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: November 30
Date of reporting period: November 30, 2021
Item 1. Reports to Stockholders.
(a) |
Swan Hedged Equity US Large Cap ETF (HEGD)
ANNUAL REPORT
November 30, 2021
Swan Hedged Equity US Large Cap ETF
Table of Contents
(Unaudited)
Shareholder Letter (Unaudited) | 2 |
Shareholder Expense Example (Unaudited) | 4 |
Performance Overview (Unaudited) | 5 |
Schedule of Investments and Schedule of Written Options | 6 |
Statement of Assets and Liabilities | 8 |
Statement of Operations | 9 |
Statement of Changes in Net Assets | 10 |
Financial Highlights | 11 |
Notes to Financial Statements | 12 |
Report of Independent Registered Public Accounting Firm | 20 |
Supplemental Information (Unaudited) | 21 |
Board of Trustees and Officers (Unaudited) | 22 |
Privacy Policy (Unaudited) | 24 |
1
Swan Hedged Equity US Large Cap ETF
Shareholder Letter
November 30, 2021 (Unaudited)
Fiscal Year Annual Review through November 30th, 2021
The Swan Hedged Equity US Large Cap ETF (HEGD) posted a 15.46% NAV return for the fiscal year ending November 30, 2021 (the ETF launched December 22, 2020). 2021 has continued to be a strong recovery year from the COVID-19 pandemic decline in the spring of 2020, with the S&P 500 Total Return Index1 rising 23.18% over the same time frame. The benchmark CBOE S&P 500 95-110 Collar Index was up 15.40% over the same time frame. As a hedged equity strategy, the ETF seeks meaningful participation in up markets. However, the ETF operates under the understanding that the ETF will not fully capture all of the gains in an up market due to the downside risk mitigation component of the strategy. With that in mind, the performance for the fiscal year ending November 30, 2021 is squarely within the realm of expectations. The core equity holdings that make up the majority of the ETF’s assets kept pace with the gains in the S&P 500. The put options used to hedge the fund are inversely related to the S&P 500, so as the market rose 23%, they fell in value by around -7.5%, offsetting some of the underlying ETF performance. Finally, the additional trades that supplement the strategy were positive, contributing to help offset some of the decline from the hedge.
Strategy
The fundamental investment objective of the strategy is to seek long term capital appreciation over full market cycles with a simple, three-step process. First, we purchase and hold an ETF or basket of ETFs that represent a broad range of stocks to ensure diversification. Second, we hedge the notional value of the ETFs through the purchase of corresponding LEAPS put options.2 At certain times, we may even buy additional shorter-term puts to supplement the long-term LEAPS put options. We allocate roughly 10% of the portfolio to the hedge at the time of initial purchase. Additionally, we buy and sell call options in an effort to mitigate the cost of carry associated with the hedge. Premiums received from writing short-term options represent income-type positions that are designed to take advantage of risk premia3 and time decay4.
It is important to keep in mind that a hedged equity solution carries an explicit trade-off. By allocating a portion of the fund’s capital to defensive instruments like put options, the strategy will rarely capture 100% of a strong, upward move in the markets. During market sell-offs like the one witnessed in early 2020, these hedge positions are countercyclical and benefit the strategy. However, in rapidly rising markets it is reasonable to expect these hedge positions will lose value.
It is also important to keep in mind that the various components of the strategy are meant to be complementary. The fact that losses in one portion of the strategy are intended to be offset by gains in another portion is by design. We believe a smoother ride with lower volatility and greater absolute downside risk management may help investors to stay the course towards reaching their long-term investment goals.
In short, our goal at Swan Capital Management is to provide investors with a proven solution to managing non-diversifiable market risk. We take a long-term view and define success as greater absolute and risk-adjusted returns over a full market cycle (i.e., a bull and bear market).
