. | ||||||||||
Series 2020, 4.950%, 01/30/2080 (h) | 3,255 | 74,767 | ||||||||
1,081,578 | ||||||||||
Gas - 1.3% | ||||||||||
NiSource, Inc. | ||||||||||
Series B, 6.500% (5 Year CMT Rate + 3.632%), 03/15/2024 (a)(f)(g) | 6,041 | 152,173 | ||||||||
Insurance - 16.4% | ||||||||||
American Equity Investment Life Holding Co. | ||||||||||
Series A, 5.950% (5 Year CMT Rate + 4.322%), 12/01/2024 (a)(f)(g) | 8,075 | 171,998 | ||||||||
Series B, 6.625% (5 Year CMT Rate + 6.297%), 09/01/2025 (a)(f)(g) | 7,606 | 175,623 | ||||||||
Aspen Insurance Holdings Ltd. (b) | ||||||||||
5.625%, 10/01/2024 (g) | 3,255 | 57,939 | ||||||||
Athene Holding Ltd. (b) | ||||||||||
Series A, 6.350% (3 Month LIBOR USD + 4.253%), 06/30/2029 (a)(f)(g) | 10,831 | 227,451 | ||||||||
Series C, 6.375% (5 Year CMT Rate + 5.970%), 06/30/2025 (f)(g) | 4,311 | 100,748 | ||||||||
Brighthouse Financial, Inc. | ||||||||||
6.250%, 09/15/2058 (a)(h) | 3,684 | 81,637 | ||||||||
Series B, 6.750%, 06/25/2025 (a)(g) | 7,756 | 180,405 | ||||||||
Series C, 5.375%, 12/25/2025 (g) | 3,924 | 65,452 | ||||||||
Enstar Group Ltd. (b) | ||||||||||
Series D, 7.000% (3 Month LIBOR USD + 4.015%), 09/01/2028 (a)(f)(g) | 6,510 | 148,493 | ||||||||
Equitable Holdings, Inc. | ||||||||||
Series A, 5.250%, 12/15/2024 (a)(g) | 7,439 | 148,706 | ||||||||
Jackson Financial, Inc. | ||||||||||
8.000% (5 Year CMT Rate + 3.728%), 03/30/2028 (f)(g) | 2,600 | 64,844 | ||||||||
Kemper Corp. | ||||||||||
5.875% (5 Year CMT Rate + 4.140%), 03/15/2062 (f)(h) | 4,871 | 85,243 | ||||||||
MetLife, Inc. | ||||||||||
Series E, 5.625%, 07/31/2023 (g) | 6,030 | 149,062 | ||||||||
Series F, 4.750%, 03/15/2025 (g) | 6,604 | 140,005 | ||||||||
Prudential Financial, Inc. | ||||||||||
5.625%, 08/15/2058 (h) | 3,130 | 77,937 | ||||||||
Unum Group | ||||||||||
6.250%, 06/15/2058 (h) | 3,255 | 77,339 | ||||||||
1,952,882 | ||||||||||
Investment Companies - 0.6% | ||||||||||
Oaktree Capital Group, LLC | ||||||||||
Series B, 6.550%, 09/15/2023 (g) | 3,255 | 72,684 | ||||||||
Pipelines - 2.5% | ||||||||||
Energy Transfer LP | ||||||||||
Series E, 7.600% (3 Month LIBOR USD + 5.161%), 05/15/2024 (a)(f)(g) | 7,606 | 185,434 | ||||||||
NuStar Logistics LP | ||||||||||
11.994% (3 Month LIBOR USD + 6.734%), 01/15/2043 (f)(h) | 4,243 | 107,348 | ||||||||
292,782 | ||||||||||
Real Estate Investment Trusts - 11.0% | ||||||||||
AGNC Investment Corp. | ||||||||||
Series F, 6.125% (3 Month LIBOR USD + 4.697%), 04/15/2025 (f)(g) | 7,600 | 159,524 | ||||||||
Annaly Capital Management, Inc. | ||||||||||
Series F, 10.531% (3 Month LIBOR USD + 4.993%), 08/02/2023 (f)(g) | 3,162 | 80,315 | ||||||||
Series I, 6.750% (3 Month LIBOR USD + 4.989%), 06/30/2024 (f)(g) | 3,220 | 75,509 | ||||||||
Arbor Realty Trust, Inc. | ||||||||||
Series F, 6.250% (SOFR + 5.440%), 10/12/2026 (f)(g)(j) | 7,541 | 157,984 | ||||||||
Hudson Pacific Properties, Inc. | ||||||||||
Series C, 4.750%, 11/16/2026 (g) | 3,195 | 29,905 | ||||||||
KKR Real Estate Finance Trust, Inc. | ||||||||||
Series A, 6.500%, 04/16/2026 (a)(g) | 5,532 | 99,576 | ||||||||
MFA Financial, Inc. | ||||||||||
Series C, 6.500% (3 Month LIBOR USD + 5.345%), 03/31/2025 (f)(g) | 2,722 | 53,705 | ||||||||
Pebblebrook Hotel Trust | ||||||||||
Series G, 6.375%, 05/13/2026 (a)(g) | 6,510 | 121,737 | ||||||||
Public Storage | ||||||||||
Series M, 4.125%, 08/14/2025 (a)(g) | 1,138 | 22,646 | ||||||||
Series S, 4.100%, 01/13/2027 (g) | 3,800 | 73,872 | ||||||||
Sachem Capital Corp. | ||||||||||
6.875%, 12/30/2024 (a)(h) | 3,133 | 73,625 | ||||||||
6.000%, 12/30/2026 (h) | 3,133 | 65,323 | ||||||||
Series A, 7.750%, 06/29/2026 (a)(g) | 6,510 | 131,503 | ||||||||
Vornado Realty Trust | ||||||||||
Series N, 5.250%, 11/24/2025 (a)(g) | 8,686 | 130,116 | ||||||||
Series O, 4.450%, 09/22/2026 (g) | 1,886 | 25,423 | ||||||||
1,300,763 | ||||||||||
Savings & Loans - 1.4% | ||||||||||
New York Community Bancorp, Inc. | ||||||||||
Series A, 6.375% (3 Month LIBOR USD + 3.821%), 03/17/2027 (f)(g) | 7,710 | 168,926 | ||||||||
Telecommunications - 3.3% | ||||||||||
AT&T, Inc. | ||||||||||
