ZEGA Buy and Hedge ETF | |||||||||||
SCHEDULE OF INVESTMENTS at January 31, 2023 (Unaudited) | |||||||||||
Principal Amount | Value | ||||||||||
Corporate Bonds - 10.0% | |||||||||||
Apparel - 0.7% | |||||||||||
Hanesbrands, Inc. | |||||||||||
$ | 374,000 | 4.625%, 05/15/2024 | $ | 368,777 | |||||||
Auto Manufacturers - 0.8% | |||||||||||
Jaguar Land Rover Automotive PLC | |||||||||||
158,000 | 5.625%, 02/01/2023 | 158,000 | |||||||||
Ford Motor Credit Co., LLC | |||||||||||
157,000 | 5.584%, 03/18/2024 | 156,061 | |||||||||
157,000 | 3.664%, 09/08/2024 | 151,359 | |||||||||
465,420 | |||||||||||
Banks - 0.9% | |||||||||||
Intesa Sanpaolo SpA | |||||||||||
546,000 | 5.017%, 06/26/2024 | 532,698 | |||||||||
Commercial Services - 0.4% | |||||||||||
IHS Markit Ltd. | |||||||||||
253,000 | 3.625%, 05/01/2024 | 247,681 | |||||||||
Diversified Financial Services - 1.7% | |||||||||||
OneMain Finance Corp. | |||||||||||
276,000 | 5.625%, 03/15/2023 | 275,988 | |||||||||
153,000 | 6.125%, 03/15/2024 | 151,883 | |||||||||
Navient Corp. | |||||||||||
371,000 | 6.125%, 03/25/2024 | 370,527 | |||||||||
Radian Group, Inc. | |||||||||||
157,000 | 4.500%, 10/01/2024 | 151,966 | |||||||||
950,364 | |||||||||||
Electric - 0.3% | |||||||||||
InterGen NV | |||||||||||
158,000 | 7.000%, 06/30/2023 | 158,107 | |||||||||
Environmental Control - 0.1% | |||||||||||
Stericycle, Inc. | |||||||||||
58,000 | 5.375%, 07/15/2024 | 57,503 | |||||||||
Gas - 0.6% | |||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. | |||||||||||
314,000 | 5.625%, 05/20/2024 | 309,684 | |||||||||
Healthcare - Services - 0.2% | |||||||||||
Tenet Healthcare Corp. | |||||||||||
94,000 | 4.625%, 07/15/2024 | 92,828 | |||||||||
Investment Companies - 0.3% | |||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | |||||||||||
153,000 | 4.750%, 09/15/2024 | 149,558 | |||||||||
Media - 1.7% | |||||||||||
DISH DBS Corp. | |||||||||||
338,000 | 5.000%, 03/15/2023 | 337,689 | |||||||||
483,000 | 5.875%, 11/15/2024 | 456,398 | |||||||||
CSC Holdings, LLC | |||||||||||
160,000 | 5.250%, 06/01/2024 | 156,385 | |||||||||
950,472 | |||||||||||
Pharmaceuticals - 0.9% | |||||||||||
Perrigo Finance Unlimited Co. | |||||||||||
517,000 | 3.900%, 12/15/2024 | 500,583 | |||||||||
Pipelines - 0.4% | |||||||||||
Buckeye Partners L.P. | |||||||||||
235,000 | 4.150%, 07/01/2023 | 233,998 | |||||||||
Real Estate Investment Trusts (REITs) - 0.3% | |||||||||||
Service Properties Trust | |||||||||||
158,000 | 4.500%, 06/15/2023 | 156,989 | |||||||||
Retail - 0.1% | |||||||||||
QVC, Inc. | |||||||||||
58,000 | 4.850%, 04/01/2024 | 55,592 | |||||||||
Telecommunications - 0.6% | |||||||||||
Telecom Italia SpA/Milano | |||||||||||
367,000 | 5.303%, 05/30/2024 | 357,825 | |||||||||
Total Corporate Bonds | |||||||||||
(Cost $5,761,861) | 5,588,079 | ||||||||||
United States Treasury Obligations - 69.3% | |||||||||||
United States Treasury Notes | |||||||||||
19,000,000 | 2.750%, 05/31/2023 | 18,874,876 | |||||||||
20,500,000 | 3.000%, 06/30/2024 | 20,062,773 | |||||||||
38,937,649 | |||||||||||
Total United States Treasury Obligations | |||||||||||
(Cost $39,065,201) | 38,937,649 | ||||||||||