1 | A total return index is a type of equity index that tracks the capital gains of a group of stocks over time, and assumes that any cash distributions, such as dividends, are reinvested back into the index. |
2 | LEAPS - Long-term Equity Anticipation Securities have the same characteristics as standard options, but with expiration dates up to three years in the future. |
3 | Risk Premia as it relates to options is a condition in which implied volatility is greater than historical volatility. |
4 | By writing options or taking a “short” position in an option, the strategy hopes to collect a premium, and then close out that position as the option approaches expiration. |
2
Swan Hedged Equity US Large Cap ETF
Shareholder Letter
November 30, 2021 (Unaudited) (Continued)
Outlook
As the global markets and economies continue to recover from the COVID-19 sell-off of early 2020, we believe investors have become dangerously complacent about the risks present across markets and economies. Since the pandemic swept the globe, we have witnessed the following:
● | Trillions of dollars in new debt issued |
● | U.S. equity markets are reaching all-time highs |
● | Valuations on equity markets are at levels only seen in the peak years of 1929 and 2000 |
● | Bond yields remain quite low in absolute terms |
● | Inflation, long-dormant, is making a strong return |
Swan believes these concerns are quite serious, but many investors seem to be shrugging their shoulders and ignoring the threat.
Compared to March 2020, it is easy to see that investors have pivoted from “fear” to “greed.” At Swan Global Investments we believe fear and greed to be the most dangerous emotions and can quickly derail the best-laid plans. Our strategy is intended to balance upside returns with downside risk mitigation and hopefully prevent investors from getting caught up in the self-destructive cycle of fear and greed.
We appreciate your trust and confidence in our approach and look forward to our next communication with our shareholders. We are working diligently toward our primary objectives of managing risks to investment capital and seeking better than average returns in the hedged equity category.
3
Swan Hedged Equity US Large Cap 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 (June 1, 2021 to November 30, 2021), except as noted in the footnotes below.
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 | Ending | Annualized | Expenses | |
Swan Hedged Equity US Large Cap ETF | ||||
Actual | $ 1,000.00 | $ 1,069.80 | 0.79% | $ 4.10(1) |
Hypothetical (5% return before expenses) | $ 1,000.00 | $ 1,021.11 | 0.79% | $ 4.00(2) |
(1) | Actual expenses are calculated using the Fund’s annualized expense ratio multiplied by the average account value during the period, multiplied by the number of days in the most recent inception period, 183 days, and divided by the number of days in the most recent twelve-month period, 365 days. |
(2) | Hypothetical expenses are calculated using the Fund’s annualized expense ratio multiplied by the average account value during the period, multiplied by the number of days in the most recent six-month period, 183 days, and divided by the number of days in the most recent twelve-month period, 365 days. |
4
Performance Overview (Unaudited)
Swan Hedged Equity US Large Cap ETF
Performance Overview
November 30, 2021 (Unaudited)
Hypothetical Growth of $10,000 Investment
(Since Commencement through 11/30/2021)
CUMULATIVE TOTAL RETURN | |
Total Returns | Since |
Swan Hedged Equity US Large Cap ETF — NAV | 15.46% |
Swan Hedged Equity US Large Cap ETF — Market | 15.52% |
Cboe S&P 500 95-110 Collar Index | 15.40% |
S&P 500 Total Return Index | 25.52% |
1 | The Fund commenced operations on December 22, 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 (866) 617-7926. 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 Cboe S&P 500 95-110 Collar Index (CLL) is based on a collar strategy. An option collar is designed to reduce the cost of hedging negative stock returns. The CLL tracks the value of a portfolio that protects an investment in S&P 500 stocks with a long 5 % out-of-the money put option on the S&P 500 (SPX put). The premium of the put is partly defrayed by the premium collected on a short position in a 10% out-of-the-money SPX call option (SPX call). The CLL Index portfolio is rebalanced monthly after the expiration of SPX call and put, typically 11 am ET every third Friday. New SPX put and call options are then bought and sold respectively. The Standard & Poor’s (S&P) 500 Total Return Index is an unmanaged, market-capitalization-weighted index of the 500 largest U.S. publicly traded companies by market value, and assumes any distributions are reinvested back into the index. Indexes are unmanaged, and one cannot invest directly in an index.
