Swan Hedged Equity US Large Cap ETF | ||||||||||||
Schedule of Investments | ||||||||||||
as of February 29, 2024 (Unaudited) | ||||||||||||
EXCHANGE TRADED FUNDS - 93.4% | Shares | Value | ||||||||||
SPDR S&P 500 ETF Trust(a)(b) | 409,986 | $ | 208,305,687 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $172,004,939) | 208,305,687 | |||||||||||
PURCHASED OPTIONS - 7.2%(c)(d) | Notional Amount | Contracts | Value | |||||||||
Put Options - 7.2% | $ | – | ||||||||||
S&P 500 Index | – | $ | – | |||||||||
Expiration: 12/31/2024; Exercise Price: $4,550(f) | 97,848,384 | 192 | 1,688,640 | |||||||||
Expiration: 12/31/2024; Exercise Price: $5,000(f) | 97,848,384 | 192 | 3,278,400 | |||||||||
Expiration: 12/19/2025; Exercise Price: $5,000 | 208,947,070 | 410 | 11,127,400 | |||||||||
Total Put Options | 16,094,440 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $25,142,468) | 16,094,440 | |||||||||||
SHORT-TERM INVESTMENTS - 1.4% | ||||||||||||
Money Market Funds - 1.4% | Shares | |||||||||||
First American Government Obligations Fund - Class X, 5.23%(e) | 3,173,703 | 3,173,703 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,173,703) | 3,173,703 | |||||||||||
TOTAL INVESTMENTS - 102.0% (Cost $200,321,110) | $ | 227,573,830 | ||||||||||
Liabilities in Excess of Other Assets - (2.0)% | (4,467,514 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 223,106,316 | ||||||||||
Percentages are stated as a percent of net assets. |
(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 $208,305,687. |
(c) | Exchange-traded. |
(d) | 100 shares per contract. |
(e) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(f) | Held in connection with a written option, see Schedule of Written Options for more detail. |
Swan Hedged Equity US Large Cap ETF | ||||||||||||
Schedule of Options Written | ||||||||||||
as of February 29, 2024 (Unaudited) | ||||||||||||
WRITTEN OPTIONS - (2.1)% (a)(b) | Notional Amount | Contracts | Value | |||||||||
Put Options - (2.1)% | ||||||||||||
S&P 500 Index | – | |||||||||||
Expiration: 12/31/2024; Exercise Price: $4,775 | (195,696,768 | ) | (384 | ) | $ | (4,680,960 | ) | |||||
TOTAL WRITTEN OPTIONS (Premiums received $8,476,409) | (4,680,960 | ) | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
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 February 29, 2024:
Swan Hedged Equity US Large Cap ETF | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Exchange Traded Funds | $ | 208,305,687 | $ | – | $ | – | $ | 208,305,687 | ||||||||
Purchased Options | – | 16,094,440 | – | 16,094,440 | ||||||||||||
Money Market Funds | 3,173,703 | – | – | 3,173,703 | ||||||||||||
Total Assets | $ | 211,479,390 | $ | 16,094,440 | $ | – | $ | 227,573,830 | ||||||||
Liabilities: | ||||||||||||||||
Options Written | – | (4,680,960 | ) | – | (4,680,960 | ) | ||||||||||
Total Liabilities | $ | – | $ | (4,680,960 | ) | $ | – | $ | (4,680,960 | ) | ||||||