5.625%, 08/01/2067 (h) | 3,195 | 80,290 | ||||||||
Series A, 5.000%, 12/12/2024 (a)(g) | 1,271 | 28,369 | ||||||||
Series C, 4.750%, 02/18/2025 (a)(g) | 6,165 | 129,958 | ||||||||
Telephone and Data Systems, Inc. | ||||||||||
Series UU, 6.625%, 03/31/2026 (a)(g) | 6,510 | 98,301 | ||||||||
U.S. Cellular Corp. | ||||||||||
5.500%, 03/01/2070 (h) | 3,775 | 55,115 | ||||||||
392,033 | ||||||||||
TOTAL PREFERRED STOCKS (Cost $13,546,982) | 11,745,927 | |||||||||
MONEY MARKET FUNDS - 0.4% | ||||||||||
First American Government Obligations Fund - Class X, 5.01% (d) | 43,195 | 43,195 | ||||||||
TOTAL MONEY MARKET FUNDS (Cost $43,195) | 43,195 | |||||||||
Number of | ||||||||||
Contracts (c) | Notional Value | |||||||||
PURCHASED OPTIONS - 0.0% (k) | ||||||||||
PURCHASED PUT OPTIONS - 0.0% (k) | ||||||||||
CBOE Mini S&P 500 Index | ||||||||||
Expiration: July 2023, Exercise Price: $340 (i) | 39 | 136 | $ | 1,326,000 | ||||||
Expiration: July 2023, Exercise Price: $350 (i) | 50 | 575 | 1,750,000 | |||||||
Expiration: August 2023, Exercise Price: $360 (i) | 51 | 1,224 | 1,836,000 | |||||||
TOTAL PURCHASED OPTIONS (Cost $4,556) | 1,935 | |||||||||
TOTAL INVESTMENTS (Cost $13,624,273) - 99.6% | 11,814,135 | |||||||||
Other Assets and Liabilities, Net - 0.4% | 46,096 | |||||||||
NET ASSETS - 100.0% | $ | 11,860,231 |
Percentages are stated as a percent of net assets. | |||
CBOE Chicago Board Options Exchange | |||
CMT Constant Maturity Treasury Rate | |||
LIBOR London Interbank Offered Rate | |||
SOFR Secured Overnight Financing Rate |
(a) A portion or all of the security has been segregated or earmarked as collateral for written options. As of June 30, 2023, the value of these securities amounts to $4,181,522 or 35.3% of net assets. | ||||||
(b) Foreign issued security. | ||||||
(c) Each contract has a multiplier of 100. | ||||||
(d) The rate shown is the seven-day yield at period end. |
(e) 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. |
(f) Variable rate securities. The coupon is based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2023. |
(g) Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer as of the date indicated. |
(h) Security may be called/redeemed by the issuer as of an earlier date. |
(i) Held in connection with a written option, see Schedule of Written Options for more detail. |
(j) Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. |
(k) Less than 0.05%. |
Preferred-Plus ETF | |||||||||||||
Schedule of Written Options | |||||||||||||
June 30, 2023 (Unaudited) | |||||||||||||
Number of | |||||||||||||
Contracts (a) | Value | Notional Value | |||||||||||
WRITTEN OPTIONS - (0.1)% | |||||||||||||
WRITTEN PUT OPTIONS - (0.1)% | |||||||||||||
CBOE Mini S&P 500 Index | |||||||||||||
Expiration: July 2023, Exercise Price: $405 | 39 | $ | 663 | $ | 1,579,500 | ||||||||
Expiration: July 2023, Exercise Price: $410 | 50 | 2,725 | 2,050,000 | ||||||||||
Expiration: August 2023, Exercise Price: $418 | 51 | 7,217 | 2,131,800 | ||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $32,633) | $ | 10,605 | |||||||||||
Percentages are stated as a percent of net assets. | |||||||||||||
CBOE Chicago Board Options Exchange |
(a) | Each contract has a multiplier of 100. |
Fair Value Measurements | |||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. | |||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3. | |||||||
The following is a summary of the inputs used to value the Fund’s investments carried at fair value as of June 30, 2023: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Closed-End Funds | $ | 23,078 | $ | - | $ | - | $ | 23,078 | ||||||||
Money Market Funds | 43,195 | - | - | 43,195 | ||||||||||||
Preferred Stocks* | 11,745,927 | - | - | 11,745,927 | ||||||||||||
Purchased Put Options | - | 1,935 | - | 1,935 | ||||||||||||
Total Investments - Assets | $ | 11,812,200 | $ | 1,935 | $ | - | $ | 11,814,135 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 10,605 | $ | - | $ | 10,605 | ||||||||
* See the Schedule of Investments for industry classifications. |