5
Swan Hedged Equity US Large Cap ETF
Schedule of Investments
November 30, 2021
| Shares | Value |
| |||||||||
INVESTMENT COMPANIES — 90.8% | ||||||||||||
Exchanged Traded Funds — 90.8% | ||||||||||||
iShares Core S&P 500 ETF (a)(b) | 277,170 | $ | 126,841,307 | |||||||||
SPDR S&P 500 ETF Trust (b) | 10,830 | 4,933,715 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $122,702,681) | 131,775,022 | |||||||||||
MONEY MARKET FUNDS — 0.6% | ||||||||||||
First American Government Obligations Fund - Class X, 0.03% (c) | 782,896 | 782,896 | ||||||||||
TOTAL MONEY MARKET FUNDS (Cost $782,896) | 782,896 | |||||||||||
| Number of |
| Notional | |||||||||
PURCHASED OPTIONS — 12.2% | ||||||||||||
PURCHASED CALL OPTIONS — 4.3% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 2022, Exercise Price: $400 (e) | 26 | 202,877 | $ | 1,184,456 | ||||||||
Expiration: December 2022, Exercise Price: $415 (e) | 112 | 749,000 | 5,102,272 | |||||||||
Expiration: December 2022, Exercise Price: $425 (e) | 212 | 1,265,852 | 9,657,872 | |||||||||
Expiration: December 2022, Exercise Price: $435 (e) | 114 | 600,153 | 5,193,384 | |||||||||
Expiration: December 2022, Exercise Price: $445 (e) | 188 | 862,450 | 8,564,528 | |||||||||
Expiration: December 2022, Exercise Price: $460 (e) | 346 | 1,264,803 | 15,762,376 | |||||||||
Expiration: December 2022, Exercise Price: $475 (e) | 310 | 866,140 | 14,122,360 | |||||||||
Expiration: June 2023, Exercise Price: $485 (e) | 92 | 290,490 | 4,191,152 | |||||||||
Expiration: June 2023, Exercise Price: $505 (e) | 40 | 90,360 | 1,822,240 | |||||||||
6,192,125 |
| Number of | Value | Notional | |||||||||
PURCHASED PUT OPTIONS — 7.9% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 2021, Exercise Price: $430 | 1,384 | $ | 430,424 | $ | 63,049,504 | |||||||
Expiration: December 2021, Exercise Price: $460 (e) | 1,384 | 1,424,136 | 63,049,504 | |||||||||
Expiration: June 2022, Exercise Price: $425 | 198 | 388,179 | 9,020,088 | |||||||||
Expiration: June 2022, Exercise Price: $465 (e) | 198 | 641,817 | 9,020,088 | |||||||||
Expiration: December 2022, Exercise Price: $360 | 51 | 81,116 | 2,323,356 | |||||||||
Expiration: December 2022, Exercise Price: $375 | 156 | 290,394 | 7,106,736 | |||||||||
Expiration: December 2022, Exercise Price: $390 | 318 | 690,060 | 14,486,808 | |||||||||
Expiration: December 2022, Exercise Price: $405 | 749 | 1,889,727 | 34,121,444 | |||||||||
Expiration: December 2022, Exercise Price: $420 | 722 | 2,106,796 | 32,891,432 | |||||||||
Expiration: December 2022, Exercise Price: $445 (e) | 620 | 2,295,860 | 28,244,720 | |||||||||
Expiration: June 2023, Exercise Price: $445 (e) | 184 | 828,276 | 8,382,304 | |||||||||
Expiration: June 2023, Exercise Price: $470 (e) | 80 | 442,080 | 3,644,480 | |||||||||
11,508,865 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $17,180,621) | 17,700,990 | |||||||||||
Total Investments (Cost $ 140,666,198) — 103.6% | 150,258,908 | |||||||||||
Other assets & liabilities, net — (3.6)% | (5,175,666 | ) | ||||||||||
TOTAL NET ASSETS — 100.0% | $ | 145,083,242 |
Percentages are stated as a percent of net assets.
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. |
(c) | The rate shown is the 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. |
The accompanying notes are an integral part of the financial statements.
