Swan Hedged Equity US Large Cap ETF | ||||||||||||
Schedule of Investments | ||||||||||||
August 31, 2023 (Unaudited) | ||||||||||||
Shares | Value | |||||||||||
INVESTMENT COMPANIES - 94.6% | ||||||||||||
Exchange Traded Funds - 94.6% | ||||||||||||
SPDR S&P 500 ETF Trust (a)(b) | 372,643 | $ | 167,819,775 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $147,174,478) | 167,819,775 | |||||||||||
MONEY MARKET FUNDS - 0.2% | ||||||||||||
First American Government Obligations Fund - Class X, 5.25% (c) | 317,554 | 317,554 | ||||||||||
TOTAL MONEY MARKET FUNDS (Cost $317,554) | 317,554 | |||||||||||
Number of | ||||||||||||
Contracts (d) | Notional Value | |||||||||||
PURCHASED OPTIONS - 8.0% | ||||||||||||
PURCHASED CALL OPTIONS - 3.3% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 2024, Exercise Price: $455 (e) | 1,322 | 5,855,799 | $ | 59,536,270 | ||||||||
Expiration: December 2024, Exercise Price: $490 (e) | 18 | 43,704 | 810,630 | |||||||||
5,899,503 | ||||||||||||
PURCHASED PUT OPTIONS - 4.7% | ||||||||||||
CBOE S&P 500 Index | ||||||||||||
Expiration: December 2023, Exercise Price: $3,550 (e) | 229 | 218,695 | 10,313,015 | |||||||||
Expiration: December 2023, Exercise Price: $3,950 (e) | 229 | 506,090 | 10,313,015 | |||||||||
Expiration: December 2024, Exercise Price: $4,500 | 105 | 2,528,925 | 4,728,675 | |||||||||
Expiration: December 2024, Exercise Price: $5,000 (e) | 53 | 2,257,270 | 2,386,855 | |||||||||
5,510,980 | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: September 2023, Exercise Price: $350 (e) | 1,324 | 5,958 | 59,626,340 | |||||||||
Expiration: December 2024, Exercise Price: $375 | 2,544 | 2,588,520 | 114,569,040 | |||||||||
Expiration: December 2024, Exercise Price: $395 | 100 | 131,650 | 4,503,500 | |||||||||
Expiration: December 2024, Exercise Price: $440 | 36 | 84,276 | 1,621,260 | |||||||||
2,810,404 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $22,828,505) | 14,220,887 | |||||||||||
Total Investments (Cost $170,320,537) - 102.8% | 182,358,216 | |||||||||||
Liabilities in Excess of Other Assets - (2.8)% | (4,931,954 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 177,426,262 |
Percentages are stated as a percent of net assets. | ||||||||||
CBOE | Chicago Board Options Exchange | |||||||||
SPDR | Standard & Poor's Depositary Receipt | |||||||||
(a) | Fair value of this security exceeds 25% of the Fund's net assets. Additional information for this security, including the financial statements, is available from the SEC's EDGAR database at www.sec.gov. | |||||||||
(b) | A portion or all of the security has been segregated or earmarked as collateral for written options. The amount as of period end is $167,819,775. | |||||||||
(c) | The rate shown is the annualized seven-day yield at period end. | |||||||||
(d) | Each contract has a multiplier of 100. | |||||||||
(e) | Held in connection with a written option, see Schedule of Written Options for more detail. |
Swan Hedged Equity US Large Cap ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
August 31, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 4.2% | ||||||||||||
WRITTEN CALL OPTIONS - 1.8% | ||||||||||||
CBOE S&P 500 Index | ||||||||||||
Expiration: September 2023, Exercise Price: $4,355 | 99 | $ | 1,649,340 | $ | 4,458,465 | |||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 2024, Exercise Price: $520 | 1,322 | 1,631,348 | 59,536,270 | |||||||||
Expiration: December 2024, Exercise Price: $530 | 18 | 17,361 | 810,630 | |||||||||
3,298,049 | ||||||||||||
WRITTEN PUT OPTIONS - 2.4% | ||||||||||||
CBOE S&P 500 Index | ||||||||||||
Expiration: December 2023, Exercise Price: $3,750 | 458 | 648,070 | 20,626,030 | |||||||||
Expiration: December 2024, Exercise Price: $5,400 | 53 | 3,552,590 | 2,386,855 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: September 2023, Exercise Price: $310 | 1,324 | 1,986 | 59,626,340 | |||||||||
4,202,646 | ||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $9,251,144) | $ | 7,500,695 |
Percentages are stated as a percent of net assets. | ||||||||||
CBOE | Chicago Board Options Exchange | |||||||||
SPDR | Standard & Poor's Depositary Receipt | |||||||||
(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 August 31, 2023: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Exchange Traded Funds | $ | 167,819,775 | $ | - | $ | - | $ | 167,819,775 | ||||||||
Money Market Funds | 317,554 | - | - | 317,554 | ||||||||||||
Purchased Options | - | 14,220,887 | - | 14,220,887 | ||||||||||||
Total Investments - Assets | $ | 168,137,329 | $ | 14,220,887 | $ | - | $ | 182,358,216 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Options | $ | - | $ | 7,500,695 | $ | - | $ | 7,500,695 |