Contracts (1) | Notional Amount | ||||||||||
Purchased Options - 17.5% | |||||||||||
Call Options - 17.5% | |||||||||||
SPDR S&P 500 ETF Trust | |||||||||||
150 | Expiration: 03/17/2023, Strike Price: $455 | $ | 6,097,200 | 3,332 | |||||||
270 | Expiration: 06/16/2023, Strike Price: $365 | 10,974,960 | 1,407,151 | ||||||||
470 | Expiration: 06/16/2023, Strike Price: $415 | 19,104,560 | 730,564 | ||||||||
50 | Expiration: 06/16/2023, Strike Price: $444 | 2,032,400 | 20,722 | ||||||||
500 | Expiration: 09/15/2023, Strike Price: $365 | 20,324,000 | 2,900,846 | ||||||||
410 | Expiration: 12/15/2023, Strike Price: $365 | 16,665,680 | 2,632,509 | ||||||||
325 | Expiration: 01/19/2024, Strike Price: $365 | 13,210,600 | 2,150,345 | ||||||||
9,845,469 | |||||||||||
Total Purchased Options | |||||||||||
Cost ( $9,170,971) | 9,845,469 | ||||||||||
Shares | |||||||||||
Short-Term Investments - 3.6% | |||||||||||
Money Market Funds - 3.6% | |||||||||||
988,612 | Dreyfus Cash Management, 3.430% (2) | 988,612 | |||||||||
1,045,909 | First American Government Obligations Fund, Class X, 4.140% (2) | 1,045,909 | |||||||||
2,034,521 | |||||||||||
Total Short-Term Investments | |||||||||||
(Cost $2,034,521) | 2,034,521 | ||||||||||
Total Investments in Securities - 100.4% | |||||||||||
(Cost $56,032,554) | 56,405,718 | ||||||||||
Liabilities in Excess of Other Assets - (0.4)% | (215,637 | ) | |||||||||
Total Net Assets - 100.0% | $ | 56,190,081 | |||||||||
(1) | 100 shares per contract. | ||||||||||
(2) | The rate shown is the annualized seven-day effective yield as of January 31, 2023. |
ZEGA Buy and Hedge ETF | |||||||||||
SCHEDULE OF OPTIONS WRITTEN at January 31, 2023 (Unaudited) | |||||||||||
Contracts (1) | Notional Amount | Value | |||||||||
Call Options - 0.7% | |||||||||||
SPDR S&P 500 ETF Trust | |||||||||||
470 | Expiration: 06/16/2023, Strike Price: $430 | $ | 19,104,560 | $ | 387,750 | ||||||
Total Options Written | |||||||||||
(Proceeds Received $349,707) | $ | 387,750 | |||||||||
Percentages are stated as a percent of net assets. | |||||||||||
(1) | 100 shares per contract. |
Summary of Fair Value Exposure at January 31, 2023 (Unaudited) | |||||
The ZEGA Buy and Hedge ETF (the "Fund") utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: | |||||
• 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 instruments, interest rates, prepayment spreads, 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 following is a summary of the inputs used to value the Fund's investments and options written as of January 31, 2023: |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Corporate Bonds | $ | – | $ | 5,588,079 | $ | – | $ | 5,588,079 | |||||||
United States Treasury Obligations | – | 38,937,649 | – | 38,937,649 | |||||||||||
Purchased Options | 9,845,469 | – | – | 9,845,469 | |||||||||||
Short-Term Investments | 2,034,521 | – | – | 2,034,521 | |||||||||||
Total Investments in Securities | $ | 11,879,990 | $ | 44,525,728 | $ | – | $ | 56,405,718 | |||||||
Options Written | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Call Options | $ | 387,750 | – | $ | – | $ | 387,750 | ||||||||
Total Options Written | $ | 387,750 | $ | – | $ | – | $ | 387,750 |