6
Swan Hedged Equity US Large Cap ETF
Schedule of Written Options
November 30, 2021
| Number of | Value | Notional | |||||||||
WRITTEN OPTIONS — 3.5% | ||||||||||||
WRITTEN CALL OPTIONS — 1.7% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 2022, Exercise Price: $450 | 26 | $ | 110,968 | $ | 1,184,456 | |||||||
Expiration: December 2022, Exercise Price: $465 | 112 | 375,536 | 5,102,272 | |||||||||
Expiration: December 2022, Exercise Price: $480 | 212 | 536,254 | 9,657,872 | |||||||||
Expiration: December 2022, Exercise Price: $485 | 114 | 261,801 | 5,193,384 | |||||||||
Expiration: December 2022, Exercise Price: $495 | 188 | 342,254 | 8,564,528 | |||||||||
Expiration: December 2022, Exercise Price: $510 | 346 | 432,673 | 15,762,376 | |||||||||
Expiration: December 2022, Exercise Price: $525 | 310 | 257,920 | 14,122,360 | |||||||||
Expiration: June 2023, Exercise Price: $535 | 92 | 114,540 | 4,191,152 | |||||||||
Expiration: June 2023, Exercise Price: $560 | 40 | 29,420 | 1,822,240 | |||||||||
2,461,366 | ||||||||||||
WRITTEN PUT OPTIONS — 1.8% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 2021, Exercise Price: $445 | 2,768 | 1,557,000 | 126,099,008 | |||||||||
Expiration: June 2022, Exercise Price: $445 | 396 | 994,752 | 18,040,176 | |||||||||
2,551,752 | ||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $3,080,863) | $ | 5,013,118 |
Percentages are stated as a percent of net assets.
SPDR | Standard & Poor’s Depositary Receipt |
(a) | Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
7
Swan Hedged Equity US Large Cap ETF
Statement of Assets and Liabilities
November 30, 2021
Assets | ||||
Investments, at value (cost $140,666,198) | $ | 150,258,908 | ||
Dividends and interest receivable | 26 | |||
Total assets | 150,258,934 | |||
Liabilities | ||||
Payable to Adviser | 92,025 | |||
Written options, at value (premiums received $3,080,863) | 5,013,118 | |||
Payable to broker | 70,549 | |||
Total liabilities | 5,175,692 | |||
Net Assets | $ | 145,083,242 | ||
Net Assets Consists of: | ||||
Paid-in capital | $ | 137,751,527 | ||
Total distributable earnings | 7,331,715 | |||
Net Assets | $ | 145,083,242 | ||
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | 7,620,000 | |||
Net Asset Value, redemption price and offering price per share | $ | 19.04 |
The accompanying notes are an integral part of the financial statements.
8
Swan Hedged Equity US Large Cap ETF
Statement of Operations
For the Period Ended November 30, 2021(1)
Investment Income | ||||
Dividend income | $ | 642,829 | ||
Interest income | 225 | |||
Total investment income | 643,054 | |||
Expenses | ||||
Investment advisory fees | 481,009 | |||
Interest expense | 297 | |||
Total expenses | 481,306 | |||
Net investment income | 161,748 | |||
Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on: | ||||
Purchased options | 12,914,210 | |||
Written options | (13,404,698 | ) | ||
Net realized loss | (490,488 | ) | ||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 9,072,341 | |||
Purchased options | 520,369 | |||
Written options | (1,932,255 | ) | ||
Net change in unrealized appreciation/depreciation | 7,660,455 | |||
Net realized and unrealized gain on investments | 7,169,967 | |||
Net increase in net assets from operations | $ | 7,331,715 |
(1) | The Fund commenced operations on December 22, 2020. |
The accompanying notes are an integral part of the financial statements.
9
Swan Hedged Equity US Large Cap ETF
Statement of Changes in Net Assets
Period Ended | ||||
From Operations | ||||
Net investment income | $ | 161,748 | ||
Net realized loss on purchased options and written options | (490,488 | ) | ||
Net change in net unrealized appreciation/depreciation on investments, purchased options and written options | 7,660,455 | |||
Net increase in net assets resulting from operations | 7,331,715 | |||
From Capital Shares Transactions | ||||
Proceeds from shares sold | 137,724,312 | |||
Transaction fees (Note 4) | 27,215 | |||
Net increase in net assets resulting from capital share transactions | 137,751,527 | |||
Total Increase in Net Assets | 145,083,242 | |||
Net Assets | ||||
Beginning of period | — | |||
End of period | $ | 145,083,242 | ||
Changes in Shares Outstanding(1) | ||||
Shares outstanding, beginning of period | — | |||
Shares sold | 7,620,000 | |||
Shares redeemed | — | |||
Shares outstanding, end of period | 7,620,000 |
(1) | The Fund commenced operations on December 22, 2020. |
The accompanying notes are an integral part of the financial statements.
10
Swan Hedged Equity US Large Cap ETF
Financial Highlights
For a Share Outstanding Throughout the Period
Period Ended | ||||
Net Asset Value, Beginning of Period | $ | 16.49 | ||
Income from investment operations: | ||||
Net investment income(2) | 0.04 | |||
Net realized and unrealized gain on investments | 2.50 | |||
Total from investment operations | 2.54 | |||
Capital share transactions: | ||||
Transaction fees (see Note 4) | 0.01 | |||
Net Asset Value, End of Period | $ | 19.04 | ||
Total return, at NAV(3) | 15.46 | %(4) | ||
Total return, at Market(3) | 15.52 | %(4) | ||
Supplemental Data and Ratios: | ||||
Net assets, end of period (000’s) | $ | 145,083 | ||
Ratio of expenses to average net assets(7)(8) | 0.79 | %(5) | ||
Ratio of net investment income to average net assets(8) | 0.27 | %(5) | ||
Portfolio turnover rate(6) | 2 | %(4) |
(1) | The Fund commenced operations on December 22, 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 dividends. |
(4) | Not annualized for periods less than one year. |
(5) | Annualized for periods less than one year. |
(6) | Excludes in-kind transactions associated with creations and redemptions of the Fund. |
(7) | Includes interest expense of 0.00% for the period ended November 30, 2021. |
(8) | Does not include income and expenses of investment companies in which the Fund invests. |
The accompanying notes are an integral part of the financial statements.
11
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 2021
1. | ORGANIZATION |
Swan Hedged Equity US Large Cap ETF (the “Fund”) is a non-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”) that seeks long term capital appreciation while mitigating overall market risk. The Fund uses a combination of several strategies to produce capital appreciation while reducing risk exposure across market conditions.
Costs incurred by the Fund in connection with the organization, registration and the initial public offering of shares were paid by Swan Capital Management, LLC (“Swan Capital” or “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.
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 exchange-traded equity securities will be valued at fair value, which will generally be determined using the last reported official closing or last trading price on the exchange or market on which the security is primarily traded at the time of valuation. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.
Securities listed on the NASDAQ Stock Market, Inc. are generally valued at the NASDAQ official closing price.
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.
12
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 2021 (Continued)
An amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity, unless the Adviser determines in good faith that such method does not represent fair value.
Money market funds are valued at NAV. If NAV is not readily available the securities will be valued at fair value.
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.
Exchange-traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchange. On the last trading day prior to expiration, expiring options may be priced at intrinsic value. The premium a fund pays when purchasing a call option or receives when writing a call option will reflect, among other things, the market price of the security, the relationship of the exercise price to the market price of the security, the relationship of the exercise price to the volatility of the security, the length of the option period and supply and demand factors. The premium is the value of an option at the date of purchase.
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.
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Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 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 November 30, 2021 are as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Exchange Traded Funds | $ | 131,775,022 | $ | — | $ | — | $ | 131,775,022 | ||||||||
Money Market Funds | 782,896 | — | — | 782,896 | ||||||||||||
Purchased Options | — | 17,700,990 | — | 17,700,990 | ||||||||||||
Total Investments - Assets | $ | 132,557,918 | $ | 17,700,990 | $ | — | $ | 150,258,908 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Options | $ | — | $ | (5,013,118 | ) | $ | — | $ | (5,013,118 | ) |
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
Dividend income is recognized on the ex-dividend date. Interest income is accrued daily. Withholding taxes on foreign dividends has been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.
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 dividends, 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, at least annually, 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.
The Fund recognized no interest or penalties related to uncertain tax benefits in the 2021 fiscal period. At November 30, 2021, the Fund’s most recent fiscal period end, the tax periods from commencement of operations remained open to examination in the Fund’s major tax jurisdictions.
14
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 2021 (Continued)
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.
Derivatives
The Fund may purchase and write put and call options on indices and enter into related closing transactions. All options written on indices or securities must be covered, the Fund will segregate cash and/or other liquid assets in an amount equal to the Fund’s obligations. Put and call options on indices give the holder the right to receive, upon exercise of the option, an amount of cash if the closing level of the underlying index is greater than (or less than, in the case of puts) the exercise price of the option. This amount of cash is equal to the difference between the closing price of the index and the exercise price of the option, expressed in dollars multiplied by a specified number. The premium paid to the writer is the consideration for undertaking the obligations under the option contract.
The Fund utilizes the defined risk strategy philosophy developed in 1997 by Randy Swan, President of the Adviser. In implementing this strategy, the equity portion of the Fund’s portfolio is hedged using put options and the option portion of the Fund’s portfolio is actively managed to seek additional return or provide risk mitigation. Additionally, the Fund invests in derivatives in order to protect against a possible decline in the market value of the securities in its portfolio, to anticipate an increase in the market value of securities that the Fund may seek to purchase in the future and as a means of increasing the yield on its assets. The Fund purchasing put and call options pays a premium; therefore, if price movements in the underlying securities are such that exercise of the options would not be profitable for the Fund, loss of the premium paid may be offset by an increase in the value of the Fund’s securities or by a decrease in the cost of acquisition of securities by the Fund. When the Fund writes an option, if the underlying securities do not increase or decrease to a price level that would make the exercise of the option profitable to the holder thereof, the option generally will expire without being exercised and the Fund will realize as profit the premium received for such option. When a call option of which the Fund is the writer is exercised, the Fund will be required to sell the underlying securities to the option holder at the strike price and will not participate in any increase in the price of such securities above the strike price. When a put option of which the Fund is the writer is exercised, the Fund will be required to purchase the underlying securities at a price in excess of the market value of such securities. The Fund maintains minimal counterparty risk through contracts bought or sold on an exchange. As of November 30, 2021, the Fund’s derivative instruments are not subject to a master netting arrangement.
The average monthly value outstanding of purchased and written options during the period ended November 30, 2021 were as follows:
Purchased Options | $ | 17,953,138 | ||
Written Options | 12,103,884 |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Assets and Liabilities as of November 30, 2021:
Equity Risk Contracts | Asset Derivatives, | Liability | ||||||
Purchased Options | $ | 17,700,990 | $ | — | ||||
Written Options | — | 5,013,118 | ||||||
Total | $ | 17,700,990 | $ | 5,013,18 |
15
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 2021 (Continued)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations for the period ended November 30, 2021:
Realized Gain (Loss) | Net Change in Unrealized | |||||||||||||||
Purchased | Written | Purchased | Written | |||||||||||||
Equity Risk Contracts | $ | 12,914,210 | $ | (13,404,698 | ) | $ | 520,369 | $ | (1,932,255 | ) |
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 Swan Capital, the Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.79% of the Fund’s average daily net assets. Swan Capital has agreed to pay all expenses of the Fund except the fee paid to Swan Capital 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).
Swan Global Management, LLC (the “Sub-Adviser”), a Puerto Rico limited liability company serves as the sub-adviser to the Fund. Pursuant to a Sub-Advisory Agreement between the Adviser and the Sub-Adviser (the “Sub-Advisory Agreement”), the Sub-Adviser is responsible for trading portfolio securities on behalf of the Fund, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. For its services, the Sub-Adviser is entitled to a sub-advisory fee paid by the Adviser, which fee is calculated and paid monthly, at a rate of 70% of the Adviser’s net advisory fee.
Distribution Agreement and 12b-1 Plan
Foreside Fund Services, LLC (the “Distributor”) serves as the Fund’s distributor pursuant to a Distribution Services Agreement. The Distributor receives compensation for the 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.
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.
16
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 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 accountant 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 the Custodian.
4. | CREATION AND REDEMPTION TRANSACTIONS |
Shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc. The Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units.” A Creation Unit generally consists of 10,000 shares. Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. 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 may 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 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 may be imposed for (1) creations effected outside the Clearing Process and (2) creations made in an all cash amount (to offset the Trust’s brokerage and other transaction costs associated with using cash to purchase 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.
17
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 2021 (Continued)
5. | FEDERAL INCOME TAX |
As of November 30, 2021, the unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Federal Tax Cost of Investments* | $ | 137,585,335 | ||
Gross Tax Unrealized Appreciation | $ | 12,956,153 | ||
Gross Tax Unrealized Depreciation | (5,295,698 | ) | ||
Net Tax Unrealized Appreciation | $ | 7,660,455 |
* | Includes written option premiums. |
As of October 31, 2021, the Fund’s tax year end, the tax basis of distributable earnings/(accumulated losses) were as follows:
Undistributed Ordinary Income | $ | 417,090 | ||
Other Accumulated Gain (Loss) | (316,141 | ) | ||
Unrealized Appreciation on Investments | 7,585,245 | |||
Total Accumulated Earnings | $ | 7,686,194 |
As of October 31, 2021, there is no difference between book-basis and tax-basis unrealized appreciation/(depreciation).
Under current tax law, net capital losses realized after October 31st and net ordinary losses incurred after December 31st may be deferred and treated as occurring on the first day of the following fiscal year. The Fund’s carryforward losses, post-October losses and post-December 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 tax period ended October 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 November 30, 2021 were as follows:
Purchases | Sales | Creations | Redemptions | |||||||||||||
Swan Hedged Equity US Large Cap ETF | $ | 136,186,694 | $ | 1,129,042 | $ | 1,484,356 | $ | — |
During the period ended November 30, 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.
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 principal risks is included in the prospectus under the heading ‘’Principal Investment Risks’’.
18
Swan Hedged Equity US Large Cap ETF
Notes to Financial Statements
November 30, 2021 (Continued)
8. | SUBSEQUENT EVENTS |
On December 31, 2021, the Fund paid a distribution to shareholders of record on December 30, 2021 as follows:
Ordinary | Ordinary Income | ||||||
$ | 0.061 | $ | 496,679 |
Other than as disclosed, there were no other subsequent events requiring recognition or disclosure through the date the financial statements were issued.
19
Swan Hedged Equity US Large Cap ETF
Report of Independent Registered Public Accounting Firm
To the Shareholders of Swan Hedged Equity US Large Cap 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 schedules of investments and written options, of Swan Hedged Equity US Large Cap ETF (the “Fund”), a series of Listed Funds Trust, as of November 30, 2021, the related statements of operations and changes in net assets, the related notes, and the financial highlights for the period from December 22, 2020 (commencement of operations) through November 30, 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 November 30, 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 November 30, 2021, by correspondence with the custodian and broker. 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
January 28, 2022
20
Swan Hedged Equity US Large Cap 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 1-970-382-8901, or by visiting the Fund’s website at https://etfs.swanglobalinvestments.com/hedged-equity-etf/.
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 1-970-382-8901. 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 1-970-382-8901 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://etfs.swanglobalinvestments.com/hedged-equity-etf/.
21
Swan Hedged Equity US Large Cap ETF
Board of Trustees and Officers
November 30, 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 1-970-382-8901, or by visiting the Fund’s website at https://etfs.swanglobalinvestments.com/hedged-equity-etf/.
Name and Year of Birth | Position Held | Term of Office | Principal Occupation(s) | Number of | Other |
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). | 39 | 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). | 39 | 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). | 39 | 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). | 39 | None. |
22
Swan Hedged Equity US Large Cap ETF
Board of Trustees and Officers
November 30, 2021 (Unaudited) (Continued)
Name and Year of Birth | Position(s) Held | Term of Office | 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). |
23
Swan Hedged Equity US Large Cap ETF
Privacy Policy
November 30, 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.
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Investment Adviser:
Swan Capital Management, LLC
1099 Main Avenue, Suite 206
Durango, Colorado 81301
Investment Sub-Adviser:
Swan Global Management, LLC
20 Ridge Top
Humacao, Puerto Rico 00791
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:
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
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 “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 11/30/2021 | FYE 11/30/2020 | |
Audit Fees | $14,500 | N/A |
Audit-Related Fees | $0 | N/A |
Tax Fees | $3,000 | 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 11/30/2021 | FYE 11/30/2020 | |
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 11/30/2021 | FYE 11/30/2020 |
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.
(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 | 02/03/2022 |
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 | 02/03/2022 | ||
By (Signature and Title)* | /s/ Travis G. Babich | ||
Travis G. Babich, Treasurer/Principal Financial Officer | |||
Date | 02/03/2022 |
* | Print the name and title of each signing officer under his or her signature. |